Thornburg Strategic Income Fund

Investor Summary

The Thornburg Strategic Income Fund is managed by a highly experienced three-person team led by Lon Erickson, CFA, who serves as portfolio manager and managing director with oversight of multiple investment strategies including the Multisector Opportunistic strategy that manages $10.5 billion in assets. Erickson joined Thornburg in 2008, was promoted to portfolio manager in 2010, and holds an MBA from the University of Chicago Graduate School of Business along with his CFA designation. Christian Hoffmann, CFA, serves as Head of Fixed Income and portfolio manager, joining Thornburg in 2012 and promoted to head of fixed income in 2024, bringing extensive experience from senior credit analyst roles at H.I.G. Capital and Lehman Brothers with particular expertise in distressed debt and credit-driven special situations. Ali Hassan, CFA, FRM, rounds out the team as portfolio manager and managing director, joining Thornburg in 2013 and promoted to portfolio manager in 2021, bringing valuable risk management expertise through his FRM designation. The management company, Thornburg Investment Management, was founded in 1982 by Garrett Thornburg in Santa Fe, New Mexico, and has grown into a global investment firm managing approximately $55 billion in assets with a reputation for innovative, actively managed, disciplined investment strategies. The firm operates as a privately owned entity with a collaborative culture focused on delivering active, high-conviction portfolios to institutions, advisors, and investors. Recent leadership transitions include Mark Zinkula serving as CEO while founder Garrett Thornburg remains as chairman, ensuring continuity of the firm's investment philosophy and operational excellence.

Fund Strategy

The Thornburg Strategic Income Fund employs a highly active and flexible investment approach designed to provide investors with a high level of current income while seeking some long-term capital appreciation. The fund's philosophy centers on unconstrained global investing across any income-producing security worldwide, with the ability to invest across sectors and issuers without benchmark constraints. The strategy maintains a generally defensive posture to protect capital while seeking to participate in upside opportunities and limiting downside risk. At Thornburg, the firm believes unconstrained investing leads to better outcomes for clients, with a collaborative culture that produces highly active, high-conviction, and benchmark-agnostic investment solutions. The fund pursues its investment goals by investing in a broad range of income-producing investments from throughout the world, primarily including debt obligations across corporate bonds, government securities, agency mortgage-backed securities, asset-backed securities, and international debt instruments. This global and flexible mandate enables the portfolio managers to respond dynamically to changing market conditions and identify the most attractive risk-adjusted opportunities across global fixed-income markets. The investment process emphasizes active management and global diversification across fixed-income sectors to deliver superior risk-adjusted returns compared to passive benchmark strategies. The fund's approach reflects the portfolio managers' expertise in credit analysis, interest rate management, and global macroeconomic assessment. Risk management remains paramount, with the team focusing on capital preservation while opportunistically pursuing income generation and capital appreciation across market cycles.

ANNUALIZED SINCE INCEPTION	QUARTERLY	YTD
5.41%	0.04%	0.04%

Executive Summary

Thornburg Strategic Income Fund returned 0.04% in Q1 2026, outperforming the Bloomberg U.S. Universal Index by 19 basis points. The quarter was dominated by Middle East conflict escalation involving Iran, which closed the Strait of Hormuz and drove crude oil above $100 per barrel. This energy shock fueled inflation expectations and led to a meaningful repricing of monetary policy, with Fed rate cuts largely priced out. Credit markets showed strain as private credit concerns intensified, with major institutions marking down software-related exposures amid AI-driven technological disruption. The portfolio maintained longer-duration and higher-quality positioning, deploying 300 basis points of liquidity into attractively valued corporate credit as spreads widened from 250 to 331 basis points. Duration and security selection contributed positively, while credit allocations detracted as spreads widened. The strategy emphasizes durable income generation through high-quality carry and securitized assets, maintaining significant dry powder to capitalize on future market dislocations in this elevated volatility environment.

Forward Outlook

Outlook remains constructive supported by higher starting yields and elevated macroeconomic and geopolitical volatility. Strategy emphasizes generating durable income while maintaining cautious stance toward lower-quality credit, favoring high-quality carry and securitized assets. Portfolio positioned with liquidity as strategic asset to capitalize on episodic market dislocations.

