SCHEDULE OF INVESTMENTS
Thornburg Ultra Short Income Fund | June 30, 2021 (Unaudited) |
Issuer-Description | PRINCIPAL AMOUNT | VALUE | |
U.S. Treasury Securities — 1.6% | |||
United States Treasury Note, 1.125% due 9/30/2021 | $425,000 | $ 426,112 | |
United States Treasury Notes Inflationary Index, 0.125% due 4/15/2022 | 329,343 | 337,727 | |
Total U.S. Treasury Securities (Cost $755,632) | 763,839 | ||
U.S. Government Agencies — 0.2% | |||
Export Leasing (2009), LLC (Guaranty: Export-Import Bank of the United States), 1.859% due 8/28/2021 | 1,800 | 1,802 | |
Petroleos Mexicanos (Guaranty: Export-Import Bank of the United States), | |||
a,b | 0.534% (LIBOR 3 Month + 0.35%) due 4/15/2025 | 40,000 | 40,026 |
b | 1.70% due 12/20/2022 | 15,000 | 14,991 |
Small Business Administration Participation Certificates, | |||
Series 2005-20K Class 1, 5.36% due 11/1/2025 | 9,615 | 10,274 | |
Series 2009-20E Class 1, 4.43% due 5/1/2029 | 33,462 | 36,253 | |
Total U.S. Government Agencies (Cost $100,137) | 103,346 | ||
Mortgage Backed — 13.2% | |||
a,c | Angel Oak Mortgage Trust, LLC, Whole Loan Securities Trust CMO, Series 2018-2 Class A1, 3.674% due 7/27/2048 | 17,446 | 17,446 |
Arroyo Mortgage Trust, Whole Loan Securities Trust CMO, | |||
a,c | Series 2019-1 Class A1, 3.805% due 1/25/2049 | 47,207 | 47,928 |
a,c | Series 2019-3 Class A1, 2.962% due 10/25/2048 | 47,792 | 48,571 |
BANK, CMBS, Series 2017-BNK5 Class A2, 2.987% due 6/15/2060 | 550,000 | 559,879 | |
c | Bravo Residential Funding Trust, Whole Loan Securities Trust CMO, Series 2019-1 Class A1C, 3.50% due 3/25/2058 | 36,593 | 37,496 |
COMM Mortgage Trust, CMBS, | |||
Series 2012-CR1 Class A3, 3.391% due 5/15/2045 | 406,896 | 412,721 | |
Series 2012-CR2 Class A4, 3.147% due 8/15/2045 | 450,000 | 459,204 | |
Series 2012-CR3 Class A3, 2.822% due 10/15/2045 | 88,009 | 89,577 | |
Series 2012-CR5 Class ASB, 2.388% due 12/10/2045 | 31,629 | 31,963 | |
Series 2014-CR15 Class A2, 2.928% due 2/10/2047 | 19,415 | 19,448 | |
Series 2016-COR1 Class A2, 2.499% due 10/10/2049 | 318,834 | 320,119 | |
Commercial Mortgage Trust, CMBS, Series 2017-CX9 Class A1, 2.025% due 9/15/2050 | 299,236 | 301,512 | |
Federal Home Loan Mtg Corp., Pool G15523, 2.50% due 8/1/2025 | 37,522 | 39,232 | |
Federal Home Loan Mtg Corp., Multifamily Structured Pass Through Certificates CMBS, | |||
Series K036 Class A1, 2.777% due 4/25/2023 | 76,189 | 77,912 | |
Series K717 Class A2, 2.991% due 9/25/2021 | 75,372 | 75,517 | |
a | Federal Home Loan Mtg Corp., REMIC, Series 3877 Class FA, 0.423% (LIBOR 1 Month + 0.35%) due 11/15/2040 | 34,416 | 34,492 |
Federal Home Loan Mtg Corp., Seasoned Credit Risk Transfer, Whole Loan Securities Trust CMO, | |||
a | Series 2017-3 Class HA, 3.25% due 7/25/2056 | 41,792 | 44,058 |
a | Series 2018-1 Class HA, 3.00% due 5/25/2057 | 29,771 | 31,149 |
a | Series 2018-2 Class HA, 3.00% due 11/25/2057 | 116,947 | 122,075 |
Federal National Mtg Assoc., UMBS Collateral, | |||
Pool AS7323, 2.50% due 6/1/2031 | 204,338 | 214,628 | |
Pool AS8538, 2.50% due 12/1/2026 | 98,612 | 103,095 | |
Pool FM1126, 3.00% due 3/1/2033 | 39,036 | 41,229 | |
Pool MA3557, 4.00% due 1/1/2029 | 68,641 | 72,844 | |
a,c | Flagstar Mortgage Trust, Whole Loan Securities Trust CMO, Series 2017-1 Class 2A2, 3.00% due 3/25/2047 | 34,420 | 34,925 |
a,c | FWD Securitization Trust, Whole Loan Securities Trust CMO, Series 2019-INV1 Class A1, 2.81% due 6/25/2049 | 52,256 | 53,012 |
a,c | GCAT LLC, Whole Loan Securities Trust CMO, Series 2019-NQM1 Class A1, 2.985% due 2/25/2059 | 42,262 | 42,263 |
a,c | GCAT Trust, Whole Loan Securities Trust CMO, Series 2019-NQM2 Class A1, 2.855% due 9/25/2059 | 47,554 | 47,718 |
Government National Mtg Assoc., CMBS, Series 2013-55 Class AB, 1.579% due 12/16/2042 | 34,992 | 35,091 | |
JPMorgan Chase Commercial Mortgage Securities Trust, CMBS, | |||
Series 2012-C6 Class A3, 3.507% due 5/15/2045 | 257,596 | 262,327 | |
c | Series 2012-HSBC Class A, 3.093% due 7/5/2032 | 451,899 | 460,826 |
