# EDGAR Filing Document

**Accession Number:** 0000816153
**File Stem:** 0001752724-23-037738
**Filing Date:** 2023-2
**Character Count:** 471081
**Document Hash:** fa32c49a2acb2a452200533e1476b43c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-037738.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001752724-23-037738

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20230930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** THORNBURG INVESTMENT TRUST
- **CENTRAL INDEX KEY:** 0000816153
- **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:** 23663197

**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

## Series and Classes Contracts Data

### Thornburg Limited Term Income Fund (Series ID: S000011845)

| Class ID   | Class Name                                    | Ticker Symbol   |
|:---|:---|:---|
| C000032357 | Thornburg Limited Term Income Fund - Class A  | THIFX           |
| C000032358 | Thornburg Limited Term Income Fund - Class C  | THICX           |
| C000032359 | Thornburg Limited Term Income Fund - Class I  | THIIX           |
| C000042668 | Thornburg Limited Term Income Fund - Class R3 | THIRX           |
| C000113848 | Thornburg Limited Term Income Fund - Class R5 | THRRX           |
| C000136849 | Thornburg Limited Term Income Fund - Class R4 | THRIX           |
| C000177478 | Thornburg Limited Term Income Fund - Class R6 | THRLX           |
| C000222325 | Thornburg Limited Term Income Fund - Class C2 | THIQX           |

## Nport-Ex

SCHEDULE OF INVESTMENTS

---

| | |
|:---|:---|
| **Thornburg Limited Term Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | **Preferred Stock — 0.4%** |  |  |
|  | &nbsp;&nbsp;**Diversified Financials — 0.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Capital Markets — 0.4%** |  |  |
| **<sup>a,b</sup>** | &nbsp;&nbsp;&nbsp;Gabelli Dividend & Income Trust Series J, 1.70%, 3/26/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1162 | &nbsp;&nbsp;$29012816 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 29012816 |
|  | &nbsp;&nbsp;&nbsp;Total Preferred Stock (Cost $29,019,196) |  | &nbsp;&nbsp;&nbsp;&nbsp; 29012816 |
|  | **Asset Backed Securities — 17.9%** |  |  |
|  | &nbsp;&nbsp;**Auto Receivables — 1.7%** |  |  |
|  | &nbsp;&nbsp;&nbsp;ACC Auto Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-A Class A, 1.08% due 4/15/2027 | &nbsp;&nbsp;$4110893 | &nbsp;&nbsp;&nbsp;&nbsp; 4063398 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-A Class A, 4.58% due 7/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9498753 | &nbsp;&nbsp;&nbsp;&nbsp; 9321861 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;ACC Trust, Series 2022-1 Class A, 1.19% due 9/20/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 4191965 | &nbsp;&nbsp;&nbsp;&nbsp; 4144230 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;ACM Auto Trust, Series 2022-1A Class A, 3.23% due 4/20/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 3153852 | &nbsp;&nbsp;&nbsp;&nbsp; 3145756 |
|  | &nbsp;&nbsp;&nbsp;American Credit Acceptance Receivables Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2 Class C, 3.88% due 4/13/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6069424 | &nbsp;&nbsp;&nbsp;&nbsp; 6018389 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2 Class D, 5.65% due 5/13/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4250000 | &nbsp;&nbsp;&nbsp;&nbsp; 4224532 |
|  | &nbsp;&nbsp;&nbsp;Arivo Acceptance Auto Loan Receivables Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1 Class B, 3.37% due 6/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 3016346 | &nbsp;&nbsp;&nbsp;&nbsp; 2988256 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1A Class A, 1.19% due 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3072373 | &nbsp;&nbsp;&nbsp;&nbsp; 2984237 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Carvana Auto Receivables Trust, Series 2019-1A Class D, 3.88% due 10/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 2519664 | &nbsp;&nbsp;&nbsp;&nbsp; 2512994 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Credito Real USA Auto Receivables Trust, Series 2021-1A Class A, 1.35% due 2/16/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3070776 | &nbsp;&nbsp;&nbsp;&nbsp; 3001341 |
|  | &nbsp;&nbsp;&nbsp;Drive Auto Receivables Trust, Series 2019-1 Class D, 4.09% due 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5294831 | &nbsp;&nbsp;&nbsp;&nbsp; 5281776 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;DT Auto Owner Trust, Series 2019-4A Class D, 2.85% due 7/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 7500000 | &nbsp;&nbsp;&nbsp;&nbsp; 7349641 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Exeter Automobile Receivables Trust, Series 2019-3A Class D, 3.11% due 8/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 1361999 | &nbsp;&nbsp;&nbsp;&nbsp; 1334189 |
|  | &nbsp;&nbsp;&nbsp;FHF Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1A Class A, 1.27% due 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 9657646 | &nbsp;&nbsp;&nbsp;&nbsp; 9189888 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-2A Class A, 0.83% due 12/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 7772871 | &nbsp;&nbsp;&nbsp;&nbsp; 7373333 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Flagship Credit Auto Trust, Series 2019-2 Class D, 3.53% due 5/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 3500000 | &nbsp;&nbsp;&nbsp;&nbsp; 3407466 |
|  | &nbsp;&nbsp;&nbsp;Lendbuzz Securitization Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1A Class A, 1.46% due 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 15709879 | &nbsp;&nbsp;&nbsp;&nbsp; 14996231 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1A Class A, 4.22% due 5/17/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 11086841 | &nbsp;&nbsp;&nbsp;&nbsp; 10650644 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Octane Receivables Trust, Series 2020-1A Class A, 1.71% due 2/20/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 2327773 | &nbsp;&nbsp;&nbsp;&nbsp; 2303695 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;Oscar US Funding Trust IX LLC, Series 2018-2A Class A4, 3.63% due 9/10/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 331409 | &nbsp;&nbsp;&nbsp;&nbsp; 330424 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;Oscar US Funding XII LLC, Series 2021-1A Class A3, 0.70% due 4/10/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 18000000 | &nbsp;&nbsp;&nbsp;&nbsp; 17450128 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;US Auto Funding, Series 2021-1A Class A, 0.79% due 7/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 948738 | &nbsp;&nbsp;&nbsp;&nbsp; 947413 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Veros Auto Receivables Trust, Series 2021-1 Class A, 0.92% due 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3021640 | &nbsp;&nbsp;&nbsp;&nbsp; 2964531 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 125984353 |
|  | &nbsp;&nbsp;**Credit Card — 1.6%** |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Avant Credit Card Master Trust, Series 2021-1A Class A, 1.37% due 4/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 11900000 | &nbsp;&nbsp;&nbsp;&nbsp; 10887005 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Brex Commercial Charge Card Master Trust, Series 2021-1 Class A, 2.09% due 7/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 3400000 | &nbsp;&nbsp;&nbsp;&nbsp; 3363112 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Continental Credit Card LLC, Series 2019-1A Class A, 3.83% due 8/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 7712350 | &nbsp;&nbsp;&nbsp;&nbsp; 7645159 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Continental Finance Credit Card ABS Master Trust, Series 2020-1A Class A, 2.24% due 12/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 17500000 | &nbsp;&nbsp;&nbsp;&nbsp; 16458059 |
|  | &nbsp;&nbsp;&nbsp;Mercury Financial Credit Card Master Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1A Class A, 1.54% due 3/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 31450000 | &nbsp;&nbsp;&nbsp;&nbsp; 30005033 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1A Class A, 2.50% due 9/21/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 32350000 | &nbsp;&nbsp;&nbsp;&nbsp; 30755740 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Mission Lane Credit Card Master Trust, Series 2021-A Class A, 1.59% due 9/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 21455000 | &nbsp;&nbsp;&nbsp;&nbsp; 20777902 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 119892010 |
|  | &nbsp;&nbsp;**Other Asset Backed — 11.4%** |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Affirm Asset Securitization Trust, Series 2020-Z1 Class A, 3.46% due 10/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 1312781 | &nbsp;&nbsp;&nbsp;&nbsp; 1301396 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Amur Equipment Finance Receivables VII LLC, Series 2019-1A Class A2, 2.63% due 6/20/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 68992 | &nbsp;&nbsp;&nbsp;&nbsp; 68992 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Amur Equipment Finance Receivables VIII LLC, Series 2020-1A Class A2, 1.68% due 8/20/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 715223 | &nbsp;&nbsp;&nbsp;&nbsp; 713555 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Amur Equipment Finance Receivables X LLC, Series 2022-1A Class A2, 1.64% due 10/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 30199340 | &nbsp;&nbsp;&nbsp;&nbsp; 28660092 |
|  | &nbsp;&nbsp;&nbsp;Appalachian Consumer Rate Relief Funding LLC, Series 2013-1 Class A1, 2.008% due 2/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 681412 | &nbsp;&nbsp;&nbsp;&nbsp; 679734 |
|  | &nbsp;&nbsp;&nbsp;Aqua Finance Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-A Class A, 3.72% due 11/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 589295 | &nbsp;&nbsp;&nbsp;&nbsp; 580971 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-A Class A, 3.14% due 7/16/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 3145198 | &nbsp;&nbsp;&nbsp;&nbsp; 2942374 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-AA Class A, 1.90% due 7/17/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 22762239 | &nbsp;&nbsp;&nbsp;&nbsp; 21111566 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-AA Class C, 3.97% due 7/17/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 6300000 | &nbsp;&nbsp;&nbsp;&nbsp; 5435232 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-A Class A, 1.54% due 7/17/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 13717385 | &nbsp;&nbsp;&nbsp;&nbsp; 12318587 |
| **<sup>b,c,d</sup>** | &nbsp;&nbsp;&nbsp;Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1 Class A, 5.257% (SOFR30A + 1.45%) due 1/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 37350000 | &nbsp;&nbsp;&nbsp;&nbsp; 36155913 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

| | |
|:---|:---|
| **Thornburg Limited Term Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Bankers Healthcare Group Securitization Trust, Series 2020-A Class A, 2.56% due 9/17/2031 | &nbsp;&nbsp;$1948302 | &nbsp;&nbsp;$1901206 |
|  | &nbsp;&nbsp;&nbsp;BHG Securitization Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-B Class A, 0.90% due 10/17/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 8595464 | &nbsp;&nbsp;&nbsp;&nbsp; 8077495 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-A Class A, 1.71% due 2/20/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 26899083 | &nbsp;&nbsp;&nbsp;&nbsp; 25132572 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A Class A, 2.94% due 5/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1109612 | &nbsp;&nbsp;&nbsp;&nbsp; 1060192 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;CFG Investments Ltd., Series 2021-1 Class A, 4.70% due 5/20/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 6000000 | &nbsp;&nbsp;&nbsp;&nbsp; 5778262 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;CFMT Issuer Trust, Series 2021-GRN1 Class A, 1.10% due 3/20/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 5649331 | &nbsp;&nbsp;&nbsp;&nbsp; 5200346 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Conn's Receivables Funding LLC, Series 2021-A Class A, 1.05% due 5/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 12478 | &nbsp;&nbsp;&nbsp;&nbsp; 12457 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;CP EF Asset Securitization I LLC, Series 2022-1A Class A, 5.96% due 4/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 12141899 | &nbsp;&nbsp;&nbsp;&nbsp; 11943730 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Crossroads Asset Trust, Series 2021-A Class A2, 0.82% due 3/20/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 1038558 | &nbsp;&nbsp;&nbsp;&nbsp; 1030983 |
|  | &nbsp;&nbsp;&nbsp;Dext ABS LLC, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1 Class A, 1.46% due 2/16/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5396804 | &nbsp;&nbsp;&nbsp;&nbsp; 5322349 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1 Class A, 1.12% due 2/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 10118958 | &nbsp;&nbsp;&nbsp;&nbsp; 9657490 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Diamond Infrastructure Funding LLC, Series 2021-1A Class A, 1.76% due 4/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 36000000 | &nbsp;&nbsp;&nbsp;&nbsp; 29487125 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Diamond Issuer, Series 2021-1A Class A, 2.305% due 11/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 27894000 | &nbsp;&nbsp;&nbsp;&nbsp; 23122946 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Diamond Resorts Owner Trust, Series 2019-1A Class A, 2.89% due 2/20/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4861936 | &nbsp;&nbsp;&nbsp;&nbsp; 4660490 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;ECAF I Ltd., Series 2015-1A Class A2, 4.947% due 6/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 3468692 | &nbsp;&nbsp;&nbsp;&nbsp; 2150464 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Encina Equipment Finance LLC, Series 2022-1A Class A1, 3.76% due 8/16/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 11407788 | &nbsp;&nbsp;&nbsp;&nbsp; 11207162 |
|  | &nbsp;&nbsp;&nbsp;Entergy New Orleans Storm Recovery Funding I LLC, Series 2015-1 Class A, 2.67% due 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2851725 | &nbsp;&nbsp;&nbsp;&nbsp; 2756641 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;ExteNet LLC, Series 2019-1A Class A2, 3.204% due 7/26/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 9855000 | &nbsp;&nbsp;&nbsp;&nbsp; 9251182 |
|  | &nbsp;&nbsp;&nbsp;Federal National Mtg Assoc., Grantor Trust, Series 2017-T1 Class A, 2.898% due 6/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 17890988 | &nbsp;&nbsp;&nbsp;&nbsp; 16687018 |
|  | &nbsp;&nbsp;&nbsp;Foundation Finance Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1A Class A, 3.86% due 11/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 4964706 | &nbsp;&nbsp;&nbsp;&nbsp; 4871484 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1A Class A, 3.54% due 7/16/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 5785793 | &nbsp;&nbsp;&nbsp;&nbsp; 5531545 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1A Class B, 4.62% due 7/16/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2732955 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1A Class A, 1.27% due 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 18133489 | &nbsp;&nbsp;&nbsp;&nbsp; 16040018 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-2A Class A, 2.19% due 1/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 12793788 | &nbsp;&nbsp;&nbsp;&nbsp; 11738546 |
|  | &nbsp;&nbsp;&nbsp;FREED ABS Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-2 Class C, 4.86% due 11/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4802051 | &nbsp;&nbsp;&nbsp;&nbsp; 4796962 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-3FP Class A, 4.50% due 8/20/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 4522562 | &nbsp;&nbsp;&nbsp;&nbsp; 4505369 |
|  | &nbsp;&nbsp;&nbsp;Goldman Home Improvement Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-GRN2 Class A, 1.15% due 6/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 16371223 | &nbsp;&nbsp;&nbsp;&nbsp; 14980429 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-GRN1 Class A, 4.50% due 6/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 8776573 | &nbsp;&nbsp;&nbsp;&nbsp; 8523909 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Goodgreen Trust, Series 2021-1A Class A, 2.66% due 10/15/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 18617699 | &nbsp;&nbsp;&nbsp;&nbsp; 15091451 |
|  | &nbsp;&nbsp;&nbsp;GoodLeap Sustainable Home Solutions Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-3CS Class A, 2.10% due 5/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 16264330 | &nbsp;&nbsp;&nbsp;&nbsp; 11234328 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-4GS Class A, 1.93% due 7/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 10895922 | &nbsp;&nbsp;&nbsp;&nbsp; 7433539 |
| **<sup>b,c,d</sup>** | &nbsp;&nbsp;&nbsp;Greystone Commercial Real Estate Notes Ltd., Series 2021-FL3 Class A, 5.338% (LIBOR 1 Month + 1.02%) due 7/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 13382000 | &nbsp;&nbsp;&nbsp;&nbsp; 12722565 |
|  | &nbsp;&nbsp;&nbsp;HERO Funding Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2015-1A Class A, 3.84% due 9/21/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 2543374 | &nbsp;&nbsp;&nbsp;&nbsp; 2396342 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-2A Class A1, 3.28% due 9/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 502738 | &nbsp;&nbsp;&nbsp;&nbsp; 464988 |
|  | &nbsp;&nbsp;&nbsp;Hilton Grand Vacations Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-AA Class A, 2.34% due 7/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 4370648 | &nbsp;&nbsp;&nbsp;&nbsp; 4092211 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-AA Class A, 2.74% due 2/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 895999 | &nbsp;&nbsp;&nbsp;&nbsp; 840923 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;HIN Timeshare Trust, Series 2020-A Class A, 1.39% due 10/9/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 4093871 | &nbsp;&nbsp;&nbsp;&nbsp; 3779597 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;InStar Leasing III LLC, Series 2021-1A Class A, 2.30% due 2/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 9085872 | &nbsp;&nbsp;&nbsp;&nbsp; 7534996 |
|  | &nbsp;&nbsp;&nbsp;LendingPoint Asset Securitization Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2012-B Class A, 4.77% due 10/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6992829 | &nbsp;&nbsp;&nbsp;&nbsp; 6826943 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-REV1 Class A, 2.731% due 10/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 38443765 | &nbsp;&nbsp;&nbsp;&nbsp; 37714463 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-B Class A, 1.11% due 2/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2182141 | &nbsp;&nbsp;&nbsp;&nbsp; 2165600 |
|  | &nbsp;&nbsp;&nbsp;LendingPoint Pass-Through Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-ST1 Class A, 2.50% due 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6260749 | &nbsp;&nbsp;&nbsp;&nbsp; 5902987 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-ST3 Class A, 4.00% due 5/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7621305 | &nbsp;&nbsp;&nbsp;&nbsp; 7334836 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;LL ABS Trust, Series 2021-1A Class A, 1.07% due 5/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 7532125 | &nbsp;&nbsp;&nbsp;&nbsp; 7264292 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Loanpal Solar Loan Ltd., Series 2021-1GS Class A, 2.29% due 1/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 17158232 | &nbsp;&nbsp;&nbsp;&nbsp; 12928727 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Marlette Funding Trust, Series 2022-3A Class A, 5.18% due 11/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 5844816 | &nbsp;&nbsp;&nbsp;&nbsp; 5794104 |
|  | &nbsp;&nbsp;&nbsp;Mosaic Solar Loan Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1A Class A, 4.37% due 12/21/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1213573 | &nbsp;&nbsp;&nbsp;&nbsp; 1091389 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021 Class A, 2.10% due 4/20/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 3957774 | &nbsp;&nbsp;&nbsp;&nbsp; 3423666 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;New Residential Advance Receivables Trust Advance Receivables Backed, Series 2020-T1 Class AT1, 1.426% due 8/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 65590000 | &nbsp;&nbsp;&nbsp;&nbsp; 63296252 |
|  | &nbsp;&nbsp;&nbsp;NRZ Advance Receivables Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-T2 Class AT2, 1.475% due 9/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 49390650 | &nbsp;&nbsp;&nbsp;&nbsp; 47568372 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-T2 Class BT2, 1.724% due 9/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2878353 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

| | |
|:---|:---|
| **Thornburg Limited Term Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;Oportun Funding LLC, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-A Class B, 3.87% due 8/8/2025 | &nbsp;&nbsp;$5418434 | &nbsp;&nbsp;$5257730 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1 Class A, 3.25% due 6/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 13371399 | &nbsp;&nbsp;&nbsp;&nbsp; 13140139 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Oportun Issuance Trust, Series 2022-A Class A, 5.05% due 6/9/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 22026000 | &nbsp;&nbsp;&nbsp;&nbsp; 21339804 |
|  | &nbsp;&nbsp;&nbsp;Pagaya AI Debt Selection Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1 Class A, 1.18% due 11/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 8031709 | &nbsp;&nbsp;&nbsp;&nbsp; 7909785 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-3 Class A, 1.15% due 5/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 10944991 | &nbsp;&nbsp;&nbsp;&nbsp; 10631557 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-HG1 Class A, 1.22% due 1/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 7858559 | &nbsp;&nbsp;&nbsp;&nbsp; 7412130 |
|  | &nbsp;&nbsp;&nbsp;Pagaya AI Debt Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1 Class A, 2.03% due 10/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 20463981 | &nbsp;&nbsp;&nbsp;&nbsp; 19513676 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-2 Class A, 4.97% due 1/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 11735828 | &nbsp;&nbsp;&nbsp;&nbsp; 11450393 |
|  | &nbsp;&nbsp;&nbsp;Pawnee Equipment Receivables LLC, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1 Class A, 1.37% due 11/17/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 1730897 | &nbsp;&nbsp;&nbsp;&nbsp; 1709112 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1 Class A2, 1.10% due 7/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6453699 | &nbsp;&nbsp;&nbsp;&nbsp; 6153620 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;SBA Tower Trust, Series 2014-2A Class C, 3.869% due 10/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4610000 | &nbsp;&nbsp;&nbsp;&nbsp; 4404809 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;SCF Equipment Leasing LLC, Series 2019-2A Class C, 3.11% due 6/21/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2799613 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Service Experts Issuer LLC, Series 2021-1A Class A, 2.67% due 2/2/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 18390026 | &nbsp;&nbsp;&nbsp;&nbsp; 16745093 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Sierra Timeshare Receivables Funding LLC, Series 2019-1A Class A, 3.20% due 1/20/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 813447 | &nbsp;&nbsp;&nbsp;&nbsp; 790348 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;SpringCastle America Funding LLC, Series 2020-AA Class A, 1.97% due 9/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 28525697 | &nbsp;&nbsp;&nbsp;&nbsp; 25630947 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;SPS Servicer Advance Receivables Trust, Series 2020-T2 Class A, 1.83% due 11/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 6000000 | &nbsp;&nbsp;&nbsp;&nbsp; 5437192 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Theorem Funding Trust, Series 2021-1A Class A, 1.21% due 12/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5214924 | &nbsp;&nbsp;&nbsp;&nbsp; 5118873 |
|  | &nbsp;&nbsp;&nbsp;Upstart Pass-Through Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-ST2 Class A, 3.50% due 3/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 448649 | &nbsp;&nbsp;&nbsp;&nbsp; 438224 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-ST3 Class A, 3.35% due 4/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 2177245 | &nbsp;&nbsp;&nbsp;&nbsp; 2122220 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-ST4 Class A, 2.00% due 7/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2230467 | &nbsp;&nbsp;&nbsp;&nbsp; 2062527 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-ST6 Class A, 1.85% due 8/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3889310 | &nbsp;&nbsp;&nbsp;&nbsp; 3593710 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-ST8 Class A, 1.75% due 10/20/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6118528 | &nbsp;&nbsp;&nbsp;&nbsp; 5661341 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-4A Class A, 7.01% due 11/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 8318556 | &nbsp;&nbsp;&nbsp;&nbsp; 8258572 |
|  | &nbsp;&nbsp;&nbsp;Upstart Securitization Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1 Class A, 0.87% due 3/20/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 349936 | &nbsp;&nbsp;&nbsp;&nbsp; 348880 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-2 Class A, 0.91% due 6/20/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 1848341 | &nbsp;&nbsp;&nbsp;&nbsp; 1816777 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-4 Class A, 0.84% due 9/20/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 3583859 | &nbsp;&nbsp;&nbsp;&nbsp; 3468308 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Upstart Structured Pass-Through Trust, Series 2022-1A Class A, 3.40% due 4/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 22768364 | &nbsp;&nbsp;&nbsp;&nbsp; 21575461 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 842701504 |
|  | &nbsp;&nbsp;**Student Loan — 3.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;College Ave Student Loans LLC, |  |  |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-A Class A1, 5.489% (LIBOR 1 Month + 1.10%) due 7/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 9045820 | &nbsp;&nbsp;&nbsp;&nbsp; 8648218 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-A Class A2, 1.60% due 7/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2091865 | &nbsp;&nbsp;&nbsp;&nbsp; 1781352 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-C Class A1, 5.289% (LIBOR 1 Month + 0.90%) due 7/26/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 14874592 | &nbsp;&nbsp;&nbsp;&nbsp; 13849642 |
|  | &nbsp;&nbsp;&nbsp;Commonbond Student Loan Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 18-CGS Class A1, 3.87% due 2/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1876083 | &nbsp;&nbsp;&nbsp;&nbsp; 1797523 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1 Class A, 1.69% due 10/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 13672514 | &nbsp;&nbsp;&nbsp;&nbsp; 12190488 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-AGS Class A, 1.20% due 3/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 10136680 | &nbsp;&nbsp;&nbsp;&nbsp; 8598473 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-BGS Class A, 1.17% due 9/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 11740045 | &nbsp;&nbsp;&nbsp;&nbsp; 9528212 |
|  | &nbsp;&nbsp;&nbsp;Navient Private Education Loan Trust, |  |  |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2015-AA Class A2B, 5.518% (LIBOR 1 Month + 1.20%) due 12/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 507847 | &nbsp;&nbsp;&nbsp;&nbsp; 507207 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-A Class A2A, 2.88% due 12/16/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 1246245 | &nbsp;&nbsp;&nbsp;&nbsp; 1218789 |
|  | &nbsp;&nbsp;&nbsp;Navient Private Education Refi Loan Trust, |  |  |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-D Class A2B, 5.368% (LIBOR 1 Month + 1.05%) due 12/15/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 9501659 | &nbsp;&nbsp;&nbsp;&nbsp; 9231502 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-A Class A, 0.84% due 5/15/2069 | &nbsp;&nbsp;&nbsp;&nbsp; 3464167 | &nbsp;&nbsp;&nbsp;&nbsp; 2991168 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-BA Class A, 4.16% due 10/15/2070 | &nbsp;&nbsp;&nbsp;&nbsp; 23361694 | &nbsp;&nbsp;&nbsp;&nbsp; 22095088 |
|  | &nbsp;&nbsp;&nbsp;Navient Student Loan Trust, |  |  |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2014-1 Class A3, 4.899% (LIBOR 1 Month + 0.51%) due 6/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 5096129 | &nbsp;&nbsp;&nbsp;&nbsp; 4817320 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2016-6A Class A2, 5.139% (LIBOR 1 Month + 0.75%) due 3/25/2066 | &nbsp;&nbsp;&nbsp;&nbsp; 730164 | &nbsp;&nbsp;&nbsp;&nbsp; 729189 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-BA Class A2B, 5.298% (LIBOR 1 Month + 0.98%) due 12/15/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 1471503 | &nbsp;&nbsp;&nbsp;&nbsp; 1450771 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;Nelnet Private Education Loan Trust, Series 2016-A Class A1A, 6.139% (LIBOR 1 Month + 1.75%) due 12/26/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 202570 | &nbsp;&nbsp;&nbsp;&nbsp; 202566 |
|  | &nbsp;&nbsp;&nbsp;Nelnet Student Loan Trust, |  |  |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2013-1A Class A, 4.989% (LIBOR 1 Month + 0.60%) due 6/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 3093651 | &nbsp;&nbsp;&nbsp;&nbsp; 2950518 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2015-2A Class A2, 4.989% (LIBOR 1 Month + 0.60%) due 9/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 23516228 | &nbsp;&nbsp;&nbsp;&nbsp; 22823307 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2015-3A Class A2, 4.989% (LIBOR 1 Month + 0.60%) due 2/27/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1434311 | &nbsp;&nbsp;&nbsp;&nbsp; 1402987 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-CA Class AFL, 5.093% (LIBOR 1 Month + 0.74%) due 4/20/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 13460560 | &nbsp;&nbsp;&nbsp;&nbsp; 13005074 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-DA Class AFL, 5.043% (LIBOR 1 Month + 0.69%) due 4/20/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 19155905 | &nbsp;&nbsp;&nbsp;&nbsp; 18504426 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;Pennsylvania Higher Education Assistance Agency, Student Loan Trust, Series 2012-1A Class A1, 4.939% (LIBOR 1 Month + 0.55%) due 5/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 730098 | &nbsp;&nbsp;&nbsp;&nbsp; 701154 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

| | |
|:---|:---|
| **Thornburg Limited Term Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
| **<sup>b,c,d</sup>** | &nbsp;&nbsp;&nbsp;Prodigy Finance DAC, Series 2021-1A Class A, 5.639% (LIBOR 1 Month + 1.25%) due 7/25/2051 | &nbsp;&nbsp;$3146783 | &nbsp;&nbsp;$3044397 |
|  | &nbsp;&nbsp;&nbsp;SLM Student Loan Trust, |  |  |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2011-2 Class A2, 5.589% (LIBOR 1 Month + 1.20%) due 10/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 9703318 | &nbsp;&nbsp;&nbsp;&nbsp; 9633578 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2013-6 Class A3, 5.039% (LIBOR 1 Month + 0.65%) due 6/26/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 25930226 | &nbsp;&nbsp;&nbsp;&nbsp; 24834562 |
|  | &nbsp;&nbsp;&nbsp;SMB Private Education Loan Trust, |  |  |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2015-A Class A3, 5.818% (LIBOR 1 Month + 1.50%) due 2/17/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2706551 | &nbsp;&nbsp;&nbsp;&nbsp; 2706865 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-B Class A2B, 5.068% (LIBOR 1 Month + 0.75%) due 10/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1017833 | &nbsp;&nbsp;&nbsp;&nbsp; 1003524 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-D Class A1B, 4.918% (LIBOR 1 Month + 0.60%) due 3/17/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 8337922 | &nbsp;&nbsp;&nbsp;&nbsp; 8057902 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-E Class A1B, 4.948% (LIBOR 1 Month + 0.63%) due 2/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 25092697 | &nbsp;&nbsp;&nbsp;&nbsp; 24187332 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;SoFi Professional Loan Program LLC, Series 2017-E Class A2B, 2.72% due 11/26/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 374683 | &nbsp;&nbsp;&nbsp;&nbsp; 372076 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;Towd Point Asset Trust, Series 2021-SL1 Class A2, 5.053% (LIBOR 1 Month + 0.70%) due 11/20/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 6989342 | &nbsp;&nbsp;&nbsp;&nbsp; 6866615 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 239731825 |
|  | &nbsp;&nbsp;&nbsp;Total Asset Backed Securities (Cost $1,417,293,608) |  | &nbsp;&nbsp;&nbsp;&nbsp;1328309692 |
|  | **Corporate Bonds — 43.6%** |  |  |
|  | &nbsp;&nbsp;**Automobiles & Components — 1.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Auto Components — 0.1%** |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Aptiv plc/Aptiv Corp., 2.396% due 2/18/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 5434000 | &nbsp;&nbsp;&nbsp;&nbsp; 5124697 |
|  | &nbsp;&nbsp;&nbsp;**Automobiles — 1.1%** |  |  |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;Daimler Trucks Finance North America LLC, 5.062% (SOFR + 0.75%) due 12/13/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 10414000 | &nbsp;&nbsp;&nbsp;&nbsp; 10279347 |
|  | &nbsp;&nbsp;&nbsp;Hyundai Capital America, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;0.875% due 6/14/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 8710000 | &nbsp;&nbsp;&nbsp;&nbsp; 8130001 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.00% due 9/17/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 8872000 | &nbsp;&nbsp;&nbsp;&nbsp; 8201277 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.80% due 10/15/2025 - 1/10/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 9765000 | &nbsp;&nbsp;&nbsp;&nbsp; 8442108 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.375% due 2/10/2023 - 10/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 14960000 | &nbsp;&nbsp;&nbsp;&nbsp; 14418466 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.00% due 2/10/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2105000 | &nbsp;&nbsp;&nbsp;&nbsp; 1887974 |
|  | &nbsp;&nbsp;&nbsp;Hyundai Capital Services, Inc., |  |  |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.25% due 2/8/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2970000 | &nbsp;&nbsp;&nbsp;&nbsp; 2579861 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.75% due 3/5/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 2029000 | &nbsp;&nbsp;&nbsp;&nbsp; 2022913 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;Kia Corp., 2.375% due 2/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 9800000 | &nbsp;&nbsp;&nbsp;&nbsp; 9127034 |
|  | &nbsp;&nbsp;&nbsp;Mercedes-Benz Finance North America LLC, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.125% due 3/10/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 13600000 | &nbsp;&nbsp;&nbsp;&nbsp; 12765776 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.70% due 5/4/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 4725000 | &nbsp;&nbsp;&nbsp;&nbsp; 4697926 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 87677380 |
|  | &nbsp;&nbsp;**Banks — 1.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Banks — 1.1%** |  |  |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;Citizens Bank NA, 5.676% (LIBOR 3 Month + 0.95%) due 3/29/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 20500000 | &nbsp;&nbsp;&nbsp;&nbsp; 20507175 |
|  | &nbsp;&nbsp;&nbsp;FNB Corp., 5.15% due 8/25/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 5748000 | &nbsp;&nbsp;&nbsp;&nbsp; 5683163 |
| **<sup>b,c,d</sup>** | &nbsp;&nbsp;&nbsp;NBK SPC Ltd., 1.625% (SOFR + 1.05%) due 9/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 13033000 | &nbsp;&nbsp;&nbsp;&nbsp; 11514265 |
|  | &nbsp;&nbsp;&nbsp;Santander Holdings USA, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.244% due 10/5/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6823000 | &nbsp;&nbsp;&nbsp;&nbsp; 6317620 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.45% due 6/2/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 4453000 | &nbsp;&nbsp;&nbsp;&nbsp; 4239256 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.40% due 7/13/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4940000 | &nbsp;&nbsp;&nbsp;&nbsp; 4711278 |
|  | &nbsp;&nbsp;&nbsp;Sumitomo Mitsui Trust Bank Ltd., |  |  |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;0.80% due 9/12/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 14760000 | &nbsp;&nbsp;&nbsp;&nbsp; 14300078 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;0.85% due 3/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 6550000 | &nbsp;&nbsp;&nbsp;&nbsp; 6195317 |
|  | &nbsp;&nbsp;&nbsp;Synchrony Bank, 5.40% due 8/22/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 7250000 | &nbsp;&nbsp;&nbsp;&nbsp; 7152125 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 80620277 |
|  | &nbsp;&nbsp;**Capital Goods — 0.6%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Aerospace & Defense — 0.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Boeing Co., 2.196% due 2/4/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6256000 | &nbsp;&nbsp;&nbsp;&nbsp; 5686204 |
|  | &nbsp;&nbsp;&nbsp;Teledyne Technologies, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.25% due 4/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 14013000 | &nbsp;&nbsp;&nbsp;&nbsp; 12098544 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.75% due 4/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 4501000 | &nbsp;&nbsp;&nbsp;&nbsp; 3687174 |
|  | &nbsp;&nbsp;&nbsp;**Industrial Conglomerates — 0.0%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Trane Technologies Co. LLC, 6.391% due 11/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 3021270 |
|  | &nbsp;&nbsp;&nbsp;**Machinery — 0.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Flowserve Corp., 3.50% due 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5914000 | &nbsp;&nbsp;&nbsp;&nbsp; 4919857 |
|  | &nbsp;&nbsp;&nbsp;nVent Finance Sarl, |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.75% due 11/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6462000 | &nbsp;&nbsp;&nbsp;&nbsp; 4942719 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.55% due 4/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7023000 | &nbsp;&nbsp;&nbsp;&nbsp; 6482369 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

