SCHEDULE OF INVESTMENTS
Thornburg Investment Income Builder Fund | June 30, 2021 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Common Stock — 83.7% | |||
Automobiles & Components — 0.5% | |||
Automobiles — 0.5% | |||
Stellantis N.V. | 2,764,000 | $ 54,254,301 | |
54,254,301 | |||
Banks — 6.0% | |||
Banks — 6.0% | |||
BNP Paribas S.A. | 1,183,000 | 74,162,991 | |
Citigroup, Inc. | 927,258 | 65,603,504 | |
JPMorgan Chase & Co. | 1,887,958 | 293,652,987 | |
Regions Financial Corp. | 11,467,529 | 231,414,735 | |
664,834,217 | |||
Capital Goods — 2.1% | |||
Aerospace & Defense — 0.6% | |||
BAE Systems plc | 9,463,900 | 68,337,174 | |
Construction & Engineering — 0.7% | |||
Bouygues S.A. | 2,142,200 | 79,226,153 | |
Industrial Conglomerates — 0.8% | |||
Siemens AG | 503,500 | 79,774,506 | |
227,337,833 | |||
Diversified Financials — 10.5% | |||
Capital Markets — 5.5% | |||
a | Apollo Investment Corp. | 4,212,485 | 57,500,420 |
CME Group, Inc. | 1,610,270 | 342,472,224 | |
a | SLR Investment Corp. | 4,607,900 | 85,891,256 |
UBS Group AG | 8,353,372 | 127,839,770 | |
Diversified Financial Services — 2.0% | |||
Equitable Holdings, Inc. | 5,628,308 | 171,381,979 | |
M&G plc | 15,374,000 | 48,679,828 | |
Mortgage Real Estate Investment Trusts — 3.0% | |||
a | Chimera Investment Corp. | 20,342,311 | 306,355,204 |
Granite Point Mortgage Trust, Inc. | 1,417,500 | 20,908,125 | |
1,161,028,806 | |||
Energy — 3.8% | |||
Oil, Gas & Consumable Fuels — 3.8% | |||
LUKOIL PJSC Sponsored ADR | 591,600 | 54,793,992 | |
a,b,c | Malamute Energy, Inc. | 12,439 | 12,439 |
TotalEnergies SE | 8,181,900 | 370,167,943 | |
424,974,374 | |||
Food & Staples Retailing — 4.2% | |||
Food & Staples Retailing — 4.2% | |||
Tesco plc | 86,962,630 | 268,198,603 | |
Walgreens Boots Alliance, Inc. | 3,663,195 | 192,720,689 | |
460,919,292 | |||
Food, Beverage & Tobacco — 0.3% | |||
Food Products — 0.3% | |||
Nestle S.A. | 289,900 | 36,100,814 | |
36,100,814 | |||
Insurance — 5.4% | |||
Insurance — 5.4% | |||
Assicurazioni Generali SpA | 12,024,147 | 241,025,300 | |
AXA S.A. | 3,398,000 | 86,163,992 | |
Legal & General Group plc | 5,479,000 | 19,523,763 | |
NN Group N.V. | 5,350,300 | 252,369,050 | |
599,082,105 | |||
Materials — 3.9% |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Investment Income Builder Fund | June 30, 2021 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Chemicals — 1.2% | |||
LyondellBasell Industries N.V. Class A, | 1,320,889 | $ 135,879,852 | |
Metals & Mining — 2.7% | |||
Glencore plc | 40,653,800 | 174,023,541 | |
MMC Norilsk Nickel PJSC Sponsored ADR | 3,682,100 | 125,449,147 | |
435,352,540 | |||
Pharmaceuticals, Biotechnology & Life Sciences — 9.4% | |||
Biotechnology — 2.9% | |||
AbbVie, Inc. | 2,871,000 | 323,389,440 | |
Pharmaceuticals — 6.5% | |||
AstraZeneca plc | 1,111,000 | 133,444,362 | |
Merck & Co., Inc. | 2,009,769 | 156,299,735 | |
Novartis AG | 223,100 | 20,331,577 | |
c | Organon & Co. | 200,976 | 6,081,534 |
Pfizer, Inc. | 3,657,727 | 143,236,589 | |
Roche Holding AG | 702,400 | 264,600,400 | |
1,047,383,637 | |||
Real Estate — 1.4% | |||
Equity Real Estate Investment Trusts — 1.4% | |||
Crown Castle International Corp. | 261,586 | 51,035,429 | |
Lamar Advertising Co. Class A, | 315,422 | 32,936,365 | |
Washington Real Estate Investment Trust | 3,063,074 | 70,450,702 | |
154,422,496 | |||
Retailing — 2.5% | |||
Specialty Retail — 2.5% | |||
Home Depot, Inc. | 845,404 | 269,590,882 | |
b,c | RGIS Restructure Equity | 338,576 | 6,094,368 |
275,685,250 | |||
Semiconductors & Semiconductor Equipment — 10.2% | |||
Semiconductors & Semiconductor Equipment — 10.2% | |||
Broadcom, Inc. | 777,839 | 370,904,749 | |
QUALCOMM, Inc. | 1,909,206 | 272,882,813 | |
Taiwan Semiconductor Manufacturing Co. Ltd. | 22,640,000 | 483,474,204 | |
1,127,261,766 | |||
Technology Hardware & Equipment — 4.5% | |||
Communications Equipment — 0.9% | |||
Cisco Systems, Inc. | 1,841,551 | 97,602,203 | |
Technology Hardware, Storage & Peripherals — 3.6% | |||
Samsung Electronics Co. Ltd. | 5,648,500 | 404,771,966 | |
502,374,169 | |||
Telecommunication Services — 15.1% | |||
Diversified Telecommunication Services — 7.9% | |||
