# EDGAR Filing Document

**Accession Number:** 0000816153
**File Stem:** 0001752724-23-037736
**Filing Date:** 2023-2
**Character Count:** 222640
**Document Hash:** 6e021afbe903b14822a7f9238c19b236
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-037736.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001752724-23-037736

**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:** 23663196

**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 Investment Income Builder Fund (Series ID: S000011851)

| Class ID   | Class Name                                          | Ticker Symbol   |
|:---|:---|:---|
| C000032380 | Thornburg Investment Income Builder Fund - Class A  | TIBAX           |
| C000032381 | Thornburg Investment Income Builder Fund - Class C  | TIBCX           |
| C000032382 | Thornburg Investment Income Builder Fund - Class I  | TIBIX           |
| C000042675 | Thornburg Investment Income Builder Fund - Class R3 | TIBRX           |
| C000047041 | Thornburg Investment Income Builder Fund - Class R5 | TIBMX           |
| C000058461 | Thornburg Investment Income Builder Fund - Class R4 | TIBGX           |
| C000177479 | Thornburg Investment Income Builder Fund - Class R6 | TIBOX           |

## Nport-Ex

SCHEDULE OF INVESTMENTS

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | **Common Stock — 84.2%** |  |  |
|  | &nbsp;&nbsp;**Automobiles & Components — 1.7%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Automobiles — 1.7%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Mercedes-Benz Group AG | &nbsp;&nbsp; 1479700 | &nbsp;&nbsp;$97254170 |
|  | &nbsp;&nbsp;&nbsp;Stellantis NV | &nbsp;&nbsp; 5164500 | &nbsp;&nbsp;&nbsp;&nbsp; 73327854 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 170582024 |
|  | &nbsp;&nbsp;**Banks — 8.7%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Banks — 8.7%** |  |  |
|  | &nbsp;&nbsp;&nbsp;BNP Paribas SA | &nbsp;&nbsp; 6321500 | &nbsp;&nbsp;&nbsp;&nbsp; 360334574 |
|  | &nbsp;&nbsp;&nbsp;Citigroup, Inc. | &nbsp;&nbsp; 993199 | &nbsp;&nbsp;&nbsp;&nbsp; 44922391 |
|  | &nbsp;&nbsp;&nbsp;JPMorgan Chase & Co. | &nbsp;&nbsp; 1903466 | &nbsp;&nbsp;&nbsp;&nbsp; 255254790 |
|  | &nbsp;&nbsp;&nbsp;Regions Financial Corp. | &nbsp;&nbsp; 11232655 | &nbsp;&nbsp;&nbsp;&nbsp; 242176042 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 902687797 |
|  | &nbsp;&nbsp;**Capital Goods — 3.0%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Aerospace & Defense — 1.0%** |  |  |
|  | &nbsp;&nbsp;&nbsp;BAE Systems plc | &nbsp;&nbsp; 10030100 | &nbsp;&nbsp;&nbsp;&nbsp; 103797622 |
|  | &nbsp;&nbsp;&nbsp;**Electrical Equipment — 0.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;ABB Ltd. | &nbsp;&nbsp; 1106000 | &nbsp;&nbsp;&nbsp;&nbsp; 33563359 |
|  | &nbsp;&nbsp;&nbsp;**Industrial Conglomerates — 1.7%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Siemens AG | &nbsp;&nbsp; 1275600 | &nbsp;&nbsp;&nbsp;&nbsp; 177018931 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 314379912 |
|  | &nbsp;&nbsp;**Diversified Financials — 7.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Capital Markets — 4.5%** |  |  |
|  | &nbsp;&nbsp;&nbsp;CME Group, Inc. | &nbsp;&nbsp; 1782881 | &nbsp;&nbsp;&nbsp;&nbsp; 299809269 |
|  | &nbsp;&nbsp;&nbsp;MidCap Financial Investment Corp. | &nbsp;&nbsp; 2937783 | &nbsp;&nbsp;&nbsp;&nbsp; 33490726 |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;SLR Investment Corp. | &nbsp;&nbsp; 4307900 | &nbsp;&nbsp;&nbsp;&nbsp; 59922889 |
|  | &nbsp;&nbsp;&nbsp;UBS Group AG | &nbsp;&nbsp; 4225272 | &nbsp;&nbsp;&nbsp;&nbsp; 78619807 |
|  | &nbsp;&nbsp;&nbsp;**Diversified Financial Services — 1.8%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Equitable Holdings, Inc. | &nbsp;&nbsp; 5628308 | &nbsp;&nbsp;&nbsp;&nbsp; 161532440 |
|  | &nbsp;&nbsp;&nbsp;M&G plc | &nbsp;&nbsp; 8949000 | &nbsp;&nbsp;&nbsp;&nbsp; 20323293 |
|  | &nbsp;&nbsp;&nbsp;**Mortgage Real Estate Investment Trusts — 1.0%** |  |  |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;Chimera Investment Corp. | &nbsp;&nbsp; 17317311 | &nbsp;&nbsp;&nbsp;&nbsp; 95245211 |
|  | &nbsp;&nbsp;&nbsp;Granite Point Mortgage Trust, Inc. | &nbsp;&nbsp; 1417500 | &nbsp;&nbsp;&nbsp;&nbsp; 7597800 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 756541435 |
|  | &nbsp;&nbsp;**Energy — 8.8%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Oil, Gas & Consumable Fuels — 8.8%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Enbridge, Inc. | &nbsp;&nbsp; 3309521 | &nbsp;&nbsp;&nbsp;&nbsp; 129349964 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;LUKOIL PJSC | &nbsp;&nbsp; 314000 | &nbsp;&nbsp;&nbsp;&nbsp; 226080 |
| **<sup>a,b,c</sup>** | &nbsp;&nbsp;&nbsp;Malamute Energy, Inc. | &nbsp;&nbsp; 12439 | &nbsp;&nbsp;&nbsp;&nbsp; 12439 |
|  | &nbsp;&nbsp;&nbsp;Petroleo Brasileiro SA Sponsored ADR | &nbsp;&nbsp; 6346016 | &nbsp;&nbsp;&nbsp;&nbsp; 67585070 |
|  | &nbsp;&nbsp;&nbsp;Shell plc | &nbsp;&nbsp; 4878000 | &nbsp;&nbsp;&nbsp;&nbsp; 137170235 |
|  | &nbsp;&nbsp;&nbsp;TotalEnergies SE | &nbsp;&nbsp; 8807100 | &nbsp;&nbsp;&nbsp;&nbsp; 552926143 |
|  | &nbsp;&nbsp;&nbsp;Woodside Energy Group Ltd. | &nbsp;&nbsp; 1307742 | &nbsp;&nbsp;&nbsp;&nbsp; 31554937 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 918824868 |
|  | &nbsp;&nbsp;**Food & Staples Retailing — 2.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Food & Staples Retailing — 2.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Tesco plc | &nbsp;&nbsp; 89458330 | &nbsp;&nbsp;&nbsp;&nbsp; 242473773 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 242473773 |
|  | &nbsp;&nbsp;**Food, Beverage & Tobacco — 0.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Food Products — 0.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Nestle SA | &nbsp;&nbsp; 289900 | &nbsp;&nbsp;&nbsp;&nbsp; 33590965 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 33590965 |
|  | &nbsp;&nbsp;**Insurance — 6.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Insurance — 6.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Assicurazioni Generali SpA | &nbsp;&nbsp; 15204847 | &nbsp;&nbsp;&nbsp;&nbsp; 270426085 |
|  | &nbsp;&nbsp;&nbsp;AXA SA | &nbsp;&nbsp; 2620500 | &nbsp;&nbsp;&nbsp;&nbsp; 73087216 |
|  | &nbsp;&nbsp;&nbsp;Legal & General Group plc | &nbsp;&nbsp; 18270000 | &nbsp;&nbsp;&nbsp;&nbsp; 55108358 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;NN Group NV | &nbsp;&nbsp; 6151220 | &nbsp;&nbsp;$251267204 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 649888863 |
|  | &nbsp;&nbsp;**Materials — 5.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Chemicals — 1.5%** |  |  |
|  | &nbsp;&nbsp;&nbsp;LyondellBasell Industries NV Class A | &nbsp;&nbsp; 1867909 | &nbsp;&nbsp;&nbsp;&nbsp; 155092484 |
|  | &nbsp;&nbsp;&nbsp;**Metals & Mining — 3.9%** |  |  |
|  | &nbsp;&nbsp;&nbsp;BHP Group Ltd. | &nbsp;&nbsp; 3830000 | &nbsp;&nbsp;&nbsp;&nbsp; 118987344 |
|  | &nbsp;&nbsp;&nbsp;Glencore plc | &nbsp;&nbsp; 42737800 | &nbsp;&nbsp;&nbsp;&nbsp; 285413301 |
| **<sup>b</sup>** | &nbsp;&nbsp;&nbsp;MMC Norilsk Nickel PJSC | &nbsp;&nbsp; 351400 | &nbsp;&nbsp;&nbsp;&nbsp; 2073260 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 561566389 |
|  | &nbsp;&nbsp;**Pharmaceuticals, Biotechnology & Life Sciences — 10.7%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Biotechnology — 1.5%** |  |  |
|  | &nbsp;&nbsp;&nbsp;AbbVie, Inc. | &nbsp;&nbsp; 977267 | &nbsp;&nbsp;&nbsp;&nbsp; 157936120 |
|  | &nbsp;&nbsp;&nbsp;**Pharmaceuticals — 9.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;AstraZeneca plc | &nbsp;&nbsp; 1263300 | &nbsp;&nbsp;&nbsp;&nbsp; 171328774 |
|  | &nbsp;&nbsp;&nbsp;Merck & Co., Inc. | &nbsp;&nbsp; 1468094 | &nbsp;&nbsp;&nbsp;&nbsp; 162885029 |
|  | &nbsp;&nbsp;&nbsp;Novartis AG | &nbsp;&nbsp; 1297000 | &nbsp;&nbsp;&nbsp;&nbsp; 117251101 |
|  | &nbsp;&nbsp;&nbsp;Pfizer, Inc. | &nbsp;&nbsp; 6382021 | &nbsp;&nbsp;&nbsp;&nbsp; 327014756 |
|  | &nbsp;&nbsp;&nbsp;Roche Holding AG | &nbsp;&nbsp; 541000 | &nbsp;&nbsp;&nbsp;&nbsp; 169967555 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1106383335 |
|  | &nbsp;&nbsp;**Real Estate — 0.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Equity Real Estate Investment Trusts — 0.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Elme Communities | &nbsp;&nbsp; 2354592 | &nbsp;&nbsp;&nbsp;&nbsp; 41911738 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 41911738 |
|  | &nbsp;&nbsp;**Retailing — 1.5%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Specialty Retail — 1.5%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Home Depot, Inc. | &nbsp;&nbsp; 505482 | &nbsp;&nbsp;&nbsp;&nbsp; 159661544 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 159661544 |
|  | &nbsp;&nbsp;**Semiconductors & Semiconductor Equipment — 8.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Semiconductors & Semiconductor Equipment — 8.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Broadcom, Inc. | &nbsp;&nbsp; 655040 | &nbsp;&nbsp;&nbsp;&nbsp; 366252515 |
|  | &nbsp;&nbsp;&nbsp;QUALCOMM, Inc. | &nbsp;&nbsp; 1857277 | &nbsp;&nbsp;&nbsp;&nbsp; 204189034 |
|  | &nbsp;&nbsp;&nbsp;Taiwan Semiconductor Manufacturing Co. Ltd. | &nbsp;&nbsp; 18903000 | &nbsp;&nbsp;&nbsp;&nbsp; 275837240 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 846278789 |
|  | &nbsp;&nbsp;**Technology Hardware & Equipment — 3.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Communications Equipment — 0.9%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Cisco Systems, Inc. | &nbsp;&nbsp; 2053251 | &nbsp;&nbsp;&nbsp;&nbsp; 97816878 |
|  | &nbsp;&nbsp;&nbsp;**Technology Hardware, Storage & Peripherals — 2.5%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Samsung Electronics Co. Ltd. | &nbsp;&nbsp; 5940000 | &nbsp;&nbsp;&nbsp;&nbsp; 259772242 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 357589120 |
|  | &nbsp;&nbsp;**Telecommunication Services — 9.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Diversified Telecommunication Services — 6.8%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Deutsche Telekom AG | &nbsp;&nbsp; 8863500 | &nbsp;&nbsp;&nbsp;&nbsp; 176836022 |
|  | &nbsp;&nbsp;&nbsp;Koninklijke KPN NV | &nbsp;&nbsp; 18323000 | &nbsp;&nbsp;&nbsp;&nbsp; 56684015 |
|  | &nbsp;&nbsp;&nbsp;Orange SA | &nbsp;&nbsp; 47345780 | &nbsp;&nbsp;&nbsp;&nbsp; 470372831 |
|  | &nbsp;&nbsp;&nbsp;**Wireless Telecommunication Services — 2.6%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Vodafone Group plc | &nbsp;&nbsp;263842924 | &nbsp;&nbsp;&nbsp;&nbsp; 268702796 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 972595664 |
|  | &nbsp;&nbsp;**Transportation — 1.0%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Air Freight & Logistics — 1.0%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Deutsche Post AG | &nbsp;&nbsp; 2770100 | &nbsp;&nbsp;&nbsp;&nbsp; 104317570 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 104317570 |
|  | &nbsp;&nbsp;**Utilities — 5.9%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Electric Utilities — 5.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Endesa SA | &nbsp;&nbsp; 7157383 | &nbsp;&nbsp;&nbsp;&nbsp; 135112616 |
|  | &nbsp;&nbsp;&nbsp;Enel SpA | &nbsp;&nbsp; 58142671 | &nbsp;&nbsp;&nbsp;&nbsp; 313061127 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;Energias de Portugal SA | &nbsp;&nbsp;&nbsp;&nbsp; 20615600 | &nbsp;&nbsp;$102748415 |
|  | &nbsp;&nbsp;&nbsp;**Multi-Utilities — 0.6%** |  |  |
|  | &nbsp;&nbsp;&nbsp;E.ON SE | &nbsp;&nbsp;&nbsp;&nbsp; 6212000 | &nbsp;&nbsp;&nbsp;&nbsp; 62067667 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 612989825 |
|  | &nbsp;&nbsp;&nbsp;Total Common Stock (Cost $7,511,278,099) |  | &nbsp;&nbsp;&nbsp;&nbsp; 8752263611 |
|  | **Preferred Stock — 0.3%** |  |  |
|  | &nbsp;&nbsp;**Banks — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Banks — 0.1%** |  |  |
| **<sup>d,e,f</sup>** | &nbsp;&nbsp;&nbsp;First Horizon Bank 4.759% (LIBOR 3 Month + 0.85%) | &nbsp;&nbsp;&nbsp;&nbsp; 12000 | &nbsp;&nbsp;&nbsp;&nbsp; 9480000 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 9480000 |
|  | &nbsp;&nbsp;**Diversified Financials — 0.0%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Capital Markets — 0.0%** |  |  |
| **<sup>e,f</sup>** | &nbsp;&nbsp;&nbsp;Morgan Stanley Series A, 4.779% (LIBOR 3 Month + 0.70%) | &nbsp;&nbsp;&nbsp;&nbsp; 120000 | &nbsp;&nbsp;&nbsp;&nbsp; 2272800 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 2272800 |
|  | &nbsp;&nbsp;**Energy — 0.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Oil, Gas & Consumable Fuels — 0.2%** |  |  |
| **<sup>e</sup>** | &nbsp;&nbsp;&nbsp;Crestwood Equity Partners LP 9.25% | &nbsp;&nbsp;&nbsp;&nbsp; 2166596 | &nbsp;&nbsp;&nbsp;&nbsp; 18762721 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 18762721 |
|  | &nbsp;&nbsp;&nbsp;Total Preferred Stock (Cost $35,891,206) |  | &nbsp;&nbsp;&nbsp;&nbsp; 30515521 |
|  | **Asset Backed Securities — 2.3%** |  |  |
|  | &nbsp;&nbsp;**Auto Receivables — 1.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;American Credit Acceptance Receivables Trust, |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-3 Class F, 5.42% due 5/12/2026 | &nbsp;&nbsp;$6850000 | &nbsp;&nbsp;&nbsp;&nbsp; 6772335 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-4 Class F, 5.37% due 9/14/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4767657 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-1 Class F, 4.75% due 11/13/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5460000 | &nbsp;&nbsp;&nbsp;&nbsp; 5317030 |
|  | &nbsp;&nbsp;&nbsp;Carvana Auto Receivables Trust, |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-4A Class R, due 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 32000 | &nbsp;&nbsp;&nbsp;&nbsp; 9697241 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-P1 Class R, due 12/10/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 24000 | &nbsp;&nbsp;&nbsp;&nbsp; 4096552 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-P2 Class R, due 5/10/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp; 2481892 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-P4 Class R, due 9/11/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 17500 | &nbsp;&nbsp;&nbsp;&nbsp; 7972555 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-P1 Class R, due 1/10/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 24000 | &nbsp;&nbsp;&nbsp;&nbsp; 7904726 |
|  | &nbsp;&nbsp;&nbsp;CPS Auto Receivables Trust, |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-B Class E, 5.61% due 12/16/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 3942030 | &nbsp;&nbsp;&nbsp;&nbsp; 3928919 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-A Class E, 5.81% due 3/16/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1000000 | &nbsp;&nbsp;&nbsp;&nbsp; 997080 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-A Class E, 4.09% due 12/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp;&nbsp; 1960130 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-C Class F, 6.67% due 11/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2860351 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;CPS Auto Securitization Trust, Series 2021-1A Class A, 7.86% due 6/16/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 14000000 | &nbsp;&nbsp;&nbsp;&nbsp; 13677706 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Credit Suisse ABS Trust Series 2020-AT1 Class CERT, due 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 40000 | &nbsp;&nbsp;&nbsp;&nbsp; 694388 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;DT Auto Owner Trust, Series 2020-1A Class E, 3.48% due 2/16/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4500000 | &nbsp;&nbsp;&nbsp;&nbsp; 4264645 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;FHF Trust, Series 2022-2A Class A, 6.14% due 12/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 7709119 | &nbsp;&nbsp;&nbsp;&nbsp; 7598027 |
|  | &nbsp;&nbsp;&nbsp;Flagship Credit Auto Trust, |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-4 Class R, due 3/16/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 53000 | &nbsp;&nbsp;&nbsp;&nbsp; 2911073 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1 Class R, due 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 236636 |