| | |
|:---|:---|
| **Thornburg Limited Term Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;Westinghouse Air Brake Technologies Corp., 4.40% due 3/15/2024 | &nbsp;&nbsp;$3853000 | &nbsp;&nbsp;$3789965 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 44628102 |
|  | &nbsp;&nbsp;**Commercial & Professional Services — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Commercial Services & Supplies — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Quanta Services, Inc., 0.95% due 10/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 10296000 | &nbsp;&nbsp;&nbsp;&nbsp; 9476026 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 9476026 |
|  | &nbsp;&nbsp;**Consumer Durables & Apparel — 0.0%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Household Durables — 0.0%** |  |  |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;Panasonic Corp., 2.679% due 7/19/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp;&nbsp; 1915420 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1915420 |
|  | &nbsp;&nbsp;**Diversified Financials — 9.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Banks — 0.1%** |  |  |
| **<sup>b,c,d</sup>** | &nbsp;&nbsp;&nbsp;DNB Bank ASA, 5.896% due 10/9/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 7500000 | &nbsp;&nbsp;&nbsp;&nbsp; 7507800 |
|  | &nbsp;&nbsp;&nbsp;**Capital Markets — 2.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Blackstone Private Credit Fund, 2.625% due 12/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8137000 | &nbsp;&nbsp;&nbsp;&nbsp; 6738901 |
|  | &nbsp;&nbsp;&nbsp;Hercules Capital, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.625% due 9/16/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 14120000 | &nbsp;&nbsp;&nbsp;&nbsp; 11910220 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.375% due 1/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 7458000 | &nbsp;&nbsp;&nbsp;&nbsp; 6381139 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;LSEGA Financing plc, 1.375% due 4/6/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9720000 | &nbsp;&nbsp;&nbsp;&nbsp; 8569541 |
|  | &nbsp;&nbsp;&nbsp;Main Street Capital Corp., 3.00% due 7/14/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8163000 | &nbsp;&nbsp;&nbsp;&nbsp; 7041649 |
|  | &nbsp;&nbsp;&nbsp;Owl Rock Capital Corp., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.625% due 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2081000 | &nbsp;&nbsp;&nbsp;&nbsp; 1717782 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.875% due 6/11/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 20499000 | &nbsp;&nbsp;&nbsp;&nbsp; 16227418 |
|  | &nbsp;&nbsp;&nbsp;Owl Rock Capital Corp. III, 3.125% due 4/13/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 16243000 | &nbsp;&nbsp;&nbsp;&nbsp; 13446768 |
|  | &nbsp;&nbsp;&nbsp;Owl Rock Core Income Corp., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.125% due 9/23/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 19056000 | &nbsp;&nbsp;&nbsp;&nbsp; 16311745 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.70% due 2/8/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4870000 | &nbsp;&nbsp;&nbsp;&nbsp; 4364397 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;5.50% due 3/21/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 6810000 | &nbsp;&nbsp;&nbsp;&nbsp; 6610808 |
|  | &nbsp;&nbsp;&nbsp;Owl Rock Technology Finance Corp., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.50% due 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 10556000 | &nbsp;&nbsp;&nbsp;&nbsp; 8606940 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.75% due 6/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 12276000 | &nbsp;&nbsp;&nbsp;&nbsp; 10679383 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.75% due 12/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 17883000 | &nbsp;&nbsp;&nbsp;&nbsp; 16328431 |
|  | &nbsp;&nbsp;&nbsp;Sixth Street Specialty Lending, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.50% due 8/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2591000 | &nbsp;&nbsp;&nbsp;&nbsp; 2268913 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.875% due 11/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 14960000 | &nbsp;&nbsp;&nbsp;&nbsp; 14406031 |
|  | &nbsp;&nbsp;&nbsp;SLR Investment Corp., 4.50% due 1/20/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 13191000 | &nbsp;&nbsp;&nbsp;&nbsp; 13186119 |
|  | &nbsp;&nbsp;&nbsp;**Consumer Finance — 0.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Wells Fargo & Co., |  |  |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.908% (SOFR + 1.32%) due 4/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8792000 | &nbsp;&nbsp;&nbsp;&nbsp; 8539142 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.808% (SOFR + 1.98%) due 7/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3448000 | &nbsp;&nbsp;&nbsp;&nbsp; 3361214 |
|  | &nbsp;&nbsp;&nbsp;**Diversified Financial Services — 6.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Antares Holdings LP, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.75% due 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 7360000 | &nbsp;&nbsp;&nbsp;&nbsp; 5888000 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.75% due 7/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 8520000 | &nbsp;&nbsp;&nbsp;&nbsp; 6841901 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.95% due 7/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 14391000 | &nbsp;&nbsp;&nbsp;&nbsp; 12358559 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;6.00% due 8/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 10075000 | &nbsp;&nbsp;&nbsp;&nbsp; 9898385 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Banco Santander SA, 5.147% due 8/18/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp;&nbsp; 9903500 |
|  | &nbsp;&nbsp;&nbsp;Bank of America Corp., |  |  |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;0.976% (SOFR + 0.69%) due 4/22/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 9525000 | &nbsp;&nbsp;&nbsp;&nbsp; 8927592 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.197% (SOFR + 1.01%) due 10/24/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3035000 | &nbsp;&nbsp;&nbsp;&nbsp; 2703457 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.734% (SOFR + 0.96%) due 7/22/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3632000 | &nbsp;&nbsp;&nbsp;&nbsp; 3183557 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.841% (SOFR + 1.11%) due 4/25/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 7305000 | &nbsp;&nbsp;&nbsp;&nbsp; 7130703 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.948% (SOFR + 2.04%) due 7/22/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6007000 | &nbsp;&nbsp;&nbsp;&nbsp; 5870281 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.963% (BSBY3M + 0.43%) due 5/28/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 5093000 | &nbsp;&nbsp;&nbsp;&nbsp; 5045126 |
| **<sup>b,d</sup>** | &nbsp;&nbsp;&nbsp;Barclays plc, 6.024% (LIBOR 3 Month + 1.38%) due 5/16/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 17500000 | &nbsp;&nbsp;&nbsp;&nbsp; 17472525 |
|  | &nbsp;&nbsp;&nbsp;BNP Paribas SA, |  |  |
| **<sup>b,c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.323% (SOFR + 1.00%) due 1/13/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 7000000 | &nbsp;&nbsp;&nbsp;&nbsp; 6117720 |
| **<sup>b,c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.159% (SOFR + 1.218%) due 9/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 3650000 | &nbsp;&nbsp;&nbsp;&nbsp; 2977853 |
| **<sup>b,c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.219% (SOFR + 2.07%) due 6/9/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4800000 | &nbsp;&nbsp;&nbsp;&nbsp; 4422432 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;Charles Schwab Corp., 5.296% (SOFRINDX + 1.05%) due 3/3/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 33148000 | &nbsp;&nbsp;&nbsp;&nbsp; 32238087 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

| | |
|:---|:---|
| **Thornburg Limited Term Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;Citigroup, Inc., |  |  |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.462% (SOFR + 0.77%) due 6/9/2027 | &nbsp;&nbsp;$7328000 | &nbsp;&nbsp;$6360631 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.07% (SOFR + 1.28%) due 2/24/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 9000 | &nbsp;&nbsp;&nbsp;&nbsp; 8121 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.106% (SOFR + 2.84%) due 4/8/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4265000 | &nbsp;&nbsp;&nbsp;&nbsp; 4034008 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.40% due 5/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2425000 | &nbsp;&nbsp;&nbsp;&nbsp; 2302247 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.412% (SOFR + 3.91%) due 3/31/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 7315000 | &nbsp;&nbsp;&nbsp;&nbsp; 6723875 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.734% (SOFR + 0.669%) due 5/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 5753000 | &nbsp;&nbsp;&nbsp;&nbsp; 5648123 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.06% (SOFR + 0.77%) due 6/9/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3132000 | &nbsp;&nbsp;&nbsp;&nbsp; 2992000 |
|  | &nbsp;&nbsp;&nbsp;Deutsche Bank AG, |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;0.898% due 5/28/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 10952000 | &nbsp;&nbsp;&nbsp;&nbsp; 10245158 |
| **<sup>b,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.311% (SOFR + 1.219%) due 11/16/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4850000 | &nbsp;&nbsp;&nbsp;&nbsp; 4120414 |
| **<sup>b,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.966% (LIBOR 3 Month + 1.23%) due 2/27/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 17100000 | &nbsp;&nbsp;&nbsp;&nbsp; 17109918 |
|  | &nbsp;&nbsp;&nbsp;Goldman Sachs Group, Inc., |  |  |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.757% (SOFR + 0.73%) due 1/24/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 3991000 | &nbsp;&nbsp;&nbsp;&nbsp; 3819467 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.232% (SOFR + 0.50%) due 7/16/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 14450000 | &nbsp;&nbsp;&nbsp;&nbsp; 14377316 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.598% (SOFR + 0.70%) due 1/24/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 6322000 | &nbsp;&nbsp;&nbsp;&nbsp; 6221986 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.784% (SOFR + 0.50%) due 9/10/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 10786000 | &nbsp;&nbsp;&nbsp;&nbsp; 10618386 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.104% (SOFR + 0.82%) due 9/10/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 10881000 | &nbsp;&nbsp;&nbsp;&nbsp; 10309203 |
|  | &nbsp;&nbsp;&nbsp;HSBC Holdings plc, |  |  |
| **<sup>b,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.589% (SOFR + 1.29%) due 5/24/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6100000 | &nbsp;&nbsp;&nbsp;&nbsp; 5257041 |
| **<sup>b,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.645% (SOFR + 1.538%) due 4/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3025000 | &nbsp;&nbsp;&nbsp;&nbsp; 2731454 |
| **<sup>b,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.013% (SOFR + 1.73%) due 9/22/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 9550000 | &nbsp;&nbsp;&nbsp;&nbsp; 7970143 |
| **<sup>b,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.099% (SOFR + 1.93%) due 6/4/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6800000 | &nbsp;&nbsp;&nbsp;&nbsp; 6198608 |
| **<sup>b,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.206% (SOFR + 1.285%) due 8/17/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 3500000 | &nbsp;&nbsp;&nbsp;&nbsp; 2826845 |
| **<sup>b,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.251% (SOFR + 1.10%) due 11/22/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3430000 | &nbsp;&nbsp;&nbsp;&nbsp; 2971272 |
| **<sup>b,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.18% (SOFR + 1.51%) due 12/9/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 5400000 | &nbsp;&nbsp;&nbsp;&nbsp; 5241942 |
| **<sup>b,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.749% (SOFR + 0.58%) due 11/22/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 1585000 | &nbsp;&nbsp;&nbsp;&nbsp; 1547134 |
| **<sup>b,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.21% (SOFR + 2.61%) due 8/11/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 2330000 | &nbsp;&nbsp;&nbsp;&nbsp; 2243813 |
|  | &nbsp;&nbsp;&nbsp;JPMorgan Chase & Co., |  |  |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.04% (TSFR3M + 0.695%) due 2/4/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4690000 | &nbsp;&nbsp;&nbsp;&nbsp; 4083911 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.045% (SOFR + 0.80%) due 11/19/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5982000 | &nbsp;&nbsp;&nbsp;&nbsp; 5281687 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.323% (SOFR + 1.56%) due 4/26/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3906000 | &nbsp;&nbsp;&nbsp;&nbsp; 3723629 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.778% (SOFR + 0.885%) due 4/22/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3096000 | &nbsp;&nbsp;&nbsp;&nbsp; 3004111 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.851% (SOFR + 1.99%) due 7/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3040000 | &nbsp;&nbsp;&nbsp;&nbsp; 2967891 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.119% (SOFR + 0.92%) due 2/24/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 10418000 | &nbsp;&nbsp;&nbsp;&nbsp; 10217245 |
| **<sup>b,d</sup>** | &nbsp;&nbsp;&nbsp;Lloyds Banking Group plc, 3.87% (H15T1Y + 3.50%) due 7/9/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 3500000 | &nbsp;&nbsp;&nbsp;&nbsp; 3391955 |
|  | &nbsp;&nbsp;&nbsp;Mitsubishi UFJ Financial Group, Inc., |  |  |
| **<sup>b,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;0.953% (H15T1Y + 0.55%) due 7/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 14075000 | &nbsp;&nbsp;&nbsp;&nbsp; 13081164 |
| **<sup>b,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.538% (H15T1Y + 0.75%) due 7/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4800000 | &nbsp;&nbsp;&nbsp;&nbsp; 4167504 |
| **<sup>b,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.64% (H15T1Y + 0.67%) due 10/13/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6750000 | &nbsp;&nbsp;&nbsp;&nbsp; 5838817 |
| **<sup>b,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.788% (H15T1Y + 1.70%) due 7/18/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 4550000 | &nbsp;&nbsp;&nbsp;&nbsp; 4500860 |
| **<sup>b,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.017% (H15T1Y + 1.95%) due 7/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1250000 | &nbsp;&nbsp;&nbsp;&nbsp; 1220225 |
| **<sup>b,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.354% (H15T1Y + 1.90%) due 9/13/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4954050 |
|  | &nbsp;&nbsp;&nbsp;Mizuho Financial Group, Inc., |  |  |
| **<sup>b,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.922% (LIBOR 3 Month + 1.00%) due 9/11/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 10850000 | &nbsp;&nbsp;&nbsp;&nbsp; 10674121 |
| **<sup>b,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.387% (LIBOR 3 Month + 0.63%) due 5/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 12978000 | &nbsp;&nbsp;&nbsp;&nbsp; 12896109 |
|  | &nbsp;&nbsp;&nbsp;Morgan Stanley, |  |  |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;0.791% (SOFR + 0.51%) due 1/22/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 11785000 | &nbsp;&nbsp;&nbsp;&nbsp; 11160749 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.164% (SOFR + 0.56%) due 10/21/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 9635000 | &nbsp;&nbsp;&nbsp;&nbsp; 8865453 |
| **<sup>b,d</sup>** | &nbsp;&nbsp;&nbsp;Natwest Group plc, 1.642% (H15T1Y + 0.90%) due 6/14/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2599650 |
|  | &nbsp;&nbsp;&nbsp;Societe Generale SA, |  |  |
| **<sup>b,c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.792% (H15T1Y + 1.00%) due 6/9/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4933000 | &nbsp;&nbsp;&nbsp;&nbsp; 4239913 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.625% due 1/22/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 4000000 | &nbsp;&nbsp;&nbsp;&nbsp; 3761280 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.875% due 3/28/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 8000000 | &nbsp;&nbsp;&nbsp;&nbsp; 7808960 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.25% due 9/14/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 9000000 | &nbsp;&nbsp;&nbsp;&nbsp; 8924040 |
| **<sup>b,c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.934% (SOFR + 1.05%) due 1/21/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6400000 | &nbsp;&nbsp;&nbsp;&nbsp; 6161984 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Sumitomo Mitsui Financial Group, Inc., 0.948% due 1/12/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 11650000 | &nbsp;&nbsp;&nbsp;&nbsp; 10265863 |
| **<sup>b,c,d</sup>** | &nbsp;&nbsp;&nbsp;UBS AG, 4.565% (SOFR + 0.45%) due 8/9/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 2800000 | &nbsp;&nbsp;&nbsp;&nbsp; 2779336 |
|  | &nbsp;&nbsp;&nbsp;UBS Group AG, |  |  |
| **<sup>b,c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.494% (H15T1Y + 0.85%) due 8/10/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 7121000 | &nbsp;&nbsp;&nbsp;&nbsp; 6125057 |
| **<sup>b,c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.49% (H15T1Y + 1.60%) due 8/5/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 9800000 | &nbsp;&nbsp;&nbsp;&nbsp; 9641436 |
| **<sup>b,c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.751% (H15T1Y + 1.75%) due 5/12/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7800000 | &nbsp;&nbsp;&nbsp;&nbsp; 7472634 |
|  | &nbsp;&nbsp;&nbsp;Western Union Co., 2.85% due 1/10/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 7256000 | &nbsp;&nbsp;&nbsp;&nbsp; 6927158 |
|  | &nbsp;&nbsp;&nbsp;**Insurance — 0.3%** |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Global Atlantic Fin Co., 4.40% due 10/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 27285000 | &nbsp;&nbsp;&nbsp;&nbsp; 22802347 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

| | |
|:---|:---|
| **Thornburg Limited Term Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 676602263 |
|  | &nbsp;&nbsp;**Energy — 1.9%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Energy Equipment & Services — 0.0%** |  |  |
| **<sup>c,d,e,f</sup>** | &nbsp;&nbsp;&nbsp;Schahin II Finance Co. SPV Ltd., 5.875% due 9/25/2023 | &nbsp;&nbsp;$3997362 | &nbsp;&nbsp;$40 |
|  | &nbsp;&nbsp;&nbsp;**Oil, Gas & Consumable Fuels — 1.9%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Buckeye Partners LP, 4.15% due 7/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 7000000 | &nbsp;&nbsp;&nbsp;&nbsp; 6905360 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Colorado Interstate Gas Co. LLC/Colorado Interstate Issuing Corp., 4.15% due 8/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9092000 | &nbsp;&nbsp;&nbsp;&nbsp; 8689588 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Florida Gas Transmission Co. LLC, 2.30% due 10/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 10778000 | &nbsp;&nbsp;&nbsp;&nbsp; 8265648 |
|  | &nbsp;&nbsp;&nbsp;Galaxy Pipeline Assets Bidco Ltd., |  |  |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.75% due 9/30/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 33725981 | &nbsp;&nbsp;&nbsp;&nbsp; 31247459 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.16% due 3/31/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 9283587 | &nbsp;&nbsp;&nbsp;&nbsp; 7889749 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;Gazprom PJSC via Gaz Finance plc, 3.50% due 7/14/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 32475000 | &nbsp;&nbsp;&nbsp;&nbsp; 21009052 |
|  | &nbsp;&nbsp;&nbsp;Gray Oak Pipeline LLC, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.00% due 9/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 17190000 | &nbsp;&nbsp;&nbsp;&nbsp; 16693037 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.45% due 10/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 12955000 | &nbsp;&nbsp;&nbsp;&nbsp; 11441597 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Midwest Connector Capital Co. LLC, 4.625% due 4/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 16535000 | &nbsp;&nbsp;&nbsp;&nbsp; 14919034 |
|  | &nbsp;&nbsp;&nbsp;MPLX LP, 4.95% due 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4916000 | &nbsp;&nbsp;&nbsp;&nbsp; 4609979 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Tennessee Gas Pipeline Co. LLC, 2.90% due 3/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 11946000 | &nbsp;&nbsp;&nbsp;&nbsp; 10014093 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 141684636 |
|  | &nbsp;&nbsp;**Food & Staples Retailing — 0.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Food & Staples Retailing — 0.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;7-Eleven, Inc., |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;0.625% due 2/10/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 2007000 | &nbsp;&nbsp;&nbsp;&nbsp; 1995701 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;0.80% due 2/10/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 13945000 | &nbsp;&nbsp;&nbsp;&nbsp; 13265181 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 15260882 |
|  | &nbsp;&nbsp;**Food, Beverage & Tobacco — 0.9%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Beverages — 0.5%** |  |  |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;Becle SAB de CV, 2.50% due 10/14/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 28038000 | &nbsp;&nbsp;&nbsp;&nbsp; 21630756 |
|  | &nbsp;&nbsp;&nbsp;Huntington Ingalls Industries, Inc., 2.043% due 8/16/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 17717000 | &nbsp;&nbsp;&nbsp;&nbsp; 14607135 |
|  | &nbsp;&nbsp;&nbsp;**Food Products — 0.1%** |  |  |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;General Mills, Inc., 5.089% (LIBOR 3 Month + 1.01%) due 10/17/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 2475000 | &nbsp;&nbsp;&nbsp;&nbsp; 2481138 |
|  | &nbsp;&nbsp;&nbsp;Ingredion, Inc., 2.90% due 6/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 9725000 | &nbsp;&nbsp;&nbsp;&nbsp; 8238242 |
|  | &nbsp;&nbsp;&nbsp;**Tobacco — 0.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;BAT Capital Corp., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.726% due 3/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2950000 | &nbsp;&nbsp;&nbsp;&nbsp; 2300676 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.557% due 8/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5838000 | &nbsp;&nbsp;&nbsp;&nbsp; 5316024 |
|  | &nbsp;&nbsp;&nbsp;BAT International Finance plc, |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.668% due 3/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4764000 | &nbsp;&nbsp;&nbsp;&nbsp; 4217998 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.448% due 3/16/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2776770 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;JT International Financial Services BV, 6.875% due 10/24/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 5350000 | &nbsp;&nbsp;&nbsp;&nbsp; 5675173 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 67243912 |
|  | &nbsp;&nbsp;**Health Care Equipment & Services — 0.5%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Health Care Equipment & Supplies — 0.2%** |  |  |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;Olympus Corp., 2.143% due 12/8/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 14061000 | &nbsp;&nbsp;&nbsp;&nbsp; 12444547 |
|  | &nbsp;&nbsp;&nbsp;**Health Care Providers & Services — 0.3%** |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Highmark, Inc., 1.45% due 5/10/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 20542000 | &nbsp;&nbsp;&nbsp;&nbsp; 18077371 |
|  | &nbsp;&nbsp;&nbsp;Laboratory Corp. of America Holdings, 1.55% due 6/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8355000 | &nbsp;&nbsp;&nbsp;&nbsp; 7398603 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 37920521 |
|  | &nbsp;&nbsp;**Household & Personal Products — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Household Products — 0.1%** |  |  |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;Kimberly-Clark de Mexico SAB de CV, 3.80% due 4/8/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 3900000 | &nbsp;&nbsp;&nbsp;&nbsp; 3804099 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 3804099 |
|  | &nbsp;&nbsp;**Insurance — 7.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Insurance — 7.1%** |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;American National Group, Inc., 6.144% due 6/13/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 25662000 | &nbsp;&nbsp;&nbsp;&nbsp; 24173861 |
|  | &nbsp;&nbsp;&nbsp;Aon Corp./Aon Global Holdings plc, 5.00% due 9/12/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3757000 | &nbsp;&nbsp;&nbsp;&nbsp; 3716387 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;Ascot Group Ltd., 4.25% due 12/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 12308000 | &nbsp;&nbsp;&nbsp;&nbsp; 10607157 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Belrose Funding Trust, 2.33% due 8/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 9685000 | &nbsp;&nbsp;&nbsp;&nbsp; 7321182 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

| | |
|:---|:---|
| **Thornburg Limited Term Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;Brighthouse Financial Global Funding, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.55% due 5/24/2026 | &nbsp;&nbsp;$7538000 | &nbsp;&nbsp;$6637586 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.00% due 6/28/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 10733000 | &nbsp;&nbsp;&nbsp;&nbsp; 8881880 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.499% (SOFR + 0.76%) due 4/12/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 7247000 | &nbsp;&nbsp;&nbsp;&nbsp; 7165109 |
|  | &nbsp;&nbsp;&nbsp;Brighthouse Financial, Inc., 5.625% due 5/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 10707000 | &nbsp;&nbsp;&nbsp;&nbsp; 10186961 |
|  | &nbsp;&nbsp;&nbsp;CNO Global Funding, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.65% due 1/6/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 5359000 | &nbsp;&nbsp;&nbsp;&nbsp; 4969347 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.75% due 10/7/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9414000 | &nbsp;&nbsp;&nbsp;&nbsp; 8335250 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;DaVinciRe Holdings Ltd., 4.75% due 5/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 10260000 | &nbsp;&nbsp;&nbsp;&nbsp; 10028534 |
|  | &nbsp;&nbsp;&nbsp;Enstar Group Ltd., |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.10% due 9/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 10106000 | &nbsp;&nbsp;&nbsp;&nbsp; 7379199 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.95% due 6/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 16116000 | &nbsp;&nbsp;&nbsp;&nbsp; 14722449 |
|  | &nbsp;&nbsp;&nbsp;Equitable Financial Life Global Funding, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.00% due 1/9/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8665000 | &nbsp;&nbsp;&nbsp;&nbsp; 7610989 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.40% due 7/7/2025 - 8/27/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 16048000 | &nbsp;&nbsp;&nbsp;&nbsp; 14248357 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.80% due 3/8/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6800000 | &nbsp;&nbsp;&nbsp;&nbsp; 5669296 |
|  | &nbsp;&nbsp;&nbsp;F&G Global Funding, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.75% due 6/30/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 20225000 | &nbsp;&nbsp;&nbsp;&nbsp; 18027958 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.00% due 9/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 17963000 | &nbsp;&nbsp;&nbsp;&nbsp; 14883603 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.30% due 4/11/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 13520000 | &nbsp;&nbsp;&nbsp;&nbsp; 11908957 |
|  | &nbsp;&nbsp;&nbsp;Fairfax Financial Holdings Ltd., |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.375% due 3/3/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 5261000 | &nbsp;&nbsp;&nbsp;&nbsp; 4290451 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.625% due 4/29/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 11984000 | &nbsp;&nbsp;&nbsp;&nbsp; 10891419 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.625% due 8/16/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 15746000 | &nbsp;&nbsp;&nbsp;&nbsp; 14786596 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;Fidelis Insurance Holdings Ltd., 4.875% due 6/30/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 17531000 | &nbsp;&nbsp;&nbsp;&nbsp; 17031016 |
|  | &nbsp;&nbsp;&nbsp;Fidelity National Financial, Inc., 3.40% due 6/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 14931000 | &nbsp;&nbsp;&nbsp;&nbsp; 12605795 |
|  | &nbsp;&nbsp;&nbsp;First American Financial Corp., 4.00% due 5/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4845000 | &nbsp;&nbsp;&nbsp;&nbsp; 4089519 |
|  | &nbsp;&nbsp;&nbsp;GA Global Funding Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.25% due 1/6/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 11420000 | &nbsp;&nbsp;&nbsp;&nbsp; 10070727 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.85% due 4/11/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 11960000 | &nbsp;&nbsp;&nbsp;&nbsp; 11462584 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.79% (SOFR + 0.50%) due 9/13/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 6888000 | &nbsp;&nbsp;&nbsp;&nbsp; 6708292 |
|  | &nbsp;&nbsp;&nbsp;Globe Life, Inc., 4.80% due 6/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3410000 | &nbsp;&nbsp;&nbsp;&nbsp; 3226883 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Guardian Life Global Funding, 5.55% due 10/28/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 9750000 | &nbsp;&nbsp;&nbsp;&nbsp; 9927743 |
|  | &nbsp;&nbsp;&nbsp;Horace Mann Educators Corp., 4.50% due 12/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 6533000 | &nbsp;&nbsp;&nbsp;&nbsp; 6261227 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Jackson National Life Global Funding, 3.25% due 1/30/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4893450 |
|  | &nbsp;&nbsp;&nbsp;Mercury General Corp., 4.40% due 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2901000 | &nbsp;&nbsp;&nbsp;&nbsp; 2720210 |
|  | &nbsp;&nbsp;&nbsp;Metropolitan Life Global Funding I, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.30% due 3/21/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 4000000 | &nbsp;&nbsp;&nbsp;&nbsp; 3586480 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.012% (SOFR + 0.32%) due 1/7/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 14683000 | &nbsp;&nbsp;&nbsp;&nbsp; 14604005 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;Nationwide Mutual Insurance Co., 7.059% (LIBOR 3 Month + 2.29%) due 12/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 16096000 | &nbsp;&nbsp;&nbsp;&nbsp; 16062842 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;New York Life Global Funding, 4.759% (SOFR + 0.48%) due 6/9/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 22760000 | &nbsp;&nbsp;&nbsp;&nbsp; 22015748 |
|  | &nbsp;&nbsp;&nbsp;Pacific Life Global Funding II, |  |  |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.867% (SOFR + 0.62%) due 6/4/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 13475000 | &nbsp;&nbsp;&nbsp;&nbsp; 12888703 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.123% (SOFRINDX + 0.80%) due 3/30/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 653000 | &nbsp;&nbsp;&nbsp;&nbsp; 639672 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Protective Life Corp., 3.40% due 1/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 16787000 | &nbsp;&nbsp;&nbsp;&nbsp; 14584713 |
|  | &nbsp;&nbsp;&nbsp;Protective Life Global Funding, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.618% due 4/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 14716000 | &nbsp;&nbsp;&nbsp;&nbsp; 13152278 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.218% due 3/28/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 4000000 | &nbsp;&nbsp;&nbsp;&nbsp; 3807760 |
|  | &nbsp;&nbsp;&nbsp;Reliance Standard Life Global Funding II, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.512% due 9/28/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 10762000 | &nbsp;&nbsp;&nbsp;&nbsp; 9300198 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.75% due 5/7/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 13490000 | &nbsp;&nbsp;&nbsp;&nbsp; 12652406 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.85% due 9/19/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 5950000 | &nbsp;&nbsp;&nbsp;&nbsp; 5866046 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;RGA Global Funding, 2.70% due 1/18/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 11803000 | &nbsp;&nbsp;&nbsp;&nbsp; 9996551 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Sammons Financial Group, Inc., 4.45% due 5/12/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 7950000 | &nbsp;&nbsp;&nbsp;&nbsp; 7365914 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Security Benefit Global Funding, 1.25% due 5/17/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 37488000 | &nbsp;&nbsp;&nbsp;&nbsp; 35147624 |
|  | &nbsp;&nbsp;&nbsp;Stewart Information Services Corp., 3.60% due 11/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 22401000 | &nbsp;&nbsp;&nbsp;&nbsp; 17080315 |
|  | &nbsp;&nbsp;&nbsp;Willis North America, Inc., 4.65% due 6/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 14331000 | &nbsp;&nbsp;&nbsp;&nbsp; 13859223 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 528050452 |
|  | &nbsp;&nbsp;**Materials — 1.6%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Chemicals — 0.5%** |  |  |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;LG Chem Ltd., 4.375% due 7/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4850750 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;OCP SA, 5.625% due 4/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 8555000 | &nbsp;&nbsp;&nbsp;&nbsp; 8543793 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

| | |
|:---|:---|
| **Thornburg Limited Term Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;Phosagro OAO Via Phosagro Bond Funding DAC, |  |  |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.05% due 1/23/2025 | &nbsp;&nbsp;$2525000 | &nbsp;&nbsp;$1313606 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.949% due 4/24/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 29098000 | &nbsp;&nbsp;&nbsp;&nbsp; 18173156 |
|  | &nbsp;&nbsp;&nbsp;**Construction Materials — 0.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Martin Marietta Materials, Inc., 0.65% due 7/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 14635000 | &nbsp;&nbsp;&nbsp;&nbsp; 14259466 |
|  | &nbsp;&nbsp;&nbsp;**Containers & Packaging — 0.5%** |  |  |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;CCL Industries, Inc., 3.05% due 6/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 9810000 | &nbsp;&nbsp;&nbsp;&nbsp; 8072649 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Graphic Packaging International LLC, 1.512% due 4/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6873000 | &nbsp;&nbsp;&nbsp;&nbsp; 6002328 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Silgan Holdings, Inc., 1.40% due 4/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 14004000 | &nbsp;&nbsp;&nbsp;&nbsp; 12359790 |
|  | &nbsp;&nbsp;&nbsp;Sonoco Products Co., 1.80% due 2/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 11725000 | &nbsp;&nbsp;&nbsp;&nbsp; 10903547 |
|  | &nbsp;&nbsp;&nbsp;**Metals & Mining — 0.4%** |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;AngloGold Ashanti Holdings plc, 3.375% due 11/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 23500000 | &nbsp;&nbsp;&nbsp;&nbsp; 20602920 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;Metalloinvest Finance DAC, 3.375% due 10/22/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 12700000 | &nbsp;&nbsp;&nbsp;&nbsp; 6824726 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;Newcrest Finance Pty Ltd., 3.25% due 5/13/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 2961000 | &nbsp;&nbsp;&nbsp;&nbsp; 2476610 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 114383341 |
|  | &nbsp;&nbsp;**Media & Entertainment — 0.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Media — 0.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Warnermedia Holdings, Inc., |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.428% due 3/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 4090000 | &nbsp;&nbsp;&nbsp;&nbsp; 3969590 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.528% due 3/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 10415000 | &nbsp;&nbsp;&nbsp;&nbsp; 10092031 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 14061621 |
|  | &nbsp;&nbsp;**Pharmaceuticals, Biotechnology & Life Sciences — 0.5%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Biotechnology — 0.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Bio-Rad Laboratories, Inc., 3.30% due 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5820000 | &nbsp;&nbsp;&nbsp;&nbsp; 5369474 |
|  | &nbsp;&nbsp;&nbsp;Illumina, Inc., 5.80% due 12/12/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 5600000 | &nbsp;&nbsp;&nbsp;&nbsp; 5643400 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Royalty Pharma plc, 1.75% due 9/2/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 7532000 | &nbsp;&nbsp;&nbsp;&nbsp; 6397681 |
|  | &nbsp;&nbsp;&nbsp;**Pharmaceuticals — 0.2%** |  |  |
| **<sup>b,d</sup>** | &nbsp;&nbsp;&nbsp;AstraZeneca plc, 5.315% (LIBOR 3 Month + 0.67%) due 8/17/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 10524000 | &nbsp;&nbsp;&nbsp;&nbsp; 10522947 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Bayer US Finance II LLC, 4.25% due 12/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 2500000 | &nbsp;&nbsp;&nbsp;&nbsp; 2427750 |
|  | &nbsp;&nbsp;&nbsp;Viatris, Inc., 2.30% due 6/22/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4935000 | &nbsp;&nbsp;&nbsp;&nbsp; 4217303 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 34578555 |
|  | &nbsp;&nbsp;**Real Estate — 2.0%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Equity Real Estate Investment Trusts — 1.8%** |  |  |
|  | &nbsp;&nbsp;&nbsp;American Tower Corp., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.45% due 9/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4969000 | &nbsp;&nbsp;&nbsp;&nbsp; 4334657 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.50% due 1/31/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 15000000 | &nbsp;&nbsp;&nbsp;&nbsp; 12424950 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.40% due 3/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 12850000 | &nbsp;&nbsp;&nbsp;&nbsp; 12088637 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.65% due 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6380000 | &nbsp;&nbsp;&nbsp;&nbsp; 5967342 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.05% due 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1914000 | &nbsp;&nbsp;&nbsp;&nbsp; 1711767 |
|  | &nbsp;&nbsp;&nbsp;Crown Castle, Inc., 1.05% due 7/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6222000 | &nbsp;&nbsp;&nbsp;&nbsp; 5385079 |
|  | &nbsp;&nbsp;&nbsp;Digital Realty Trust LP, 5.55% due 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 13400000 | &nbsp;&nbsp;&nbsp;&nbsp; 13490450 |
|  | &nbsp;&nbsp;&nbsp;Extra Space Storage LP, 3.90% due 4/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 4920000 | &nbsp;&nbsp;&nbsp;&nbsp; 4416536 |
|  | &nbsp;&nbsp;&nbsp;SBA Tower Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.631% due 5/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 26000000 | &nbsp;&nbsp;&nbsp;&nbsp; 22081233 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.84% due 4/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 8140000 | &nbsp;&nbsp;&nbsp;&nbsp; 6895095 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.836% due 1/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 12661000 | &nbsp;&nbsp;&nbsp;&nbsp; 11933208 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;6.599% due 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7950000 | &nbsp;&nbsp;&nbsp;&nbsp; 7962454 |
|  | &nbsp;&nbsp;&nbsp;Service Properties Trust, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.35% due 10/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 10161000 | &nbsp;&nbsp;&nbsp;&nbsp; 9258297 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.65% due 3/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 4233000 | &nbsp;&nbsp;&nbsp;&nbsp; 4063299 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;5.25% due 2/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4020000 | &nbsp;&nbsp;&nbsp;&nbsp; 3361243 |
|  | &nbsp;&nbsp;&nbsp;Vornado Realty LP, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.15% due 6/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 7000000 | &nbsp;&nbsp;&nbsp;&nbsp; 5929840 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.40% due 6/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2916000 | &nbsp;&nbsp;&nbsp;&nbsp; 2163672 |
|  | &nbsp;&nbsp;&nbsp;**Mortgage Real Estate Investment Trusts — 0.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Sun Communities Operating LP, 2.30% due 11/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 13878000 | &nbsp;&nbsp;&nbsp;&nbsp; 11595485 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 145063244 |
|  | &nbsp;&nbsp;**Retailing — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Specialty Retail — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Advance Auto Parts, Inc., |  |  |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

