0001752724-24-030904.txt : 20240221 0001752724-24-030904.hdr.sgml : 20240221 20240221114544 ACCESSION NUMBER: 0001752724-24-030904 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20231231 FILED AS OF DATE: 20240221 DATE AS OF CHANGE: 20240221 PERIOD START: 20240930 FILER: COMPANY DATA: COMPANY CONFORMED NAME: THORNBURG INVESTMENT TRUST CENTRAL INDEX KEY: 0000816153 ORGANIZATION NAME: IRS NUMBER: 061158764 STATE OF INCORPORATION: MA FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-05201 FILM NUMBER: 24657445 BUSINESS ADDRESS: STREET 1: 2300 NORTH RIDGETOP ROAD CITY: SANTA FE STATE: NM ZIP: 87506-8361 BUSINESS PHONE: 5059840200 MAIL ADDRESS: STREET 1: 2300 NORTH RIDGETOP ROAD CITY: SANTA FE STATE: NM ZIP: 87506-8361 FORMER COMPANY: FORMER CONFORMED NAME: THORNBURG INCOME TRUST DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: LIMITED TERM TRUST DATE OF NAME CHANGE: 19870816 0000816153 S000011842 Thornburg Limited Term U.S. Government Fund C000032347 Thornburg Limited Term U.S. Government Fund - Class A LTUSX C000032349 Thornburg Limited Term U.S. Government Fund - Class C LTUCX C000032350 Thornburg Limited Term U.S. Government Fund - Class I LTUIX C000042666 Thornburg Limited Term U.S. Government Fund - Class R3 LTURX C000113847 Thornburg Limited Term U.S. Government Fund - Class R5 LTGRX C000136848 Thornburg Limited Term U.S. Government Fund - Class R4 LTUGX C000222323 Thornburg Limited Term U.S. Government Fund - Class C2 LTUQX NPORT-P 1 primary_doc.xml NPORT-P false 0000816153 XXXXXXXX S000011842 C000042666 C000032349 C000032350 C000113847 C000136848 C000222323 C000032347 THORNBURG INVESTMENT TRUST 811-05201 0000816153 5493001XM52H8S4WYY82 2300 NORTH RIDGETOP ROAD SANTA FE 87506-8361 505-984-0200 Thornburg Limited Term U.S. Government Fund S000011842 5493006JWY6PYF1WBP22 2024-09-30 2023-12-31 N 164104747.39 553239.78 163551507.61 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 567269.35000000 USD N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CGQ8 3000000.00000000 PA USD 3016171.89000000 1.844172477573 Long DBT UST US N 1 2030-02-28 Fixed 4.00000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 Petroleos Mexicanos 71654QBY7 500000.00000000 PA USD 453995.00000000 0.277585334818 Long DBT CORP MX N 2 2025-12-15 Fixed 2.46000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133SKBP5 2129733.65000000 PA USD 1875094.96000000 1.146485891448 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137AUCS6 482703.32000000 PA USD 473407.14000000 0.289454464173 Long ABS-MBS USGSE US N 2 2042-09-15 Floating 5.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410R6H7 62725.64000000 PA USD 63328.24000000 0.038720670280 Long ABS-MBS USGSE US N 2 2036-06-01 Floating 6.07000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140FXES7 464741.05000000 PA USD 427347.04000000 0.261292021238 Long ABS-MBS USGSE US N 2 2056-10-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140X6ED9 1226917.98000000 PA USD 1160627.45000000 0.709640324910 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 2.50000000 N N N N N N FRESB Multifamily Mortgage Pass-Through Certifica 549300GW0MQ79W9WE323 FRESB 2015-SB5 Mortgage Trust 30287QAJ2 291370.20000000 PA USD 284837.85000000 0.174157887116 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 3.15000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3128MCNV3 9384.29000000 PA USD 9318.05000000 0.005697318316 Long ABS-MBS USGSE US N 2 2025-03-01 Fixed 5.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. 