SCHEDULE OF INVESTMENTS
Thornburg Core Plus Bond Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Preferred Stock — 0.3% | |||
Financial Services — 0.3% | |||
Capital Markets — 0.3% | |||
a,b | Gabelli Dividend & Income Trust Series J, 4.50%, 3/26/2028 | 12 | $ 282,000 |
282,000 | |||
Total Preferred Stock (Cost $267,000) | 282,000 | ||
Asset Backed Securities — 8.1% | |||
Auto Receivables — 2.2% | |||
c | ACC Auto Trust, Series 2022-A Class A, 4.58% due 7/15/2026 | $ 4,894 | 4,888 |
AmeriCredit Automobile Receivables Trust, Series 2021-1 Class B, 0.68% due 10/19/2026 | 2,993 | 2,985 | |
c | Arivo Acceptance Auto Loan Receivables Trust, Series 2024-1A Class A, 6.46% due 4/17/2028 | 287,771 | 288,275 |
c | CarNow Auto Receivables Trust, Series 2021-2A Class D, 2.25% due 3/15/2027 | 356,404 | 351,146 |
c | Carvana Auto Receivables Trust, Series 2023-N4 Class A, 6.42% due 1/10/2028 | 23,662 | 23,755 |
Exeter Automobile Receivables Trust, | |||
Series 2021-1A Class D, 1.08% due 11/16/2026 | 75,983 | 74,175 | |
Series 2021-3A Class C, 0.96% due 10/15/2026 | 43,747 | 43,321 | |
c | FHF Issuer Trust, Series 2024-1A Class A1, 5.769% due 3/17/2025 | 35,000 | 34,990 |
c | Flagship Credit Auto Trust, Series 2021-2 Class B, 0.93% due 6/15/2027 | 58,354 | 58,234 |
c | GLS Auto Receivables Issuer Trust, Series 2021-4A Class C, 1.94% due 10/15/2027 | 446,833 | 439,718 |
b,c | Kinetic Advantage Master Owner Trust, Series 2024-1A Class A, 7.983% (SOFR30A + 2.65%) due 11/15/2027 | 185,000 | 185,544 |
c | Lobel Automobile Receivables Trust, Series 2023-2 Class A, 7.59% due 4/16/2029 | 28,714 | 28,957 |
c | Octane Receivables Trust, Series 2022-2A Class A, 5.11% due 2/22/2028 | 81,296 | 80,940 |
c | OneMain Direct Auto Receivables Trust, Series 2022-1A Class A1, 4.65% due 3/14/2029 | 250,000 | 247,673 |
c | Research-Driven Pagaya Motor Asset Trust, Series 2023-4A Class A, 7.54% due 3/25/2032 | 31,715 | 32,041 |
c | Tricolor Auto Securitization Trust, Series 2024-2A Class A, 6.36% due 12/15/2027 | 239,679 | 239,785 |
c | United Auto Credit Securitization Trust, Series 2024-1 Class A, 6.17% due 8/10/2026 | 203,538 | 203,625 |
2,340,052 | |||
Credit Card — 0.9% | |||
c | Avant Credit Card Master Trust, Series 2021-1A Class A, 1.37% due 4/15/2027 | 100,000 | 97,885 |
c | Brex Commercial Charge Card Master Trust, Series 2024-1 Class A1, 6.05% due 7/15/2027 | 200,000 | 199,765 |
c | Mercury Financial Credit Card Master Trust, Series 2024-2A Class A, 6.56% due 7/20/2029 | 275,000 | 275,571 |
c | Mission Lane Credit Card Master Trust, Series 2024-A Class A1, 6.20% due 8/15/2029 | 375,000 | 374,627 |
947,848 | |||
Other Asset Backed — 4.3% | |||
c | Amur Equipment Finance Receivables X LLC, Series 2022-1A Class A2, 1.64% due 10/20/2027 | 283,382 | 277,917 |
c | Aqua Finance Trust, Series 2020-AA Class D, 7.15% due 7/17/2046 | 165,000 | 154,208 |
c | Auxilior Term Funding LLC, Series 2023-1A Class A2, 6.18% due 12/15/2028 | 110,000 | 110,460 |
c | Avid Automobile Receivables Trust, Series 2024-1 Class A, 6.86% due 2/15/2030 | 320,000 | 320,142 |
c | BHG Securitization Trust, Series 2022-C Class A, 5.32% due 10/17/2035 | 22,873 | 22,840 |
c | Diamond Infrastructure Funding LLC, Series 2021-1A Class A, 1.76% due 4/15/2049 | 100,000 | 90,222 |
c | EverBright Solar Trust, Series 2024-A Class A, 6.43% due 6/22/2054 | 156,269 | 152,833 |
c | Foundation Finance Trust, Series 2019-1A Class B, 4.22% due 11/15/2034 | 325,000 | 318,522 |
GoodLeap Sustainable Home Solutions Trust, | |||
c | Series 2021-3CS Class A, 2.10% due 5/20/2048 | 232,971 | 181,721 |
c | Series 2021-4GS Class A, 1.93% due 7/20/2048 | 75,730 | 57,749 |
c | Series 2021-5CS Class A, 2.31% due 10/20/2048 | 358,517 | 285,430 |
b,c | Gracie Point International Funding LLC, Series 2023-2A Class A, 7.599% (SOFR90A + 2.25%) due 3/1/2027 | 60,655 | 60,833 |
c | Loanpal Solar Loan Ltd., Series 2021-1GS Class A, 2.29% due 1/20/2048 | 14,883 | 11,598 |
c | Marlette Funding Trust, Series 2022-3A Class A, 5.18% due 11/15/2032 | 308 | 308 |
c,d | Mill City Solar Loan Ltd., Series 2019-2GS Class A, 3.69% due 7/20/2043 | 103,778 | 91,038 |
