Dear Fellow Shareholder:
We are pleased to present the Annual Reports for the Thornburg Limited Term
U.S. Government Fund and the Thornburg Limited Term Income Fund for the year
ended September 30, 1995.
The Thornburg Limited Term Income Fund celebrated its third anniversary a
short time ago. The last three years have been volatile ones in the bond
markets. Interest rates have been all over the board. Those of you who have
stayed the course have likely done quite well in these Funds. If you did
not panic and sell when interest rates rose in 1994, the drop in interest
rates in 1995 has given the Funds' net asset values a nice recovery.
Thornburg Limited Term Income Fund and Thornburg Limited Term U.S.
Government Fund do not try to earn spectacular capital gains in rising
markets... they try to avoid the spectacular losses in falling markets.
They are designed, through laddered maturity structured portfolios with
an average maturity of five years or less, to provide a less volatile ride
through the gyrations of rising and falling interest rates. And, over time,
this strategy has worked. Since it does not take too many years for a
significant portion of our portfolios to mature, recovery from interest rate
movements is built into the portfolios, although this takes time to develop.
Of course, your Funds are managed bond portfolios and do not always hold
every bond to maturity.
For the three year period ending November 2, 1995, the Thornburg Limited Term
Income Fund "A" Shares had the best return among the Lipper Analytical
Services, Inc. category of short investment grade bond funds - according to
data taken from The Wall Street Journal mutual fund listings November 3,
1995. It also had the sixth best return for the one year period ending on the
same date. These total returns brought your fund "A" grades for both 1 and 3
year performance relative to other mutual funds with similar investment
objectives.* Although there are now 118 mutual funds in the short investment
grade bond funds category, 107 funds had a one year history and 60 had a
three year history. As you know, the Thornburg Limited Term Income Fund "C"
Shares participate in the same portfolio as the "A" Shares. Look at the Wall
Street Journal mutual fund listings printed on Fridays - I think you will see
that the grades these Funds have received are something of which you can be
proud.
Interest rates do not fall forever, just as they do not increase forever. You
should not have the jittery nerves of others who had taken more extreme
positions. Your investment in the Thornburg Limited Term U.S. Government Fund
or the Thornburg Limited Term Income Fund is not extreme. The Funds are
capitalized with 100% equity dollars from investors like you. We feel the
Thornburg Limited Term U.S. Government Fund and the Thornburg Limited Term
Income Fund are appropriate investments for investors who do not want the
price volatility of potentially higher yielding longer term bonds or bond
funds.
Thank you for investing in our funds. We continue to grow at a steady pace
and we continue to get a great deal of repeat business from existing
shareholders. While past performance is no guarantee of future results, we
feel that we are well positioned, and we will maintain a steady course.
Sincerely,
Steven J. Bohlin
Managing Director
* The rankings are determined by Lipper based on total return (net asset
value change plus accumulated income after subtracting annual expenses), but
do not reflect sales charges or redemption fees. The three year returns are
annualized. An "A" grade is assigned to the top 20% of funds within an
investment objective. The Thornburg Limited Term Income Fund "A" Shares have
a 2.5% maximum sales charge. The adviser assumed some fund expenses and
waived some fees in the time period discussed. Had the adviser not done so,
the returns would have been lower.
Thornburg Investment Trust Limited Term Limited Term
September 30, 1995 U. S. Government Income
Fund Fund
ASSETS
Investments at value (cost $ 140,199,343
and $ 22,776,986, respectively) $ 143,976,335 $ 23,343,368
Cash 525,174 450,879
Receivable for fund shares sold 232,673 69,703
Interest receivable 1,483,072 432,842
Principal receivable 116,722 28,508
Prepaid expenses and other assets 20,370 33,868
TOTAL ASSETS 146,354,346 24,359,168
LIABILITIES
Payable for securities purchased 724,642 --
Payable for fund shares redeemed 132,153 4,145
Accounts payable and accrued expenses 196,270 50,122
Dividends payable 235,477 49,940
TOTAL LIABILITIES 1,288,542 104,207
NET ASSETS $ 145,065,804 $ 24,254,961
NET ASSET VALUE:
Class A Shares:
Net asset value and redemption price
per share ($ 142,848,536 and $ 12.40 $ 12.11
$ 23,222,495 applicable to 11,522,086
and 1,917,639 shares of beneficial interest outstanding)
Maximum sales charge, 2.50% of offering
price (2.57% of net asset value per share) .32 .31
Maximum Offering Price Per Share $ 12.72 $ 12.42
Class C Shares:
Net asset value, offering and redemption price
per share ($ 2,217,268 $ 12.45 $ 12.08
and $ 1,032,466 applicable to 178,061 and
85,477 shares of beneficial interest outstanding)
See notes to financial statements.
Thornburg Investment Trust
Year Ended September 30, 1995
INVESTMENT INCOME:
Interest income
(net of premium amortized of $ 790,122 and
$ 79,777, respectively) $ 10,958,369 $ 1,578,325
EXPENSES:
Investment advisory fees (Note 3) 759,363 134,611
Distribution and service fees (Note 3)
Class A Shares 345,423 52,571
Class B Shares 3,873 517
Class C Shares 11,219 3,276
Transfer agent fees 173,783 58,265
Custodian fees 84,739 34,538
Registration and filing fees 56,435 36,931
Professional fees 27,939 10,575
Accounting fees 15,637 2,173
Other expenses 65,850 12,356
TOTAL EXPENSES 1,544,261 345,813
Less:
Investment advisory fees waived by
investment adviser (Note 3) --- (134,611)
Expenses assumed by investment adviser (Note 3) (24,278) (29,130)
NET EXPENSES 1,519,983 182,072
NET INVESTMENT INCOME 9,438,386 1,396,253
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized loss on investments sold (2,412,220) (372,541)
Net realized loss on foreign currency transactions -- (2,352)
Unrealized appreciation of investments 6,368,392 876,248
NET REALIZED AND UNREALIZED
GAIN ON INVESTMENTS 3,956,172 501,355
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $ 13,394,558 $ 1,897,608
See notes to financial statements.
