# EDGAR Filing Document

**Accession Number:** 0000816153
**File Stem:** 0001752724-23-037741
**Filing Date:** 2023-2
**Character Count:** 239772
**Document Hash:** 758b25386074f5c41e34ff5ed53f77ff
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-037741.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001752724-23-037741

**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:** 23663202

**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 Ultra Short Income Fund (Series ID: S000043670)

| Class ID   | Class Name                                | Ticker Symbol   |
|:---|:---|:---|
| C000135385 | Thornburg Ultra Short Income Fund Class A | TLDAX           |
| C000135386 | Thornburg Ultra Short Income Fund Class I | TLDIX           |

## Nport-Ex

SCHEDULE OF INVESTMENTS

---

| | |
|:---|:---|
| **Thornburg Ultra Short Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/PRINCIPAL<br> AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | **U.S. Treasury Securities — 7.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Notes, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;0.125% due 1/31/2023 - 8/31/2023 | &nbsp;&nbsp;$5250000 | &nbsp;&nbsp;$5132109 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.25% due 7/31/2023 | &nbsp;&nbsp;&nbsp;&nbsp;2000000 | &nbsp;&nbsp;&nbsp;&nbsp; 1960313 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.375% due 8/31/2023 | &nbsp;&nbsp;&nbsp;&nbsp;3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2933437 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.625% due 5/31/2023 - 10/31/2023 | &nbsp;&nbsp;&nbsp;&nbsp;6510000 | &nbsp;&nbsp;&nbsp;&nbsp; 6405289 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.25% due 1/31/2024 | &nbsp;&nbsp;&nbsp;&nbsp;2000000 | &nbsp;&nbsp;&nbsp;&nbsp; 1947422 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.75% due 4/30/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;&nbsp; 994023 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Notes Inflationary Index, 0.625% due 1/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;1851708 | &nbsp;&nbsp;&nbsp;&nbsp; 1812512 |
|  | &nbsp;&nbsp;&nbsp;Total U.S. Treasury Securities (Cost $21,274,050) |  | &nbsp;&nbsp;&nbsp;&nbsp; 21185105 |
|  | **U.S. Government Agencies — 0.0%** |  |  |
| **<sup>a,b</sup>** | &nbsp;&nbsp;&nbsp;Petroleos Mexicanos (Guaranty: Export-Import Bank of the United States), 4.429% (LIBOR 3 Month + 0.35%) due 4/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 25000 | &nbsp;&nbsp;&nbsp;&nbsp; 24070 |
|  | &nbsp;&nbsp;&nbsp;Small Business Administration Participation Certificates, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2005-20K Class 1, 5.36% due 11/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 5036 | &nbsp;&nbsp;&nbsp;&nbsp; 4910 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2009-20E Class 1, 4.43% due 5/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 17499 | &nbsp;&nbsp;&nbsp;&nbsp; 16815 |
|  | &nbsp;&nbsp;&nbsp;Total U.S. Government Agencies (Cost $47,644) |  | &nbsp;&nbsp;&nbsp;&nbsp; 45795 |
|  | **Mortgage Backed — 3.8%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Arroyo Mortgage Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1 Class A1, 3.805% due 1/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 22536 | &nbsp;&nbsp;&nbsp;&nbsp; 20745 |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-3 Class A1, 2.962% due 10/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 21747 | &nbsp;&nbsp;&nbsp;&nbsp; 19776 |
| **<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; 10672 | &nbsp;&nbsp;&nbsp;&nbsp; 10381 |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;COLT Mortgage Pass-Through Certificates, Whole Loan Securities Trust CMO, Series 2021-1R Class A1, 0.857% due 5/25/2065 | &nbsp;&nbsp;&nbsp;&nbsp; 261873 | &nbsp;&nbsp;&nbsp;&nbsp; 222314 |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;CSMC Trust, CMBS, Series 2021-BPNY Class A, 8.032% (LIBOR 1 Month + 3.714%) due 8/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 300000 | &nbsp;&nbsp;&nbsp;&nbsp; 298340 |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;CSMC Trust, Whole Loan Securities Trust CMO, Series 2020-NQM1 Class A1, 1.208% due 5/25/2065 | &nbsp;&nbsp;&nbsp;&nbsp; 102995 | &nbsp;&nbsp;&nbsp;&nbsp; 91407 |
|  | &nbsp;&nbsp;&nbsp;Federal Home Loan Mtg Corp., Multifamily Structured Pass Through Certificates, CMBS, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series K028 Class A2, 3.111% due 2/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 536824 | &nbsp;&nbsp;&nbsp;&nbsp; 536824 |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series K029 Class A2, 3.32% due 2/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1170908 | &nbsp;&nbsp;&nbsp;&nbsp; 1165477 |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series K034 Class A2, 3.531% due 7/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1453138 | &nbsp;&nbsp;&nbsp;&nbsp; 1439624 |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series K035 Class A2, 3.458% due 8/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1477128 | &nbsp;&nbsp;&nbsp;&nbsp; 1461840 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series K036 Class A1, 2.777% due 4/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 2059 | &nbsp;&nbsp;&nbsp;&nbsp; 2059 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series K723 Class A2, 2.454% due 8/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1814393 | &nbsp;&nbsp;&nbsp;&nbsp; 1790259 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series KSMC Class A2, 2.615% due 1/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 780000 | &nbsp;&nbsp;&nbsp;&nbsp; 780000 |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;Federal Home Loan Mtg Corp., REMIC, Series 3877 Class FA, 4.668% (LIBOR 1 Month + 0.35%) due 11/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 5119 | &nbsp;&nbsp;&nbsp;&nbsp; 5119 |
|  | &nbsp;&nbsp;&nbsp;Federal Home Loan Mtg Corp., Seasoned Credit Risk Transfer, Whole Loan Securities Trust CMO, |  |  |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-3 Class HA, 3.25% due 7/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 29603 | &nbsp;&nbsp;&nbsp;&nbsp; 27855 |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-1 Class HA, 3.00% due 5/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 21126 | &nbsp;&nbsp;&nbsp;&nbsp; 19634 |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-2 Class HA, 3.00% due 11/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 82748 | &nbsp;&nbsp;&nbsp;&nbsp; 77452 |
|  | &nbsp;&nbsp;&nbsp;Federal National Mtg Assoc., UMBS Collateral, Pool MA3557, 4.00% due 1/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 36584 | &nbsp;&nbsp;&nbsp;&nbsp; 35709 |
| **<sup>a,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; 15002 | &nbsp;&nbsp;&nbsp;&nbsp; 13214 |
| **<sup>a,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; 22602 | &nbsp;&nbsp;&nbsp;&nbsp; 20246 |
|  | &nbsp;&nbsp;&nbsp;GCAT Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-CM1 Class A, 1.469% due 4/25/2065 | &nbsp;&nbsp;&nbsp;&nbsp; 274379 | &nbsp;&nbsp;&nbsp;&nbsp; 257288 |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-CM2 Class A1, 2.352% due 8/25/2066 | &nbsp;&nbsp;&nbsp;&nbsp; 159386 | &nbsp;&nbsp;&nbsp;&nbsp; 143593 |
| **<sup>a,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; 78944 | &nbsp;&nbsp;&nbsp;&nbsp; 76459 |
| **<sup>a,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; 590779 | &nbsp;&nbsp;&nbsp;&nbsp; 555575 |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;Morgan Stanley Bank of America Merrill Lynch Trust, CMBS, Series 2013-C10 Class ASB, 3.912% due 7/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 28773 | &nbsp;&nbsp;&nbsp;&nbsp; 28683 |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;New Residential Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2017-5A Class A1, 5.889% (LIBOR 1 Month + 1.50%) due 6/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 16621 | &nbsp;&nbsp;&nbsp;&nbsp; 16253 |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;Residential Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2020-2 Class A1, 1.654% due 5/25/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 541485 | &nbsp;&nbsp;&nbsp;&nbsp; 526204 |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;SG Residential Mortgage Trust, Whole Loan Securities Trust CMO, Series 2019-3 Class A1, 2.703% due 9/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 4221 | &nbsp;&nbsp;&nbsp;&nbsp; 4099 |
|  | &nbsp;&nbsp;&nbsp;Towd Point Mortgage Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2016-5 Class A1, 2.50% due 10/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 6580 | &nbsp;&nbsp;&nbsp;&nbsp; 6470 |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-2 Class A1, 3.25% due 3/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 27794 | &nbsp;&nbsp;&nbsp;&nbsp; 26599 |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-6 Class A1A, 3.75% due 3/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp;1002785 | &nbsp;&nbsp;&nbsp;&nbsp; 973237 |
| **<sup>a,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; 51613 | &nbsp;&nbsp;&nbsp;&nbsp; 51128 |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;Verus Securitization Trust, Whole Loan Securities Trust CMO, Series 2019-INV3 Class A1B, 3.192% due 11/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 333714 | &nbsp;&nbsp;&nbsp;&nbsp; 313643 |
|  | &nbsp;&nbsp;&nbsp;WFRBS Commercial Mortgage Trust, CMBS, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2013-C14 Class ASB, 2.977% due 6/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 9314 | &nbsp;&nbsp;&nbsp;&nbsp; 9265 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2013-C17 Class ASB, 3.558% due 12/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 106559 | &nbsp;&nbsp;&nbsp;&nbsp; 105694 |
|  | &nbsp;&nbsp;&nbsp;Total Mortgage Backed (Cost $11,343,283) |  | &nbsp;&nbsp;&nbsp;&nbsp; 11132465 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

| | |
|:---|:---|
| **Thornburg Ultra Short Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/PRINCIPAL<br> AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | **Asset Backed Securities — 32.7%** |  |  |
|  | &nbsp;&nbsp;**Auto Receivables — 15.9%** |  |  |
|  | &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;$38138 | &nbsp;&nbsp;$37697 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-A Class A, 4.58% due 7/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 387047 | &nbsp;&nbsp;&nbsp;&nbsp; 379839 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;ACC Trust, Series 2022-1 Class A, 1.19% due 9/20/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 280443 | &nbsp;&nbsp;&nbsp;&nbsp; 277250 |
|  | &nbsp;&nbsp;&nbsp;ACM Auto Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1A Class A, 3.23% due 4/20/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 197116 | &nbsp;&nbsp;&nbsp;&nbsp; 196610 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1A Class B, 4.47% due 4/20/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 500000 | &nbsp;&nbsp;&nbsp;&nbsp; 496799 |
|  | &nbsp;&nbsp;&nbsp;American Credit Acceptance Receivables Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-4 Class D, 2.97% due 12/12/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 961054 | &nbsp;&nbsp;&nbsp;&nbsp; 948747 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-3 Class B, 0.66% due 2/13/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 629924 | &nbsp;&nbsp;&nbsp;&nbsp; 627917 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-4 Class A, 0.45% due 9/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 15939 | &nbsp;&nbsp;&nbsp;&nbsp; 15909 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-3 Class A, 4.12% due 2/13/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 727857 | &nbsp;&nbsp;&nbsp;&nbsp; 721978 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Arivo Acceptance Auto Loan Receivables Trust, Series 2021-1A Class A, 1.19% due 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 819218 | &nbsp;&nbsp;&nbsp;&nbsp; 795717 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Avid Automobile Receivables Trust, Series 2020-1 Class A, 0.61% due 1/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 28211 | &nbsp;&nbsp;&nbsp;&nbsp; 28129 |
|  | &nbsp;&nbsp;&nbsp;Capital One Prime Auto Receivables Trust, Series 2020-1 Class A3, 1.60% due 11/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 742971 | &nbsp;&nbsp;&nbsp;&nbsp; 735863 |
|  | &nbsp;&nbsp;&nbsp;CarMax Auto Owner Trust, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1 Class A3, 1.70% due 11/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 408249 | &nbsp;&nbsp;&nbsp;&nbsp; 405394 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-4 Class A3, 0.50% due 8/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp;1490942 | &nbsp;&nbsp;&nbsp;&nbsp; 1447700 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1 Class A2 0.91% due 2/18/2025 | &nbsp;&nbsp;&nbsp;&nbsp;1480024 | &nbsp;&nbsp;&nbsp;&nbsp; 1460563 |
|  | &nbsp;&nbsp;&nbsp;Carvana Auto Receivables Trust, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-N2 Class A1, 0.32% due 3/10/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 38817 | &nbsp;&nbsp;&nbsp;&nbsp; 38205 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-N3 Class A1, 0.35% due 6/12/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 543980 | &nbsp;&nbsp;&nbsp;&nbsp; 528584 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-N4 Class A1, 0.83% due 9/11/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 415101 | &nbsp;&nbsp;&nbsp;&nbsp; 401040 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-P4 Class A2, 0.82% due 4/10/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 654347 | &nbsp;&nbsp;&nbsp;&nbsp; 645936 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-N1 Class A1, 2.31% due 12/11/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 783744 | &nbsp;&nbsp;&nbsp;&nbsp; 763448 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;CPS Auto Receivables Trust, Series 2022-A Class A, 0.98% due 4/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 423041 | &nbsp;&nbsp;&nbsp;&nbsp; 416545 |
| **<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; 118360 | &nbsp;&nbsp;&nbsp;&nbsp; 115683 |
|  | &nbsp;&nbsp;&nbsp;Drive Auto Receivables Trust, Series 2021-1 Class B, 0.65% due 7/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 16970 | &nbsp;&nbsp;&nbsp;&nbsp; 16947 |
|  | &nbsp;&nbsp;&nbsp;DT Auto Owner Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-2A Class D, 3.48% due 2/18/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 545833 | &nbsp;&nbsp;&nbsp;&nbsp; 541791 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-3A Class B, 0.91% due 12/16/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 129749 | &nbsp;&nbsp;&nbsp;&nbsp; 129439 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-2A Class A, 0.41% due 3/17/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 70905 | &nbsp;&nbsp;&nbsp;&nbsp; 70711 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-4A Class A, 0.56% due 9/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 232463 | &nbsp;&nbsp;&nbsp;&nbsp; 228888 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1A Class A, 1.58% due 4/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;1427124 | &nbsp;&nbsp;&nbsp;&nbsp; 1398841 |
|  | &nbsp;&nbsp;&nbsp;Exeter Automobile Receivables Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-3A Class D, 3.11% due 8/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp;1009594 | &nbsp;&nbsp;&nbsp;&nbsp; 988980 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-4A Class D, 2.58% due 9/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp;1139804 | &nbsp;&nbsp;&nbsp;&nbsp; 1111522 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1A Class C, 0.74% due 1/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 804941 | &nbsp;&nbsp;&nbsp;&nbsp; 785590 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-2A Class B, 0.57% due 9/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 448881 | &nbsp;&nbsp;&nbsp;&nbsp; 445850 |
|  | &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; 48629 | &nbsp;&nbsp;&nbsp;&nbsp; 46273 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-2A Class A, 0.83% due 12/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 100103 | &nbsp;&nbsp;&nbsp;&nbsp; 94958 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-2A Class A, 6.14% due 12/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;1400803 | &nbsp;&nbsp;&nbsp;&nbsp; 1380617 |
|  | &nbsp;&nbsp;&nbsp;First Investors Auto Owner Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1A Class C, 2.55% due 2/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 602389 | &nbsp;&nbsp;&nbsp;&nbsp; 598149 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1A Class A, 0.45% due 3/16/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 48900 | &nbsp;&nbsp;&nbsp;&nbsp; 48388 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1A Class C, 0.48% due 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;1910099 | &nbsp;&nbsp;&nbsp;&nbsp; 1845437 |
|  | &nbsp;&nbsp;&nbsp;Flagship Credit Auto Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-4 Class A, 0.53% due 4/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 46553 | &nbsp;&nbsp;&nbsp;&nbsp; 46493 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-4 Class B, 1.00% due 10/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp;1862000 | &nbsp;&nbsp;&nbsp;&nbsp; 1843221 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1 Class B, 0.31% due 6/16/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 911399 | &nbsp;&nbsp;&nbsp;&nbsp; 907008 |
|  | &nbsp;&nbsp;&nbsp;GLS Auto Receivables Issuer Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1A Class B, 2.43% due 11/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 84011 | &nbsp;&nbsp;&nbsp;&nbsp; 83935 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-4A Class A, 0.84% due 7/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 133120 | &nbsp;&nbsp;&nbsp;&nbsp; 131249 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-2A Class A2, 3.55% due 1/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 712260 | &nbsp;&nbsp;&nbsp;&nbsp; 702929 |
|  | &nbsp;&nbsp;&nbsp;GM Financial Automobile Leasing Trust, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2 Class B, 1.56% due 7/22/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 359216 | &nbsp;&nbsp;&nbsp;&nbsp; 358659 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-3 Class A4, 0.51% due 10/21/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 79722 | &nbsp;&nbsp;&nbsp;&nbsp; 79532 |
|  | &nbsp;&nbsp;&nbsp;GM Financial Consumer Automobile Receivables Trust, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1 Class A3, 1.84% due 9/16/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 369118 | &nbsp;&nbsp;&nbsp;&nbsp; 366933 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1 Class A2 0.76% due 2/18/2025 | &nbsp;&nbsp;&nbsp;&nbsp;1140836 | &nbsp;&nbsp;&nbsp;&nbsp; 1122685 |
|  | &nbsp;&nbsp;&nbsp;Honda Auto Receivables Owner Trust, Series 2020-3 Class A3, 0.37% due 10/18/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 376185 | &nbsp;&nbsp;&nbsp;&nbsp; 367300 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