| **<sup>d</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>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-3 Class R, due 12/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 60000 | &nbsp;&nbsp;&nbsp;&nbsp; 5271428 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-4 Class R, due 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 42000 | &nbsp;&nbsp;&nbsp;&nbsp; 4257683 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Foursight Capital Automobile Receivables Trust, Series 2020-1 Class F, 4.62% due 6/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3180000 | &nbsp;&nbsp;&nbsp;&nbsp; 3106557 |
|  | &nbsp;&nbsp;&nbsp;JPMorgan Chase Bank NA - CACLN, |  |  |
| **<sup>d</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>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2 Class R, 31.355% due 2/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1171924 | &nbsp;&nbsp;&nbsp;&nbsp; 1195362 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1 Class R, 28.348% due 9/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3751666 | &nbsp;&nbsp;&nbsp;&nbsp; 3826700 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Santander Consumer Auto Receivables Trust Series 2020-AA Class R, due 1/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 45588 | &nbsp;&nbsp;&nbsp;&nbsp; 6341240 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;United Auto Credit Securitization Trust Series 2022-1 Class R, due 11/10/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 37000 | &nbsp;&nbsp;&nbsp;&nbsp; 8274631 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Veros Automobile Receivables Trust, Series 2020-1 Class D, 5.64% due 2/16/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4961205 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Westlake Automobile Receivables Trust, Series 2019-3A Class F, 4.72% due 4/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8000000 | &nbsp;&nbsp;&nbsp;&nbsp; 7889423 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 137926425 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;**Other Asset Backed — 1.0%** |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Amur Equipment Finance Receivables VIII LLC, Series 2020-1A Class E, 7.00% due 1/20/2027 | &nbsp;&nbsp;$5536361 | &nbsp;&nbsp;$5398429 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Aqua Finance Trust, Series 2020-AA Class D, 7.15% due 7/17/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 8200000 | &nbsp;&nbsp;&nbsp;&nbsp; 6860742 |
|  | &nbsp;&nbsp;&nbsp;CFG Investments Ltd., |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1 Class C, 7.48% due 5/20/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2340000 | &nbsp;&nbsp;&nbsp;&nbsp; 2222532 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1 Class D, 9.07% due 5/20/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 800000 | &nbsp;&nbsp;&nbsp;&nbsp; 742511 |
|  | &nbsp;&nbsp;&nbsp;Consumer Loan Underlying Bond Credit Trust, |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2018-P3 Class C, 5.54% due 1/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 134299 | &nbsp;&nbsp;&nbsp;&nbsp; 134230 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-HP1 Class C, 4.70% due 12/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4333714 | &nbsp;&nbsp;&nbsp;&nbsp; 4314109 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-HP1 Class CERT, due 12/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 400000 | &nbsp;&nbsp;&nbsp;&nbsp; 4566152 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-P1 Class C, 4.66% due 7/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2038424 | &nbsp;&nbsp;&nbsp;&nbsp; 2027746 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-P1 Class C, 4.61% due 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1653643 | &nbsp;&nbsp;&nbsp;&nbsp; 1637680 |
| **<sup>d</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; 10500000 | &nbsp;&nbsp;&nbsp;&nbsp; 9833455 |
| **<sup>b,d</sup>** | &nbsp;&nbsp;&nbsp;Goldman Home Improvement Trust Series 2021-GRN2 Class R, due 6/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 42000 | &nbsp;&nbsp;&nbsp;&nbsp; 3348194 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;LendingPoint Asset Securitization Trust, Series 2020-REV1 Class C, 7.699% due 10/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 25750000 | &nbsp;&nbsp;&nbsp;&nbsp; 24996040 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;LP LMS Asset Securitization Trust, Series 2021-2A Class A, 1.75% due 1/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2764242 | &nbsp;&nbsp;&nbsp;&nbsp; 2671470 |
|  | &nbsp;&nbsp;&nbsp;Marlette Funding Trust, |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1A Class C, 4.42% due 4/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1224441 | &nbsp;&nbsp;&nbsp;&nbsp; 1217485 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1A Class R, due 6/16/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 9550 | &nbsp;&nbsp;&nbsp;&nbsp; 905342 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-2A Class R, due 9/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 26000 | &nbsp;&nbsp;&nbsp;&nbsp; 3307944 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-3A Class R, due 12/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 9910 | &nbsp;&nbsp;&nbsp;&nbsp; 1840758 |
|  | &nbsp;&nbsp;&nbsp;Mosaic Solar Loan Trust, |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2A Class R, due 8/20/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 4382519 | &nbsp;&nbsp;&nbsp;&nbsp; 1835903 |
| **<sup>b,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1A Class R, due 12/20/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 6955737 | &nbsp;&nbsp;&nbsp;&nbsp; 2355213 |
| **<sup>b,d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-2A Class R, due 4/22/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp;&nbsp; 1999000 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;Oportun Funding LLC Series 2022-1 Class CERT, due 6/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 11604 | &nbsp;&nbsp;&nbsp;&nbsp; 4554962 |
|  | &nbsp;&nbsp;&nbsp;Prosper Pass-Thru Trust II, |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-ST1 Class CERT, due 7/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 38500000 | &nbsp;&nbsp;&nbsp;&nbsp; 1024272 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-ST2 Class R1, due 11/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 17477134 | &nbsp;&nbsp;&nbsp;&nbsp; 2001499 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-ST2 Class R2, due 11/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 8738067 | &nbsp;&nbsp;&nbsp;&nbsp; 1000692 |
|  | &nbsp;&nbsp;&nbsp;Upstart Pass-Through Trust, |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-ST6 Class A, 3.00% due 1/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2763536 | &nbsp;&nbsp;&nbsp;&nbsp; 2625710 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-ST4 Class CERT, due 7/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1375000 | &nbsp;&nbsp;&nbsp;&nbsp; 516292 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-ST8 Class CERT, due 10/20/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 4150000 | &nbsp;&nbsp;&nbsp;&nbsp; 1155256 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-ST9 Class CERT, due 11/20/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1415000 | &nbsp;&nbsp;&nbsp;&nbsp; 383223 |
| **<sup>d</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;&nbsp; 103903955 |
|  | &nbsp;&nbsp;**Student Loan — 0.0%** |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;SoFi Professional Loan Program Trust, Series 2021-B Class R1, due 2/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 23000 | &nbsp;&nbsp;&nbsp;&nbsp; 1066505 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1066505 |
|  | &nbsp;&nbsp;&nbsp;Total Asset Backed Securities (Cost $254,121,304) |  | &nbsp;&nbsp;&nbsp;&nbsp; 242896885 |
|  | **Corporate Bonds — 9.0%** |  |  |
|  | &nbsp;&nbsp;**Automobiles & Components — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Construction & Engineering — 0.1%** |  |  |
| **<sup>d,g</sup>** | &nbsp;&nbsp;&nbsp;IHS Netherlands Holdco BV, 8.00% due 9/18/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6045000 | &nbsp;&nbsp;&nbsp;&nbsp; 5315127 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 5315127 |
|  | &nbsp;&nbsp;**Capital Goods — 0.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Aerospace & Defense — 0.1%** |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;BWX Technologies, Inc., 4.125% due 6/30/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6500000 | &nbsp;&nbsp;&nbsp;&nbsp; 5834595 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;TransDigm, Inc., 6.25% due 3/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp;&nbsp; 9883200 |
|  | &nbsp;&nbsp;&nbsp;**Trading Companies & Distributors — 0.1%** |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;IAA, Inc., 5.50% due 6/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp;&nbsp; 9718300 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 25436095 |
|  | &nbsp;&nbsp;**Commercial & Professional Services — 0.5%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Commercial Services & Supplies — 0.5%** |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;ACCO Brands Corp., 4.25% due 3/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 7500000 | &nbsp;&nbsp;&nbsp;&nbsp; 6190500 |
| **<sup>d,g</sup>** | &nbsp;&nbsp;&nbsp;Cimpress plc, 7.00% due 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 27804000 | &nbsp;&nbsp;&nbsp;&nbsp; 19206725 |
|  | &nbsp;&nbsp;&nbsp;CoreCivic, Inc., 8.25% due 4/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 20726000 | &nbsp;&nbsp;&nbsp;&nbsp; 21232337 |
|  | &nbsp;&nbsp;&nbsp;**Hotels, Restaurants & Leisure — 0.0%** |  |  |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;Marriott International, Inc., 4.50% due 10/1/2034 | &nbsp;&nbsp;$4497000 | &nbsp;&nbsp;$3849027 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 50478589 |
|  | &nbsp;&nbsp;**Commercial Services — 0.0%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Hotels, Restaurants & Leisure — 0.0%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Marriott International, Inc., Series- II, 2.75% due 10/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2500000 | &nbsp;&nbsp;&nbsp;&nbsp; 1916950 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1916950 |
|  | &nbsp;&nbsp;**Consumer Services — 0.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Hotels, Restaurants & Leisure — 0.3%** |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Nathan's Famous, Inc., 6.625% due 11/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 4538000 | &nbsp;&nbsp;&nbsp;&nbsp; 4363060 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;SeaWorld Parks & Entertainment, Inc., 8.75% due 5/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 24785000 | &nbsp;&nbsp;&nbsp;&nbsp; 25385045 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 29748105 |
|  | &nbsp;&nbsp;**Diversified Financials — 0.6%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Capital Markets — 0.3%** |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Compass Group Diversified Holdings LLC, 5.25% due 4/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6272000 | &nbsp;&nbsp;&nbsp;&nbsp; 5378554 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;LPL Holdings, Inc., 4.00% due 3/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1000000 | &nbsp;&nbsp;&nbsp;&nbsp; 870190 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Owl Rock Core Income Corp., 7.75% due 9/16/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2500000 | &nbsp;&nbsp;&nbsp;&nbsp; 2487400 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;StoneX Group, Inc., 8.625% due 6/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 17784000 | &nbsp;&nbsp;&nbsp;&nbsp; 17944945 |
|  | &nbsp;&nbsp;&nbsp;**Diversified Financial Services — 0.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Antares Holdings LP, |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.75% due 7/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2409120 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;6.00% due 8/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 18000000 | &nbsp;&nbsp;&nbsp;&nbsp; 17684460 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;8.50% due 5/18/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 11500000 | &nbsp;&nbsp;&nbsp;&nbsp; 11600280 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;United Wholesale Mortgage LLC, 5.50% due 11/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4515600 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 62890549 |
|  | &nbsp;&nbsp;**Energy — 2.3%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Energy Equipment & Services — 0.0%** |  |  |
| **<sup>d,g,h</sup>** | &nbsp;&nbsp;&nbsp;Odebrecht Offshore Drilling Finance Ltd., 7.72% due 12/1/2026 PIK | &nbsp;&nbsp;&nbsp;&nbsp; 20400953 | &nbsp;&nbsp;&nbsp;&nbsp; 5398092 |
| **<sup>d,e,g</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; 2337727 | &nbsp;&nbsp;&nbsp;&nbsp; 9024 |
| **<sup>c,d,g,i</sup>** | &nbsp;&nbsp;&nbsp;Schahin II Finance Co. SPV Ltd., 5.875% due 9/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 11396734 | &nbsp;&nbsp;&nbsp;&nbsp; 114 |
|  | &nbsp;&nbsp;&nbsp;**Oil, Gas & Consumable Fuels — 2.3%** |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Citgo Holding, Inc., 9.25% due 8/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 14196000 | &nbsp;&nbsp;&nbsp;&nbsp; 14238162 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;CITGO Petroleum Corp., 7.00% due 6/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 8000000 | &nbsp;&nbsp;&nbsp;&nbsp; 7820080 |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;Energy Transfer LP, 7.457% (LIBOR 3 Month + 3.017%) due 11/1/2066 | &nbsp;&nbsp;&nbsp;&nbsp; 13820000 | &nbsp;&nbsp;&nbsp;&nbsp; 10640018 |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;Enterprise TE Partners LP, Series 1, 7.538% (LIBOR 3 Month + 2.78%) due 6/1/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 7000000 | &nbsp;&nbsp;&nbsp;&nbsp; 5791170 |
|  | &nbsp;&nbsp;&nbsp;Kinder Morgan Energy Partners LP, |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;5.00% due 3/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp;&nbsp; 8560900 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;5.80% due 3/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp;&nbsp; 9790100 |
|  | &nbsp;&nbsp;&nbsp;Kinder Morgan, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;5.30% due 12/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 23630000 | &nbsp;&nbsp;&nbsp;&nbsp; 22118862 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;5.55% due 6/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4581400 |
|  | &nbsp;&nbsp;&nbsp;ONEOK Partners LP, 4.90% due 3/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 9544000 | &nbsp;&nbsp;&nbsp;&nbsp; 9414679 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Par Petroleum LLC/Par Petroleum Finance Corp., 7.75% due 12/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 1672000 | &nbsp;&nbsp;&nbsp;&nbsp; 1611691 |
|  | &nbsp;&nbsp;&nbsp;Petroleos Mexicanos, |  |  |
| **<sup>g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.95% due 1/28/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 7820000 | &nbsp;&nbsp;&nbsp;&nbsp; 5933972 |
| **<sup>g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;6.50% due 6/2/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 5648000 | &nbsp;&nbsp;&nbsp;&nbsp; 3665947 |
| **<sup>g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;6.70% due 2/16/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2361900 |
|  | &nbsp;&nbsp;&nbsp;Petroleos Mexicanos (EUR), 3.75% due 2/21/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2097717 |
| **<sup>e</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; 16097000 | &nbsp;&nbsp;&nbsp;&nbsp; 11712982 |
|  | &nbsp;&nbsp;&nbsp;Transcontinental Gas Pipe Line Co. LLC, 7.85% due 2/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 32700000 | &nbsp;&nbsp;&nbsp;&nbsp; 34873569 |
|  | &nbsp;&nbsp;&nbsp;Williams Cos., Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.55% due 6/24/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 69318000 | &nbsp;&nbsp;&nbsp;&nbsp; 68549957 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;5.75% due 6/24/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 14198000 | &nbsp;&nbsp;&nbsp;&nbsp; 13529558 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 242699894 |