Thornburg Limited Term U. S. Government Fund
Year Ended Year Ended
September 30, 1995 September 30, 1994
INCREASE (DECREASE) IN
NET ASSETS FROM:
OPERATIONS:
Net investment income $ 9,438,386 $ 10,518,163
Net realized loss on investments sold (2,412,220) (4,564,490)
Unrealized appreciation
(depreciation) of investments 6,368,392 (9,431,806)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 13,394,558 (3,478,133)
DIVIDENDS TO SHAREHOLDERS:
From net investment income
Class A Shares (9,322,160) (10,517,883)
Class B Shares (31,280) (57)
Class C Shares (84,946) (223)
FUND SHARE TRANSACTIONS - (Note 4):
Class A Shares (38,472,700) (10,008,917)
Class B Shares (50,595) 27,156
Class C Shares 1,161,485 1,006,190
NET INCREASE (DECREASE) IN NET ASSETS (33,405,638) (22,971,867)
NET ASSETS:
Beginning of year 178,471,442 201,443,309
End of year $ 145,065,804 $ 178,471,442
See notes to financial statements.
Thornburg Limited Term Income Fund
Year Ended Year Ended
September 30, 1995 September 30, 1994
INCREASE (DECREASE) IN
NET ASSETS FROM:
OPERATIONS:
Net investment income $1,396,253 $1,194,266
Net realized loss on investments sold (372,541) (523,769)
Net realized loss on foreign currency
transactions (2,352) (37,039)
Unrealized appreciation
(depreciation) of investments 876,248 (677,462)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 1,897,608 (44,004)
DIVIDENDS TO SHAREHOLDERS:
From net investment income:
Class A Shares (1,365,616) (1,194,154)
Class B Shares (4,308) (6)
Class C Shares (26,329) (106)
From realized gains
Class A Shares -- (53,890)
FUND SHARE TRANSACTIONS - (Note 4):
Class A Shares 1,067,289 2,909,927
Class B Shares (14,656) 10,120
Class C Shares 954,119 53,645
NET INCREASE (DECREASE) IN NET ASSETS 2,508,107 1,681,532
NET ASSETS:
Beginning of year 21,746,854 20,065,322
End of year $24,254,961 $21,746,854
See notes to financial statements.
Note 1 - ORGANIZATION
Thornburg Limited Term U.S. Government Fund (the "Government Fund") and
Thornburg Limited Term Income Fund (the "Income Fund"), hereafter referred
to collectively as the "Funds", are a series of Thornburg Investment Trust
(the "Trust", formerly known as Thornburg Income 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
Trust is currently issuing four series of shares of beneficial interest in
addition to those of the Funds: Thornburg Florida Intermediate Municipal Fund,
Thornburg New Mexico Intermediate Municipal Fund,Thornburg Intermediate
Municipal Fund and Thornburg Value Fund. Each series is considered to be a
separate entity for financial reporting and tax purposes.
On September 1, 1994 the Funds began offering three classes of shares of
beneficial interest, Class A, Class B and Class C shares. All shares out=
standing prior to September 1, 1994 are considered Class A shares. On
September 28, 1995, all existing Class B shares were converted at net
asset value, without the imposition of a deferred sales charge, into Class A
shares of an equivalent value. The Fund no longer offers Class B shares.
Each class of shares of a Fund represents an interest in the same portfolio of
investments of the Fund, except that (i) Class A shares are sold subject to a
front-end sales charge collected at the time the shares are purchased
and bear a service fee, (ii) Class B shares were sold at net asset value
without a sales charge at the time of purchase, but were subject to a
contingent deferred sales charge upon redemption, and bore both a service fee
and a distribution fee, (iii) Class C shares are sold at net asset value
without a sales charge at the time of purchase, but are subject to a service
fee and a distribution fee, and (iv) the respective classes have different
reinvestment priviledges. Additionally, each Fund may allocate among its
classes certain expenses, to the extent allowable to specific classes,
including transfer agent fees, government registration fees, certain printing
and postage costs, and administrative and legal expenses. Currently, class
specific expenses of the Funds are limited to distribution fees and minor
custody and transfer agent expenses.
Note 2 - SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Funds are as follows:
Valuation of Investments: In determining net asset value, the Funds utilize
an independent pricing service approved by the Trustees. Debt investment
securities have a primary market over the counter and are valued on the basis
of valuations furnished by the pricing service. The pricing service values
portfolio securities at quoted bid prices or the yield equivalents when
quotations are not readily available. Securities for which quotations are
not readily available are valued at fair value as determined by the pricing
service using methods which include considerstion of yields or prices of
obligations of comparable quality, type of issue, coupon, maturity, and rating;
indications as to value from dealers and general market conditions.
The valuation procedures used by the pricing service and the portfolio
valuations received by the Funds are reviewed by the officers of the Funds
under the general supervision of the Trustees. Short-term instruments having
a maturity of 60 days or less are valued at amortized cost , which approx-
imate market value.
Federal Income Taxes: It is the policy of the Funds to comply with the
provisions of the Internal Revenue code applicable to "regulated investment
companies" and to distribute all of their taxable income, including any net
realized gain on investments to its shareholders. Therefore no provision
for federal income taxes is required.