| | |
|:---|:---|
| **Thornburg Ultra Short Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/PRINCIPAL<br> AMOUNT** | &nbsp;&nbsp;**VALUE** |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Hyundai Auto Lease Securitization Trust, Series 2020-B Class A3, 0.51% due 9/15/2023 | &nbsp;&nbsp;$1645 | &nbsp;&nbsp;$1642 |
|  | &nbsp;&nbsp;&nbsp;Hyundai Auto Receivables Trust, Series 2020-A Class A4, 1.72% due 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;2100000 | &nbsp;&nbsp;&nbsp;&nbsp; 2023241 |
|  | &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; 260510 | &nbsp;&nbsp;&nbsp;&nbsp; 248676 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1A Class A, 4.22% due 5/17/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 964122 | &nbsp;&nbsp;&nbsp;&nbsp; 926190 |
|  | &nbsp;&nbsp;&nbsp;Mercedes-Benz Auto Lease Trust, Series 2021-B Class A2, 0.22% due 1/16/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 11750 | &nbsp;&nbsp;&nbsp;&nbsp; 11725 |
|  | &nbsp;&nbsp;&nbsp;Nissan Auto Receivables Owner Trust, Series 2019-B Class A4, 2.54% due 12/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 248020 | &nbsp;&nbsp;&nbsp;&nbsp; 246221 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Octane Receivables Trust, Series 2020-1A Class A, 1.71% due 2/20/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 389110 | &nbsp;&nbsp;&nbsp;&nbsp; 385085 |
| **<sup>b,c</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; 829418 | &nbsp;&nbsp;&nbsp;&nbsp; 826954 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;Oscar US Funding XIV LLC, Series 2022-1A Class A2, 1.60% due 3/10/2025 | &nbsp;&nbsp;&nbsp;&nbsp;1965505 | &nbsp;&nbsp;&nbsp;&nbsp; 1926775 |
|  | &nbsp;&nbsp;&nbsp;Santander Consumer Auto Receivables Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-AA Class B, 2.26% due 12/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 518719 | &nbsp;&nbsp;&nbsp;&nbsp; 517173 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-AA Class C, 3.71% due 2/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp;1940000 | &nbsp;&nbsp;&nbsp;&nbsp; 1917551 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-BA Class A4 0.54% due 4/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp;1133324 | &nbsp;&nbsp;&nbsp;&nbsp; 1124526 |
|  | &nbsp;&nbsp;&nbsp;Santander Drive Auto Receivables Trust, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1 Class D, 3.65% due 4/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 274461 | &nbsp;&nbsp;&nbsp;&nbsp; 273974 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-2 Class B, 0.59% due 9/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 697668 | &nbsp;&nbsp;&nbsp;&nbsp; 695330 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Tesla Auto Lease Trust, Series 2021-A Class A2, 0.36% due 3/20/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 129548 | &nbsp;&nbsp;&nbsp;&nbsp; 128531 |
|  | &nbsp;&nbsp;&nbsp;Toyota Auto Receivables Owner Trust, Series 2020-D Class A3, 0.35% due 1/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 803878 | &nbsp;&nbsp;&nbsp;&nbsp; 787509 |
|  | &nbsp;&nbsp;&nbsp;United Auto Credit Securitization Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1 Class A, 1.11% due 7/10/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 86089 | &nbsp;&nbsp;&nbsp;&nbsp; 85734 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-2 Class A, 4.39% due 4/10/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 782752 | &nbsp;&nbsp;&nbsp;&nbsp; 779139 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;US Auto Funding, Series 2021-1A Class A, 0.79% due 7/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 23631 | &nbsp;&nbsp;&nbsp;&nbsp; 23598 |
|  | &nbsp;&nbsp;&nbsp;Veros Auto Receivables Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1 Class A, 0.92% due 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 243681 | &nbsp;&nbsp;&nbsp;&nbsp; 239075 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1 Class A, 3.47% due 12/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 389043 | &nbsp;&nbsp;&nbsp;&nbsp; 382613 |
|  | &nbsp;&nbsp;&nbsp;Westlake Automobile Receivables Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-2A Class D, 3.20% due 11/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 619519 | &nbsp;&nbsp;&nbsp;&nbsp; 617260 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-3A Class D, 2.72% due 11/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;2150895 | &nbsp;&nbsp;&nbsp;&nbsp; 2133467 |
|  | &nbsp;&nbsp;&nbsp;World Omni Auto Receivables Trust, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-C Class A3, 1.96% due 12/16/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 187875 | &nbsp;&nbsp;&nbsp;&nbsp; 186678 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-C Class A3, 0.48% due 11/17/2025 | &nbsp;&nbsp;&nbsp;&nbsp;1765982 | &nbsp;&nbsp;&nbsp;&nbsp; 1717142 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-A Class A2, 1.15% due 4/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp;1257145 | &nbsp;&nbsp;&nbsp;&nbsp; 1240535 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 46674222 |
|  | &nbsp;&nbsp;**Credit Card — 1.5%** |  |  |
| **<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; 200000 | &nbsp;&nbsp;&nbsp;&nbsp; 197830 |
| **<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; 486214 | &nbsp;&nbsp;&nbsp;&nbsp; 481977 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Mercury Financial Credit Card Master Trust, Series 2021-1A Class A, 1.54% due 3/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 975000 | &nbsp;&nbsp;&nbsp;&nbsp; 930204 |
| **<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; 859000 | &nbsp;&nbsp;&nbsp;&nbsp; 831891 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Perimeter Master Note Business Trust, Series 2019-2A Class C, 7.06% due 5/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 500000 | &nbsp;&nbsp;&nbsp;&nbsp; 489021 |
|  | &nbsp;&nbsp;&nbsp;Synchrony Credit Card Master Note Trust, Series 2018-2 Class A, 3.47% due 5/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;1350000 | &nbsp;&nbsp;&nbsp;&nbsp; 1341729 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 4272652 |
|  | &nbsp;&nbsp;**Other Asset Backed — 12.9%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Affirm Asset Securitization Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-Z1 Class A, 3.46% due 10/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 852477 | &nbsp;&nbsp;&nbsp;&nbsp; 845084 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-Z2 Class A, 1.90% due 1/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 43041 | &nbsp;&nbsp;&nbsp;&nbsp; 41973 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-Z2 Class A, 1.17% due 11/16/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 747150 | &nbsp;&nbsp;&nbsp;&nbsp; 717369 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;American Tower Trust 1, Series 13 Class 2A, 3.07% due 3/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp;2000000 | &nbsp;&nbsp;&nbsp;&nbsp; 1988802 |
| **<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; 10924 | &nbsp;&nbsp;&nbsp;&nbsp; 10924 |
| **<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; 3996 | &nbsp;&nbsp;&nbsp;&nbsp; 3986 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Amur Equipment Finance Receivables XI LLC, Series 2022-2A Class A1, 3.994% due 9/20/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 697089 | &nbsp;&nbsp;&nbsp;&nbsp; 695690 |
|  | &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; 408170 | &nbsp;&nbsp;&nbsp;&nbsp; 402404 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-A Class A, 3.14% due 7/16/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 151742 | &nbsp;&nbsp;&nbsp;&nbsp; 141957 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-AA Class A, 1.90% due 7/17/2046 | &nbsp;&nbsp;&nbsp;&nbsp;1256712 | &nbsp;&nbsp;&nbsp;&nbsp; 1165578 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Bankers Healthcare Group Securitization Trust, Series 2020-A Class A, 2.56% due 9/17/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 35424 | &nbsp;&nbsp;&nbsp;&nbsp; 34567 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;BHG Securitization Trust, Series 2021-B Class A, 0.90% due 10/17/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 108803 | &nbsp;&nbsp;&nbsp;&nbsp; 102247 |
| **<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; 53747 | &nbsp;&nbsp;&nbsp;&nbsp; 51353 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;CCG Receivables Trust, Series 2019-2 Class A2, 2.11% due 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 41376 | &nbsp;&nbsp;&nbsp;&nbsp; 41318 |
|  | &nbsp;&nbsp;&nbsp;Conn's Receivables Funding LLC, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-A Class A, 1.05% due 5/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 190 | &nbsp;&nbsp;&nbsp;&nbsp; 190 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-A Class A, 5.87% due 12/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;2313125 | &nbsp;&nbsp;&nbsp;&nbsp; 2309425 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Consumer Lending Receivables Trust, Series 2019-A Class C, 5.26% due 4/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 200621 | &nbsp;&nbsp;&nbsp;&nbsp; 199908 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

| | |
|:---|:---|
| **Thornburg Ultra Short Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/PRINCIPAL<br> AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;Consumer Loan Underlying Bond Credit Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-P3 Class C, 5.54% due 1/15/2026 | &nbsp;&nbsp;$101899 | &nbsp;&nbsp;$101847 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-P1 Class C, 4.66% due 7/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 616419 | &nbsp;&nbsp;&nbsp;&nbsp; 613190 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-P2 Class C, 4.41% due 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 507516 | &nbsp;&nbsp;&nbsp;&nbsp; 504405 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Crossroads Asset Trust, Series 2022-A Class A, 6.35% due 4/21/2031 | &nbsp;&nbsp;&nbsp;&nbsp;2000000 | &nbsp;&nbsp;&nbsp;&nbsp; 1998420 |
|  | &nbsp;&nbsp;&nbsp;Dell Equipment Finance Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1 Class A2, 0.33% due 5/22/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6028 | &nbsp;&nbsp;&nbsp;&nbsp; 6015 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-2 Class A3, 0.53% due 12/22/2026 | &nbsp;&nbsp;&nbsp;&nbsp;1500000 | &nbsp;&nbsp;&nbsp;&nbsp; 1439903 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1 Class A2, 2.11% due 8/23/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 534815 | &nbsp;&nbsp;&nbsp;&nbsp; 528155 |
|  | &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; 33262 | &nbsp;&nbsp;&nbsp;&nbsp; 32803 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1 Class A, 1.12% due 2/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 64452 | &nbsp;&nbsp;&nbsp;&nbsp; 61513 |
| **<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; 41733 | &nbsp;&nbsp;&nbsp;&nbsp; 40004 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;DLL LLC, Series 2019-DA1 Class A4, 2.92% due 4/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 123481 | &nbsp;&nbsp;&nbsp;&nbsp; 123067 |
| **<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; 162068 | &nbsp;&nbsp;&nbsp;&nbsp; 159218 |
|  | &nbsp;&nbsp;&nbsp;Foundation Finance Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-1A Class B, 4.14% due 7/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp;1480522 | &nbsp;&nbsp;&nbsp;&nbsp; 1451468 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1A Class A, 3.86% due 11/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 841310 | &nbsp;&nbsp;&nbsp;&nbsp; 825513 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1A Class A, 3.54% due 7/16/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 307373 | &nbsp;&nbsp;&nbsp;&nbsp; 293866 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;FREED ABS Trust, Series 2022-2CP Class A, 3.03% due 5/18/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 131894 | &nbsp;&nbsp;&nbsp;&nbsp; 131063 |
| **<sup>a,b,c</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; 100000 | &nbsp;&nbsp;&nbsp;&nbsp; 95072 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Hilton Grand Vacations Trust, Series 2019-AA Class A, 2.34% due 7/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 50431 | &nbsp;&nbsp;&nbsp;&nbsp; 47218 |
|  | &nbsp;&nbsp;&nbsp;John Deere Owner Trust, Series 2021-B Class A2, 0.25% due 6/17/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 427985 | &nbsp;&nbsp;&nbsp;&nbsp; 424898 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Kubota Credit Owner Trust, Series 2021-2A Class A2, 0.26% due 6/17/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 580468 | &nbsp;&nbsp;&nbsp;&nbsp; 573389 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;LendingClub Receivables Trust, Series 2020-6A Class A, 2.75% due 11/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 5226 | &nbsp;&nbsp;&nbsp;&nbsp; 5197 |
|  | &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; 155958 | &nbsp;&nbsp;&nbsp;&nbsp; 152259 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-REV1 Class A, 2.731% due 10/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 114757 | &nbsp;&nbsp;&nbsp;&nbsp; 112580 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-B Class A, 1.11% due 2/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 23687 | &nbsp;&nbsp;&nbsp;&nbsp; 23507 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-A Class A, 1.68% due 6/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 179416 | &nbsp;&nbsp;&nbsp;&nbsp; 177666 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-C Class A, 6.56% due 2/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;1062512 | &nbsp;&nbsp;&nbsp;&nbsp; 1060205 |
|  | &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; 295821 | &nbsp;&nbsp;&nbsp;&nbsp; 278916 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-ST2 Class A, 3.25% due 4/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 271080 | &nbsp;&nbsp;&nbsp;&nbsp; 259007 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-ST3 Class A, 4.00% due 5/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 342199 | &nbsp;&nbsp;&nbsp;&nbsp; 329336 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;LL ABS Trust, Series 2021-1A Class A, 1.07% due 5/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 390818 | &nbsp;&nbsp;&nbsp;&nbsp; 376921 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;LP LMS Asset Securitization Trust, Series 2021-2A Class A, 1.75% due 1/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 105579 | &nbsp;&nbsp;&nbsp;&nbsp; 102035 |
|  | &nbsp;&nbsp;&nbsp;Mariner Finance Issuance Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-AA Class A, 2.96% due 7/20/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 380067 | &nbsp;&nbsp;&nbsp;&nbsp; 372955 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-AA Class B, 3.51% due 7/20/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 490000 | &nbsp;&nbsp;&nbsp;&nbsp; 464749 |
|  | &nbsp;&nbsp;&nbsp;Marlette Funding Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1A Class C, 4.42% due 4/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 111584 | &nbsp;&nbsp;&nbsp;&nbsp; 110950 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-4A Class C, 3.76% due 12/17/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 720779 | &nbsp;&nbsp;&nbsp;&nbsp; 707976 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1A Class B, 1.00% due 6/16/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 362703 | &nbsp;&nbsp;&nbsp;&nbsp; 358466 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-3 Class A, 0.65% due 12/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 99676 | &nbsp;&nbsp;&nbsp;&nbsp; 98563 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-3A Class A, 5.18% due 11/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 417487 | &nbsp;&nbsp;&nbsp;&nbsp; 413865 |
|  | &nbsp;&nbsp;&nbsp;MMAF Equipment Finance LLC, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2014-AA Class A5, 2.33% due 12/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 82899 | &nbsp;&nbsp;&nbsp;&nbsp; 82875 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AA Class A5, 2.68% due 7/16/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 800044 | &nbsp;&nbsp;&nbsp;&nbsp; 796505 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Mosaic Solar Loan Trust, Series 2018-1A Class C, Zero coupon due 6/22/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 200109 | &nbsp;&nbsp;&nbsp;&nbsp; 184086 |
| **<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; 535000 | &nbsp;&nbsp;&nbsp;&nbsp; 516291 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;NRZ Advance Receivables Trust, Series 2020-T2 Class AT2, 1.475% due 9/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 749858 | &nbsp;&nbsp;&nbsp;&nbsp; 722192 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Oportun Funding LLC, Series 2022-1 Class A, 3.25% due 6/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 356735 | &nbsp;&nbsp;&nbsp;&nbsp; 350565 |
|  | &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; 340677 | &nbsp;&nbsp;&nbsp;&nbsp; 335505 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-3 Class A, 1.15% due 5/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 203027 | &nbsp;&nbsp;&nbsp;&nbsp; 197213 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Pagaya AI Debt Trust, Series 2022-1 Class A, 2.03% due 10/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 151663 | &nbsp;&nbsp;&nbsp;&nbsp; 144620 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Pawnee Equipment Receivables LLC, Series 2020-1 Class A, 1.37% due 11/17/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 70318 | &nbsp;&nbsp;&nbsp;&nbsp; 69433 |
|  | &nbsp;&nbsp;&nbsp;Prosper Marketplace Issuance Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-2A Class C, 5.05% due 9/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 865845 | &nbsp;&nbsp;&nbsp;&nbsp; 863490 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-4A Class C, 4.95% due 2/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 329155 | &nbsp;&nbsp;&nbsp;&nbsp; 328154 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Prosper Pass-Thru Trust II, Series 2019-ST2 Class A 3.75% due 11/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 464032 | &nbsp;&nbsp;&nbsp;&nbsp; 457774 |
|  | &nbsp;&nbsp;&nbsp;PSNH Funding LLC 3, Series 2018-1 Class A1, 3.094% due 2/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 22865 | &nbsp;&nbsp;&nbsp;&nbsp; 22624 |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;SBA Tower Trust, Series 2014-2A Class C, 3.869% due 10/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 548000 | &nbsp;&nbsp;&nbsp;&nbsp; 523609 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;SCF Equipment Leasing LLC, Series 2021-1A Class A2, 0.42% due 8/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3420 | &nbsp;&nbsp;&nbsp;&nbsp; 3420 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