China Telecom Corp. Ltd. | 334,555,000 | 125,388,644 | |
Deutsche Telekom AG | 15,410,600 | 325,480,830 | |
Orange S.A. | 37,920,780 | 432,334,339 | |
Wireless Telecommunication Services — 7.2% | |||
China Mobile Ltd. | 55,120,774 | 344,669,008 | |
Vodafone Group plc | 269,148,924 | 451,765,442 | |
1,679,638,263 | |||
Utilities — 3.9% | |||
Electric Utilities — 3.1% | |||
Electricite de France S.A. | 4,089,000 | 55,855,092 | |
Endesa S.A. | 4,149,800 | 100,676,006 | |
Enel SpA | 20,131,171 | 186,954,058 | |
Multi-Utilities — 0.8% | |||
E.ON SE | 7,999,200 | 92,517,201 | |
436,002,357 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Investment Income Builder Fund | June 30, 2021 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Total Common Stock (Cost $6,744,731,434) | 9,286,652,220 | ||
Preferred Stock — 0.3% | |||
Banks — 0.1% | |||
Banks — 0.1% | |||
d,e,f | First Horizon Bank 3.75% (LIBOR 3 Month + 0.85%) | 12,000 | $ 9,810,000 |
9,810,000 | |||
Diversified Financials — 0.0% | |||
Capital Markets — 0.0% | |||
e,f | Morgan Stanley Series A, 4.00% (LIBOR 3 Month + 0.70%) | 120,000 | 3,038,400 |
3,038,400 | |||
Energy — 0.2% | |||
Oil, Gas & Consumable Fuels — 0.2% | |||
e | Crestwood Equity Partners, L.P. 9.25% | 2,166,596 | 20,322,671 |
20,322,671 | |||
Total Preferred Stock (Cost $35,891,206) | 33,171,071 | ||
Asset Backed Securities — 2.9% | |||
Auto Receivables — 1.7% | |||
ACC Trust, | |||
d | Series 2019-1 Class C, 6.41% due 2/20/2024 | $ 2,500,000 | 2,567,684 |
d | Series 2020-A Class A, 6.00% due 3/20/2023 | 9,786,976 | 10,000,975 |
d | Series 2020-A Class B, 12.50% due 6/20/2025 | 6,680,000 | 7,238,262 |
American Credit Acceptance Receivables Trust, | |||
d | Series 2019-3 Class B1, 5.42% due 5/12/2026 | 6,850,000 | 7,147,180 |
d | Series 2019-4 Class F, 5.37% due 9/14/2026 | 5,000,000 | 5,226,587 |
d | Series 2020-1 Class F, 4.75% due 11/13/2026 | 5,460,000 | 5,630,727 |
Carvana Auto Receivables Trust, | |||
b,d | Series 2019-4A Class R, 0.01% due 10/15/2026 | 32,000 | 14,800,000 |
b,d | Series 2021-N1 Class R, due 1/10/2028 | 24,500 | 11,520,451 |
d | Series 2021-N2 Class R, due 3/10/2028 | 10,500 | 5,764,853 |
b,d | Series 2021-P1 Class R, due 12/10/2027 | 24,000 | 5,568,379 |
b,d | Series 2021-P2 Class R, due 5/10/2028 | 8,000 | 3,933,120 |
CPS Auto Receivables Trust, | |||
d | Series 2018-B Class E, 5.61% due 12/16/2024 | 5,158,000 | 5,470,420 |
d | Series 2019-A Class E, 5.81% due 3/16/2026 | 1,000,000 | 1,066,387 |
d | Series 2020-A Class E, 4.09% due 12/15/2025 | 2,000,000 | 2,076,587 |
d | Series 2020-C Class F, 6.67% due 11/15/2027 | 3,000,000 | 3,184,483 |
b,d | CPS Auto Securitization Trust, Series 2021-1A Class A, 7.86% due 6/16/2026 | 14,000,000 | 13,999,432 |
b,d | Credit Suisse ABS Trust, Series 2020-AT1 Class CERT, 0.01% due 6/15/2026 | 40,000 | 2,920,000 |
d | DT Auto Owner Trust, Series 2020-1A Class E, 3.48% due 2/16/2027 | 4,500,000 | 4,635,664 |
Flagship Credit Auto Trust, | |||
b,d | Series 2018-4 Class R, 0.01% due 3/16/2026 | 53,000 | 8,904,000 |
b,d | Series 2019-1 Class R, 0.01% due 6/15/2026 | 6,000 | 1,008,000 |
b,d | Series 2019-2 Class R, 0.01% due 12/15/2026 | 53,000 | 13,753,500 |
b,d | Series 2019-3 Class R, 0.01% due 12/15/2026 | 60,000 | 14,921,766 |
b,d | Series 2019-4 Class R, 0.01% due 3/15/2027 | 42,000 | 15,120,000 |
d | Foursight Capital Automobile Receivables Trust, Series 2020-1 Class F, 4.62% due 6/15/2027 | 3,180,000 | 3,273,925 |
b,d | JPMorgan Chase Bank NA, Series 2021-1 Class R, 28.348% due 9/25/2028 | 3,948,505 | 3,948,505 |
b,d | Santander Consumer Auto Receivables Trust, Series 2020-AA Class R, 0.01% due 1/16/2029 | 45,588 | 1,694,324 |
d | Veros Automobile Receivables Trust, Series 2020-1 Class D, 5.64% due 2/16/2027 | 5,000,000 | 5,049,403 |
d | Westlake Automobile Receivables Trust, Series 2019-3A Class F, 4.72% due 4/15/2026 | 8,000,000 | 8,199,686 |
188,624,300 | |||
Other Asset Backed — 1.2% | |||
d | Amur Equipment Finance Receivables VIII, LLC, Series 2020-1A Class E, 7.00% due 1/20/2027 | 5,536,362 | 5,432,290 |
d | Aqua Finance Trust, Series 2020-AA Class D, 7.15% due 7/17/2046 | 8,200,000 | 8,545,851 |
CFG Investments Ltd., | |||