When-Issued and Delayed Delivery Transactions: The Funds may engage in
when-issued or delayed delivery transactions. To the extent the Funds engag
e in such transactions, they will do so for the purpose of acquiring portfoli
o securities consistent with their investment objectives and not for the pur-
pose of investment leverage or to speculate on interest rate changes. At the
time the Funds make a commitment to purchase a security on a when-issued
basis, they will record the transaction and reflect the value in determining
their net asset value. When effecting such transactions, assets of the Funds
of an amount sufficient to make payment for the portfolio securities to be
purchased will be segregated on the Funds' records at the trade date.
Securities purchased on a when-issued or delayed delivery basis do not earn
interest until the settlement date.
Dividends: Net investment income of the Funds are declared daily as a
dividend on shares for which the Funds have received payment. Dividends are
paid monthly and are reinvested in additional shares of the Funds at net
asset value per share at the close of business on the dividend payment date, or
at the shareholder's option, paid in cash. Net capital gains, to the extent
available, will be distributed annually.
General: Securities transactions are accounted for on a trade date basis.
Interest income is accrued as earned. Premiums and original issue discounts
on securities purchased are amortized over the life of the respective
securities. Realized gains and losses from the sale of securities are
recorded on an identified cost basis. The Funds invest in various mortgage
backed securities. Such securities pay interest and a portion of principal
each month which is then available for investment in securities at pre-
vailing prices.
Foreign Currency Transactions: With respect to the Income Fund, portfolio
securities and other assets and liabilities denominated in foreign currencies
are translated into U.S. dollars based on the rate of exchange of such
currencies against U.S. dollars on the date of valuation. Purchases and
sales of portfolios securities and interest denominated in foreign currencies
are translated into U.S. dollar amounts on the respective dates of such
transactions.
The Fund does not isolate that portion of the results of operations resulting
from changes in foreign exchange rates on investments from the fluctuations
arising from changes in market prices of securities held. Such fluctuations
are included with the net realized and unrealized gain or loss from investments.
Reported net realized foreign exchange gains or losses arise from sales of
foreign currencies, currency gains or losses realized between the trade and
settlement dates on securities transactions and the difference between the
amount of interest recorded on the Fund's books, and the U.S. dollar
equivalent of the amounts actually received or paid.
Note 3 - INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to the investment advisory agreement, Thornburg Management Company,
Inc. (the "Adviser") provides investment management and advisory services to
the Funds for which fees are computed at the rate of one half of one percent
per annum of the average daily net assets of the Government Fund and five-
eighths of one percent per annum of the average daily net assets of the
Income Fund. The investment advisory agreement provides that if, with respect
to any fiscal year of each Fund, its total operating expenses (including
investment advisory fees, but excluding interest, taxes, and brokerage comm-
issions, extraordinary expenses) exceed the most restrictive of the expense
limitations imposed by state securities commissions of the states in which each
Fund currently has registered its securities for sale, the investment advisory
fees for that fiscal year will be reduced or the Adviser will assume certain
Fund expenses by the amount of such excess. For the Government Fund's year
ended September 30, 1995, the Adviser assumed certain operating expenses
amounting to $24,278. For the Income Fund's year ended September 30, 1995, the
Advisor voluntarily waived its advisory fee of $134,611 and assumed certain
operating expenses amounting to $29,130.
The Funds have underwriting agreements with Thornburg Securities Corporation
(the "Distributor"), which acts as the Distributor of Funds' shares. For the
year ended September 30, 1995, the Distributor earned commissions aggregating
$16,954 and $ 6,675 from the sale of Class A shares of the Government Fund
and Income Fund, respectively, and collected contingent deferred sales
charges aggregating $2,944 and $13 from redemptions of Class B shares of the
Government Fund and Income fund, respectively.
Pursuant to a Service Plan under Rule 12b-1 of the Investment Company Act of
1940, each Fund may reimburse to the Adviser an amount not to exceed .25 of
1% annum of its average net assets for payments made by the Adviser to
securities dealers and other financial institutions to obtain various share-
holder related services. The Adviser may pay out of its own funds additional
expenses for distribution of each Fund's shares.
Each fund has also adopted Distribution Plans pursuant to Rule 12b-1, applic-
able only to each Fund's Class B and Class C shares under which the Funds
can reimburse the Distributor for certain distribution expenses on a monthly
basis at an annual rate of up to .75% of the average daily net assets attribu-
table to Class B shares and compensate the Distributor for services in pro-
moting the sale of Class C shares of the Funds at an annual rate of up to
.75% of the average daily net assets attributable to Class C shares. Total fees
incurred by each class of shares of the Funds under their respective Service
and Distribution Plans for the year ended September 30, 1995, are set
forth in the statement of operations.
Certain officers and trustees of the Funds are also officers and/or directors
of the Adviser and Distributor.
Note 4 - SHARES OF BENEFICIAL INTEREST:
At September 30, 1995, there were an unlimited number of shares of beneficial
interest of each Fund authorized, and capital paid-in aggregated $148,842,244
and $ 24,653,077 for the Government Fund and Income Fund, respectively.