c | MMAF Equipment Finance LLC, Series 2020-BA Class A3, 0.49% due 8/14/2025 | 56,810 | 56,115 |
c | Momnt Technologies Trust, Series 2023-1A Class A, 6.92% due 3/20/2045 | 83,787 | 84,459 |
c | NMEF Funding LLC, Series 2023-A Class A2, 6.57% due 6/17/2030 | 82,318 | 82,876 |
Oportun Issuance Trust, | |||
c | Series 2021-B Class A, 1.47% due 5/8/2031 | 93,676 | 88,659 |
c | Series 2021-C Class A, 2.18% due 10/8/2031 | 250,000 | 235,951 |
Pagaya AI Debt Trust, | |||
c | Series 2023-3 Class A, 7.60% due 12/16/2030 | 42,287 | 42,498 |
c | Series 2024-3 Class A, 6.258% due 10/15/2031 | 121,626 | 121,691 |
c | PFS Financing Corp., Series 2023-B Class A, 5.27% due 5/15/2028 | 160,000 | 159,657 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Core Plus Bond Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
c | PowerPay Issuance Trust, Series 2024-1A Class A, 6.53% due 2/18/2039 | $ 174,271 | $ 173,132 |
b,c | SBA Tower Trust, Series 2014-2A Class C, 3.869% due 10/15/2049 | 50,000 | 49,677 |
c | Service Experts Issuer LLC, Series 2021-1A Class A, 2.67% due 2/2/2032 | 47,364 | 45,048 |
c | SPS Servicer Advance Receivables Trust, Series 2020-T2 Class A, 1.83% due 11/15/2055 | 395,000 | 373,078 |
c,e | Stream Innovations Issuer Trust, Series 2024-1A Class A, 6.27% due 7/15/2044 | 270,000 | 269,998 |
c | Sunnova Hestia II Issuer LLC, Series 2024-GRID1 Class 1A, 5.63% due 7/20/2051 | 265,000 | 266,821 |
c | Upstart Securitization Trust, Series 2021-2 Class C, 3.61% due 6/20/2031 | 358,985 | 351,934 |
c | Upstart Structured Pass-Through Trust, Series 2022-1A Class A, 3.40% due 4/15/2030 | 22,918 | 22,550 |
4,559,965 | |||
Student Loan — 0.7% | |||
c | Ascent Education Funding Trust, Series 2024-A Class A, 6.14% due 10/25/2050 | 329,784 | 330,563 |
c | EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A Class A, 1.80% due 11/25/2045 | 53,338 | 47,610 |
c | MPOWER Education Trust, Series 2024-A Class A, 6.78% due 7/22/2041 | 258,067 | 260,454 |
c | Navient Private Education Refi Loan Trust, Series 2020-IA Class A1A, 1.33% due 4/15/2069 | 131,640 | 118,475 |
c | SoFi Professional Loan Program LLC, Series 2021-B Class AFX, 1.14% due 2/15/2047 | 59,367 | 50,623 |
807,725 | |||
Total Asset Backed Securities (Cost $8,640,608) | 8,655,590 | ||
Corporate Bonds — 33.5% | |||
Automobiles & Components — 0.4% | |||
Automobiles — 0.4% | |||
b | American Honda Finance Corp., 6.069% (SOFRINDX + 0.70%) due 11/22/2024 | 400,000 | 400,648 |
400,648 | |||
Banks — 1.4% | |||
Banks — 1.2% | |||
c,d | Corp. Financiera de Desarrollo SA, 5.95% due 4/30/2029 | 250,000 | 250,142 |
b,d | Mizuho Financial Group, Inc., 5.376% (H15T1Y + 1.12%) due 5/26/2030 | 200,000 | 199,732 |
b | Santander Holdings USA, Inc., 6.174% (SOFR + 2.50%) due 1/9/2030 | 277,000 | 279,371 |
b | U.S. Bancorp, 5.775% (SOFR + 2.02%) due 6/12/2029 | 274,000 | 278,184 |
b | Wells Fargo & Co., 5.574% (SOFR + 1.74%) due 7/25/2029 | 277,000 | 279,579 |
Financial Services — 0.2% | |||
b | Bank of New York Mellon Corp., 4.975% (SOFR + 1.09%) due 3/14/2030 | 260,000 | 258,362 |
1,545,370 | |||
Capital Goods — 1.1% | |||
Aerospace & Defense — 0.3% | |||
c | BWX Technologies, Inc., 4.125% due 4/15/2029 | 85,000 | 78,403 |
c | TransDigm, Inc., 6.375% due 3/1/2029 | 300,000 | 301,857 |
Machinery — 0.5% | |||
d | nVent Finance SARL, 2.75% due 11/15/2031 | 343,000 | 282,594 |
Regal Rexnord Corp., 6.30% due 2/15/2030 | 274,000 | 279,738 | |
Trading Companies & Distributors — 0.3% | |||
LKQ Corp., 6.25% due 6/15/2033 | 269,000 | 276,478 | |
1,219,070 | |||
Commercial & Professional Services — 0.9% | |||
Commercial Services & Supplies — 0.8% | |||
CoreCivic, Inc., 8.25% due 4/15/2029 | 168,000 | 173,636 | |
Element Fleet Management Corp., | |||
c,d | 5.643% due 3/13/2027 | 130,000 | 130,295 |
c,d | 6.319% due 12/4/2028 | 416,000 | 430,061 |
Equifax, Inc., 2.60% due 12/1/2024 | 85,000 | 83,892 | |
c | UL Solutions, Inc., 6.50% due 10/20/2028 | 35,000 | 36,420 |
Professional Services — 0.1% | |||
c | Gartner, Inc., 3.625% due 6/15/2029 | 35,000 | 32,043 |
c | Korn Ferry, 4.625% due 12/15/2027 | 75,000 | 71,401 |
957,748 | |||
Consumer Discretionary Distribution & Retail — 0.4% | |||