| | |
|:---|:---|
| **Thornburg Limited Term Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.75% due 10/1/2027 | &nbsp;&nbsp;$4763000 | &nbsp;&nbsp;$4001301 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.90% due 4/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6584000 | &nbsp;&nbsp;&nbsp;&nbsp; 5785032 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 9786333 |
|  | &nbsp;&nbsp;**Semiconductors & Semiconductor Equipment — 1.8%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Semiconductors & Semiconductor Equipment — 1.8%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Broadcom Corp./Broadcom Cayman Finance Ltd., |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.50% due 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 12245000 | &nbsp;&nbsp;&nbsp;&nbsp; 11161195 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.875% due 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1712000 | &nbsp;&nbsp;&nbsp;&nbsp; 1620750 |
|  | &nbsp;&nbsp;&nbsp;Broadcom, Inc., |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.187% due 11/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 6583000 | &nbsp;&nbsp;&nbsp;&nbsp; 4751215 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.00% due 4/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2060000 | &nbsp;&nbsp;&nbsp;&nbsp; 1874641 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.15% due 11/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 2980000 | &nbsp;&nbsp;&nbsp;&nbsp; 2669722 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.75% due 4/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 3575000 | &nbsp;&nbsp;&nbsp;&nbsp; 3409513 |
|  | &nbsp;&nbsp;&nbsp;Microchip Technology, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;0.972% due 2/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 18694000 | &nbsp;&nbsp;&nbsp;&nbsp; 17772573 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.25% due 9/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 10634000 | &nbsp;&nbsp;&nbsp;&nbsp; 10326571 |
|  | &nbsp;&nbsp;&nbsp;Micron Technology, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.663% due 2/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4150000 | &nbsp;&nbsp;&nbsp;&nbsp; 3761560 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;5.327% due 2/6/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 7690000 | &nbsp;&nbsp;&nbsp;&nbsp; 7380016 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;6.75% due 11/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 9900000 | &nbsp;&nbsp;&nbsp;&nbsp; 10073349 |
|  | &nbsp;&nbsp;&nbsp;Qorvo, Inc., |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.75% due 12/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 6858000 | &nbsp;&nbsp;&nbsp;&nbsp; 6327465 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.375% due 4/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 14210000 | &nbsp;&nbsp;&nbsp;&nbsp; 11525731 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.375% due 10/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 930000 | &nbsp;&nbsp;&nbsp;&nbsp; 821832 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;Renesas Electronics Corp., 1.543% due 11/26/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 17721000 | &nbsp;&nbsp;&nbsp;&nbsp; 16229778 |
|  | &nbsp;&nbsp;&nbsp;SK Hynix, Inc., |  |  |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.00% due 1/19/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 6800000 | &nbsp;&nbsp;&nbsp;&nbsp; 6444496 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.50% due 1/19/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 10200000 | &nbsp;&nbsp;&nbsp;&nbsp; 8824020 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.375% due 1/19/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6588000 | &nbsp;&nbsp;&nbsp;&nbsp; 4837898 |
|  | &nbsp;&nbsp;&nbsp;Skyworks Solutions, Inc., 1.80% due 6/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3574000 | &nbsp;&nbsp;&nbsp;&nbsp; 3146121 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 132958446 |
|  | &nbsp;&nbsp;**Software & Services — 2.7%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Information Technology Services — 1.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Block Financial LLC, 2.50% due 7/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 10392000 | &nbsp;&nbsp;&nbsp;&nbsp; 8818651 |
|  | &nbsp;&nbsp;&nbsp;DXC Technology Co., 2.375% due 9/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 26644000 | &nbsp;&nbsp;&nbsp;&nbsp; 22404140 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Genpact Luxembourg Sarl, 3.375% due 12/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 4350000 | &nbsp;&nbsp;&nbsp;&nbsp; 4162037 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Genpact Luxembourg Sarl/Genpact USA, Inc., 1.75% due 4/10/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9063000 | &nbsp;&nbsp;&nbsp;&nbsp; 8072958 |
|  | &nbsp;&nbsp;&nbsp;Global Payments, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.50% due 11/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 5624000 | &nbsp;&nbsp;&nbsp;&nbsp; 5233020 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.15% due 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3516000 | &nbsp;&nbsp;&nbsp;&nbsp; 3070593 |
|  | &nbsp;&nbsp;&nbsp;Kyndryl Holdings, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.05% due 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 10562000 | &nbsp;&nbsp;&nbsp;&nbsp; 8732767 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.70% due 10/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 22750000 | &nbsp;&nbsp;&nbsp;&nbsp; 17124835 |
|  | &nbsp;&nbsp;&nbsp;Leidos, Inc., 2.30% due 2/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 8489000 | &nbsp;&nbsp;&nbsp;&nbsp; 6496377 |
|  | &nbsp;&nbsp;&nbsp;Total System Services, Inc., 4.00% due 6/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 1335000 | &nbsp;&nbsp;&nbsp;&nbsp; 1326790 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Wipro IT Services LLC, 1.50% due 6/23/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 10647000 | &nbsp;&nbsp;&nbsp;&nbsp; 9357009 |
|  | &nbsp;&nbsp;&nbsp;**Internet Software & Services — 0.5%** |  |  |
|  | &nbsp;&nbsp;&nbsp;eBay, Inc., 5.90% due 11/22/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 14800000 | &nbsp;&nbsp;&nbsp;&nbsp; 15134776 |
|  | &nbsp;&nbsp;&nbsp;Prosus NV, |  |  |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.061% due 7/13/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2816000 | &nbsp;&nbsp;&nbsp;&nbsp; 2196452 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.257% due 1/19/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6400000 | &nbsp;&nbsp;&nbsp;&nbsp; 5764928 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.193% due 1/19/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 13254000 | &nbsp;&nbsp;&nbsp;&nbsp; 11017917 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;Tencent Holdings Ltd., 2.39% due 6/3/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4071900 |
|  | &nbsp;&nbsp;&nbsp;**Software — 0.9%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Fidelity National Information Services, Inc., 4.70% due 7/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 7167000 | &nbsp;&nbsp;&nbsp;&nbsp; 6998647 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Infor, Inc., 1.75% due 7/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 12382000 | &nbsp;&nbsp;&nbsp;&nbsp; 11170793 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;Open Text Corp., 6.90% due 12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 9723000 | &nbsp;&nbsp;&nbsp;&nbsp; 9803506 |
|  | &nbsp;&nbsp;&nbsp;Oracle Corp., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.65% due 3/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 15136000 | &nbsp;&nbsp;&nbsp;&nbsp; 13564581 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.30% due 3/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7482000 | &nbsp;&nbsp;&nbsp;&nbsp; 6488091 |
|  | &nbsp;&nbsp;&nbsp;VMware, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.00% due 8/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 3304000 | &nbsp;&nbsp;&nbsp;&nbsp; 3073447 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.50% due 5/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 15043000 | &nbsp;&nbsp;&nbsp;&nbsp; 14749511 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

| | |
|:---|:---|
| **Thornburg Limited Term Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 198833726 |
|  | &nbsp;&nbsp;**Technology Hardware & Equipment — 2.5%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Communications Equipment — 0.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Motorola Solutions, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.30% due 11/15/2030 | &nbsp;&nbsp;$1582000 | &nbsp;&nbsp;$1241253 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;5.60% due 6/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 24026000 | &nbsp;&nbsp;&nbsp;&nbsp; 23442168 |
|  | &nbsp;&nbsp;&nbsp;**Electronic Equipment, Instruments & Components — 0.9%** |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Allegion plc, 3.50% due 10/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 3059000 | &nbsp;&nbsp;&nbsp;&nbsp; 2636736 |
|  | &nbsp;&nbsp;&nbsp;Flex Ltd., |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.875% due 5/12/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 12788000 | &nbsp;&nbsp;&nbsp;&nbsp; 11958954 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;6.00% due 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 2375000 | &nbsp;&nbsp;&nbsp;&nbsp; 2371461 |
|  | &nbsp;&nbsp;&nbsp;TD SYNNEX Corp., 1.75% due 8/9/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 28691000 | &nbsp;&nbsp;&nbsp;&nbsp; 24386489 |
|  | &nbsp;&nbsp;&nbsp;Trimble, Inc., 4.75% due 12/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 17000000 | &nbsp;&nbsp;&nbsp;&nbsp; 16819630 |
|  | &nbsp;&nbsp;&nbsp;Vontier Corp., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.80% due 4/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5272000 | &nbsp;&nbsp;&nbsp;&nbsp; 4459901 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.40% due 4/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5266000 | &nbsp;&nbsp;&nbsp;&nbsp; 4157033 |
|  | &nbsp;&nbsp;&nbsp;**Office Electronics — 0.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;CDW LLC/CDW Finance Corp., 3.25% due 2/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 16381000 | &nbsp;&nbsp;&nbsp;&nbsp; 13960707 |
|  | &nbsp;&nbsp;&nbsp;**Technology Hardware, Storage & Peripherals — 1.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Dell International LLC/EMC Corp., 4.90% due 10/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 14874000 | &nbsp;&nbsp;&nbsp;&nbsp; 14652972 |
|  | &nbsp;&nbsp;&nbsp;HP, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.45% due 6/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5334000 | &nbsp;&nbsp;&nbsp;&nbsp; 4677065 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.75% due 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 14002000 | &nbsp;&nbsp;&nbsp;&nbsp; 13599722 |
|  | &nbsp;&nbsp;&nbsp;Lenovo Group Ltd., |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.75% due 3/29/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 23428000 | &nbsp;&nbsp;&nbsp;&nbsp; 23374116 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.831% due 1/27/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 13565000 | &nbsp;&nbsp;&nbsp;&nbsp; 13123866 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.875% due 4/24/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 10600000 | &nbsp;&nbsp;&nbsp;&nbsp; 10418104 |
|  | &nbsp;&nbsp;&nbsp;NetApp, Inc., 2.375% due 6/22/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 46000 | &nbsp;&nbsp;&nbsp;&nbsp; 40957 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 185321134 |
|  | &nbsp;&nbsp;**Telecommunication Services — 0.7%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Diversified Telecommunication Services — 0.6%** |  |  |
|  | &nbsp;&nbsp;&nbsp;AT&T, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.70% due 3/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6405000 | &nbsp;&nbsp;&nbsp;&nbsp; 5780961 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.55% due 12/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1016000 | &nbsp;&nbsp;&nbsp;&nbsp; 781304 |
|  | &nbsp;&nbsp;&nbsp;NBN Co. Ltd., |  |  |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.45% due 5/5/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 29450000 | &nbsp;&nbsp;&nbsp;&nbsp; 26037334 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.625% due 1/8/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 9800000 | &nbsp;&nbsp;&nbsp;&nbsp; 8506792 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;NTT Finance Corp., 4.239% due 7/25/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 2800000 | &nbsp;&nbsp;&nbsp;&nbsp; 2750188 |
|  | &nbsp;&nbsp;&nbsp;**Wireless Telecommunication Services — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;T-Mobile USA, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.25% due 2/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4275000 | &nbsp;&nbsp;&nbsp;&nbsp; 3893328 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.625% due 4/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4847000 | &nbsp;&nbsp;&nbsp;&nbsp; 4439319 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 52189226 |
|  | &nbsp;&nbsp;**Transportation — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Air Freight & Logistics — 0.1%** |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;TTX Co., 4.15% due 1/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 6000000 | &nbsp;&nbsp;&nbsp;&nbsp; 5923260 |
|  | &nbsp;&nbsp;&nbsp;**Airlines — 0.0%** |  |  |
|  | &nbsp;&nbsp;&nbsp;American Airlines Pass Through Trust, Series 2013-2 Class A, 4.95% due 7/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 1205396 | &nbsp;&nbsp;&nbsp;&nbsp; 1200587 |
|  | &nbsp;&nbsp;&nbsp;US Airways Pass Through Trust, Series 2010-1 Class A, 6.25% due 10/22/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 1935115 | &nbsp;&nbsp;&nbsp;&nbsp; 1919286 |
|  | &nbsp;&nbsp;&nbsp;**Diversified Consumer Services — 0.0%** |  |  |
|  | &nbsp;&nbsp;&nbsp;University of Chicago, Series 12-B, 3.065% due 10/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 360000 | &nbsp;&nbsp;&nbsp;&nbsp; 347623 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 9390756 |
|  | &nbsp;&nbsp;**Utilities — 8.6%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Electric Utilities — 7.6%** |  |  |
|  | &nbsp;&nbsp;&nbsp;AEP Texas, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.70% due 5/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 6527000 | &nbsp;&nbsp;&nbsp;&nbsp; 6252735 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series I, 2.10% due 7/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 12187000 | &nbsp;&nbsp;&nbsp;&nbsp; 9865011 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Alexander Funding Trust, 1.841% due 11/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 38072000 | &nbsp;&nbsp;&nbsp;&nbsp; 35984132 |
|  | &nbsp;&nbsp;&nbsp;Allegion U.S. Holding Co., Inc., 5.411% due 7/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 15759000 | &nbsp;&nbsp;&nbsp;&nbsp; 15251875 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

| | |
|:---|:---|
| **Thornburg Limited Term Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;Alliant Energy Finance LLC, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.40% due 3/15/2026 | &nbsp;&nbsp;$5240000 | &nbsp;&nbsp;$4524740 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.75% due 6/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 9673000 | &nbsp;&nbsp;&nbsp;&nbsp; 9596100 |
|  | &nbsp;&nbsp;&nbsp;Ameren Corp., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.75% due 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 9990000 | &nbsp;&nbsp;&nbsp;&nbsp; 8473818 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.50% due 1/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 5200000 | &nbsp;&nbsp;&nbsp;&nbsp; 4590352 |
|  | &nbsp;&nbsp;&nbsp;American Electric Power Co., Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.031% due 3/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 3898000 | &nbsp;&nbsp;&nbsp;&nbsp; 3752916 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.30% due 3/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 14211000 | &nbsp;&nbsp;&nbsp;&nbsp; 11633977 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series M, 0.75% due 11/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 9667000 | &nbsp;&nbsp;&nbsp;&nbsp; 9337065 |
|  | &nbsp;&nbsp;&nbsp;Appalachian Power Co., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.40% due 6/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2898870 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series BB, 4.50% due 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 6337000 | &nbsp;&nbsp;&nbsp;&nbsp; 5930545 |
|  | &nbsp;&nbsp;&nbsp;Avangrid, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.15% due 12/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 8870000 | &nbsp;&nbsp;&nbsp;&nbsp; 8502338 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.20% due 4/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 9395000 | &nbsp;&nbsp;&nbsp;&nbsp; 8981056 |
|  | &nbsp;&nbsp;&nbsp;Black Hills Corp., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.037% due 8/23/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 22410000 | &nbsp;&nbsp;&nbsp;&nbsp; 20916598 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.50% due 6/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5490000 | &nbsp;&nbsp;&nbsp;&nbsp; 4414838 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Caledonia Generating LLC, 1.95% due 2/28/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 19062410 | &nbsp;&nbsp;&nbsp;&nbsp; 16285059 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;CenterPoint Energy, Inc., 4.776% (SOFRINDX + 0.65%) due 5/13/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 2289000 | &nbsp;&nbsp;&nbsp;&nbsp; 2261028 |
|  | &nbsp;&nbsp;&nbsp;Comision Federal de Electricidad, |  |  |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.348% due 2/9/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 8740000 | &nbsp;&nbsp;&nbsp;&nbsp; 6851373 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.688% due 5/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6125000 | &nbsp;&nbsp;&nbsp;&nbsp; 5411070 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.00% due 9/29/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 18849600 | &nbsp;&nbsp;&nbsp;&nbsp; 15585792 |
|  | &nbsp;&nbsp;&nbsp;Consolidated Edison, Inc., Series A, 0.65% due 12/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 12309000 | &nbsp;&nbsp;&nbsp;&nbsp; 11823287 |
|  | &nbsp;&nbsp;&nbsp;Dominion Energy, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;5.375% due 11/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 19385000 | &nbsp;&nbsp;&nbsp;&nbsp; 19260936 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series B, 3.60% due 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 25576000 | &nbsp;&nbsp;&nbsp;&nbsp; 24068039 |
|  | &nbsp;&nbsp;&nbsp;Duke Energy Corp., 4.50% due 8/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 14790000 | &nbsp;&nbsp;&nbsp;&nbsp; 13898163 |
|  | &nbsp;&nbsp;&nbsp;Enel Finance International NV, |  |  |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.375% due 7/12/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 12250000 | &nbsp;&nbsp;&nbsp;&nbsp; 10612910 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.875% due 7/12/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 20585000 | &nbsp;&nbsp;&nbsp;&nbsp; 16357664 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.25% due 7/12/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 5957000 | &nbsp;&nbsp;&nbsp;&nbsp; 4364813 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.00% due 6/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3073000 | &nbsp;&nbsp;&nbsp;&nbsp; 2771846 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;7.50% due 10/14/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4250800 |
|  | &nbsp;&nbsp;&nbsp;Entergy Louisiana LLC, 0.62% due 11/17/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 3963000 | &nbsp;&nbsp;&nbsp;&nbsp; 3814546 |
|  | &nbsp;&nbsp;&nbsp;Entergy Mississippi LLC, 3.25% due 12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4727000 | &nbsp;&nbsp;&nbsp;&nbsp; 4274437 |
|  | &nbsp;&nbsp;&nbsp;Entergy Texas, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.50% due 9/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8640000 | &nbsp;&nbsp;&nbsp;&nbsp; 7532179 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.45% due 12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 9000000 | &nbsp;&nbsp;&nbsp;&nbsp; 8299080 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Evergy Missouri West, Inc., 5.15% due 12/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 9711000 | &nbsp;&nbsp;&nbsp;&nbsp; 9666718 |
|  | &nbsp;&nbsp;&nbsp;Georgia Power Co., 4.70% due 5/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 20681000 | &nbsp;&nbsp;&nbsp;&nbsp; 19917044 |
|  | &nbsp;&nbsp;&nbsp;ITC Holdings Corp., |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.95% due 5/14/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 14800000 | &nbsp;&nbsp;&nbsp;&nbsp; 12516360 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.95% due 9/22/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 9703000 | &nbsp;&nbsp;&nbsp;&nbsp; 9585788 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Jersey Central Power & Light Co., 4.30% due 1/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9414000 | &nbsp;&nbsp;&nbsp;&nbsp; 9086393 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Liberty Utilities Finance GP 1, 2.05% due 9/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 11980000 | &nbsp;&nbsp;&nbsp;&nbsp; 8992787 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Midland Cogeneration Venture LP, 6.00% due 3/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 810589 | &nbsp;&nbsp;&nbsp;&nbsp; 824790 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;Mississippi Power Co., Series A, 4.623% (SOFR + 0.30%) due 6/28/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 6780000 | &nbsp;&nbsp;&nbsp;&nbsp; 6631654 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Monongahela Power Co., 3.55% due 5/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3300000 | &nbsp;&nbsp;&nbsp;&nbsp; 3102363 |
|  | &nbsp;&nbsp;&nbsp;NextEra Energy Capital Holdings, Inc., 0.65% due 3/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 3333000 | &nbsp;&nbsp;&nbsp;&nbsp; 3310702 |
|  | &nbsp;&nbsp;&nbsp;Northern States Power Co., 3.30% due 6/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 2500000 | &nbsp;&nbsp;&nbsp;&nbsp; 2439725 |
|  | &nbsp;&nbsp;&nbsp;OGE Energy Corp., 0.703% due 5/26/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 6063000 | &nbsp;&nbsp;&nbsp;&nbsp; 5954775 |
|  | &nbsp;&nbsp;&nbsp;Pacific Gas & Electric Co., 3.25% due 2/16/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 20160000 | &nbsp;&nbsp;&nbsp;&nbsp; 19661645 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;PPL Electric Utilities Corp., 4.653% (SOFR + 0.33%) due 6/24/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 5094000 | &nbsp;&nbsp;&nbsp;&nbsp; 5027880 |
|  | &nbsp;&nbsp;&nbsp;Public Service Co. of Oklahoma, Series J, 2.20% due 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 5905000 | &nbsp;&nbsp;&nbsp;&nbsp; 4696542 |
|  | &nbsp;&nbsp;&nbsp;Puget Energy, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.379% due 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 8825000 | &nbsp;&nbsp;&nbsp;&nbsp; 7524460 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.10% due 6/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4742000 | &nbsp;&nbsp;&nbsp;&nbsp; 4242573 |
|  | &nbsp;&nbsp;&nbsp;San Diego Gas & Electric Co., Series NN, 3.60% due 9/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 4212000 | &nbsp;&nbsp;&nbsp;&nbsp; 4167816 |
|  | &nbsp;&nbsp;&nbsp;Southern California Edison Co., |  |  |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.963% (SOFRINDX + 0.64%) due 4/3/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 19476000 | &nbsp;&nbsp;&nbsp;&nbsp; 19457498 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series C, 4.20% due 6/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 5722000 | &nbsp;&nbsp;&nbsp;&nbsp; 5607331 |
|  | &nbsp;&nbsp;&nbsp;Southern Co., 5.70% due 10/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 5108900 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

| | |
|:---|:---|
| **Thornburg Limited Term Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;Transelec SA, |  |  |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.25% due 1/14/2025 | &nbsp;&nbsp;$5200000 | &nbsp;&nbsp;$5062148 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.625% due 7/26/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 2880000 | &nbsp;&nbsp;&nbsp;&nbsp; 2868682 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Vistra Operations Co. LLC, 4.875% due 5/13/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 25918000 | &nbsp;&nbsp;&nbsp;&nbsp; 25379165 |
|  | &nbsp;&nbsp;&nbsp;WEC Energy Group, Inc., 2.20% due 12/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 11412000 | &nbsp;&nbsp;&nbsp;&nbsp; 9662883 |
|  | &nbsp;&nbsp;&nbsp;**Gas Utilities — 1.0%** |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Brooklyn Union Gas Co., 4.632% due 8/5/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 9700000 | &nbsp;&nbsp;&nbsp;&nbsp; 9241966 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;CenterPoint Energy Resources Corp., 5.279% (LIBOR 3 Month + 0.50%) due 3/2/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 4398000 | &nbsp;&nbsp;&nbsp;&nbsp; 4395977 |
|  | &nbsp;&nbsp;&nbsp;NiSource, Inc., 0.95% due 8/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 11850000 | &nbsp;&nbsp;&nbsp;&nbsp; 10688582 |
|  | &nbsp;&nbsp;&nbsp;Southern Co. Gas Capital Corp., 5.15% due 9/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 12206000 | &nbsp;&nbsp;&nbsp;&nbsp; 11991052 |
|  | &nbsp;&nbsp;&nbsp;Southwest Gas Corp., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.05% due 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 13150000 | &nbsp;&nbsp;&nbsp;&nbsp; 11531498 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;5.80% due 12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4828000 | &nbsp;&nbsp;&nbsp;&nbsp; 4916015 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;Spire Missouri, Inc., 4.74% (SOFR + 0.50%) due 12/2/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 24347000 | &nbsp;&nbsp;&nbsp;&nbsp; 24053375 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 635945075 |
|  | &nbsp;&nbsp;&nbsp;Total Corporate Bonds (Cost $3,541,917,723) |  | &nbsp;&nbsp;&nbsp;&nbsp;3227395427 |
|  | **Long-Term Municipal Bonds — 0.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Colorado Educational & Cultural Facilities Authority, Series B, 2.691% due 3/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 580000 | &nbsp;&nbsp;&nbsp;&nbsp; 577907 |
|  | &nbsp;&nbsp;&nbsp;Los Angeles Community College District GO, 1.806% due 8/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 12115000 | &nbsp;&nbsp;&nbsp;&nbsp; 9880049 |
|  | &nbsp;&nbsp;&nbsp;New Jersey Transportation Trust Fund Authority, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.551% due 6/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 1170000 | &nbsp;&nbsp;&nbsp;&nbsp; 1155372 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.631% due 6/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 860000 | &nbsp;&nbsp;&nbsp;&nbsp; 830360 |
|  | &nbsp;&nbsp;&nbsp;Total Long-Term Municipal Bonds (Cost $13,358,933) |  | &nbsp;&nbsp;&nbsp;&nbsp; 12443688 |
|  | **Other Government — 0.2%** |  |  |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;Bermuda Government International Bond, 2.375% due 8/20/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6800000 | &nbsp;&nbsp;&nbsp;&nbsp; 5748992 |
|  | &nbsp;&nbsp;&nbsp;Carpintero Finance Ltd. (Guaranty: Export Credits Guarantee Department), |  |  |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.004% due 9/18/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 2285919 | &nbsp;&nbsp;&nbsp;&nbsp; 2211078 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.581% due 11/11/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 2460787 | &nbsp;&nbsp;&nbsp;&nbsp; 2400605 |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;Khadrawy Ltd. (Guaranty: Export Credits Guarantee Department), 2.471% due 3/31/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 1660372 | &nbsp;&nbsp;&nbsp;&nbsp; 1607356 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Sharjah Sukuk Program Ltd., 4.226% due 3/14/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp;&nbsp; 1903340 |
|  | &nbsp;&nbsp;&nbsp;Total Other Government (Cost $15,343,732) |  | &nbsp;&nbsp;&nbsp;&nbsp; 13871371 |
|  | **U.S. Treasury Securities — 13.9%** |  |  |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Inflation Indexed Bonds, 0.125%, 4/15/2027 - 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;244346434 | &nbsp;&nbsp;&nbsp;&nbsp; 216334554 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Notes, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;0.375%, 11/30/2025 | &nbsp;&nbsp;&nbsp;&nbsp;123015000 | &nbsp;&nbsp;&nbsp;&nbsp; 110079204 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.50%, 10/31/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 44520000 | &nbsp;&nbsp;&nbsp;&nbsp; 42175744 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.625%, 2/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 52700000 | &nbsp;&nbsp;&nbsp;&nbsp; 48755734 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.75%, 11/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 27136000 | &nbsp;&nbsp;&nbsp;&nbsp; 23676160 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.00%, 8/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 30000000 | &nbsp;&nbsp;&nbsp;&nbsp; 28321875 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.25%, 11/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 16967000 | &nbsp;&nbsp;&nbsp;&nbsp; 16060326 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.875%, 5/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;154657000 | &nbsp;&nbsp;&nbsp;&nbsp; 142574422 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Notes Inflationary Index, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;0.125%, 1/15/2031 - 7/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 81209783 | &nbsp;&nbsp;&nbsp;&nbsp; 71944194 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;0.25%, 1/15/2025 - 7/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp;147849476 | &nbsp;&nbsp;&nbsp;&nbsp; 136213603 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;0.375%, 7/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 76594757 | &nbsp;&nbsp;&nbsp;&nbsp; 72179262 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;0.50%, 4/15/2024 - 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 28659183 | &nbsp;&nbsp;&nbsp;&nbsp; 27406178 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;0.625%, 1/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 14092136 | &nbsp;&nbsp;&nbsp;&nbsp; 13793841 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;0.875%, 1/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 80067248 | &nbsp;&nbsp;&nbsp;&nbsp; 76231528 |
|  | &nbsp;&nbsp;&nbsp;Total U.S. Treasury Securities (Cost $1,106,554,894) |  | &nbsp;&nbsp;&nbsp;&nbsp;1025746625 |
|  | **U.S. Government Agencies — 0.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;ALEX Alpha LLC (Guaranty: Export-Import Bank of the United States), 1.617%, 8/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 760869 | &nbsp;&nbsp;&nbsp;&nbsp; 738862 |
|  | &nbsp;&nbsp;&nbsp;Petroleos Mexicanos (Guaranty: Export-Import Bank of the United States), |  |  |
| **<sup>b,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.429% (LIBOR 3 Month + 0.35%), 4/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 2590000 | &nbsp;&nbsp;&nbsp;&nbsp; 2493574 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;6.50%, 1/23/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 10007000 | &nbsp;&nbsp;&nbsp;&nbsp; 8579802 |
|  | &nbsp;&nbsp;&nbsp;Reliance Industries Ltd. (Guaranty: Export-Import Bank of the United States), |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.06%, 1/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 525000 | &nbsp;&nbsp;&nbsp;&nbsp; 490912 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.512%, 1/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2275000 | &nbsp;&nbsp;&nbsp;&nbsp; 2120436 |
|  | &nbsp;&nbsp;&nbsp;Santa Rosa Leasing LLC (Guaranty: Export-Import Bank of the United States), 1.693%, 8/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 877488 | &nbsp;&nbsp;&nbsp;&nbsp; 867493 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

| | |
|:---|:---|
| **Thornburg Limited Term Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;Small Business Administration Participation Certificates, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2008-20D Class 1, 5.37%, 4/1/2028 | &nbsp;&nbsp;$306676 | &nbsp;&nbsp;$299967 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2009-20E Class 1, 4.43%, 5/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 174987 | &nbsp;&nbsp;&nbsp;&nbsp; 168151 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2009-20K Class 1, 4.09%, 11/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1347063 | &nbsp;&nbsp;&nbsp;&nbsp; 1284132 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2011-20E Class 1, 3.79%, 5/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 1703390 | &nbsp;&nbsp;&nbsp;&nbsp; 1612767 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2011-20F Class 1, 3.67%, 6/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 316217 | &nbsp;&nbsp;&nbsp;&nbsp; 298224 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2011-20G Class 1, 3.74%, 7/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 1828355 | &nbsp;&nbsp;&nbsp;&nbsp; 1728427 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2011-20I Class 1, 2.85%, 9/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 3428275 | &nbsp;&nbsp;&nbsp;&nbsp; 3169519 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2011-20K Class 1, 2.87%, 11/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2805014 | &nbsp;&nbsp;&nbsp;&nbsp; 2590430 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2012-20D Class 1, 2.67%, 4/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2356281 | &nbsp;&nbsp;&nbsp;&nbsp; 2164014 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2012-20J Class 1, 2.18%, 10/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2091998 | &nbsp;&nbsp;&nbsp;&nbsp; 1896312 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2012-20K Class 1, 2.09%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1410574 | &nbsp;&nbsp;&nbsp;&nbsp; 1274178 |
|  | &nbsp;&nbsp;&nbsp;Total U.S. Government Agencies (Cost $35,132,907) |  | &nbsp;&nbsp;&nbsp;&nbsp; 31777200 |
|  | **Mortgage Backed — 19.7%** |  |  |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;Angel Oak Mortgage Trust LLC, Whole Loan Securities Trust CMO, Series 2020-2 Class A3, 5.00% due 1/26/2065 | &nbsp;&nbsp;&nbsp;&nbsp; 5384548 | &nbsp;&nbsp;&nbsp;&nbsp; 5186713 |
|  | &nbsp;&nbsp;&nbsp;Arroyo Mortgage Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1 Class A1, 3.805% due 1/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4850776 | &nbsp;&nbsp;&nbsp;&nbsp; 4465284 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1 Class A3, 4.208% due 1/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2538399 | &nbsp;&nbsp;&nbsp;&nbsp; 2401916 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-2 Class A1, 3.347% due 4/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2141199 | &nbsp;&nbsp;&nbsp;&nbsp; 1995949 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-3 Class A1, 2.962% due 10/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 4958330 | &nbsp;&nbsp;&nbsp;&nbsp; 4509026 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1 Class A2, 2.927% due 3/25/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 6518000 | &nbsp;&nbsp;&nbsp;&nbsp; 5540210 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1 Class A3, 3.328% due 3/25/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 4500000 | &nbsp;&nbsp;&nbsp;&nbsp; 3716892 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1 Class M1, 4.277% due 3/25/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 3189000 | &nbsp;&nbsp;&nbsp;&nbsp; 2443595 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1R Class A1, 1.175% due 10/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 10067418 | &nbsp;&nbsp;&nbsp;&nbsp; 7903436 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1 Class M1, 3.65% due 12/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 7338000 | &nbsp;&nbsp;&nbsp;&nbsp; 4645358 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;Bayview Commercial Asset Trust, CMBS, Series 2004-3 Class A2, 5.019% (LIBOR 1 Month + 0.63%) due 1/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 789124 | &nbsp;&nbsp;&nbsp;&nbsp; 786789 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;BRAVO Residential Funding Trust, Whole Loan Securities Trust CMO, Series 2019-1 Class A1C, 3.50% due 3/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 944481 | &nbsp;&nbsp;&nbsp;&nbsp; 918757 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;Bunker Hill Loan Depositary Trust, Whole Loan Securities Trust CMO, Series 2020-1 Class A3, 3.253% due 2/25/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 3285000 | &nbsp;&nbsp;&nbsp;&nbsp; 2711550 |
|  | &nbsp;&nbsp;&nbsp;Chase Mortgage Finance Corp., Whole Loan Securities Trust CMO, |  |  |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2016-SH1 Class M3, 3.75% due 4/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 2127815 | &nbsp;&nbsp;&nbsp;&nbsp; 1805471 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2016-SH2 Class M3, 3.75% due 12/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 2539271 | &nbsp;&nbsp;&nbsp;&nbsp; 2147492 |
|  | &nbsp;&nbsp;&nbsp;CHNGE Mortgage Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1 Class A1, 3.007% due 1/25/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 15856468 | &nbsp;&nbsp;&nbsp;&nbsp; 14056047 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-2 Class M1, 4.609% due 3/25/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 14163000 | &nbsp;&nbsp;&nbsp;&nbsp; 11647365 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;CIM Trust, Whole Loan Securities Trust CMO, Series 2018-INV1 Class A4, 4.00% due 8/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 831244 | &nbsp;&nbsp;&nbsp;&nbsp; 757629 |
|  | &nbsp;&nbsp;&nbsp;Citigroup Mortgage Loan Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2004-HYB2 Class B1, 3.022% due 3/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 51571 | &nbsp;&nbsp;&nbsp;&nbsp; 45676 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2014-A Class A, 4.00% due 1/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 558837 | &nbsp;&nbsp;&nbsp;&nbsp; 518648 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2014-J1 Class B4, 3.634% due 6/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1489969 | &nbsp;&nbsp;&nbsp;&nbsp; 1222633 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-E Class A1, 6.228% due 11/25/2070 | &nbsp;&nbsp;&nbsp;&nbsp; 6596489 | &nbsp;&nbsp;&nbsp;&nbsp; 6491710 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-J2 Class A7A, 2.50% due 7/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 24456807 | &nbsp;&nbsp;&nbsp;&nbsp; 21251747 |
|  | &nbsp;&nbsp;&nbsp;CSMC Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2013-HYB1 Class B3, 4.589% due 4/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 431440 | &nbsp;&nbsp;&nbsp;&nbsp; 425144 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-AFC1 Class-A1, 0.83% due 3/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 9885216 | &nbsp;&nbsp;&nbsp;&nbsp; 7658348 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-NQM3 Class A1, 1.015% due 4/25/2066 | &nbsp;&nbsp;&nbsp;&nbsp; 12493069 | &nbsp;&nbsp;&nbsp;&nbsp; 10217235 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-NQM8 Class-A1, 1.841% due 10/25/2066 | &nbsp;&nbsp;&nbsp;&nbsp; 16961365 | &nbsp;&nbsp;&nbsp;&nbsp; 14452094 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-ATH2 Class A1, 4.547% due 5/25/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 12809713 | &nbsp;&nbsp;&nbsp;&nbsp; 12306000 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;Deephaven Residential Mortgage Trust, Whole Loan Securities Trust CMO, Series 2021-1 Class A1, 0.715% due 5/25/2065 | &nbsp;&nbsp;&nbsp;&nbsp; 3982797 | &nbsp;&nbsp;&nbsp;&nbsp; 3681529 |
|  | &nbsp;&nbsp;&nbsp;Ellington Financial Mortgage Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-2 Class A1, 2.739% due 11/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 3959846 | &nbsp;&nbsp;&nbsp;&nbsp; 3693818 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-2 Class A1, 0.931% due 6/25/2066 | &nbsp;&nbsp;&nbsp;&nbsp; 11553215 | &nbsp;&nbsp;&nbsp;&nbsp; 9080465 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1 Class A1, 2.206% due 1/25/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 19490957 | &nbsp;&nbsp;&nbsp;&nbsp; 16242560 |
|  | &nbsp;&nbsp;&nbsp;Federal Home Loan Mtg Corp., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool D98887, 3.50% due 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 773362 | &nbsp;&nbsp;&nbsp;&nbsp; 741067 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool G16710, 3.00% due 11/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 318232 | &nbsp;&nbsp;&nbsp;&nbsp; 301790 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool RE6097, 2.00% due 5/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 27722197 | &nbsp;&nbsp;&nbsp;&nbsp; 21989364 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool SE9046, 3.00% due 12/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 24637372 | &nbsp;&nbsp;&nbsp;&nbsp; 21605887 |
|  | &nbsp;&nbsp;&nbsp;Federal Home Loan Mtg Corp., CMO REMIC, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 3195 Class PD, 6.50% due 7/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 224364 | &nbsp;&nbsp;&nbsp;&nbsp; 232338 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 3919 Class VB, 4.00% due 8/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 73996 | &nbsp;&nbsp;&nbsp;&nbsp; 73398 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 3922 Class PQ, 2.00% due 4/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 151548 | &nbsp;&nbsp;&nbsp;&nbsp; 144502 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 4050 Class MV, 3.50% due 8/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 281832 | &nbsp;&nbsp;&nbsp;&nbsp; 280270 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 4120 Class TC, 1.50% due 10/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 607232 | &nbsp;&nbsp;&nbsp;&nbsp; 568974 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