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S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FCLD4 2000000.00000000 PA USD 1921545.16000000 1.174886852515 Long ABS-MBS USGSE US N 2 2027-11-25 Fixed 3.29000000 N N N N N N Freddie Mac - SCRT N/A Seasoned Credit Risk Transfer Trust Series 2020-2 35563PQP7 1566492.76000000 PA USD 1377759.83000000 0.842401179991 Long ABS-MBS USGSE US N 2 2059-11-25 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136A0LQ8 543601.06000000 PA USD 530275.07000000 0.324225118893 Long ABS-MBS USGSE US N 2 2026-08-25 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132A8DC0 472615.06000000 PA USD 453543.10000000 0.277309030425 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132E0T93 1475772.31000000 PA USD 1304356.41000000 0.797520260779 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 3.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137BPVZ9 25141.11000000 PA USD 24649.61000000 0.015071466084 Long ABS-MBS USGSE US N 2 2025-04-25 Fixed 2.26000000 N N N N N N Small Business Administration Participation Certs N/A United States Small Business Administration 83162CRK1 85366.55000000 PA USD 85357.74000000 0.052190127286 Long ABS-O USGA US N 2 2027-11-01 Fixed 5.51000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133LPS81 1858625.74000000 PA USD 1728853.05000000 1.057069467144 Long ABS-MBS USGSE US N 2 2030-12-01 Fixed 2.00000000 N N N N N N THIRAX 1 LLC N/A Thirax 1 LLC 88410XAA4 1174906.71000000 PA USD 1034646.35000000 0.632611930711 Long DBT CORP US N 2 2033-01-14 Fixed 0.97000000 N N N N N N Freddie Mac - SCRT N/A Seasoned Credit Risk Transfer Trust Series 2020-1 35563PNP0 1599073.62000000 PA USD 1446938.08000000 0.884698711215 Long ABS-MBS USGSE US N 2 2059-08-25 Fixed 2.50000000 N N N N N N HNA 2015 LLC N/A HNA 2015 LLC 40426UAA3 1045135.45000000 PA USD 998252.52000000 0.610359717612 Long DBT CORP US N 2 2027-06-30 Fixed 2.29000000 N N N N N N Farmer Mac Agricultural Real Estate Trust N/A FARM 21-1 Mortgage Trust 30768WAA6 4257319.13000000 PA USD 3501921.71000000 2.141173604067 Long ABS-MBS CORP US N 2 2051-01-25 Variable 2.18000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 31323AB27 422632.91000000 PA USD 374886.07000000 0.229215906033 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Inflation Indexed Bonds 91282CBF7 11772022.80000000 PA USD 10514837.75000000 6.429068067702 Long DBT UST US N 1 2031-01-15 Fixed 0.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418D2Y7 3124699.40000000 PA USD 2906107.99000000 1.776876307939 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ER4F4 1651381.61000000 PA USD 1558388.17000000 0.952842436473 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 2.50000000 N N N N N N Freddie Mac - SCRT N/A Seasoned Credit Risk Transfer Trust Series 2017-3 35563PBY4 899099.43000000 PA USD 825680.95000000 0.504844597317 Long ABS-MBS USGSE US N 2 2056-07-25 Variable 3.25000000 N N N N N N Small Business Administration Participation Certs N/A United States Small Business Administration 83162CYZ0 822989.73000000 PA USD 753207.11000000 0.460532049509 Long ABS-O USGA US N 2 2037-11-01 Fixed 2.79000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179MDD9 159215.07000000 PA USD 158002.16000000 0.096606972512 Long ABS-MBS USGA US N 2 2042-05-20 Floating 3.88000000 N N N N N N Small Business Administration Participation Certs N/A United States Small Business Administration 83162CWL3 407056.21000000 PA USD 378030.53000000 0.231138517476 Long ABS-O USGA US N 2 2034-08-01 Fixed 2.88000000 N N N N N N Small Business Administration Participation Certs N/A United States Small Business Administration 83162CPS6 19337.01000000 PA USD 19215.96000000 0.011749179375 Long ABS-O USGA US N 2 2025-08-01 Fixed 5.11000000 N N N N N N FRESB Multifamily Mortgage Pass-Through Certifica N/A FRESB 2018-SB47 Mortgage Trust 30296KAE5 362085.31000000 PA USD 352039.58000000 0.215246918322 Long ABS-MBS USGSE US N 2 2038-01-25 Floating 6.