d | Series 2021-1 Class C, 7.48% due 5/20/2032 | 2,340,000 | 2,380,812 |
d | Series 2021-1 Class D, 9.07% due 5/20/2032 | 800,000 | 811,860 |
d | Consumer Loan Underlying Bond CLUB Credit Trust, Series 2020-P1 Class C, 4.61% due 3/15/2028 | 5,000,000 | 5,167,368 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Investment Income Builder Fund | June 30, 2021 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Consumer Loan Underlying Bond Credit Trust, | |||
d | Series 2018-P3 Class C, 5.54% due 1/15/2026 | $ 4,000,000 | $ 4,071,852 |
d | Series 2019-HP1 Class C, 4.70% due 12/15/2026 | 6,700,000 | 6,935,786 |
b,d,f | Series 2019-HP1 Class CERT, due 12/15/2026 | 400,000 | 5,960,000 |
d | Series 2019-P1 Class C, 4.66% due 7/15/2026 | 7,500,000 | 7,673,084 |
LendingClub Receivables Trust, | |||
d | Series 2019-1 Class CERT, due 7/17/2045 | 281,200 | 4,232,986 |
d | Series 2019-7 Class R1, 0.01% due 1/15/2027 | 6,250,000 | 3,125,000 |
d | Series 2019-7 Class R2, 0.01% due 1/15/2027 | 1,250,000 | 625,000 |
LendingPoint Asset Securitization Trust, | |||
d | Series 2020-REV1 Class B, 4.494% due 10/15/2028 | 8,000,000 | 8,412,749 |
d | Series 2020-REV1 Class C, 7.699% due 10/15/2028 | 25,750,000 | 26,478,578 |
Marlette Funding Trust, | |||
d | Series 2019-1A Class C, 4.42% due 4/16/2029 | 5,344,000 | 5,436,949 |
b,d | Series 2021-1A Class R, due 6/16/2031 | 9,550 | 3,558,808 |
Mosaic Solar Loan Trust, | |||
b,d | Series 2020-2A Class R, 0.01% due 8/20/2046 | 6,200,000 | 3,172,941 |
b,d | Series 2021-1A Class R, 0.01% due 12/20/2046 | 8,500,000 | 3,054,921 |
b,d | Mosaic Solar Loans, LLC Series 2021-2A Class R, due 4/22/2047 | 10,000,000 | 2,076,325 |
Prosper Pass-Thru Trust, | |||
d | Series 2019-ST1 Class CERT, 0.01% due 7/15/2025 | 38,500,000 | 9,250,380 |
d | Series 2019-ST2 Class R1, 0.01% due 11/15/2025 | 17,477,134 | 7,071,661 |
d | Series 2019-ST2 Class R2, 0.01% due 11/15/2025 | 8,738,067 | 3,535,628 |
d | Upstart Pass-Through Trust, Series 2021-ST4, 0.01% due 7/20/2027 | 1,375,000 | 1,603,716 |
128,614,545 | |||
Total Asset Backed Securities (Cost $279,183,152) | 317,238,845 | ||
Corporate Bonds — 8.1% | |||
Commercial & Professional Services — 0.5% | |||
Commercial Services & Supplies — 0.5% | |||
d,g | Cimpress plc, 7.00% due 6/15/2026 | 27,804,000 | 29,306,806 |
CoreCivic, Inc., 8.25% due 4/15/2026 | 26,124,000 | 27,133,170 | |
56,439,976 | |||
Consumer Services — 0.3% | |||
Hotels, Restaurants & Leisure — 0.3% | |||
d | Nathan’s Famous, Inc., 6.625% due 11/1/2025 | 6,188,000 | 6,346,289 |
d | SeaWorld Parks & Entertainment, Inc., 8.75% due 5/1/2025 | 21,000,000 | 22,756,860 |
29,103,149 | |||
Diversified Financials — 0.6% | |||
Capital Markets — 0.2% | |||
b,c,d,h | JPR Royalty Sub, LLC, 14.00% due 9/1/2020 | 5,000,000 | 0 |
d | StoneX Group, Inc., 8.625% due 6/15/2025 | 19,973,000 | 21,388,686 |
Diversified Financial Services — 0.4% | |||
Antares Holdings L.P., | |||
d | 6.00% due 8/15/2023 | 18,000,000 | 19,478,340 |
d | 8.50% due 5/18/2025 | 11,500,000 | 13,660,965 |
e,f | JPMorgan Chase & Co., Series I, 3.656% (LIBOR 3 Month + 3.47%) due 7/30/2021 | 7,334,000 | 7,349,842 |
61,877,833 | |||
Energy — 2.8% | |||
Energy Equipment & Services — 0.0% | |||
Odebrecht Offshore Drilling Finance Ltd., | |||
d,g | 6.72% due 12/1/2022 | 1,681,507 | 1,662,523 |
d,g,i | 7.72% due 12/1/2026 PIK | 18,369,794 | 4,438,877 |
d,e,g | Odebrecht Oil & Gas Finance Ltd. (Guaranty: Odebrecht Oleo e Gas S.A.), Zero coupon due 8/2/2021 | 2,337,727 | 27,562 |
c,d,g,h | Schahin II Finance Co. SPV Ltd., 5.875% due 9/25/2023 | 11,396,735 | 587,957 |
Oil, Gas & Consumable Fuels — 2.8% | |||
d | Citgo Holding, Inc., 9.25% due 8/1/2024 | 14,196,000 | 14,481,482 |
d | CITGO Petroleum Corp., 7.00% due 6/15/2025 | 8,000,000 | 8,332,640 |
f | Energy Transfer L.P., 3.193% (LIBOR 3 Month + 3.02%) due 11/1/2066 | 13,820,000 | 10,821,060 |
f | Enterprise TE Partners L.P., Series 1, 2.912% (LIBOR 3 Month + 2.78%) due 6/1/2067 | 7,000,000 | 5,811,750 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Investment Income Builder Fund | June 30, 2021 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Kinder Morgan Energy Partners L.P., | |||