a,c | Metlife Securitization Trust, Whole Loan Securities Trust CMO, Series 2019-1A Class A1A, 3.75% due 4/25/2058 | 159,145 | 164,040 |
Morgan Stanley Bank of America Merrill Lynch Trust, CMBS, | |||
a | Series 2013-C10 Class ASB, 3.912% due 7/15/2046 | 393,587 | 404,096 |
Series 2013-C7 Class AAB, 2.469% due 2/15/2046 | 49,121 | 49,768 | |
Series 2016-C31 Class A3, 2.731% due 11/15/2049 | 500,000 | 504,238 | |
a,c | New Residential Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2017-5A Class A1, 1.592% (LIBOR 1 Month + 1.50%) due 6/25/2057 | 28,634 | 29,001 |
a,c | SG Residential Mortgage Trust, Whole Loan Securities Trust CMO, Series 2019-3 Class A1, 2.703% due 9/25/2059 | 37,044 | 37,433 |
a,c | Verus Securitization Trust, Whole Loan Securities Trust CMO, Series 2019-3 Class A1, 2.784% due 7/25/2059 | 55,435 | 56,075 |
WFRBS Commercial Mortgage Trust, CMBS, | |||
Series 2012-C7 Class A2, 3.431% due 6/15/2045 | 500,000 | 508,721 | |
Series 2013-C14 Class ASB, 2.977% due 6/15/2046 | 62,473 | 63,955 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Ultra Short Income Fund | June 30, 2021 (Unaudited) |
Issuer-Description | PRINCIPAL AMOUNT | VALUE | |
Series 2013-C17 Class ASB, 3.558% due 12/15/2046 | $356,998 | $ 369,665 | |
Total Mortgage Backed (Cost $6,302,463) | 6,325,249 | ||
Asset Backed Securities — 50.0% | |||
Auto Receivables — 14.0% | |||
ACC Trust, | |||
c | Series 2019-2 Class A, 2.82% due 2/21/2023 | 18,902 | 18,954 |
c | Series 2020-A Class A, 6.00% due 3/20/2023 | 110,103 | 112,511 |
c | Series 2021-1 Class A, 0.74% due 11/20/2023 | 185,000 | 184,898 |
Ally Auto Receivables Trust, Series 2018-2 Class A3, 2.92% due 11/15/2022 | 10,075 | 10,094 | |
American Credit Acceptance Receivables Trust, | |||
c | Series 2020-1 Class A, 1.89% due 4/13/2023 | 814 | 814 |
c | Series 2020-4 Class A, 0.53% due 3/13/2024 | 173,225 | 173,400 |
c | Series 2021-1 Class A, 0.35% due 5/13/2024 | 130,206 | 130,247 |
c | ARI Fleet Lease Trust, Series 2019-A Class A2A, 2.41% due 11/15/2027 | 182,111 | 183,404 |
c | Arivo Acceptance Auto Loan Receivables Trust, Series 2019-1 Class A, 2.99% due 7/15/2024 | 96,754 | 98,083 |
c | Avid Automobile Receivables Trust, Series 2019-1 Class A, 2.62% due 2/15/2024 | 70,530 | 70,886 |
CarMax Auto Owner Trust, | |||
Series 2017-4 Class C, 2.70% due 10/16/2023 | 60,000 | 60,480 | |
Series 2018-3 Class A3, 3.13% due 6/15/2023 | 87,087 | 87,874 | |
CarNow Auto Receivables Trust, | |||
c | Series 2019-1A Class A, 2.72% due 11/15/2022 | 6,386 | 6,396 |
c | Series 2020-1A Class A, 1.76% due 2/15/2023 | 93,168 | 93,478 |
Carvana Auto Receivables Trust, | |||
c | Series 2020-N1A Class A, 1.53% due 1/16/2024 | 35,445 | 35,503 |
Series 2021-N2 Class A1, 0.32% due 3/10/2028 | 400,000 | 399,916 | |
c | Series 2021-P1 Class N, 2.16% due 12/10/2027 | 261,540 | 261,587 |
CIG Auto Receivables Trust, | |||
c | Series 2019-1A Class B, 3.59% due 8/15/2024 | 375,000 | 381,556 |
c | Series 2020-1A Class A, 0.68% due 10/12/2023 | 77,158 | 77,252 |
CPS Auto Receivables Trust, | |||
c | Series 2019-D Class B, 2.35% due 11/15/2023 | 64,283 | 64,477 |
c | Series 2020-A Class A, 2.09% due 5/15/2023 | 23,712 | 23,732 |
c | Series 2021-A Class A, 0.35% due 1/16/2024 | 85,354 | 85,383 |
c | Series 2021-B Class A, 0.37% due 3/17/2025 | 204,558 | 204,653 |
c | CPS Auto Trust, Series 2017-A Class D, 4.61% due 12/15/2022 | 45,273 | 45,581 |
c | Credito Real USA Auto Receivables Trust, Series 2021-1A Class A, 1.35% due 2/16/2027 | 404,760 | 405,578 |
Drive Auto Receivables Trust, Series 2018-4 Class C, 3.66% due 11/15/2024 | 3,237 | 3,241 | |
c | DT Auto Owner Trust, Series 2018-3A Class C, 3.79% due 7/15/2024 | 181,718 | 182,529 |
c | Exeter Automobile Receivables Trust, Series 2017-3A Class C, 3.68% due 7/17/2023 | 281,324 | 284,758 |
FHF Trust, | |||
c | Series 2020-1A Class A, 2.59% due 12/15/2023 | 96,027 | 96,809 |
c | Series 2021-1A Class A, 1.27% due 3/15/2027 | 112,389 | 112,357 |