| | |
|:---|:---|
| **Thornburg Ultra Short Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/PRINCIPAL<br> AMOUNT** | &nbsp;&nbsp;**VALUE** |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;SoFi Consumer Loan Program Trust, Series 2021-1 Class A, 0.49% due 9/25/2030 | &nbsp;&nbsp;$285388 | &nbsp;&nbsp;$278501 |
| **<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; 366141 | &nbsp;&nbsp;&nbsp;&nbsp; 328985 |
| **<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; 450000 | &nbsp;&nbsp;&nbsp;&nbsp; 407789 |
|  | &nbsp;&nbsp;&nbsp;Theorem Funding Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1A Class A, 1.21% due 12/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 313074 | &nbsp;&nbsp;&nbsp;&nbsp; 307308 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-3A Class A, 7.60% due 4/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 941680 | &nbsp;&nbsp;&nbsp;&nbsp; 941484 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Transportation Finance Equipment Trust, Series 2019-1 Class A4, 1.88% due 3/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 413920 | &nbsp;&nbsp;&nbsp;&nbsp; 410440 |
|  | &nbsp;&nbsp;&nbsp;Upstart Pass-Through Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-ST1 Class A, 3.75% due 2/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 56616 | &nbsp;&nbsp;&nbsp;&nbsp; 55477 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-ST2 Class A, 3.50% due 3/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 97626 | &nbsp;&nbsp;&nbsp;&nbsp; 95358 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-ST3 Class A, 3.35% due 4/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 37378 | &nbsp;&nbsp;&nbsp;&nbsp; 36433 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-ST6 Class A, 3.00% due 1/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp;1219960 | &nbsp;&nbsp;&nbsp;&nbsp; 1159117 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-ST4 Class A, 2.00% due 7/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 479670 | &nbsp;&nbsp;&nbsp;&nbsp; 443554 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-ST8 Class A, 1.75% due 10/20/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 467483 | &nbsp;&nbsp;&nbsp;&nbsp; 432552 |
|  | &nbsp;&nbsp;&nbsp;Upstart Securitization Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2 Class A, 2.309% due 11/20/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 419500 | &nbsp;&nbsp;&nbsp;&nbsp; 411423 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1 Class A, 0.87% due 3/20/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 4486 | &nbsp;&nbsp;&nbsp;&nbsp; 4473 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-2 Class A, 0.91% due 6/20/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 28147 | &nbsp;&nbsp;&nbsp;&nbsp; 27667 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-4 Class A, 0.84% due 9/20/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 552829 | &nbsp;&nbsp;&nbsp;&nbsp; 535005 |
|  | &nbsp;&nbsp;&nbsp;Verizon Owner Trust, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-A Class A1A, 1.85% due 7/22/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 839915 | &nbsp;&nbsp;&nbsp;&nbsp; 835775 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-B Class A, 0.47% due 2/20/2025 | &nbsp;&nbsp;&nbsp;&nbsp;1811535 | &nbsp;&nbsp;&nbsp;&nbsp; 1782661 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 37701313 |
|  | &nbsp;&nbsp;**Student Loan — 2.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Laurel Road Prime Student Loan Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-C Class A2B, 2.81% due 11/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 902398 | &nbsp;&nbsp;&nbsp;&nbsp; 882908 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-A Class A2FX, 2.73% due 10/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 401858 | &nbsp;&nbsp;&nbsp;&nbsp; 390058 |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;National Collegiate Student Loan Trust, Series 2006-4 Class A4, 4.699% (LIBOR 1 Month + 0.31%) due 5/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 341191 | &nbsp;&nbsp;&nbsp;&nbsp; 322873 |
|  | &nbsp;&nbsp;&nbsp;Navient Private Education Loan Trust, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2014-AA Class A2A, 2.74% due 2/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 12065 | &nbsp;&nbsp;&nbsp;&nbsp; 12037 |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2014-AA Class A2B, 5.568% (LIBOR 1 Month + 1.25%) due 2/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 10608 | &nbsp;&nbsp;&nbsp;&nbsp; 10606 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-A Class A2A, 2.88% due 12/16/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 783876 | &nbsp;&nbsp;&nbsp;&nbsp; 766606 |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-A Class A2B, 5.218% (LIBOR 1 Month + 0.90%) due 12/16/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 27716 | &nbsp;&nbsp;&nbsp;&nbsp; 27676 |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-BA Class A2B, 5.038% (LIBOR 1 Month + 0.72%) due 12/15/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 60710 | &nbsp;&nbsp;&nbsp;&nbsp; 59958 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Navient Private Education Refi Loan Trust, Series 2018-CA Class A2, 3.52% due 6/16/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 753882 | &nbsp;&nbsp;&nbsp;&nbsp; 739106 |
|  | &nbsp;&nbsp;&nbsp;Navient Student Loan Trust, |  |  |
| **<sup>a,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; 5253 | &nbsp;&nbsp;&nbsp;&nbsp; 5246 |
| **<sup>a,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; 367876 | &nbsp;&nbsp;&nbsp;&nbsp; 362693 |
| **<sup>a,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; 1694 | &nbsp;&nbsp;&nbsp;&nbsp; 1694 |
|  | &nbsp;&nbsp;&nbsp;Nelnet Student Loan Trust, |  |  |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2012-2A Class A, 5.189% (LIBOR 1 Month + 0.80%) due 12/26/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 77444 | &nbsp;&nbsp;&nbsp;&nbsp; 74670 |
| **<sup>a,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; 28543 | &nbsp;&nbsp;&nbsp;&nbsp; 27920 |
| **<sup>a,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; 167871 | &nbsp;&nbsp;&nbsp;&nbsp; 162161 |
| **<sup>a,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; 13275 | &nbsp;&nbsp;&nbsp;&nbsp; 12748 |
| **<sup>a,b,c</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;&nbsp;&nbsp; 112385 | &nbsp;&nbsp;&nbsp;&nbsp; 108728 |
|  | &nbsp;&nbsp;&nbsp;SLM Student Loan Trust, |  |  |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4 Class A, 4.939% (LIBOR 1 Month + 0.55%) due 6/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 24701 | &nbsp;&nbsp;&nbsp;&nbsp; 23681 |
| **<sup>a</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; 153015 | &nbsp;&nbsp;&nbsp;&nbsp; 146550 |
|  | &nbsp;&nbsp;&nbsp;SMB Private Education Loan Trust, |  |  |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2015-C Class A3, 6.268% (LIBOR 1 Month + 1.95%) due 8/16/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 240566 | &nbsp;&nbsp;&nbsp;&nbsp; 241005 |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2016-A Class A2B, 5.818% (LIBOR 1 Month + 1.50%) due 5/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 332539 | &nbsp;&nbsp;&nbsp;&nbsp; 331560 |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2016-B Class A2B, 5.768% (LIBOR 1 Month + 1.45%) due 2/17/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 366517 | &nbsp;&nbsp;&nbsp;&nbsp; 363813 |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-A Class A2B, 5.218% (LIBOR 1 Month + 0.90%) due 9/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 305936 | &nbsp;&nbsp;&nbsp;&nbsp; 302905 |
| **<sup>a,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; 565463 | &nbsp;&nbsp;&nbsp;&nbsp; 557513 |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-B Class A2B, 5.038% (LIBOR 1 Month + 0.72%) due 1/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 674812 | &nbsp;&nbsp;&nbsp;&nbsp; 662547 |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-C Class A2B, 5.068% (LIBOR 1 Month + 0.75%) due 11/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 160614 | &nbsp;&nbsp;&nbsp;&nbsp; 157663 |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;SoFi Professional Loan Program LLC, Series 2017-A Class A1, 5.089% (LIBOR 1 Month + 0.70%) due 3/26/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 8098 | &nbsp;&nbsp;&nbsp;&nbsp; 8036 |
|  | &nbsp;&nbsp;&nbsp;Towd Point Asset Trust, |  |  |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-SL1 Class A, 4.989% (LIBOR 1 Month + 0.60%) due 1/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 106581 | &nbsp;&nbsp;&nbsp;&nbsp; 105999 |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-SL1 Class A2, 5.053% (LIBOR 1 Month + 0.70%) due 11/20/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 167787 | &nbsp;&nbsp;&nbsp;&nbsp; 164841 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 7033801 |
|  | &nbsp;&nbsp;&nbsp;Total Asset Backed Securities (Cost $96,421,827) |  | &nbsp;&nbsp;&nbsp;&nbsp; 95681988 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

| | |
|:---|:---|
| **Thornburg Ultra Short Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/PRINCIPAL<br> AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | **Corporate Bonds — 37.1%** |  |  |
|  | &nbsp;&nbsp;**Automobiles & Components — 2.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Auto Components — 0.6%** |  |  |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;Toyota Industries Corp., 3.235% due 3/16/2023 | &nbsp;&nbsp;$1750000 | &nbsp;&nbsp;$1742668 |
|  | &nbsp;&nbsp;&nbsp;**Automobiles — 1.5%** |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Hyundai Capital America, 2.375% due 2/10/2023 | &nbsp;&nbsp;&nbsp;&nbsp;2300000 | &nbsp;&nbsp;&nbsp;&nbsp; 2293008 |
|  | &nbsp;&nbsp;&nbsp;Mercedes-Benz Finance North America LLC, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.70% due 5/4/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1250000 | &nbsp;&nbsp;&nbsp;&nbsp; 1242837 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.50% due 11/27/2024 | &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;&nbsp; 1005810 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 6284323 |
|  | &nbsp;&nbsp;**Banks — 0.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Banks — 0.4%** |  |  |
| **<sup>a,b</sup>** | &nbsp;&nbsp;&nbsp;Credit Suisse AG, 4.495% (SOFRINDX + 0.38%) due 8/9/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 300000 | &nbsp;&nbsp;&nbsp;&nbsp; 293433 |
|  | &nbsp;&nbsp;&nbsp;HSBC USA, Inc., 3.75% due 5/24/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 750000 | &nbsp;&nbsp;&nbsp;&nbsp; 736065 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1029498 |
|  | &nbsp;&nbsp;**Capital Goods — 1.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Aerospace & Defense — 0.5%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Boeing Co., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.80% due 3/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 600000 | &nbsp;&nbsp;&nbsp;&nbsp; 597174 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.508% due 5/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;&nbsp; 996720 |
|  | &nbsp;&nbsp;&nbsp;**Industrial Conglomerates — 0.5%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Lennox International, Inc., 3.00% due 11/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1425000 | &nbsp;&nbsp;&nbsp;&nbsp; 1397783 |
|  | &nbsp;&nbsp;&nbsp;**Machinery — 0.3%** |  |  |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;Caterpillar Financial Services Corp., 4.405% (SOFR + 0.25%) due 5/17/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 950000 | &nbsp;&nbsp;&nbsp;&nbsp; 943749 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 3935426 |
|  | &nbsp;&nbsp;**Commercial & Professional Services — 1.9%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Automobiles — 1.0%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Daimler Trucks Finance North America LLC, |  |  |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.664% (SOFR + 1.00%) due 4/5/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 945000 | &nbsp;&nbsp;&nbsp;&nbsp; 941598 |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.918% (SOFR + 0.60%) due 12/14/2023 | &nbsp;&nbsp;&nbsp;&nbsp;2100000 | &nbsp;&nbsp;&nbsp;&nbsp; 2089458 |
|  | &nbsp;&nbsp;&nbsp;**Commercial Services & Supplies — 0.9%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Quanta Services, Inc., 0.95% due 10/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp;1550000 | &nbsp;&nbsp;&nbsp;&nbsp; 1426558 |
|  | &nbsp;&nbsp;&nbsp;Waste Management, Inc., 2.40% due 5/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1250000 | &nbsp;&nbsp;&nbsp;&nbsp; 1237887 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 5695501 |
|  | &nbsp;&nbsp;**Consumer Services — 0.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Hotels, Restaurants & Leisure — 0.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Hyatt Hotels Corp., 1.30% due 10/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 125000 | &nbsp;&nbsp;&nbsp;&nbsp; 121202 |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;Starbucks Corp., 4.548% (SOFRINDX + 0.42%) due 2/14/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 949000 | &nbsp;&nbsp;&nbsp;&nbsp; 942993 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1064195 |
|  | &nbsp;&nbsp;**Diversified Financials — 3.7%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Capital Markets — 1.0%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Ares Capital Corp., 4.20% due 6/10/2024 | &nbsp;&nbsp;&nbsp;&nbsp;1250000 | &nbsp;&nbsp;&nbsp;&nbsp; 1206887 |
|  | &nbsp;&nbsp;&nbsp;Sixth Street Specialty Lending, Inc., 3.875% due 11/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp;2000000 | &nbsp;&nbsp;&nbsp;&nbsp; 1925940 |
|  | &nbsp;&nbsp;&nbsp;**Diversified Financial Services — 2.7%** |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Antares Holdings LP, 6.00% due 8/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 779000 | &nbsp;&nbsp;&nbsp;&nbsp; 765344 |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;Citigroup, Inc., 0.776% (SOFR + 0.69%) due 10/30/2024 | &nbsp;&nbsp;&nbsp;&nbsp;1250000 | &nbsp;&nbsp;&nbsp;&nbsp; 1199350 |
|  | &nbsp;&nbsp;&nbsp;Deutsche Bank AG, |  |  |
| **<sup>a,b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.966% (LIBOR 3 Month + 1.23%) due 2/27/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 100000 | &nbsp;&nbsp;&nbsp;&nbsp; 100058 |
| **<sup>a,b</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series E, 4.603% (SOFR + 0.50%) due 11/8/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 150000 | &nbsp;&nbsp;&nbsp;&nbsp; 148779 |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;Goldman Sachs Group, Inc., 4.374% (SOFR + 0.49%) due 10/21/2024 | &nbsp;&nbsp;&nbsp;&nbsp;1750000 | &nbsp;&nbsp;&nbsp;&nbsp; 1719812 |
| **<sup>a,b</sup>** | &nbsp;&nbsp;&nbsp;HSBC Holdings plc, 3.95% (LIBOR 3 Month + 0.99%) due 5/18/2024 | &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;&nbsp; 991440 |
| **<sup>a,b</sup>** | &nbsp;&nbsp;&nbsp;Mizuho Financial Group, Inc., 5.387% (LIBOR 3 Month + 0.63%) due 5/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp;1675000 | &nbsp;&nbsp;&nbsp;&nbsp; 1664431 |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;Morgan Stanley, 0.529% (SOFR + 0.46%) due 1/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp;1250000 | &nbsp;&nbsp;&nbsp;&nbsp; 1242288 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 10964329 |
|  | &nbsp;&nbsp;**Energy — 3.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Oil, Gas & Consumable Fuels — 3.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Buckeye Partners LP, 4.15% due 7/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;&nbsp; 986480 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

