Semi-Annual Report for Thornburg Limited Term Income Funds
CONTENTS
Letter to Shareholders 4
Thornburg Limited Term U.S. Government Fund
Statement of Assets and Liabilities 6
Statement of Operations 7
Statement of Changes in Net Assets 8
Notes to Financial Statements 10
Financial Highlights 16
Portfolio/Schedule of Investments 20
Thornburg Limited Term Income Fund
Statement of Assets and Liabilities 6
Statement of Operations 7
Statement of Changes in Net Assets 8
Notes to Financial Statements 10
Financial Highlights 18
Portfolio/Schedule of Investments 23
Thornburg Limited Term Income Funds
A Shares C Shares
SEC Yield 6.29% 6.05%
NAV $12.05 $12.02
Max. Offering Price $12.36 $12.02
1 Year 7.75% 10.03%
3 Year 4.61% NA
Since Inception 5.20% 6.67%
(Inception Date) (10/1/92) (9/1/94)
A Shares C Shares
SEC Yield 6.09% 5.79%
NAV $12.35 $12.41
Max. Offering Price $12.67 $12.41
1 Year 5.98% 8.29%
5 Year 6.25% NA
Since Inception 7.13% 6.98%
(Inception Date) (11/16/87) (9/1/94)
**Shares are not guaranteed by the U.S. Government.
The investment return and principal value of an investment
in the funds will fluctuate so that, when redeemed, an
investor's shares may be worth more or less than their
original cost. Maximum sales charge of the Funds' Class A
shares is 2.50%.
The data quoted represent past performance and may not be
construed as a guarantee of future results.
119 East Marcy Street, Santa Fe, New Mexico 87501 l (505) 984-0200
Dear Fellow Shareholder:
We are pleased to present the Semi-Annual Reports for the Thornburg Limited Term
U.S. Government Fund and for the Thornburg Limited Term Income Fund for the six
months ended March 31, 1996. If you owned the Thornburg Limited Term U.S.
Government Fund A Shares for the entire period, you received income dividends of
38 cents per share. If you owned C Shares, you received income dividends of 35
cents per share. If you owned the Thornburg Limited Term Income Fund A Shares
for the entire period, you received income dividends of 38 cents per share. If
you owned C Shares, you received income dividends of 36 cents per share.
The last six months have continued a period of change and volatility in the bond
markets. Long term interest rates, after falling steadily through 1995, have
risen since the middle of February. Now they are higher than they were last fall
and are near the levels of a year ago. Signs of commodity prices increasing and
continued growth in jobs and the economy have put the slow growth, low inflation
scenario, so recently favored by the economists, out of favor.
Prices of bonds have changed with the changes in interest rates. The graph below
shows the change in price over the last 6 months of the Thornburg Limited Term
U.S. Government Fund and the Thornburg Limited Term Income Fund with the change
in price of the 5-year U.S. Treasury 6.25% Note due August 2000. As you can see,
the price volatility of the funds has been less than that of the U.S.
Treasury Note.
These funds are managed bond portfolios. We ladder the maturities of the bonds
in the portfolios so that some bonds are maturing at par during each of the next
ten years or so. The average weighted maturity of the Thornburg Limited Term
U.S. Government Fund is currently 3.8 years and the average weighted maturity of
the Thornburg Limited Term Income Fund is currently 4.7 years. We always keep
them below 5 years.
Over the years, our practice of laddering a diversified portfolio of short and
intermediate bonds has given these funds the ability to perform well in a
variety of interest rate environments. Take a 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. While past
performance is no guarantee of future results, we feel that we are well
positioned and will maintain a steady course.
We feel the Thornburg Limited Term U.S. Government Fund and the Thornburg
Limited Term Income Fund are appropriate investments over time. Thank you for
investing in our funds.
Sincerely,
Steven J. Bohlin
Managing Director
s t a t e m e n t s o f a s s e t s a n d l i a b i l i t i e s
Thornburg Investment Trust Limited Term Limited Term
March 31, 1996 (unaudited) U. S. Government Income
Fund Fund
ASSETS
Investments at value (cost $139,744,796 and
$25,117,040, respectively) $142,775,286 $25,448,052
Cash 98,216 104,115
Receivable for fund shares sold 188,558 87,318
Interest receivable 1,462,420 472,046
Principal receivable 182,836 28,330
Prepaid expenses and other assets 7,734 26,018
TOTAL ASSETS 144,715,050 26,165,879
LIABILITIES
Payable for investment adviser 59,762 1,949
Payable for fund shares redeemed 136,462 88,552
Accounts payable and accrued expenses 83,570 35,191
Dividends payable 231,915 66,678
TOTAL LIABILITIES 511,709 192,370
NET ASSETS $144,203,341 $25,973,509
NET ASSET VALUE:
Class A Shares:
Net asset value and redemption price per $12.35 $12.05
($141,405,046 and $23,817,798 applicable to 11,445,540 and 1,976,255
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 $12.67 $12.36
Class C Shares:
Net asset value and offering price per share* $12.41 $12.02
($2,798,295 and $2,155,711 applicable to 225,501 and 179,308
shares of beneficial interest outstanding)
* Redemption price per share is equal to net asset value less any applicable
contingent deferred sales charge.