Broadline Retail — 0.4% | |||
Dollar General Corp., 4.25% due 9/20/2024 | 100,000 | 99,609 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Core Plus Bond Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
MercadoLibre, Inc., 2.375% due 1/14/2026 | $ 296,000 | $ 280,490 | |
380,099 | |||
Consumer Durables & Apparel — 0.3% | |||
Leisure Products — 0.3% | |||
Polaris, Inc., 6.95% due 3/15/2029 | 265,000 | 277,731 | |
277,731 | |||
Consumer Services — 0.1% | |||
Hotels, Restaurants & Leisure — 0.1% | |||
c | Nathan’s Famous, Inc., 6.625% due 11/1/2025 | 120,000 | 119,948 |
c | Papa John’s International, Inc., 3.875% due 9/15/2029 | 48,000 | 42,526 |
162,474 | |||
Consumer Staples Distribution & Retail — 0.6% | |||
Consumer Staples Distribution & Retail — 0.6% | |||
c | KeHE Distributors LLC/KeHE Finance Corp./NextWave Distribution, Inc., 9.00% due 2/15/2029 | 300,000 | 307,524 |
c | U.S. Foods, Inc., 4.75% due 2/15/2029 | 300,000 | 284,586 |
592,110 | |||
Energy — 2.3% | |||
Oil, Gas & Consumable Fuels — 2.3% | |||
c | Chesapeake Energy Corp., 5.50% due 2/1/2026 | 290,000 | 287,230 |
c | CITGO Petroleum Corp., 7.00% due 6/15/2025 | 250,000 | 250,007 |
c | Columbia Pipelines Operating Co. LLC, 5.927% due 8/15/2030 | 345,000 | 352,311 |
Ecopetrol SA, | |||
d | 4.625% due 11/2/2031 | 70,000 | 57,297 |
d | 8.375% due 1/19/2036 | 125,000 | 122,920 |
d | Energean Israel Finance Ltd., 8.50% due 9/30/2033 | 210,000 | 198,234 |
Kinder Morgan Energy Partners LP, 5.80% due 3/15/2035 | 280,000 | 281,484 | |
c,d | Parkland Corp., 5.875% due 7/15/2027 | 250,000 | 246,970 |
d | Petroleos Mexicanos, 7.69% due 1/23/2050 | 285,000 | 205,152 |
Sunoco LP, | |||
c | 7.00% due 5/1/2029 | 300,000 | 307,574 |
c | 7.25% due 5/1/2032 | 150,000 | 155,080 |
2,464,259 | |||
Equity Real Estate Investment Trusts (REITs) — 1.4% | |||
Diversified REITs — 1.1% | |||
Crown Castle, Inc., 5.80% due 3/1/2034 | 345,000 | 348,436 | |
Extra Space Storage LP, 3.90% due 4/1/2029 | 305,000 | 286,965 | |
c | Iron Mountain Information Management Services, Inc., 5.00% due 7/15/2032 | 220,000 | 201,091 |
SBA Tower Trust, | |||
c | 1.631% due 5/15/2051 | 70,000 | 63,581 |
c | 1.884% due 7/15/2050 | 235,000 | 221,004 |
c | 2.328% due 7/15/2052 | 111,000 | 99,631 |
Retail REITs — 0.3% | |||
Retail Opportunity Investments Partnership LP, 6.75% due 10/15/2028 | 271,000 | 280,501 | |
1,501,209 | |||
Financial Services — 4.7% | |||
Capital Markets — 2.5% | |||
c,d | Abu Dhabi Developmental Holding Co. PJSC, 5.375% due 5/8/2029 | 250,000 | 253,637 |
Ares Capital Corp., 3.25% due 7/15/2025 | 335,000 | 325,754 | |
c | Ares Finance Co. LLC, 4.00% due 10/8/2024 | 200,000 | 197,912 |
c,d | B3 SA - Brasil Bolsa Balcao, 4.125% due 9/20/2031 | 250,000 | 218,537 |
c | Blue Owl Technology Finance Corp., 3.75% due 6/17/2026 | 370,000 | 345,003 |
Hercules Capital, Inc., 3.375% due 1/20/2027 | 305,000 | 282,592 | |
c | LPL Holdings, Inc., 4.00% due 3/15/2029 | 300,000 | 280,194 |
Main Street Capital Corp., 6.50% due 6/4/2027 | 276,000 | 276,190 | |
Nasdaq, Inc., 5.55% due 2/15/2034 | 280,000 | 280,521 | |
c | Oaktree Strategic Credit Fund, 8.40% due 11/14/2028 | 265,000 | 279,827 |
Consumer Finance — 0.5% | |||
c | FirstCash, Inc., 6.875% due 3/1/2032 | 500,000 | 499,910 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Core Plus Bond Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Financial Services — 1.4% | |||
b | Capital One Financial Corp., 7.149% (SOFR + 2.44%) due 10/29/2027 | $ 330,000 | $ 340,883 |
b | Citigroup, Inc., 3.785% (SOFR + 1.94%) due 3/17/2033 | 395,000 | 352,091 |
b,d | HSBC Holdings plc, 5.546% (SOFR + 1.46%) due 3/4/2030 | 250,000 | 250,465 |
d | Sumitomo Mitsui Financial Group, Inc., 3.544% due 1/17/2028 | 296,000 | 280,333 |
b | Truist Financial Corp., 5.867% (SOFR + 2.36%) due 6/8/2034 | 277,000 | 279,344 |
Mortgage Real Estate Investment Trusts — 0.3% | |||
Prologis Targeted U.S. Logistics Fund LP, | |||
c | 5.25% due 4/1/2029 | 242,000 | 242,111 |
c | 5.50% due 4/1/2034 | 45,000 | 45,078 |
5,030,382 | |||
Food, Beverage & Tobacco — 1.5% | |||
Beverages — 0.6% | |||
c,d | Becle SAB de CV, 2.50% due 10/14/2031 | 400,000 | 316,060 |