5.00% due 3/1/2043 | $ 10,000,000 | $ 12,022,600 | |
5.80% due 3/15/2035 | 10,000,000 | 12,823,600 | |
Kinder Morgan, Inc., | |||
5.30% due 12/1/2034 | 23,630,000 | 29,225,820 | |
5.55% due 6/1/2045 | 5,000,000 | 6,467,150 | |
b,c,d,h | Linc USA GP / Linc Energy Finance USA, Inc., 9.625% due 10/31/2017 | 14,688,722 | 293,774 |
ONEOK Partners L.P., 4.90% due 3/15/2025 | 9,544,000 | 10,685,272 | |
d | Par Petroleum, LLC / Par Petroleum Finance Corp., 7.75% due 12/15/2025 | 1,672,000 | 1,688,486 |
Petroleos Mexicanos, | |||
g | 5.95% due 1/28/2031 | 7,820,000 | 7,587,902 |
d,g | 6.875% due 10/16/2025 | 2,000,000 | 2,211,800 |
c,h | RAAM Global Energy Co., 12.50% due 10/1/2015 | 15,000,000 | 1,500 |
Summit Midstream Holdings, LLC / Summit Midstream Finance Corp., 5.50% due 8/15/2022 | 7,497,000 | 7,408,011 | |
e,f | Summit Midstream Partners L.P., Series A, 9.50% (LIBOR 3 Month + 7.43%) due 12/15/2022 | 16,097,000 | 12,149,855 |
Transcontinental Gas Pipe Line Co., LLC, 7.85% due 2/1/2026 | 32,700,000 | 41,544,042 | |
Williams Companies, Inc., | |||
3.70% due 1/15/2023 | 29,129,000 | 30,323,289 | |
4.55% due 6/24/2024 | 69,318,000 | 76,357,936 | |
5.75% due 6/24/2044 | 14,198,000 | 18,640,554 | |
315,595,442 | |||
Food & Staples Retailing — 0.0% | |||
Food & Staples Retailing — 0.0% | |||
d | KeHE Distributors, LLC / KeHE Finance Corp., 8.625% due 10/15/2026 | 5,267,000 | 5,768,629 |
5,768,629 | |||
Food, Beverage & Tobacco — 0.5% | |||
Tobacco — 0.5% | |||
Vector Group Ltd., | |||
d | 5.75% due 2/1/2029 | 7,475,000 | 7,624,799 |
d | 10.50% due 11/1/2026 | 40,305,000 | 42,807,940 |
50,432,739 | |||
Insurance — 0.6% | |||
Insurance — 0.6% | |||
d,e,f,g | Dai-ichi Life Insurance Co. Ltd., 7.25% (LIBOR 3 Month + 4.56%) due 7/25/2021 | 9,000,000 | 9,037,530 |
d | MetLife, Inc., 9.25% due 4/8/2068 | 12,000,000 | 18,023,520 |
d,f,g | QBE Insurance Group Ltd., 7.50% (USSW10 + 6.03%) due 11/24/2043 | 40,000,000 | 45,059,600 |
72,120,650 | |||
Materials — 0.3% | |||
Chemicals — 0.1% | |||
d,g | Consolidated Energy Finance S.A., 6.875% due 6/15/2025 | 13,000,000 | 13,237,640 |
Containers & Packaging — 0.1% | |||
d | Matthews International Corp., 5.25% due 12/1/2025 | 14,969,000 | 15,447,709 |
Metals & Mining — 0.1% | |||
d | Cleveland-Cliffs, Inc., 6.75% due 3/15/2026 | 5,000,000 | 5,388,550 |
34,073,899 | |||
Media & Entertainment — 0.1% | |||
Media — 0.1% | |||
d,g | Telenet Finance Luxembourg Notes Sarl, 5.50% due 3/1/2028 | 10,000,000 | 10,510,200 |
10,510,200 | |||
Telecommunication Services — 2.0% | |||
Diversified Telecommunication Services — 1.6% | |||
g | Deutsche Telekom International Finance B.V. (Guaranty: Deutsche Telekom AG), 8.75% due 6/15/2030 | 26,150,000 | 39,164,855 |
Qwest Corp., 6.75% due 12/1/2021 | 9,000,000 | 9,224,190 | |
g | Telefonica Emisiones SAU (Guaranty: Telefonica S.A.), 7.045% due 6/20/2036 | 85,390,000 | 122,917,197 |
Wireless Telecommunication Services — 0.4% | |||
Digicel International Finance Ltd./Digicel international Holdings Ltd., | |||
d,g | 8.00% due 12/31/2026 | 10,003,281 | 9,775,406 |
d,g | 8.75% due 5/25/2024 | 36,785,955 | 38,319,137 |
219,400,785 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Investment Income Builder Fund | June 30, 2021 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Transportation — 0.3% | |||
Airlines — 0.3% | |||
American Airlines Pass Through Trust, | |||
Series 2013-2 Class A, 4.95% due 7/15/2024 | $ 7,484,963 | $ 7,495,966 | |
Series 2016-3 Class B, 3.75% due 4/15/2027 | 12,739,181 | 12,236,748 | |
Series 2019-1 Class B, 3.85% due 8/15/2029 | 9,195,273 | 8,746,727 | |
US Airways Pass Through Trust, Series 2010-1 Class A, 6.25% due 10/22/2024 | 1,063,224 | 1,086,509 | |
29,565,950 | |||
Utilities — 0.1% | |||
Gas Utilities — 0.1% | |||
d,g | Rockpoint Gas Storage Canada Ltd., 7.00% due 3/31/2023 | 12,648,000 | 12,938,019 |
12,938,019 | |||
Total Corporate Bonds (Cost $777,736,384) | 897,827,271 | ||
Other Government — 0.0% | |||
Brazilian Government International Bond (BRL), 12.50% due 1/5/2022 | 20,000,000 | 4,166,834 | |
Total Other Government (Cost $12,335,999) | 4,166,834 | ||
Mortgage Backed — 1.2% | |||