Transactions in shares of beneficial interest were as follows:
Government Fund
Year Ended Year Ended
September 30, 1995 September 30, 1994
Shares Amount Shares Amount
CLASS A SHARES:
Shares sold 1,186,499 $14,441,411 3,790,332 $47,722,324
Shares issued to
shareholders in reinvestment
of distributions 523,498 6,335,695 616,438 7,669,078
Shares repurchased (4,932,085) (59,249,806) (5,251,348) (65,400,319)
Net Increase (Decrease) (3,222,088)($38,472,700) (844,578)($10,008,917)
CLASS B SHARES:
Shares sold 82,523 $999,563 2,225 $27,114
Shares issued to
shareholders in reinvestment
of distributions 2,009 24,507 3 42
Shares repurchased (86,760) (1,074,665) -- --
Net Increase (Decrease) (2,228) ($50,595) 2,228 $27,156
CLASS C SHARES:
Shares sold 129,727 $1,582,257 83,170 $1,005,982
Shares issued to
shareholders in reinvestment
of distributions 6,662 81,356 17 208
Shares repurchased (41,515) (502,128) -- --
Net Increase 94,874 $1,161,485 83,187 $1,006,190
Income Fund
Year Ended Year Ended
September 30, 1995 September 30, 1994
Shares Amount Shares Amount
CLASS A SHARES:
Shares sold 440,567 $5,217,113 773,717 $9,448,331
Shares issued to
shareholders in reinvestment
of distributions 70,269 825,551 70,466 855,786
Shares repurchased (426,704) (4,975,375) (609,924) (7,394,190)
Net Increase (Decrease) 84,132 $1,067,289 234,259 $2,909,927
CLASS B SHARES:
Shares sold 17,217 $204,013 854 $10,114
Shares issued to
shareholders in reinvestment
of distributions 89 1,074 1 6
Shares repurchased (18,161) (219,743) --- ---
Net Increase (Decrease) (855) ($14,656) 855 $10,120
CLASS C SHARES:
Shares sold 92,716 $1,095,427 4,525 $53,627
Shares issued to
shareholders in reinvestment
of distributions 2,170 24,114 2 18
Shares repurchased (13,936) (165,422) --- ---
Net Increase 80,950 $954,119 4,527 $53,645
Note 5 - SECURITIES TRANSACTIONS
For the year ended September, 1995, portfolio purchase and sale transactions
(excluding short-term securities) were $42,858,309 and $76,920,344 for the
Government Fund and $10,726,431 and $9,090,109 for the Income Fund,
respectively.
The cost of investments for Federal income tax purposes is $140,219,280 and
$22,776,986 for the Government Fund and Income Fund, respectively. At
September 30, 1995, gross unrealized appreciation and depreciation of
investments, based on cost for Federal income taxes were as follows:
Government Fund Income Fund
Gross unrealized
appreciation $3,802,663 $632,863
Gross unrealized 45,608 66,481
depreciation
Net unrealized
appreciation $3,757,055 $566,382
Accumulated net realized losses from securities transactions included in net
assets at September 30, 1995 aggregated $7,553,432 and $964,990 for the
Government Fund and Income Fund, respectively.
For Federal income tax purposes, the Government Fund has capital loss
carryforwards of $7,549,978 as of September 30, 1995 available to offset
future realized capital gains. To the extent that such carryforwards are
used, no capital gains distributions will be made. The carryforwards expire
as follows: September 30, 1996- $14,003, September 30, 1997- $355,975,
September 30, 1998- $79,846, September 30, 1999- $14,742, September 30,
2001- $82,758, September 30, 2002- $4,590,434 and September 30, 2003-
$2,412,220.
For Federal income tax purposes, the Income Fund has capital loss
carryforwards of $964,990 as of September 30, 1995 available to offset
future realized capital gains. To the extent that such carryforwards are
used, no capital gains distributions will be made. The carryforwards expire
as follows: September 30, 2002- $590,097 and September 30, 2003- $374,893.
Thornburg Limited Term U. S. Government Fund
Per share operating performance
(for a share outstanding
throughout the period) 9 Mos. Year
Year Ended Ended Ended
September 30, Sept. 30 Dec. 31,
1995 1994 1993 1992 1991 1990
Class of Shares
A B** C A B* C* A A A A
Net asset value,
beginning of period
$12.03 $12.07 $12.08 $12.92 $12.21 $12.21 $12.83 $12.36$12.08 $12.04
Income from investment operations:
Net investment income
.75 .69 .69 .67 .06 .06 .73 .84 .71 .99
Net realized and unrealized
gain (loss) on investments
.37 .35 .37 (.89) (.14) (.13) .09 .47 .28 .04
Total from investment operations
1.12 1.04 1.06 (.22) (.08) (.07) .82 1.31 .99 1.03
Less distributions from:
Net investment income
(.75) (.69) (.69) (.67) (.06) (.06) (.73) (.84) (.71) (.99)
Change in net asset value
.37 .35 .37 (.89) (.14) (.13) .09 .47 .28 .04
Net asset value,
end of period
$12.40 $12.42 $12.45 $12.03 $12.07 $12.08 $12.92 $12.83$12.36 $12.08
Total return (a)
9.66% 9.19% 9.07%(1.72%)(.60%) (.50%) 6.61% 11.01% 8.41% 8.95%
Ratios/Supplemental Data
Ratios to average net assets:
Net investment income
6.23% 5.70% 5.68% 5.38%5.63%(b)5.45%(b) 5.61% 6.56% 7.70%(b)8.20%
Expenses, after expense reductions
.99% 1.51% 1.52% .95% 1.43%(b)1.63%(b) 1.01% 1.00% 1.00%(b)1.00%
Expenses, before expense reductions
.99% 3.79% 2.30% .95% 1.43%(b)1.63%(b) 1.01% 1.10% 1.20%(b)1.25%
Portfolio turnover rate
28.31% 28.31%28.31 80.58% 80.58% 80.58% 38.88%34.82%33.15% 69.42%
Net assets at end of period (000)
$142,849 $0 $2,217 $177,439 $27 $1,005 $201,44$126,095$49,876 $33,607
(a) Sales loads are not reflected in computing total return, which is not
annualized for periods less than one year.
(b) Annualized.