|  | &nbsp;&nbsp;**Food & Staples Retailing — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Food & Staples Retailing — 0.1%** |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;KeHE Distributors LLC/KeHE Finance Corp., 8.625% due 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5168000 | &nbsp;&nbsp;&nbsp;&nbsp; 5049136 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 5049136 |
|  | &nbsp;&nbsp;**Food, Beverage & Tobacco — 0.7%** |  |  |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;**Beverages — 0.1%** |  |  |
| **<sup>d,g</sup>** | &nbsp;&nbsp;&nbsp;Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, 5.25% due 4/27/2029 | &nbsp;&nbsp;$10443000 | &nbsp;&nbsp;$9772873 |
|  | &nbsp;&nbsp;&nbsp;**Food Products — 0.1%** |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Darling Ingredients, Inc., 6.00% due 6/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4050000 | &nbsp;&nbsp;&nbsp;&nbsp; 3969324 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Post Holdings, Inc., 5.50% due 12/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp;&nbsp; 9059800 |
|  | &nbsp;&nbsp;&nbsp;**Tobacco — 0.5%** |  |  |
| **<sup>d,g</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>d,g</sup>** | &nbsp;&nbsp;&nbsp;JT International Financial Services BV, 6.875% due 10/24/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 5303900 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Vector Group Ltd., 10.50% due 11/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 44464000 | &nbsp;&nbsp;&nbsp;&nbsp; 44293703 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 77364350 |
|  | &nbsp;&nbsp;**Health Care Equipment & Services — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Health Care Providers & Services — 0.1%** |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Tenet Healthcare Corp., 4.875% due 1/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 7184000 | &nbsp;&nbsp;&nbsp;&nbsp; 6844412 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 6844412 |
|  | &nbsp;&nbsp;**Household & Personal Products — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Household Durables — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Newell Brands, Inc., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;4.45% due 4/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3700000 | &nbsp;&nbsp;&nbsp;&nbsp; 3501014 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;6.625% due 9/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6300000 | &nbsp;&nbsp;&nbsp;&nbsp; 6218163 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 9719177 |
|  | &nbsp;&nbsp;**Insurance — 0.7%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Insurance — 0.7%** |  |  |
| **<sup>g</sup>** | &nbsp;&nbsp;&nbsp;Enstar Group Ltd., 3.10% due 9/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 8354000 | &nbsp;&nbsp;&nbsp;&nbsp; 6099924 |
|  | &nbsp;&nbsp;&nbsp;Fidelity National Financial, Inc., 3.40% due 6/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp;&nbsp; 8442700 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;MetLife, Inc., 9.25% due 4/8/2068 | &nbsp;&nbsp;&nbsp;&nbsp; 12000000 | &nbsp;&nbsp;&nbsp;&nbsp; 14010840 |
| **<sup>d,f,g</sup>** | &nbsp;&nbsp;&nbsp;QBE Insurance Group Ltd., 7.50% (USSW10 + 6.03%) due 11/24/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 40000000 | &nbsp;&nbsp;&nbsp;&nbsp; 39937200 |
|  | &nbsp;&nbsp;&nbsp;Stewart Information Services Corp., 3.60% due 11/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6216000 | &nbsp;&nbsp;&nbsp;&nbsp; 4739575 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 73230239 |
|  | &nbsp;&nbsp;**Materials — 0.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Chemicals — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Celanese U.S. Holdings LLC, 6.165% due 7/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp;&nbsp; 9876000 |
| **<sup>d,g</sup>** | &nbsp;&nbsp;&nbsp;Nufarm Australia Ltd./Nufarm Americas, Inc., 5.00% due 1/27/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2622990 |
| **<sup>d,g</sup>** | &nbsp;&nbsp;&nbsp;OCP SA, 3.75% due 6/23/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp;&nbsp; 1677580 |
|  | &nbsp;&nbsp;&nbsp;**Containers & Packaging — 0.2%** |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Matthews International Corp., Class C, 5.25% due 12/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 14969000 | &nbsp;&nbsp;&nbsp;&nbsp; 14132682 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Silgan Holdings, Inc., 1.40% due 4/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2500000 | &nbsp;&nbsp;&nbsp;&nbsp; 2206475 |
|  | &nbsp;&nbsp;&nbsp;**Metals & Mining — 0.1%** |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Cleveland-Cliffs, Inc., 6.75% due 3/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 5020250 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Compass Minerals International, Inc., 6.75% due 12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2895780 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 38431757 |
|  | &nbsp;&nbsp;**Media & Entertainment — 0.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Media — 0.2%** |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;CCO Holdings LLC/CCO Holdings Capital Corp., 4.75% due 2/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8000000 | &nbsp;&nbsp;&nbsp;&nbsp; 6485680 |
|  | &nbsp;&nbsp;&nbsp;Sirius XM Radio, Inc., |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;3.125% due 9/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4439400 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.00% due 8/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4626700 |
| **<sup>d,g</sup>** | &nbsp;&nbsp;&nbsp;Telenet Finance Luxembourg Notes Sarl, 5.50% due 3/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp;&nbsp; 9001400 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 24553180 |
|  | &nbsp;&nbsp;**Real Estate — 0.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Equity Real Estate Investment Trusts — 0.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Trust Fibra Uno, |  |  |
| **<sup>d,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;4.869% due 1/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1843000 | &nbsp;&nbsp;&nbsp;&nbsp; 1594655 |
| **<sup>d,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;5.25% due 1/30/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 11637000 | &nbsp;&nbsp;&nbsp;&nbsp; 11274624 |
|  | &nbsp;&nbsp;&nbsp;Vornado Realty LP, 2.15% due 6/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8186500 | &nbsp;&nbsp;&nbsp;&nbsp; 6934948 |
|  | &nbsp;&nbsp;&nbsp;**Real Estate Management & Development — 0.0%** |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Cushman & Wakefield US Borrower LLC, 6.75% due 5/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2869920 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 22674147 |
|  | &nbsp;&nbsp;**Semiconductors & Semiconductor Equipment — 0.1%** |  |  |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;**Semiconductors & Semiconductor Equipment — 0.1%** |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Qorvo, Inc., 3.375% due 4/1/2031 | &nbsp;&nbsp;$9800000 | &nbsp;&nbsp;$7948780 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 7948780 |
|  | &nbsp;&nbsp;**Software & Services — 0.5%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Information Technology Services — 0.1%** |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Science Applications International Corp., 4.875% due 4/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4647200 |
|  | &nbsp;&nbsp;&nbsp;**Internet Software & Services — 0.2%** |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Arches Buyer, Inc., 4.25% due 6/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6500000 | &nbsp;&nbsp;&nbsp;&nbsp; 5098080 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Cogent Communications Group, Inc., 7.00% due 6/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp;&nbsp; 9663000 |
| **<sup>d,g</sup>** | &nbsp;&nbsp;&nbsp;Prosus NV, 3.061% due 7/13/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 11800000 | &nbsp;&nbsp;&nbsp;&nbsp; 9203882 |
|  | &nbsp;&nbsp;&nbsp;**Software — 0.2%** |  |  |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Fair Isaac Corp., 4.00% due 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7000000 | &nbsp;&nbsp;&nbsp;&nbsp; 6350120 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;GoTo Group, Inc., 5.50% due 9/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5655000 | &nbsp;&nbsp;&nbsp;&nbsp; 3052286 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;MSCI, Inc., 3.625% due 9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2499420 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;Open Text Holdings, Inc., 4.125% due 2/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp;&nbsp; 8135400 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 48649388 |
|  | &nbsp;&nbsp;**Technology Hardware & Equipment — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Electronic Equipment, Instruments & Components — 0.0%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Vontier Corp., |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.40% due 4/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4375000 | &nbsp;&nbsp;&nbsp;&nbsp; 3453669 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;2.95% due 4/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 1457000 | &nbsp;&nbsp;&nbsp;&nbsp; 1059457 |
|  | &nbsp;&nbsp;&nbsp;**Office Electronics — 0.0%** |  |  |
|  | &nbsp;&nbsp;&nbsp;CDW LLC/CDW Finance Corp., 4.25% due 4/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4599400 |
|  | &nbsp;&nbsp;&nbsp;**Technology Hardware, Storage & Peripherals — 0.1%** |  |  |
| **<sup>d,g</sup>** | &nbsp;&nbsp;&nbsp;Lenovo Group Ltd., 5.831% due 1/27/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4837400 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 13949926 |
|  | &nbsp;&nbsp;**Telecommunication Services — 1.5%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Diversified Telecommunication Services — 1.1%** |  |  |
| **<sup>g</sup>** | &nbsp;&nbsp;&nbsp;Deutsche Telekom International Finance BV (Guaranty: Deutsche Telekom AG), 8.75% due 6/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 26150000 | &nbsp;&nbsp;&nbsp;&nbsp; 30854124 |
| **<sup>g</sup>** | &nbsp;&nbsp;&nbsp;Telefonica Emisiones SA (Guaranty: Telefonica SA), 7.045% due 6/20/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 85390000 | &nbsp;&nbsp;&nbsp;&nbsp; 88212993 |
|  | &nbsp;&nbsp;&nbsp;**Wireless Telecommunication Services — 0.4%** |  |  |
|  | &nbsp;&nbsp;&nbsp;Digicel International Finance Ltd./Digicel Holdings Bermuda Ltd., |  |  |
| **<sup>d,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;8.00% due 12/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 10003281 | &nbsp;&nbsp;&nbsp;&nbsp; 4427052 |
| **<sup>d,g</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;8.75% due 5/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 36785955 | &nbsp;&nbsp;&nbsp;&nbsp; 31694717 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 155188886 |
|  | &nbsp;&nbsp;**Transportation — 0.2%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Airlines — 0.2%** |  |  |
|  | &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; 2855928 | &nbsp;&nbsp;&nbsp;&nbsp; 2844532 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2016-3 Class B, 3.75% due 4/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 10293831 | &nbsp;&nbsp;&nbsp;&nbsp; 9144216 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1 Class B, 3.85% due 8/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 7735866 | &nbsp;&nbsp;&nbsp;&nbsp; 6465328 |
|  | &nbsp;&nbsp;&nbsp;US Airways Pass Through Trust, Series 2010-1 Class A, 6.25% due 10/22/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 772707 | &nbsp;&nbsp;&nbsp;&nbsp; 766386 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 19220462 |
|  | &nbsp;&nbsp;**Utilities — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Electric Utilities — 0.1%** |  |  |
| **<sup>g</sup>** | &nbsp;&nbsp;&nbsp;Comision Federal de Electricidad, 5.00% due 9/29/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 10472000 | &nbsp;&nbsp;&nbsp;&nbsp; 8658773 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 8658773 |
|  | &nbsp;&nbsp;&nbsp;Total Corporate Bonds (Cost $921,391,086) |  | &nbsp;&nbsp;&nbsp;&nbsp; 929967922 |
|  | **Other Government — 0.0%** |  |  |
| **<sup>d,g</sup>** | &nbsp;&nbsp;&nbsp;Nigeria Government International Bond, 7.625% due 11/28/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 6000000 | &nbsp;&nbsp;&nbsp;&nbsp; 3850800 |
|  | &nbsp;&nbsp;&nbsp;Total Other Government (Cost $3,558,657) |  | &nbsp;&nbsp;&nbsp;&nbsp; 3850800 |
|  | **Mortgage Backed — 1.7%** |  |  |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;Angel Oak Mortgage Trust, Whole Loan Securities Trust CMO, Series 2022-6 Class A3, 4.30% due 7/25/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 4888232 | &nbsp;&nbsp;&nbsp;&nbsp; 4564213 |
| **<sup>d,f</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>f</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 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  | &nbsp;&nbsp;&nbsp;Chase Home Lending Mortgage Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1 Class B4, 3.899% due 3/25/2050 | &nbsp;&nbsp;$1040287 | &nbsp;&nbsp;$819416 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1 Class B5, 3.899% due 3/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 485988 | &nbsp;&nbsp;&nbsp;&nbsp; 355911 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1 Class B6, 3.899% due 3/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 745503 | &nbsp;&nbsp;&nbsp;&nbsp; 437475 |
| **<sup>d,f</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; 775631 | &nbsp;&nbsp;&nbsp;&nbsp; 674025 |
|  | &nbsp;&nbsp;&nbsp;CIM Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-J1 Class AIO1, 0.444% due 7/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 62587830 | &nbsp;&nbsp;&nbsp;&nbsp; 997281 |
| **<sup>d,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-J1 Class AIO2, 0.50% due 7/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 55823234 | &nbsp;&nbsp;&nbsp;&nbsp; 1094576 |
| **<sup>d,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-J1 Class AIOS, 0.20% due 6/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 75539598 | &nbsp;&nbsp;&nbsp;&nbsp; 513412 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-J1 Class B4, 3.444% due 7/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1370705 | &nbsp;&nbsp;&nbsp;&nbsp; 1053071 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-J1 Class B5, 3.444% due 7/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 685826 | &nbsp;&nbsp;&nbsp;&nbsp; 431442 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-J1 Class B6, 3.444% due 7/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1299775 | &nbsp;&nbsp;&nbsp;&nbsp; 438209 |
| **<sup>d,f,j</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,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-J2 Class AXS, 0.21% due 1/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp;117132256 | &nbsp;&nbsp;&nbsp;&nbsp; 1102870 |
| **<sup>d,f</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,f</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,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-J2 Class B6, 2.758% due 1/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 655000 | &nbsp;&nbsp;&nbsp;&nbsp; 151265 |
|  | &nbsp;&nbsp;&nbsp;Citigroup Mortgage Loan Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2004-HYB2 Class B1, 3.022% due 3/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 185840 | &nbsp;&nbsp;&nbsp;&nbsp; 164598 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-EXP1 Class B1, 4.467% due 5/25/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 2150000 | &nbsp;&nbsp;&nbsp;&nbsp; 1737884 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-EXP1 Class B2, 4.467% due 5/25/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 1450000 | &nbsp;&nbsp;&nbsp;&nbsp; 1124816 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-EXP1 Class B3, 4.467% due 5/25/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 725000 | &nbsp;&nbsp;&nbsp;&nbsp; 510855 |