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418CZ72 341323.73000000 PA USD 333496.58000000 0.203909205652 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ERP79 10563.29000000 PA USD 10132.05000000 0.006195020851 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 3.00000000 N N N N N N Freddie Mac - SLST N/A Seasoned Loans Structured Transaction Trust Series 2020-2 35564CGN1 1883824.88000000 PA USD 1659075.53000000 1.014405525356 Long ABS-MBS USGSE US N 2 2030-09-25 Fixed 1.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137AFJJ2 70198.84000000 PA USD 67435.61000000 0.041232032027 Long ABS-MBS USGSE US N 2 2041-04-15 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EQU34 1331752.06000000 PA USD 1264768.02000000 0.773314803686 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 2.50000000 N N N N N N Freddie Mac - SCRT N/A Seasoned Credit Risk Transfer Trust Series 2018-4 35563PHA0 1062883.38000000 PA USD 966229.65000000 0.590780032614 Long ABS-MBS USGSE US N 2 2058-03-25 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418C5T7 391320.72000000 PA USD 386812.76000000 0.236508220347 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Inflation Indexed Bonds 912810PV4 2440879.68000000 PA USD 2427429.36000000 1.484198706250 Long DBT UST US N 1 2028-01-15 Fixed 1.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128Q2BS1 1396921.39000000 PA USD 1407656.59000000 0.860680901429 Long ABS-MBS USGSE US N 2 2046-02-01 Floating 6.33000000 N N N N N N Small Business Administration Participation Certs N/A United States Small Business Administration 83162CQY2 47855.77000000 PA USD 47687.66000000 0.029157578977 Long ABS-O USGA US N 2 2027-04-01 Fixed 5.32000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140QFLR8 2079075.78000000 PA USD 1912273.17000000 1.169217696580 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 1.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36230KRM5 177102.47000000 PA USD 175725.41000000 0.107443466934 Long ABS-MBS USGA US N 2 2061-02-20 Variable 5.00000000 N N N N N N Freddie Mac Whole Loan Securities Trust N/A Freddie Mac Whole Loan Securities Trust 2016-SC01 3137G1AV9 787490.38000000 PA USD 687415.08000000 0.420304948603 Long ABS-MBS USGSE US N 2 2046-07-25 Fixed 3.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FCM43 3500000.00000000 PA USD 3442892.32000000 2.105081371802 Long ABS-MBS USGSE US N 2 2024-10-25 Fixed 3.14000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Inflation Indexed Bonds 912828B25 402179.10000000 PA USD 401051.74000000 0.245214333918 Long DBT UST US N 1 2024-01-15 Fixed 0.63000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132D6AT7 1306532.52000000 PA USD 1140285.25000000 0.697202530666 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 1.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XMZX7 7131167.42000000 PA USD 6303965.05000000 3.854421852858 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140JBUK0 504180.33000000 PA USD 448686.44000000 0.274339531659 Long ABS-MBS USGSE US N 2 2051-12-01 Floating 1.61000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137BKRJ1 1250000.00000000 PA USD 1223250.58000000 0.747929871069 Long ABS-MBS USGSE US N 2 2025-05-25 Variable 3.33000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3128MEA43 549150.50000000 PA USD 535031.20000000 0.327133150784 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 3.50000000 N N N N N N CALEDONIA GENERA N/A Caledonia Generating LLC 129268AB4 3686280.80000000 PA USD 3123337.80000000 1.909696734467 Long DBT CORP US N 2 2034-02-28 Fixed 1.95000000 N N N N N N Freddie Mac Whole Loan Securities Trust N/A Freddie Mac Whole Loan Securities Trust 2015-SC02 3137G1AL1 194990.25000000 PA USD 176580.11000000 0.107966054596 Long ABS-MBS USGSE US N 2 2045-09-25 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133KNR54 2151717.13000000 PA USD 1909586.73000000 1.167575131470 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 31306YKV2 604698.41000000 PA USD 583870.30000000 0.356994752620 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3128S3EQ8 88985.37000000 PA USD 