| | |
|:---|:---|
| **Thornburg Limited Term Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;Federal Home Loan Mtg Corp., Multifamily Structured Pass Through Certificates, CMBS, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series K071 Class A2, 3.286% due 11/25/2027 | &nbsp;&nbsp;$4420000 | &nbsp;&nbsp;$4200546 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series K722 Class A2, 2.406% due 3/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 1181091 | &nbsp;&nbsp;&nbsp;&nbsp; 1175007 |
|  | &nbsp;&nbsp;&nbsp;Federal Home Loan Mtg Corp., Seasoned Credit Risk Transfer, Whole Loan Securities Trust CMO, |  |  |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-1 Class HA, 3.00% due 1/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 4678313 | &nbsp;&nbsp;&nbsp;&nbsp; 4374395 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-3 Class HA, 3.25% due 7/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 8234829 | &nbsp;&nbsp;&nbsp;&nbsp; 7748534 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-4 Class HT, 3.25% due 6/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 7554013 | &nbsp;&nbsp;&nbsp;&nbsp; 6884607 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-1 Class HA, 3.00% due 5/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 5038494 | &nbsp;&nbsp;&nbsp;&nbsp; 4682654 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-2 Class HA, 3.00% due 11/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 11584699 | &nbsp;&nbsp;&nbsp;&nbsp; 10843286 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-3 Class HA, 3.00% due 8/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 13775992 | &nbsp;&nbsp;&nbsp;&nbsp; 12844266 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-3 Class MA, 3.50% due 8/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 9132303 | &nbsp;&nbsp;&nbsp;&nbsp; 8663355 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-4 Class HA, 3.00% due 3/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 11482352 | &nbsp;&nbsp;&nbsp;&nbsp; 10687934 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1 Class MA, 3.50% due 7/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 23417317 | &nbsp;&nbsp;&nbsp;&nbsp; 22138723 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-2 Class MA, 3.50% due 8/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 24351974 | &nbsp;&nbsp;&nbsp;&nbsp; 22958581 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-3 Class MA, 3.50% due 10/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 11552603 | &nbsp;&nbsp;&nbsp;&nbsp; 10930257 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-4 Class MA, 3.00% due 2/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 18624129 | &nbsp;&nbsp;&nbsp;&nbsp; 17253966 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1 Class MA, 2.50% due 8/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 3120767 | &nbsp;&nbsp;&nbsp;&nbsp; 2847732 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2 Class A1C, 2.00% due 9/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 25287558 | &nbsp;&nbsp;&nbsp;&nbsp; 22666100 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2 Class A1D, 1.75% due 9/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 33998539 | &nbsp;&nbsp;&nbsp;&nbsp; 30127669 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2 Class MA, 2.00% due 11/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 23409921 | &nbsp;&nbsp;&nbsp;&nbsp; 20936567 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-3 Class MA, 2.00% due 5/25/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 13362628 | &nbsp;&nbsp;&nbsp;&nbsp; 11904663 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-3 Class MT, 2.00% due 5/25/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 3969327 | &nbsp;&nbsp;&nbsp;&nbsp; 3281514 |
|  | &nbsp;&nbsp;&nbsp;Federal Home Loan Mtg Corp., UMBS Collateral, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool RA6808 3.00% due 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 12910544 | &nbsp;&nbsp;&nbsp;&nbsp; 11348589 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool SD1374, 3.00% due 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 14882458 | &nbsp;&nbsp;&nbsp;&nbsp; 13061803 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool SD1588, 5.00% due 9/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 9860800 | &nbsp;&nbsp;&nbsp;&nbsp; 9831891 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool SD1626, 5.00% due 10/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 14879822 | &nbsp;&nbsp;&nbsp;&nbsp; 14861645 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool SD1669, 2.50% due 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 27097383 | &nbsp;&nbsp;&nbsp;&nbsp; 22931309 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool SD8219, 2.50% due 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 25348189 | &nbsp;&nbsp;&nbsp;&nbsp; 21457230 |
|  | &nbsp;&nbsp;&nbsp;Federal Home Loan Mtg Corp., UMBS Collateral , Pool RA7373, 3.00% due 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 5961038 | &nbsp;&nbsp;&nbsp;&nbsp; 5231063 |
|  | &nbsp;&nbsp;&nbsp;Federal Home Loan Mtg Corp., Whole Loan Securities Trust CMO, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2016-SC01 Class 2A, 3.50% due 7/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 995315 | &nbsp;&nbsp;&nbsp;&nbsp; 936090 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-SC01 Class 1A, 3.00% due 12/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 8962124 | &nbsp;&nbsp;&nbsp;&nbsp; 8130345 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-SC02 Class 2A, 3.50% due 5/25/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 616864 | &nbsp;&nbsp;&nbsp;&nbsp; 576672 |
|  | &nbsp;&nbsp;&nbsp;Federal National Mtg Assoc., Pool BM7067, 2.50% due 6/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 3587744 | &nbsp;&nbsp;&nbsp;&nbsp; 3002008 |
|  | &nbsp;&nbsp;&nbsp;Federal National Mtg Assoc., CMO REMIC, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2007-42 Class PA, 5.50% due 4/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 6152 | &nbsp;&nbsp;&nbsp;&nbsp; 6129 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2009-17 Class AH, 0.583% due 3/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 332761 | &nbsp;&nbsp;&nbsp;&nbsp; 270679 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2009-52 Class AJ, 4.00% due 7/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 104 | &nbsp;&nbsp;&nbsp;&nbsp; 103 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2012-129 Class LA, 3.50% due 12/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1379233 | &nbsp;&nbsp;&nbsp;&nbsp; 1275173 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2013-81 Class FW, 4.689% (LIBOR 1 Month + 0.30%) due 1/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 3397332 | &nbsp;&nbsp;&nbsp;&nbsp; 3309025 |
|  | &nbsp;&nbsp;&nbsp;Federal National Mtg Assoc., UMBS Collateral, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool AE0704, 4.00% due 1/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 918784 | &nbsp;&nbsp;&nbsp;&nbsp; 900580 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool AS9749, 4.00% due 6/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 9506 | &nbsp;&nbsp;&nbsp;&nbsp; 9070 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool BM4324, 3.50% due 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2801047 | &nbsp;&nbsp;&nbsp;&nbsp; 2710999 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool BP9550, 2.50% due 7/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 9259 | &nbsp;&nbsp;&nbsp;&nbsp; 8498 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool BP9589, 2.50% due 8/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 786743 | &nbsp;&nbsp;&nbsp;&nbsp; 722067 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool BW8669, 5.00% due 9/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 9132320 | &nbsp;&nbsp;&nbsp;&nbsp; 9015788 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool CB1810, 3.00% due 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 14455874 | &nbsp;&nbsp;&nbsp;&nbsp; 12687039 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool CB3880, 5.00% due 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 5774375 | &nbsp;&nbsp;&nbsp;&nbsp; 5757446 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool FS0898, 3.00% due 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 33694524 | &nbsp;&nbsp;&nbsp;&nbsp; 29646956 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool MA3465, 4.00% due 9/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 3483386 | &nbsp;&nbsp;&nbsp;&nbsp; 3374479 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool MA3953, 2.50% due 3/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 2986432 | &nbsp;&nbsp;&nbsp;&nbsp; 2777205 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool MA4390, 2.00% due 7/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 1397031 | &nbsp;&nbsp;&nbsp;&nbsp; 1270119 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool MA4579, 3.00% due 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 29936933 | &nbsp;&nbsp;&nbsp;&nbsp; 26281655 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool MA4599, 3.00% due 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 18017049 | &nbsp;&nbsp;&nbsp;&nbsp; 15813681 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;Flagstar Mortgage Trust, Whole Loan Securities Trust CMO, Series 2017-1 Class 2A2, 3.00% due 3/25/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1935295 | &nbsp;&nbsp;&nbsp;&nbsp; 1704604 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;FWD Securitization Trust, Whole Loan Securities Trust CMO, Series 2019-INV1 Class A1, 2.81% due 6/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1695151 | &nbsp;&nbsp;&nbsp;&nbsp; 1518451 |
|  | &nbsp;&nbsp;&nbsp;GCAT Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-NQM3 Class A1, 2.686% due 11/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 4447234 | &nbsp;&nbsp;&nbsp;&nbsp; 4124351 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-CM1 Class A, 1.469% due 4/25/2065 | &nbsp;&nbsp;&nbsp;&nbsp; 11605729 | &nbsp;&nbsp;&nbsp;&nbsp; 10882823 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-CM2 Class A1, 2.352% due 8/25/2066 | &nbsp;&nbsp;&nbsp;&nbsp; 23385132 | &nbsp;&nbsp;&nbsp;&nbsp; 21067920 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-NQM4 Class A1, 1.093% due 8/25/2066 | &nbsp;&nbsp;&nbsp;&nbsp; 13755886 | &nbsp;&nbsp;&nbsp;&nbsp; 10613508 |
|  | &nbsp;&nbsp;&nbsp;Government National Mtg Assoc., CMO, Series 2016-32 Class LJ, 2.50% due 12/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 886557 | &nbsp;&nbsp;&nbsp;&nbsp; 875248 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;GS Mortgage-Backed Securities Corp. Trust, Whole Loan Securities Trust CMO, Series 2020-PJ2 Class B3, 3.574% due 7/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5187833 | &nbsp;&nbsp;&nbsp;&nbsp; 4099133 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

| | |
|:---|:---|
| **Thornburg Limited Term Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;Homeward Opportunities Fund Trust, Whole Loan Securities Trust CMO, Series 2022-1 A Class A1, 5.082% due 7/25/2067 | &nbsp;&nbsp;$5786877 | &nbsp;&nbsp;$5642897 |
|  | &nbsp;&nbsp;&nbsp;Imperial Fund Mortgage Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-NQM3 Class A1, 1.595% due 11/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 17184560 | &nbsp;&nbsp;&nbsp;&nbsp; 13848156 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-NQM4 Class A1, 2.091% due 1/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 22863209 | &nbsp;&nbsp;&nbsp;&nbsp; 18864944 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022- NQM1 Class A1, 2.493% due 2/25/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 40250341 | &nbsp;&nbsp;&nbsp;&nbsp; 35290954 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-NQM2 Class A1, 3.638% due 3/25/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 23412637 | &nbsp;&nbsp;&nbsp;&nbsp; 21130543 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-NQM4 Class A, 4.767% due 6/25/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 29209186 | &nbsp;&nbsp;&nbsp;&nbsp; 28336972 |
|  | &nbsp;&nbsp;&nbsp;JPMorgan Mortgage Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2014-IVR3 Class B4, 2.848% due 9/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1940616 | &nbsp;&nbsp;&nbsp;&nbsp; 1866798 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-3 Class B2, 3.711% due 9/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2479789 | &nbsp;&nbsp;&nbsp;&nbsp; 2166162 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-6 Class B2, 3.89% due 12/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1015550 | &nbsp;&nbsp;&nbsp;&nbsp; 854037 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-5 Class B3, 4.485% due 11/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 8041546 | &nbsp;&nbsp;&nbsp;&nbsp; 7063297 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-HYB1 Class B3, 4.184% due 10/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 5607361 | &nbsp;&nbsp;&nbsp;&nbsp; 4829810 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-INV2 Class B3A, 3.75% due 2/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 9302834 | &nbsp;&nbsp;&nbsp;&nbsp; 7238842 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-LTV2 ClassA1, 2.52% due 5/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 38029250 | &nbsp;&nbsp;&nbsp;&nbsp; 29955334 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022- LTV1 Class A1, 3.25% due 7/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 13820955 | &nbsp;&nbsp;&nbsp;&nbsp; 11407243 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-2 Class A6A, 2.50% due 8/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 34142646 | &nbsp;&nbsp;&nbsp;&nbsp; 30332576 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-DSC1 Class A1, 4.75% due 1/25/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 9549267 | &nbsp;&nbsp;&nbsp;&nbsp; 9043752 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;Merrill Lynch Mortgage Investors Trust, Whole Loan Securities Trust CMO, Series 2004-A4 Class M1, 3.516% due 8/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 143855 | &nbsp;&nbsp;&nbsp;&nbsp; 127402 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;Metlife Securitization Trust, Whole Loan Securities Trust CMO, Series 2019-1A Class A1A, 3.75% due 4/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 1381528 | &nbsp;&nbsp;&nbsp;&nbsp; 1338025 |
|  | &nbsp;&nbsp;&nbsp;MFA Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-NQM3 Class A1, 1.014% due 1/26/2065 | &nbsp;&nbsp;&nbsp;&nbsp; 3614217 | &nbsp;&nbsp;&nbsp;&nbsp; 3181200 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-AEI1 Class A4, 2.50% due 8/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 17040809 | &nbsp;&nbsp;&nbsp;&nbsp; 14649707 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV1 Class A1, 0.852% due 1/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 4838975 | &nbsp;&nbsp;&nbsp;&nbsp; 4247412 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV2 Class A1, 1.906% due 11/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 25398641 | &nbsp;&nbsp;&nbsp;&nbsp; 20733350 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-INV1 Class A3, 4.25% due 4/25/2066 | &nbsp;&nbsp;&nbsp;&nbsp; 4995000 | &nbsp;&nbsp;&nbsp;&nbsp; 4054993 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-NQM1 Class A3, 4.20% due 12/25/2066 | &nbsp;&nbsp;&nbsp;&nbsp; 13129000 | &nbsp;&nbsp;&nbsp;&nbsp; 10420817 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;MFRA Trust, Whole Loan Securities Trust CMO, Series 2022-CHM1 Class A1, 3.875% due 9/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 21130210 | &nbsp;&nbsp;&nbsp;&nbsp; 19871053 |
|  | &nbsp;&nbsp;&nbsp;Morgan Stanley Bank of America Merrill Lynch Trust, CMBS, Series 2015-C22 Class A4, 3.306% due 4/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1100000 | &nbsp;&nbsp;&nbsp;&nbsp; 1043520 |
|  | &nbsp;&nbsp;&nbsp;New Residential Mortgage Loan Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-2A Class A3, 4.00% due 3/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 3273647 | &nbsp;&nbsp;&nbsp;&nbsp; 3067118 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-3A Class A1, 4.00% due 4/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 3997174 | &nbsp;&nbsp;&nbsp;&nbsp; 3772164 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-4A Class A1, 4.00% due 5/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 4306041 | &nbsp;&nbsp;&nbsp;&nbsp; 4001700 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-5A Class A1, 5.889% (LIBOR 1 Month + 1.50%) due 6/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 315804 | &nbsp;&nbsp;&nbsp;&nbsp; 308801 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-6A Class A1, 4.00% due 8/27/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 1955109 | &nbsp;&nbsp;&nbsp;&nbsp; 1826740 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-1A Class A1A, 4.00% due 12/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 2340154 | &nbsp;&nbsp;&nbsp;&nbsp; 2194596 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-2A Class A1, 4.50% due 2/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 4138129 | &nbsp;&nbsp;&nbsp;&nbsp; 3973292 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-RPL1 Class A1, 3.50% due 12/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 2356335 | &nbsp;&nbsp;&nbsp;&nbsp; 2220609 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-NQM3 Class A1, 3.90% due 4/25/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 42428531 | &nbsp;&nbsp;&nbsp;&nbsp; 38748412 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;OBX Trust, Whole Loan Securities Trust CMO, Series 2021-NQM2 Class A1, 1.101% due 5/25/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 19359033 | &nbsp;&nbsp;&nbsp;&nbsp; 14561536 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;Onslow Bay Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2021-NQM4 Class A1, 1.957% due 10/25/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 48890504 | &nbsp;&nbsp;&nbsp;&nbsp; 38832776 |
|  | &nbsp;&nbsp;&nbsp;PRKCM Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-AFC1 Class A1, 1.51% due 8/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 32031150 | &nbsp;&nbsp;&nbsp;&nbsp; 25263343 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-AFC2 Class A1, 2.071% due 11/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 17788325 | &nbsp;&nbsp;&nbsp;&nbsp; 14738921 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;PRPM Trust, Whole Loan Securities Trust CMO, Series 2022-INV1 Class A1, 4.40% due 4/25/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 33992393 | &nbsp;&nbsp;&nbsp;&nbsp; 32189167 |
|  | &nbsp;&nbsp;&nbsp;RAMP Trust, Whole Loan Securities Trust CMO, Series 2003-SL1 Class A31, 7.125% due 4/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 363522 | &nbsp;&nbsp;&nbsp;&nbsp; 361616 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;Rate Mortgage Trust, Whole Loan Securities Trust CMO, Series 2022-J1 Class A9, 2.50% due 1/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 52513455 | &nbsp;&nbsp;&nbsp;&nbsp; 44960970 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;RCKT Mortgage Trust, Whole Loan Securities Trust CMO, Series 2020-1 Class B3, 3.472% due 2/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3136365 | &nbsp;&nbsp;&nbsp;&nbsp; 2543158 |
|  | &nbsp;&nbsp;&nbsp;Seasoned Loans Structured Transaction Trust, Whole Loan Securities Trust CMO, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-2 Class A1C, 2.75% due 9/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 16544116 | &nbsp;&nbsp;&nbsp;&nbsp; 15214816 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-3 Class A1C, 2.75% due 11/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2800218 | &nbsp;&nbsp;&nbsp;&nbsp; 2570569 |
|  | &nbsp;&nbsp;&nbsp;Sequoia Mortgage Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2013-6 Class B4, 3.511% due 5/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 716584 | &nbsp;&nbsp;&nbsp;&nbsp; 490649 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2013-7 Class B4, 3.502% due 6/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 511997 | &nbsp;&nbsp;&nbsp;&nbsp; 387176 |
|  | &nbsp;&nbsp;&nbsp;SG Residential Mortgage Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-3 Class A1, 2.703% due 9/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 530401 | &nbsp;&nbsp;&nbsp;&nbsp; 515046 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-3 Class A3, 3.082% due 9/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 921708 | &nbsp;&nbsp;&nbsp;&nbsp; 893419 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2 Class A1, 1.381% due 5/25/2065 | &nbsp;&nbsp;&nbsp;&nbsp; 10881746 | &nbsp;&nbsp;&nbsp;&nbsp; 9586598 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2 Class A2, 1.587% due 5/25/2065 | &nbsp;&nbsp;&nbsp;&nbsp; 2114317 | &nbsp;&nbsp;&nbsp;&nbsp; 1815974 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2 Class A3, 1.895% due 5/25/2065 | &nbsp;&nbsp;&nbsp;&nbsp; 721851 | &nbsp;&nbsp;&nbsp;&nbsp; 593115 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-2 Class A1, 1.737% due 12/25/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 16025520 | &nbsp;&nbsp;&nbsp;&nbsp; 12814910 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;Shellpoint Asset Funding Trust, Whole Loan Securities Trust CMO, Series 2013-1 Class A1, 3.75% due 7/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 917038 | &nbsp;&nbsp;&nbsp;&nbsp; 823157 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;Spruce Hill Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2020-SH1 Class A1, 2.521% due 1/28/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1560534 | &nbsp;&nbsp;&nbsp;&nbsp; 1540980 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;Starwood Mortgage Residential Trust, Whole Loan Securities Trust CMO, Series 2021-5 Class A1, 1.92% due 9/25/2066 | &nbsp;&nbsp;&nbsp;&nbsp; 44724214 | &nbsp;&nbsp;&nbsp;&nbsp; 36017876 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

| | |
|:---|:---|
| **Thornburg Limited Term Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;Structured Asset Securities Corp., Mortgage Pass-Through Certificates, Whole Loan Securities Trust CMO, Series 2003-9A Class 2A2, 3.857% due 3/25/2033 | &nbsp;&nbsp;$313225 | &nbsp;&nbsp;$301557 |
|  | &nbsp;&nbsp;&nbsp;Towd Point Mortgage Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2016-5 Class A1, 2.50% due 10/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 980440 | &nbsp;&nbsp;&nbsp;&nbsp; 963980 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-1 Class A1, 2.75% due 10/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 486785 | &nbsp;&nbsp;&nbsp;&nbsp; 478598 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-1 Class A1, 3.00% due 1/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 358830 | &nbsp;&nbsp;&nbsp;&nbsp; 345989 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-2 Class A1, 3.25% due 3/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 15335158 | &nbsp;&nbsp;&nbsp;&nbsp; 14676221 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-3 Class A1, 3.75% due 5/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 2877881 | &nbsp;&nbsp;&nbsp;&nbsp; 2720713 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-6 Class A1A, 3.75% due 3/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 9535350 | &nbsp;&nbsp;&nbsp;&nbsp; 9254379 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-HY2 Class A1, 5.389% (LIBOR 1 Month + 1.00%) due 5/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 12348318 | &nbsp;&nbsp;&nbsp;&nbsp; 12232391 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;TRK Trust, Whole Loan Securities Trust CMO, Series 2022-INV2 Class A1, 4.35% due 6/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 25595179 | &nbsp;&nbsp;&nbsp;&nbsp; 23968789 |
|  | &nbsp;&nbsp;&nbsp;Verus Securitization Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1 Class M1, 3.021% due 1/25/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 3732356 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2 Class M1, 5.36% due 5/25/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 3275000 | &nbsp;&nbsp;&nbsp;&nbsp; 2995172 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-R1 Class A1, 0.82% due 10/25/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 7380758 | &nbsp;&nbsp;&nbsp;&nbsp; 6710489 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;Vista Point Securitization Trust, Whole Loan Securities Trust CMO, Series 2020-2 Class A1, 1.475% due 4/25/2065 | &nbsp;&nbsp;&nbsp;&nbsp; 5323752 | &nbsp;&nbsp;&nbsp;&nbsp; 4677404 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;WinWater Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2015-3 Class B4, 3.851% due 3/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 1153654 | &nbsp;&nbsp;&nbsp;&nbsp; 1033678 |
|  | &nbsp;&nbsp;&nbsp;Total Mortgage Backed (Cost $1,631,229,726) |  | &nbsp;&nbsp;&nbsp;&nbsp;1458567122 |
|  | **Short-Term Investments — 3.4%** |  |  |
| **<sup>g</sup>** | &nbsp;&nbsp;&nbsp;Thornburg Capital Management Fund | &nbsp;&nbsp;&nbsp;&nbsp; 25154938 | &nbsp;&nbsp;&nbsp;&nbsp; 251549386 |
|  | &nbsp;&nbsp;&nbsp;Total Short-Term Investments (Cost $251,549,386) |  | &nbsp;&nbsp;&nbsp;&nbsp; 251549386 |
|  | **Total Investments — 99.7% (Cost $8,041,400,105)** |  | &nbsp;&nbsp;$7378673327 |
|  | **Other Assets Less Liabilities — 0.3%** |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25603830 |
|  | **Net Assets — 100.0%** |  | &nbsp;&nbsp;$7404277157 |

---

---

| | |
|:---|:---|
| **Footnote Legend** | **Footnote Legend** |
| a | Security currently fair valued by the Valuation and Pricing Committee using procedures approved by the Trustees' Audit Committee. |
| 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, 2022. |
| 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, 2022, the aggregate value of these securities in the Fund's portfolio was $3,632,165,624, representing 49.05% of the Fund's net assets. |
| d | Yankee bond denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations. |
| e | Bond in default. |
| f | Non-income producing. |
| g | Investment in Affiliates. |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

| | |
|:---|:---|
| **Thornburg Limited Term Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

Portfolio Abbreviations<br> To simplify the listings of securities, abbreviations are used per the table below:

---

| | |
|:---|:---|
| BSBY3M | Bloomberg Short Term Bank Yield 3 Month |
| CMBS | Commercial Mortgage-Backed Securities |
| CMO | Collateralized Mortgage Obligation |
| DAC | Designated Activity Company |
| GO | General Obligation |
| H15T1Y | US Treasury Yield Curve Rate T-Note Constant Maturity 1 Year |
| LIBOR | London Interbank Offered Rates |
| Mtg | Mortgage |

---

---

| | |
|:---|:---|
| REMIC | Real Estate Mortgage Investment Conduit |
| SOFR | Secured Overnight Financing Rate |
| SOFR30A | Secured Overnight Financing Rate 30-Day Average |
| SOFRINDX | Secured Overnight Financing Rate Index |
| SPV | Special Purpose Vehicle |
| TSFR3M | Term SOFR 3 Month |
| UMBS | Uniform Mortgage Backed Securities |

---

------

NOTES TO SCHEDULE OF INVESTMENTS

---

| | |
|:---|:---|
| **Thornburg Limited Term Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

#### NOTE 1 – ORGANIZATION
Thornburg Limited Term 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 eight classes of shares of beneficial interest: Class A, Class C, Class C2, Institutional Class ("Class I"), and Retirement Classes ("Class R3", "Class R4", "Class R5", and "Class R6").

#### NOTE 2 – SECURITY VALUATION
Valuation of the Fund's portfolio investment securities is performed by Thornburg Investment Management, Inc., the Trust's investment advisor (the "Advisor"), which has been designated by the Trustees of the Trust 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 in accordance with policies and procedures that have been adopted by the Advisor and approved by the Trustees of the Trust (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.

<u>Valuation of Securities:</u> Securities and other portfolio investments which are listed or traded on a United States securities exchange are generally valued at the last reported sale price on the valuation date or, if there has been no sale of the investment on that date, at the mean between the last reported bid and asked prices for the investment on that date. Portfolio investments reported by NASDAQ are valued at the official closing price on the valuation date. If an investment is traded on more than one exchange, the investment is considered traded on the exchange that is normally the primary market for that investment. For securities and other portfolio investments which are primarily listed or traded on an exchange outside the United States, the time for determining the investment's value in accordance with the first sentence of this paragraph will be the close of that investment's primary exchange preceding the Fund's valuation time.

In any case when a market quotation is not readily available for a portfolio investment ordinarily valued by market quotation, the Committee calculates a fair value for the investment using methodologies selected and approved by the Committee as described in the Valuation Policy and Procedures, subject to changes or additions by the Committee. For this purpose, a market quotation is considered to be readily available if it is a quoted price (unadjusted) in active markets for identical investments that the Fund can access at the measurement date. Pursuant to the Valuation Policy and Procedures, the Committee shall monitor for circumstances that may necessitate the use of fair valuation methodologies, including circumstances in which a market quotation for an investment is no longer reliable or is otherwise not readily available. For that purpose, a market quotation is not readily available when the primary market or exchange for the applicable investment is not open for the entire scheduled day of trading. A market quotation may also not be readily available if: (a) developments occurring after the most recent close of the applicable investment's primary exchange, but prior to the close of business on any business day; or (b) an unusual event or significant period of time occurring since the availability of the market quotation, create a serious question concerning the reliability of that market quotation. Additionally, a market quotation will be considered unreliable if it would require adjustment under GAAP, or where GAAP would require consideration of additional inputs in determining the value of the investment. The Committee customarily obtains valuations in those instances from pricing service providers approved by the Committee. Such pricing service providers ordinarily calculate valuations using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data, and other data.

Investments in U.S. mutual funds are valued at net asset value ("NAV") each business day.

------

NOTES TO SCHEDULE OF INVESTMENTS, Continued

---

| | |
|:---|:---|
| **Thornburg Limited Term Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

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.

