# EDGAR Filing Document

**Accession Number:** 0000816153
**File Stem:** 0001752724-23-037745
**Filing Date:** 2023-2
**Character Count:** 639427
**Document Hash:** f2ac7d3e7526a5131edc2ee3993a9716
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-037745.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001752724-23-037745

**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:** 23663206

**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 Strategic Income Fund (Series ID: S000020097)

| Class ID   | Class Name                                 | Ticker Symbol   |
|:---|:---|:---|
| C000056389 | Thornburg Strategic Income Fund - Class A  | TSIAX           |
| C000056390 | Thornburg Strategic Income Fund - Class C  | TSICX           |
| C000056391 | Thornburg Strategic Income Fund - Class I  | TSIIX           |
| C000113850 | Thornburg Strategic Income Fund - Class R3 | TSIRX           |
| C000113851 | Thornburg Strategic Income Fund - Class R5 | TSRRX           |
| C000136850 | Thornburg Strategic Income Fund - Class R4 | TSRIX           |
| C000177481 | Thornburg Strategic Income Fund - Class R6 | TSRSX           |

## Nport-Ex

SCHEDULE OF INVESTMENTS

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | **Common Stock — 0.0%** |  |  |
|  | &nbsp;&nbsp;**Energy — 0.0%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Oil, Gas & Consumable Fuels — 0.0%** |  |  |
| **<sup>a,b</sup>** | &nbsp;&nbsp;&nbsp;Malamute Energy, Inc. | &nbsp;&nbsp;&nbsp;&nbsp; 847 | &nbsp;&nbsp;$847 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 847 |
|  | &nbsp;&nbsp;&nbsp;Total Common Stock (Cost $0) |  | &nbsp;&nbsp;&nbsp;&nbsp; 847 |
|  | **Preferred Stock — 0.4%** |  |  |
|  | &nbsp;&nbsp;**Banks — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Banks — 0.1%** |  |  |
| **<sup>c,d</sup>** | &nbsp;&nbsp;&nbsp;AgriBank FCB 6.875% (LIBOR 3 Month + 4.225%) | &nbsp;&nbsp;&nbsp;&nbsp; 40000 | &nbsp;&nbsp;&nbsp;&nbsp; 4148000 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 4148000 |
|  | &nbsp;&nbsp;**Diversified Financials — 0.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Capital Markets — 0.2%** |  |  |
| **<sup>a,d</sup>** | &nbsp;&nbsp;&nbsp;Gabelli Dividend & Income Trust Series J, 1.70%, 3/26/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 412 | &nbsp;&nbsp;&nbsp;&nbsp; 10286816 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 10286816 |
|  | &nbsp;&nbsp;**Energy — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Oil, Gas & Consumable Fuels — 0.1%** |  |  |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Crestwood Equity Partners LP 9.25% | &nbsp;&nbsp;&nbsp;&nbsp; 653920 | &nbsp;&nbsp;&nbsp;&nbsp; 5662947 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 5662947 |
|  | &nbsp;&nbsp;&nbsp;Total Preferred Stock (Cost $19,988,067) |  | &nbsp;&nbsp;&nbsp;&nbsp; 20097763 |
|  | **Asset Backed Securities — 17.0%** |  |  |
|  | &nbsp;&nbsp;**Auto Receivables — 3.9%** |  |  |
|  | &nbsp;&nbsp;&nbsp;ACC Auto Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-A Class A, 1.08% due 4/15/2027 | &nbsp;&nbsp;$1488716 | &nbsp;&nbsp;&nbsp;&nbsp; 1471516 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-A Class A, 4.58% due 7/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4439542 | &nbsp;&nbsp;&nbsp;&nbsp; 4356866 |
|  | &nbsp;&nbsp;&nbsp;ACC Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-2 Class C, 5.24% due 10/21/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 948280 | &nbsp;&nbsp;&nbsp;&nbsp; 944786 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1 Class A, 1.19% due 9/20/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 1606432 | &nbsp;&nbsp;&nbsp;&nbsp; 1588140 |
|  | &nbsp;&nbsp;&nbsp;ACM Auto Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1A Class A, 3.23% due 4/20/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1478368 | &nbsp;&nbsp;&nbsp;&nbsp; 1474573 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1A Class B, 4.47% due 4/20/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp;&nbsp; 1987197 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;American Credit Acceptance Receivables Trust, Series 2019-2 Class F, 5.81% due 6/12/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2550000 | &nbsp;&nbsp;&nbsp;&nbsp; 2539261 |
|  | &nbsp;&nbsp;&nbsp;Arivo Acceptance Auto Loan Receivables Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1 Class B, 3.37% due 6/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 1700787 | &nbsp;&nbsp;&nbsp;&nbsp; 1684948 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1A Class A, 1.19% due 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1257707 | &nbsp;&nbsp;&nbsp;&nbsp; 1221627 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1A Class C, 3.77% due 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 900000 | &nbsp;&nbsp;&nbsp;&nbsp; 856263 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1A Class D, 5.83% due 1/18/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 850000 | &nbsp;&nbsp;&nbsp;&nbsp; 794860 |
|  | &nbsp;&nbsp;&nbsp;Carvana Auto Receivables Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-4A Class R, due 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp; 2424310 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-P1 Class R, due 9/8/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp; 3112706 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-N3 Class A1, 0.35% due 6/12/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 348365 | &nbsp;&nbsp;&nbsp;&nbsp; 338505 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-N4 Class R, due 9/12/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 11650 | &nbsp;&nbsp;&nbsp;&nbsp; 2213975 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-P1 Class R, due 12/10/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 23500 | &nbsp;&nbsp;&nbsp;&nbsp; 4011208 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-P2 Class R, due 5/10/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7500 | &nbsp;&nbsp;&nbsp;&nbsp; 2326774 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-P3 Class R, due 9/11/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 9000 | &nbsp;&nbsp;&nbsp;&nbsp; 3570713 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-P4 Class R, due 9/11/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 8250 | &nbsp;&nbsp;&nbsp;&nbsp; 3758490 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-N1 Class A1, 2.31% due 12/11/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 401572 | &nbsp;&nbsp;&nbsp;&nbsp; 391172 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-N1 Class E, 6.01% due 12/11/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6000000 | &nbsp;&nbsp;&nbsp;&nbsp; 5462359 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-P1 Class R, due 1/10/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 24000 | &nbsp;&nbsp;&nbsp;&nbsp; 7904726 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-P1 Class XS, due 1/10/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 583403139 | &nbsp;&nbsp;&nbsp;&nbsp; 2436583 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;CIG Auto Receivables Trust, Series 2019-1A Class D, 4.85% due 5/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp;&nbsp; 1966333 |
|  | &nbsp;&nbsp;&nbsp;CPS Auto Receivables Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-B Class E, 5.61% due 12/16/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 2674894 | &nbsp;&nbsp;&nbsp;&nbsp; 2665998 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-A Class F, 6.93% due 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3500000 | &nbsp;&nbsp;&nbsp;&nbsp; 3436521 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-B Class D, 4.75% due 4/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1270407 | &nbsp;&nbsp;&nbsp;&nbsp; 1262943 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-C Class F, 6.67% due 11/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1000000 | &nbsp;&nbsp;&nbsp;&nbsp; 953450 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;CPS Auto Securitization Trust, Series 2021-1A Class A, 7.86% due 6/16/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp;&nbsp; 9769790 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;CPS Auto Trust, Series 2018-C Class E, 6.07% due 9/15/2025 | &nbsp;&nbsp;$1812986 | &nbsp;&nbsp;$1814191 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Credit Suisse ABS Trust Series 2020-AT1 Class CERT, due 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 173597 |
| **<sup>e</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; 3090502 | &nbsp;&nbsp;&nbsp;&nbsp; 3020622 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Exeter Automobile Receivables Trust, Series 2019-3A Class D, 3.11% due 8/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 9896614 | &nbsp;&nbsp;&nbsp;&nbsp; 9694540 |
|  | &nbsp;&nbsp;&nbsp;FHF Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-2A Class A, 0.83% due 12/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2786654 | &nbsp;&nbsp;&nbsp;&nbsp; 2643416 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-2A Class A, 6.14% due 12/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 7424258 | &nbsp;&nbsp;&nbsp;&nbsp; 7317271 |
|  | &nbsp;&nbsp;&nbsp;First Investors Auto Owner Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1A Class E, 4.53% due 6/16/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 3640000 | &nbsp;&nbsp;&nbsp;&nbsp; 3626405 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1A Class C, 2.55% due 2/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2307148 | &nbsp;&nbsp;&nbsp;&nbsp; 2290911 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1A Class E, 5.41% due 6/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4560072 |
|  | &nbsp;&nbsp;&nbsp;Flagship Credit Auto Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-4 Class R, due 3/16/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 13000 | &nbsp;&nbsp;&nbsp;&nbsp; 714037 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1 Class E, 5.06% due 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2500000 | &nbsp;&nbsp;&nbsp;&nbsp; 2437812 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1 Class R, due 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 24000 | &nbsp;&nbsp;&nbsp;&nbsp; 946542 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-2 Class R, due 12/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 33000 | &nbsp;&nbsp;&nbsp;&nbsp; 2780556 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-3 Class R, due 12/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 31000 | &nbsp;&nbsp;&nbsp;&nbsp; 2723571 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-4 Class R, due 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp; 810987 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1 Class E, 5.37% due 6/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6120000 | &nbsp;&nbsp;&nbsp;&nbsp; 5238543 |
|  | &nbsp;&nbsp;&nbsp;Foursight Capital Automobile Receivables Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1 Class F, 5.57% due 11/16/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 500000 | &nbsp;&nbsp;&nbsp;&nbsp; 497233 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1 Class E, 3.49% due 4/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1100000 | &nbsp;&nbsp;&nbsp;&nbsp; 1084796 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1 Class F, 4.06% due 8/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 2830000 | &nbsp;&nbsp;&nbsp;&nbsp; 2590986 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;GLS Auto Receivables Issuer Trust, Series 2020-2A Class C, 4.57% due 4/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2025000 | &nbsp;&nbsp;&nbsp;&nbsp; 1988250 |
|  | &nbsp;&nbsp;&nbsp;JPMorgan Chase Bank NA - CACLN, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020 -1 Class R, 33.784% due 1/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1827861 | &nbsp;&nbsp;&nbsp;&nbsp; 1882697 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2 Class R, 31.355% due 2/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 8613639 | &nbsp;&nbsp;&nbsp;&nbsp; 8785912 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1 Class R, 28.348% due 9/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3324261 | &nbsp;&nbsp;&nbsp;&nbsp; 3390746 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-2 Class G, 8.482% due 12/26/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3950000 | &nbsp;&nbsp;&nbsp;&nbsp; 3280112 |
|  | &nbsp;&nbsp;&nbsp;Lendbuzz Securitization Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1A Class A, 1.46% due 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4190811 | &nbsp;&nbsp;&nbsp;&nbsp; 4000437 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1A Class A, 4.22% due 5/17/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 17542489 | &nbsp;&nbsp;&nbsp;&nbsp; 16852303 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Octane Receivables Trust, Series 2020-1A Class A, 1.71% due 2/20/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 413214 | &nbsp;&nbsp;&nbsp;&nbsp; 408940 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Prestige Auto Receivables Trust, Series 2018-1A Class E, 5.03% due 1/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2625000 | &nbsp;&nbsp;&nbsp;&nbsp; 2612310 |
|  | &nbsp;&nbsp;&nbsp;Santander Consumer Auto Receivables Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-AA Class R, due 1/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 25000 | &nbsp;&nbsp;&nbsp;&nbsp; 3477472 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-AA Class F, 5.79% due 8/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2760045 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-AA Class R, due 8/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 28500 | &nbsp;&nbsp;&nbsp;&nbsp; 1831121 |
|  | &nbsp;&nbsp;&nbsp;Skopos Auto Receivables Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1A Class C, 3.63% due 9/16/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 65882 | &nbsp;&nbsp;&nbsp;&nbsp; 65802 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1A Class D, 5.24% due 4/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 2650000 | &nbsp;&nbsp;&nbsp;&nbsp; 2622823 |
|  | &nbsp;&nbsp;&nbsp;United Auto Credit Securitization Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1 Class F, 4.30% due 9/10/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6125000 | &nbsp;&nbsp;&nbsp;&nbsp; 5769006 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1 Class R, due 11/10/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 37000 | &nbsp;&nbsp;&nbsp;&nbsp; 8274631 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;US Auto Funding, Series 2021-1A Class A, 0.79% due 7/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 348252 | &nbsp;&nbsp;&nbsp;&nbsp; 347766 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Veros Auto Receivables Trust, Series 2021-1 Class A, 0.92% due 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 974723 | &nbsp;&nbsp;&nbsp;&nbsp; 956300 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Veros Automobile Receivables Trust, Series 2020-1 Class D, 5.64% due 2/16/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 7000000 | &nbsp;&nbsp;&nbsp;&nbsp; 6945687 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 208145041 |
|  | &nbsp;&nbsp;**Credit Card — 1.2%** |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Avant Credit Card Master Trust, Series 2021-1A Class A, 1.37% due 4/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2744623 |
| **<sup>e</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; 3150000 | &nbsp;&nbsp;&nbsp;&nbsp; 3115824 |
|  | &nbsp;&nbsp;&nbsp;Continental Credit Card LLC, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1A Class A, 3.83% due 8/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3537621 | &nbsp;&nbsp;&nbsp;&nbsp; 3506801 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1A Class C, 6.16% due 8/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6440000 | &nbsp;&nbsp;&nbsp;&nbsp; 6223322 |
|  | &nbsp;&nbsp;&nbsp;Continental Finance Credit Card ABS Master Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1A Class A, 2.24% due 12/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2821382 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1A Class B, 3.66% due 12/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3700000 | &nbsp;&nbsp;&nbsp;&nbsp; 3374915 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Genesis Private Label Amortizing Trust, Series 2020-1 Class D, 6.63% due 7/20/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1467446 | &nbsp;&nbsp;&nbsp;&nbsp; 1457787 |
|  | &nbsp;&nbsp;&nbsp;Mercury Financial Credit Card Master Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1A Class D, 6.26% due 3/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4502113 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1A Class A, 2.50% due 9/21/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 12500000 | &nbsp;&nbsp;&nbsp;&nbsp; 11883980 |
| **<sup>e</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; 13599000 | &nbsp;&nbsp;&nbsp;&nbsp; 13169829 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;Perimeter Master Note Business Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-2A Class A, 4.23% due 5/15/2024 | &nbsp;&nbsp;$2705102 | &nbsp;&nbsp;$2672808 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-2A Class B, 5.21% due 5/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 6500000 | &nbsp;&nbsp;&nbsp;&nbsp; 6321403 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-2A Class C, 7.06% due 5/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 1463000 | &nbsp;&nbsp;&nbsp;&nbsp; 1430875 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 63225662 |
|  | &nbsp;&nbsp;**Other Asset Backed — 10.1%** |  |  |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;321 Henderson Receivables I LLC, Series 2006-3A Class A1, 4.518% (LIBOR 1 Month + 0.20%) due 9/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 697659 | &nbsp;&nbsp;&nbsp;&nbsp; 671495 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Affirm Asset Securitization Trust, Series 2021-Z2 Class A, 1.17% due 11/16/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1354209 | &nbsp;&nbsp;&nbsp;&nbsp; 1300232 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Amur Equipment Finance Receivables IX LLC, Series 2021-1A Class F, 6.09% due 2/20/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 8152000 | &nbsp;&nbsp;&nbsp;&nbsp; 7323753 |
| **<sup>e</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; 16427 | &nbsp;&nbsp;&nbsp;&nbsp; 16427 |
|  | &nbsp;&nbsp;&nbsp;Amur Equipment Finance Receivables VIII LLC, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1A Class E, 7.00% due 1/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2237613 | &nbsp;&nbsp;&nbsp;&nbsp; 2181865 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1A Class F, 7.00% due 12/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6301302 | &nbsp;&nbsp;&nbsp;&nbsp; 6120551 |
|  | &nbsp;&nbsp;&nbsp;Aqua Finance Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-A Class A, 3.72% due 11/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 510212 | &nbsp;&nbsp;&nbsp;&nbsp; 503005 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-A Class A, 3.14% due 7/16/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 938041 | &nbsp;&nbsp;&nbsp;&nbsp; 877550 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-A Class D, 6.07% due 7/16/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 18900000 | &nbsp;&nbsp;&nbsp;&nbsp; 17078652 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-AA Class A, 1.90% due 7/17/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 4665920 | &nbsp;&nbsp;&nbsp;&nbsp; 4327557 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-AA Class D, 7.15% due 7/17/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 2550000 | &nbsp;&nbsp;&nbsp;&nbsp; 2133523 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-A Class A, 1.54% due 7/17/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 6724083 | &nbsp;&nbsp;&nbsp;&nbsp; 6038410 |
| **<sup>d,e,f</sup>** | &nbsp;&nbsp;&nbsp;Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1 Class A, 5.257% (SOFR30A + 1.45%) due 1/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 20000000 | &nbsp;&nbsp;&nbsp;&nbsp; 19360596 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Arm Master Trust LLC, Series 2021-T1 Class A, 2.43% due 11/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 12550000 | &nbsp;&nbsp;&nbsp;&nbsp; 11561266 |
|  | &nbsp;&nbsp;&nbsp;BHG Securitization Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-A Class C, 3.69% due 11/17/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2200000 | &nbsp;&nbsp;&nbsp;&nbsp; 1810736 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-B Class A, 0.90% due 10/17/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3264100 | &nbsp;&nbsp;&nbsp;&nbsp; 3067403 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-A Class A, 1.71% due 2/20/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 13759122 | &nbsp;&nbsp;&nbsp;&nbsp; 12855536 |
| **<sup>d,e,f</sup>** | &nbsp;&nbsp;&nbsp;Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A Class A, 4.213% due 12/16/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 4476700 | &nbsp;&nbsp;&nbsp;&nbsp; 3662977 |
|  | &nbsp;&nbsp;&nbsp;CFG Investments Ltd., |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1 Class A, 4.70% due 5/20/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 7275000 | &nbsp;&nbsp;&nbsp;&nbsp; 7006143 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1 Class C, 7.48% due 5/20/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1560000 | &nbsp;&nbsp;&nbsp;&nbsp; 1481688 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1 Class D, 9.07% due 5/20/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 515000 | &nbsp;&nbsp;&nbsp;&nbsp; 477992 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;CFMT Issuer Trust, Series 2021-GRN1 Class A, 1.10% due 3/20/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1168827 | &nbsp;&nbsp;&nbsp;&nbsp; 1075934 |
|  | &nbsp;&nbsp;&nbsp;Conn's Receivables Funding LLC, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-A Class A, 1.05% due 5/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 4992 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-A Class A, 5.87% due 12/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 925250 | &nbsp;&nbsp;&nbsp;&nbsp; 923770 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;Consumer Lending Receivables Trust Clrt Series 2019-A Class CERT, due 4/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 310000 | &nbsp;&nbsp;&nbsp;&nbsp; 3194908 |
|  | &nbsp;&nbsp;&nbsp;Consumer Loan Underlying Bond Credit Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-P3 Class C, 5.54% due 1/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 184661 | &nbsp;&nbsp;&nbsp;&nbsp; 184567 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-HP1 Class C, 4.70% due 12/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3234115 | &nbsp;&nbsp;&nbsp;&nbsp; 3219484 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-HP1 Class CERT, due 12/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 100000 | &nbsp;&nbsp;&nbsp;&nbsp; 1141538 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-P1 Class C, 4.66% due 7/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3936061 | &nbsp;&nbsp;&nbsp;&nbsp; 3915442 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-P2 Class C, 4.41% due 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 380637 | &nbsp;&nbsp;&nbsp;&nbsp; 378304 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;CP EF Asset Securitization I LLC, Series 2022-1A Class A, 5.96% due 4/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 12060953 | &nbsp;&nbsp;&nbsp;&nbsp; 11864105 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Crossroads Asset Trust, Series 2022-A Class A, 6.35% due 4/21/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 11050000 | &nbsp;&nbsp;&nbsp;&nbsp; 11041272 |
|  | &nbsp;&nbsp;&nbsp;Dext ABS LLC, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1 Class A, 1.46% due 2/16/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 831557 | &nbsp;&nbsp;&nbsp;&nbsp; 820085 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1 Class A, 1.12% due 2/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3996022 | &nbsp;&nbsp;&nbsp;&nbsp; 3813786 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Diamond Infrastructure Funding LLC, Series 2021-1A Class A, 1.76% due 4/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 15300000 | &nbsp;&nbsp;&nbsp;&nbsp; 12532028 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Diamond Issuer, Series 2021-1A Class A, 2.305% due 11/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 10983000 | &nbsp;&nbsp;&nbsp;&nbsp; 9104442 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Diamond Resorts Owner Trust, Series 2019-1A Class A, 2.89% due 2/20/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1356334 | &nbsp;&nbsp;&nbsp;&nbsp; 1300137 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;ECAF I Ltd., Series 2015-1A Class B1, 5.802% due 6/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 4600060 | &nbsp;&nbsp;&nbsp;&nbsp; 994827 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Encina Equipment Finance LLC, Series 2022-1A Class A1, 3.76% due 8/16/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5675844 | &nbsp;&nbsp;&nbsp;&nbsp; 5576024 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;ExteNet LLC, Series 2019-1A Class A2, 3.204% due 7/26/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4693649 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;FAT Brands Fazoli's Native I LLC, Series 2021-1 Class A2, 6.00% due 7/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 8000000 | &nbsp;&nbsp;&nbsp;&nbsp; 7492156 |
|  | &nbsp;&nbsp;&nbsp;Foundation Finance Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1A Class A, 3.86% due 11/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 2085339 | &nbsp;&nbsp;&nbsp;&nbsp; 2046183 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1A Class C, 5.66% due 11/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 575000 | &nbsp;&nbsp;&nbsp;&nbsp; 550930 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1A Class A, 3.54% due 7/16/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 3278650 | &nbsp;&nbsp;&nbsp;&nbsp; 3134575 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1A Class C, 5.75% due 7/16/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 4025000 | &nbsp;&nbsp;&nbsp;&nbsp; 3564343 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1A Class A, 1.27% due 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2006916 | &nbsp;&nbsp;&nbsp;&nbsp; 1775222 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1A Class D, 4.96% due 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2345000 | &nbsp;&nbsp;&nbsp;&nbsp; 2037707 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-2A Class A, 2.19% due 1/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 2044825 | &nbsp;&nbsp;&nbsp;&nbsp; 1876166 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-2A Class D, 5.73% due 1/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 3750000 | &nbsp;&nbsp;&nbsp;&nbsp; 3324624 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;FREED ABS Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-2 Class C, 4.86% due 11/18/2026 | &nbsp;&nbsp;$3300328 | &nbsp;&nbsp;$3296830 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-2CP Class A, 3.03% due 5/18/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 496173 | &nbsp;&nbsp;&nbsp;&nbsp; 493046 |
|  | &nbsp;&nbsp;&nbsp;Goldman Home Improvement Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-GRN2 Class A, 1.15% due 6/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 8712976 | &nbsp;&nbsp;&nbsp;&nbsp; 7972777 |
| **<sup>a,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-GRN2 Class R, due 6/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 41500 | &nbsp;&nbsp;&nbsp;&nbsp; 3308334 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-GRN1 Class A, 4.50% due 6/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4388287 | &nbsp;&nbsp;&nbsp;&nbsp; 4261955 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Goodgreen Trust, Series 2021-1A Class A, 2.66% due 10/15/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 10628214 | &nbsp;&nbsp;&nbsp;&nbsp; 8615198 |
|  | &nbsp;&nbsp;&nbsp;GoodLeap Sustainable Home Solutions Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-3CS Class C, 3.50% due 5/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 4480544 | &nbsp;&nbsp;&nbsp;&nbsp; 3113710 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-4GS Class A, 1.93% due 7/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 4174683 | &nbsp;&nbsp;&nbsp;&nbsp; 2848099 |
| **<sup>d,e,f</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; 14000000 | &nbsp;&nbsp;&nbsp;&nbsp; 13310111 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;HERO Funding Trust, Series 2017-2A Class A1, 3.28% due 9/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1005476 | &nbsp;&nbsp;&nbsp;&nbsp; 929975 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Hilton Grand Vacations Trust, Series 2019-AA Class A, 2.34% due 7/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1294384 | &nbsp;&nbsp;&nbsp;&nbsp; 1211924 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;InStar Leasing III LLC, Series 2021-1A Class C, 5.29% due 2/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 6417591 | &nbsp;&nbsp;&nbsp;&nbsp; 5416942 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;LendingClub Receivables Trust, Series 2020-6A Class A, 2.75% due 11/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 266517 | &nbsp;&nbsp;&nbsp;&nbsp; 265059 |
|  | &nbsp;&nbsp;&nbsp;LendingPoint Asset Securitization Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2012-B Class A, 4.77% due 10/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 3474636 | &nbsp;&nbsp;&nbsp;&nbsp; 3392210 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-REV1 Class A, 2.731% due 10/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4972825 | &nbsp;&nbsp;&nbsp;&nbsp; 4878488 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-REV1 Class C, 7.699% due 10/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4000000 | &nbsp;&nbsp;&nbsp;&nbsp; 3882880 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-A Class D, 5.73% due 12/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 9000000 | &nbsp;&nbsp;&nbsp;&nbsp; 8354657 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-B Class D, 6.12% due 2/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4541686 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-A Class E, 7.02% due 6/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6000000 | &nbsp;&nbsp;&nbsp;&nbsp; 5046295 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-C Class A, 6.56% due 2/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6800074 | &nbsp;&nbsp;&nbsp;&nbsp; 6785313 |
|  | &nbsp;&nbsp;&nbsp;LendingPoint Pass-Through Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-ST2 Class A, 3.25% due 4/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 542160 | &nbsp;&nbsp;&nbsp;&nbsp; 518014 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-ST3 Class A, 4.00% due 5/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 936544 | &nbsp;&nbsp;&nbsp;&nbsp; 901341 |
|  | &nbsp;&nbsp;&nbsp;LL ABS Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1A Class C, 6.54% due 1/17/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6250000 | &nbsp;&nbsp;&nbsp;&nbsp; 6135939 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1A Class A, 1.07% due 5/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2131734 | &nbsp;&nbsp;&nbsp;&nbsp; 2055932 |
|  | &nbsp;&nbsp;&nbsp;Loanpal Solar Loan Ltd., |  |  |
| **<sup>a,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1GS Class R, due 1/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 13252480 | &nbsp;&nbsp;&nbsp;&nbsp; 10603309 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-2GS Class C, 3.50% due 3/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3249924 | &nbsp;&nbsp;&nbsp;&nbsp; 2446024 |
|  | &nbsp;&nbsp;&nbsp;LP LMS Asset Securitization Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-2A Class A, 1.75% due 1/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 4818227 | &nbsp;&nbsp;&nbsp;&nbsp; 4656521 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-2A Class D, 6.61% due 1/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2947000 | &nbsp;&nbsp;&nbsp;&nbsp; 2500151 |
|  | &nbsp;&nbsp;&nbsp;Marlette Funding Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-1A Class CERT, due 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 58592 | &nbsp;&nbsp;&nbsp;&nbsp; 964822 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1A Class C, 4.42% due 4/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1034038 | &nbsp;&nbsp;&nbsp;&nbsp; 1028165 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-4A Class C, 3.76% due 12/17/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2883115 | &nbsp;&nbsp;&nbsp;&nbsp; 2831905 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1A Class R, due 6/16/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 9520 | &nbsp;&nbsp;&nbsp;&nbsp; 902498 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-2A Class R, due 9/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 16347 | &nbsp;&nbsp;&nbsp;&nbsp; 2079806 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-3A Class R, due 12/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 23182 | &nbsp;&nbsp;&nbsp;&nbsp; 4305999 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-3A Class A, 5.18% due 11/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 6262303 | &nbsp;&nbsp;&nbsp;&nbsp; 6207969 |
|  | &nbsp;&nbsp;&nbsp;Mosaic Solar Loan Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2A Class D, 5.42% due 8/20/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1011084 | &nbsp;&nbsp;&nbsp;&nbsp; 940883 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2A Class R, due 8/20/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 971930 | &nbsp;&nbsp;&nbsp;&nbsp; 407156 |
| **<sup>a,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1A Class R, due 12/20/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 7523216 | &nbsp;&nbsp;&nbsp;&nbsp; 2547361 |
| **<sup>a,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-2A Class R, due 4/22/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 9930000 | &nbsp;&nbsp;&nbsp;&nbsp; 1985007 |
| **<sup>a,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-3A Class R, due 6/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 12320000 | &nbsp;&nbsp;&nbsp;&nbsp; 2827440 |
|  | &nbsp;&nbsp;&nbsp;New Residential Advance Receivables Trust Advance Receivables Backed, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-T1 Class AT1, 1.426% due 8/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 8500000 | &nbsp;&nbsp;&nbsp;&nbsp; 8202747 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-T1 Class BT1, 1.823% due 8/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2885409 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-T1 Class CT1, 2.269% due 8/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 3400000 | &nbsp;&nbsp;&nbsp;&nbsp; 3268819 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-T1 Class DT1, 3.011% due 8/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 6575000 | &nbsp;&nbsp;&nbsp;&nbsp; 6316392 |
|  | &nbsp;&nbsp;&nbsp;NRZ Advance Receivables Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-T2 Class AT2, 1.475% due 9/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 18701479 | &nbsp;&nbsp;&nbsp;&nbsp; 18011485 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-T2 Class CT2, 2.17% due 9/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2881691 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-T2 Class DT2, 2.863% due 9/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 5550000 | &nbsp;&nbsp;&nbsp;&nbsp; 5331606 |
|  | &nbsp;&nbsp;&nbsp;Oportun Funding LLC, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1 Class A, 3.25% due 6/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5904574 | &nbsp;&nbsp;&nbsp;&nbsp; 5802453 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1 Class CERT, due 6/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 11000 | &nbsp;&nbsp;&nbsp;&nbsp; 4317872 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Oportun Issuance Trust, Series 2022-A Class A, 5.05% due 6/9/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 10588000 | &nbsp;&nbsp;&nbsp;&nbsp; 10258143 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;Pagaya AI Debt Selection Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1 Class A, 1.18% due 11/15/2027 | &nbsp;&nbsp;$2271177 | &nbsp;&nbsp;$2236700 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-3 Class A, 1.15% due 5/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 3691397 | &nbsp;&nbsp;&nbsp;&nbsp; 3585685 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-HG1 Class A, 1.22% due 1/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 3091033 | &nbsp;&nbsp;&nbsp;&nbsp; 2915438 |
|  | &nbsp;&nbsp;&nbsp;Pagaya AI Debt Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1 Class A, 2.03% due 10/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 10581169 | &nbsp;&nbsp;&nbsp;&nbsp; 10089802 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-2 Class A, 4.97% due 1/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5485433 | &nbsp;&nbsp;&nbsp;&nbsp; 5352018 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Pawnee Equipment Receivables LLC, Series 2020-1 Class A, 1.37% due 11/17/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 432724 | &nbsp;&nbsp;&nbsp;&nbsp; 427278 |
|  | &nbsp;&nbsp;&nbsp;Prosper Marketplace Issuance Trust, |  |  |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-2A Class CERT, due 9/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 16385 | &nbsp;&nbsp;&nbsp;&nbsp; 518035 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-3A Class CERT, due 7/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 101327127 | &nbsp;&nbsp;&nbsp;&nbsp; 356266 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-4A Class C, 4.95% due 2/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2142953 | &nbsp;&nbsp;&nbsp;&nbsp; 2136439 |
|  | &nbsp;&nbsp;&nbsp;Prosper Pass-Thru Trust II, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-ST1 Class CERT, due 7/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 13363728 | &nbsp;&nbsp;&nbsp;&nbsp; 355535 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-ST2 Class A 3.75% due 11/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 696048 | &nbsp;&nbsp;&nbsp;&nbsp; 686661 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-ST2 Class R1, due 11/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 6385267 | &nbsp;&nbsp;&nbsp;&nbsp; 731247 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-ST2 Class R2, due 11/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 3193133 | &nbsp;&nbsp;&nbsp;&nbsp; 365681 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;SBA Tower Trust, Series 2014-2A Class C, 3.869% due 10/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4607000 | &nbsp;&nbsp;&nbsp;&nbsp; 4401942 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;SCF Equipment Leasing LLC, Series 2019-2A Class C, 3.11% due 6/21/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 7300000 | &nbsp;&nbsp;&nbsp;&nbsp; 6812392 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Service Experts Issuer LLC, Series 2021-1A Class A, 2.67% due 2/2/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 7550822 | &nbsp;&nbsp;&nbsp;&nbsp; 6875423 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;SolarCity LMC Series I LLC, Series 2013-1 Class A, 4.80% due 11/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1196791 | &nbsp;&nbsp;&nbsp;&nbsp; 1153583 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;SpringCastle America Funding LLC, Series 2020-AA Class A, 1.97% due 9/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 4438070 | &nbsp;&nbsp;&nbsp;&nbsp; 3987701 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;SPS Servicer Advance Receivables Trust, Series 2020-T2 Class A, 1.83% due 11/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 3300000 | &nbsp;&nbsp;&nbsp;&nbsp; 2990456 |
|  | &nbsp;&nbsp;&nbsp;Theorem Funding Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1A Class A, 1.21% due 12/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2340544 | &nbsp;&nbsp;&nbsp;&nbsp; 2297435 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-3A Class A, 7.60% due 4/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 8475120 | &nbsp;&nbsp;&nbsp;&nbsp; 8473352 |
|  | &nbsp;&nbsp;&nbsp;Upstart Pass-Through Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-ST1 Class A, 3.75% due 2/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 889682 | &nbsp;&nbsp;&nbsp;&nbsp; 871777 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-ST2 Class A, 3.50% due 3/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 852433 | &nbsp;&nbsp;&nbsp;&nbsp; 832626 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-ST3 Class A, 3.35% due 4/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1121328 | &nbsp;&nbsp;&nbsp;&nbsp; 1092989 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-ST5 Class A, 3.00% due 12/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4794947 | &nbsp;&nbsp;&nbsp;&nbsp; 4580619 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-ST1 Class A, 2.75% due 2/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3035635 | &nbsp;&nbsp;&nbsp;&nbsp; 2881174 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-ST2 Class A, 2.50% due 4/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3356408 | &nbsp;&nbsp;&nbsp;&nbsp; 3139787 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-ST4 Class A, 2.00% due 7/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2878022 | &nbsp;&nbsp;&nbsp;&nbsp; 2661325 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-ST6 Class A, 1.85% due 8/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2461517 | &nbsp;&nbsp;&nbsp;&nbsp; 2274434 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-ST8 Class A, 1.75% due 10/20/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1003714 | &nbsp;&nbsp;&nbsp;&nbsp; 928714 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-ST8 Class CERT, due 10/20/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5400000 | &nbsp;&nbsp;&nbsp;&nbsp; 1503225 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-ST9 Class CERT, due 11/20/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1414000 | &nbsp;&nbsp;&nbsp;&nbsp; 382952 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-4A Class A, 7.01% due 11/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 8488322 | &nbsp;&nbsp;&nbsp;&nbsp; 8427114 |
|  | &nbsp;&nbsp;&nbsp;Upstart Securitization Trust, |  |  |
| **<sup>e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-2 Class CERT, due 12/22/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 84500 | &nbsp;&nbsp;&nbsp;&nbsp; 3787108 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-2 Class A, 0.91% due 6/20/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 750595 | &nbsp;&nbsp;&nbsp;&nbsp; 737777 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-3 Class CERT, due 7/20/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 7165 | &nbsp;&nbsp;&nbsp;&nbsp; 1118014 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-4 Class A, 0.84% due 9/20/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2211317 | &nbsp;&nbsp;&nbsp;&nbsp; 2140020 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-4 Class CERT, due 9/20/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 4706 | &nbsp;&nbsp;&nbsp;&nbsp; 574719 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Upstart Structured Pass-Through Trust, Series 2022-1A Class A, 3.40% due 4/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 11027634 | &nbsp;&nbsp;&nbsp;&nbsp; 10449863 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 542620211 |
|  | &nbsp;&nbsp;**Student Loan — 1.8%** |  |  |
|  | &nbsp;&nbsp;&nbsp;College Ave Student Loans LLC, |  |  |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-A Class A1, 5.489% (LIBOR 1 Month + 1.10%) due 7/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 3137797 | &nbsp;&nbsp;&nbsp;&nbsp; 2999878 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-A Class A2, 1.60% due 7/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 298838 | &nbsp;&nbsp;&nbsp;&nbsp; 254479 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-C Class A1, 5.289% (LIBOR 1 Month + 0.90%) due 7/26/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 6044827 | &nbsp;&nbsp;&nbsp;&nbsp; 5628301 |
|  | &nbsp;&nbsp;&nbsp;Commonbond Student Loan Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 18-CGS Class A1, 3.87% due 2/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 511659 | &nbsp;&nbsp;&nbsp;&nbsp; 490234 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1 Class A, 1.69% due 10/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1953216 | &nbsp;&nbsp;&nbsp;&nbsp; 1741498 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-BGS Class A, 1.17% due 9/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2981599 | &nbsp;&nbsp;&nbsp;&nbsp; 2419864 |
|  | &nbsp;&nbsp;&nbsp;National Collegiate Student Loan Trust, |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2004-2 Class B, 4.929% (LIBOR 1 Month + 0.54%) due 12/26/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 16467712 | &nbsp;&nbsp;&nbsp;&nbsp; 15696368 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2006-1 Class A5, 4.739% (LIBOR 1 Month + 0.35%) due 3/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 14521135 | &nbsp;&nbsp;&nbsp;&nbsp; 13667938 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2006-4 Class A4, 4.699% (LIBOR 1 Month + 0.31%) due 5/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 5281278 | &nbsp;&nbsp;&nbsp;&nbsp; 4997734 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2007-2 Class A4, 4.679% (LIBOR 1 Month + 0.29%) due 1/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2618435 | &nbsp;&nbsp;&nbsp;&nbsp; 2427782 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;Navient Private Education Refi Loan Trust, Series 2019-D Class A2B, 5.368% (LIBOR 1 Month + 1.05%) due 12/15/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 3959024 | &nbsp;&nbsp;&nbsp;&nbsp; 3846459 |
| **<sup>d,e</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; 50835 | &nbsp;&nbsp;&nbsp;&nbsp; 50834 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;Nelnet Student Loan Trust, |  |  |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2015-2A Class A2, 4.989% (LIBOR 1 Month + 0.60%) due 9/25/2042 | &nbsp;&nbsp;$2134374 | &nbsp;&nbsp;$2071483 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-CA Class AFL, 5.093% (LIBOR 1 Month + 0.74%) due 4/20/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 3816138 | &nbsp;&nbsp;&nbsp;&nbsp; 3687006 |
| **<sup>d,e</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; 4476550 | &nbsp;&nbsp;&nbsp;&nbsp; 4324306 |
| **<sup>d,e,f</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; 1123851 | &nbsp;&nbsp;&nbsp;&nbsp; 1087285 |
|  | &nbsp;&nbsp;&nbsp;SLM Student Loan Trust, |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2008-2 Class A3, 5.108% (LIBOR 3 Month + 0.75%) due 4/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 663038 | &nbsp;&nbsp;&nbsp;&nbsp; 627258 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2008-5 Class A4, 6.058% (LIBOR 3 Month + 1.70%) due 7/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 836904 | &nbsp;&nbsp;&nbsp;&nbsp; 827472 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2011-2 Class A2, 5.589% (LIBOR 1 Month + 1.20%) due 10/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3633657 | &nbsp;&nbsp;&nbsp;&nbsp; 3607541 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2012-1 Class A3, 5.339% (LIBOR 1 Month + 0.95%) due 9/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1747481 | &nbsp;&nbsp;&nbsp;&nbsp; 1633428 |
| **<sup>d</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; 1883267 | &nbsp;&nbsp;&nbsp;&nbsp; 1803690 |
|  | &nbsp;&nbsp;&nbsp;SMB Private Education Loan Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-A Class R, due 1/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 2742 | &nbsp;&nbsp;&nbsp;&nbsp; 6071417 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-D Class A1B, 4.918% (LIBOR 1 Month + 0.60%) due 3/17/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 3050459 | &nbsp;&nbsp;&nbsp;&nbsp; 2948013 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-A Class D, 4.75% due 11/16/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 6000000 | &nbsp;&nbsp;&nbsp;&nbsp; 5488437 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;SoFi Professional Loan Program Trust, Series 2021-B Class R1, due 2/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 90000 | &nbsp;&nbsp;&nbsp;&nbsp; 4173278 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;Towd Point Asset Trust, Series 2021-SL1 Class A2, 5.053% (LIBOR 1 Month + 0.70%) due 11/20/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 3020169 | &nbsp;&nbsp;&nbsp;&nbsp; 2967137 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 95539120 |
|  | &nbsp;&nbsp;&nbsp;Total Asset Backed Securities (Cost $968,172,562) |  | &nbsp;&nbsp;&nbsp;&nbsp; 909530034 |
|  | **Corporate Bonds — 47.7%** |  |  |
|  | &nbsp;&nbsp;**Automobiles & Components — 1.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Auto Components — 0.2%** |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;LKQ European Holdings BV (EUR), 4.125% due 4/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6600000 | &nbsp;&nbsp;&nbsp;&nbsp; 6679855 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Real Hero Merger Sub 2, Inc., 6.25% due 2/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 4616000 | &nbsp;&nbsp;&nbsp;&nbsp; 3161499 |
|  | &nbsp;&nbsp;&nbsp;**Automobiles — 0.6%** |  |  |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;Daimler Trucks Finance North America LLC, 5.062% (SOFR + 0.75%) due 12/13/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 4099000 | &nbsp;&nbsp;&nbsp;&nbsp; 4046000 |
|  | &nbsp;&nbsp;&nbsp;Hyundai Capital America, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;0.875% due 6/14/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 2950000 | &nbsp;&nbsp;&nbsp;&nbsp; 2753560 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.00% due 9/17/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 7143000 | &nbsp;&nbsp;&nbsp;&nbsp; 6602989 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.80% due 10/15/2025 - 1/10/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1933000 | &nbsp;&nbsp;&nbsp;&nbsp; 1696186 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.375% due 2/10/2023 - 10/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 8492000 | &nbsp;&nbsp;&nbsp;&nbsp; 8275557 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.00% due 2/10/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2750000 | &nbsp;&nbsp;&nbsp;&nbsp; 2466475 |
|  | &nbsp;&nbsp;&nbsp;Hyundai Capital Services, Inc., |  |  |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.25% due 2/8/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 830000 | &nbsp;&nbsp;&nbsp;&nbsp; 720971 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.75% due 3/5/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 971000 | &nbsp;&nbsp;&nbsp;&nbsp; 968087 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Mercedes-Benz Finance North America LLC, 2.125% due 3/10/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 7500000 | &nbsp;&nbsp;&nbsp;&nbsp; 7039950 |
|  | &nbsp;&nbsp;&nbsp;**Construction & Engineering — 0.3%** |  |  |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;IHS Netherlands Holdco BV, 8.00% due 9/18/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 15075000 | &nbsp;&nbsp;&nbsp;&nbsp; 13254844 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 57665973 |
|  | &nbsp;&nbsp;**Banks — 0.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Banks — 0.4%** |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Citizens Bank NA, 5.676% (LIBOR 3 Month + 0.95%) due 3/29/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 4000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4001400 |
|  | &nbsp;&nbsp;&nbsp;FNB Corp., 5.15% due 8/25/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 3170000 | &nbsp;&nbsp;&nbsp;&nbsp; 3134242 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;Macquarie Bank Ltd., 3.624% due 6/3/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 2800000 | &nbsp;&nbsp;&nbsp;&nbsp; 2267552 |
| **<sup>d,e,f</sup>** | &nbsp;&nbsp;&nbsp;NBK SPC Ltd., 1.625% (SOFR + 1.05%) due 9/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5177000 | &nbsp;&nbsp;&nbsp;&nbsp; 4573724 |
|  | &nbsp;&nbsp;&nbsp;Santander Holdings USA, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.244% due 10/5/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1815000 | &nbsp;&nbsp;&nbsp;&nbsp; 1680563 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.45% due 6/2/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 1185000 | &nbsp;&nbsp;&nbsp;&nbsp; 1128120 |
|  | &nbsp;&nbsp;&nbsp;Synchrony Bank, 5.40% due 8/22/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 6660000 | &nbsp;&nbsp;&nbsp;&nbsp; 6570090 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 23355691 |
|  | &nbsp;&nbsp;**Capital Goods — 1.9%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Aerospace & Defense — 0.9%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Boeing Co., 2.196% due 2/4/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2832000 | &nbsp;&nbsp;&nbsp;&nbsp; 2574062 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;BWX Technologies, Inc., 4.125% due 6/30/2028 - 4/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 15461000 | &nbsp;&nbsp;&nbsp;&nbsp; 13501813 |
|  | &nbsp;&nbsp;&nbsp;Spirit AeroSystems, Inc., |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;7.50% due 4/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 6676000 | &nbsp;&nbsp;&nbsp;&nbsp; 6597223 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;9.375% due 11/30/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2490000 | &nbsp;&nbsp;&nbsp;&nbsp; 2624037 |
|  | &nbsp;&nbsp;&nbsp;Teledyne Technologies, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.25% due 4/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4423000 | &nbsp;&nbsp;&nbsp;&nbsp; 3818730 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.75% due 4/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2217000 | &nbsp;&nbsp;&nbsp;&nbsp; 1816144 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;TransDigm, Inc., |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;6.25% due 3/15/2026 | &nbsp;&nbsp;$12244000 | &nbsp;&nbsp;$12100990 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;8.00% due 12/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 5600000 | &nbsp;&nbsp;&nbsp;&nbsp; 5672800 |
|  | &nbsp;&nbsp;&nbsp;**Industrial Conglomerates — 0.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Lennox International, Inc., 3.00% due 11/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 12343000 | &nbsp;&nbsp;&nbsp;&nbsp; 12107249 |
|  | &nbsp;&nbsp;&nbsp;**Machinery — 0.4%** |  |  |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;ATS Corp., 4.125% due 12/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 9620000 | &nbsp;&nbsp;&nbsp;&nbsp; 8298116 |
|  | &nbsp;&nbsp;&nbsp;Flowserve Corp., 3.50% due 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4053000 | &nbsp;&nbsp;&nbsp;&nbsp; 3371691 |
|  | &nbsp;&nbsp;&nbsp;nVent Finance Sarl, |  |  |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.75% due 11/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 4097000 | &nbsp;&nbsp;&nbsp;&nbsp; 3133754 |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.55% due 4/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2769060 |
|  | &nbsp;&nbsp;&nbsp;Westinghouse Air Brake Technologies Corp., 4.40% due 3/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 3854000 | &nbsp;&nbsp;&nbsp;&nbsp; 3790948 |
|  | &nbsp;&nbsp;&nbsp;**Trading Companies & Distributors — 0.4%** |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;IAA, Inc., 5.50% due 6/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 19559000 | &nbsp;&nbsp;&nbsp;&nbsp; 19008023 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 101184640 |
|  | &nbsp;&nbsp;**Commercial & Professional Services — 0.8%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Commercial Services & Supplies — 0.6%** |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;ACCO Brands Corp., 4.25% due 3/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 16611000 | &nbsp;&nbsp;&nbsp;&nbsp; 13710720 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;Cimpress plc, 7.00% due 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 12141000 | &nbsp;&nbsp;&nbsp;&nbsp; 8386881 |
|  | &nbsp;&nbsp;&nbsp;Quanta Services, Inc., 0.95% due 10/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 10069000 | &nbsp;&nbsp;&nbsp;&nbsp; 9267105 |
|  | &nbsp;&nbsp;&nbsp;**Professional Services — 0.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Gartner, Inc., |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.625% due 6/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 7155000 | &nbsp;&nbsp;&nbsp;&nbsp; 6272001 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.50% due 7/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3749000 | &nbsp;&nbsp;&nbsp;&nbsp; 3498417 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 41135124 |
|  | &nbsp;&nbsp;**Commercial Services — 0.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Food Products — 0.2%** |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Darling Global Finance BV (EUR), 3.625% due 5/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9700000 | &nbsp;&nbsp;&nbsp;&nbsp; 10092418 |
|  | &nbsp;&nbsp;&nbsp;**Hotels, Restaurants & Leisure — 0.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Marriott International, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series GG, 3.50% due 10/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8825000 | &nbsp;&nbsp;&nbsp;&nbsp; 7335517 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series- II, 2.75% due 10/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2359000 | &nbsp;&nbsp;&nbsp;&nbsp; 1808834 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 19236769 |
|  | &nbsp;&nbsp;**Consumer Durables & Apparel — 0.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Household Durables — 0.2%** |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;CD&R Smokey Buyer, Inc., 6.75% due 7/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 13833000 | &nbsp;&nbsp;&nbsp;&nbsp; 11930686 |
|  | &nbsp;&nbsp;&nbsp;**Leisure Products — 0.2%** |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Vista Outdoor, Inc., 4.50% due 3/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 16065000 | &nbsp;&nbsp;&nbsp;&nbsp; 11833800 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 23764486 |
|  | &nbsp;&nbsp;**Consumer Services — 1.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Hotels, Restaurants & Leisure — 1.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Hyatt Hotels Corp., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.80% due 10/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 6520000 | &nbsp;&nbsp;&nbsp;&nbsp; 6109110 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;6.00% due 4/23/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4475000 | &nbsp;&nbsp;&nbsp;&nbsp; 4357487 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Nathan's Famous, Inc., 6.625% due 11/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 15305000 | &nbsp;&nbsp;&nbsp;&nbsp; 14714992 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Papa John's International, Inc., 3.875% due 9/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 12568000 | &nbsp;&nbsp;&nbsp;&nbsp; 10489881 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;SeaWorld Parks & Entertainment, Inc., 8.75% due 5/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 15990000 | &nbsp;&nbsp;&nbsp;&nbsp; 16377118 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;TKC Holdings, Inc., 6.875% due 5/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 8650000 | &nbsp;&nbsp;&nbsp;&nbsp; 6769230 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 58817818 |
|  | &nbsp;&nbsp;**Diversified Financials — 6.7%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Banks — 0.1%** |  |  |
| **<sup>d,e,f</sup>** | &nbsp;&nbsp;&nbsp;DNB Bank ASA, 5.896% due 10/9/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6900000 | &nbsp;&nbsp;&nbsp;&nbsp; 6907176 |
|  | &nbsp;&nbsp;&nbsp;**Capital Markets — 2.0%** |  |  |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;B3 SA - Brasil Bolsa Balcao, 4.125% due 9/20/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 8827000 | &nbsp;&nbsp;&nbsp;&nbsp; 7437807 |
|  | &nbsp;&nbsp;&nbsp;Blackstone Private Credit Fund, 2.625% due 12/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2995000 | &nbsp;&nbsp;&nbsp;&nbsp; 2480399 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Citigroup Global Markets Holdings, Inc., 6.40% due 1/29/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 4108000 | &nbsp;&nbsp;&nbsp;&nbsp; 2600269 |
|  | &nbsp;&nbsp;&nbsp;Compass Group Diversified Holdings LLC, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.00% due 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 800000 | &nbsp;&nbsp;&nbsp;&nbsp; 636240 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.25% due 4/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 9633000 | &nbsp;&nbsp;&nbsp;&nbsp; 8260779 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;Hercules Capital, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.625% due 9/16/2026 | &nbsp;&nbsp;$5218000 | &nbsp;&nbsp;$4401383 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.375% due 1/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4157000 | &nbsp;&nbsp;&nbsp;&nbsp; 3556771 |
|  | &nbsp;&nbsp;&nbsp;LPL Holdings, Inc., |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.00% due 3/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 16905000 | &nbsp;&nbsp;&nbsp;&nbsp; 14710562 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.625% due 11/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3515000 | &nbsp;&nbsp;&nbsp;&nbsp; 3299355 |
|  | &nbsp;&nbsp;&nbsp;Main Street Capital Corp., 3.00% due 7/14/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2258000 | &nbsp;&nbsp;&nbsp;&nbsp; 1947819 |
|  | &nbsp;&nbsp;&nbsp;Owl Rock Capital Corp., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.625% due 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 833000 | &nbsp;&nbsp;&nbsp;&nbsp; 687608 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.875% due 6/11/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7319000 | &nbsp;&nbsp;&nbsp;&nbsp; 5793867 |
|  | &nbsp;&nbsp;&nbsp;Owl Rock Capital Corp. III, 3.125% due 4/13/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6070000 | &nbsp;&nbsp;&nbsp;&nbsp; 5025049 |
|  | &nbsp;&nbsp;&nbsp;Owl Rock Core Income Corp., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.125% due 9/23/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 7087000 | &nbsp;&nbsp;&nbsp;&nbsp; 6066401 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.70% due 2/8/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1910000 | &nbsp;&nbsp;&nbsp;&nbsp; 1711704 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;5.50% due 3/21/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 2690000 | &nbsp;&nbsp;&nbsp;&nbsp; 2611317 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;7.75% due 9/16/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2030000 | &nbsp;&nbsp;&nbsp;&nbsp; 2019769 |
|  | &nbsp;&nbsp;&nbsp;Owl Rock Technology Finance Corp., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.50% due 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3547000 | &nbsp;&nbsp;&nbsp;&nbsp; 2892082 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.75% due 6/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3540000 | &nbsp;&nbsp;&nbsp;&nbsp; 3079588 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.75% due 12/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 6409000 | &nbsp;&nbsp;&nbsp;&nbsp; 5851866 |
|  | &nbsp;&nbsp;&nbsp;Sixth Street Specialty Lending, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.50% due 8/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 609000 | &nbsp;&nbsp;&nbsp;&nbsp; 533295 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.875% due 11/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 4054000 | &nbsp;&nbsp;&nbsp;&nbsp; 3903880 |
|  | &nbsp;&nbsp;&nbsp;SLR Investment Corp., 4.50% due 1/20/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 3875000 | &nbsp;&nbsp;&nbsp;&nbsp; 3873566 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;StoneX Group, Inc., 8.625% due 6/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 13286000 | &nbsp;&nbsp;&nbsp;&nbsp; 13406238 |
|  | &nbsp;&nbsp;&nbsp;**Consumer Finance — 0.4%** |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;FirstCash, Inc., 5.625% due 1/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 17215000 | &nbsp;&nbsp;&nbsp;&nbsp; 15375405 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Wells Fargo & Co., 4.808% (SOFR + 1.98%) due 7/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3350000 | &nbsp;&nbsp;&nbsp;&nbsp; 3265681 |
|  | &nbsp;&nbsp;&nbsp;**Diversified Financial Services — 4.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Antares Holdings LP, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.75% due 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1630000 | &nbsp;&nbsp;&nbsp;&nbsp; 1304000 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.75% due 7/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6480000 | &nbsp;&nbsp;&nbsp;&nbsp; 5203699 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.95% due 7/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9451000 | &nbsp;&nbsp;&nbsp;&nbsp; 8116235 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;6.00% due 8/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 4400000 | &nbsp;&nbsp;&nbsp;&nbsp; 4322868 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;8.50% due 5/18/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 2750000 | &nbsp;&nbsp;&nbsp;&nbsp; 2773980 |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;Banco Santander SA, 5.147% due 8/18/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 9500000 | &nbsp;&nbsp;&nbsp;&nbsp; 9408325 |