81801.01000000 0.050015442349 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133N3YQ1 1797052.85000000 PA USD 1495220.34000000 0.914219845386 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CDY4 2050000.00000000 PA USD 1763320.31000000 1.078143721062 Long DBT UST US N 1 2032-02-15 Fixed 1.88000000 N N N N N N Reliance Industries Ltd 5493003UOETFYRONLG31 Reliance Industries Ltd 759470AT4 1318750.00000000 PA USD 1276629.13000000 0.780567020540 Long DBT CORP IN N 2 2026-01-15 Fixed 2.51000000 N N N N N N Small Business Administration Participation Certs N/A United States Small Business Administration 83162CRG0 126324.48000000 PA USD 126273.53000000 0.077207194140 Long ABS-O USGA US N 2 2027-09-01 Fixed 5.56000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140X8PW1 1271509.83000000 PA USD 1146559.84000000 0.701038991786 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136AFB37 834609.60000000 PA USD 819087.71000000 0.500813304609 Long ABS-MBS USGSE US N 2 2043-01-25 Floating 5.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140QMN83 529784.01000000 PA USD 471779.06000000 0.288459010188 Long ABS-MBS USGSE US N 2 2051-11-01 Floating 1.54000000 N N N N N N ULANI MSN 35940 LLC 54930056O43HT0HH8620 Ulani MSN 35940 LLC 90373RAA8 625000.37000000 PA USD 599869.11000000 0.366776875839 Long DBT CORP US N 2 2025-05-16 Fixed 2.23000000 N N N N N N Freddie Mac - SCRT N/A Seasoned Credit Risk Transfer Trust Series 2019-2 35563PKG3 1793617.22000000 PA USD 1690189.72000000 1.033429617799 Long ABS-MBS USGSE US N 2 2058-08-25 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136AGFY3 576281.13000000 PA USD 563357.06000000 0.344452379701 Long ABS-MBS USGSE US N 2 2043-09-25 Floating 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140KHUP4 1588648.50000000 PA USD 1479330.20000000 0.904504166068 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 2.50000000 N N N N N N Reliance Industries Ltd 5493003UOETFYRONLG31 Reliance Industries Ltd 759470AU1 875000.00000000 PA USD 840498.75000000 0.513904617745 Long DBT CORP IN N 2 2026-01-15 Fixed 2.06000000 N N N N N N Freddie Mac - SCRT N/A Seasoned Credit Risk Transfer Trust 2017-4 35563PCM9 588831.50000000 PA USD 529328.43000000 0.323646316524 Long ABS-MBS USGSE US N 2 2057-06-25 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132D6NT3 494008.97000000 PA USD 445828.83000000 0.272592308389 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EBQW8 372143.52000000 PA USD 361637.15000000 0.221115143042 Long ABS-MBS USGSE US N 2 2027-03-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31397NGR0 191907.81000000 PA USD 147001.39000000 0.089880791775 Long ABS-MBS USGSE US N 2 2039-03-25 Variable 0.52000000 N N N N N N Freddie Mac - SCRT N/A Seasoned Credit Risk Transfer Trust Series 2018-3 35563PGG8 935522.98000000 PA USD 883523.62000000 0.540211235537 Long ABS-MBS USGSE US N 2 2057-08-25 Variable 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138WKZP3 287200.34000000 PA USD 276605.96000000 0.169124677627 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 31307UNB0 148052.38000000 PA USD 143065.53000000 0.087474296073 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 3.50000000 N N N N N N Freddie Mac - SCRT N/A Seasoned Credit Risk Transfer Trust Series 2022-1 35563P7E3 1030441.16000000 PA USD 892845.12000000 0.545910663281 Long ABS-MBS USGSE US N 2 2061-11-25 Fixed 3.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Inflation Indexed Bonds 9128286N5 405013.44000000 PA USD 399994.37000000 0.244567828108 Long DBT UST US N 1 2024-04-15 Fixed 0.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Inflation Indexed Bonds 91282CEJ6 3552454.60000000 PA USD 3339058.58000000 2.041594497534 Long DBT UST US N 1 2027-04-15 Fixed 0.13000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179NAG3 387065.99000000 PA USD 369940.43000000 0.226192002388 Long ABS-MBS USGA US N 2 2028-04-20 Fixed 2.00000000 N N N N N N 2024-01-22 THORNBURG INVESTMENT TRUST Christopher Luckham Christopher Luckham Senior Manager - Fund Administration XXXX NPORT-EX 2 NPORT_9P03_96643526_1223.htm