| | |
|:---|:---|
| **Thornburg Ultra Short Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/PRINCIPAL<br> AMOUNT** | &nbsp;&nbsp;**VALUE** |
| **<sup>a,b</sup>** | &nbsp;&nbsp;&nbsp;Enbridge, Inc., 4.56% (SOFR + 0.40%) due 2/17/2023 | &nbsp;&nbsp;$1500000 | &nbsp;&nbsp;$1496910 |
|  | &nbsp;&nbsp;&nbsp;Energy Transfer L.P. / Regency Energy Finance Corp., 4.50% due 11/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1500000 | &nbsp;&nbsp;&nbsp;&nbsp; 1487010 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Gray Oak Pipeline LLC, 2.00% due 9/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1350000 | &nbsp;&nbsp;&nbsp;&nbsp; 1310971 |
|  | &nbsp;&nbsp;&nbsp;Kinder Morgan Energy Partners LP, 3.45% due 2/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 657000 | &nbsp;&nbsp;&nbsp;&nbsp; 655528 |
|  | &nbsp;&nbsp;&nbsp;Kinder Morgan, Inc., 3.15% due 1/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1566000 | &nbsp;&nbsp;&nbsp;&nbsp; 1564685 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;Petroleos Mexicanos, 4.625% due 9/21/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;&nbsp; 983020 |
|  | &nbsp;&nbsp;&nbsp;Williams Cos., Inc., 4.30% due 3/4/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 750000 | &nbsp;&nbsp;&nbsp;&nbsp; 740160 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 9224764 |
|  | &nbsp;&nbsp;**Food & Staples Retailing — 0.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Food & Staples Retailing — 0.4%** |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;7-Eleven, Inc., 0.625% due 2/10/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1177000 | &nbsp;&nbsp;&nbsp;&nbsp; 1170373 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1170373 |
|  | &nbsp;&nbsp;**Food, Beverage & Tobacco — 1.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Beverages — 0.2%** |  |  |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;Diageo Capital plc, 2.625% due 4/29/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 442000 | &nbsp;&nbsp;&nbsp;&nbsp; 437726 |
|  | &nbsp;&nbsp;&nbsp;**Food Products — 1.1%** |  |  |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;Barry Callebaut Services NV, 5.50% due 6/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;2000000 | &nbsp;&nbsp;&nbsp;&nbsp; 1989460 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;Danone SA, 2.589% due 11/2/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1350000 | &nbsp;&nbsp;&nbsp;&nbsp; 1320772 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 3747958 |
|  | &nbsp;&nbsp;**Health Care Equipment & Services — 1.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Health Care Equipment & Supplies — 0.7%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Baxter International, Inc., |  |  |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.495% (SOFRINDX + 0.26%) due 12/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;&nbsp; 991810 |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.654% (SOFRINDX + 0.44%) due 11/29/2024 | &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;&nbsp; 980490 |
|  | &nbsp;&nbsp;&nbsp;**Health Care Providers & Services — 0.7%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Elevance Health, Inc., 0.45% due 3/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 750000 | &nbsp;&nbsp;&nbsp;&nbsp; 743325 |
|  | &nbsp;&nbsp;&nbsp;Humana, Inc., 0.65% due 8/3/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1509000 | &nbsp;&nbsp;&nbsp;&nbsp; 1471547 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 4187172 |
|  | &nbsp;&nbsp;**Insurance — 4.0%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Insurance — 4.0%** |  |  |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;Equitable Financial Life Global Funding, 4.082% (SOFR + 0.39%) due 4/6/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1522000 | &nbsp;&nbsp;&nbsp;&nbsp; 1520995 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Fairfax U.S., Inc., 4.875% due 8/13/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 850000 | &nbsp;&nbsp;&nbsp;&nbsp; 831317 |
|  | &nbsp;&nbsp;&nbsp;Loews Corp., 2.625% due 5/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1121000 | &nbsp;&nbsp;&nbsp;&nbsp; 1110216 |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;Metropolitan Life Global Funding I, 4.012% (SOFR + 0.32%) due 1/7/2024 | &nbsp;&nbsp;&nbsp;&nbsp;1037000 | &nbsp;&nbsp;&nbsp;&nbsp; 1031421 |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;Pacific Life Global Funding II, 5.123% (SOFRINDX + 0.80%) due 3/30/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 235000 | &nbsp;&nbsp;&nbsp;&nbsp; 230204 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Principal Life Global Funding II, 0.50% due 1/8/2024 | &nbsp;&nbsp;&nbsp;&nbsp;1500000 | &nbsp;&nbsp;&nbsp;&nbsp; 1430445 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Protective Life Global Funding, 1.082% due 6/9/2023 | &nbsp;&nbsp;&nbsp;&nbsp;2225000 | &nbsp;&nbsp;&nbsp;&nbsp; 2186663 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Reliance Standard Life Global Funding II, 3.85% due 9/19/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 601000 | &nbsp;&nbsp;&nbsp;&nbsp; 592520 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Security Benefit Global Funding, 1.25% due 5/17/2024 | &nbsp;&nbsp;&nbsp;&nbsp;1400000 | &nbsp;&nbsp;&nbsp;&nbsp; 1312598 |
|  | &nbsp;&nbsp;&nbsp;Willis North America, Inc., 3.60% due 5/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;1500000 | &nbsp;&nbsp;&nbsp;&nbsp; 1459770 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 11706149 |
|  | &nbsp;&nbsp;**Materials — 1.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Chemicals — 0.6%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Celanese US Holdings LLC, 5.90% due 7/5/2024 | &nbsp;&nbsp;&nbsp;&nbsp;1500000 | &nbsp;&nbsp;&nbsp;&nbsp; 1499205 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;Phosagro OAO Via Phosagro Bond Funding DAC, 3.949% due 4/24/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 260000 | &nbsp;&nbsp;&nbsp;&nbsp; 162383 |
|  | &nbsp;&nbsp;&nbsp;**Containers & Packaging — 0.7%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Ball Corp., 4.00% due 11/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;2053000 | &nbsp;&nbsp;&nbsp;&nbsp; 2017750 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 3679338 |
|  | &nbsp;&nbsp;**Media & Entertainment — 0.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Media — 0.4%** |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;CCO Holdings LLC/CCO Holdings Capital Corp., 4.00% due 3/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1250000 | &nbsp;&nbsp;&nbsp;&nbsp; 1245963 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1245963 |
|  | &nbsp;&nbsp;**Pharmaceuticals, Biotechnology & Life Sciences — 2.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Life Sciences Tools & Services — 0.8%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Thermo Fisher Scientific, Inc., |  |  |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.16% (SOFRINDX + 0.35%) due 4/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1050000 | &nbsp;&nbsp;&nbsp;&nbsp; 1048866 |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.20% (SOFRINDX + 0.39%) due 10/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1300000 | &nbsp;&nbsp;&nbsp;&nbsp; 1293760 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

| | |
|:---|:---|
| **Thornburg Ultra Short Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/PRINCIPAL<br> AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;**Pharmaceuticals — 1.5%** |  |  |
| **<sup>a,b</sup>** | &nbsp;&nbsp;&nbsp;AstraZeneca plc, 5.315% (LIBOR 3 Month + 0.67%) due 8/17/2023 | &nbsp;&nbsp;$240000 | &nbsp;&nbsp;$239976 |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;Bayer US Finance II LLC, 5.779% (LIBOR 3 Month + 1.01%) due 12/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1500000 | &nbsp;&nbsp;&nbsp;&nbsp; 1500075 |
|  | &nbsp;&nbsp;&nbsp;Mylan, Inc., 4.20% due 11/29/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1673000 | &nbsp;&nbsp;&nbsp;&nbsp; 1655233 |
| **<sup>a,c</sup>** | &nbsp;&nbsp;&nbsp;Roche Holdings, Inc., 4.615% (SOFR + 0.33%) due 9/11/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 850000 | &nbsp;&nbsp;&nbsp;&nbsp; 848572 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 6586482 |
|  | &nbsp;&nbsp;**Real Estate — 0.7%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Equity Real Estate Investment Trusts — 0.7%** |  |  |
|  | &nbsp;&nbsp;&nbsp;American Tower Corp., 3.50% due 1/31/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1500000 | &nbsp;&nbsp;&nbsp;&nbsp; 1498305 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;SBA Tower Trust, 2.836% due 1/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 500000 | &nbsp;&nbsp;&nbsp;&nbsp; 471259 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1969564 |
|  | &nbsp;&nbsp;**Retailing — 0.6%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Multiline Retail — 0.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Dollar General Corp., 4.25% due 9/20/2024 | &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;&nbsp; 987000 |
|  | &nbsp;&nbsp;&nbsp;**Specialty Retail — 0.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Lowe's Cos., Inc., 4.40% due 9/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 800000 | &nbsp;&nbsp;&nbsp;&nbsp; 789336 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1776336 |
|  | &nbsp;&nbsp;**Semiconductors & Semiconductor Equipment — 0.9%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Semiconductors & Semiconductor Equipment — 0.9%** |  |  |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;QUALCOMM, Inc., 5.145% (LIBOR 3 Month + 0.73%) due 1/30/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 911000 | &nbsp;&nbsp;&nbsp;&nbsp; 911228 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;SK Hynix, Inc., 1.00% due 1/19/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 700000 | &nbsp;&nbsp;&nbsp;&nbsp; 663404 |
|  | &nbsp;&nbsp;&nbsp;Skyworks Solutions, Inc., 0.90% due 6/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;&nbsp; 979530 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 2554162 |
|  | &nbsp;&nbsp;**Software & Services — 0.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Information Technology Services — 0.3%** |  |  |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;Genpact Luxembourg Sarl, 3.375% due 12/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;&nbsp; 956790 |
|  | &nbsp;&nbsp;&nbsp;**Software — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Oracle Corp., 2.625% due 2/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 192000 | &nbsp;&nbsp;&nbsp;&nbsp; 191353 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1148143 |
|  | &nbsp;&nbsp;**Technology Hardware & Equipment — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Technology Hardware, Storage & Peripherals — 0.1%** |  |  |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;Lenovo Group Ltd., 4.75% due 3/29/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 250000 | &nbsp;&nbsp;&nbsp;&nbsp; 249425 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 249425 |
|  | &nbsp;&nbsp;**Telecommunication Services — 1.5%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Diversified Telecommunication Services — 1.1%** |  |  |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;AT&T, Inc., 4.963% (SOFRINDX + 0.64%) due 3/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 750000 | &nbsp;&nbsp;&nbsp;&nbsp; 746213 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;British Telecommunications plc, 4.50% due 12/4/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1075000 | &nbsp;&nbsp;&nbsp;&nbsp; 1065346 |
|  | &nbsp;&nbsp;&nbsp;NTT Finance Corp., |  |  |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;0.373% due 3/3/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;&nbsp; 992510 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.142% due 7/26/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 500000 | &nbsp;&nbsp;&nbsp;&nbsp; 492025 |
|  | &nbsp;&nbsp;&nbsp;**Wireless Telecommunication Services — 0.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Sprint LLC, 7.875% due 9/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 750000 | &nbsp;&nbsp;&nbsp;&nbsp; 761198 |
|  | &nbsp;&nbsp;&nbsp;T-Mobile USA, Inc., 2.25% due 2/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 500000 | &nbsp;&nbsp;&nbsp;&nbsp; 455360 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 4512652 |
|  | &nbsp;&nbsp;**Transportation — 0.7%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Air Freight & Logistics — 0.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Ryder System, Inc., 3.875% due 12/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 750000 | &nbsp;&nbsp;&nbsp;&nbsp; 739508 |
|  | &nbsp;&nbsp;&nbsp;**Transportation Infrastructure — 0.5%** |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Penske Truck Leasing Co. Lp/PTL Finance Corp., 2.70% due 3/14/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1418000 | &nbsp;&nbsp;&nbsp;&nbsp; 1410839 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 2150347 |
|  | &nbsp;&nbsp;**Utilities — 8.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Electric Utilities — 7.3%** |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Alexander Funding Trust, 1.841% due 11/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 431000 | &nbsp;&nbsp;&nbsp;&nbsp; 407364 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Alliant Energy Finance LLC, 3.75% due 6/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 188000 | &nbsp;&nbsp;&nbsp;&nbsp; 186505 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;Ausgrid Finance Pty Ltd., 3.85% due 5/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1600000 | &nbsp;&nbsp;&nbsp;&nbsp; 1591248 |
|  | &nbsp;&nbsp;&nbsp;Cleveland Electric Illuminating Co., 5.50% due 8/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;&nbsp; 1004340 |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;Dominion Energy, Inc., Series D, 5.299% (LIBOR 3 Month + 0.53%) due 9/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 225000 | &nbsp;&nbsp;&nbsp;&nbsp; 224591 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

| | |
|:---|:---|
| **Thornburg Ultra Short Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/PRINCIPAL<br> AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;DTE Energy Co., 4.22% due 11/1/2024 | &nbsp;&nbsp;$907000 | &nbsp;&nbsp;$892515 |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;Duke Energy Corp., 4.534% (SOFR + 0.25%) due 6/10/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1385000 | &nbsp;&nbsp;&nbsp;&nbsp; 1379889 |
|  | &nbsp;&nbsp;&nbsp;Evergy Metro, Inc., 3.15% due 3/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;&nbsp; 997230 |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;Eversource Energy, Series T, 4.389% (SOFRINDX + 0.25%) due 8/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1500000 | &nbsp;&nbsp;&nbsp;&nbsp; 1491600 |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;Mississippi Power Co., Series A, 4.623% (SOFR + 0.30%) due 6/28/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 750000 | &nbsp;&nbsp;&nbsp;&nbsp; 733590 |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;National Rural Utilities Cooperative Finance Corp., 4.493% (SOFR + 0.40%) due 8/7/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 250000 | &nbsp;&nbsp;&nbsp;&nbsp; 249145 |
|  | &nbsp;&nbsp;&nbsp;NextEra Energy Capital Holdings, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.255% due 9/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 750000 | &nbsp;&nbsp;&nbsp;&nbsp; 740970 |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.465% (SOFRINDX + 0.40%) due 11/3/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1113000 | &nbsp;&nbsp;&nbsp;&nbsp; 1108559 |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.342% (SOFRINDX + 1.02%) due 3/21/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 375000 | &nbsp;&nbsp;&nbsp;&nbsp; 374591 |
|  | &nbsp;&nbsp;&nbsp;OGE Energy Corp., 0.703% due 5/26/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 725000 | &nbsp;&nbsp;&nbsp;&nbsp; 712059 |
|  | &nbsp;&nbsp;&nbsp;Pacific Gas & Electric Co., 4.25% due 8/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1550000 | &nbsp;&nbsp;&nbsp;&nbsp; 1537058 |
|  | &nbsp;&nbsp;&nbsp;PPL Electric Utilities Corp., |  |  |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.653% (SOFR + 0.33%) due 6/24/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 895000 | &nbsp;&nbsp;&nbsp;&nbsp; 883383 |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.974% (LIBOR 3 Month + 0.25%) due 9/28/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 200000 | &nbsp;&nbsp;&nbsp;&nbsp; 198698 |
|  | &nbsp;&nbsp;&nbsp;Public Service Enterprise Group, Inc., 0.841% due 11/8/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1390000 | &nbsp;&nbsp;&nbsp;&nbsp; 1338792 |
|  | &nbsp;&nbsp;&nbsp;Southern California Edison Co., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series C, 4.20% due 6/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 230000 | &nbsp;&nbsp;&nbsp;&nbsp; 225391 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series D, 3.40% due 6/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1400000 | &nbsp;&nbsp;&nbsp;&nbsp; 1388688 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series J, 0.70% due 8/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;&nbsp; 973520 |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;Southern Co., Series 2021, 4.49% (SOFRINDX + 0.37%) due 5/10/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1300000 | &nbsp;&nbsp;&nbsp;&nbsp; 1295671 |
|  | &nbsp;&nbsp;&nbsp;Vistra Operations Co. LLC, |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.55% due 7/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 500000 | &nbsp;&nbsp;&nbsp;&nbsp; 479825 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.875% due 5/13/2024 | &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;&nbsp; 979210 |
|  | &nbsp;&nbsp;&nbsp;**Gas Utilities — 0.8%** |  |  |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;Atmos Energy Corp., 5.103% (LIBOR 3 Month + 0.38%) due 3/9/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 170000 | &nbsp;&nbsp;&nbsp;&nbsp; 169884 |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;CenterPoint Energy Resources Corp., 5.279% (LIBOR 3 Month + 0.50%) due 3/2/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 839000 | &nbsp;&nbsp;&nbsp;&nbsp; 838614 |
|  | &nbsp;&nbsp;&nbsp;Entergy New Orleans LLC, 3.90% due 7/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1250000 | &nbsp;&nbsp;&nbsp;&nbsp; 1240513 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 23643443 |
|  | &nbsp;&nbsp;&nbsp;Total Corporate Bonds (Cost $108,963,790) |  | &nbsp;&nbsp;&nbsp;&nbsp;108525543 |
|  | **Long-Term Municipal Bonds — 0.0%** |  |  |
|  | &nbsp;&nbsp;&nbsp;New Jersey Transportation Trust Fund Authority, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.551% due 6/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 30000 | &nbsp;&nbsp;&nbsp;&nbsp; 29625 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.631% due 6/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 25000 | &nbsp;&nbsp;&nbsp;&nbsp; 24138 |
|  | &nbsp;&nbsp;&nbsp;Total Long-Term Municipal Bonds (Cost $55,000) |  | &nbsp;&nbsp;&nbsp;&nbsp; 53763 |
|  | **Short-Term Investments — 16.7%** |  |  |
|  | **Mutual Fund — 10.5%** |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Thornburg Capital Management Fund | &nbsp;&nbsp;&nbsp;&nbsp;3073900 | &nbsp;&nbsp;&nbsp;&nbsp; 30739003 |
|  | &nbsp;&nbsp;&nbsp;Total Mutual Fund (Cost $30,739,003) |  | &nbsp;&nbsp;&nbsp;&nbsp; 30739003 |
|  | **U.S. Treasury Securities — 3.6%** |  |  |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Bill, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.098% due 1/19/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 500000 | &nbsp;&nbsp;&nbsp;&nbsp; 499195 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.979% due 2/16/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;&nbsp; 995027 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Notes, 0.125% due 3/31/2023 | &nbsp;&nbsp;&nbsp;&nbsp;9000000 | &nbsp;&nbsp;&nbsp;&nbsp; 8905430 |
|  | &nbsp;&nbsp;&nbsp;Total U.S. Treasury Securities (Cost $10,399,996) |  | &nbsp;&nbsp;&nbsp;&nbsp; 10399652 |
|  | **Commercial Paper — 2.6%** |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Black Hills Corp., 5.049% due 2/9/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1125000 | &nbsp;&nbsp;&nbsp;&nbsp; 1118967 |
| **<sup>b,c</sup>** | &nbsp;&nbsp;&nbsp;Electricite de France SA, 5.062% due 1/30/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1250000 | &nbsp;&nbsp;&nbsp;&nbsp; 1244996 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Marriott International, Inc., 4.837% due 1/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;2500000 | &nbsp;&nbsp;&nbsp;&nbsp; 2492083 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Newell Brands, Inc., 5.50% due 1/23/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1500000 | &nbsp;&nbsp;&nbsp;&nbsp; 1495032 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Spire, Inc., 4.996% due 2/7/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1400000 | &nbsp;&nbsp;&nbsp;&nbsp; 1392949 |
|  | &nbsp;&nbsp;&nbsp;Total Commercial Paper (Cost $7,744,027) |  | &nbsp;&nbsp;&nbsp;&nbsp; 7744027 |
|  | &nbsp;&nbsp;&nbsp;Total Short-Term Investments (Cost $48,883,026) |  | &nbsp;&nbsp;&nbsp;&nbsp; 48882682 |
|  | **Total Investments — 97.5% (Cost $286,988,620)** |  | &nbsp;&nbsp;$285507341 |
|  | **Other Assets Less Liabilities — 2.5%** |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7401497 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

| | |
|:---|:---|
| **Thornburg Ultra Short Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