c,d | Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, 5.25% due 4/27/2029 | 350,000 | 324,999 |
Food Products — 0.2% | |||
Post Holdings, Inc., | |||
c | 4.625% due 4/15/2030 | 150,000 | 137,827 |
c | 5.50% due 12/15/2029 | 44,000 | 42,418 |
c | 6.25% due 2/15/2032 | 50,000 | 50,128 |
Tobacco — 0.7% | |||
BAT Capital Corp., | |||
5.834% due 2/20/2031 | 120,000 | 121,639 | |
7.75% due 10/19/2032 | 160,000 | 179,826 | |
c,d,e | Imperial Brands Finance plc, 5.50% due 2/1/2030 | 350,000 | 346,675 |
c | Vector Group Ltd., 10.50% due 11/1/2026 | 40,000 | 40,416 |
1,559,988 | |||
Health Care Equipment & Services — 1.4% | |||
Health Care Equipment & Supplies — 0.0% | |||
c | Hologic, Inc., 3.25% due 2/15/2029 | 50,000 | 44,866 |
Health Care Providers & Services — 1.4% | |||
Centene Corp., 3.00% due 10/15/2030 | 328,000 | 280,587 | |
c | Highmark, Inc., 1.45% due 5/10/2026 | 305,000 | 280,914 |
Humana, Inc., 5.70% due 3/13/2026 | 250,000 | 249,675 | |
Tenet Healthcare Corp., 6.75% due 5/15/2031 | 350,000 | 355,404 | |
Universal Health Services, Inc., 2.65% due 10/15/2030 | 333,000 | 283,876 | |
1,495,322 | |||
Industrials — 0.4% | |||
Transportation Infrastructure — 0.4% | |||
c | Penske Truck Leasing Co. LP/PTL Finance Corp., 6.20% due 6/15/2030 | 445,000 | 463,018 |
463,018 | |||
Insurance — 3.8% | |||
Insurance — 3.8% | |||
Aon North America, Inc., 5.45% due 3/1/2034 | 350,000 | 348,442 | |
c | Brighthouse Financial Global Funding, 5.55% due 4/9/2027 | 265,000 | 264,075 |
CNA Financial Corp., 5.125% due 2/15/2034 | 365,000 | 353,546 | |
CNO Financial Group, Inc., 6.45% due 6/15/2034 | 250,000 | 249,855 | |
b | Enstar Finance LLC, 5.75% (5-Yr. CMT + 5.470%) due 9/1/2040 | 350,000 | 344,404 |
c | F&G Global Funding, 2.00% due 9/20/2028 | 415,000 | 355,207 |
d | Fairfax Financial Holdings Ltd., 5.625% due 8/16/2032 | 85,000 | 83,983 |
Horace Mann Educators Corp., 7.25% due 9/15/2028 | 265,000 | 281,038 | |
c,d | Intact Financial Corp., 5.459% due 9/22/2032 | 285,000 | 283,270 |
c | Mutual of Omaha Cos Global Funding, 5.45% due 12/12/2028 | 276,000 | 277,455 |
c | Prudential Insurance Co. of America, 8.30% due 7/1/2025 | 225,000 | 229,988 |
c | Reliance Standard Life Global Funding II, 5.243% due 2/2/2026 | 281,000 | 278,035 |
RenaissanceRe Finance, Inc., 3.70% due 4/1/2025 | 160,000 | 157,389 | |
d | RenaissanceRe Holdings Ltd., 5.75% due 6/5/2033 | 188,000 | 188,182 |
c | RGA Global Funding, 2.70% due 1/18/2029 | 65,000 | 58,379 |
Stewart Information Services Corp., 3.60% due 11/15/2031 | 338,000 | 279,556 | |
4,032,804 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Core Plus Bond Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Materials — 0.9% | |||
Containers & Packaging — 0.9% | |||
d | Amcor Group Finance plc, 5.45% due 5/23/2029 | $ 260,000 | $ 260,957 |
Ball Corp., 2.875% due 8/15/2030 | 95,000 | 80,769 | |
c | Berry Global, Inc., 4.875% due 7/15/2026 | 250,000 | 245,423 |
c,d | CCL Industries, Inc., 3.05% due 6/1/2030 | 185,000 | 163,949 |
WRKCo, Inc., 3.00% due 9/15/2024 | 250,000 | 248,387 | |
999,485 | |||
Media & Entertainment — 0.5% | |||
Media — 0.5% | |||
c | CCO Holdings LLC/CCO Holdings Capital Corp., 4.25% due 1/15/2034 | 330,000 | 250,322 |
c | Sirius XM Radio, Inc., 5.50% due 7/1/2029 | 350,000 | 328,835 |
579,157 | |||
Pharmaceuticals, Biotechnology & Life Sciences — 0.4% | |||
Pharmaceuticals — 0.4% | |||
c | Walgreens Boots Alliance, Inc., 6.523% due 7/5/2024 | 380,000 | 379,730 |
379,730 | |||
Semiconductors & Semiconductor Equipment — 1.2% | |||
Semiconductors & Semiconductor Equipment — 1.2% | |||
c | Broadcom, Inc., 3.187% due 11/15/2036 | 445,000 | 351,959 |
Micron Technology, Inc., 6.75% due 11/1/2029 | 261,000 | 277,532 | |
c | Qorvo, Inc., 3.375% due 4/1/2031 | 331,000 | 283,578 |
c,d | Renesas Electronics Corp., 1.543% due 11/26/2024 | 400,000 | 392,652 |
1,305,721 | |||
Software & Services — 2.0% | |||
Information Technology Services — 0.6% | |||
c | Insight Enterprises, Inc., 6.625% due 5/15/2032 | 250,000 | 254,010 |
Kyndryl Holdings, Inc., 2.70% due 10/15/2028 | 216,000 | 191,961 | |
c | Science Applications International Corp., 4.875% due 4/1/2028 | 250,000 | 238,548 |