SCHEDULE OF INVESTMENTS
Thornburg Limited Term U.S. Government Fund December 31, 2023 (Unaudited)
  Issuer-Description PRINCIPAL
AMOUNT 		VALUE
  U.S. Treasury Securities — 18.0%    
  United States Treasury Inflation Indexed Bonds,    
  1.75% due 1/15/2028 $ 2,440,880 $  2,427,429
  2.375% due 1/15/2025     395,007      391,986
  United States Treasury Notes,    
  1.875% due 2/15/2032   2,050,000    1,763,320
  3.375% due 5/15/2033   3,970,000    3,812,441
  3.50% due 2/15/2033   1,700,000    1,649,266
  3.875% due 8/15/2033   1,750,000    1,748,906
  4.00% due 2/28/2030   3,000,000    3,016,172
  United States Treasury Notes Inflationary Index,    
  0.125% due 4/15/2027 - 1/15/2031 15,324,478   13,853,897
  0.50% due 4/15/2024     405,013      399,994
  0.625% due 1/15/2024     402,179     401,052
  Total U.S. Treasury Securities (Cost $28,831,386)             29,464,463
  U.S. Government Agencies — 7.4%    
a Durrah MSN 35603 (Guaranty: Export-Import Bank of the United States), 1.684% due 1/22/2025     163,481     160,173
  HNA Group LLC (Guaranty: Export-Import Bank of the United States), 2.291% due 6/30/2027   1,045,135      998,252
a MSN 41079 & 41084 Ltd. (Guaranty: Export-Import Bank of the United States), 1.717% due 7/13/2024     108,639      107,293
  Petroleos Mexicanos (Guaranty: Export-Import Bank of the United States),    
a 2.29% due 2/15/2024      26,250       25,921
a 2.46% due 12/15/2025     500,000      453,995
a,b 6.006% (TSFR3M + 0.61%) due 4/15/2025     525,000      508,615
  Reliance Industries Ltd. (Guaranty: Export-Import Bank of the United States),    
a 2.06% due 1/15/2026     875,000      840,499
a 2.512% due 1/15/2026   1,318,750    1,276,629
  Small Business Administration Participation Certificates,    
  Series 2005-20H Class 1, 5.11% due 8/1/2025      19,337       19,216
  Series 2007-20D Class 1, 5.32% due 4/1/2027      47,856       47,688
  Series 2007-20F Class 1, 5.71% due 6/1/2027      32,993       33,060
  Series 2007-20I Class 1, 5.56% due 9/1/2027     126,324      126,273
  Series 2007-20K Class 1, 5.51% due 11/1/2027      85,367       85,358
  Series 2008-20G Class 1, 5.87% due 7/1/2028     206,626      208,260
  Series 2011-20G Class 1, 3.74% due 7/1/2031     370,684      357,993
  Series 2011-20K Class 1, 2.87% due 11/1/2031     585,804      547,923
  Series 2014-20H Class 1, 2.88% due 8/1/2034     407,056      378,030
  Series 2015-20B Class 1, 2.46% due 2/1/2035     386,438      353,550
  Series 2015-20G Class 1, 2.88% due 7/1/2035     778,348      716,519
  Series 2015-20I Class 1, 2.82% due 9/1/2035     798,999      739,408
  Series 2017-20I Class 1, 2.59% due 9/1/2037   1,731,234    1,570,060
  Series 2017-20K Class 1, 2.79% due 11/1/2037     822,990      753,207
  Thirax 1 LLC (Guaranty: Export-Import Bank of the United States), 0.968% due 1/14/2033   1,174,907    1,034,646
  Ulani MSN 35940 LLC (Guaranty: Export-Import Bank of the United States), 2.227% due 5/16/2025     625,000      599,869
a,b Washington Aircraft 2 Co. DAC (Guaranty: Export-Import Bank of the United States), 6.043% (TSFR3M + 0.69%) due 6/26/2024     156,354     156,379
  Total U.S. Government Agencies (Cost $12,955,157)             12,098,816
  Mortgage Backed — 68.6%    
b,c Federal Agricultural Mortgage Corp. Mtg Trust, Whole Loan Securities Trust CMO, Seies 2021-1 Class A, 2.18% due 1/25/2051   4,257,319   3,501,922
  Federal Home Loan Mtg Corp.,    
b Pool 1L0049, 6.33% (H15T1Y + 2.15%) due 2/1/2046   1,396,921    1,407,657
  Pool D98887, 3.50% due 1/1/2032     202,306      195,486
  Pool E09025, 2.50% due 3/1/2028      33,242       31,974