|  | &nbsp;&nbsp;&nbsp;Bank of America Corp., |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;0.976% (SOFR + 0.69%) due 4/22/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 9500000 | &nbsp;&nbsp;&nbsp;&nbsp; 8904160 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.734% (SOFR + 0.96%) due 7/22/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1290000 | &nbsp;&nbsp;&nbsp;&nbsp; 1130724 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.841% (SOFR + 1.11%) due 4/25/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 2535000 | &nbsp;&nbsp;&nbsp;&nbsp; 2474515 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.948% (SOFR + 2.04%) due 7/22/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4900000 | &nbsp;&nbsp;&nbsp;&nbsp; 4788476 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.963% (BSBY3M + 0.43%) due 5/28/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 1707000 | &nbsp;&nbsp;&nbsp;&nbsp; 1690954 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;Barclays plc, 6.024% (LIBOR 3 Month + 1.38%) due 5/16/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 2500000 | &nbsp;&nbsp;&nbsp;&nbsp; 2496075 |
|  | &nbsp;&nbsp;&nbsp;BNP Paribas SA, |  |  |
| **<sup>d,e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.159% (SOFR + 1.218%) due 9/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1350000 | &nbsp;&nbsp;&nbsp;&nbsp; 1101398 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.375% due 1/9/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4817850 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Charles Schwab Corp., 5.296% (SOFRINDX + 1.05%) due 3/3/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 20000000 | &nbsp;&nbsp;&nbsp;&nbsp; 19451000 |
|  | &nbsp;&nbsp;&nbsp;Citigroup, Inc., |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.462% (SOFR + 0.77%) due 6/9/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5881000 | &nbsp;&nbsp;&nbsp;&nbsp; 5104649 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.07% (SOFR + 1.28%) due 2/24/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3071000 | &nbsp;&nbsp;&nbsp;&nbsp; 2771025 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.734% (SOFR + 0.669%) due 5/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 3971000 | &nbsp;&nbsp;&nbsp;&nbsp; 3898609 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.06% (SOFR + 0.77%) due 6/9/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6750000 | &nbsp;&nbsp;&nbsp;&nbsp; 6448275 |
|  | &nbsp;&nbsp;&nbsp;Deutsche Bank AG, |  |  |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;0.898% due 5/28/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 3667000 | &nbsp;&nbsp;&nbsp;&nbsp; 3430332 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.311% (SOFR + 1.219%) due 11/16/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4670000 | &nbsp;&nbsp;&nbsp;&nbsp; 3967492 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.966% (LIBOR 3 Month + 1.23%) due 2/27/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 2800000 | &nbsp;&nbsp;&nbsp;&nbsp; 2801624 |
|  | &nbsp;&nbsp;&nbsp;Goldman Sachs Group, Inc., |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.757% (SOFR + 0.73%) due 1/24/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 2692000 | &nbsp;&nbsp;&nbsp;&nbsp; 2576298 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.00% due 3/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 3052000 | &nbsp;&nbsp;&nbsp;&nbsp; 2976158 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.232% (SOFR + 0.50%) due 7/16/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 5092000 | &nbsp;&nbsp;&nbsp;&nbsp; 5066387 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.598% (SOFR + 0.70%) due 1/24/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 2610000 | &nbsp;&nbsp;&nbsp;&nbsp; 2568710 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.784% (SOFR + 0.50%) due 9/10/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 3687000 | &nbsp;&nbsp;&nbsp;&nbsp; 3629704 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.104% (SOFR + 0.82%) due 9/10/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3687000 | &nbsp;&nbsp;&nbsp;&nbsp; 3493248 |
|  | &nbsp;&nbsp;&nbsp;HSBC Holdings plc, |  |  |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.589% (SOFR + 1.29%) due 5/24/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3500000 | &nbsp;&nbsp;&nbsp;&nbsp; 3016335 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.645% (SOFR + 1.538%) due 4/18/2026 | &nbsp;&nbsp;$3750000 | &nbsp;&nbsp;$3386100 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.206% (SOFR + 1.285%) due 8/17/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 3500000 | &nbsp;&nbsp;&nbsp;&nbsp; 2826845 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.251% (SOFR + 1.10%) due 11/22/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1350000 | &nbsp;&nbsp;&nbsp;&nbsp; 1169451 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.18% (SOFR + 1.51%) due 12/9/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 2600000 | &nbsp;&nbsp;&nbsp;&nbsp; 2523898 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.749% (SOFR + 0.58%) due 11/22/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 715000 | &nbsp;&nbsp;&nbsp;&nbsp; 697919 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.21% (SOFR + 2.61%) due 8/11/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 2329000 | &nbsp;&nbsp;&nbsp;&nbsp; 2242850 |
|  | &nbsp;&nbsp;&nbsp;JPMorgan Chase & Co., |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.04% (TSFR3M + 0.695%) due 2/4/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1896000 | &nbsp;&nbsp;&nbsp;&nbsp; 1650980 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.323% (SOFR + 1.56%) due 4/26/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 2434000 | &nbsp;&nbsp;&nbsp;&nbsp; 2320357 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.778% (SOFR + 0.885%) due 4/22/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1251000 | &nbsp;&nbsp;&nbsp;&nbsp; 1213870 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.851% (SOFR + 1.99%) due 7/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3880000 | &nbsp;&nbsp;&nbsp;&nbsp; 3787966 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.119% (SOFR + 0.92%) due 2/24/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 7590000 | &nbsp;&nbsp;&nbsp;&nbsp; 7443741 |
|  | &nbsp;&nbsp;&nbsp;Mitsubishi UFJ Financial Group, Inc., |  |  |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.837% (H15T1Y + 1.125%) due 4/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9714000 | &nbsp;&nbsp;&nbsp;&nbsp; 9363616 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.017% (H15T1Y + 1.95%) due 7/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1750000 | &nbsp;&nbsp;&nbsp;&nbsp; 1708315 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;Mizuho Financial Group, Inc., 5.387% (LIBOR 3 Month + 0.63%) due 5/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 11070000 | &nbsp;&nbsp;&nbsp;&nbsp; 11000148 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Morgan Stanley, 4.679% (SOFR + 1.669%) due 7/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1560000 | &nbsp;&nbsp;&nbsp;&nbsp; 1534650 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;Natwest Group plc, 1.642% (H15T1Y + 0.90%) due 6/14/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp;&nbsp; 1733100 |
|  | &nbsp;&nbsp;&nbsp;Societe Generale SA, |  |  |
| **<sup>d,e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.792% (H15T1Y + 1.00%) due 6/9/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1667000 | &nbsp;&nbsp;&nbsp;&nbsp; 1432786 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.625% due 1/22/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2820960 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.875% due 3/28/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp;&nbsp; 1952240 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.25% due 9/14/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2974680 |
| **<sup>d,e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.934% (SOFR + 1.05%) due 1/21/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2600000 | &nbsp;&nbsp;&nbsp;&nbsp; 2503306 |
|  | &nbsp;&nbsp;&nbsp;UBS Group AG, |  |  |
| **<sup>d,e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.494% (H15T1Y + 0.85%) due 8/10/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2679000 | &nbsp;&nbsp;&nbsp;&nbsp; 2304315 |
| **<sup>d,e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.49% (H15T1Y + 1.60%) due 8/5/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 5200000 | &nbsp;&nbsp;&nbsp;&nbsp; 5115864 |
| **<sup>d,e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.751% (H15T1Y + 1.75%) due 5/12/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3600000 | &nbsp;&nbsp;&nbsp;&nbsp; 3448908 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;United Wholesale Mortgage LLC, 5.50% due 11/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 12301000 | &nbsp;&nbsp;&nbsp;&nbsp; 11109279 |
|  | &nbsp;&nbsp;&nbsp;Western Union Co., 2.85% due 1/10/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 2338000 | &nbsp;&nbsp;&nbsp;&nbsp; 2232042 |
|  | &nbsp;&nbsp;&nbsp;**Insurance — 0.1%** |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Global Atlantic Fin Co., 4.40% due 10/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 7275000 | &nbsp;&nbsp;&nbsp;&nbsp; 6079790 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 358646957 |
|  | &nbsp;&nbsp;**Energy — 3.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Energy Equipment & Services — 0.3%** |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Enviva Partners LP/Enviva Partners Finance Corp., 6.50% due 1/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 17644000 | &nbsp;&nbsp;&nbsp;&nbsp; 16642879 |
| **<sup>e,f,h</sup>** | &nbsp;&nbsp;&nbsp;Odebrecht Offshore Drilling Finance Ltd., 7.72% due 12/1/2026 PIK | &nbsp;&nbsp;&nbsp;&nbsp; 2660787 | &nbsp;&nbsp;&nbsp;&nbsp; 704044 |
| **<sup>c,e,f</sup>** | &nbsp;&nbsp;&nbsp;Odebrecht Oil & Gas Finance Ltd. (Guaranty: Odebrecht Oleo e Gas SA), Zero coupon due 1/30/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 304899 | &nbsp;&nbsp;&nbsp;&nbsp; 1177 |
| **<sup>b,e,f,i</sup>** | &nbsp;&nbsp;&nbsp;Schahin II Finance Co. SPV Ltd., 5.875% due 9/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 10461182 | &nbsp;&nbsp;&nbsp;&nbsp; 105 |
|  | &nbsp;&nbsp;&nbsp;**Oil, Gas & Consumable Fuels — 3.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Buckeye Partners LP, 4.15% due 7/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 4445000 | &nbsp;&nbsp;&nbsp;&nbsp; 4384904 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Chesapeake Energy Corp., 5.50% due 2/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8950000 | &nbsp;&nbsp;&nbsp;&nbsp; 8638987 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Citgo Holding, Inc., 9.25% due 8/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 15777000 | &nbsp;&nbsp;&nbsp;&nbsp; 15823858 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Colorado Interstate Gas Co. LLC/Colorado Interstate Issuing Corp., 4.15% due 8/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 725000 | &nbsp;&nbsp;&nbsp;&nbsp; 692912 |
|  | &nbsp;&nbsp;&nbsp;Delek Logistics Partners LP/Delek Logistics Finance Corp., 6.75% due 5/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 10848000 | &nbsp;&nbsp;&nbsp;&nbsp; 10495115 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;Enbridge, Inc., 4.56% (SOFR + 0.40%) due 2/17/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 4145000 | &nbsp;&nbsp;&nbsp;&nbsp; 4136461 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Energy Transfer LP, 7.457% (LIBOR 3 Month + 3.017%) due 11/1/2066 | &nbsp;&nbsp;&nbsp;&nbsp; 1200000 | &nbsp;&nbsp;&nbsp;&nbsp; 923880 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Florida Gas Transmission Co. LLC, 2.30% due 10/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 3985000 | &nbsp;&nbsp;&nbsp;&nbsp; 3056096 |
|  | &nbsp;&nbsp;&nbsp;Galaxy Pipeline Assets Bidco Ltd., |  |  |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.75% due 9/30/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 8363497 | &nbsp;&nbsp;&nbsp;&nbsp; 7748864 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.16% due 3/31/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 4031692 | &nbsp;&nbsp;&nbsp;&nbsp; 3426374 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.625% due 3/31/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 6630000 | &nbsp;&nbsp;&nbsp;&nbsp; 5335294 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;Gazprom PJSC via Gaz Finance plc, 3.50% due 7/14/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 16000000 | &nbsp;&nbsp;&nbsp;&nbsp; 10350880 |
|  | &nbsp;&nbsp;&nbsp;Gray Oak Pipeline LLC, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.00% due 9/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 7848000 | &nbsp;&nbsp;&nbsp;&nbsp; 7621114 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.45% due 10/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6730000 | &nbsp;&nbsp;&nbsp;&nbsp; 5943801 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Gulfstream Natural Gas System LLC, 4.60% due 9/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4829800 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Midwest Connector Capital Co. LLC, 4.625% due 4/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5487000 | &nbsp;&nbsp;&nbsp;&nbsp; 4950755 |
|  | &nbsp;&nbsp;&nbsp;MPLX LP, 4.95% due 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4675000 | &nbsp;&nbsp;&nbsp;&nbsp; 4383981 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Par Petroleum LLC/Par Petroleum Finance Corp., 7.75% due 12/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 451000 | &nbsp;&nbsp;&nbsp;&nbsp; 434732 |
|  | &nbsp;&nbsp;&nbsp;Parkland Corp., |  |  |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.50% due 10/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1825000 | &nbsp;&nbsp;&nbsp;&nbsp; 1528383 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.875% due 7/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3726000 | &nbsp;&nbsp;&nbsp;&nbsp; 3530497 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;Petroleos Mexicanos, |  |  |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.50% due 1/30/2023 | &nbsp;&nbsp;$2674000 | &nbsp;&nbsp;$2665550 |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.95% due 1/28/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2802000 | &nbsp;&nbsp;&nbsp;&nbsp; 2126214 |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;8.75% due 6/2/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6500000 | &nbsp;&nbsp;&nbsp;&nbsp; 6113185 |
|  | &nbsp;&nbsp;&nbsp;Petroleos Mexicanos (EUR), 3.75% due 2/21/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 4466000 | &nbsp;&nbsp;&nbsp;&nbsp; 4684202 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;Petrorio Luxembourg Sarl, 6.125% due 6/9/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 800000 | &nbsp;&nbsp;&nbsp;&nbsp; 761856 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 8.50% due 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 848000 | &nbsp;&nbsp;&nbsp;&nbsp; 805151 |
| **<sup>c</sup>** | &nbsp;&nbsp;&nbsp;Summit Midstream Partners LP, Series A, 12.176% (LIBOR 3 Month + 7.43%) due 1/30/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 2114000 | &nbsp;&nbsp;&nbsp;&nbsp; 1538252 |
|  | &nbsp;&nbsp;&nbsp;Sunoco LP/Sunoco Finance Corp., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.50% due 4/30/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 2500000 | &nbsp;&nbsp;&nbsp;&nbsp; 2171025 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;5.875% due 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp;&nbsp; 9480500 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;6.00% due 4/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2962050 |
|  | &nbsp;&nbsp;&nbsp;Tennessee Gas Pipeline Co. LLC, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.90% due 3/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5835000 | &nbsp;&nbsp;&nbsp;&nbsp; 4891364 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;7.00% due 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2251000 | &nbsp;&nbsp;&nbsp;&nbsp; 2383291 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;Var Energi ASA, 7.50% due 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 5087250 |
|  | &nbsp;&nbsp;&nbsp;Williams Cos., Inc., 4.30% due 3/4/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 11067000 | &nbsp;&nbsp;&nbsp;&nbsp; 10921801 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 182176584 |
|  | &nbsp;&nbsp;**Food & Staples Retailing — 0.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Food & Staples Retailing — 0.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;7-Eleven, Inc., |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;0.625% due 2/10/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 540000 | &nbsp;&nbsp;&nbsp;&nbsp; 536960 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;0.80% due 2/10/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 5236000 | &nbsp;&nbsp;&nbsp;&nbsp; 4980745 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 5.875% due 2/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 13948000 | &nbsp;&nbsp;&nbsp;&nbsp; 13269430 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;KeHE Distributors LLC/KeHE Finance Corp., 8.625% due 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3567000 | &nbsp;&nbsp;&nbsp;&nbsp; 3484959 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 22272094 |
|  | &nbsp;&nbsp;**Food, Beverage & Tobacco — 2.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Beverages — 0.7%** |  |  |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;Becle SAB de CV, 2.50% due 10/14/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 10661000 | &nbsp;&nbsp;&nbsp;&nbsp; 8224749 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, 5.25% due 4/27/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 16417000 | &nbsp;&nbsp;&nbsp;&nbsp; 15363521 |
|  | &nbsp;&nbsp;&nbsp;Constellation Brands, Inc., 4.35% due 5/9/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3194000 | &nbsp;&nbsp;&nbsp;&nbsp; 3108273 |
|  | &nbsp;&nbsp;&nbsp;Huntington Ingalls Industries, Inc., 2.043% due 8/16/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6445000 | &nbsp;&nbsp;&nbsp;&nbsp; 5313709 |
|  | &nbsp;&nbsp;&nbsp;Keurig Dr Pepper, Inc., 3.95% due 4/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6036000 | &nbsp;&nbsp;&nbsp;&nbsp; 5607987 |
|  | &nbsp;&nbsp;&nbsp;**Food Products — 0.8%** |  |  |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;Barry Callebaut Services NV, 5.50% due 6/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 21702000 | &nbsp;&nbsp;&nbsp;&nbsp; 21587630 |
|  | &nbsp;&nbsp;&nbsp;Darling Ingredients, Inc., |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.25% due 4/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3700000 | &nbsp;&nbsp;&nbsp;&nbsp; 3608906 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;6.00% due 6/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1000000 | &nbsp;&nbsp;&nbsp;&nbsp; 980080 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;General Mills, Inc., 5.089% (LIBOR 3 Month + 1.01%) due 10/17/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 2530000 | &nbsp;&nbsp;&nbsp;&nbsp; 2536274 |
|  | &nbsp;&nbsp;&nbsp;Post Holdings, Inc., |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.625% due 4/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 8247000 | &nbsp;&nbsp;&nbsp;&nbsp; 7115017 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.625% due 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 8445000 | &nbsp;&nbsp;&nbsp;&nbsp; 7981792 |
|  | &nbsp;&nbsp;&nbsp;**Tobacco — 0.9%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Altria Group, Inc., 2.45% due 2/4/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 9890000 | &nbsp;&nbsp;&nbsp;&nbsp; 7458642 |
|  | &nbsp;&nbsp;&nbsp;BAT Capital Corp., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.726% due 3/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 7615000 | &nbsp;&nbsp;&nbsp;&nbsp; 5938862 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;7.75% due 10/19/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4862000 | &nbsp;&nbsp;&nbsp;&nbsp; 5231658 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;Imperial Brands Finance plc, 6.125% due 7/27/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4964750 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;JT International Financial Services BV, 6.875% due 10/24/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8000000 | &nbsp;&nbsp;&nbsp;&nbsp; 8486240 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Vector Group Ltd., 10.50% due 11/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 14927000 | &nbsp;&nbsp;&nbsp;&nbsp; 14869830 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 128377920 |
|  | &nbsp;&nbsp;**Health Care Equipment & Services — 1.6%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Health Care Equipment & Supplies — 0.2%** |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Hologic, Inc., 3.25% due 2/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 10357000 | &nbsp;&nbsp;&nbsp;&nbsp; 8944305 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;Olympus Corp., 2.143% due 12/8/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5510000 | &nbsp;&nbsp;&nbsp;&nbsp; 4876570 |
|  | &nbsp;&nbsp;&nbsp;**Health Care Providers & Services — 1.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Centene Corp., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.625% due 8/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 3950000 | &nbsp;&nbsp;&nbsp;&nbsp; 3102528 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.375% due 2/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6697000 | &nbsp;&nbsp;&nbsp;&nbsp; 5668006 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.625% due 12/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5775000 | &nbsp;&nbsp;&nbsp;&nbsp; 5295386 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;Charles River Laboratories International, Inc., |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.75% due 3/15/2029 | &nbsp;&nbsp;$4567000 | &nbsp;&nbsp;$4037868 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.25% due 5/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4480000 | &nbsp;&nbsp;&nbsp;&nbsp; 4122362 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Highmark, Inc., 1.45% due 5/10/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8000000 | &nbsp;&nbsp;&nbsp;&nbsp; 7040160 |
|  | &nbsp;&nbsp;&nbsp;IQVIA, Inc. (EUR), |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.25% due 3/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 9460000 | &nbsp;&nbsp;&nbsp;&nbsp; 8509865 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.875% due 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4763500 |
|  | &nbsp;&nbsp;&nbsp;Tenet Healthcare Corp., |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.25% due 6/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 4123000 | &nbsp;&nbsp;&nbsp;&nbsp; 3569735 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.375% due 1/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 8675000 | &nbsp;&nbsp;&nbsp;&nbsp; 7515933 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.625% due 7/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 3656000 | &nbsp;&nbsp;&nbsp;&nbsp; 3573228 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.875% due 1/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2826000 | &nbsp;&nbsp;&nbsp;&nbsp; 2692415 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;6.125% due 6/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4500000 | &nbsp;&nbsp;&nbsp;&nbsp; 4285845 |
|  | &nbsp;&nbsp;&nbsp;Universal Health Services, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.65% due 9/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6179000 | &nbsp;&nbsp;&nbsp;&nbsp; 5295155 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.65% due 10/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4646000 | &nbsp;&nbsp;&nbsp;&nbsp; 3697626 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 86990487 |
|  | &nbsp;&nbsp;**Household & Personal Products — 1.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Household Durables — 0.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Newell Brands, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.45% due 4/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2129000 | &nbsp;&nbsp;&nbsp;&nbsp; 2014502 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;6.625% due 9/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 9300000 | &nbsp;&nbsp;&nbsp;&nbsp; 9179193 |
|  | &nbsp;&nbsp;&nbsp;**Household Products — 1.0%** |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Energizer Holdings, Inc., 4.75% due 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7268000 | &nbsp;&nbsp;&nbsp;&nbsp; 6325340 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc., 5.00% due 12/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4585000 | &nbsp;&nbsp;&nbsp;&nbsp; 4002568 |
|  | &nbsp;&nbsp;&nbsp;Prestige Brands, Inc., |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.75% due 4/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6386000 | &nbsp;&nbsp;&nbsp;&nbsp; 5282116 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.125% due 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 12321000 | &nbsp;&nbsp;&nbsp;&nbsp; 11638047 |
|  | &nbsp;&nbsp;&nbsp;Scotts Miracle-Gro Co., 4.375% due 2/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 13166000 | &nbsp;&nbsp;&nbsp;&nbsp; 10066592 |
|  | &nbsp;&nbsp;&nbsp;Spectrum Brands, Inc., |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.875% due 3/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 9098000 | &nbsp;&nbsp;&nbsp;&nbsp; 7112998 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.50% due 7/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5705000 | &nbsp;&nbsp;&nbsp;&nbsp; 5063929 |
|  | &nbsp;&nbsp;&nbsp;Spectrum Brands, Inc. (EUR), 4.00% due 10/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2900000 | &nbsp;&nbsp;&nbsp;&nbsp; 2905225 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Spectrum Brands, Inc.(EUR), 4.00% due 10/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2003603 |
|  | &nbsp;&nbsp;&nbsp;**Personal Products — 0.2%** |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Edgewell Personal Care Co., 5.50% due 6/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 10292000 | &nbsp;&nbsp;&nbsp;&nbsp; 9635268 |
|  | &nbsp;&nbsp;&nbsp;Scotts Miracle-Gro Co., 5.25% due 12/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp;&nbsp; 1897160 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 77126541 |
|  | &nbsp;&nbsp;**Insurance — 3.8%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Insurance — 3.8%** |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;American National Group, Inc., 6.144% due 6/13/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 12684000 | &nbsp;&nbsp;&nbsp;&nbsp; 11948455 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;Ascot Group Ltd., 4.25% due 12/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6691000 | &nbsp;&nbsp;&nbsp;&nbsp; 5766371 |
|  | &nbsp;&nbsp;&nbsp;Brighthouse Financial Global Funding, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.55% due 5/24/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2089000 | &nbsp;&nbsp;&nbsp;&nbsp; 1839469 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.00% due 6/28/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4823000 | &nbsp;&nbsp;&nbsp;&nbsp; 3991177 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.499% (SOFR + 0.76%) due 4/12/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 2307000 | &nbsp;&nbsp;&nbsp;&nbsp; 2280931 |
|  | &nbsp;&nbsp;&nbsp;Brighthouse Financial, Inc., 5.625% due 5/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6750000 | &nbsp;&nbsp;&nbsp;&nbsp; 6422152 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;DaVinciRe Holdings Ltd., 4.75% due 5/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 4790000 | &nbsp;&nbsp;&nbsp;&nbsp; 4681938 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Enstar Finance LLC, 5.75% (5-Yr. CMT + 5.468%) due 9/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1672000 | &nbsp;&nbsp;&nbsp;&nbsp; 1488481 |
|  | &nbsp;&nbsp;&nbsp;Enstar Group Ltd., |  |  |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.10% due 9/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 7975000 | &nbsp;&nbsp;&nbsp;&nbsp; 5823186 |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.95% due 6/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 4726000 | &nbsp;&nbsp;&nbsp;&nbsp; 4317343 |
|  | &nbsp;&nbsp;&nbsp;Equitable Financial Life Global Funding, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.00% due 1/9/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2635080 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.40% due 8/27/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4620000 | &nbsp;&nbsp;&nbsp;&nbsp; 3867541 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.80% due 3/8/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4074000 | &nbsp;&nbsp;&nbsp;&nbsp; 3396575 |
|  | &nbsp;&nbsp;&nbsp;F&G Global Funding, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.75% due 6/30/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9523000 | &nbsp;&nbsp;&nbsp;&nbsp; 8488517 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.00% due 9/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6641000 | &nbsp;&nbsp;&nbsp;&nbsp; 5502533 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.30% due 4/11/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4467000 | &nbsp;&nbsp;&nbsp;&nbsp; 3934712 |
|  | &nbsp;&nbsp;&nbsp;Fairfax Financial Holdings Ltd., |  |  |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.375% due 3/3/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 1520000 | &nbsp;&nbsp;&nbsp;&nbsp; 1239590 |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.625% due 4/29/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4673000 | &nbsp;&nbsp;&nbsp;&nbsp; 4246963 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.85% due 4/17/2028 | &nbsp;&nbsp;$1105000 | &nbsp;&nbsp;$1047186 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.625% due 8/16/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8657000 | &nbsp;&nbsp;&nbsp;&nbsp; 8129529 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Fairfax U.S., Inc., 4.875% due 8/13/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 1187000 | &nbsp;&nbsp;&nbsp;&nbsp; 1160910 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;Fidelis Insurance Holdings Ltd., 4.875% due 6/30/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4409000 | &nbsp;&nbsp;&nbsp;&nbsp; 4283255 |
|  | &nbsp;&nbsp;&nbsp;Fidelity National Financial, Inc., 3.40% due 6/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5137000 | &nbsp;&nbsp;&nbsp;&nbsp; 4337015 |
|  | &nbsp;&nbsp;&nbsp;First American Financial Corp., 4.00% due 5/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1843000 | &nbsp;&nbsp;&nbsp;&nbsp; 1555621 |
|  | &nbsp;&nbsp;&nbsp;GA Global Funding Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.25% due 1/6/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3580000 | &nbsp;&nbsp;&nbsp;&nbsp; 3157023 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.85% due 4/11/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 5860000 | &nbsp;&nbsp;&nbsp;&nbsp; 5616283 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.79% (SOFR + 0.50%) due 9/13/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 5322000 | &nbsp;&nbsp;&nbsp;&nbsp; 5183149 |
|  | &nbsp;&nbsp;&nbsp;Globe Life, Inc., 4.80% due 6/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3038000 | &nbsp;&nbsp;&nbsp;&nbsp; 2874859 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Guardian Life Global Funding, 5.55% due 10/28/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4545000 | &nbsp;&nbsp;&nbsp;&nbsp; 4627855 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;Intact Financial Corp., 5.459% due 9/22/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 5922000 | &nbsp;&nbsp;&nbsp;&nbsp; 5856266 |
|  | &nbsp;&nbsp;&nbsp;Jackson Financial, Inc., 5.17% due 6/8/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2788000 | &nbsp;&nbsp;&nbsp;&nbsp; 2751310 |
|  | &nbsp;&nbsp;&nbsp;Mercury General Corp., 4.40% due 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6808000 | &nbsp;&nbsp;&nbsp;&nbsp; 6383725 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;Nationwide Mutual Insurance Co., 7.059% (LIBOR 3 Month + 2.29%) due 12/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 6178000 | &nbsp;&nbsp;&nbsp;&nbsp; 6165273 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;Pacific Life Global Funding II, 4.867% (SOFR + 0.62%) due 6/4/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4533000 | &nbsp;&nbsp;&nbsp;&nbsp; 4335769 |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;Pentair Finance Sarl, 5.90% due 7/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 9193000 | &nbsp;&nbsp;&nbsp;&nbsp; 9109987 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Principal Life Global Funding II, 0.50% due 1/8/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 9485000 | &nbsp;&nbsp;&nbsp;&nbsp; 9045181 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Protective Life Corp., 3.40% due 1/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4902000 | &nbsp;&nbsp;&nbsp;&nbsp; 4258907 |
|  | &nbsp;&nbsp;&nbsp;Reliance Standard Life Global Funding II, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.512% due 9/28/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4000000 | &nbsp;&nbsp;&nbsp;&nbsp; 3456680 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.75% due 5/7/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 2900000 | &nbsp;&nbsp;&nbsp;&nbsp; 2719939 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.85% due 9/19/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2957670 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;RGA Global Funding, 2.70% due 1/18/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 4687000 | &nbsp;&nbsp;&nbsp;&nbsp; 3969655 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Sammons Financial Group, Inc., 4.45% due 5/12/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp;&nbsp; 1853060 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Security Benefit Global Funding, 1.25% due 5/17/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 2404000 | &nbsp;&nbsp;&nbsp;&nbsp; 2253918 |
|  | &nbsp;&nbsp;&nbsp;Stewart Information Services Corp., 3.60% due 11/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 14735000 | &nbsp;&nbsp;&nbsp;&nbsp; 11235143 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 200196182 |
|  | &nbsp;&nbsp;**Materials — 3.6%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Chemicals — 1.0%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Celanese U.S. Holdings LLC, 6.05% due 3/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 9084000 | &nbsp;&nbsp;&nbsp;&nbsp; 9058201 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;NOVA Chemicals Corp., 5.25% due 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 9300000 | &nbsp;&nbsp;&nbsp;&nbsp; 8354562 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;Nufarm Australia Ltd./Nufarm Americas, Inc., 5.00% due 1/27/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 12383000 | &nbsp;&nbsp;&nbsp;&nbsp; 10826828 |
|  | &nbsp;&nbsp;&nbsp;OCP SA, |  |  |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.75% due 6/23/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 7800000 | &nbsp;&nbsp;&nbsp;&nbsp; 6542562 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.625% due 4/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 4710000 | &nbsp;&nbsp;&nbsp;&nbsp; 4703830 |
|  | &nbsp;&nbsp;&nbsp;Phosagro OAO Via Phosagro Bond Funding DAC, |  |  |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.05% due 1/23/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 933000 | &nbsp;&nbsp;&nbsp;&nbsp; 485384 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.949% due 4/24/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 11250000 | &nbsp;&nbsp;&nbsp;&nbsp; 7026188 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;SPCM SA, 3.125% due 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 8405000 | &nbsp;&nbsp;&nbsp;&nbsp; 7273183 |
|  | &nbsp;&nbsp;&nbsp;**Containers & Packaging — 1.5%** |  |  |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance plc, 3.25% due 9/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 16310000 | &nbsp;&nbsp;&nbsp;&nbsp; 13862848 |
|  | &nbsp;&nbsp;&nbsp;Ball Corp., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.875% due 8/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 14300000 | &nbsp;&nbsp;&nbsp;&nbsp; 11413116 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.125% due 9/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 5414000 | &nbsp;&nbsp;&nbsp;&nbsp; 4346088 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Graphic Packaging International LLC, 3.50% due 3/15/2028 - 3/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 8150000 | &nbsp;&nbsp;&nbsp;&nbsp; 7108999 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Matthews International Corp., Class C, 5.25% due 12/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 15091000 | &nbsp;&nbsp;&nbsp;&nbsp; 14247866 |
|  | &nbsp;&nbsp;&nbsp;Sealed Air Corp., |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.573% due 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5842000 | &nbsp;&nbsp;&nbsp;&nbsp; 5044509 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.00% due 12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 8460000 | &nbsp;&nbsp;&nbsp;&nbsp; 7714505 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Silgan Holdings, Inc., 1.40% due 4/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 20082000 | &nbsp;&nbsp;&nbsp;&nbsp; 17724172 |
|  | &nbsp;&nbsp;&nbsp;**Metals & Mining — 1.1%** |  |  |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;AngloGold Ashanti Holdings plc, 3.375% due 11/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 15715000 | &nbsp;&nbsp;&nbsp;&nbsp; 13777655 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Cleveland-Cliffs, Inc., 6.75% due 3/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 16150000 | &nbsp;&nbsp;&nbsp;&nbsp; 16215408 |
|  | &nbsp;&nbsp;&nbsp;Compass Minerals International, Inc., |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.875% due 7/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 3575000 | &nbsp;&nbsp;&nbsp;&nbsp; 3434538 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;6.75% due 12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 11123000 | &nbsp;&nbsp;&nbsp;&nbsp; 10736587 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;Metalloinvest Finance DAC, 3.375% due 10/22/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7500000 | &nbsp;&nbsp;&nbsp;&nbsp; 4030350 |
|  | &nbsp;&nbsp;&nbsp;Stillwater Mining Co., |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.00% due 11/16/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9328000 | &nbsp;&nbsp;&nbsp;&nbsp; 8239982 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.50% due 11/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 3050000 | &nbsp;&nbsp;&nbsp;&nbsp; 2448052 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 194615413 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;**Media & Entertainment — 1.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Hotels, Restaurants & Leisure — 0.3%** |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;WMG Acquisition Corp. (EUR), 2.25% due 8/15/2031 | &nbsp;&nbsp;$19018000 | &nbsp;&nbsp;$15969479 |
|  | &nbsp;&nbsp;&nbsp;**Media — 1.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;CCO Holdings LLC/CCO Holdings Capital Corp., |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.25% due 2/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6548000 | &nbsp;&nbsp;&nbsp;&nbsp; 5257258 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.75% due 3/1/2030 - 2/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 9273000 | &nbsp;&nbsp;&nbsp;&nbsp; 7961315 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Directv Financing LLC/Directv Financing Co.-Obligor, Inc., 5.875% due 8/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3880000 | &nbsp;&nbsp;&nbsp;&nbsp; 3479468 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;News Corp., 5.125% due 2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4980000 | &nbsp;&nbsp;&nbsp;&nbsp; 4527667 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Sirius XM Radio, Inc., 5.00% due 8/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 19275000 | &nbsp;&nbsp;&nbsp;&nbsp; 17835929 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;Telenet Finance Luxembourg Notes Sarl, 5.50% due 3/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 14200000 | &nbsp;&nbsp;&nbsp;&nbsp; 12781988 |
|  | &nbsp;&nbsp;&nbsp;Warnermedia Holdings, Inc., |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.428% due 3/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 1800000 | &nbsp;&nbsp;&nbsp;&nbsp; 1747008 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.528% due 3/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 4585000 | &nbsp;&nbsp;&nbsp;&nbsp; 4442819 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 74002931 |
|  | &nbsp;&nbsp;**Pharmaceuticals, Biotechnology & Life Sciences — 0.8%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Biotechnology — 0.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Bio-Rad Laboratories, Inc., 3.30% due 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2505000 | &nbsp;&nbsp;&nbsp;&nbsp; 2311088 |
|  | &nbsp;&nbsp;&nbsp;Illumina, Inc., 5.80% due 12/12/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 5579000 | &nbsp;&nbsp;&nbsp;&nbsp; 5622237 |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;Royalty Pharma plc, 1.75% due 9/2/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4086000 | &nbsp;&nbsp;&nbsp;&nbsp; 3470648 |
|  | &nbsp;&nbsp;&nbsp;**Life Sciences Tools & Services — 0.4%** |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Avantor Funding, Inc. (EUR), 2.625% due 11/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 11000000 | &nbsp;&nbsp;&nbsp;&nbsp; 11103773 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Thermo Fisher Scientific, Inc., 4.20% (SOFRINDX + 0.39%) due 10/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 10892000 | &nbsp;&nbsp;&nbsp;&nbsp; 10839718 |
|  | &nbsp;&nbsp;&nbsp;**Pharmaceuticals — 0.2%** |  |  |
| **<sup>a,b,i</sup>** | &nbsp;&nbsp;&nbsp;Atlas U.S. Royalty LLC Participation Rights, Zero coupon due 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5450000 | &nbsp;&nbsp;&nbsp;&nbsp; 545 |
|  | &nbsp;&nbsp;&nbsp;Bayer US Finance II LLC, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.25% due 12/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 2500000 | &nbsp;&nbsp;&nbsp;&nbsp; 2427750 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.779% (LIBOR 3 Month + 1.01%) due 12/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 4096000 | &nbsp;&nbsp;&nbsp;&nbsp; 4096205 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 39871964 |
|  | &nbsp;&nbsp;**Real Estate — 2.0%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Equity Real Estate Investment Trusts — 1.6%** |  |  |
|  | &nbsp;&nbsp;&nbsp;American Tower Corp., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.45% due 9/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1842000 | &nbsp;&nbsp;&nbsp;&nbsp; 1606850 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.65% due 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2830000 | &nbsp;&nbsp;&nbsp;&nbsp; 2646956 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.05% due 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1546000 | &nbsp;&nbsp;&nbsp;&nbsp; 1382650 |
|  | &nbsp;&nbsp;&nbsp;Crown Castle, Inc., 1.05% due 7/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2636000 | &nbsp;&nbsp;&nbsp;&nbsp; 2281432 |
|  | &nbsp;&nbsp;&nbsp;Digital Realty Trust LP, 5.55% due 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 11912000 | &nbsp;&nbsp;&nbsp;&nbsp; 11992406 |
|  | &nbsp;&nbsp;&nbsp;Iron Mountain, Inc., |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.875% due 9/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp;&nbsp; 1742440 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.00% due 7/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 2880000 | &nbsp;&nbsp;&nbsp;&nbsp; 2588659 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.25% due 7/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6085000 | &nbsp;&nbsp;&nbsp;&nbsp; 5284518 |
|  | &nbsp;&nbsp;&nbsp;Retail Opportunity Investments Partnership LP (Guaranty: Retail Opportunity Investments Corp.), 5.00% due 12/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 1500000 | &nbsp;&nbsp;&nbsp;&nbsp; 1477545 |
|  | &nbsp;&nbsp;&nbsp;SBA Tower Trust, |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.631% due 5/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 13500000 | &nbsp;&nbsp;&nbsp;&nbsp; 11465256 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.84% due 4/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3400000 | &nbsp;&nbsp;&nbsp;&nbsp; 2880015 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;6.599% due 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 15000000 | &nbsp;&nbsp;&nbsp;&nbsp; 15023497 |
|  | &nbsp;&nbsp;&nbsp;Service Properties Trust, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.35% due 10/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 2295000 | &nbsp;&nbsp;&nbsp;&nbsp; 2091112 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.65% due 3/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 900000 | &nbsp;&nbsp;&nbsp;&nbsp; 863919 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.95% due 2/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2850000 | &nbsp;&nbsp;&nbsp;&nbsp; 2246342 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;5.25% due 2/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 700000 | &nbsp;&nbsp;&nbsp;&nbsp; 585291 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;Trust Fibra Uno, 5.25% due 1/30/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 12784000 | &nbsp;&nbsp;&nbsp;&nbsp; 12385906 |
|  | &nbsp;&nbsp;&nbsp;Vornado Realty LP, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.15% due 6/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9336500 | &nbsp;&nbsp;&nbsp;&nbsp; 7909136 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.40% due 6/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 957000 | &nbsp;&nbsp;&nbsp;&nbsp; 710094 |
|  | &nbsp;&nbsp;&nbsp;**Mortgage Real Estate Investment Trusts — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Sun Communities Operating LP, 2.30% due 11/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5153000 | &nbsp;&nbsp;&nbsp;&nbsp; 4305486 |
|  | &nbsp;&nbsp;&nbsp;**Real Estate Management & Development — 0.3%** |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Cushman & Wakefield US Borrower LLC, 6.75% due 5/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 14249000 | &nbsp;&nbsp;&nbsp;&nbsp; 13631163 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 105100673 |
|  | &nbsp;&nbsp;**Retailing — 0.2%** |  |  |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;**Internet & Direct Marketing Retail — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;MercadoLibre, Inc., 2.375% due 1/14/2026 | &nbsp;&nbsp;$9465000 | &nbsp;&nbsp;$8490673 |
|  | &nbsp;&nbsp;&nbsp;**Specialty Retail — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Advance Auto Parts, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.75% due 10/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1792000 | &nbsp;&nbsp;&nbsp;&nbsp; 1505423 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.90% due 4/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 2996000 | &nbsp;&nbsp;&nbsp;&nbsp; 2632436 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 12628532 |
|  | &nbsp;&nbsp;**Semiconductors & Semiconductor Equipment — 1.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Semiconductors & Semiconductor Equipment — 1.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Broadcom Corp./Broadcom Cayman Finance Ltd., |  |  |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.50% due 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1628000 | &nbsp;&nbsp;&nbsp;&nbsp; 1483906 |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.875% due 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4975000 | &nbsp;&nbsp;&nbsp;&nbsp; 4709833 |
|  | &nbsp;&nbsp;&nbsp;Broadcom, Inc., |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.187% due 11/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 4861000 | &nbsp;&nbsp;&nbsp;&nbsp; 3508378 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.00% due 4/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 940000 | &nbsp;&nbsp;&nbsp;&nbsp; 855419 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.75% due 4/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 476000 | &nbsp;&nbsp;&nbsp;&nbsp; 453966 |
|  | &nbsp;&nbsp;&nbsp;Microchip Technology, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;0.972% due 2/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 5137000 | &nbsp;&nbsp;&nbsp;&nbsp; 4883797 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.25% due 9/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 11300000 | &nbsp;&nbsp;&nbsp;&nbsp; 10973317 |
|  | &nbsp;&nbsp;&nbsp;Micron Technology, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.663% due 2/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1186000 | &nbsp;&nbsp;&nbsp;&nbsp; 1074990 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;5.327% due 2/6/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2031000 | &nbsp;&nbsp;&nbsp;&nbsp; 1949130 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;6.75% due 11/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 9820000 | &nbsp;&nbsp;&nbsp;&nbsp; 9991948 |
|  | &nbsp;&nbsp;&nbsp;Qorvo, Inc., |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.375% due 4/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 12907000 | &nbsp;&nbsp;&nbsp;&nbsp; 10468868 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.375% due 10/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1452000 | &nbsp;&nbsp;&nbsp;&nbsp; 1283118 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;Renesas Electronics Corp., 1.543% due 11/26/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 6990000 | &nbsp;&nbsp;&nbsp;&nbsp; 6401791 |
|  | &nbsp;&nbsp;&nbsp;SK Hynix, Inc., |  |  |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.00% due 1/19/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 2800000 | &nbsp;&nbsp;&nbsp;&nbsp; 2653616 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.50% due 1/19/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4400000 | &nbsp;&nbsp;&nbsp;&nbsp; 3806440 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.375% due 1/19/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2812000 | &nbsp;&nbsp;&nbsp;&nbsp; 2064992 |
|  | &nbsp;&nbsp;&nbsp;Skyworks Solutions, Inc., 1.80% due 6/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1160000 | &nbsp;&nbsp;&nbsp;&nbsp; 1021125 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 67584634 |
|  | &nbsp;&nbsp;**Software & Services — 4.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Information Technology Services — 1.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Block Financial LLC, 2.50% due 7/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3605000 | &nbsp;&nbsp;&nbsp;&nbsp; 3059203 |
|  | &nbsp;&nbsp;&nbsp;DXC Technology Co., 2.375% due 9/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 11657000 | &nbsp;&nbsp;&nbsp;&nbsp; 9802022 |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;Genpact Luxembourg Sarl, 3.375% due 12/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 8939000 | &nbsp;&nbsp;&nbsp;&nbsp; 8552746 |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;Genpact Luxembourg Sarl/Genpact USA, Inc., 1.75% due 4/10/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2762000 | &nbsp;&nbsp;&nbsp;&nbsp; 2460279 |
|  | &nbsp;&nbsp;&nbsp;Global Payments, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.50% due 11/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 2230000 | &nbsp;&nbsp;&nbsp;&nbsp; 2074970 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.15% due 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1394000 | &nbsp;&nbsp;&nbsp;&nbsp; 1217408 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;5.30% due 8/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 4441000 | &nbsp;&nbsp;&nbsp;&nbsp; 4310301 |
|  | &nbsp;&nbsp;&nbsp;Kyndryl Holdings, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.05% due 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3968000 | &nbsp;&nbsp;&nbsp;&nbsp; 3280782 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.70% due 10/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 8296000 | &nbsp;&nbsp;&nbsp;&nbsp; 6244731 |
|  | &nbsp;&nbsp;&nbsp;Leidos, Inc., 2.30% due 2/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2220000 | &nbsp;&nbsp;&nbsp;&nbsp; 1698899 |
|  | &nbsp;&nbsp;&nbsp;Sabre GLBL, Inc., |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;7.375% due 9/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 3586000 | &nbsp;&nbsp;&nbsp;&nbsp; 3437217 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;9.25% due 4/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 2267000 | &nbsp;&nbsp;&nbsp;&nbsp; 2272441 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;11.25% due 12/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5100000 | &nbsp;&nbsp;&nbsp;&nbsp; 5249073 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Science Applications International Corp., 4.875% due 4/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 15749000 | &nbsp;&nbsp;&nbsp;&nbsp; 14637751 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Wipro IT Services LLC, 1.50% due 6/23/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3953000 | &nbsp;&nbsp;&nbsp;&nbsp; 3474055 |
|  | &nbsp;&nbsp;&nbsp;**Internet Software & Services — 1.1%** |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Arches Buyer, Inc., 4.25% due 6/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 19319000 | &nbsp;&nbsp;&nbsp;&nbsp; 15152278 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Cogent Communications Group, Inc., 7.00% due 6/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 9967000 | &nbsp;&nbsp;&nbsp;&nbsp; 9631112 |
|  | &nbsp;&nbsp;&nbsp;eBay, Inc., 5.90% due 11/22/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 14755000 | &nbsp;&nbsp;&nbsp;&nbsp; 15088758 |
|  | &nbsp;&nbsp;&nbsp;Prosus NV, |  |  |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.061% due 7/13/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 656000 | &nbsp;&nbsp;&nbsp;&nbsp; 511674 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.193% due 1/19/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 11494000 | &nbsp;&nbsp;&nbsp;&nbsp; 9554847 |
|  | &nbsp;&nbsp;&nbsp;Prosus NV (EUR), |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.288% due 7/13/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5715000 | &nbsp;&nbsp;&nbsp;&nbsp; 4627795 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.031% due 8/3/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2276461 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;**Professional Services — 0.3%** |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Korn Ferry, 4.625% due 12/15/2027 | &nbsp;&nbsp;$15003000 | &nbsp;&nbsp;$13769153 |
|  | &nbsp;&nbsp;&nbsp;**Software — 1.7%** |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Fair Isaac Corp., 4.00% due 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 16087000 | &nbsp;&nbsp;&nbsp;&nbsp; 14593483 |
|  | &nbsp;&nbsp;&nbsp;Fidelity National Information Services, Inc., 4.70% due 7/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 12167000 | &nbsp;&nbsp;&nbsp;&nbsp; 11881197 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;GoTo Group, Inc., 5.50% due 9/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6873000 | &nbsp;&nbsp;&nbsp;&nbsp; 3709702 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Infor, Inc., 1.75% due 7/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 2250000 | &nbsp;&nbsp;&nbsp;&nbsp; 2029905 |
|  | &nbsp;&nbsp;&nbsp;MSCI, Inc., |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.875% due 2/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 9973000 | &nbsp;&nbsp;&nbsp;&nbsp; 8302722 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.00% due 11/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6289000 | &nbsp;&nbsp;&nbsp;&nbsp; 5497466 |
|  | &nbsp;&nbsp;&nbsp;Open Text Corp., |  |  |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.875% due 2/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7761000 | &nbsp;&nbsp;&nbsp;&nbsp; 6660723 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;6.90% due 12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 9150000 | &nbsp;&nbsp;&nbsp;&nbsp; 9225762 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Open Text Holdings, Inc., 4.125% due 2/15/2030 - 12/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 12327000 | &nbsp;&nbsp;&nbsp;&nbsp; 9766066 |
|  | &nbsp;&nbsp;&nbsp;Oracle Corp., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.65% due 3/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4565000 | &nbsp;&nbsp;&nbsp;&nbsp; 4091062 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.30% due 3/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 2257000 | &nbsp;&nbsp;&nbsp;&nbsp; 1957180 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;6.15% due 11/9/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6753000 | &nbsp;&nbsp;&nbsp;&nbsp; 7020554 |
|  | &nbsp;&nbsp;&nbsp;VMware, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.00% due 8/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 1180000 | &nbsp;&nbsp;&nbsp;&nbsp; 1097660 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.50% due 5/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 4040000 | &nbsp;&nbsp;&nbsp;&nbsp; 3961179 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 232178617 |
|  | &nbsp;&nbsp;**Technology Hardware & Equipment — 1.8%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Communications Equipment — 0.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Motorola Solutions, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.30% due 11/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 337000 | &nbsp;&nbsp;&nbsp;&nbsp; 264414 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;5.60% due 6/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 13595000 | &nbsp;&nbsp;&nbsp;&nbsp; 13264641 |
|  | &nbsp;&nbsp;&nbsp;**Electronic Equipment, Instruments & Components — 0.7%** |  |  |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;Allegion plc, 3.50% due 10/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1723000 | &nbsp;&nbsp;&nbsp;&nbsp; 1485157 |
|  | &nbsp;&nbsp;&nbsp;Flex Ltd., |  |  |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.875% due 5/12/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4671000 | &nbsp;&nbsp;&nbsp;&nbsp; 4368179 |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;6.00% due 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4486000 | &nbsp;&nbsp;&nbsp;&nbsp; 4479316 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;Sensata Technologies BV, 5.875% due 9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 2375000 | &nbsp;&nbsp;&nbsp;&nbsp; 2249671 |
|  | &nbsp;&nbsp;&nbsp;TD SYNNEX Corp., 1.75% due 8/9/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 10183000 | &nbsp;&nbsp;&nbsp;&nbsp; 8655244 |
|  | &nbsp;&nbsp;&nbsp;Trimble, Inc., 4.75% due 12/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 6525000 | &nbsp;&nbsp;&nbsp;&nbsp; 6455770 |
|  | &nbsp;&nbsp;&nbsp;Vontier Corp., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.80% due 4/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1533000 | &nbsp;&nbsp;&nbsp;&nbsp; 1296857 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.40% due 4/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5241000 | &nbsp;&nbsp;&nbsp;&nbsp; 4137298 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.95% due 4/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6127000 | &nbsp;&nbsp;&nbsp;&nbsp; 4455248 |
|  | &nbsp;&nbsp;&nbsp;**Office Electronics — 0.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;CDW LLC/CDW Finance Corp., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.25% due 2/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5238000 | &nbsp;&nbsp;&nbsp;&nbsp; 4464085 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.25% due 4/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 8103000 | &nbsp;&nbsp;&nbsp;&nbsp; 7453788 |
|  | &nbsp;&nbsp;&nbsp;**Technology Hardware, Storage & Peripherals — 0.6%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Dell International LLC/EMC Corp., 4.90% due 10/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5123000 | &nbsp;&nbsp;&nbsp;&nbsp; 5046873 |
|  | &nbsp;&nbsp;&nbsp;HP, Inc., 4.75% due 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 11941000 | &nbsp;&nbsp;&nbsp;&nbsp; 11597935 |
|  | &nbsp;&nbsp;&nbsp;Lenovo Group Ltd., |  |  |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.831% due 1/27/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5385000 | &nbsp;&nbsp;&nbsp;&nbsp; 5209880 |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.875% due 4/24/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 10993000 | &nbsp;&nbsp;&nbsp;&nbsp; 10804360 |
|  | &nbsp;&nbsp;&nbsp;NetApp, Inc., 2.375% due 6/22/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 742000 | &nbsp;&nbsp;&nbsp;&nbsp; 660647 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 96349363 |
|  | &nbsp;&nbsp;**Telecommunication Services — 1.0%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Diversified Telecommunication Services — 0.4%** |  |  |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;British Telecommunications plc, 4.50% due 12/4/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 8483000 | &nbsp;&nbsp;&nbsp;&nbsp; 8406823 |
|  | &nbsp;&nbsp;&nbsp;Videotron Ltd., |  |  |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.125% due 4/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 7150000 | &nbsp;&nbsp;&nbsp;&nbsp; 6755892 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.375% due 6/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 6000000 | &nbsp;&nbsp;&nbsp;&nbsp; 5954820 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;Virgin Media Secured Finance plc, 5.50% due 5/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1800000 | &nbsp;&nbsp;&nbsp;&nbsp; 1617606 |
|  | &nbsp;&nbsp;&nbsp;**Wireless Telecommunication Services — 0.6%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Digicel International Finance Ltd./Digicel Holdings Bermuda Ltd., |  |  |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;8.00% due 12/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1111755 | &nbsp;&nbsp;&nbsp;&nbsp; 492018 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;8.75% due 5/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 4866916 | &nbsp;&nbsp;&nbsp;&nbsp; 4193334 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;SK Telecom Co. Ltd., 3.75% due 4/16/2023 | &nbsp;&nbsp;$3000000 | &nbsp;&nbsp;$2986440 |
|  | &nbsp;&nbsp;&nbsp;T-Mobile USA, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.25% due 2/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2232000 | &nbsp;&nbsp;&nbsp;&nbsp; 2032727 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.625% due 4/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2708000 | &nbsp;&nbsp;&nbsp;&nbsp; 2480230 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.375% due 4/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 10090000 | &nbsp;&nbsp;&nbsp;&nbsp; 8890097 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;5.375% due 4/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2965000 | &nbsp;&nbsp;&nbsp;&nbsp; 2989194 |
|  | &nbsp;&nbsp;&nbsp;Vmed O2 UK Financing I plc, |  |  |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.25% due 1/31/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 7818000 | &nbsp;&nbsp;&nbsp;&nbsp; 6332971 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.75% due 7/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 1500000 | &nbsp;&nbsp;&nbsp;&nbsp; 1221480 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 54353632 |
|  | &nbsp;&nbsp;**Transportation — 0.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Air Freight & Logistics — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Ryder System, Inc., 3.875% due 12/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 3753000 | &nbsp;&nbsp;&nbsp;&nbsp; 3700495 |
|  | &nbsp;&nbsp;&nbsp;**Airlines — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;American Airlines Pass Through Trust, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2013-2 Class A, 4.95% due 7/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 3861713 | &nbsp;&nbsp;&nbsp;&nbsp; 3846305 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2016-3 Class B, 3.75% due 4/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 725507 | &nbsp;&nbsp;&nbsp;&nbsp; 644483 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;British Airways Pass Through Trust, Series 2020-1 Class A, 4.25% due 5/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1006179 | &nbsp;&nbsp;&nbsp;&nbsp; 911236 |
|  | &nbsp;&nbsp;&nbsp;US Airways Pass Through Trust, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2010-1 Class A, 6.25% due 10/22/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 515138 | &nbsp;&nbsp;&nbsp;&nbsp; 510924 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2012-1 Class A, 5.90% due 4/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 791848 | &nbsp;&nbsp;&nbsp;&nbsp; 771244 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 10384687 |
|  | &nbsp;&nbsp;**Utilities — 5.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Electric Utilities — 4.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;AEP Texas, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.70% due 5/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3094000 | &nbsp;&nbsp;&nbsp;&nbsp; 2963990 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series I, 2.10% due 7/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 3800000 | &nbsp;&nbsp;&nbsp;&nbsp; 3075986 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;AES Andres BV, 5.70% due 5/4/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 8167000 | &nbsp;&nbsp;&nbsp;&nbsp; 7072867 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Alexander Funding Trust, 1.841% due 11/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 18263000 | &nbsp;&nbsp;&nbsp;&nbsp; 17261457 |