Internet Software & Services — 0.2% | |||
c,d | Prosus NV, 3.832% due 2/8/2051 | 200,000 | 130,554 |
c | Prosus NV (EUR), 1.985% due 7/13/2033 | 100,000 | 84,229 |
Software — 1.2% | |||
c,d | Constellation Software, Inc., 5.158% due 2/16/2029 | 351,000 | 350,961 |
c | Fair Isaac Corp., 4.00% due 6/15/2028 | 85,000 | 79,496 |
c | MSCI, Inc., 3.625% due 9/1/2030 | 317,000 | 284,926 |
c,d | Open Text Corp., 3.875% due 12/1/2029 | 300,000 | 268,812 |
c | SS&C Technologies, Inc., 6.50% due 6/1/2032 | 250,000 | 252,235 |
2,135,732 | |||
Technology Hardware & Equipment — 1.8% | |||
Electronic Equipment, Instruments & Components — 1.6% | |||
CDW LLC/CDW Finance Corp., | |||
3.25% due 2/15/2029 | 310,000 | 279,716 | |
5.50% due 12/1/2024 | 250,000 | 249,425 | |
d | Flex Ltd., 4.875% due 5/12/2030 | 360,000 | 348,023 |
c | Sensata Technologies, Inc., 6.625% due 7/15/2032 | 200,000 | 201,406 |
Vontier Corp., 2.40% due 4/1/2028 | 317,000 | 281,014 | |
c | WESCO Distribution, Inc., 6.375% due 3/15/2029 | 200,000 | 200,800 |
c | Zebra Technologies Corp., 6.50% due 6/1/2032 | 200,000 | 202,270 |
Technology Hardware, Storage & Peripherals — 0.2% | |||
Hewlett Packard Enterprise Co., 6.102% due 4/1/2026 | 200,000 | 200,020 | |
1,962,674 | |||
Telecommunication Services — 0.1% | |||
Wireless Telecommunication Services — 0.1% | |||
c | Crown Castle Towers LLC, 4.241% due 7/15/2048 | 125,000 | 118,884 |
118,884 | |||
Transportation — 0.3% | |||
Air Freight & Logistics — 0.3% |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Core Plus Bond Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Ryder System, Inc., 5.30% due 3/15/2027 | $ 280,000 | $ 280,230 | |
280,230 | |||
Utilities — 5.6% | |||
Electric Utilities — 5.3% | |||
AEP Texas, Inc., Series I, 2.10% due 7/1/2030 | 360,000 | 299,678 | |
Allegion U.S. Holding Co., Inc., 3.20% due 10/1/2024 | 350,000 | 347,487 | |
American Electric Power Co., Inc., 2.30% due 3/1/2030 | 350,000 | 297,997 | |
Black Hills Corp., 6.15% due 5/15/2034 | 335,000 | 341,623 | |
c | Boston Gas Co., 3.757% due 3/16/2032 | 400,000 | 348,912 |
Comision Federal de Electricidad, | |||
c,d | 3.348% due 2/9/2031 | 200,000 | 164,808 |
d | 5.00% due 9/29/2036 | 141,200 | 123,958 |
DTE Energy Co., 5.85% due 6/1/2034 | 300,000 | 304,368 | |
c,d | Electricite de France SA, 5.65% due 4/22/2029 | 375,000 | 377,419 |
c,d | Enel Finance International NV, 5.125% due 6/26/2029 | 322,000 | 316,874 |
c | Evergy Missouri West, Inc., 3.75% due 3/15/2032 | 65,000 | 56,778 |
ITC Holdings Corp., 5.30% due 7/1/2043 | 300,000 | 274,884 | |
c | Kentucky Power Co., 7.00% due 11/15/2033 | 261,000 | 276,326 |
c | Liberty Utilities Finance GP 1, 2.05% due 9/15/2030 | 350,000 | 285,544 |
c | Midland Cogeneration Venture LP, 6.00% due 3/15/2025 | 205,847 | 202,887 |
c | Monongahela Power Co., 3.55% due 5/15/2027 | 295,000 | 281,141 |
c | Niagara Mohawk Power Corp., 3.508% due 10/1/2024 | 225,000 | 223,375 |
Public Service Co. of Oklahoma, Series J, 2.20% due 8/15/2031 | 348,000 | 281,194 | |
Puget Energy, Inc., | |||
4.10% due 6/15/2030 | 200,000 | 183,642 | |
4.224% due 3/15/2032 | 205,000 | 183,752 | |
Southwestern Public Service Co., 6.00% due 6/1/2054 | 250,000 | 249,395 | |
Wisconsin Power & Light Co., 5.375% due 3/30/2034 | 282,000 | 280,080 | |
Gas Utilities — 0.3% | |||
c | KeySpan Gas East Corp., 5.994% due 3/6/2033 | 280,000 | 281,823 |
5,983,945 | |||
Total Corporate Bonds (Cost $35,638,868) | 35,827,790 | ||
Long-Term Municipal Bonds — 0.1% | |||
County of Miami-Dade Seaport Department, 6.224% due 11/1/2055 | 100,000 | 104,909 | |
Total Long-Term Municipal Bonds (Cost $100,000) | 104,909 | ||
Other Government — 0.5% | |||
c,e | Dominican Republic International Bonds (DOP), 10.75% due 6/1/2036 | 16,000,000 | 274,044 |
Egypt Government Bonds (EGP), Series 3Y, 23.865% due 6/4/2027 | 8,000,000 | 162,010 | |
c,d | Finance Department Government of Sharjah, 4.00% due 7/28/2050 | 250,000 | 161,603 |
Total Other Government (Cost $597,165) | 597,657 | ||
U.S. Treasury Securities — 28.0% | |||
U.S. Treasury Inflation-Indexed Bonds, | |||
1.50%, 2/15/2053 | 627,535 | 527,399 | |