#### 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<br> 9/30/22** | &nbsp;&nbsp;**Purchases<br> at Cost** | &nbsp;&nbsp;**Sales<br> Proceeds** | &nbsp;&nbsp;**Realized<br> Gain<br> (Loss)** | &nbsp;&nbsp;**Change in<br> Unrealized<br> Appr./(Depr.)** | &nbsp;&nbsp;**Market Value<br> 12/31/22** | &nbsp;&nbsp;**Dividend<br> Income** |
| Thornburg Capital Mgmt. Fund | $118768589 | &nbsp;&nbsp;$692425601 | &nbsp;&nbsp;$(559644804) | &nbsp;&nbsp;$- | &nbsp;&nbsp;$- | &nbsp;&nbsp;$251549386 | &nbsp;&nbsp;$1993121 |

---

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** THORNBURG INVESTMENT TRUST

- **b. Investment Company Act file number:** 811-05201

- **c. CIK number of Registrant:** 0000816153

- **d. LEI of Registrant:** 5493001XM52H8S4WYY82

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 2300 NORTH RIDGETOP ROAD

  - **City:** SANTA FE

  - **State:** NM

  - **Foreign country:** US

  - **Zip / Postal Code:** 87506-8361

  - **Telephone number:** 505-984-0200

**Item A.2. Information about the Series.**

- **a. Name of Series:** Thornburg Limited Term Income Fund

- **b. EDGAR series identifier (if any):** S000011845

- **c. LEI of Series:** 549300TTKQL3842TC885

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2023-09-30

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $7429957113.49

**Total Liabilities:** $27929763.42

**Net Assets:** $7402027350.07

**Cash Not Reported:** $238749.79

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** -15042.05000000 | **1-Year:** -320145.69000000 | **5-Year:** -778920.66000000 | **10-Year:** -480619.03000000 | **30-Year:** -59636.13000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** -12792.17000000 | **1-Year:** -91954.40000000 | **5-Year:** -174294.91000000 | **10-Year:** -133882.25000000 | **30-Year:** -23088.66000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000113848 | -0.68%               | 2.04%                | 0.03%                |
| Class ID C000042668 | -0.72%               | 1.99%                | -0.01%               |
| Class ID C000032358 | -0.80%               | 2.00%                | -0.02%               |
| Class ID C000136849 | -0.72%               | 1.91%                | 0.07%                |
| Class ID C000177478 | -0.67%               | 1.96%                | 0.11%                |
| Class ID C000032359 | -0.68%               | 1.95%                | 0.11%                |
| Class ID C000032357 | -0.78%               | 2.01%                | 0.00%                |
| Class ID C000222325 | -0.83%               | 1.98%                | -0.04%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-34887638.10            | $-37415732.17                              |
| Month 2  | $-15673002.98            | $149107878.06                              |
| Month 3  | $-2449878.17             | $-10992089.24                              |