See notes to financial statements.
s t a t e m e n t s o f o p e r a t i o n s
Thornburg Investment Trust
Six Month Period Ended March 31, 1996 (unaudited)
INVESTMENT INCOME:
Interest income
(net of premium amortized of $246,056 and
$49,526, respectively) ......................... $ 5,104,760 $ 899,032
EXPENSES:
Investment advisory fees (Note 3) ................ 363,118 78,261
Distribution and service fees (Note 3)
Class A Shares ................................. 178,599 29,493
Class C Shares ................................. 5,920 3,622
Transfer agent fees .............................. 77,925 24,110
Custodian fees ................................... 44,215 23,655
Registration and filing fees ..................... 17,770 11,723
Professional 15,700 5,626
Accounting fees .................................. 8,540 1,717
Other expenses ................................... 29,757 6,931
TOTAL EXPENSES ......................... 741,544 185,138
Less:
Investment advisory fees deferred by
investment adviser (Note 3) ............ (5,920) (56,948)
Expenses assumed by investment adviser (Note 3) (7,026) (11,786)
728,598 116,404
NET EXPENSES
NET INVESTMENT INCOME .................. 4,376,162 782,628
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on investments sold ............ 265,887 43,309
Net realized gain on foreign currency transactions -- 40,890
Decrease in unrealized appreciation of investments (746,502) (235,669)
NET REALIZED AND UNREALIZED
LOSS ON INVESTMENTS ................. (480,615) (151,470)
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS ........... $3,895,547 $631,158
See notes to financial statements.
s t a t e m e n t s o f c h a n g e s i n n e t a s s e t s
Thornburg Limited Term U. S. Government Fund
(unaudited)
Six Month
Period Ended .......Year Ended
March 31, 1996 September 30,1996
INCREASE (DECREASE) IN
NET ASSETS FROM:
OPERATIONS:
Net investment income ............................ $4,376,162 $9,438,386
Net realized gain (loss) on investments sold ..........265,887 (2,412,220)
Increase (Decrease) in unrealized
appreciation of investments ...................(746,502) 6,368,392
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS ....................3,895,547 13,394,558
DIVIDENDS TO SHAREHOLDERS:
From net investment income
Class A Shares ..................................(4,309,523) (9,322,160)
Class B Shares ................................... -- (31,280)
Class C Shares .....................................(66,639) (84,946)
FUND SHARE TRANSACTIONS - (Note 4):
Class A Shares ....................................(975,886) (38,472,700)
Class B Shares ....................................... -- (50,595)
Class C Shares ......................................594,038 1,161,485
NET DECREASE IN NET ASSETS ...........................(862,463) (33,405,638)
NET ASSETS:
Beginning of period ...........................145,065,804 178,471,442
End of period .............................. $144,203,341 $145,065,804
See notes to financial statements.
s t a t e m e n t s o f c h a n g e s i n n e t a s s e t s (continued)
Thornburg Limited Term Income Fund
(unaudited)
Six Month
Period Ended Year Ended
March 31, 1996September 30, 1995
INCREASE (DECREASE) IN
NET ASSETS FROM:
OPERATIONS:
Net investment income ..............................$ 782,628 $ 1,396,253
Net realized gain(loss) on investments sold .............43,309 (372,541)
Net realized gain (loss) on foreign currency transactions40,890 (2,352)
Increase (Decrease) in unrealized
appreciation of investments ................... (235,669) 876,248
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS .......................631,158 1,897,608
DIVIDENDS TO SHAREHOLDERS:
From net investment income:
Class A Shares .....................................(740,055) (1,365,616)
Class B Shares .........................................-- (4,308)
Class C Shares ......................................(42,573) (26,329)
FUND SHARE TRANSACTIONS - (Note 4):
Class A Shares .......................................725,011 1,067,289
Class B Shares .........................................-- (14,656)
Class C Shares .....................................1,145,007 954,119
NET INCREASE IN NET ASSETS ............................1,718,548 2,508,107
NET ASSETS:
Beginning of period ............................ 24,254,961 21,746,854
End of period .................................$ 25,973,509 $ 24,254,961
See notes to financial statements.
n o t e s t o f i n a n c i a l s t a t e m e n t s
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 New Mexico Intermediate Municipal Fund, Thornburg Intermediate
Municipal Fund, Thornburg Florida 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 outstanding
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, effective
October 2, 1995, are subject to a contingent deferred sales charge upon
redemption within one year, and bear both a service fee and a distribution fee,
and (iv) the respective classes have different reinvestment privileges.