|  | &nbsp;&nbsp;&nbsp;Allegion U.S. Holding Co., Inc., 5.411% due 7/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 7922000 | &nbsp;&nbsp;&nbsp;&nbsp; 7667070 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Alliant Energy Finance LLC, 1.40% due 3/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1500000 | &nbsp;&nbsp;&nbsp;&nbsp; 1295250 |
|  | &nbsp;&nbsp;&nbsp;American Electric Power Co., Inc., 2.031% due 3/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 3302000 | &nbsp;&nbsp;&nbsp;&nbsp; 3179100 |
|  | &nbsp;&nbsp;&nbsp;Appalachian Power Co., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series AA, 2.70% due 4/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 4705000 | &nbsp;&nbsp;&nbsp;&nbsp; 3869486 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series BB, 4.50% due 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3327000 | &nbsp;&nbsp;&nbsp;&nbsp; 3113606 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;Ausgrid Finance Pty Ltd., 3.85% due 5/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 8600000 | &nbsp;&nbsp;&nbsp;&nbsp; 8552958 |
|  | &nbsp;&nbsp;&nbsp;Black Hills Corp., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.037% due 8/23/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 8226000 | &nbsp;&nbsp;&nbsp;&nbsp; 7677819 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.50% due 6/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1000000 | &nbsp;&nbsp;&nbsp;&nbsp; 804160 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Boston Gas Co., 3.757% due 3/16/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 6140000 | &nbsp;&nbsp;&nbsp;&nbsp; 5367281 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;CenterPoint Energy, Inc., 4.776% (SOFRINDX + 0.65%) due 5/13/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 2500000 | &nbsp;&nbsp;&nbsp;&nbsp; 2469450 |
|  | &nbsp;&nbsp;&nbsp;Comision Federal de Electricidad, |  |  |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.348% due 2/9/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 3020000 | &nbsp;&nbsp;&nbsp;&nbsp; 2367408 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.688% due 5/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4417200 |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.00% due 9/29/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 7031200 | &nbsp;&nbsp;&nbsp;&nbsp; 5813748 |
|  | &nbsp;&nbsp;&nbsp;Dominion Energy, Inc., 5.375% due 11/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4968000 |
|  | &nbsp;&nbsp;&nbsp;Enel Finance International NV, |  |  |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.375% due 7/12/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2750000 | &nbsp;&nbsp;&nbsp;&nbsp; 2382490 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;1.875% due 7/12/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 16900000 | &nbsp;&nbsp;&nbsp;&nbsp; 13429416 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;2.25% due 7/12/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 3843000 | &nbsp;&nbsp;&nbsp;&nbsp; 2815843 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.00% due 6/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1927000 | &nbsp;&nbsp;&nbsp;&nbsp; 1738154 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;7.50% due 10/14/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2400000 | &nbsp;&nbsp;&nbsp;&nbsp; 2550480 |
|  | &nbsp;&nbsp;&nbsp;Entergy Texas, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.50% due 9/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5866000 | &nbsp;&nbsp;&nbsp;&nbsp; 5113861 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.45% due 12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2766360 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Evergy Missouri West, Inc., 3.75% due 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4100000 | &nbsp;&nbsp;&nbsp;&nbsp; 3590493 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Florida Power & Light Co., 4.37% (SOFRINDX + 0.25%) due 5/10/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 2120000 | &nbsp;&nbsp;&nbsp;&nbsp; 2116375 |
|  | &nbsp;&nbsp;&nbsp;Georgia Power Co., 4.70% due 5/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 12308000 | &nbsp;&nbsp;&nbsp;&nbsp; 11853342 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Mid-Atlantic Interstate Transmission LLC, 4.10% due 5/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 945000 | &nbsp;&nbsp;&nbsp;&nbsp; 889009 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Midland Cogeneration Venture LP, 6.00% due 3/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 150023 | &nbsp;&nbsp;&nbsp;&nbsp; 152651 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Monongahela Power Co., 3.55% due 5/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3305000 | &nbsp;&nbsp;&nbsp;&nbsp; 3107064 |
|  | &nbsp;&nbsp;&nbsp;NextEra Energy Capital Holdings, Inc., |  |  |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;0.65% due 3/1/2023 | &nbsp;&nbsp;$6667000 | &nbsp;&nbsp;$6622398 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.465% (SOFRINDX + 0.40%) due 11/3/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 2500000 | &nbsp;&nbsp;&nbsp;&nbsp; 2490025 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Niagara Mohawk Power Corp., 4.278% due 12/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 10186000 | &nbsp;&nbsp;&nbsp;&nbsp; 9400456 |
|  | &nbsp;&nbsp;&nbsp;Pacific Gas & Electric Co., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.25% due 2/16/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 8680000 | &nbsp;&nbsp;&nbsp;&nbsp; 8465430 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.75% due 2/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 9367000 | &nbsp;&nbsp;&nbsp;&nbsp; 9172166 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;PPL Electric Utilities Corp., 4.653% (SOFR + 0.33%) due 6/24/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 3560000 | &nbsp;&nbsp;&nbsp;&nbsp; 3513791 |
|  | &nbsp;&nbsp;&nbsp;Puget Energy, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.379% due 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 2980000 | &nbsp;&nbsp;&nbsp;&nbsp; 2540837 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.10% due 6/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1950000 | &nbsp;&nbsp;&nbsp;&nbsp; 1744626 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.224% due 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3655000 | &nbsp;&nbsp;&nbsp;&nbsp; 3252511 |
|  | &nbsp;&nbsp;&nbsp;Southern California Edison Co., Series J, 0.70% due 8/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 8857000 | &nbsp;&nbsp;&nbsp;&nbsp; 8622467 |
|  | &nbsp;&nbsp;&nbsp;Southern Co., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3.25% due 7/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6725000 | &nbsp;&nbsp;&nbsp;&nbsp; 6334950 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;5.113% due 8/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6096000 | &nbsp;&nbsp;&nbsp;&nbsp; 6080699 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;5.70% due 10/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1770000 | &nbsp;&nbsp;&nbsp;&nbsp; 1808551 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Toledo Edison Co., 2.65% due 5/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3933000 | &nbsp;&nbsp;&nbsp;&nbsp; 3414906 |
|  | &nbsp;&nbsp;&nbsp;Transelec SA, |  |  |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.25% due 1/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 200000 | &nbsp;&nbsp;&nbsp;&nbsp; 194698 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.625% due 7/26/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 2409000 | &nbsp;&nbsp;&nbsp;&nbsp; 2399533 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Vistra Operations Co. LLC, 4.875% due 5/13/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 12188000 | &nbsp;&nbsp;&nbsp;&nbsp; 11934612 |
|  | &nbsp;&nbsp;&nbsp;**Gas Utilities — 0.8%** |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Brooklyn Union Gas Co., 4.632% due 8/5/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5142000 | &nbsp;&nbsp;&nbsp;&nbsp; 4899195 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;CenterPoint Energy Resources Corp., 5.279% (LIBOR 3 Month + 0.50%) due 3/2/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 1263000 | &nbsp;&nbsp;&nbsp;&nbsp; 1262419 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;ENN Clean Energy International Investment Ltd., 3.375% due 5/12/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9524000 | &nbsp;&nbsp;&nbsp;&nbsp; 8360548 |
|  | &nbsp;&nbsp;&nbsp;Southern Co. Gas Capital Corp., 5.15% due 9/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 6950000 | &nbsp;&nbsp;&nbsp;&nbsp; 6827611 |
|  | &nbsp;&nbsp;&nbsp;Southwest Gas Corp., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.05% due 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 5870000 | &nbsp;&nbsp;&nbsp;&nbsp; 5147521 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;5.80% due 12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4610000 | &nbsp;&nbsp;&nbsp;&nbsp; 4694040 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Spire Missouri, Inc., 4.74% (SOFR + 0.50%) due 12/2/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 12345000 | &nbsp;&nbsp;&nbsp;&nbsp; 12196119 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 275822483 |
|  | &nbsp;&nbsp;&nbsp;Total Corporate Bonds (Cost $2,762,493,701) |  | &nbsp;&nbsp;&nbsp;&nbsp;2543840195 |
|  | **Convertible Bonds — 0.3%** |  |  |
|  | &nbsp;&nbsp;**Media & Entertainment — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Media — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Comcast Holdings Corp. (Guaranty: Comcast Corp.), 2.00% due 10/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 15486000 | &nbsp;&nbsp;&nbsp;&nbsp; 7835142 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 7835142 |
|  | &nbsp;&nbsp;**Real Estate — 0.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Equity Real Estate Investment Trusts — 0.2%** |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Radius Global Infrastructure, Inc., 2.50% due 9/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 11200000 | &nbsp;&nbsp;&nbsp;&nbsp; 9876720 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 9876720 |
|  | &nbsp;&nbsp;&nbsp;Total Convertible Bonds (Cost $20,388,061) |  | &nbsp;&nbsp;&nbsp;&nbsp; 17711862 |
|  | **Long-Term Municipal Bonds — 0.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;California Health Facilities Financing Authority, 7.875% due 2/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1610000 | &nbsp;&nbsp;&nbsp;&nbsp; 1613072 |
|  | &nbsp;&nbsp;&nbsp;City of Chicago GO, Series B, 7.045% due 1/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1940000 | &nbsp;&nbsp;&nbsp;&nbsp; 1968144 |
|  | &nbsp;&nbsp;&nbsp;City of Detroit GO, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series B, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.017% due 4/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 275000 | &nbsp;&nbsp;&nbsp;&nbsp; 272943 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.189% due 4/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 275000 | &nbsp;&nbsp;&nbsp;&nbsp; 265234 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.511% due 4/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 465000 | &nbsp;&nbsp;&nbsp;&nbsp; 438065 |
|  | &nbsp;&nbsp;&nbsp;New Jersey Transportation Trust Fund Authority, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.551% due 6/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 2115000 | &nbsp;&nbsp;&nbsp;&nbsp; 2088556 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.631% due 6/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 1565000 | &nbsp;&nbsp;&nbsp;&nbsp; 1511062 |
|  | &nbsp;&nbsp;&nbsp;New York Transportation Development Corp., 4.248% due 9/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 2870000 | &nbsp;&nbsp;&nbsp;&nbsp; 2660174 |
|  | &nbsp;&nbsp;&nbsp;West Contra Costa USD GO, 2.612% due 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 980000 | &nbsp;&nbsp;&nbsp;&nbsp; 783248 |
|  | &nbsp;&nbsp;&nbsp;Total Long-Term Municipal Bonds (Cost $12,123,641) |  | &nbsp;&nbsp;&nbsp;&nbsp; 11600498 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | **Other Government — 0.8%** |  |  |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;Dominican Republic International Bond, 5.50% due 2/22/2029 | &nbsp;&nbsp;$5450000 | &nbsp;&nbsp;$5014763 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;Finance Department Government of Sharjah, 3.625% due 3/10/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 14382000 | &nbsp;&nbsp;&nbsp;&nbsp; 11914624 |
|  | &nbsp;&nbsp;&nbsp;Indonesia Treasury Bond (IDR), |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;7.50% due 5/15/2038 - 4/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp;80985000000 | &nbsp;&nbsp;&nbsp;&nbsp; 5355064 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;8.375% due 4/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp;44919000000 | &nbsp;&nbsp;&nbsp;&nbsp; 3202919 |
|  | &nbsp;&nbsp;&nbsp;Nigeria Government International Bond, |  |  |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;7.625% due 11/28/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp;&nbsp; 6418000 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;8.25% due 9/28/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 4300000 | &nbsp;&nbsp;&nbsp;&nbsp; 2861435 |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;Panama Government International Bond, 6.40% due 2/14/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 5086800 |
|  | &nbsp;&nbsp;&nbsp;Total Other Government (Cost $42,482,730) |  | &nbsp;&nbsp;&nbsp;&nbsp; 39853605 |
|  | **U.S. Treasury Securities — 6.9%** |  |  |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Inflation Indexed Bonds, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;0.125%, 4/15/2025 - 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 100016929 | &nbsp;&nbsp;&nbsp;&nbsp; 90704386 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;0.625%, 2/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 25920800 | &nbsp;&nbsp;&nbsp;&nbsp; 20858767 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;0.75%, 2/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 7845356 | &nbsp;&nbsp;&nbsp;&nbsp; 6332594 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Notes, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;0.125%, 7/31/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 25000000 | &nbsp;&nbsp;&nbsp;&nbsp; 24342774 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;0.375%, 11/30/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 8200000 | &nbsp;&nbsp;&nbsp;&nbsp; 7337719 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;0.625%, 5/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 11841000 | &nbsp;&nbsp;&nbsp;&nbsp; 9371041 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.00%, 7/31/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 60000000 | &nbsp;&nbsp;&nbsp;&nbsp; 51004688 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.125%, 5/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 15000000 | &nbsp;&nbsp;&nbsp;&nbsp; 9403125 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.25%, 6/30/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 50000000 | &nbsp;&nbsp;&nbsp;&nbsp; 43226563 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.375%, 11/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 9700000 | &nbsp;&nbsp;&nbsp;&nbsp; 6312578 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;1.75%, 5/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 53000000 | &nbsp;&nbsp;&nbsp;&nbsp; 52449277 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.125%, 11/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 45000000 | &nbsp;&nbsp;&nbsp;&nbsp; 45900000 |
|  | &nbsp;&nbsp;&nbsp;Total U.S. Treasury Securities (Cost $374,741,472) |  | &nbsp;&nbsp;&nbsp;&nbsp; 367243512 |
|  | **U.S. Government Agencies — 0.2%** |  |  |
| **<sup>c,d,e</sup>** | &nbsp;&nbsp;&nbsp;Farm Credit Bank of Texas, Series 4, 5.70% (5-Yr. CMT + 5.415%), 9/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 9580000 | &nbsp;&nbsp;&nbsp;&nbsp; 8669900 |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;Petroleos Mexicanos (Guaranty: Export-Import Bank of the United States), 6.50%, 1/23/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 4118000 | &nbsp;&nbsp;&nbsp;&nbsp; 3530691 |
|  | &nbsp;&nbsp;&nbsp;Total U.S. Government Agencies (Cost $13,969,280) |  | &nbsp;&nbsp;&nbsp;&nbsp; 12200591 |
|  | **Mortgage Backed — 14.0%** |  |  |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;Ajax Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2019-G Class A, 3.00% due 9/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 5377112 | &nbsp;&nbsp;&nbsp;&nbsp; 5152186 |
|  | &nbsp;&nbsp;&nbsp;Angel Oak Mortgage Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1 Class B1, 4.03% due 12/25/2066 | &nbsp;&nbsp;&nbsp;&nbsp; 4575000 | &nbsp;&nbsp;&nbsp;&nbsp; 2615128 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-6 Class A3, 4.30% due 7/25/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 4888232 | &nbsp;&nbsp;&nbsp;&nbsp; 4564213 |
|  | &nbsp;&nbsp;&nbsp;Arroyo Mortgage Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1 Class A1, 3.805% due 1/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 901422 | &nbsp;&nbsp;&nbsp;&nbsp; 829786 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-3 Class A1, 2.962% due 10/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1753901 | &nbsp;&nbsp;&nbsp;&nbsp; 1594969 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1R Class A1, 1.175% due 10/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3537201 | &nbsp;&nbsp;&nbsp;&nbsp; 2776883 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;Barclays Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2022-INV1 Class A3, 4.53% due 2/25/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 16591246 | &nbsp;&nbsp;&nbsp;&nbsp; 15271678 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Bear Stearns ARM Trust, Whole Loan Securities Trust CMO, Series 2003-6 Class 2B1, 4.045% due 8/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 25852 | &nbsp;&nbsp;&nbsp;&nbsp; 24416 |
| **<sup>e</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; 1174999 | &nbsp;&nbsp;&nbsp;&nbsp; 1142996 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;Cascade MH Asset Trust, Whole Loan Securities Trust CMO, Series 2021-MH1 Class B3, 7.714% due 2/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1936119 | &nbsp;&nbsp;&nbsp;&nbsp; 1468604 |
|  | &nbsp;&nbsp;&nbsp;Chase Home Lending Mortgage Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1 Class B4, 3.899% due 3/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 726309 | &nbsp;&nbsp;&nbsp;&nbsp; 572101 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1 Class B5, 3.899% due 3/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 374211 | &nbsp;&nbsp;&nbsp;&nbsp; 274051 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1 Class B6, 3.899% due 3/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 521093 | &nbsp;&nbsp;&nbsp;&nbsp; 305787 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;Chase Mortgage Finance Corp., Whole Loan Securities Trust CMO, Series 2016-SH2 Class M4, 3.75% due 12/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 2637144 | &nbsp;&nbsp;&nbsp;&nbsp; 2291685 |
|  | &nbsp;&nbsp;&nbsp;CHNGE Mortgage Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1 Class A1, 3.007% due 1/25/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 4024484 | &nbsp;&nbsp;&nbsp;&nbsp; 3567525 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-2 Class B2, |  |  |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.538% due 1/25/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 4700000 | &nbsp;&nbsp;&nbsp;&nbsp; 3533202 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.639% due 3/25/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 7015000 | &nbsp;&nbsp;&nbsp;&nbsp; 5150608 |
|  | &nbsp;&nbsp;&nbsp;CIM Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-INV1 Class A4, 4.00% due 8/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 186796 | &nbsp;&nbsp;&nbsp;&nbsp; 170254 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-J1 Class AIO1, 0.444% due 7/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 15647071 | &nbsp;&nbsp;&nbsp;&nbsp; 249322 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-J1 Class AIO2, 0.50% due 7/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 13955808 | &nbsp;&nbsp;&nbsp;&nbsp; 273644 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-J1 Class AIOS, 0.20% due 6/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 18884843 | &nbsp;&nbsp;&nbsp;&nbsp; 128353 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-J1 Class B4, 3.444% due 7/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 342913 | &nbsp;&nbsp;&nbsp;&nbsp; 263450 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-J1 Class B5, 3.444% due 7/25/2050 | &nbsp;&nbsp;$171457 | &nbsp;&nbsp;$107861 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-J1 Class B6, 3.444% due 7/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 325435 | &nbsp;&nbsp;&nbsp;&nbsp; 109718 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-J2 Class AX1, 0.258% due 1/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 110085957 | &nbsp;&nbsp;&nbsp;&nbsp; 1106804 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-J2 Class AXS, 0.21% due 1/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 117131914 | &nbsp;&nbsp;&nbsp;&nbsp; 1102867 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-J2 Class B4, 2.758% due 1/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 491000 | &nbsp;&nbsp;&nbsp;&nbsp; 189357 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-J2 Class B5, 2.758% due 1/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 164000 | &nbsp;&nbsp;&nbsp;&nbsp; 61126 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-J2 Class B6, 2.758% due 1/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 654523 | &nbsp;&nbsp;&nbsp;&nbsp; 151155 |
|  | &nbsp;&nbsp;&nbsp;Citigroup Mortgage Loan Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2004-HYB2 Class B1, 3.022% due 3/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 23230 | &nbsp;&nbsp;&nbsp;&nbsp; 20575 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2014-A Class A, 4.00% due 1/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 430305 | &nbsp;&nbsp;&nbsp;&nbsp; 399359 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-E Class A1, 6.228% due 11/25/2070 | &nbsp;&nbsp;&nbsp;&nbsp; 18726725 | &nbsp;&nbsp;&nbsp;&nbsp; 18429270 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-EXP1 Class B1, 4.467% due 5/25/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 1180900 | &nbsp;&nbsp;&nbsp;&nbsp; 954543 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-EXP1 Class B2, 4.467% due 5/25/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 770600 | &nbsp;&nbsp;&nbsp;&nbsp; 597782 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-EXP1 Class B3, 4.467% due 5/25/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 386242 | &nbsp;&nbsp;&nbsp;&nbsp; 272157 |
| **<sup>e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-EXP1 Class XS, due 5/25/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 21398414 | &nbsp;&nbsp;&nbsp;&nbsp; 97791 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-EXP2 Class B5, 3.587% due 8/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 153000 | &nbsp;&nbsp;&nbsp;&nbsp; 69690 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-EXP2 Class B6, 3.587% due 8/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 372000 | &nbsp;&nbsp;&nbsp;&nbsp; 134228 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-J1 Class B4, 2.611% due 4/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 375000 | &nbsp;&nbsp;&nbsp;&nbsp; 122196 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-J1 Class B5, 2.611% due 4/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 616000 | &nbsp;&nbsp;&nbsp;&nbsp; 166733 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-J1 Class B6, 2.611% due 4/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 453829 | &nbsp;&nbsp;&nbsp;&nbsp; 98909 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-J2 Class B4, 2.772% due 7/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2281541 | &nbsp;&nbsp;&nbsp;&nbsp; 853792 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-J2 Class B5, 2.772% due 7/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 623000 | &nbsp;&nbsp;&nbsp;&nbsp; 223517 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-J2 Class B6, 2.772% due 7/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1247350 | &nbsp;&nbsp;&nbsp;&nbsp; 259192 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-J3 Class B4, 2.858% due 9/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1032000 | &nbsp;&nbsp;&nbsp;&nbsp; 348034 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-J3 Class B5, 2.858% due 9/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 173000 | &nbsp;&nbsp;&nbsp;&nbsp; 57946 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-J3 Class B6, 2.858% due 9/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 590214 | &nbsp;&nbsp;&nbsp;&nbsp; 158991 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-INV1 Class A5IX, 0.299% due 11/27/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 214249291 | &nbsp;&nbsp;&nbsp;&nbsp; 2838203 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-INV1 Class B4, 3.299% due 11/27/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1353929 | &nbsp;&nbsp;&nbsp;&nbsp; 843398 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-INV1 Class B6, 3.299% due 11/27/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 3413275 | &nbsp;&nbsp;&nbsp;&nbsp; 1080178 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-J1 Class B4, 2.908% due 2/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 700598 | &nbsp;&nbsp;&nbsp;&nbsp; 234769 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-J1 Class B5, 2.908% due 2/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 527000 | &nbsp;&nbsp;&nbsp;&nbsp; 147084 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-J1 Class B6, 2.908% due 2/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1404735 | &nbsp;&nbsp;&nbsp;&nbsp; 301511 |
| **<sup>d,e</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; 13600000 | &nbsp;&nbsp;&nbsp;&nbsp; 13524757 |
|  | &nbsp;&nbsp;&nbsp;CSMC Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2013-HYB1 Class B3, 4.589% due 4/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 377321 | &nbsp;&nbsp;&nbsp;&nbsp; 371815 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-RP10 Class A1, 2.963% due 12/26/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 13292389 | &nbsp;&nbsp;&nbsp;&nbsp; 13106660 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-AFC1 Class AIOS, 0.25% due 3/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 57981652 | &nbsp;&nbsp;&nbsp;&nbsp; 503866 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-AFC1 Class B3, 4.35% due 3/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 146228 | &nbsp;&nbsp;&nbsp;&nbsp; 109372 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-AFC1 Class XS, 3.323% due 3/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 57981652 | &nbsp;&nbsp;&nbsp;&nbsp; 8189132 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-NQM3 Class A1, 1.015% due 4/25/2066 | &nbsp;&nbsp;&nbsp;&nbsp; 2839334 | &nbsp;&nbsp;&nbsp;&nbsp; 2322099 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-NQM3 Class B2, 4.128% due 4/25/2066 | &nbsp;&nbsp;&nbsp;&nbsp; 2650000 | &nbsp;&nbsp;&nbsp;&nbsp; 1397671 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-NQM8 Class B2, 4.208% due 10/25/2066 | &nbsp;&nbsp;&nbsp;&nbsp; 3478650 | &nbsp;&nbsp;&nbsp;&nbsp; 2097836 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-ATH2 Class A1, 4.547% due 5/25/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 6207990 | &nbsp;&nbsp;&nbsp;&nbsp; 5963875 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-NQM5 Class A3, 5.169% due 5/25/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 4072327 | &nbsp;&nbsp;&nbsp;&nbsp; 3918211 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;Deephaven Residential Mortgage Trust, Whole Loan Securities Trust CMO, Series 2021-1 Class A1, 0.715% due 5/25/2065 | &nbsp;&nbsp;&nbsp;&nbsp; 919107 | &nbsp;&nbsp;&nbsp;&nbsp; 849584 |
|  | &nbsp;&nbsp;&nbsp;Ellington Financial Mortgage Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-2 Class A1, 2.739% due 11/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 1158466 | &nbsp;&nbsp;&nbsp;&nbsp; 1080638 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-2 Class A1, 0.931% due 6/25/2066 | &nbsp;&nbsp;&nbsp;&nbsp; 3209226 | &nbsp;&nbsp;&nbsp;&nbsp; 2522351 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1 Class B2, 3.879% due 1/25/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 6901000 | &nbsp;&nbsp;&nbsp;&nbsp; 3459681 |
|  | &nbsp;&nbsp;&nbsp;Federal Home Loan Mtg Corp., Pool RE6097, 2.00% due 5/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 13150947 | &nbsp;&nbsp;&nbsp;&nbsp; 10431387 |
| **<sup>d,g</sup>** | &nbsp;&nbsp;&nbsp;Federal Home Loan Mtg Corp., Multifamily Structured Pass Through Certificates, CMBS, Series KIR1 Class X, 1.038% due 3/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 33584027 | &nbsp;&nbsp;&nbsp;&nbsp; 920223 |
|  | &nbsp;&nbsp;&nbsp;Federal Home Loan Mtg Corp., Seasoned Credit Risk Transfer, Whole Loan Securities Trust CMO, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2 Class A1C, 2.00% due 9/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6819546 | &nbsp;&nbsp;&nbsp;&nbsp; 6112592 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2 Class MA, 2.00% due 11/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 3221549 | &nbsp;&nbsp;&nbsp;&nbsp; 2881179 |
|  | &nbsp;&nbsp;&nbsp;Federal Home Loan Mtg Corp., UMBS Collateral, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool SD1374, 3.00% due 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 8521881 | &nbsp;&nbsp;&nbsp;&nbsp; 7479351 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool SD1588, 5.00% due 9/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 5954937 | &nbsp;&nbsp;&nbsp;&nbsp; 5937479 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool SD1626, 5.00% due 10/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 8517436 | &nbsp;&nbsp;&nbsp;&nbsp; 8507031 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool SD8206, 3.00% due 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 18689755 | &nbsp;&nbsp;&nbsp;&nbsp; 16407818 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool SD8219, 2.50% due 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 11843837 | &nbsp;&nbsp;&nbsp;&nbsp; 10025802 |
|  | &nbsp;&nbsp;&nbsp;Federal Home Loan Mtg Corp., UMBS Collateral , Pool RA7373, 3.00% due 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3415270 | &nbsp;&nbsp;&nbsp;&nbsp; 2997044 |
|  | &nbsp;&nbsp;&nbsp;Federal Home Loan Mtg Corp., Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-SC01 Class M1, 3.647% due 12/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 377823 | &nbsp;&nbsp;&nbsp;&nbsp; 361351 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-SC02 Class M1, 3.857% due 5/25/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 170179 | &nbsp;&nbsp;&nbsp;&nbsp; 165427 |
|  | &nbsp;&nbsp;&nbsp;Federal National Mtg Assoc., |  |  |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool BM6899, 2.50% due 1/1/2052 | &nbsp;&nbsp;$11234287 | &nbsp;&nbsp;$9326656 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool FS2239, 2.50% due 7/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 24388353 | &nbsp;&nbsp;&nbsp;&nbsp; 20653421 |
|  | &nbsp;&nbsp;&nbsp;Federal National Mtg Assoc., CMO REMIC, Series 1994-37 Class L, 6.50% due 3/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 122 | &nbsp;&nbsp;&nbsp;&nbsp; 122 |
|  | &nbsp;&nbsp;&nbsp;Federal National Mtg Assoc., UMBS Collateral, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool BV2784, 2.50% due 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4318523 | &nbsp;&nbsp;&nbsp;&nbsp; 3654150 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool BW8669, 5.00% due 9/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 5228909 | &nbsp;&nbsp;&nbsp;&nbsp; 5162186 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool CB1810, 3.00% due 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 8277614 | &nbsp;&nbsp;&nbsp;&nbsp; 7264756 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool CB3880, 5.00% due 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3307375 | &nbsp;&nbsp;&nbsp;&nbsp; 3297679 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool MA4578, 2.50% due 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 12028546 | &nbsp;&nbsp;&nbsp;&nbsp; 10174264 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool MA4598, 2.50% due 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 16018543 | &nbsp;&nbsp;&nbsp;&nbsp; 13560420 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool MA4599, 3.00% due 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 23606209 | &nbsp;&nbsp;&nbsp;&nbsp; 20719323 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool MA4623, 2.50% due 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 46405050 | &nbsp;&nbsp;&nbsp;&nbsp; 39283970 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Pool MA4730, 3.00% due 9/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 22418979 | &nbsp;&nbsp;&nbsp;&nbsp; 19668575 |
|  | &nbsp;&nbsp;&nbsp;First Republic Mortgage Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1 Class A2IO, 1.244% due 4/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 126030107 | &nbsp;&nbsp;&nbsp;&nbsp; 2394370 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1 Class B3, 2.884% due 4/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1415160 | &nbsp;&nbsp;&nbsp;&nbsp; 1045874 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1 Class B4, 2.884% due 4/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1325000 | &nbsp;&nbsp;&nbsp;&nbsp; 750362 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1 Class B5, 2.884% due 4/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 470000 | &nbsp;&nbsp;&nbsp;&nbsp; 230162 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1 Class B6, 2.884% due 4/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 755000 | &nbsp;&nbsp;&nbsp;&nbsp; 287749 |
|  | &nbsp;&nbsp;&nbsp;Flagstar Mortgage Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-1 Class 2A2, 3.00% due 3/25/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 300046 | &nbsp;&nbsp;&nbsp;&nbsp; 264280 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-3 Class B4, 4.474% due 5/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 5379777 | &nbsp;&nbsp;&nbsp;&nbsp; 4364614 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-2 Class B3, 4.027% due 12/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 3644854 | &nbsp;&nbsp;&nbsp;&nbsp; 3018151 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2 Class AX1, 0.673% due 8/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 28268114 | &nbsp;&nbsp;&nbsp;&nbsp; 680323 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2 Class AX2, 0.50% due 8/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4844397 | &nbsp;&nbsp;&nbsp;&nbsp; 93659 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2 Class B4, 3.673% due 8/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 208900 | &nbsp;&nbsp;&nbsp;&nbsp; 161244 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2 Class B5, 3.673% due 8/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 623838 | &nbsp;&nbsp;&nbsp;&nbsp; 474082 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2 Class B6C, 3.673% due 8/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 833834 | &nbsp;&nbsp;&nbsp;&nbsp; 374048 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-13INV Class AX1, 0.188% due 12/30/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 178295161 | &nbsp;&nbsp;&nbsp;&nbsp; 1382804 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-13INV Class AX17, 0.18% due 12/30/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 14740102 | &nbsp;&nbsp;&nbsp;&nbsp; 127979 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-13INV Class AX4, 0.50% due 12/30/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 13481440 | &nbsp;&nbsp;&nbsp;&nbsp; 348565 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-13INV Class B4, 3.368% due 12/30/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2615270 | &nbsp;&nbsp;&nbsp;&nbsp; 1649645 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-13INV Class B5, 3.368% due 12/30/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 476764 | &nbsp;&nbsp;&nbsp;&nbsp; 271386 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-13INV Class B6C, 3.266% due 12/30/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 4155597 | &nbsp;&nbsp;&nbsp;&nbsp; 1929478 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;FREMF Mortgage Trust, CMBS, Series 2016-KF24 Class B, 9.142% (LIBOR 1 Month + 5.00%) due 10/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 363162 | &nbsp;&nbsp;&nbsp;&nbsp; 344289 |
|  | &nbsp;&nbsp;&nbsp;GCAT Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-NQM3 Class A1, 2.686% due 11/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 806206 | &nbsp;&nbsp;&nbsp;&nbsp; 747673 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-CM1 Class A, 1.469% due 4/25/2065 | &nbsp;&nbsp;&nbsp;&nbsp; 4157256 | &nbsp;&nbsp;&nbsp;&nbsp; 3898306 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-CM2 Class A1, 2.352% due 8/25/2066 | &nbsp;&nbsp;&nbsp;&nbsp; 9031880 | &nbsp;&nbsp;&nbsp;&nbsp; 8136919 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-NQM4 Class A1, 1.093% due 8/25/2066 | &nbsp;&nbsp;&nbsp;&nbsp; 4247932 | &nbsp;&nbsp;&nbsp;&nbsp; 3277539 |
|  | &nbsp;&nbsp;&nbsp;GS Mortgage-Backed Securities Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-INV1 Class A11X, 3.42% due 10/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1018048 | &nbsp;&nbsp;&nbsp;&nbsp; 166606 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-INV1 Class A12X, 2.932% due 10/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 12189605 | &nbsp;&nbsp;&nbsp;&nbsp; 1709872 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-INV1 Class AIOS, 0.19% due 10/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 64167772 | &nbsp;&nbsp;&nbsp;&nbsp; 492764 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-INV1 Class AX1, 0.005% due 10/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 44072915 | &nbsp;&nbsp;&nbsp;&nbsp; 441 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-INV1 Class AX2, 0.432% due 10/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2196841 | &nbsp;&nbsp;&nbsp;&nbsp; 28302 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-INV1 Class AX4, 0.928% due 10/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2364872 | &nbsp;&nbsp;&nbsp;&nbsp; 66138 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-INV1 Class B4, 3.86% due 10/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1278369 | &nbsp;&nbsp;&nbsp;&nbsp; 954627 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-INV1 Class B5, 3.86% due 10/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1278369 | &nbsp;&nbsp;&nbsp;&nbsp; 884157 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-INV1 Class B6, 3.86% due 10/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2952555 | &nbsp;&nbsp;&nbsp;&nbsp; 1532316 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-INV1 Class BX, 0.36% due 10/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 14585762 | &nbsp;&nbsp;&nbsp;&nbsp; 173444 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-PJ3 Class A11X, 3.50% due 10/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2738862 | &nbsp;&nbsp;&nbsp;&nbsp; 382460 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;Homeward Opportunities Fund I Trust, Whole Loan Securities Trust CMO, Series 2020-2 Class B3, 5.494% due 5/25/2065 | &nbsp;&nbsp;&nbsp;&nbsp; 14305000 | &nbsp;&nbsp;&nbsp;&nbsp; 11935533 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;Homeward Opportunities Fund Trust, Whole Loan Securities Trust CMO, Series 2022-1 A Class A1, 5.082% due 7/25/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 5786878 | &nbsp;&nbsp;&nbsp;&nbsp; 5642897 |
|  | &nbsp;&nbsp;&nbsp;Imperial Fund Mortgage Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-NQM3 Class B2, 4.162% due 11/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 5408000 | &nbsp;&nbsp;&nbsp;&nbsp; 2734013 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-NQM4 Class A1, 2.091% due 1/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 4591006 | &nbsp;&nbsp;&nbsp;&nbsp; 3788141 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-NQM4 Class B2, 4.10% due 1/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 2500000 | &nbsp;&nbsp;&nbsp;&nbsp; 1455789 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022- NQM1 Class A1, 2.493% due 2/25/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 18254123 | &nbsp;&nbsp;&nbsp;&nbsp; 16004968 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-NQM2 Class B2, 4.20% due 3/25/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 15600000 | &nbsp;&nbsp;&nbsp;&nbsp; 9478262 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-NQM4 Class A, 4.767% due 6/25/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 14229223 | &nbsp;&nbsp;&nbsp;&nbsp; 13804325 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-NQM4 Class A3, 5.04% due 6/25/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 4309980 | &nbsp;&nbsp;&nbsp;&nbsp; 4145645 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-NQM6 Class A1, 6.819% due 10/25/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 9829102 | &nbsp;&nbsp;&nbsp;&nbsp; 9788739 |
|  | &nbsp;&nbsp;&nbsp;JPMorgan Mortgage Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2015-4 Class B4, 3.548% due 6/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 830166 | &nbsp;&nbsp;&nbsp;&nbsp; 533898 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2016-5 Class B4, 5.017% due 12/25/2046 | &nbsp;&nbsp;$1630300 | &nbsp;&nbsp;$1348438 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2016-5 Class B5, 5.017% due 12/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1235587 | &nbsp;&nbsp;&nbsp;&nbsp; 759168 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-5 Class B6, 3.211% due 10/26/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3020511 | &nbsp;&nbsp;&nbsp;&nbsp; 1941807 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-8 Class B4, 4.168% due 3/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3403783 | &nbsp;&nbsp;&nbsp;&nbsp; 2757610 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-3 Class AX1, 0.145% due 8/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 10246927 | &nbsp;&nbsp;&nbsp;&nbsp; 40322 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-4 Class A11X, 1.206% (5.25% - LIBOR 1 Month) due 11/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2054691 | &nbsp;&nbsp;&nbsp;&nbsp; 115949 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-4 Class A3X, 0.50% due 11/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 9314598 | &nbsp;&nbsp;&nbsp;&nbsp; 171784 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-4 Class AX1, 0.103% due 11/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 34404768 | &nbsp;&nbsp;&nbsp;&nbsp; 95177 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-4 Class AX3, 3.50% due 11/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 951835 | &nbsp;&nbsp;&nbsp;&nbsp; 123591 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-4 Class AX4, 0.55% due 11/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2196807 | &nbsp;&nbsp;&nbsp;&nbsp; 44547 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-4 Class B4, 3.653% due 11/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1316996 | &nbsp;&nbsp;&nbsp;&nbsp; 987116 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-4 Class B5, 3.653% due 11/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 607334 | &nbsp;&nbsp;&nbsp;&nbsp; 416524 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-4 Class B6, 3.54% due 11/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1069000 | &nbsp;&nbsp;&nbsp;&nbsp; 377197 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-7 Class B4, 3.521% due 1/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 624900 | &nbsp;&nbsp;&nbsp;&nbsp; 481176 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-7 Class B5, 3.521% due 1/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 435911 | &nbsp;&nbsp;&nbsp;&nbsp; 231669 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-7 Class B6, 3.521% due 1/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 588631 | &nbsp;&nbsp;&nbsp;&nbsp; 180919 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-LTV1 Class B3A, 3.763% due 6/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2758103 | &nbsp;&nbsp;&nbsp;&nbsp; 2199543 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-11 Class B5, 3.028% due 1/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2369572 | &nbsp;&nbsp;&nbsp;&nbsp; 1241015 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-11 Class B6, 2.887% due 1/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2763367 | &nbsp;&nbsp;&nbsp;&nbsp; 989270 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-LTV2 ClassA1, 2.52% due 5/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 14712371 | &nbsp;&nbsp;&nbsp;&nbsp; 11588816 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-2 Class B4, 3.131% due 8/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3308531 | &nbsp;&nbsp;&nbsp;&nbsp; 1987945 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-2 Class B5, 3.131% due 8/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1759773 | &nbsp;&nbsp;&nbsp;&nbsp; 856683 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-2 Class B6, 2.967% due 8/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1841056 | &nbsp;&nbsp;&nbsp;&nbsp; 425582 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-3 Class B4, 3.116% due 8/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2714914 | &nbsp;&nbsp;&nbsp;&nbsp; 1633681 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-3 Class B5, 3.116% due 8/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1727315 | &nbsp;&nbsp;&nbsp;&nbsp; 618427 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-3 Class B6, 2.533% due 8/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1491211 | &nbsp;&nbsp;&nbsp;&nbsp; 343394 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-DSC1 Class A1, 4.75% due 1/25/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 9548271 | &nbsp;&nbsp;&nbsp;&nbsp; 9042808 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;JPMorgan Wealth Management, Whole Loan Securities Trust CMO, Series 2021-CL1 Class M1, 5.228% (SOFR30A + 1.30%) due 3/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 4548069 | &nbsp;&nbsp;&nbsp;&nbsp; 4094295 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;Legacy Mortgage Asset Trust, Whole Loan Securities Trust CMO, Series 2019-GS7 Class A1, 6.25% due 11/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 2240910 | &nbsp;&nbsp;&nbsp;&nbsp; 2236918 |
|  | &nbsp;&nbsp;&nbsp;Mello Mortgage Capital Acceptance, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV2 Class AX1, 0.126% due 8/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 106103361 | &nbsp;&nbsp;&nbsp;&nbsp; 507036 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV2 Class AX4, 0.70% due 8/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 7270012 | &nbsp;&nbsp;&nbsp;&nbsp; 245425 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV2 Class B5, 3.326% due 8/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 321228 | &nbsp;&nbsp;&nbsp;&nbsp; 185107 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV2 Class B6, 3.17% due 8/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1543915 | &nbsp;&nbsp;&nbsp;&nbsp; 612352 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV3 Class AX1, 0.169% due 10/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 127374755 | &nbsp;&nbsp;&nbsp;&nbsp; 853780 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV3 Class AX4, 0.55% due 10/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 10360816 | &nbsp;&nbsp;&nbsp;&nbsp; 315204 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV3 Class B5, 3.219% due 10/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 445142 | &nbsp;&nbsp;&nbsp;&nbsp; 254129 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV3 Class B6, 3.164% due 10/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1947683 | &nbsp;&nbsp;&nbsp;&nbsp; 786832 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Merrill Lynch Mortgage Investors Trust, Whole Loan Securities Trust CMO, Series 2004-A4 Class M1, 3.516% due 8/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 57542 | &nbsp;&nbsp;&nbsp;&nbsp; 50961 |
| **<sup>d,e</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; 526296 | &nbsp;&nbsp;&nbsp;&nbsp; 509724 |
|  | &nbsp;&nbsp;&nbsp;MFA Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-NQM3 Class M1, 2.654% due 1/26/2065 | &nbsp;&nbsp;&nbsp;&nbsp; 800000 | &nbsp;&nbsp;&nbsp;&nbsp; 617172 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV1 Class A1, 0.852% due 1/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 5792861 | &nbsp;&nbsp;&nbsp;&nbsp; 5084686 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV2 Class A1, 1.906% due 11/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 9947950 | &nbsp;&nbsp;&nbsp;&nbsp; 8120684 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-INV1 Class A3, 4.25% due 4/25/2066 | &nbsp;&nbsp;&nbsp;&nbsp; 4950000 | &nbsp;&nbsp;&nbsp;&nbsp; 4018461 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-NQM3 Class A1, 5.57% due 9/25/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 9829939 | &nbsp;&nbsp;&nbsp;&nbsp; 9641556 |
| **<sup>d,e</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; 9058617 | &nbsp;&nbsp;&nbsp;&nbsp; 8518811 |
|  | &nbsp;&nbsp;&nbsp;New Residential Mortgage Loan Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-3A Class A1, 4.00% due 4/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 1005578 | &nbsp;&nbsp;&nbsp;&nbsp; 948972 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-4A Class A1, 4.00% due 5/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 820198 | &nbsp;&nbsp;&nbsp;&nbsp; 762229 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-5A Class A1, 5.889% (LIBOR 1 Month + 1.50%) due 6/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 498637 | &nbsp;&nbsp;&nbsp;&nbsp; 487581 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-6A Class A1, 4.00% due 8/27/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 451179 | &nbsp;&nbsp;&nbsp;&nbsp; 421555 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-1A Class A1A, 4.00% due 12/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 835769 | &nbsp;&nbsp;&nbsp;&nbsp; 783784 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV1 Class AX1, 0.755% due 6/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 107295634 | &nbsp;&nbsp;&nbsp;&nbsp; 4344733 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV1 Class B5, 3.255% due 6/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1211683 | &nbsp;&nbsp;&nbsp;&nbsp; 708293 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV1 Class B6, 0.287% due 6/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2131348 | &nbsp;&nbsp;&nbsp;&nbsp; 947040 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-NQM3 Class A1, 3.90% due 4/25/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 19817855 | &nbsp;&nbsp;&nbsp;&nbsp; 18098916 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;OBX Trust, Whole Loan Securities Trust CMO, Series 2021-NQM2 Class A1, 1.101% due 5/25/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 6453011 | &nbsp;&nbsp;&nbsp;&nbsp; 4853845 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;Onslow Bay Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2021-NQM4 Class A1, 1.957% due 10/25/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 17131105 | &nbsp;&nbsp;&nbsp;&nbsp; 13606904 |
|  | &nbsp;&nbsp;&nbsp;PRKCM Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-AFC1 Class A1, 1.51% due 8/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 4940537 | &nbsp;&nbsp;&nbsp;&nbsp; 3896660 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-AFC1 Class B2, 3.95% due 8/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 2729000 | &nbsp;&nbsp;&nbsp;&nbsp; 1496378 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;PRPM LLC, Whole Loan Securities Trust CMO, Series 2022-NQM1 Class A1, 5.50% due 8/25/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 9897500 | &nbsp;&nbsp;&nbsp;&nbsp; 9605236 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;PRPM Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-INV1 Class A1, 4.40% due 4/25/2067 | &nbsp;&nbsp;$29136337 | &nbsp;&nbsp;$27590715 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-INV1 Class A3, 4.449% due 4/25/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 9789006 | &nbsp;&nbsp;&nbsp;&nbsp; 9038054 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;Rate Mortgage Trust, Whole Loan Securities Trust CMO, Series 2022-J1 Class A9, 2.50% due 1/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 13697143 | &nbsp;&nbsp;&nbsp;&nbsp; 11727220 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;Saluda Grade Alternative Mortgage Trust, Whole Loan Securities Trust CMO, Series 2020-FIG1 Class C, due 9/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5736248 | &nbsp;&nbsp;&nbsp;&nbsp; 679395 |
|  | &nbsp;&nbsp;&nbsp;Sequoia Mortgage Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2015-4 Class B4, 3.136% due 11/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1686000 | &nbsp;&nbsp;&nbsp;&nbsp; 1449904 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2016-3 Class B3, 3.615% due 11/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 2761330 | &nbsp;&nbsp;&nbsp;&nbsp; 2107518 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-7 Class B3, 3.727% due 10/25/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1372534 | &nbsp;&nbsp;&nbsp;&nbsp; 1147489 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-7 Class B4, 4.254% due 9/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1802000 | &nbsp;&nbsp;&nbsp;&nbsp; 1290708 |
|  | &nbsp;&nbsp;&nbsp;SG Residential Mortgage Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-3 Class A1, 2.703% due 9/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 168828 | &nbsp;&nbsp;&nbsp;&nbsp; 163940 |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-3 Class AIOS, 0.375% due 9/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 15136756 | &nbsp;&nbsp;&nbsp;&nbsp; 68279 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-3 Class B2, 5.663% due 9/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 1978000 | &nbsp;&nbsp;&nbsp;&nbsp; 1530837 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-3 Class B3, 5.936% due 9/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 842000 | &nbsp;&nbsp;&nbsp;&nbsp; 586612 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-3 Class XS1, due 9/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 14988558 | &nbsp;&nbsp;&nbsp;&nbsp; 528 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-3 Class XS2, due 9/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 14988558 | &nbsp;&nbsp;&nbsp;&nbsp; 550737 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2 Class A3, 1.895% due 5/25/2065 | &nbsp;&nbsp;&nbsp;&nbsp; 1337815 | &nbsp;&nbsp;&nbsp;&nbsp; 1099227 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-2 Class A1, 1.737% due 12/25/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 6929955 | &nbsp;&nbsp;&nbsp;&nbsp; 5541583 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1 Class B2, 3.985% due 3/27/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 4204000 | &nbsp;&nbsp;&nbsp;&nbsp; 2659782 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;Shellpoint Co-Originator Trust, Whole Loan Securities Trust CMO, Series 2016-1 Class B4, 3.556% due 11/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 2803487 | &nbsp;&nbsp;&nbsp;&nbsp; 2127491 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;Spruce Hill Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2020-SH1 Class A1, 2.521% due 1/28/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 224178 | &nbsp;&nbsp;&nbsp;&nbsp; 221369 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;Starwood Mortgage Residential Trust, Whole Loan Securities Trust CMO, Series 2021-5 Class A1, 1.92% due 9/25/2066 | &nbsp;&nbsp;&nbsp;&nbsp; 17261977 | &nbsp;&nbsp;&nbsp;&nbsp; 13901636 |
|  | &nbsp;&nbsp;&nbsp;TIAA Bank Mortgage Loan Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-2 Class B3, 3.693% due 7/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2572940 | &nbsp;&nbsp;&nbsp;&nbsp; 2159209 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-2 Class B4, 3.693% due 7/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2040000 | &nbsp;&nbsp;&nbsp;&nbsp; 1218877 |
|  | &nbsp;&nbsp;&nbsp;Towd Point Mortgage Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2017-1 Class A1, 2.75% due 10/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 285682 | &nbsp;&nbsp;&nbsp;&nbsp; 280877 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-2 Class A1, 3.25% due 3/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 1945557 | &nbsp;&nbsp;&nbsp;&nbsp; 1861958 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-3 Class A1, 3.75% due 5/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 2462387 | &nbsp;&nbsp;&nbsp;&nbsp; 2327910 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;TRK Trust, Whole Loan Securities Trust CMO, Series 2022-INV2 Class A1, 4.35% due 6/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 12279307 | &nbsp;&nbsp;&nbsp;&nbsp; 11499045 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;Vista Point Securitization Trust, Whole Loan Securities Trust CMO, Series 2020-2 Class A2, 1.986% due 4/25/2065 | &nbsp;&nbsp;&nbsp;&nbsp; 1339517 | &nbsp;&nbsp;&nbsp;&nbsp; 1116031 |
|  | &nbsp;&nbsp;&nbsp;Wells Fargo Commercial Mortgage Trust, CMBS, Series 2016-C34 Class A2, 2.603% due 6/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1257056 | &nbsp;&nbsp;&nbsp;&nbsp; 1231317 |
|  | &nbsp;&nbsp;&nbsp;Wells Fargo Mortgage Backed Securities Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,e,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV1 Class AIO2, 0.50% due 8/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 96186367 | &nbsp;&nbsp;&nbsp;&nbsp; 2416461 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV1 Class B4, 3.317% due 8/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1676245 | &nbsp;&nbsp;&nbsp;&nbsp; 1078551 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV1 Class B5, 3.317% due 8/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1345099 | &nbsp;&nbsp;&nbsp;&nbsp; 771254 |
| **<sup>d,e</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV1 Class B6, 3.317% due 8/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1040543 | &nbsp;&nbsp;&nbsp;&nbsp; 360448 |
|  | &nbsp;&nbsp;&nbsp;Total Mortgage Backed (Cost $819,863,439) |  | &nbsp;&nbsp;&nbsp;&nbsp; 748546548 |
|  | **Loan Participations — 1.1%** |  |  |
|  | &nbsp;&nbsp;**Commercial & Professional Services — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Professional Services — 0.1%** |  |  |
| **<sup>j</sup>** | &nbsp;&nbsp;&nbsp;Par Pacific Holdings, Inc., 10.58% (LIBOR 3 Month + 6.75%) due 1/12/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3994968 | &nbsp;&nbsp;&nbsp;&nbsp; 3921740 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 3921740 |
|  | &nbsp;&nbsp;**Consumer Services — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Hotels, Restaurants & Leisure — 0.1%** |  |  |
| **<sup>j</sup>** | &nbsp;&nbsp;&nbsp;TKC Holdings, Inc., 9.89% (LIBOR 1 Month + 5.50%) due 5/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4591363 | &nbsp;&nbsp;&nbsp;&nbsp; 3816570 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 3816570 |
|  | &nbsp;&nbsp;**Household & Personal Products — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Household Products — 0.1%** |  |  |
| **<sup>j</sup>** | &nbsp;&nbsp;&nbsp;Energizer Holdings, Inc., 6.625% (LIBOR 1 Month + 2.25%) due 12/22/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5414183 | &nbsp;&nbsp;&nbsp;&nbsp; 5299132 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 5299132 |
|  | &nbsp;&nbsp;**Media & Entertainment — 0.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Media — 0.3%** |  |  |
| **<sup>j</sup>** | &nbsp;&nbsp;&nbsp;ABG Intermediate Holdings 2 LLC, 7.923% (SOFR + 3.50%) due 12/21/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 9263450 | &nbsp;&nbsp;&nbsp;&nbsp; 8950808 |
| **<sup>j</sup>** | &nbsp;&nbsp;&nbsp;DirecTV Financing LLC, 9.384% (LIBOR 1 Month + 5.00%) due 8/2/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 9230000 | &nbsp;&nbsp;&nbsp;&nbsp; 8966576 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 17917384 |
|  | &nbsp;&nbsp;**Semiconductors & Semiconductor Equipment — 0.2%** |  |  |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;**Information Technology Services — 0.2%** |  |  |
| **<sup>j</sup>** | &nbsp;&nbsp;&nbsp;Xperi Corporation, 7.884% (LIBOR 1 Month + 3.50%) due 6/8/2028 | &nbsp;&nbsp;$11118958 | &nbsp;&nbsp;$10701997 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 10701997 |
|  | &nbsp;&nbsp;**Software & Services — 0.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Information Technology Services — 0.1%** |  |  |
| **<sup>j</sup>** | &nbsp;&nbsp;&nbsp;Vericast Corp., 12.48% (LIBOR 3 Month + 7.75%) due 6/16/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3822885 | &nbsp;&nbsp;&nbsp;&nbsp; 2948400 |
|  | &nbsp;&nbsp;&nbsp;**Internet Software & Services — 0.1%** |  |  |
| **<sup>j</sup>** | &nbsp;&nbsp;&nbsp;Titan AcquisitionCo New Zealand Ltd., 8.73% (LIBOR 3 Month + 4.00%) due 10/18/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7404050 | &nbsp;&nbsp;&nbsp;&nbsp; 7064723 |
|  | &nbsp;&nbsp;&nbsp;**Software — 0.1%** |  |  |
| **<sup>j</sup>** | &nbsp;&nbsp;&nbsp;GoTo Group, Inc., 9.139% (LIBOR 1 Month + 4.75%) due 8/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6692488 | &nbsp;&nbsp;&nbsp;&nbsp; 4278173 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 14291296 |
|  | &nbsp;&nbsp;&nbsp;Total Loan Participations (Cost $59,067,599) |  | &nbsp;&nbsp;&nbsp;&nbsp; 55948119 |
|  | **Short-Term Investments — 12.8%** |  |  |
|  | **Mutual Fund — 10.9%** |  |  |
| **<sup>k</sup>** | &nbsp;&nbsp;&nbsp;Thornburg Capital Management Fund | &nbsp;&nbsp;&nbsp;&nbsp; 58198298 | &nbsp;&nbsp;&nbsp;&nbsp; 581982981 |
|  | &nbsp;&nbsp;&nbsp;Total Mutual Fund (Cost $581,982,981) |  | &nbsp;&nbsp;&nbsp;&nbsp; 581982981 |
|  | **Commercial Paper — 1.9%** |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Black Hills Corp., 5.049% due 2/9/2023 | &nbsp;&nbsp;$15000000 | &nbsp;&nbsp;&nbsp;&nbsp; 14919562 |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;Electricite de France SA, 5.062% due 1/30/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 30000000 | &nbsp;&nbsp;&nbsp;&nbsp; 29879892 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Marriott International, Inc., 4.837% due 1/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 17500000 | &nbsp;&nbsp;&nbsp;&nbsp; 17444583 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Newell Brands, Inc., 5.50% due 1/23/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 15000000 | &nbsp;&nbsp;&nbsp;&nbsp; 14950317 |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Walgreens Boots Alliance, Inc., 5.138% due 2/13/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 26000000 | &nbsp;&nbsp;&nbsp;&nbsp; 25843791 |
|  | &nbsp;&nbsp;&nbsp;Total Commercial Paper (Cost $103,038,145) |  | &nbsp;&nbsp;&nbsp;&nbsp; 103038145 |
|  | &nbsp;&nbsp;&nbsp;Total Short-Term Investments (Cost $685,021,126) |  | &nbsp;&nbsp;&nbsp;&nbsp; 685021126 |
|  | **Total Investments — 101.4% (Cost $5,778,311,678)** |  | &nbsp;&nbsp;$5411594700 |
|  | **Liabilities Net of Other Assets — (1.4)%** |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(73975313) |
|  | **Net Assets — 100.0%** |  | &nbsp;&nbsp;$5337619387 |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Outstanding Forward Currency Contracts To Buy Or Sell At December 31, 2022** | **Outstanding Forward Currency Contracts To Buy Or Sell At December 31, 2022** | **Outstanding Forward Currency Contracts To Buy Or Sell At December 31, 2022** | **Outstanding Forward Currency Contracts To Buy Or Sell At December 31, 2022** | **Outstanding Forward Currency Contracts To Buy Or Sell At December 31, 2022** | **Outstanding Forward Currency Contracts To Buy Or Sell At December 31, 2022** | **Outstanding Forward Currency Contracts To Buy Or Sell At December 31, 2022** | **Outstanding Forward Currency Contracts To Buy Or Sell At December 31, 2022** |
| **Contract<br> Description** | **Contract<br> Party\*** | &nbsp;&nbsp;**Buy/Sell** | &nbsp;&nbsp;**Contract<br> Amount** | &nbsp;&nbsp;**Contract<br> Value Date** | &nbsp;&nbsp;**Value<br> USD** | &nbsp;&nbsp;**Unrealized<br> Appreciation** | &nbsp;&nbsp;**Unrealized<br> Depreciation** |
| Euro | SSB | &nbsp;&nbsp;Sell | &nbsp;&nbsp;38697600 | &nbsp;&nbsp;3/23/2023 | &nbsp;&nbsp;41646693 | &nbsp;&nbsp;$— | &nbsp;&nbsp;$(2881450) |
| Euro | SSB | &nbsp;&nbsp;Sell | &nbsp;&nbsp;7738400 | &nbsp;&nbsp;3/23/2023 | &nbsp;&nbsp;8328133 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (796117) |
| Euro | SSB | &nbsp;&nbsp;Sell | &nbsp;&nbsp;3609200 | &nbsp;&nbsp;3/23/2023 | &nbsp;&nbsp;3884252 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (305012) |
| Euro | SSB | &nbsp;&nbsp;Sell | &nbsp;&nbsp;6282800 | &nbsp;&nbsp;3/23/2023 | &nbsp;&nbsp;6761604 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (535977) |
| Euro | SSB | &nbsp;&nbsp;Sell | &nbsp;&nbsp;5957600 | &nbsp;&nbsp;3/23/2023 | &nbsp;&nbsp;6411621 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (381231) |
| Euro | SSB | &nbsp;&nbsp;Sell | &nbsp;&nbsp;1662300 | &nbsp;&nbsp;3/23/2023 | &nbsp;&nbsp;1788982 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (82727) |
| Total |  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;$(4982514) |
| Net unrealized appreciation (depreciation) |  |  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;$(4982514) |