d,f | Angel Oak Mortgage Trust, Whole Loan Securities Trust CMO, Series 2019-3 Class B1, 4.099% due 5/25/2059 | 5,000,000 | 5,000,000 |
f | Bear Stearns ARM Trust, Whole Loan Securities Trust CMO, Series 2003-6 Class 2B1, 2.711% due 8/25/2033 | 34,051 | 34,051 |
Chase Home Lending Mortgage Trust, Whole Loan Securities Trust CMO, | |||
d,f | Series 2019-1 Class B4, 3.945% due 3/25/2050 | 1,074,083 | 1,101,243 |
d,f | Series 2019-1 Class B5, 3.945% due 3/25/2050 | 489,808 | 475,395 |
d,f | Series 2019-1 Class B6, due 3/25/2050 | 853,856 | 492,332 |
d,f | Chase Mortgage Finance Corp., Whole Loan Securities Trust CMO, Series 2016-SH2 Class M4, 3.708% due 12/25/2045 | 923,071 | 949,546 |
CIM Trust, Whole Loan Securities Trust CMO, | |||
d,f,j | Series 2020-J1 Class AIO1, 0.47% due 7/25/2050 | 117,031,616 | 1,039,112 |
d,f,j | Series 2020-J1 Class AIO2, 0.50% due 7/25/2050 | 104,382,646 | 1,070,006 |
d,f,j | Series 2020-J1 Class AIOS, 0.20% due 6/25/2050 | 130,395,111 | 566,254 |
d,f | Series 2020-J1 Class B4, 3.47% due 7/25/2050 | 1,419,128 | 1,372,465 |
d,f | Series 2020-J1 Class B5, 3.47% due 7/25/2050 | 710,054 | 633,330 |
d,f | Series 2020-J1 Class B6, 3.47% due 7/25/2050 | 1,299,775 | 769,172 |
d,f,j | Series 2020-J2 Class AX1, 0.29% due 1/25/2051 | 139,780,915 | 984,519 |
d,f,j | Series 2020-J2 Class AXS, 0.21% due 1/25/2051 | 147,069,691 | 774,851 |
d,f | Series 2020-J2 Class B4, 2.79% due 1/25/2051 | 491,000 | 333,057 |
d,f | Series 2020-J2 Class B5, 2.79% due 1/25/2051 | 164,000 | 107,954 |
d,f | Series 2020-J2 Class B6, 2.79% due 1/25/2051 | 655,000 | 218,576 |
Citigroup Mortgage Loan Trust, Inc., Whole Loan Securities Trust CMO, | |||
f | Series 2004-HYB2 Class B1, 2.612% due 3/25/2034 | 255,574 | 255,574 |
d,f | Series 2020-EXP1 Class B1, 4.467% due 5/25/2060 | 2,150,000 | 2,146,301 |
d,f | Series 2020-EXP1 Class B2, 4.467% due 5/25/2060 | 1,450,000 | 1,275,880 |
d,f | Series 2020-EXP1 Class B3, 4.467% due 5/25/2060 | 725,000 | 388,873 |
d,j | Series 2020-EXP1 Class XS, 0.01% due 5/25/2060 | 106,488,330 | 1,017,709 |
d,f,j | Series 2020-EXP2 Class A3IW, 1.072% due 8/25/2050 | 118,596,744 | 2,061,330 |
d,f,j | Series 2020-EXP2 Class A4IW, 1.072% due 8/25/2050 | 12,749,150 | 221,593 |
d,f | Series 2020-EXP2 Class B5, 3.572% due 8/25/2050 | 574,403 | 488,374 |
d,f | Series 2020-EXP2 Class B6, 3.572% due 8/25/2050 | 1,372,785 | 777,864 |
Citigroup Mortgage Loan Trust, Whole Loan Securities Trust CMO, | |||
d,f,j | Series 2021-J1 Class A5IX, 0.118% due 4/25/2051 | 137,501,425 | 593,511 |
d,f,j | Series 2021-J1 Class AIOS, 0.23% due 4/25/2051 | 139,505,921 | 1,419,626 |
d,f | Series 2021-J1 Class B4, 2.618% due 4/25/2051 | 378,328 | 262,799 |
d,f | Series 2021-J1 Class B5, 2.618% due 4/25/2051 | 613,910 | 345,823 |
d,f | Series 2021-J1 Class B6, 2.618% due 4/25/2051 | 459,185 | 157,601 |
CSMC Trust, Whole Loan Securities Trust CMO, | |||
d,f | Series 2020-AFC1 Class M1, 2.841% due 2/25/2050 | 3,808,500 | 3,864,182 |
d,f,j | Series 2021-AFC1 Class AIOS, 0.25% due 3/25/2056 | 138,525,502 | 892,257 |
d,f | Series 2021-AFC1 Class B3, 4.413% due 3/25/2056 | 215,000 | 205,156 |
d,f,j | Series 2021-AFC1 Class XS, 3.439% due 3/25/2056 | 140,438,678 | 8,775,550 |
Flagstar Mortgage Trust, Whole Loan Securities Trust CMO, | |||
d,f,j | Series 2020-2 Class AX1, 0.731% due 8/25/2050 | 215,745,078 | 2,889,711 |
d,f,j | Series 2020-2 Class AX2, 0.50% due 8/25/2050 | 36,977,584 | 354,700 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Investment Income Builder Fund | June 30, 2021 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
d,f | Series 2020-2 Class B4, 3.731% due 8/25/2050 | $ 875,863 | $ 846,149 |
d,f | Series 2020-2 Class B5, 3.731% due 8/25/2050 | 2,627,588 | 2,517,977 |
d,f | Series 2020-2 Class B6C, 3.602% due 8/25/2050 | 3,503,451 | 2,359,011 |
d,f | Galton Funding Mortgage Trust, Whole Loan Securities Trust CMO, Series 2020-H1 Class B1, 3.386% due 1/25/2060 | 4,379,900 | 4,381,823 |
GS Mortgage-Backed Securities Trust, Whole Loan Securities Trust CMO, | |||
d,f,j | Series 2020-INV1 Class A11X, 3.487% due 10/25/2050 | 2,492,805 | 134,977 |
d,f,j | Series 2020-INV1 Class A12X, 2.989% due 10/25/2050 | 29,847,013 | 1,386,071 |