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 consideration 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 approximate 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 engage in
such transactions, they will do so for the purpose of acquiring portfolio
securities consistent with their investment objectives and not for the purpose
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 is 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 prevailing 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.
Use of Estimates: The preparation of financial statements, in conformity with
generally accepted accounting principles, requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates.
Thornburg Investment Trust
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, brokerage commissions, and 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 period ended March 31, 1996,
the Adviser voluntarily deferred advisory fees of $5,920 and assumed certain
operating expenses amounting to $7,026. For the Income Fund's period ended March
31, 1996, the Adviser voluntarily deferred advisory fees of $56,948 and assumed
certain operating expenses amounting to $11,786. These expenses may be repaid to
the Adviser by the Fund, however such repayment will depend upon the overall
level of Fund expenses for the entire fiscal year ending September 30, 1996.
The Funds have underwriting agreements with Thornburg Securities Corporation
(the "Distributor"), which acts as the Distributor of Funds' shares. For the
period ended March 31, 1996, the Distributor earned commissions aggregating
$16,795 and $5,857 from the sale of Class A shares of the Government Fund and
Income Fund, respectively, and collected contingent deferred sales charges
aggregating $199 from redemptions of Class C shares of the Income Fund.
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 shareholder 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, applicable
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 attributable to
Class B shares and compensate the Distributor for services in promoting 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 period ended March 31, 1996 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. The compensation of unaffiliated directors of the
Fund is borne by the Fund.
Note 4 - SHARES OF BENEFICIAL INTEREST:
At March 31, 1996, there were an unlimited number of shares of beneficial
interest of each Fund authorized, and capital paid-in aggregated $148,460,396
and $26,523,094 for the Government Fund and Income Fund, respectively.
Transactions in shares of beneficial interest were as follows:
Government Fund
Six Month Period Ended Year Ended
March 31, 1996 September 30, 1995
Shares Amount Shares Amount
CLASS A SHARES:
Shares sold ............948,158 $ 11,818,509 1,186,499 $ 14,441,411
Shares issued to shareholders
in reinvestment of
distributions ...229,832 2,866,225 523,498 6,335,695
Shares repurchased ..(1,254,536) (15,660,620) (4,932,085) (59,249,806)
Net Decrease ...........(76,546) ($ 975,886) (3,222,088) ($38,472,700)
CLASS B SHARES:
Shares sold -- -- $ 82,523 $ 999,563
Shares issued to shareholders
in reinvestment of
distributions ......-- -- 2,009 24,507
Shares repurchased ....... -- -- (86,760) (1,074,665)
Net Decrease ............. -- -- (2,228) ($ 50,595)
CLASS C SHARES:
Shares sold ..............60,977 $ 763,071 129,727 $ 1,582,257
Shares issued to shareholders
in reinvestment of
distributions ......4,848 60,707 6,662 81,356
Shares repurchased .....(18,384) (229,740) (41,515) (502,128)
Net Increase .............47,441 $ 594,038 94,874 $ 1,161,485
Note 4 - SHARES OF BENEFICIAL INTEREST (continued):
Income Fund
Six Month Period Ended Year Ended
March 31, 1996 September 30, 1995
Shares Amount Shares Amount
CLASS A SHARES:
Shares sold ............. 231,609 $ 2,829,683 440,567 $ 5,217,113
Shares issued to shareholders
in reinvestment of
distributions .......35,274 430,686 70,269 825,551
Shares repurchased .......(208,201) (2,535,358) (426,704) (4,975,375)
Net Increase ...............58,682 $ 725,011 84,132 $ 1,067,289
CLASS B SHARES:
Shares sold ..................-- -- 17,217 $ 204,013
Shares issued to shareholders
in reinvestment of
distributions ........ -- -- 89 1,074
Shares repurchased ......... -- -- (18,161) (219,743)
Net Decrease ................ -- -- (855) ($ 14,656)
CLASS C SHARES:
Shares sold ................99,921 $ 1,219,225 92,716 $ 1,095,427
Shares issued to shareholders
in reinvestment of
distributions ...... 3,190 38,785 2,170 24,114
Shares repurchased .........(9,279) (113,003) (13,936) (165,422)
Net Increase ...............93,832 $ 1,145,007 80,950 $ 954,119
Note 5 - SECURITIES TRANSACTIONS
For the period ended March 31, 1996, portfolio purchase and sale transactions
(excluding short-term securities) were $22,904,063 and $23,626,763 for the
Government Fund and $9,536,215 and $7,501,896 for the Income Fund, respectively.