---

\* Counterparty includes State Street Bank and Trust Company ("SSB").

---

| | |
|:---|:---|
| **Footnote Legend** | **Footnote Legend** |
| a | Security currently fair valued by the Valuation and Pricing Committee using procedures approved by the Trustees' Audit Committee. |
| b | Non-income producing. |
| c | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
| d | 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. |
| e | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities are restricted but liquid and may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of December 31, 2022, the aggregate value of these securities in the Fund's portfolio was $3,048,560,897, representing 57.11% of the Fund's net assets. |
| f | Yankee bond denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations. |
| g | Interest only. |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | |
|:---|:---|
| h | Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at December 31, 2022. |
| i | Bond in default. |
| j | The stated coupon rate represents the greater of the LIBOR or the LIBOR floor rate plus a spread at December 31, 2022. |
| k | Investment in Affiliates. |

---

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

---

| | |
|:---|:---|
| ARM | Adjustable Rate Mortgage |
| BSBY3M | Bloomberg Short Term Bank Yield 3 Month |
| CMBS | Commercial Mortgage-Backed Securities |
| CMO | Collateralized Mortgage Obligation |
| CMT | Constant Maturity Rate |
| DAC | Designated Activity Company |
| EUR | Denominated in Euro |
| FCB | Farm Credit Bank |
| GO | General Obligation |
| H15T1Y | US Treasury Yield Curve Rate T-Note Constant Maturity 1 Year |
| IDR | Denominated in Indonesian Rupiah |

---

---

| | |
|:---|:---|
| LIBOR | London Interbank Offered Rates |
| Mtg | Mortgage |
| PIK | Payment-in-kind |
| REMIC | Real Estate Mortgage Investment Conduit |
| SOFR | Secured Overnight Financing Rate |
| SOFR30A | Secured Overnight Financing Rate 30-Day Average |
| SOFRINDX | Secured Overnight Financing Rate Index |
| SPV | Special Purpose Vehicle |
| TSFR3M | Term SOFR 3 Month |
| UMBS | Uniform Mortgage Backed Securities |
| USD | Unified School District |

---

------

NOTES TO SCHEDULE OF INVESTMENTS

---

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

---

------

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

#### NOTE 2 – SECURITY VALUATION
Valuation of the Fund's portfolio investment securities is performed by Thornburg Investment Management, Inc., the Trust's investment advisor (the "Advisor"), which has been designated by the Trustees of the Trust as the Fund's "valuation designee," as that term is defined in rule 2a-5 under the 1940 Act. The Advisor performs this valuation function in accordance with policies and procedures that have been adopted by the Advisor and approved by the Trustees of the Trust (the "Valuation Policy and Procedures").

In its capacity as the Fund's valuation designee, the Advisor makes good faith determinations of the fair value of portfolio securities for which market quotations are not readily available, and otherwise complies with and administers the Valuation Policy and Procedures. The Advisor performs those functions in significant measure through its Valuation and Pricing Committee (the "Committee"), though the Advisor may also obtain the assistance of others, including professional pricing service providers selected and approved by the Committee. In accordance with the Valuation Policy and Procedures, the Committee: assesses and manages the material risks associated with determining the fair value of those Fund investments for which market quotations are not readily available; selects and applies methodologies for determining and calculating such fair values; periodically reviews and tests the appropriateness and accuracy of those methodologies; monitors for circumstances that may necessitate the use of fair value; and approves, monitors, and evaluates pricing services engaged to provide evaluated prices for the Fund's investments. The Committee provides reports on its activities to the Trustees' Audit Committee, which is responsible for overseeing the Committee's and the Advisor's work in discharging the functions under the Valuation Policy and Procedures.

In those instances when the Committee assists in calculating a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods selected by the Committee. Because fair values calculated by the Committee are estimates, the calculation of a fair value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund's financial statements. The Committee's calculation of a fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.

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

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

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

------

NOTES TO SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

Forward currency contracts are valued by a third-party pricing service provider.

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.

If the market quotation for an investment is expressed in a foreign currency, that market quotation will be converted to U.S. dollars using a foreign exchange quotation from a third-party service at the time of valuation. Foreign investments held by the Fund may be traded on days and at times when the Fund is not open for business. Consequently, the value of Fund's investments may be significantly affected on days when shareholders cannot purchase or sell Fund's shares.

#### 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 | $465780083 | &nbsp;&nbsp;$729362397 | &nbsp;&nbsp;$(613159499) | &nbsp;&nbsp;$- | &nbsp;&nbsp;$- | &nbsp;&nbsp;$581982981 | &nbsp;&nbsp;$4522727 |

---

## 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 Strategic Income Fund

- **b. EDGAR series identifier (if any):** S000020097

- **c. LEI of Series:** 549300DQDM30USQXD355

**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:** $5393636297.51

**Total Liabilities:** $81008468.30

**Net Assets:** $5312627829.21

**Cash Not Reported:** $3015305.41

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -8130.85000000 | **1-Year:** -142889.17000000 | **5-Year:** -384462.36000000 | **10-Year:** -319891.19000000 | **30-Year:** -55466.29000000

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

- **3-Month:** -10560.02000000 | **1-Year:** -151155.19000000 | **5-Year:** -349793.39000000 | **10-Year:** -201250.81000000 | **30-Year:** -62485.62000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000113851 | -0.02%               | 1.90%                | 0.19%                |
| Class ID C000056390 | -0.12%               | 1.81%                | 0.10%                |
| Class ID C000136850 | -0.08%               | 1.84%                | 0.14%                |
| Class ID C000056391 | -0.02%               | 1.90%                | 0.19%                |
| Class ID C000056389 | -0.15%               | 1.86%                | 0.16%                |
| Class ID C000113850 | -0.17%               | 1.85%                | 0.14%                |
| Class ID C000177481 | -0.02%               | 1.90%                | 0.20%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-6231332.14             | $-11956287.89                              |
| Month 2  | $-5743064.22             | $84165617.63                               |
| Month 3  | $-1777795.30             | $-7490486.79                               |