---

| | | |
|:---|:---|:---|
| **Issuer-Description** | &nbsp;&nbsp;**SHARES/PRINCIPAL<br> AMOUNT** | &nbsp;&nbsp;**VALUE** |
| **Net Assets — 100.0%** |  | &nbsp;&nbsp;$292908838 |

---

---

| | |
|:---|:---|
| **Footnote Legend** | **Footnote Legend** |
| a | Variable, floating, step, or fixed to floating rate securities are securities for which interest rate changes are based on changes in a designated base rate or on a predetermined schedule. The rates shown are those in effect on December 31, 2022. |
| b | Yankee bond denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations. |
| c | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities are restricted but liquid and may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of December 31, 2022, the aggregate value of these securities in the Fund's portfolio was $122,222,703, representing 41.73% of the Fund's net assets. |
| d | Investment in Affiliates. |

---

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

---

| | |
|:---|:---|
| CMBS | Commercial Mortgage-Backed Securities |
| CMO | Collateralized Mortgage Obligation |
| DAC | Designated Activity Company |
| LIBOR | London Interbank Offered Rates |
| Mtg | Mortgage |

---

---

| | |
|:---|:---|
| REMIC | Real Estate Mortgage Investment Conduit |
| SOFR | Secured Overnight Financing Rate |
| SOFRINDX | Secured Overnight Financing Rate Index |
| UMBS | Uniform Mortgage Backed Securities |

---

------

NOTES TO SCHEDULE OF INVESTMENTS

---

| | |
|:---|:---|
| **Thornburg Ultra Short Income Fund** | *December 31, 2022 (Unaudited)* |

---

------

#### NOTE 1 – ORGANIZATION
Thornburg Ultra Short Income Fund (the "Fund") is a diversified series of Thornburg Investment Trust (the "Trust"). The Trust is organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"). The Fund is currently one of twenty-one separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes. The Fund currently offers two classes of shares of beneficial interest: Class A and Institutional Class ("Class I").

#### NOTE 2 – SECURITY VALUATION
Valuation of the Fund's portfolio investment securities is performed 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> Investments in U.S. mutual funds are valued at net asset value ("NAV") each business day.

Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Committee.

In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee may calculate a fair value for the obligation using alternative methods selected and approved by the Committee. Additionally, in cases when the Committee believes that a valuation obtained from a pricing service provider is stale, does not reflect material factors affecting the valuation of the investment, is significantly different than the value the Fund is likely to obtain if it sought a bid for the investment, or is otherwise unreliable, the Committee may calculate a fair value for the obligation using an alternative method selected and approved by the Committee.

#### 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 | $23148493 | &nbsp;&nbsp;$115129405 | &nbsp;&nbsp;$(107538895) | &nbsp;&nbsp;$- | &nbsp;&nbsp;$- | &nbsp;&nbsp;$30739003 | &nbsp;&nbsp;$409117 |

---

## 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 Ultra Short Income Fund

- **b. EDGAR series identifier (if any):** S000043670

- **c. LEI of Series:** 5493008QZFA48DAOHN91

**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:** $286290928.94

**Total Liabilities:** $5789136.95

**Net Assets:** $280501791.99

**Cash Not Reported:** $2697.39

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2757.04000000 | **1-Year:** -7996.04000000 | **5-Year:** -1291.17000000 | **10-Year:** -39.11000000 | **30-Year:** -0.61000000