* Sales of Class B and Class C shares commenced on September 1, 1994.
** On September 28, 1995, all Class B shares were converted into Class A
shares.
Thornburg Limited Term Income Fund
Per share operating performance
(for a share outstanding
throughout the period)
Year Ended
September 30,
1995 1994 1993
Class of Shares A B** C A B* C* A
Net asset value,
beginning of period $11.83 $11.82 $11.78 $12.55 $11.92 $11.92 $12.22
Income from investment operations:
Net investment income .76 .72 .70 .67 .06 .06 .77
Net realized and unrealized
gain (loss) on investments .28 .28 .30 (.69) (.10) (.14) .33
Total from investment
operations 1.04 1.00 1.00 (.02) (.04) (.08) 1.10
Less distributions from:
Net investment income (.76) (.72) (.70) (.67) (.06) (.06) (.77)
Realized capital gain -- -- -- (.03) -- -- --
Change in net asset value .28 .28 .30 (.72) (.10) (.14) .33
Net asset value, end of period
$12.11 $12.10 $12.08 $11.83 $11.82 $11.78 $12.55
Total return (a) 9.22% 9.22% 8.87% (.14%) (.37%) (.72%) 9.35%
Ratios/Supplemental Data
Ratios to average net assets:
Net investment income 6.50% 5.96% 6.03% 5.51% 5.13%(b) 5.14%(b) 5.85%
Expenses, after expense
reductions .83% 1.40% 1.36% .66% 1.14%(b) 1.20%(b) .37%
Expenses, before expense
reductions 1.48%19.72% 4.75% 1.47% 1.14%(b) 1.20%(b) 2.10
Portfolio turnover rate 43.12 43.12% 43.12% 84.35% 84.35% 84.35% 93.88%
Net assets at
end of period (000) $23,222 $0 $1,032 $21,683 $10 $53 $20,065
(a) Sales loads are not reflected in computing total return, which is not
annualized for periods less than one year.
(b) Annualized.
* Sales of Class B and Class C shares commenced on September 1, 1994.
Thornburg Limited Term U. S. Government Fund
September 30, 1995 CUSIPS: Class A - 885-215-103, Class C - 885-215-830
NASDAQ Symbols: Class A - LTUSX
PRINCIPAL ISSUE NAME VALUE
U.S. Government Agencies (59%) (Cost $82,358,513)
$1,207,012 Bear Stearns Secured Investors Trust, Collateralized
Mortgage Oblig. Series 1, Class D, 9.00% due 6/1/17 $1,226,239
1,077,579 Collateralized Mortgage Security Corp. Series 1989-2,
Class F, 9.30% due 2/25/19 1,106,199
988,556 Collateralized Mortgage Security Corp. Series 1990-5,
Class E, 9.25% due 9/20/98 999,984
92,934 Federal Home Loan Mortgage Corporation, Pool# M30002,
9.00% due 11/1/05 96,187
810,227 Federal Home Loan Mortgage Corporation, Collateralized
Mortgage Obligation Series 124, Class A, 8.50%
due 3/15/97 826,432
1,269,383 Federal Home Loan Mortgage Corporation, Collateralized
Mortgage Obligation Series 150, Class E, 9.00%
due 1/15/06 1,269,383
4,100,000 Federal Home Loan Mortgage Corporation, Collateralized
Mortgage Obligation Series 1143, Class VC, 7.50%
due 9/15/00 4,178,146
5,000,000 Federal Home Loan Mortgage Corporation, Collateralized
Mortgage Obligation Series 1216, Class E, 7.00%
due 3/15/05 5,046,850
569,996 Federal Home Loan Mortgage Corporation, Collateralized
Mortgage Obligation Series 1311, Class E, 7.50%
due 8/15/16 571,420
2,000,000 Federal Home Loan Mortgage Corporation, Collateralized
Mortgage Obligation Series 1330, Class E, 7.00%
due 9/15/99 2,021,240
2,103,541 Federal Home Loan Mortgage Corporation, Pool #E00107,
8.00% due 7/1/07 2,162,041
2,000,000 Federal Farm Credit Bank Medium Term Note, 7.95%
due 1/2/98 2,079,900
1,600,000 Federal Home Loan Bank, 8.25% due 9/25/96 1,636,992
7,000,000 Federal Home Loan Bank, Consolidated Bonds, 4.30%
due 6/30/97 6,799,100
2,100,000 Federal Home Loan Bank Board, 7.11% due 8/19/99 2,166,927
1,233,977 Federal Home Loan Mortgage Corporation, Pool# 141016,
9.25% due 11/1/16 1,297,897
265,943 Federal Home Loan Mortgage Corporation, Pool# 180367,
10.00% due 11/1/10 287,824
704,996 Federal Home Loan Mortgage Corporation, Pool# 181730,
8.50% due 5/1/08 728,903
1,792,775 Federal Home Loan Mortgage Corporation, Collateralized
Mortgage Obligation Series 59, Class D, 9.70%
due 1/15/16 1,833,112
413,627 Federal Home Loan Mortgage Corporation, Pool# 160043,
8.75% due 4/1/08 429,899
1,018,070 Federal Home Loan Mortgage Corporation, Pool# 200075,
9.00% due 9/1/04 1,056,563
276,931 Federal Home Loan Mortgage Corporation, Pool# 250714,
9.75% due 5/1/10 293,145
140,305 Federal Home Loan Mortgage Corporation, Pool# 250936,
10.50% due 8/1/99 146,093
296,785 Federal Home Loan Mortgage Corporation, Pool# 252986,
10.75% due 4/1/10 325,713
115,776 Federal Home Loan Mortgage Corporation, Pool# 256111,
10.75% due 8/1/00 120,736
483,748 Federal Home Loan Mortgage Corporation, Pool# 256764,