d,f,j | Series 2020-INV1 Class AIOS, 0.19% due 10/25/2050 | 139,017,547 | 659,041 |
d,f,j | Series 2020-INV1 Class AX1, due 10/25/2050 | 107,917,476 | 1,079 |
d,f,j | Series 2020-INV1 Class AX2, 0.489% due 10/25/2050 | 5,379,211 | 44,430 |
d,f,j | Series 2020-INV1 Class AX4, 0.947% due 10/25/2050 | 5,791,180 | 95,726 |
d,f | Series 2020-INV1 Class B4, 3.936% due 10/25/2050 | 1,979,744 | 2,046,452 |
d,f | Series 2020-INV1 Class B5, 3.936% due 10/25/2050 | 1,979,744 | 1,863,199 |
d,f | Series 2020-INV1 Class B6, 3.936% due 10/25/2050 | 4,545,650 | 3,300,095 |
d,f,j | Series 2020-INV1 Class BX, 0.436% due 10/25/2050 | 22,594,793 | 389,457 |
d,f | Homeward Opportunities Fund I Trust, Whole Loan Securities Trust CMO, Series 2019-2 Class B1, 4.087% due 9/25/2059 | 3,000,000 | 3,006,791 |
JPMorgan Mortgage Trust, Whole Loan Securities Trust CMO, | |||
d,f | Series 2016-5 Class B5, 2.507% due 12/25/2046 | 2,000,000 | 1,524,548 |
d,f,j | Series 2020-3 Class AX1, 0.194% due 8/25/2050 | 35,327,130 | 92,599 |
d,f,j | Series 2020-4 Class A11X, 5.158% (5.25% - LIBOR 1 Month) due 11/25/2050 | 6,724,559 | 499,432 |
d,f,j | Series 2020-4 Class A3X, 0.50% due 11/25/2050 | 30,484,669 | 217,325 |
d,f,j | Series 2020-4 Class A4X, 0.50% due 11/25/2050 | 2,711,094 | 2,558 |
d,f,j | Series 2020-4 Class AX1, 0.192% due 11/25/2050 | 112,599,385 | 242,967 |
d,f,j | Series 2020-4 Class AX3, 3.50% due 11/25/2050 | 3,115,339 | 155,464 |
d,f,j | Series 2020-4 Class AX4, 0.55% due 11/25/2050 | 7,189,675 | 56,381 |
d,f | Series 2020-4 Class B4, 3.742% due 11/25/2050 | 2,041,818 | 2,042,417 |
d,f | Series 2020-4 Class B5, 3.742% due 11/25/2050 | 942,528 | 895,541 |
d,f | Series 2020-4 Class B6, 3.742% due 11/25/2050 | 1,603,555 | 1,263,435 |
d,f,j | Series 2020-7 Class A3X, 0.50% due 1/25/2051 | 58,285,148 | 569,638 |
d,f,j | Series 2020-7 Class AX1, 0.198% due 1/25/2051 | 276,998,722 | 872,795 |
d,f,j | Series 2020-7 Class AX3, 3.50% due 1/25/2051 | 19,043,662 | 1,291,278 |
d,f,j | Series 2020-7 Class AX4, 0.40% due 1/25/2051 | 17,658,668 | 121,368 |
d,f | Series 2020-7 Class B4, 3.598% due 1/25/2051 | 2,499,426 | 2,442,009 |
d,f | Series 2020-7 Class B5, 3.598% due 1/25/2051 | 1,751,566 | 1,526,154 |
d,f | Series 2020-7 Class B6, 3.598% due 1/25/2051 | 2,290,000 | 1,386,900 |
f | Merrill Lynch Mortgage Investors Trust, Whole Loan Securities Trust CMO, Series 2004-A4 Class M1, 2.729% due 8/25/2034 | 1,396,121 | 1,421,148 |
d,f | Residential Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2019-3 Class B1, 3.81% due 9/25/2059 | 1,500,000 | 1,529,228 |
b,d | Saluda Grade Alternative Mortgage Grade, Whole Loan Securities Trust CMO, Series 2020-FIG1 Class C, 0.01% due 9/25/2050 | 42,972,807 | 5,259,958 |
d,f | Sequoia Mortgage Trust, Whole Loan Securities Trust CMO, Series 2017-7 Class B3, 3.742% due 10/25/2047 | 2,273,088 | 2,361,879 |
SG Residential Mortgage Trust, Whole Loan Securities Trust CMO, | |||
d,f,j | Series 2019-3 Class AIOS, 0.375% due 9/25/2059 | 140,805,690 | 554,014 |
d,f | Series 2019-3 Class B2, 5.663% due 9/25/2059 | 7,910,000 | 7,744,376 |
d,f | Series 2019-3 Class B3, 5.931% due 9/25/2059 | 3,366,214 | 2,209,624 |
b,d,f | Series 2019-3 Class C, due 9/25/2059 | 950 | 950 |
d | Series 2019-3 Class XS1, 0.01% due 9/25/2059 | 149,353,170 | 1,754,915 |
d | Series 2019-3 Class XS2, 0.01% due 9/25/2059 | 140,413,346 | 476,408 |
Starwood Mortgage Residential Trust, Whole Loan Securities Trust CMO, | |||
d,f | Series 2018-IMC2 Class B1, 5.669% due 10/25/2048 | 3,000,000 | 3,054,570 |
d,f | Series 2019-1 Class B1, 4.766% due 6/25/2049 | 2,000,000 | 2,000,000 |
d,f | Series 2019-INV1 Class B1, 3.657% due 9/27/2049 | 10,000,000 | 10,144,040 |
d,f | Verus Securitization Trust, Whole Loan Securities Trust CMO, Series 2020-1 Class B1, 3.624% due 1/25/2060 | 2,000,000 | 2,025,691 |
d,f | Vista Point Securitization Trust, Whole Loan Securities Trust CMO, Series 2020-1 Class B2, 5.375% due 3/25/2065 | 4,500,000 | 4,499,072 |
Wells Fargo Mortgage Backed Securities Trust, Whole Loan Securities Trust CMO, | |||
d,f,j | Series 2020-3 Class AIO1, 0.232% due 6/25/2050 | 293,285,534 | 1,360,346 |
d,f | Series 2020-3 Class B5, 3.232% due 6/25/2050 | 1,046,000 | 791,699 |