### Schedule of Portfolio Investments

| Name                                                 | Title                                                                        | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Micron Technology Inc                                | Micron Technology Inc                                                        | CUSIP: 595112BN2<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |   7690000 | PA      | $7380016.10   | 0.10%             | 2029-02-06      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| MISSISSIPPI POWE                                     | Mississippi Power Co                                                         | CUSIP: 605417CC6<br>LEI: LNZ0J6YZ5SC6ILIRU850 | Long             | DBT              | CORP              | US        |   6780000 | PA      | $6631653.60   | 0.09%             | 2024-06-28      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                  | American Tower Corp                                                          | CUSIP: 03027XBJ8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |  15000000 | PA      | $12424950.00  | 0.17%             | 2028-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                               | NextEra Energy Capital Holdings Inc                                          | CUSIP: 65339KBU3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   3333000 | PA      | $3310702.23   | 0.04%             | 2023-03-01      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                             | Warnermedia Holdings Inc                                                     | CUSIP: 55903VAB9<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |  10415000 | PA      | $10092030.85  | 0.14%             | 2024-03-15      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Upstart Structured Pass-Through Trust                | Upstart Structured Pass-Through Trust                                        | CUSIP: 91680YAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  22768364 | PA      | $21575461.33  | 0.29%             | 2030-04-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                         | Drive Auto Receivables Trust 2019-1                                          | CUSIP: 26208NAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5294831 | PA      | $5281776.30   | 0.07%             | 2026-06-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| LSEGA FINANCING PLC                                  | LSEGA Financing PLC                                                          | CUSIP: 50220PAB9<br>LEI: 2138009YFYTGEHZNNZ09 | Long             | DBT              | CORP              | GB        |   9720000 | PA      | $8569540.80   | 0.12%             | 2026-04-06      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                         | Broadcom Inc                                                                 | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   6583000 | PA      | $4751214.42   | 0.06%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                              | Jersey Central Power & Light Co                                              | CUSIP: 476556DC6<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |   9414000 | PA      | $9086392.80   | 0.12%             | 2026-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| SKYWORKS SOLUTIONS INC                               | Skyworks Solutions Inc                                                       | CUSIP: 83088MAK8<br>LEI: 549300WZ3ORQ2BVKBD96 | Long             | DBT              | CORP              | US        |   3574000 | PA      | $3146120.72   | 0.04%             | 2026-06-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                      | SBA Tower Trust                                                              | CUSIP: 78403DAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4610000 | PA      | $4404808.90   | 0.06%             | 2049-10-15      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                            | CIM Trust 2018-INV1                                                          | CUSIP: 12553XAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    831244 | PA      | $757629.07    | 0.01%             | 2048-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                             | CUSIP: 3133SKBP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24637372 | PA      | $21605887.21  | 0.29%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Estate Notes               | Greystone CRE Notes 2021-FL3 Ltd                                             | CUSIP: 39809PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  13382000 | PA      | $12722564.48  | 0.17%             | 2039-07-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                        | Citigroup Inc                                                                | CUSIP: 172967KN0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2425000 | PA      | $2302246.50   | 0.03%             | 2026-05-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                             | CUSIP: 912828YS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27136000 | PA      | $23676160.00  | 0.32%             | 2029-11-15      | Fixed         | 1.75%                 | No            |                  1 | On Loan: No      |
| RGA GLOBAL FUNDING                                   | RGA Global Funding                                                           | CUSIP: 76209PAB9<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |  11803000 | PA      | $9996550.85   | 0.14%             | 2029-01-18      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| COLORADO INT GAS CO/ISS                              | Colorado Interstate Gas Co LLC / Colorado Interstate Issuing Corp            | CUSIP: 196500AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9092000 | PA      | $8689588.08   | 0.12%             | 2026-08-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Transelec SA                                         | Transelec SA                                                                 | CUSIP: 89366LAA2<br>LEI: 549300DPF7MAL5F6CR86 | Long             | DBT              | CORP              | CL        |   2880000 | PA      | $2868681.60   | 0.04%             | 2023-07-26      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                    | Citigroup Mortgage Loan Trust 2014-A                                         | CUSIP: 17322GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    558838 | PA      | $518648.22    | 0.01%             | 2035-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                           | CUSIP: 31396UCL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    224364 | PA      | $232338.16    | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| QORVO INC                                            | Qorvo Inc                                                                    | CUSIP: 74736KAJ0<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |  14210000 | PA      | $11525731.00  | 0.16%             | 2031-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY LP                                    | Vornado Realty LP                                                            | CUSIP: 929043AL1<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              |  | US        |   2916000 | PA      | $2163672.00   | 0.03%             | 2031-06-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs    | United States Small Business Administration                                  | CUSIP: 83162CUB7<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    316217 | PA      | $298223.58    | 0.00%             | 2031-06-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                   | Aqua Finance Trust 2021-A                                                    | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13717385 | PA      | $12318586.97  | 0.17%             | 2046-07-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs    | United States Small Business Administration                                  | CUSIP: 83162CSX2<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   1347063 | PA      | $1284132.57   | 0.02%             | 2029-11-01      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| EBAY INC                                             | eBay Inc                                                                     | CUSIP: 278642BC6<br>LEI: OML71K8X303XQONU6T67 | Long             | DBT              | CORP              | US        |  14800000 | PA      | $15134776.00  | 0.20%             | 2025-11-22      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                              | Southern Co Gas Capital Corp                                                 | CUSIP: 8426EPAF5<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |  12206000 | PA      | $11991052.34  | 0.16%             | 2032-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                     | Crown Castle Inc                                                             | CUSIP: 22822VAV3<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |   6222000 | PA      | $5385078.78   | 0.07%             | 2026-07-15      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                              | American Electric Power Co Inc                                               | CUSIP: 025537AK7<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   3898000 | PA      | $3752916.44   | 0.05%             | 2024-03-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                              | GA Global Funding Trust                                                      | CUSIP: 36143L2J3<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |  11960000 | PA      | $11462583.60  | 0.15%             | 2025-04-11      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                           | Verus Securitization Trust 2021-R1                                           | CUSIP: 92538BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7380758 | PA      | $6710489.14   | 0.09%             | 2063-10-25      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                  | Starwood Mortgage Residential Trust 2021-5                                   | CUSIP: 85573QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  44724214 | PA      | $36017876.46  | 0.49%             | 2066-09-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| Pawnee Equipment Receivables                         | Pawnee Equipment Receivables Series 2020-1 LLC                               | CUSIP: 70410LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1730897 | PA      | $1709112.34   | 0.02%             | 2025-11-17      | Fixed         | 1.37%                 | No            |                  2 | On Loan: No      |
| Freedom Financial                                    | FREED ABS Trust 2022-3FP                                                     | CUSIP: 35634EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4522562 | PA      | $4505369.41   | 0.06%             | 2029-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VONTIER CORP                                         | Vontier Corp                                                                 | CUSIP: 928881AD3<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |   5266000 | PA      | $4157033.06   | 0.06%             | 2028-04-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Inflation Indexed Bonds                               | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16022541 | PA      | $14134787.81  | 0.19%             | 2031-07-15      | Fixed         | 0.13%                 | No            |                  1 | On Loan: No      |
| EXTRA SPACE STORAGE LP                               | Extra Space Storage LP                                                       | CUSIP: 30225VAH0<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |   4920000 | PA      | $4416536.40   | 0.06%             | 2029-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                             | JP Morgan Mortgage Trust 2019-HYB1                                           | CUSIP: 46651FAT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5607361 | PA      | $4829810.03   | 0.07%             | 2049-10-25      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEXAS INC                                    | Entergy Texas Inc                                                            | CUSIP: 29365TAL8<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |   8640000 | PA      | $7532179.20   | 0.10%             | 2026-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| KIA CORP                                             | Kia Corp                                                                     | CUSIP: 49374JAC7<br>LEI: 988400V8MJK9N7OI5X76 | Long             | DBT              | CORP              | KR        |   9800000 | PA      | $9127034.00   | 0.12%             | 2025-02-14      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| MARTIN MARIETTA MATERIAL                             | Martin Marietta Materials Inc                                                | CUSIP: 573284AY2<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |  14635000 | PA      | $14259465.90  | 0.19%             | 2023-07-15      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust 2017-4                                   | CUSIP: 64829NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4306041 | PA      | $4001699.87   | 0.05%             | 2057-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CAPITAL CORP                                | Owl Rock Capital Corp                                                        | CUSIP: 69121KAG9<br>LEI: 2549000BD79OOCPF2L94 | Long             | DBT              | CORP              | US        |  20499000 | PA      | $16227418.38  | 0.22%             | 2028-06-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                              | CUSIP: 31418EDD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18017049 | PA      | $15813681.19  | 0.21%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PPL ELECTRIC UTI                                     | PPL Electric Utilities Corp                                                  | CUSIP: 69351UAY9<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |   5094000 | PA      | $5027879.88   | 0.07%             | 2024-06-24      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                     | SMB Private Education Loan Trust 2015-A                                      | CUSIP: 78448PAD2<br>LEI: 549300GMVSOGAWY1JE39 | Long             | ABS-O            | CORP              | US        |   2706551 | PA      | $2706864.55   | 0.04%             | 2032-02-17      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                             | Foundation Finance Trust 2021-2                                              | CUSIP: 35042PAA8<br>LEI: 54930021B3TF4B4HKE86 | Long             | ABS-O            | CORP              | US        |  12793788 | PA      | $11738545.64  | 0.16%             | 2042-01-15      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                    | Imperial Fund Mortgage Trust 2021-NQM4                                       | CUSIP: 45276JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22863209 | PA      | $18864944.17  | 0.25%             | 2057-01-25      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| RENESAS ELECTRONICS CORP                             | Renesas Electronics Corp                                                     | CUSIP: 75972BAA9<br>LEI: 5299000EPC47VJQOFB81 | Long             | DBT              | CORP              | JP        |  17721000 | PA      | $16229777.85  | 0.22%             | 2024-11-26      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                      | SBA Tower Trust                                                              | CUSIP: 78403DAZ3<br>LEI: N/A                  | Long             | DBT              |  | US        |   7950000 | PA      | $7962453.68   | 0.11%             | 2028-01-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                   | Seasoned Credit Risk Transfer Trust Series 2018-1                            | CUSIP: 35563PDU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5038494 | PA      | $4682654.32   | 0.06%             | 2057-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                  | SG Residential Mortgage Trust 2020-2                                         | CUSIP: 81882JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    721851 | PA      | $593115.00    | 0.01%             | 2065-05-25      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| Bunker Hill Loan Depositary Trust 2020-1             | Bunker Hill Loan Depositary Trust 2020-1                                     | CUSIP: 12062RAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3285000 | PA      | $2711550.30   | 0.04%             | 2055-02-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                  | Global Payments Inc                                                          | CUSIP: 37940XAF9<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   5624000 | PA      | $5233019.52   | 0.07%             | 2024-11-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ENSTAR GROUP LTD                                     | Enstar Group Ltd                                                             | CUSIP: 29359UAC3<br>LEI: 213800AMAL5QFXVUCN04 | Long             | DBT              | CORP              | BM        |  10106000 | PA      | $7379199.08   | 0.10%             | 2031-09-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                            | CUSIP: 31396VV39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6152 | PA      | $6129.20      | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DaVinciRe Holdings Ltd                               | DaVinciRe Holdings Ltd                                                       | CUSIP: 238791AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |  10260000 | PA      | $10028534.40  | 0.14%             | 2025-05-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ADVANCE AUTO PARTS                                   | Advance Auto Parts Inc                                                       | CUSIP: 00751YAF3<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |   4763000 | PA      | $4001301.04   | 0.05%             | 2027-10-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                        | Citigroup Inc                                                                | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   7315000 | PA      | $6723874.85   | 0.09%             | 2031-03-31      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Inflation Indexed Bonds                               | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 126746944 | PA      | $115972464.32 | 1.57%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  1 | On Loan: No      |
| Towd Point Mortgage Trust                            | Towd Point Mortgage Trust 2019-HY2                                           | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12348318 | PA      | $12232391.10  | 0.17%             | 2058-05-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| FIRST AMERICAN FINANCIAL                             | First American Financial Corp                                                | CUSIP: 31847RAG7<br>LEI: 549300B6VEZK3N0A1P55 | Long             | DBT              | CORP              | US        |   4845000 | PA      | $4089519.15   | 0.06%             | 2030-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New Jersey Transportation Trust Fund Authority       | NEW JERSEY ST TRANSPRTN TRUST FUND AUTH                                      | CUSIP: 6461366Q9<br>LEI: 549300YUVD5TEXR6L889 | Long             | DBT              | MUN               | US        |    860000 | PA      | $830360.10    | 0.01%             | 2024-06-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                               | Mosaic Solar Loan Trust 2019-1                                               | CUSIP: 61946CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1213573 | PA      | $1091389.08   | 0.01%             | 2043-12-21      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                | Arroyo Mortgage Trust 2019-1                                                 | CUSIP: 042859AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4850776 | PA      | $4465284.10   | 0.06%             | 2049-01-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                              | CUSIP: 31419AYA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    918784 | PA      | $900579.91    | 0.01%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OGE ENERGY CORP                                      | OGE Energy Corp                                                              | CUSIP: 670837AC7<br>LEI: CE5OG6JPOZMDSA0LAQ19 | Long             | DBT              | CORP              | US        |   6063000 | PA      | $5954775.45   | 0.08%             | 2023-05-26      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS FINAN NA                              | Daimler Trucks Finance North America LLC                                     | CUSIP: 233853AE0<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |  10414000 | PA      | $10279346.98  | 0.14%             | 2024-12-13      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                              | Goldman Sachs Group Inc/The                                                  | CUSIP: 38141GZJ6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   6322000 | PA      | $6221985.96   | 0.08%             | 2025-01-24      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                   | Seasoned Loans Structured Transaction Trust Series 2020-2                    | CUSIP: 35564CGQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  25287558 | PA      | $22666100.35  | 0.31%             | 2030-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                  | Dominion Energy Inc                                                          | CUSIP: 25746UDR7<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |  19385000 | PA      | $19260936.00  | 0.26%             | 2032-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                     | T-Mobile USA Inc                                                             | CUSIP: 87264ABR5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   4275000 | PA      | $3893328.00   | 0.05%             | 2026-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BECLE SA DE CV                                       | Becle SAB de CV                                                              | CUSIP: 07586PAA9<br>LEI: 529900JY55CZKMJLCE09 | Long             | DBT              | CORP              | MX        |  28038000 | PA      | $21630756.24  | 0.29%             | 2031-10-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                            | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22                  | CUSIP: 61690FAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1043520.09   | 0.01%             | 2048-04-15      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| NBN CO LTD                                           | NBN Co Ltd                                                                   | CUSIP: 62878U2A9<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | CORP              | AU        |  29450000 | PA      | $26037334.00  | 0.35%             | 2026-05-05      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                              | Dell International LLC / EMC Corp                                            | CUSIP: 24703TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  14874000 | PA      | $14652972.36  | 0.20%             | 2026-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BRE Grand Islander Timeshare Issuer                  | BRE Grand Islander Timeshare Issuer 2017-A LLC                               | CUSIP: 05584AAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1109612 | PA      | $1060191.96   | 0.01%             | 2029-05-25      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| WILLIS NORTH AMERICA INC                             | Willis North America Inc                                                     | CUSIP: 970648AL5<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |  14331000 | PA      | $13859223.48  | 0.19%             | 2027-06-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| New Residential Advance Receivables Trust Advance    | NRZ Advance Receivables Trust 2015-ON1                                       | CUSIP: 62942QCX9<br>LEI: 549300RNWDDBV4LFKJ17 | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2878353.30   | 0.04%             | 2053-09-15      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                         | NiSource Inc                                                                 | CUSIP: 65473PAK1<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |  11850000 | PA      | $10688581.50  | 0.14%             | 2025-08-15      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                     | SMB Private Education Loan Trust 2017-B                                      | CUSIP: 83189DAC4<br>LEI: 549300NWENTZ8X7JUC78 | Long             | ABS-O            | CORP              | US        |   1017833 | PA      | $1003524.10   | 0.01%             | 2035-10-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                   | Chase Mortgage Finance Corp                                                  | CUSIP: 16164AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2539271 | PA      | $2147491.66   | 0.03%             | 2045-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| ACC Trust                                            | ACC Trust 2022-1                                                             | CUSIP: 00091HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4191965 | PA      | $4144229.96   | 0.06%             | 2024-09-20      | Fixed         | 1.19%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                                   | CNO Global Funding                                                           | CUSIP: 18977W2A7<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |   9414000 | PA      | $8335249.74   | 0.11%             | 2026-10-07      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Entergy Mississippi LLC                              | Entergy Mississippi LLC                                                      | CUSIP: 29364NAU2<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |   4727000 | PA      | $4274437.02   | 0.06%             | 2027-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                               | Motorola Solutions Inc                                                       | CUSIP: 620076BT5<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |   1582000 | PA      | $1241253.02   | 0.02%             | 2030-11-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| HORACE MANN EDUCATORS CO                             | Horace Mann Educators Corp                                                   | CUSIP: 440327AK0<br>LEI: 254900G5YAV3A2YK8T32 | Long             | DBT              | CORP              | US        |   6533000 | PA      | $6261227.20   | 0.08%             | 2025-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                    | HSBC Holdings PLC                                                            | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   3500000 | PA      | $2826845.00   | 0.04%             | 2029-08-17      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TR BK LT                             | Sumitomo Mitsui Trust Bank Ltd                                               | CUSIP: 86563VAU3<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |   6550000 | PA      | $6195317.50   | 0.08%             | 2024-03-25      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST GAS CORP                                   | Southwest Gas Corp                                                           | CUSIP: 845011AE5<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |  13150000 | PA      | $11531498.00  | 0.16%             | 2032-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| GENPACT LUXEMBOURG SARL                              | Genpact Luxembourg Sarl                                                      | CUSIP: 37254BAC4<br>LEI: 549300875ZJZQ1PBR343 | Long             | DBT              | CORP              | LU        |   4350000 | PA      | $4162036.50   | 0.06%             | 2024-12-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                  | Petroleos Mexicanos                                                          | CUSIP: 71654QBS0<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   2590000 | PA      | $2493574.30   | 0.03%             | 2025-04-15      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON INGALLS INDUS                             | Huntington Ingalls Industries Inc                                            | CUSIP: 446413AZ9<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |  17717000 | PA      | $14607134.99  | 0.20%             | 2028-08-16      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO                                 | Appalachian Power Co                                                         | CUSIP: 037735DA2<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |   6337000 | PA      | $5930544.82   | 0.08%             | 2032-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                | Entergy Louisiana LLC                                                        | CUSIP: 29364WBF4<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |   3963000 | PA      | $3814546.02   | 0.05%             | 2023-11-17      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                           | Upstart Pass-Through Trust Series 2021-ST6                                   | CUSIP: 91680VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3889310 | PA      | $3593709.84   | 0.05%             | 2027-08-20      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                    | Citigroup Mortgage Loan Trust 2014-J1                                        | CUSIP: 17322NAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1489969 | PA      | $1222633.40   | 0.02%             | 2044-06-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                  | Homeward Opportunities Fund Trust 2022-1                                     | CUSIP: 43789KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5786878 | PA      | $5642897.41   | 0.08%             | 2067-07-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| CFG Investments Limited                              | CFG Investments Ltd                                                          | CUSIP: 12528GAD4<br>LEI: 549300C3OD89QRWQ1Y92 | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5778262.20   | 0.08%             | 2032-05-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GEN LUX SARL/GEN USA INC                             | Genpact Luxembourg SARL/Genpact USA Inc                                      | CUSIP: 37190AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   9063000 | PA      | $8072957.88   | 0.11%             | 2026-04-10      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                   | Seasoned Credit Risk Transfer Trust 2017-4                                   | CUSIP: 35563PDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7554013 | PA      | $6884606.66   | 0.09%             | 2057-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust 2019-3                                   | CUSIP: 30167EAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1361999 | PA      | $1334189.21   | 0.02%             | 2025-08-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| HERCULES CAPITAL INC                                 | Hercules Capital Inc                                                         | CUSIP: 427096AH5<br>LEI: 549300UJ5OC256GR2B73 | Long             | DBT              | CORP              | US        |  14120000 | PA      | $11910220.00  | 0.16%             | 2026-09-16      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                   | Seasoned Credit Risk Transfer Trust Series 2020-3                            | CUSIP: 35563PSC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13362628 | PA      | $11904663.42  | 0.16%             | 2060-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GABELLI DVD & INC TR                                 | Gabelli Dividend & Income Trust/The                                          | CUSIP: 36242H872<br>LEI: 549300082N1MHBT8NI60 | Long             | EP               | CORP              | US        |      1162 | NS      | $29012816.00  | 0.39%             |  |  |  | No            |                  3 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                              | Hyundai Capital America                                                      | CUSIP: 44891ABP1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $2993305.00   | 0.04%             | 2027-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| PHOSAGRO(PHOS BOND FUND)                             | Phosagro OAO Via Phosagro Bond Funding DAC                                   | CUSIP: 71922LAC3<br>LEI: 635400F8A3KGJIIBIK95 | Long             | DBT              | CORP              | IE        |   2525000 | PA      | $1313606.00   | 0.02%             | 2025-01-23      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                         | Broadcom Inc                                                                 | CUSIP: 11135FBA8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   3575000 | PA      | $3409513.25   | 0.05%             | 2029-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                  | Southern California Edison Co                                                | CUSIP: 842400HA4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |  19476000 | PA      | $19457497.80  | 0.26%             | 2023-04-03      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CORE INCOME COR                             | OWL Rock Core Income Corp                                                    | CUSIP: 69120VAF8<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |   4870000 | PA      | $4364396.60   | 0.06%             | 2027-02-08      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust              | Freddie Mac Whole Loan Securities Trust                                      | CUSIP: 3137G1BK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8962124 | PA      | $8130345.39   | 0.11%             | 2046-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                     | SMB Private Education Loan Trust 2021-E                                      | CUSIP: 78450MAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  25092697 | PA      | $24187332.24  | 0.33%             | 2051-02-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Ameren Corp                                          | Ameren Corp                                                                  | CUSIP: 023608AJ1<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |   5200000 | PA      | $4590352.00   | 0.06%             | 2031-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ACM Auto Trust                                       | ACM Auto Trust 2022-1                                                        | CUSIP: 00091QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3153852 | PA      | $3145756.09   | 0.04%             | 2029-04-20      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                    | HSBC Holdings PLC                                                            | CUSIP: 404280CM9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   6100000 | PA      | $5257041.00   | 0.07%             | 2027-05-24      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| Encina Equipment Finance                             | Encina Equipment Finance 2022-1 LLC                                          | CUSIP: 29252VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11407788 | PA      | $11207162.41  | 0.15%             | 2027-08-16      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                         | Broadcom Inc                                                                 | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2980000 | PA      | $2669722.40   | 0.04%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                  | Dominion Energy Inc                                                          | CUSIP: 25746UDF3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |  25576000 | PA      | $24068039.04  | 0.33%             | 2027-03-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                               | Mitsubishi UFJ Financial Group Inc                                           | CUSIP: 606822CH5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   4550000 | PA      | $4500860.00   | 0.06%             | 2025-07-18      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                       | Pagaya AI Debt Selection Trust 2021-3                                        | CUSIP: 69546RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10944991 | PA      | $10631557.13  | 0.14%             | 2029-05-15      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs    | United States Small Business Administration                                  | CUSIP: 83162CUG6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   3428275 | PA      | $3169519.25   | 0.04%             | 2031-09-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust              | Freddie Mac Whole Loan Securities Trust 2017-SC02                            | CUSIP: 3137G1BV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    616864 | PA      | $576671.54    | 0.01%             | 2047-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                           | Upstart Pass-Through Trust Series 2020-ST3                                   | CUSIP: 91679RAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2177245 | PA      | $2122219.72   | 0.03%             | 2028-04-20      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                        | Lendbuzz Securitization Trust 2022-1                                         | CUSIP: 52607KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11086841 | PA      | $10650644.00  | 0.14%             | 2027-05-17      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| US AIRWAYS 2010-1A PTT                               | US Airways 2010-1 Class A Pass Through Trust                                 | CUSIP: 90345KAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1935115 | PA      | $1919286.12   | 0.03%             | 2023-04-22      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Enstar Group Ltd                                     | Enstar Group Ltd                                                             | CUSIP: 29359UAB5<br>LEI: 213800AMAL5QFXVUCN04 | Long             | DBT              | CORP              | BM        |  16116000 | PA      | $14722449.48  | 0.20%             | 2029-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                    | Citigroup Mortgage Loan Trust 2021-J2                                        | CUSIP: 17329MCL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24456807 | PA      | $21251746.88  | 0.29%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| TELEDYNE TECHNOLOGIES IN                             | Teledyne Technologies Inc                                                    | CUSIP: 879360AE5<br>LEI: 549300VSMO9KYQWDND94 | Long             | DBT              | CORP              | US        |   4501000 | PA      | $3687174.19   | 0.05%             | 2031-04-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| WESTERN UNION CO/THE                                 | Western Union Co/The                                                         | CUSIP: 959802AY5<br>LEI: 28ID94QU1140NC23S047 | Long             | DBT              | CORP              | US        |   7256000 | PA      | $6927158.08   | 0.09%             | 2025-01-10      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                             | Equitable Financial Life Global Funding                                      | CUSIP: 29449WAF4<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |   6800000 | PA      | $5669296.00   | 0.08%             | 2028-03-08      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                   | Chase Mortgage Finance Corp                                                  | CUSIP: 16163YAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2127815 | PA      | $1805470.80   | 0.02%             | 2045-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                   | F&G Global Funding                                                           | CUSIP: 30321L2A9<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |  20225000 | PA      | $18027958.25  | 0.24%             | 2026-06-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                    | Imperial Fund Mortgage Trust 2022-NQM4                                       | CUSIP: 45276NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  29209186 | PA      | $28336972.04  | 0.38%             | 2067-06-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| BLOCK FINANCIAL LLC                                  | Block Financial LLC                                                          | CUSIP: 093662AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10392000 | PA      | $8818651.20   | 0.12%             | 2028-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                                      | San Diego Gas & Electric Co                                                  | CUSIP: 797440BR4<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |   4212000 | PA      | $4167816.12   | 0.06%             | 2023-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                               | Mitsubishi UFJ Financial Group Inc                                           | CUSIP: 606822BZ6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   6750000 | PA      | $5838817.50   | 0.08%             | 2027-10-13      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| ENTERGY NEW ORLEANS STORM RECOVERY FUNDING LLC       | Entergy New Orleans Storm Recovery Funding I LLC                             | CUSIP: 29277VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2851725 | PA      | $2756641.45   | 0.04%             | 2027-06-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Theorem Funding Trust                                | Theorem Funding Trust 2021-1                                                 | CUSIP: 88339VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5214924 | PA      | $5118873.21   | 0.07%             | 2027-12-15      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                       | Pagaya AI Debt Selection Trust 2021-1                                        | CUSIP: 69547JAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8031709 | PA      | $7909784.61   | 0.11%             | 2027-11-15      | Fixed         | 1.18%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                | TRK 2022-INV2 Trust                                                          | CUSIP: 87265XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  25595179 | PA      | $23968788.82  | 0.32%             | 2057-06-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                               | Galaxy Pipeline Assets Bidco Ltd                                             | CUSIP: 36321PAD2<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |   9283586 | PA      | $7889748.74   | 0.11%             | 2034-03-31      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                               | Marlette Funding Trust 2022-3                                                | CUSIP: 57109NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5844816 | PA      | $5794104.18   | 0.08%             | 2032-11-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                              | CUSIP: 31418ECR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29936933 | PA      | $26281654.62  | 0.36%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FLORIDA GAS TRANSMISSION                             | Florida Gas Transmission Co LLC                                              | CUSIP: 340711BA7<br>LEI: 549300Q0UQF87NXNOC32 | Long             | DBT              | CORP              | US        |  10778000 | PA      | $8265648.20   | 0.11%             | 2031-10-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Nvent Finance Sarl                                   | nVent Finance Sarl                                                           | CUSIP: 67078AAD5<br>LEI: 549300KO1OQ4MVFB6X02 | Long             | DBT              | CORP              | LU        |   7023000 | PA      | $6482369.46   | 0.09%             | 2028-04-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                      | BRAVO Residential Funding Trust 2019-1                                       | CUSIP: 10568GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    944481 | PA      | $918757.01    | 0.01%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust 2022-1                          | CHNGE Mortgage Trust 2022-1                                                  | CUSIP: 17030JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15856468 | PA      | $14056047.08  | 0.19%             | 2067-01-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| SK HYNIX INC                                         | SK Hynix Inc                                                                 | CUSIP: 78392BAA5<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |   6800000 | PA      | $6444496.00   | 0.09%             | 2024-01-19      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Continental Credit Card llc                          | Continental Finance Credit Card ABS Master Trust                             | CUSIP: 66981PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17500000 | PA      | $16458058.75  | 0.22%             | 2028-12-15      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                             | Sumitomo Mitsui Financial Group Inc                                          | CUSIP: 86562MCD0<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |  11650000 | PA      | $10265863.50  | 0.14%             | 2026-01-12      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| FHF Trust 2021-2                                     | FHF Trust 2021-2                                                             | CUSIP: 30322JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7772871 | PA      | $7373333.05   | 0.10%             | 2026-12-15      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                           | Upstart Pass-Through Trust Series 2021-ST8                                   | CUSIP: 91683LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6118528 | PA      | $5661340.84   | 0.08%             | 2029-10-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                            | Prosus NV                                                                    | CUSIP: 74365PAF5<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   2816000 | PA      | $2196451.84   | 0.03%             | 2031-07-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| BIO-RAD LABS                                         | Bio-Rad Laboratories Inc                                                     | CUSIP: 090572AR9<br>LEI: 549300ZC1GPV35XYDK53 | Long             | DBT              | CORP              | US        |   5820000 | PA      | $5369473.80   | 0.07%             | 2027-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust               | Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A4                   | CUSIP: 59020ULT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143855 | PA      | $127402.02    | 0.00%             | 2034-08-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                         | UBS Group AG                                                                 | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   7800000 | PA      | $7472634.00   | 0.10%             | 2028-05-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                             | AT&T Inc                                                                     | CUSIP: 00206RML3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   6405000 | PA      | $5780960.85   | 0.08%             | 2026-03-25      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                         | METLIFE SECURITIZATION TRUST 2019-1                                          | CUSIP: 59166EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1381528 | PA      | $1338024.51   | 0.02%             | 2058-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Service Experts Issuer                               | Service Experts Issuer 2021-1 LLC                                            | CUSIP: 81758VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18390026 | PA      | $16745092.89  | 0.23%             | 2032-02-02      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                    | HSBC Holdings PLC                                                            | CUSIP: 404280CZ0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1585000 | PA      | $1547134.35   | 0.02%             | 2024-11-22      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                              | American Electric Power Co Inc                                               | CUSIP: 025537AQ4<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   9667000 | PA      | $9337065.29   | 0.13%             | 2023-11-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| TOWD POINT ASSET TRUST                               | Towd Point Asset Trust 2021-SL1                                              | CUSIP: 89179XAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6989341 | PA      | $6866615.25   | 0.09%             | 2061-11-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                     | Puget Energy Inc                                                             | CUSIP: 745310AM4<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   8825000 | PA      | $7524459.75   | 0.10%             | 2028-06-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs    | United States Small Business Administration                                  | CUSIP: 83162CVB6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   2091998 | PA      | $1896311.68   | 0.03%             | 2032-10-01      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                         | Upstart Securitization Trust 2021-1                                          | CUSIP: 91681NAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    349936 | PA      | $348879.77    | 0.00%             | 2031-03-20      | Fixed         | 0.87%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                    | Imperial Fund Mortgage Trust 2021-NQM3                                       | CUSIP: 452762AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17184560 | PA      | $13848156.10  | 0.19%             | 2056-11-25      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| LENOVO GROUP LTD                                     | Lenovo Group Ltd                                                             | CUSIP: 000000000<br>LEI: 254900VUZRGD5U73RE46 | Long             | DBT              | CORP              | HK        |  10600000 | PA      | $10418104.00  | 0.14%             | 2025-04-24      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| PROTECTIVE LIFE CORP                                 | Protective Life Corp                                                         | CUSIP: 743674BE2<br>LEI: 549300ZWIT8J8Y2EXL07 | Long             | DBT              | CORP              | US        |  16787000 | PA      | $14584713.47  | 0.20%             | 2030-01-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Nelnet Private Education Loan Trust                  | Nelnet Private Education Loan Trust 2016-A                                   | CUSIP: 64034JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    202570 | PA      | $202566.37    | 0.00%             | 2040-12-26      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                  | Global Payments Inc                                                          | CUSIP: 37940XAG7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   3516000 | PA      | $3070593.12   | 0.04%             | 2027-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Improvement Loan Trust     | GoodLeap Sustainable Home Solutions Trust 2021-3                             | CUSIP: 382371AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16264330 | PA      | $11234328.28  | 0.15%             | 2048-05-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                               | Fairfax Financial Holdings Ltd                                               | CUSIP: 303901BF8<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |  11984000 | PA      | $10891418.72  | 0.15%             | 2030-04-29      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                          | BNP Paribas SA                                                               | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   4800000 | PA      | $4422432.00   | 0.06%             | 2026-06-09      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                 | Enel Finance International NV                                                | CUSIP: 29278GAN8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |  20585000 | PA      | $16357664.40  | 0.22%             | 2028-07-12      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Monongahela Power Co                                 | Monongahela Power Co                                                         | CUSIP: 610202BR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3300000 | PA      | $3102363.00   | 0.04%             | 2027-05-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                             | Microchip Technology Inc                                                     | CUSIP: 595017BB9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |  18694000 | PA      | $17772572.74  | 0.24%             | 2024-02-15      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust           | Mercury Financial Credit Card Master Trust                                   | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  31450000 | PA      | $30005032.90  | 0.41%             | 2026-03-20      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                   | Ellington Financial Mortgage Trust 2022-1                                    | CUSIP: 31573CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19490958 | PA      | $16242560.03  | 0.22%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                   | Seasoned Credit Risk Transfer Trust Series 2018-2                            | CUSIP: 35563PFB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11584700 | PA      | $10843285.68  | 0.15%             | 2057-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                                   | CNO Global Funding                                                           | CUSIP: 18977W2B5<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |   5359000 | PA      | $4969347.11   | 0.07%             | 2025-01-06      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                         | Hilton Grand Vacations Trust 2019-A                                          | CUSIP: 43284HAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4370648 | PA      | $4092211.34   | 0.06%             | 2033-07-25      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE                               | Tennessee Gas Pipeline Co LLC                                                | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  11946000 | PA      | $10014092.88  | 0.14%             | 2030-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Mercury General Corp                                 | Mercury General Corp                                                         | CUSIP: 589400AB6<br>LEI: 5493001Q9EXPCEL4W527 | Long             | DBT              | CORP              | US        |   2901000 | PA      | $2720209.68   | 0.04%             | 2027-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                 | Enel Finance International NV                                                | CUSIP: 29278GAM0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |  12250000 | PA      | $10612910.00  | 0.14%             | 2026-07-12      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN NATIONAL GROUP                              | American National Group Inc                                                  | CUSIP: 02772AAA7<br>LEI: 549300I1RRC5M591MY93 | Long             | DBT              | CORP              | US        |  25662000 | PA      | $24173860.62  | 0.33%             | 2032-06-13      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS                                     | Antares Holdings LP                                                          | CUSIP: 03666HAE1<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |   8520000 | PA      | $6841900.80   | 0.09%             | 2027-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| HP INC                                               | HP Inc                                                                       | CUSIP: 40434LAF2<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |   5334000 | PA      | $4677064.56   | 0.06%             | 2026-06-17      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                | Arroyo Mortgage Trust 2020-1                                                 | CUSIP: 04285CAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $3716891.78   | 0.05%             | 2055-03-25      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET SPECIALTY                               | Sixth Street Specialty Lending Inc                                           | CUSIP: 83012AAA7<br>LEI: 549300TX61566GJWCN05 | Long             | DBT              | CORP              | US        |   2591000 | PA      | $2268912.79   | 0.03%             | 2026-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET SPECIALTY                               | Sixth Street Specialty Lending Inc                                           | CUSIP: 87265KAF9<br>LEI: 549300TX61566GJWCN05 | Long             | DBT              | CORP              | US        |  14960000 | PA      | $14406031.20  | 0.19%             | 2024-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC                                         | 7-Eleven Inc                                                                 | CUSIP: 817826AB6<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |  13945000 | PA      | $13265181.25  | 0.18%             | 2024-02-10      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| New Residential Advance Receivables Trust Advance    | NRZ Advance Receivables Trust 2015-ON1                                       | CUSIP: 62942QCW1<br>LEI: 549300RNWDDBV4LFKJ17 | Long             | ABS-O            | CORP              | US        |  49390650 | PA      | $47568371.71  | 0.64%             | 2053-09-15      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                             | JP Morgan Mortgage Trust 2022-2                                              | CUSIP: 46655DAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34142646 | PA      | $30332576.33  | 0.41%             | 2052-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                             | Octane Receivables Trust 2020-1                                              | CUSIP: 67592LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2327773 | PA      | $2303694.59   | 0.03%             | 2025-02-20      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                           | MFA 2021-AEINV1 Trust                                                        | CUSIP: 55284FAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17040809 | PA      | $14649707.32  | 0.20%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CP EF ASSET SECURITIZATION I, LLC                    | CP EF Asset Securitization I LLC                                             | CUSIP: 12662AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12141899 | PA      | $11943730.07  | 0.16%             | 2030-04-15      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust 2017-6                                   | CUSIP: 64830BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1955109 | PA      | $1826740.34   | 0.02%             | 2057-08-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY BANK                                       | Synchrony Bank                                                               | CUSIP: 87166FAD5<br>LEI: 549300UATVPGSLE43Z27 | Long             | DBT              | CORP              | US        |   7250000 | PA      | $7152125.00   | 0.10%             | 2025-08-22      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| SONOCO PRODUCTS CO                                   | Sonoco Products Co                                                           | CUSIP: 835495AM4<br>LEI: GKOMIK4RDJGHEF0VNP11 | Long             | DBT              | CORP              | US        |  11725000 | PA      | $10903546.50  | 0.15%             | 2025-02-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                   | Seasoned Credit Risk Transfer Trust Series 2019-4                            | CUSIP: 35563PML0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18624129 | PA      | $17253966.31  | 0.23%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                | Wells Fargo & Co                                                             | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   3448000 | PA      | $3361213.84   | 0.05%             | 2028-07-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust 2020-2                          | CUSIP: 02529WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4250000 | PA      | $4224531.49   | 0.06%             | 2026-05-13      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                   | Banco Santander SA                                                           | CUSIP: 05964HAR6<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |  10000000 | PA      | $9903500.00   | 0.13%             | 2025-08-18      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FLEX LTD                                             | Flex Ltd                                                                     | CUSIP: 33938XAE5<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |   2375000 | PA      | $2371461.25   | 0.03%             | 2028-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                           | Verus Securitization Trust 2020-1                                            | CUSIP: 92536PAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $3732355.60   | 0.05%             | 2060-01-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FIN NA                                 | Mercedes-Benz Finance North America LLC                                      | CUSIP: 233851DZ4<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |  13600000 | PA      | $12765776.00  | 0.17%             | 2025-03-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                 | Bank of America Corp                                                         | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   6007000 | PA      | $5870280.68   | 0.08%             | 2028-07-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                          | Southern Co/The                                                              | CUSIP: 842587DL8<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5108900.00   | 0.07%             | 2032-10-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                       | PAGAYA AI Debt Trust 2022-2                                                  | CUSIP: 69546VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11735828 | PA      | $11450393.02  | 0.15%             | 2030-01-15      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                            | College Ave Student Loans 2021-A LLC                                         | CUSIP: 19424KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9045820 | PA      | $8648218.52   | 0.12%             | 2051-07-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| GUARDIAN LIFE GLOB FUND                              | Guardian Life Global Funding                                                 | CUSIP: 40139LBG7<br>LEI: 635400NHILJ5JEKILC36 | Long             | DBT              | CORP              | US        |   9750000 | PA      | $9927742.50   | 0.13%             | 2027-10-28      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                              | CUSIP: 3140QMAL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14455874 | PA      | $12687038.63  | 0.17%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                         | CSMC Trust 2013-HYB1                                                         | CUSIP: 12647JBR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    431440 | PA      | $425143.72    | 0.01%             | 2043-04-25      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust Issuer Trust          | Goldman Home Improvement Trust 2022-GRN1 Issuer Trust                        | CUSIP: 38150YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8776573 | PA      | $8523909.38   | 0.12%             | 2052-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BRIGHTHSE FIN GLBL FUND                              | Brighthouse Financial Global Funding                                         | CUSIP: 10921U2C1<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |   7538000 | PA      | $6637585.90   | 0.09%             | 2026-05-24      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                                  | Rate Mortgage Trust 2022-J1                                                  | CUSIP: 75410RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  52513455 | PA      | $44960969.51  | 0.61%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                             | Equitable Financial Life Global Funding                                      | CUSIP: 29449WAA5<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |  11615000 | PA      | $10537360.30  | 0.14%             | 2025-07-07      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| TD SYNNEX CORP                                       | TD SYNNEX Corp                                                               | CUSIP: 87162WAF7<br>LEI: 5493004HI6PFLF46NS53 | Long             | DBT              | CORP              | US        |  28691000 | PA      | $24386489.27  | 0.33%             | 2026-08-09      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                             | Comision Federal de Electricidad                                             | CUSIP: 000000000<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |  18849600 | PA      | $15585791.76  | 0.21%             | 2036-09-29      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| SG Capital Partners                                  | SG Residential Mortgage Trust 2020-2                                         | CUSIP: 81882JAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2114317 | PA      | $1815974.01   | 0.02%             | 2065-05-25      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                              | CUSIP: 3140JBZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3587744 | PA      | $3002008.25   | 0.04%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                    | Imperial Fund Mortgage Trust 2022-NQM1                                       | CUSIP: 452766AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  40250341 | PA      | $35290953.80  | 0.48%             | 2067-02-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Santa Rosa Leasing LLC                               | Santa Rosa Leasing LLC                                                       | CUSIP: 802722AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    877488 | PA      | $867493.23    | 0.01%             | 2024-08-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                              | Hyundai Capital America                                                      | CUSIP: 44891ABE6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |  11460000 | PA      | $11425161.60  | 0.15%             | 2023-02-10      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| ADVANCE AUTO PARTS                                   | Advance Auto Parts Inc                                                       | CUSIP: 00751YAE6<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |   6584000 | PA      | $5785031.60   | 0.08%             | 2030-04-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                              | CUSIP: 3140XF7L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  33694524 | PA      | $29646956.04  | 0.40%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP                              | Sammons Financial Group Inc                                                  | CUSIP: 79588TAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7950000 | PA      | $7365913.50   | 0.10%             | 2027-05-12      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                             | JP Morgan Mortgage Trust 2018-6                                              | CUSIP: 46650JAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1015550 | PA      | $854036.57    | 0.01%             | 2048-12-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Continental Credit Card llc                          | Continental Credit Card ABS 2019-1 LLC                                       | CUSIP: 21134LAA6<br>LEI: 5493002QR2K2E0R56Z02 | Long             | ABS-O            | CORP              | US        |   7712350 | PA      | $7645159.13   | 0.10%             | 2026-08-15      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| STEWART INFORMATION SERV                             | Stewart Information Services Corp                                            | CUSIP: 86038AAA0<br>LEI: 529900TV1XI0PLKENU10 | Long             | DBT              | CORP              | US        |  22401000 | PA      | $17080314.48  | 0.23%             | 2031-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FNB CORP                                             | FNB Corp/PA                                                                  | CUSIP: 302520AC5<br>LEI: PCYSKIGYNYFDTBLVZU83 | Long             | DBT              | CORP              | US        |   5748000 | PA      | $5683162.56   | 0.08%             | 2025-08-25      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust         | Arivo Acceptance Auto Loan Receivables Trust 2019-1                          | CUSIP: 04046LAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3016346 | PA      | $2988255.79   | 0.04%             | 2025-06-15      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                   | Seasoned Credit Risk Transfer Trust Series 2019-1                            | CUSIP: 35563PJF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  23417317 | PA      | $22138722.57  | 0.30%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Lenovo Group Ltd                                     | Lenovo Group Ltd                                                             | CUSIP: 000000000<br>LEI: 254900VUZRGD5U73RE46 | Long             | DBT              | CORP              | HK        |  23428000 | PA      | $23374115.60  | 0.32%             | 2023-03-29      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| OWL ROCK TECHNOLOGY FINA                             | Owl Rock Technology Finance Corp                                             | CUSIP: 691205AG3<br>LEI: 254900G5EZJSOD3UKL16 | Long             | DBT              | CORP              | US        |  10556000 | PA      | $8606940.16   | 0.12%             | 2027-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AstraZeneca PLC                                      | AstraZeneca PLC                                                              | CUSIP: 046353AS7<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |  10524000 | PA      | $10522947.60  | 0.14%             | 2023-08-17      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Reach Financial LLC                                  | LL ABS Trust 2021-1                                                          | CUSIP: 53934QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7532125 | PA      | $7264291.84   | 0.10%             | 2029-05-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                             | CUSIP: 91282CAZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 123015000 | PA      | $110079203.91 | 1.49%             | 2025-11-30      | Fixed         | 0.38%                 | No            |                  1 | On Loan: No      |