### Schedule of Portfolio Investments

| Name                                              | Title                                                                         | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |     Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Micron Technology Inc                             | Micron Technology Inc                                                         | CUSIP: 595112BN2<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     2031000 | PA      | $1949130.39   | 0.04%             | 2029-02-06      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                              | CUSIP: 91282CCN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    25000000 | PA      | $24342773.50  | 0.46%             | 2023-07-31      | Fixed         | 0.13%                 | No            |                  1 | On Loan: No      |
| Chase Mortgage Finance Corporation                | Chase Home Lending Mortgage Trust 2019-1                                      | CUSIP: 16159WBZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      726309 | PA      | $572101.48    | 0.01%             | 2050-03-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                           | Flagstar Mortgage Trust 2021-13INV                                            | CUSIP: 33853HBM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   178295161 | PA      | $1382803.78   | 0.03%             | 2051-12-30      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2020-J2                                                             | CUSIP: 12568PBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   110085957 | PA      | $1106804.21   | 0.02%             | 2051-01-25      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust           | United Auto Credit Securitization Trust 2022-1                                | CUSIP: 90944DAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       37000 | PA      | $8274630.95   | 0.16%             | 2028-11-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                            | NextEra Energy Capital Holdings Inc                                           | CUSIP: 65339KBU3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     6667000 | PA      | $6622397.77   | 0.12%             | 2023-03-01      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                          | Warnermedia Holdings Inc                                                      | CUSIP: 55903VAB9<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     4585000 | PA      | $4442819.15   | 0.08%             | 2024-03-15      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Upstart Structured Pass-Through Trust             | Upstart Structured Pass-Through Trust                                         | CUSIP: 91680YAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    11027634 | PA      | $10449863.48  | 0.20%             | 2030-04-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                  | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     4861000 | PA      | $3508378.14   | 0.07%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| SKYWORKS SOLUTIONS INC                            | Skyworks Solutions Inc                                                        | CUSIP: 83088MAK8<br>LEI: 549300WZ3ORQ2BVKBD96 | Long             | DBT              | CORP              | US        |     1160000 | PA      | $1021124.80   | 0.02%             | 2026-06-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| DELEK LOG PART/FINANCE                            | Delek Logistics Partners LP / Delek Logistics Finance Corp                    | CUSIP: 24665FAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    10848000 | PA      | $10495114.56  | 0.20%             | 2025-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                   | SBA Tower Trust                                                               | CUSIP: 78403DAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4607000 | PA      | $4401942.43   | 0.08%             | 2049-10-15      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2018-INV1                                                           | CUSIP: 12553XAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      186796 | PA      | $170253.73    | 0.00%             | 2048-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                               | SG Residential Mortgage Trust 2019-3                                          | CUSIP: 78432BAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      842000 | PA      | $586611.72    | 0.01%             | 2059-09-25      | Variable      | 5.94%                 | 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        |    14000000 | PA      | $13310110.80  | 0.25%             | 2039-07-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                       | PRKCM 2021-AFC1 Trust                                                         | CUSIP: 69357TAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2729000 | PA      | $1496377.56   | 0.03%             | 2056-08-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2022-INV1                                       | CUSIP: 17290FBU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   214249291 | PA      | $2838203.21   | 0.05%             | 2051-11-27      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| SPECTRUM BRANDS INC                               | Spectrum Brands Inc                                                           | CUSIP: 84762LAX3<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |     9098000 | PA      | $7112998.36   | 0.13%             | 2031-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA Inc                                  | T-Mobile USA Inc                                                              | CUSIP: 87264AAT2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     2965000 | PA      | $2989194.40   | 0.06%             | 2027-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| National Collegiate Student Loan Trust            | National Collegiate Student Loan Trust 2004-2                                 | CUSIP: 63543PBA3<br>LEI: 635400SHIZZEXQWXY390 | Long             | ABS-O            | CORP              | US        |    16467712 | PA      | $15696367.81  | 0.30%             | 2033-12-26      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| MERCADOLIBRE INC                                  | MercadoLibre Inc                                                              | CUSIP: 58733RAE2<br>LEI: 549300DKPDN9M5S8GB14 | Long             | DBT              | CORP              | US        |     9465000 | PA      | $8490672.90   | 0.16%             | 2026-01-14      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING                                | RGA Global Funding                                                            | CUSIP: 76209PAB9<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |     4687000 | PA      | $3969654.65   | 0.07%             | 2029-01-18      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| COLORADO INT GAS CO/ISS                           | Colorado Interstate Gas Co LLC / Colorado Interstate Issuing Corp             | CUSIP: 196500AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      725000 | PA      | $692911.50    | 0.01%             | 2026-08-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE                            | Tennessee Gas Pipeline Co LLC                                                 | CUSIP: 880451AS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2251000 | PA      | $2383291.27   | 0.04%             | 2027-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Transelec SA                                      | Transelec SA                                                                  | CUSIP: 89366LAA2<br>LEI: 549300DPF7MAL5F6CR86 | Long             | DBT              | CORP              | CL        |     2409000 | PA      | $2399532.63   | 0.05%             | 2023-07-26      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2014-A                                          | CUSIP: 17322GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      430305 | PA      | $399359.13    | 0.01%             | 2035-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PARKLAND CORP                                     | Parkland Corp/Alberta                                                         | CUSIP: 70137TAP0<br>LEI: 549300XHQS1JYWBNK868 | Long             | DBT              | CORP              | CA        |     3726000 | PA      | $3530496.78   | 0.07%             | 2027-07-15      | Fixed         | 5.88%                 | 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        |     5281278 | PA      | $4997734.19   | 0.09%             | 2032-05-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| QORVO INC                                         | Qorvo Inc                                                                     | CUSIP: 74736KAJ0<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |    12907000 | PA      | $10468867.70  | 0.20%             | 2031-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY LP                                 | Vornado Realty LP                                                             | CUSIP: 929043AL1<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              |  | US        |      957000 | PA      | $710094.00    | 0.01%             | 2031-06-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                | Chase Mortgage Finance Corp                                                   | CUSIP: 16164AAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2637144 | PA      | $2291685.10   | 0.04%             | 2045-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| RADIUS GBL INFASTRUCTURE                          | Radius Global Infrastructure Inc                                              | CUSIP: 750481AA1<br>LEI: 213800NT341MQ5USBX63 | Long             | DBT              | CORP              | US        |    11200000 | PA      | $9876720.00   | 0.19%             | 2026-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                | Aqua Finance Trust 2021-A                                                     | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6724083 | PA      | $6038410.15   | 0.11%             | 2046-07-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                          | Service Properties Trust                                                      | CUSIP: 44106MAW2<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |     2850000 | PA      | $2246341.50   | 0.04%             | 2027-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| EBAY INC                                          | eBay Inc                                                                      | CUSIP: 278642BC6<br>LEI: OML71K8X303XQONU6T67 | Long             | DBT              | CORP              | US        |    14755000 | PA      | $15088758.10  | 0.28%             | 2025-11-22      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                      | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-796116.38   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2022-1                                               | CUSIP: 03464BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4575000 | PA      | $2615127.83   | 0.05%             | 2066-12-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                           | Southern Co Gas Capital Corp                                                  | CUSIP: 8426EPAF5<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     6950000 | PA      | $6827610.50   | 0.13%             | 2032-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                  | Crown Castle Inc                                                              | CUSIP: 22822VAV3<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |     2636000 | PA      | $2281431.64   | 0.04%             | 2026-07-15      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                 | Hyatt Hotels Corp                                                             | CUSIP: 448579AN2<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |     6520000 | PA      | $6109109.60   | 0.11%             | 2024-10-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                           | American Electric Power Co Inc                                                | CUSIP: 025537AK7<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |     3302000 | PA      | $3179099.56   | 0.06%             | 2024-03-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| Credit Suisse ABS Trust                           | Credit Suisse ABS Trust 2020-AT1                                              | CUSIP: 22551XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       10000 | PA      | $173597.00    | 0.00%             | 2026-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                           | GA Global Funding Trust                                                       | CUSIP: 36143L2J3<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |     5860000 | PA      | $5616282.60   | 0.11%             | 2025-04-11      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust               | Starwood Mortgage Residential Trust 2021-5                                    | CUSIP: 85573QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17261977 | PA      | $13901636.53  | 0.26%             | 2066-09-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                           | Flagstar Mortgage Trust 2019-2                                                | CUSIP: 33852BAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3644854 | PA      | $3018151.24   | 0.06%             | 2049-12-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust         | Santander Consumer Auto Receivables Trust 2020-A                              | CUSIP: 80281MAN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       25000 | PA      | $3477472.23   | 0.07%             | 2029-01-16      | None          | 0.00%                 | 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        |      432724 | PA      | $427278.08    | 0.01%             | 2025-11-17      | Fixed         | 1.37%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Program LLC              | SoFi Professional Loan Program 2021-B Trust                                   | CUSIP: 83405N106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       90000 | PA      | $4173278.04   | 0.08%             | 2047-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                      | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-535977.37   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2021-INV1                                 | CUSIP: 64829WAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   107295634 | PA      | $4344732.85   | 0.08%             | 2051-06-25      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                          | Celanese US Holdings LLC                                                      | CUSIP: 15089QAL8<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     9084000 | PA      | $9058201.44   | 0.17%             | 2025-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE ENERGY CORP                            | Chesapeake Energy Corp                                                        | CUSIP: 165167DF1<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     8950000 | PA      | $8638987.50   | 0.16%             | 2026-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VONTIER CORP                                      | Vontier Corp                                                                  | CUSIP: 928881AD3<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |     5241000 | PA      | $4137297.81   | 0.08%             | 2028-04-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| ATLAS US ROYALTY PARTICIPATION                    | ATLAS US ROYALTY PARTICIPATION                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     5450000 | PA      | $545.00       | 0.00%             | 2027-03-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| First Investors Auto Owner Trust                  | First Investors Auto Owner Trust 2019-1                                       | CUSIP: 32059TAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3640000 | PA      | $3626404.85   | 0.07%             | 2025-06-16      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEXAS INC                                 | Entergy Texas Inc                                                             | CUSIP: 29365TAL8<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |     5866000 | PA      | $5113861.48   | 0.10%             | 2026-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2017-4                                    | CUSIP: 64829NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      820198 | PA      | $762228.54    | 0.01%             | 2057-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| COGENT COMMUNICATIONS GR                          | Cogent Communications Group Inc                                               | CUSIP: 19240CAE3<br>LEI: 549300KFWFYF8Q1U0Y26 | Long             | DBT              | CORP              | US        |     9967000 | PA      | $9631112.10   | 0.18%             | 2027-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Continental Credit Card llc                       | Continental Credit Card ABS 2019-1 LLC                                        | CUSIP: 21134LAC2<br>LEI: 5493002QR2K2E0R56Z02 | Long             | ABS-O            | CORP              | US        |     6440000 | PA      | $6223321.69   | 0.12%             | 2026-08-15      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CAPITAL CORP                             | Owl Rock Capital Corp                                                         | CUSIP: 69121KAG9<br>LEI: 2549000BD79OOCPF2L94 | Long             | DBT              | CORP              | US        |     7319000 | PA      | $5793866.78   | 0.11%             | 2028-06-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 31418EDD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    23606209 | PA      | $20719323.15  | 0.39%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PPL ELECTRIC UTI                                  | PPL Electric Utilities Corp                                                   | CUSIP: 69351UAY9<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |     3560000 | PA      | $3513791.20   | 0.07%             | 2024-06-24      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                          | Foundation Finance Trust 2021-2                                               | CUSIP: 35042PAA8<br>LEI: 54930021B3TF4B4HKE86 | Long             | ABS-O            | CORP              | US        |     2044825 | PA      | $1876166.06   | 0.04%             | 2042-01-15      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS/SAFEWAY                            | Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC         | CUSIP: 013092AB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    13948000 | PA      | $13269429.80  | 0.25%             | 2028-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                 | Imperial Fund Mortgage Trust 2021-NQM4                                        | CUSIP: 45276JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4591006 | PA      | $3788141.40   | 0.07%             | 2057-01-25      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| Crossroads Asset Trust                            | Crossroads Asset Trust 2022-A                                                 | CUSIP: 22767DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    11050000 | PA      | $11041272.27  | 0.21%             | 2031-04-21      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2020-J1                                                             | CUSIP: 12559YBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      171457 | PA      | $107860.55    | 0.00%             | 2050-07-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| RENESAS ELECTRONICS CORP                          | Renesas Electronics Corp                                                      | CUSIP: 75972BAA9<br>LEI: 5299000EPC47VJQOFB81 | Long             | DBT              | CORP              | JP        |     6990000 | PA      | $6401791.50   | 0.12%             | 2024-11-26      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                   | SBA Tower Trust                                                               | CUSIP: 78403DAZ3<br>LEI: N/A                  | Long             | DBT              |  | US        |    15000000 | PA      | $15023497.50  | 0.28%             | 2028-01-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust               | GS Mortgage-Backed Securities Trust 2020-INV1                                 | CUSIP: 36258KBN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1278369 | PA      | $954626.70    | 0.02%             | 2050-10-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| DIG INTL FIN/DIG INTL HL                          | Digicel International Finance Ltd/Digicel international Holdings Ltd          | CUSIP: 25381XAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     4366916 | PA      | $3762578.49   | 0.07%             | 2024-05-25      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                         | Ball Corp                                                                     | CUSIP: 058498AX4<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |     5414000 | PA      | $4346088.50   | 0.08%             | 2031-09-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| EDGEWELL PERSONAL CARE                            | Edgewell Personal Care Co                                                     | CUSIP: 28035QAA0<br>LEI: 549300CY8QZDL4Z3RU59 | Long             | DBT              | CORP              | US        |    10292000 | PA      | $9635267.48   | 0.18%             | 2028-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ABG Intermediate Holdings 2 LLC                   | ABG Intermediate Holdings 2 LLC 2021 Term Loan B1                             | CUSIP: 00076VAZ3<br>LEI: 54930020NXD0RJB64985 | Long             | LON              | CORP              | US        |     9263450 | PA      | $8950808.56   | 0.17%             | 2028-12-21      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                            | Marlette Funding Trust 2021-1                                                 | CUSIP: 57110N106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        9520 | PA      | $902497.69    | 0.02%             | 2031-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2022-NQM5 Trust                                                          | CUSIP: 12663DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4072327 | PA      | $3918210.75   | 0.07%             | 2067-05-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2020-J2                                                             | CUSIP: 12568PCK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      164000 | PA      | $61126.06     | 0.00%             | 2051-01-25      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                | Aqua Finance Trust 2020-A                                                     | CUSIP: 038413AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2550000 | PA      | $2133523.47   | 0.04%             | 2046-07-17      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| MALAMUTE ENERGY, INC.                             | MALAMUTE ENERGY, INC.                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |         847 | NS      | $847.00       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| SG Capital Partners                               | SG Residential Mortgage Trust 2020-2                                          | CUSIP: 81882JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1337815 | PA      | $1099227.33   | 0.02%             | 2065-05-25      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| RETAIL OPPORTUNITY IN                             | Retail Opportunity Investments Partnership LP                                 | CUSIP: 76132FAA5<br>LEI: 549300KH0PNTJK9NTE57 | Long             | DBT              |  | US        |     1500000 | PA      | $1477545.00   | 0.03%             | 2023-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                               | Global Payments Inc                                                           | CUSIP: 37940XAF9<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     2230000 | PA      | $2074970.40   | 0.04%             | 2024-11-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| STONEX GROUP INC                                  | StoneX Group Inc                                                              | CUSIP: 46116VAE5<br>LEI: 549300JUF07L8VF02M60 | Long             | DBT              | CORP              | US        |    13286000 | PA      | $13406238.30  | 0.25%             | 2025-06-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| ENSTAR GROUP LTD                                  | Enstar Group Ltd                                                              | CUSIP: 29359UAC3<br>LEI: 213800AMAL5QFXVUCN04 | Long             | DBT              | CORP              | BM        |     7975000 | PA      | $5823185.50   | 0.11%             | 2031-09-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| DaVinciRe Holdings Ltd                            | DaVinciRe Holdings Ltd                                                        | CUSIP: 238791AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     4790000 | PA      | $4681937.60   | 0.09%             | 2025-05-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ADVANCE AUTO PARTS                                | Advance Auto Parts Inc                                                        | CUSIP: 00751YAF3<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |     1792000 | PA      | $1505423.36   | 0.03%             | 2027-10-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2020-J1                                                             | CUSIP: 12559YAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15647071 | PA      | $249321.99    | 0.00%             | 2050-07-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| FIRST AMERICAN FINANCIAL                          | First American Financial Corp                                                 | CUSIP: 31847RAG7<br>LEI: 549300B6VEZK3N0A1P55 | Long             | DBT              | CORP              | US        |     1843000 | PA      | $1555621.01   | 0.03%             | 2030-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New Jersey Transportation Trust Fund Authority    | NEW JERSEY ST TRANSPRTN TRUST FUND AUTH                                       | CUSIP: 6461366Q9<br>LEI: 549300YUVD5TEXR6L889 | Long             | DBT              | MUN               | US        |     1565000 | PA      | $1511062.28   | 0.03%             | 2024-06-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust               | Homeward Opportunities Fund I Trust 2020-2                                    | CUSIP: 43789XAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14305000 | PA      | $11935532.67  | 0.22%             | 2065-05-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust 2022-1                       | CHNGE Mortgage Trust 2022-1                                                   | CUSIP: 17030JAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4700000 | PA      | $3533201.97   | 0.07%             | 2067-01-25      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                             | Arroyo Mortgage Trust 2019-1                                                  | CUSIP: 042859AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      901422 | PA      | $829785.66    | 0.02%             | 2049-01-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Blackbird Capital Aircraft                        | Blackbird Capital Aircraft Lease Securitization Ltd 2016-1                    | CUSIP: 09228YAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     4476700 | PA      | $3662977.40   | 0.07%             | 2041-12-16      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS FINAN NA                           | Daimler Trucks Finance North America LLC                                      | CUSIP: 233853AE0<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |     4099000 | PA      | $4045999.93   | 0.08%             | 2024-12-13      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                   | CUSIP: 38141GZJ6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     2610000 | PA      | $2568709.80   | 0.05%             | 2025-01-24      | Floating      | 4.60%                 | 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        |     2307148 | PA      | $2290910.77   | 0.04%             | 2026-02-17      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| PRESTIGE BRANDS INC                               | Prestige Brands Inc                                                           | CUSIP: 74112BAM7<br>LEI: 549300JBVP4J6D42I235 | Long             | DBT              | CORP              | US        |     6386000 | PA      | $5282116.04   | 0.10%             | 2031-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                | Seasoned Loans Structured Transaction Trust Series 2020-2                     | CUSIP: 35564CGQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6819546 | PA      | $6112592.05   | 0.12%             | 2030-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                               | Dominion Energy Inc                                                           | CUSIP: 25746UDR7<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $4968000.00   | 0.09%             | 2032-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                              | CUSIP: 87264ABR5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     2232000 | PA      | $2032727.04   | 0.04%             | 2026-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust               | GS Mortgage-Backed Securities Trust 2020-INV1                                 | CUSIP: 36258KAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2364872 | PA      | $66138.39     | 0.00%             | 2050-10-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| BECLE SA DE CV                                    | Becle SAB de CV                                                               | CUSIP: 07586PAA9<br>LEI: 529900JY55CZKMJLCE09 | Long             | DBT              | CORP              | MX        |    10661000 | PA      | $8224748.28   | 0.15%             | 2031-10-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Trust                  | First Investors Auto Owner Trust 2022-1                                       | CUSIP: 32057KAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5000000 | PA      | $4560071.75   | 0.09%             | 2029-06-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                           | Dell International LLC / EMC Corp                                             | CUSIP: 24703TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5123000 | PA      | $5046872.22   | 0.09%             | 2026-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2017-5                                               | CUSIP: 46590YAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3020511 | PA      | $1941807.06   | 0.04%             | 2048-10-26      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| NUFARM AUSTRALIA/AMERICA                          | Nufarm Australia Ltd / Nufarm Americas Inc                                    | CUSIP: 67052NAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |    12383000 | PA      | $10826828.39  | 0.20%             | 2030-01-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2021-P4                                        | CUSIP: 14687KAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        8250 | PA      | $3758490.43   | 0.07%             | 2028-09-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KORN/FERRY INTERNATIONAL                          | Korn Ferry                                                                    | CUSIP: 50067PAA7<br>LEI: 549300FOD20OM0GT5G40 | Long             | DBT              | CORP              | US        |    15003000 | PA      | $13769153.28  | 0.26%             | 2027-12-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| TKC HOLDINGS INC                                  | TKC Holdings Inc                                                              | CUSIP: 87256YAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     8650000 | PA      | $6769230.50   | 0.13%             | 2028-05-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                 | Imperial Fund Mortgage Trust 2022-NQM4                                        | CUSIP: 45276NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4309980 | PA      | $4145645.50   | 0.08%             | 2067-06-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust               | GS Mortgage-Backed Securities Trust 2020-INV1                                 | CUSIP: 36258KBQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2952555 | PA      | $1532315.93   | 0.03%             | 2050-10-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| ACC Trust                                         | ACC Trust 2022-1                                                              | CUSIP: 00091HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1606432 | PA      | $1588139.63   | 0.03%             | 2024-09-20      | Fixed         | 1.19%                 | No            |                  2 | On Loan: No      |
| IAA Inc                                           | IAA Inc                                                                       | CUSIP: 449253AB9<br>LEI: 549300PZCOPC5178W747 | Long             | DBT              | CORP              | US        |    19559000 | PA      | $19008022.97  | 0.36%             | 2027-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2017-7                                                 | CUSIP: 81746GCD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1372534 | PA      | $1147488.79   | 0.02%             | 2047-10-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Student Loan Trust 2008-2                                                 | CUSIP: 784442AC9<br>LEI: 549300MHMWVKFEDI8G73 | Long             | ABS-O            | CORP              | US        |      663038 | PA      | $627258.26    | 0.01%             | 2023-04-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                            | Motorola Solutions Inc                                                        | CUSIP: 620076BT5<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |      337000 | PA      | $264413.57    | 0.00%             | 2030-11-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACLN                   | JPMorgan Chase Bank NA - CACLN                                                | CUSIP: 46591HBE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8613639 | PA      | $8785912.12   | 0.17%             | 2028-02-25      | Fixed         | 31.36%                | No            |                  2 | On Loan: No      |
| NOVA Chemicals Corp                               | NOVA Chemicals Corp                                                           | CUSIP: 66977WAR0<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |     9300000 | PA      | $8354562.00   | 0.16%             | 2027-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DIG INTL FIN/DIG INTL HL                          | Digicel International Finance Ltd/Digicel international Holdings Ltd          | CUSIP: 25381XAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     1111755 | PA      | $492018.29    | 0.01%             | 2026-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                             | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     3500000 | PA      | $2826845.00   | 0.05%             | 2029-08-17      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                   | CUSIP: 694308HG5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     9367000 | PA      | $9172166.40   | 0.17%             | 2024-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST GAS CORP                                | Southwest Gas Corp                                                            | CUSIP: 845011AE5<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |     5870000 | PA      | $5147520.40   | 0.10%             | 2032-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| GENPACT LUXEMBOURG SARL                           | Genpact Luxembourg Sarl                                                       | CUSIP: 37254BAC4<br>LEI: 549300875ZJZQ1PBR343 | Long             | DBT              | CORP              | LU        |     8939000 | PA      | $8552745.81   | 0.16%             | 2024-12-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| First Republic Mortgage Trust                     | First Republic Mortgage Trust 2020-1                                          | CUSIP: 33616LAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      755000 | PA      | $287748.67    | 0.01%             | 2050-04-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                   | CUSIP: 38141GZP2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     3052000 | PA      | $2976157.80   | 0.06%             | 2024-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON INGALLS INDUS                          | Huntington Ingalls Industries Inc                                             | CUSIP: 446413AZ9<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |     6445000 | PA      | $5313709.15   | 0.10%             | 2028-08-16      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO                              | Appalachian Power Co                                                          | CUSIP: 037735DA2<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |     3327000 | PA      | $3113606.22   | 0.06%             | 2032-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2021-J2                                         | CUSIP: 17329MDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |           0 | PA      | $0.00         | 0.00%             | 2051-07-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile Receivables Trust    | Foursight Capital Automobile Receivables Trust 2021-1                         | CUSIP: 35105WAQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2830000 | PA      | $2590985.84   | 0.05%             | 2028-08-15      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                        | Upstart Pass-Through Trust Series 2021-ST6                                    | CUSIP: 91680VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2461517 | PA      | $2274433.81   | 0.04%             | 2027-08-20      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                               | Global Payments Inc                                                           | CUSIP: 37940XAN2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     4441000 | PA      | $4310301.37   | 0.08%             | 2029-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitization Trust           | Lendingpoint 2021-B Asset Securitization Trust                                | CUSIP: 52607HAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5000000 | PA      | $4541686.00   | 0.09%             | 2029-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust               | Homeward Opportunities Fund Trust 2022-1                                      | CUSIP: 43789KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5786878 | PA      | $5642897.41   | 0.11%             | 2067-07-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| CFG Investments Limited                           | CFG Investments Ltd                                                           | CUSIP: 12528GAD4<br>LEI: 549300C3OD89QRWQ1Y92 | Long             | ABS-O            | CORP              | US        |     7275000 | PA      | $7006142.92   | 0.13%             | 2032-05-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GEN LUX SARL/GEN USA INC                          | Genpact Luxembourg SARL/Genpact USA Inc                                       | CUSIP: 37190AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     2762000 | PA      | $2460279.12   | 0.05%             | 2026-04-10      | Fixed         | 1.75%                 | 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        |     9896614 | PA      | $9694540.29   | 0.18%             | 2025-08-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2020-J2                                                             | CUSIP: 12568PCL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      654523 | PA      | $151154.69    | 0.00%             | 2051-01-25      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2021-J2                                         | CUSIP: 17329MDU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2281541 | PA      | $853792.05    | 0.02%             | 2051-07-25      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| HERCULES CAPITAL INC                              | Hercules Capital Inc                                                          | CUSIP: 427096AH5<br>LEI: 549300UJ5OC256GR2B73 | Long             | DBT              | CORP              | US        |     5218000 | PA      | $4401383.00   | 0.08%             | 2026-09-16      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| GABELLI DVD & INC TR                              | Gabelli Dividend & Income Trust/The                                           | CUSIP: 36242H872<br>LEI: 549300082N1MHBT8NI60 | Long             | EP               | CORP              | US        |         412 | NS      | $10286816.00  | 0.19%             |  |  |  | No            |                  3 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                       | CUSIP: 44891ABP1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     1345000 | PA      | $1150284.35   | 0.02%             | 2027-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust      | Wells Fargo Mortgage Backed Securities 2021-INV1 Trust                        | CUSIP: 95003KAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    96186367 | PA      | $2416461.24   | 0.05%             | 2051-08-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| PHOSAGRO(PHOS BOND FUND)                          | Phosagro OAO Via Phosagro Bond Funding DAC                                    | CUSIP: 71922LAC3<br>LEI: 635400F8A3KGJIIBIK95 | Long             | DBT              | CORP              | IE        |      933000 | PA      | $485383.92    | 0.01%             | 2025-01-23      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust      | Wells Fargo Mortgage Backed Securities 2021-INV1 Trust                        | CUSIP: 95003KBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1676245 | PA      | $1078551.41   | 0.02%             | 2051-08-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                  | CUSIP: 11135FBA8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      476000 | PA      | $453965.96    | 0.01%             | 2029-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2020-7                                               | CUSIP: 46591XCM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      588631 | PA      | $180919.13    | 0.00%             | 2051-01-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                           | Flagstar Mortgage Trust 2021-13INV                                            | CUSIP: 33853HBV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14740102 | PA      | $127979.47    | 0.00%             | 2051-12-30      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                            | Marlette Funding Trust 2019-1                                                 | CUSIP: 57109XAC1<br>LEI: 549300FK0U6W6777SM18 | Long             | ABS-O            | CORP              | US        |     1034038 | PA      | $1028164.53   | 0.02%             | 2029-04-16      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CORE INCOME COR                          | OWL Rock Core Income Corp                                                     | CUSIP: 69120VAF8<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |     1910000 | PA      | $1711703.80   | 0.03%             | 2027-02-08      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ACM Auto Trust                                    | ACM Auto Trust 2022-1                                                         | CUSIP: 00091QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1478368 | PA      | $1474573.17   | 0.03%             | 2029-04-20      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTERN                          | Graphic Packaging International LLC                                           | CUSIP: 38869AAB3<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |     7233000 | PA      | $6322726.95   | 0.12%             | 2028-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                             | CUSIP: 404280CM9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     3500000 | PA      | $3016335.00   | 0.06%             | 2027-05-24      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| Encina Equipment Finance                          | Encina Equipment Finance 2022-1 LLC                                           | CUSIP: 29252VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5675844 | PA      | $5576024.29   | 0.10%             | 2027-08-16      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust           | Mello Mortgage Capital Acceptance 2021-INV2                                   | CUSIP: 58549XBQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   106103361 | PA      | $507036.13    | 0.01%             | 2051-08-25      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| Continental Credit Card llc                       | Continental Finance Credit Card ABS Master Trust                              | CUSIP: 66981PAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3700000 | PA      | $3374915.41   | 0.06%             | 2028-12-15      | Fixed         | 3.66%                 | 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        |     3691397 | PA      | $3585685.37   | 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        |     1121328 | PA      | $1092988.70   | 0.02%             | 2028-04-20      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2015-4                                               | CUSIP: 46644VBT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      830166 | PA      | $533897.71    | 0.01%             | 2045-06-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                     | Lendbuzz Securitization Trust 2022-1                                          | CUSIP: 52607KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    17542489 | PA      | $16852302.80  | 0.32%             | 2027-05-17      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                           | Flagstar Mortgage Trust 2021-13INV                                            | CUSIP: 33853HBE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2615270 | PA      | $1649645.44   | 0.03%             | 2051-12-30      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| US AIRWAYS 2010-1A PTT                            | US Airways 2010-1 Class A Pass Through Trust                                  | CUSIP: 90345KAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      515138 | PA      | $510924.03    | 0.01%             | 2023-04-22      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Enstar Group Ltd                                  | Enstar Group Ltd                                                              | CUSIP: 29359UAB5<br>LEI: 213800AMAL5QFXVUCN04 | Long             | DBT              | CORP              | BM        |     4726000 | PA      | $4317342.78   | 0.08%             | 2029-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                           | Flagstar Mortgage Trust 2020-2                                                | CUSIP: 33851KBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    28268114 | PA      | $680323.05    | 0.01%             | 2050-08-25      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| TELEDYNE TECHNOLOGIES IN                          | Teledyne Technologies Inc                                                     | CUSIP: 879360AE5<br>LEI: 549300VSMO9KYQWDND94 | Long             | DBT              | CORP              | US        |     2217000 | PA      | $1816144.23   | 0.03%             | 2031-04-01      | Fixed         | 2.75%                 | 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        |      380637 | PA      | $378303.75    | 0.01%             | 2026-10-15      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| GULFSTREAM NATURAL GAS                            | Gulfstream Natural Gas System LLC                                             | CUSIP: 402740AD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5000000 | PA      | $4829800.00   | 0.09%             | 2025-09-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| New Residential Advance Receivables Trust Advance | New Residential Advance Receivables Trust Advance Receivables Backed 2020-T1  | CUSIP: 62942QCU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6575000 | PA      | $6316392.10   | 0.12%             | 2053-08-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| WESTERN UNION CO/THE                              | Western Union Co/The                                                          | CUSIP: 959802AY5<br>LEI: 28ID94QU1140NC23S047 | Long             | DBT              | CORP              | US        |     2338000 | PA      | $2232041.84   | 0.04%             | 2025-01-10      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                          | Equitable Financial Life Global Funding                                       | CUSIP: 29449WAF4<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |     4074000 | PA      | $3396575.28   | 0.06%             | 2028-03-08      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| ECAF LTD                                          | ECAF I Ltd                                                                    | CUSIP: 26827EAE5<br>LEI: 635400SSRNQERTYCWK57 | Long             | ABS-O            | CORP              | KY        |     4600060 | PA      | $994827.38    | 0.02%             | 2040-06-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER                              | Niagara Mohawk Power Corp                                                     | CUSIP: 65364UAL0<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    10186000 | PA      | $9400455.68   | 0.18%             | 2028-12-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                | F&G Global Funding                                                            | CUSIP: 30321L2A9<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |     9523000 | PA      | $8488516.51   | 0.16%             | 2026-06-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                 | Imperial Fund Mortgage Trust 2022-NQM4                                        | CUSIP: 45276NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14229223 | PA      | $13804325.15  | 0.26%             | 2067-06-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| BLOCK FINANCIAL LLC                               | Block Financial LLC                                                           | CUSIP: 093662AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3605000 | PA      | $3059203.00   | 0.06%             | 2028-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust           | Mello Mortgage Capital Acceptance 2021-INV3                                   | CUSIP: 585491BZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1947683 | PA      | $786831.71    | 0.01%             | 2051-10-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| CIG Auto Receivables Trust                        | CIG AUTO RECEIVABLES TRUST 2019-1                                             | CUSIP: 125504AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2000000 | PA      | $1966333.06   | 0.04%             | 2026-05-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                               | SG Residential Mortgage Trust 2019-3                                          | CUSIP: 78432BAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14988558 | PA      | $550736.56    | 0.01%             | 2059-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Theorem Funding Trust                             | Theorem Funding Trust 2021-1                                                  | CUSIP: 88339VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2340544 | PA      | $2297434.58   | 0.04%             | 2027-12-15      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                    | Pagaya AI Debt Selection Trust 2021-1                                         | CUSIP: 69547JAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2271177 | PA      | $2236700.01   | 0.04%             | 2027-11-15      | Fixed         | 1.18%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                         | Prosus NV                                                                     | CUSIP: 000000000<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     3000000 | PA      | $2276460.71   | 0.04%             | 2032-08-03      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| New Residential Advance Receivables Trust Advance | New Residential Advance Receivables Trust Advance Receivables Backed 2020-T1  | CUSIP: 62942QCT8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3400000 | PA      | $3268819.16   | 0.06%             | 2053-08-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| Vericast Corp.                                    | Vericast Corp. 2021 Term Loan                                                 | CUSIP: 181593AP9<br>LEI: 549300J73P7FL8TVF308 | Long             | LON              | CORP              | US        |     3822885 | PA      | $2948400.20   | 0.06%             | 2026-06-16      | Floating      | 12.48%                | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                    | Sabre GLBL Inc                                                                | CUSIP: 78573NAH5<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |     5100000 | PA      | $5249073.00   | 0.10%             | 2027-12-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| National Collegiate Student Loan Trust            | National Collegiate Student Loan Trust 2006-1                                 | CUSIP: 63543PCD6<br>LEI: 635400ZLDAQQL4PJBJ98 | Long             | ABS-O            | CORP              | US        |    14521135 | PA      | $13667938.28  | 0.26%             | 2033-03-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                             | TRK 2022-INV2 Trust                                                           | CUSIP: 87265XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12279307 | PA      | $11499045.10  | 0.22%             | 2057-06-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                            | Galaxy Pipeline Assets Bidco Ltd                                              | CUSIP: 36321PAD2<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |     4031692 | PA      | $3426373.76   | 0.06%             | 2034-03-31      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| First Republic Mortgage Trust                     | First Republic Mortgage Trust 2020-1                                          | CUSIP: 33616LAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1325000 | PA      | $750362.29    | 0.01%             | 2050-04-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                               | SG Residential Mortgage Trust 2019-3                                          | CUSIP: 78432BAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14988558 | PA      | $527.60       | 0.00%             | 2059-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TKC Holdings, Inc.                                | TKC Holdings, Inc. 2021 Term Loan                                             | CUSIP: 87256FAH7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     4591363 | PA      | $3816570.38   | 0.07%             | 2028-05-15      | Floating      | 9.89%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP                                   | Sealed Air Corp                                                               | CUSIP: 81211KAZ3<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |     5842000 | PA      | $5044508.58   | 0.09%             | 2026-10-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| FARM CREDIT BK OF TEXAS                           | Farm Credit Bank of Texas                                                     | CUSIP: 30767EAD1<br>LEI: V1EBJIOLRNYDHDF63Z33 | Long             | DBT              | USGA              | US        |     9580000 | PA      | $8669900.00   | 0.16%             | 2025-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                            | Marlette Funding Trust 2022-3                                                 | CUSIP: 57109NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6262303 | PA      | $6207968.77   | 0.12%             | 2032-11-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                 | Iron Mountain Inc                                                             | CUSIP: 46284VAJ0<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              |  | US        |     6085000 | PA      | $5284518.25   | 0.10%             | 2030-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FLORIDA GAS TRANSMISSION                          | Florida Gas Transmission Co LLC                                               | CUSIP: 340711BA7<br>LEI: 549300Q0UQF87NXNOC32 | Long             | DBT              | CORP              | US        |     3985000 | PA      | $3056096.50   | 0.06%             | 2031-10-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Nvent Finance Sarl                                | nVent Finance Sarl                                                            | CUSIP: 67078AAD5<br>LEI: 549300KO1OQ4MVFB6X02 | Long             | DBT              | CORP              | LU        |     3000000 | PA      | $2769060.00   | 0.05%             | 2028-04-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                              | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    25000000 | PA      | $25500000.00  | 0.48%             | 2032-11-15      | Fixed         | 4.13%                 | No            |                  1 | On Loan: No      |
| BRAVO Residential Funding Trust                   | BRAVO Residential Funding Trust 2019-1                                        | CUSIP: 10568GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1174999 | PA      | $1142996.01   | 0.02%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust 2022-1                       | CHNGE Mortgage Trust 2022-1                                                   | CUSIP: 17030JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4024484 | PA      | $3567524.64   | 0.07%             | 2067-01-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| SK HYNIX INC                                      | SK Hynix Inc                                                                  | CUSIP: 78392BAA5<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |     2800000 | PA      | $2653616.00   | 0.05%             | 2024-01-19      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2022-J1                                         | CUSIP: 17330CCU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      700598 | PA      | $234768.74    | 0.00%             | 2052-02-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| Continental Credit Card llc                       | Continental Finance Credit Card ABS Master Trust                              | CUSIP: 66981PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3000000 | PA      | $2821381.50   | 0.05%             | 2028-12-15      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| FHF Trust 2021-2                                  | FHF Trust 2021-2                                                              | CUSIP: 30322JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2786654 | PA      | $2643415.61   | 0.05%             | 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        |     1003714 | PA      | $928714.34    | 0.02%             | 2029-10-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                         | Prosus NV                                                                     | CUSIP: 74365PAF5<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |      656000 | PA      | $511673.44    | 0.01%             | 2031-07-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| BIO-RAD LABS                                      | Bio-Rad Laboratories Inc                                                      | CUSIP: 090572AR9<br>LEI: 549300ZC1GPV35XYDK53 | Long             | DBT              | CORP              | US        |     2505000 | PA      | $2311087.95   | 0.04%             | 2027-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                          | Electricite de France SA                                                      | CUSIP: 28504HNW0<br>LEI: 549300X3UK4GG3FNMO06 | Long             | STIV             | CORP              | FR        |    30000000 | PA      | $29879891.67  | 0.56%             | 2023-01-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust            | Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A4                    | CUSIP: 59020ULT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       57542 | PA      | $50960.81     | 0.00%             | 2034-08-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                  | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     3600000 | PA      | $3448908.00   | 0.06%             | 2028-05-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2022-2                                               | CUSIP: 46655DCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1841056 | PA      | $425582.00    | 0.01%             | 2052-08-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| MATTHEWS INTERNATIONAL C                          | Matthews International Corp                                                   | CUSIP: 577128AA9<br>LEI: 549300ZVC5O0ATML6U61 | Long             | DBT              | CORP              | US        |    15091000 | PA      | $14247865.83  | 0.27%             | 2025-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                      | METLIFE SECURITIZATION TRUST 2019-1                                           | CUSIP: 59166EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      526296 | PA      | $509723.63    | 0.01%             | 2058-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FIRSTCASH INC                                     | FirstCash Inc                                                                 | CUSIP: 31944TAA8<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |    17215000 | PA      | $15375405.10  | 0.29%             | 2030-01-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                            | Williams Cos Inc/The                                                          | CUSIP: 96950FAM6<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    11067000 | PA      | $10921800.96  | 0.21%             | 2024-03-04      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Service Experts Issuer                            | Service Experts Issuer 2021-1 LLC                                             | CUSIP: 81758VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7550822 | PA      | $6875423.07   | 0.13%             | 2032-02-02      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                             | CUSIP: 404280CZ0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      715000 | PA      | $697918.65    | 0.01%             | 2024-11-22      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Improvement Loan Trust  | GoodLeap Sustainable Home Solutions Trust 2021-3                              | CUSIP: 382371AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4480544 | PA      | $3113709.75   | 0.06%             | 2048-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust               | GS Mortgage-Backed Securities Trust 2020-INV1                                 | CUSIP: 36258KAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1018048 | PA      | $166605.64    | 0.00%             | 2050-10-25      | Variable      | 3.42%                 | 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        |     3020169 | PA      | $2967137.39   | 0.06%             | 2061-11-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                           | Flagstar Mortgage Trust 2020-2                                                | CUSIP: 33851KBH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4844397 | PA      | $93659.16     | 0.00%             | 2050-08-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                  | Puget Energy Inc                                                              | CUSIP: 745310AM4<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     2980000 | PA      | $2540837.40   | 0.05%             | 2028-06-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                            | Marriott International Inc/MD                                                 | CUSIP: 571903BF9<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     8825000 | PA      | $7335516.50   | 0.14%             | 2032-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CNTL AMR BOTTLING CORP                            | Central American Bottling Corp / CBC Bottling Holdco SL / Beliv Holdco SL     | CUSIP: 15239XAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | VG        |    16417000 | PA      | $15363521.11  | 0.29%             | 2029-04-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LENOVO GROUP LTD                                  | Lenovo Group Ltd                                                              | CUSIP: 000000000<br>LEI: 254900VUZRGD5U73RE46 | Long             | DBT              | CORP              | HK        |    10993000 | PA      | $10804360.12  | 0.20%             | 2025-04-24      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Reach Financial LLC                               | LL ABS Trust 2019-1                                                           | CUSIP: 50202HAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6250000 | PA      | $6135938.88   | 0.12%             | 2028-01-17      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE CORP                              | Protective Life Corp                                                          | CUSIP: 743674BE2<br>LEI: 549300ZWIT8J8Y2EXL07 | Long             | DBT              | CORP              | US        |     4902000 | PA      | $4258906.62   | 0.08%             | 2030-01-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Nelnet Private Education Loan Trust               | Nelnet Private Education Loan Trust 2016-A                                    | CUSIP: 64034JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       50835 | PA      | $50833.63     | 0.00%             | 2040-12-26      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2020-EXP1                                       | CUSIP: 17328JAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    21398414 | PA      | $97790.75     | 0.00%             | 2060-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                               | Global Payments Inc                                                           | CUSIP: 37940XAG7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     1394000 | PA      | $1217408.08   | 0.02%             | 2027-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                            | Fairfax Financial Holdings Ltd                                                | CUSIP: 303901BF8<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     4673000 | PA      | $4246962.59   | 0.08%             | 2030-04-29      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                            | Cascade MH Asset Trust 2021-MH1                                               | CUSIP: 14731QAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1936119 | PA      | $1468603.96   | 0.03%             | 2046-02-25      | Variable      | 7.71%                 | No            |                  2 | On Loan: No      |
| Newell Brands Inc                                 | Newell Brands Inc                                                             | CUSIP: 65120NNP8<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | STIV             | CORP              | US        |    15000000 | PA      | $14950316.67  | 0.28%             | 2023-01-23      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                              | Enel Finance International NV                                                 | CUSIP: 29278GAN8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    16900000 | PA      | $13429416.00  | 0.25%             | 2028-07-12      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Monongahela Power Co                              | Monongahela Power Co                                                          | CUSIP: 610202BR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3305000 | PA      | $3107063.55   | 0.06%             | 2027-05-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-BPNY                                                                | CUSIP: 12659XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13600000 | PA      | $13524756.91  | 0.25%             | 2023-08-15      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust           | Saluda Grade Alternative Mortgage Trust 2020-FIG1                             | CUSIP: 795811AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5736248 | PA      | $679395.44    | 0.01%             | 2050-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                          | Microchip Technology Inc                                                      | CUSIP: 595017BB9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |     5137000 | PA      | $4883797.27   | 0.09%             | 2024-02-15      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                           | Flagstar Mortgage Trust 2021-13INV                                            | CUSIP: 33853HBN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13481440 | PA      | $348565.33    | 0.01%             | 2051-12-30      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2022-2                                               | CUSIP: 46655DCS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1759773 | PA      | $856682.96    | 0.02%             | 2052-08-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| BRITISH TELECOMMUNICATIO                          | British Telecommunications PLC                                                | CUSIP: 111021AM3<br>LEI: 549300OWFMSO9NYV4H90 | Long             | DBT              | CORP              | GB        |     8483000 | PA      | $8406822.66   | 0.16%             | 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        |     1294384 | PA      | $1211924.13   | 0.02%             | 2033-07-25      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE                            | Tennessee Gas Pipeline Co LLC                                                 | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5835000 | PA      | $4891363.80   | 0.09%             | 2030-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2019-RP10 Trust                                                          | CUSIP: 12597FAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13292389 | PA      | $13106659.54  | 0.25%             | 2059-12-26      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Mercury General Corp                              | Mercury General Corp                                                          | CUSIP: 589400AB6<br>LEI: 5493001Q9EXPCEL4W527 | Long             | DBT              | CORP              | US        |     6808000 | PA      | $6383725.44   | 0.12%             | 2027-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                              | Enel Finance International NV                                                 | CUSIP: 29278GAM0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     2750000 | PA      | $2382490.00   | 0.04%             | 2026-07-12      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| MID-ATLANTIC INTERSTATE                           | Mid-Atlantic Interstate Transmission LLC                                      | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      945000 | PA      | $889008.75    | 0.02%             | 2028-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust Issuer Trust       | Goldman Home Improvement Trust 2021-GRN2 Issuer Trust                         | CUSIP: 38149XAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       41500 | PA      | $3308334.35   | 0.06%             | 2051-06-20      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 3140XHPZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    24388354 | PA      | $20653420.81  | 0.39%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN NATIONAL GROUP                           | American National Group Inc                                                   | CUSIP: 02772AAA7<br>LEI: 549300I1RRC5M591MY93 | Long             | DBT              | CORP              | US        |    12684000 | PA      | $11948454.84  | 0.22%             | 2032-06-13      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES BV                           | Sensata Technologies BV                                                       | CUSIP: 81725WAL7<br>LEI: PUCKW5P5O3XMOZVH7T53 | Long             | DBT              | CORP              | NL        |     2375000 | PA      | $2249671.25   | 0.04%             | 2030-09-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| TIAA Bank Mortgage Loan Trust                     | TIAA Bank Mortgage Loan Trust 2018-2                                          | CUSIP: 886312CD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2572940 | PA      | $2159208.63   | 0.04%             | 2048-07-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS                                  | Antares Holdings LP                                                           | CUSIP: 03666HAE1<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |     6480000 | PA      | $5203699.20   | 0.10%             | 2027-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORP                                   | Fair Isaac Corp                                                               | CUSIP: 303250AF1<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |    16087000 | PA      | $14593482.92  | 0.27%             | 2028-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRESTIGE BRANDS INC                               | Prestige Brands Inc                                                           | CUSIP: 74112BAL9<br>LEI: 549300JBVP4J6D42I235 | Long             | DBT              | CORP              | US        |    12321000 | PA      | $11638046.97  | 0.22%             | 2028-01-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| AVANTOR FUNDING INC                               | Avantor Funding Inc                                                           | CUSIP: 000000000<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |    11000000 | PA      | $11103772.59  | 0.21%             | 2025-11-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET SPECIALTY                            | Sixth Street Specialty Lending Inc                                            | CUSIP: 83012AAA7<br>LEI: 549300TX61566GJWCN05 | Long             | DBT              | CORP              | US        |      609000 | PA      | $533295.21    | 0.01%             | 2026-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET SPECIALTY                            | Sixth Street Specialty Lending Inc                                            | CUSIP: 87265KAF9<br>LEI: 549300TX61566GJWCN05 | Long             | DBT              | CORP              | US        |     4054000 | PA      | $3903880.38   | 0.07%             | 2024-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust      | American Credit Acceptance Receivables Trust 2019-2                           | CUSIP: 02530DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2550000 | PA      | $2539261.44   | 0.05%             | 2026-06-12      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2020-4                                               | CUSIP: 46652FCF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1069000 | PA      | $377196.97    | 0.01%             | 2050-11-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| VIDEOTRON LTD / LTEE                              | Videotron Ltd                                                                 | CUSIP: 92660FAK0<br>LEI: 549300LW4GNJRBECSD81 | Long             | DBT              | CORP              | CA        |     7150000 | PA      | $6755892.00   | 0.13%             | 2027-04-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC                                      | 7-Eleven Inc                                                                  | CUSIP: 817826AB6<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |     5236000 | PA      | $4980745.00   | 0.09%             | 2024-02-10      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| New Residential Advance Receivables Trust Advance | NRZ Advance Receivables Trust 2015-ON1                                        | CUSIP: 62942QCW1<br>LEI: 549300RNWDDBV4LFKJ17 | Long             | ABS-O            | CORP              | US        |    18701480 | PA      | $18011484.70  | 0.34%             | 2053-09-15      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                              | CUSIP: 91282CCR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    60000000 | PA      | $51004687.80  | 0.96%             | 2028-07-31      | Fixed         | 1.00%                 | No            |                  1 | On Loan: No      |