d,f | Series 2020-3 Class B6, 3.232% due 6/25/2050 | 2,061,402 | 1,430,307 |
Total Mortgage Backed (Cost $137,207,289) | 131,169,589 | ||
Loan Participations — 0.6% | |||
Commercial & Professional Services — 0.3% | |||
Professional Services — 0.3% | |||
k | Harland Clarke Holdings Corp., 5.75% (LIBOR 3 Month + 4.75%) due 11/3/2023 | 18,765,171 | 16,759,737 |
k | Par Pacific Holdings, Inc., 6.936% (LIBOR 3 Month + 6.75%) due 1/12/2026 | 13,128,084 | 13,029,623 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Investment Income Builder Fund | June 30, 2021 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
k | R.R. Donnelley & Sons Co., 5.104% (LIBOR 1 Month + 5.00%) due 1/15/2024 | $ 4,636,364 | $ 4,624,773 |
k | RGIS Services, LLC, 8.50% (LIBOR 1 Month + 7.50%) due 6/25/2025 | 2,871,460 | 2,928,889 |
37,343,022 | |||
Energy — 0.1% | |||
Oil, Gas & Consumable Fuels — 0.1% | |||
k | Citgo Holding, Inc., 8.00% (LIBOR 3 Month + 7.00%) due 8/1/2023 | 7,933,652 | 7,862,250 |
7,862,250 | |||
Real Estate — 0.1% | |||
Equity Real Estate Investment Trusts — 0.1% | |||
k | CoreCivic, Inc., 5.50% (LIBOR 1 Month + 4.50%) due 12/18/2024 | 12,866,250 | 12,475,631 |
12,475,631 | |||
Transportation — 0.1% | |||
Airlines — 0.1% | |||
b,k | Wheels Up Partners, LLC, 7.50% (LIBOR 3 Month + 6.50%) due 8/17/2025 | 8,927,826 | 8,195,744 |
8,195,744 | |||
Total Loan Participations (Cost $66,722,559) | 65,876,647 | ||
Short-Term Investments — 3.2% | |||
a | Thornburg Capital Management Fund | 36,008,985 | 360,089,852 |
Total Short-Term Investments (Cost $360,089,852) | 360,089,852 | ||
Total Investments — 100.0% (Cost $8,413,897,875) | $11,096,192,329 | ||
Liabilities Net of Other Assets — (0.0)% | (2,141,810) | ||
Net Assets — 100.0% | $11,094,050,519 |
Outstanding Forward Currency Contracts To Buy Or Sell At June 30, 2021 | |||||||
Contract Description | Contract Party* | Buy/Sell | Contract Amount | Contract Value Date | Value USD | Unrealized Appreciation | Unrealized Depreciation |
Great Britain Pound | SSB | Sell | 425,150,500 | 7/14/2021 | 588,132,287 | $ — | $ (3,862,835) |
Swiss Franc | SSB | Sell | 34,184,100 | 7/26/2021 | 36,969,406 | 324,645 | — |
Euro | SSB | Sell | 298,489,100 | 8/18/2021 | 354,271,230 | 8,530,331 | — |
Total | $8,854,976 | $(3,862,835) | |||||
Net unrealized appreciation (depreciation) | $4,992,141 |
* | Counterparty includes State Street Bank and Trust Company ("SSB"). |
Footnote Legend | |
a | Investment in Affiliates. |
b | Security currently fair valued by the Valuation and Pricing Committee using procedures approved by the Trustees’ Audit Committee. |
c | Non-income producing. |
d | 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, 2021, the aggregate value of these securities in the Fund’s portfolio was $837,109,387, representing 7.55% of the Fund’s net assets. |
e | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
f | 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, 2021. |
g | Yankee bond denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations. |
h | Bond in default. |
i | 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, 2021. |
j | Interest only. |
k | The stated coupon rate represents the greater of the LIBOR or the LIBOR floor rate plus a spread at June 30, 2021. |
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:
ADR | American Depositary Receipt |
ARM | Adjustable Rate Mortgage |
BRL | Denominated in Brazilian Real |
CMO | Collateralized Mortgage Obligation |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Investment Income Builder Fund | June 30, 2021 (Unaudited) |
LIBOR | London Interbank Offered Rates |
PIK | Payment-in-kind |
SPV | Special Purpose Vehicle |
USSW10 | USD 10 Year Swap Rate |
NOTES TO SCHEDULE OF INVESTMENTS
Thornburg Investment Income Builder Fund | June 30, 2021 (Unaudited) |
NOTE 1 – ORGANIZATION
Thornburg Investment Income Builder 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-one 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 in accordance with policies and procedures adopted by and under the oversight of the Trustees.