The cost of investments for Federal income tax purposes is $139,764,733 and
$25,117,040 for the Government Fund and Income Fund, respectively. At March 31,
1996, gross unrealized appreciation and depreciation of investments, based on
cost for Federal income taxes were as follows:
Government Fund Income Fund
Gross unrealized
appreciation $3,466,604 $516,619
Gross unrealized
depreciation (456,051) (185,607)
Net unrealized
appreciation $3,010,553 $331,012
Accumulated net realized losses from securities transactions included
in net assets at March 31, 1996 aggregated $7,287,545 and $921,681 for the
Government Fund and Income Fund, respectively.
For Federal income tax purposes, the Government Fund has capital loss carry
forwards 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.
f i n a n c i a l h i g h l i g h t s
Thornburg Limited Term U. S. Government Fund
Per share operating performance
(for a share outstanding
throughout the period)Six Month 9 Mos. Year
Period Year Ended Ended Ended
March 31, September 30, Sept. 30, Dec. 31,
1996 1995 1994 1993 1992 1991 1990
Class of Shares ......... A A A A A A A
NAV, beginning of period $12.40 $12.03 $12.92 $12.83 $12.36 $12.08 $12.04
Income from investment OPS:
Net investment income ... .38 .75 .67 .73 .84 .71 .99
Net realized and unrealized
gain (loss) on invest. (.05) .37 (.89) .09 .47 .28 .04
Total from investment ops. .33 1.12 (.22) .82 1.31 .99 1.03
Less distributions from:
Net investment income .(.38) (.75) (.67) (.73) (.84) (.71) (.99)
Change in net asset value .(.05) .37 (.89) .09 .47 .28 .04
Nav, end of period ......$12.35 $12.40 $12.03 $12.92 $12.83 $12.36 $12.08
Total return (a) ......... 2.64% 9.66% (1.72%) 6.61% 11.01% 8.41% 8.95%
Ratios/Supplemental Data Ratios to average net assets:
Net investment income 6.03%(b)6.23% 5.38% 5.61% 6.56% 7.70%(b) 8.20%
Exp., after exp. reduction 1.00%(b) .99% .95% 1.01% 1.00% 1.00%(b) 1.00%
Exp., before exp. reduction1.00%(b) .99% .95% 1.01% 1.10% 1.20%(b) 1.25%
Portfolio turnover rate ..15.94% 28.31% 80.58% 38.88% 34.82% 33.15% 69.42%
Net assets EOP .(000) $141,405 $142,849$177,439$201,443$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.
Thornburg Limited Term U. S. Government Fund
Per share operating performance
(for a share outstanding
throughout the period) ............. Six Month
Period Period from
Ended Year Ended September 1, (a)
March 31, September 30, to September
1996 1995 1994
Class of Shares ...................... C B* C B C
Net asset value, beginning of period ....$12.45 $12.07 $12.08 $12.21 $12.21
Income from investment operations:
Net investment income .................... .35 .69 .69 .06 .06
Net realized and unrealized
gain (loss) on investments ............ (.04) .35 .37 (.14) (.13)
Total from investment operations ........... .31 1.04 1.06 (.08) (.07)
Less distributions from:
Net investment income ................. (.35) (.69) (.69) (.06) (.06)
Change in net asset value ..................(.04) .35 .37 (.14) (.13)
Net asset value, end of period ...........$12.41 $12.42 $12.45 $12.07 $12.08
Total return (b) .......................... 2.52% 9.19% 9.07% (.60%) (.50%)
Ratios/Supplemental Data Ratios to average net assets:
Net investment income ................5.63%(c) 5.70% 5.68% 5.63%(c)5.45%(c)
Expenses, after expense reductions ...1.40%(c) 1.51% 1.52% 1.43%(c)1.63%(c)
Expenses, before expense reductions ..2.50%(c) 3.79% 2.30% 1.43%(c)1.63%(c)
Portfolio turnover rate ................ 15.94% 28.31% 28.31% 80.58% 80.58%
Net assets at end of period (000) .........$2,798 $0 $2,217 $27 $1,005
(a) Commencement of operations ...........................
