SCHEDULE OF INVESTMENTS
Thornburg Strategic Income Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Common Stock — 0.0% | |||
Energy — 0.0% | |||
Oil, Gas & Consumable Fuels — 0.0% | |||
a,b | Drillco Holdings Luxembourg SA | 19,278 | $ 394,620 |
a,b | Malamute Energy, Inc. | 847 | 847 |
395,467 | |||
Telecommunication Services — 0.0% | |||
Diversified Telecommunication Services — 0.0% | |||
a,b | Digicel Holdings Ltd. | 24,516 | 22,235 |
22,235 | |||
Total Common Stock (Cost $1,763,028) | 417,702 | ||
Preferred Stock — 0.3% | |||
Capital Goods — 0.0% | |||
Trading Companies & Distributors — 0.0% | |||
c,d | WESCO International, Inc. Series A 10.625% (5-Yr. CMT + 10.330%) | 89,638 | 2,324,313 |
2,324,313 | |||
Financial Services — 0.3% | |||
Capital Markets — 0.3% | |||
a,d | Gabelli Dividend & Income Trust Series J, 4.50%, 3/26/2028 | 864 | 20,304,000 |
20,304,000 | |||
Total Preferred Stock (Cost $23,122,921) | 22,628,313 | ||
Asset Backed Securities — 10.9% | |||
Auto Receivables — 3.2% | |||
e | ACC Auto Trust, Series 2022-A Class A, 4.58% due 7/15/2026 | $ 330,616 | 330,251 |
e | ACM Auto Trust, Series 2023-2A Class A, 7.97% due 6/20/2030 | 3,904,159 | 3,916,867 |
e | Ally Auto Receivables Trust Series 2023-1 Class CERT, due 4/15/2034 | 17,000 | 5,722,588 |
Arivo Acceptance Auto Loan Receivables Trust, | |||
e | Series 2021-1A Class A, 1.19% due 1/15/2027 | 96,569 | 96,122 |
e | Series 2021-1A Class C, 3.77% due 3/15/2027 | 900,000 | 883,622 |
e | Series 2021-1A Class D, 5.83% due 1/18/2028 | 850,000 | 827,306 |
e | Series 2024-1A Class A, 6.46% due 4/17/2028 | 4,250,160 | 4,257,596 |
e | Avid Automobile Receivables Trust, Series 2023-1 Class A, 6.63% due 7/15/2026 | 1,318,130 | 1,318,906 |
BOF URSA VI Funding Trust I, | |||
e | Series 2023-CAR1 Class B, 6.029% due 10/27/2031 | 2,320,643 | 2,314,395 |
e | Series 2023-CAR2 Class A2, 5.542% due 10/27/2031 | 5,168,438 | 5,145,523 |
e | Series 2023-CAR2 Class B, 6.029% due 10/27/2031 | 6,101,814 | 6,080,358 |
e | BOF VII AL Funding Trust I, Series 2023-CAR3 Class A2, 6.291% due 7/26/2032 | 8,487,418 | 8,533,021 |
e | CarNow Auto Receivables Trust, Series 2021-2A Class D, 2.25% due 3/15/2027 | 2,301,947 | 2,267,990 |
Carvana Auto Receivables Trust, | |||
e | Series 2019-4A Class R, due 10/15/2026 | 8,000 | 2,360,065 |
e | Series 2020-P1 Class R, due 9/8/2027 | 20,000 | 1,667,055 |
e | Series 2021-N4 Class R, due 9/12/2028 | 11,650 | 613,757 |
e | Series 2021-P1 Class R, due 12/10/2027 | 23,500 | 2,053,672 |
e | Series 2021-P2 Class R, due 5/10/2028 | 7,500 | 1,595,632 |
e | Series 2021-P3 Class R, due 9/11/2028 | 9,000 | 1,750,492 |
e | Series 2021-P4 Class R, due 9/11/2028 | 8,250 | 1,810,528 |
e | Series 2022-N1 Class E, 6.01% due 12/11/2028 | 6,000,000 | 5,657,537 |
e | Series 2022-P1 Class R, due 1/10/2029 | 24,000 | 5,596,489 |
e | Series 2022-P1 Class XS, due 1/10/2029 | 363,805,662 | 1,608,785 |
e | Series 2023-N1 Class A, 6.36% due 4/12/2027 | 3,385,594 | 3,390,990 |
e | Series 2023-N3 Class A, 6.41% due 9/10/2027 | 2,560,430 | 2,567,296 |
e | Series 2023-N4 Class A, 6.42% due 1/10/2028 | 3,214,628 | 3,227,235 |
CPS Auto Receivables Trust, | |||
e | Series 2020-A Class F, 6.93% due 3/15/2027 | 3,500,000 | 3,500,330 |
e | Series 2020-C Class F, 6.67% due 11/15/2027 | 1,000,000 | 994,032 |
e | CPS Auto Securitization Trust, Series 2021-1A Class A, 7.86% due 6/16/2026 | 10,000,000 | 10,291,399 |
Exeter Automobile Receivables Trust, |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Strategic Income Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Series 2021-1A Class D, 1.08% due 11/16/2026 | $ 1,912,875 | $ 1,867,360 | |
Series 2021-3A Class C, 0.96% due 10/15/2026 | 4,726,641 | 4,680,637 | |
e | FHF Issuer Trust, Series 2024-1A Class A1, 5.769% due 3/17/2025 | 5,215,045 | 5,213,516 |
FHF Trust, | |||
e | Series 2021-2A Class A, 0.83% due 12/15/2026 | 794,539 | 778,298 |
e | Series 2022-2A Class A, 6.14% due 12/15/2027 | 3,097,045 | 3,091,970 |
e | Series 2023-1A Class A2, 6.57% due 6/15/2028 | 3,301,937 | 3,310,458 |
e | First Investors Auto Owner Trust, Series 2022-1A Class E, 5.41% due 6/15/2029 | 5,000,000 | 4,898,762 |
Flagship Credit Auto Trust, | |||
e | Series 2019-1 Class E, 5.06% due 6/15/2026 | 1,855,523 | 1,852,059 |
e | Series 2019-1 Class R, due 6/15/2026 | 24,000 | 778,413 |
e | Series 2019-2 Class D, 3.53% due 5/15/2025 | 332,570 | 332,155 |
e | Series 2019-2 Class R, due 12/15/2026 | 33,000 | 1,447,672 |
e | Series 2019-3 Class R, due 12/15/2026 | 31,000 | 1,469,466 |
e | Series 2019-4 Class D, 3.12% due 1/15/2026 | 684,728 | 678,291 |
e | Series 2019-4 Class R, due 3/15/2027 | 26,000 | 1,283,119 |
e | Series 2022-1 Class E, 5.37% due 6/15/2029 | 6,120,000 | 5,189,992 |
e | Foursight Capital Automobile Receivables Trust, Series 2021-1 Class F, 4.06% due 8/15/2028 | 3,130,000 | 3,118,285 |
GLS Auto Receivables Issuer Trust, | |||
e | Series 2020-2A Class C, 4.57% due 4/15/2026 | 238,908 | 238,624 |
e | Series 2021-4A Class C, 1.94% due 10/15/2027 | 4,021,499 | 3,957,463 |
e | Hertz Vehicle Financing LLC, Series 2021-1A Class A, 1.21% due 12/26/2025 | 17,535,000 | 17,307,005 |
JPMorgan Chase Bank NA - CACLN, | |||
e | Series 2020-1 Class R, 33.784% due 1/25/2028 | 876,902 | 887,096 |
e | Series 2020-2 Class R, 31.355% due 2/25/2028 | 7,945,826 | 8,348,648 |
e | Series 2021-1 Class R, 28.348% due 9/25/2028 | 3,216,997 | 3,664,105 |
e | Series 2021-2 Class G, 8.482% due 12/26/2028 | 3,950,000 | 4,002,340 |
d,e | Kinetic Advantage Master Owner Trust, Series 2024-1A Class A, 7.983% (SOFR30A + 2.65%) due 11/15/2027 | 17,500,000 | 17,551,408 |
Lendbuzz Securitization Trust, | |||
e | Series 2021-1A Class A, 1.46% due 6/15/2026 | 1,096,212 | 1,069,679 |
e | Series 2022-1A Class A, 4.22% due 5/17/2027 | 7,129,940 | 7,011,558 |
e | Series 2023-2A Class A2, 7.09% due 10/16/2028 | 3,602,908 | 3,633,371 |
e | Series 2024-1A Class A1, 5.789% due 1/15/2025 | 392,625 | 392,575 |
Lobel Automobile Receivables Trust, | |||
e | Series 2023-1 Class A, 6.97% due 7/15/2026 | 1,643,246 | 1,646,499 |
e | Series 2023-2 Class A, 7.59% due 4/16/2029 | 5,472,847 | 5,519,195 |
e,f | Oscar U.S. Funding XV LLC, Series 2023-1A Class A2, 6.07% due 9/10/2026 | 1,929,070 | 1,931,211 |
Research-Driven Pagaya Motor Asset Trust, | |||
e | Series 2023-3A Class A, 7.13% due 1/26/2032 | 13,907,509 | 13,993,942 |
e | Series 2023-4A Class A, 7.54% due 3/25/2032 | 8,576,698 | 8,664,876 |
e | Research-Driven Pagaya Motor Trust, Series 2024-1A Class A, 7.09% due 6/25/2032 | 9,672,366 | 9,726,154 |
e | SAFCO Auto Receivables Trust, Series 2024-1A Class A, 6.51% due 3/20/2028 | 8,547,957 | 8,554,128 |
Santander Consumer Auto Receivables Trust, | |||
e | Series 2020-AA Class R, due 1/16/2029 | 30,500 | 2,959,231 |
e | Series 2021-AA Class F, 5.79% due 8/15/2028 | 3,000,000 | 2,888,239 |
e | Series 2021-AA Class R, due 8/15/2028 | 28,500 | 1,342,139 |
e | Santander Drive Auto Receivables Trust, Series 2023-S1 Class R1, 8.14% due 4/18/2028 | 11,645,570 | 11,718,028 |
Tricolor Auto Securitization Trust, | |||
e | Series 2023-1A Class A, 6.48% due 8/17/2026 | 934,194 | 934,625 |
e | Series 2024-2A Class A, 6.36% due 12/15/2027 | 6,615,144 | 6,618,062 |
United Auto Credit Securitization Trust, | |||
e | Series 2022-1 Class R, due 11/10/2028 | 37,000 | 716,573 |
e | Series 2024-1 Class A, 6.17% due 8/10/2026 | 3,256,609 | 3,257,992 |
278,905,058 | |||
Credit Card — 0.7% | |||
e | Avant Credit Card Master Trust, Series 2021-1A Class A, 1.37% due 4/15/2027 | 7,900,000 | 7,732,931 |
e | Brex Commercial Charge Card Master Trust, Series 2024-1 Class A1, 6.05% due 7/15/2027 | 11,173,000 | 11,159,840 |
Continental Finance Credit Card ABS Master Trust, | |||
e | Series 2020-1A Class A, 2.24% due 12/15/2028 | 583,909 | 581,188 |
e | Series 2020-1A Class B, 3.66% due 12/15/2028 | 3,700,000 | 3,637,500 |
e | Genesis Private Label Amortizing Trust, Series 2020-1 Class D, 6.63% due 7/20/2030 | 503,424 | 502,522 |
Mercury Financial Credit Card Master Trust, | |||
e | Series 2023-1A Class A, 8.04% due 9/20/2027 | 14,600,000 | 14,700,829 |
e | Series 2024-2A Class A, 6.56% due 7/20/2029 | 9,800,000 | 9,820,350 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Strategic Income Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Mission Lane Credit Card Master Trust, | |||
e | Series 2023-B Class A, 7.69% due 11/15/2028 | $ 8,000,000 | $ 8,095,600 |
e | Series 2024-A Class A1, 6.20% due 8/15/2029 | 4,700,000 | 4,695,328 |
60,926,088 | |||
Other Asset Backed — 5.3% | |||
d,e | 321 Henderson Receivables I LLC, Series 2006-3A Class A1, 5.643% (TSFR1M + 0.31%) due 9/15/2041 | 521,114 | 514,664 |
e | Affirm Asset Securitization Trust, Series 2021-Z2 Class A, 1.17% due 11/16/2026 | 215,689 | 212,379 |
e | AFG ABS I LLC, Series 2023-1 Class A2, 6.30% due 9/16/2030 | 6,544,842 | 6,558,179 |
e | AMCR ABS Trust, Series 2023-1A Class A, 7.66% due 1/21/2031 | 2,868,017 | 2,880,318 |
e | Amur Equipment Finance Receivables IX LLC, Series 2021-1A Class F, 6.09% due 2/20/2029 | 8,152,000 | 7,990,834 |
Aqua Finance Trust, | |||
e | Series 2019-A Class D, 6.07% due 7/16/2040 | 12,409,650 | 11,573,994 |
e | Series 2020-AA Class A, 1.90% due 7/17/2046 | 1,902,705 | 1,713,551 |
e | Series 2020-AA Class D, 7.15% due 7/17/2046 | 3,220,000 | 3,009,393 |
e | Series 2021-A Class A, 1.54% due 7/17/2046 | 4,281,239 | 3,854,065 |
e | Arm Master Trust LLC Agricultural Loan Backed Notes, Series 2021-T1 Class A, 2.43% due 11/15/2027 | 12,299,000 | 11,966,484 |
e | Auxilior Term Funding LLC, Series 2023-1A Class A2, 6.18% due 12/15/2028 | 3,640,000 | 3,655,223 |
e | Avid Automobile Receivables Trust, Series 2024-1 Class A, 6.86% due 2/15/2030 | 10,160,000 | 10,164,498 |
BHG Securitization Trust, | |||
e | Series 2021-A Class C, 3.69% due 11/17/2033 | 2,200,000 | 1,813,196 |
e | Series 2021-B Class A, 0.90% due 10/17/2034 | 911,876 | 896,490 |
e | Series 2022-A Class A, 1.71% due 2/20/2035 | 3,863,012 | 3,816,760 |
d,e,f | Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A Class A, 4.213% due 12/16/2041 | 2,815,901 | 2,788,221 |
d,e | Cascade MH Asset Trust, Series 2021-MH1 Class B3, 7.711% due 2/25/2046 | 1,936,119 | 1,526,817 |
e,f | CFG Investments Ltd., Series 2023-1 Class A, 8.56% due 7/25/2034 | 7,400,000 | 7,428,044 |
e | CFMT Issuer Trust, Series 2021-GRN1 Class A, 1.10% due 3/20/2041 | 751,369 | 720,117 |
d,e | Consumer Lending Receivables Trust Series 2019-A Class CERT, due 4/15/2026 | 310,000 | 34,156 |
d,e | Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2019-HP1 Class CERT, due 12/15/2026 | 100,000 | 234,620 |
e | CP EF Asset Securitization I LLC, Series 2022-1A Class A, 5.96% due 4/15/2030 | 3,672,956 | 3,667,527 |
e | Crossroads Asset Trust, Series 2022-A Class A, 6.35% due 4/21/2031 | 3,490,443 | 3,498,686 |
Dext ABS LLC, | |||
e | Series 2021-1 Class A, 1.12% due 2/15/2028 | 1,158,298 | 1,153,090 |
e | Series 2023-2 Class A2, 6.56% due 5/15/2034 | 4,065,796 | 4,088,964 |
e | Diamond Infrastructure Funding LLC, Series 2021-1A Class A, 1.76% due 4/15/2049 | 19,150,000 | 17,277,536 |
e | Diamond Issuer LLC, Series 2021-1A Class A, 2.305% due 11/20/2051 | 10,983,000 | 9,903,269 |
e,f | ECAF I Ltd., Series 2015-1A Class B1, 5.802% due 6/15/2040 | 4,600,055 | 1,403,072 |
e | EverBright Solar Trust, Series 2024-A Class A, 6.43% due 6/22/2054 | 11,817,827 | 11,558,028 |
e | ExteNet LLC, Series 2019-1A Class A2, 3.204% due 7/25/2049 | 5,000,000 | 4,989,049 |
e | FAT Brands Fazoli’s Native I LLC, Series 2021-1 Class A2, 7.00% due 7/25/2051 | 11,143,305 | 10,264,029 |
Foundation Finance Trust, | |||
e | Series 2019-1A Class A, 3.86% due 11/15/2034 | 16,737 | 16,718 |
e | Series 2019-1A Class C, 5.66% due 11/15/2034 | 575,000 | 558,006 |
e | Series 2020-1A Class A, 3.54% due 7/16/2040 | 1,421,689 | 1,392,520 |
e | Series 2020-1A Class C, 5.75% due 7/16/2040 | 4,025,000 | 3,832,959 |
e | Series 2021-1A Class A, 1.27% due 5/15/2041 | 1,237,265 | 1,121,896 |
e | Series 2021-1A Class D, 4.96% due 5/15/2041 | 1,870,538 | 1,616,652 |
e | Series 2021-2A Class A, 2.19% due 1/15/2042 | 1,229,780 | 1,131,400 |
e | Series 2021-2A Class D, 5.73% due 1/15/2042 | 3,750,000 | 3,290,646 |
Goldman Home Improvement Trust Issuer Trust, | |||
e | Series 2021-GRN2 Class A, 1.15% due 6/25/2051 | 3,447,253 | 3,239,889 |
a,e | Series 2021-GRN2 Class R, due 6/20/2051 | 41,500 | 2,279,676 |
e | Series 2022-GRN1 Class A, 4.50% due 6/25/2052 | 1,735,147 | 1,691,962 |
e | Goodgreen Trust, Series 2021-1A Class A, 2.66% due 10/15/2056 | 9,024,902 | 7,421,437 |
GoodLeap Sustainable Home Solutions Trust, | |||
e | Series 2021-3CS Class A, 2.10% due 5/20/2048 | 1,923,532 | 1,500,379 |
e | Series 2021-3CS Class C, 3.50% due 5/20/2048 | 4,088,904 | 2,838,869 |
e | Series 2021-4GS Class A, 1.93% due 7/20/2048 | 10,879,098 | 8,296,048 |
e | Series 2021-5CS Class A, 2.31% due 10/20/2048 | 14,254,780 | 11,348,818 |
d,e | Gracie Point International Funding LLC, Series 2023-2A Class A, 7.599% (SOFR90A + 2.25%) due 3/1/2027 | 11,827,673 | 11,862,515 |
e | HERO Funding Trust, Series 2017-2A Class A1, 3.28% due 9/20/2048 | 840,461 | 733,124 |
e | Hilton Grand Vacations Trust, Series 2019-AA Class A, 2.34% due 7/25/2033 | 745,955 | 717,063 |
InStar Leasing III LLC, | |||
e | Series 2021-1A Class A, 2.30% due 2/15/2054 | 4,211,044 | 3,722,940 |
e | Series 2021-1A Class C, 5.29% due 2/15/2054 | 4,466,984 | 3,961,373 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Strategic Income Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
LendingPoint Asset Securitization Trust, | |||
e | Series 2020-REV1 Class C, 7.699% due 10/15/2028 | $ 4,000,000 | $ 3,960,803 |
e | Series 2021-A Class D, 5.73% due 12/15/2028 | 9,000,000 | 7,651,109 |
e | Series 2021-B Class D, 6.12% due 2/15/2029 | 5,000,000 | 1,726,642 |
e | Series 2022-A Class E, 7.02% due 6/15/2029 | 6,000,000 | 54,672 |
e | Series 2022-B Class A, 4.77% due 10/15/2029 | 741,158 | 738,541 |
