NPORT-EX 2 NPORT_9P03_12773214_0624.htm
SCHEDULE OF INVESTMENTS
Thornburg Limited Term U.S. Government Fund June 30, 2024 (Unaudited)
  Issuer-Description PRINCIPAL
AMOUNT 		VALUE
  U.S. Treasury Securities — 20.6%    
  U.S. Treasury Inflation-Indexed Bonds,    
  1.75% due 1/15/2028 $ 2,487,150 $  2,447,511
  2.375% due 1/15/2025     402,494      398,752
  U.S. Treasury Inflation-Indexed Notes, 0.125% due 4/15/2027 - 1/15/2031 13,748,189   12,344,816
  U.S. Treasury Notes,    
  1.875% due 2/15/2032   2,050,000    1,720,719
  3.375% due 5/15/2033   4,445,000    4,119,959
  3.50% due 2/15/2033   1,700,000    1,593,219
  4.00% due 2/28/2030 - 2/15/2034   3,330,000    3,258,917
  4.375% due 5/15/2034   2,225,000    2,225,695
  4.50% due 11/15/2033     850,000     857,969
  Total U.S. Treasury Securities (Cost $29,058,225)             28,967,557
  U.S. Government Agencies — 7.2%    
a Durrah MSN 35603 (Guaranty: Export-Import Bank of the United States), 1.684% due 1/22/2025      98,456      97,193
  HNA Group LLC (Guaranty: Export-Import Bank of the United States), 2.291% due 6/30/2027     910,803      862,719
a MSN 41079 & 41084 Ltd. (Guaranty: Export-Import Bank of the United States), 1.717% due 7/13/2024      36,380       36,331
  Petroleos Mexicanos (Guaranty: Export-Import Bank of the United States),    
a 2.46% due 12/15/2025     375,000      349,305
a,b 5.94% (TSFR3M + 0.61%) due 4/15/2025     350,000      342,916
  Reliance Industries Ltd. (Guaranty: Export-Import Bank of the United States),    
a 2.06% due 1/15/2026     700,000      675,024
a 2.512% due 1/15/2026   1,055,000    1,022,749
  Small Business Administration Participation Certificates,    
  Series 2005-20H Class 1, 5.11% due 8/1/2025      13,111       13,034
  Series 2007-20D Class 1, 5.32% due 4/1/2027      40,951       40,632
  Series 2007-20F Class 1, 5.71% due 6/1/2027      28,435       28,336
  Series 2007-20I Class 1, 5.56% due 9/1/2027      98,509       97,992
  Series 2007-20K Class 1, 5.51% due 11/1/2027      72,397       71,995
  Series 2008-20G Class 1, 5.87% due 7/1/2028     176,247      176,197
  Series 2011-20G Class 1, 3.74% due 7/1/2031     330,595      317,232
  Series 2011-20K Class 1, 2.87% due 11/1/2031     523,996      487,768
  Series 2014-20H Class 1, 2.88% due 8/1/2034     373,361      345,725
  Series 2015-20B Class 1, 2.46% due 2/1/2035     356,523      326,348
  Series 2015-20G Class 1, 2.88% due 7/1/2035     709,833      650,796
  Series 2015-20I Class 1, 2.82% due 9/1/2035     744,172      685,266
  Series 2017-20I Class 1, 2.59% due 9/1/2037   1,653,187    1,489,386
  Series 2017-20K Class 1, 2.79% due 11/1/2037     788,395      712,234
  Thirax 1 LLC (Guaranty: Export-Import Bank of the United States), 0.968% due 1/14/2033   1,114,648      931,478
  Ulani MSN 35940 LLC (Guaranty: Export-Import Bank of the United States), 2.227% due 5/16/2025     416,667     406,625
  Total U.S. Government Agencies (Cost $10,998,309)             10,167,281
  Mortgage Backed — 63.8%    
b,c Federal Agricultural Mortgage Corp. Mtg Trust, Whole Loan Securities Trust CMO, Seies 2021-1 Class A, 2.18% due 1/25/2051   4,149,107   3,243,698
  Federal Home Loan Mtg Corp.,    
b Pool 1L0049, 6.884% (H15T1Y + 2.15%) due 2/1/2046   1,382,183    1,406,682
  Pool D98887, 3.50% due 1/1/2032     186,866      179,508
  Pool E09025, 2.50% due 3/1/2028      27,554       26,485