| DIRECTV FIN LLC/COINC                             | Directv Financing LLC / Directv Financing Co-Obligor Inc                      | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3880000 | PA      | $3479467.60   | 0.07%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                            | Mosaic Solar Loan Trust 2020-2                                                | CUSIP: 61946PAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      971930 | PA      | $407155.90    | 0.01%             | 2046-08-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SCOTTS MIRACLE-GRO CO                             | Scotts Miracle-Gro Co/The                                                     | CUSIP: 810186AP1<br>LEI: 2TH9E0JTOUXOEGI2R879 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1897160.00   | 0.04%             | 2026-12-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                          | Octane Receivables Trust 2020-1                                               | CUSIP: 67592LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      413214 | PA      | $408939.87    | 0.01%             | 2025-02-20      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan Ltd.                           | Loanpal Solar Loan 2021-2 Ltd                                                 | CUSIP: 53948QAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3249924 | PA      | $2446024.23   | 0.05%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                             | Tenet Healthcare Corp                                                         | CUSIP: 88033GCY4<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     2826000 | PA      | $2692414.98   | 0.05%             | 2026-01-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| DIG INTL FIN/DIG INTL HL                          | Digicel International Finance Ltd/Digicel international Holdings Ltd          | CUSIP: 25381VAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      500000 | PA      | $430755.00    | 0.01%             | 2024-05-25      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| City of Detroit MI                                | DETROIT MI                                                                    | CUSIP: 2510935K2<br>LEI: 549300BQRJP7MKKHOY28 | Long             | DBT              | MUN               | US        |      465000 | PA      | $438065.34    | 0.01%             | 2025-04-01      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| Energizer Holdings, Inc.                          | Energizer Holdings, Inc. 2020 Term Loan                                       | CUSIP: 000000000<br>LEI: 5493000D6NN0V57UME20 | Long             | LON              | CORP              | US        |     5414183 | PA      | $5299131.93   | 0.10%             | 2027-12-22      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| CP EF ASSET SECURITIZATION I, LLC                 | CP EF Asset Securitization I LLC                                              | CUSIP: 12662AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    12060953 | PA      | $11864105.20  | 0.22%             | 2030-04-15      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2017-6                                    | CUSIP: 64830BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      451179 | PA      | $421555.46    | 0.01%             | 2057-08-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY BANK                                    | Synchrony Bank                                                                | CUSIP: 87166FAD5<br>LEI: 549300UATVPGSLE43Z27 | Long             | DBT              | CORP              | US        |     6660000 | PA      | $6570090.00   | 0.12%             | 2025-08-22      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                  | LPL Holdings Inc                                                              | CUSIP: 50212YAD6<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    16905000 | PA      | $14710561.95  | 0.28%             | 2029-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                              | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     3350000 | PA      | $3265680.50   | 0.06%             | 2028-07-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| VISTA OUTDOOR INC                                 | Vista Outdoor Inc                                                             | CUSIP: 928377AC4<br>LEI: 549300QI2D33ESTJLN81 | Long             | DBT              | CORP              | US        |    16065000 | PA      | $11833800.30  | 0.22%             | 2029-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTERN                          | Graphic Packaging International LLC                                           | CUSIP: 38869AAC1<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |      917000 | PA      | $786272.48    | 0.01%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Spectrum Brands Inc                               | Spectrum Brands Inc                                                           | CUSIP: 000000000<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $2003603.13   | 0.04%             | 2026-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IHS NETHERLANDS HOLDCO                            | IHS Netherlands Holdco BV                                                     | CUSIP: 44963LAC0<br>LEI: 5493006Z6YQYCCN2XI74 | Long             | DBT              | CORP              | NL        |    15075000 | PA      | $13254844.50  | 0.25%             | 2027-09-18      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                | Banco Santander SA                                                            | CUSIP: 05964HAR6<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     9500000 | PA      | $9408325.00   | 0.18%             | 2025-08-18      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FLEX LTD                                          | Flex Ltd                                                                      | CUSIP: 33938XAE5<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |     4486000 | PA      | $4479315.86   | 0.08%             | 2028-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Post Holdings Inc                                 | Post Holdings Inc                                                             | CUSIP: 737446AN4<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |     8445000 | PA      | $7981791.75   | 0.15%             | 2028-01-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FIN NA                              | Mercedes-Benz Finance North America LLC                                       | CUSIP: 233851DZ4<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |     7500000 | PA      | $7039950.00   | 0.13%             | 2025-03-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                         | IQVIA Inc                                                                     | CUSIP: 000000000<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $4763500.24   | 0.09%             | 2028-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                          | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     4900000 | PA      | $4788476.00   | 0.09%             | 2028-07-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                       | Southern Co/The                                                               | CUSIP: 842587DL8<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     1770000 | PA      | $1808550.60   | 0.03%             | 2032-10-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                               | Petroleos Mexicanos                                                           | CUSIP: 000000000<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     4466000 | PA      | $4684202.18   | 0.09%             | 2024-02-21      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                    | PAGAYA AI Debt Trust 2022-2                                                   | CUSIP: 69546VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5485433 | PA      | $5352017.96   | 0.10%             | 2030-01-15      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                         | College Ave Student Loans 2021-A LLC                                          | CUSIP: 19424KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3137797 | PA      | $2999877.58   | 0.06%             | 2051-07-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| GUARDIAN LIFE GLOB FUND                           | Guardian Life Global Funding                                                  | CUSIP: 40139LBG7<br>LEI: 635400NHILJ5JEKILC36 | Long             | DBT              | CORP              | US        |     4545000 | PA      | $4627855.35   | 0.09%             | 2027-10-28      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| REAL HERO MERGER SUB 2                            | Real Hero Merger Sub 2 Inc                                                    | CUSIP: 75602BAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4616000 | PA      | $3161498.40   | 0.06%             | 2029-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 3140QMAL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8277614 | PA      | $7264756.53   | 0.14%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Trust 2013-HYB1                                                          | CUSIP: 12647JBR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      377321 | PA      | $371814.84    | 0.01%             | 2043-04-25      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7845356 | PA      | $6332594.06   | 0.12%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  1 | On Loan: No      |
| CPS Auto Trust                                    | CPS Auto Receivables Trust 2020-C                                             | CUSIP: 12597TAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1000000 | PA      | $953450.20    | 0.02%             | 2027-11-15      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust Issuer Trust       | Goldman Home Improvement Trust 2022-GRN1 Issuer Trust                         | CUSIP: 38150YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4388287 | PA      | $4261954.69   | 0.08%             | 2052-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BRIGHTHSE FIN GLBL FUND                           | Brighthouse Financial Global Funding                                          | CUSIP: 10921U2C1<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |     2089000 | PA      | $1839468.95   | 0.03%             | 2026-05-24      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                              | CUSIP: 91282CCH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    50000000 | PA      | $43226562.50  | 0.81%             | 2028-06-30      | Fixed         | 1.25%                 | No            |                  1 | On Loan: No      |
| Imperial Fund LLC                                 | Imperial Fund Mortgage Trust 2022-NQM6                                        | CUSIP: 45276RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9829102 | PA      | $9788739.27   | 0.18%             | 2067-10-25      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                               | Rate Mortgage Trust 2022-J1                                                   | CUSIP: 75410RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13697143 | PA      | $11727220.16  | 0.22%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| TD SYNNEX CORP                                    | TD SYNNEX Corp                                                                | CUSIP: 87162WAF7<br>LEI: 5493004HI6PFLF46NS53 | Long             | DBT              | CORP              | US        |    10183000 | PA      | $8655244.51   | 0.16%             | 2026-08-09      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| PENTAIR FINANCE SARL                              | Pentair Finance Sarl                                                          | CUSIP: 709629AS8<br>LEI: 549300H2U8U8TZPV3T89 | Long             | DBT              | CORP              | LU        |     9193000 | PA      | $9109987.21   | 0.17%             | 2032-07-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                          | Comision Federal de Electricidad                                              | CUSIP: 000000000<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |     7031200 | PA      | $5813747.72   | 0.11%             | 2036-09-29      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Wealth Management                     | JPMorgan Chase Bank NA - JPMWM                                                | CUSIP: 46591HBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4548069 | PA      | $4094294.72   | 0.08%             | 2051-03-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                 | Imperial Fund Mortgage Trust 2022-NQM1                                        | CUSIP: 452766AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    18254123 | PA      | $16004967.71  | 0.30%             | 2067-02-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Perimeter Master Note Business Trust              | Perimeter Master Note Business Trust                                          | CUSIP: 71384PAE1<br>LEI: 5493005H6EB040833X54 | Long             | ABS-O            | CORP              | US        |     2705102 | PA      | $2672807.70   | 0.05%             | 2024-05-15      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                       | CUSIP: 44891ABE6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     7147000 | PA      | $7125273.12   | 0.13%             | 2023-02-10      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACLN                   | JPMorgan Chase Bank NA - CACLN                                                | CUSIP: 46591HBW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3324261 | PA      | $3390746.49   | 0.06%             | 2028-09-25      | Fixed         | 28.35%                | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust               | GS Mortgage-Backed Securities Trust 2020-INV1                                 | CUSIP: 36258KBP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1278369 | PA      | $884157.29    | 0.02%             | 2050-10-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| ADVANCE AUTO PARTS                                | Advance Auto Parts Inc                                                        | CUSIP: 00751YAE6<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |     2996000 | PA      | $2632435.40   | 0.05%             | 2030-04-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| ACM Auto Trust                                    | ACM Auto Trust 2022-1                                                         | CUSIP: 00091QAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2000000 | PA      | $1987197.40   | 0.04%             | 2029-04-20      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| ENN CLEAN ENERGY                                  | ENN Clean Energy International Investment Ltd                                 | CUSIP: 268733AA0<br>LEI: 3003009YZ3S5V395NR77 | Long             | DBT              | CORP              | VG        |     9524000 | PA      | $8360548.16   | 0.16%             | 2026-05-12      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP                           | Sammons Financial Group Inc                                                   | CUSIP: 79588TAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1853060.00   | 0.03%             | 2027-05-12      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                  | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     5775000 | PA      | $5295386.25   | 0.10%             | 2029-12-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| TransDigm Inc                                     | TransDigm Inc                                                                 | CUSIP: 893647BE6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    12244000 | PA      | $12100990.08  | 0.23%             | 2026-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Newell Brands Inc                                 | Newell Brands Inc                                                             | CUSIP: 651229AW6<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |     2129000 | PA      | $2014502.38   | 0.04%             | 2026-04-01      | Fixed         | 4.45%                 | 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        |     3537621 | PA      | $3506801.26   | 0.07%             | 2026-08-15      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                            | Marlette Funding Trust 2021-2                                                 | CUSIP: 57108T107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       16347 | PA      | $2079806.05   | 0.04%             | 2031-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KRONOS ACQ / KIK CUSTOM                           | Kronos Acquisition Holdings Inc / KIK Custom Products Inc                     | CUSIP: 50106GAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4585000 | PA      | $4002567.45   | 0.08%             | 2026-12-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STEWART INFORMATION SERV                          | Stewart Information Services Corp                                             | CUSIP: 86038AAA0<br>LEI: 529900TV1XI0PLKENU10 | Long             | DBT              | CORP              | US        |    14735000 | PA      | $11235142.80  | 0.21%             | 2031-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FNB CORP                                          | FNB Corp/PA                                                                   | CUSIP: 302520AC5<br>LEI: PCYSKIGYNYFDTBLVZU83 | Long             | DBT              | CORP              | US        |     3170000 | PA      | $3134242.40   | 0.06%             | 2025-08-25      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust      | Arivo Acceptance Auto Loan Receivables Trust 2019-1                           | CUSIP: 04046LAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1700787 | PA      | $1684948.28   | 0.03%             | 2025-06-15      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust           | Mello Mortgage Capital Acceptance 2021-INV2                                   | CUSIP: 58549XBZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1543915 | PA      | $612351.72    | 0.01%             | 2051-08-25      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| Ausgrid Finance Pty Ltd                           | Ausgrid Finance Pty Ltd                                                       | CUSIP: 052113AA5<br>LEI: 549300DN8D7YR73BKB57 | Long             | DBT              | CORP              | AU        |     8600000 | PA      | $8552958.00   | 0.16%             | 2023-05-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| OWL ROCK TECHNOLOGY FINA                          | Owl Rock Technology Finance Corp                                              | CUSIP: 691205AG3<br>LEI: 254900G5EZJSOD3UKL16 | Long             | DBT              | CORP              | US        |     3547000 | PA      | $2892081.92   | 0.05%             | 2027-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Reach Financial LLC                               | LL ABS Trust 2021-1                                                           | CUSIP: 53934QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2131734 | PA      | $2055931.96   | 0.04%             | 2029-05-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                            | CCO Holdings LLC / CCO Holdings Capital Corp                                  | CUSIP: 1248EPCD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     8373000 | PA      | $7231676.37   | 0.14%             | 2030-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                              | CUSIP: 91282CAZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8200000 | PA      | $7337718.75   | 0.14%             | 2025-11-30      | Fixed         | 0.38%                 | No            |                  1 | On Loan: No      |
| UNITED WHOLESALE MTGE LL                          | United Wholesale Mortgage LLC                                                 | CUSIP: 91153LAA5<br>LEI: 549300HW662MN1WU8550 | Long             | DBT              | CORP              | US        |    12301000 | PA      | $11109279.12  | 0.21%             | 2025-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                 | Iron Mountain Inc                                                             | CUSIP: 46284VAG6<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              |  | US        |     2880000 | PA      | $2588659.20   | 0.05%             | 2028-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables LLC            | Amur Equipment Finance Receivables VIII LLC                                   | CUSIP: 03237PAF0<br>LEI: 549300LUWIM31186Z163 | Long             | ABS-O            | CORP              | US        |     6301302 | PA      | $6120550.55   | 0.12%             | 2027-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Shellpoint Co-Originator Trust                    | Shellpoint Co-Originator Trust 2016-1                                         | CUSIP: 82281ECA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2803487 | PA      | $2127490.58   | 0.04%             | 2046-11-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| General Mills Inc                                 | General Mills Inc                                                             | CUSIP: 370334CC6<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |     2530000 | PA      | $2536274.40   | 0.05%             | 2023-10-17      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                            | Galaxy Pipeline Assets Bidco Ltd                                              | CUSIP: 36321PAA8<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |     8363497 | PA      | $7748863.61   | 0.15%             | 2027-09-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                          | OCP SA                                                                        | CUSIP: 67091TAA3<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |     4710000 | PA      | $4703829.90   | 0.09%             | 2024-04-25      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust        | Mercury Financial Credit Card Master Trust                                    | CUSIP: 58940BAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    12500000 | PA      | $11883980.00  | 0.22%             | 2026-09-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                          | Foundation Finance Trust 2021-2                                               | CUSIP: 35042PAD2<br>LEI: 54930021B3TF4B4HKE86 | Long             | ABS-O            | CORP              | US        |     3750000 | PA      | $3324624.08   | 0.06%             | 2042-01-15      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-NQM4 Trust                                                          | CUSIP: 36168HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4247932 | PA      | $3277539.18   | 0.06%             | 2066-08-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                        | GLS Auto Receivables Issuer Trust 2020-2                                      | CUSIP: 38014RAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2025000 | PA      | $1988249.59   | 0.04%             | 2026-04-15      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2018-3                                              | CUSIP: 89175MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2462387 | PA      | $2327909.77   | 0.04%             | 2058-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| KYNDRYL HOLDINGS INC                              | Kyndryl Holdings Inc                                                          | CUSIP: 50155QAK6<br>LEI: 549300LQ4LWX2R8ZV130 | Long             | DBT              | CORP              | US        |     8296000 | PA      | $6244731.04   | 0.12%             | 2028-10-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                            | Marlette Funding Trust 2018-1                                                 | CUSIP: 57109T106<br>LEI: 549300KBRIH5UIIBZH88 | Long             | ABS-O            | CORP              | US        |       58592 | PA      | $964821.81    | 0.02%             | 2028-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Consumer Lending Receivables Trust                | Consumer Lending Receivables Trust 2019-A Clrt 2019-A                         | CUSIP: 21053QAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      310000 | PA      | $3194907.72   | 0.06%             | 2026-04-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| SPRUCE HILL MORTGAGE LOAN TRUST                   | Spruce Hill Mortgage Loan Trust 2020-SH1                                      | CUSIP: 85209FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      224178 | PA      | $221368.87    | 0.00%             | 2050-01-28      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust           | United Auto Credit Securitization Trust                                       | CUSIP: 90943UAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6125000 | PA      | $5769005.81   | 0.11%             | 2027-09-10      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                             | Jackson Financial Inc                                                         | CUSIP: 46817MAR8<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |     2788000 | PA      | $2751309.92   | 0.05%             | 2027-06-08      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                             | Micron Technology Inc                                                         | CUSIP: 595112BQ5<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     1186000 | PA      | $1074990.40   | 0.02%             | 2030-02-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust               | GS Mortgage-Backed Securities Corp Trust 2020-PJ3                             | CUSIP: 36258WAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2738862 | PA      | $382459.92    | 0.01%             | 2050-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                  | CUSIP: 11135FBR1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      940000 | PA      | $855418.80    | 0.02%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                      | Enbridge Inc                                                                  | CUSIP: 29250NBD6<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     4145000 | PA      | $4136461.30   | 0.08%             | 2023-02-17      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust           | Mello Mortgage Capital Acceptance 2021-INV2                                   | CUSIP: 58549XBY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      321228 | PA      | $185107.32    | 0.00%             | 2051-08-25      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                              | Keurig Dr Pepper Inc                                                          | CUSIP: 49271VAP5<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     6036000 | PA      | $5607987.24   | 0.11%             | 2029-04-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                              | Enel Finance International NV                                                 | CUSIP: 29278GAP3<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     3843000 | PA      | $2815842.96   | 0.05%             | 2031-07-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2021-J3                                         | CUSIP: 17330BDR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      590214 | PA      | $158990.55    | 0.00%             | 2051-09-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINAN                                  | Vmed O2 UK Financing I PLC                                                    | CUSIP: 92858RAA8<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     7818000 | PA      | $6332970.90   | 0.12%             | 2031-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                          | Foundation Finance Trust 2020-1                                               | CUSIP: 35041KAC6<br>LEI: 549300QVJKB4ZVR88F06 | Long             | ABS-O            | CORP              | US        |     4025000 | PA      | $3564343.46   | 0.07%             | 2040-07-16      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2021-INV1                                 | CUSIP: 64829WBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1211683 | PA      | $708292.89    | 0.01%             | 2051-06-25      | Variable      | 3.26%                 | 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        |      184661 | PA      | $184567.00    | 0.00%             | 2026-01-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                      | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-82727.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EVERGY MISSOURI WEST INC                          | Evergy Missouri West Inc                                                      | CUSIP: 30037EAA1<br>LEI: EZIFUDC0VSUS6T6LCG85 | Long             | DBT              | CORP              | US        |     4100000 | PA      | $3590493.00   | 0.07%             | 2032-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                  | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     3950000 | PA      | $3102527.50   | 0.06%             | 2031-08-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                           | Flagstar Mortgage Trust 2020-2                                                | CUSIP: 33851KCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      623838 | PA      | $474081.95    | 0.01%             | 2050-08-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                            | Marriott International Inc/MD                                                 | CUSIP: 571903BH5<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     2359000 | PA      | $1808834.02   | 0.03%             | 2033-10-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| HERCULES CAPITAL INC                              | Hercules Capital Inc                                                          | CUSIP: 427096AJ1<br>LEI: 549300UJ5OC256GR2B73 | Long             | DBT              | CORP              | US        |     4157000 | PA      | $3556770.77   | 0.07%             | 2027-01-20      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| LENOVO GROUP LTD                                  | Lenovo Group Ltd                                                              | CUSIP: 526250AD7<br>LEI: 254900VUZRGD5U73RE46 | Long             | DBT              | CORP              | HK        |     5385000 | PA      | $5209879.80   | 0.10%             | 2028-01-27      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                    | CPS Auto Receivables Trust 2020-A                                             | CUSIP: 12597JAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3500000 | PA      | $3436520.50   | 0.06%             | 2027-03-15      | Fixed         | 6.93%                 | No            |                  2 | On Loan: No      |
| Walgreens Boots Alliance Inc                      | Walgreens Boots Alliance Inc                                                  | CUSIP: 93142XPD7<br>LEI: 549300RPTUOIXG4LIH86 | Long             | STIV             | CORP              | US        |    26000000 | PA      | $25843790.56  | 0.49%             | 2023-02-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ENVIVA PARTNERS LP/FIN C                          | Enviva Partners LP / Enviva Partners Finance Corp                             | CUSIP: 29413XAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    17644000 | PA      | $16642879.44  | 0.31%             | 2026-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST                     | Commonbond Student Loan Trust 2020-1                                          | CUSIP: 20268BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1953216 | PA      | $1741498.23   | 0.03%             | 2051-10-25      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust                  | Vista Point Securitization Trust 2020-2                                       | CUSIP: 92838TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1339517 | PA      | $1116031.12   | 0.02%             | 2065-04-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                | CUSIP: 09659W2D5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     5000000 | PA      | $4817850.00   | 0.09%             | 2025-01-09      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                               | SG Residential Mortgage Trust 2019-3                                          | CUSIP: 78432BAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1978000 | PA      | $1530837.10   | 0.03%             | 2059-09-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| SCHAHIN II FINANCE CO                             | Schahin II Finance Co SPV Ltd                                                 | CUSIP: 80629QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    10461182 | PA      | $104.61       | 0.00%             | 2022-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE MUTUAL INSURA                          | Nationwide Mutual Insurance Co                                                | CUSIP: 638671AJ6<br>LEI: Z7LVXXWM8HZPKF5T2355 | Long             | DBT              | CORP              | US        |     6178000 | PA      | $6165273.32   | 0.12%             | 2024-12-15      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| NEWS CORP                                         | News Corp                                                                     | CUSIP: 65249BAB5<br>LEI: 549300ITS31QK8VRBQ14 | Long             | DBT              | CORP              | US        |     4980000 | PA      | $4527666.60   | 0.09%             | 2032-02-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2019-NQM3 Trust                                                          | CUSIP: 36167VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      806206 | PA      | $747673.04    | 0.01%             | 2059-11-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-NQM3                                                                | CUSIP: 12660LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2839334 | PA      | $2322098.95   | 0.04%             | 2066-04-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| SCOTTS MIRACLE-GRO CO                             | Scotts Miracle-Gro Co/The                                                     | CUSIP: 810186AW6<br>LEI: 2TH9E0JTOUXOEGI2R879 | Long             | DBT              | CORP              | US        |    13166000 | PA      | $10066591.94  | 0.19%             | 2032-02-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                               | CDW LLC / CDW Finance Corp                                                    | CUSIP: 12513GBD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     8103000 | PA      | $7453787.64   | 0.14%             | 2028-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Thornburg Capital Management Fund                 | Thornburg Capital Management Fund                                             | CUSIP: 885216739<br>LEI: 549300GLR0WG6ALV5277 | Long             | EC               | RF                | US        |    57957913 | NS      | $579579126.32 | 10.91%            |  |  |  | No            |                  1 | On Loan: No      |
| NETAPP INC                                        | NetApp Inc                                                                    | CUSIP: 64110DAJ3<br>LEI: QTX3D84DZDD5JYOCYH15 | Long             | DBT              | CORP              | US        |      742000 | PA      | $660647.12    | 0.01%             | 2027-06-22      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                          | Microchip Technology Inc                                                      | CUSIP: 595017BA1<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |    11300000 | PA      | $10973317.00  | 0.21%             | 2025-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC                                      | 7-Eleven Inc                                                                  | CUSIP: 817826AA8<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |      540000 | PA      | $536959.80    | 0.01%             | 2023-02-10      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust Issuer Trust       | Goldman Home Improvement Trust 2021-GRN2 Issuer Trust                         | CUSIP: 38149XAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8712976 | PA      | $7972777.23   | 0.15%             | 2051-06-25      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust      | Arivo Acceptance Auto Loan Receivables Trust 2021-1                           | CUSIP: 04047AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1257707 | PA      | $1221627.40   | 0.02%             | 2027-01-15      | Fixed         | 1.19%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust Inc                                             | CUSIP: 17328PCE1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      372000 | PA      | $134227.79    | 0.00%             | 2050-08-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                  | Puget Energy Inc                                                              | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     1950000 | PA      | $1744626.00   | 0.03%             | 2030-06-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust Inc                                             | CUSIP: 17328PCD3<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      153000 | PA      | $69690.18     | 0.00%             | 2050-08-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| Par Pacific Holdings, Inc.                        | Par Pacific Holdings, Inc. Term Loan B                                        | CUSIP: 69889PAB1<br>LEI: 984500CCF05C2FB39F45 | Long             | LON              | CORP              | US        |     3994967 | PA      | $3921739.66   | 0.07%             | 2026-01-12      | Floating      | 10.58%                | 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        |     4972825 | PA      | $4878487.78   | 0.09%             | 2028-10-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| ILLUMINA INC                                      | Illumina Inc                                                                  | CUSIP: 452327AN9<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |     5579000 | PA      | $5622237.25   | 0.11%             | 2025-12-12      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| CUSHMAN & WAKEFIELD US                            | Cushman & Wakefield US Borrower LLC                                           | CUSIP: 23166MAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    14249000 | PA      | $13631163.36  | 0.26%             | 2028-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS                                  | Antares Holdings LP                                                           | CUSIP: 03666HAC5<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |     9451000 | PA      | $8116235.27   | 0.15%             | 2026-07-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                                | Panama Government International Bond                                          | CUSIP: 698299BT0<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     5000000 | PA      | $5086800.00   | 0.10%             | 2035-02-14      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CRE                            | Blackstone Private Credit Fund                                                | CUSIP: 09261HAD9<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |     2995000 | PA      | $2480399.10   | 0.05%             | 2026-12-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                          | Foundation Finance Trust 2021-1                                               | CUSIP: 35041LAA8<br>LEI: 549300MQ65NOVQXYNB21 | Long             | ABS-O            | CORP              | US        |     2006916 | PA      | $1775221.93   | 0.03%             | 2041-05-15      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| Upstart Structured Pass-Through Trust             | Upstart Structured Pass-Through Trust Series 2022-4A                          | CUSIP: 91680YBD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8488322 | PA      | $8427114.04   | 0.16%             | 2030-11-15      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                          | Comision Federal de Electricidad                                              | CUSIP: 200447AL4<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |     5000000 | PA      | $4417200.00   | 0.08%             | 2029-05-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                    | CFMT 2021-GRN1 Issuer Trust                                                   | CUSIP: 12529KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1168827 | PA      | $1075933.56   | 0.02%             | 2041-03-20      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                    | Sabre GLBL Inc                                                                | CUSIP: 78573NAC6<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |     2267000 | PA      | $2272440.80   | 0.04%             | 2025-04-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2020-J1                                                             | CUSIP: 12559YBK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      342913 | PA      | $263449.60    | 0.00%             | 2050-07-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                  | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     4670000 | PA      | $3967491.90   | 0.07%             | 2027-11-16      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                        | Flagship Credit Auto Trust 2018-4                                             | CUSIP: 33845D101<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       13000 | PA      | $714036.84    | 0.01%             | 2026-03-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SUN COMMUNITIES OPER LP                           | Sun Communities Operating LP                                                  | CUSIP: 866677AF4<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              |  | US        |     5153000 | PA      | $4305486.09   | 0.08%             | 2028-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL INFO SERV                           | Fidelity National Information Services Inc                                    | CUSIP: 31620MBW5<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    12167000 | PA      | $11881197.17  | 0.22%             | 2027-07-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                  | CUSIP: 251526CJ6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     3667000 | PA      | $3430331.82   | 0.06%             | 2024-05-28      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT HOLDINGS INC                            | Open Text Holdings Inc                                                        | CUSIP: 683720AC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7667000 | PA      | $5974969.77   | 0.11%             | 2031-12-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                              | CUSIP: 3132DNXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5954937 | PA      | $5937479.03   | 0.11%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                            | Mosaic Solar Loan Trust 2021-2                                                | CUSIP: 61946RAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9930000 | PA      | $1985007.00   | 0.04%             | 2047-04-22      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| ACC Auto Trust                                    | ACC Auto Trust 2022-A                                                         | CUSIP: 00085YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4439542 | PA      | $4356865.70   | 0.08%             | 2026-07-15      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                              | CUSIP: 3133N3X25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    13150947 | PA      | $10431387.16  | 0.20%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                             | Micron Technology Inc                                                         | CUSIP: 595112BV4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     9820000 | PA      | $9991948.20   | 0.19%             | 2029-11-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                | CUSIP: 912828ZJ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    15328904 | PA      | $14601830.86  | 0.27%             | 2025-04-15      | Fixed         | 0.13%                 | No            |                  1 | On Loan: No      |
| BRIGHTHSE FIN GLBL FUND                           | Brighthouse Financial Global Funding                                          | CUSIP: 10921U2E7<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |     4823000 | PA      | $3991177.19   | 0.08%             | 2028-06-28      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Student Loan Trust 2008-5                                                 | CUSIP: 78444YAD7<br>LEI: 549300SRMXHPGI3BJ386 | Long             | ABS-O            | CORP              | US        |      836904 | PA      | $827471.48    | 0.02%             | 2023-07-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| FLEX LTD                                          | Flex Ltd                                                                      | CUSIP: 33938XAB1<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |     4671000 | PA      | $4368179.07   | 0.08%             | 2030-05-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                   | CUSIP: 38141GYF5<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     3687000 | PA      | $3629704.02   | 0.07%             | 2024-09-10      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                              | Indonesia Treasury Bond                                                       | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 44919000000 | PA      | $3202918.75   | 0.06%             | 2039-04-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Prosper Marketplace Issuance Trust                | Prosper Marketplace Issuance Trust Series 2019-2                              | CUSIP: 74361P102<br>LEI: 549300TGOSXMW5LM7I70 | Long             | ABS-O            | CORP              | US        |       16385 | PA      | $518035.18    | 0.01%             | 2025-09-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                         | Nelnet Student Loan Trust 2015-2                                              | CUSIP: 64033QAB5<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |     2134374 | PA      | $2071483.29   | 0.04%             | 2042-09-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2021-LTV2                                          | CUSIP: 46654VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14712371 | PA      | $11588816.34  | 0.22%             | 2052-05-25      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                      | Veros Auto Receivables Trust 2021-1                                           | CUSIP: 92512BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      974723 | PA      | $956300.15    | 0.02%             | 2026-10-15      | Fixed         | 0.92%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                            | Mitsubishi UFJ Financial Group Inc                                            | CUSIP: 606822CL6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     1750000 | PA      | $1708315.00   | 0.03%             | 2028-07-20      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                       | Gartner Inc                                                                   | CUSIP: 366651AC1<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     3749000 | PA      | $3498416.84   | 0.07%             | 2028-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile Receivables Trust    | Foursight Capital Automobile Receivables Trust 2019-1                         | CUSIP: 35105RAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      500000 | PA      | $497232.90    | 0.01%             | 2026-11-16      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| PAR PETRO LLC / FIN CORP                          | Par Petroleum LLC / Par Petroleum Finance Corp                                | CUSIP: 69889MAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      451000 | PA      | $434732.43    | 0.01%             | 2025-12-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| FIDELIS INSUR HLD LTD                             | Fidelis Insurance Holdings Ltd                                                | CUSIP: 31575FAA4<br>LEI: 549300CDMGCAGJQ7DX03 | Long             | DBT              | CORP              | BM        |     4409000 | PA      | $4283255.32   | 0.08%             | 2030-06-30      | Fixed         | 4.88%                 | 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        |     3300000 | PA      | $2990455.71   | 0.06%             | 2055-11-15      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| SK HYNIX INC                                      | SK Hynix Inc                                                                  | CUSIP: 78392BAB3<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |     4400000 | PA      | $3806440.00   | 0.07%             | 2026-01-19      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GLOBE LIFE INC                                    | Globe Life Inc                                                                | CUSIP: 37959EAB8<br>LEI: 5493001JFHKQOPP6XA71 | Long             | DBT              | CORP              | US        |     3038000 | PA      | $2874859.40   | 0.05%             | 2032-06-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2020-J1                                                             | CUSIP: 12559YAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13955808 | PA      | $273644.10    | 0.01%             | 2050-07-25      | Variable      | 0.50%                 | 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        |     8500000 | PA      | $8202746.50   | 0.15%             | 2053-08-15      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| Proper Pass-Thru Trust II                         | Prosper Pass-Thru Trust II Series 2019-St2                                    | CUSIP: 74361EAB3<br>LEI: 549300DCN6PLVC4QVK93 | Long             | ABS-O            | CORP              | US        |     6385267 | PA      | $731247.16    | 0.01%             | 2025-11-15      | None          | 0.00%                 | 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        |     4818227 | PA      | $4656520.64   | 0.09%             | 2029-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                               | SG Residential Mortgage Trust 2022-1                                          | CUSIP: 78433QAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4204000 | PA      | $2659782.52   | 0.05%             | 2062-03-27      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2017-3                                    | CUSIP: 64828MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1005578 | PA      | $948971.95    | 0.02%             | 2057-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2021-J3                                         | CUSIP: 17330BDP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1032000 | PA      | $348033.85    | 0.01%             | 2051-09-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust              | Deephaven Residential Mortgage Trust 2021-1                                   | CUSIP: 24380VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      919107 | PA      | $849583.72    | 0.02%             | 2065-05-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| LP LMS 2021-2 Asset Securitization Trust          | LP LMS 2021-2 Asset Securitization Trust                                      | CUSIP: 50214JAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2947000 | PA      | $2500150.52   | 0.05%             | 2029-01-15      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                          | Service Properties Trust                                                      | CUSIP: 44106MAZ5<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |     2295000 | PA      | $2091112.20   | 0.04%             | 2024-10-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 31418ED56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    46405050 | PA      | $39283970.52  | 0.74%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIZENS BANK NA/RI                               | Citizens Bank NA/Providence RI                                                | CUSIP: 17401QAR2<br>LEI: DRMSV1Q0EKMEXLAU1P80 | Long             | DBT              | CORP              | US        |     4000000 | PA      | $4001400.00   | 0.08%             | 2023-03-29      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| New York Transportation Development Corp          | NEW YORK TRANSPRTN DEV CORP LEASE REVENUE                                     | CUSIP: 650117AA2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     2870000 | PA      | $2660174.30   | 0.05%             | 2035-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freedom Financial                                 | FREED ABS Trust 2022-2CP                                                      | CUSIP: 35633LAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      496173 | PA      | $493046.06    | 0.01%             | 2029-05-18      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| SLR INVESTMENT CORP                               | SLR Investment Corp                                                           | CUSIP: 83413UAB6<br>LEI: BJOT6DX9ML6BR3Z0O636 | Long             | DBT              | CORP              | US        |     3875000 | PA      | $3873566.25   | 0.07%             | 2023-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                       | Diamond Resorts Owner Trust 2019-1                                            | CUSIP: 252722AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1356334 | PA      | $1300136.59   | 0.02%             | 2032-02-20      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| ALLEGION US HOLDING CO                            | Allegion US Holding Co Inc                                                    | CUSIP: 01748TAC5<br>LEI: 5493002B66JX7J7SXI33 | Long             | DBT              | CORP              | US        |     7922000 | PA      | $7667070.04   | 0.14%             | 2032-07-01      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    25920800 | PA      | $20858766.89  | 0.39%             | 2043-02-15      | Fixed         | 0.63%                 | No            |                  1 | On Loan: No      |
| Upstart Securitization Trust                      | Upstart Securitization Trust 2021-2                                           | CUSIP: 91680FAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      750595 | PA      | $737777.34    | 0.01%             | 2031-06-20      | Fixed         | 0.91%                 | No            |                  2 | On Loan: No      |
| COMPASS GROUP DIVERSIFIE                          | Compass Group Diversified Holdings LLC                                        | CUSIP: 20451RAC6<br>LEI: 549300I6PTUQPX21TE93 | Long             | DBT              | CORP              | US        |      800000 | PA      | $636240.00    | 0.01%             | 2032-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENSTAR FINANCE LLC                                | Enstar Finance LLC                                                            | CUSIP: 29360AAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1672000 | PA      | $1488481.28   | 0.03%             | 2040-09-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                        | MFRA Trust                                                                    | CUSIP: 552758AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9058617 | PA      | $8518811.12   | 0.16%             | 2056-09-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| ASCOT GROUP LTD                                   | Ascot Group Ltd                                                               | CUSIP: 04365XAA6<br>LEI: 213800DJV7WRJBE2II28 | Long             | DBT              | CORP              | BM        |     6691000 | PA      | $5766370.71   | 0.11%             | 2030-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2021-P3                                        | CUSIP: 14687JAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        9000 | PA      | $3570712.88   | 0.07%             | 2028-09-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Spectrum Brands Inc                               | Spectrum Brands Inc                                                           | CUSIP: 000000000<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |     2900000 | PA      | $2905224.54   | 0.05%             | 2026-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| LEIDOS INC                                        | Leidos Inc                                                                    | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |     2220000 | PA      | $1698899.40   | 0.03%             | 2031-02-15      | Fixed         | 2.30%                 | 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        |      401572 | PA      | $391172.44    | 0.01%             | 2028-12-11      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                          | Citigroup Global Markets Holdings Inc/United States                           | CUSIP: 17327TJ23<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |     4108000 | PA      | $2600269.52   | 0.05%             | 2035-01-29      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                      | Veros Automobile Receivables Trust 2020-1                                     | CUSIP: 92511FAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7000000 | PA      | $6945687.00   | 0.13%             | 2027-02-16      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2020-J2                                                             | CUSIP: 12568PCM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   117131914 | PA      | $1102867.25   | 0.02%             | 2051-01-25      | Variable      | 0.21%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                        | Upstart Pass-Through Trust Series 2021-ST8                                    | CUSIP: 91683LAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5400000 | PA      | $1503225.00   | 0.03%             | 2029-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Brex Inc                                          | Brex Commercial Charge Card Master Trust                                      | CUSIP: 05601DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3150000 | PA      | $3115824.39   | 0.06%             | 2024-07-15      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-NQM3                                                                | CUSIP: 12660LAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2650000 | PA      | $1397670.69   | 0.03%             | 2066-04-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP                                   | Sealed Air Corp                                                               | CUSIP: 81211KAY6<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |     8460000 | PA      | $7714504.80   | 0.15%             | 2027-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2020-3                                               | CUSIP: 46592ABL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10246927 | PA      | $40321.66     | 0.00%             | 2050-08-25      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| Ryder System Inc                                  | Ryder System Inc                                                              | CUSIP: 78355HKK4<br>LEI: ZXJ6Y2OSPZXIVGRILD15 | Long             | DBT              | CORP              | US        |     3753000 | PA      | $3700495.53   | 0.07%             | 2023-12-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2020-4                                               | CUSIP: 46652FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9314598 | PA      | $171783.54    | 0.00%             | 2050-11-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                | Aqua Finance Trust 2017-A                                                     | CUSIP: 03837PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      510212 | PA      | $503005.36    | 0.01%             | 2035-11-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2016-3                                                 | CUSIP: 81746NCD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2761330 | PA      | $2107518.06   | 0.04%             | 2046-11-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                    | CPS Auto Receivables Trust 2020-B                                             | CUSIP: 12656CAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1270407 | PA      | $1262943.04   | 0.02%             | 2026-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Transelec SA                                      | Transelec SA                                                                  | CUSIP: 89366LAD6<br>LEI: 549300DPF7MAL5F6CR86 | Long             | DBT              | CORP              | CL        |      200000 | PA      | $194698.00    | 0.00%             | 2025-01-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                      | Upstart Securitization Trust 2021-4                                           | CUSIP: 91682NAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        4706 | PA      | $574718.74    | 0.01%             | 2031-09-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust        | Mercury Financial Credit Card Master Trust                                    | CUSIP: 58940BAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5000000 | PA      | $4502112.50   | 0.08%             | 2026-03-20      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | CITIGROUP MORTGAGE LOAN TRUST 2021-J1                                         | CUSIP: 17329EBZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      453829 | PA      | $98909.11     | 0.00%             | 2051-04-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| B3 SA-BRASIL BOLSA BALCA                          | B3 SA - Brasil Bolsa Balcao                                                   | CUSIP: 11778EAA4<br>LEI: 4GTK5S46E6H318LMDS44 | Long             | DBT              | CORP              | BR        |     8827000 | PA      | $7437806.74   | 0.14%             | 2031-09-20      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| FLOWSERVE CORPORATION                             | Flowserve Corp                                                                | CUSIP: 34354PAF2<br>LEI: 6Y0GK87T6V7NJKZJVM41 | Long             | DBT              | CORP              | US        |     4053000 | PA      | $3371690.70   | 0.06%             | 2030-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                             | CUSIP: 404280DG1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     2329000 | PA      | $2242850.29   | 0.04%             | 2028-08-11      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST                         | Nelnet Student Loan Trust 2021-C                                              | CUSIP: 64035GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3816138 | PA      | $3687005.49   | 0.07%             | 2062-04-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| ARM Master Trust                                  | Arm Master Trust LLC Series 2021-T1 Agricultural Loan Backed Notes            | CUSIP: 04206RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    12550000 | PA      | $11561265.82  | 0.22%             | 2027-11-15      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                        | Flagship Credit Auto Trust 2019-3                                             | CUSIP: 33846A106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       31000 | PA      | $2723571.33   | 0.05%             | 2026-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CFG Investments Limited                           | CFG Investments Ltd                                                           | CUSIP: 12528GAG7<br>LEI: 549300C3OD89QRWQ1Y92 | Long             | ABS-O            | CORP              | US        |      515000 | PA      | $477991.59    | 0.01%             | 2032-05-20      | Fixed         | 9.07%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                          | Florida Power & Light Co                                                      | CUSIP: 341081GD3<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     2120000 | PA      | $2116374.80   | 0.04%             | 2023-05-10      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM LLC                                                                      | CUSIP: 69378KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9897500 | PA      | $9605235.79   | 0.18%             | 2067-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST                     | Commonbond Student Loan Trust 2021-B-GS                                       | CUSIP: 20268AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2981599 | PA      | $2419863.80   | 0.05%             | 2051-09-25      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust         | Santander Consumer Auto Receivables Trust 2021-A                              | CUSIP: 80282Y205<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       28500 | PA      | $1831120.74   | 0.03%             | 2028-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                | Dominican Republic International Bond                                         | CUSIP: 25714PEP9<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     5450000 | PA      | $5014763.00   | 0.09%             | 2029-02-22      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HIGHMARK INC                                      | Highmark Inc                                                                  | CUSIP: 431116AD4<br>LEI: 549300B6868ZXXEB2Y57 | Long             | DBT              | CORP              | US        |     8000000 | PA      | $7040160.00   | 0.13%             | 2026-05-10      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                             | Tenet Healthcare Corp                                                         | CUSIP: 88033GDN7<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     8675000 | PA      | $7515933.25   | 0.14%             | 2030-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                       | Southern Co/The                                                               | CUSIP: 842587DD6<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     6096000 | PA      | $6080699.04   | 0.11%             | 2027-08-01      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7527975 | PA      | $6759451.94   | 0.13%             | 2030-01-15      | Fixed         | 0.13%                 | No            |                  1 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2020-P1                                        | CUSIP: 14687AAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       20000 | PA      | $3112705.98   | 0.06%             | 2027-09-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                           | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     2434000 | PA      | $2320356.54   | 0.04%             | 2028-04-26      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| Vector Group Ltd                                  | Vector Group Ltd                                                              | CUSIP: 92240MBJ6<br>LEI: 549300TUIF4WWN6NDN50 | Long             | DBT              | CORP              | US        |    14927000 | PA      | $14869829.59  | 0.28%             | 2026-11-01      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| CRESTWOOD EQUITY PARTNER                          | Crestwood Equity Partners LP                                                  | CUSIP: 226344307<br>LEI: 549300CUY0F1TYDLDL45 | Long             | EP               | CORP              | US        |      653920 | NS      | $5662947.20   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| HP INC                                            | HP Inc                                                                        | CUSIP: 40434LAM7<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |    11941000 | PA      | $11597935.07  | 0.22%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SILGAN HOLDINGS INC                               | Silgan Holdings Inc                                                           | CUSIP: 827048AX7<br>LEI: KAF673KJXD92C8KSLU49 | Long             | DBT              | CORP              | US        |    20082000 | PA      | $17724172.38  | 0.33%             | 2026-04-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                  | Altria Group Inc                                                              | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     9890000 | PA      | $7458642.40   | 0.14%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust               | GS Mortgage-Backed Securities Trust 2020-INV1                                 | CUSIP: 36258KAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12189605 | PA      | $1709872.51   | 0.03%             | 2050-10-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS                                  | Antares Holdings LP                                                           | CUSIP: 03666HAB7<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |     2750000 | PA      | $2773980.00   | 0.05%             | 2025-05-18      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2020-LTV1                                            | CUSIP: 46591NBW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2758103 | PA      | $2199543.45   | 0.04%             | 2050-06-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| ANGLOGOLD HOLDINGS PLC                            | AngloGold Ashanti Holdings PLC                                                | CUSIP: 03512TAF8<br>LEI: 213800745ZIXC4L6A131 | Long             | DBT              | CORP              | IM        |    15715000 | PA      | $13777654.80  | 0.26%             | 2028-11-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| STILLWATER MINING CO                              | Stillwater Mining Co                                                          | CUSIP: 86074QAP7<br>LEI: 6354007DPCY4ZN2MRR73 | Long             | DBT              | CORP              | US        |     9328000 | PA      | $8239982.08   | 0.16%             | 2026-11-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BRIGHTHOUSE FINANCIAL IN                          | Brighthouse Financial Inc                                                     | CUSIP: 10922NAG8<br>LEI: 5493003T8SZSHOGGAW52 | Long             | DBT              | CORP              | US        |     6750000 | PA      | $6422152.50   | 0.12%             | 2030-05-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                 | Post Holdings Inc                                                             | CUSIP: 737446AQ7<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |     8247000 | PA      | $7115016.78   | 0.13%             | 2030-04-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2020-J2                                                             | CUSIP: 12568PCJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      491000 | PA      | $189356.83    | 0.00%             | 2051-01-25      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                  | Georgia Power Co                                                              | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    12308000 | PA      | $11853342.48  | 0.22%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| HOLOGIC INC                                       | Hologic Inc                                                                   | CUSIP: 436440AP6<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | DBT              | CORP              | US        |    10357000 | PA      | $8944305.20   | 0.17%             | 2029-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| First Republic Mortgage Trust                     | First Republic Mortgage Trust 2020-1                                          | CUSIP: 33616LAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1415160 | PA      | $1045873.60   | 0.02%             | 2050-04-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC                          | FHF Trust 2022-2                                                              | CUSIP: 31568EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7424258 | PA      | $7317270.50   | 0.14%             | 2027-12-15      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                          | Foundation Finance Trust 2021-1                                               | CUSIP: 35041LAD2<br>LEI: 549300MQ65NOVQXYNB21 | Long             | ABS-O            | CORP              | US        |     2345000 | PA      | $2037707.10   | 0.04%             | 2041-05-15      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                          | Thermo Fisher Scientific Inc                                                  | CUSIP: 883556CR1<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    10892000 | PA      | $10839718.40  | 0.20%             | 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        |     4476550 | PA      | $4324305.95   | 0.08%             | 2062-04-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2019-8                                               | CUSIP: 46591KBW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3403783 | PA      | $2757609.55   | 0.05%             | 2050-03-25      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| New Residential Advance Receivables Trust Advance | NRZ Advance Receivables Trust 2015-ON1                                        | CUSIP: 62942QCZ4<br>LEI: 549300RNWDDBV4LFKJ17 | Long             | ABS-O            | CORP              | US        |     5550000 | PA      | $5331606.39   | 0.10%             | 2053-09-15      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                         | Prosus NV                                                                     | CUSIP: 000000000<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     5715000 | PA      | $4627795.13   | 0.09%             | 2029-07-13      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                          | Comision Federal de Electricidad                                              | CUSIP: 200447AH3<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |     3020000 | PA      | $2367408.20   | 0.04%             | 2031-02-09      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| GOTO GROUP INC                                    | GoTo Group Inc                                                                | CUSIP: 541056AA5<br>LEI: 549300D12V5KRBV00592 | Long             | DBT              | CORP              | US        |     6873000 | PA      | $3709701.75   | 0.07%             | 2027-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINAN                                  | Vmed O2 UK Financing I PLC                                                    | CUSIP: 92858RAB6<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     1500000 | PA      | $1221480.00   | 0.02%             | 2031-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP/FINANCE CORP                            | Sunoco LP / Sunoco Finance Corp                                               | CUSIP: 86765LAZ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2500000 | PA      | $2171025.00   | 0.04%             | 2030-04-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SVCS                             | Universal Health Services Inc                                                 | CUSIP: 913903AZ3<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |     6179000 | PA      | $5295155.16   | 0.10%             | 2026-09-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                 | Imperial Fund Mortgage Trust 2021-NQM4                                        | CUSIP: 45276JAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2500000 | PA      | $1455788.75   | 0.03%             | 2057-01-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2021-11                                              | CUSIP: 46654KCH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2763367 | PA      | $989269.79    | 0.02%             | 2052-01-25      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| FAIRFAX US INC                                    | Fairfax US Inc                                                                | CUSIP: 304071AA1<br>LEI: 549300JGURHUEU25AZ92 | Long             | DBT              | CORP              | US        |     1187000 | PA      | $1160909.74   | 0.02%             | 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        |     6800074 | PA      | $6785313.41   | 0.13%             | 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        |    17500000 | PA      | $17444583.34  | 0.33%             | 2023-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COMCAST HOLDINGS CORP                             | Comcast Holdings Corp                                                         | CUSIP: 200300507<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    15486000 | PA      | $7835141.70   | 0.15%             | 2029-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2022-3                                               | CUSIP: 46654UCW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2714914 | PA      | $1633681.21   | 0.03%             | 2052-08-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                              | Indonesia Treasury Bond                                                       | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 36895000000 | PA      | $2436811.95   | 0.05%             | 2038-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| JT INTL FIN SERVICES BV                           | JT International Financial Services BV                                        | CUSIP: 480914AA8<br>LEI: 549300U2F0PG10VZUN93 | Long             | DBT              | CORP              | NL        |     8000000 | PA      | $8486240.00   | 0.16%             | 2032-10-24      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| City of Chicago IL                                | CHICAGO IL                                                                    | CUSIP: 167486M97<br>LEI: T5UYO5SYLC8K73MJQX30 | Long             | DBT              | MUN               | US        |     1940000 | PA      | $1968143.58   | 0.04%             | 2029-01-01      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| DirecTV Financing, LLC                            | DirecTV Financing, LLC Term Loan                                              | CUSIP: 25460HAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     9230000 | PA      | $8966575.81   | 0.17%             | 2027-08-02      | Floating      | 9.38%                 | No            |                  2 | On Loan: No      |