e | Series 2022-C Class A, 6.56% due 2/15/2030 | 760,095 | 760,347 |
e | LendingPoint Pass-Through Trust, Series 2022-ST3 Class A, 4.00% due 5/15/2028 | 335,808 | 330,553 |
e | LL ABS Trust, Series 2020-1A Class C, 6.54% due 1/17/2028 | 712,691 | 712,691 |
Loanpal Solar Loan Ltd., | |||
e | Series 2021-1GS Class A, 2.29% due 1/20/2048 | 1,175,735 | 916,245 |
e,g | Series 2021-1GS Class R, due 1/20/2048 | 13,252,480 | 8,582,549 |
e | Series 2021-2GS Class C, 3.50% due 3/20/2048 | 2,917,825 | 1,957,990 |
e | LP LMS Asset Securitization Trust, Series 2021-2A Class D, 6.61% due 1/15/2029 | 2,947,000 | 2,609,535 |
Marlette Funding Trust, | |||
e | Series 2018-1A Class CERT, due 3/15/2028 | 58,592 | 26,952 |
e | Series 2019-4A Class C, 3.76% due 12/17/2029 | 6,928 | 6,928 |
e | Series 2021-1A Class R, due 6/16/2031 | 9,520 | 157,786 |
e | Series 2021-2A Class R, due 9/15/2031 | 16,347 | 318,315 |
e | Series 2021-3A Class B, 1.30% due 12/15/2031 | 108,382 | 108,180 |
e | Series 2021-3A Class R, due 12/15/2031 | 53,946 | 1,585,888 |
e | Series 2022-3A Class A, 5.18% due 11/15/2032 | 23,116 | 23,108 |
e | Series 2023-2A Class A, 6.04% due 6/15/2033 | 2,768,899 | 2,769,014 |
e | Momnt Technologies Trust, Series 2023-1A Class A, 6.92% due 3/20/2045 | 6,702,960 | 6,756,720 |
Mosaic Solar Loan Trust, | |||
e | Series 2020-2A Class D, 5.42% due 8/20/2046 | 705,121 | 651,232 |
e | Series 2020-2A Class R, due 8/20/2046 | 964,763 | 387,378 |
e | Series 2021-1A Class R, due 12/20/2046 | 6,899,985 | 718,771 |
e | Series 2021-2A Class R, due 4/22/2047 | 9,930,000 | 806,064 |
e | Series 2021-3A Class R, due 6/20/2052 | 12,246,439 | 480,722 |
NetCredit Combined Receivables LLC, | |||
e | Series 2023-A Class A, 7.78% due 12/20/2027 | 2,999,107 | 3,000,397 |
e | Series 2024-A Class A, 7.43% due 10/21/2030 | 4,900,000 | 4,899,889 |
d,e | Oportun Funding LLC Series 2022-1 Class CERT, due 6/15/2029 | 11,000 | 373,902 |
e | Oportun Funding XIV LLC, Series 2021-A Class A, 1.21% due 3/8/2028 | 4,347,887 | 4,222,328 |
Oportun Issuance Trust, | |||
e | Series 2021-B Class A, 1.47% due 5/8/2031 | 6,838,363 | 6,472,095 |
e | Series 2021-C Class A, 2.18% due 10/8/2031 | 10,500,000 | 9,909,940 |
e | Series 2022-A Class A, 5.05% due 6/9/2031 | 10,588,000 | 10,510,907 |
Pagaya AI Debt Selection Trust, | |||
e | Series 2020-4 Class B, 8.25% due 1/25/2028 | 1,431,467 | 1,434,273 |
e | Series 2021-HG1 Class A, 1.22% due 1/16/2029 | 1,524,470 | 1,492,459 |
Pagaya AI Debt Trust, | |||
e | Series 2022-1 Class A, 2.03% due 10/15/2029 | 1,587,874 | 1,579,558 |
e | Series 2022-2 Class A, 4.97% due 1/15/2030 | 857,283 | 854,267 |
e | Series 2023-1 Class A, 7.556% due 7/15/2030 | 2,206,366 | 2,211,872 |
d,e | Series 2023-5 Class AB, 7.351% due 4/15/2031 | 4,054,159 | 4,068,426 |
e | Series 2024-1 Class A, 6.66% due 7/15/2031 | 3,254,126 | 3,268,857 |
e | PowerPay Issuance Trust, Series 2024-1A Class A, 6.53% due 2/18/2039 | 7,667,943 | 7,617,791 |
Prosper Marketplace Issuance Trust, | |||
d,e | Series 2019-2A Class CERT, due 9/15/2025 | 16,385 | 11,904 |
d,e | Series 2019-3A Class CERT, due 7/15/2025 | 101,327,127 | 61,303 |
e | Series 2023-1A Class A, 7.06% due 7/16/2029 | 1,102,057 | 1,105,928 |
e | Series 2024-1A Class A, 6.12% due 8/15/2029 | 7,464,067 | 7,467,922 |
Prosper Pass-Thru Trust II, | |||
e | Series 2019-ST1 Class CERT, due 7/15/2025 | 13,363,728 | 17,605 |
e | Series 2019-ST2 Class R1, due 11/15/2025 | 6,385,267 | 127,431 |
e | Series 2019-ST2 Class R2, due 11/15/2025 | 3,193,133 | 62,758 |
e | Reach Financial LLC, Series 2023-1A Class A, 7.05% due 2/18/2031 | 918,787 | 922,152 |
e | Republic Finance Issuance Trust, Series 2021-A Class A, 2.30% due 12/22/2031 | 8,400,000 | 8,095,820 |
d,e | SBA Tower Trust, Series 2014-2A Class C, 3.869% due 10/15/2049 | 18,307,000 | 18,188,605 |
e | SCF Equipment Leasing LLC, Series 2019-2A Class C, 3.11% due 6/21/2027 | 1,291,723 | 1,289,588 |
e | Service Experts Issuer LLC, Series 2021-1A Class A, 2.67% due 2/2/2032 | 11,710,871 | 11,138,085 |
e | Sierra Timeshare Receivables Funding LLC, Series 2023-1A Class D, 9.80% due 1/20/2040 | 2,067,528 | 2,140,581 |
e | SolarCity LMC Series I LLC, Series 2013-1 Class A, 4.80% due 11/20/2038 | 749,206 | 733,584 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Strategic Income Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
e | SpringCastle America Funding LLC, Series 2020-AA Class A, 1.97% due 9/25/2037 | $ 2,823,702 | $ 2,584,777 |
e | SPS Servicer Advance Receivables Trust, Series 2020-T2 Class A, 1.83% due 11/15/2055 | 11,890,000 | 11,230,130 |
e,h | Stream Innovations Issuer Trust, Series 2024-1A Class A, 6.27% due 7/15/2044 | 6,730,000 | 6,729,950 |
e | Sunnova Hestia II Issuer LLC, Series 2024-GRID1 Class 1A, 5.63% due 7/20/2051 | 5,815,000 | 5,854,949 |
e | Theorem Funding Trust, Series 2022-3A Class A, 7.60% due 4/15/2029 | 2,616,128 | 2,634,922 |
Upstart Pass-Through Trust, | |||
e | Series 2020-ST1 Class A, 3.75% due 2/20/2028 | 9,708 | 9,692 |
e | Series 2020-ST2 Class A, 3.50% due 3/20/2028 | 43,229 | 42,965 |
e | Series 2020-ST3 Class A, 3.35% due 4/20/2028 | 80,782 | 80,384 |
e | Series 2020-ST5 Class A, 3.00% due 12/20/2026 | 1,196,565 | 1,174,742 |
e | Series 2021-ST1 Class A, 2.75% due 2/20/2027 | 872,332 | 859,272 |
e | Series 2021-ST2 Class A, 2.50% due 4/20/2027 | 994,063 | 975,968 |
e | Series 2021-ST4 Class A, 2.00% due 7/20/2027 | 978,084 | 947,013 |
e | Series 2021-ST5 Class A, 2.00% due 7/20/2027 | 724,174 | 702,955 |
e | Series 2021-ST6 Class A, 1.85% due 8/20/2027 | 540,165 | 532,971 |
e | Series 2021-ST8 Class A, 1.75% due 10/20/2029 | 135,421 | 134,430 |
e | Series 2021-ST8 Class CERT, due 10/20/2029 | 5,400,000 | 1,652,535 |
e | Series 2021-ST9 Class CERT, due 11/20/2029 | 1,414,000 | 434,789 |
Upstart Securitization Trust, | |||
e | Series 2020-1 Class C, 4.899% due 4/22/2030 | 198,706 | 198,389 |
e | Series 2020-3 Class C, 6.25% due 11/20/2030 | 1,522,726 | 1,517,035 |
e | Series 2021-2 Class C, 3.61% due 6/20/2031 | 18,104,920 | 17,749,306 |
e | Series 2021-3 Class CERT, due 7/20/2031 | 7,165 | 188,302 |
e | Series 2021-4 Class CERT, due 9/20/2031 | 4,706 | 257,179 |
e | Series 2023-1 Class A, 6.59% due 2/20/2033 | 899,538 | 900,135 |
e | Series 2023-3 Class A, 6.90% due 10/20/2033 | 3,298,256 | 3,315,112 |
Upstart Structured Pass-Through Trust, | |||
e | Series 2022-1A Class A, 3.40% due 4/15/2030 | 4,286,530 | 4,217,765 |
e | Series 2022-4A Class A, 7.01% due 11/15/2030 | 1,761,921 | 1,764,485 |
e | Verdant Receivables LLC, Series 2023-1A Class A2, 6.24% due 1/13/2031 | 9,079,136 | 9,135,184 |
457,634,441 | |||
Student Loan — 1.7% | |||
e | Ascent Education Funding Trust, Series 2024-A Class A, 6.14% due 10/25/2050 | 13,191,375 | 13,222,514 |
e | College Ave Student Loans LLC Series 2023-A Class R, due 5/25/2055 | 35,000 | 15,010,418 |
College Avenue Student Loans LLC, | |||
d,e | Series 2021-A Class A1, 6.56% (TSFR1M + 1.21%) due 7/25/2051 | 2,437,187 | 2,432,881 |
e | Series 2021-A Class A2, 1.60% due 7/25/2051 | 232,113 | 203,850 |
d,e | Series 2021-C Class A1, 6.36% (TSFR1M + 1.01%) due 7/26/2055 | 4,741,691 | 4,667,106 |
e | Series 2021-C Class R, due 7/26/2055 | 38,750 | 9,416,531 |
Commonbond Student Loan Trust, | |||
e | Series 18-CGS Class A1, 3.87% due 2/25/2046 | 374,871 | 352,945 |
e | Series 2020-1 Class A, 1.69% due 10/25/2051 | 1,367,537 | 1,206,410 |
e | Series 2021-BGS Class A, 1.17% due 9/25/2051 | 4,339,478 | 3,606,477 |
e | EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A Class A, 1.80% due 11/25/2045 | 17,869,195 | 15,950,235 |
e | MPOWER Education Trust, Series 2024-A Class A, 6.78% due 7/22/2041 | 13,075,095 | 13,196,031 |
National Collegiate Student Loan Trust, | |||
d | Series 2004-2 Class B, 6.00% (TSFR1M +0.65%) due 12/26/2033 | 5,668,039 | 5,553,847 |
d | Series 2006-1 Class A5, 5.81% (TSFR1M + 0.46%) due 3/25/2033 | 8,434,295 | 8,133,009 |
d | Series 2006-4 Class A4, 5.77% (TSFR1M + 0.42%) due 5/25/2032 | 2,723,139 | 2,647,971 |
d | Series 2007-2 Class A4, 5.75% (TSFR1M + 0.40%) due 1/25/2033 | 1,675,694 | 1,578,411 |
d,e | Navient Private Education Refi Loan Trust, Series 2019-D Class A2B, 6.493% (TSFR1M + 1.16%) due 12/15/2059 | 2,727,240 | 2,726,162 |
Nelnet Student Loan Trust, | |||
d,e | Series 2015-2A Class A2, 6.05% (SOFR30A + 0.71%) due 9/25/2042 | 1,433,501 | 1,406,095 |
d,e | Series 2021-CA Class AFL, 6.193% (TSFR1M + 0.85%) due 4/20/2062 | 2,616,510 | 2,592,759 |
d,e | Series 2021-DA Class AFL, 6.143% (TSFR1M + 0.80%) due 4/20/2062 | 3,103,599 | 3,073,797 |
d,e,f | Prodigy Finance DAC, Series 2021-1A Class A, 6.71% (TSFR1M + 1.36%) due 7/25/2051 | 499,813 | 500,746 |
SLM Student Loan Trust, | |||
d | Series 2008-2 Class A3, 6.36% (SOFR90A + 1.01%) due 4/25/2023 | 91,198 | 90,347 |
b,d,i | Series 2008-5 Class A4, 7.31% (SOFR90A + 1.96%) due 7/25/2023 | 480,337 | 484,074 |
d | Series 2011-2 Class A2, 6.65% (SOFR30A + 1.31%) due 10/25/2034 | 2,374,903 | 2,387,867 |
d | Series 2012-1 Class A3, 6.40% (SOFR30A + 1.06%) due 9/25/2028 | 1,221,727 | 1,196,691 |
d | Series 2013-6 Class A3, 6.10% (SOFR30A + 0.76%) due 6/26/2028 | 1,427,898 | 1,405,648 |
SMB Private Education Loan Trust, | |||
e | Series 2021-A Class R, due 1/15/2053 | 2,742 | 6,885,929 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Strategic Income Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
d,e | Series 2021-D Class A1B, 6.043% (TSFR1M + 0.71%) due 3/17/2053 | $ 2,034,786 | $ 2,014,213 |
e | Series 2022-A Class D, 4.75% due 11/16/2054 | 5,545,830 | 5,253,790 |
e | SoFi Professional Loan Program LLC, Series 2021-B Class AFX, 1.14% due 2/15/2047 | 16,933,937 | 14,439,660 |
e | SoFi Professional Loan Program Trust Series 2021-B Class R1, due 2/15/2047 | 90,000 | 2,947,313 |
d,e | Towd Point Asset Trust, Series 2021-SL1 Class A2, 6.153% (TSFR1M + 0.81%) due 11/20/2061 | 1,723,037 | 1,717,336 |
146,301,063 | |||
Total Asset Backed Securities (Cost $977,305,147) | 943,766,650 | ||
Corporate Bonds — 41.2% | |||
Automobiles & Components — 0.9% | |||
Automobile Components — 0.1% | |||
e | LKQ European Holdings BV (EUR), 4.125% due 4/1/2028 | 6,600,000 | 7,076,472 |
e | Real Hero Merger Sub 2, Inc., 6.25% due 2/1/2029 | 4,616,000 | 3,938,556 |
Automobiles — 0.8% | |||
d | American Honda Finance Corp., 6.069% (SOFRINDX + 0.70%) due 11/22/2024 | 29,050,000 | 29,097,061 |
d,e | Daimler Truck Finance North America LLC, 6.121% (SOFR + 0.75%) due 12/13/2024 | 4,099,000 | 4,106,624 |
Hyundai Capital America, | |||
e | 1.00% due 9/17/2024 | 7,855,000 | 7,773,779 |
e | 1.80% due 10/15/2025 | 1,528,000 | 1,455,863 |
e | 3.00% due 2/10/2027 | 1,930,000 | 1,818,871 |
e | 5.30% due 3/19/2027 | 4,750,000 | 4,738,980 |
e | 5.45% due 6/24/2026 | 5,400,000 | 5,392,386 |
e | 5.50% due 3/30/2026 | 3,000,000 | 2,996,940 |
e | 5.80% due 6/26/2025 | 4,500,000 | 4,505,850 |
e | 6.50% due 1/16/2029 | 3,000,000 | 3,131,310 |
76,032,692 | |||
Banks — 1.6% | |||
Banks — 1.6% | |||
d,f | Bank Leumi Le-Israel BM, 7.129% (5-Yr. CMT + 3.470%) due 7/18/2033 | 8,239,000 | 8,033,437 |
Bank of New York Mellon Corp., | |||
c,d | Series F, 4.625% (TSFR3M + 3.39%) due 9/20/2026 | 1,935,000 | 1,863,289 |
c,d | Series I, 3.75% (5-Yr. CMT + 2.630%) due 12/20/2026 | 19,575,000 | 18,103,156 |
e,f | Corp. Financiera de Desarrollo SA, 5.95% due 4/30/2029 | 8,725,000 | 8,729,973 |
d,e,f | DNB Bank ASA, 5.896% (SOFRINDX + 1.95%) due 10/9/2026 | 6,900,000 | 6,922,149 |
FNB Corp., 5.15% due 8/25/2025 | 3,170,000 | 3,117,346 | |
KeyBank NA, 5.00% due 1/26/2033 | 12,100,000 | 11,153,780 | |
e,f | Macquarie Bank Ltd., 3.624% due 6/3/2030 | 2,800,000 | 2,490,656 |
d,e,f | NBK SPC Ltd., 1.625% (SOFR + 1.05%) due 9/15/2027 | 5,177,000 | 4,758,854 |
Santander Holdings USA, Inc., | |||
3.45% due 6/2/2025 | 1,185,000 | 1,159,131 | |
d | 6.124% (SOFR + 1.23%) due 5/31/2027 | 5,000,000 | 5,022,600 |
d | 6.174% (SOFR + 2.50%) due 1/9/2030 | 11,370,000 | 11,467,327 |
d | 7.66% (SOFR + 3.28%) due 11/9/2031 | 12,000,000 | 12,998,040 |
e,f | Sumitomo Mitsui Trust Bank Ltd., 5.65% due 3/9/2026 | 5,800,000 | 5,830,624 |
Synchrony Bank, 5.40% due 8/22/2025 | 6,660,000 | 6,609,384 | |
U.S. Bancorp, | |||
d | 4.653% (SOFR + 1.23%) due 2/1/2029 | 7,808,000 | 7,644,188 |
d | 5.775% (SOFR + 2.02%) due 6/12/2029 | 6,950,000 | 7,056,127 |
Wells Fargo & Co., | |||
d | 4.808% (SOFR + 1.98%) due 7/25/2028 | 3,350,000 | 3,301,392 |
d | 5.574% (SOFR + 1.74%) due 7/25/2029 | 10,000,000 | 10,093,100 |
136,354,553 | |||
Capital Goods — 1.5% | |||
Aerospace & Defense — 0.7% | |||
e | BWX Technologies, Inc.,4.125% due 6/30/2028 - 4/15/2029 | 16,461,000 | 15,225,378 |
e | L3Harris Technologies, Inc., due 8/23/2024 | 20,000,000 | 19,826,278 |
TransDigm, Inc., | |||
e | 6.375% due 3/1/2029 | 14,860,000 | 14,951,983 |
e | 6.75% due 8/15/2028 | 11,165,000 | 11,312,825 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Strategic Income Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Construction & Engineering — 0.3% | |||
e,f,h | Aeropuertos Dominicanos Siglo XXI SA, 7.00% due 6/30/2034 | $ 5,000,000 | $ 5,047,350 |
e,f | IHS Netherlands Holdco BV, 8.00% due 9/18/2027 | 18,475,000 | 17,902,090 |
Machinery — 0.3% | |||
e,f | ATS Corp., 4.125% due 12/15/2028 | 9,620,000 | 8,777,865 |
e | Esab Corp., 6.25% due 4/15/2029 | 970,000 | 976,208 |
Flowserve Corp., 3.50% due 10/1/2030 | 3,431,000 | 3,049,953 | |
nVent Finance SARL, | |||
f | 2.75% due 11/15/2031 | 4,097,000 | 3,375,478 |
f | 4.55% due 4/15/2028 | 3,000,000 | 2,916,000 |
Regal Rexnord Corp., | |||
6.05% due 2/15/2026 | 4,350,000 | 4,369,140 | |
6.30% due 2/15/2030 | 6,000,000 | 6,125,640 | |
Trading Companies & Distributors — 0.2% | |||
LKQ Corp., 6.25% due 6/15/2033 | 5,840,000 | 6,002,352 | |
e | Windsor Holdings III LLC, 8.50% due 6/15/2030 | 7,470,000 | 7,803,760 |
127,662,300 | |||
Commercial & Professional Services — 2.0% | |||
Commercial Services & Supplies — 1.6% | |||
e | ACCO Brands Corp., 4.25% due 3/15/2029 | 16,611,000 | 14,857,875 |