| General Mills Inc                                    | General Mills Inc                                                            | CUSIP: 370334CC6<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |   2475000 | PA      | $2481138.00   | 0.03%             | 2023-10-17      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                               | Galaxy Pipeline Assets Bidco Ltd                                             | CUSIP: 36321PAA8<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |  33725981 | PA      | $31247458.59  | 0.42%             | 2027-09-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                             | OCP SA                                                                       | CUSIP: 67091TAA3<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |   8555000 | PA      | $8543792.95   | 0.12%             | 2024-04-25      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust           | Mercury Financial Credit Card Master Trust                                   | CUSIP: 58940BAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  32350000 | PA      | $30755740.24  | 0.42%             | 2026-09-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                                 | BAT International Finance PLC                                                | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |   4764000 | PA      | $4217997.96   | 0.06%             | 2026-03-25      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| APTIV PLC / APTIV CORP                               | Aptiv PLC / Aptiv Corp                                                       | CUSIP: 00217GAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |   5434000 | PA      | $5124696.72   | 0.07%             | 2025-02-18      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs    | United States Small Business Administration                                  | CUSIP: 83162CUD3<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   1828355 | PA      | $1728426.63   | 0.02%             | 2031-07-01      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                           | CUSIP: 3137AFSL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73996 | PA      | $73398.16     | 0.00%             | 2024-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GCAT                                                 | GCAT 2021-NQM4 Trust                                                         | CUSIP: 36168HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13755886 | PA      | $10613507.76  | 0.14%             | 2066-08-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                            | Towd Point Mortgage Trust 2018-3                                             | CUSIP: 89175MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2877881 | PA      | $2720712.66   | 0.04%             | 2058-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                              | CUSIP: 3140J8YW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2801047 | PA      | $2710999.08   | 0.04%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                              | CUSIP: 3140KHTG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9259 | PA      | $8497.73      | 0.00%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| KYNDRYL HOLDINGS INC                                 | Kyndryl Holdings Inc                                                         | CUSIP: 50155QAK6<br>LEI: 549300LQ4LWX2R8ZV130 | Long             | DBT              | CORP              | US        |  22750000 | PA      | $17124835.00  | 0.23%             | 2028-10-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| QORVO INC                                            | Qorvo Inc                                                                    | CUSIP: 74739DAA2<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |   6858000 | PA      | $6327465.12   | 0.09%             | 2024-12-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL                               | Protective Life Global Funding                                               | CUSIP: 74368CBL7<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3807760.00   | 0.05%             | 2025-03-28      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| SPRUCE HILL MORTGAGE LOAN TRUST                      | Spruce Hill Mortgage Loan Trust 2020-SH1                                     | CUSIP: 85209FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1560534 | PA      | $1540980.34   | 0.02%             | 2050-01-28      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                | Micron Technology Inc                                                        | CUSIP: 595112BQ5<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |   4150000 | PA      | $3761560.00   | 0.05%             | 2030-02-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                         | Broadcom Inc                                                                 | CUSIP: 11135FBR1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2060000 | PA      | $1874641.20   | 0.03%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                        | CUSIP: 3128E52U2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    773362 | PA      | $741067.31    | 0.01%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                   | Seasoned Credit Risk Transfer Trust Series 2019-3                            | CUSIP: 35563PLH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11552603 | PA      | $10930256.98  | 0.15%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                   | Seasoned Loans Structured Transaction Trust Series 2019-2                    | CUSIP: 35564CCZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16544116 | PA      | $15214816.05  | 0.21%             | 2029-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                     | BAT Capital Corp                                                             | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   5838000 | PA      | $5316024.42   | 0.07%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Carpintero Finance Ltd                               | Carpintero Finance Ltd                                                       | CUSIP: 14440PAB9<br>LEI: 549300Y5DJU1XVTHQF43 | Long             | DBT              | CORP              | KY        |   2460787 | PA      | $2400605.06   | 0.03%             | 2024-11-11      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                   | Seasoned Credit Risk Transfer Trust Series 2020-3                            | CUSIP: 35563PSB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3969327 | PA      | $3281514.29   | 0.04%             | 2060-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| INGREDION INC                                        | Ingredion Inc                                                                | CUSIP: 457187AC6<br>LEI: PKSTQ48QDN0XSVS7YK88 | Long             | DBT              | CORP              | US        |   9725000 | PA      | $8238242.00   | 0.11%             | 2030-06-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                 | Enel Finance International NV                                                | CUSIP: 29278GAP3<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   5957000 | PA      | $4364813.04   | 0.06%             | 2031-07-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                               | Mosaic Solar Loan Trust 2020-1                                               | CUSIP: 61946NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3957774 | PA      | $3423665.58   | 0.05%             | 2046-04-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                           | Flagship Credit Auto Trust 2019-2                                            | CUSIP: 33845WAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3407465.78   | 0.05%             | 2025-05-15      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                           | Navient Private Education Loan Trust 2015-A                                  | CUSIP: 63939EAC7<br>LEI: 549300YZ4ZMNDBNO4U12 | Long             | ABS-O            | CORP              | US        |    507847 | PA      | $507206.92    | 0.01%             | 2028-12-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| HERCULES CAPITAL INC                                 | Hercules Capital Inc                                                         | CUSIP: 427096AJ1<br>LEI: 549300UJ5OC256GR2B73 | Long             | DBT              | CORP              | US        |   7458000 | PA      | $6381139.38   | 0.09%             | 2027-01-20      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                 | Bank of America Corp                                                         | CUSIP: 06051GJK6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3035000 | PA      | $2703456.60   | 0.04%             | 2026-10-24      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| LENOVO GROUP LTD                                     | Lenovo Group Ltd                                                             | CUSIP: 526250AD7<br>LEI: 254900VUZRGD5U73RE46 | Long             | DBT              | CORP              | HK        |  13565000 | PA      | $13123866.20  | 0.18%             | 2028-01-27      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                            | Towd Point Mortgage Trust 2016-5                                             | CUSIP: 89173CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    980440 | PA      | $963980.37    | 0.01%             | 2056-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST                        | Commonbond Student Loan Trust 2020-1                                         | CUSIP: 20268BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13672514 | PA      | $12190487.57  | 0.16%             | 2051-10-25      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| MET LIFE GLOB FUNDING I                              | Metropolitan Life Global Funding I                                           | CUSIP: 59217GEZ8<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3586480.00   | 0.05%             | 2029-03-21      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| SCHAHIN II FINANCE CO                                | Schahin II Finance Co SPV Ltd                                                | CUSIP: 80629QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   3997362 | PA      | $39.97        | 0.00%             | 2022-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE MUTUAL INSURA                             | Nationwide Mutual Insurance Co                                               | CUSIP: 638671AJ6<br>LEI: Z7LVXXWM8HZPKF5T2355 | Long             | DBT              | CORP              | US        |  16096000 | PA      | $16062842.24  | 0.22%             | 2024-12-15      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                  | SG Residential Mortgage Trust 2019-3                                         | CUSIP: 78432BAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    921708 | PA      | $893418.62    | 0.01%             | 2059-09-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| NEWCREST FINANCE PTY LTD                             | Newcrest Finance Pty Ltd                                                     | CUSIP: 65120FAD6<br>LEI: 549300I0XDZ4K7PDSS04 | Long             | DBT              | CORP              | AU        |   2961000 | PA      | $2476610.01   | 0.03%             | 2030-05-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GCAT                                                 | GCAT 2019-NQM3 Trust                                                         | CUSIP: 36167VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4447234 | PA      | $4124351.38   | 0.06%             | 2059-11-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                         | CSMC 2021-NQM3                                                               | CUSIP: 12660LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12493069 | PA      | $10217235.37  | 0.14%             | 2066-04-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs    | United States Small Business Administration                                  | CUSIP: 83162CSN4<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    174987 | PA      | $168151.48    | 0.00%             | 2029-05-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Thornburg Capital Management Fund                    | Thornburg Capital Management Fund                                            | CUSIP: 885216739<br>LEI: 549300GLR0WG6ALV5277 | Long             | EC               | RF                | US        |  25053896 | NS      | $250538955.55 | 3.38%             |  |  |  | No            |                  1 | On Loan: No      |
| NETAPP INC                                           | NetApp Inc                                                                   | CUSIP: 64110DAJ3<br>LEI: QTX3D84DZDD5JYOCYH15 | Long             | DBT              | CORP              | US        |     46000 | PA      | $40956.56     | 0.00%             | 2027-06-22      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                     | CUSIP: 38379V3R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    886557 | PA      | $875248.05    | 0.01%             | 2040-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                             | Microchip Technology Inc                                                     | CUSIP: 595017BA1<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |  10634000 | PA      | $10326571.06  | 0.14%             | 2025-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC                                         | 7-Eleven Inc                                                                 | CUSIP: 817826AA8<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |   2007000 | PA      | $1995700.59   | 0.03%             | 2023-02-10      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust Issuer Trust          | Goldman Home Improvement Trust 2021-GRN2 Issuer Trust                        | CUSIP: 38149XAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16371223 | PA      | $14980428.79  | 0.20%             | 2051-06-25      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust         | Arivo Acceptance Auto Loan Receivables Trust 2021-1                          | CUSIP: 04047AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3072373 | PA      | $2984237.33   | 0.04%             | 2027-01-15      | Fixed         | 1.19%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                     | Puget Energy Inc                                                             | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   4742000 | PA      | $4242572.56   | 0.06%             | 2030-06-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| EVERGY MISSOURI WEST INC                             | Evergy Missouri West Inc                                                     | CUSIP: 30037FAA8<br>LEI: EZIFUDC0VSUS6T6LCG85 | Long             | DBT              | CORP              | US        |   9711000 | PA      | $9666717.84   | 0.13%             | 2027-12-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitization Trust              | LendingPoint 2020-REV1 Asset Securitization Trust                            | CUSIP: 52606YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  38443765 | PA      | $37714463.11  | 0.51%             | 2028-10-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| ILLUMINA INC                                         | Illumina Inc                                                                 | CUSIP: 452327AN9<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |   5600000 | PA      | $5643400.00   | 0.08%             | 2025-12-12      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS                                     | Antares Holdings LP                                                          | CUSIP: 03666HAC5<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |  14391000 | PA      | $12358559.07  | 0.17%             | 2026-07-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CRE                               | Blackstone Private Credit Fund                                               | CUSIP: 09261HAD9<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |   8137000 | PA      | $6738900.66   | 0.09%             | 2026-12-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                             | Foundation Finance Trust 2021-1                                              | CUSIP: 35041LAA8<br>LEI: 549300MQ65NOVQXYNB21 | Long             | ABS-O            | CORP              | US        |  18133489 | PA      | $16040017.78  | 0.22%             | 2041-05-15      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| Upstart Structured Pass-Through Trust                | Upstart Structured Pass-Through Trust Series 2022-4A                         | CUSIP: 91680YBD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8318556 | PA      | $8258571.77   | 0.11%             | 2030-11-15      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                             | Comision Federal de Electricidad                                             | CUSIP: 200447AL4<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |   6125000 | PA      | $5411070.00   | 0.07%             | 2029-05-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                  | Southern California Edison Co                                                | CUSIP: 842400HP1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   5722000 | PA      | $5607331.12   | 0.08%             | 2025-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust 2019-1                                        | CUSIP: 146868AF1<br>LEI: 549300PQFD4GEYYTOY78 | Long             | ABS-O            | CORP              | US        |   2519664 | PA      | $2512993.69   | 0.03%             | 2024-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                           | Navient Private Education Refi Loan Trust 2022-B                             | CUSIP: 63942PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  23361694 | PA      | $22095087.77  | 0.30%             | 2070-10-15      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                       | CFMT 2021-GRN1 Issuer Trust                                                  | CUSIP: 12529KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5649331 | PA      | $5200345.52   | 0.07%             | 2041-03-20      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                     | Deutsche Bank AG/New York NY                                                 | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   4850000 | PA      | $4120414.50   | 0.06%             | 2027-11-16      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                   | Seasoned Credit Risk Transfer Trust Series 2018-3                            | CUSIP: 35563PGB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13775992 | PA      | $12844265.55  | 0.17%             | 2057-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SUN COMMUNITIES OPER LP                              | Sun Communities Operating LP                                                 | CUSIP: 866677AF4<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              |  | US        |  13878000 | PA      | $11595485.34  | 0.16%             | 2028-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL INFO SERV                              | Fidelity National Information Services Inc                                   | CUSIP: 31620MBW5<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |   7167000 | PA      | $6998647.17   | 0.09%             | 2027-07-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                   | Aqua Finance Trust 2020-A                                                    | CUSIP: 038413AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6300000 | PA      | $5435231.89   | 0.07%             | 2046-07-17      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                     | Deutsche Bank AG/New York NY                                                 | CUSIP: 251526CJ6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |  10952000 | PA      | $10245157.92  | 0.14%             | 2024-05-28      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                           | Verus Securitization Trust 2020-2                                            | CUSIP: 92537UAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3275000 | PA      | $2995171.52   | 0.04%             | 2060-05-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                             | CUSIP: 3132DNXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9860800 | PA      | $9831891.10   | 0.13%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                             | CUSIP: 912828YM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  44520000 | PA      | $42175743.75  | 0.57%             | 2024-10-31      | Fixed         | 1.50%                 | No            |                  1 | On Loan: No      |
| ACC Auto Trust                                       | ACC Auto Trust 2022-A                                                        | CUSIP: 00085YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9498753 | PA      | $9321861.11   | 0.13%             | 2026-07-15      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                             | CUSIP: 3133N3X25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27722197 | PA      | $21989364.13  | 0.30%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                | Micron Technology Inc                                                        | CUSIP: 595112BV4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |   9900000 | PA      | $10073349.00  | 0.14%             | 2029-11-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BRIGHTHSE FIN GLBL FUND                              | Brighthouse Financial Global Funding                                         | CUSIP: 10921U2E7<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |  10733000 | PA      | $8881879.49   | 0.12%             | 2028-06-28      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FLEX LTD                                             | Flex Ltd                                                                     | CUSIP: 33938XAB1<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |  12788000 | PA      | $11958953.96  | 0.16%             | 2030-05-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TENCENT HOLDINGS LTD                                 | Tencent Holdings Ltd                                                         | CUSIP: 88032WAU0<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |   5000000 | PA      | $4071900.00   | 0.06%             | 2030-06-03      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                              | Goldman Sachs Group Inc/The                                                  | CUSIP: 38141GYF5<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  10786000 | PA      | $10618385.56  | 0.14%             | 2024-09-10      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                            | Nelnet Student Loan Trust 2015-2                                             | CUSIP: 64033QAB5<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |  23516228 | PA      | $22823306.91  | 0.31%             | 2042-09-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                            | CUSIP: 3136AADA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1379233 | PA      | $1275172.65   | 0.02%             | 2042-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                             | J.P. Morgan Mortgage Trust 2021-LTV2                                         | CUSIP: 46654VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  38029250 | PA      | $29955334.36  | 0.40%             | 2052-05-25      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                         | Veros Auto Receivables Trust 2021-1                                          | CUSIP: 92512BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3021640 | PA      | $2964530.47   | 0.04%             | 2026-10-15      | Fixed         | 0.92%                 | No            |                  2 | On Loan: No      |
| KIMBERLY-CLARK DE MEXICO                             | Kimberly-Clark de Mexico SAB de CV                                           | CUSIP: 494386AB1<br>LEI: 549300JGHL56QT00KT54 | Long             | DBT              | CORP              | MX        |   3900000 | PA      | $3804099.00   | 0.05%             | 2024-04-08      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs    | United States Small Business Administration                                  | CUSIP: 83162CUK7<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   2805014 | PA      | $2590429.79   | 0.03%             | 2031-11-01      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                               | Mitsubishi UFJ Financial Group Inc                                           | CUSIP: 606822CL6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   1250000 | PA      | $1220225.00   | 0.02%             | 2028-07-20      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| FIDELIS INSUR HLD LTD                                | Fidelis Insurance Holdings Ltd                                               | CUSIP: 31575FAA4<br>LEI: 549300CDMGCAGJQ7DX03 | Long             | DBT              | CORP              | BM        |  17531000 | PA      | $17031015.88  | 0.23%             | 2030-06-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TTX Co                                               | TTX Co                                                                       | CUSIP: 87305QCF6<br>LEI: 549300I8CNSYS1OGX775 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $5923260.00   | 0.08%             | 2024-01-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| SPS Servicer Advance Receivables Trust               | SPS Servicer Advance Receivables Trust                                       | CUSIP: 78472JAE3<br>LEI: 549300W6RZ3B25O0SH56 | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5437192.20   | 0.07%             | 2055-11-15      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| SK HYNIX INC                                         | SK Hynix Inc                                                                 | CUSIP: 78392BAB3<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |  10200000 | PA      | $8824020.00   | 0.12%             | 2026-01-19      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| AVANGRID INC                                         | Avangrid Inc                                                                 | CUSIP: 05351WAC7<br>LEI: 549300OX0Q38NLSKPB49 | Long             | DBT              | CORP              | US        |   9395000 | PA      | $8981056.30   | 0.12%             | 2025-04-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GLOBE LIFE INC                                       | Globe Life Inc                                                               | CUSIP: 37959EAB8<br>LEI: 5493001JFHKQOPP6XA71 | Long             | DBT              | CORP              | US        |   3410000 | PA      | $3226883.00   | 0.04%             | 2032-06-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| New Residential Advance Receivables Trust Advance    | New Residential Advance Receivables Trust Advance Receivables Backed 2020-T1 | CUSIP: 62942QCR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  65590000 | PA      | $63296252.11  | 0.86%             | 2053-08-15      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust 2017-3                                   | CUSIP: 64828MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3997174 | PA      | $3772163.53   | 0.05%             | 2057-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                 | Deephaven Residential Mortgage Trust 2021-1                                  | CUSIP: 24380VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3982798 | PA      | $3681529.42   | 0.05%             | 2065-05-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                             | Service Properties Trust                                                     | CUSIP: 44106MAZ5<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |  10161000 | PA      | $9258296.76   | 0.13%             | 2024-10-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                             | JP Morgan Mortgage Trust                                                     | CUSIP: 465976AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13820955 | PA      | $11407242.62  | 0.15%             | 2052-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| CITIZENS BANK NA/RI                                  | Citizens Bank NA/Providence RI                                               | CUSIP: 17401QAR2<br>LEI: DRMSV1Q0EKMEXLAU1P80 | Long             | DBT              | CORP              | US        |  20500000 | PA      | $20507175.00  | 0.28%             | 2023-03-29      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| SLR INVESTMENT CORP                                  | SLR Investment Corp                                                          | CUSIP: 83413UAB6<br>LEI: BJOT6DX9ML6BR3Z0O636 | Long             | DBT              | CORP              | US        |  13191000 | PA      | $13186119.33  | 0.18%             | 2023-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                          | Diamond Resorts Owner Trust 2019-1                                           | CUSIP: 252722AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4861936 | PA      | $4660489.62   | 0.06%             | 2032-02-20      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| ALLEGION US HOLDING CO                               | Allegion US Holding Co Inc                                                   | CUSIP: 01748TAC5<br>LEI: 5493002B66JX7J7SXI33 | Long             | DBT              | CORP              | US        |  15759000 | PA      | $15251875.38  | 0.21%             | 2032-07-01      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                           | Navient Student Loan Trust 2016-6                                            | CUSIP: 63940LAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    730164 | PA      | $729188.75    | 0.01%             | 2066-03-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                         | Upstart Securitization Trust 2021-2                                          | CUSIP: 91680FAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1848341 | PA      | $1816776.71   | 0.02%             | 2031-06-20      | Fixed         | 0.91%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                           | MFRA Trust                                                                   | CUSIP: 552758AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21130210 | PA      | $19871052.90  | 0.27%             | 2056-09-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| ASCOT GROUP LTD                                      | Ascot Group Ltd                                                              | CUSIP: 04365XAA6<br>LEI: 213800DJV7WRJBE2II28 | Long             | DBT              | CORP              | BM        |  12308000 | PA      | $10607157.48  | 0.14%             | 2030-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                           | Leidos Inc                                                                   | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |   8489000 | PA      | $6496377.03   | 0.09%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| LG CHEM LTD                                          | LG Chem Ltd                                                                  | CUSIP: 501955AE8<br>LEI: 988400IES4EIG7O06940 | Long             | DBT              | CORP              | KR        |   5000000 | PA      | $4850750.00   | 0.07%             | 2025-07-14      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                             | JP Morgan Mortgage Trust 2018-3                                              | CUSIP: 46649TAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2479789 | PA      | $2166161.95   | 0.03%             | 2048-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Brex Inc                                             | Brex Commercial Charge Card Master Trust                                     | CUSIP: 05601DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3363112.04   | 0.05%             | 2024-07-15      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                   | Aqua Finance Trust 2017-A                                                    | CUSIP: 03837PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    589295 | PA      | $580971.18    | 0.01%             | 2035-11-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                    | Imperial Fund Mortgage Trust 2022-NQM2                                       | CUSIP: 45276PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23412637 | PA      | $21130542.72  | 0.29%             | 2067-03-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| Transelec SA                                         | Transelec SA                                                                 | CUSIP: 89366LAD6<br>LEI: 549300DPF7MAL5F6CR86 | Long             | DBT              | CORP              | CL        |   5200000 | PA      | $5062148.00   | 0.07%             | 2025-01-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FLOWSERVE CORPORATION                                | Flowserve Corp                                                               | CUSIP: 34354PAF2<br>LEI: 6Y0GK87T6V7NJKZJVM41 | Long             | DBT              | CORP              | US        |   5914000 | PA      | $4919856.60   | 0.07%             | 2030-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                    | HSBC Holdings PLC                                                            | CUSIP: 404280DG1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2330000 | PA      | $2243813.30   | 0.03%             | 2028-08-11      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                      | SBA Tower Trust                                                              | CUSIP: 78403DAN0<br>LEI: N/A                  | Long             | DBT              |  | US        |  12661000 | PA      | $11933207.74  | 0.16%             | 2025-01-15      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST                            | Nelnet Student Loan Trust 2021-C                                             | CUSIP: 64035GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13460560 | PA      | $13005073.90  | 0.18%             | 2062-04-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Crossroads Asset Trust                               | Crossroads Asset Trust 2021-A                                                | CUSIP: 22767CAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1038558 | PA      | $1030982.74   | 0.01%             | 2024-03-20      | Fixed         | 0.82%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST                        | Commonbond Student Loan Trust 2021-B-GS                                      | CUSIP: 20268AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11740045 | PA      | $9528212.52   | 0.13%             | 2051-09-25      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                | Arroyo Mortgage Trust 2019-2                                                 | CUSIP: 042858AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2141199 | PA      | $1995948.90   | 0.03%             | 2049-04-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| HIGHMARK INC                                         | Highmark Inc                                                                 | CUSIP: 431116AD4<br>LEI: 549300B6868ZXXEB2Y57 | Long             | DBT              | CORP              | US        |  20542000 | PA      | $18077370.84  | 0.24%             | 2026-05-10      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Inflation Indexed Bonds                               | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40535250 | PA      | $36397048.89  | 0.49%             | 2030-01-15      | Fixed         | 0.13%                 | No            |                  1 | On Loan: No      |
| DUKE ENERGY CORP                                     | Duke Energy Corp                                                             | CUSIP: 26441CBT1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |  14790000 | PA      | $13898163.00  | 0.19%             | 2032-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                  | JPMorgan Chase & Co                                                          | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3906000 | PA      | $3723628.86   | 0.05%             | 2028-04-26      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| HP INC                                               | HP Inc                                                                       | CUSIP: 40434LAM7<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |  14002000 | PA      | $13599722.54  | 0.18%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JACKSON NATL LIFE GLOBAL                             | Jackson National Life Global Funding                                         | CUSIP: 46849LSS1<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4893450.00   | 0.07%             | 2024-01-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SILGAN HOLDINGS INC                                  | Silgan Holdings Inc                                                          | CUSIP: 827048AX7<br>LEI: KAF673KJXD92C8KSLU49 | Long             | DBT              | CORP              | US        |  14004000 | PA      | $12359790.36  | 0.17%             | 2026-04-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| ANGLOGOLD HOLDINGS PLC                               | AngloGold Ashanti Holdings PLC                                               | CUSIP: 03512TAF8<br>LEI: 213800745ZIXC4L6A131 | Long             | DBT              | CORP              | IM        |  23500000 | PA      | $20602920.00  | 0.28%             | 2028-11-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                          | PRKCM 2021-AFC2 Trust                                                        | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17788325 | PA      | $14738920.71  | 0.20%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                         | CSMC 2021-NQM8                                                               | CUSIP: 12659FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16961365 | PA      | $14452093.67  | 0.20%             | 2066-10-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| BRIGHTHOUSE FINANCIAL IN                             | Brighthouse Financial Inc                                                    | CUSIP: 10922NAG8<br>LEI: 5493003T8SZSHOGGAW52 | Long             | DBT              | CORP              | US        |  10707000 | PA      | $10186961.01  | 0.14%             | 2030-05-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                            | Nelnet Student Loan Trust 2013-1                                             | CUSIP: 64033CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3093651 | PA      | $2950517.97   | 0.04%             | 2041-06-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                                 | BAT International Finance PLC                                                | CUSIP: 05530QAP5<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |   3000000 | PA      | $2776770.00   | 0.04%             | 2028-03-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                            | Towd Point Mortgage Trust 2018-1                                             | CUSIP: 89176EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    358830 | PA      | $345988.53    | 0.00%             | 2058-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| LIBERTY UTILITIES FIN                                | Liberty Utilities Finance GP 1                                               | CUSIP: 531546AB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  11980000 | PA      | $8992787.00   | 0.12%             | 2030-09-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                     | Georgia Power Co                                                             | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |  20681000 | PA      | $19917043.86  | 0.27%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan Ltd.                              | Loanpal Solar Loan 2021-1 Ltd                                                | CUSIP: 53948PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17158232 | PA      | $12928727.24  | 0.17%             | 2048-01-20      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                | Arroyo Mortgage Trust 2022-1                                                 | CUSIP: 042855AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7338000 | PA      | $4645358.32   | 0.06%             | 2056-12-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| HIN Timeshare Trust 2020-A                           | HIN Timeshare Trust 2020-A                                                   | CUSIP: 40439HAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4093871 | PA      | $3779596.63   | 0.05%             | 2039-10-09      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                            | Nelnet Student Loan Trust 2021-D                                             | CUSIP: 64034YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19155905 | PA      | $18504425.86  | 0.25%             | 2062-04-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                             | Comision Federal de Electricidad                                             | CUSIP: 200447AH3<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |   8740000 | PA      | $6851373.40   | 0.09%             | 2031-02-09      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.     | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137BQBZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1181091 | PA      | $1175006.74   | 0.02%             | 2023-03-25      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                               | Sequoia Mortgage Trust 2013-6                                                | CUSIP: 81745BAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    716584 | PA      | $490648.65    | 0.01%             | 2043-05-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                        | CUSIP: 3128MFVB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    318232 | PA      | $301790.21    | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Carpintero Finance Ltd                               | Carpintero Finance Ltd                                                       | CUSIP: 14440PAA1<br>LEI: 549300Y5DJU1XVTHQF43 | Long             | DBT              | CORP              | KY        |   2285919 | PA      | $2211077.98   | 0.03%             | 2024-09-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Shellpoint Asset Funding Trust                       | Shellpoint Asset Funding Trust 2013-1                                        | CUSIP: 822804AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    917038 | PA      | $823157.46    | 0.01%             | 2043-07-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust                    | Affirm Asset Securitization Trust 2020-Z1                                    | CUSIP: 00832PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1312781 | PA      | $1301395.94   | 0.02%             | 2024-10-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                   | HERO Funding Trust 2015-1                                                    | CUSIP: 42770LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2543374 | PA      | $2396341.69   | 0.03%             | 2040-09-21      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Pennsylvania Higher Education Assistance Agency      | PHEAA Student Loan Trust 2012-1                                              | CUSIP: 69338YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    730098 | PA      | $701153.98    | 0.01%             | 2057-05-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| JT INTL FIN SERVICES BV                              | JT International Financial Services BV                                       | CUSIP: 480914AA8<br>LEI: 549300U2F0PG10VZUN93 | Long             | DBT              | CORP              | NL        |   5350000 | PA      | $5675173.00   | 0.08%             | 2032-10-24      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                           | CUSIP: 3137AVH34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    607232 | PA      | $568973.69    | 0.01%             | 2027-10-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust 2018-2                                   | CUSIP: 64828CAA7<br>LEI: 549300U1MV4J7YQZG974 | Long             | ABS-MBS          | CORP              | US        |   4138129 | PA      | $3973291.75   | 0.05%             | 2058-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust              | Freddie Mac Whole Loan Securities Trust 2016-SC01                            | CUSIP: 3137G1AW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    995315 | PA      | $936089.58    | 0.01%             | 2046-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Inflation Indexed Bonds                               | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  76594757 | PA      | $72179262.09  | 0.98%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  1 | On Loan: No      |
| BOEING CO                                            | Boeing Co/The                                                                | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   6256000 | PA      | $5686203.52   | 0.08%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                       | Open Text Corp                                                               | CUSIP: 683715AF3<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |   9723000 | PA      | $9803506.44   | 0.13%             | 2027-12-01      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                               | Mizuho Financial Group Inc                                                   | CUSIP: 60687YBC2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |  12978000 | PA      | $12896108.82  | 0.17%             | 2024-05-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| DIGITAL REALTY TRUST LP                              | Digital Realty Trust LP                                                      | CUSIP: 25389JAV8<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              |  | US        |  13400000 | PA      | $13490450.00  | 0.18%             | 2028-01-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CAPITAL CORP                                | Owl Rock Capital Corp                                                        | CUSIP: 69121KAF1<br>LEI: 2549000BD79OOCPF2L94 | Long             | DBT              | CORP              | US        |   2081000 | PA      | $1717782.26   | 0.02%             | 2027-01-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| RELIANCE STAND LIFE II                               | Reliance Standard Life Global Funding II                                     | CUSIP: 75951AAP3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  13490000 | PA      | $12652405.90  | 0.17%             | 2025-05-07      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                             | Foundation Finance Trust 2020-1                                              | CUSIP: 35041KAB8<br>LEI: 549300QVJKB4ZVR88F06 | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2732954.85   | 0.04%             | 2040-07-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                 | Bank of America Corp                                                         | CUSIP: 06051GKS7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   7305000 | PA      | $7130702.70   | 0.10%             | 2025-04-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                             | AT&T Inc                                                                     | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1016000 | PA      | $781304.00    | 0.01%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust        | BHG Securitization Trust 2022-A                                              | CUSIP: 054977AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  26899083 | PA      | $25132572.02  | 0.34%             | 2035-02-20      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                            | CUSIP: 31396QKJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       104 | PA      | $103.31       | 0.00%             | 2024-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ECAF LTD                                             | ECAF I Ltd                                                                   | CUSIP: 26827EAC9<br>LEI: 635400SSRNQERTYCWK57 | Long             | ABS-O            | CORP              | KY        |   3468692 | PA      | $2150464.37   | 0.03%             | 2040-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                           | MFA 2021-INV1 Trust                                                          | CUSIP: 552747AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4838975 | PA      | $4247412.13   | 0.06%             | 2056-01-25      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDON                                        | UBS AG/London                                                                | CUSIP: 902674YL8<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |   2800000 | PA      | $2779336.00   | 0.04%             | 2024-08-09      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| ExteNet Systems                                      | ExteNet LLC 2019-1                                                           | CUSIP: 30227XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9855000 | PA      | $9251182.18   | 0.12%             | 2049-07-26      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                         | Barclays PLC                                                                 | CUSIP: 06738EBC8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  17500000 | PA      | $17472525.00  | 0.24%             | 2024-05-16      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd      | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                       | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  37350000 | PA      | $36155913.03  | 0.49%             | 2037-01-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                    | HSBC Holdings PLC                                                            | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   9550000 | PA      | $7970143.50   | 0.11%             | 2028-09-22      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| METALLOINVEST FINANCE                                | Metalloinvest Finance DAC                                                    | CUSIP: 59126LAB4<br>LEI: 635400ZS3HCCUYTNHA25 | Long             | DBT              | CORP              | IE        |  12700000 | PA      | $6824726.00   | 0.09%             | 2028-10-22      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                              | American Electric Power Co Inc                                               | CUSIP: 025537AN1<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |  14211000 | PA      | $11633977.26  | 0.16%             | 2030-03-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Diamond Infrastructure Funding LLC                   | Diamond Infrastructure Funding LLC                                           | CUSIP: 25265LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  36000000 | PA      | $29487124.80  | 0.40%             | 2049-04-15      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                    | Sierra Timeshare 2019-1 Receivables Funding LLC                              | CUSIP: 82653EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    813447 | PA      | $790347.58    | 0.01%             | 2036-01-20      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                       | Pagaya AI Debt Selection Trust 2021-HG1                                      | CUSIP: 69547PAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7858559 | PA      | $7412130.36   | 0.10%             | 2029-01-16      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust 2018-1                                   | CUSIP: 64830GAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2340154 | PA      | $2194596.39   | 0.03%             | 2057-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| MIDWEST CONNECTOR CAPIT                              | Midwest Connector Capital Co LLC                                             | CUSIP: 59833CAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  16535000 | PA      | $14919034.45  | 0.20%             | 2029-04-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                               | Mitsubishi UFJ Financial Group Inc                                           | CUSIP: 606822BW3<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |  14075000 | PA      | $13081164.25  | 0.18%             | 2025-07-19      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL SERVICES                             | Hyundai Capital Services Inc                                                 | CUSIP: 44920UAP3<br>LEI: 549300MALMDAGL2ZJJ27 | Long             | DBT              | CORP              | KR        |   2970000 | PA      | $2579860.80   | 0.03%             | 2026-02-08      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust 2020-2                          | CUSIP: 02529WAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6069424 | PA      | $6018388.93   | 0.08%             | 2026-04-13      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FWD Securitization Trust                             | FWDSecuritization Trust 2019-INV1                                            | CUSIP: 302980AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1695151 | PA      | $1518451.02   | 0.02%             | 2049-06-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                    | HSBC Holdings PLC                                                            | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   6800000 | PA      | $6198608.00   | 0.08%             | 2026-06-04      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                  | Charles Schwab Corp/The                                                      | CUSIP: 808513BZ7<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |  33148000 | PA      | $32238087.40  | 0.44%             | 2027-03-03      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                              | MPLX LP                                                                      | CUSIP: 55336VBU3<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   4916000 | PA      | $4609979.00   | 0.06%             | 2032-09-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                        | Citigroup Inc                                                                | CUSIP: 172967MZ1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3132000 | PA      | $2991999.60   | 0.04%             | 2027-06-09      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                     | Societe Generale SA                                                          | CUSIP: 83368RBF8<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   6400000 | PA      | $6161984.00   | 0.08%             | 2026-01-21      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                       | Morgan Stanley                                                               | CUSIP: 61747YEB7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  11785000 | PA      | $11160748.55  | 0.15%             | 2025-01-22      | Fixed         | 0.79%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust 2017-2                                   | CUSIP: 64829KBV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3273647 | PA      | $3067117.80   | 0.04%             | 2057-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Avant Credit Card Master Trust                       | Avant Credit Card Master Trust                                               | CUSIP: 05351KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11900000 | PA      | $10887005.36  | 0.15%             | 2027-04-15      | Fixed         | 1.37%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                                    | ITC Holdings Corp                                                            | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |  14800000 | PA      | $12516360.00  | 0.17%             | 2030-05-14      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation              | Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-9A      | CUSIP: 86359ARF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    313225 | PA      | $301556.95    | 0.00%             | 2033-03-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                | Arroyo Mortgage Trust 2021-1R                                                | CUSIP: 042853AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10067418 | PA      | $7903435.84   | 0.11%             | 2048-10-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| OSCAR US Funding Trust                               | Oscar US Funding XII LLC                                                     | CUSIP: 68785AAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JP        |  18000000 | PA      | $17450128.44  | 0.24%             | 2025-04-10      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust         | Arivo Acceptance Auto Loan Receivables Trust 2019-1                          | CUSIP: 04046LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2024-07-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                     | SMB Private Education Loan Trust 2021-D                                      | CUSIP: 78449MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8337922 | PA      | $8057902.51   | 0.11%             | 2053-03-17      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                            | Towd Point Mortgage Trust 2017-1                                             | CUSIP: 89173FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    486785 | PA      | $478598.10    | 0.01%             | 2056-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                  | SG Residential Mortgage Trust 2021-2                                         | CUSIP: 78432YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16025520 | PA      | $12814909.70  | 0.17%             | 2061-12-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                  | JPMorgan Chase & Co                                                          | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3040000 | PA      | $2967891.20   | 0.04%             | 2028-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                             | Service Properties Trust                                                     | CUSIP: 44106MAV4<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |   4020000 | PA      | $3361242.60   | 0.05%             | 2026-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                                  | Oportun Funding 2022-1 LLC                                                   | CUSIP: 68377XAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13371399 | PA      | $13140138.85  | 0.18%             | 2029-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                  | SG Residential Mortgage Trust 2020-2                                         | CUSIP: 81882JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10881746 | PA      | $9586598.24   | 0.13%             | 2065-05-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                               | Sequoia Mortgage Trust 2013-7                                                | CUSIP: 81745CAH6<br>LEI: 549300DFASAA48I36408 | Long             | ABS-MBS          | CORP              | US        |    511997 | PA      | $387175.59    | 0.01%             | 2043-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                                  | Oportun Issuance Trust 2022-3                                                | CUSIP: 68378NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  22026000 | PA      | $21339804.42  | 0.29%             | 2031-06-09      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                           | MFA 2021-INV2 Trust                                                          | CUSIP: 552732AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  25398641 | PA      | $20733349.87  | 0.28%             | 2056-11-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| AXIS Equipment Finance Receivables LLC               | Amur Equipment Finance Receivables X LLC                                     | CUSIP: 03236VAB7<br>LEI: 549300K5Y88MV8B4M421 | Long             | ABS-O            | CORP              | US        |  30199340 | PA      | $28660092.26  | 0.39%             | 2027-10-20      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                     | Societe Generale SA                                                          | CUSIP: 83368RAT9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   8000000 | PA      | $7808960.00   | 0.11%             | 2024-03-28      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                              | Fannie Mae Grantor Trust 2017-T1                                             | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  17890988 | PA      | $16687017.58  | 0.23%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                              | Hyundai Capital America                                                      | CUSIP: 44891ABY2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   8872000 | PA      | $8201276.80   | 0.11%             | 2024-09-17      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                  | SG Residential Mortgage Trust 2019-3                                         | CUSIP: 78432BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    530401 | PA      | $515046.01    | 0.01%             | 2059-09-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.     | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137FCLD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4420000 | PA      | $4200546.12   | 0.06%             | 2027-11-25      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                    | HSBC Holdings PLC                                                            | CUSIP: 404280DE6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   5400000 | PA      | $5241942.00   | 0.07%             | 2025-12-09      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                   | Seasoned Credit Risk Transfer Trust Series 2020-2                            | CUSIP: 35563PQP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  23409921 | PA      | $20936566.54  | 0.28%             | 2059-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                               | Fairfax Financial Holdings Ltd                                               | CUSIP: 303901BK7<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |  15746000 | PA      | $14786596.22  | 0.20%             | 2032-08-16      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| INFOR INC                                            | Infor Inc                                                                    | CUSIP: 45674CAA1<br>LEI: 549300Q3IIYBYI4RHD64 | Long             | DBT              | CORP              | US        |  12382000 | PA      | $11170792.76  | 0.15%             | 2025-07-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| OWL ROCK TECHNOLOGY FINA                             | Owl Rock Technology Finance Corp                                             | CUSIP: 691205AC2<br>LEI: 254900G5EZJSOD3UKL16 | Long             | DBT              | CORP              | US        |  17883000 | PA      | $16328430.81  | 0.22%             | 2025-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                             | CUSIP: 3132DN2A0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27097383 | PA      | $22931309.20  | 0.31%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ACC Auto Trust                                       | ACC Auto Trust 2021-A                                                        | CUSIP: 00108XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4110893 | PA      | $4063398.05   | 0.05%             | 2027-04-15      | Fixed         | 1.08%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                            | Towd Point Mortgage Trust 2018-6                                             | CUSIP: 89176LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9535350 | PA      | $9254379.25   | 0.13%             | 2058-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                | Arroyo Mortgage Trust 2020-1                                                 | CUSIP: 04285CAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6518000 | PA      | $5540210.25   | 0.07%             | 2055-03-25      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                         | UBS Group AG                                                                 | CUSIP: 902613AR9<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   9800000 | PA      | $9641436.00   | 0.13%             | 2025-08-05      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                               | CenterPoint Energy Inc                                                       | CUSIP: 15189TAZ0<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |   2289000 | PA      | $2261028.42   | 0.03%             | 2024-05-13      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                              | Goldman Sachs Group Inc/The                                                  | CUSIP: 38150AGZ2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | SN               | CORP              | US        |  14450000 | PA      | $14377316.50  | 0.19%             | 2024-07-16      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| WIPRO IT SERVICE                                     | Wipro IT Services LLC                                                        | CUSIP: 97654MAA4<br>LEI: 549300S6XZZ65F0EJS98 | Long             | DBT              | CORP              | US        |  10647000 | PA      | $9357009.48   | 0.13%             | 2026-06-23      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NBN CO LTD                                           | NBN Co Ltd                                                                   | CUSIP: 62878U2D3<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | CORP              | AU        |   9800000 | PA      | $8506792.00   | 0.11%             | 2027-01-08      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                           | Navient Private Education Refi Loan Trust 2021-A                             | CUSIP: 63942BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3464167 | PA      | $2991167.86   | 0.04%             | 2069-05-15      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                   | Aqua Finance Trust 2020-A                                                    | CUSIP: 038413AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  22762239 | PA      | $21111566.33  | 0.29%             | 2046-07-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                           | Navient Student Loan Trust 2014-1                                            | CUSIP: 63938EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5096129 | PA      | $4817319.52   | 0.07%             | 2031-06-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                           | VMware Inc                                                                   | CUSIP: 928563AD7<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |  15043000 | PA      | $14749511.07  | 0.20%             | 2025-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                  | DT Auto Owner Trust 2019-4                                                   | CUSIP: 23343JAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7500000 | PA      | $7349640.75   | 0.10%             | 2025-07-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| NVENT FINANCE SARL                                   | nVent Finance Sarl                                                           | CUSIP: 67078AAE3<br>LEI: 549300KO1OQ4MVFB6X02 | Long             | DBT              | CORP              | LU        |   6462000 | PA      | $4942719.18   | 0.07%             | 2031-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Dext ABS                                             | Dext ABS 2021-1 LLC                                                          | CUSIP: 23345CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10118958 | PA      | $9657490.27   | 0.13%             | 2028-02-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FIN NA                                 | Mercedes-Benz Finance North America LLC                                      | CUSIP: 233851DL5<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |   4725000 | PA      | $4697925.75   | 0.06%             | 2023-05-04      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BROADCOM CRP / CAYMN FI                              | Broadcom Corp / Broadcom Cayman Finance Ltd                                  | CUSIP: 11134LAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   1712000 | PA      | $1620750.40   | 0.02%             | 2027-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                          | Oracle Corp                                                                  | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |  15136000 | PA      | $13564580.48  | 0.18%             | 2026-03-25      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                           | Navient Student Loan Trust 2019-B                                            | CUSIP: 63941LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1471503 | PA      | $1450771.03   | 0.02%             | 2059-12-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                               | Santander Holdings USA Inc                                                   | CUSIP: 80282KAZ9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   6823000 | PA      | $6317620.39   | 0.09%             | 2026-10-05      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Khadrawy Ltd                                         | Khadrawy Ltd                                                                 | CUSIP: 49374GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   1660371 | PA      | $1607355.76   | 0.02%             | 2025-03-31      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust 2022-NQM3                                | CUSIP: 64831QAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  42428531 | PA      | $38748412.41  | 0.52%             | 2062-04-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                                  | CDW LLC / CDW Finance Corp                                                   | CUSIP: 12513GBF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  16381000 | PA      | $13960707.25  | 0.19%             | 2029-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY LP                                    | Vornado Realty LP                                                            | CUSIP: 929043AK3<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              |  | US        |   7000000 | PA      | $5929840.00   | 0.08%             | 2026-06-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                   | Seasoned Credit Risk Transfer Trust Series 2020-1                            | CUSIP: 35563PNP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3120767 | PA      | $2847732.10   | 0.04%             | 2059-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                             | CUSIP: 912828K74<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $28321875.00  | 0.38%             | 2025-08-15      | Fixed         | 2.00%                 | No            |                  1 | On Loan: No      |
| PANASONIC HOLDINGS CORP                              | Panasonic Holdings Corp                                                      | CUSIP: 69832AAB2<br>LEI: 254900GE1G59KGWPHX32 | Long             | DBT              | CORP              | JP        |   2000000 | PA      | $1915420.00   | 0.03%             | 2024-07-19      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                             | JP Morgan Mortgage Trust 2019-INV2                                           | CUSIP: 46651DBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9302834 | PA      | $7238842.33   | 0.10%             | 2050-02-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                             | JP Morgan Mortgage Trust 2014-IVR3                                           | CUSIP: 46643BBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1940616 | PA      | $1866798.13   | 0.03%             | 2044-09-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| GCAT                                                 | GCAT 2021-CM1 Trust                                                          | CUSIP: 36168AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11605729 | PA      | $10882823.09  | 0.15%             | 2065-04-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                              | Public Service Co of Oklahoma                                                | CUSIP: 744533BM1<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |   5905000 | PA      | $4696541.75   | 0.06%             | 2031-08-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                               | Santander Holdings USA Inc                                                   | CUSIP: 80282KBB1<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   4453000 | PA      | $4239256.00   | 0.06%             | 2025-06-02      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                 | Enel Finance International NV                                                | CUSIP: 29278GBA5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   4000000 | PA      | $4250800.00   | 0.06%             | 2032-10-14      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                          | PRKCM 2021-AFC1 Trust                                                        | CUSIP: 69357TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32031150 | PA      | $25263343.09  | 0.34%             | 2056-08-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                               | SLM Student Loan Trust 2011-2                                                | CUSIP: 78446JAB2<br>LEI: 549300GQO6PBOYVGSS10 | Long             | ABS-O            | CORP              | US        |   9703318 | PA      | $9633577.76   | 0.13%             | 2034-10-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                              | Flagstar Mortgage Trust 2017-1                                               | CUSIP: 33850BAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1935295 | PA      | $1704604.48   | 0.02%             | 2047-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES PWR-WISC                             | Northern States Power Co/WI                                                  | CUSIP: 665789AY9<br>LEI: OOVRSRHKQSBLKRB7QM17 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2439725.00   | 0.03%             | 2024-06-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                      | SBA Tower Trust                                                              | CUSIP: 78403DAT7<br>LEI: N/A                  | Long             | DBT              |  | US        |  26000000 | PA      | $22081233.20  | 0.30%             | 2026-11-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Inflation Indexed Bonds                               | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  65187242 | PA      | $57809405.66  | 0.78%             | 2031-01-15      | Fixed         | 0.13%                 | No            |                  1 | On Loan: No      |