2.125%, 2/15/2054 | 2,809,180 | 2,732,257 | |
U.S. Treasury Inflation-Indexed Notes, 1.125%, 1/15/2033 | 768,310 | 710,867 | |
U.S. Treasury Notes, | |||
1.125%, 8/15/2040 | 5,275,000 | 3,211,981 | |
1.375%, 11/15/2040 | 2,660,000 | 1,677,878 | |
1.75%, 8/15/2041 | 3,300,000 | 2,179,547 | |
1.875%, 11/15/2051 | 295,000 | 171,238 | |
2.375%, 2/15/2042 | 1,403,000 | 1,021,121 | |
3.75%, 12/31/2030 | 300,000 | 289,828 | |
3.875%, 8/15/2033 | 2,922,000 | 2,811,512 | |
4.00%, 2/15/2034 | 1,625,000 | 1,577,773 | |
4.125%, 8/15/2053 | 155,000 | 144,368 | |
4.25%, 2/15/2054 | 2,782,000 | 2,649,855 | |
4.375%, 5/15/2034 | 670,000 | 670,209 | |
4.50%, 11/15/2033 | 7,427,000 | 7,496,628 | |
U.S. Treasury Strip Coupon, |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Core Plus Bond Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
4.644%, 11/15/2036 | $ 1,000,000 | $ 570,232 | |
4.915%, 11/15/2041 | 3,500,000 | 1,520,553 | |
Total U.S. Treasury Securities (Cost $29,758,855) | 29,963,246 | ||
U.S. Government Agencies — 0.8% | |||
b,c,f | Farm Credit Bank of Texas, Series 4, 5.70% (5-Yr. CMT + 5.420%), 9/15/2025 | 325,000 | 320,340 |
Federal Home Loan Banks, 2.90%, 2/18/2037 | 625,000 | 493,231 | |
Total U.S. Government Agencies (Cost $822,475) | 813,571 | ||
Mortgage Backed — 27.9% | |||
b,c | 510 Asset-Backed Trust, Whole Loan Securities Trust CMO, Series 2021-NPL2 Class A1, 2.116% due 6/25/2061 | 208,367 | 203,955 |
Angel Oak Mortgage Trust, Whole Loan Securities Trust CMO, | |||
b,c | Series 2022-1 Class A1, 2.881% due 12/25/2066 | 114,991 | 103,322 |
b,c | Series 2024-3 Class A1, 4.80% due 11/26/2068 | 191,615 | 185,592 |
Barclays Mortgage Trust, Whole Loan Securities Trust CMO, | |||
b,c | Series 2021-NPL1 Class A, 2.00% due 11/25/2051 | 370,906 | 356,872 |
b,c | Series 2022-RPL1 Class A, 4.25% due 2/25/2028 | 390,967 | 374,200 |
BRAVO Residential Funding Trust, Whole Loan Securities Trust CMO, | |||
b,c | Series 2021-NQM3 Class A1, 1.699% due 4/25/2060 | 40,612 | 36,520 |
b,c | Series 2022-NQM3 Class A1, 5.108% due 7/25/2062 | 79,444 | 78,833 |
CHNGE Mortgage Trust, Whole Loan Securities Trust CMO, | |||
b,c | Series 2022-1 Class A1, 3.007% due 1/25/2067 | 104,054 | 95,927 |
b,c | Series 2023-1 Class A1, 7.065% due 3/25/2058 | 302,995 | 303,013 |
Citigroup Mortgage Loan Trust, Whole Loan Securities Trust CMO, | |||
b,c | Series 2021-INV2 Class A3A, 2.50% due 5/25/2051 | 78,525 | 62,510 |
b,c | Series 2021-J2 Class A7A, 2.50% due 7/25/2051 | 311,753 | 270,179 |
c | Cogent Ipv4 LLC, CMBS, Series 2024-1A Class A2, 7.924% due 5/25/2054 | 250,000 | 254,510 |
Cross Mortgage Trust, Whole Loan Securities Trust CMO, | |||
b,c | Series 2023-H1 Class A1, 6.615% due 3/25/2068 | 400,698 | 402,587 |
b,c | Series 2024-H4 Class A1, 6.147% due 7/25/2069 | 320,000 | 321,663 |
CSMC Trust, Whole Loan Securities Trust CMO, | |||
b,c | Series 2021-AFC1 Class-A1, 0.83% due 3/25/2056 | 52,447 | 41,590 |
b,c | Series 2022-ATH2 Class A1, 4.547% due 5/25/2067 | 114,534 | 112,349 |
c | DataBank Issuer LLC, CMBS, Series 2024-1A Class A2, 5.30% due 1/26/2054 | 275,000 | 264,301 |
c | DC Office Trust, CMBS, Series 2019-MTC Class A, 2.965% due 9/15/2045 | 200,000 | 170,601 |
b,c | FARM Mortgage Trust, Whole Loan Securities Trust CMO, Series 2024-1 Class A, 4.721% due 10/1/2053 | 320,692 | 303,903 |
b | Federal Home Loan Mtg Corp., Pool 841463, 2.156% (2.18% - SOFR30A) due 7/1/2052 | 110,499 | 95,178 |
Federal Home Loan Mtg Corp., Multifamily Structured Pass-Through Certificates, CMBS, | |||
b | Series K-154 Class A2, 4.35% due 1/25/2033 | 107,000 | 103,511 |
Series KJ46 Class A2, 4.796% due 10/25/2031 | 32,000 | 31,931 | |
b | Series KJ47 Class A2, 5.43% due 6/25/2031 | 22,000 | 22,495 |
Series KJ48 Class A2, 5.028% due 10/25/2031 | 56,000 | 56,406 | |
Federal Home Loan Mtg Corp., Seasoned Credit Risk Transfer, Whole Loan Securities Trust CMO, Series 2024-1 Class MT, 3.00% due 11/25/2063 | 506,431 | 411,215 | |
Federal Home Loan Mtg Corp., UMBS Collateral, | |||
Pool RA6665, 3.00% due 2/1/2052 | 1,194,093 | 1,015,846 | |
Pool SD8140, 2.00% due 4/1/2051 | 428,951 | 337,254 | |
Pool SD8206, 3.00% due 4/1/2052 | 1,489,902 | 1,268,916 | |