Avery Dennison Corp., 5.75% due 3/15/2033 | 16,449,000 | 16,833,907 | |
f | Cimpress plc, 7.00% due 6/15/2026 | 12,141,000 | 12,120,239 |
e | Clean Harbors, Inc., 6.375% due 2/1/2031 | 1,000,000 | 1,002,290 |
CoreCivic, Inc., 8.25% due 4/15/2029 | 12,869,000 | 13,300,755 | |
Element Fleet Management Corp., | |||
e,f | 5.643% due 3/13/2027 | 5,400,000 | 5,412,258 |
e,f | 6.271% due 6/26/2026 | 17,735,000 | 17,926,006 |
e,f | 6.319% due 12/4/2028 | 3,422,000 | 3,537,664 |
Equifax, Inc., | |||
2.35% due 9/15/2031 | 9,394,000 | 7,708,904 | |
5.10% due 6/1/2028 | 4,667,000 | 4,647,399 | |
e | GEO Group, Inc., 8.625% due 4/15/2029 | 8,975,000 | 9,197,041 |
Quanta Services, Inc., 0.95% due 10/1/2024 | 13,381,000 | 13,212,533 | |
e | UL Solutions, Inc., 6.50% due 10/20/2028 | 16,950,000 | 17,637,661 |
e | VT Topco, Inc., 8.50% due 8/15/2030 | 1,450,000 | 1,522,341 |
Professional Services — 0.4% | |||
Gartner, Inc., | |||
e | 3.625% due 6/15/2029 | 7,155,000 | 6,550,546 |
e | 4.50% due 7/1/2028 | 3,749,000 | 3,613,249 |
e | Korn Ferry, 4.625% due 12/15/2027 | 17,229,000 | 16,402,352 |
Verisk Analytics, Inc., 5.75% due 4/1/2033 | 3,540,000 | 3,641,173 | |
169,124,193 | |||
Consumer Discretionary Distribution & Retail — 0.2% | |||
Broadline Retail — 0.2% | |||
MercadoLibre, Inc., | |||
2.375% due 1/14/2026 | 6,460,000 | 6,121,496 | |
3.125% due 1/14/2031 | 9,965,000 | 8,423,414 | |
14,544,910 | |||
Consumer Durables & Apparel — 0.3% | |||
Household Durables — 0.2% | |||
e | CD&R Smokey Buyer, Inc., 6.75% due 7/15/2025 | 13,833,000 | 13,750,002 |
Leisure Products — 0.1% | |||
Polaris, Inc., 6.95% due 3/15/2029 | 9,875,000 | 10,349,395 | |
24,099,397 | |||
Consumer Services — 0.8% | |||
Hotels, Restaurants & Leisure — 0.8% | |||
Marriott International, Inc., Series GG, 3.50% due 10/15/2032 | 8,825,000 | 7,660,365 | |
e | Nathan’s Famous, Inc., 6.625% due 11/1/2025 | 14,453,000 | 14,446,785 |
e | Papa John’s International, Inc., 3.875% due 9/15/2029 | 12,568,000 | 11,134,620 |
e | TKC Holdings, Inc., 6.875% due 5/15/2028 | 8,650,000 | 8,395,863 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Strategic Income Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Warnermedia Holdings, Inc., 6.412% due 3/15/2026 | $ 13,000,000 | $ 12,997,140 | |
e | WMG Acquisition Corp. (EUR), 2.25% due 8/15/2031 | 19,018,000 | 17,719,582 |
72,354,355 | |||
Consumer Staples Distribution & Retail — 0.6% | |||
Consumer Staples Distribution & Retail — 0.6% | |||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, | |||
e | 5.875% due 2/15/2028 | 13,948,000 | 13,781,600 |
e | 6.50% due 2/15/2028 | 4,725,000 | 4,748,011 |
e | KeHE Distributors LLC/KeHE Finance Corp./NextWave Distribution, Inc., 9.00% due 2/15/2029 | 20,667,000 | 21,185,328 |
e | U.S. Foods, Inc., 4.75% due 2/15/2029 | 12,000,000 | 11,383,440 |
51,098,379 | |||
Energy — 2.8% | |||
Energy Equipment & Services — 0.1% | |||
e,f | Empresa Generadora de Electricidad Haina SA, 5.625% due 11/8/2028 | 10,800,000 | 9,911,808 |
Oil, Gas & Consumable Fuels — 2.7% | |||
e | Chesapeake Energy Corp., 5.50% due 2/1/2026 | 8,550,000 | 8,468,348 |
e | CITGO Petroleum Corp., 7.00% due 6/15/2025 | 12,200,000 | 12,200,366 |
e | Colorado Interstate Gas Co. LLC/Colorado Interstate Issuing Corp., 4.15% due 8/15/2026 | 725,000 | 704,251 |
e | Columbia Pipelines Operating Co. LLC, 5.927% due 8/15/2030 | 11,960,000 | 12,213,432 |
e | Delek Logistics Partners LP/Delek Logistics Finance Corp., 8.625% due 3/15/2029 | 6,410,000 | 6,602,492 |
Ecopetrol SA, | |||
f | 6.875% due 4/29/2030 | 4,860,000 | 4,672,793 |
f | 8.875% due 1/13/2033 | 10,588,000 | 10,945,874 |
e | El Paso Natural Gas Co. LLC, 3.50% due 2/15/2032 | 1,989,000 | 1,688,422 |
Energean Israel Finance Ltd., | |||
f | 5.375% due 3/30/2028 | 6,500,000 | 5,735,470 |
f | 8.50% due 9/30/2033 | 13,060,000 | 12,328,248 |
Energy Transfer LP, | |||
6.05% due 12/1/2026 | 14,520,000 | 14,714,858 | |
d | 8.606% (TSFR3M + 3.28%) due 11/1/2066 | 1,200,000 | 1,176,408 |
e | Florida Gas Transmission Co. LLC, 2.30% due 10/1/2031 | 2,101,000 | 1,703,113 |
Galaxy Pipeline Assets Bidco Ltd., | |||
e,f | 1.75% due 9/30/2027 | 5,780,360 | 5,424,117 |
e,f | 2.16% due 3/31/2034 | 3,533,344 | 3,028,005 |
e,f | 2.625% due 3/31/2036 | 6,630,000 | 5,398,013 |
b,e,f,i | Gazprom PJSC via Gaz Finance plc, 3.50% due 7/14/2031 | 16,000,000 | 8,452,160 |
e | Gray Oak Pipeline LLC, 3.45% due 10/15/2027 | 6,730,000 | 6,326,133 |
Gulfstream Natural Gas System LLC, | |||
e | 4.60% due 9/15/2025 | 5,000,000 | 4,927,950 |
e | 6.19% due 11/1/2025 | 3,584,000 | 3,595,576 |
Kinder Morgan Energy Partners LP, 5.80% due 3/15/2035 | 4,450,000 | 4,473,585 | |
e,f | Medco Maple Tree Pte. Ltd., 8.96% due 4/27/2029 | 13,000,000 | 13,585,910 |
e | Midwest Connector Capital Co. LLC, 4.625% due 4/1/2029 | 5,487,000 | 5,326,944 |
MPLX LP, 4.95% due 9/1/2032 | 2,790,000 | 2,668,607 | |
NuStar Logistics LP, 6.00% due 6/1/2026 | 4,000,000 | 3,992,520 | |
e,f | Parkland Corp., 5.875% due 7/15/2027 | 5,456,000 | 5,389,873 |
Petroleos Mexicanos, | |||
f | 5.95% due 1/28/2031 | 8,312,000 | 6,694,152 |
f | 6.84% due 1/23/2030 | 10,950,000 | 9,610,158 |
e,f | Raizen Fuels Finance SA, 6.45% due 3/5/2034 | 4,800,000 | 4,872,672 |
d,e | Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 10.00% due 10/15/2026 | 848,000 | 871,905 |
c | Summit Midstream Partners LP, Series A, 13.031% due 7/29/2024 | 2,114,000 | 2,243,652 |
Sunoco LP, | |||
e | 7.00% due 5/1/2029 | 2,083,000 | 2,135,587 |
e | 7.25% due 5/1/2032 | 7,893,000 | 8,160,336 |
Sunoco LP/Sunoco Finance Corp., | |||
5.875% due 3/15/2028 | 12,530,000 | 12,476,372 | |
e | 7.00% due 9/15/2028 | 2,387,000 | 2,447,105 |
Tennessee Gas Pipeline Co. LLC, 7.00% due 3/15/2027 | 2,251,000 | 2,342,256 | |
e,f | TMS Issuer SARL, 5.78% due 8/23/2032 | 10,700,000 | 10,874,196 |
238,383,667 | |||
Equity Real Estate Investment Trusts (REITs) — 1.8% |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Strategic Income Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Diversified REITs — 1.5% | |||
American Tower Corp., | |||
1.875% due 10/15/2030 | $ 6,000,000 | $ 4,883,760 | |
5.80% due 11/15/2028 | 5,000,000 | 5,099,500 | |
e | American Tower Trust #1, 3.652% due 3/15/2048 | 14,250,000 | 13,392,682 |
Crown Castle, Inc., | |||
2.90% due 3/15/2027 | 2,750,000 | 2,581,315 | |
5.00% due 1/11/2028 | 7,100,000 | 7,013,238 | |
Digital Realty Trust LP, 4.45% due 7/15/2028 | 4,800,000 | 4,652,256 | |
Extra Space Storage LP, 5.70% due 4/1/2028 | 3,257,000 | 3,290,384 | |
e | Iron Mountain Information Management Services, Inc., 5.00% due 7/15/2032 | 6,085,000 | 5,561,994 |
Iron Mountain, Inc., | |||
e | 4.875% due 9/15/2029 | 2,000,000 | 1,882,980 |
e | 7.00% due 2/15/2029 | 7,985,000 | 8,132,164 |
Realty Income Corp., 4.70% due 12/15/2028 | 4,503,000 | 4,419,469 | |
SBA Tower Trust, | |||
e | 1.631% due 5/15/2051 | 13,500,000 | 12,261,947 |
e | 1.84% due 4/15/2027 | 3,400,000 | 3,058,045 |
e | 1.884% due 7/15/2050 | 2,420,000 | 2,275,865 |
e | 6.599% due 11/15/2052 | 15,000,000 | 15,308,536 |
Sun Communities Operating LP, | |||
2.70% due 7/15/2031 | 9,377,000 | 7,744,746 | |
5.50% due 1/15/2029 | 5,100,000 | 5,100,561 | |
e,f | Trust Fibra Uno, 5.25% due 1/30/2026 | 16,342,000 | 15,922,011 |
Vornado Realty LP, | |||
2.15% due 6/1/2026 | 9,336,500 | 8,625,619 | |
3.40% due 6/1/2031 | 957,000 | 759,092 | |
Retail REITs — 0.3% | |||
Brixmor Operating Partnership LP, 3.85% due 2/1/2025 | 4,362,000 | 4,313,756 | |
Retail Opportunity Investments Partnership LP, 6.75% due 10/15/2028 | 20,016,000 | 20,717,761 | |
156,997,681 | |||
Financial Services — 4.5% | |||
Capital Markets — 1.8% | |||
Ares Capital Corp., 3.25% due 7/15/2025 | 8,227,000 | 7,999,935 | |
e,f | B3 SA - Brasil Bolsa Balcao, 4.125% due 9/20/2031 | 14,877,000 | 13,004,729 |
Blue Owl Capital Corp. III, 3.125% due 4/13/2027 | 6,070,000 | 5,547,980 | |
Blue Owl Credit Income Corp., | |||
3.125% due 9/23/2026 | 2,176,000 | 2,017,718 | |
7.75% due 9/16/2027 | 1,350,000 | 1,387,152 | |
Blue Owl Technology Finance Corp., | |||
e | 3.75% due 6/17/2026 | 4,232,000 | 3,946,086 |
e | 4.75% due 12/15/2025 | 27,846,000 | 26,946,296 |
e | Burford Capital Global Finance LLC, 9.25% due 7/1/2031 | 18,500,000 | 19,474,395 |
d | Citigroup Global Markets Holdings, Inc., 6.40% due 1/29/2035 | 4,108,000 | 2,754,599 |
Compass Group Diversified Holdings LLC, | |||
e | 5.00% due 1/15/2032 | 800,000 | 726,000 |
e | 5.25% due 4/15/2029 | 9,633,000 | 9,153,565 |
e,f | FORESEA Holding SA, 7.50% due 6/15/2030 | 198,293 | 184,428 |
e | GTCR W Dutch Finance Sub BV (GBP), 8.50% due 1/15/2031 | 150,000 | 203,216 |
e | GTP Acquisition Partners I LLC, Series 2015-2 Class A, 3.482% due 6/15/2050 | 2,000,000 | 1,957,180 |
Hercules Capital, Inc., | |||
2.625% due 9/16/2026 | 9,316,000 | 8,534,015 | |
3.375% due 1/20/2027 | 4,157,000 | 3,851,585 | |
LPL Holdings, Inc., | |||
e | 4.00% due 3/15/2029 | 16,905,000 | 15,788,932 |
e | 4.625% due 11/15/2027 | 3,515,000 | 3,402,661 |
e,f | LSEGA Financing plc, 2.00% due 4/6/2028 | 2,065,000 | 1,851,293 |
Main Street Capital Corp., | |||
3.00% due 7/14/2026 | 2,258,000 | 2,115,069 | |
6.50% due 6/4/2027 | 8,514,000 | 8,519,875 | |
Nasdaq, Inc., 5.55% due 2/15/2034 | 10,156,000 | 10,174,890 | |
e | Oaktree Strategic Credit Fund, 8.40% due 11/14/2028 | 6,938,000 | 7,326,181 |
Sixth Street Specialty Lending, Inc., 3.875% due 11/1/2024 | 4,054,000 | 4,018,122 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Strategic Income Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Consumer Finance — 0.2% | |||
e | FirstCash, Inc., 5.625% due 1/1/2030 | $ 17,215,000 | $ 16,301,572 |
Financial Services — 2.4% | |||
Antares Holdings LP, | |||
e | 2.75% due 1/15/2027 | 1,630,000 | 1,479,551 |
e | 3.75% due 7/15/2027 | 6,480,000 | 5,926,090 |
e | 3.95% due 7/15/2026 | 9,451,000 | 8,933,936 |
e | 7.95% due 8/11/2028 | 5,000,000 | 5,181,850 |
e | 8.50% due 5/18/2025 | 3,210,000 | 3,262,355 |
f | Banco Santander SA, 5.147% due 8/18/2025 | 9,500,000 | 9,429,225 |
Bank of America Corp., | |||
d | 1.319% (SOFR + 1.15%) due 6/19/2026 | 1,275,000 | 1,222,355 |
d | 4.948% (SOFR + 2.04%) due 7/22/2028 | 4,900,000 | 4,859,869 |
BNP Paribas SA, | |||
d,e,f | 2.591% (SOFR + 1.23%) due 1/20/2028 | 1,350,000 | 1,254,299 |
d,e,f | 2.819% (TSFR3M + 1.37%) due 11/19/2025 | 5,000,000 | 4,939,250 |
d | Capital One Financial Corp., 7.149% (SOFR + 2.44%) due 10/29/2027 | 3,737,000 | 3,860,246 |
d | Charles Schwab Corp., 6.421% (SOFRINDX + 1.05%) due 3/3/2027 | 20,000,000 | 20,162,200 |
Citigroup, Inc., | |||
d | 1.122% (SOFR + 0.77%) due 1/28/2027 | 1,070,000 | 998,310 |
d | 1.462% (SOFR + 0.77%) due 6/9/2027 | 5,881,000 | 5,451,922 |
d,f | Deutsche Bank AG, 2.552% (SOFR + 1.32%) due 1/7/2028 | 4,760,000 | 4,399,716 |
Goldman Sachs Group, Inc., | |||
d | 5.855% (SOFR + 0.50%) due 7/16/2024 | 5,092,000 | 5,083,802 |
d | 5.871% (SOFR + 0.50%) due 9/10/2024 | 3,687,000 | 3,687,590 |
d | 6.191% (SOFR + 0.82%) due 9/10/2027 | 3,687,000 | 3,683,055 |
HSBC Holdings plc, | |||
d,f | 1.645% (SOFR + 1.54%) due 4/18/2026 | 3,750,000 | 3,629,287 |
d,f | 4.041% (TSFR3M + 1.81%) due 3/13/2028 | 3,500,000 | 3,372,110 |
d,f | 4.18% (SOFR + 1.51%) due 12/9/2025 | 2,600,000 | 2,580,032 |
d,f | 4.583% (TSFR3M + 1.80%) due 6/19/2029 | 3,000,000 | 2,899,650 |
d,f | 4.755% (SOFR + 2.11%) due 6/9/2028 | 1,370,000 | 1,347,573 |
JPMorgan Chase & Co., | |||
d | 1.04% (TSFR3M + 0.70%) due 2/4/2027 | 1,896,000 | 1,766,636 |
d | 3.54% (TSFR3M + 1.64%) due 5/1/2028 | 6,314,000 | 6,025,387 |
d | 5.04% (SOFR + 1.19%) due 1/23/2028 | 2,925,000 | 2,909,995 |
d | 6.289% (SOFR + 0.92%) due 2/24/2026 | 7,590,000 | 7,613,074 |
Mitsubishi UFJ Financial Group, Inc., | |||
d,f | 0.962% (H15T1Y + 0.45%) due 10/11/2025 | 9,714,000 | 9,578,295 |
d,f | 2.309% (H15T1Y + 0.95%) due 7/20/2032 | 7,000,000 | 5,755,330 |
d,f | 5.017% (H15T1Y + 1.95%) due 7/20/2028 | 1,750,000 | 1,738,118 |
d,f | 5.475% (H15T1Y + 1.53%) due 2/22/2031 | 2,000,000 | 2,016,820 |
d | Morgan Stanley, 4.679% (SOFR + 1.67%) due 7/17/2026 | 1,560,000 | 1,544,759 |
d,f | NatWest Group plc, 1.642% (H15T1Y + 0.90%) due 6/14/2027 | 2,000,000 | 1,851,880 |
Societe Generale SA, | |||
d,e,f | 1.792% (H15T1Y + 1.00%) due 6/9/2027 | 1,667,000 | 1,536,907 |
e,f | 2.625% due 1/22/2025 | 3,000,000 | 2,941,050 |
d,e,f | 5.634% (H15T1Y + 1.75%) due 1/19/2030 | 2,000,000 | 1,971,080 |
d,e,f | 6.408% (SOFR + 1.05%) due 1/21/2026 | 2,600,000 | 2,601,430 |
f | Sumitomo Mitsui Financial Group, Inc., 5.852% due 7/13/2030 | 14,550,000 | 14,927,281 |
d | Truist Financial Corp., 7.161% (SOFR + 2.45%) due 10/30/2029 | 6,250,000 | 6,636,187 |
UBS Group AG, | |||
d,e,f | 1.494% (H15T1Y + 0.85%) due 8/10/2027 | 2,679,000 | 2,457,500 |
d,e,f | 2.593% (SOFR + 1.56%) due 9/11/2025 | 3,467,000 | 3,444,534 |
d,e,f | 4.49% (H15T1Y + 1.60%) due 8/5/2025 | 1,733,000 | 1,730,297 |
d,e,f | 6.373% (SOFR + 3.34%) due 7/15/2026 | 3,600,000 | 3,618,216 |
e | United Wholesale Mortgage LLC, 5.50% due 11/15/2025 | 12,301,000 | 12,227,809 |
Western Union Co., 2.85% due 1/10/2025 | 2,338,000 | 2,298,535 | |
Mortgage Real Estate Investment Trusts — 0.1% | |||
Prologis Targeted U.S. Logistics Fund LP, | |||
e | 5.25% due 4/1/2029 | 5,530,000 | 5,532,544 |
e | 5.50% due 4/1/2034 | 5,470,000 | 5,479,408 |
393,034,819 | |||
Food, Beverage & Tobacco — 1.7% |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Strategic Income Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Beverages — 0.6% | |||
e,f | Becle SAB de CV, 2.50% due 10/14/2031 | $ 29,514,000 | $ 23,320,487 |
e,f | Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, 5.25% due 4/27/2029 | 24,655,000 | 22,893,893 |
Constellation Brands, Inc., 5.00% due 2/2/2026 | 2,763,000 | 2,755,954 | |
Huntington Ingalls Industries, Inc., | |||
2.043% due 8/16/2028 | 2,960,000 | 2,605,540 | |
3.483% due 12/1/2027 | 1,745,000 | 1,642,691 | |
Food Products — 0.4% | |||
e | Darling Global Finance BV (EUR), 3.625% due 5/15/2026 | 9,700,000 | 10,273,637 |