8.75% due 10/1/14 502,174
515,415 Federal Home Loan Mortgage Corporation, Pool# 213924,
9.00% due 10/1/01 534,902
1,135,451 Federal Home Loan Mortgage Corporation, Pool# 216502,
8.00% due 4/1/02 1,159,931
362,646 Federal Home Loan Mortgage Corporation, Pool# 260486,
9.00% due 1/1/10 381,021
250,192 Federal Home Loan Mortgage Corporation, Pool# 770297,
6.625% due 6/1/18 (Adjustable Rate Mortgage) 248,543
51,506 Federal Home Loan Mortgage Corporation, Pool# 220001,
10.75% due 7/1/00 56,013
469,529 Federal Home Loan Mortgage Corporation, Pool# 220010,
8.75% due 8/1/01 483,028
133,430 Federal Home Loan Mortgage Corporation, Pool# 272107,
10.00% due 5/1/16 144,450
354,419 Federal Home Loan Mortgage Corporation, Pool# 276638,
9.25% due 8/1/16 373,575
443,813 Federal Home Loan Mortgage Corporation, Pool# 279611,
9.25% due 10/1/16 467,806
146,078 Federal Home Loan Mortgage Corporation, Pool# 431035,
11.50% due 7/1/10 160,829
279,037 Federal Home Loan Mortgage Corporation, Pool# 294817,
9.75% due 1/1/17 295,205
179,271 Federal Home Loan Mortgage Corporation, Pool# 298107,
10.25% due 8/1/17 193,498
289,937 Federal Home Loan Mortgage Corporation, Pool# 500166,
12.00% due 9/1/00 303,347
919,540 Federal National Mortgage Association, Collateralized
Mortgage Obligation Series 133, Class JB, 8.00%
due 3/25/98 924,993
750,000 Federal National Mortgage Association, Collateralized
Mortgage Obligation Series 92-33, Class F, 5.70%
due 3/25/22 721,403
1,400,000 Federal National Mortgage Association, Collateralized
Mortgage Obligation Series 92-60, Class C, 7.50%
due 4/25/99 1,440,684
1,000,000 Federal National Mortgage Association, Collateralized
Mortgage Obligation Series 62, Class E, 7.00%
due 5/25/99 1,010,620
998,000 Federal National Mortgage Association, Collateralized
Mortgage Obligation Series 134, Class M, 6.00%
due 3/25/20 989,577
1,900,000 Federal National Mortgage Association, Collateralized
Mortgage Obligation Series 1993-12, Class EC, 7.50%
due 9/25/01 1,949,267
81,290 Federal National Mortgage Association, Pool# 02473,
10.50% due 1/1/01 85,404
1,414,927 Federal National Mortgage Association, Pool# 08307,
8.00% due 5/1/08 1,467,987
173,858 Federal National Mortgage Association, Pool# 10294,
8.50% due 9/1/07 179,498
30,851 Federal National Mortgage Association, Pool# 16072,
11.50% due 5/1/00 32,827
305,941 Federal National Mortgage Association, Pool# 19535,
10.25% due 7/1/08 331,759
734,223 Federal National Mortgage Association, Collateralized
Mortgage Obligation Series 1989-2, Class C, 8.80%
due 4/25/17 740,647
314,654 Federal National Mortgage Association, Collateralized
Mortgage Obligation Series 1989-37, Class E, 8.00%
due 1/25/18 315,145
2,365,662 Federal National Mortgage Association, Pool# 33356,
9.25% due 8/1/16 2,497,240
146,455 Federal National Mortgage Association, Pool# 38493,
8.75% due 10/1/08 153,479
213,023 Federal National Mortgage Association, Pool# 40526,
9.25% due 1/1/17 225,425
110,140 Federal National Mortgage Association, Pool# 50409,
9.00% due 2/1/98 112,790
695,742 Federal National Mortgage Association, Pool# 58816,
9.25% due 12/1/02 728,741
1,231,134 Federal National Mortgage Association, Pool# 64011,
9.25% due 7/1/03 1,289,527
5,000,000 Federal National Mortgage Association, Pool# 73040,
7.625% due 9/1/01 5,218,750
1,055,757 Federal National Mortgage Association, Pool# 76388,
9.25% due 9/1/18 1,110,773
343,946 Federal National Mortgage Association, Pool# 77725,
9.75% due 10/1/18 366,898
112,364 Federal National Mortgage Association, Pool# 95347,
9.50% due 5/1/97 115,173
375,000 Federal National Mortgage Association, Medium Term Note,
6.05% due 6/30/03 367,954
883,596 Federal National Mortgage Association, Pool# 112067,
9.50% due 10/1/16 942,426
2,552,137 Federal National Mortgage Association, Pool# 156156,
8.50% due 4/1/21 2,667,059
443,105 Federal Home Loan Mortgage Corporation, Pool# D06907,
9.00% due 4/1/17 467,108
342,511 Federal Home Loan Mortgage Corporation, Pool# D06908,
9.50% due 9/1/17 363,548
187,975 Government National Mortgage Association, GNMA II
Pool# 862, 9.00% due 10/20/02 194,613
65,014 Government National Mortgage Association, GNMA II
Pool# 956, 10.00% due 3/20/03 67,350
84,136 Government National Mortgage Association, GNMA II
Pool# 1228, 10.00% due 7/20/04 87,159
215,012 Government National Mortgage Association, GNMA II
Pool# 1408, 9.50% due 5/20/05 222,537
1,715,514 Government National Mortgage Association, Pool# 362865,