Date	Letter	Tickers	Keywords	Pitches	Quick Takes
Apr 18 2026	2026 Q1	-	credit, duration, energy, fixed income, Geopolitical, liquidity, rates	-	Thornburg Strategic Income outperformed by 19 basis points in Q1 2026 as Middle East conflict drove oil above $100 and repriced Fed policy expectations. Credit markets showed strain with private credit concerns and AI-driven software repricing. Portfolio deployed liquidity into quality credit as spreads widened, maintaining defensive positioning with dry powder for future opportunities.
Jan 13 2026	2025 Q4	AMAT, AMZN, META, TAP, TGT	credit, Data centers, duration, Fed policy, fixed income, investment grade, yield curve	-	Thornburg Strategic Income delivered solid Q4 returns while maintaining defensive positioning with longer duration and higher quality bias. Despite tight credit spreads and late-cycle warning signs including bankruptcies and fraud, the fund identified selective data center project finance opportunities. Fed easing and declining inflation support the outlook, with 2026 strategy favoring high-quality fixed income and flexible diversification.
Oct 19 2025	2025 Q3	-	credit, duration, fixed income, rates, Trade Policy, Treasuries	-	Thornburg Strategic Income returned 2.02% in Q3, slightly trailing its benchmark due to duration positioning as rates fell. The fund maintains higher quality bias and longer duration driven by attractive real yields. Strong security selection and credit positioning offset duration headwinds. Managers remain positioned for volatility amid trade policy uncertainty and Fed rate cuts.
Jul 18 2025	2025 Q2	-	credit, duration, Fed policy, fixed income, Spreads, Trade Policy, Treasuries, volatility	-	Thornburg Strategic Income outperformed by 38bp in Q2 despite tariff-driven volatility that spiked Treasury yields and credit spreads. Fed held rates steady while managers maintained longer duration, higher quality positioning. Strong sector allocation and credit selection drove outperformance, particularly in BBB/BB corporates. Team remains positioned to capitalize on future volatility through active duration and credit management.
Mar 31 2025	2025 Q1	-	CMBS, credit, duration, fixed income, inflation, Mortgage, rates, Treasuries	-	Thornburg Strategic Income Fund slightly underperformed in Q1 2025 due to shorter duration positioning during falling yields, though active management in yield curve positioning and security selection added value. The portfolio maintained broad diversification across fixed income sectors with emphasis on fundamentally sound issuers. Managers expect continued volatility to create opportunities for active management.

Date

Letter

Tickers

Keywords

Pitches

Quick Takes

Apr 18 2026

2026 Q1

credit, duration, energy, fixed income, Geopolitical, liquidity, rates

Thornburg Strategic Income outperformed by 19 basis points in Q1 2026 as Middle East conflict drove oil above $100 and repriced Fed policy expectations. Credit markets showed strain with private credit concerns and AI-driven software repricing. Portfolio deployed liquidity into quality credit as spreads widened, maintaining defensive positioning with dry powder for future opportunities.

Jan 13 2026

2025 Q4

AMAT, AMZN, META, TAP, TGT

credit, Data centers, duration, Fed policy, fixed income, investment grade, yield curve

Thornburg Strategic Income delivered solid Q4 returns while maintaining defensive positioning with longer duration and higher quality bias. Despite tight credit spreads and late-cycle warning signs including bankruptcies and fraud, the fund identified selective data center project finance opportunities. Fed easing and declining inflation support the outlook, with 2026 strategy favoring high-quality fixed income and flexible diversification.

Oct 19 2025

2025 Q3

credit, duration, fixed income, rates, Trade Policy, Treasuries

Thornburg Strategic Income returned 2.02% in Q3, slightly trailing its benchmark due to duration positioning as rates fell. The fund maintains higher quality bias and longer duration driven by attractive real yields. Strong security selection and credit positioning offset duration headwinds. Managers remain positioned for volatility amid trade policy uncertainty and Fed rate cuts.

Jul 18 2025

2025 Q2

credit, duration, Fed policy, fixed income, Spreads, Trade Policy, Treasuries, volatility

Thornburg Strategic Income outperformed by 38bp in Q2 despite tariff-driven volatility that spiked Treasury yields and credit spreads. Fed held rates steady while managers maintained longer duration, higher quality positioning. Strong sector allocation and credit selection drove outperformance, particularly in BBB/BB corporates. Team remains positioned to capitalize on future volatility through active duration and credit management.

Mar 31 2025

2025 Q1

CMBS, credit, duration, fixed income, inflation, Mortgage, rates, Treasuries

Thornburg Strategic Income Fund slightly underperformed in Q1 2025 due to shorter duration positioning during falling yields, though active management in yield curve positioning and security selection added value. The portfolio maintained broad diversification across fixed income sectors with emphasis on fundamentally sound issuers. Managers expect continued volatility to create opportunities for active management.