c | First Investors Auto Owner, 3.60% due 4/17/2023 | 187,000 | 188,127 |
c | Flagship Credit Auto Trust, Series 2018-4 Class A, 3.41% due 5/15/2023 | 5,777 | 5,783 |
Ford Credit Floorplan Master Owner Trust, Series 2018-3 Class A1, 3.52% due 10/15/2023 | 55,000 | 55,507 | |
c | Foursight Capital Automobile Receivables Trust, Series 2021-1 Class A1, 0.27% due 2/15/2022 | 5,833 | 5,833 |
GLS Auto Receivables Issuer Trust, | |||
c | Series 2019-4A Class A, 2.47% due 11/15/2023 | 12,124 | 12,187 |
c | Series 2020-1A Class A, 2.17% due 2/15/2024 | 385,672 | 388,048 |
c | Series 2020-3A Class A, 0.69% due 10/16/2023 | 22,284 | 22,314 |
c | Series 2021-1A Class A, 0.34% due 5/15/2024 | 159,634 | 159,680 |
Honda Auto Receivables Owner Trust, Series 2018-3 Class A3, 2.95% due 8/22/2022 | 13,615 | 13,682 | |
a,c | Navistar Financial Dealer Note Master Trust, Series 2020-1 Class A, 1.042% (LIBOR 1 Month + 0.95%) due 7/25/2025 | 123,000 | 124,122 |
c | NextGear Floorplan Master Owner Trust, Series 2018-2A Class A2, 3.69% due 10/15/2023 | 206,000 | 207,989 |
c | Octane Receivables Trust, Series 2019-1A Class A, 3.16% due 9/20/2023 | 117,810 | 118,851 |
b,c | Oscar US Funding XI, LLC, Series 2019-2A Class A3, 2.59% due 9/11/2023 | 100,000 | 101,253 |
b,c | Oscar US Funding XII, LLC, Series 2021-1A Class A1, 0.222% due 3/10/2022 | 79,140 | 79,138 |
c | Prestige Auto Receivables Trust, Series 2019-1A Class B, 2.53% due 1/16/2024 | 328,000 | 330,318 |
Santander Drive Auto Receivables Trust, Series 2018-5 Class C, 3.81% due 12/16/2024 | 81,230 | 81,422 | |
Tesla Auto Lease Trust, | |||
c | Series 2019-A Class A2, 2.13% due 4/20/2022 | 36,261 | 36,416 |
c | Series 2020-A Class A2, 0.55% due 5/22/2023 | 166,488 | 166,660 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Ultra Short Income Fund | June 30, 2021 (Unaudited) |
Issuer-Description | PRINCIPAL AMOUNT | VALUE | |
United Auto Credit Securitization Trust, | |||
c | Series 2020-1 Class A, 0.85% due 5/10/2022 | $ 1,634 | $ 1,634 |
c | Series 2021-1 Class A, 0.34% due 7/10/2023 | 143,196 | 143,233 |
c | USASF Receivables, LLC, Series 2020-1A Class A, 2.47% due 8/15/2023 | 81,135 | 81,463 |
c | Veros Auto Receivables Trust, Series 2021-1 Class A, 0.92% due 10/15/2026 | 428,435 | 428,402 |
c | Westlake Automobile Receivables Trust, Series 2020-1A Class A2, 1.44% due 9/15/2023 | 100,174 | 100,526 |
6,749,019 | |||
Credit Card — 3.4% | |||
American Express Credit Account Master Trust, | |||
Series 2018-8 Class A, 3.18% due 4/15/2024 | 250,000 | 251,522 | |
Series 2019-1 Class A, 2.87% due 10/15/2024 | 200,000 | 203,780 | |
a | Barclays Dryrock Issuance Trust, Series 2018-1 Class A, 0.403% (LIBOR 1 Month + 0.33%) due 7/15/2024 | 250,000 | 250,157 |
c | Fair Square Issuance Trust, Series 2020-AA Class A, 2.90% due 9/20/2024 | 220,000 | 222,398 |
Genesis Private Label Amortizing Trust, | |||
c | Series 2020-1 Class A, 2.08% due 7/20/2030 | 78,490 | 78,530 |
c | Series 2020-1 Class B, 2.83% due 7/20/2030 | 100,000 | 100,274 |
c | Series 2020-1 Class C, 4.19% due 7/20/2030 | 100,000 | 101,206 |
World Financial Network Credit Card Master Trust, Series 2019-B Class A, 2.49% due 4/15/2026 | 400,000 | 408,506 | |
1,616,373 | |||
Other Asset Backed — 28.1% | |||
Affirm Asset Securitization Trust, | |||
c | Series 2020-A Class A, 2.10% due 2/18/2025 | 200,000 | 201,238 |
c | Series 2020-Z1 Class A, 3.46% due 10/15/2024 | 368,158 | 372,093 |
c | Series 2020-Z2 Class A, 1.90% due 1/15/2025 | 183,251 | 184,518 |
c | Amur Equipment Finance Receivables IX, LLC, Series 2021-1A Class A1, 0.22% due 4/20/2022 | 277,905 | 277,829 |
c | Amur Equipment Finance Receivables VI, LLC, Series 2018-2A Class A2, 3.89% due 7/20/2022 | 43,313 | 43,857 |
c | Amur Equipment Finance Receivables VII, LLC, Series 2019-1A Class A2, 2.63% due 6/20/2024 | 56,016 | 56,730 |
c | Amur Equipment Finance Receivables VIII, LLC, Series 2020-1A Class A2, 1.68% due 8/20/2025 | 80,002 | 80,676 |