| **<sup>d,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-EXP1 Class XS, due 5/25/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 39057156 | &nbsp;&nbsp;&nbsp;&nbsp; 178491 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-EXP2 Class B5, 3.587% due 8/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 585000 | &nbsp;&nbsp;&nbsp;&nbsp; 266462 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-EXP2 Class B6, 3.587% due 8/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1400000 | &nbsp;&nbsp;&nbsp;&nbsp; 505158 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-J1 Class B4, 2.611% due 4/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 379000 | &nbsp;&nbsp;&nbsp;&nbsp; 123500 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-J1 Class B5, 2.611% due 4/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 615000 | &nbsp;&nbsp;&nbsp;&nbsp; 166462 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-J1 Class B6, 2.611% due 4/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 459574 | &nbsp;&nbsp;&nbsp;&nbsp; 100161 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-J3 Class B4, 2.858% due 9/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1033000 | &nbsp;&nbsp;&nbsp;&nbsp; 348371 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-J3 Class B6, 2.858% due 9/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 590000 | &nbsp;&nbsp;&nbsp;&nbsp; 158933 |
|  | &nbsp;&nbsp;&nbsp;CSMC Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-AFC1 Class M1, 2.841% due 2/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3808500 | &nbsp;&nbsp;&nbsp;&nbsp; 2520679 |
| **<sup>d,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-AFC1 Class AIOS, 0.25% due 3/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 92549517 | &nbsp;&nbsp;&nbsp;&nbsp; 804265 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-AFC1 Class B3, 4.35% due 3/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 215000 | &nbsp;&nbsp;&nbsp;&nbsp; 160811 |
| **<sup>d,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-AFC1 Class XS, 3.323% due 3/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 92549517 | &nbsp;&nbsp;&nbsp;&nbsp; 13071380 |
| **<sup>d,f</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 |
|  | &nbsp;&nbsp;&nbsp;Flagstar Mortgage Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2 Class AX1, 0.673% due 8/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp;115284391 | &nbsp;&nbsp;&nbsp;&nbsp; 2774526 |
| **<sup>d,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2 Class AX2, 0.50% due 8/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 19759145 | &nbsp;&nbsp;&nbsp;&nbsp; 382013 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2 Class B4, 3.673% due 8/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 848953 | &nbsp;&nbsp;&nbsp;&nbsp; 655282 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2 Class B5, 3.673% due 8/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2546860 | &nbsp;&nbsp;&nbsp;&nbsp; 1935472 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-2 Class B6C, 3.673% due 8/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3395814 | &nbsp;&nbsp;&nbsp;&nbsp; 1523322 |
| **<sup>d,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-13INV Class AX1, 0.188% due 12/30/2051 | &nbsp;&nbsp;&nbsp;&nbsp;178621353 | &nbsp;&nbsp;&nbsp;&nbsp; 1385334 |
| **<sup>d,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-13INV Class AX17, 0.18% due 12/30/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 14807988 | &nbsp;&nbsp;&nbsp;&nbsp; 128569 |
| **<sup>d,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-13INV Class AX4, 0.50% due 12/30/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 13512289 | &nbsp;&nbsp;&nbsp;&nbsp; 349363 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-13INV Class B4, 3.368% due 12/30/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2446876 | &nbsp;&nbsp;&nbsp;&nbsp; 1543427 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-13INV Class B5, 3.368% due 12/30/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 479588 | &nbsp;&nbsp;&nbsp;&nbsp; 272993 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-13INV Class B6C, 3.266% due 12/30/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 4208626 | &nbsp;&nbsp;&nbsp;&nbsp; 1954101 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;Galton Funding Mortgage Trust, Whole Loan Securities Trust CMO, Series 2020-H1 Class B1, 3.386% due 1/25/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 4379900 | &nbsp;&nbsp;&nbsp;&nbsp; 2969859 |
|  | &nbsp;&nbsp;&nbsp;GS Mortgage-Backed Securities Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-INV1 Class A11X, 3.42% due 10/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1527072 | &nbsp;&nbsp;&nbsp;&nbsp; 249908 |
| **<sup>d,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-INV1 Class A12X, 2.932% due 10/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 18284039 | &nbsp;&nbsp;&nbsp;&nbsp; 2564757 |
| **<sup>d,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-INV1 Class AIOS, 0.19% due 10/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 96251295 | &nbsp;&nbsp;&nbsp;&nbsp; 739143 |
| **<sup>d,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-INV1 Class AX1, 0.005% due 10/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 66109372 | &nbsp;&nbsp;&nbsp;&nbsp; 661 |
| **<sup>d,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-INV1 Class AX2, 0.432% due 10/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3295261 | &nbsp;&nbsp;&nbsp;&nbsp; 42454 |
| **<sup>d,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-INV1 Class AX4, 0.928% due 10/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3547630 | &nbsp;&nbsp;&nbsp;&nbsp; 99217 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-INV1 Class B4, 3.86% due 10/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1917078 | &nbsp;&nbsp;&nbsp;&nbsp; 1431585 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-INV1 Class B5, 3.86% due 10/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1917078 | &nbsp;&nbsp;&nbsp;&nbsp; 1325907 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-INV1 Class B6, 3.86% due 10/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4427976 | &nbsp;&nbsp;&nbsp;&nbsp; 2298030 |
| **<sup>d,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-INV1 Class BX, 0.36% due 10/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 21879593 | &nbsp;&nbsp;&nbsp;&nbsp; 260177 |
|  | &nbsp;&nbsp;&nbsp;JPMorgan Mortgage Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2016-5 Class B5, 5.017% due 12/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1999979 | &nbsp;&nbsp;&nbsp;&nbsp; 1228826 |
| **<sup>d,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-3 Class AX1, 0.145% due 8/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 15630906 | &nbsp;&nbsp;&nbsp;&nbsp; 61508 |
| **<sup>d,f,j</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; 3082036 | &nbsp;&nbsp;&nbsp;&nbsp; 173924 |
| **<sup>d,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-4 Class A3X, 0.50% due 11/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 13971897 | &nbsp;&nbsp;&nbsp;&nbsp; 257675 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
| **<sup>d,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-4 Class AX1, 0.103% due 11/25/2050 | &nbsp;&nbsp;$51607152 | &nbsp;&nbsp;$142766 |
| **<sup>d,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-4 Class AX3, 3.50% due 11/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1427839 | &nbsp;&nbsp;&nbsp;&nbsp; 185397 |
| **<sup>d,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-4 Class AX4, 0.55% due 11/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3295210 | &nbsp;&nbsp;&nbsp;&nbsp; 66820 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-4 Class B4, 3.653% due 11/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1974546 | &nbsp;&nbsp;&nbsp;&nbsp; 1479963 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-4 Class B5, 3.653% due 11/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 911475 | &nbsp;&nbsp;&nbsp;&nbsp; 625110 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-4 Class B6, 3.54% due 11/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1603555 | &nbsp;&nbsp;&nbsp;&nbsp; 565815 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-7 Class B4, 3.521% due 1/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2412229 | &nbsp;&nbsp;&nbsp;&nbsp; 1857426 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-7 Class B5, 3.521% due 1/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1690460 | &nbsp;&nbsp;&nbsp;&nbsp; 898410 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-7 Class B6, 3.521% due 1/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2290000 | &nbsp;&nbsp;&nbsp;&nbsp; 703845 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-11 Class B5, 3.028% due 1/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3771100 | &nbsp;&nbsp;&nbsp;&nbsp; 1975037 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-11 Class B6, 2.887% due 1/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4390951 | &nbsp;&nbsp;&nbsp;&nbsp; 1571936 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-2 Class B4, 3.131% due 8/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3307549 | &nbsp;&nbsp;&nbsp;&nbsp; 1987355 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-2 Class B5, 3.131% due 8/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1756829 | &nbsp;&nbsp;&nbsp;&nbsp; 855250 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-2 Class B6, 2.967% due 8/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1830000 | &nbsp;&nbsp;&nbsp;&nbsp; 423026 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-3 Class B4, 3.116% due 8/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2713930 | &nbsp;&nbsp;&nbsp;&nbsp; 1633089 |
| **<sup>d,f</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,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2022-3 Class B6, 2.533% due 8/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1490458 | &nbsp;&nbsp;&nbsp;&nbsp; 343221 |
|  | &nbsp;&nbsp;&nbsp;Mello Mortgage Capital Acceptance, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,f,j</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,f,j</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,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV2 Class B5, 3.326% due 8/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 320255 | &nbsp;&nbsp;&nbsp;&nbsp; 184546 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV2 Class B6, 3.17% due 8/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1544892 | &nbsp;&nbsp;&nbsp;&nbsp; 612739 |
| **<sup>d,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV3 Class AX1, 0.169% due 10/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp;128380098 | &nbsp;&nbsp;&nbsp;&nbsp; 860519 |
| **<sup>d,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV3 Class AX4, 0.55% due 10/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 10396980 | &nbsp;&nbsp;&nbsp;&nbsp; 316304 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV3 Class B5, 3.219% due 10/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 448064 | &nbsp;&nbsp;&nbsp;&nbsp; 255797 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV3 Class B6, 3.164% due 10/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1948662 | &nbsp;&nbsp;&nbsp;&nbsp; 787227 |
| **<sup>f</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; 1058776 | &nbsp;&nbsp;&nbsp;&nbsp; 937679 |
|  | &nbsp;&nbsp;&nbsp;New Residential Mortgage Loan Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV1 Class AX1, 0.755% due 6/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp;104251872 | &nbsp;&nbsp;&nbsp;&nbsp; 4221482 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV1 Class B5, 3.255% due 6/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1110871 | &nbsp;&nbsp;&nbsp;&nbsp; 649363 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV1 Class B6, 0.287% due 6/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1992810 | &nbsp;&nbsp;&nbsp;&nbsp; 885482 |
| **<sup>d,f</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; 20630865 | &nbsp;&nbsp;&nbsp;&nbsp; 16386695 |
| **<sup>d,f</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 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;Residential Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2019-3 Class B1, 3.81% due 9/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 1500000 | &nbsp;&nbsp;&nbsp;&nbsp; 1313632 |
| **<sup>d,f</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; 21507258 | &nbsp;&nbsp;&nbsp;&nbsp; 2547298 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;Sequoia Mortgage Trust, Whole Loan Securities Trust CMO, Series 2017-7 Class B3, 3.727% due 10/25/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 2137903 | &nbsp;&nbsp;&nbsp;&nbsp; 1787366 |
|  | &nbsp;&nbsp;&nbsp;SG Residential Mortgage Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-3 Class AIOS, 0.375% due 9/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 60546884 | &nbsp;&nbsp;&nbsp;&nbsp; 273115 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-3 Class B2, 5.663% due 9/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 7910000 | &nbsp;&nbsp;&nbsp;&nbsp; 6121801 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-3 Class B3, 5.936% due 9/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 3366214 | &nbsp;&nbsp;&nbsp;&nbsp; 2345203 |
| **<sup>b,d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-3 Class C, due 9/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 950 | &nbsp;&nbsp;&nbsp;&nbsp; 950 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-3 Class XS1, due 9/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 59954090 | &nbsp;&nbsp;&nbsp;&nbsp; 2110 |
| **<sup>d</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2019-3 Class XS2, due 9/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 59954091 | &nbsp;&nbsp;&nbsp;&nbsp; 2202941 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;Starwood Mortgage Residential Trust, Whole Loan Securities Trust CMO, Series 2019-INV1 Class B1, 3.657% due 9/27/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp;&nbsp; 8242436 |
|  | &nbsp;&nbsp;&nbsp;Wells Fargo Mortgage Backed Securities Trust, Whole Loan Securities Trust CMO, |  |  |
| **<sup>d,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-3 Class AIO1, 0.185% due 6/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp;178521458 | &nbsp;&nbsp;&nbsp;&nbsp; 1237832 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-3 Class B5, 3.185% due 6/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1046000 | &nbsp;&nbsp;&nbsp;&nbsp; 478893 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2020-3 Class B6, 3.185% due 6/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1968473 | &nbsp;&nbsp;&nbsp;&nbsp; 604068 |
| **<sup>d,f,j</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV1 Class AIO2, 0.50% due 8/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp;191953925 | &nbsp;&nbsp;&nbsp;&nbsp; 4822401 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV1 Class B4, 3.317% due 8/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 3418915 | &nbsp;&nbsp;&nbsp;&nbsp; 2199843 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV1 Class B5, 3.317% due 8/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2637449 | &nbsp;&nbsp;&nbsp;&nbsp; 1512262 |
| **<sup>d,f</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;Series 2021-INV1 Class B6, 3.317% due 8/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2041151 | &nbsp;&nbsp;&nbsp;&nbsp; 707062 |
|  | &nbsp;&nbsp;&nbsp;Total Mortgage Backed (Cost $190,685,733) |  | &nbsp;&nbsp;&nbsp;&nbsp; 170543253 |
|  | **Loan Participations — 0.3%** |  |  |
|  | &nbsp;&nbsp;**Commercial & Professional Services — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Professional Services — 0.1%** |  |  |
| **<sup>k</sup>** | &nbsp;&nbsp;&nbsp;Par Pacific Holdings, Inc., 10.58% (LIBOR 3 Month + 6.75%) due 1/12/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 12018668 | &nbsp;&nbsp;&nbsp;&nbsp; 11798366 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 11798366 |
|  | &nbsp;&nbsp;**Semiconductors & Semiconductor Equipment — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Information Technology Services — 0.1%** |  |  |
| **<sup>k</sup>** | &nbsp;&nbsp;&nbsp;Xperi Corporation, 7.884% (LIBOR 1 Month + 3.50%) due 6/8/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 9707632 | &nbsp;&nbsp;&nbsp;&nbsp; 9343596 |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