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

- **3-Month:** -595.84000000 | **1-Year:** -1214.28000000 | **5-Year:** -424.44000000 | **10-Year:** -105.36000000 | **30-Year:** -2.12000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000135385 | 0.01%                | 0.38%                | 0.49%                |
| Class ID C000135386 | 0.03%                | 0.39%                | 0.51%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $4562.12                 | $-395773.60                                |
| Month 2  | $4964.69                 | $241265.73                                 |
| Month 3  | $16371.89                | $393580.56                                 |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| MISSISSIPPI POWE                                  | Mississippi Power Co                                                         | CUSIP: 605417CC6<br>LEI: LNZ0J6YZ5SC6ILIRU850 | Long             | DBT              | CORP              | US        |    750000 | PA      | $733590.00    | 0.26%             | 2024-06-28      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                               | Elevance Health Inc                                                          | CUSIP: 036752AQ6<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    750000 | PA      | $743325.00    | 0.26%             | 2023-03-15      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                               | DT Auto Owner Trust 2019-2                                                   | CUSIP: 26252TAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    545833 | PA      | $541791.47    | 0.19%             | 2025-02-18      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                   | SBA Tower Trust                                                              | CUSIP: 78403DAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    548000 | PA      | $523608.52    | 0.19%             | 2049-10-15      | Variable      | 3.87%                 | 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        |    100000 | PA      | $95072.22     | 0.03%             | 2039-07-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                             | CUSIP: 912828T91<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1950078.12   | 0.70%             | 2023-10-31      | Fixed         | 1.63%                 | No            |                  1 | On Loan: No      |
| Residential Mortgage Loan Trust                   | Residential Mortgage Loan Trust 2020-2                                       | CUSIP: 76123MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    541485 | PA      | $526203.82    | 0.19%             | 2060-05-25      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Loan Trust 2017-A                                  | CUSIP: 63939XAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27716 | PA      | $27675.71     | 0.01%             | 2058-12-16      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| National Collegiate Student Loan Trust            | National Collegiate Student Loan Trust 2006-4                                | CUSIP: 63543WAD3<br>LEI: 635400VHKJCABQGBTP36 | Long             | ABS-O            | CORP              | US        |    341191 | PA      | $322873.00    | 0.12%             | 2032-05-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Verizon Owner Trust                               | Verizon Owner Trust 2020-B                                                   | CUSIP: 92290BAA9<br>LEI: 549300ESLK4DH2NBDS67 | Long             | ABS-O            | CORP              | US        |   1811535 | PA      | $1782661.05   | 0.64%             | 2025-02-20      | Fixed         | 0.47%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC                          | Baxter International Inc                                                     | CUSIP: 071813DB2<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $980490.00    | 0.35%             | 2024-11-29      | Floating      | 4.65%                 | 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        |     70318 | PA      | $69432.69     | 0.02%             | 2025-11-17      | Fixed         | 1.37%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                | CUSIP: 097023CS2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $996720.00    | 0.36%             | 2023-05-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Bill                                                  | CUSIP: 912796XS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    500000 | PA      | $499195.56    | 0.18%             | 2023-01-19      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| Toyota Auto Receivables Owner Trust               | Toyota Auto Receivables 2020-D Owner Trust                                   | CUSIP: 89236XAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    803878 | PA      | $787508.79    | 0.28%             | 2025-01-15      | Fixed         | 0.35%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137BSPW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1814393 | PA      | $1790259.29   | 0.64%             | 2023-08-25      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| QUALCOMM Inc                                      | QUALCOMM Inc                                                                 | CUSIP: 747525AS2<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    911000 | PA      | $911227.75    | 0.32%             | 2023-01-30      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| PPL ELECTRIC UTI                                  | PPL Electric Utilities Corp                                                  | CUSIP: 69351UAY9<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |    895000 | PA      | $883382.90    | 0.31%             | 2024-06-24      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137B36J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1170908 | PA      | $1165477.17   | 0.42%             | 2023-02-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                        | Upstart Pass-Through Trust Series 2020-ST6                                   | CUSIP: 91680XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1219960 | PA      | $1159117.33   | 0.41%             | 2027-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Crossroads Asset Trust                            | Crossroads Asset Trust 2022-A                                                | CUSIP: 22767DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1998420.32   | 0.71%             | 2031-04-21      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Capital One Prime Auto Receivables Trust          | Capital One Prime Auto Receivables Trust 2020-1                              | CUSIP: 14043MAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    742971 | PA      | $735862.81    | 0.26%             | 2024-11-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                            | Marlette Funding Trust 2021-1                                                | CUSIP: 57110NAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    362703 | PA      | $358465.75    | 0.13%             | 2031-06-16      | Fixed         | 1.00%                 | 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        |     21126 | PA      | $19633.77     | 0.01%             | 2057-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2019-HY2                                           | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51613 | PA      | $51128.08     | 0.02%             | 2058-05-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                    | Mariner Finance Issuance Trust 2019-A                                        | CUSIP: 56847MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    490000 | PA      | $464748.81    | 0.17%             | 2032-07-20      | Fixed         | 3.51%                 | 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        |     25000 | PA      | $24138.38     | 0.01%             | 2024-06-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                             | Arroyo Mortgage Trust 2019-1                                                 | CUSIP: 042859AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22536 | PA      | $20744.64     | 0.01%             | 2049-01-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| OGE ENERGY CORP                                   | OGE Energy Corp                                                              | CUSIP: 670837AC7<br>LEI: CE5OG6JPOZMDSA0LAQ19 | Long             | DBT              | CORP              | US        |    725000 | PA      | $712058.75    | 0.25%             | 2023-05-26      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Trust                  | First Investors Auto Owner Trust 2020-1                                      | CUSIP: 32060KAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    602388 | PA      | $598149.02    | 0.21%             | 2026-02-17      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                          | Thermo Fisher Scientific Inc                                                 | CUSIP: 883556CN0<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1048866.00   | 0.37%             | 2023-04-18      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                             | CUSIP: 87264ABR5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    500000 | PA      | $455360.00    | 0.16%             | 2026-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                 | Eversource Energy                                                            | CUSIP: 30040WAM0<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1491600.00   | 0.53%             | 2023-08-15      | Floating      | 4.39%                 | 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        |     53747 | PA      | $51353.04     | 0.02%             | 2029-05-25      | Fixed         | 2.94%                 | 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        |    565463 | PA      | $557513.39    | 0.20%             | 2035-10-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| ACC Trust                                         | ACC Trust 2022-1                                                             | CUSIP: 00091HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    280443 | PA      | $277249.72    | 0.10%             | 2024-09-20      | Fixed         | 1.19%                 | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Trust                  | First Investors Auto Owner Trust 2021-1                                      | CUSIP: 32059FAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48900 | PA      | $48387.65     | 0.02%             | 2026-03-16      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                        | Flagship Credit Auto Trust 2021-1                                            | CUSIP: 33843WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    911399 | PA      | $907008.46    | 0.32%             | 2025-06-16      | Fixed         | 0.31%                 | No            |                  2 | On Loan: No      |
| GENPACT LUXEMBOURG SARL                           | Genpact Luxembourg Sarl                                                      | CUSIP: 37254BAC4<br>LEI: 549300875ZJZQ1PBR343 | Long             | DBT              | CORP              | LU        |   1000000 | PA      | $956790.00    | 0.34%             | 2024-12-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                               | Petroleos Mexicanos                                                          | CUSIP: 71654QBS0<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     25000 | PA      | $24069.25     | 0.01%             | 2025-04-15      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust           | United Auto Credit Securitization Trust 2022-1                               | CUSIP: 90944DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86089 | PA      | $85733.49     | 0.03%             | 2024-07-10      | Fixed         | 1.11%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                        | Humana Inc                                                                   | CUSIP: 444859BP6<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   1509000 | PA      | $1471546.62   | 0.52%             | 2023-08-03      | Fixed         | 0.65%                 | 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        |   1009594 | PA      | $988979.76    | 0.35%             | 2025-08-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                            | NextEra Energy Capital Holdings Inc                                          | CUSIP: 65339KCE8<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    375000 | PA      | $374591.25    | 0.13%             | 2024-03-21      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust      | American Credit Acceptance Receivables Trust 2021-3                          | CUSIP: 025286AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    629924 | PA      | $627917.17    | 0.22%             | 2026-02-13      | Fixed         | 0.66%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2018-B                                      | CUSIP: 78449LAC2<br>LEI: 549300INMCHM7L5O6M41 | Long             | ABS-O            | CORP              | US        |    674812 | PA      | $662547.11    | 0.24%             | 2037-01-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                            | Marlette Funding Trust 2019-1                                                | CUSIP: 57109XAC1<br>LEI: 549300FK0U6W6777SM18 | Long             | ABS-O            | CORP              | US        |    111584 | PA      | $110949.73    | 0.04%             | 2029-04-16      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| ACM Auto Trust                                    | ACM Auto Trust 2022-1                                                        | CUSIP: 00091QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    197116 | PA      | $196609.75    | 0.07%             | 2029-04-20      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Kubota Credit Owner Trust                         | Kubota Credit Owner Trust 2021-2                                             | CUSIP: 50117XAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    580468 | PA      | $573389.39    | 0.20%             | 2024-06-17      | Fixed         | 0.26%                 | 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        |    162068 | PA      | $159217.78    | 0.06%             | 2027-08-16      | Fixed         | 3.76%                 | 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        |    203027 | PA      | $197212.70    | 0.07%             | 2029-05-15      | Fixed         | 1.15%                 | 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        |     37378 | PA      | $36432.96     | 0.01%             | 2028-04-20      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                          | Celanese US Holdings LLC                                                     | CUSIP: 15089QAR5<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1499205.00   | 0.53%             | 2024-07-05      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                     | Lendbuzz Securitization Trust 2022-1                                         | CUSIP: 52607KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    964122 | PA      | $926190.24    | 0.33%             | 2027-05-17      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Consumer Loan Underlying Bond Credit Trust        | Consumer Loan Underlying Bond CLUB Credit Trust 2019-P2                      | CUSIP: 21054PAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    507516 | PA      | $504404.99    | 0.18%             | 2026-10-15      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| Ball Corp                                         | Ball Corp                                                                    | CUSIP: 058498AS5<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |   2053000 | PA      | $2017749.99   | 0.72%             | 2023-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC USA INC                                      | HSBC USA Inc                                                                 | CUSIP: 40428HTA0<br>LEI: 549300LBOHZ4QSIWU288 | Long             | DBT              | CORP              | US        |    750000 | PA      | $736065.00    | 0.26%             | 2024-05-24      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                        | GLS Auto Receivables Issuer Trust 2022-2                                     | CUSIP: 36265NAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    712260 | PA      | $702929.28    | 0.25%             | 2026-01-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Theorem Funding Trust                             | Theorem Funding Trust 2021-1                                                 | CUSIP: 88339VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    313074 | PA      | $307307.78    | 0.11%             | 2027-12-15      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                               | Petroleos Mexicanos                                                          | CUSIP: 71654QCD2<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1000000 | PA      | $983020.00    | 0.35%             | 2023-09-21      | Fixed         | 4.63%                 | 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        |    340677 | PA      | $335505.00    | 0.12%             | 2027-11-15      | Fixed         | 1.18%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                             | CUSIP: 9128284L1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $994023.44    | 0.35%             | 2023-04-30      | Fixed         | 2.75%                 | No            |                  1 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                             | CUSIP: 9128282D1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $2933437.50   | 1.05%             | 2023-08-31      | Fixed         | 1.38%                 | No            |                  1 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                | CUSIP: 842400GL1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1388688.00   | 0.50%             | 2023-06-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                | CUSIP: 172967MT5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1199350.00   | 0.43%             | 2024-10-30      | Fixed         | 0.78%                 | No            |                  2 | On Loan: No      |
| Mylan Inc                                         | Mylan Inc                                                                    | CUSIP: 628530BD8<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |   1673000 | PA      | $1655232.74   | 0.59%             | 2023-11-29      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                            | Marlette Funding Trust 2022-3                                                | CUSIP: 57109NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    417487 | PA      | $413864.58    | 0.15%             | 2032-11-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust         | Santander Consumer Auto Receivables Trust 2020-B                             | CUSIP: 802830AK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1133323 | PA      | $1124526.36   | 0.40%             | 2025-04-15      | Fixed         | 0.54%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                | Honda Auto Receivables 2020-3 Owner Trust                                    | CUSIP: 43813KAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    376185 | PA      | $367299.53    | 0.13%             | 2024-10-18      | Fixed         | 0.37%                 | 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        |     10672 | PA      | $10381.43     | 0.00%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SK HYNIX INC                                      | SK Hynix Inc                                                                 | CUSIP: 78392BAA5<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |    700000 | PA      | $663404.00    | 0.24%             | 2024-01-19      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Loan Trust 2014-A                                  | CUSIP: 63939CAB3<br>LEI: 54930094LU45XF2CP718 | Long             | ABS-O            | CORP              | US        |     12065 | PA      | $12036.89     | 0.00%             | 2029-02-15      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                           | Kinder Morgan Energy Partners LP                                             | CUSIP: 494550BM7<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    657000 | PA      | $655528.32    | 0.23%             | 2023-02-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FHF Trust 2021-2                                  | FHF Trust 2021-2                                                             | CUSIP: 30322JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100103 | PA      | $94957.66     | 0.03%             | 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        |    467483 | PA      | $432551.88    | 0.15%             | 2029-10-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                          | Electricite de France SA                                                     | CUSIP: 28504HNW0<br>LEI: 549300X3UK4GG3FNMO06 | Long             | STIV             | CORP              | FR        |   1250000 | PA      | $1244995.49   | 0.44%             | 2023-01-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                | CUSIP: 097023BW4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    600000 | PA      | $597174.00    | 0.21%             | 2023-03-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                      | METLIFE SECURITIZATION TRUST 2019-1                                          | CUSIP: 59166EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78944 | PA      | $76458.54     | 0.03%             | 2058-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                  | CUSIP: 694308JB4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1537057.50   | 0.55%             | 2023-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| STARBUCKS CORP                                    | Starbucks Corp                                                               | CUSIP: 855244BB4<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |    949000 | PA      | $942992.83    | 0.34%             | 2024-02-14      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                            | Williams Cos Inc/The                                                         | CUSIP: 96950FAM6<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    750000 | PA      | $740160.00    | 0.26%             | 2024-03-04      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust           | United Auto Credit Securitization Trust 2022-2                               | CUSIP: 90944KAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    782752 | PA      | $779138.62    | 0.28%             | 2025-04-10      | Fixed         | 4.39%                 | 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        |    167787 | PA      | $164840.97    | 0.06%             | 2061-11-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                      | Upstart Securitization Trust 2021-1                                          | CUSIP: 91681NAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4486 | PA      | $4472.82      | 0.00%             | 2031-03-20      | Fixed         | 0.87%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust             | Westlake Automobile Receivables Trust 2019-2                                 | CUSIP: 96041LAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    619519 | PA      | $617260.48    | 0.22%             | 2024-11-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Dell Equipment Finance Trust                      | Dell Equipment Finance Trust 2021-2                                          | CUSIP: 24702VAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1439902.85   | 0.51%             | 2026-12-22      | Fixed         | 0.53%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FIN NA                              | Mercedes-Benz Finance North America LLC                                      | CUSIP: 58769JAA5<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1005810.00   | 0.36%             | 2024-11-27      | Fixed         | 5.50%                 | 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        |      1694 | PA      | $1694.46      | 0.00%             | 2040-12-26      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Newell Brands Inc                                 | Newell Brands Inc                                                            | CUSIP: 65120NNP8<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | STIV             | CORP              | US        |   1500000 | PA      | $1495031.66   | 0.53%             | 2023-01-23      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                             | CUSIP: 26441CBK0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1385000 | PA      | $1379889.35   | 0.49%             | 2023-06-10      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                 | World Omni Auto Receivables Trust 2022-A                                     | CUSIP: 98164GAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1257145 | PA      | $1240534.80   | 0.44%             | 2025-04-15      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                             | CUSIP: 912828S92<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1960312.50   | 0.70%             | 2023-07-31      | Fixed         | 1.25%                 | No            |                  1 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-BPNY                                                               | CUSIP: 12659XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $298340.23    | 0.11%             | 2023-08-15      | Floating      | 8.03%                 | 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        |    975000 | PA      | $930203.72    | 0.33%             | 2026-03-20      | Fixed         | 1.54%                 | 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        |     82748 | PA      | $77452.04     | 0.03%             | 2057-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BRITISH TELECOMMUNICATIO                          | British Telecommunications PLC                                               | CUSIP: 111021AM3<br>LEI: 549300OWFMSO9NYV4H90 | Long             | DBT              | CORP              | GB        |   1075000 | PA      | $1065346.50   | 0.38%             | 2023-12-04      | Fixed         | 4.50%                 | 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        |     50431 | PA      | $47217.83     | 0.02%             | 2033-07-25      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                      | Veros Auto Receivables Trust 2022-1                                          | CUSIP: 92512VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    389043 | PA      | $382612.57    | 0.14%             | 2025-12-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                  | NTT Finance Corp                                                             | CUSIP: 62954WAH8<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    500000 | PA      | $492025.00    | 0.18%             | 2024-07-26      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                               | DT Auto Owner Trust 2021-4                                                   | CUSIP: 26253WAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    232463 | PA      | $228888.12    | 0.08%             | 2025-09-15      | Fixed         | 0.56%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                       | Oracle Corp                                                                  | CUSIP: 68389XBR5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    192000 | PA      | $191352.96    | 0.07%             | 2023-02-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET SPECIALTY                            | Sixth Street Specialty Lending Inc                                           | CUSIP: 87265KAF9<br>LEI: 549300TX61566GJWCN05 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1925940.00   | 0.69%             | 2024-11-01      | Fixed         | 3.88%                 | 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        |    749858 | PA      | $722191.88    | 0.26%             | 2053-09-15      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                          | Octane Receivables Trust 2020-1                                              | CUSIP: 67592LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    389110 | PA      | $385085.05    | 0.14%             | 2025-02-20      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                            | CCO Holdings LLC / CCO Holdings Capital Corp                                 | CUSIP: 1248EPBZ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1245962.50   | 0.44%             | 2023-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| American Tower Corp                               | American Tower Corp                                                          | CUSIP: 03027XAB6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |   1500000 | PA      | $1498305.00   | 0.53%             | 2023-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Loan Trust 2014-A                                  | CUSIP: 63939CAC1<br>LEI: 54930094LU45XF2CP718 | Long             | ABS-O            | CORP              | US        |     10608 | PA      | $10606.40     | 0.00%             | 2029-02-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| ROCHE HOLDINGS INC                                | Roche Holdings Inc                                                           | CUSIP: 771196BZ4<br>LEI: PVJRP0EQNV6OGDPZGY95 | Long             | DBT              | CORP              | US        |    850000 | PA      | $848572.00    | 0.30%             | 2023-09-11      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust         | Santander Consumer Auto Receivables Trust 2020-A                             | CUSIP: 80281MAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1940000 | PA      | $1917551.08   | 0.68%             | 2026-02-17      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                               | DT Auto Owner Trust 2022-1                                                   | CUSIP: 23345YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1427124 | PA      | $1398840.88   | 0.50%             | 2026-04-15      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2015-C                                      | CUSIP: 78448RAD8<br>LEI: 549300GD7VLLBVPDNJ81 | Long             | ABS-O            | CORP              | US        |    240566 | PA      | $241005.02    | 0.09%             | 2032-08-16      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137B7EZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2059 | PA      | $2058.89      | 0.00%             | 2023-04-25      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC                        | MMAF Equipment Finance LLC 2014-A                                            | CUSIP: 55315CAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     82899 | PA      | $82875.48     | 0.03%             | 2025-12-08      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs | United States Small Business Administration                                  | CUSIP: 83162CPX5<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |      5037 | PA      | $4910.11      | 0.00%             | 2025-11-01      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Transportation Finance Equipment Trust            | Transportation Finance Equipment Trust 2019-1                                | CUSIP: 89389JAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    413921 | PA      | $410440.20    | 0.15%             | 2024-03-25      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                 | Kinder Morgan Inc                                                            | CUSIP: 49456BAM3<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   1566000 | PA      | $1564684.56   | 0.56%             | 2023-01-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2020-NQM1 Trust                                                         | CUSIP: 126401AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102995 | PA      | $91407.06     | 0.03%             | 2065-05-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                      | CUSIP: 44891ABE6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2293008.00   | 0.82%             | 2023-02-10      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| ACM Auto Trust                                    | ACM Auto Trust 2022-1                                                        | CUSIP: 00091QAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $496799.35    | 0.18%             | 2029-04-20      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL                            | Protective Life Global Funding                                               | CUSIP: 74368CAR5<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |   2225000 | PA      | $2186663.25   | 0.78%             | 2023-06-09      | Fixed         | 1.08%                 | 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        |    486213 | PA      | $481977.44    | 0.17%             | 2026-08-15      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Ausgrid Finance Pty Ltd                           | Ausgrid Finance Pty Ltd                                                      | CUSIP: 052113AA5<br>LEI: 549300DN8D7YR73BKB57 | Long             | DBT              | CORP              | AU        |   1600000 | PA      | $1591248.00   | 0.57%             | 2023-05-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Lenovo Group Ltd                                  | Lenovo Group Ltd                                                             | CUSIP: 000000000<br>LEI: 254900VUZRGD5U73RE46 | Long             | DBT              | CORP              | HK        |    250000 | PA      | $249425.00    | 0.09%             | 2023-03-29      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| AstraZeneca PLC                                   | AstraZeneca PLC                                                              | CUSIP: 046353AS7<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    240000 | PA      | $239976.00    | 0.09%             | 2023-08-17      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust               | Exeter Automobile Receivables Trust 2021-2                                   | CUSIP: 30166RAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    804941 | PA      | $785590.03    | 0.28%             | 2026-01-15      | Fixed         | 0.74%                 | No            |                  2 | On Loan: No      |