(b) Sales loads are not reflected in computing total return, which is not
annualized for periods less than one year.
(c) Annualized.
* 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 throuthroughout the period) Six Month
Period Ended Year Ended
March 31, September 30,
1996 1995 1994 1993
Class of Shares ...................... A A A A
Net asset value, beginning of period ....... $12.11 $11.83 $12.55 $12.22
Income from investment operations:
Net investment income ............................. .38 .76 .67 .77
Net realized and unrealized
gain (loss) on investments .................. (.06) .28 (.69) .33
Total from investment operations ............... .32 1.04 (.02) 1.10
Less distributions from:
Net investment income .........................(.38) (.76) (.67) (.77)
Realized capital gain .......................... -- -- (.03) --
Change in net asset value .........................(.06) .28 (.72) .33
Net asset value, end of period ..................$12.05 $12.11 $11.83 $12.55
Total return (a) ..................................2.67% 9.22% (.14%) 9.35%
Ratios/Supplemental Data Ratios to average net assets:
Net investment income ........................6.27%(b) 6.50% 5.51% 5.85%
Expenses, after expense reductions .............91%(b) .83% .66% .37%
Expenses, before expense reductions ..........1.35%(b) 1.48% 1.47% 2.10%
Portfolio turnover rate .........................30.84% 43.12% 84.35% 93.88%
Net assets at end of period (000) .............$23,818 $23,222 $21,683 $20,065
(a) Sales loads are not reflected in computing total return, which is not
annualized for periods less than one year
(b) Annualized
Thornburg Limited Term Income Fund
Per share operating performance
(for a share outstanding
throughout the period) ............... Six Month Period from
Ended ................................Period Ended Year Ended September 1,(a)
March 31, September 30, to Sept.30, 1996
1996 1995 1994
Class of Shares ........................... C B* C B C
Net asset value, beginning of period ....$12.08 $11.82 $11.78 $11.92 $11.92
Income from investment operations:
Net investment income .......................36 .72 .70 .06 .06
Net realized and unrealized
gain (loss) on investments ............(.06) .28 .30 (.10 (.14)
Total from investment operations .......... .30 1.00 1.00 (.04) (.08)
Less distributions from:
Net investment income ............. (.36) (.72) (.70) (.06) (.06)
Change in net asset value ............. (.06) .28 .30 (.10) (.14)
Net asset value, end of period ..........$12.02 $12.10 $12.08 $11.82 $11.78
Total return (b) ..........................2.46% 9.22% 8.87% (.37) (.72%)
Ratios/Supplemental Data Ratios to average net assets:
Net investment income ...............5.87%(c) 5.96% 6.03% 5.13%(c)5.14%(c)
Expenses, after expense reductions ......1.30%(c) 1.40% 1.36% 1.14%(c)1.20%(c)
Expenses, before expense reductions .....3.55%(c) 19.72% 4.75% 1.14%(c)1.20%(c)
Portfolio turnover rate ................ 30.84% 43.12% 43.12% 84.35% 84.35%
Net assets at end of period (000) .......$2,156 $0 $1,032 $10 $53
(a) Commencement of operations ...........................................
(b) Sales loads are not reflected in computing total return, which is not
annualized for periods less than one year
(c) Annualized ...........................................................