Darling Ingredients, Inc., | |||
e | 5.25% due 4/15/2027 | 3,700,000 | 3,616,306 |
e | 6.00% due 6/15/2030 | 1,000,000 | 982,930 |
Post Holdings, Inc., | |||
e | 4.625% due 4/15/2030 | 8,860,000 | 8,141,011 |
e | 5.50% due 12/15/2029 | 8,247,000 | 7,950,438 |
e | 6.25% due 2/15/2032 | 2,950,000 | 2,957,523 |
Tobacco — 0.7% | |||
Altria Group, Inc., 2.45% due 2/4/2032 | 9,890,000 | 7,992,900 | |
BAT Capital Corp., 7.75% due 10/19/2032 | 4,862,000 | 5,464,451 | |
Imperial Brands Finance plc, | |||
e,f,h | 5.50% due 2/1/2030 | 22,500,000 | 22,286,250 |
e,f | 6.125% due 7/27/2027 | 5,000,000 | 5,083,750 |
e | Vector Group Ltd., 10.50% due 11/1/2026 | 20,927,000 | 21,144,850 |
149,112,611 | |||
Health Care Equipment & Services — 1.5% | |||
Health Care Equipment & Supplies — 0.2% | |||
e | Hologic, Inc., 3.25% due 2/15/2029 | 9,957,000 | 8,934,615 |
e | Medline Borrower LP/Medline Co.-Issuer, Inc., 6.25% due 4/1/2029 | 4,950,000 | 5,005,242 |
e,f | Olympus Corp., 2.143% due 12/8/2026 | 5,510,000 | 5,098,128 |
Health Care Providers & Services — 1.3% | |||
Centene Corp., | |||
2.625% due 8/1/2031 | 3,950,000 | 3,232,246 | |
3.00% due 10/15/2030 | 6,962,000 | 5,955,643 | |
4.625% due 12/15/2029 | 5,775,000 | 5,458,646 | |
Charles River Laboratories International, Inc., | |||
e | 3.75% due 3/15/2029 | 4,567,000 | 4,174,466 |
e | 4.25% due 5/1/2028 | 4,480,000 | 4,232,166 |
e | Highmark, Inc., 1.45% due 5/10/2026 | 10,580,000 | 9,744,497 |
Humana, Inc., | |||
5.375% due 4/15/2031 | 6,569,000 | 6,532,936 | |
5.70% due 3/13/2026 | 23,835,000 | 23,804,014 | |
IQVIA, Inc., 5.70% due 5/15/2028 | 5,000,000 | 5,047,700 | |
IQVIA, Inc. (EUR), | |||
e | 2.25% due 3/15/2029 | 9,460,000 | 9,168,728 |
e | 2.875% due 6/15/2028 | 5,000,000 | 5,047,122 |
Tenet Healthcare Corp., | |||
6.125% due 6/15/2030 | 4,500,000 | 4,472,055 | |
6.75% due 5/15/2031 | 16,224,000 | 16,474,499 | |
Universal Health Services, Inc., | |||
1.65% due 9/1/2026 | 6,179,000 | 5,683,630 | |
2.65% due 10/15/2030 | 4,646,000 | 3,960,622 | |
132,026,955 | |||
Household & Personal Products — 0.6% | |||
Household Products — 0.5% | |||
e | Energizer Holdings, Inc., 4.75% due 6/15/2028 | 7,268,000 | 6,806,409 |
e | Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc., 5.00% due 12/31/2026 | 4,585,000 | 4,699,625 |
Prestige Brands, Inc., | |||
e | 3.75% due 4/1/2031 | 6,386,000 | 5,562,206 |
e | 5.125% due 1/15/2028 | 12,321,000 | 11,962,459 |
Scotts Miracle-Gro Co., | |||
4.375% due 2/1/2032 | 13,166,000 | 11,337,111 | |
5.25% due 12/15/2026 | 2,000,000 | 1,967,460 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Strategic Income Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Personal Care Products — 0.1% | |||
e | Edgewell Personal Care Co., 5.50% due 6/1/2028 | $ 9,892,000 | $ 9,663,000 |
51,998,270 | |||
Industrials — 0.2% | |||
Transportation Infrastructure — 0.2% | |||
Penske Truck Leasing Co. LP/PTL Finance Corp., | |||
e | 5.35% due 3/30/2029 | 3,060,000 | 3,059,847 |
e | 5.55% due 5/1/2028 | 9,940,000 | 10,006,399 |
e | 5.75% due 5/24/2026 | 2,480,000 | 2,487,440 |
e | 6.20% due 6/15/2030 | 2,400,000 | 2,497,176 |
18,050,862 | |||
Insurance — 4.8% | |||
Insurance — 4.8% | |||
e | American National Group LLC, 6.144% due 6/13/2032 | 12,684,000 | 12,155,077 |
Aon North America, Inc., 5.45% due 3/1/2034 | 11,280,000 | 11,229,804 | |
e,f | Ascot Group Ltd., 4.25% due 12/15/2030 | 6,889,000 | 5,734,886 |
Brighthouse Financial Global Funding, | |||
e | 1.55% due 5/24/2026 | 2,089,000 | 1,931,803 |
e | 2.00% due 6/28/2028 | 4,823,000 | 4,197,312 |
e | 5.55% due 4/9/2027 | 16,438,000 | 16,380,631 |
Brighthouse Financial, Inc., 5.625% due 5/15/2030 | 2,032,000 | 2,031,187 | |
Brown & Brown, Inc., 5.65% due 6/11/2034 | 9,677,000 | 9,618,551 | |
CNA Financial Corp., 5.125% due 2/15/2034 | 6,785,000 | 6,572,087 | |
CNO Financial Group, Inc., 6.45% due 6/15/2034 | 11,385,000 | 11,378,397 | |
e | Corebridge Global Funding, 5.75% due 7/2/2026 | 8,940,000 | 8,972,095 |
e,f | DaVinciRe Holdings Ltd., 4.75% due 5/1/2025 | 7,678,000 | 7,599,224 |
d | Enstar Finance LLC, 5.75% (5-Yr. CMT + 5.470%) due 9/1/2040 | 20,000,000 | 19,680,200 |
f | Enstar Group Ltd., 3.10% due 9/1/2031 | 12,701,000 | 10,491,534 |
Equitable Financial Life Global Funding, | |||
e | 1.00% due 1/9/2026 | 3,000,000 | 2,802,270 |
e | 1.40% due 8/27/2027 | 4,620,000 | 4,091,287 |
e | 1.80% due 3/8/2028 | 5,919,000 | 5,234,527 |
F&G Annuities & Life, Inc., | |||
6.50% due 6/4/2029 | 4,650,000 | 4,636,887 | |
7.40% due 1/13/2028 | 11,590,000 | 11,964,589 | |
F&G Global Funding, | |||
e | 0.90% due 9/20/2024 | 1,500,000 | 1,482,600 |
e | 1.75% due 6/30/2026 | 7,973,000 | 7,333,486 |
e | 2.00% due 9/20/2028 | 8,458,000 | 7,239,371 |
e | 2.30% due 4/11/2027 | 4,200,000 | 3,802,596 |
Fairfax Financial Holdings Ltd., | |||
f | 4.625% due 4/29/2030 | 4,673,000 | 4,454,491 |
f | 5.625% due 8/16/2032 | 3,249,000 | 3,210,109 |
e,f | Fidelis Insurance Holdings Ltd., 4.875% due 6/30/2030 | 4,409,000 | 4,232,243 |
Fidelity National Financial, Inc., | |||
2.45% due 3/15/2031 | 3,857,000 | 3,146,309 | |
4.50% due 8/15/2028 | 1,280,000 | 1,240,640 | |
First American Financial Corp., | |||
2.40% due 8/15/2031 | 2,261,000 | 1,803,554 | |
4.00% due 5/15/2030 | 1,457,000 | 1,310,834 | |
e | Five Corners Funding Trust III, 5.791% due 2/15/2033 | 7,260,000 | 7,388,357 |
GA Global Funding Trust, | |||
e | 1.625% due 1/15/2026 | 610,000 | 573,119 |
e | 2.25% due 1/6/2027 | 2,971,000 | 2,745,501 |
e | 3.85% due 4/11/2025 | 5,860,000 | 5,766,416 |
d,e | 5.872% (SOFR + 0.50%) due 9/13/2024 | 5,322,000 | 5,320,829 |
e | Global Atlantic Fin Co., 4.40% due 10/15/2029 | 7,275,000 | 6,771,788 |
Globe Life, Inc., 4.80% due 6/15/2032 | 3,038,000 | 2,797,968 | |
e | Guardian Life Global Funding, 5.55% due 10/28/2027 | 4,545,000 | 4,604,676 |
Horace Mann Educators Corp., 7.25% due 9/15/2028 | 6,000,000 | 6,363,120 | |
e,f | Intact Financial Corp., 5.459% due 9/22/2032 | 5,922,000 | 5,886,053 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Strategic Income Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Jackson National Life Global Funding, | |||
e | 5.25% due 4/12/2028 | $ 6,697,000 | $ 6,573,976 |
e | 5.50% due 1/9/2026 | 17,000,000 | 16,925,200 |
e,h | 5.55% due 7/2/2027 | 5,350,000 | 5,334,539 |
Lincoln National Corp., 5.852% due 3/15/2034 | 5,000,000 | 4,988,850 | |
Mercury General Corp., 4.40% due 3/15/2027 | 9,408,000 | 9,076,556 | |
d,e | Nationwide Mutual Insurance Co., 7.891% (SOFR + 2.55%) due 12/15/2024 | 6,178,000 | 6,192,024 |
e | New York Life Global Funding, 4.55% due 1/28/2033 | 4,400,000 | 4,181,232 |
d,e | Pacific Life Global Funding II, 5.991% (SOFR + 0.62%) due 6/4/2026 | 4,533,000 | 4,532,184 |
f | Pentair Finance SARL, 5.90% due 7/15/2032 | 9,193,000 | 9,381,732 |
e | Principal Life Global Funding II, 5.50% due 6/28/2028 | 6,400,000 | 6,411,136 |
e | Protective Life Corp., 3.40% due 1/15/2030 | 4,902,000 | 4,379,349 |
e | Protective Life Global Funding, 5.467% due 12/8/2028 | 4,850,000 | 4,901,798 |
Reinsurance Group of America, Inc., 6.00% due 9/15/2033 | 7,001,000 | 7,128,838 | |
Reliance Standard Life Global Funding II, | |||
e | 1.512% due 9/28/2026 | 4,000,000 | 3,620,080 |
e | 5.243% due 2/2/2026 | 17,289,000 | 17,106,601 |
f | RenaissanceRe Holdings Ltd., 5.75% due 6/5/2033 | 9,395,000 | 9,404,113 |
RGA Global Funding, | |||
e | 2.70% due 1/18/2029 | 9,687,000 | 8,700,282 |
e | 5.448% due 5/24/2029 | 4,000,000 | 4,009,160 |
e | 5.50% due 1/11/2031 | 5,458,000 | 5,449,213 |
Sammons Financial Group, Inc., | |||
e | 4.45% due 5/12/2027 | 2,000,000 | 1,933,580 |
e | 6.875% due 4/15/2034 | 6,610,000 | 6,773,928 |
Stewart Information Services Corp., 3.60% due 11/15/2031 | 16,620,000 | 13,746,236 | |
Willis North America, Inc., | |||
2.95% due 9/15/2029 | 3,000,000 | 2,687,910 | |
5.35% due 5/15/2033 | 9,835,000 | 9,640,365 | |
417,255,290 | |||
Materials — 3.0% | |||
Chemicals — 0.7% | |||
FMC Corp., 5.15% due 5/18/2026 | 4,860,000 | 4,827,535 | |
International Flavors & Fragrances, Inc. (EUR), 1.80% due 9/25/2026 | 13,400,000 | 13,739,395 | |
NOVA Chemicals Corp., | |||
e,f | 5.25% due 6/1/2027 | 9,300,000 | 8,894,520 |
e,f | 9.00% due 2/15/2030 | 5,000,000 | 5,283,900 |
e,f | Nufarm Australia Ltd./Nufarm Americas, Inc., 5.00% due 1/27/2030 | 12,383,000 | 11,319,672 |
OCP SA, | |||
e,f | 3.75% due 6/23/2031 | 7,200,000 | 6,197,760 |
e,f | 4.50% due 10/22/2025 | 4,800,000 | 4,696,128 |
b,f,i | Phosagro OAO Via Phosagro Bond Funding DAC, 3.05% due 1/23/2025 | 933,000 | 772,533 |
e,f | SNF Group SACA, 3.125% due 3/15/2027 | 8,405,000 | 7,736,719 |
Containers & Packaging — 1.4% | |||
f | Amcor Group Finance plc, 5.45% due 5/23/2029 | 4,400,000 | 4,416,192 |
e,f | Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance plc, 3.25% due 9/1/2028 | 16,310,000 | 14,325,236 |
Ball Corp., | |||
2.875% due 8/15/2030 | 14,300,000 | 12,157,860 | |
3.125% due 9/15/2031 | 5,414,000 | 4,579,107 | |
6.00% due 6/15/2029 | 1,000,000 | 1,005,360 | |
e | Berry Global, Inc., 4.875% due 7/15/2026 | 8,222,000 | 8,071,455 |
e | Berry Global, Inc. (EUR), 1.00% due 1/15/2025 | 4,019,000 | 4,219,832 |
Graphic Packaging International LLC, | |||
e | 3.50% due 3/15/2028 - 3/1/2029 | 8,150,000 | 7,493,392 |
e | 6.375% due 7/15/2032 | 1,000,000 | 1,000,230 |
e | Matthews International Corp., Class C, 5.25% due 12/1/2025 | 15,091,000 | 14,756,734 |
e | OI European Group BV (EUR), 6.25% due 5/15/2028 | 3,000,000 | 3,319,390 |
Sealed Air Corp., | |||
e | 1.573% due 10/15/2026 | 13,352,000 | 12,148,451 |
e | 5.00% due 4/15/2029 | 8,460,000 | 8,061,111 |
e | 6.50% due 7/15/2032 | 4,000,000 | 3,981,160 |
e | Sealed Air Corp./Sealed Air Corp. U.S., 7.25% due 2/15/2031 | 500,000 | 515,540 |
e | Silgan Holdings, Inc., 1.40% due 4/1/2026 | 20,082,000 | 18,607,579 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Strategic Income Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Metals & Mining — 0.9% | |||
f | AngloGold Ashanti Holdings plc, 3.375% due 11/1/2028 | $ 15,715,000 | $ 14,098,712 |
e,f | Antofagasta plc, 2.375% due 10/14/2030 | 3,700,000 | 3,072,665 |
Cleveland-Cliffs, Inc., 7.00% due 3/15/2027 | 5,000,000 | 4,966,100 | |
e | Compass Minerals International, Inc., 6.75% due 12/1/2027 | 11,123,000 | 10,630,807 |
b,e,f,i | Metalloinvest Finance DAC, 3.375% due 10/22/2028 | 7,500,000 | 4,524,600 |
e,f | POSCO, 5.625% due 1/17/2026 | 4,650,000 | 4,656,882 |
Stillwater Mining Co., | |||
e | 4.00% due 11/16/2026 | 14,328,000 | 13,074,730 |
e | 4.50% due 11/16/2029 | 3,050,000 | 2,479,559 |
WE Soda Investments Holding plc, | |||
e,f | 9.375% due 2/14/2031 | 4,150,000 | 4,232,917 |
e,f | 9.50% due 10/6/2028 | 16,000,000 | 16,373,760 |
260,237,523 | |||
Media & Entertainment — 0.7% | |||
Media — 0.7% | |||
CCO Holdings LLC/CCO Holdings Capital Corp., | |||
e | 4.25% due 2/1/2031 - 1/15/2034 | 11,548,000 | 9,137,359 |
e | 4.75% due 3/1/2030 - 2/1/2032 | 9,273,000 | 7,989,386 |
e | Directv Financing LLC/Directv Financing Co.-Obligor, Inc., 5.875% due 8/15/2027 | 3,880,000 | 3,651,235 |
e | News Corp., 5.125% due 2/15/2032 | 4,980,000 | 4,724,576 |
e | Sirius XM Radio, Inc., 5.00% due 8/1/2027 | 21,775,000 | 20,835,626 |
e,f | Telenet Finance Luxembourg Notes SARL, 5.50% due 3/1/2028 | 14,200,000 | 13,465,292 |
59,803,474 | |||
Pharmaceuticals, Biotechnology & Life Sciences — 0.9% | |||
Biotechnology — 0.3% | |||
Amgen, Inc., | |||
5.25% due 3/2/2033 | 5,000,000 | 4,985,250 | |
5.507% due 3/2/2026 | 6,800,000 | 6,799,796 | |
Bio-Rad Laboratories, Inc., 3.30% due 3/15/2027 | 2,505,000 | 2,372,135 | |
Illumina, Inc., 5.80% due 12/12/2025 | 5,579,000 | 5,584,635 | |
f | Royalty Pharma plc, 1.75% due 9/2/2027 | 4,086,000 | 3,670,249 |
Life Sciences Tools & Services — 0.1% | |||
e | Avantor Funding, Inc. (EUR), 2.625% due 11/1/2025 | 11,000,000 | 11,515,395 |
Pharmaceuticals — 0.5% | |||
a,b,i | Atlas U.S. Royalty LLC Participation Rights, Zero coupon due 3/15/2027 | 5,450,000 | 545 |
e | Bayer U.S. Finance II LLC, 4.25% due 12/15/2025 | 2,500,000 | 2,446,375 |
Cigna Group, 5.685% due 3/15/2026 | 16,515,000 | 16,500,302 | |
e | PRA Health Sciences, Inc., 2.875% due 7/15/2026 | 5,402,000 | 5,128,281 |
e | Walgreens Boots Alliance, Inc., 6.523% due 7/5/2024 | 22,090,000 | 22,074,291 |
81,077,254 | |||
Real Estate Management & Development — 0.2% | |||
Real Estate Management & Development — 0.2% | |||
e | Cushman & Wakefield U.S. Borrower LLC, 6.75% due 5/15/2028 | 13,774,000 | 13,669,869 |
e | Greystar Real Estate Partners LLC, 7.75% due 9/1/2030 | 2,490,000 | 2,624,684 |
16,294,553 | |||
Semiconductors & Semiconductor Equipment — 1.0% | |||
Semiconductors & Semiconductor Equipment — 1.0% | |||
e | Broadcom, Inc., 3.187% due 11/15/2036 | 4,861,000 | 3,844,662 |
Microchip Technology, Inc., 4.25% due 9/1/2025 | 11,300,000 | 11,124,059 | |
Micron Technology, Inc., | |||
4.663% due 2/15/2030 | 1,186,000 | 1,148,712 | |
6.75% due 11/1/2029 | 9,820,000 | 10,441,999 | |
Qorvo, Inc., | |||
1.75% due 12/15/2024 | 8,500,000 | 8,333,230 | |
e | 3.375% due 4/1/2031 | 14,904,000 | 12,768,704 |
e,f | Renesas Electronics Corp., 1.543% due 11/26/2024 | 23,340,000 | 22,911,244 |
SK Hynix, Inc., | |||
e,f | 1.50% due 1/19/2026 | 4,400,000 | 4,132,964 |
e,f | 6.25% due 1/17/2026 | 6,800,000 | 6,861,336 |
Skyworks Solutions, Inc., 1.80% due 6/1/2026 | 1,160,000 | 1,078,499 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Strategic Income Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
82,645,409 | |||
Software & Services — 2.6% | |||
Information Technology Services — 1.0% | |||
Block Financial LLC, 2.50% due 7/15/2028 | $ 3,605,000 | $ 3,231,198 | |
e | Boost Newco Borrower LLC, 7.50% due 1/15/2031 | 8,000,000 | 8,343,120 |
Booz Allen Hamilton, Inc., 5.95% due 8/4/2033 | 7,440,000 | 7,642,070 | |
DXC Technology Co., 2.375% due 9/15/2028 | 11,657,000 | 10,162,806 | |
f | Genpact Luxembourg SARL, 3.375% due 12/1/2024 | 9,909,000 | 9,787,119 |