Pool SD8213, 3.00% due 5/1/2052 | 1,160,304 | 987,756 | |
Pool SD8225, 3.00% due 7/1/2052 | 194,439 | 165,449 | |
Federal National Mtg Assoc., | |||
b | Pool BM7277, 1.969% (2.07% - SOFR30A) due 8/1/2051 | 117,686 | 102,397 |
b | Pool BM7341, 2.409% (RFUCCT1Y + 1.61%) due 12/1/2050 | 520,267 | 467,847 |
Federal National Mtg Assoc., CMO REMIC, Series 2024-25 Class VB, 5.50% due 3/25/2035 | 346,053 | 344,016 | |
Federal National Mtg Assoc., UMBS Collateral, | |||
Pool BV4119, 2.50% due 3/1/2052 | 648,374 | 530,338 | |
Pool CB0199, 3.00% due 4/1/2051 | 416,815 | 354,595 | |
Pool CB2301, 3.00% due 12/1/2051 | 494,174 | 420,407 | |
Pool CB2399, 2.50% due 12/1/2051 | 572,157 | 468,527 | |
Pool CB2404, 2.50% due 12/1/2051 | 308,207 | 251,897 | |
Pool CB2665, 3.00% due 1/1/2052 | 276,802 | 235,482 | |
Pool CB3050, 2.50% due 3/1/2052 | 311,567 | 254,847 | |
Pool FS0957, 3.00% due 3/1/2052 | 517,120 | 440,620 | |
Pool FS2676, 3.00% due 6/1/2052 | 347,516 | 295,641 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Core Plus Bond Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Pool FS4862, 2.50% due 10/1/2051 | $ 278,010 | $ 227,330 | |
Pool FS4919, 2.50% due 5/1/2053 | 354,547 | 290,002 | |
Pool FS7059, 3.00% due 7/1/2052 | 558,396 | 475,552 | |
Pool FS7065, 3.00% due 3/1/2053 | 2,994,239 | 2,548,968 | |
Pool FS7879, 2.50% due 7/1/2052 | 396,601 | 323,764 | |
Pool MA4399, 2.50% due 8/1/2051 | 349,571 | 286,689 | |
Pool MA4548, 2.50% due 2/1/2052 | 1,956,510 | 1,600,934 | |
Pool MA4578, 2.50% due 4/1/2052 | 2,125,286 | 1,738,379 | |
Pool MA4599, 3.00% due 5/1/2052 | 2,298,658 | 1,956,826 | |
Pool MA4730, 3.00% due 9/1/2052 | 475,108 | 404,087 | |
GCAT Trust, Whole Loan Securities Trust CMO, | |||
b,c | Series 2021-CM1 Class A, 2.469% due 4/25/2065 | 94,494 | 88,960 |
b,c | Series 2023-INV1 Class A1, 6.00% due 8/25/2053 | 271,008 | 269,076 |
b,c | Series 2023-NQM4 Class A1, 4.25% due 5/25/2067 | 436,008 | 402,188 |
Government National Mtg Assoc., CMBS, Series 2023-104 Class AD, 4.00% due 1/16/2065 | 64,441 | 60,217 | |
b,c | GS Mortgage-Backed Securities Trust, Whole Loan Securities Trust CMO, Series 2024-RPL2 Class A1, 3.75% due 7/25/2061 | 189,226 | 178,959 |
Harvest Commercial Capital Loan Trust, CMBS, Series 2024-1 Class A, 6.164% due 10/25/2056 | 319,839 | 319,283 | |
Homeward Opportunities Fund Trust, Whole Loan Securities Trust CMO, | |||
b,c | Series 2022-1 A Class A1, 5.082% due 7/25/2067 | 177,120 | 174,605 |
c | Series 2024-RTL1 Class A1, 7.12% due 7/25/2029 | 325,000 | 324,900 |
c | Houston Galleria Mall Trust, CMBS, Series 2015-HGLR Class A1A2, 3.087% due 3/5/2037 | 165,000 | 160,748 |
b,c | Hudson Yards Mortgage Trust, CMBS, Series 2019-55HY Class A, 3.041% due 12/10/2041 | 250,000 | 216,897 |
b,c | Imperial Fund Mortgage Trust, Whole Loan Securities Trust CMO, Series 2022-NQM4 Class A1, 4.767% due 6/25/2067 | 101,434 | 100,299 |
JP Morgan Mortgage Trust, Whole Loan Securities Trust CMO, | |||
b,c | Series 2021-1 Class A3A, 2.00% due 6/25/2051 | 373,169 | 287,216 |
b,c | Series 2021-INV6 Class A2, 3.00% due 4/25/2052 | 77,410 | 64,299 |
MFA Trust, Whole Loan Securities Trust CMO, | |||
b,c | Series 2021-INV2 Class A1, 1.906% due 11/25/2056 | 74,993 | 63,986 |
b,c | Series 2022-NQM2 Class A1, 4.00% due 5/25/2067 | 432,989 | 413,023 |
c | Morgan Stanley Capital I, Inc., CMBS, Series 2024-BPR2 Class A, 7.291% due 5/5/2029 | 299,828 | 305,620 |
b,c | Morgan Stanley Residential Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2024-NQM1 Class A1, 6.152% due 12/25/2068 | 197,683 | 197,932 |
c | New Economy Assets Phase 1 Sponsor LLC, CMBS, Series 2021-1 Class A1, 1.91% due 10/20/2061 | 135,000 | 120,282 |
New Residential Mortgage Loan Trust, Whole Loan Securities Trust CMO, | |||
b,c | Series 2022-NQM3 Class A1, 3.90% due 4/25/2062 | 111,097 | 100,396 |
b,c | Series 2024-RPL1 Class A, 3.80% due 1/25/2064 | 372,488 | 344,576 |
b,c | NMLT Trust, Whole Loan Securities Trust CMO, Series 2021-INV1 Class A1, 1.185% due 5/25/2056 | 62,992 | 52,174 |
b,c | NYMT Loan Trust, Whole Loan Securities Trust CMO, Series 2024-BPL2 Class A1, 6.509% due 5/25/2039 | 325,000 | 326,184 |