* On September 28, 1995, all Class B Shares were converted into Class A shares
Thornburg Limited Term U. S. Government Fund
March 31, 1996 CUSIPS: Class A - 885-215-103, Class C - 885-215-830
NASDAQ Symbols: Class A - LTUSX
U.S. Government Agencies (62.9%) (Cost $87,932,716)
$ 879,446 Bear Stearns Secured Investors Trust, Collateralized
Mortgage Oblligation Series 1, Class D, 9.00% due 6/1/17 ..$895,109
820,732 Collateralized Mortgage Security Corp. Series 1989-2,
Class F, 9.30% due 2/25/19 .................................843,556
839,557 Collateralized Mortgage Security Corp. Series 1990-5,
Class E, 9.25% due 9/20/98 845,854
90,275 Federal Home Loan Mortgage Corporation, Pool# M30002,
9.00% due 11/1/05 ..... ... 93,434
4,938,789 Federal Home Loan Mortgage Corporation, Pool# M80406,
7.00% due 1/1/03 ......... 4,982,003
308,777 Federal Home Loan Mortgage Corporation, Collateralized
Mortgage Obligation Series 124, Class A, 8.50% due 3/15/97 314,952
978,266 Federal Home Loan Mortgage Corporation, Collateralized
Mortgage Obligation Series 150, Class E, 9.00% due 1/15/06 978,266
4,100,000 Federal Home Loan Mortgage Corporation, Collateralized
Mortgage Obligation Series 1143, Class VC, 7.50% due
9/15/00 4,134,563
5,000,000 Federal Home Loan Mortgage Corporation, Collateralized
Mortgage Obligation Series 1216, Class E, 7.00% due
3/15/05 5,073,400
253,270 Federal Home Loan Mortgage Corporation, Collateralized
Mortgage Obligation Series 1311, Class E, 7.50% due 8/15/16 253,586
2,000,000 Federal Home Loan Mortgage Corporation, Collateralized
Mortgage Obligation Series 1330, Class E, 7.00% due
9/15/99 2,036,240
1,911,524 Federal Home Loan Mortgage Corporation, Pool #E00107,
8.00% due 7/1/07 ......... 1,968,258
1,000,000 Federal Home Loan Mortgage Corporation, Collateralized
Mortgage Obligation Series 1586, Class FA, 5.36%
(adjustable rate) due 8/15/07 ..................... 980,930
2,000,000 Federal Farm Credit Bank Medium Term Note, 7.95%
due 1/2/98 .................... 2,069,680
1,600,000 Federal Home Loan Bank, 8.25% due 9/25/96 ................1,620,992
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 ..........2,161,026
2,265,000 Federal Home Loan Bank Board, 6.50% due 11/29/05 ...... 2,217,933
1,138,864 Federal Home Loan Mortgage Corporation, Pool# 141016,
9.25% due 11/1/16 ........ 1,204,566
222,066 Federal Home Loan Mortgage Corporation, Pool# 180367,
10.00% due 11/1/10 ....... 243,706
652,735 Federal Home Loan Mortgage Corporation, Pool# 181730,
8.50% due 5/1/08 ......... 677,859
1,291,205 Federal Home Loan Mortgage Corporation, Collateralized
Mortgage Obligation Series 59, Class D, 9.70% due 1/15/16 1,326,714
371,374 Federal Home Loan Mortgage Corporation, Pool# 160043,
8.75% due 4/1/08 ......... 389,367
890,191 Federal Home Loan Mortgage Corporation, Pool# 200075,
9.00% due 9/1/04 ......... 928,024
247,746 Federal Home Loan Mortgage Corporation, Pool# 250714,
9.75% due 5/1/10 ......... 264,806
119,567 Federal Home Loan Mortgage Corporation, Pool# 250936,
10.50% due 8/1/99 ........ 126,218
291,964 Federal Home Loan Mortgage Corporation, Pool# 252986,
10.75% due 4/1/10 ........ 321,653
104,775 Federal Home Loan Mortgage Corporation, Pool# 256111,
10.75% due 8/1/00 ........ 110,770
430,221 Federal Home Loan Mortgage Corporation, Pool# 256764,
8.75% due 10/1/14 ........ 450,623
470,661 Federal Home Loan Mortgage Corporation, Pool# 213924,
9.00% due 10/1/01 ........ 490,278
949,913 Federal Home Loan Mortgage Corporation, Pool# 216502,
8.00% due 4/1/02 ......... 970,004
343,271 Federal Home Loan Mortgage Corporation, Pool# 260486,
9.00% due 1/1/10 ......... 362,604
248,088 Federal Home Loan Mortgage Corporation, Pool# 770297,
6.875% due 6/1/18 (adjustable rate mortgage) 246,311
41,993 Federal Home Loan Mortgage Corporation, Pool# 220001,
10.75% due 7/1/00 ........ 46,034
448,867 Federal Home Loan Mortgage Corporation, Pool# 220010,
8.75% due 8/1/01 ......... 463,312
132,473 Federal Home Loan Mortgage Corporation, Pool# 272107,
10.00% due 5/1/16 ........ 145,630
259,949 Federal Home Loan Mortgage Corporation, Pool# 276638,