8.00% due 7/15/03 1,758,402
1,047,448 Government National Mortgage Association, Pool# 19832,
Project Loan, 8.25% due 7/15/05 1,074,284
132,203 Government National Mortgage Association, Pool# 35861,
10.875% due 2/15/10 146,839
149,062 Government National Mortgage Association, GNMA II
Pool# 112262, 11.50% due 2/20/99 155,630
47,443 Government National Mortgage Association, Pool# 161848,
9.00% due 8/15/01 49,830
309,688 Government National Mortgage Association, Pool# 276712,
11.00% due 3/15/00 326,430
512,236 Government National Mortgage Association, Pool# 296697,
9.50% due 10/15/05 532,725
711,650 Government National Mortgage Association, Pool# 306636,
8.25% due 12/15/06 727,662
226,573 Small Business Administration Series 1988-10B, 9.80%
due 6/01/98 240,471
800,000 Tennessee Valley Authority, 8.375% due 10/01/99 860,752
1,000,000 Tennessee Valley Authority, 7.45% due 10/15/01 1,031,030
4,000,000 Tennessee Valley Authority, 6.00% due 1/15/97 3,991,880
2,180,000 Tennessee Valley Authority, 4.375% due 3/04/96 2,168,424
Total U.S. Government Agencies $84,463,967
United States Treasury (41%) (Cost $57,840,830)
1,500,000 United States Treasury Notes, 7.875% due 4/15/98 1,568,910
5,000,000 United States Treasury Notes, 8.25% due 7/15/98 5,294,550
1,000,000 United States Treasury Notes, 7.875% due 7/31/96 1,016,720
1,000,000 United States Treasury Notes, 7.50% sue 11/15/01 1,070,940
4,600,000 United States Treasury Notes, 6.375% due 1/15/99 4,654,602
1,000,000 United States Treasury Notes, 6.375% due 8/15/02 1,014,840
4,600,000 United States Treasury Notes, 6.875% due 7/31/99 4,736,574
24,250,000 United States Treasury Notes, 6.875% due 8/31/99 24,973,620
1,500,000 United States Treasury Notes, 7.50% due 10/31/99 1,579,455
1,300,000 United States Treasury Notes, 7.75% due 1/31/00 1,384,097
6,400,000 United States Treasury Notes, 8.875% due 2/15/99 6,958,976
1,300,000 United States Treasury Notes, 8.00% due 1/15/97 1,334,736
1,800,000 United States Treasury Notes, 8.50% due 7/15/97 1,879,038
1,000,000 United States Treasury Notes, 8.50% due 11/15/95 1,003,120
1,000,000 United States Treasury Notes, 7.875% due 1/15/98 1,042,190
Total United States Treasury $59,512,368
TOTAL INVESTMENTS (100%) (Cost $140,199,343) $143,976,335
See notes to financial statements.
Thornburg Limited Term Income Fund
September 30, 1995 CUSIPS: Class A - 885-215-509, Class C - 885-215-764
NASDAQ Symbols: Class A - THIFX
PRINCIPAL ISSUE RATINGS VALUE
U.S. GOVERNMENT SECURITIES (9.3%) (Cost $2,067,938)
$750,000 United States Treasury Notes, 8.00% due 5/15/01 Aaa/AAA $818,318
500,000 United States Treasury Notes, 6.375% due 1/15/99 Aaa/AAA 505,935
600,000 United States Treasury Notes, 4.75% due 10/31/98 Aaa/AAA 580,032
250,000 United States Treasury Notes, 6.875% due 8/31/99 Aaa/AAA 257,460
Total U. S. Government Securities $2,161,745
U.S. GOVERNMENTAL AGENCIES (27.8%) (Cost $6,381,497)
450,000 Federal Home Loan Mortgage Corp., CMO Series 1019
Class E, 8.75% due 7/15/20 Aaa/AAA 466,731
100,000 Federal Home Loan Mortgage Corp., CMO Series 1060
Class F, 7.25% due 2/15/01 Aaa/AAA 100,875
500,000 Federal Home Loan Mortgage Corp., CMO Series 1208
Class D, 5.86% due 2/15/22 Aaa/AAA 486,405
500,000 Federal Home Loan Mortgage Corp., CMO Series 1327 E,
7.50% due 7/15/07 Aaa/AAA 512,500
500,000 Federal Home Loan Bank Board, 8.65% due 12/28/01 Aaa/AAA 503,595
900,000 Federal Home Loan Bank Board, 7.11% due 8/19/99 Aaa/AAA 928,683
132,124 Federal Home Loan Mortgage Corp., Pool #141540,
9.00% due 5/1/09 Aaa/AAA 138,819
193,898 Federal Home Loan Mortgage Corp., CMO Series 37 C,
9.00% due 4/15/20 Aaa/AAA 198,079
206,659 Federal Home Loan Mortgage Corp., Pool #216639,
8.25% due 4/1/02 Aaa/AAA 211,425
49,103 Federal Home Loan Mortgage Corp., Pool #220005,
8.75% due 4/1/01 Aaa/AAA 50,514
11,315 Federal Home Loan Mortgage Corp., Pool #296006,
8.00% due 6/1/17 Aaa/AAA 11,562
235,893 Federal Home Loan Mortgage Corp., Pool #503253,
9.50% due 7/1/05 Aaa/AAA 246,433
913,799 Federal Home Loan Mortgage Corp., Pool #850082,
9.00% due 10/1/05 Aaa/AAA 948,350
180,654 Federal National Mortgage Association, CMO
Series 91-69 G, 7.50% due 6/25/19 Aaa/AAA 181,217
870,000 Federal National Mortgage Association, CMO
Series 92-60 C, 7.50% due 4/25/99 Aaa/AAA 895,282
350,000 Federal National Mortgage Association, CMO
Series 92-150 G, 6.75% due 9/25/18 Aaa/AAA 350,763
85,046 Federal National Mortgage Association, Pool #1768,
8.00% due 10/1/06 Aaa/AAA 87,516