| Reach Financial LLC                               | LL ABS Trust 2021-1                                                          | CUSIP: 53934QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    390818 | PA      | $376920.87    | 0.13%             | 2029-05-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasing Trust             | GM Financial Automobile Leasing Trust 2020-3                                 | CUSIP: 362569AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     79722 | PA      | $79531.65     | 0.03%             | 2024-10-21      | Fixed         | 0.51%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                    | Hyundai Auto Receivables Trust 2020-A                                        | CUSIP: 44891LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2100000 | PA      | $2023241.05   | 0.72%             | 2026-06-15      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2021-P4                                       | CUSIP: 14687KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    654347 | PA      | $645935.84    | 0.23%             | 2025-04-10      | Fixed         | 0.82%                 | No            |                  2 | On Loan: No      |
| Verizon Owner Trust                               | Verizon Owner Trust 2020-A                                                   | CUSIP: 92348TAA2<br>LEI: 549300XY7L2MRX0BQH89 | Long             | ABS-O            | CORP              | US        |    839915 | PA      | $835774.70    | 0.30%             | 2024-07-22      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                      | Enbridge Inc                                                                 | CUSIP: 29250NBD6<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   1500000 | PA      | $1496910.00   | 0.53%             | 2023-02-17      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                      | Drive Auto Receivables Trust 2021-1                                          | CUSIP: 262108AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16970 | PA      | $16946.92     | 0.01%             | 2025-07-15      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                           | SCF Equipment Leasing 2021-1 LLC                                             | CUSIP: 783897AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3420 | PA      | $3420.41      | 0.00%             | 2026-08-20      | Fixed         | 0.42%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR FINL SERVICE                          | Caterpillar Financial Services Corp                                          | CUSIP: 14913R2M8<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |    950000 | PA      | $943749.00    | 0.34%             | 2024-05-17      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Danone SA                                         | Danone SA                                                                    | CUSIP: 23636TAD2<br>LEI: 969500KMUQ2B6CBAF162 | Long             | DBT              | CORP              | FR        |   1350000 | PA      | $1320772.50   | 0.47%             | 2023-11-02      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Consumer Loan Underlying Bond Credit Trust        | Consumer Loan Underlying Bond Credit Trust 2018-P3                           | CUSIP: 21053NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    101899 | PA      | $101847.43    | 0.04%             | 2026-01-15      | Fixed         | 5.54%                 | 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        |      6580 | PA      | $6469.66      | 0.00%             | 2056-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Mercedes-Benz Auto Lease Trust                    | Mercedes-Benz Auto Lease Trust 2021-B                                        | CUSIP: 58769KAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11750 | PA      | $11725.45     | 0.00%             | 2024-01-16      | Fixed         | 0.22%                 | No            |                  2 | On Loan: No      |
| Willis North America Inc                          | Willis North America Inc                                                     | CUSIP: 970648AF8<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1459770.00   | 0.52%             | 2024-05-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                               | DT Auto Owner Trust 2020-3                                                   | CUSIP: 26253AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129749 | PA      | $129439.33    | 0.05%             | 2024-12-16      | Fixed         | 0.91%                 | 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        |     17499 | PA      | $16815.15     | 0.01%             | 2029-05-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust             | Westlake Automobile Receivables Trust 2019-3                                 | CUSIP: 96042HAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2150895 | PA      | $2133466.57   | 0.76%             | 2024-11-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Thornburg Capital Management Fund                 | Thornburg Capital Management Fund                                            | CUSIP: 885216739<br>LEI: 549300GLR0WG6ALV5277 | Long             | EC               | RF                | US        |   3056928 | NS      | $30569282.73  | 10.90%            |  |  |  | No            |                  1 | On Loan: No      |
| DAIMLER TRUCKS FINAN NA                           | Daimler Trucks Finance North America LLC                                     | CUSIP: 233853AC4<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $2089458.00   | 0.74%             | 2023-12-14      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| John Deere Owner Trust                            | John Deere Owner Trust 2021-B                                                | CUSIP: 47789QAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    427985 | PA      | $424898.47    | 0.15%             | 2024-06-17      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC                                      | 7-Eleven Inc                                                                 | CUSIP: 817826AA8<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |   1177000 | PA      | $1170373.49   | 0.42%             | 2023-02-10      | Fixed         | 0.63%                 | 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        |    819218 | PA      | $795717.05    | 0.28%             | 2027-01-15      | Fixed         | 1.19%                 | 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        |    114758 | PA      | $112580.50    | 0.04%             | 2028-10-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137B04Y7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    780000 | PA      | $780000.00    | 0.28%             | 2023-01-25      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Spire Inc                                         | Spire Inc                                                                    | CUSIP: 84858PP70<br>LEI: 549300NXSY15DRY2R511 | Long             | STIV             | CORP              | US        |   1400000 | PA      | $1392949.44   | 0.50%             | 2023-02-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                    | Lowe's Cos Inc                                                               | CUSIP: 548661EK9<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    800000 | PA      | $789336.00    | 0.28%             | 2025-09-08      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                | CUSIP: 842400HP1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    230000 | PA      | $225390.80    | 0.08%             | 2025-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasing Trust             | GM Financial Automobile Leasing Trust 2020-2                                 | CUSIP: 36259PAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    359216 | PA      | $358659.44    | 0.13%             | 2024-07-22      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                 | HSBC Holdings PLC                                                            | CUSIP: 404280BS7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1000000 | PA      | $991440.00    | 0.35%             | 2024-05-18      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ACC Auto Trust                                    | ACC Auto Trust 2022-A                                                        | CUSIP: 00085YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    387047 | PA      | $379839.25    | 0.14%             | 2026-07-15      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| EVERGY METRO                                      | Evergy Metro Inc                                                             | CUSIP: 485134BN9<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $997230.00    | 0.36%             | 2023-03-15      | Fixed         | 3.15%                 | 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        |    243681 | PA      | $239075.04    | 0.09%             | 2026-10-15      | Fixed         | 0.92%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust      | American Credit Acceptance Receivables Trust 2019-4                          | CUSIP: 02529RAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    961054 | PA      | $948746.54    | 0.34%             | 2025-12-12      | Fixed         | 2.97%                 | 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        |    450000 | PA      | $407789.42    | 0.15%             | 2055-11-15      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                         | Nelnet Student Loan Trust 2012-2                                             | CUSIP: 64031CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     77444 | PA      | $74669.49     | 0.03%             | 2033-12-26      | Floating      | 5.19%                 | 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        |    535000 | PA      | $516290.52    | 0.18%             | 2053-08-15      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| LP LMS 2021-2 Asset Securitization Trust          | LP LMS 2021-2 Asset Securitization Trust                                     | CUSIP: 50214JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105579 | PA      | $102035.32    | 0.04%             | 2029-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                  | NTT Finance Corp                                                             | CUSIP: 62954WAA3<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   1000000 | PA      | $992510.00    | 0.35%             | 2023-03-03      | Fixed         | 0.37%                 | No            |                  2 | On Loan: No      |
| Freedom Financial                                 | FREED ABS Trust 2022-2CP                                                     | CUSIP: 35633LAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    131894 | PA      | $131062.87    | 0.05%             | 2029-05-18      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| Waste Management Inc                              | Waste Management Inc                                                         | CUSIP: 94106LBD0<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1237887.50   | 0.44%             | 2023-05-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitization Trust           | Lendingpoint 2022-A Asset Securitization Trust                               | CUSIP: 52605AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    179416 | PA      | $177665.74    | 0.06%             | 2029-06-15      | Fixed         | 1.68%                 | 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        |     41733 | PA      | $40004.21     | 0.01%             | 2032-02-20      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC                        | MMAF Equipment Finance LLC 2017-A                                            | CUSIP: 55315XAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800044 | PA      | $796505.45    | 0.28%             | 2027-07-16      | Fixed         | 2.68%                 | 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        |      5253 | PA      | $5245.96      | 0.00%             | 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        |     28147 | PA      | $27666.65     | 0.01%             | 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        |    590779 | PA      | $555574.64    | 0.20%             | 2056-09-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Dell Equipment Finance Trust                      | Dell Equipment Finance Trust                                                 | CUSIP: 24703WAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    534815 | PA      | $528154.54    | 0.19%             | 2027-08-23      | Fixed         | 2.11%                 | No            |                  2 | On Loan: No      |
| ENRGY TRANS LP/REG FIN                            | Energy Transfer LP / Regency Energy Finance Corp                             | CUSIP: 75886AAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1487010.00   | 0.53%             | 2023-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                           | CarMax Auto Owner Trust 2020-4                                               | CUSIP: 14316HAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1490942 | PA      | $1447699.60   | 0.52%             | 2025-08-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                    | CPS Auto Receivables Trust 2022-A                                            | CUSIP: 12659WAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    423041 | PA      | $416544.52    | 0.15%             | 2029-04-16      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2022-N1                                       | CUSIP: 14686GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    783744 | PA      | $763447.65    | 0.27%             | 2028-12-11      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                        | GLS Auto Receivables Issuer Trust 2020-1                                     | CUSIP: 36258XAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     84011 | PA      | $83935.15     | 0.03%             | 2024-11-15      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                          | AT&T Inc                                                                     | CUSIP: 00206RMH2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    750000 | PA      | $746212.50    | 0.27%             | 2024-03-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Brex Inc                                          | Brex Commercial Charge Card Master Trust                                     | CUSIP: 05601DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $197830.12    | 0.07%             | 2024-07-15      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Bill                                                  | CUSIP: 912796YA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   1000000 | PA      | $995027.08    | 0.35%             | 2023-02-16      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                          | Public Service Enterprise Group Inc                                          | CUSIP: 744573AT3<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |   1390000 | PA      | $1338792.40   | 0.48%             | 2023-11-08      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| Ryder System Inc                                  | Ryder System Inc                                                             | CUSIP: 78355HKK4<br>LEI: ZXJ6Y2OSPZXIVGRILD15 | Long             | DBT              | CORP              | US        |    750000 | PA      | $739507.50    | 0.26%             | 2023-12-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                | Aqua Finance Trust 2017-A                                                    | CUSIP: 03837PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    408170 | PA      | $402404.28    | 0.14%             | 2035-11-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust      | American Credit Acceptance Receivables Trust 2022-3                          | CUSIP: 02528GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    727857 | PA      | $721977.85    | 0.26%             | 2026-02-13      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                 | World Omni Auto Receivables Trust 2020-C                                     | CUSIP: 98163CAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1765982 | PA      | $1717142.29   | 0.61%             | 2025-11-17      | Fixed         | 0.48%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                   | SBA Tower Trust                                                              | CUSIP: 78403DAN0<br>LEI: N/A                  | Long             | DBT              |  | US        |    500000 | PA      | $471258.50    | 0.17%             | 2025-01-15      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                 | Ares Capital Corp                                                            | CUSIP: 04010LAX1<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1206887.50   | 0.43%             | 2024-06-10      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRUST                  | SoFi Consumer Loan Program 2021-1 Trust                                      | CUSIP: 83407CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    285388 | PA      | $278500.82    | 0.10%             | 2030-09-25      | Fixed         | 0.49%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC                          | FHF Trust 2022-2                                                             | CUSIP: 31568EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400803 | PA      | $1380617.08   | 0.49%             | 2027-12-15      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                               | Dominion Energy Inc                                                          | CUSIP: 25746UDH9<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    225000 | PA      | $224590.50    | 0.08%             | 2023-09-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                          | Thermo Fisher Scientific Inc                                                 | CUSIP: 883556CR1<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1293760.00   | 0.46%             | 2023-10-18      | Floating      | 4.20%                 | 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        |    167871 | PA      | $162161.48    | 0.06%             | 2062-04-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                          | Penske Truck Leasing Co Lp / PTL Finance Corp                                | CUSIP: 709599AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1418000 | PA      | $1410839.10   | 0.50%             | 2023-03-14      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                         | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10                  | CUSIP: 61762MBU4<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |     28773 | PA      | $28682.79     | 0.01%             | 2046-07-15      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| FAIRFAX US INC                                    | Fairfax US Inc                                                               | CUSIP: 304071AA1<br>LEI: 549300JGURHUEU25AZ92 | Long             | DBT              | CORP              | US        |    850000 | PA      | $831317.00    | 0.30%             | 2024-08-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitization Trust           | Lendingpoint 2022-C Asset Securitization Trust                               | CUSIP: 525919AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1062512 | PA      | $1060205.23   | 0.38%             | 2030-02-15      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| Marriott International Inc/MD                     | Marriott International Inc/MD                                                | CUSIP: 57163UNR3<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | STIV             | CORP              | US        |   2500000 | PA      | $2492083.33   | 0.89%             | 2023-01-25      | None          | 0.00%                 | 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        |    852477 | PA      | $845083.70    | 0.30%             | 2024-10-15      | Fixed         | 3.46%                 | 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        |     13275 | PA      | $12748.25     | 0.00%             | 2057-05-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| DOLLAR GENERAL CORP                               | Dollar General Corp                                                          | CUSIP: 256677AJ4<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $987000.00    | 0.35%             | 2024-09-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Program LLC              | SoFi Professional Loan Program 2017-A LLC                                    | CUSIP: 83404FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8098 | PA      | $8035.65      | 0.00%             | 2040-03-26      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term Auto Receivables Tr | GM Financial Consumer Automobile Receivables Trust 2022-1                    | CUSIP: 380146AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1140836 | PA      | $1122685.33   | 0.40%             | 2025-02-18      | Fixed         | 0.76%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust           | Hyundai Auto Lease Securitization Trust 2020-B                               | CUSIP: 44891PAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1644 | PA      | $1642.42      | 0.00%             | 2023-09-15      | Fixed         | 0.51%                 | No            |                  2 | On Loan: No      |
| Synchrony Credit Card Master Note Trust           | Synchrony Credit Card Master Note Trust                                      | CUSIP: 87165LCC3<br>LEI: 549300G1V1M796QIYC04 | Long             | ABS-O            | CORP              | US        |   1350000 | PA      | $1341728.79   | 0.48%             | 2026-05-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                 | World Omni Auto Receivables Trust 2019-C                                     | CUSIP: 98162RAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    187875 | PA      | $186677.63    | 0.07%             | 2024-12-16      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                            | Mizuho Financial Group Inc                                                   | CUSIP: 60687YBC2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   1675000 | PA      | $1664430.75   | 0.59%             | 2024-05-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137B2HN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    536824 | PA      | $536823.75    | 0.19%             | 2023-02-25      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Toyota Industries Corp                            | Toyota Industries Corp                                                       | CUSIP: 892330AB7<br>LEI: 35380000WKGEAHEMW830 | Long             | DBT              | CORP              | JP        |   1750000 | PA      | $1742667.50   | 0.62%             | 2023-03-16      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC                          | Baxter International Inc                                                     | CUSIP: 071813CY3<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $991810.00    | 0.35%             | 2023-12-01      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| OSCAR US Funding Trust                            | Oscar US Funding XIV LLC                                                     | CUSIP: 68784HAB7<br>LEI: 353800FUC565GTX73583 | Long             | ABS-O            | CORP              | JP        |   1965505 | PA      | $1926774.52   | 0.69%             | 2025-03-10      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Towd Point Asset Trust 2018-SL1                   | Towd Point Asset Trust 2018-SL1                                              | CUSIP: 89174UAA4<br>LEI: 54930022FYEFQVX02P24 | Long             | ABS-O            | CORP              | US        |    106581 | PA      | $105999.04    | 0.04%             | 2046-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK                            | Credit Suisse AG/New York NY                                                 | CUSIP: 22550UAD3<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |    300000 | PA      | $293433.00    | 0.10%             | 2023-08-09      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                        | Affirm Asset Securitization Trust 2021-Z2                                    | CUSIP: 00834TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    747150 | PA      | $717369.25    | 0.26%             | 2026-11-16      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2019-INV3                                         | CUSIP: 92537MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    333714 | PA      | $313643.11    | 0.11%             | 2059-11-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| LendingClub Receivables Trust                     | LendingClub Receivables Trust Series 2020-6                                  | CUSIP: 52606PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5226 | PA      | $5197.24      | 0.00%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CCG Receivables Trust                             | CCG Receivables Trust 2019-2                                                 | CUSIP: 12510FAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41376 | PA      | $41317.85     | 0.01%             | 2027-03-15      | Fixed         | 2.11%                 | No            |                  2 | On Loan: No      |
| FWD Securitization Trust                          | FWDSecuritization Trust 2019-INV1                                            | CUSIP: 302980AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22602 | PA      | $20246.02     | 0.01%             | 2049-06-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                            | Marlette Funding Trust 2021-3                                                | CUSIP: 57108QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99676 | PA      | $98562.82     | 0.04%             | 2031-12-15      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust               | Exeter Automobile Receivables Trust 2021-1                                   | CUSIP: 30165XAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    448881 | PA      | $445849.94    | 0.16%             | 2025-09-15      | Fixed         | 0.57%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                               | Oportun Funding 2022-1 LLC                                                   | CUSIP: 68377XAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    356735 | PA      | $350564.88    | 0.12%             | 2029-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                           | CarMax Auto Owner Trust 2020-2                                               | CUSIP: 14315VAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    408249 | PA      | $405394.43    | 0.14%             | 2024-11-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137B5KW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1477128 | PA      | $1461840.04   | 0.52%             | 2023-08-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| Public Service New Hampshire Funding Llc.         | PSNH Funding LLC 3                                                           | CUSIP: 69363PAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22865 | PA      | $22623.57     | 0.01%             | 2026-02-01      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                | CUSIP: 842400HH9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $973520.00    | 0.35%             | 2023-08-01      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                            | Marlette Funding Trust 2019-4                                                | CUSIP: 57110AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    720779 | PA      | $707976.21    | 0.25%             | 2029-12-17      | Fixed         | 3.76%                 | 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        |      4221 | PA      | $4098.51      | 0.00%             | 2059-09-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                            | Tesla Auto Lease Trust 2021-A                                                | CUSIP: 88161FAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129548 | PA      | $128530.60    | 0.05%             | 2025-03-20      | Fixed         | 0.36%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2018-C                                      | CUSIP: 78449QAC1<br>LEI: 549300V1P5RKG8RJI005 | Long             | ABS-O            | CORP              | US        |    160614 | PA      | $157662.51    | 0.06%             | 2035-11-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                          | Foundation Finance Trust 2017-1                                              | CUSIP: 35040UAB7<br>LEI: 549300RIQ1R4PTXR5G48 | Long             | ABS-O            | CORP              | US        |   1480522 | PA      | $1451467.96   | 0.52%             | 2033-07-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| ACC Auto Trust                                    | ACC Auto Trust 2021-A                                                        | CUSIP: 00108XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38138 | PA      | $37697.36     | 0.01%             | 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        |   1002785 | PA      | $973236.90    | 0.35%             | 2058-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2021-2                                | CUSIP: 80286XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    697668 | PA      | $695330.46    | 0.25%             | 2025-09-15      | Fixed         | 0.59%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRUST                  | WFRBS Commercial Mortgage Trust 2013-C14                                     | CUSIP: 92890PAF1<br>LEI: 549300GADFYEKC4OLM57 | Long             | ABS-MBS          | CORP              | US        |      9314 | PA      | $9265.31      | 0.00%             | 2046-06-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                             | CUSIP: 91282CCU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3750000 | PA      | $3637207.05   | 1.30%             | 2023-08-31      | Fixed         | 0.13%                 | No            |                  1 | On Loan: No      |
| Aqua Finance Trust                                | Aqua Finance Trust 2020-A                                                    | CUSIP: 038413AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1256712 | PA      | $1165577.78   | 0.42%             | 2046-07-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                       | Southern Co/The                                                              | CUSIP: 842587DK0<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1295671.00   | 0.46%             | 2023-05-10      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Dext ABS                                          | Dext ABS 2021-1 LLC                                                          | CUSIP: 23345CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     64452 | PA      | $61512.69     | 0.02%             | 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        |   1250000 | PA      | $1242837.50   | 0.44%             | 2023-05-04      | Fixed         | 3.70%                 | 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        |    367876 | PA      | $362692.76    | 0.13%             | 2059-12-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                    | Mariner Finance Issuance Trust 2019-A                                        | CUSIP: 56847MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    380067 | PA      | $372955.21    | 0.13%             | 2032-07-20      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Theorem Funding Trust                             | Theorem Funding Trust 2022-3                                                 | CUSIP: 882925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    941680 | PA      | $941483.51    | 0.34%             | 2029-04-15      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                        | Sprint LLC                                                                   | CUSIP: 85207UAF2<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |    750000 | PA      | $761197.50    | 0.27%             | 2023-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                             | CUSIP: 91282CBG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1494902.34   | 0.53%             | 2023-01-31      | Fixed         | 0.13%                 | No            |                  1 | On Loan: No      |