---

| | | | |
|:---|:---|:---|:---|
|  | **Issuer-Description** | &nbsp;&nbsp;**SHARES/<br> PRINCIPAL AMOUNT** | &nbsp;&nbsp;**VALUE** |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 9343596 |
|  | &nbsp;&nbsp;**Software & Services — 0.1%** |  |  |
|  | &nbsp;&nbsp;&nbsp;**Information Technology Services — 0.1%** |  |  |
| **<sup>k</sup>** | &nbsp;&nbsp;&nbsp;Vericast Corp., 12.48% (LIBOR 3 Month + 7.75%) due 6/16/2026 | &nbsp;&nbsp;$14430967 | &nbsp;&nbsp;$11129883 |
|  | &nbsp;&nbsp;&nbsp;**Software — 0.0%** |  |  |
| **<sup>k</sup>** | &nbsp;&nbsp;&nbsp;GoTo Group, Inc., 9.139% (LIBOR 1 Month + 4.75%) due 8/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2984771 | &nbsp;&nbsp;&nbsp;&nbsp; 1908015 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 13037898 |
|  | &nbsp;&nbsp;&nbsp;Total Loan Participations (Cost $37,222,366) |  | &nbsp;&nbsp;&nbsp;&nbsp; 34179860 |
|  | **Short-Term Investments — 2.7%** |  |  |
| **<sup>a</sup>** | &nbsp;&nbsp;&nbsp;Thornburg Capital Management Fund | &nbsp;&nbsp;&nbsp;&nbsp; 28014459 | &nbsp;&nbsp;&nbsp;&nbsp; 280144584 |
|  | &nbsp;&nbsp;&nbsp;Total Short-Term Investments (Cost $280,144,584) |  | &nbsp;&nbsp;&nbsp;&nbsp; 280144584 |
|  | **Total Investments — 100.5% (Cost $9,234,293,035)** |  | &nbsp;&nbsp;$10444362436 |
|  | **Liabilities Net of Other Assets — (0.5)%** |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(48920346) |
|  | **Net Assets — 100.0%** |  | &nbsp;&nbsp;$10395442090 |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **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** |
| Great Britain Pound | SSB | &nbsp;&nbsp;Sell | &nbsp;&nbsp;713967900 | &nbsp;&nbsp;1/17/2023 | &nbsp;&nbsp;863446691 | &nbsp;&nbsp;$— | &nbsp;&nbsp;$(70998725) |
| Swiss Franc | SSB | &nbsp;&nbsp;Sell | &nbsp;&nbsp;32438200 | &nbsp;&nbsp;1/26/2023 | &nbsp;&nbsp;35164196 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (2417787) |
| Euro | SSB | &nbsp;&nbsp;Sell | &nbsp;&nbsp;580783000 | &nbsp;&nbsp;2/21/2023 | &nbsp;&nbsp;623707123 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (16597229) |
| Euro | BBH | &nbsp;&nbsp;Sell | &nbsp;&nbsp;580783000 | &nbsp;&nbsp;2/21/2023 | &nbsp;&nbsp;623707122 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (16016446) |
| Total |  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;$(106030187) |
| Net unrealized appreciation (depreciation) |  |  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;$(106030187) |

---

\* Counterparties include State Street Bank and Trust Company ("SSB") and Brown Brothers Harriman & Co. ("BBH").

---

| | |
|:---|:---|
| **Footnote Legend** | **Footnote Legend** |
| a | Investment in Affiliates. |
| b | Security currently fair valued by the Valuation and Pricing Committee using procedures approved by the Trustees' Audit Committee. |
| c | Non-income producing. |
| d | 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 $913,119,920, representing 8.78% of the Fund's net assets. |
| e | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
| f | 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. |
| g | Yankee bond denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations. |
| 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 | Interest only. |
| k | The stated coupon rate represents the greater of the LIBOR or the LIBOR floor rate plus a spread at December 31, 2022. |

---

------

SCHEDULE OF INVESTMENTS, Continued

---

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

---

------

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

---

| | |
|:---|:---|
| ADR | American Depositary Receipt |
| ARM | Adjustable Rate Mortgage |
| CMO | Collateralized Mortgage Obligation |
| EUR | Denominated in Euro |

---

---

| | |
|:---|:---|
| LIBOR | London Interbank Offered Rates |
| PIK | Payment-in-kind |
| SPV | Special Purpose Vehicle |
| USSW10 | USD 10 Year Swap Rate |

---

------

NOTES TO SCHEDULE OF INVESTMENTS

---

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

---

------

#### NOTE 1 – ORGANIZATION
Thornburg Investment Income Builder 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 Investment Income Builder 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** |
| Chimera Investment Corp | &nbsp;&nbsp;$90396363 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$- | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$- | &nbsp;&nbsp;$- | &nbsp;&nbsp;$4848848 | &nbsp;&nbsp;$95245211 | &nbsp;&nbsp;$3982982 |
| Malamute Energy, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12439 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- | &nbsp;&nbsp;&nbsp;- | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12439 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- |
| SLR Investment Corp | &nbsp;&nbsp;&nbsp;53073328 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- | &nbsp;&nbsp;&nbsp;- | &nbsp;&nbsp;&nbsp;&nbsp;6849561 | &nbsp;&nbsp;&nbsp;&nbsp;59922889 | &nbsp;&nbsp;&nbsp;&nbsp;1766243 |
| Thornburg Capital Mgmt. Fund | &nbsp;&nbsp;519970522 | &nbsp;&nbsp;&nbsp;251710493 | &nbsp;&nbsp;&nbsp;(491536431) | &nbsp;&nbsp;&nbsp;- | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- | &nbsp;&nbsp;&nbsp;280144584 | &nbsp;&nbsp;&nbsp;&nbsp;4447658 |
| Total | $663452652 | &nbsp;&nbsp;$251710493 | &nbsp;&nbsp;$(491536431) | &nbsp;&nbsp;$- | &nbsp;&nbsp;$11698409 | &nbsp;&nbsp;$435325123 | &nbsp;&nbsp;$10196883 |