35,392 Federal National Mortgage Association, Pool #103348,
9.00% due 10/1/97 Aaa/AAA 36,244
126,976 Government National Mortgage Association, Pool #305541,
9.00% due 5/15/03 Aaa/AAA 131,420
Total U. S. Government Agencies $6,486,413
MORTGAGE BACKED SECURITIES (2.3%) (Cost $543,187)
59,603 Collateralized Mortgage Obligation Trust, Series 56 B,
9.985% due 1/1/19 Aaa/AAA 63,756
500,000 GE Capital Mortgage Services, Series 92-13 G2,
7.00% due 1/1/08 Aaa/AAA 478,204
Total Mortgage Backed Securities $541,960
CORPORATE BONDS (11.4%) (Cost $2,652,265)
FINANCE
200,000 General Motors Acceptance Corporation,
8.625% due 7/15/96 A3/A- 203,384
INDUSTRIALS
50,000 RJR Nabisco Incorporated, 8.75% due 4/15/04 Baa3/BBB- 50,608
REAL ESTATE
345,000 Equitable Lord Realty Corporation, 10.50% due 12/30/97
(Debt assumed by Equitable Life) A2/AA- 367,425
1,000,000 Fisher Brothers Realty Euronotes, 10.75%
due 12/17/00 NR/BBB 1,048,750
RETAIL
1,000,000 Tyson Foods Incorporated, 6.75% due 6/1/05 A3/A- 991,850
Total Corporate Bonds $2,662,017
TAXABLE MUNICIPAL BONDS (29.5%)(Cost $ 6,722,140)
375,000 Baltimore Economic Development Authority, 8.50%
due 8/1/02 (Arcade LP Project) A/BBB+ 394,687
120,000 Beaumont Housing Multifamily Mortgage Series 1995B,
7.50% due 6/15/00 (LOC:FHA) Aaa/NR 119,550
905,000 Cook County Township High School District # 205
Series 1995-B, 8.30% due 12/1/97 (Insured: FGIC) Aaa/AAA 942,938
500,000 Gardena Financing Agency Lease, 6.50% due 7/1/98
(Muni. Mutual Insurance Project) NR/BBB 475,625
845,000 Idaho Housing Multifamily Housing Revenue Series
94-B, 8.15% due 7/1/04 A/NR 898,565
100,000 Kiryas Joel Village, New York General Obligation
Series B, 8.50% due 1/1/00 Baa/NR 104,860
1,000,000 Los Angeles County Pension Obligation, 8.30%
due 6/30/02 Baa1/BBB+ 1,074,550
650,000 Louisiana Public Facilities Authority Revenue
Refunding Series 1993, 7.00% due 10/1/99
(Schwegman Westside Expressway Project) NR/NR 650,000
300,000 Massachusetts Industrial Financing Authority Resource
Recovery Revenue Refunding, 6.95% due 7/1/99
(Insured: FSA) Aaa/AAA 304,392
305,000 New Jersey Economic Development Authority Series B,
7.10% due 9/15/02 A1/A+ 311,009
50,000 New Jersey State Housing & Mortgage Financing Agency
Series E, 7.40% due 11/1/98 NR/A+ 50,888
95,000 New Jersey State Housing & Mortgage Financing Agency
Series E, 7.95% due 11/1/00 NR/A+ 99,210
6,700,000 New Orleans Home Mortgage Authority Single Family
Mortgage Revenue Refunding Series 1994-A, 0%
due 10/1/15 (Insured: MBIA) Aaa/AAA 1,079,303
100,000 New York City Series D, 10.00% due 8/1/05 Baa1/BBB+ 113,638
50,000 Tucson & Pima County IDA SFMR Series A, 7.00%
due 12/1/03 A1/NR 48,687
200,000 University of Southern California Revenue,
9.35% due 10/1/00 Aa/AA 212,270
Total Taxable Municipal Bonds $6,880,172
FOREIGN SECURITIES (19.7%) (Cost $ 4,409,959)
2,000,000 British Columbia Province, 9.00% due 6/21/04 Aa1/AA+1,591,026
2,700,000 Canadian Government Treasury Note, 7.75% due 9/1/99 Aa1/NR2,041,922
1,572,000 New Zealand Government, 6.50% due 2/15/00 Aaa/NR 978,113
Total Foreign Securities $4,611,061
Total Investments (100%) (Cost $22,776,986) $23,343,368
Credit ratings are unaudited.
See notes to financial statements.
To the Board of Trustees and Shareholders
Thornburg Investment Trust
Santa Fe, New Mexico
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of Thornburg Limited Term U.S. Government Fund
and Thornburg Limited Term Income fund, series of Thornburg Investment Trust
as of September 30, 1995, the related statement of operations, the statements
of changes in net assets, and financial highlights for the periods indicated.
These financial statements and financial highlights are the responsibility of
the Fund's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and finan-
cial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements. Our procedures included confirmation of
securities owned as of September 30, 1995 by correspondence with the custodian
and brokers. An audit also includes assessing the accounting principles used
and significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
Thornburg Limited Term U.S. Government Fund and Thornburg Limited Term Income
Fund as of September 30, 1995, the results of its operations, the changes in
its net assets and the financial highlights for the periods indicated, in
conformity with generally accepted accounting principles.
/s/ McGaldrey & Pullen
New York, New York
October 27, 1995