c | Aqua Finance Trust, Series 2019-A Class A, 3.14% due 7/16/2040 | 48,669 | 49,998 |
c,d | Arm Master Trust, Series 2021-T2 Class A, 1.42% due 1/15/2024 | 300,000 | 299,986 |
c | Ascentium Equipment Receivables, Series 2017-2A Class C, 2.87% due 8/10/2022 | 90,000 | 90,864 |
Avant Loans Funding Trust, | |||
c | Series 2019-A Class B, 3.80% due 12/15/2022 | 11,751 | 11,763 |
c | Series 2019-B Class B, 3.15% due 10/15/2026 | 128,153 | 128,783 |
c | Bankers Healthcare Group Securitization Trust, Series 2020-A Class A, 2.56% due 9/17/2031 | 87,647 | 89,391 |
a,c | Bayview Opportunity Master Fund, Series 2017-RT3 Class A, 3.50% due 1/28/2058 | 39,242 | 39,650 |
a,c | Bayview Opportunity Master Fund IV Trust, Series 2017-RT1 Class A1, 3.00% due 3/28/2057 | 53,865 | 54,640 |
c | BCC Funding Corp. XVI, LLC, Series 2019-1A Class A2, 2.46% due 8/20/2024 | 86,905 | 87,773 |
BCC Funding XVII, LLC, | |||
c | Series 2020-1 Class A1, 0.31% due 10/20/2021 | 82,464 | 82,456 |
c | Series 2020-1 Class A2, 0.91% due 8/20/2025 | 500,000 | 501,099 |
c | BRE Grand Islander Timeshare Issuer, LLC, Series 2017-1A Class A, 2.94% due 5/25/2029 | 88,899 | 91,232 |
c | Conn’s Receivables Funding, LLC, Series 2020-A Class A, 1.71% due 6/16/2025 | 56,274 | 56,303 |
c | Consumer Loan Underlying Bond CLUB Credit Trust, Series 2020-P1 Class A, 2.26% due 3/15/2028 | 34,247 | 34,388 |
c | Consumer Loan Underlying Bond Credit Trust, Series 2019-P2 Class A, 2.47% due 10/15/2026 | 11,174 | 11,195 |
c | Crossroads Asset Trust, Series 2021-A Class A1, 0.374% due 12/20/2021 | 430,894 | 430,947 |
c | Dell Equipment Finance Trust, Series 2020-1 Class A2, 2.26% due 6/22/2022 | 51,555 | 51,888 |
c | Dext, LLC, Series 2020-1 Class A, 1.46% due 2/16/2027 | 139,335 | 140,037 |
c | Diamond Resorts Owner Trust, Series 2019-1A Class A, 2.89% due 2/20/2032 | 97,447 | 100,424 |
c | DLL Securitization Trust, Series 2017-A Class A4, 2.43% due 11/17/2025 | 80,866 | 81,079 |
c | Encina Equipment Finance, LLC, Series 2021-1A Class A1, 0.50% due 9/15/2025 | 372,217 | 372,607 |
Foundation Finance Trust, | |||
c | Series 2016-1A Class A, 3.96% due 6/15/2035 | 6,684 | 6,720 |
c | Series 2017-1A Class A, 3.30% due 7/15/2033 | 15,801 | 16,024 |
c | Series 2019-1A Class A, 3.86% due 11/15/2034 | 62,673 | 65,169 |
Freed ABS Trust, | |||
c | Series 2019-1 Class B, 3.87% due 6/18/2026 | 27,924 | 28,135 |
c | Series 2019-2 Class A, 2.62% due 11/18/2026 | 8,503 | 8,512 |
c | Series 2020-2CP Class A, 4.52% due 6/18/2027 | 13,172 | 13,224 |
c | Series 2020-3FP Class A, 2.40% due 9/20/2027 | 16,595 | 16,615 |
c | Series 2020-FP1 Class A, 2.52% due 3/18/2027 | 50,412 | 50,628 |
c | Series 2021-1CP Class A, 0.66% due 3/20/2028 | 108,908 | 108,954 |
c | Series 2021-2 Class A, 0.68% due 6/19/2028 | 185,266 | 185,491 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Ultra Short Income Fund | June 30, 2021 (Unaudited) |
Issuer-Description | PRINCIPAL AMOUNT | VALUE | |
a,c | Gracie Point International Funding, Series 2020-B Class A, 1.492% (LIBOR 1 Month + 1.40%) due 5/2/2023 | $ 99,996 | $ 100,926 |
c | Hilton Grand Vacations Trust, Series 2019-AA Class A, 2.34% due 7/25/2033 | 91,794 | 94,435 |
c | LendingClub Receivables Trust, Series 2020-6A Class A, 2.75% due 11/15/2047 | 133,666 | 134,424 |
c | Lendingpoint Asset Securitization Trust, Series 2019-2 Class C, 4.66% due 11/10/2025 | 300,000 | 302,745 |
c | Lendmark Funding Trust, Series 2018-2A Class A, 4.23% due 4/20/2027 | 200,000 | 202,144 |
LL ABS Trust, | |||
c | Series 2019-1A Class A, 2.87% due 3/15/2027 | 9,007 | 9,014 |
c | Series 2019-1A Class B, 3.52% due 3/15/2027 | 100,000 | 100,898 |
c | Series 2020-1A Class A, 2.33% due 1/17/2028 | 95,427 | 96,065 |
Marlette Funding Trust, | |||
c | Series 2019-2A Class A, 3.13% due 7/16/2029 | 22,306 | 22,376 |
c | Series 2019-4A Class A, 2.39% due 12/17/2029 | 37,057 | 37,228 |
c | Series 2020-1A Class B, 2.38% due 3/15/2030 | 150,000 | 151,410 |