---

## 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 Investment Income Builder Fund

- **b. EDGAR series identifier (if any):** S000011851

- **c. LEI of Series:** 549300TMVK6SMZQZYS83

**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:** $10549063722.01

**Total Liabilities:** $156728597.03

**Net Assets:** $10392335124.98

**Cash Not Reported:** $15428403.86

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000032380 | 6.23%                | 8.37%                | -2.40%               |
| Class ID C000058461 | 6.20%                | 8.39%                | -2.41%               |
| Class ID C000042675 | 6.20%                | 8.40%                | -2.47%               |
| Class ID C000047041 | 6.20%                | 8.43%                | -2.36%               |
| Class ID C000032382 | 6.26%                | 8.43%                | -2.40%               |
| Class ID C000177479 | 6.24%                | 8.47%                | -2.36%               |
| Class ID C000032381 | 6.17%                | 8.37%                | -2.45%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $10984052.47             | $584062324.86                              |
| Month 2  | $-9183851.09             | $893238451.70                              |
| Month 3  | $-19114458.88            | $-251517546.34                             |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Chase Mortgage Finance Corporation             | Chase Home Lending Mortgage Trust 2019-1                                      | CUSIP: 16159WBZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1040287 | PA      | $819416.18    | 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        | 178621353 | PA      | $1385333.63   | 0.01%             | 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   | 0.01%             | 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   | 0.08%             | 2028-11-10      | None          | 0.00%                 | 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        |   3366214 | PA      | $2345202.58   | 0.02%             | 2059-09-25      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| Equitable Holdings Inc                         | Equitable Holdings Inc                                                        | CUSIP: 29452E101<br>LEI: 549300FIBAKMNHPZ4009 | Long             | EC               | CORP              | US        |   5628308 | NS      | $161532439.60 | 1.55%             |  |  |  | No            |                  1 | On Loan: No      |
| EDP - Energias de Portugal SA                  | EDP - Energias de Portugal SA                                                 | CUSIP: 000000000<br>LEI: 529900CLC3WDMGI9VH80 | Long             | EC               | CORP              | PT        |  20615600 | NS      | $102748415.04 | 0.99%             |  |  |  | No            |                  1 | On Loan: No      |
| Cisco Systems Inc                              | Cisco Systems Inc                                                             | CUSIP: 17275R102<br>LEI: 549300LKFJ962MZ46593 | Long             | EC               | CORP              | US        |   2053251 | NS      | $97816877.64  | 0.94%             |  |  |  | No            |                  1 | On Loan: No      |
| MidCap Financial Investment Corp               | MidCap Financial Investment Corp                                              | CUSIP: 03761U502<br>LEI: 5493005P14I7WFB3FW47 | Long             | EC               | CORP              | US        |   2937783 | NS      | $33490726.20  | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| QORVO INC                                      | Qorvo Inc                                                                     | CUSIP: 74736KAJ0<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |   9800000 | PA      | $7948780.00   | 0.08%             | 2031-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation             | Chase Mortgage Finance Corp                                                   | CUSIP: 16164AAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    775630 | PA      | $674025.03    | 0.01%             | 2045-12-25      | Variable      | 3.75%                 | 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        |     40000 | PA      | $694387.99    | 0.01%             | 2026-06-15      | None          | 0.00%                 | 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        |     45588 | PA      | $6341240.15   | 0.06%             | 2029-01-16      | None          | 0.00%                 | 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        |     23000 | PA      | $1066504.39   | 0.01%             | 2047-02-15      | None          | 0.00%                 | 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        | 104251872 | PA      | $4221481.47   | 0.04%             | 2051-06-25      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| VONTIER CORP                                   | Vontier Corp                                                                  | CUSIP: 928881AD3<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |   4375000 | PA      | $3453668.75   | 0.03%             | 2028-04-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| COGENT COMMUNICATIONS GR                       | Cogent Communications Group Inc                                               | CUSIP: 19240CAE3<br>LEI: 549300KFWFYF8Q1U0Y26 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9663000.00   | 0.09%             | 2027-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                     | Upstart Pass-Through Trust Series 2020-ST6                                    | CUSIP: 91680XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2763536 | PA      | $2625710.46   | 0.03%             | 2027-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                      | CIM Trust 2020-J1                                                             | CUSIP: 12559YBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    685826 | PA      | $431442.19    | 0.00%             | 2050-07-25      | Variable      | 3.44%                 | 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        |   1917078 | PA      | $1431585.17   | 0.01%             | 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        |  32485955 | PA      | $27990223.69  | 0.27%             | 2024-05-25      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                         | Marlette Funding Trust 2021-1                                                 | CUSIP: 57110N106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9550 | PA      | $905341.69    | 0.01%             | 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   | 0.04%             | 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        |   8200000 | PA      | $6860742.13   | 0.07%             | 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        |     12439 | NS      | $12439.00     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| STONEX GROUP INC                               | StoneX Group Inc                                                              | CUSIP: 46116VAE5<br>LEI: 549300JUF07L8VF02M60 | Long             | DBT              | CORP              | US        |  17784000 | PA      | $17944945.20  | 0.17%             | 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        |   8354000 | PA      | $6099923.72   | 0.06%             | 2031-09-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| BAE Systems PLC                                | BAE Systems PLC                                                               | CUSIP: 000000000<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | EC               | CORP              | GB        |  10030100 | NS      | $103797621.75 | 1.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Upstart Pass Through Trust                     | Upstart Pass-Through Trust Series 2021-ST4                                    | CUSIP: 91534HAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1375000 | PA      | $516291.88    | 0.00%             | 2027-07-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                      | CIM Trust 2020-J1                                                             | CUSIP: 12559YAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  62587830 | PA      | $997280.74    | 0.01%             | 2050-07-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                        | Kinder Morgan Energy Partners LP                                              | CUSIP: 494550BP0<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $8560900.00   | 0.08%             | 2043-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                              | Kinder Morgan Inc                                                             | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4581400.00   | 0.04%             | 2045-06-01      | Fixed         | 5.55%                 | 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        |   3547630 | PA      | $99216.57     | 0.00%             | 2050-10-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| NUFARM AUSTRALIA/AMERICA                       | Nufarm Australia Ltd / Nufarm Americas Inc                                    | CUSIP: 67052NAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |   3000000 | PA      | $2622990.00   | 0.03%             | 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        |     17500 | PA      | $7972555.47   | 0.08%             | 2028-09-11      | None          | 0.00%                 | 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        |   4427976 | PA      | $2298029.48   | 0.02%             | 2050-10-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| IAA Inc                                        | IAA Inc                                                                       | CUSIP: 449253AB9<br>LEI: 549300PZCOPC5178W747 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9718300.00   | 0.09%             | 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        |   2137903 | PA      | $1787365.71   | 0.02%             | 2047-10-25      | Variable      | 3.73%                 | 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        |   1171924 | PA      | $1195362.19   | 0.01%             | 2028-02-25      | Fixed         | 31.36%                | No            |                  2 | On Loan: No      |
| Tesco PLC                                      | Tesco PLC                                                                     | CUSIP: 000000000<br>LEI: 2138002P5RNKC5W2JZ46 | Long             | EC               | CORP              | GB        |  89458330 | NS      | $242473772.87 | 2.33%             |  |  |  | No            |                  1 | 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        |  10003281 | PA      | $4427052.04   | 0.04%             | 2026-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                   | CSMC 2020-AFC1 Trust                                                          | CUSIP: 12597MAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3808500 | PA      | $2520678.99   | 0.02%             | 2050-02-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| TRUST FIBRAUNO                                 | Trust Fibra Uno                                                               | CUSIP: 898339AA4<br>LEI: N/A                  | Long             | DBT              |  | MX        |   1843000 | PA      | $1594655.75   | 0.02%             | 2030-01-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                     | AbbVie Inc                                                                    | CUSIP: 00287Y109<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | EC               | CORP              | US        |    977267 | NS      | $157936119.87 | 1.52%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                 | Morgan Stanley                                                                | CUSIP: 61747S504<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | EP               | CORP              | US        |    120000 | NS      | $2272800.00   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CIM Trust                                      | CIM Trust 2020-J2                                                             | CUSIP: 12568PCL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    655000 | PA      | $151264.85    | 0.00%             | 2051-01-25      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| CITGO PETROLEUM CORP                           | CITGO Petroleum Corp                                                          | CUSIP: 17302XAK2<br>LEI: YX52P86PXMLYDOTUQ225 | Long             | DBT              | CORP              | US        |   8000000 | PA      | $7820080.00   | 0.08%             | 2025-06-15      | Fixed         | 7.00%                 | 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        | 191953925 | PA      | $4822400.87   | 0.05%             | 2051-08-25      | Variable      | 0.50%                 | 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        |   3418915 | PA      | $2199842.61   | 0.02%             | 2051-08-25      | Variable      | 3.32%                 | 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        |   2290000 | PA      | $703844.69    | 0.01%             | 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        |  14807988 | PA      | $128568.87    | 0.00%             | 2051-12-30      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 19-1B PTT                         | American Airlines 2019-1 Class B Pass Through Trust                           | CUSIP: 02379DAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7735866 | PA      | $6465327.65   | 0.06%             | 2028-02-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                         | Marlette Funding Trust 2019-1                                                 | CUSIP: 57109XAC1<br>LEI: 549300FK0U6W6777SM18 | Long             | ABS-O            | CORP              | US        |   1224441 | PA      | $1217485.33   | 0.01%             | 2029-04-16      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust 2020-H1          | Galton Funding Mortgage Trust 2020-H1                                         | CUSIP: 36418HAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4379900 | PA      | $2969859.08   | 0.03%             | 2060-01-25      | Variable      | 3.39%                 | 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    | 0.00%             | 2051-08-25      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                        | Flagstar Mortgage Trust 2021-13INV                                            | CUSIP: 33853HBE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2446876 | PA      | $1543426.80   | 0.01%             | 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        |    772707 | PA      | $766386.04    | 0.01%             | 2023-04-22      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                        | Flagstar Mortgage Trust 2020-2                                                | CUSIP: 33851KBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 115284391 | PA      | $2774526.39   | 0.03%             | 2050-08-25      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Endesa SA                                      | Endesa SA                                                                     | CUSIP: 000000000<br>LEI: 549300LHK07F2CHV4X31 | Long             | EC               | CORP              | ES        |   7157383 | NS      | $135112615.79 | 1.30%             |  |  |  | No            |                  1 | On Loan: No      |
| CPS Auto Trust                                 | CPS Auto Receivables Trust 2020-A                                             | CUSIP: 12597JAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1960130.40   | 0.02%             | 2025-12-15      | Fixed         | 4.09%                 | 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        |   1948662 | PA      | $787227.30    | 0.01%             | 2051-10-25      | Variable      | 3.16%                 | 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        |  59954091 | PA      | $2202941.11   | 0.02%             | 2059-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                 | BNP Paribas SA                                                                | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | EC               | CORP              | FR        |   6321500 | NS      | $360334574.34 | 3.47%             |  |  |  | No            |                  1 | On Loan: No      |
| Vericast Corp.                                 | Vericast Corp. 2021 Term Loan                                                 | CUSIP: 181593AP9<br>LEI: 549300J73P7FL8TVF308 | Long             | LON              | CORP              | US        |  14430967 | PA      | $11129883.14  | 0.11%             | 2026-06-16      | Floating      | 12.48%                | No            |                  2 | On Loan: No      |
| M&G PLC                                        | M&G PLC                                                                       | CUSIP: 000000000<br>LEI: 254900TWUJUQ44TQJY84 | Long             | EC               | CORP              | GB        |   8949000 | NS      | $20323293.20  | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Shell PLC                                      | Shell PLC                                                                     | CUSIP: 000000000<br>LEI: 21380068P1DRHMJ8KU70 | Long             | EC               | CORP              | GB        |   4878000 | NS      | $137170234.68 | 1.32%             |  |  |  | No            |                  1 | On Loan: No      |
| SG Capital Partners                            | SG Residential Mortgage Trust 2019-3                                          | CUSIP: 78432BAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  59954090 | PA      | $2110.38      | 0.00%             | 2059-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE TELEKOM INT FIN                       | Deutsche Telekom International Finance BV                                     | CUSIP: 25156PAC7<br>LEI: 529900ERDFHS6C1M4U58 | Long             | DBT              | CORP              | NL        |  26150000 | PA      | $30854123.50  | 0.30%             | 2030-06-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                  | Citigroup Inc                                                                 | CUSIP: 172967424<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EC               | CORP              | US        |    993199 | NS      | $44922390.77  | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| PROSUS NV                                      | Prosus NV                                                                     | CUSIP: 74365PAF5<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |  11800000 | PA      | $9203882.00   | 0.09%             | 2031-07-13      | Fixed         | 3.06%                 | 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        |   1058776 | PA      | $937678.82    | 0.01%             | 2034-08-25      | Variable      | 3.52%                 | 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        |   1830000 | PA      | $423026.28    | 0.00%             | 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        |  14969000 | PA      | $14132681.97  | 0.14%             | 2025-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Samsung Electronics Co Ltd                     | Samsung Electronics Co Ltd                                                    | CUSIP: 000000000<br>LEI: 9884007ER46L6N7EI764 | Long             | EC               | CORP              | KR        |   5940000 | NS      | $259772241.99 | 2.50%             |  |  |  | No            |                  1 | 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        |   1527072 | PA      | $249908.44    | 0.00%             | 2050-10-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                        | Flagstar Mortgage Trust 2020-2                                                | CUSIP: 33851KBH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19759145 | PA      | $382013.43    | 0.00%             | 2050-08-25      | Variable      | 0.50%                 | 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        |  10443000 | PA      | $9772872.69   | 0.09%             | 2029-04-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust   | American Credit Acceptance Receivables Trust 2020-1                           | CUSIP: 02529VAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5460000 | PA      | $5317030.45   | 0.05%             | 2026-11-13      | Fixed         | 4.75%                 | 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        |  39057156 | PA      | $178491.20    | 0.00%             | 2060-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust   | Wells Fargo Mortgage Backed Securities 2020-3 Trust                           | CUSIP: 95002TAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 178521458 | PA      | $1237832.09   | 0.01%             | 2050-06-25      | Variable      | 0.18%                 | 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        |  21507258 | PA      | $2547298.11   | 0.02%             | 2050-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                       | MSCI Inc                                                                      | CUSIP: 55354GAK6<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2499420.00   | 0.02%             | 2030-09-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                        | Flagstar Mortgage Trust 2021-13INV                                            | CUSIP: 33853HBN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13512289 | PA      | $349362.93    | 0.00%             | 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        |   1756829 | PA      | $855249.58    | 0.01%             | 2052-08-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                            | Petroleos Mexicanos                                                           | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   3000000 | PA      | $2361900.00   | 0.02%             | 2032-02-16      | Fixed         | 6.70%                 | 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        |     42000 | PA      | $3348193.80   | 0.03%             | 2051-06-20      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Orange SA                                      | Orange SA                                                                     | CUSIP: 000000000<br>LEI: 969500MCOONR8990S771 | Long             | EC               | CORP              | FR        |  47345780 | NS      | $470372831.33 | 4.53%             |  |  |  | No            |                  1 | On Loan: No      |
| ABB Ltd                                        | ABB Ltd                                                                       | CUSIP: 000000000<br>LEI: 5493000LKVGOO9PELI61 | Long             | EC               | CORP              | CH        |   1106000 | NS      | $33563359.11  | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| ANTARES HOLDINGS                               | Antares Holdings LP                                                           | CUSIP: 03666HAE1<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2409120.00   | 0.02%             | 2027-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ONEOK Partners LP                              | ONEOK Partners LP                                                             | CUSIP: 68268NAP8<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |   9544000 | PA      | $9414678.80   | 0.09%             | 2025-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORP                                | Fair Isaac Corp                                                               | CUSIP: 303250AF1<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $6350120.00   | 0.06%             | 2028-06-15      | Fixed         | 4.00%                 | 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        |   1603555 | PA      | $565814.86    | 0.01%             | 2050-11-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| CME Group Inc                                  | CME Group Inc                                                                 | CUSIP: 12572Q105<br>LEI: LCZ7XYGSLJUHFXXNXD88 | Long             | EC               | CORP              | US        |   1782881 | NS      | $299809268.96 | 2.88%             |  |  |  | No            |                  1 | On Loan: No      |
| Mosaic Solar Loans LLC                         | Mosaic Solar Loan Trust 2020-2                                                | CUSIP: 61946PAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4382519 | PA      | $1835902.95   | 0.02%             | 2046-08-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                          | Tenet Healthcare Corp                                                         | CUSIP: 88033GCY4<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |   7184000 | PA      | $6844412.32   | 0.07%             | 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        |   4300000 | PA      | $3704493.00   | 0.04%             | 2024-05-25      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                               | LPL Holdings Inc                                                              | CUSIP: 50212YAD6<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $870190.00    | 0.01%             | 2029-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Enbridge Inc                                   | Enbridge Inc                                                                  | CUSIP: 29250N105<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | EC               | CORP              | CA        |   3309521 | NS      | $129349964.05 | 1.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Legal & General Group PLC                      | Legal & General Group PLC                                                     | CUSIP: 000000000<br>LEI: 213800JH9QQWHLO99821 | Long             | EC               | CORP              | GB        |  18270000 | NS      | $55108358.20  | 0.53%             |  |  |  | No            |                  1 | On Loan: No      |
| Roche Holding AG                               | Roche Holding AG                                                              | CUSIP: 000000000<br>LEI: 549300U41AUUVOAAOB37 | Long             | EC               | CORP              | CH        |    541000 | NS      | $169967555.29 | 1.64%             |  |  |  | No            |                  1 | On Loan: No      |