Genpact Luxembourg SARL/Genpact USA, Inc., | |||
f | 1.75% due 4/10/2026 | 1,626,000 | 1,516,473 |
f | 6.00% due 6/4/2029 | 4,424,000 | 4,474,257 |
Global Payments, Inc., | |||
1.20% due 3/1/2026 | 1,401,000 | 1,304,261 | |
1.50% due 11/15/2024 | 810,000 | 797,461 | |
5.30% due 8/15/2029 | 4,441,000 | 4,410,179 | |
e | Insight Enterprises, Inc., 6.625% due 5/15/2032 | 2,700,000 | 2,743,308 |
Kyndryl Holdings, Inc., | |||
2.05% due 10/15/2026 | 3,968,000 | 3,658,298 | |
2.70% due 10/15/2028 | 3,772,000 | 3,352,214 | |
e | Science Applications International Corp., 4.875% due 4/1/2028 | 25,550,000 | 24,379,554 |
e | Wipro IT Services LLC, 1.50% due 6/23/2026 | 3,953,000 | 3,669,728 |
Internet Software & Services — 0.6% | |||
e | Arches Buyer, Inc., 4.25% due 6/1/2028 | 19,319,000 | 17,237,764 |
e | Cogent Communications Group, Inc., 7.00% due 6/15/2027 | 9,567,000 | 9,478,505 |
eBay, Inc., 5.90% due 11/22/2025 | 3,650,000 | 3,669,199 | |
Prosus NV, | |||
e,f | 3.061% due 7/13/2031 | 656,000 | 542,466 |
e,f | 4.193% due 1/19/2032 | 11,494,000 | 10,120,927 |
Prosus NV (EUR), | |||
e | 1.288% due 7/13/2029 | 8,715,000 | 8,002,774 |
e | 2.031% due 8/3/2032 | 7,000,000 | 6,089,831 |
Software — 1.0% | |||
e,f | Constellation Software, Inc., 5.158% due 2/16/2029 | 9,218,000 | 9,216,986 |
e | Fair Isaac Corp., 4.00% due 6/15/2028 | 16,087,000 | 15,045,206 |
Fidelity National Information Services, Inc., 1.15% due 3/1/2026 | 2,000,000 | 1,864,700 | |
e | GoTo Group, Inc.,5.50% due 5/1/2028 | 5,292,209 | 3,002,791 |
e | Infor, Inc., 1.75% due 7/15/2025 | 2,250,000 | 2,155,748 |
MSCI, Inc., | |||
e | 3.875% due 2/15/2031 | 9,973,000 | 8,969,018 |
e | 4.00% due 11/15/2029 | 6,289,000 | 5,863,926 |
Open Text Corp., | |||
e,f | 3.875% due 2/15/2028 - 12/1/2029 | 20,088,000 | 18,373,508 |
e,f | 6.90% due 12/1/2027 | 9,150,000 | 9,442,434 |
e | SS&C Technologies, Inc., 6.50% due 6/1/2032 | 4,700,000 | 4,742,018 |
VMware LLC, 4.50% due 5/15/2025 | 4,040,000 | 4,000,691 | |
227,290,538 | |||
Technology Hardware & Equipment — 0.9% | |||
Electronic Equipment, Instruments & Components — 0.8% | |||
Avnet, Inc., 6.25% due 3/15/2028 | 14,700,000 | 15,071,910 | |
CDW LLC/CDW Finance Corp., | |||
3.25% due 2/15/2029 | 5,238,000 | 4,726,300 | |
4.25% due 4/1/2028 | 8,103,000 | 7,730,910 | |
Flex Ltd., | |||
f | 4.875% due 5/12/2030 | 4,671,000 | 4,515,596 |
f | 6.00% due 1/15/2028 | 3,886,000 | 3,936,712 |
e,f | Sensata Technologies BV, 5.875% due 9/1/2030 | 2,375,000 | 2,323,320 |
e | Sensata Technologies, Inc., 6.625% due 7/15/2032 | 800,000 | 805,624 |
TD SYNNEX Corp., 1.75% due 8/9/2026 | 10,068,000 | 9,291,959 | |
Trimble, Inc., 4.75% due 12/1/2024 | 6,525,000 | 6,492,244 | |
Vontier Corp., | |||
1.80% due 4/1/2026 | 4,453,000 | 4,164,802 | |
2.40% due 4/1/2028 | 11,254,000 | 9,976,446 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Strategic Income Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
e | WESCO Distribution, Inc., 6.375% due 3/15/2029 | $ 4,690,000 | $ 4,708,760 |
e | Zebra Technologies Corp., 6.50% due 6/1/2032 | 630,000 | 637,151 |
Technology Hardware, Storage & Peripherals — 0.1% | |||
Dell International LLC/EMC Corp., 4.90% due 10/1/2026 | 3,464,000 | 3,430,122 | |
e,f | Lenovo Group Ltd., 5.831% due 1/27/2028 | 3,885,000 | 3,922,218 |
81,734,074 | |||
Telecommunication Services — 0.7% | |||
Diversified Telecommunication Services — 0.4% | |||
AT&T, Inc., 5.539% due 2/20/2026 | 22,242,000 | 22,243,779 | |
e,f | Videotron Ltd., 5.125% due 4/15/2027 | 7,150,000 | 7,043,537 |
Virgin Media Secured Finance plc, | |||
e,f | 4.50% due 8/15/2030 | 1,500,000 | 1,272,131 |
e,f | 5.50% due 5/15/2029 | 1,800,000 | 1,644,696 |
Wireless Telecommunication Services — 0.3% | |||
e | Crown Castle Towers LLC, 4.241% due 7/15/2048 | 455,000 | 432,737 |
f,j | Digicel Intermediate Holdings Ltd./Digicel International Finance Ltd./Difl U.S., 12.00% due 5/25/2027 PIK | 4,890,050 | 4,834,010 |
T-Mobile USA, Inc., | |||
2.25% due 2/15/2026 - 11/15/2031 | 13,747,000 | 11,532,105 | |
5.375% due 4/15/2027 | 2,965,000 | 2,956,668 | |
e,f | Vmed O2 U.K. Financing I plc, 4.25% due 1/31/2031 | 7,818,000 | 6,500,902 |
58,460,565 | |||
Transportation — 0.2% | |||
Air Freight & Logistics — 0.2% | |||
Ryder System, Inc., | |||
5.25% due 6/1/2028 | 6,533,000 | 6,546,523 | |
5.65% due 3/1/2028 | 7,244,000 | 7,345,923 | |
Passenger Airlines — 0.0% | |||
American Airlines Pass-Through Trust, Series 2016-3 Class B, 3.75% due 4/15/2027 | 553,159 | 532,084 | |
e | British Airways Pass-Through Trust, Series 2020-1 Class A, 4.25% due 5/15/2034 | 902,265 | 843,527 |
15,268,057 | |||
Utilities — 5.2% | |||
Electric Utilities — 4.0% | |||
AEP Texas, Inc., | |||
5.40% due 6/1/2033 | 5,106,000 | 4,968,904 | |
Series I, 2.10% due 7/1/2030 | 2,612,000 | 2,174,333 | |
e,f | AES Espana BV, 5.70% due 5/4/2028 | 15,177,000 | 14,429,078 |
Allegion U.S. Holding Co., Inc., 5.411% due 7/1/2032 | 4,659,000 | 4,650,660 | |
Alliant Energy Finance LLC, | |||
e | 1.40% due 3/15/2026 | 1,500,000 | 1,385,835 |
e | 5.95% due 3/30/2029 | 3,415,000 | 3,492,486 |
American Electric Power Co., Inc., 5.699% due 8/15/2025 | 4,750,000 | 4,752,375 | |
Arizona Public Service Co., 5.70% due 8/15/2034 | 6,776,000 | 6,764,074 | |
Black Hills Corp., | |||
1.037% due 8/23/2024 | 8,226,000 | 8,167,678 | |
2.50% due 6/15/2030 | 1,000,000 | 842,410 | |
5.95% due 3/15/2028 | 5,387,000 | 5,504,652 | |
6.15% due 5/15/2034 | 6,135,000 | 6,256,289 | |
e | Boston Gas Co., 3.757% due 3/16/2032 | 6,140,000 | 5,355,799 |
Comision Federal de Electricidad, | |||
e,f | 3.348% due 2/9/2031 | 16,177,000 | 13,330,495 |
f | 5.00% due 9/29/2036 | 6,636,400 | 5,826,029 |
Dominion Energy, Inc., 5.375% due 11/15/2032 | 5,000,000 | 4,958,800 | |
DTE Energy Co., 4.875% due 6/1/2028 | 9,605,000 | 9,450,936 | |
e,f | Electricite de France SA, 5.65% due 4/22/2029 | 21,720,000 | 21,860,094 |
Enel Finance International NV, | |||
e,f | 1.875% due 7/12/2028 | 16,900,000 | 14,891,097 |
e,f | 2.25% due 7/12/2031 | 1,951,000 | 1,587,958 |
e,f | 5.00% due 6/15/2032 | 3,819,000 | 3,627,897 |
e,f | 5.125% due 6/26/2029 | 9,739,000 | 9,583,955 |
e,f | 7.50% due 10/14/2032 | 2,400,000 | 2,655,264 |
Entergy Texas, Inc., | |||
1.50% due 9/1/2026 | 5,866,000 | 5,350,848 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Strategic Income Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
3.45% due 12/1/2027 | $ 3,000,000 | $ 2,822,520 | |
Evergy Metro, Inc., 4.95% due 4/15/2033 | 4,663,000 | 4,522,411 | |
Eversource Energy, | |||
5.125% due 5/15/2033 | 4,950,000 | 4,745,912 | |
5.45% due 3/1/2028 | 5,181,000 | 5,197,268 | |
FirstEnergy Pennsylvania Electric Co., | |||
e | 5.15% due 3/30/2026 | 5,230,000 | 5,195,691 |
e | 5.20% due 4/1/2028 | 1,475,000 | 1,472,906 |
ITC Holdings Corp., | |||
e | 2.95% due 5/14/2030 | 1,742,000 | 1,534,179 |
e | 4.95% due 9/22/2027 | 4,910,000 | 4,863,797 |
e | 5.40% due 6/1/2033 | 13,817,000 | 13,618,588 |
e | 5.65% due 5/9/2034 | 21,000,000 | 20,992,860 |
e | Kentucky Power Co., 7.00% due 11/15/2033 | 10,114,000 | 10,707,894 |
e | Mid-Atlantic Interstate Transmission LLC, 4.10% due 5/15/2028 | 945,000 | 907,191 |
e | Midland Cogeneration Venture LP, 6.00% due 3/15/2025 | 4,668,498 | 4,601,365 |
e | Monongahela Power Co., 3.55% due 5/15/2027 | 17,987,000 | 17,141,971 |
e | New York State Electric & Gas Corp., 5.65% due 8/15/2028 | 15,000,000 | 15,235,350 |
NextEra Energy Capital Holdings, Inc., | |||
5.749% due 9/1/2025 | 7,416,000 | 7,432,612 | |
6.051% due 3/1/2025 | 4,700,000 | 4,706,956 | |
Niagara Mohawk Power Corp., | |||
e | 3.508% due 10/1/2024 | 2,236,000 | 2,219,856 |
e | 4.278% due 12/15/2028 | 7,700,000 | 7,353,038 |
Public Service Enterprise Group, Inc., 5.20% due 4/1/2029 | 9,543,000 | 9,519,047 | |
Puget Energy, Inc., | |||
2.379% due 6/15/2028 | 737,000 | 657,478 | |
4.10% due 6/15/2030 | 6,876,000 | 6,313,612 | |
4.224% due 3/15/2032 | 8,255,000 | 7,399,369 | |
Southern Co., | |||
3.25% due 7/1/2026 | 6,725,000 | 6,466,155 | |
5.113% due 8/1/2027 | 6,096,000 | 6,078,870 | |
System Energy Resources, Inc., 6.00% due 4/15/2028 | 2,212,000 | 2,250,113 | |
e | Toledo Edison Co., 2.65% due 5/1/2028 | 3,933,000 | 3,534,744 |
e | Vistra Operations Co. LLC, 3.55% due 7/15/2024 | 2,000,000 | 1,997,400 |
Xcel Energy, Inc., 5.45% due 8/15/2033 | 3,183,000 | 3,128,125 | |
Gas Utilities — 1.0% | |||
e | Brooklyn Union Gas Co., 3.407% due 3/10/2026 | 6,711,000 | 6,449,942 |
CenterPoint Energy Resources Corp., 5.40% due 7/1/2034 | 6,427,000 | 6,362,152 | |
e,f | ENN Clean Energy International Investment Ltd., 3.375% due 5/12/2026 | 9,524,000 | 9,080,467 |
e | KeySpan Gas East Corp., 5.994% due 3/6/2033 | 14,587,000 | 14,681,961 |
NiSource, Inc., 5.25% due 3/30/2028 | 3,444,000 | 3,440,315 | |
Piedmont Natural Gas Co., Inc., 5.40% due 6/15/2033 | 4,945,000 | 4,935,209 | |
Southern Co. Gas Capital Corp., 5.15% due 9/15/2032 | 6,950,000 | 6,904,339 | |
Southwest Gas Corp., | |||
2.20% due 6/15/2030 | 7,880,000 | 6,677,039 | |
4.05% due 3/15/2032 | 3,026,000 | 2,738,802 | |
5.80% due 12/1/2027 | 4,610,000 | 4,672,327 | |
d | Spire Missouri, Inc., 5.871% (SOFR + 0.50%) due 12/2/2024 | 12,345,000 | 12,347,469 |
Spire, Inc., 5.30% due 3/1/2026 | 9,300,000 | 9,273,774 | |
Multi-Utilities — 0.2% | |||
e,f | Aegea Finance SARL, 9.00% due 1/20/2031 | 18,400,000 | 19,076,752 |
451,125,772 | |||
Total Corporate Bonds (Cost $3,625,504,910) | 3,562,068,153 | ||
Convertible Bonds — 0.1% | |||
Financial Services — 0.0% | |||
Financial Services — 0.0% | |||
e | Repay Holdings Corp., Zero Coupon due 2/1/2026 | 5,460,000 | 4,975,862 |
4,975,862 | |||
Media & Entertainment — 0.1% | |||
Media — 0.1% |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Strategic Income Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Comcast Holdings Corp. (Guaranty: Comcast Corp.), 2.00% due 10/15/2029 | $ 15,486,000 | $ 8,658,222 | |
8,658,222 | |||
Total Convertible Bonds (Cost $14,491,682) | 13,634,084 | ||
Long-Term Municipal Bonds — 0.0% | |||
California (California Mtg Insurance) HFFA, 7.875% due 2/1/2026 | 865,000 | 866,505 | |
City of Detroit GO, Series B, 2.511% due 4/1/2025 | 465,000 | 451,125 | |
New York Transportation Development Corp. (Research Foundation of State University of New York), 4.248% due 9/1/2035 | 2,530,000 | 2,426,293 | |
Total Long-Term Municipal Bonds (Cost $3,858,411) | 3,743,923 | ||
Other Government — 1.8% | |||
Australia Government Bonds (AUD), Series 166, 3.00% due 11/21/2033 | 36,873,000 | 22,029,206 | |
Brazil Notas do Tesouro Nacional (BRL), Series F, 10.00% due 1/1/2029 | 71,800,000 | 11,930,509 | |
e,h | Dominican Republic International Bonds (DOP), 10.75% due 6/1/2036 | 1,401,000,000 | 23,995,977 |
Egypt Government Bonds (EGP), Series 3Y, 23.865% due 6/4/2027 | 580,450,000 | 11,754,868 | |
Egypt Treasury Bills (EGP), Series 364D, due 3/11/2025 | 952,450,000 | 16,788,146 | |
e,f | Finance Department Government of Sharjah, 3.625% due 3/10/2033 | 21,382,000 | 17,894,382 |
Indonesia Treasury Bonds (IDR), | |||
Series 101, 6.875% due 4/15/2029 | 216,734,000,000 | 13,198,339 | |
Series FR75, 7.50% due 5/15/2038 | 36,895,000,000 | 2,327,506 | |
Series FR82, 7.00% due 9/15/2030 | 45,000,000,000 | 2,754,192 | |
Series FR83, 7.50% due 4/15/2040 | 44,090,000,000 | 2,787,969 | |
Nigeria Government International Bonds, | |||
e,f | 7.625% due 11/28/2047 | 10,000,000 | 7,215,500 |
e,f | 8.25% due 9/28/2051 | 4,300,000 | 3,279,610 |
f | Panama Bonos del Tesoro, Series DOM, 6.375% due 7/25/2033 | 12,710,000 | 11,944,477 |
e | Republic of Uzbekistan International Bonds (UZS), 16.625% due 5/29/2027 | 95,500,000,000 | 7,604,914 |
Total Other Government (Cost $155,806,630) | 155,505,595 | ||
U.S. Treasury Securities — 16.2% | |||
U.S. Treasury Inflation-Indexed Bonds, | |||
1.75%, 1/15/2028 | 108,752,195 | 107,018,957 | |
2.125%, 2/15/2054 | 39,328,520 | 38,251,595 | |
U.S. Treasury Inflation-Indexed Notes, | |||
0.125%, 4/15/2025 - 4/15/2027 | 96,428,169 | 91,238,169 | |
1.25%, 4/15/2028 | 79,927,489 | 77,229,936 | |
1.625%, 10/15/2027 | 63,025,668 | 62,026,121 | |
1.75%, 1/15/2034 | 27,945,260 | 27,128,734 | |
U.S. Treasury Notes, | |||
1.125%, 8/31/2028 | 32,000,000 | 28,035,000 | |
2.75%, 8/15/2032 | 248,519,000 | 221,143,079 | |
2.875%, 5/15/2032 | 187,583,000 | 169,000,559 | |
4.00%, 2/15/2034 | 12,083,000 | 11,731,838 | |
4.125%, 11/15/2032 | 81,246,000 | 79,887,668 | |
4.375%, 5/15/2034 | 42,500,000 | 42,513,281 | |
4.50%, 11/15/2033 | 276,930,000 | 279,526,219 | |
U.S. Treasury Strip Coupon, | |||
4.644%, 11/15/2036 | 50,000,000 | 28,511,623 | |
4.689%, 5/15/2037 | 110,000,000 | 60,979,194 | |
4.848%, 8/15/2040 | 80,000,000 | 37,287,232 | |
4.94%, 11/15/2042 | 40,000,000 | 16,492,341 | |
4.947%, 8/15/2043 | 50,000,000 | 19,855,880 | |
Total U.S. Treasury Securities (Cost $1,387,505,490) | 1,397,857,426 | ||
U.S. Government Agencies — 0.4% | |||
c,d,e | Farm Credit Bank of Texas, Series 4, 5.70% (5-Yr. CMT + 5.420%), 9/15/2025 | 13,975,000 | 13,774,598 |
Federal Home Loan Banks, 2.90%, 2/18/2037 | 22,380,000 | 17,661,625 | |
Total U.S. Government Agencies (Cost $31,979,613) | 31,436,223 | ||
Mortgage Backed — 24.6% | |||
d,e | 510 Asset-Backed Trust, Whole Loan Securities Trust CMO, Series 2021-NPL2 Class A1, 2.116% due 6/25/2061 | 18,395,814 | 18,006,342 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Strategic Income Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Angel Oak Mortgage Trust, Whole Loan Securities Trust CMO, | |||
d,e | Series 2022-1 Class B1, 4.018% due 12/25/2066 | $ 4,575,000 | $ 2,878,931 |
d,e | Series 2022-6 Class A3, 4.30% due 7/25/2067 | 4,266,262 | 3,918,382 |
d,e | Series 2023-1 Class A1, 4.75% due 9/26/2067 | 13,358,251 | 13,146,459 |
d,e | Series 2023-2 Class A1, 4.65% due 10/25/2067 | 6,466,829 | 6,328,721 |
d,e | AOA Mortgage Trust, CMBS, Series 2021-1177 Class A, 6.318% (TSFR1M + 0.99%) due 10/15/2038 | 12,740,000 | 11,954,193 |