QUARTER	THEMES	TAGS
2026 Q1	Credit Stress Private credit markets showed signs of strain as major financial institutions marked down software-related loan exposures and alternative asset managers implemented redemption restrictions. Credit spreads widened from historically tight levels of 250 basis points to 331 basis points by quarter-end, creating selective opportunities in higher-quality segments.	Private Credit Spreads Redemptions Software Valuations
	Oil The escalation of Middle East conflict and effective closure of the Strait of Hormuz drove crude oil prices above $100 per barrel, becoming the dominant macroeconomic driver. This energy shock fueled sharp rises in inflation expectations and contributed to a pronounced selloff in U.S. Treasuries.	Crude Oil Geopolitical Inflation Energy Shock Iran
	Rates Rising energy prices and geopolitical tensions led to a meaningful repricing of monetary policy expectations, with rate cuts for 2026 largely priced out. Treasury yields moved higher across the curve as the Federal Reserve maintained a hawkish tone amid persistent inflationary pressures.	Fed Policy Treasury Yields Rate Cuts Hawkish Curve
	AI Advancements in AI-driven digital co-working tools prompted a broad repricing of software valuations and associated credit instruments. This technological disruption contributed to pressures in private credit markets as financial institutions marked down software-related exposures.	Digital Tools Software Valuations Technology Disruption Credit Impact
2025 Q4	AI AI has been the defining theme of market leadership in 2025, driving data center capex and benefiting semis, electrical equipment, and tech hardware. The theme experienced volatility in Q4 with concerns over durability, but re-asserted dominance after NVIDIA's strong earnings. AI data centers require enormous power, creating opportunities for companies like Bloom Energy.	Data Centers Semiconductors Power Infrastructure
	Electrification The portfolio maintains its largest absolute and relative exposure to the Industrials sector, representative of conviction in the Electrification theme. However, exposure to some larger holdings in the Electrification theme was modestly reduced during the quarter.	Industrial Power Infrastructure
	Biotech Biotech was a standout performer during the quarter, delivering its best quarter in five years. Performance was driven by an improving rate environment, easing regulation with more M&A activity, and excitement around AI's promise in driving efficiencies in the drug discovery process.	Pharmaceuticals M&A Drug Discovery
	Solar First Solar benefited from Trump Administration's 'One Big Beautiful Bill' which drove US demand for non-China solar products. The company differentiates itself with thin-film CdTe technology offering better performance in hot/humid/low light conditions and is more efficient for large scale deployment.	Renewable Energy Manufacturing Policy
	Space Rocket Lab operates as an end-to-end space company in Launch Services and Space Systems segments. The stock was up nearly 50% in the quarter on strong earnings results and growing backlog, though the portfolio's late initiation of position meant it was a detractor to relative performance.	Aerospace Launch Services Defense
2025 Q3	Trade Policy Markets showed resilience despite effective tariff rates increasing sevenfold since the beginning of the year. The current administration announced several new protectionist measures including 100% tariffs on foreign-made movies, substantial tariffs on imported furniture, and potential requirements for semiconductor manufacturers to match foreign production with domestic output. Trade uncertainty was partially mitigated by reciprocal tariff arrangements, a 90-day postponement on China tariffs, and bilateral deals.	Tariffs Protectionism China Semiconductors Trade
	Rates The Federal Reserve began its rate cutting cycle with a 25 basis point reduction in September, with updated projections indicating an additional 50 basis points of cuts expected before year end. Treasury yields fluctuated throughout the period, with short-end yields declining approximately 30-40 basis points as rate-cut expectations increased. The curve steepened with the 30-year yield falling 7 basis points since the start of the quarter.	Fed Rate Cuts Treasury Yield Curve Duration
	Credit The portfolio's overweights to BBB and BB rated issues resulted in a net positive contribution of 16 basis points to relative performance. The strategy remained positioned with a longer duration and higher quality bias compared to its long-term range, driven by attractive real yields and tight credit spreads. However, the market rewarded the opposite with lower quality corporates outperforming higher quality.	BBB BB Credit Spreads Investment Grade High Yield
2025 Q2	Trade Policy Reciprocal tariffs announced April 2nd included 10% baseline tax on all imports, 34% on Chinese goods, 25% on car imports, and 20% on EU goods. This unanticipated shift contributed to sharp rise in Treasury yields and elevated policy uncertainty throughout the quarter.	Tariffs Trade Policy China EU
	Rates Federal Reserve maintained patient stance keeping rates on hold at 4.25%-4.50% during May and June meetings. Interest rate volatility initially spiked then trended down, with yield curve steepening as front-end repriced rate cuts while long bonds reflected increasing inflationary concerns.	Fed Interest Yields Curve Volatility
	Credit Stress Credit spreads widened rapidly early in quarter, nearing average post-GFC levels before ultimately closing tighter than at start. Portfolio's overweights to BBB and BB rated issues resulted in net positive attribution of 41 basis points to relative outperformance.	Spreads Credit BBB BB Corporate
2025 Q1	Rates Federal Reserve maintained patient stance signaling potential rate cuts later in the year amid concerns of slowing economic momentum. This dovish tilt capped longer-term yields and supported risk assets including corporate credit. Markets closely watching inflation data and central bank rhetoric for clearer signals on future path of rates.	Federal Reserve Rate cuts Yields Monetary policy Central bank
	Inflation Aggressive fiscal measures, particularly new tariffs, injected uncertainty and inflationary pressures initially steepening the yield curve. Inflation-linked bonds garnered attention as tariff-induced price pressures became a focal point. Uncertainty surrounding inflation persists looking ahead.	Tariffs Inflationary pressures Inflation-linked bonds Price pressures Fiscal measures
	Commercial Real Estate The portfolio's larger allocation to commercial mortgage-backed securities (CMBS) benefited relative performance, contributing 22bps during the quarter. CMBS was among the sectors demonstrating resilience and offering compelling risk/reward profiles.	CMBS Commercial mortgage-backed securities Mortgage-backed Real estate Credit
	Mortgage Portfolio's underweight allocation to mortgage pass-through securities accounted for -25bps of relative performance during the quarter. Mortgage pass-throughs were among the large drivers of absolute returns during the period alongside Treasuries and investment grade corporate credit.	Mortgage pass-through MPT securities Residential mortgages Fixed income Duration