| IHS NETHERLANDS HOLDCO                         | IHS Netherlands Holdco BV                                                     | CUSIP: 44963LAC0<br>LEI: 5493006Z6YQYCCN2XI74 | Long             | DBT              | CORP              | NL        |   6045000 | PA      | $5315126.70   | 0.05%             | 2027-09-18      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                            | Petroleos Mexicanos                                                           | CUSIP: 000000000<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   2000000 | PA      | $2097717.05   | 0.02%             | 2024-02-21      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| CPS Auto Trust                                 | CPS Auto Receivables Trust 2020-C                                             | CUSIP: 12597TAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2860350.60   | 0.03%             | 2027-11-15      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                       | Comision Federal de Electricidad                                              | CUSIP: 000000000<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |  10472000 | PA      | $8658773.20   | 0.08%             | 2036-09-29      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| TotalEnergies SE                               | TotalEnergies SE                                                              | CUSIP: 000000000<br>LEI: 529900S21EQ1BO4ESM68 | Long             | EC               | CORP              | FR        |   8807100 | NS      | $552926143.27 | 5.32%             |  |  |  | No            |                  1 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                        | Transcontinental Gas Pipe Line Co LLC                                         | CUSIP: 893574AH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  32700000 | PA      | $34873569.00  | 0.34%             | 2026-02-01      | Fixed         | 7.85%                 | 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        |   3751666 | PA      | $3826699.60   | 0.04%             | 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        |   1917078 | PA      | $1325907.25   | 0.01%             | 2050-10-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| TransDigm Inc                                  | TransDigm Inc                                                                 | CUSIP: 893647BE6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9883200.00   | 0.10%             | 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        |   3700000 | PA      | $3501014.00   | 0.03%             | 2026-04-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                         | Marlette Funding Trust 2021-2                                                 | CUSIP: 57108T107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26000 | PA      | $3307943.79   | 0.03%             | 2031-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STEWART INFORMATION SERV                       | Stewart Information Services Corp                                             | CUSIP: 86038AAA0<br>LEI: 529900TV1XI0PLKENU10 | Long             | DBT              | CORP              | US        |   6216000 | PA      | $4739575.68   | 0.05%             | 2031-11-15      | Fixed         | 3.60%                 | 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        |   1544892 | PA      | $612739.04    | 0.01%             | 2051-08-25      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MTGE LL                       | United Wholesale Mortgage LLC                                                 | CUSIP: 91153LAA5<br>LEI: 549300HW662MN1WU8550 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4515600.00   | 0.04%             | 2025-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Enel SpA                                       | Enel SpA                                                                      | CUSIP: 000000000<br>LEI: WOCMU6HCI0OJWNPRZS33 | Long             | EC               | CORP              | IT        |  57184671 | NS      | $307902909.30 | 2.96%             |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust   | Wells Fargo Mortgage Backed Securities 2020-3 Trust                           | CUSIP: 95002TBN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1968473 | PA      | $604067.71    | 0.01%             | 2050-06-25      | Variable      | 3.18%                 | 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        |    320255 | PA      | $184546.39    | 0.00%             | 2051-08-25      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| CORECIVIC INC                                  | CoreCivic Inc                                                                 | CUSIP: 21871NAB7<br>LEI: 529900JFA3K6PTLT8B15 | Long             | DBT              | CORP              | US        |  20726000 | PA      | $21232336.18  | 0.20%             | 2026-04-15      | Fixed         | 8.25%                 | 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        |    590000 | PA      | $158932.90    | 0.00%             | 2051-09-25      | Variable      | 2.86%                 | 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        |   1110871 | PA      | $649362.92    | 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        |    134299 | PA      | $134230.55    | 0.00%             | 2026-01-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                        | Flagstar Mortgage Trust 2020-2                                                | CUSIP: 33851KCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2546860 | PA      | $1935472.18   | 0.02%             | 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        |   2500000 | PA      | $1916950.00   | 0.02%             | 2033-10-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| LENOVO GROUP LTD                               | Lenovo Group Ltd                                                              | CUSIP: 526250AD7<br>LEI: 254900VUZRGD5U73RE46 | Long             | DBT              | CORP              | HK        |   5000000 | PA      | $4837400.00   | 0.05%             | 2028-01-27      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                            | DT Auto Owner Trust 2020-1                                                    | CUSIP: 23344EAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4264644.96   | 0.04%             | 2027-02-16      | Fixed         | 3.48%                 | 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        |   7910000 | PA      | $6121800.54   | 0.06%             | 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        |  11396735 | PA      | $113.97       | 0.00%             | 2022-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Woodside Energy Group Ltd                      | Woodside Energy Group Ltd                                                     | CUSIP: 000000000<br>LEI: 2549005ZC5RXAOO7FH41 | Long             | EC               | CORP              | AU        |   1307742 | NS      | $31554936.76  | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| AXA SA                                         | AXA SA                                                                        | CUSIP: 000000000<br>LEI: F5WCUMTUM4RKZ1MAIE39 | Long             | EC               | CORP              | FR        |   2620500 | NS      | $73087216.48  | 0.70%             |  |  |  | No            |                  1 | On Loan: No      |
| CDW LLC/CDW FINANCE                            | CDW LLC / CDW Finance Corp                                                    | CUSIP: 12513GBD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4599400.00   | 0.04%             | 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        |  27871329 | NS      | $278713293.83 | 2.68%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc              | Citigroup Mortgage Loan Trust Inc                                             | CUSIP: 17328PCE1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $505158.36    | 0.00%             | 2050-08-25      | Variable      | 3.59%                 | 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        |    585000 | PA      | $266462.47    | 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        |  12018668 | PA      | $11798366.28  | 0.11%             | 2026-01-12      | Floating      | 10.58%                | No            |                  2 | On Loan: No      |
| CUSHMAN & WAKEFIELD US                         | Cushman & Wakefield US Borrower LLC                                           | CUSIP: 23166MAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2869920.00   | 0.03%             | 2028-05-15      | Fixed         | 6.75%                 | 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   | 0.08%             | 2030-11-15      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                      | CIM Trust 2020-J1                                                             | CUSIP: 12559YBK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1370705 | PA      | $1053070.64   | 0.01%             | 2050-07-25      | Variable      | 3.44%                 | 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        |     53000 | PA      | $2911073.27   | 0.03%             | 2026-03-16      | None          | 0.00%                 | 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        |  10000000 | PA      | $1999000.00   | 0.02%             | 2047-04-22      | None          | 0.00%                 | No            |                  3 | 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        |   1672000 | PA      | $1611690.96   | 0.02%             | 2025-12-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                      | CIM Trust 2020-J1                                                             | CUSIP: 12559YAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  55823234 | PA      | $1094576.39   | 0.01%             | 2050-07-25      | Variable      | 0.50%                 | 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        |  17477134 | PA      | $2001498.86   | 0.02%             | 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        |   2764242 | PA      | $2671470.00   | 0.03%             | 2029-01-15      | Fixed         | 1.75%                 | 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        |   1033000 | PA      | $348371.09    | 0.00%             | 2051-09-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON BANK                             | First Horizon Bank                                                            | CUSIP: 337158208<br>LEI: COOWI3L2W9TPYR3WJX37 | Long             | EP               | CORP              | US        |     12000 | NS      | $9480000.00   | 0.09%             |  |  |  | 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        |   5000000 | PA      | $4961205.00   | 0.05%             | 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        | 117132256 | PA      | $1102870.47   | 0.01%             | 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        |   4150000 | PA      | $1155256.25   | 0.01%             | 2029-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Nestle SA                                      | Nestle SA                                                                     | CUSIP: 000000000<br>LEI: KY37LUS27QQX7BB93L28 | Long             | EC               | CORP              | CH        |    289900 | NS      | $33590965.23  | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2020-3                                               | CUSIP: 46592ABL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15630906 | PA      | $61507.62     | 0.00%             | 2050-08-25      | Variable      | 0.15%                 | 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        |  13971897 | PA      | $257675.31    | 0.00%             | 2050-11-25      | Variable      | 0.50%                 | 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        |    459574 | PA      | $100161.35    | 0.00%             | 2051-04-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                         | Marriott International Inc/MD                                                 | CUSIP: 571903AX1<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |   4497000 | PA      | $3849027.27   | 0.04%             | 2034-10-01      | Fixed         | 4.50%                 | 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        |     60000 | PA      | $5271428.38   | 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        |    800000 | PA      | $742511.20    | 0.01%             | 2032-05-20      | Fixed         | 9.07%                 | 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   | 0.09%             | 2067-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Vector Group Ltd                               | Vector Group Ltd                                                              | CUSIP: 92240MBJ6<br>LEI: 549300TUIF4WWN6NDN50 | Long             | DBT              | CORP              | US        |  44464000 | PA      | $44293702.88  | 0.43%             | 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        |   2166596 | NS      | $18762721.36  | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| SILGAN HOLDINGS INC                            | Silgan Holdings Inc                                                           | CUSIP: 827048AX7<br>LEI: KAF673KJXD92C8KSLU49 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2206475.00   | 0.02%             | 2026-04-01      | Fixed         | 1.40%                 | 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        |  18284039 | PA      | $2564756.97   | 0.02%             | 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        |  11500000 | PA      | $11600280.00  | 0.11%             | 2025-05-18      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust   | American Credit Acceptance Receivables Trust 2019-4                           | CUSIP: 02529RAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4767657.00   | 0.05%             | 2026-09-14      | Fixed         | 5.37%                 | 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      |
| KINDER MORGAN INC                              | Kinder Morgan Inc                                                             | CUSIP: 49456BAG6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |  23630000 | PA      | $22118861.50  | 0.21%             | 2034-12-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Elme Communities                               | Elme Communities                                                              | CUSIP: 939653101<br>LEI: 549300DI34BGS8LVKW95 | Long             | EC               |  | US        |   2354592 | NS      | $41911737.60  | 0.40%             |  |  |  | No            |                  1 | 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   | 0.07%             | 2027-12-15      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| GOTO GROUP INC                                 | GoTo Group Inc                                                                | CUSIP: 541056AA5<br>LEI: 549300D12V5KRBV00592 | Long             | DBT              | CORP              | US        |   5655000 | PA      | $3052286.25   | 0.03%             | 2027-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MMC Norilsk Nickel PJSC                        | MMC Norilsk Nickel PJSC                                                       | CUSIP: 000000000<br>LEI: 253400JPTEEW143W3E47 | Long             | EC               | CORP              | RU        |    351400 | NS      | $2073260.00   | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2021-11                                              | CUSIP: 46654KCH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4390951 | PA      | $1571935.86   | 0.02%             | 2052-01-25      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| AstraZeneca PLC                                | AstraZeneca PLC                                                               | CUSIP: 000000000<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | EC               | CORP              | GB        |   1263300 | NS      | $171328773.98 | 1.65%             |  |  |  | No            |                  1 | On Loan: No      |
| Koninklijke KPN NV                             | Koninklijke KPN NV                                                            | CUSIP: 000000000<br>LEI: 549300YO0JZHAL7FVP81 | Long             | EC               | CORP              | NL        |  18323000 | NS      | $56684015.08  | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2022-3                                               | CUSIP: 46654UCW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2713930 | PA      | $1633089.30   | 0.02%             | 2052-08-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| JT INTL FIN SERVICES BV                        | JT International Financial Services BV                                        | CUSIP: 480914AA8<br>LEI: 549300U2F0PG10VZUN93 | Long             | DBT              | CORP              | NL        |   5000000 | PA      | $5303900.00   | 0.05%             | 2032-10-24      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                 | CPS Auto Receivables Trust 2019-A                                             | CUSIP: 12596HAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $997079.79    | 0.01%             | 2026-03-16      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                   | Broadcom Inc                                                                  | CUSIP: 11135F101<br>LEI: 549300WV6GIDOZJTV909 | Long             | EC               | CORP              | US        |    655040 | NS      | $366252515.20 | 3.52%             |  |  |  | No            |                  1 | On Loan: No      |
| TRUST F/1401                                   | Trust Fibra Uno                                                               | CUSIP: 898324AC2<br>LEI: N/A                  | Long             | DBT              |  | MX        |  11637000 | PA      | $11274623.82  | 0.11%             | 2026-01-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                       | Celanese US Holdings LLC                                                      | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9876000.00   | 0.10%             | 2027-07-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| SLR Investment Corp                            | SLR Investment Corp                                                           | CUSIP: 83413U100<br>LEI: BJOT6DX9ML6BR3Z0O636 | Long             | EC               | CORP              | US        |   4307900 | NS      | $59922889.00  | 0.58%             |  |  |  | No            |                  1 | 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      |
| Stellantis NV                                  | Stellantis NV                                                                 | CUSIP: 000000000<br>LEI: 549300LKT9PW7ZIBDF31 | Long             | EC               | CORP              | NL        |   5164500 | NS      | $73327854.06  | 0.71%             |  |  |  | No            |                  1 | On Loan: No      |
| COMPASS GROUP DIVERSIFIE                       | Compass Group Diversified Holdings LLC                                        | CUSIP: 20451RAB8<br>LEI: 549300I6PTUQPX21TE93 | Long             | DBT              | CORP              | US        |   6272000 | PA      | $5378553.60   | 0.05%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Deutsche Telekom AG                            | Deutsche Telekom AG                                                           | CUSIP: 000000000<br>LEI: 549300V9QSIG4WX4GJ96 | Long             | EC               | CORP              | DE        |   8863500 | NS      | $176836022.12 | 1.70%             |  |  |  | No            |                  1 | 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        |   1450000 | PA      | $1124816.19   | 0.01%             | 2060-05-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Aviva PLC                                      | Aviva PLC                                                                     | CUSIP: 000000000<br>LEI: YF0Y5B0IB8SM0ZFG9G81 | Long             | EC               | CORP              | GB        |     33035 | NS      | $176843.99    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Home Depot Inc/The                             | Home Depot Inc/The                                                            | CUSIP: 437076102<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | EC               | CORP              | US        |    505482 | NS      | $159661544.52 | 1.54%             |  |  |  | No            |                  1 | 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        |    379000 | PA      | $123499.88    | 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        |     11604 | PA      | $4554962.08   | 0.04%             | 2029-06-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Granite Point Mortgage Trust Inc               | Granite Point Mortgage Trust Inc                                              | CUSIP: 38741L107<br>LEI: 529900VX2HQZ76AYIE02 | Long             | EC               |  | US        |   1417500 | NS      | $7597800.00   | 0.07%             |  |  |  | No            |                  1 | 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        |   4333714 | PA      | $4314108.90   | 0.04%             | 2026-12-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| SCIENCE APPLICATIONS INT                       | Science Applications International Corp                                       | CUSIP: 808625AA5<br>LEI: 549300LZPNZIXQGZPZ48 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4647200.00   | 0.04%             | 2028-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                            | SG Residential Mortgage Trust 2019-3                                          | CUSIP: 78432BAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       950 | PA      | $950.00       | 0.00%             | 2059-09-25      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| WILLIAMS COMPANIES INC                         | Williams Cos Inc/The                                                          | CUSIP: 969457BW9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |  69318000 | PA      | $68549956.56  | 0.66%             | 2024-06-24      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| The Federal Republic of Nigeria                | Nigeria Government International Bond                                         | CUSIP: 65412JAB9<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   6000000 | PA      | $3850800.00   | 0.04%             | 2047-11-28      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                  | PURCHASED USD / SOLD CHF                                                      | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $-2417786.90  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust          | Westlake Automobile Receivables Trust 2019-3                                  | CUSIP: 96042HAQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $7889423.20   | 0.08%             | 2026-04-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                            | Sirius XM Radio Inc                                                           | CUSIP: 82967NBL1<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4439400.00   | 0.04%             | 2026-09-01      | Fixed         | 3.13%                 | 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   | 0.04%             | 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        |  21879593 | PA      | $260176.81    | 0.00%             | 2050-10-25      | Variable      | 0.36%                 | 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        |      8000 | PA      | $2481892.45   | 0.02%             | 2028-05-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                  | PURCHASED USD / SOLD GBP                                                      | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $-70998725.60 | -0.68%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                   | CSMC 2021-AFC1 Trust                                                          | CUSIP: 12657LAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215000 | PA      | $160810.58    | 0.00%             | 2056-03-25      | Variable      | 4.35%                 | 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        |  96251295 | PA      | $739142.57    | 0.01%             | 2050-10-25      | Variable      | 0.19%                 | 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        |   6955737 | PA      | $2355212.63   | 0.02%             | 2046-12-20      | None          | 0.00%                 | No            |                  3 | 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   | 0.08%             | 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        |    848953 | PA      | $655282.38    | 0.01%             | 2050-08-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust            | Starwood Mortgage Residential Trust 2019-INV1                                 | CUSIP: 85572JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $8242436.20   | 0.08%             | 2049-09-27      | Variable      | 3.66%                 | 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   | 0.02%             | 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        |   2041151 | PA      | $707061.79    | 0.01%             | 2051-08-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| TELENET FINANCE LUX NOTE                       | Telenet Finance Luxembourg Notes Sarl                                         | CUSIP: 000000000<br>LEI: 2138007RI9GLJPCC3E25 | Long             | DBT              | CORP              | LU        |  10000000 | PA      | $9001400.00   | 0.09%             | 2028-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                              | Newell Brands Inc                                                             | CUSIP: 651229BD7<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |   6300000 | PA      | $6218163.00   | 0.06%             | 2029-09-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                  | PURCHASED USD / SOLD EUR                                                      | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | US        |         1 | NC      | $-16016445.90 | -0.15%            |  |  |  | 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        |   3295210 | PA      | $66820.27     | 0.00%             | 2050-11-25      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust                                                      | CUSIP: 46647HAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1999979 | PA      | $1228825.70   | 0.01%             | 2046-12-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| GoTo Group, Inc.                               | GoTo Group, Inc. Term Loan B                                                  | CUSIP: 54142KAD3<br>LEI: 549300D12V5KRBV00592 | Long             | LON              | CORP              | US        |   2984772 | PA      | $1908015.23   | 0.02%             | 2027-08-31      | Floating      | 9.14%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                        | Kinder Morgan Energy Partners LP                                              | CUSIP: 494550AT3<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9790100.00   | 0.09%             | 2035-03-15      | Fixed         | 5.80%                 | 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        |   2637449 | PA      | $1512261.81   | 0.01%             | 2051-08-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                             | Energy Transfer LP                                                            | CUSIP: 29273RBA6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |  13820000 | PA      | $10640018.00  | 0.10%             | 2066-11-01      | Floating      | 7.46%                 | 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        |   1974546 | PA      | $1479963.18   | 0.01%             | 2050-11-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                         | Williams Cos Inc/The                                                          | CUSIP: 969457BV1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |  14198000 | PA      | $13529558.16  | 0.13%             | 2044-06-24      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                        | Flagstar Mortgage Trust 2021-13INV                                            | CUSIP: 33853HBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4208626 | PA      | $1954100.51   | 0.02%             | 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        |   8186500 | PA      | $6934947.88   | 0.07%             | 2026-06-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Pfizer Inc                                     | Pfizer Inc                                                                    | CUSIP: 717081103<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | EC               | CORP              | US        |   6382021 | NS      | $327014756.04 | 3.15%             |  |  |  | No            |                  1 | On Loan: No      |