d,e,f | Arbor Realty Commercial Real Estate Notes Ltd., CMBS, Series 2022-FL1 Class A, 6.783% (SOFR30A + 1.45%) due 1/15/2037 | 20,000,000 | 19,914,796 |
Arroyo Mortgage Trust, Whole Loan Securities Trust CMO, | |||
d,e | Series 2019-1 Class A1, 3.805% due 1/25/2049 | 657,542 | 625,274 |
d,e | Series 2019-3 Class A1, 2.962% due 10/25/2048 | 1,332,490 | 1,226,314 |
d,e | Series 2021-1R Class A1, 1.175% due 10/25/2048 | 2,684,799 | 2,306,734 |
d,e | Barclays Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2022-INV1 Class A3, 4.53% due 2/25/2062 | 14,259,038 | 13,351,782 |
Barclays Mortgage Trust, Whole Loan Securities Trust CMO, | |||
d,e | Series 2021-NPL1 Class A, 2.00% due 11/25/2051 | 7,562,906 | 7,276,757 |
d,e | Series 2022-RPL1 Class A, 4.25% due 2/25/2028 | 16,811,599 | 16,090,584 |
d | Bear Stearns ARM Trust, Whole Loan Securities Trust CMO, Series 2003-6 Class 2B1, 6.333% due 8/25/2033 | 22,296 | 22,296 |
d,e | BPR Trust, CMBS, Series 2023-BRK2 Class A, 7.147% due 10/5/2038 | 4,250,000 | 4,406,627 |
e | BRAVO Residential Funding Trust, Whole Loan Securities Trust CMO, Series 2019-1 Class A1C, 3.50% due 3/25/2058 | 362,932 | 358,492 |
e | BXP Trust, CMBS, Series 2021-601L Class A, 2.618% due 1/15/2044 | 6,760,000 | 5,312,824 |
e | Century Plaza Towers, CMBS, Series 2019-CPT Class A, 2.865% due 11/13/2039 | 4,720,000 | 4,037,538 |
Chase Home Lending Mortgage Trust, Whole Loan Securities Trust CMO, | |||
d,e | Series 2019-1 Class B4, 3.883% due 3/25/2050 | 699,512 | 582,076 |
d,e | Series 2019-1 Class B5, 3.883% due 3/25/2050 | 360,909 | 277,606 |
d,e | Series 2019-1 Class B6, 3.657% due 3/25/2050 | 521,093 | 312,209 |
d,e | Chase Mortgage Finance Corp., Whole Loan Securities Trust CMO, Series 2016-SH2 Class M4, 3.75% due 12/25/2045 | 2,261,183 | 2,034,129 |
CHNGE Mortgage Trust, Whole Loan Securities Trust CMO, | |||
d,e | Series 2022-1 Class A1, 3.007% due 1/25/2067 | 19,731,153 | 18,190,174 |
d,e | Series 2022-1 Class B2, 4.547% due 1/25/2067 | 4,700,000 | 3,433,546 |
d,e | Series 2022-2 Class B2, 4.631% due 3/25/2067 | 7,015,000 | 4,945,211 |
d,e | Series 2023-1 Class A1, 7.065% due 3/25/2058 | 11,362,322 | 11,362,971 |
CIM Trust, Whole Loan Securities Trust CMO, | |||
d,e | Series 2018-INV1 Class A4, 4.00% due 8/25/2048 | 150,975 | 138,800 |
d,e,g | Series 2020-J1 Class AIO1, 0.434% due 7/25/2050 | 13,682,975 | 270,309 |
d,e,g | Series 2020-J1 Class AIO2, 0.50% due 7/25/2050 | 12,204,008 | 295,040 |
d,e,g | Series 2020-J1 Class AIOS, 0.20% due 6/25/2050 | 16,807,494 | 168,041 |
d,e | Series 2020-J1 Class B4, 3.434% due 7/25/2050 | 332,021 | 271,631 |
d,e | Series 2020-J1 Class B5, 3.434% due 7/25/2050 | 167,844 | 104,494 |
d,e | Series 2020-J1 Class B6, 3.434% due 7/25/2050 | 324,163 | 130,549 |
d,e,g | Series 2020-J2 Class AX1, 0.256% due 1/25/2051 | 101,263,429 | 1,397,456 |
d,e,g | Series 2020-J2 Class AXS, 0.21% due 1/25/2051 | 108,052,667 | 1,135,871 |
d,e | Series 2020-J2 Class B4, 2.756% due 1/25/2051 | 491,000 | 214,674 |
d,e | Series 2020-J2 Class B5, 2.756% due 1/25/2051 | 164,000 | 69,797 |
d,e | Series 2020-J2 Class B6, 2.756% due 1/25/2051 | 654,523 | 221,905 |
d,e | Series 2023-I1 Class M1, 7.117% due 4/25/2058 | 10,705,000 | 10,671,103 |
d,e | Series 2023-I2 Class A1, 6.639% due 12/25/2067 | 12,989,184 | 12,996,931 |
Citigroup Mortgage Loan Trust, Whole Loan Securities Trust CMO, | |||
d | Series 2004-HYB2 Class B1, 6.092% due 3/25/2034 | 20,039 | 14,615 |
d,e | Series 2014-A Class A, 4.00% due 1/25/2035 | 341,315 | 321,194 |
d,e | Series 2020-EXP1 Class B1, 4.467% due 5/25/2060 | 1,180,900 | 958,778 |
d,e | Series 2020-EXP1 Class B2, 4.467% due 5/25/2060 | 770,600 | 593,608 |
d,e | Series 2020-EXP1 Class B3, 4.467% due 5/25/2060 | 386,242 | 252,917 |
e,g | Series 2020-EXP1 Class XS, due 5/25/2060 | 19,606,270 | 931,476 |
d,e | Series 2020-EXP2 Class B5, 4.149% due 8/25/2050 | 153,000 | 87,094 |
d,e | Series 2020-EXP2 Class B6, 4.149% due 8/25/2050 | 372,000 | 171,642 |
d,e | Series 2021-J1 Class B4, 2.611% due 4/25/2051 | 375,000 | 160,075 |
d,e | Series 2021-J1 Class B5, 2.611% due 4/25/2051 | 616,000 | 220,783 |
d,e | Series 2021-J1 Class B6, 2.611% due 4/25/2051 | 453,829 | 137,781 |
d,e | Series 2021-J2 Class A7A, 2.50% due 7/25/2051 | 12,424,630 | 10,767,729 |
d,e | Series 2021-J2 Class B4, 2.769% due 7/25/2051 | 2,281,541 | 978,192 |
d,e | Series 2021-J2 Class B5, 2.769% due 7/25/2051 | 623,000 | 258,157 |
d,e | Series 2021-J2 Class B6, 2.769% due 7/25/2051 | 1,247,350 | 384,051 |
d,e | Series 2021-J3 Class B4, 2.859% due 9/25/2051 | 1,032,000 | 562,413 |
d,e | Series 2021-J3 Class B5, 2.859% due 9/25/2051 | 173,000 | 84,079 |
d,e | Series 2021-J3 Class B6, 2.859% due 9/25/2051 | 575,212 | 179,047 |
d,e,g | Series 2022-INV1 Class A5IX, 0.293% due 11/27/2051 | 195,096,023 | 3,012,185 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Strategic Income Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
d,e | Series 2022-INV1 Class B4, 3.293% due 11/27/2051 | $ 1,308,911 | $ 991,181 |
d,e | Series 2022-INV1 Class B6, 3.293% due 11/27/2051 | 3,299,783 | 1,417,067 |
d,e | Series 2022-J1 Class B4, 2.905% due 2/25/2052 | 700,598 | 357,833 |
d,e | Series 2022-J1 Class B5, 2.905% due 2/25/2052 | 527,000 | 225,977 |
d,e | Series 2022-J1 Class B6, 2.905% due 2/25/2052 | 1,404,735 | 441,521 |
e | Cogent Ipv4 LLC, CMBS, Series 2024-1A Class A2, 7.924% due 5/25/2054 | 9,000,000 | 9,162,372 |
Cross Mortgage Trust, Whole Loan Securities Trust CMO, | |||
d,e | Series 2023-H1 Class A1, 6.615% due 3/25/2068 | 8,435,740 | 8,475,516 |
d,e | Series 2024-H4 Class A1, 6.147% due 7/25/2069 | 12,800,000 | 12,866,500 |
CSMC Trust, CMBS, | |||
d,e | Series 2020-522F Class A, 9.182% (TSFR1M + 3.85%) due 9/16/2025 | 15,450,000 | 9,051,977 |
d,e | Series 2021-BPNY Class A, 9.158% (TSFR1M + 3.83%) due 8/15/2026 | 13,600,000 | 12,057,529 |
CSMC Trust, Whole Loan Securities Trust CMO, | |||
d,e | Series 2013-HYB1 Class B3, 6.794% due 4/25/2043 | 56,158 | 56,003 |
d,e | Series 2019-AFC1 Class B2, 5.196% due 7/25/2049 | 2,366,448 | 2,110,303 |
d,e | Series 2019-RP10 Class A1, 3.18% due 12/26/2059 | 11,514,352 | 11,665,289 |
d,e,g | Series 2021-AFC1 Class AIOS, 0.25% due 3/25/2056 | 49,954,719 | 403,020 |
d,e | Series 2021-AFC1 Class B3, 4.326% due 3/25/2056 | 146,228 | 100,898 |
d,e,g | Series 2021-AFC1 Class XS, 3.274% due 3/25/2056 | 50,220,596 | 8,766,005 |
d,e | Series 2021-NQM3 Class A1, 1.015% due 4/25/2066 | 2,318,233 | 1,934,729 |
d,e | Series 2021-NQM3 Class B2, 4.128% due 4/25/2066 | 2,650,000 | 1,840,686 |
d,e | Series 2021-NQM8 Class B2, 4.251% due 10/25/2066 | 3,478,650 | 2,619,856 |
d,e | Series 2022-ATH2 Class A1, 4.547% due 5/25/2067 | 5,314,372 | 5,212,990 |
d,e | Series 2022-NQM5 Class A3, 5.169% due 5/25/2067 | 3,580,805 | 3,456,574 |
e | DataBank Issuer LLC, CMBS, Series 2024-1A Class A2, 5.30% due 1/26/2054 | 16,375,000 | 15,737,923 |
e | DC Office Trust, CMBS, Series 2019-MTC Class A, 2.965% due 9/15/2045 | 3,120,000 | 2,661,381 |
d,e | Deephaven Residential Mortgage Trust, Whole Loan Securities Trust CMO, Series 2021-1 Class A1, 0.715% due 5/25/2065 | 615,644 | 572,819 |
Ellington Financial Mortgage Trust, Whole Loan Securities Trust CMO, | |||
d,e | Series 2019-2 Class A1, 2.739% due 11/25/2059 | 787,374 | 742,844 |
d,e | Series 2021-2 Class A1, 0.931% due 6/25/2066 | 2,740,546 | 2,243,905 |
d,e | Series 2022-1 Class B2, 3.874% due 1/25/2067 | 6,901,000 | 4,564,273 |
d,e | FARM Mortgage Trust, Whole Loan Securities Trust CMO, Series 2024-1 Class A, 4.721% due 10/1/2053 | 10,005,599 | 9,481,758 |
Federal Home Loan Mtg Corp., | |||
d | Pool 1L0322, 4.178% (H15T1Y + 2.07%) due 2/1/2048 | 2,332,635 | 2,353,135 |
d | Pool 760025, 3.663% (5-Yr. CMT + 1.310%) due 10/1/2047 | 3,341,851 | 3,195,341 |
d | Pool 841097, 3.125% (5-Yr. CMT + 1.300%) due 9/1/2048 | 4,846,036 | 4,582,040 |
d | Pool 841355, 1.902% (2.15% - SOFR30A) due 11/1/2051 | 5,051,493 | 4,551,782 |
d | Pool 841362, 1.717% (2.15% - SOFR30A) due 2/1/2052 | 6,218,512 | 5,532,905 |
d | Pool 841377, 1.951% (2.23% - SOFR30A) due 4/1/2052 | 6,367,887 | 5,613,966 |
d | Pool 841463, 2.156% (2.18% - SOFR30A) due 7/1/2052 | 16,574,901 | 14,276,767 |
Pool RE6097, 2.00% due 5/1/2051 | 12,241,543 | 9,377,503 | |
Federal Home Loan Mtg Corp., Multifamily Structured Pass-Through Certificates, CMBS, | |||
d,g | Series KIR1 Class X, 1.16% due 3/25/2026 | 32,333,289 | 455,464 |
Series KJ46 Class A2, 4.796% due 10/25/2031 | 10,518,000 | 10,495,434 | |
d | Series KJ47 Class A2, 5.43% due 6/25/2031 | 7,257,000 | 7,420,182 |
Series KJ48 Class A2, 5.028% due 10/25/2031 | 18,483,000 | 18,616,848 | |
Federal Home Loan Mtg Corp., Seasoned Credit Risk Transfer, Whole Loan Securities Trust CMO, | |||
Series 2020-2 Class MA, 2.00% due 11/25/2059 | 2,664,607 | 2,324,640 | |
Series 2022-1 Class MTU, 3.25% due 11/25/2061 | 22,049,360 | 18,993,577 | |
Series 2024-1 Class MT, 3.00% due 11/25/2063 | 10,177,787 | 8,264,221 | |
Federal Home Loan Mtg Corp., UMBS Collateral, | |||
Pool RA7373, 3.00% due 5/1/2052 | 3,177,906 | 2,716,414 | |
Pool SD1374, 3.00% due 3/1/2052 | 8,010,629 | 6,811,020 | |
Pool SD1588, 5.00% due 9/1/2052 | 5,307,613 | 5,175,869 | |
Pool SD1626, 5.00% due 10/1/2052 | 7,556,115 | 7,397,258 | |
Pool SD3632, 2.50% due 7/1/2052 | 37,429,535 | 30,615,518 | |
Pool SD4175, 2.50% due 6/1/2052 | 106,647,756 | 87,232,616 | |
Pool SD4176, 3.00% due 9/1/2052 | 115,711,849 | 98,504,438 | |
Pool SD5171, 2.50% due 1/1/2054 | 34,435,576 | 28,166,606 | |
Pool SD8140, 2.00% due 4/1/2051 | 34,569,833 | 27,179,866 | |
Pool SD8189, 2.50% due 1/1/2052 | 18,293,298 | 14,974,333 | |
Pool SD8225, 3.00% due 7/1/2052 | 15,635,460 | 13,304,273 | |
Pool SD8367, 5.50% due 10/1/2053 | 16,610,325 | 16,375,321 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Strategic Income Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Federal Home Loan Mtg Corp., Whole Loan Securities Trust CMO, | |||
d,e | Series 2017-SC01 Class M1, 3.646% due 12/25/2046 | $ 246,770 | $ 238,606 |
d,e | Series 2017-SC02 Class M1, 3.87% due 5/25/2047 | 106,735 | 102,148 |
Federal National Mtg Assoc., | |||
d | Pool BH4523, 1.842% (5-Yr. CMT + 1.150%) due 4/1/2047 | 5,045,840 | 4,739,150 |
d | Pool BH4524, 2.251% (5-Yr. CMT + 1.150%) due 6/1/2046 | 9,991,850 | 9,388,272 |
d | Pool BM6885, 1.613% (2.20% - SOFR30A) due 12/1/2051 | 7,218,830 | 6,425,274 |
Pool BM6899, 2.50% due 1/1/2052 | 10,582,226 | 8,497,981 | |
d | Pool BM6929, 1.919% (2.13% - SOFR30A) due 7/1/2051 | 7,344,863 | 6,650,491 |
d | Pool BO9998, 2.751% (H15T1Y + 2.03%) due 3/1/2048 | 3,949,445 | 3,749,309 |
d | Pool BU9934, 1.841% (2.37% - SOFR30A) due 2/1/2052 | 15,093,284 | 12,996,651 |
d | Pool CB2214, 1.525% (2.20% - SOFR30A) due 11/1/2051 | 8,031,016 | 7,163,301 |
Federal National Mtg Assoc., CMO REMIC, Series 2024-25 Class VB, 5.50% due 3/25/2035 | 14,644,956 | 14,558,771 | |
Federal National Mtg Assoc., UMBS Collateral, | |||
Pool BV4119, 2.50% due 3/1/2052 | 52,303,903 | 42,782,019 | |
Pool BW8669, 5.00% due 9/1/2052 | 4,893,011 | 4,733,736 | |
Pool CB2301, 3.00% due 12/1/2051 | 39,835,909 | 33,889,422 | |
Pool CB3050, 2.50% due 3/1/2052 | 25,145,215 | 20,567,549 | |
Pool CB3880, 5.00% due 6/1/2052 | 2,740,134 | 2,673,812 | |
Pool FS5447, 2.50% due 9/1/2052 | 38,509,996 | 31,594,622 | |
Pool FS6130, 2.50% due 7/1/2052 | 150,856,237 | 123,392,977 | |
Pool FS6157, 3.00% due 9/1/2052 | 128,195,008 | 109,230,472 | |
Pool FS7577, 2.50% due 1/1/2054 | 29,359,003 | 24,014,219 | |
Pool FS7757, 2.50% due 2/1/2052 | 28,445,841 | 23,268,169 | |
Pool FS7879, 2.50% due 7/1/2052 | 20,821,547 | 16,997,586 | |
Pool MA5138, 5.50% due 9/1/2053 | 9,326,230 | 9,194,860 | |
Pool MA5139, 6.00% due 9/1/2053 | 8,452,098 | 8,472,284 | |
Pool MA5166, 6.00% due 10/1/2053 | 16,338,538 | 16,377,560 | |
First Republic Mortgage Trust, Whole Loan Securities Trust CMO, | |||
d,e,g | Series 2020-1 Class A2IO, 1.244% due 4/25/2050 | 117,808,195 | 2,888,492 |
d,e | Series 2020-1 Class B3, 2.884% due 4/25/2050 | 1,409,199 | 1,224,910 |
d,e | Series 2020-1 Class B4, 2.884% due 4/25/2050 | 1,325,000 | 1,006,461 |
d,e | Series 2020-1 Class B5, 2.884% due 4/25/2050 | 470,000 | 343,865 |
d,e | Series 2020-1 Class B6, 2.884% due 4/25/2050 | 755,000 | 425,377 |
Flagstar Mortgage Trust, Whole Loan Securities Trust CMO, | |||
d,e | Series 2017-1 Class 2A2, 3.00% due 3/25/2047 | 190,014 | 171,951 |
d,e | Series 2018-3INV Class B4, 4.452% due 5/25/2048 | 5,110,818 | 4,634,065 |
d,e | Series 2019-2 Class B3, 3.998% due 12/25/2049 | 3,505,586 | 3,026,300 |
d,e,g | Series 2020-2 Class AX1, 0.663% due 8/25/2050 | 24,460,115 | 721,253 |
d,e,g | Series 2020-2 Class AX2, 0.50% due 8/25/2050 | 4,191,808 | 99,823 |
d,e | Series 2020-2 Class B4, 3.663% due 8/25/2050 | 201,717 | 165,093 |
d,e | Series 2020-2 Class B5, 3.663% due 8/25/2050 | 602,387 | 462,201 |
d,e | Series 2020-2 Class B6C, 3.511% due 8/25/2050 | 805,162 | 407,932 |
d,e,g | Series 2021-13IN Class AX1, 0.178% due 12/30/2051 | 162,217,388 | 1,356,332 |
d,e,g | Series 2021-13IN Class AX17, 0.18% due 12/30/2051 | 13,410,913 | 137,516 |
d,e,g | Series 2021-13IN Class AX4, 0.50% due 12/30/2051 | 12,265,751 | 348,486 |
d,e | Series 2021-13IN Class B4, 3.358% due 12/30/2051 | 2,532,453 | 1,930,065 |
d,e | Series 2021-13IN Class B5, 3.358% due 12/30/2051 | 461,666 | 327,299 |
d,e | Series 2021-13IN Class B6C, 3.323% due 12/30/2051 | 4,023,869 | 2,140,022 |
d,e | FREMF Mortgage Trust, CMBS, Series 2016-KF24 Class B, 10.439% (SOFR30A + 5.11%) due 10/25/2026 | 298,726 | 287,834 |
GCAT Trust, Whole Loan Securities Trust CMO, | |||
d,e | Series 2019-NQM3 Class A1, 3.686% due 11/25/2059 | 576,477 | 545,010 |
d,e | Series 2021-CM1 Class A, 2.469% due 4/25/2065 | 2,952,926 | 2,779,996 |
d,e | Series 2021-CM2 Class A1, 2.352% due 8/25/2066 | 6,822,807 | 6,195,803 |
d,e | Series 2021-NQM1 Class M1, 2.316% due 1/25/2066 | 6,112,000 | 4,130,445 |
d,e | Series 2021-NQM4 Class A1, 1.093% due 8/25/2066 | 3,580,823 | 2,858,194 |