b,c | OBX Trust, Whole Loan Securities Trust CMO, Series 2022-NQM5 Class A1, 4.31% due 5/25/2062 | 101,673 | 99,171 |
c | One Bryant Park Trust, CMBS, Series 2019-OBP Class A, 2.516% due 9/15/2054 | 280,000 | 237,679 |
b,c | OSAT Trust, Whole Loan Securities Trust CMO, Series 2021-RPL1 Class A1, 5.116% due 5/25/2065 | 249,179 | 248,179 |
b,c | PRET LLC, Whole Loan Securities Trust CMO, Series 2021-RN3 Class A1, 1.843% due 9/25/2051 | 329,689 | 317,559 |
b,c | PRET Trust, Whole Loan Securities Trust CMO, Series 2024-RPL1 Class A1, 3.90% due 10/25/2063 | 187,129 | 178,609 |
b,c | PRKCM Trust, Whole Loan Securities Trust CMO, Series 2024-HOME1 Class A1, 6.431% due 5/25/2059 | 320,532 | 323,368 |
b,c | RCKT Mortgage Trust, Whole Loan Securities Trust CMO, Series 2019-1 Class A13, 3.50% due 9/25/2049 | 30,711 | 27,440 |
c | Retained Vantage Data Centers Issuer LLC, CMBS, Series 2023-1A Class A2A, 5.00% due 9/15/2048 | 25,000 | 24,138 |
c | SLG Office Trust, CMBS, Series 2021-OVA Class A, 2.585% due 7/15/2041 | 380,000 | 310,962 |
b,c | Spruce Hill Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2022-SH1 Class A1A, 4.10% due 7/25/2057 | 105,935 | 100,196 |
b,c | Toorak Mortgage Trust, Whole Loan Securities Trust CMO, Series 2024-RRTL1 Class A1, 6.597% due 2/25/2039 | 300,000 | 300,328 |
b,c | Towd Point Mortgage Trust, Whole Loan Securities Trust CMO, Series 2020-1 Class A2A, 3.10% due 1/25/2060 | 100,000 | 87,178 |
b,c | UWM Mortgage Trust, Whole Loan Securities Trust CMO, Series 2021-1 Class A3, 2.50% due 6/25/2051 | 75,334 | 60,153 |
Verus Securitization Trust, Whole Loan Securities Trust CMO, | |||
b,c | Series 2023-3 Class A1, 5.93% due 3/25/2068 | 96,389 | 95,886 |
b,c | Series 2023-4 Class A1, 5.811% due 5/25/2068 | 232,050 | 230,535 |
b,c | WB Commercial Mortgage Trust, CMBS, Series 2024-HQ Class A, 6.134% due 3/15/2040 | 195,000 | 194,489 |
b,c | Wells Fargo Mortgage Backed Securities Trust, Whole Loan Securities Trust CMO, Series 2021-1 Class A1, 2.50% due 12/25/2050 | 39,096 | 31,720 |
Total Mortgage Backed (Cost $29,858,058) | 29,896,939 | ||
Short-Term Investments — 0.9% | |||
g | Thornburg Capital Management Fund | 98,779 | 987,786 |
Total Short-Term Investments (Cost $987,786) | 987,786 | ||
Total Investments — 100.1% (Cost $106,670,815) | $107,129,488 | ||
Liabilities Net of Other Assets — (0.1)% | (117,799) |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Core Plus Bond Fund | June 30, 2024 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Net Assets — 100.0% | $107,011,689 |
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 | 73,300 | 9/25/2024 | 78,827 | $ 1,382 | $ — |
Net unrealized appreciation (depreciation) | $1,382 |
* | 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 | 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. |
c | 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 $38,598,523, representing 36.07% of the Fund’s net assets. |
d | Yankee bond denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations. |
e | When-issued security. |
f | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
g | Investment in Affiliates. |
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:
CMBS | Commercial Mortgage-Backed Securities |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Rate |
DOP | Denominated in Dominican Peso |
EGP | Denominated in Egyptian Pound |
EUR | Denominated in Euro |
H15T1Y | US Treasury Yield Curve Rate T-Note Constant Maturity 1 Year |
Mtg | Mortgage |
REMIC | Real Estate Mortgage Investment Conduit |
RFUCCT1Y | Refinitiv USD Interbank Offered Rate Consumer Cash Fallbacks Term 1 Year |
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 |
UMBS | Uniform Mortgage Backed Securities |
NOTES TO SCHEDULE OF INVESTMENTS
Thornburg Core Plus Bond Fund | June 30, 2024 (Unaudited) |
NOTE 1 – ORGANIZATION
Thornburg Core Plus Bond 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 commenced operations on October 2, 2023 and 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 Core Plus Bond 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 | $- | $59,619,582 | $(58,631,796) | $- | $- | $987,786 | $125,052 |