  Pool G13804, 5.00% due 3/1/2025       3,381        3,366
  Pool G16710, 3.00% due 11/1/2030     794,435      758,734
  Pool J11371, 4.50% due 12/1/2024       4,325        4,300
  Pool J21208, 2.50% due 11/1/2027     490,479      472,271
  Pool J37586, 3.50% due 9/1/2032     134,318      128,597
  Pool RE6097, 2.00% due 5/1/2051   2,040,257    1,562,917
  Pool RE6119, 2.50% due 12/1/2051   1,752,197    1,407,090
  Pool SE9046, 3.00% due 12/1/2051   2,065,497    1,759,075
  Pool T61943, 3.50% due 8/1/2045      87,273       78,513
  Pool T65457, 3.00% due 1/1/2048     393,917      339,199
  Federal Home Loan Mtg Corp., CMO REMIC,    
  Series 3922 Class PQ, 2.00% due 4/15/2041      57,024       54,809
b Series 4105 Class FG, 5.848% (SOFR30A + 0.51%) due 9/15/2042     459,872      452,685
  Series 4120 Class TC, 1.50% due 10/15/2027     254,354      241,371
SCHEDULE OF INVESTMENTS, Continued
Thornburg Limited Term U.S. Government Fund June 30, 2024 (Unaudited)
  Issuer-Description PRINCIPAL
AMOUNT 		VALUE
  Series 4120 Class UE, 2.00% due 10/15/2027 $   318,730 $    304,549
  Federal Home Loan Mtg Corp., Multifamily Structured Pass-Through Certificates, CMBS,    
  Series K043 Class A2, 3.062% due 12/25/2024   1,323,721    1,307,590
b Series K047 Class A2, 3.329% due 5/25/2025   1,244,171    1,221,748
  Series K055 Class A1, 2.263% due 4/25/2025       6,346        6,298
  Series K095 Class A2, 2.785% due 6/25/2029     577,000      527,713
  Series K729 Class A2, 3.136% due 10/25/2024   2,842,361    2,817,964
b Series K730 Class A2, 3.59% due 1/25/2025     179,366      177,477
  Series KHG1 Class A3, 3.341% due 12/25/2027     300,000      285,702
  Series KJ46 Class A2, 4.796% due 10/25/2031     216,000      215,537
b Series KJ47 Class A2, 5.43% due 6/25/2031     149,000      152,350
  Series KJ48 Class A2, 5.028% due 10/25/2031     379,000      381,745
  Federal Home Loan Mtg Corp., Seasoned Credit Risk Transfer, Whole Loan Securities Trust CMO,    
b Series 2017-3 Class HA, 3.25% due 7/25/2056     844,484      779,110
b Series 2017-4 Class HT, 3.25% due 6/25/2057   2,534,651    2,247,909
  Series 2017-4 Class MT, 3.50% due 6/25/2057     570,687      509,426
b Series 2018-1 Class HA, 3.00% due 5/25/2057   1,079,674      975,063
b Series 2018-2 Class HA, 3.00% due 11/25/2057     595,292      542,422
  Series 2018-3 Class HA, 3.00% due 8/25/2057     793,340      717,154
b Series 2018-3 Class MA, 3.50% due 8/25/2057     862,054      811,678
  Series 2018-4 Class HA, 3.00% due 3/25/2058     997,451      898,421
  Series 2018-4 Class MA, 3.50% due 3/25/2058     677,196      631,407
  Series 2019-1 Class MA, 3.50% due 7/25/2058   1,876,604    1,753,096
  Series 2019-2 Class MA, 3.50% due 8/25/2058   1,680,489    1,560,058
  Series 2019-3 Class MA, 3.50% due 10/25/2058     656,586      611,184
  Series 2019-4 Class MA, 3.00% due 2/25/2059   1,018,121      918,563
  Series 2020-1 Class MA, 2.50% due 8/25/2059   1,511,024    1,348,752
  Series 2020-2 Class MA, 2.00% due 11/25/2059   1,465,534    1,278,552
  Series 2020-3 Class MA, 2.00% due 5/25/2060     485,467      421,864
  Series 2020-3 Class MT, 2.00% due 5/25/2060     614,100      486,137
  Series 2022-1 Class MTU, 3.25% due 11/25/2061   1,001,631      862,817
  Federal Home Loan Mtg Corp., UMBS Collateral,    
  Pool RA6808, 3.00% due 2/1/2052   2,016,285    1,727,915
  Pool RD5043, 2.00% due 12/1/2030   1,658,621    1,546,540