  Pool G13804, 5.00% due 3/1/2025       9,384        9,318
  Pool G15227, 3.50% due 12/1/2029     549,151      535,031
  Pool G16710, 3.00% due 11/1/2030     908,174      873,359
  Pool J11371, 4.50% due 12/1/2024      10,951       10,854
  Pool J21208, 2.50% due 11/1/2027     604,698      583,870
  Pool J37586, 3.50% due 9/1/2032     148,052      143,066
  Pool RE6097, 2.00% due 5/1/2051   2,089,406    1,656,902
  Pool RE6119, 2.50% due 12/1/2051   1,797,053    1,495,220
  Pool SE9046, 3.00% due 12/1/2051   2,129,734    1,875,095
  Pool T61943, 3.50% due 8/1/2045      88,985       81,801
SCHEDULE OF INVESTMENTS, Continued
Thornburg Limited Term U.S. Government Fund December 31, 2023 (Unaudited)
  Issuer-Description PRINCIPAL
AMOUNT 		VALUE
  Pool T65457, 3.00% due 1/1/2048 $   422,633 $    374,886
  Federal Home Loan Mtg Corp., CMO REMIC,    
  Series 3704 Class DC, 4.00% due 11/15/2036       9,103        9,061
  Series 3922 Class PQ, 2.00% due 4/15/2041      70,199       67,436
b Series 4105 Class FG, 5.853% (SOFR30A + 0.51%) due 9/15/2042     482,703      473,407
  Series 4120 Class TC, 1.50% due 10/15/2027     320,036      303,859
  Series 4120 Class UE, 2.00% due 10/15/2027     371,569      356,984
  Federal Home Loan Mtg Corp., Multifamily Structured Pass Through Certificates, CMBS,    
  Series K042 Class A1, 2.267% due 6/25/2024     276,013      272,886
  Series K043 Class A2, 3.062% due 12/25/2024   1,337,477    1,310,657
b Series K047 Class A2, 3.329% due 5/25/2025   1,250,000    1,223,251
  Series K055 Class A1, 2.263% due 4/25/2025      25,141       24,650
b Series K061 Class A2, 3.347% due 11/25/2026     289,567      281,056
b Series K069 Class A2, 3.187% due 9/25/2027     180,000      172,752
  Series K071 Class A2, 3.286% due 11/25/2027   2,000,000    1,921,545
  Series K072 Class A2, 3.444% due 12/25/2027     120,000      115,921
  Series K073 Class A2, 3.35% due 1/25/2028   3,000,000    2,886,041
  Series K095 Class A2, 2.785% due 6/25/2029     577,000      533,714
  Series K729 Class A2, 3.136% due 10/25/2024   3,500,000    3,442,892
b Series K730 Class A2, 3.59% due 1/25/2025     180,689      177,828
  Series KHG1 Class A3, 3.341% due 12/25/2027     300,000      288,966
  Federal Home Loan Mtg Corp., Seasoned Credit Risk Transfer, Whole Loan Securities Trust CMO,    
  Series 2017-4 Class MT, 3.50% due 6/25/2057     588,832      529,328
  Series 2018-4 Class MA, 3.50% due 3/25/2058     728,634      687,456
  Series 2022-1 Class MTU, 3.25% due 11/25/2061   1,030,441      892,845
  Federal Home Loan Mtg Corp., UMBS Collateral,    
  Pool RA6808, 3.00% due 2/1/2052   2,151,717    1,909,587
  Pool RD5043, 2.00% due 12/1/2030   1,858,626    1,728,853
  Pool SB8010, 2.50% due 10/1/2034     537,067      498,084
  Pool SB8030, 2.00% due 12/1/2034     822,263      740,004
  Pool SB8118 1.50% due 9/1/2036   1,306,533    1,140,285
  Pool SB8502 2.00% due 8/1/2035     494,009      445,829
  Pool SD4175, 2.50% due 6/1/2052   1,845,301    1,569,386
  Pool SD4176, 3.00% due 9/1/2052   1,475,772    1,304,356
  Pool ZS4730, 3.50% due 8/1/2047     769,824      716,764
  Pool ZS7299, 3.00% due 10/1/2030     472,615      453,543
  Federal Home Loan Mtg Corp., Whole Loan Securities Trust CMO,    
  Series 2015-SC02 Class 2A, 3.50% due 9/25/2045     194,990      176,580
  Series 2016-SC01 Class 1A, 3.00% due 7/25/2046     787,490      687,415
  Series 2016-SC01 Class 2A, 3.50% due 7/25/2046     240,836      217,963
  Series 2016-SC02 Class 2A, 3.50% due 10/25/2046     159,909      144,116
  Series 2017-SC01 Class 1A, 3.00% due 12/25/2046   1,400,542    1,193,299
  Series 2017-SC01 Class 2A, 3.50% due 12/25/2046     470,182      416,145
  Series 2017-SC02 Class 1A, 3.00% due 5/25/2047     307,134      266,307
  Series 2017-SC02 Class 2A, 3.50% due 5/25/2047     144,451      128,509
  Federal National Mtg Assoc.,    