c | Series 2020-2A Class A, 1.02% due 9/16/2030 | 24,434 | 24,461 |
c | Series 2021-1A Class A, 0.60% due 6/16/2031 | 263,418 | 263,590 |
MMAF Equipment Finance, LLC, | |||
c | Series 2014-AA Class A5, 2.33% due 12/8/2025 | 150,124 | 151,466 |
c | Series 2017-AA Class A4, 2.41% due 8/16/2024 | 219,171 | 220,118 |
c | Series 2018-A Class A3, 3.20% due 9/12/2022 | 40,823 | 41,069 |
Nationstar HECM Loan Trust, | |||
a,c | Series 2019-1A Class A, 2.651% due 6/25/2029 | 29,291 | 29,334 |
a,c | Series 2020-1A Class A1, 1.269% due 9/25/2030 | 82,208 | 82,414 |
c | New Residential Advance Receivables Trust Advance Receivables Backed, Series 2020-T1 Class AT1, 1.426% due 8/15/2053 | 400,000 | 400,152 |
c | New Residential Advance Receivables Trust Advance Receivables Backed Notes, Series 2020-APT1 Class AT1, 1.035% due 12/16/2052 | 285,000 | 285,074 |
c | NMEF Funding, LLC, Series 2021-A Class A1, 0.341% due 3/15/2022 | 276,937 | 277,003 |
Oportun Funding XII, LLC, | |||
c | Series 2018-D Class A, 4.15% due 12/9/2024 | 200,000 | 201,329 |
c | Series 2018-D Class B, 4.83% due 12/9/2024 | 200,000 | 201,337 |
c | Oportun Funding, LLC, Series 2020-1 Class A, 2.20% due 5/15/2024 | 107,855 | 108,368 |
c | Pagaya AI Debt Selection Trust, Series 2020-3 Class A, 2.10% due 5/17/2027 | 139,257 | 140,251 |
c | Pawnee Equipment Receivables, LLC, Series 2019-1 Class A2, 2.29% due 10/15/2024 | 85,166 | 86,056 |
PFS Financing Corp., | |||
c | Series 2018-F Class A, 3.52% due 10/15/2023 | 350,000 | 353,334 |
c | Series 2018-F Class B, 3.77% due 10/15/2023 | 259,000 | 261,513 |
c | Series 2019-A Class A2, 2.86% due 4/15/2024 | 400,000 | 408,067 |
a,c | Series 2019-B Class A, 0.623% (LIBOR 1 Month + 0.55%) due 9/15/2023 | 250,000 | 250,201 |
PSNH Funding, LLC 3, Series 2018-1 Class A1, 3.094% due 2/1/2026 | 50,341 | 52,012 | |
c | Regional Management Issuance Trust, Series 2019-1 Class A, 3.05% due 11/15/2028 | 175,000 | 178,729 |
c | Republic FInance Issuance Trust, Series 2019-A Class A, 3.43% due 11/22/2027 | 425,000 | 429,174 |
SCF Equipment Leasing, LLC, | |||
c | Series 2019-2A Class A1, 2.22% due 6/20/2024 | 42,046 | 42,415 |
c | Series 2021-1A Class A1, 0.234% due 3/11/2022 | 130,904 | 130,897 |
c | Sierra Timeshare Receivables Funding, LLC, Series 2016-3A Class A, 2.43% due 10/20/2033 | 340,434 | 341,733 |
Small Business Lending Trust, | |||
c | Series 2019-A Class A, 2.85% due 7/15/2026 | 7,575 | 7,570 |
c | Series 2020-A Class A, 2.62% due 12/15/2026 | 61,663 | 61,861 |
SoFi Consumer Loan Program Trust, | |||
c | Series 2019-2 Class A, 3.01% due 4/25/2028 | 231,115 | 231,570 |
c | Series 2020-1 Class A, 2.02% due 1/25/2029 | 137,427 | 138,286 |
c | SPS Servicer Advance Receivables Trust, Series 2020-T2 Class A, 1.83% due 11/15/2055 | 450,000 | 453,139 |
c | SPS Servicer Advance Receivables Trust II, Series 2020-T1 Class AT1, 1.28% due 11/15/2052 | 250,000 | 250,931 |
c | Theorem Funding Trust, Series 2020-1A Class A, 2.48% due 10/15/2026 | 67,497 | 67,882 |
Towd Point Mortgage Trust, | |||
a,c | Series 2016-5 Class A1, 2.50% due 10/25/2056 | 27,397 | 27,837 |
a,c | Series 2018-2 Class A1, 3.25% due 3/25/2058 | 50,951 | 52,795 |
a,c | Series 2018-6 Class A1A, 3.75% due 3/25/2058 | 147,665 | 152,519 |
a,c | Series 2019-HY2 Class 1, 1.092% (LIBOR 1 Month + 1.00%) due 5/25/2058 | 89,784 | 90,467 |
Upstart Pass-Through Trust, | |||
c | Series 2020-ST2 Class A, 3.50% due 3/20/2028 | 318,768 | 325,667 |
c | Series 2020-ST3 Class A, 3.35% due 4/20/2028 | 60,785 | 61,961 |
Upstart Securitization Trust, | |||
c | Series 2019-2 Class A, 2.897% due 9/20/2029 | 11,531 | 11,550 |
c | Series 2019-2 Class B, 3.734% due 9/20/2029 | 150,000 | 151,767 |
c | Series 2019-3 Class A, 2.684% due 1/21/2030 | 57,848 | 58,087 |
c | Series 2019-3 Class B, 3.829% due 1/21/2030 | 150,000 | 152,829 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Ultra Short Income Fund | June 30, 2021 (Unaudited) |
Issuer-Description | PRINCIPAL AMOUNT | VALUE | |