  Pool SB8010, 2.50% due 10/1/2034     492,383      446,251
  Pool SB8030, 2.00% due 12/1/2034     764,310      672,399
  Pool SB8502, 2.00% due 8/1/2035     461,675      410,681
  Pool SD4175, 2.50% due 6/1/2052           0            0
  Pool ZS4730, 3.50% due 8/1/2047     736,715      663,455
  Pool ZS7299, 3.00% due 10/1/2030     417,565      397,713
  Federal Home Loan Mtg Corp., Whole Loan Securities Trust CMO,    
  Series 2015-SC02 Class 2A, 3.50% due 9/25/2045     191,242      171,054
  Series 2016-SC01 Class 1A, 3.00% due 7/25/2046     737,023      635,590
  Series 2016-SC01 Class 2A, 3.50% due 7/25/2046     237,288      212,219
  Series 2016-SC02 Class 2A, 3.50% due 10/25/2046     143,512      127,718
  Series 2017-SC01 Class 1A, 3.00% due 12/25/2046   1,360,845    1,137,412
  Series 2017-SC01 Class 2A, 3.50% due 12/25/2046     457,710      394,837
  Series 2017-SC02 Class 1A, 3.00% due 5/25/2047     289,960      247,978
  Series 2017-SC02 Class 2A, 3.50% due 5/25/2047     138,451      121,461
  Federal National Mtg Assoc.,    
b Pool 895572, 6.07% (RFUCCT1Y + 1.82%) due 6/1/2036      59,956       61,460
  Pool BF0130, 3.50% due 8/1/2056     314,788      277,023
  Pool BF0144, 3.50% due 10/1/2056     447,758      400,679
b Pool BH4524, 2.251% (5-Yr. CMT + 1.150%) due 6/1/2046   1,419,297    1,333,561
b Pool BM6885, 1.613% (2.20% - SOFR30A) due 12/1/2051     477,323      424,852
  Pool BM6983, 3.00% due 3/1/2052   1,790,628    1,480,486
b Pool CB2214, 1.525% (2.20% - SOFR30A) due 11/1/2051     513,625      458,131
  Federal National Mtg Assoc., CMBS,    
b Series 2015-SB5 Class A10, 3.15% due 9/25/2035     286,624      280,064
b Series 2018-SB47 Class A5H, 6.139% (SOFR30A + 0.81%) due 1/25/2038     329,858      323,015
  Federal National Mtg Assoc., CMO REMIC,    
b Series 2009-17 Class AH, 0.504% due 3/25/2039     186,487      143,411
  Series 2011-70 Class CA, 3.00% due 8/25/2026     420,694      409,748
b Series 2013-81 Class FW, 5.75% (SOFR30A + 0.41%) due 1/25/2043     770,343      757,324
b Series 2013-92 Class FA, 6.00% (SOFR30A + 0.66%) due 9/25/2043     555,170      544,328
SCHEDULE OF INVESTMENTS, Continued
Thornburg Limited Term U.S. Government Fund June 30, 2024 (Unaudited)
  Issuer-Description PRINCIPAL
AMOUNT 		VALUE
  Series 2024-25 Class VB, 5.50% due 3/25/2035 $   524,023 $    520,939
  Federal National Mtg Assoc., Grantor Trust, CMO, Series 2017-T1 Class A, 2.898% due 6/25/2027     990,168      933,456
  Federal National Mtg Assoc., UMBS Collateral,    
  Pool AE0704, 4.00% due 1/1/2026     114,541      113,034
  Pool AJ1752, 3.50% due 9/1/2026     187,892      184,118
  Pool AL6582, 3.50% due 4/1/2030     311,496      301,011
  Pool AL7801, 2.50% due 11/1/2030   1,168,396    1,101,810
  Pool AL9445, 3.00% due 7/1/2031       9,197        8,751
  Pool AL9821, 2.50% due 1/1/2032   1,483,848    1,384,490
  Pool AS9749, 4.00% due 6/1/2047     271,786      252,639
  Pool AU2669, 2.50% due 10/1/2028     331,902      317,378
  Pool AZ3778, 3.00% due 4/1/2030     687,678      658,579
  Pool BM4153, 3.00% due 6/1/2033     998,025      939,022
  Pool BM4864, 3.50% due 5/1/2033     638,115      612,022
  Pool CA0942, 2.50% due 12/1/2032     651,318      603,981
  Pool CA4102, 3.50% due 8/1/2029     426,185      414,040
  Pool CA5271, 2.50% due 3/1/2035     913,162      835,032
  Pool CA5282, 3.00% due 3/1/2035   1,880,074    1,758,471