b Pool 895572, 6.07% (RFUCCT1Y + 1.82%) due 6/1/2036      62,726       63,328
  Pool BF0130, 3.50% due 8/1/2056     329,844      302,598
  Pool BF0144, 3.50% due 10/1/2056     464,741      427,347
b Pool BH4524, 2.149% (5-Yr. CMT + 1.150%) due 6/1/2046   1,453,963    1,353,403
b Pool BM6885, 1.613% (2.21% - SOFR30A) due 12/1/2051     504,180      448,686
  Pool BM6983, 3.00% due 3/1/2052   1,875,798    1,597,448
b Pool CB2214, 1.539% (2.20% - SOFR30A) due 11/1/2051     529,784      471,779
  Federal National Mtg Assoc., CMBS,    
b Series 2015-SB5 Class A10, 3.15% due 9/25/2035     291,370      284,838
b Series 2018-SB47 Class A5H, 6.145% (SOFR30A + 0.81%) due 1/25/2038     362,085      352,040
  Federal National Mtg Assoc., CMO REMIC,    
b Series 2009-17 Class AH, 0.523% due 3/25/2039     191,908      147,001
  Series 2011-70 Class CA, 3.00% due 8/25/2026     543,601      530,275
b Series 2013-81 Class FW, 5.752% (SOFR30A + 0.41%) due 1/25/2043     834,610      819,088
b Series 2013-92 Class FA, 6.002% (SOFR30A + 0.66%) due 9/25/2043     576,281      563,357
  Federal National Mtg Assoc., UMBS Collateral,    
  Pool AE0704, 4.00% due 1/1/2026     183,065      180,202
  Pool AJ1752, 3.50% due 9/1/2026     246,983      242,118
  Pool AK6768, 3.00% due 3/1/2027     372,144      361,637
SCHEDULE OF INVESTMENTS, Continued
Thornburg Limited Term U.S. Government Fund December 31, 2023 (Unaudited)
  Issuer-Description PRINCIPAL
AMOUNT 		VALUE
  Pool AL6582, 3.50% due 4/1/2030 $   358,389 $    348,128
  Pool AL7801, 2.50% due 11/1/2030   1,331,752    1,264,768
  Pool AL9445, 3.00% due 7/1/2031      10,563       10,132
  Pool AL9821, 2.50% due 1/1/2032   1,651,382    1,558,388
  Pool AS9749, 4.00% due 6/1/2047     287,200      276,606
  Pool AU2669, 2.50% due 10/1/2028     407,854      390,820
  Pool AZ3778, 3.00% due 4/1/2030     809,535      779,690
  Pool BM4153, 3.00% due 6/1/2033   1,104,464    1,050,480
  Pool BM4864, 3.50% due 5/1/2033     702,562      680,208
  Pool BP9589, 2.50% due 8/1/2035   1,588,649    1,479,330
  Pool CA0942, 2.50% due 12/1/2032     724,394      679,918
  Pool CA4102, 3.50% due 8/1/2029     516,630      501,591
  Pool CA5271, 2.50% due 3/1/2035   1,006,864      939,388
  Pool CA5282, 3.00% due 3/1/2035   2,079,584    1,993,413
  Pool CA7535, 1.50% due 10/1/2030   2,079,076    1,912,273
  Pool FM1523, 2.50% due 8/1/2029     467,788      447,705
  Pool FM2831, 2.50% due 5/1/2032   1,226,918    1,160,627
  Pool FM3494, 2.50% due 4/1/2048   1,119,028      977,793
  Pool FM4936, 2.00% due 12/1/2035   1,271,510    1,146,560
  Pool FM5458, 1.50% due 12/1/2035   1,248,008    1,089,530
  Pool FS0916, 3.00% due 3/1/2052   2,651,568    2,342,203
  Pool FS6096, 2.00% due 3/1/2037   3,435,277    3,092,105
  Pool FS6130, 2.50% due 7/1/2052   1,189,394    1,011,552
  Pool FS6157, 3.00% due 9/1/2052   7,131,167    6,303,965
  Pool FS6212, 1.50% due 5/1/2032     383,205      351,030
  Pool MA2353, 3.00% due 8/1/2035     602,385      565,107
  Pool MA3465, 4.00% due 9/1/2038     341,324      333,497
  Pool MA3557, 4.00% due 1/1/2029     391,321      386,813
  Pool MA3681, 3.00% due 6/1/2034     295,335      280,024
  Pool MA3826, 3.00% due 11/1/2029     602,023      573,745
  Pool MA3896, 2.50% due 1/1/2035      90,574       84,000
  Pool MA4148, 2.00% due 10/1/2030     436,428      405,956
  Pool MA4390, 2.00% due 7/1/2031   3,124,699    2,906,108
  Government National Mtg Assoc.,    
b Pool 751392, 5.00% due 2/20/2061     177,103      175,725
b Pool 894205, 3.625% (H15T1Y + 1.50%) due 8/20/2039      79,935       77,673
b Pool MA0100, 3.875% (H15T1Y + 1.50%) due 5/20/2042     159,215      158,002
  Pool MA0907, 2.00% due 4/20/2028     387,066      369,940
  Government National Mtg Assoc., CMBS, Series 2022-147 Class B, 2.20% due 10/16/2063   1,250,000      930,374
  Government National Mtg Assoc., CMO,    