c | Series 2020-3 Class A, 1.702% due 11/20/2030 | $ 98,315 | $ 98,863 |
c | Series 2021-1 Class A, 0.87% due 3/20/2031 | 123,716 | 123,957 |
c | Series 2021-2 Class A, 0.91% due 6/20/2031 | 144,370 | 143,958 |
c | VSE VOI Mortgage, LLC, Series 2016-A Class A, 2.54% due 7/20/2033 | 142,380 | 142,783 |
13,540,957 | |||
Student Loan — 4.5% | |||
a,c | Earnest Student Loan Program, LLC, Series 2016-B Class A1, 2.142% (LIBOR 1 Month + 2.05%) due 2/26/2035 | 98,886 | 99,004 |
Navient Private Education Loan Trust, | |||
a,c | Series 2014-AA Class A2B, 1.323% (LIBOR 1 Month + 1.25%) due 2/15/2029 | 278,819 | 280,357 |
a,c | Series 2017-A Class A2B, 0.973% (LIBOR 1 Month + 0.90%) due 12/16/2058 | 85,917 | 86,193 |
c | Navient Private Education Refi Loan Trust, Series 2018-CA Class A2, 3.52% due 6/16/2042 | 319,654 | 325,424 |
Navient Student Loan Trust, | |||
a,c | Series 2016-6A Class A2, 0.842% (LIBOR 1 Month + 0.75%) due 3/25/2066 | 43,316 | 43,443 |
a,c | Series 2017-1A Class A2, 0.842% (LIBOR 1 Month + 0.75%) due 7/26/2066 | 68,651 | 68,745 |
Nelnet Student Loan Trust, | |||
a,c | Series 2012-2A Class A, 0.892% (LIBOR 1 Month + 0.80%) due 12/26/2033 | 116,123 | 116,589 |
a,c | Series 2015-3A Class A2, 0.692% (LIBOR 1 Month + 0.60%) due 2/27/2051 | 44,435 | 44,280 |
a,c | Series 2016-A Class A1A, 1.842% (LIBOR 1 Month + 1.75%) due 12/26/2040 | 17,631 | 17,714 |
a,c | Pennsylvania Higher Education Assistance Agency, Series 2012-1A Class A1, 0.642% (LIBOR 1 Month + 0.55%) due 5/25/2057 | 19,581 | 19,371 |
a,c | SLM Private Education Loan Trust, Series 2014-A Class A3, 1.573% (LIBOR 1 Month + 1.50%) due 3/15/2032 | 12,042 | 12,047 |
SLM Student Loan Trust, | |||
a | Series 2011-2 Class A1, 0.692% (LIBOR 1 Month + 0.60%) due 11/25/2027 | 21,914 | 21,930 |
a | Series 2013-4 Class A, 0.642% (LIBOR 1 Month + 0.55%) due 6/25/2043 | 30,368 | 30,154 |
a | Series 2013-6 Class A3, 0.742% (LIBOR 1 Month + 0.65%) due 6/25/2055 | 188,618 | 189,556 |
SMB Private Education Loan Trust, | |||
a,c | Series 2015-A Class A2B, 1.073% (LIBOR 1 Month + 1.00%) due 6/15/2027 | 32,682 | 32,751 |
a,c | Series 2015-B Class A2B, 1.273% (LIBOR 1 Month + 1.20%) due 7/15/2027 | 357,126 | 358,394 |
a,c | Series 2016-B Class A2B, 1.523% (LIBOR 1 Month + 1.45%) due 2/17/2032 | 156,537 | 158,311 |
a,c | Series 2020-A Class A1, 0.401% (LIBOR 1 Month + 0.30%) due 3/15/2027 | 42,095 | 42,095 |
a,c | Series 2020-PTB Class A1, 0.392% (LIBOR 1 Month + 0.30%) due 9/15/2054 | 86,151 | 86,152 |
SoFi Professional Loan Program, LLC, | |||
c | Series 2016-B Class A2B, 2.74% due 10/25/2032 | 17,376 | 17,503 |
c | Series 2016-E Class A2B, 2.49% due 1/25/2036 | 88,841 | 89,297 |
a,c | Series 2017-A Class A1, 0.792% (LIBOR 1 Month + 0.70%) due 3/26/2040 | 27,936 | 27,973 |
2,167,283 | |||
Total Asset Backed Securities (Cost $23,930,836) | 24,073,632 | ||
Corporate Bonds — 24.5% | |||
Automobiles & Components — 3.0% | |||
Automobiles — 2.6% | |||
c | BMW US Capital, LLC, 2.95% due 4/14/2022 | 130,000 | 132,717 |
Daimler Finance North America, LLC, | |||
a,c | 1.056% (LIBOR 3 Month + 0.90%) due 2/15/2022 | 150,000 | 150,735 |
c | 3.40% due 2/22/2022 | 200,000 | 203,930 |
c | Hyundai Capital America, 3.95% due 2/1/2022 | 245,000 | 249,645 |
a,c | Nissan Motor Acceptance Corp., 0.836% (LIBOR 3 Month + 0.69%) due 9/28/2022 | 33,000 | 33,050 |
b | Toyota Motor Corp., 2.157% due 7/2/2022 | 18,000 | 18,346 |
a | Toyota Motor Credit Corp., 0.361% (SOFR + 0.34%) due 10/14/2022 | 250,000 | 250,600 |
a,c | Volkswagen Group of America Finance, LLC, 1.108% (LIBOR 3 Month + 0.94%) due 11/12/2021 | 200,000 | 200,644 |
Trading Companies & Distributors — 0.4% | |||
b,c | Mitsubishi HC Capital, Inc., 3.406% due 2/28/2022 | 200,000 | 203,288 |
1,442,955 | |||
Banks — 1.6% | |||
Banks — 1.6% | |||
a,b,c | ABN AMRO Bank N.V., 0.709% (LIBOR 3 Month + 0.57%) due 8/27/2021 | 200,000 | 200,168 |
a | PNC Bank NA, 0.475% (LIBOR 3 Month + 0.33%) due 2/24/2023 | 250,000 | 250,390 |