| AXIS Equipment Finance Receivables LLC            | Amur Equipment Finance Receivables IX LLC                                     | CUSIP: 03237KAG9<br>LEI: 549300INEWFFGID70G60 | Long             | ABS-O            | CORP              | US        |     8152000 | PA      | $7323752.72   | 0.14%             | 2029-02-20      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| Videotron Ltd                                     | Videotron Ltd                                                                 | CUSIP: 92660FAG9<br>LEI: 549300LW4GNJRBECSD81 | Long             | DBT              | CORP              | CA        |     6000000 | PA      | $5954820.00   | 0.11%             | 2024-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2021-N4                                        | CUSIP: 14687HAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       11650 | PA      | $2213975.32   | 0.04%             | 2028-09-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BWX TECHNOLOGIES INC                              | BWX Technologies Inc                                                          | CUSIP: 05605HAC4<br>LEI: 549300NP85N265KWMS58 | Long             | DBT              | CORP              | US        |    12081000 | PA      | $10467824.07  | 0.20%             | 2029-04-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2021-J3                                         | CUSIP: 17330BDQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      173000 | PA      | $57945.73     | 0.00%             | 2051-09-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                 | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     2832000 | PA      | $2574061.44   | 0.05%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16018543 | PA      | $13560420.11  | 0.26%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TRUST F/1401                                      | Trust Fibra Uno                                                               | CUSIP: 898324AC2<br>LEI: N/A                  | Long             | DBT              |  | MX        |    12784000 | PA      | $12385906.24  | 0.23%             | 2026-01-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| US AIRWAYS 2012-1A PTT                            | US Airways 2012-1 Class A Pass Through Trust                                  | CUSIP: 90345WAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      791848 | PA      | $771244.18    | 0.01%             | 2024-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                    | Open Text Corp                                                                | CUSIP: 683715AF3<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |     9150000 | PA      | $9225762.00   | 0.17%             | 2027-12-01      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                       | Southern Co/The                                                               | CUSIP: 842587CV7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     6725000 | PA      | $6334950.00   | 0.12%             | 2026-07-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                            | Mizuho Financial Group Inc                                                    | CUSIP: 60687YBC2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    11070000 | PA      | $11000148.30  | 0.21%             | 2024-05-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| DIGITAL REALTY TRUST LP                           | Digital Realty Trust LP                                                       | CUSIP: 25389JAV8<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              |  | US        |    11912000 | PA      | $11992406.00  | 0.23%             | 2028-01-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CAPITAL CORP                             | Owl Rock Capital Corp                                                         | CUSIP: 69121KAF1<br>LEI: 2549000BD79OOCPF2L94 | Long             | DBT              | CORP              | US        |      833000 | PA      | $687608.18    | 0.01%             | 2027-01-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| RELIANCE STAND LIFE II                            | Reliance Standard Life Global Funding II                                      | CUSIP: 75951AAP3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2900000 | PA      | $2719939.00   | 0.05%             | 2025-05-07      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                          | CUSIP: 06051GKS7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     2535000 | PA      | $2474514.90   | 0.05%             | 2025-04-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2022-3                                               | CUSIP: 46654UCX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1727315 | PA      | $618427.04    | 0.01%             | 2052-08-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                        | Upstart Pass-Through Trust Series 2021-ST2                                    | CUSIP: 91682CAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3356408 | PA      | $3139787.38   | 0.06%             | 2027-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust     | BHG Securitization Trust 2022-A                                               | CUSIP: 054977AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    13759122 | PA      | $12855535.56  | 0.24%             | 2035-02-20      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                        | MFA 2021-INV1 Trust                                                           | CUSIP: 552747AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5792861 | PA      | $5084686.50   | 0.10%             | 2056-01-25      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2018-7                                                 | CUSIP: 81747WEL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1802000 | PA      | $1290708.45   | 0.02%             | 2048-09-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| COMPASS GROUP DIVERSIFIE                          | Compass Group Diversified Holdings LLC                                        | CUSIP: 20451RAB8<br>LEI: 549300I6PTUQPX21TE93 | Long             | DBT              | CORP              | US        |     9633000 | PA      | $8260779.15   | 0.16%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2022-INV1                                       | CUSIP: 17290FDZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3413275 | PA      | $1080177.74   | 0.02%             | 2051-11-27      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| ExteNet Systems                                   | ExteNet LLC 2019-1                                                            | CUSIP: 30227XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5000000 | PA      | $4693649.00   | 0.09%             | 2049-07-26      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                      | Barclays PLC                                                                  | CUSIP: 06738EBC8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     2500000 | PA      | $2496075.00   | 0.05%             | 2024-05-16      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2020-EXP1                                       | CUSIP: 17328JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      770600 | PA      | $597781.62    | 0.01%             | 2060-05-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FIN                          | Virgin Media Secured Finance PLC                                              | CUSIP: 92769XAP0<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |     1800000 | PA      | $1617606.00   | 0.03%             | 2029-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First Republic Mortgage Trust                     | First Republic Mortgage Trust 2020-1                                          | CUSIP: 33616LAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   126030107 | PA      | $2394370.38   | 0.05%             | 2050-04-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd   | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                        | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    20000000 | PA      | $19360596.00  | 0.36%             | 2037-01-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| METALLOINVEST FINANCE                             | Metalloinvest Finance DAC                                                     | CUSIP: 59126LAB4<br>LEI: 635400ZS3HCCUYTNHA25 | Long             | DBT              | CORP              | IE        |     7500000 | PA      | $4030350.00   | 0.08%             | 2028-10-22      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | CITIGROUP MORTGAGE LOAN TRUST 2021-J1                                         | CUSIP: 17329EBX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      375000 | PA      | $122196.45    | 0.00%             | 2051-04-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                               | Oportun Funding 2022-1 LLC                                                    | CUSIP: 68377X109<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       11000 | PA      | $4317871.67   | 0.08%             | 2029-06-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                        | Affirm Asset Securitization Trust 2021-Z2                                     | CUSIP: 00834TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1354209 | PA      | $1300231.77   | 0.02%             | 2026-11-16      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                 | Iron Mountain Inc                                                             | CUSIP: 46284VAF8<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              |  | US        |     2000000 | PA      | $1742440.00   | 0.03%             | 2029-09-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                             | CUSIP: 31359GP34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         122 | PA      | $121.72       | 0.00%             | 2024-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Diamond Infrastructure Funding LLC                | Diamond Infrastructure Funding LLC                                            | CUSIP: 25265LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    15300000 | PA      | $12532028.04  | 0.24%             | 2049-04-15      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| California Health Facilities Financing Authority  | CALIFORNIA ST HLTH FACS FING AUTH REVENUE                                     | CUSIP: 13033LLT2<br>LEI: 5493007RI8BUDOGHZ546 | Long             | DBT              | MUN               | US        |     1610000 | PA      | $1613071.88   | 0.03%             | 2026-02-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Consumer Loan Underlying Bond Credit Trust        | CONSUMER LOAN UNDERLYING BOND CLUB CERTIFICATE ISSUER TRUST I SERIES 2019-HP1 | CUSIP: 21055MAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3234115 | PA      | $3219484.25   | 0.06%             | 2026-12-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile Receivables Trust    | Foursight Capital Automobile Receivables Trust 2020-1                         | CUSIP: 35105FAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1100000 | PA      | $1084795.56   | 0.02%             | 2026-04-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                              | Indonesia Treasury Bond                                                       | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 44090000000 | PA      | $2918252.46   | 0.05%             | 2040-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SCIENCE APPLICATIONS INT                          | Science Applications International Corp                                       | CUSIP: 808625AA5<br>LEI: 549300LZPNZIXQGZPZ48 | Long             | DBT              | CORP              | US        |    15749000 | PA      | $14637750.56  | 0.28%             | 2028-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                    | Pagaya AI Debt Selection Trust 2021-HG1                                       | CUSIP: 69547PAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3091033 | PA      | $2915437.95   | 0.05%             | 2029-01-16      | Fixed         | 1.22%                 | 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        |      266517 | PA      | $265059.01    | 0.00%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2018-1                                    | CUSIP: 64830GAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      835769 | PA      | $783784.43    | 0.01%             | 2057-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| The Federal Republic of Nigeria                   | Nigeria Government International Bond                                         | CUSIP: 65412JAB9<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |    10000000 | PA      | $6418000.00   | 0.12%             | 2047-11-28      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                        | Flagship Credit Auto Trust 2022-1                                             | CUSIP: 33845VAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6120000 | PA      | $5238543.44   | 0.10%             | 2029-06-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| MIDWEST CONNECTOR CAPIT                           | Midwest Connector Capital Co LLC                                              | CUSIP: 59833CAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5487000 | PA      | $4950755.49   | 0.09%             | 2029-04-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitization Trust           | Lendingpoint 2021-A Asset Securitization Trust                                | CUSIP: 52607FAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9000000 | PA      | $8354656.80   | 0.16%             | 2028-12-15      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL SERVICES                          | Hyundai Capital Services Inc                                                  | CUSIP: 44920UAP3<br>LEI: 549300MALMDAGL2ZJJ27 | Long             | DBT              | CORP              | KR        |      830000 | PA      | $720971.20    | 0.01%             | 2026-02-08      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2015-4                                                 | CUSIP: 81746MCE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1686000 | PA      | $1449904.24   | 0.03%             | 2030-11-25      | Variable      | 3.14%                 | No            |                  2 | On Loan: No      |
| ENERGIZER HOLDINGS INC                            | Energizer Holdings Inc                                                        | CUSIP: 29272WAC3<br>LEI: 5493000D6NN0V57UME20 | Long             | DBT              | CORP              | US        |     7268000 | PA      | $6325340.40   | 0.12%             | 2028-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                               | Charles Schwab Corp/The                                                       | CUSIP: 808513BZ7<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    20000000 | PA      | $19451000.00  | 0.37%             | 2027-03-03      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                           | MPLX LP                                                                       | CUSIP: 55336VBU3<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     4675000 | PA      | $4383981.25   | 0.08%             | 2032-09-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                 | CUSIP: 172967MZ1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     6750000 | PA      | $6448275.00   | 0.12%             | 2027-06-09      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                  | Societe Generale SA                                                           | CUSIP: 83368RBF8<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     2600000 | PA      | $2503306.00   | 0.05%             | 2026-01-21      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2022-6                                               | CUSIP: 03465VAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4888232 | PA      | $4564213.03   | 0.09%             | 2067-07-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust               | GS Mortgage-Backed Securities Trust 2020-INV1                                 | CUSIP: 36258KBT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14585762 | PA      | $173443.67    | 0.00%             | 2050-10-25      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                        | Flagship Credit Auto Trust 2019-1                                             | CUSIP: 33844RAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2500000 | PA      | $2437812.08   | 0.05%             | 2026-06-15      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                      | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-305012.34   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2021-P2                                        | CUSIP: 14687TAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        7500 | PA      | $2326774.17   | 0.04%             | 2028-05-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Avant Credit Card Master Trust                    | Avant Credit Card Master Trust                                                | CUSIP: 05351KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3000000 | PA      | $2744623.20   | 0.05%             | 2027-04-15      | Fixed         | 1.37%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-AFC1 Trust                                                          | CUSIP: 12657LAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      146228 | PA      | $109372.14    | 0.00%             | 2056-03-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                             | Arroyo Mortgage Trust 2021-1R                                                 | CUSIP: 042853AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3537201 | PA      | $2776882.86   | 0.05%             | 2048-10-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP/FINANCE CORP                            | Sunoco LP / Sunoco Finance Corp                                               | CUSIP: 86765LAN7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    10000000 | PA      | $9480500.00   | 0.18%             | 2028-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust               | GS Mortgage-Backed Securities Trust 2020-INV1                                 | CUSIP: 36258KBU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    64167772 | PA      | $492763.57    | 0.01%             | 2050-10-25      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF NIGERIA                               | Nigeria Government International Bond                                         | CUSIP: 65412JAT0<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |     4300000 | PA      | $2861435.00   | 0.05%             | 2051-09-28      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2021-D                                       | CUSIP: 78449MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3050459 | PA      | $2948013.13   | 0.06%             | 2053-03-17      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2017-1                                              | CUSIP: 89173FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      285682 | PA      | $280877.26    | 0.01%             | 2056-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2021-A                                       | CUSIP: 78448YAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        2742 | PA      | $6071416.95   | 0.11%             | 2053-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                            | Mosaic Solar Loan Trust 2021-1                                                | CUSIP: 61947DAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7523217 | PA      | $2547361.11   | 0.05%             | 2046-12-20      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| SG Capital Partners                               | SG Residential Mortgage Trust 2021-2                                          | CUSIP: 78432YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6929955 | PA      | $5541582.57   | 0.10%             | 2061-12-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                              | CUSIP: 3132DWDK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    18689755 | PA      | $16407818.32  | 0.31%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                           | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     3880000 | PA      | $3787966.40   | 0.07%             | 2028-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                            | Galaxy Pipeline Assets Bidco Ltd                                              | CUSIP: 36321PAB6<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |     6630000 | PA      | $5335293.60   | 0.10%             | 2036-03-31      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                          | Service Properties Trust                                                      | CUSIP: 44106MAV4<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |      700000 | PA      | $585291.00    | 0.01%             | 2026-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                               | Oportun Funding 2022-1 LLC                                                    | CUSIP: 68377XAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5904574 | PA      | $5802453.21   | 0.11%             | 2029-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2022-P1                                        | CUSIP: 14688DAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       24000 | PA      | $7904725.63   | 0.15%             | 2029-01-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                           | Flagstar Mortgage Trust 2020-2                                                | CUSIP: 33851KBZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      208900 | PA      | $161243.64    | 0.00%             | 2050-08-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                     | TransDigm Inc                                                                 | CUSIP: 893647BK2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     5600000 | PA      | $5672800.00   | 0.11%             | 2025-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                  | Puget Energy Inc                                                              | CUSIP: 745310AN2<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     3655000 | PA      | $3252511.40   | 0.06%             | 2032-03-15      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACLN                   | JPMorgan Chase Bank NA - CACLN                                                | CUSIP: 46591HAT7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1827861 | PA      | $1882696.72   | 0.04%             | 2028-01-25      | Fixed         | 33.78%                | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust      | Wells Fargo Mortgage Backed Securities 2021-INV1 Trust                        | CUSIP: 95003KBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1040543 | PA      | $360447.64    | 0.01%             | 2051-08-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                               | Oportun Issuance Trust 2022-3                                                 | CUSIP: 68378NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    10588000 | PA      | $10258142.61  | 0.19%             | 2031-06-09      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                        | MFA 2021-INV2 Trust                                                           | CUSIP: 552732AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9947950 | PA      | $8120683.96   | 0.15%             | 2056-11-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                | Aqua Finance Trust 2019-A                                                     | CUSIP: 038370AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    18900000 | PA      | $17078651.98  | 0.32%             | 2040-07-16      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                  | Societe Generale SA                                                           | CUSIP: 83368RAT9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     2000000 | PA      | $1952240.00   | 0.04%             | 2024-03-28      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                 | CUSIP: 842400HH9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     8857000 | PA      | $8622466.64   | 0.16%             | 2023-08-01      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                       | CUSIP: 44891ABY2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     7143000 | PA      | $6602989.20   | 0.12%             | 2024-09-17      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| TELENET FINANCE LUX NOTE                          | Telenet Finance Luxembourg Notes Sarl                                         | CUSIP: 000000000<br>LEI: 2138007RI9GLJPCC3E25 | Long             | DBT              | CORP              | LU        |    14200000 | PA      | $12781988.00  | 0.24%             | 2028-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust                                                      | CUSIP: 46647HAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1630300 | PA      | $1348438.13   | 0.03%             | 2046-12-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                            | Marlette Funding Trust 2019-4                                                 | CUSIP: 57110AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2883115 | PA      | $2831904.82   | 0.05%             | 2029-12-17      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                          | Constellation Brands Inc                                                      | CUSIP: 21036PBK3<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     3194000 | PA      | $3108273.04   | 0.06%             | 2027-05-09      | Fixed         | 4.35%                 | 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        |      168828 | PA      | $163940.38    | 0.00%             | 2059-09-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                  | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     6697000 | PA      | $5668005.95   | 0.11%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                             | CUSIP: 404280DE6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     2600000 | PA      | $2523898.00   | 0.05%             | 2025-12-09      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| STILLWATER MINING CO                              | Stillwater Mining Co                                                          | CUSIP: 86074QAQ5<br>LEI: 6354007DPCY4ZN2MRR73 | Long             | DBT              | CORP              | US        |     3050000 | PA      | $2448052.00   | 0.05%             | 2029-11-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2020-2                             | CUSIP: 35563PQP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3221549 | PA      | $2881178.88   | 0.05%             | 2059-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                            | Fairfax Financial Holdings Ltd                                                | CUSIP: 303901BK7<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     8657000 | PA      | $8129528.99   | 0.15%             | 2032-08-16      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                 | Newell Brands Inc                                                             | CUSIP: 651229BD7<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |     9300000 | PA      | $9179193.00   | 0.17%             | 2029-09-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| INFOR INC                                         | Infor Inc                                                                     | CUSIP: 45674CAA1<br>LEI: 549300Q3IIYBYI4RHD64 | Long             | DBT              | CORP              | US        |     2250000 | PA      | $2029905.00   | 0.04%             | 2025-07-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                              | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    10090000 | PA      | $8890097.20   | 0.17%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2022-INV1                                       | CUSIP: 17290FDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1353929 | PA      | $843398.16    | 0.02%             | 2051-11-27      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| OWL ROCK TECHNOLOGY FINA                          | Owl Rock Technology Finance Corp                                              | CUSIP: 691205AC2<br>LEI: 254900G5EZJSOD3UKL16 | Long             | DBT              | CORP              | US        |     6409000 | PA      | $5851865.63   | 0.11%             | 2025-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust      | Arivo Acceptance Auto Loan Receivables Trust 2021-1                           | CUSIP: 04047AAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      900000 | PA      | $856263.04    | 0.02%             | 2027-03-15      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| ACC Auto Trust                                    | ACC Auto Trust 2021-A                                                         | CUSIP: 00108XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1488716 | PA      | $1471516.32   | 0.03%             | 2027-04-15      | Fixed         | 1.08%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                            | Mosaic Solar Loan Trust 2020-2                                                | CUSIP: 61946PAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1011084 | PA      | $940882.88    | 0.02%             | 2046-08-20      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                  | CUSIP: 902613AR9<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     5200000 | PA      | $5115864.00   | 0.10%             | 2025-08-05      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                            | CenterPoint Energy Inc                                                        | CUSIP: 15189TAZ0<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |     2500000 | PA      | $2469450.00   | 0.05%             | 2024-05-13      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                   | CUSIP: 38150AGZ2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | SN               | CORP              | US        |     5092000 | PA      | $5066387.24   | 0.10%             | 2024-07-16      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitization Trust           | Lendingpoint 2022-A Asset Securitization Trust                                | CUSIP: 52605AAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6000000 | PA      | $5046295.20   | 0.09%             | 2029-06-15      | Fixed         | 7.02%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                            | Mitsubishi UFJ Financial Group Inc                                            | CUSIP: 606822CF9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     9714000 | PA      | $9363616.02   | 0.18%             | 2026-04-17      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| WIPRO IT SERVICE                                  | Wipro IT Services LLC                                                         | CUSIP: 97654MAA4<br>LEI: 549300S6XZZ65F0EJS98 | Long             | DBT              | CORP              | US        |     3953000 | PA      | $3474054.52   | 0.07%             | 2026-06-23      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BOSTON GAS COMPANY                                | Boston Gas Co                                                                 | CUSIP: 100743AM5<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |     6140000 | PA      | $5367281.00   | 0.10%             | 2032-03-16      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2020-4                                               | CUSIP: 46652FBT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2196807 | PA      | $44546.85     | 0.00%             | 2050-11-25      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| SPCM SA                                           | SPCM SA                                                                       | CUSIP: 7846ELAD9<br>LEI: 969500F7036FEDYPRV54 | Long             | DBT              | CORP              | FR        |     8405000 | PA      | $7273182.70   | 0.14%             | 2027-03-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| AgriBank FCB                                      | AgriBank FCB                                                                  | CUSIP: 00850L203<br>LEI: I0JS1G88CFNZT8P31C22 | Long             | EP               | CORP              | US        |       40000 | NS      | $4148000.00   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| SPECTRUM BRANDS INC                               | Spectrum Brands Inc                                                           | CUSIP: 84762LAW5<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |     5705000 | PA      | $5063929.15   | 0.10%             | 2030-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust                                                      | CUSIP: 46647HAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1235587 | PA      | $759168.52    | 0.01%             | 2046-12-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                              | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    15000000 | PA      | $9403125.00   | 0.18%             | 2040-05-15      | Fixed         | 1.13%                 | No            |                  1 | On Loan: No      |
| Aqua Finance Trust                                | Aqua Finance Trust 2020-A                                                     | CUSIP: 038413AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4665920 | PA      | $4327557.17   | 0.08%             | 2046-07-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2021-J2                                         | CUSIP: 17329MDW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1247350 | PA      | $259192.10    | 0.00%             | 2051-07-25      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                        | VMware Inc                                                                    | CUSIP: 928563AD7<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     4040000 | PA      | $3961179.60   | 0.07%             | 2025-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GoTo Group, Inc.                                  | GoTo Group, Inc. Term Loan B                                                  | CUSIP: 54142KAD3<br>LEI: 549300D12V5KRBV00592 | Long             | LON              | CORP              | US        |     6692488 | PA      | $4278172.92   | 0.08%             | 2027-08-31      | Floating      | 9.14%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust      | Wells Fargo Mortgage Backed Securities 2021-INV1 Trust                        | CUSIP: 95003KBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1345099 | PA      | $771253.53    | 0.01%             | 2051-08-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| NVENT FINANCE SARL                                | nVent Finance Sarl                                                            | CUSIP: 67078AAE3<br>LEI: 549300KO1OQ4MVFB6X02 | Long             | DBT              | CORP              | LU        |     4097000 | PA      | $3133754.33   | 0.06%             | 2031-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                            | CUSIP: 29273RBA6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $923880.00    | 0.02%             | 2066-11-01      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| Dext ABS                                          | Dext ABS 2021-1 LLC                                                           | CUSIP: 23345CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3996022 | PA      | $3813785.97   | 0.07%             | 2028-02-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2020-4                                               | CUSIP: 46652FCD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1316996 | PA      | $987115.56    | 0.02%             | 2050-11-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| BROADCOM CRP / CAYMN FI                           | Broadcom Corp / Broadcom Cayman Finance Ltd                                   | CUSIP: 11134LAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     4975000 | PA      | $4709832.50   | 0.09%             | 2027-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                   | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     4565000 | PA      | $4091061.70   | 0.08%             | 2026-03-25      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                      | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-2881449.60  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                            | Santander Holdings USA Inc                                                    | CUSIP: 80282KAZ9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     1815000 | PA      | $1680562.95   | 0.03%             | 2026-10-05      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| New Residential Advance Receivables Trust Advance | NRZ Advance Receivables Trust 2015-ON1                                        | CUSIP: 62942QCY7<br>LEI: 549300RNWDDBV4LFKJ17 | Long             | ABS-O            | CORP              | US        |     3000000 | PA      | $2881690.50   | 0.05%             | 2053-09-15      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2022-NQM3                                 | CUSIP: 64831QAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    19817855 | PA      | $18098916.17  | 0.34%             | 2062-04-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                               | CDW LLC / CDW Finance Corp                                                    | CUSIP: 12513GBF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5238000 | PA      | $4464085.50   | 0.08%             | 2029-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                           | Flagstar Mortgage Trust 2021-13INV                                            | CUSIP: 33853HBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4155597 | PA      | $1929478.39   | 0.04%             | 2051-12-30      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY LP                                 | Vornado Realty LP                                                             | CUSIP: 929043AK3<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              |  | US        |     9336500 | PA      | $7909135.88   | 0.15%             | 2026-06-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Theorem Funding Trust                             | Theorem Funding Trust 2022-3                                                  | CUSIP: 882925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8475120 | PA      | $8473351.49   | 0.16%             | 2029-04-15      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                      | Upstart Securitization Trust 2021-3                                           | CUSIP: 91679L102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        7165 | PA      | $1118014.08   | 0.02%             | 2031-07-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2022-J1                                         | CUSIP: 17330CCW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1404735 | PA      | $301510.78    | 0.01%             | 2052-02-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2020-4                                               | CUSIP: 46652FBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2054691 | PA      | $115949.48    | 0.00%             | 2050-11-25      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| West Contra Costa Unified School District         | W CONTRA COSTA CA UNIF SCH DIST                                               | CUSIP: 9523472N1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      980000 | PA      | $783247.36    | 0.01%             | 2032-08-01      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-CM1 Trust                                                           | CUSIP: 36168AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4157256 | PA      | $3898306.07   | 0.07%             | 2065-04-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                            | Santander Holdings USA Inc                                                    | CUSIP: 80282KBB1<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     1185000 | PA      | $1128120.00   | 0.02%             | 2025-06-02      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Darling Ingredients Inc                           | Darling Ingredients Inc                                                       | CUSIP: 237266AH4<br>LEI: L1N0SPPKS7EXZYUMZ898 | Long             | DBT              | CORP              | US        |     3700000 | PA      | $3608906.00   | 0.07%             | 2027-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SEAWORLD PARKS & ENTERTA                          | SeaWorld Parks & Entertainment Inc                                            | CUSIP: 81282UAC6<br>LEI: 549300UZV72O3371JJ53 | Long             | DBT              | CORP              | US        |    15990000 | PA      | $16377117.90  | 0.31%             | 2025-05-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                              | Enel Finance International NV                                                 | CUSIP: 29278GBA5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     2400000 | PA      | $2550480.00   | 0.05%             | 2032-10-14      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LFE GLB FND II                          | Principal Life Global Funding II                                              | CUSIP: 74256LEJ4<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |     9485000 | PA      | $9045180.55   | 0.17%             | 2024-01-08      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                       | PRKCM 2021-AFC1 Trust                                                         | CUSIP: 69357TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4940537 | PA      | $3896659.60   | 0.07%             | 2056-08-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Student Loan Trust 2011-2                                                 | CUSIP: 78446JAB2<br>LEI: 549300GQO6PBOYVGSS10 | Long             | ABS-O            | CORP              | US        |     3633657 | PA      | $3607541.10   | 0.07%             | 2034-10-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                           | Flagstar Mortgage Trust 2017-1                                                | CUSIP: 33850BAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      300046 | PA      | $264279.76    | 0.00%             | 2047-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2019-G                                               | CUSIP: 00969VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5377112 | PA      | $5152185.85   | 0.10%             | 2059-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                   | SBA Tower Trust                                                               | CUSIP: 78403DAT7<br>LEI: N/A                  | Long             | DBT              |  | US        |    13500000 | PA      | $11465255.70  | 0.22%             | 2026-11-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CORE INCOME COR                          | OWL Rock Core Income Corp                                                     | CUSIP: 69120VAL5<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |     2690000 | PA      | $2611317.50   | 0.05%             | 2025-03-21      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VONTIER CORP                                      | Vontier Corp                                                                  | CUSIP: 928881AB7<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |     1533000 | PA      | $1296856.68   | 0.02%             | 2026-04-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 3140N1T37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5228909 | PA      | $5162185.85   | 0.10%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                               | American Tower Corp                                                           | CUSIP: 03027XBR0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     1842000 | PA      | $1606850.28   | 0.03%             | 2026-09-15      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                          | Vistra Operations Co LLC                                                      | CUSIP: 92840VAK8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    12188000 | PA      | $11934611.48  | 0.22%             | 2024-05-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Proper Pass-Thru Trust II                         | Prosper Pass-Thru Trust II Series 2019-St1                                    | CUSIP: 74360MAB6<br>LEI: 549300HCI5NYJ9JJET80 | Long             | ABS-O            | CORP              | US        |    13363728 | PA      | $355535.03    | 0.01%             | 2025-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORI                          | Charles River Laboratories International Inc                                  | CUSIP: 159864AE7<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |     4480000 | PA      | $4122361.60   | 0.08%             | 2028-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| New Residential Advance Receivables Trust Advance | New Residential Advance Receivables Trust Advance Receivables Backed 2020-T1  | CUSIP: 62942QCS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3000000 | PA      | $2885409.00   | 0.05%             | 2053-08-15      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                            | Fairfax Financial Holdings Ltd                                                | CUSIP: 303901BJ0<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     1520000 | PA      | $1239590.40   | 0.02%             | 2031-03-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Refi Loan Trust 2019-D                              | CUSIP: 63941CAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3959024 | PA      | $3846459.26   | 0.07%             | 2059-12-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2013-2                          | American Airlines 2013-2 Class A Pass Through Trust                           | CUSIP: 02377UAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3861713 | PA      | $3846304.83   | 0.07%             | 2023-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                      | Upstart Securitization Trust 2018-2                                           | CUSIP: 91678V101<br>LEI: 549300MM4LHW6AKJUZ51 | Long             | ABS-O            | CORP              | US        |       84500 | PA      | $3787107.73   | 0.07%             | 2025-12-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SUMMIT MIDSTREAM PARTNER                          | Summit Midstream Partners LP                                                  | CUSIP: 866142AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2114000 | PA      | $1538252.10   | 0.03%             | 2023-01-30      | Fixed         | 12.18%                | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2021-NQM2 Trust                                                           | CUSIP: 670857AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6453011 | PA      | $4853845.18   | 0.09%             | 2061-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| BARRY CALLEBAUT SVCS NV                           | Barry Callebaut Services NV                                                   | CUSIP: 000000000<br>LEI: 213800R1F1EJYM4ICO85 | Long             | DBT              | CORP              | BE        |    13052000 | PA      | $12983215.96  | 0.24%             | 2023-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust 2022-2                       | CHNGE Mortgage Trust 2022-2                                                   | CUSIP: 12546YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7015000 | PA      | $5150608.02   | 0.10%             | 2067-03-25      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| SPIRIT AEROSYSTEMS INC                            | Spirit AeroSystems Inc                                                        | CUSIP: 85205TAL4<br>LEI: ZD2NBKV6GCC3UMGBM518 | Long             | DBT              | CORP              | US        |     6676000 | PA      | $6597223.20   | 0.12%             | 2025-04-15      | Fixed         | 7.50%                 | 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        |      925250 | PA      | $923770.17    | 0.02%             | 2026-12-15      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                         | IQVIA Inc                                                                     | CUSIP: 000000000<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |     9460000 | PA      | $8509865.37   | 0.16%             | 2029-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| QORVO INC                                         | Qorvo Inc                                                                     | CUSIP: 74736KAH4<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |     1452000 | PA      | $1283117.88   | 0.02%             | 2029-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| KYNDRYL HOLDINGS INC                              | Kyndryl Holdings Inc                                                          | CUSIP: 50155QAJ9<br>LEI: 549300LQ4LWX2R8ZV130 | Long             | DBT              | CORP              | US        |     3968000 | PA      | $3280782.08   | 0.06%             | 2026-10-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2022-INV1 Trust                                                          | CUSIP: 69377EAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9789006 | PA      | $9038053.75   | 0.17%             | 2067-04-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CORE INCOME COR                          | OWL Rock Core Income Corp                                                     | CUSIP: 69120VAN1<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |     2030000 | PA      | $2019768.80   | 0.04%             | 2027-09-16      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| SKOPOS AUTO RECEIVABLES TRUST                     | Skopos Auto Receivables Trust 2019-1                                          | CUSIP: 83085DAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2650000 | PA      | $2622822.66   | 0.05%             | 2025-04-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| OWL ROCK TECHNOLOGY FINA                          | Owl Rock Technology Finance Corp                                              | CUSIP: 691205AE8<br>LEI: 254900G5EZJSOD3UKL16 | Long             | DBT              | CORP              | US        |     3540000 | PA      | $3079587.60   | 0.06%             | 2026-06-17      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2022-A                                       | CUSIP: 78450FAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6000000 | PA      | $5488437.24   | 0.10%             | 2054-11-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE                            | Westinghouse Air Brake Technologies Corp                                      | CUSIP: 960386AN0<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |     3854000 | PA      | $3790948.56   | 0.07%             | 2024-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                  | CUSIP: 902613AH1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     2679000 | PA      | $2304315.06   | 0.04%             | 2027-08-10      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                               | Petroleos Mexicanos                                                           | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     2802000 | PA      | $2126213.64   | 0.04%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | Onslow Bay Mortgage Loan Trust                                                | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17131105 | PA      | $13606903.67  | 0.26%             | 2061-10-25      | Variable      | 1.96%                 | 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        |      936544 | PA      | $901340.98    | 0.02%             | 2028-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                               | Petroleos Mexicanos                                                           | CUSIP: 71654QCP5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     4118000 | PA      | $3530690.84   | 0.07%             | 2029-01-23      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AES ANDRES BV                                     | AES Andres BV                                                                 | CUSIP: 00109YAA3<br>LEI: 7245003VZ59682IZLJ86 | Long             | DBT              | CORP              | NL        |     8167000 | PA      | $7072867.01   | 0.13%             | 2028-05-04      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                 | Imperial Fund Mortgage Trust 2021-NQM3                                        | CUSIP: 452762AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5408000 | PA      | $2734012.78   | 0.05%             | 2056-11-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2020-J1                                                             | CUSIP: 12559YBN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    18884843 | PA      | $128352.72    | 0.00%             | 2030-03-25      | Variable      | 0.20%                 | No            |                  2 | On Loan: No      |
| CFG Investments Limited                           | CFG Investments Ltd                                                           | CUSIP: 12528GAF9<br>LEI: 549300C3OD89QRWQ1Y92 | Long             | ABS-O            | CORP              | US        |     1560000 | PA      | $1481688.00   | 0.03%             | 2032-05-20      | Fixed         | 7.48%                 | No            |                  2 | On Loan: No      |