QUARTER

THEMES

Credit Stress

Private credit markets showed signs of strain as major financial institutions marked down software-related loan exposures and alternative asset managers implemented redemption restrictions. Credit spreads widened from historically tight levels of 250 basis points to 331 basis points by quarter-end, creating selective opportunities in higher-quality segments.

Private Credit Spreads Redemptions Software Valuations

Oil

The escalation of Middle East conflict and effective closure of the Strait of Hormuz drove crude oil prices above $100 per barrel, becoming the dominant macroeconomic driver. This energy shock fueled sharp rises in inflation expectations and contributed to a pronounced selloff in U.S. Treasuries.

Crude Oil Geopolitical Inflation Energy Shock Iran

Rates

Rising energy prices and geopolitical tensions led to a meaningful repricing of monetary policy expectations, with rate cuts for 2026 largely priced out. Treasury yields moved higher across the curve as the Federal Reserve maintained a hawkish tone amid persistent inflationary pressures.

Fed Policy Treasury Yields Rate Cuts Hawkish Curve

AI

Advancements in AI-driven digital co-working tools prompted a broad repricing of software valuations and associated credit instruments. This technological disruption contributed to pressures in private credit markets as financial institutions marked down software-related exposures.

Digital Tools Software Valuations Technology Disruption Credit Impact

2025 Q4

AI

AI has been the defining theme of market leadership in 2025, driving data center capex and benefiting semis, electrical equipment, and tech hardware. The theme experienced volatility in Q4 with concerns over durability, but re-asserted dominance after NVIDIA's strong earnings. AI data centers require enormous power, creating opportunities for companies like Bloom Energy.

Data Centers Semiconductors Power Infrastructure

Electrification

The portfolio maintains its largest absolute and relative exposure to the Industrials sector, representative of conviction in the Electrification theme. However, exposure to some larger holdings in the Electrification theme was modestly reduced during the quarter.

Industrial Power Infrastructure

Biotech

Biotech was a standout performer during the quarter, delivering its best quarter in five years. Performance was driven by an improving rate environment, easing regulation with more M&A activity, and excitement around AI's promise in driving efficiencies in the drug discovery process.

Pharmaceuticals M&A Drug Discovery

Solar

First Solar benefited from Trump Administration's 'One Big Beautiful Bill' which drove US demand for non-China solar products. The company differentiates itself with thin-film CdTe technology offering better performance in hot/humid/low light conditions and is more efficient for large scale deployment.

Renewable Energy Manufacturing Policy

Space

Rocket Lab operates as an end-to-end space company in Launch Services and Space Systems segments. The stock was up nearly 50% in the quarter on strong earnings results and growing backlog, though the portfolio's late initiation of position meant it was a detractor to relative performance.

Aerospace Launch Services Defense

2025 Q3

Trade Policy

Markets showed resilience despite effective tariff rates increasing sevenfold since the beginning of the year. The current administration announced several new protectionist measures including 100% tariffs on foreign-made movies, substantial tariffs on imported furniture, and potential requirements for semiconductor manufacturers to match foreign production with domestic output. Trade uncertainty was partially mitigated by reciprocal tariff arrangements, a 90-day postponement on China tariffs, and bilateral deals.