Santander Holdings USA, Inc., 4.45% due 12/3/2021 | 40,000 | 40,536 | |
Zions Bancorp N.A., 3.35% due 3/4/2022 | 250,000 | 254,303 | |
745,397 | |||
Consumer Durables & Apparel — 0.4% |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Ultra Short Income Fund | June 30, 2021 (Unaudited) |
Issuer-Description | PRINCIPAL AMOUNT | VALUE | |
Household Durables — 0.4% | |||
b,c | Panasonic Corp., 2.536% due 7/19/2022 | $200,000 | $ 203,896 |
203,896 | |||
Diversified Financials — 1.9% | |||
Consumer Finance — 0.5% | |||
a,c | Wells Fargo Bank NA, 1.00% (LIBOR 3 Month + 0.20%) due 5/18/2022 | 250,000 | 251,287 |
Diversified Financial Services — 1.4% | |||
a | Citigroup, Inc., 0.901% (SOFR + 0.87%) due 11/4/2022 | 100,000 | 100,204 |
a,b | Deutsche Bank AG, 1.369% (LIBOR 3 Month + 1.23%) due 2/27/2023 | 100,000 | 100,851 |
a | Goldman Sachs Group, Inc., Series FRN, 0.436% (SOFR + 0.41%) due 1/27/2023 | 250,000 | 250,130 |
a | Morgan Stanley, 0.725% (SOFR + 0.70%) due 1/20/2023 | 215,000 | 215,497 |
917,969 | |||
Energy — 0.2% | |||
Oil, Gas & Consumable Fuels — 0.2% | |||
EQM Midstream Partners L.P., Series 5Y, 4.75% due 7/15/2023 | 21,000 | 21,924 | |
a | Occidental Petroleum Corp., 1.606% (LIBOR 3 Month + 1.45%) due 8/15/2022 | 70,000 | 69,647 |
91,571 | |||
Food & Staples Retailing — 0.8% | |||
Food & Staples Retailing — 0.8% | |||
a,c | 7-Eleven, Inc., 0.612% (LIBOR 3 Month + 0.45%) due 8/10/2022 | 390,000 | 390,176 |
390,176 | |||
Food, Beverage & Tobacco — 0.9% | |||
Beverages — 0.5% | |||
Molson Coors Brewing Co., 2.10% due 7/15/2021 | 235,000 | 235,157 | |
Food Products — 0.4% | |||
b,c | Barry Callebaut Services N.V., 5.50% due 6/15/2023 | 200,000 | 217,132 |
452,289 | |||
Health Care Equipment & Services — 0.6% | |||
Health Care Equipment & Supplies — 0.6% | |||
Zimmer Biomet Holdings, Inc., 3.375% due 11/30/2021 | 300,000 | 301,458 | |
301,458 | |||
Insurance — 2.3% | |||
Insurance — 2.3% | |||
b | Enstar Group Ltd., 4.50% due 3/10/2022 | 225,000 | 229,718 |
c | Guardian Life Global Funding, 3.40% due 4/25/2023 | 57,000 | 60,065 |
Infinity Property & Casualty Corp., 5.00% due 9/19/2022 | 205,000 | 215,008 | |
c | Jackson National Life Global Funding, 2.10% due 10/25/2021 | 100,000 | 100,581 |
a,c | New York Life Global Funding, 0.249% (SOFR + 0.22%) due 2/2/2023 | 250,000 | 250,082 |
Reliance Standard Life Global Funding II, | |||
c | 2.625% due 7/22/2022 | 175,000 | 179,013 |
c | 3.85% due 9/19/2023 | 50,000 | 53,446 |
1,087,913 | |||
Pharmaceuticals, Biotechnology & Life Sciences — 1.9% | |||
Pharmaceuticals — 1.9% | |||
AbbVie, Inc., 3.45% due 3/15/2022 | 225,000 | 228,805 | |
a,b | AstraZeneca plc, 0.821% (LIBOR 3 Month + 0.67%) due 8/17/2023 | 240,000 | 242,230 |
c | Bayer US Finance, LLC, 3.00% due 10/8/2021 | 450,000 | 453,136 |
924,171 | |||
Real Estate — 1.0% | |||
Equity Real Estate Investment Trusts — 1.0% | |||
SBA Tower Trust, | |||
c | 2.836% due 1/15/2050 | 100,000 | 104,267 |
c | 3.722% due 4/9/2048 | 370,000 | 373,186 |
477,453 | |||
Software & Services — 0.4% | |||
Software — 0.4% |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Ultra Short Income Fund | June 30, 2021 (Unaudited) |
Issuer-Description | PRINCIPAL AMOUNT | VALUE | |
Oracle Corp., 1.90% due 9/15/2021 | $204,000 | $ 204,408 | |
204,408 | |||
Technology Hardware & Equipment — 0.5% | |||
Communications Equipment — 0.5% | |||
b | Telefonaktiebolaget LM Ericsson, 4.125% due 5/15/2022 | 225,000 | 231,476 |
231,476 | |||
Telecommunication Services — 2.7% | |||
Diversified Telecommunication Services — 1.5% | |||
a | AT&T, Inc., 1.134% (LIBOR 3 Month + 0.95%) due 7/15/2021 | 450,000 | 450,157 |
Qwest Corp., 6.75% due 12/1/2021 | 250,000 | 256,228 | |
Wireless Telecommunication Services — 1.2% | |||
Sprint Communications, Inc., 9.25% due 4/15/2022 | 550,000 | 584,512 | |
1,290,897 | |||
Utilities — 6.3% | |||
Electric Utilities — 5.2% | |||
c | Alliant Energy Finance, LLC, 3.75% due 6/15/2023 | 42,000 | 44,392 |