  Series 2016-H04 Class HA, 2.25% due 7/20/2065   1,094,563    1,060,297
  Series 2017-186 Class VA, 3.00% due 2/20/2031   1,788,811    1,739,665
  Seasoned Credit Risk Transfer, Whole Loan Securities Trust CMO,    
b Series 2017-3 Class HA, 3.25% due 7/25/2056     899,099      825,681
b Series 2017-4 Class HT, 3.25% due 6/25/2057   2,621,249    2,307,935
b Series 2018-1 Class HA, 3.00% due 5/25/2057   1,132,863    1,027,287
b Series 2018-2 Class HA, 3.00% due 11/25/2057     625,201      573,914
  Series 2018-3 Class HA, 3.00% due 8/25/2057     855,563      780,172
b Series 2018-3 Class MA, 3.50% due 8/25/2057     935,523      883,524
  Series 2018-4 Class HA, 3.00% due 3/25/2058   1,062,883      966,230
  Series 2019-1 Class MA, 3.50% due 7/25/2058   1,994,934    1,888,187
  Series 2019-2 Class MA, 3.50% due 8/25/2058   1,793,617    1,690,190
  Series 2019-3 Class MA, 3.50% due 10/25/2058     706,352      667,397
  Series 2019-4 Class MA, 3.00% due 2/25/2059   1,080,956      988,951
  Series 2020-1 Class MA, 2.50% due 8/25/2059   1,599,074    1,446,938
  Series 2020-2 Class MA, 2.00% due 11/25/2059   1,566,493    1,377,760
  Series 2020-3 Class MA, 2.00% due 5/25/2060     515,399      451,678
  Series 2020-3 Class MT, 2.00% due 5/25/2060     636,550      503,567
  Seasoned Loans Structured Transaction Trust, Whole Loan Securities Trust CMO,    
  Series 2020-2 Class A1C, 2.00% due 9/25/2030   1,883,825    1,679,949
  Series 2020-2 Class A1D, 1.75% due 9/25/2030  1,883,825   1,659,076
  Total Mortgage Backed (Cost $119,310,703)            112,184,711
  Asset Backed Securities — 0.6%    
SCHEDULE OF INVESTMENTS, Continued
Thornburg Limited Term U.S. Government Fund December 31, 2023 (Unaudited)
  Issuer-Description PRINCIPAL
AMOUNT 		VALUE
  Other Asset Backed — 0.6%    
  Federal National Mtg Assoc., Grantor Trust, Series 2017-T1 Class A, 2.898% due 6/25/2027 $   991,305 $    938,000
                   938,000
  Total Asset Backed Securities (Cost $991,305)                938,000
  Corporate Bonds — 1.9%    
  Utilities — 1.9%    
  Electric Utilities — 1.9%    
c Caledonia Generating LLC, 1.95% due 2/28/2034  3,686,281   3,123,338
                 3,123,338
  Total Corporate Bonds (Cost $3,581,881)              3,123,338
  Total Investments — 96.5% (Cost $165,670,432)   $157,809,328
  Other Assets Less Liabilities — 3.5%   5,668,745
  Net Assets — 100.0%   $163,478,073
    
Footnote Legend
a Yankee bond denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations.
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 December 31, 2023.
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 December 31, 2023, the aggregate value of these securities in the Fund’s portfolio was $6,625,260, representing 4.05% of the Fund’s net assets.
Portfolio Abbreviations
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
DAC Designated Activity Company
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
SOFR30A Secured Overnight Financing Rate 30-Day Average
TSFR3M Term SOFR 3 Month
UMBS Uniform Mortgage Backed Securities
NOTES TO SCHEDULE OF INVESTMENTS
Thornburg Limited Term U.S. Government Fund December 31, 2023 (Unaudited)
NOTE 1 – ORGANIZATION
Thornburg Limited Term U.S. Government Fund (the “Fund”) is a diversified series of Thornburg Investment Trust (the “Trust”). The Trust is organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"). The Fund is currently one of twenty-four separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes. The Fund currently has seven classes of shares of beneficial interest: Class A, Class C, Class C2, Institutional Class (“Class I”), and Retirement Classes (“Class R3”, “Class R4”, and “Class R5”).
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: Investments in U.S. mutual funds are valued at net asset value ("NAV") each business day.
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.