9.25% due 8/1/16 ......... 275,637
325,437 Federal Home Loan Mortgage Corporation, Pool# 279611,
9.25% due 10/1/16 ........ 345,009
102,526 Federal Home Loan Mortgage Corporation, Pool# 431035,
11.50% due 7/1/10 ........ 112,949
276,893 Federal Home Loan Mortgage Corporation, Pool# 294817,
9.75% due 1/1/17 ......... 296,236
178,373 Federal Home Loan Mortgage Corporation, Pool# 298107,
10.25% due 8/1/17 ........ 195,429
217,383 Federal Home Loan Mortgage Corporation, Pool# 500166,
12.00% due 9/1/00 ........ 230,561
919,540 Federal National Mortgage Association, Collateralized
Mortgage Obligation Series 133, Class JB, 8.00%
due 3/25/98 924,423
1,250,000 Federal National Mortgage Association, Collateralized
Mortgage Obligation Series 1992-33, Class F, 5.92%
(adjustable rate) due 3/25/22 ................... 1,229,287
1,650,000 Federal National Mortgage Association, Collateralized
Mortgage Obligation Series 1992-60, Class C, 7.50%
due 4/25/99 ..................................... 1,696,909
1,000,000 Federal National Mortgage Association, Collateralized
Mortgage Obligation Series 62, Class E, 7.00% due 5/25/99 1,013,430
998,000 Federal National Mortgage Association, Collateralized
Mortgage Obligation Series 134, Class M, 6.00% due 3/25/20 990,515
1,150,000 Federal National Mortgage Association, Collateralized
Mortgage Obligation Series 1992-145, Class L, 7.50%
due 1/25/06 .................................... 1,180,544
1,900,000 Federal National Mortgage Association, Collateralized
Mortgage Obligation Series 1993-12, Class EC, 7.50%
due 9/25/01 .................................... 1,935,625
500,000 Federal National Mortgage Association, Collateralized
Mortgage Obligation Series 1993-185, Class FJ, 5.32%
(adjustable rate) due 9/25/22 ................. 466,560
1,800,000 Federal National Mortgage Association, Collateralized
Mortgage Obligation Series 1993-187, Class FC, 5.32%
(adjustable rate) due 11/25/21 ................ 1,683,000
72,249 Federal National Mortgage Association, Pool# 02473,
10.50% due 1/1/01 .......... 76,764
1,308,772 Federal National Mortgage Association, Pool# 08307,
8.00% due 5/1/08 ........... 1,362,340
147,146 Federal National Mortgage Association, Pool# 10294,
8.50% due 9/1/07 ........... 152,394
27,819 Federal National Mortgage Association, Pool# 16072,
11.50% due 5/1/00 .......... 29,470
279,433 Federal National Mortgage Association, Pool# 19535,
10.25% due 7/1/08 .......... 306,748
553,221 Federal National Mortgage Association, Collateralized
Mortgage Obligation Series 1989-2, Class C, 8.80%
due 4/25/17 ...................................... 561,520
143,981 Federal National Mortgage Association, Collateralized
Mortgage Obligation Series 1989-37, Class E, 8.00%
due 1/25/18 ..................................... 144,071
2,007,129 Federal National Mortgage Association, Pool# 33356,
9.25% due 8/1/16 ........... 2,138,897
131,670 Federal National Mortgage Association, Pool# 38493,
8.75% due 10/1/08 .......... 138,171
210,344 Federal National Mortgage Association, Pool# 40526,
9.25% due 1/1/17 ........... 224,179
94,802 Federal National Mortgage Association, Pool# 50409,
9.00% due 2/1/98 ........... 96,964
601,669 Federal National Mortgage Association, Pool# 58816,
9.25% due 12/1/02 .......... 634,718
1,085,729 Federal National Mortgage Association, Pool# 64011,
9.25% due 7/1/03 ........... 1,145,368
5,000,000 Federal National Mortgage Association, Pool# 73040,
7.625% due 9/1/01 .......... 5,218,750
1,026,207 Federal National Mortgage Association, Pool# 76388,
9.25% due 9/1/18 ........... 1,093,383
282,612 Federal National Mortgage Association, Pool# 77725,
9.75% due 10/1/18 .......... 303,101
375,000 Federal National Mortgage Association, Medium Term Note,
6.05% due 6/30/03 ..... 363,038
814,050 Federal National Mortgage Association, Pool# 112067,
9.50% due 10/1/16 ......... 876,813
2,267,639 Federal National Mortgage Association, Pool# 156156,
8.50% due 4/1/21 .......... 2,375,375
423,893 Federal Home Loan Mortgage Corporation, Pool# D06907,
9.00% due 4/1/17 ......... 447,347
