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 |
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 |
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% |
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. |
Thornburg Limited Term U.S. Government Fund | December 31, 2023 (Unaudited) |