| DRB Prime Student Loan Trust                      | Laurel Road Prime Student Loan Trust 2017-C                                  | CUSIP: 518889AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    902398 | PA      | $882907.80    | 0.31%             | 2042-11-25      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-CM1 Trust                                                          | CUSIP: 36168AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    274379 | PA      | $257288.20    | 0.09%             | 2065-04-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| American Tower Truste I                           | American Tower Trust #1                                                      | CUSIP: 03027WAJ1<br>LEI: 5493004YGM0MQZJOEJ36 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1988802.40   | 0.71%             | 2048-03-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LFE GLB FND II                          | Principal Life Global Funding II                                             | CUSIP: 74256LEJ4<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1430445.00   | 0.51%             | 2024-01-08      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                           | Flagstar Mortgage Trust 2017-1                                               | CUSIP: 33850BAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15002 | PA      | $13213.99     | 0.00%             | 2047-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Loews Corp                                        | Loews Corp                                                                   | CUSIP: 540424AQ1<br>LEI: R8V1FN4M5ITGZOG7BS19 | Long             | DBT              | CORP              | US        |   1121000 | PA      | $1110215.98   | 0.40%             | 2023-05-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                          | Vistra Operations Co LLC                                                     | CUSIP: 92840VAK8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $979210.00    | 0.35%             | 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        |     29603 | PA      | $27855.06     | 0.01%             | 2056-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| BARRY CALLEBAUT SVCS NV                           | Barry Callebaut Services NV                                                  | CUSIP: 000000000<br>LEI: 213800R1F1EJYM4ICO85 | Long             | DBT              | CORP              | BE        |   1350000 | PA      | $1342885.50   | 0.48%             | 2023-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Conn Funding II, L.P                              | Conn's Receivables Funding 2022-A LLC                                        | CUSIP: 20825YAA4<br>LEI: 549300CQYZS7T8C6S766 | Long             | ABS-O            | CORP              | US        |   2313125 | PA      | $2309425.43   | 0.82%             | 2026-12-15      | Fixed         | 5.87%                 | 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        |    342199 | PA      | $329336.14    | 0.12%             | 2028-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHF Trust 2021-1                                  | FHF Trust 2021-1                                                             | CUSIP: 30260WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48629 | PA      | $46273.36     | 0.02%             | 2027-03-15      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                          | Equitable Financial Life Global Funding                                      | CUSIP: 29449WAH0<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |   1522000 | PA      | $1520995.48   | 0.54%             | 2023-04-06      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                            | Mosaic Solar Loan Trust 2018-1                                               | CUSIP: 61946FAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200109 | PA      | $184086.15    | 0.07%             | 2043-06-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Avid Automobile Receivables Trust                 | Avid Automobile Receivables Trust 2021-1                                     | CUSIP: 05369LAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28211 | PA      | $28128.77     | 0.01%             | 2025-01-15      | Fixed         | 0.61%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2021-N2                                       | CUSIP: 14686KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38817 | PA      | $38204.79     | 0.01%             | 2028-03-10      | Fixed         | 0.32%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                             | CUSIP: 912828V80<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1947421.88   | 0.69%             | 2024-01-31      | Fixed         | 2.25%                 | No            |                  1 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                             | CUSIP: 912828N30<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1100000 | PA      | $1100000.00   | 0.39%             | 2022-12-31      | Fixed         | 2.13%                 | No            |                  1 | On Loan: No      |
| Proper Pass-Thru Trust II                         | Prosper Pass-Thru Trust II Series 2019-St2                                   | CUSIP: 74361EAA5<br>LEI: 549300DCN6PLVC4QVK93 | Long             | ABS-O            | CORP              | US        |    464032 | PA      | $457774.18    | 0.16%             | 2025-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                              | CUSIP: 31418C5T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36584 | PA      | $35709.34     | 0.01%             | 2029-01-01      | Fixed         | 4.00%                 | 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        |    260000 | PA      | $162383.00    | 0.06%             | 2023-04-24      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Trust                  | First Investors Auto Owner Trust 2021-2                                      | CUSIP: 32057JAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1910099 | PA      | $1845437.43   | 0.66%             | 2027-03-15      | Fixed         | 0.48%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                 | CUSIP: 251526BS7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    100000 | PA      | $100058.00    | 0.04%             | 2023-02-27      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Loan Trust 2018-B                                  | CUSIP: 63940QAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60710 | PA      | $59957.71     | 0.02%             | 2059-12-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2019-1                                | CUSIP: 80285HAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    274460 | PA      | $273973.51    | 0.10%             | 2025-04-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2016-A                                      | CUSIP: 78449FAC5<br>LEI: 54930039BHEBCRK29U41 | Long             | ABS-O            | CORP              | US        |    332539 | PA      | $331559.53    | 0.12%             | 2031-05-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                               | DT Auto Owner Trust 2021-2                                                   | CUSIP: 23345EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     70905 | PA      | $70711.44     | 0.03%             | 2025-03-17      | Fixed         | 0.41%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2017-A                                      | CUSIP: 78448WAC9<br>LEI: 5493000RGRVHYZAIY180 | Long             | ABS-O            | CORP              | US        |    305936 | PA      | $302904.73    | 0.11%             | 2034-09-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                             | CUSIP: 912828R69<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4510000 | PA      | $4455210.54   | 1.59%             | 2023-05-31      | Fixed         | 1.63%                 | No            |                  1 | On Loan: No      |
| BARRY CALLEBAUT SVCS NV                           | Barry Callebaut Services NV                                                  | CUSIP: 000000000<br>LEI: 213800R1F1EJYM4ICO85 | Long             | DBT              | CORP              | BE        |    650000 | PA      | $646574.50    | 0.23%             | 2023-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Refi Loan Trust 2018-C                             | CUSIP: 63940VAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    753882 | PA      | $739106.19    | 0.26%             | 2042-06-16      | Fixed         | 3.52%                 | 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        |    108803 | PA      | $102246.77    | 0.04%             | 2034-10-17      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                | Aqua Finance Trust 2019-A                                                    | CUSIP: 038370AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    151742 | PA      | $141956.66    | 0.05%             | 2040-07-16      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2021-N3                                       | CUSIP: 14687GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    543980 | PA      | $528584.09    | 0.19%             | 2028-06-12      | Fixed         | 0.35%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                             | Arroyo Mortgage Trust 2019-3                                                 | CUSIP: 04285AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21747 | PA      | $19776.43     | 0.01%             | 2048-10-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| LendingPoint Pass-Through Trust                   | LendingPoint Pass-Through Trust Series 2022-ST2                              | CUSIP: 52607QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    271080 | PA      | $259007.20    | 0.09%             | 2028-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term Auto Receivables Tr | GM Financial Consumer Automobile Receivables Trust 2020-1                    | CUSIP: 36258NAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    369118 | PA      | $366932.82    | 0.13%             | 2024-09-16      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2021-N4                                       | CUSIP: 14687HAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    415101 | PA      | $401040.04    | 0.14%             | 2028-09-11      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                      | Upstart Securitization Trust 2021-4                                          | CUSIP: 91682NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    552829 | PA      | $535004.94    | 0.19%             | 2031-09-20      | Fixed         | 0.84%                 | 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        |     28544 | PA      | $27920.14     | 0.01%             | 2051-02-27      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2016-B                                      | CUSIP: 78449GAC3<br>LEI: 5493008SQ2WS8HE83M61 | Long             | ABS-O            | CORP              | US        |    366517 | PA      | $363813.30    | 0.13%             | 2032-02-17      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                           | CUSIP: 3137ACDW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5119 | PA      | $5119.42      | 0.00%             | 2040-11-15      | Floating      | 4.67%                 | 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        |    859000 | PA      | $831890.82    | 0.30%             | 2026-09-15      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| SKYWORKS SOLUTIONS INC                            | Skyworks Solutions Inc                                                       | CUSIP: 83088MAJ1<br>LEI: 549300WZ3ORQ2BVKBD96 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $979530.00    | 0.35%             | 2023-06-01      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                          | Foundation Finance Trust 2020-1                                              | CUSIP: 35041KAA0<br>LEI: 549300QVJKB4ZVR88F06 | Long             | ABS-O            | CORP              | US        |    307373 | PA      | $293866.37    | 0.10%             | 2040-07-16      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                          | National Rural Utilities Cooperative Finance Corp                            | CUSIP: 63743HFB3<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249145.00    | 0.09%             | 2023-08-07      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Consumer Lending Receivables Trust                | Consumer Lending Receivables Trust 2019-A Clrt 2019-A                        | CUSIP: 21053QAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200621 | PA      | $199907.76    | 0.07%             | 2026-04-15      | Fixed         | 5.26%                 | 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        |    151663 | PA      | $144620.49    | 0.05%             | 2029-10-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| Laurel Road Prime Student Loan Trust              | Laurel Road Prime Student Loan Trust 2019-A                                  | CUSIP: 51889RAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    401858 | PA      | $390058.19    | 0.14%             | 2048-10-25      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                               | CUSIP: 912828B25<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1851708 | PA      | $1812511.99   | 0.65%             | 2024-01-15      | Fixed         | 0.63%                 | No            |                  1 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Student Loan Trust 2013-6                                                | CUSIP: 78448CAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    153015 | PA      | $146549.85    | 0.05%             | 2028-06-26      | Floating      | 5.04%                 | 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        |    295821 | PA      | $278916.43    | 0.10%             | 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        |    779000 | PA      | $765344.13    | 0.27%             | 2023-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                     | Lendbuzz Securitization Trust 2021-1                                         | CUSIP: 52607BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260510 | PA      | $248675.80    | 0.09%             | 2026-06-15      | Fixed         | 1.46%                 | 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        |    155958 | PA      | $152258.53    | 0.05%             | 2029-10-15      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust         | Santander Consumer Auto Receivables Trust 2020-A                             | CUSIP: 80281MAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    518719 | PA      | $517173.16    | 0.18%             | 2025-12-15      | Fixed         | 2.26%                 | 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        |     10924 | PA      | $10923.77     | 0.00%             | 2024-06-20      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust      | American Credit Acceptance Receivables Trust 2021-4                          | CUSIP: 02530TAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15939 | PA      | $15909.37     | 0.01%             | 2025-09-15      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| PPL ELECTRIC UTILITIES                            | PPL Electric Utilities Corp                                                  | CUSIP: 69351UAX1<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |    200000 | PA      | $198698.00    | 0.07%             | 2023-09-28      | Floating      | 4.97%                 | 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        |     23687 | PA      | $23507.20     | 0.01%             | 2029-02-15      | Fixed         | 1.11%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                        | Affirm Asset Securitization Trust 2020-Z2                                    | CUSIP: 00834AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43041 | PA      | $41972.57     | 0.01%             | 2025-01-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                               | CUSIP: 6174468W2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1242287.50   | 0.44%             | 2024-01-25      | Fixed         | 0.53%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                             | CUSIP: 91282CBU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9000000 | PA      | $8905429.71   | 3.17%             | 2023-03-31      | Fixed         | 0.13%                 | No            |                  1 | On Loan: No      |
| ALEXANDER FUNDING TRUST                           | Alexander Funding Trust                                                      | CUSIP: 014621AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    431000 | PA      | $407363.96    | 0.15%             | 2023-11-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| Springcastle SPV                                  | SpringCastle America Funding LLC                                             | CUSIP: 85022WAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    366141 | PA      | $328985.32    | 0.12%             | 2037-09-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                        | GLS Auto Receivables Issuer Trust 2021-4                                     | CUSIP: 36263DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    133120 | PA      | $131248.50    | 0.05%             | 2025-07-15      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| AXIS Equipment Finance Receivables LLC            | Amur Equipment Finance Receivables XI LLC                                    | CUSIP: 03236XAA5<br>LEI: 549300IFG1NMINYRYF89 | Long             | ABS-O            | CORP              | US        |    697089 | PA      | $695689.78    | 0.25%             | 2023-09-20      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Student Loan Trust 2013-4                                                | CUSIP: 78448AAA1<br>LEI: 5493004WA7G168XIR344 | Long             | ABS-O            | CORP              | US        |     24701 | PA      | $23680.86     | 0.01%             | 2043-06-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                 | Hyatt Hotels Corp                                                            | CUSIP: 448579AL6<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |    125000 | PA      | $121202.50    | 0.04%             | 2023-10-01      | Fixed         | 1.30%                 | 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        |       190 | PA      | $189.71       | 0.00%             | 2026-05-15      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                 | Atmos Energy Corp                                                            | CUSIP: 049560AV7<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    170000 | PA      | $169884.40    | 0.06%             | 2023-03-09      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-CM2 Trust                                                          | CUSIP: 36167AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    159386 | PA      | $143592.69    | 0.05%             | 2066-08-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                           | Bayer US Finance II LLC                                                      | CUSIP: 07274NAG8<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1500075.00   | 0.53%             | 2023-12-15      | Floating      | 5.78%                 | 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        |    601000 | PA      | $592519.89    | 0.21%             | 2023-09-19      | Fixed         | 3.85%                 | 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        |      3996 | PA      | $3986.34      | 0.00%             | 2025-08-20      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                        | Flagship Credit Auto Trust 2020-4                                            | CUSIP: 33845XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     46553 | PA      | $46492.51     | 0.02%             | 2025-04-15      | Fixed         | 0.53%                 | No            |                  2 | On Loan: No      |
| Dell Equipment Finance Trust                      | Dell Equipment Finance Trust 2021-1                                          | CUSIP: 24703QAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6028 | PA      | $6014.72      | 0.00%             | 2026-05-22      | Fixed         | 0.33%                 | 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        |    829418 | PA      | $826954.15    | 0.29%             | 2025-09-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Buckeye Partners LP                               | Buckeye Partners LP                                                          | CUSIP: 118230AK7<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $986480.00    | 0.35%             | 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        |     23631 | PA      | $23598.40     | 0.01%             | 2024-07-15      | Fixed         | 0.79%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RES                            | CenterPoint Energy Resources Corp                                            | CUSIP: 15189WAN0<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |    839000 | PA      | $838614.06    | 0.30%             | 2023-03-02      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Prosper Marketplace Issuance Trust                | Prosper Marketplace Issuance Trust Series 2019-4                             | CUSIP: 74362GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    329155 | PA      | $328154.10    | 0.12%             | 2026-02-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                            | NextEra Energy Capital Holdings Inc                                          | CUSIP: 65339KBL3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    750000 | PA      | $740970.00    | 0.26%             | 2024-09-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Diageo Capital PLC                                | Diageo Capital PLC                                                           | CUSIP: 25243YAU3<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |    442000 | PA      | $437725.86    | 0.16%             | 2023-04-29      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                          | Vistra Operations Co LLC                                                     | CUSIP: 92840VAD4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    500000 | PA      | $479825.00    | 0.17%             | 2024-07-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Perimeter Master Note Business Trust              | Perimeter Master Note Business Trust                                         | CUSIP: 71384PAG6<br>LEI: 5493005H6EB040833X54 | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $489020.80    | 0.17%             | 2024-05-15      | Fixed         | 7.06%                 | No            |                  2 | On Loan: No      |
| TRISTATE INSURED CASH SWEEP                       | TRISTATE INSURED CASH SWEEP                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       634 | PA      | $634.09       | 0.00%             | 2050-10-01      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                 | CUSIP: 251526CL1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    150000 | PA      | $148779.00    | 0.05%             | 2023-11-08      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                           | CarMax Auto Owner Trust 2022-1                                               | CUSIP: 14317CAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1480024 | PA      | $1460563.19   | 0.52%             | 2025-02-18      | Fixed         | 0.91%                 | No            |                  2 | On Loan: No      |
| Black Hills Corp                                  | Black Hills Corp                                                             | CUSIP: 09212FP96<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | STIV             | CORP              | US        |   1125000 | PA      | $1118967.19   | 0.40%             | 2023-02-09      | None          | 0.00%                 | 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        |    118360 | PA      | $115683.40    | 0.04%             | 2027-02-16      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFE GF II                                | Pacific Life Global Funding II                                               | CUSIP: 6944PL2M0<br>LEI: 6354003EUPCHXTWUU869 | Long             | DBT              | CORP              | US        |    235000 | PA      | $230203.65    | 0.08%             | 2025-03-30      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| DLL Securitization Trust                          | DLL 2019-1 LLC                                                               | CUSIP: 23291GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    123481 | PA      | $123067.19    | 0.04%             | 2027-04-20      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRUST                  | WFRBS Commercial Mortgage Trust 2013-C17                                     | CUSIP: 92938GAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106559 | PA      | $105694.25    | 0.04%             | 2046-12-15      | Fixed         | 3.56%                 | 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        |     30000 | PA      | $29624.91     | 0.01%             | 2023-06-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                  | CUSIP: 38141GYQ1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1719812.50   | 0.61%             | 2024-10-21      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Receivables Owner Trust               | Nissan Auto Receivables 2019-B Owner Trust                                   | CUSIP: 65479HAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    248020 | PA      | $246221.30    | 0.09%             | 2025-12-15      | Fixed         | 2.54%                 | 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        |     97626 | PA      | $95357.55     | 0.03%             | 2028-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GRAY OAK PIPELINE LLC                             | Gray Oak Pipeline LLC                                                        | CUSIP: 38937LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1310971.50   | 0.47%             | 2023-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                 | CUSIP: 3137B5JM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1453138 | PA      | $1439624.44   | 0.51%             | 2023-07-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Prosper Marketplace Issuance Trust                | Prosper Marketplace Issuance Trust Series 2019-2                             | CUSIP: 74361PAC6<br>LEI: 549300TGOSXMW5LM7I70 | Long             | ABS-O            | CORP              | US        |    865845 | PA      | $863490.12    | 0.31%             | 2025-09-15      | Fixed         | 5.05%                 | 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        |     27794 | PA      | $26599.40     | 0.01%             | 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        |     33262 | PA      | $32803.40     | 0.01%             | 2027-02-16      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                      | Upstart Securitization Trust 2020-2                                          | CUSIP: 91680CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    419500 | PA      | $411423.06    | 0.15%             | 2030-11-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY FINANCE                            | Alliant Energy Finance LLC                                                   | CUSIP: 01882YAA4<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |    188000 | PA      | $186505.40    | 0.07%             | 2023-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SECURITY BENEFIT GL FUND                          | Security Benefit Global Funding                                              | CUSIP: 81412DAA1<br>LEI: 5493003C0JW6BY7YFF93 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1312598.00   | 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        |    841310 | PA      | $825512.59    | 0.29%             | 2034-11-15      | Fixed         | 3.86%                 | 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        |     16621 | PA      | $16252.71     | 0.01%             | 2057-06-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                     | DTE Energy Co                                                                | CUSIP: 233331BD8<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    907000 | PA      | $892515.21    | 0.32%             | 2024-11-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                            | NextEra Energy Capital Holdings Inc                                          | CUSIP: 65339KBX7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   1113000 | PA      | $1108559.13   | 0.40%             | 2023-11-03      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                        | Flagship Credit Auto Trust 2020-4                                            | CUSIP: 33845XAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1862000 | PA      | $1843221.23   | 0.66%             | 2025-10-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                               | Quanta Services Inc                                                          | CUSIP: 74762EAG7<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1426558.00   | 0.51%             | 2024-10-01      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| CLEVELAND ELECTRIC ILLUM                          | Cleveland Electric Illuminating Co/The                                       | CUSIP: 186108CJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1004340.00   | 0.36%             | 2024-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2021-1RMortgage Pass-Through Certificates                               | CUSIP: 19688BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    261873 | PA      | $222313.58    | 0.08%             | 2065-05-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Consumer Loan Underlying Bond Credit Trust        | Consumer Loan Underlying Bond Credit Trust 2019-P1                           | CUSIP: 21054AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    616419 | PA      | $613190.32    | 0.22%             | 2026-07-15      | Fixed         | 4.66%                 | 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        |    783876 | PA      | $766606.17    | 0.27%             | 2058-12-16      | Fixed         | 2.88%                 | 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        |    112385 | PA      | $108728.46    | 0.04%             | 2051-07-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust               | Exeter Automobile Receivables Trust 2019-4                                   | CUSIP: 30167GAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1139804 | PA      | $1111522.07   | 0.40%             | 2025-09-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| MET LIFE GLOB FUNDING I                           | Metropolitan Life Global Funding I                                           | CUSIP: 59217GGW3<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |   1037000 | PA      | $1031420.94   | 0.37%             | 2024-01-07      | Floating      | 4.01%                 | 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        |     35424 | PA      | $34567.39     | 0.01%             | 2031-09-17      | Fixed         | 2.56%                 | 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        |    479670 | PA      | $443554.19    | 0.16%             | 2027-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENTERGY NEW ORLEANS LLC                           | Entergy New Orleans LLC                                                      | CUSIP: 29364PAN3<br>LEI: 1Q8BAFRNDFTDI3IGJH73 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1240512.50   | 0.44%             | 2023-07-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST                        | Upstart Pass-Through Trust Series 2020-ST1                                   | CUSIP: 91679MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56616 | PA      | $55476.73     | 0.02%             | 2028-02-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-25

**Name of Applicant:** THORNBURG INVESTMENT TRUST

**Signature:** Christopher Luckham

**Name of Signer:** Christopher Luckham

**Title:** Manager - Fund Admin