  Pool CA7535, 1.50% due 10/1/2030   1,874,392    1,699,534
  Pool FM1523, 2.50% due 8/1/2029     392,607      376,503
  Pool FM2831, 2.50% due 5/1/2032   1,092,404    1,023,185
  Pool FM3494, 2.50% due 4/1/2048   1,068,949      904,825
  Pool FM4936, 2.00% due 12/1/2035   1,197,006    1,063,135
  Pool FM5458, 1.50% due 12/1/2035   1,184,632    1,012,392
  Pool FS0916, 3.00% due 3/1/2052   2,585,595    2,199,705
  Pool FS6157, 3.00% due 9/1/2052   6,897,780    5,877,356
  Pool FS6212, 1.50% due 5/1/2032     347,082      311,922
  Pool MA2353, 3.00% due 8/1/2035     563,921      522,944
  Pool MA3465, 4.00% due 9/1/2038     320,521      304,341
  Pool MA3681, 3.00% due 6/1/2034     263,526      245,989
  Pool MA3826, 3.00% due 11/1/2029     517,059      496,875
  Pool MA3896, 2.50% due 1/1/2035      83,967       76,100
  Pool MA4148, 2.00% due 10/1/2030     387,112      361,512
  Pool MA4390, 2.00% due 7/1/2031   2,794,294    2,571,713
  Government National Mtg Assoc.,    
b Pool 894205, 3.625% (H15T1Y + 1.50%) due 8/20/2039      78,038       76,553
b Pool MA0100, 3.875% (H15T1Y + 1.50%) due 5/20/2042     148,223      148,562
  Pool MA0907, 2.00% due 4/20/2028     309,983      294,740
  Government National Mtg Assoc., CMBS,    
  Series 2022-147 Class B, 2.20% due 10/16/2063   1,250,000      896,760
  Series 2023-104 Class AD, 4.00% due 1/16/2065     421,346      393,726
  Government National Mtg Assoc., CMO,    
  Series 2016-H04 Class HA, 2.25% due 7/20/2065     608,419      585,450
  Series 2017-186 Class VA, 3.00% due 2/20/2031   1,674,909    1,621,416
  Seasoned Loans Structured Transaction Trust, Whole Loan Securities Trust CMO,    
  Series 2020-2 Class A1C, 2.00% due 9/25/2030   1,775,518    1,576,394
  Series 2020-2 Class A1D, 1.75% due 9/25/2030  1,775,518   1,562,637
  Total Mortgage Backed (Cost $97,509,303)             89,821,933
  Corporate Bonds — 2.1%    
  Utilities — 2.1%    
  Electric Utilities — 2.1%    
c Caledonia Generating LLC, 1.95% due 2/28/2034  3,522,951   2,897,504
                 2,897,504
  Total Corporate Bonds (Cost $3,426,759)              2,897,504
  Short-Term Investments — 5.7%    
  U.S. Treasury Bills    
  5.278% due 7/2/2024  1,000,000      999,855
  5.316% due 7/23/2024  1,000,000      996,809
  5.318% due 7/11/2024  1,000,000      998,546
  5.32% due 7/9/2024  1,000,000      998,836
  5.323% due 7/25/2024  1,000,000      996,515
SCHEDULE OF INVESTMENTS, Continued
Thornburg Limited Term U.S. Government Fund June 30, 2024 (Unaudited)
  Issuer-Description PRINCIPAL
AMOUNT 		VALUE
  5.324% due 7/18/2024  1,000,000 $    997,531
  5.326% due 7/5/2024  1,000,000      999,417
  5.34% due 7/16/2024  1,000,000     997,815
  Total Short-Term Investments (Cost $7,985,324)              7,985,324
  Total Investments — 99.4% (Cost $148,977,920)   $139,839,599
  Other Assets Less Liabilities — 0.6%   889,111
  Net Assets — 100.0%   $140,728,710
    
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 June 30, 2024.
c Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities are restricted but liquid and may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of June 30, 2024, the aggregate value of these securities in the Fund’s portfolio was $6,141,202, representing 4.36% 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
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 June 30, 2024 (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.