a | Dominion Energy, Inc., Series D, 0.649% (LIBOR 3 Month + 0.53%) due 9/15/2023 | 225,000 | 225,151 |
a | Duke Energy Corp., 0.297% (SOFR + 0.25%) due 6/10/2023 | 135,000 | 135,266 |
a | Duke Energy Florida, LLC, Series A, 0.391% (LIBOR 3 Month + 0.25%) due 11/26/2021 | 165,000 | 165,117 |
a | NextEra Energy Capital Holdings, Inc., 0.42% (LIBOR 3 Month + 0.27%) due 2/22/2023 | 200,000 | 200,026 |
OGE Energy Corp., 0.703% due 5/26/2023 | 225,000 | 224,966 | |
Pacific Gas and Electric Co., 1.75% due 6/16/2022 | 435,000 | 434,900 | |
a | PPL Electric Utilities Corp., 0.396% (LIBOR 3 Month + 0.25%) due 9/28/2023 | 200,000 | 200,004 |
Public Service Enterprise Group, 2.65% due 11/15/2022 | 50,000 | 51,434 | |
Southern California Edison Co., | |||
a | Series D, 0.399% (LIBOR 3 Month + 0.27%) due 12/3/2021 | 190,000 | 190,032 |
a | Series F, 0.398% (SOFR + 0.35%) due 6/13/2022 | 230,000 | 230,131 |
Tampa Electric Co., 2.60% due 9/15/2022 | 185,000 | 188,628 | |
Virginia Electric & Power Co., 2.95% due 1/15/2022 | 205,000 | 206,546 | |
Gas Utilities — 1.1% | |||
a | Atmos Energy Corp., 0.503% (LIBOR 3 Month + 0.38%) due 3/9/2023 | 170,000 | 170,066 |
a | CenterPoint Energy Resources Corp., 0.631% (LIBOR 3 Month + 0.50%) due 3/2/2023 | 155,000 | 155,028 |
a | ONE Gas, Inc., 0.735% (LIBOR 3 Month + 0.61%) due 3/11/2023 | 215,000 | 215,039 |
3,036,726 | |||
Total Corporate Bonds (Cost $11,742,068) | 11,798,755 | ||
Long-Term Municipal Bonds — 0.6% | |||
Colorado Educational & Cultural Facilities Authority, Series B, 2.474% due 3/1/2022 | 50,000 | 50,695 | |
New Jersey Transportation Trust Fund Authority, | |||
2.551% due 6/15/2023 | 30,000 | 30,502 | |
2.631% due 6/15/2024 | 25,000 | 25,594 | |
New York State Urban Development Corp., Series D-1, 2.55% due 3/15/2022 | 120,000 | 121,900 | |
State of Connecticut GO, | |||
Series A, | |||
3.471% due 9/15/2022 | 20,000 | 20,763 | |
4.00% due 9/15/2021 | 20,000 | 20,154 | |
Total Long-Term Municipal Bonds (Cost $265,028) | 269,608 | ||
Short-Term Investments — 11.2% | |||
e | Thornburg Capital Management Fund | 465,315 | 4,653,145 |
TriState Insured Cash Sweep, 0.25% due 10/1/2050 | 750,710 | 750,710 | |
Total Short-Term Investments (Cost $5,403,855) | 5,403,855 | ||
Total Investments — 101.3% (Cost $48,500,019) | $48,738,284 | ||
Liabilities Net of Other Assets — (1.3)% | (627,587) | ||
Net Assets — 100.0% | $48,110,697 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Ultra Short Income Fund | June 30, 2021 (Unaudited) |
Footnote Legend | |
a | 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. |
b | Yankee bond denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations. |
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, 2021, the aggregate value of these securities in the Fund’s portfolio was $27,085,369, representing 56.30% of the Fund’s net assets. |
d | Security currently fair valued by the Valuation and Pricing Committee using procedures approved by the Trustees’ Audit Committee. |
e | 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 |
GO | General Obligation |
LIBOR | London Interbank Offered Rates |
Mtg | Mortgage |
REMIC | Real Estate Mortgage Investment Conduit |
SOFR | Secured Overnight Financing Rate |
UMBS | Uniform Mortgage Backed Securities |
NOTES TO SCHEDULE OF INVESTMENTS
Thornburg Ultra Short Income Fund | June 30, 2021 (Unaudited) |
NOTE 1 – ORGANIZATION
Thornburg Ultra Short 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-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 two classes of shares of beneficial interest: Class A and Institutional Class (“Class I”).
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: 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 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.
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 | |
Thornburg Capital Management Fund | $7,005,333 | $40,468,337 | $(42,820,525) | $- | $- | $4,653,145 | $4,922 |