Tariffs Protectionism China Semiconductors Trade

Rates

The Federal Reserve began its rate cutting cycle with a 25 basis point reduction in September, with updated projections indicating an additional 50 basis points of cuts expected before year end. Treasury yields fluctuated throughout the period, with short-end yields declining approximately 30-40 basis points as rate-cut expectations increased. The curve steepened with the 30-year yield falling 7 basis points since the start of the quarter.

Fed Rate Cuts Treasury Yield Curve Duration

Credit

The portfolio's overweights to BBB and BB rated issues resulted in a net positive contribution of 16 basis points to relative performance. The strategy remained positioned with a longer duration and higher quality bias compared to its long-term range, driven by attractive real yields and tight credit spreads. However, the market rewarded the opposite with lower quality corporates outperforming higher quality.

BBB BB Credit Spreads Investment Grade High Yield

2025 Q2

Trade Policy

Reciprocal tariffs announced April 2nd included 10% baseline tax on all imports, 34% on Chinese goods, 25% on car imports, and 20% on EU goods. This unanticipated shift contributed to sharp rise in Treasury yields and elevated policy uncertainty throughout the quarter.

Tariffs Trade Policy China EU

Rates

Federal Reserve maintained patient stance keeping rates on hold at 4.25%-4.50% during May and June meetings. Interest rate volatility initially spiked then trended down, with yield curve steepening as front-end repriced rate cuts while long bonds reflected increasing inflationary concerns.

Fed Interest Yields Curve Volatility

Credit Stress

Credit spreads widened rapidly early in quarter, nearing average post-GFC levels before ultimately closing tighter than at start. Portfolio's overweights to BBB and BB rated issues resulted in net positive attribution of 41 basis points to relative outperformance.

Spreads Credit BBB BB Corporate

2025 Q1

Rates

Federal Reserve maintained patient stance signaling potential rate cuts later in the year amid concerns of slowing economic momentum. This dovish tilt capped longer-term yields and supported risk assets including corporate credit. Markets closely watching inflation data and central bank rhetoric for clearer signals on future path of rates.

Federal Reserve Rate cuts Yields Monetary policy Central bank

Inflation

Aggressive fiscal measures, particularly new tariffs, injected uncertainty and inflationary pressures initially steepening the yield curve. Inflation-linked bonds garnered attention as tariff-induced price pressures became a focal point. Uncertainty surrounding inflation persists looking ahead.

Tariffs Inflationary pressures Inflation-linked bonds Price pressures Fiscal measures

Commercial Real Estate

The portfolio's larger allocation to commercial mortgage-backed securities (CMBS) benefited relative performance, contributing 22bps during the quarter. CMBS was among the sectors demonstrating resilience and offering compelling risk/reward profiles.

CMBS Commercial mortgage-backed securities Mortgage-backed Real estate Credit

Mortgage

Portfolio's underweight allocation to mortgage pass-through securities accounted for -25bps of relative performance during the quarter. Mortgage pass-throughs were among the large drivers of absolute returns during the period alongside Treasuries and investment grade corporate credit.

Mortgage pass-through MPT securities Residential mortgages Fixed income Duration

Date	Pitch Type	Author	Ticker	Company	Industry	Sub Industry	Bull / Bear	Exchange	Keywords	Action
No Elevator Pitches found

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No Elevator Pitches found

TICKER	COMMENTARY
No ticker commentary found.

TICKER

COMMENTARY

No ticker commentary found.

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No Recent Buys Data

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No Recent Sells Data

Industry	Prev Quarter %	Current Quarter %	Change
No industry data available

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No industry data available

Investment Summary

Investor Summary

Fund Strategy

FUND PERFORMANCE AS OF 31st March 2026

Investor Letters

Latest Executive Summary:

Executive Summary

Core Thesis

Forward Outlook

Investment Themes

Credit Stress

Oil

Rates

AI

AI

Electrification

Biotech

Solar

Space

Trade Policy

Rates

Credit

Trade Policy

Rates

Credit Stress

Rates

Inflation

Commercial Real Estate

Mortgage

Investor Pitches

Current Portfolio as of ( 31st March 2026 )

Key Risks identified by Manager:

Key catalysts include:

Portfolio Implications

Ticker Commentary

Lon Erickson Top Holdings

Recent Buys (13F)

Recent Sells (13F)

13F Sector Summary

Portfolio Distribution

Latest 13D & 13G Filings

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Thornburg Strategic Income Fund