| OWL ROCK CORE INCOME COR                             | OWL Rock Core Income Corp                                                    | CUSIP: 69120VAL5<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |   6810000 | PA      | $6610807.50   | 0.09%             | 2025-03-21      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                              | CUSIP: 31418D2Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1397031 | PA      | $1270119.12   | 0.02%             | 2031-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TRANE TECHNOLOGIES CO LL                             | Trane Technologies Co LLC                                                    | CUSIP: 456866AK8<br>LEI: 549300S2NUDMTQBEXQ18 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3021270.00   | 0.04%             | 2027-11-15      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| VONTIER CORP                                         | Vontier Corp                                                                 | CUSIP: 928881AB7<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |   5272000 | PA      | $4459901.12   | 0.06%             | 2026-04-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                              | CUSIP: 3140N1T37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9132320 | PA      | $9015788.50   | 0.12%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                  | American Tower Corp                                                          | CUSIP: 03027XBR0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |   4969000 | PA      | $4334657.46   | 0.06%             | 2026-09-15      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                             | Vistra Operations Co LLC                                                     | CUSIP: 92840VAK8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |  25918000 | PA      | $25379164.78  | 0.34%             | 2024-05-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                   | Seasoned Credit Risk Transfer Trust Series 2017-3                            | CUSIP: 35563PBY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8234829 | PA      | $7748534.03   | 0.10%             | 2056-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                               | Fairfax Financial Holdings Ltd                                               | CUSIP: 303901BJ0<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |   5261000 | PA      | $4290450.72   | 0.06%             | 2031-03-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                           | Navient Private Education Refi Loan Trust 2019-D                             | CUSIP: 63941CAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9501659 | PA      | $9231502.21   | 0.12%             | 2059-12-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                       | Bayview Commercial Asset Trust 2004-3                                        | CUSIP: 07324SAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    789124 | PA      | $786789.06    | 0.01%             | 2035-01-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2013-2                             | American Airlines 2013-2 Class A Pass Through Trust                          | CUSIP: 02377UAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1205396 | PA      | $1200586.27   | 0.02%             | 2023-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                             | OBX 2021-NQM2 Trust                                                          | CUSIP: 670857AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19359033 | PA      | $14561535.54  | 0.20%             | 2061-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| QORVO INC                                            | Qorvo Inc                                                                    | CUSIP: 74736KAH4<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |    930000 | PA      | $821831.70    | 0.01%             | 2029-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| KYNDRYL HOLDINGS INC                                 | Kyndryl Holdings Inc                                                         | CUSIP: 50155QAJ9<br>LEI: 549300LQ4LWX2R8ZV130 | Long             | DBT              | CORP              | US        |  10562000 | PA      | $8732767.22   | 0.12%             | 2026-10-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Colorado Educational & Cultural Facilities Authority | COLORADO ST EDUCTNL & CULTURAL FACS AUTH REVENUE                             | CUSIP: 19645R6G1<br>LEI: 549300BJRX2FHSSZP042 | Long             | DBT              | MUN               | US        |    580000 | PA      | $577907.36    | 0.01%             | 2023-03-01      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| OWL ROCK TECHNOLOGY FINA                             | Owl Rock Technology Finance Corp                                             | CUSIP: 691205AE8<br>LEI: 254900G5EZJSOD3UKL16 | Long             | DBT              | CORP              | US        |  12276000 | PA      | $10679383.44  | 0.14%             | 2026-06-17      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE                               | Westinghouse Air Brake Technologies Corp                                     | CUSIP: 960386AN0<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |   3853000 | PA      | $3789964.92   | 0.05%             | 2024-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                           | MFA 2022-INV3 Trust                                                          | CUSIP: 55284PAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13129000 | PA      | $10420816.84  | 0.14%             | 2066-12-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                         | UBS Group AG                                                                 | CUSIP: 902613AH1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   7121000 | PA      | $6125056.94   | 0.08%             | 2027-08-10      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                             | Onslow Bay Mortgage Loan Trust                                               | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  48890504 | PA      | $38832775.57  | 0.52%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                            | Prosus NV                                                                    | CUSIP: 74365PAG3<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   6400000 | PA      | $5764928.00   | 0.08%             | 2027-01-19      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| LendingPoint Pass-Through Trust                      | LendingPoint Pass-Through Trust Series 2022-ST3                              | CUSIP: 52607TAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7621305 | PA      | $7334835.49   | 0.10%             | 2028-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Avangrid Inc                                         | Avangrid Inc                                                                 | CUSIP: 05351WAA1<br>LEI: 549300OX0Q38NLSKPB49 | Long             | DBT              | CORP              | US        |   8870000 | PA      | $8502338.50   | 0.11%             | 2024-12-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                  | Petroleos Mexicanos                                                          | CUSIP: 71654QCP5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |  10007000 | PA      | $8579801.66   | 0.12%             | 2029-01-23      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                              | CUSIP: 31418CZ72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3483386 | PA      | $3374479.44   | 0.05%             | 2038-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM CRP / CAYMN FI                              | Broadcom Corp / Broadcom Cayman Finance Ltd                                  | CUSIP: 11134LAR0<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |  12245000 | PA      | $11161195.05  | 0.15%             | 2028-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                               | Motorola Solutions Inc                                                       | CUSIP: 620076BW8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |  24026000 | PA      | $23442168.20  | 0.32%             | 2032-06-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FHF Trust 2021-1                                     | FHF Trust 2021-1                                                             | CUSIP: 30260WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9657646 | PA      | $9189888.32   | 0.12%             | 2027-03-15      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs    | United States Small Business Administration                                  | CUSIP: 83162CUS0<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   2356281 | PA      | $2164013.68   | 0.03%             | 2032-04-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| BRIGHTHSE FIN GLBL FUND                              | Brighthouse Financial Global Funding                                         | CUSIP: 10921U2B3<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |   7247000 | PA      | $7165108.90   | 0.10%             | 2024-04-12      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                   | Seasoned Loans Structured Transaction Trust Series 2020-2                    | CUSIP: 35564CGN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  33998539 | PA      | $30127669.30  | 0.41%             | 2030-09-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                          | BNP Paribas SA                                                               | CUSIP: 09659W2R4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   3650000 | PA      | $2977852.50   | 0.04%             | 2029-09-15      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                           | CUSIP: 3137AFJJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151548 | PA      | $144501.51    | 0.00%             | 2041-04-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                             | CUSIP: 3132DNQ30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14882458 | PA      | $13061803.31  | 0.18%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                  | American Tower Corp                                                          | CUSIP: 03027XAZ3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |  12850000 | PA      | $12088637.50  | 0.16%             | 2025-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                   | Seasoned Credit Risk Transfer Trust Series 2018-4                            | CUSIP: 35563PHA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11482352 | PA      | $10687934.42  | 0.14%             | 2058-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Program LLC                 | SoFi Professional Loan Program 2017-E LLC                                    | CUSIP: 83404KAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    374683 | PA      | $372075.63    | 0.01%             | 2040-11-26      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                  | JPMorgan Chase & Co                                                          | CUSIP: 46647PBW5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   4690000 | PA      | $4083911.30   | 0.06%             | 2027-02-04      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                 | Bank of America Corp                                                         | CUSIP: 06051GJX8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   5093000 | PA      | $5045125.80   | 0.07%             | 2024-05-28      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| PHOSAGRO(PHOS BOND FUND)                             | Phosagro OAO Via Phosagro Bond Funding DAC                                   | CUSIP: 71922LAB5<br>LEI: 635400F8A3KGJIIBIK95 | Long             | DBT              | CORP              | IE        |  29098000 | PA      | $18173155.90  | 0.25%             | 2023-04-24      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CHNGE 2022 2 M1                                      | CHNGE Mortgage Trust 2022-2                                                  | CUSIP: 12546YAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14163000 | PA      | $11647365.11  | 0.16%             | 2067-03-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| TELEDYNE TECHNOLOGIES IN                             | Teledyne Technologies Inc                                                    | CUSIP: 879360AD7<br>LEI: 549300VSMO9KYQWDND94 | Long             | DBT              | CORP              | US        |  14013000 | PA      | $12098543.94  | 0.16%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| SHARJAH SUKUK PROGRAM                                | Sharjah Sukuk Program Ltd                                                    | CUSIP: 000000000<br>LEI: 549300N3BQ9P6RRMVV02 | Long             | DBT              | NUSS              | KY        |   2000000 | PA      | $1903340.00   | 0.03%             | 2028-03-14      | Fixed         | 4.23%                 | Yes           |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                     | Deutsche Bank AG/New York NY                                                 | CUSIP: 251526BS7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |  17100000 | PA      | $17109918.00  | 0.23%             | 2023-02-27      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                             | New York Life Global Funding                                                 | CUSIP: 64952WEE9<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |  22760000 | PA      | $22015748.00  | 0.30%             | 2026-06-09      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Trimble Inc                                          | Trimble Inc                                                                  | CUSIP: 896239AA8<br>LEI: 549300E2MI7NSZFQWS19 | Long             | DBT              | CORP              | US        |  17000000 | PA      | $16819630.00  | 0.23%             | 2024-12-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                              | Goldman Sachs Group Inc/The                                                  | CUSIP: 38141GYH1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  10881000 | PA      | $10309203.45  | 0.14%             | 2027-09-10      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC                | Charter Communications Operating, LLC 2019 Term Loan B2                      | CUSIP: 16117LBX6<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2027-02-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Entergy Texas Inc                                    | Entergy Texas Inc                                                            | CUSIP: 29365TAF1<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |   9000000 | PA      | $8299080.00   | 0.11%             | 2027-12-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                      | Goodgreen 2021-1 Trust                                                       | CUSIP: 38217UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18617699 | PA      | $15091451.13  | 0.20%             | 2056-10-15      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust        | BHG Securitization Trust 2021-B                                              | CUSIP: 08862BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8595464 | PA      | $8077494.86   | 0.11%             | 2034-10-17      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| SK HYNIX INC                                         | SK Hynix Inc                                                                 | CUSIP: 78392BAC1<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |   6588000 | PA      | $4837897.80   | 0.07%             | 2031-01-19      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY FINANCE                               | Alliant Energy Finance LLC                                                   | CUSIP: 01882YAC0<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |   5240000 | PA      | $4524740.00   | 0.06%             | 2026-03-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                   | Aqua Finance Trust 2019-A                                                    | CUSIP: 038370AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3145198 | PA      | $2942374.20   | 0.04%             | 2040-07-16      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                        | Citigroup Inc                                                                | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      9000 | PA      | $8120.88      | 0.00%             | 2028-02-24      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| DXC TECHNOLOGY CO                                    | DXC Technology Co                                                            | CUSIP: 23355LAM8<br>LEI: 549300DOVZ3EDJB7O259 | Long             | DBT              | CORP              | US        |  26644000 | PA      | $22404140.28  | 0.30%             | 2028-09-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                 | Bank of America Corp                                                         | CUSIP: 06051GJR1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   9525000 | PA      | $8927592.00   | 0.12%             | 2025-04-22      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                | Arroyo Mortgage Trust 2019-3                                                 | CUSIP: 04285AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4958330 | PA      | $4509026.13   | 0.06%             | 2048-10-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                         | CSMC 2021-AFC1 Trust                                                         | CUSIP: 12657LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9885216 | PA      | $7658347.88   | 0.10%             | 2056-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, INC.            | RAMP Series 2003-SL1 Trust                                                   | CUSIP: 760985E64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    363522 | PA      | $361615.90    | 0.00%             | 2031-04-25      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                   | F&G Global Funding                                                           | CUSIP: 30321L2D3<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |  13520000 | PA      | $11908956.80  | 0.16%             | 2027-04-11      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Inflation Indexed Bonds                               | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14488752 | PA      | $13623822.19  | 0.18%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  1 | On Loan: No      |
| Oportun Funding LLC                                  | Oportun Funding XIII LLC                                                     | CUSIP: 68377FAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5418434 | PA      | $5257729.55   | 0.07%             | 2025-08-08      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Diamond Issuer LLC                                   | Diamond Issuer                                                               | CUSIP: 25267TAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  27894000 | PA      | $23122946.08  | 0.31%             | 2051-11-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Inflation Indexed Bonds                               | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  80067248 | PA      | $76231527.93  | 1.03%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  1 | On Loan: No      |
| HSBC HOLDINGS PLC                                    | HSBC Holdings PLC                                                            | CUSIP: 404280CJ6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   3025000 | PA      | $2731454.00   | 0.04%             | 2026-04-18      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                         | Upstart Securitization Trust 2021-4                                          | CUSIP: 91682NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3583859 | PA      | $3468307.79   | 0.05%             | 2031-09-20      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                           | CUSIP: 3137AQLA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    281832 | PA      | $280269.99    | 0.00%             | 2023-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                           | MFA 2020-NQM3 Trust                                                          | CUSIP: 552757AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3614217 | PA      | $3181199.65   | 0.04%             | 2065-01-26      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                            | Nelnet Student Loan Trust 2015-3                                             | CUSIP: 64033TAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1434311 | PA      | $1402987.02   | 0.02%             | 2051-02-27      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Mission Lane Credit Card Master Trust                | Mission Lane Credit Card Master Trust                                        | CUSIP: 60510MAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  21455000 | PA      | $20777901.66  | 0.28%             | 2026-09-15      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                      | SBA Tower Trust                                                              | CUSIP: 78403DAV2<br>LEI: N/A                  | Long             | DBT              |  | US        |   8140000 | PA      | $6895095.26   | 0.09%             | 2027-04-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL SERVICES                             | Hyundai Capital Services Inc                                                 | CUSIP: 44920UAM0<br>LEI: 549300MALMDAGL2ZJJ27 | Long             | DBT              | CORP              | KR        |   2029000 | PA      | $2022913.00   | 0.03%             | 2023-03-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                             | Foundation Finance Trust 2020-1                                              | CUSIP: 35041KAA0<br>LEI: 549300QVJKB4ZVR88F06 | Long             | ABS-O            | CORP              | US        |   5785793 | PA      | $5531544.56   | 0.07%             | 2040-07-16      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| BLACK HILLS CORP                                     | Black Hills Corp                                                             | CUSIP: 092113AU3<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |  22410000 | PA      | $20916597.60  | 0.28%             | 2024-08-23      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC (GAZ FN)                                | Gazprom PJSC via Gaz Finance PLC                                             | CUSIP: 000000000<br>LEI: 213800UNP9N6BPNYMQ45 | Long             | DBT              | CORP              | GB        |  32475000 | PA      | $21009051.75  | 0.28%             | 2031-07-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                       | Pagaya AI Debt Trust 2022-1                                                  | CUSIP: 69546MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20463981 | PA      | $19513676.43  | 0.26%             | 2029-10-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                            | College Ave Student Loans 2021-C LLC                                         | CUSIP: 19424WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14874592 | PA      | $13849641.62  | 0.19%             | 2055-07-26      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Appalachian Consumer Rate Relief Funding LLC         | Appalachian Consumer Rate Relief Funding LLC                                 | CUSIP: 037680AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    681412 | PA      | $679734.46    | 0.01%             | 2024-02-01      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| RELIANCE STAND LIFE II                               | Reliance Standard Life Global Funding II                                     | CUSIP: 75951AAQ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10762000 | PA      | $9300197.54   | 0.13%             | 2026-09-28      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Inflation Indexed Bonds                               | CUSIP: 912828B25<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14092136 | PA      | $13793841.24  | 0.19%             | 2024-01-15      | Fixed         | 0.63%                 | No            |                  1 | On Loan: No      |
| Pawnee Equipment Receivables                         | Pawneee Equipment Receivables Series 2021-1 LLC                              | CUSIP: 704100AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6453699 | PA      | $6153620.43   | 0.08%             | 2027-07-15      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| AMEREN CORP                                          | Ameren Corp                                                                  | CUSIP: 023608AK8<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |   9990000 | PA      | $8473817.70   | 0.11%             | 2028-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                        | Commonbond Student Loan Trust 2018-C-GS                                      | CUSIP: 20267XAA1<br>LEI: 549300O1CSZVJJTIR319 | Long             | ABS-O            | CORP              | US        |   1876083 | PA      | $1797523.33   | 0.02%             | 2046-02-25      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                               | SLM Student Loan Trust 2013-6                                                | CUSIP: 78448CAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  25930226 | PA      | $24834562.15  | 0.34%             | 2028-06-26      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL FINANCIAL                              | Fidelity National Financial Inc                                              | CUSIP: 31620RAJ4<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |  14931000 | PA      | $12605795.37  | 0.17%             | 2030-06-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST GAS CORP                                   | Southwest Gas Corp                                                           | CUSIP: 845011AF2<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |   4828000 | PA      | $4916014.44   | 0.07%             | 2027-12-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                             | Warnermedia Holdings Inc                                                     | CUSIP: 55903VAC7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   4090000 | PA      | $3969590.40   | 0.05%             | 2024-03-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                          | Viatris Inc                                                                  | CUSIP: 92556VAC0<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |   4935000 | PA      | $4217302.95   | 0.06%             | 2027-06-22      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                     | T-Mobile USA Inc                                                             | CUSIP: 87264ABU8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   4847000 | PA      | $4439318.83   | 0.06%             | 2026-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| LendingPoint Pass-Through Trust                      | LendingPoint Pass-Through Trust Series 2022-ST1                              | CUSIP: 52607NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6260749 | PA      | $5902987.13   | 0.08%             | 2028-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS                                     | Antares Holdings LP                                                          | CUSIP: 03666HAA9<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |  10075000 | PA      | $9898385.25   | 0.13%             | 2023-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                       | Morgan Stanley                                                               | CUSIP: 61747YEG6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   9635000 | PA      | $8865452.55   | 0.12%             | 2025-10-21      | Fixed         | 1.16%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust                     | Vista Point Securitization Trust 2020-2                                      | CUSIP: 92838TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5323752 | PA      | $4677404.11   | 0.06%             | 2065-04-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                    | HSBC Holdings PLC                                                            | CUSIP: 404280CX5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   3430000 | PA      | $2971271.80   | 0.04%             | 2027-11-22      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                        | Lendbuzz Securitization Trust 2021-1                                         | CUSIP: 52607BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15709879 | PA      | $14996230.90  | 0.20%             | 2026-06-15      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                             | Equitable Financial Life Global Funding                                      | CUSIP: 29449WAB3<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |   4433000 | PA      | $3710997.29   | 0.05%             | 2027-08-27      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                         | Hilton Grand Vacations Trust 2020-A                                          | CUSIP: 43285HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    895999 | PA      | $840922.86    | 0.01%             | 2039-02-25      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitization Trust              | Lendingpoint 2022-B Asset Securitization Trust                               | CUSIP: 52606WAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6992829 | PA      | $6826943.27   | 0.09%             | 2029-10-15      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                              | SCF Equipment Leasing 2019-2 LLC                                             | CUSIP: 784034AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2799613.32   | 0.04%             | 2027-06-21      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| ALLEGION PLC                                         | Allegion PLC                                                                 | CUSIP: 01748TAB7<br>LEI: 984500560CAC2E6FB757 | Long             | DBT              | CORP              | IE        |   3059000 | PA      | $2636735.64   | 0.04%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                        | Citigroup Inc                                                                | CUSIP: 172967MW8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   5753000 | PA      | $5648122.81   | 0.08%             | 2025-05-01      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                             | CUSIP: 3132DNYX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14879822 | PA      | $14861645.09  | 0.20%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables VII LLC           | Amur Equipment Finance Receivables VII LLC                                   | CUSIP: 03237MAB6<br>LEI: 5493008OAETJ1UTO4Q72 | Long             | ABS-O            | CORP              | US        |     68992 | PA      | $68992.23     | 0.00%             | 2024-06-20      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| MIDLAND COGEN VENTURE                                | Midland Cogeneration Venture LP                                              | CUSIP: 59748TAA7<br>LEI: A7EF7IZXZY5NPHMMPV49 | Long             | DBT              | CORP              | US        |    810589 | PA      | $824790.22    | 0.01%             | 2025-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                             | CUSIP: 912828M56<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16967000 | PA      | $16060325.94  | 0.22%             | 2025-11-15      | Fixed         | 2.25%                 | No            |                  1 | On Loan: No      |
| GLOBAL PAYMENTS INC                                  | Global Payments Inc                                                          | CUSIP: 891906AE9<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   1335000 | PA      | $1326789.75   | 0.02%             | 2023-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                   | Seasoned Credit Risk Transfer Trust Series 2017-1                            | CUSIP: 35563PAP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4678313 | PA      | $4374394.68   | 0.06%             | 2056-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitization Trust              | Lendingpoint 2021-B Asset Securitization Trust                               | CUSIP: 52607HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2182141 | PA      | $2165599.81   | 0.03%             | 2029-02-15      | Fixed         | 1.11%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                  | American Tower Corp                                                          | CUSIP: 03027XBW9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |   1914000 | PA      | $1711766.76   | 0.02%             | 2032-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                              | CUSIP: 3140QPJ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5774375 | PA      | $5757445.85   | 0.08%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                              | Goldman Sachs Group Inc/The                                                  | CUSIP: 38141GZH0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3991000 | PA      | $3819466.82   | 0.05%             | 2025-01-24      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| ALEXANDER FUNDING TRUST                              | Alexander Funding Trust                                                      | CUSIP: 014621AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  38072000 | PA      | $35984131.52  | 0.49%             | 2023-11-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                  | JPMorgan Chase & Co                                                          | CUSIP: 46647PCX2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  10418000 | PA      | $10217245.14  | 0.14%             | 2026-02-24      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                              | Hyundai Capital America                                                      | CUSIP: 44891ABG1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   2105000 | PA      | $1887974.50   | 0.03%             | 2027-02-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION GAS CO                                | Brooklyn Union Gas Co/The                                                    | CUSIP: 114259AV6<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |   9700000 | PA      | $9241966.00   | 0.12%             | 2027-08-05      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                     | NTT Finance Corp                                                             | CUSIP: 62954WAJ4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   2800000 | PA      | $2750188.00   | 0.04%             | 2025-07-25      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TR BK LT                             | Sumitomo Mitsui Trust Bank Ltd                                               | CUSIP: 86563VAQ2<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |  14760000 | PA      | $14300078.40  | 0.19%             | 2023-09-12      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| Springcastle SPV                                     | SpringCastle America Funding LLC                                             | CUSIP: 85022WAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  28525697 | PA      | $25630946.69  | 0.35%             | 2037-09-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Instar Leasing III, LLC                              | InStar Leasing III LLC                                                       | CUSIP: 45783NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9085872 | PA      | $7534995.88   | 0.10%             | 2054-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CORE INCOME COR                             | OWL Rock Core Income Corp                                                    | CUSIP: 69120VAM3<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |  19056000 | PA      | $16311745.44  | 0.22%             | 2026-09-23      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                   | Seasoned Loans Structured Transaction Trust Series 2019-3                    | CUSIP: 35564CEE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2800218 | PA      | $2570568.63   | 0.03%             | 2029-11-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs    | United States Small Business Administration                                  | CUSIP: 83162CUA9<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   1703390 | PA      | $1612766.95   | 0.02%             | 2031-05-01      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                            | Prosus NV                                                                    | CUSIP: 74365PAH1<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |  13254000 | PA      | $11017917.66  | 0.15%             | 2032-01-19      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Conn Funding II, L.P                                 | Conn's Receivables Funding 2021-A LLC                                        | CUSIP: 20825GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12478 | PA      | $12456.81     | 0.00%             | 2026-05-15      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| CALEDONIA GENERA                                     | Caledonia Generating LLC                                                     | CUSIP: 129268AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  19194899 | PA      | $16398244.19  | 0.22%             | 2034-02-28      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| AON CORP/AON GLOBAL HOLD                             | Aon Corp / Aon Global Holdings PLC                                           | CUSIP: 03740LAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3757000 | PA      | $3716386.83   | 0.05%             | 2032-09-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                  | JPMorgan Chase & Co                                                          | CUSIP: 46647PCF1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3096000 | PA      | $3004110.72   | 0.04%             | 2027-04-22      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| GCAT                                                 | GCAT 2021-CM2 Trust                                                          | CUSIP: 36167AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23385132 | PA      | $21067920.24  | 0.28%             | 2066-08-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                             | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 154657000 | PA      | $142574421.88 | 1.93%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  1 | On Loan: No      |
| Appalachian Power Co                                 | Appalachian Power Co                                                         | CUSIP: 037735CU9<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2898870.00   | 0.04%             | 2025-06-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| RELIANCE STAND LIFE II                               | Reliance Standard Life Global Funding II                                     | CUSIP: 75951AAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5950000 | PA      | $5866045.50   | 0.08%             | 2023-09-19      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                              | GA Global Funding Trust                                                      | CUSIP: 36143L2G9<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |  11420000 | PA      | $10070727.00  | 0.14%             | 2027-01-06      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                     | Societe Generale SA                                                          | CUSIP: 83368RAV4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   4000000 | PA      | $3761280.00   | 0.05%             | 2025-01-22      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                             | CUSIP: 3133KNR54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12910544 | PA      | $11348588.52  | 0.15%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables LLC               | Amur Equipment Finance Receivables VIII LLC                                  | CUSIP: 03237PAG8<br>LEI: 549300LUWIM31186Z163 | Long             | ABS-O            | CORP              | US        |    715223 | PA      | $713554.47    | 0.01%             | 2025-08-20      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                        | Citigroup Inc                                                                | CUSIP: 172967MQ1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   4265000 | PA      | $4034007.60   | 0.05%             | 2026-04-08      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                               | Mizuho Financial Group Inc                                                   | CUSIP: 60687YAS8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |  10850000 | PA      | $10674121.50  | 0.14%             | 2024-09-11      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                             | JP Morgan Mortgage Trust 2019-5                                              | CUSIP: 46591FBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8041546 | PA      | $7063296.84   | 0.10%             | 2049-11-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| MAIN STREET CAPITAL CORP                             | Main Street Capital Corp                                                     | CUSIP: 56035LAE4<br>LEI: 5493001FS9QJLJNF3E20 | Long             | DBT              | CORP              | US        |   8163000 | PA      | $7041648.69   | 0.10%             | 2026-07-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                             | CUSIP: 3133KPFN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5961038 | PA      | $5231062.97   | 0.07%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                             | Angel Oak Mortgage Trust 2020-2                                              | CUSIP: 03464XAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5384548 | PA      | $5186712.95   | 0.07%             | 2065-01-26      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| OSCAR US Funding Trust                               | OSCAR US Funding Trust IX LLC                                                | CUSIP: 68784XAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JP        |    331409 | PA      | $330424.44    | 0.00%             | 2025-09-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Los Angeles Community College District/CA            | LOS ANGELES CA CMNTY CLG DIST                                                | CUSIP: 54438CYN6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  12115000 | PA      | $9880049.03   | 0.13%             | 2030-08-01      | Fixed         | 1.81%                 | No            |                  2 | On Loan: No      |
| Buckeye Partners LP                                  | Buckeye Partners LP                                                          | CUSIP: 118230AK7<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $6905360.00   | 0.09%             | 2023-07-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| USASF Receivables LLC                                | US Auto Funding 2021-1                                                       | CUSIP: 90355EAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    948738 | PA      | $947413.14    | 0.01%             | 2024-07-15      | Fixed         | 0.79%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                  | American Tower Corp                                                          | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |   6380000 | PA      | $5967341.60   | 0.08%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RES                               | CenterPoint Energy Resources Corp                                            | CUSIP: 15189WAN0<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |   4398000 | PA      | $4395976.92   | 0.06%             | 2023-03-02      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                   | F&G Global Funding                                                           | CUSIP: 30321L2C5<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |  17963000 | PA      | $14883602.91  | 0.20%             | 2028-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GRAY OAK PIPELINE LLC                                | Gray Oak Pipeline LLC                                                        | CUSIP: 38937LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  12955000 | PA      | $11441596.90  | 0.15%             | 2027-10-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| OLYMPUS CORP                                         | Olympus Corp                                                                 | CUSIP: 68163WAA7<br>LEI: 5299000Y52IFDI1I2A21 | Long             | DBT              | CORP              | JP        |  14061000 | PA      | $12444547.44  | 0.17%             | 2026-12-08      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON INC                              | Consolidated Edison Inc                                                      | CUSIP: 209115AE4<br>LEI: 54930033SBW53OO8T749 | Long             | DBT              | CORP              | US        |  12309000 | PA      | $11823286.86  | 0.16%             | 2023-12-01      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                | PRPM 2022-INV1 Trust                                                         | CUSIP: 69377EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  33992394 | PA      | $32189167.07  | 0.43%             | 2067-04-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                              | CUSIP: 31418DMB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2986432 | PA      | $2777204.58   | 0.04%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Reliance Industries Ltd                              | Reliance Industries Ltd                                                      | CUSIP: 759470AT4<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |   2275000 | PA      | $2120436.50   | 0.03%             | 2026-01-15      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| TRISTATE INSURED CASH SWEEP                          | TRISTATE INSURED CASH SWEEP                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5154 | PA      | $5153.85      | 0.00%             | 2050-10-01      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                              | GA Global Funding Trust                                                      | CUSIP: 36143L2E4<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |   6888000 | PA      | $6708292.08   | 0.09%             | 2024-09-13      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                              | Hyundai Capital America                                                      | CUSIP: 44891ABV8<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   8710000 | PA      | $8130001.10   | 0.11%             | 2024-06-14      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                             | J.P. Morgan Mortgage Trust 2022-DSC1                                         | CUSIP: 46656AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9549267 | PA      | $9043751.73   | 0.12%             | 2063-01-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                | Arroyo Mortgage Trust 2020-1                                                 | CUSIP: 04285CAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3189000 | PA      | $2443595.26   | 0.03%             | 2055-03-25      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                              | Bayer US Finance II LLC                                                      | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2427750.00   | 0.03%             | 2025-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                | Arroyo Mortgage Trust 2019-1                                                 | CUSIP: 042859AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2538399 | PA      | $2401916.43   | 0.03%             | 2049-01-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust                         | WinWater Mortgage Loan Trust 2015-3                                          | CUSIP: 97651JBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1153654 | PA      | $1033678.34   | 0.01%             | 2045-03-20      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                               | Pacific Gas and Electric Co                                                  | CUSIP: 694308KA4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |  20160000 | PA      | $19661644.80  | 0.27%             | 2024-02-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                            | College Ave Student Loans 2021-A LLC                                         | CUSIP: 19424KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2091865 | PA      | $1781351.59   | 0.02%             | 2051-07-25      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Improvement Loan Trust     | GoodLeap Sustainable Home Solutions Trust 2021-4                             | CUSIP: 38237GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10895922 | PA      | $7433539.11   | 0.10%             | 2048-07-20      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                            | CUSIP: 3136AFB37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3397332 | PA      | $3309024.97   | 0.04%             | 2043-01-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                             | CUSIP: 3132DWDY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25348189 | PA      | $21457229.91  | 0.29%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LABORATORY CORP OF AMER                              | Laboratory Corp of America Holdings                                          | CUSIP: 50540RAX0<br>LEI: OZ7UA8IXAIFILY2VZH07 | Long             | DBT              | CORP              | US        |   8355000 | PA      | $7398603.15   | 0.10%             | 2026-06-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Credito Real USA Auto Receivables Trust              | Credito Real USA Auto Receivables Trust 2021-1                               | CUSIP: 22551EAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3070776 | PA      | $3001341.28   | 0.04%             | 2027-02-16      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                             | Service Properties Trust                                                     | CUSIP: 44106MAS1<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |   4233000 | PA      | $4063299.03   | 0.05%             | 2024-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFE GF II                                   | Pacific Life Global Funding II                                               | CUSIP: 6944PL2M0<br>LEI: 6354003EUPCHXTWUU869 | Long             | DBT              | CORP              | US        |    653000 | PA      | $639672.27    | 0.01%             | 2025-03-30      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                    | Citigroup Mortgage Loan Trust 2019-E                                         | CUSIP: 17328DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6596489 | PA      | $6491710.06   | 0.09%             | 2070-11-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| SPIRE MISSOURI INC                                   | Spire Missouri Inc                                                           | CUSIP: 84859DAB3<br>LEI: 06LJQCOVPRXOPDHFC707 | Long             | DBT              | CORP              | US        |  24347000 | PA      | $24053375.18  | 0.32%             | 2024-12-02      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                   | Ellington Financial Mortgage Trust 2021-2                                    | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11553215 | PA      | $9080465.31   | 0.12%             | 2066-06-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Inflation Indexed Bonds                               | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 174445015 | PA      | $152588441.50 | 2.06%             | 2032-01-15      | Fixed         | 0.13%                 | No            |                  1 | On Loan: No      |
| DNB BANK ASA                                         | DNB Bank ASA                                                                 | CUSIP: 23341CAC7<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |   7500000 | PA      | $7507800.00   | 0.10%             | 2026-10-09      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFE GF II                                   | Pacific Life Global Funding II                                               | CUSIP: 6944PL2G3<br>LEI: 6354003EUPCHXTWUU869 | Long             | DBT              | CORP              | US        |  13475000 | PA      | $12888702.75  | 0.17%             | 2026-06-04      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs    | United States Small Business Administration                                  | CUSIP: 83162CVD2<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   1410574 | PA      | $1274178.18   | 0.02%             | 2032-11-01      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                   | Ellington Financial Mortgage Trust 2019-2                                    | CUSIP: 31573TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3959846 | PA      | $3693818.05   | 0.05%             | 2059-11-25      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                     | Societe Generale SA                                                          | CUSIP: 83368RAL6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   9000000 | PA      | $8924040.00   | 0.12%             | 2023-09-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                               | Santander Holdings USA Inc                                                   | CUSIP: 80282KAP1<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   4940000 | PA      | $4711278.00   | 0.06%             | 2027-07-13      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| New Jersey Transportation Trust Fund Authority       | NEW JERSEY ST TRANSPRTN TRUST FUND AUTH                                      | CUSIP: 6461366P1<br>LEI: 549300YUVD5TEXR6L889 | Long             | DBT              | MUN               | US        |   1170000 | PA      | $1155371.49   | 0.02%             | 2023-06-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                  | GS Mortgage-Backed Securities Corp Trust 2020-PJ2                            | CUSIP: 36262DAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5187833 | PA      | $4099132.81   | 0.06%             | 2050-07-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                 | Enel Finance International NV                                                | CUSIP: 29278GAX6<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   3073000 | PA      | $2771846.00   | 0.04%             | 2032-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Inflation Indexed Bonds                               | CUSIP: 912828H45<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21102531 | PA      | $20241139.54  | 0.27%             | 2025-01-15      | Fixed         | 0.25%                 | No            |                  1 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                               | Mitsubishi UFJ Financial Group Inc                                           | CUSIP: 606822BY9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   4800000 | PA      | $4167504.00   | 0.06%             | 2027-07-20      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs    | United States Small Business Administration                                  | CUSIP: 83162CRS4<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    306676 | PA      | $299966.70    | 0.00%             | 2028-04-01      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                                    | ITC Holdings Corp                                                            | CUSIP: 465685AR6<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |   9703000 | PA      | $9585787.76   | 0.13%             | 2027-09-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                          | BNP Paribas SA                                                               | CUSIP: 09659W2N3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   7000000 | PA      | $6117720.00   | 0.08%             | 2027-01-13      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST                           | Upstart Pass-Through Trust Series 2020-ST2                                   | CUSIP: 91680BAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    448649 | PA      | $438224.01    | 0.01%             | 2028-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                   | Seasoned Credit Risk Transfer Trust Series 2019-2                            | CUSIP: 35563PKG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  24351974 | PA      | $22958580.71  | 0.31%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREED ABS Trust                                      | FREED ABS Trust 2019-2                                                       | CUSIP: 30312JAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4802051 | PA      | $4796961.96   | 0.06%             | 2026-11-18      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| BLACK HILLS CORP                                     | Black Hills Corp                                                             | CUSIP: 092113AT6<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |   5490000 | PA      | $4414838.40   | 0.06%             | 2030-06-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GRAY OAK PIPELINE LLC                                | Gray Oak Pipeline LLC                                                        | CUSIP: 38937LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  17190000 | PA      | $16693037.10  | 0.23%             | 2023-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                               | Mitsubishi UFJ Financial Group Inc                                           | CUSIP: 606822CN2<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   5000000 | PA      | $4954050.00   | 0.07%             | 2028-09-13      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                        | AEP Texas Inc                                                                | CUSIP: 00108WAP5<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |   6527000 | PA      | $6252735.46   | 0.08%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                              | CUSIP: 3140KHUP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    786743 | PA      | $722066.84    | 0.01%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust 2020-1                           | RCKT Mortgage Trust 2020-1                                                   | CUSIP: 749389BJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3136365 | PA      | $2543158.05   | 0.03%             | 2050-02-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                    | Citigroup Mortgage Loan Trust 2004-HYB2                                      | CUSIP: 17307GEF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51571 | PA      | $45676.07     | 0.00%             | 2034-03-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                             | Equitable Financial Life Global Funding                                      | CUSIP: 29449WAE7<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |   8665000 | PA      | $7610989.40   | 0.10%             | 2026-01-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                         | CSMC 2022-ATH2                                                               | CUSIP: 12665WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12809713 | PA      | $12305999.95  | 0.17%             | 2067-05-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CAPITAL CORPORA                             | Owl Rock Capital Corp III                                                    | CUSIP: 69122JAC0<br>LEI: 5493003BCZ22YM5BRK17 | Long             | DBT              | CORP              | US        |  16243000 | PA      | $13446767.55  | 0.18%             | 2027-04-13      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS                                     | Antares Holdings LP                                                          | CUSIP: 03666HAD3<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |   7360000 | PA      | $5888000.00   | 0.08%             | 2027-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL                               | Protective Life Global Funding                                               | CUSIP: 74368CBC7<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |  14716000 | PA      | $13152277.84  | 0.18%             | 2026-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                            | Towd Point Mortgage Trust 2018-2                                             | CUSIP: 89175VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15335158 | PA      | $14676221.23  | 0.20%             | 2058-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Dext ABS 2020-1, LLC                                 | Dext ABS 2020-1 LLC                                                          | CUSIP: 25216AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5396804 | PA      | $5322349.31   | 0.07%             | 2027-02-16      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| Reliance Industries Ltd                              | Reliance Industries Ltd                                                      | CUSIP: 759470AU1<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |    525000 | PA      | $490911.75    | 0.01%             | 2026-01-15      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY FINANCE                               | Alliant Energy Finance LLC                                                   | CUSIP: 01882YAA4<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |   9673000 | PA      | $9596099.65   | 0.13%             | 2023-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                             | CUSIP: 912828P46<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  52700000 | PA      | $48755734.38  | 0.66%             | 2026-02-15      | Fixed         | 1.63%                 | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE & CO                                  | JPMorgan Chase & Co                                                          | CUSIP: 46647PBT2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5982000 | PA      | $5281687.26   | 0.07%             | 2026-11-19      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| CCL INDUSTRIES INC                                   | CCL Industries Inc                                                           | CUSIP: 124900AD3<br>LEI: 549300TD3EMSRRC0YH75 | Long             | DBT              | CORP              | CA        |   9810000 | PA      | $8072649.00   | 0.11%             | 2030-06-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| SECURITY BENEFIT GL FUND                             | Security Benefit Global Funding                                              | CUSIP: 81412DAA1<br>LEI: 5493003C0JW6BY7YFF93 | Long             | DBT              | CORP              | US        |  37488000 | PA      | $35147624.16  | 0.47%             | 2024-05-17      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                             | Foundation Finance Trust 2019-1                                              | CUSIP: 35041JAA3<br>LEI: 5493002KPTN6JUQ40J20 | Long             | ABS-O            | CORP              | US        |   4964705 | PA      | $4871484.22   | 0.07%             | 2034-11-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                     | Societe Generale SA                                                          | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   4933000 | PA      | $4239913.50   | 0.06%             | 2027-06-09      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| ALEX ALPHA LLC                                       | ALEX Alpha LLC                                                               | CUSIP: 01447UAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    760869 | PA      | $738862.34    | 0.01%             | 2024-08-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTERN                             | Graphic Packaging International LLC                                          | CUSIP: 38869PAP9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |   6873000 | PA      | $6002328.36   | 0.08%             | 2026-04-15      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                    | NatWest Group PLC                                                            | CUSIP: 639057AC2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   3000000 | PA      | $2599650.00   | 0.04%             | 2027-06-14      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                              | Hyundai Capital America                                                      | CUSIP: 44891ABT3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   4325000 | PA      | $3543169.75   | 0.05%             | 2028-01-10      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust 2018-RPL1                                | CUSIP: 64829VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2356335 | PA      | $2220609.07   | 0.03%             | 2057-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                          | Oracle Corp                                                                  | CUSIP: 68389XCD5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   7482000 | PA      | $6488091.12   | 0.09%             | 2028-03-25      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                     | BAT Capital Corp                                                             | CUSIP: 05526DBS3<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   2950000 | PA      | $2300675.50   | 0.03%             | 2031-03-25      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                   | HERO Funding Trust 2017-2                                                    | CUSIP: 42771LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    502738 | PA      | $464987.69    | 0.01%             | 2048-09-20      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust 2017-5                                   | CUSIP: 64828NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    315804 | PA      | $308801.47    | 0.00%             | 2057-06-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                           | MFA 2022-INV1 Trust                                                          | CUSIP: 55284TAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4995000 | PA      | $4054992.95   | 0.05%             | 2066-04-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                            | CUSIP: 31397NGR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    332761 | PA      | $270678.70    | 0.00%             | 2039-03-25      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                   | Seasoned Credit Risk Transfer Trust Series 2018-3                            | CUSIP: 35563PGG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9132303 | PA      | $8663354.97   | 0.12%             | 2057-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                              | CUSIP: 3138WKZP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9506 | PA      | $9069.55      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                        | AEP Texas Inc                                                                | CUSIP: 00108WAM2<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |  12187000 | PA      | $9865010.89   | 0.13%             | 2030-07-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                             | Lloyds Banking Group PLC                                                     | CUSIP: 53944YAL7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   3500000 | PA      | $3391955.00   | 0.05%             | 2025-07-09      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                              | Hyundai Capital America                                                      | CUSIP: 44891ABN6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   5440000 | PA      | $4898937.60   | 0.07%             | 2025-10-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                        | Citigroup Inc                                                                | CUSIP: 172967NA5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   7328000 | PA      | $6360630.72   | 0.09%             | 2027-06-09      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                           | VMware Inc                                                                   | CUSIP: 928563AH8<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   3304000 | PA      | $3073446.88   | 0.04%             | 2024-08-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Inflation Indexed Bonds                               | CUSIP: 9128286N5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14170431 | PA      | $13782355.56  | 0.19%             | 2024-04-15      | Fixed         | 0.50%                 | No            |                  1 | On Loan: No      |
| QUANTA SERVICES INC                                  | Quanta Services Inc                                                          | CUSIP: 74762EAG7<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |  10296000 | PA      | $9476026.56   | 0.13%             | 2024-10-01      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Inflation Indexed Bonds                               | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29366169 | PA      | $27349063.62  | 0.37%             | 2027-04-15      | Fixed         | 0.13%                 | No            |                  1 | On Loan: No      |
| WEC ENERGY GROUP INC                                 | WEC Energy Group Inc                                                         | CUSIP: 92939UAG1<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |  11412000 | PA      | $9662882.76   | 0.13%             | 2028-12-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF CHICAGO                                | University of Chicago/The                                                    | CUSIP: 91412NAG5<br>LEI: 54930099Y7GU6182V326 | Long             | DBT              | CORP              | US        |    360000 | PA      | $347623.20    | 0.00%             | 2024-10-01      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                 | Bank of America Corp                                                         | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3632000 | PA      | $3183556.96   | 0.04%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                   | Royalty Pharma PLC                                                           | CUSIP: 78081BAJ2<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |   7532000 | PA      | $6397680.80   | 0.09%             | 2027-09-02      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BELROSE FUNDING TRUST                                | Belrose Funding Trust                                                        | CUSIP: 080807AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9685000 | PA      | $7321182.05   | 0.10%             | 2030-08-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                           | Navient Private Education Loan Trust 2017-A                                  | CUSIP: 63939XAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1246245 | PA      | $1218789.01   | 0.02%             | 2058-12-16      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST                        | Commonbond Student Loan Trust 2021-A-GS                                      | CUSIP: 20268WAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10136680 | PA      | $8598473.15   | 0.12%             | 2052-03-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance Designated Activity Co               | Prodigy Finance CM2021-1 DAC                                                 | CUSIP: 742855AA7<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |   3146783 | PA      | $3044396.85   | 0.04%             | 2051-07-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| MET LIFE GLOB FUNDING I                              | Metropolitan Life Global Funding I                                           | CUSIP: 59217GGW3<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |  14683000 | PA      | $14604005.46  | 0.20%             | 2024-01-07      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| GOVT OF BERMUDA                                      | Bermuda Government International Bond                                        | CUSIP: 085209AG9<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |   6800000 | PA      | $5748992.00   | 0.08%             | 2030-08-20      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| NBK SPC LTD                                          | NBK SPC Ltd                                                                  | CUSIP: 62877PAB0<br>LEI: 549300P1ANDK86KWB419 | Long             | DBT              | CORP              | AE        |  13033000 | PA      | $11514264.51  | 0.16%             | 2027-09-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| GLOBAL ATLANTIC FIN CO                               | Global Atlantic Fin Co                                                       | CUSIP: 37959GAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  27285000 | PA      | $22802347.35  | 0.31%             | 2029-10-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust        | Bankers Healthcare Group Securitization Trust 2020-A                         | CUSIP: 06616PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1948302 | PA      | $1901206.31   | 0.03%             | 2031-09-17      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                | Wells Fargo & Co                                                             | CUSIP: 95000U2X0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   8792000 | PA      | $8539142.08   | 0.12%             | 2026-04-25      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                           | Upstart Pass-Through Trust Series 2021-ST4                                   | CUSIP: 91534HAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2230467 | PA      | $2062526.96   | 0.03%             | 2027-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-31

**Name of Applicant:** THORNBURG INVESTMENT TRUST

**Signature:** Christopher Luckham

**Name of Signer:** Christopher Luckham

**Title:** Manager - Fund Admin