| E.ON SE                                        | E.ON SE                                                                       | CUSIP: 000000000<br>LEI: Q9MAIUP40P25UFBFG033 | Long             | EC               | CORP              | DE        |   6212000 | NS      | $62067667.39  | 0.60%             |  |  |  | No            |                  1 | On Loan: No      |
| Residential Mortgage Loan Trust                | Residential Mortgage Loan Trust 2019-3                                        | CUSIP: 76119NAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1313631.87   | 0.01%             | 2059-09-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                   | UBS Group AG                                                                  | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | EC               | CORP              | CH        |   4225272 | NS      | $78619807.24  | 0.76%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2020-4                                               | CUSIP: 46652FBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3082036 | PA      | $173924.22    | 0.00%             | 2050-11-25      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| BHP Group Ltd                                  | BHP Group Ltd                                                                 | CUSIP: 000000000<br>LEI: WZE1WSENV6JSZFK0JC28 | Long             | EC               | CORP              | AU        |   3830000 | NS      | $118987344.36 | 1.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Assicurazioni Generali SpA                     | Assicurazioni Generali SpA                                                    | CUSIP: 000000000<br>LEI: 549300X5UKJVE386ZB61 | Long             | EC               | CORP              | IT        |  15204847 | NS      | $270426084.83 | 2.60%             |  |  |  | No            |                  1 | On Loan: No      |
| SEAWORLD PARKS & ENTERTA                       | SeaWorld Parks & Entertainment Inc                                            | CUSIP: 81282UAC6<br>LEI: 549300UZV72O3371JJ53 | Long             | DBT              | CORP              | US        |  24785000 | PA      | $25385044.85  | 0.24%             | 2025-05-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| MetLife Inc                                    | MetLife Inc                                                                   | CUSIP: 59156RBS6<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |  12000000 | PA      | $14010840.00  | 0.13%             | 2038-04-08      | Fixed         | 9.25%                 | 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        |  38500000 | PA      | $1024272.48   | 0.01%             | 2025-07-15      | None          | 0.00%                 | 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        |   2855928 | PA      | $2844532.58   | 0.03%             | 2023-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| SUMMIT MIDSTREAM PARTNER                       | Summit Midstream Partners LP                                                  | CUSIP: 866142AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  16097000 | PA      | $11712982.05  | 0.11%             | 2023-01-30      | Fixed         | 12.18%                | No            |                  2 | On Loan: No      |
| OWL ROCK CORE INCOME COR                       | OWL Rock Core Income Corp                                                     | CUSIP: 69120VAN1<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2487400.00   | 0.02%             | 2027-09-16      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                            | Petroleos Mexicanos                                                           | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   7820000 | PA      | $5933972.40   | 0.06%             | 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        |  20630865 | PA      | $16386694.52  | 0.16%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                      | CIM Trust 2020-J1                                                             | CUSIP: 12559YBN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  75539598 | PA      | $513412.43    | 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        |   2340000 | PA      | $2222532.00   | 0.02%             | 2032-05-20      | Fixed         | 7.48%                 | 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        |  51607152 | PA      | $142766.03    | 0.00%             | 2050-11-25      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                              | Post Holdings Inc                                                             | CUSIP: 737446AP9<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9059800.00   | 0.09%             | 2029-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Telefonica Emisiones SAU                       | Telefonica Emisiones SA                                                       | CUSIP: 87938WAC7<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |  85390000 | PA      | $88212993.40  | 0.85%             | 2036-06-20      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| LyondellBasell Industries NV                   | LyondellBasell Industries NV                                                  | CUSIP: 000000000<br>LEI: BN6WCCZ8OVP3ITUUVN49 | Long             | EC               | CORP              | NL        |   1867909 | NS      | $155092484.27 | 1.49%             |  |  |  | No            |                  1 | On Loan: No      |
| ARCHES BUYER INC                               | Arches Buyer Inc                                                              | CUSIP: 039524AA1<br>LEI: 2549009ADY4208OH2Y47 | Long             | DBT              | CORP              | US        |   6500000 | PA      | $5098080.00   | 0.05%             | 2028-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LUKOIL PJSC                                    | LUKOIL PJSC                                                                   | CUSIP: 000000000<br>LEI: 549300LCJ1UJXHYBWI24 | Long             | EC               | CORP              | RU        |    314000 | NS      | $226080.00    | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust   | Wells Fargo Mortgage Backed Securities 2020-3 Trust                           | CUSIP: 95002TBM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1046000 | PA      | $478892.81    | 0.00%             | 2050-06-25      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                         | Marlette Funding Trust 2021-3                                                 | CUSIP: 57108Q103<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9910 | PA      | $1840757.76   | 0.02%             | 2031-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VONTIER CORP                                   | Vontier Corp                                                                  | CUSIP: 928881AF8<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |   1457000 | PA      | $1059457.55   | 0.01%             | 2031-04-01      | Fixed         | 2.95%                 | 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        |   3771100 | PA      | $1975036.57   | 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        |  25750000 | PA      | $24996040.00  | 0.24%             | 2028-10-15      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust   | American Credit Acceptance Receivables Trust 2019-3                           | CUSIP: 02529NAL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6850000 | PA      | $6772334.70   | 0.07%             | 2026-05-12      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                        | Flagstar Mortgage Trust 2021-13INV                                            | CUSIP: 33853HBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    479588 | PA      | $272992.99    | 0.00%             | 2051-12-30      | Variable      | 3.37%                 | 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        |   2150000 | PA      | $1737884.13   | 0.02%             | 2060-05-25      | Variable      | 4.47%                 | 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        |     42000 | PA      | $4257682.81   | 0.04%             | 2027-03-15      | None          | 0.00%                 | 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        |   3307549 | PA      | $1987355.21   | 0.02%             | 2052-08-25      | Variable      | 3.13%                 | 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  | 0.15%             | 2062-02-25      | Variable      | 4.53%                 | 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        | 128380098 | PA      | $860518.96    | 0.01%             | 2051-10-25      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| Petroleo Brasileiro SA                         | Petroleo Brasileiro SA                                                        | CUSIP: 71654V408<br>LEI: 5493000J801JZRCMFE49 | Long             | EC               | CORP              | BR        |   6346016 | NS      | $67585070.40  | 0.65%             |  |  |  | No            |                  1 | On Loan: No      |
| QUALCOMM Inc                                   | QUALCOMM Inc                                                                  | CUSIP: 747525103<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | EC               | CORP              | US        |   1857277 | NS      | $204189033.38 | 1.96%             |  |  |  | No            |                  1 | On Loan: No      |
| Siemens AG                                     | Siemens AG                                                                    | CUSIP: 000000000<br>LEI: W38RGI023J3WT1HWRP32 | Long             | EC               | CORP              | DE        |   1275600 | NS      | $177018930.90 | 1.70%             |  |  |  | No            |                  1 | 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        |    448064 | PA      | $255797.39    | 0.00%             | 2051-10-25      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| NN Group NV                                    | NN Group NV                                                                   | CUSIP: 000000000<br>LEI: 724500OHYNDT9OY6Q215 | Long             | EC               | CORP              | NL        |   6151220 | NS      | $251267203.68 | 2.42%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2020-4                                               | CUSIP: 46652FBS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1427839 | PA      | $185397.30    | 0.00%             | 2050-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL FINANCIAL                        | Fidelity National Financial Inc                                               | CUSIP: 31620RAJ4<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $8442700.00   | 0.08%             | 2030-06-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS                               | Antares Holdings LP                                                           | CUSIP: 03666HAA9<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |  18000000 | PA      | $17684460.00  | 0.17%             | 2023-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Post AG                               | Deutsche Post AG                                                              | CUSIP: 000000000<br>LEI: 8ER8GIG7CSMVD8VUFE78 | Long             | EC               | CORP              | DE        |   2770100 | NS      | $104317570.25 | 1.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Glencore PLC                                   | Glencore PLC                                                                  | CUSIP: 000000000<br>LEI: 2138002658CPO9NBH955 | Long             | EC               | CORP              | JE        |  42737800 | NS      | $285413300.39 | 2.75%             |  |  |  | No            |                  1 | On Loan: No      |
| Amur Equipment Finance Receivables LLC         | Amur Equipment Finance Receivables VIII LLC                                   | CUSIP: 03237PAE3<br>LEI: 549300LUWIM31186Z163 | Long             | ABS-O            | CORP              | US        |   5536362 | PA      | $5398429.15   | 0.05%             | 2027-01-20      | Fixed         | 7.00%                 | 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        |    745503 | PA      | $437475.36    | 0.00%             | 2050-03-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Regions Financial Corp                         | Regions Financial Corp                                                        | CUSIP: 7591EP100<br>LEI: CW05CS5KW59QTC0DG824 | Long             | EC               | CORP              | US        |  11232655 | NS      | $242176041.80 | 2.33%             |  |  |  | No            |                  1 | On Loan: No      |
| KEHE DISTRIBUTORS LLC/FI                       | KeHE Distributors LLC / KeHE Finance Corp                                     | CUSIP: 487526AB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5168000 | PA      | $5049136.00   | 0.05%             | 2026-10-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| ACCO BRANDS CORP                               | ACCO Brands Corp                                                              | CUSIP: 00081TAK4<br>LEI: JCT8P4Y190IH4I1NX328 | Long             | DBT              | CORP              | US        |   7500000 | PA      | $6190500.00   | 0.06%             | 2029-03-15      | Fixed         | 4.25%                 | 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        |  60546884 | PA      | $273114.89    | 0.00%             | 2059-09-25      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE TE PARTNERS                         | Enterprise TE Partners LP                                                     | CUSIP: 872384AC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7000000 | PA      | $5791170.00   | 0.06%             | 2067-06-01      | Variable      | 7.54%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                           | Cleveland-Cliffs Inc                                                          | CUSIP: 185899AG6<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5020250.00   | 0.05%             | 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        |    615000 | PA      | $166462.30    | 0.00%             | 2051-04-25      | Variable      | 2.61%                 | 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        |   3942030 | PA      | $3928918.87   | 0.04%             | 2024-12-16      | Fixed         | 5.61%                 | 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        |   1690460 | PA      | $898410.21    | 0.01%             | 2051-01-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| DARLING INGREDIENTS INC                        | Darling Ingredients Inc                                                       | CUSIP: 237266AJ0<br>LEI: L1N0SPPKS7EXZYUMZ898 | Long             | DBT              | CORP              | US        |   4050000 | PA      | $3969324.00   | 0.04%             | 2030-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile Receivables Trust | Foursight Capital Automobile Receivables Trust 2020-1                         | CUSIP: 35105FAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3180000 | PA      | $3106556.95   | 0.03%             | 2027-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ODBRCHT OFFSHRE DRLL FIN                       | Odebrecht Offshore Drilling Finance Ltd                                       | CUSIP: 67576GAD9<br>LEI: 549300L7LF2PIRAWID66 | Long             | DBT              | CORP              | KY        |  20400953 | PA      | $5398092.16   | 0.05%             | 2026-12-01      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT OIL & FINANCE                        | Odebrecht Oil & Gas Finance Ltd                                               | CUSIP: 67576JAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   2337727 | PA      | $9023.63      | 0.00%             | 2023-01-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Taiwan Semiconductor Manufacturing Co Ltd      | Taiwan Semiconductor Manufacturing Co Ltd                                     | CUSIP: 000000000<br>LEI: 549300KB6NK5SBD14S87 | Long             | EC               | CORP              | TW        |  18903000 | NS      | $275837240.32 | 2.65%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2022-3                                               | CUSIP: 46654UCY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1490458 | PA      | $343220.51    | 0.00%             | 2052-08-25      | Variable      | 2.53%                 | 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        |   3295261 | PA      | $42453.51     | 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        |    400000 | PA      | $4566151.94   | 0.04%             | 2026-12-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                             | Vodafone Group PLC                                                            | CUSIP: 000000000<br>LEI: 213800TB53ELEUKM7Q61 | Long             | EC               | CORP              | GB        | 263842924 | NS      | $268702795.55 | 2.59%             |  |  |  | No            |                  1 | On Loan: No      |
| Petroleos Mexicanos                            | Petroleos Mexicanos                                                           | CUSIP: 71654QAZ5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   5648000 | PA      | $3665947.36   | 0.04%             | 2041-06-02      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Sirius XM Radio Inc                            | Sirius XM Radio Inc                                                           | CUSIP: 82967NBA5<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4626700.00   | 0.04%             | 2027-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                   | CSMC 2021-AFC1 Trust                                                          | CUSIP: 12657LAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  92549517 | PA      | $804264.56    | 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        |  66109372 | PA      | $661.09       | 0.00%             | 2050-10-25      | Variable      | 0.00%                 | 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        |    485988 | PA      | $355910.64    | 0.00%             | 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        |  14000000 | PA      | $13677706.00  | 0.13%             | 2026-06-16      | Fixed         | 7.86%                 | 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        |   1415000 | PA      | $383223.04    | 0.00%             | 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      |
| OFFICE CHERIFIEN DES PHO                       | OCP SA                                                                        | CUSIP: 67091TAD7<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |   2000000 | PA      | $1677580.00   | 0.02%             | 2031-06-23      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BWX TECHNOLOGIES INC                           | BWX Technologies Inc                                                          | CUSIP: 05605HAB6<br>LEI: 549300NP85N265KWMS58 | Long             | DBT              | CORP              | US        |   6500000 | PA      | $5834595.00   | 0.06%             | 2028-06-30      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Novartis AG                                    | Novartis AG                                                                   | CUSIP: 000000000<br>LEI: 5493007HIVTX6SY6XD66 | Long             | EC               | CORP              | CH        |   1297000 | NS      | $117251100.42 | 1.13%             |  |  |  | No            |                  1 | On Loan: No      |
| CIM Trust                                      | CIM Trust 2020-J1                                                             | CUSIP: 12559YBM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1299775 | PA      | $438209.33    | 0.00%             | 2050-07-25      | Variable      | 3.44%                 | 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      | $-16597228.90 | -0.16%            |  |  |  | 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        |     24000 | PA      | $4096552.35   | 0.04%             | 2027-12-10      | None          | 0.00%                 | 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        |   8000000 | PA      | $6485680.00   | 0.06%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Consumer Loan Underlying Bond Credit Trust     | Consumer Loan Underlying Bond CLUB Credit Trust 2020-P1                       | CUSIP: 21055JAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1653643 | PA      | $1637679.76   | 0.02%             | 2028-03-15      | Fixed         | 4.61%                 | 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        |   1992810 | PA      | $885482.03    | 0.01%             | 2051-06-25      | Variable      | 0.29%                 | 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      |
| Flagstar Mortgage Trust                        | Flagstar Mortgage Trust 2020-2                                                | CUSIP: 33851KCB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3395814 | PA      | $1523322.28   | 0.01%             | 2050-08-25      | Variable      | 3.67%                 | 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        |  10396980 | PA      | $316304.20    | 0.00%             | 2051-10-25      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| Merck & Co Inc                                 | Merck & Co Inc                                                                | CUSIP: 58933Y105<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | EC               | CORP              | US        |   1468094 | NS      | $162885029.30 | 1.57%             |  |  |  | No            |                  1 | 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        |    725000 | PA      | $510855.45    | 0.00%             | 2060-05-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc              | Citigroup Mortgage Loan Trust 2004-HYB2                                       | CUSIP: 17307GEF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185840 | PA      | $164598.43    | 0.00%             | 2034-03-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| QBE Insurance Group Ltd                        | QBE Insurance Group Ltd                                                       | CUSIP: 74737EAA2<br>LEI: 549300D2FBW76FPUSG65 | Long             | DBT              | CORP              | AU        |  40000000 | PA      | $39937200.00  | 0.38%             | 2043-11-24      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Xperi Corporation                              | Xperi Corporation 2020 Term Loan B                                            | CUSIP: 98422BAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   9707632 | PA      | $9343595.40   | 0.09%             | 2028-06-08      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| CIMPRESS PLC                                   | Cimpress PLC                                                                  | CUSIP: 17186HAC6<br>LEI: 549300X1IFD75XISOR81 | Long             | DBT              | CORP              | IE        |  27804000 | PA      | $19206725.16  | 0.18%             | 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        |     32000 | PA      | $9697241.06   | 0.09%             | 2026-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                            | JPMorgan Chase & Co                                                           | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |   1747148 | NS      | $234292546.80 | 2.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Nathan's Famous Inc                            | Nathan's Famous Inc                                                           | CUSIP: 632347AC4<br>LEI: 54930034SKNSF1JIE673 | Long             | DBT              | CORP              | US        |   4538000 | PA      | $4363060.10   | 0.04%             | 2025-11-01      | Fixed         | 6.63%                 | 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   | 0.05%             | 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        |   3000000 | PA      | $2895780.00   | 0.03%             | 2027-12-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Chimera Investment Corp                        | Chimera Investment Corp                                                       | CUSIP: 16934Q208<br>LEI: 2JBBQFJOL123LOUBE657 | Long             | EC               |  | US        |  17317311 | NS      | $95245210.50  | 0.92%             |  |  |  | No            |                  1 | On Loan: No      |
| CITGO HOLDING INC                              | Citgo Holding Inc                                                             | CUSIP: 17302WAB4<br>LEI: 549300NYHOALWZ2BSL72 | Long             | DBT              | CORP              | US        |  14196000 | PA      | $14238162.12  | 0.14%             | 2024-08-01      | Fixed         | 9.25%                 | 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        |   8738067 | PA      | $1000692.17   | 0.01%             | 2025-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT HOLDINGS INC                         | Open Text Holdings Inc                                                        | CUSIP: 683720AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10000000 | PA      | $8135400.00   | 0.08%             | 2030-02-15      | Fixed         | 4.13%                 | No            |                  2 | 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        |  10500000 | PA      | $9833454.75   | 0.09%             | 2051-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mercedes-Benz Group AG                         | Mercedes-Benz Group AG                                                        | CUSIP: 000000000<br>LEI: 529900R27DL06UVNT076 | Long             | EC               | CORP              | DE        |   1479700 | NS      | $97254168.60  | 0.94%             |  |  |  | No            |                  1 | 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        |   2038424 | PA      | $2027745.72   | 0.02%             | 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        |  92549517 | PA      | $13071380.07  | 0.13%             | 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        |  10293831 | PA      | $9144215.67   | 0.09%             | 2025-10-15      | Fixed         | 3.75%                 | 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   | 0.03%             | 2026-12-15      | None          | 0.00%                 | 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        |    911475 | PA      | $625110.25    | 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        |      6000 | PA      | $236635.62    | 0.00%             | 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        |   2412229 | PA      | $1857426.27   | 0.02%             | 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