d,e | Series 2023-NQM4 Class A1, 4.25% due 5/25/2067 | 18,222,294 | 16,808,840 |
d,e,f | Greystone Commercial Real Estate Notes Ltd., CMBS, Series 2021-FL3 Class A, 6.463% (TSFR1M + 1.13%) due 7/15/2039 | 14,000,000 | 13,929,990 |
d,e | GS Mortgage-Backed Securities Corp. Trust, Whole Loan Securities Trust CMO, Series 2023-CCM1 Class A1, 6.65% due 8/25/2053 | 11,446,925 | 11,490,487 |
GS Mortgage-Backed Securities Trust, Whole Loan Securities Trust CMO, | |||
d,e,g | Series 2020-INV1 Class A11X, 3.408% due 10/25/2050 | 895,783 | 133,926 |
d,e,g | Series 2020-INV1 Class A12X, 2.921% due 10/25/2050 | 10,725,660 | 1,374,489 |
d,e,g | Series 2020-INV1 Class AIOS, 0.19% due 10/25/2050 | 58,189,243 | 414,214 |
d,e,g | Series 2020-INV1 Class AX1, due 10/25/2050 | 39,021,391 | 390 |
d,e,g | Series 2020-INV1 Class AX2, 0.421% due 10/25/2050 | 1,933,005 | 25,894 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Strategic Income Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
d,e,g | Series 2020-INV1 Class AX4, 0.925% due 10/25/2050 | $ 2,080,856 | $ 62,962 |
d,e | Series 2020-INV1 Class B4, 3.846% due 10/25/2050 | 1,228,339 | 1,015,164 |
d,e | Series 2020-INV1 Class B5, 3.846% due 10/25/2050 | 1,231,246 | 1,042,734 |
d,e | Series 2020-INV1 Class B6, 3.846% due 10/25/2050 | 2,935,081 | 1,982,355 |
d,e,g | Series 2020-INV1 Class BX, 0.346% due 10/25/2050 | 14,014,934 | 245,867 |
d,e,g | Series 2020-PJ3 Class A11X, 3.50% due 10/25/2050 | 2,326,944 | 296,593 |
d,e | Series 2023-PJ2 Class A4, 5.50% due 5/25/2053 | 6,783,936 | 6,603,028 |
d,e | Series 2024-RPL2 Class A1, 3.75% due 7/25/2061 | 6,414,266 | 6,066,237 |
Harvest Commercial Capital Loan Trust, CMBS, Series 2024-1 Class A, 6.164% due 10/25/2056 | 20,349,749 | 20,314,360 | |
d,e | Homeward Opportunities Fund I Trust, Whole Loan Securities Trust CMO, Series 2020-2 Class B3, 5.516% due 5/25/2065 | 14,305,000 | 13,365,057 |
Homeward Opportunities Fund Trust, Whole Loan Securities Trust CMO, | |||
d,e | Series 2022-1 A Class A1, 5.082% due 7/25/2067 | 5,184,010 | 5,110,386 |
e | Series 2024-RTL1 Class A1, 7.12% due 7/25/2029 | 22,320,000 | 22,313,137 |
e | Houston Galleria Mall Trust, CMBS, Series 2015-HGLR Class A1A2, 3.087% due 3/5/2037 | 16,067,500 | 15,653,483 |
d,e | Hudson Yards Mortgage Trust, CMBS, Series 2019-55HY Class A, 3.041% due 12/10/2041 | 5,870,000 | 5,092,748 |
Imperial Fund Mortgage Trust, Whole Loan Securities Trust CMO, | |||
d,e | Series 2021-NQM3 Class B2, 4.138% due 11/25/2056 | 5,408,000 | 3,847,873 |
d,e | Series 2021-NQM4 Class A1, 2.091% due 1/25/2057 | 3,940,800 | 3,309,908 |
d,e | Series 2021-NQM4 Class B2, 4.10% due 1/25/2057 | 2,500,000 | 1,755,666 |
d,e | Series 2022- NQM1 Class A1, 2.493% due 2/25/2067 | 15,157,149 | 13,187,609 |
d,e | Series 2022-NQM2 Class B2, 4.20% due 3/25/2067 | 15,600,000 | 9,957,759 |
d,e | Series 2022-NQM4 Class A1, 4.767% due 6/25/2067 | 12,432,458 | 12,293,326 |
d,e | Series 2022-NQM4 Class A3, 5.04% due 6/25/2067 | 3,765,747 | 3,605,216 |
d,e | Series 2022-NQM6 Class A1, 6.819% due 10/25/2067 | 8,025,243 | 8,010,097 |
JP Morgan Mortgage Trust, Whole Loan Securities Trust CMO, | |||
d,e | Series 2015-4 Class B4, 3.532% due 6/25/2045 | 830,166 | 576,624 |
d,e | Series 2017-5 Class B6, 5.518% due 10/26/2048 | 3,020,511 | 2,183,194 |
d,e | Series 2019-8 Class B4, 4.171% due 3/25/2050 | 3,280,760 | 2,810,064 |
d,e,g | Series 2020-3 Class AX1, 0.14% due 8/25/2050 | 9,197,842 | 45,920 |
d,e,g | Series 2020-4 Class A11X, (TSFR1M + 5.14%) due 11/25/2050 | 1,833,114 | 72,478 |
d,e,g | Series 2020-4 Class A3X, 0.50% due 11/25/2050 | 8,179,835 | 192,513 |
d,e,g | Series 2020-4 Class AX1, 0.093% due 11/25/2050 | 30,213,363 | 100,910 |
d,e,g | Series 2020-4 Class AX3, 3.50% due 11/25/2050 | 835,877 | 139,295 |
d,e,g | Series 2020-4 Class AX4, 0.55% due 11/25/2050 | 1,929,178 | 49,896 |
d,e | Series 2020-4 Class B4, 3.643% due 11/25/2050 | 1,268,107 | 1,061,039 |
d,e | Series 2020-4 Class B5, 3.643% due 11/25/2050 | 584,789 | 437,292 |
d,e | Series 2020-4 Class B6, 3.432% due 11/25/2050 | 1,054,996 | 476,839 |
d,e | Series 2020-7 Class B4, 3.509% due 1/25/2051 | 600,337 | 497,809 |
d,e | Series 2020-7 Class B5, 3.509% due 1/25/2051 | 418,776 | 258,694 |
d,e | Series 2020-7 Class B6, 3.509% due 1/25/2051 | 588,627 | 243,601 |
d,e | Series 2020-LTV1 Class B3A, 3.762% due 6/25/2050 | 2,671,942 | 2,297,020 |
d,e | Series 2021-11 Class B5, 3.022% due 1/25/2052 | 2,288,293 | 1,553,994 |
d,e | Series 2021-11 Class B6, 2.763% due 1/25/2052 | 2,613,182 | 1,122,991 |
d,e | Series 2021-LTV2 Class A1, 2.52% due 5/25/2052 | 12,719,895 | 10,281,284 |
d,e | Series 2022- LTV1 Class A1, 3.25% due 7/25/2052 | 16,541,167 | 13,851,846 |
d,e | Series 2022-2 Class B4, 3.128% due 8/25/2052 | 3,191,111 | 2,328,442 |
d,e | Series 2022-2 Class B5, 3.128% due 8/25/2052 | 1,697,319 | 1,039,646 |
d,e | Series 2022-2 Class B6, 2.653% due 8/25/2052 | 1,813,305 | 618,431 |
d,e | Series 2022-3 Class B4, 3.104% due 8/25/2052 | 2,621,070 | 1,918,992 |
d,e | Series 2022-3 Class B5, 3.104% due 8/25/2052 | 1,667,608 | 783,009 |
d,e | Series 2022-3 Class B6, 2.62% due 8/25/2052 | 1,460,644 | 454,393 |
d,e | Series 2022-DSC1 Class A1, 4.75% due 1/25/2063 | 8,497,196 | 8,063,757 |
d,e | Series 2023-1 Class A2, 5.50% due 6/25/2053 | 6,850,883 | 6,668,399 |
d,e | Series 2023-3 Class A4B, 5.50% due 10/25/2053 | 8,388,715 | 8,253,406 |
d,e | JP Morgan Wealth Management, Whole Loan Securities Trust CMO, Series 2021-CL1 Class M1, 6.635% (SOFR30A + 1.30%) due 3/25/2051 | 4,077,152 | 3,957,698 |
e | Manhattan West Mortgage Trust, CMBS, Series 2020-1MW Class A, 2.13% due 9/10/2039 | 2,750,000 | 2,447,386 |
Mello Mortgage Capital Acceptance, Whole Loan Securities Trust CMO, | |||
d,e,g | Series 2021-INV2 Class AX1, 0.122% due 8/25/2051 | 98,399,583 | 487,944 |
d,e,g | Series 2021-INV2 Class AX4, 0.70% due 8/25/2051 | 6,742,163 | 267,652 |
d,e | Series 2021-INV2 Class B5, 3.322% due 8/25/2051 | 310,756 | 219,786 |
d,e | Series 2021-INV2 Class B6, 3.205% due 8/25/2051 | 1,499,920 | 720,810 |
d,e,g | Series 2021-INV3 Class AX1, 0.162% due 10/25/2051 | 116,781,193 | 839,400 |
d,e,g | Series 2021-INV3 Class AX4, 0.55% due 10/25/2051 | 9,499,123 | 256,595 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Strategic Income Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
d,e | Series 2021-INV3 Class B5, 3.212% due 10/25/2051 | $ 429,811 | $ 304,303 |
d,e | Series 2021-INV3 Class B6, 3.144% due 10/25/2051 | 1,899,151 | 935,254 |
d | Merrill Lynch Mortgage Investors Trust, Whole Loan Securities Trust CMO, Series 2004-A4 Class M1, 5.501% due 8/25/2034 | 42,949 | 40,598 |
d,e | Metlife Securitization Trust, Whole Loan Securities Trust CMO, Series 2019-1A Class A1A, 3.75% due 4/25/2058 | 348,272 | 337,388 |
MFA Trust, Whole Loan Securities Trust CMO, | |||
d,e | Series 2020-NQM3 Class M1, 2.654% due 1/26/2065 | 800,000 | 680,479 |
d,e | Series 2021-INV1 Class A1, 0.852% due 1/25/2056 | 3,089,422 | 2,869,872 |
d,e | Series 2021-INV2 Class A1, 1.906% due 11/25/2056 | 8,324,257 | 7,102,401 |
d,e | Series 2022-INV1 Class A3, 4.25% due 4/25/2066 | 4,950,000 | 4,195,087 |
d,e | Series 2022-NQM2 Class A1, 4.00% due 5/25/2067 | 17,805,173 | 16,984,130 |
d,e | Series 2022-NQM3 Class A1, 5.57% due 9/25/2067 | 7,932,688 | 8,018,292 |
d,e | MFRA Trust, Whole Loan Securities Trust CMO, Series 2022-CHM1 Class A1, 3.875% due 9/25/2056 | 7,430,569 | 7,091,785 |
d,e | Mill City Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2023-NQM1 Class A1, 6.05% due 10/25/2067 | 17,638,759 | 17,636,765 |
e | Morgan Stanley Capital I, Inc., CMBS, Series 2024-BPR2 Class A, 7.291% due 5/5/2029 | 14,891,480 | 15,179,113 |
d,e | Morgan Stanley Residential Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2024-NQM1 Class A1, 6.152% due 12/25/2068 | 17,571,856 | 17,593,959 |
e | New Economy Assets Phase 1 Sponsor LLC, CMBS, Series 2021-1 Class A1, 1.91% due 10/20/2061 | 19,365,000 | 17,253,793 |
New Residential Mortgage Loan Trust, Whole Loan Securities Trust CMO, | |||
d,e | Series 2017-3A Class A1, 4.00% due 4/25/2057 | 786,228 | 738,536 |
d,e | Series 2017-4A Class A1, 4.00% due 5/25/2057 | 645,889 | 606,616 |
d,e | Series 2017-5A Class A1, 6.96% (TSFR1M + 1.61%) due 6/25/2057 | 371,125 | 373,407 |
d,e | Series 2017-6A Class A1, 4.00% due 8/27/2057 | 338,388 | 320,099 |
d,e | Series 2018-1A Class A1A, 4.00% due 12/25/2057 | 651,122 | 613,978 |
d,e,g | Series 2021-INV1 Class AX1, 0.75% due 6/25/2051 | 99,204,026 | 3,642,107 |
d,e | Series 2021-INV1 Class B5, 3.25% due 6/25/2051 | 1,165,699 | 861,020 |
d,e | Series 2021-INV1 Class B6, 1.995% due 6/25/2051 | 2,051,396 | 1,035,125 |
d,e | Series 2022-NQM3 Class A1, 3.90% due 4/25/2062 | 17,434,569 | 15,755,297 |
d,e | Series 2024-RPL1 Class A, 3.80% due 1/25/2064 | 15,396,163 | 14,242,461 |
d,e | Series 2024-RTL1 Class A1, 6.664% due 3/25/2039 | 10,000,000 | 10,022,145 |
e | NYC Commercial Mortgage Trust, CMBS, Series 2021-909 Class A, 2.941% due 4/10/2043 | 4,450,000 | 3,502,302 |
d,e | NYMT Loan Trust, Whole Loan Securities Trust CMO, Series 2024-BPL2 Class A1, 6.509% due 5/25/2039 | 11,000,000 | 11,040,062 |
d,e | OBX Trust, Whole Loan Securities Trust CMO, Series 2021-NQM2 Class A1, 1.101% due 5/25/2061 | 5,674,315 | 4,489,425 |
e | One Bryant Park Trust, CMBS, Series 2019-OBP Class A, 2.516% due 9/15/2054 | 19,814,348 | 16,819,490 |
d,e | Onslow Bay Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2021-NQM4 Class A1, 1.957% due 10/25/2061 | 14,928,647 | 12,152,916 |
d,e | OSAT Trust, Whole Loan Securities Trust CMO, Series 2021-RPL1 Class A1, 5.116% due 5/25/2065 | 20,739,691 | 20,656,419 |
d,e | PRET LLC, Whole Loan Securities Trust CMO, Series 2021-RN3 Class A1, 1.843% due 9/25/2051 | 9,890,670 | 9,526,766 |
d,e | PRET Trust, Whole Loan Securities Trust CMO, Series 2024-RPL1 Class A1, 3.90% due 10/25/2063 | 5,570,699 | 5,317,059 |
PRKCM Trust, Whole Loan Securities Trust CMO, | |||
d,e | Series 2021-AFC1 Class A1, 1.51% due 8/25/2056 | 4,259,167 | 3,511,560 |
d,e | Series 2021-AFC1 Class B2, 3.95% due 8/25/2056 | 2,729,000 | 1,769,302 |
d,e | Series 2024-HOME1 Class A1, 6.431% due 5/25/2059 | 7,150,323 | 7,213,597 |
PRPM LLC, Whole Loan Securities Trust CMO, | |||
d,e | Series 2022-NQM1 Class A1, 5.50% due 8/25/2067 | 8,534,220 | 8,662,984 |
d,e | Series 2024-RPL2 Class A1, 3.50% due 5/25/2054 | 9,884,068 | 9,339,025 |
PRPM Trust, Whole Loan Securities Trust CMO, | |||
d,e | Series 2022-INV1 Class A1, 4.40% due 4/25/2067 | 25,604,487 | 24,864,519 |
d,e | Series 2022-INV1 Class A3, 4.44% due 4/25/2067 | 8,602,402 | 8,118,358 |
d,e | Rate Mortgage Trust, Whole Loan Securities Trust CMO, Series 2022-J1 Class A9, 2.50% due 1/25/2052 | 12,400,720 | 10,519,260 |
e | Retained Vantage Data Centers Issuer LLC, CMBS, Series 2023-1A Class A2A, 5.00% due 9/15/2048 | 12,100,000 | 11,682,755 |
d,e | Saluda Grade Alternative Mortgage Trust, Whole Loan Securities Trust CMO, Series 2020-FIG1 Class C, due 9/25/2050 | 1,601,029 | 583,495 |
Seasoned Loans Structured Transaction Trust, Whole Loan Securities Trust CMO, Series 2020-2 Class A1C, 2.00% due 9/25/2030 | 5,580,201 | 4,954,380 | |
Sequoia Mortgage Trust, Whole Loan Securities Trust CMO, | |||
d,e | Series 2015-4 Class B4, 3.119% due 11/25/2030 | 1,686,000 | 1,505,651 |
d,e | Series 2016-3 Class B3, 3.598% due 11/25/2046 | 2,321,167 | 1,801,506 |
d,e | Series 2017-7 Class B3, 3.725% due 10/25/2047 | 1,273,434 | 1,101,751 |
d,e | Series 2018-7 Class B4, 4.253% due 9/25/2048 | 1,802,000 | 1,436,807 |
d,e | Series 2021-9 Class A1, 2.50% due 1/25/2052 | 13,157,916 | 10,602,988 |
d,e | Series 2023-3 Class A1, 6.00% due 9/25/2053 | 8,014,640 | 7,954,638 |
SG Residential Mortgage Trust, Whole Loan Securities Trust CMO, | |||
d,e | Series 2019-3 Class A1, 2.703% due 9/25/2059 | 47,758 | 46,957 |
d,e,g | Series 2019-3 Class AIOS, 0.375% due 9/25/2059 | 11,920,330 | 160,008 |
d,e | Series 2019-3 Class B2, 5.663% due 9/25/2059 | 1,978,000 | 1,714,275 |
d,e | Series 2019-3 Class B3, 6.224% due 9/25/2059 | 842,000 | 689,104 |
e | Series 2019-3 Class XS1, due 9/25/2059 | 11,602,771 | 116 |
e | Series 2019-3 Class XS2, due 9/25/2059 | 11,022,521 | 511,142 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Strategic Income Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
d,e | Series 2020-2 Class A3, 1.895% due 5/25/2065 | $ 1,003,570 | $ 912,101 |
d,e | Series 2021-2 Class A1, 1.737% due 12/25/2061 | 5,960,597 | 4,863,740 |
d,e | Series 2022-1 Class B2, 3.971% due 3/27/2062 | 4,204,000 | 2,748,713 |
d,e | Shellpoint Co-Originator Trust, Whole Loan Securities Trust CMO, Series 2016-1 Class B4, 3.556% due 11/25/2046 | 2,512,070 | 1,981,286 |
e | SLG Office Trust, CMBS, Series 2021-OVA Class A, 2.585% due 7/15/2041 | 17,958,000 | 14,695,402 |
d,e | Spruce Hill Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2022-SH1 Class A1A, 4.10% due 7/25/2057 | 5,463,138 | 5,167,158 |
e | Stack Infrastructure Issuer LLC, CMBS, Series 2021-1A Class A2, 1.877% due 3/26/2046 | 7,500,000 | 6,980,789 |
d,e | Starwood Mortgage Residential Trust, Whole Loan Securities Trust CMO, Series 2021-5 Class A1, 1.92% due 9/25/2066 | 14,890,937 | 12,366,920 |
TIAA Bank Mortgage Loan Trust, Whole Loan Securities Trust CMO, | |||
d,e | Series 2018-2 Class B3, 3.66% due 7/25/2048 | 2,403,409 | 2,122,613 |
d,e | Series 2018-2 Class B4, 3.66% due 7/25/2048 | 2,040,000 | 1,363,513 |
d,e | Toorak Mortgage Trust, Whole Loan Securities Trust CMO, Series 2024-RRTL1 Class A1, 6.597% due 2/25/2039 | 11,200,000 | 11,212,229 |
d,e | Towd Point Mortgage Trust, Whole Loan Securities Trust CMO, Series 2018-2 Class A1, 3.25% due 3/25/2058 | 1,176,580 | 1,141,773 |
d,e | TRK Trust, Whole Loan Securities Trust CMO, Series 2022-INV2 Class A1, 4.35% due 6/25/2057 | 10,487,414 | 10,146,148 |
d,e | Visio Trust, Whole Loan Securities Trust CMO, Series 2022-1 Class M1, 6.172% due 8/25/2057 | 10,000,000 | 9,682,487 |