The Trustees of the Trust have appointed Thornburg Investment Management, Inc., the Trust’s investment advisor (the "Advisor"), to assist the Trustees with obtaining fair market values for portfolio investments, evaluating and monitoring professional pricing service providers appointed by the Trustees’ Audit Committee (the "Audit Committee") to assist in determining fair values for portfolio investments, assisting in calculating fair values for portfolio investments in certain circumstances, and performing other functions in connection with the valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, reviews the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.
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 approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a 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 valued at the last reported sale price on the valuation date. Investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation 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. Securities and other portfolio investments which are listed or traded on exchanges outside the United States are valued at the last price or the closing price of the investment on the exchange that is normally the primary market for the investment, as of the close of the exchange preceding the Fund’s valuation date. Foreign investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date.
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 alternative methods approved by the Audit Committee. A market quotation is not readily available when the primary market or exchange for the investment is not open for the entire scheduled day of trading. Market quotations for an investment also may not be readily available if developments after the most recent close of the investment’s primary exchange or market, but prior to the close of business on any Fund business day, or an unusual event or significant period of time occurring since the availability of a market quotation, create a serious question concerning the reliability of the most recent market quotation available for the investment. In particular, on days when market volatility thresholds established by the Audit Committee are exceeded, foreign equity investments held by the Fund may be valued using alternative methods. The Committee customarily obtains valuations in these instances from pricing service providers approved by the Audit Committee. 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.
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 Audit Committee.
Investments in open-end U.S. mutual funds are valued at net asset value ("NAV") each business day.
In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider is stale, does not reflect material factors affecting the
NOTES TO SCHEDULE OF INVESTMENTS, Continued
Thornburg Investment Income Builder Fund | June 30, 2021 (Unaudited) |
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 calculates a fair value for the obligation using an alternative method approved by the Audit Committee.
Quotations for foreign investments expressed in foreign currency amounts are converted to U.S. dollar equivalents using a foreign exchange quotation from a third party service provider 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 investments may be significantly affected on days when shareholders cannot purchase or sell Fund 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 9/30/20 | Purchases at Cost | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appr./(Depr.) | Market Value 6/30/21 | Dividend Income | |
Apollo Investment Corp. | $40,544,502 | $- | $(7,746,254) | $(8,365,320) | $33,067,492 | $57,500,420 | $4,830,367 |
Chimera Investment Corp | 119,720,189 | 43,922,944 | - | (9) | 142,712,080 | 306,355,204 | 16,460,658 |
Malamute Energy, Inc. | 130,610 | - | - | - | (118,171) | 12,439 | - |
MFA Financial, Inc. | 66,249,600 | - | (87,749,129) | (93,648,031) | 115,147,560 | - | - |
SLR Investment Corp | 73,035,215 | - | - | - | 12,856,041 | 85,891,256 | 5,667,717 |
Thornburg Capital Management Fund | 76,840,627 | 1,374,406,817 | (1,091,157,592) | - | - | 360,089,852 | 233,898 |
Total | $376,520,743 | $1,418,329,761 | $(1,186,652,975) | $(102,013,360) | $303,665,002 | $809,849,171 | $27,192,640 |