| BROADCOM CRP / CAYMN FI                           | Broadcom Corp / Broadcom Cayman Finance Ltd                                   | CUSIP: 11134LAR0<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     1628000 | PA      | $1483905.72   | 0.03%             | 2028-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                            | Motorola Solutions Inc                                                        | CUSIP: 620076BW8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    13595000 | PA      | $13264641.50  | 0.25%             | 2032-06-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2020-4                                               | CUSIP: 46652FBQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    34404768 | PA      | $95177.35     | 0.00%             | 2050-11-25      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust         | Santander Consumer Auto Receivables Trust 2021-A                              | CUSIP: 80282YAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3000000 | PA      | $2760045.00   | 0.05%             | 2028-08-15      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| BRIGHTHSE FIN GLBL FUND                           | Brighthouse Financial Global Funding                                          | CUSIP: 10921U2B3<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |     2307000 | PA      | $2280930.90   | 0.04%             | 2024-04-12      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                | CUSIP: 09659W2R4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     1350000 | PA      | $1101397.50   | 0.02%             | 2029-09-15      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 3140MGCW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4318523 | PA      | $3654150.09   | 0.07%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                              | CUSIP: 3132DNQ30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8521881 | PA      | $7479351.46   | 0.14%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ACC Trust                                         | ACC Trust 2019-2                                                              | CUSIP: 00108GAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      948280 | PA      | $944786.45    | 0.02%             | 2024-10-21      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| SK Telecom Co Ltd                                 | SK Telecom Co Ltd                                                             | CUSIP: 78440PAE8<br>LEI: 9884003WEA1PHW006037 | Long             | DBT              | CORP              | KR        |     3000000 | PA      | $2986440.00   | 0.06%             | 2023-04-16      | Fixed         | 3.75%                 | No            |                  2 | 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        |      696048 | PA      | $686661.27    | 0.01%             | 2025-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp                             | Tenet Healthcare Corp                                                         | CUSIP: 88033GCS7<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     3656000 | PA      | $3573228.16   | 0.07%             | 2024-07-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                           | CUSIP: 46647PBW5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1896000 | PA      | $1650979.92   | 0.03%             | 2027-02-04      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                            | Fairfax Financial Holdings Ltd                                                | CUSIP: 303901BB7<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     1105000 | PA      | $1047186.40   | 0.02%             | 2028-04-17      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                   | CUSIP: 68389XCH6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     6753000 | PA      | $7020553.86   | 0.13%             | 2029-11-09      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                          | CUSIP: 06051GJX8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1707000 | PA      | $1690954.20   | 0.03%             | 2024-05-28      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| PHOSAGRO(PHOS BOND FUND)                          | Phosagro OAO Via Phosagro Bond Funding DAC                                    | CUSIP: 71922LAB5<br>LEI: 635400F8A3KGJIIBIK95 | Long             | DBT              | CORP              | IE        |    11250000 | PA      | $7026187.50   | 0.13%             | 2023-04-24      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| TELEDYNE TECHNOLOGIES IN                          | Teledyne Technologies Inc                                                     | CUSIP: 879360AD7<br>LEI: 549300VSMO9KYQWDND94 | Long             | DBT              | CORP              | US        |     4423000 | PA      | $3818729.74   | 0.07%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                             | Tenet Healthcare Corp                                                         | CUSIP: 88033GDP2<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     4500000 | PA      | $4285845.00   | 0.08%             | 2030-06-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| ARCHES BUYER INC                                  | Arches Buyer Inc                                                              | CUSIP: 039524AA1<br>LEI: 2549009ADY4208OH2Y47 | Long             | DBT              | CORP              | US        |    19319000 | PA      | $15152278.08  | 0.29%             | 2028-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                  | CUSIP: 251526BS7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     2800000 | PA      | $2801624.00   | 0.05%             | 2023-02-27      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                            | CCO Holdings LLC / CCO Holdings Capital Corp                                  | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     6548000 | PA      | $5257258.24   | 0.10%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust           | Freddie Mac Whole Loan Securities Trust                                       | CUSIP: 3137G1BM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      377823 | PA      | $361351.31    | 0.01%             | 2046-12-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Trimble Inc                                       | Trimble Inc                                                                   | CUSIP: 896239AA8<br>LEI: 549300E2MI7NSZFQWS19 | Long             | DBT              | CORP              | US        |     6525000 | PA      | $6455769.75   | 0.12%             | 2024-12-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                            | Marlette Funding Trust 2021-3                                                 | CUSIP: 57108Q103<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       23182 | PA      | $4305998.64   | 0.08%             | 2031-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                    | Open Text Corp                                                                | CUSIP: 683715AC0<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |     7761000 | PA      | $6660723.03   | 0.13%             | 2028-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                   | CUSIP: 38141GYH1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     3687000 | PA      | $3493248.15   | 0.07%             | 2027-09-10      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| VONTIER CORP                                      | Vontier Corp                                                                  | CUSIP: 928881AF8<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |     6127000 | PA      | $4455248.05   | 0.08%             | 2031-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| BARRY CALLEBAUT SVCS NV                           | Barry Callebaut Services NV                                                   | CUSIP: 000000000<br>LEI: 213800R1F1EJYM4ICO85 | Long             | DBT              | CORP              | BE        |     8650000 | PA      | $8604414.50   | 0.16%             | 2023-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Entergy Texas Inc                                 | Entergy Texas Inc                                                             | CUSIP: 29365TAF1<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2766360.00   | 0.05%             | 2027-12-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                   | Goodgreen 2021-1 Trust                                                        | CUSIP: 38217UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    10628214 | PA      | $8615198.48   | 0.16%             | 2056-10-15      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2021-11                                              | CUSIP: 46654KCG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2369572 | PA      | $1241015.25   | 0.02%             | 2052-01-25      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitization Trust           | LendingPoint 2020-REV1 Asset Securitization Trust                             | CUSIP: 52606YAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4000000 | PA      | $3882880.00   | 0.07%             | 2028-10-15      | Fixed         | 7.70%                 | 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        |     3264100 | PA      | $3067403.11   | 0.06%             | 2034-10-17      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| SK HYNIX INC                                      | SK Hynix Inc                                                                  | CUSIP: 78392BAC1<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |     2812000 | PA      | $2064992.20   | 0.04%             | 2031-01-19      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY FINANCE                            | Alliant Energy Finance LLC                                                    | CUSIP: 01882YAC0<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1295250.00   | 0.02%             | 2026-03-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                | Aqua Finance Trust 2019-A                                                     | CUSIP: 038370AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      938041 | PA      | $877550.20    | 0.02%             | 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        |      348365 | PA      | $338505.25    | 0.01%             | 2028-06-12      | Fixed         | 0.35%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                           | Flagstar Mortgage Trust 2021-13INV                                            | CUSIP: 33853HBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      476764 | PA      | $271385.67    | 0.01%             | 2051-12-30      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| First Republic Mortgage Trust                     | First Republic Mortgage Trust 2020-1                                          | CUSIP: 33616LAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      470000 | PA      | $230162.11    | 0.00%             | 2050-04-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                 | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     3071000 | PA      | $2771024.72   | 0.05%             | 2028-02-24      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| DXC TECHNOLOGY CO                                 | DXC Technology Co                                                             | CUSIP: 23355LAM8<br>LEI: 549300DOVZ3EDJB7O259 | Long             | DBT              | CORP              | US        |    11657000 | PA      | $9802021.59   | 0.18%             | 2028-09-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                          | CUSIP: 06051GJR1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     9500000 | PA      | $8904160.00   | 0.17%             | 2025-04-22      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                             | Arroyo Mortgage Trust 2019-3                                                  | CUSIP: 04285AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1753901 | PA      | $1594969.22   | 0.03%             | 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        |      542160 | PA      | $518014.39    | 0.01%             | 2028-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2020-EXP1                                       | CUSIP: 17328JAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1180900 | PA      | $954542.96    | 0.02%             | 2060-05-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                | F&G Global Funding                                                            | CUSIP: 30321L2D3<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |     4467000 | PA      | $3934712.28   | 0.07%             | 2027-04-11      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                        | Flagship Credit Auto Trust 2019-4                                             | CUSIP: 33845F106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        8000 | PA      | $810987.20    | 0.02%             | 2027-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trust                   | Prestige Auto Receivables Trust 2018-1                                        | CUSIP: 74114NAN7<br>LEI: 549300L40MNGIY25DE37 | Long             | ABS-O            | CORP              | US        |     2625000 | PA      | $2612309.70   | 0.05%             | 2026-01-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                  | CUSIP: 3137BP7A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    33584027 | PA      | $920223.51    | 0.02%             | 2026-03-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2022-2                                               | CUSIP: 46655DCR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3308531 | PA      | $1987944.93   | 0.04%             | 2052-08-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| Diamond Issuer LLC                                | Diamond Issuer                                                                | CUSIP: 25267TAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    10983000 | PA      | $9104442.42   | 0.17%             | 2051-11-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                             | CUSIP: 404280CJ6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     3750000 | PA      | $3386100.00   | 0.06%             | 2026-04-18      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                      | Upstart Securitization Trust 2021-4                                           | CUSIP: 91682NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2211317 | PA      | $2140019.72   | 0.04%             | 2031-09-20      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| SPIRIT AEROSYSTEMS INC                            | Spirit AeroSystems Inc                                                        | CUSIP: 85205TAN0<br>LEI: ZD2NBKV6GCC3UMGBM518 | Long             | DBT              | CORP              | US        |     2490000 | PA      | $2624036.70   | 0.05%             | 2029-11-30      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust     | BHG Securitization Trust 2021-A                                               | CUSIP: 08861YAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2200000 | PA      | $1810736.47   | 0.03%             | 2033-11-17      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                      | Barclays Mortgage Loan Trust 2022-INV1                                        | CUSIP: 06744YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16591246 | PA      | $15271677.94  | 0.29%             | 2062-02-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| WMG ACQUISITION CORP                              | WMG Acquisition Corp                                                          | CUSIP: 000000000<br>LEI: 549300NAS11NXI33CP80 | Long             | DBT              | CORP              | US        |    19018000 | PA      | $15969479.26  | 0.30%             | 2031-08-15      | Fixed         | 2.25%                 | 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        |    13599000 | PA      | $13169829.16  | 0.25%             | 2026-09-15      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust           | Mello Mortgage Capital Acceptance 2021-INV3                                   | CUSIP: 585491BQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   127374755 | PA      | $853780.25    | 0.02%             | 2051-10-25      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| Prosper Marketplace Issuance Trust                | Prosper Marketplace Issuance Trust Series 2019-3                              | CUSIP: 74362YAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   101327127 | PA      | $356266.18    | 0.01%             | 2025-07-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                   | SBA Tower Trust                                                               | CUSIP: 78403DAV2<br>LEI: N/A                  | Long             | DBT              |  | US        |     3400000 | PA      | $2880015.22   | 0.05%             | 2027-04-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL SERVICES                          | Hyundai Capital Services Inc                                                  | CUSIP: 44920UAM0<br>LEI: 549300MALMDAGL2ZJJ27 | Long             | DBT              | CORP              | KR        |      971000 | PA      | $968087.00    | 0.02%             | 2023-03-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                          | Foundation Finance Trust 2020-1                                               | CUSIP: 35041KAA0<br>LEI: 549300QVJKB4ZVR88F06 | Long             | ABS-O            | CORP              | US        |     3278650 | PA      | $3134574.57   | 0.06%             | 2040-07-16      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| City of Detroit MI                                | DETROIT MI                                                                    | CUSIP: 2510935J5<br>LEI: 549300BQRJP7MKKHOY28 | Long             | DBT              | MUN               | US        |      275000 | PA      | $265234.20    | 0.00%             | 2024-04-01      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| BLACK HILLS CORP                                  | Black Hills Corp                                                              | CUSIP: 092113AU3<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |     8226000 | PA      | $7677819.36   | 0.14%             | 2024-08-23      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2021-J2                                         | CUSIP: 17329MDV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      623000 | PA      | $223517.29    | 0.00%             | 2051-07-25      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                | Ellington Financial Mortgage Trust 2022-1                                     | CUSIP: 31573CAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6901000 | PA      | $3459681.09   | 0.07%             | 2067-01-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC (GAZ FN)                             | Gazprom PJSC via Gaz Finance PLC                                              | CUSIP: 000000000<br>LEI: 213800UNP9N6BPNYMQ45 | Long             | DBT              | CORP              | GB        |    16000000 | PA      | $10350880.00  | 0.19%             | 2031-07-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                    | Pagaya AI Debt Trust 2022-1                                                   | CUSIP: 69546MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    10581169 | PA      | $10089801.67  | 0.19%             | 2029-10-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                         | College Ave Student Loans 2021-C LLC                                          | CUSIP: 19424WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6044827 | PA      | $5628301.42   | 0.11%             | 2055-07-26      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust           | Mello Mortgage Capital Acceptance 2021-INV3                                   | CUSIP: 585491BY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      445142 | PA      | $254129.15    | 0.00%             | 2051-10-25      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| RELIANCE STAND LIFE II                            | Reliance Standard Life Global Funding II                                      | CUSIP: 75951AAQ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4000000 | PA      | $3456680.00   | 0.07%             | 2026-09-28      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Student Loan Trust 2012-1                                                 | CUSIP: 78446WAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1747481 | PA      | $1633428.44   | 0.03%             | 2028-09-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2020-4                                               | CUSIP: 46652FBS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      951835 | PA      | $123590.79    | 0.00%             | 2050-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                    | CPS Auto Receivables Trust 2018-C                                             | CUSIP: 12655CAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1812986 | PA      | $1814190.83   | 0.03%             | 2025-09-15      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 31418EHG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    22418979 | PA      | $19668574.95  | 0.37%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                     | Commonbond Student Loan Trust 2018-C-GS                                       | CUSIP: 20267XAA1<br>LEI: 549300O1CSZVJJTIR319 | Long             | ABS-O            | CORP              | US        |      511659 | PA      | $490233.63    | 0.01%             | 2046-02-25      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Student Loan Trust 2013-6                                                 | CUSIP: 78448CAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1883267 | PA      | $1803690.39   | 0.03%             | 2028-06-26      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL FINANCIAL                           | Fidelity National Financial Inc                                               | CUSIP: 31620RAJ4<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |     5137000 | PA      | $4337014.99   | 0.08%             | 2030-06-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACLN                   | JPMorgan Chase Bank NA - CACLN                                                | CUSIP: 48128U2S7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3950000 | PA      | $3280112.39   | 0.06%             | 2028-12-26      | Fixed         | 8.48%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST GAS CORP                                | Southwest Gas Corp                                                            | CUSIP: 845011AF2<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |     4610000 | PA      | $4694040.30   | 0.09%             | 2027-12-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                          | Warnermedia Holdings Inc                                                      | CUSIP: 55903VAC7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     1800000 | PA      | $1747008.00   | 0.03%             | 2024-03-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                              | CUSIP: 87264ABU8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     2708000 | PA      | $2480230.12   | 0.05%             | 2026-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2019-GS7                                          | CUSIP: 52474MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2240910 | PA      | $2236918.00   | 0.04%             | 2059-11-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS                                  | Antares Holdings LP                                                           | CUSIP: 03666HAA9<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |     4400000 | PA      | $4322868.00   | 0.08%             | 2023-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MACQUARIE BANK LTD                                | Macquarie Bank Ltd                                                            | CUSIP: 556079AC5<br>LEI: 4ZHCHI4KYZG2WVRT8631 | Long             | DBT              | CORP              | AU        |     2800000 | PA      | $2267552.00   | 0.04%             | 2030-06-03      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| National Collegiate Student Loan Trust            | National Collegiate Student Loan Trust 2007-2                                 | CUSIP: 63543LAD7<br>LEI: 635400VQIBXGEB9ZUC59 | Long             | ABS-O            | CORP              | US        |     2618435 | PA      | $2427781.49   | 0.05%             | 2033-01-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                | CUSIP: 61747YET8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1560000 | PA      | $1534650.00   | 0.03%             | 2026-07-17      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                             | CUSIP: 404280CX5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     1350000 | PA      | $1169451.00   | 0.02%             | 2027-11-22      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                     | Lendbuzz Securitization Trust 2021-1                                          | CUSIP: 52607BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4190811 | PA      | $4000436.52   | 0.08%             | 2026-06-15      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 3140JBUZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11234287 | PA      | $9326656.17   | 0.18%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                          | Equitable Financial Life Global Funding                                       | CUSIP: 29449WAB3<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |     4620000 | PA      | $3867540.60   | 0.07%             | 2027-08-27      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables LLC            | Amur Equipment Finance Receivables VIII LLC                                   | CUSIP: 03237PAE3<br>LEI: 549300LUWIM31186Z163 | Long             | ABS-O            | CORP              | US        |     2237613 | PA      | $2181865.12   | 0.04%             | 2027-01-20      | Fixed         | 7.00%                 | 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        |     3474636 | PA      | $3392210.31   | 0.06%             | 2029-10-15      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                | Chase Home Lending Mortgage Trust 2019-1                                      | CUSIP: 16159WCB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      521093 | PA      | $305787.32    | 0.01%             | 2050-03-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                           | SCF Equipment Leasing 2019-2 LLC                                              | CUSIP: 784034AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7300000 | PA      | $6812392.41   | 0.13%             | 2027-06-21      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| ALLEGION PLC                                      | Allegion PLC                                                                  | CUSIP: 01748TAB7<br>LEI: 984500560CAC2E6FB757 | Long             | DBT              | CORP              | IE        |     1723000 | PA      | $1485157.08   | 0.03%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                 | CUSIP: 172967MW8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     3971000 | PA      | $3898608.67   | 0.07%             | 2025-05-01      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| KEHE DISTRIBUTORS LLC/FI                          | KeHE Distributors LLC / KeHE Finance Corp                                     | CUSIP: 487526AB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3567000 | PA      | $3484959.00   | 0.07%             | 2026-10-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                              | CUSIP: 3132DNYX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8517436 | PA      | $8507030.86   | 0.16%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables VII LLC        | Amur Equipment Finance Receivables VII LLC                                    | CUSIP: 03237MAB6<br>LEI: 5493008OAETJ1UTO4Q72 | Long             | ABS-O            | CORP              | US        |       16427 | PA      | $16426.72     | 0.00%             | 2024-06-20      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| ACCO BRANDS CORP                                  | ACCO Brands Corp                                                              | CUSIP: 00081TAK4<br>LEI: JCT8P4Y190IH4I1NX328 | Long             | DBT              | CORP              | US        |    16611000 | PA      | $13710719.40  | 0.26%             | 2029-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MIDLAND COGEN VENTURE                             | Midland Cogeneration Venture LP                                               | CUSIP: 59748TAA7<br>LEI: A7EF7IZXZY5NPHMMPV49 | Long             | DBT              | CORP              | US        |      150023 | PA      | $152651.28    | 0.00%             | 2025-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| 321 Henderson Receivables LLC                     | 321 Henderson Receivables I LLC                                               | CUSIP: 88576NAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      697659 | PA      | $671494.74    | 0.01%             | 2041-09-15      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                               | SG Residential Mortgage Trust 2019-3                                          | CUSIP: 78432BAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15136756 | PA      | $68278.88     | 0.00%             | 2059-09-25      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| LKQ EURO HOLDINGS BV                              | LKQ European Holdings BV                                                      | CUSIP: 000000000<br>LEI: 549300J0BGI20W62GB49 | Long             | DBT              | CORP              | NL        |     6600000 | PA      | $6679855.32   | 0.13%             | 2028-04-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| ATS CORP                                          | ATS Corp                                                                      | CUSIP: 001940AC9<br>LEI: 5493005KP4RP3IU7HQ41 | Long             | DBT              | CORP              | CA        |     9620000 | PA      | $8298115.80   | 0.16%             | 2028-12-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SVCS                             | Universal Health Services Inc                                                 | CUSIP: 913903AW0<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |     4646000 | PA      | $3697626.38   | 0.07%             | 2030-10-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                              | Cleveland-Cliffs Inc                                                          | CUSIP: 185899AG6<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |    16150000 | PA      | $16215407.50  | 0.31%             | 2026-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | CITIGROUP MORTGAGE LOAN TRUST 2021-J1                                         | CUSIP: 17329EBY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      616000 | PA      | $166732.97    | 0.00%             | 2051-04-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                               | American Tower Corp                                                           | CUSIP: 03027XBW9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     1546000 | PA      | $1382649.64   | 0.03%             | 2032-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 3140QPJ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3307375 | PA      | $3297678.65   | 0.06%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                    | CPS Auto Receivables Trust 2018-B                                             | CUSIP: 12595PAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2674894 | PA      | $2665997.67   | 0.05%             | 2024-12-16      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                           | Flagstar Mortgage Trust 2018-3                                                | CUSIP: 33851JAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5379777 | PA      | $4364613.61   | 0.08%             | 2048-05-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                   | CUSIP: 38141GZH0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     2692000 | PA      | $2576297.84   | 0.05%             | 2025-01-24      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| ALEXANDER FUNDING TRUST                           | Alexander Funding Trust                                                       | CUSIP: 014621AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    18263000 | PA      | $17261457.08  | 0.32%             | 2023-11-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                 | Imperial Fund Mortgage Trust 2022-NQM2                                        | CUSIP: 45276PAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15600000 | PA      | $9478262.04   | 0.18%             | 2067-03-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                           | CUSIP: 46647PCX2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     7590000 | PA      | $7443740.70   | 0.14%             | 2026-02-24      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                       | CUSIP: 44891ABG1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     2750000 | PA      | $2466475.00   | 0.05%             | 2027-02-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2020-7                                               | CUSIP: 46591XCL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      435911 | PA      | $231668.70    | 0.00%             | 2051-01-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION GAS CO                             | Brooklyn Union Gas Co/The                                                     | CUSIP: 114259AV6<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |     5142000 | PA      | $4899194.76   | 0.09%             | 2027-08-05      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING                            | Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC   | CUSIP: 03969YAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    16310000 | PA      | $13862847.60  | 0.26%             | 2028-09-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Solarcity LMC Series LLC                          | SolarCity LMC Series I LLC                                                    | CUSIP: 83417BAA6<br>LEI: 54930080F5ME65CO1C91 | Long             | ABS-O            | CORP              | US        |     1196791 | PA      | $1153582.80   | 0.02%             | 2038-11-20      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Springcastle SPV                                  | SpringCastle America Funding LLC                                              | CUSIP: 85022WAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4438070 | PA      | $3987700.77   | 0.08%             | 2037-09-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust           | Freddie Mac Whole Loan Securities Trust 2017-SC02                             | CUSIP: 3137G1BY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      170179 | PA      | $165427.39    | 0.00%             | 2047-05-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| DARLING INGREDIENTS INC                           | Darling Ingredients Inc                                                       | CUSIP: 237266AJ0<br>LEI: L1N0SPPKS7EXZYUMZ898 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $980080.00    | 0.02%             | 2030-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ODBRCHT OFFSHRE DRLL FIN                          | Odebrecht Offshore Drilling Finance Ltd                                       | CUSIP: 67576GAD9<br>LEI: 549300L7LF2PIRAWID66 | Long             | DBT              | CORP              | KY        |     2660787 | PA      | $704044.24    | 0.01%             | 2026-12-01      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 20-1 A PTT                            | British Airways 2020-1 Class A Pass Through Trust                             | CUSIP: 11044MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1006179 | PA      | $911235.99    | 0.02%             | 2032-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT OIL & FINANCE                           | Odebrecht Oil & Gas Finance Ltd                                               | CUSIP: 67576JAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      304899 | PA      | $1176.91      | 0.00%             | 2023-01-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CORE INCOME COR                          | OWL Rock Core Income Corp                                                     | CUSIP: 69120VAM3<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |     7087000 | PA      | $6066401.13   | 0.11%             | 2026-09-23      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| COMPASS MINERALS INTERNA                          | Compass Minerals International Inc                                            | CUSIP: 20451NAE1<br>LEI: 2549008X9G8XP7YJGC47 | Long             | DBT              | CORP              | US        |     3575000 | PA      | $3434538.25   | 0.06%             | 2024-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2022-3                                               | CUSIP: 46654UCY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1491211 | PA      | $343393.83    | 0.01%             | 2052-08-25      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                               | Petroleos Mexicanos                                                           | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     6500000 | PA      | $6113185.00   | 0.12%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                            | Mosaic Solar Loan Trust 2021-3                                                | CUSIP: 61946TAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    12320000 | PA      | $2827440.00   | 0.05%             | 2052-06-20      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| PROSUS NV                                         | Prosus NV                                                                     | CUSIP: 74365PAH1<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    11494000 | PA      | $9554847.26   | 0.18%             | 2032-01-19      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Conn Funding II, L.P                              | Conn's Receivables Funding 2021-A LLC                                         | CUSIP: 20825GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        5000 | PA      | $4992.04      | 0.00%             | 2026-05-15      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust               | GS Mortgage-Backed Securities Trust 2020-INV1                                 | CUSIP: 36258KAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2196841 | PA      | $28302.34     | 0.00%             | 2050-10-25      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| Consumer Loan Underlying Bond Credit Trust        | CONSUMER LOAN UNDERLYING BOND CLUB CERTIFICATE ISSUER TRUST I SERIES 2019-HP1 | CUSIP: 21055M101<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $1141537.99   | 0.02%             | 2026-12-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                           | CUSIP: 46647PCF1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1251000 | PA      | $1213870.32   | 0.02%             | 2027-04-22      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-CM2 Trust                                                           | CUSIP: 36167AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9031880 | PA      | $8136919.39   | 0.15%             | 2066-08-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2022-J1                                         | CUSIP: 17330CCV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      527000 | PA      | $147083.80    | 0.00%             | 2052-02-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| Titan AcquisitionCo New Zealand Limited           | Titan AcquisitionCo New Zealand Limited 2021 USD Term Loan                    | CUSIP: 88834FAB9<br>LEI: 549300DK73FSFH8XNS52 | Long             | LON              | CORP              | US        |     7404050 | PA      | $7064722.39   | 0.13%             | 2028-10-18      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                           | Bayer US Finance II LLC                                                       | CUSIP: 07274NAG8<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     4096000 | PA      | $4096204.80   | 0.08%             | 2023-12-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO                              | Appalachian Power Co                                                          | CUSIP: 037735CZ8<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |     4705000 | PA      | $3869486.10   | 0.07%             | 2031-04-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Sirius XM Radio Inc                               | Sirius XM Radio Inc                                                           | CUSIP: 82967NBA5<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    19275000 | PA      | $17835928.50  | 0.34%             | 2027-08-01      | Fixed         | 5.00%                 | 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        |     3000000 | PA      | $2957670.00   | 0.06%             | 2023-09-19      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12028546 | PA      | $10174263.92  | 0.19%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                           | GA Global Funding Trust                                                       | CUSIP: 36143L2G9<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |     3580000 | PA      | $3157023.00   | 0.06%             | 2027-01-06      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                  | Societe Generale SA                                                           | CUSIP: 83368RAV4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     3000000 | PA      | $2820960.00   | 0.05%             | 2025-01-22      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-AFC1 Trust                                                          | CUSIP: 12657LAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    57981652 | PA      | $503866.35    | 0.01%             | 2056-03-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust               | GS Mortgage-Backed Securities Trust 2020-INV1                                 | CUSIP: 36258KAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    44072915 | PA      | $440.73       | 0.00%             | 2050-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                    | Sabre GLBL Inc                                                                | CUSIP: 78573NAF9<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |     3586000 | PA      | $3437216.86   | 0.06%             | 2025-09-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| CD&R SMOKEY BUYER INC                             | CD&R Smokey Buyer Inc                                                         | CUSIP: 12510CAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    13833000 | PA      | $11930685.84  | 0.22%             | 2025-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                        | Upstart Pass-Through Trust Series 2020-ST5                                    | CUSIP: 91680WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4794947 | PA      | $4580619.15   | 0.09%             | 2026-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PARKLAND CORP                                     | Parkland Corp/Alberta                                                         | CUSIP: 70137WAG3<br>LEI: 549300XHQS1JYWBNK868 | Long             | DBT              | CORP              | CA        |     1825000 | PA      | $1528382.75   | 0.03%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                        | MFA 2020-NQM3 Trust                                                           | CUSIP: 552757AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      800000 | PA      | $617171.87    | 0.01%             | 2065-01-26      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                | Chase Home Lending Mortgage Trust 2019-1                                      | CUSIP: 16159WCA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      374211 | PA      | $274051.20    | 0.01%             | 2050-03-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                    | CPS Auto Securitization Trust 2021-1                                          | CUSIP: 12657TAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    10000000 | PA      | $9769790.00   | 0.18%             | 2026-06-16      | Fixed         | 7.86%                 | No            |                  2 | On Loan: No      |
| MAIN STREET CAPITAL CORP                          | Main Street Capital Corp                                                      | CUSIP: 56035LAE4<br>LEI: 5493001FS9QJLJNF3E20 | Long             | DBT              | CORP              | US        |     2258000 | PA      | $1947818.54   | 0.04%             | 2026-07-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                              | CUSIP: 3133KPFN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3415270 | PA      | $2997043.81   | 0.06%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                        | Upstart Pass-Through Trust Series 2021-ST9                                    | CUSIP: 91683MAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1414000 | PA      | $382952.21    | 0.01%             | 2029-11-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust       | Bear Stearns ARM Trust 2003-6                                                 | CUSIP: 07384MXJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       25852 | PA      | $24415.64     | 0.00%             | 2033-08-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Buckeye Partners LP                               | Buckeye Partners LP                                                           | CUSIP: 118230AK7<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |     4445000 | PA      | $4384903.60   | 0.08%             | 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        |      348252 | PA      | $347765.71    | 0.01%             | 2024-07-15      | Fixed         | 0.79%                 | No            |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust      | Arivo Acceptance Auto Loan Receivables Trust 2021-1                           | CUSIP: 04047AAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      850000 | PA      | $794859.82    | 0.01%             | 2028-01-18      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                               | American Tower Corp                                                           | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     2830000 | PA      | $2646955.60   | 0.05%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RES                            | CenterPoint Energy Resources Corp                                             | CUSIP: 15189WAN0<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |     1263000 | PA      | $1262419.02   | 0.02%             | 2023-03-02      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| SUMMIT MID HLDS LLC / FI                          | Summit Midstream Holdings LLC / Summit Midstream Finance Corp                 | CUSIP: 86614WAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      848000 | PA      | $805150.56    | 0.02%             | 2026-10-15      | Fixed         | 8.50%                 | 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        |     2142953 | PA      | $2136439.39   | 0.04%             | 2026-02-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Perimeter Master Note Business Trust              | Perimeter Master Note Business Trust                                          | CUSIP: 71384PAF8<br>LEI: 5493005H6EB040833X54 | Long             | ABS-O            | CORP              | US        |     6500000 | PA      | $6321403.40   | 0.12%             | 2024-05-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                          | OCP SA                                                                        | CUSIP: 67091TAD7<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |     7800000 | PA      | $6542562.00   | 0.12%             | 2031-06-23      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                | F&G Global Funding                                                            | CUSIP: 30321L2C5<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |     6641000 | PA      | $5502533.37   | 0.10%             | 2028-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GRAY OAK PIPELINE LLC                             | Gray Oak Pipeline LLC                                                         | CUSIP: 38937LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     6730000 | PA      | $5943801.40   | 0.11%             | 2027-10-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| OLYMPUS CORP                                      | Olympus Corp                                                                  | CUSIP: 68163WAA7<br>LEI: 5299000Y52IFDI1I2A21 | Long             | DBT              | CORP              | JP        |     5510000 | PA      | $4876570.40   | 0.09%             | 2026-12-08      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORI                          | Charles River Laboratories International Inc                                  | CUSIP: 159864AG2<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |     4567000 | PA      | $4037867.38   | 0.08%             | 2029-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                          | Foundation Finance Trust 2019-1                                               | CUSIP: 35041JAC9<br>LEI: 5493002KPTN6JUQ40J20 | Long             | ABS-O            | CORP              | US        |      575000 | PA      | $550930.27    | 0.01%             | 2034-11-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2022-INV1 Trust                                                          | CUSIP: 69377EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    29136337 | PA      | $27590714.63  | 0.52%             | 2067-04-25      | Variable      | 4.40%                 | 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        |     1463000 | PA      | $1430874.86   | 0.03%             | 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        |        2715 | PA      | $2714.53      | 0.00%             | 2050-10-01      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| BWX TECHNOLOGIES INC                              | BWX Technologies Inc                                                          | CUSIP: 05605HAB6<br>LEI: 549300NP85N265KWMS58 | Long             | DBT              | CORP              | US        |     3380000 | PA      | $3033989.40   | 0.06%             | 2028-06-30      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                           | GA Global Funding Trust                                                       | CUSIP: 36143L2E4<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |     5322000 | PA      | $5183149.02   | 0.10%             | 2024-09-13      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                              | CUSIP: 912828ZQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    11841000 | PA      | $9371041.41   | 0.18%             | 2030-05-15      | Fixed         | 0.63%                 | No            |                  1 | On Loan: No      |
| MSCI INC                                          | MSCI Inc                                                                      | CUSIP: 55354GAH3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |     6289000 | PA      | $5497466.46   | 0.10%             | 2029-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                       | CUSIP: 44891ABV8<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     2950000 | PA      | $2753559.50   | 0.05%             | 2024-06-14      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2020-J1                                                             | CUSIP: 12559YBM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      325435 | PA      | $109717.83    | 0.00%             | 2050-07-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                          | MSCI Inc                                                                      | CUSIP: 55354GAL4<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |     9973000 | PA      | $8302721.96   | 0.16%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2022-DSC1                                          | CUSIP: 46656AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9548271 | PA      | $9042808.50   | 0.17%             | 2063-01-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                           | Bayer US Finance II LLC                                                       | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     2500000 | PA      | $2427750.00   | 0.05%             | 2025-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2021-P1                                        | CUSIP: 14687B106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       23500 | PA      | $4011207.51   | 0.08%             | 2027-12-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                       | Gartner Inc                                                                   | CUSIP: 366651AG2<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     7155000 | PA      | $6272001.45   | 0.12%             | 2029-06-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                   | CUSIP: 694308KA4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     8680000 | PA      | $8465430.40   | 0.16%             | 2024-02-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                         | College Ave Student Loans 2021-A LLC                                          | CUSIP: 19424KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      298838 | PA      | $254478.80    | 0.00%             | 2051-07-25      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Improvement Loan Trust  | GoodLeap Sustainable Home Solutions Trust 2021-4                              | CUSIP: 38237GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4174683 | PA      | $2848099.27   | 0.05%             | 2048-07-20      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                            | CCO Holdings LLC / CCO Holdings Capital Corp                                  | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      900000 | PA      | $729639.00    | 0.01%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| City of Detroit MI                                | DETROIT MI                                                                    | CUSIP: 2510935H9<br>LEI: 549300BQRJP7MKKHOY28 | Long             | DBT              | MUN               | US        |      275000 | PA      | $272943.00    | 0.01%             | 2023-04-01      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| Black Hills Corp                                  | Black Hills Corp                                                              | CUSIP: 09212FP96<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | STIV             | CORP              | US        |    15000000 | PA      | $14919562.50  | 0.28%             | 2023-02-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                              | CUSIP: 3132DWDY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11843837 | PA      | $10025802.37  | 0.19%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA                                    | Var Energi ASA                                                                | CUSIP: 92212WAD2<br>LEI: 549300LIVN3FFOJN2K47 | Long             | DBT              | CORP              | NO        |     5000000 | PA      | $5087250.00   | 0.10%             | 2028-01-15      | Fixed         | 7.50%                 | 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        |     3090502 | PA      | $3020621.86   | 0.06%             | 2027-02-16      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                         | Ball Corp                                                                     | CUSIP: 058498AW6<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |    14300000 | PA      | $11413116.00  | 0.21%             | 2030-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                          | Service Properties Trust                                                      | CUSIP: 44106MAS1<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |      900000 | PA      | $863919.00    | 0.02%             | 2024-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| TOLEDO EDISON COMPANY                             | Toledo Edison Co/The                                                          | CUSIP: 889175BF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3933000 | PA      | $3414905.91   | 0.06%             | 2028-05-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2019-E                                          | CUSIP: 17328DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    18726725 | PA      | $18429270.12  | 0.35%             | 2070-11-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2021-INV1                                 | CUSIP: 64829WBB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2131348 | PA      | $947039.60    | 0.02%             | 2051-06-25      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| SPIRE MISSOURI INC                                | Spire Missouri Inc                                                            | CUSIP: 84859DAB3<br>LEI: 06LJQCOVPRXOPDHFC707 | Long             | DBT              | CORP              | US        |    12345000 | PA      | $12196119.30  | 0.23%             | 2024-12-02      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                | Ellington Financial Mortgage Trust 2021-2                                     | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3209226 | PA      | $2522351.48   | 0.05%             | 2066-06-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    32057637 | PA      | $28041070.28  | 0.53%             | 2032-01-15      | Fixed         | 0.13%                 | No            |                  1 | On Loan: No      |
| FREMF Mortgage Trust                              | FREMF 2016-KF24 Mortgage Trust                                                | CUSIP: 30295TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      363162 | PA      | $344289.09    | 0.01%             | 2026-10-25      | Floating      | 9.14%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                      | DNB Bank ASA                                                                  | CUSIP: 23341CAC7<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |     6900000 | PA      | $6907176.00   | 0.13%             | 2026-10-09      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2022-P1                                        | CUSIP: 14688DAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   583403139 | PA      | $2436583.21   | 0.05%             | 2029-01-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust           | Mello Mortgage Capital Acceptance 2021-INV2                                   | CUSIP: 58549XBT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7270012 | PA      | $245424.71    | 0.00%             | 2051-08-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFE GF II                                | Pacific Life Global Funding II                                                | CUSIP: 6944PL2G3<br>LEI: 6354003EUPCHXTWUU869 | Long             | DBT              | CORP              | US        |     4533000 | PA      | $4335769.17   | 0.08%             | 2026-06-04      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                | Ellington Financial Mortgage Trust 2019-2                                     | CUSIP: 31573TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1158466 | PA      | $1080638.26   | 0.02%             | 2059-11-25      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                  | Societe Generale SA                                                           | CUSIP: 83368RAL6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     3000000 | PA      | $2974680.00   | 0.06%             | 2023-09-14      | Fixed         | 4.25%                 | 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        |     2115000 | PA      | $2088556.16   | 0.04%             | 2023-06-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                              | Enel Finance International NV                                                 | CUSIP: 29278GAX6<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     1927000 | PA      | $1738154.00   | 0.03%             | 2032-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                           | Flagstar Mortgage Trust 2020-2                                                | CUSIP: 33851KCB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      833834 | PA      | $374047.93    | 0.01%             | 2050-08-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| PETRORIO LUX TRAD SARL                            | Petrorio Luxembourg Trading Sarl                                              | CUSIP: 71677WAA0<br>LEI: 222100466T5WZDU1B498 | Long             | DBT              | CORP              | LU        |      800000 | PA      | $761856.00    | 0.01%             | 2026-06-09      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust           | Mello Mortgage Capital Acceptance 2021-INV3                                   | CUSIP: 585491BT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10360816 | PA      | $315204.01    | 0.01%             | 2051-10-25      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                 | Hyatt Hotels Corp                                                             | CUSIP: 448579AJ1<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |     4475000 | PA      | $4357486.50   | 0.08%             | 2030-04-23      | Fixed         | 6.00%                 | 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        |      852433 | PA      | $832625.64    | 0.02%             | 2028-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREED ABS Trust                                   | FREED ABS Trust 2019-2                                                        | CUSIP: 30312JAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3300328 | PA      | $3296830.12   | 0.06%             | 2026-11-18      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| FIN DEPT GOVT SHARJAH                             | Finance Department Government of Sharjah                                      | CUSIP: 38381CAC6<br>LEI: 254900ZNL8O3F1CLJO24 | Long             | DBT              | NUSS              | AE        |    14382000 | PA      | $11914624.08  | 0.22%             | 2033-03-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2020-EXP1                                       | CUSIP: 17328JAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      386242 | PA      | $272157.01    | 0.01%             | 2060-05-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| BLACK HILLS CORP                                  | Black Hills Corp                                                              | CUSIP: 092113AT6<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $804160.00    | 0.02%             | 2030-06-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GRAY OAK PIPELINE LLC                             | Gray Oak Pipeline LLC                                                         | CUSIP: 38937LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7848000 | PA      | $7621114.32   | 0.14%             | 2023-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Genesis Private Label Amortization Trust          | Genesis Private Label Amortizing Trust 2020-1                                 | CUSIP: 37187PAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1467446 | PA      | $1457786.90   | 0.03%             | 2030-07-20      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                              | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9700000 | PA      | $6312578.13   | 0.12%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  1 | On Loan: No      |
| INTACT FINANCIAL CORP                             | Intact Financial Corp                                                         | CUSIP: 45823TAL0<br>LEI: 5493009LXGE7Y4U9OY43 | Long             | DBT              | CORP              | CA        |     5922000 | PA      | $5856265.80   | 0.11%             | 2032-09-22      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                     | AEP Texas Inc                                                                 | CUSIP: 00108WAP5<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     3094000 | PA      | $2963990.12   | 0.06%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2004-HYB2                                       | CUSIP: 17307GEF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23230 | PA      | $20574.80     | 0.00%             | 2034-03-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2022-N1                                        | CUSIP: 14686GAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6000000 | PA      | $5462359.38   | 0.10%             | 2028-12-11      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                          | Equitable Financial Life Global Funding                                       | CUSIP: 29449WAE7<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2635080.00   | 0.05%             | 2026-01-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2022-ATH2                                                                | CUSIP: 12665WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6207990 | PA      | $5963874.64   | 0.11%             | 2067-05-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                  | LPL Holdings Inc                                                              | CUSIP: 50212YAC8<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |     3515000 | PA      | $3299354.75   | 0.06%             | 2027-11-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CAPITAL CORPORA                          | Owl Rock Capital Corp III                                                     | CUSIP: 69122JAC0<br>LEI: 5493003BCZ22YM5BRK17 | Long             | DBT              | CORP              | US        |     6070000 | PA      | $5025049.50   | 0.09%             | 2027-04-13      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2016-C34                                | CUSIP: 95000DBB6<br>LEI: 549300FWFHJGIW2B2U59 | Long             | ABS-MBS          | CORP              | US        |     1257056 | PA      | $1231317.43   | 0.02%             | 2049-06-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| PAPA JOHN'S INTERNATIONA                          | Papa John's International Inc                                                 | CUSIP: 698813AA0<br>LEI: HZYLD3DK5XOX0WBVNB56 | Long             | DBT              | CORP              | US        |    12568000 | PA      | $10489881.20  | 0.20%             | 2029-09-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Xperi Corporation                                 | Xperi Corporation 2020 Term Loan B                                            | CUSIP: 98422BAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    11118958 | PA      | $10701996.83  | 0.20%             | 2028-06-08      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS                                  | Antares Holdings LP                                                           | CUSIP: 03666HAD3<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |     1630000 | PA      | $1304000.00   | 0.02%             | 2027-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                        | MFA 2022-NQM3 Trust                                                           | CUSIP: 55286EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9829939 | PA      | $9641555.87   | 0.18%             | 2067-09-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| CIMPRESS PLC                                      | Cimpress PLC                                                                  | CUSIP: 17186HAC6<br>LEI: 549300X1IFD75XISOR81 | Long             | DBT              | CORP              | IE        |    12141000 | PA      | $8386881.39   | 0.16%             | 2026-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2019-4                                         | CUSIP: 14686YAK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        8000 | PA      | $2424310.26   | 0.05%             | 2026-10-15      | None          | 0.00%                 | 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        |     1945557 | PA      | $1861958.29   | 0.04%             | 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        |      831557 | PA      | $820084.64    | 0.02%             | 2027-02-16      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-NQM8                                                                | CUSIP: 12659FAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3478650 | PA      | $2097836.41   | 0.04%             | 2066-10-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| DARLING GLOBAL FINANCE                            | Darling Global Finance BV                                                     | CUSIP: 000000000<br>LEI: 724500R2BQXOR6YG2Y67 | Long             | DBT              | CORP              | NL        |     9700000 | PA      | $10092418.33  | 0.19%             | 2026-05-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                             | Tenet Healthcare Corp                                                         | CUSIP: 88033GDL1<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     4123000 | PA      | $3569734.63   | 0.07%             | 2029-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Nathan's Famous Inc                               | Nathan's Famous Inc                                                           | CUSIP: 632347AC4<br>LEI: 54930034SKNSF1JIE673 | Long             | DBT              | CORP              | US        |    15305000 | PA      | $14714992.25  | 0.28%             | 2025-11-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| SECURITY BENEFIT GL FUND                          | Security Benefit Global Funding                                               | CUSIP: 81412DAA1<br>LEI: 5493003C0JW6BY7YFF93 | Long             | DBT              | CORP              | US        |     2404000 | PA      | $2253918.28   | 0.04%             | 2024-05-17      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                           | Imperial Brands Finance PLC                                                   | CUSIP: 45262BAF0<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |     5000000 | PA      | $4964750.00   | 0.09%             | 2027-07-27      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| COMPASS MINERALS INTERNA                          | Compass Minerals International Inc                                            | CUSIP: 20451NAG6<br>LEI: 2549008X9G8XP7YJGC47 | Long             | DBT              | CORP              | US        |    11123000 | PA      | $10736586.98  | 0.20%             | 2027-12-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                          | Foundation Finance Trust 2019-1                                               | CUSIP: 35041JAA3<br>LEI: 5493002KPTN6JUQ40J20 | Long             | ABS-O            | CORP              | US        |     2085339 | PA      | $2046183.35   | 0.04%             | 2034-11-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                  | Societe Generale SA                                                           | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     1667000 | PA      | $1432786.50   | 0.03%             | 2027-06-09      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                             | CUSIP: 639057AC2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     2000000 | PA      | $1733100.00   | 0.03%             | 2027-06-14      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                       | CUSIP: 44891ABT3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |      548000 | PA      | $448938.04    | 0.01%             | 2028-01-10      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                   | CUSIP: 68389XCD5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     2257000 | PA      | $1957180.12   | 0.04%             | 2028-03-25      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                  | BAT Capital Corp                                                              | CUSIP: 05526DBS3<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     7615000 | PA      | $5938862.35   | 0.11%             | 2031-03-25      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                | HERO Funding Trust 2017-2                                                     | CUSIP: 42771LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1005476 | PA      | $929975.40    | 0.02%             | 2048-09-20      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2017-5                                    | CUSIP: 64828NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      498637 | PA      | $487581.26    | 0.01%             | 2057-06-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                        | MFA 2022-INV1 Trust                                                           | CUSIP: 55284TAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4950000 | PA      | $4018461.48   | 0.08%             | 2066-04-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| CITGO HOLDING INC                                 | Citgo Holding Inc                                                             | CUSIP: 17302WAB4<br>LEI: 549300NYHOALWZ2BSL72 | Long             | DBT              | CORP              | US        |    15777000 | PA      | $15823857.69  | 0.30%             | 2024-08-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                     | AEP Texas Inc                                                                 | CUSIP: 00108WAM2<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     3800000 | PA      | $3075986.00   | 0.06%             | 2030-07-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                               | Petroleos Mexicanos                                                           | CUSIP: 71654QBG6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     2674000 | PA      | $2665550.16   | 0.05%             | 2023-01-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Proper Pass-Thru Trust II                         | Prosper Pass-Thru Trust II Series 2019-St2                                    | CUSIP: 74361EAC1<br>LEI: 549300DCN6PLVC4QVK93 | Long             | ABS-O            | CORP              | US        |     3193133 | PA      | $365680.78    | 0.01%             | 2025-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                            | NextEra Energy Capital Holdings Inc                                           | CUSIP: 65339KBX7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     2500000 | PA      | $2490025.00   | 0.05%             | 2023-11-03      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                       | CUSIP: 44891ABN6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     1385000 | PA      | $1247247.90   | 0.02%             | 2025-10-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                        | Upstart Pass-Through Trust Series 2021-ST1                                    | CUSIP: 91681MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3035635 | PA      | $2881173.58   | 0.05%             | 2027-02-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT HOLDINGS INC                            | Open Text Holdings Inc                                                        | CUSIP: 683720AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4660000 | PA      | $3791096.40   | 0.07%             | 2030-02-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                 | CUSIP: 172967NA5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     5881000 | PA      | $5104649.19   | 0.10%             | 2027-06-09      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                        | VMware Inc                                                                    | CUSIP: 928563AH8<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     1180000 | PA      | $1097659.60   | 0.02%             | 2024-08-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                               | Quanta Services Inc                                                           | CUSIP: 74762EAG7<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    10069000 | PA      | $9267104.84   | 0.17%             | 2024-10-01      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    24073589 | PA      | $22420020.49  | 0.42%             | 2027-04-15      | Fixed         | 0.13%                 | No            |                  1 | On Loan: No      |
| Fat Brands Fazoli's Native I, LLC                 | Fat Brands Fazoli's Native I LLC                                              | CUSIP: 31200BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8000000 | PA      | $7492156.00   | 0.14%             | 2051-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                          | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1290000 | PA      | $1130723.70   | 0.02%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan Ltd.                           | Loanpal Solar Loan 2021-1 Ltd                                                 | CUSIP: 53948PAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    13252480 | PA      | $10603309.25  | 0.20%             | 2048-01-20      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| ROYALTY PHARMA PLC                                | Royalty Pharma PLC                                                            | CUSIP: 78081BAJ2<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |     4086000 | PA      | $3470648.40   | 0.07%             | 2027-09-02      | Fixed         | 1.75%                 | 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        |     3936061 | PA      | $3915441.79   | 0.07%             | 2026-07-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-AFC1 Trust                                                          | CUSIP: 12657LAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    57981652 | PA      | $8189131.90   | 0.15%             | 2056-03-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-3 B PTT                           | American Airlines 2016-3 Class B Pass Through Trust                           | CUSIP: 023771S41<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      725507 | PA      | $644482.54    | 0.01%             | 2025-10-15      | Fixed         | 3.75%                 | 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        |     1123851 | PA      | $1087284.59   | 0.02%             | 2051-07-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                  | BAT Capital Corp                                                              | CUSIP: 05526DBX2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     4862000 | PA      | $5231657.86   | 0.10%             | 2032-10-19      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                        | Flagship Credit Auto Trust 2019-2                                             | CUSIP: 33845W109<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       33000 | PA      | $2780556.02   | 0.05%             | 2026-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP/FINANCE CORP                            | Sunoco LP / Sunoco Finance Corp                                               | CUSIP: 86765LAQ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2962050.00   | 0.06%             | 2027-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                      | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-381230.87   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NBK SPC LTD                                       | NBK SPC Ltd                                                                   | CUSIP: 62877PAB0<br>LEI: 549300P1ANDK86KWB419 | Long             | DBT              | CORP              | AE        |     5177000 | PA      | $4573724.19   | 0.09%             | 2027-09-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| GLOBAL ATLANTIC FIN CO                            | Global Atlantic Fin Co                                                        | CUSIP: 37959GAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7275000 | PA      | $6079790.25   | 0.11%             | 2029-10-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Instar Leasing III, LLC                           | InStar Leasing III LLC                                                        | CUSIP: 45783NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6417591 | PA      | $5416942.27   | 0.10%             | 2054-02-15      | Fixed         | 5.29%                 | 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        |     2878022 | PA      | $2661325.10   | 0.05%             | 2027-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TIAA Bank Mortgage Loan Trust                     | TIAA Bank Mortgage Loan Trust 2018-2                                          | CUSIP: 886312CE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2040000 | PA      | $1218876.81   | 0.02%             | 2048-07-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| SKOPOS AUTO RECEIVABLES TRUST                     | Skopos Auto Receivables Trust 2019-1                                          | CUSIP: 83085DAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       65882 | PA      | $65802.11     | 0.00%             | 2024-09-16      | Fixed         | 3.63%                 | 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        |      889682 | PA      | $871777.08    | 0.02%             | 2028-02-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2020-4                                               | CUSIP: 46652FCE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      607334 | PA      | $416523.57    | 0.01%             | 2050-11-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                        | Flagship Credit Auto Trust 2019-1                                             | CUSIP: 33844RAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       24000 | PA      | $946542.46    | 0.02%             | 2026-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2020-7                                               | CUSIP: 46591XCK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      624900 | PA      | $481175.79    | 0.01%             | 2051-01-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-26

**Name of Applicant:** THORNBURG INVESTMENT TRUST

**Signature:** Christopher Luckham

**Name of Signer:** Christopher Luckham

**Title:** Manager - Fund Admin