d,e | Vista Point Securitization Trust, Whole Loan Securities Trust CMO, Series 2020-2 Class A2, 1.986% due 4/25/2065 | 874,256 | 820,530 |
d,e | WB Commercial Mortgage Trust, CMBS, Series 2024-HQ Class A, 6.134% due 3/15/2040 | 4,050,000 | 4,039,387 |
Wells Fargo Commercial Mortgage Trust, CMBS, | |||
Series 2016-C34 Class A2, 2.603% due 6/15/2049 | 960,626 | 923,721 | |
d,e | Series 2018-1745 Class A, 3.874% due 6/15/2036 | 4,000,000 | 3,499,841 |
Wells Fargo Mortgage Backed Securities Trust, Whole Loan Securities Trust CMO, | |||
d,e,g | Series 2021-INV1 Class AIO2, 0.50% due 8/25/2051 | 87,353,611 | 2,431,654 |
d,e | Series 2021-INV1 Class B4, 3.312% due 8/25/2051 | 1,623,083 | 1,223,800 |
d,e | Series 2021-INV1 Class B5, 3.312% due 8/25/2051 | 1,302,439 | 899,717 |
d,e | Series 2021-INV1 Class B6, 3.312% due 8/25/2051 | 996,139 | 414,859 |
Total Mortgage Backed (Cost $2,142,940,070) | 2,127,713,269 | ||
Loan Participations — 0.9% | |||
Commercial & Professional Services — 0.2% | |||
Commercial Services & Supplies — 0.2% | |||
Imagefirst Holdings LLC, | |||
k | 9.578% (SOFR + 4.25%), due 4/27/2028 | 11,132,949 | 11,105,117 |
k | 9.589% (SOFR + 4.25%), due 4/27/2028 | 1,561,940 | 1,558,035 |
Professional Services — 0.0% | |||
k | GTCR W Merger Sub LLC, 8.335% (SOFR + 3.00%) due 1/31/2031 | 3,000,000 | 2,999,580 |
15,662,732 | |||
Consumer Durables & Apparel — 0.0% | |||
Textiles, Apparel & Luxury Goods — 0.0% | |||
k | Hanesbrands, Inc., 9.094% (SOFR + 3.75%) due 3/8/2030 | 4,950,000 | 4,958,266 |
4,958,266 | |||
Consumer Services — 0.1% | |||
Commercial Services & Supplies — 0.1% | |||
k | GEO Group, Inc., 10.594% (SOFR + 5.25%) due 4/13/2029 | 5,000,000 | 5,093,750 |
Hotels, Restaurants & Leisure — 0.0% | |||
k | TKC Holdings, Inc., 11.109% (SOFR + 5.50%) due 5/15/2028 | 4,466,726 | 4,454,442 |
9,548,192 | |||
Financial Services — 0.2% | |||
Capital Markets — 0.2% | |||
a | CRA Loan Funding 1, 11.00% due 12/15/2026 | 18,000,000 | 18,068,400 |
18,068,400 | |||
Media & Entertainment — 0.1% | |||
Media — 0.1% | |||
k | DirecTV Financing LLC, 10.458% (SOFR + 5.00%) due 8/2/2027 | 3,730,121 | 3,733,851 |
k | Simon & Schuster, Inc., 9.33% (SOFR + 4.00%) due 10/30/2030 | 3,491,250 | 3,491,250 |
7,225,101 | |||
Software & Services — 0.1% | |||
Internet Software & Services — 0.1% | |||
k | Titan AcquisitionCo New Zealand Ltd., 9.601% (SOFR + 4.00%) due 10/18/2028 | 7,292,150 | 7,296,744 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Strategic Income Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
7,296,744 | |||
Technology Hardware & Equipment — 0.2% | |||
Communications Equipment — 0.1% | |||
k | GoTo Group, Inc., 10.178% (SOFR + 4.75%) due 4/28/2028 | $ 5,087,880 | $ 3,364,952 |
Technology Hardware, Storage & Peripherals — 0.1% | |||
k | Xerox Holdings Corp., 9.344% (SOFR + 4.00%) due 11/17/2029 | 11,700,000 | 11,674,377 |
15,039,329 | |||
Total Loan Participations (Cost $79,292,545) | 77,798,764 | ||
Short-Term Investments — 3.6% | |||
l | Thornburg Capital Management Fund | 30,850,377 | 308,503,777 |
Total Short-Term Investments (Cost $308,503,777) | 308,503,777 | ||
Total Investments — 100.0% (Cost $8,752,074,224) | $8,645,073,879 | ||
Other Assets Less Liabilities — 0.0% | 2,632,180 | ||
Net Assets — 100.0% | $8,647,706,059 |
Outstanding Forward Currency Contracts To Buy Or Sell At June 30, 2024 | |||||||
Contract Description | Contract Party* | Buy/Sell | Contract Amount | Contract Value Date | Value USD | Unrealized Appreciation | Unrealized Depreciation |
Euro | SSB | Sell | 90,256,700 | 9/25/2024 | 97,053,967 | $ 1,710,510 | $ — |
Net unrealized appreciation (depreciation) | $1,710,510 |
* | Counterparty includes State Street Bank and Trust Company ("SSB"). |
Footnote Legend | |
a | Security currently fair valued by Thornburg Investment Management, Inc.’s Valuation and Pricing Committee. |
b | Non-income producing. |
c | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
d | Variable, floating, step, or fixed to floating rate securities are securities for which interest rate changes are based on changes in a designated base rate or on a predetermined schedule. The rates shown are those in effect on June 30, 2024. |
e | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities are restricted but liquid and may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of June 30, 2024, the aggregate value of these securities in the Fund’s portfolio was $4,200,591,984, representing 48.57% of the Fund’s net assets. |
f | Yankee bond denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations. |
g | Interest only. |
h | When-issued security. |
i | Bond in default. |
j | Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at June 30, 2024. |
k | The stated coupon rate represents the greater of the SOFR or the SOFR floor rate plus a spread at June 30, 2024. |
l | Investment in Affiliates. |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Strategic Income Fund | June 30, 2024 (Unaudited) |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
To simplify the listings of securities, abbreviations are used per the table below:
ABS | Asset Backed Securities |
ARM | Adjustable Rate Mortgage |
AUD | Denominated in Australian Dollar |
BRL | Denominated in Brazilian Real |
CMBS | Commercial Mortgage-Backed Securities |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Rate |
DAC | Designated Activity Company |
DOP | Denominated in Dominican Peso |
EGP | Denominated in Egyptian Pound |
EUR | Denominated in Euro |
GBP | Denominated in Pound Sterling |
GO | General Obligation |
H15T1Y | US Treasury Yield Curve Rate T-Note Constant Maturity 1 Year |
HFFA | Health Facilities Financing Authority |
IDR | Denominated in Indonesian Rupiah |
Mtg | Mortgage |
PIK | Payment-in-kind |
REMIC | Real Estate Mortgage Investment Conduit |
SOFR | Secured Overnight Financing Rate |
SOFR30A | Secured Overnight Financing Rate 30-Day Average |
SOFR90A | Secured Overnight Financing Rate 90-Day Average |
SOFRINDX | Secured Overnight Financing Rate Index |
TSFR1M | Term SOFR 1 Month |
TSFR3M | Term SOFR 3 Month |
UMBS | Uniform Mortgage Backed Securities |
UZS | Denominated in Uzbekistani Som |
NOTES TO SCHEDULE OF INVESTMENTS
Thornburg Strategic Income Fund | June 30, 2024 (Unaudited) |
NOTE 1 – ORGANIZATION
Thornburg Strategic Income Fund (the “Fund”) is a diversified series of Thornburg Investment Trust (the “Trust”). The Trust is organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"). The Fund is currently one of twenty-four separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes. The Fund currently offers seven classes of shares of beneficial interest: Class A, Class C, Institutional Class (“Class I”), and Retirement Classes (“Class R3”, “Class R4”, “Class R5”, and “Class R6”).
NOTE 2 – SECURITY VALUATION
Valuation of the Fund’s portfolio investment securities is performed by Thornburg Investment Management, Inc., the Trust’s investment advisor (the "Advisor"), which has been designated by the Trustees of the Trust (the "Trustees") as the Fund’s "valuation designee," as that term is defined in rule 2a-5 under the 1940 Act. The Advisor performs this valuation function under the supervision of the Trustees and in accordance with policies and procedures that have been adopted by the Advisor and approved by the Trustees (the “Valuation Policy and Procedures”).
In its capacity as the Fund’s valuation designee, the Advisor makes good faith determinations of the fair value of portfolio securities for which market quotations are not readily available, and otherwise complies with and administers the Valuation Policy and Procedures. The Advisor performs those functions in significant measure through its Valuation and Pricing Committee (the “Committee”), though the Advisor may also obtain the assistance of others, including professional pricing service providers selected and approved by the Committee. In accordance with the Valuation Policy and Procedures, the Committee: assesses and manages the material risks associated with determining the fair value of those Fund investments for which market quotations are not readily available; selects and applies methodologies for determining and calculating such fair values; periodically reviews and tests the appropriateness and accuracy of those methodologies; monitors for circumstances that may necessitate the use of fair value; and approves, monitors, and evaluates pricing services engaged to provide evaluated prices for the Fund’s investments. The Committee provides reports on its activities to the Trustees’ Audit Committee, which is responsible for overseeing the Committee’s and the Advisor’s work in discharging the functions under the Valuation Policy and Procedures.
In those instances when the Committee assists in calculating a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods selected by the Committee. Because fair values calculated by the Committee are estimates, the calculation of a fair value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation of Securities: Securities and other portfolio investments which are listed or traded on a United States securities exchange are generally valued at the last reported sale price on the valuation date or, if there has been no sale of the investment on that date, at the mean between the last reported bid and asked prices for the investment on that date. Portfolio investments reported by NASDAQ are valued at the official closing price on the valuation date. If an investment is traded on more than one exchange, the investment is considered traded on the exchange that is normally the primary market for that investment. For securities and other portfolio investments which are primarily listed or traded on an exchange outside the United States, the time for determining the investment’s value in accordance with the first sentence of this paragraph will be the close of that investment’s primary exchange preceding the Fund’s valuation time.
In any case when a market quotation is not readily available for a portfolio investment ordinarily valued by market quotation, the Committee calculates a fair value for the investment using methodologies selected and approved by the Committee as described in the Valuation Policy and Procedures, subject to changes or additions by the Committee. For this purpose, a market quotation is considered to be readily available if it is a quoted price (unadjusted) in active markets for identical investments that the Fund can access at the measurement date. Pursuant to the Valuation Policy and Procedures, the Committee shall monitor for circumstances that may necessitate the use of fair valuation methodologies, including circumstances in which a market quotation for an investment is no longer reliable or is otherwise not readily available. For that purpose, a market quotation is not readily available when the primary market or exchange for the applicable investment is not open for the entire scheduled day of trading. A market quotation may also not be readily available if: (a) developments occurring after the most recent close of the applicable investment’s primary exchange, but prior to the close of business on any business day; or (b) an unusual event or significant period of time occurring since the availability of the market quotation, create a serious question concerning the reliability of that market quotation. Additionally, a market quotation will be considered unreliable if it would require adjustment under GAAP, or where GAAP would require consideration of additional inputs in determining the value of the investment. The Committee customarily obtains valuations in those instances from pricing service providers approved by the Committee. Such pricing service providers ordinarily calculate valuations using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data, and other data.
NOTES TO SCHEDULE OF INVESTMENTS, Continued
Thornburg Strategic Income Fund | June 30, 2024 (Unaudited) |
Investments in U.S. mutual funds are valued at net asset value ("NAV") each business day.
Forward currency contracts are valued by a third-party pricing service provider.
Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Committee.
In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee may calculate a fair value for the obligation using alternative methods selected and approved by the Committee. Additionally, in cases when the Committee believes that a valuation obtained from a pricing service provider is stale, does not reflect material factors affecting the valuation of the investment, is significantly different than the value the Fund is likely to obtain if it sought a bid for the investment, or is otherwise unreliable, the Committee may calculate a fair value for the obligation using an alternative method selected and approved by the Committee.
If the market quotation for an investment is expressed in a foreign currency, that market quotation will be converted to U.S. dollars using a foreign exchange quotation from a third-party service at the time of valuation. Foreign investments held by the Fund may be traded on days and at times when the Fund is not open for business. Consequently, the value of Fund’s investments may be significantly affected on days when shareholders cannot purchase or sell Fund’s shares.
NOTE 3 – Investments with Affiliates
Shown below are holdings of voting securities of each portfolio company which is considered "affiliated" to the Fund under the 1940 Act, including companies for which the Fund’s holding represented 5% or more of the company’s voting securities, and a series of the Thornburg Investment Trust in which the Fund invested for cash management purposes during the period:
Market Value 9/30/23 | Purchases at Cost | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appr./(Depr.) | Market Value 6/30/24 | Dividend Income | |
Thornburg Capital Mgmt. Fund | $570,141,195 | $2,303,906,495 | $(2,565,543,913) | $- | $- | $308,503,777 | $21,542,478 |