325,216 Federal Home Loan Mortgage Corporation, Pool# D06908,
9.50% due 9/1/17 ......... 348,114
1,220,983 Government National Mortgage Association, GNMA II
Pool# 623, 8.00% due 9/20/16 ................ 1,251,642
163,923 Government National Mortgage Association, GNMA II
Pool# 862, 9.00% due 10/20/02 ............... 172,120
59,570 Government National Mortgage Association, GNMA II
Pool# 956, 10.00% due 3/20/03 ............... 63,125
64,335 Government National Mortgage Association, GNMA II
Pool# 1228, 10.00% due 7/20/04 .............. 68,175
206,195 Government National Mortgage Association, GNMA II
Pool# 1408, 9.50% due 5/20/05 ............... 219,597
1,562,506 Government National Mortgage Association, Pool# 362865,
8.00% due 7/15/03 ..................... 1,601,569
1,012,591 Government National Mortgage Association, Pool# 19832,
Project Loan, 8.25% due 7/15/05 1,030,939
129,501 Government National Mortgage Association, Pool# 35861,
10.875% due 2/15/10 .................... 141,800
105,714 Government National Mortgage Association, GNMA II
Pool# 112262, 11.50% due 2/20/99 ...................... 110,604
44,215 Government National Mortgage Association,
Pool# 161848, 9.00% due 8/15/01 ..................... 46,868
266,623 Government National Mortgage Association, Pool# 276712,
11.00% due 3/15/00 .................... 279,288
481,298 Government National Mortgage Association, Pool# 296697,
9.50% due 10/15/05 .................... 512,428
665,951 Government National Mortgage Association, Pool# 306636,
8.25% due 12/15/06 .................... 683,639
89,974 Small Business Administration Series 1988-10B, 9.80%
due 6/01/98 .............................. 94,339
800,000 Tennessee Valley Authority, 8.375% due 10/01/99 ............854,872
1,000,000 Tennessee Valley Authority, 7.45% due 10/15/01 ...........1,020,830
4,000,000 Tennessee Valley Authority, 6.00% due 1/15/97 ........... 4,004,360
Total U.S. Government Agencies $89,807,19
United States Treasury (37.1%) (Cost $51,812,080)
1,520,000 United States Treasury Notes, 7.875% due 4/15/98 1,558,590
5,000,000 United States Treasury Notes, 8.25% due 7/15/98 5,256,250
1,000,000 United States Treasury Notes, 7.50% sue 11/15/01 1,061,250
1,000,000 United States Treasury Notes, 6.375% due 8/15/02 1,005,780
4,950,000 United States Treasury Notes, 5.75% due 8/15/03 4,780,611
700,000 United States Treasury Notes, 7.25% due 5/15/04 738,171
4,600,000 United States Treasury Notes, 6.875% due 7/31/99 4,720,014
23,250,000 United States Treasury Notes, 6.875% due 8/31/99 23,860,312
1,500,000 United States Treasury Notes, 7.50% due 10/31/99 1,569,840
1,300,000 United States Treasury Notes, 7.75% due 1/31/00 1,375,361
2,800,000 United States Treasury Notes, 6.50% due 5/15/05 2,818,368
1,300,000 United States Treasury Notes, 8.00% due 1/15/97 1,324,986
1,800,000 United States Treasury Notes, 8.50% due 7/15/97 1,863,558
1,000,000 United States Treasury Notes, 7.875% due 1/15/98 1,035,000
Total United States Treasury $52,968,091
TOTAL INVESTMENTS (100%) (Cost $139,744,796)* $142,775,286
The cost for Federal income tax purposes is $139,764,733.
See notes to financial statements.
Thornburg Limited Term Income Fund
March 31, 1996 CUSIPS: Class A -885-215-509, Class C -885-215-764
U.S. GOVERNMENT SECURITIES (13.2%)(Cost $3,294,939)
$ 750,000 United States Treasury Notes, 8.00% due 5/15/01 Aaa/AAA $810,585
1,000,000 United States Treasury Notes, 7.875% due 7/31/96 Aaa/AAA 1,008,120
700,000 United States Treasury Notes, 6.375% due 1/15/99 Aaa/AAA 707,875
600,000 United States Treasury Notes, 4.75% due 10/31/98 Aaa/AAA 583,686
250,000 United States Treasury Notes, 6.875% due 8/31/99 Aaa/AAA 256,563
Total U. S. Government Securities $3,366,829
U.S. GOVERNMENT AGENCIES (22.4%)(Cost $5,577,327)
450,000 Federal Home Loan Mortgage Corp., CMO Series 1019
Class E, 8.75% due 7/15/20 Aaa/AAA 466,313
98,727 Federal Home Loan Mortgage Corp., CMO Series 1060
Class F, 7.25% due 2/15/01 Aaa/AAA 99,652
500,000 Federal Home Loan Mortgage Corp., CMO Series 1208
Class D, 5.86% due 2/15/22 Aaa/AAA 494,060
500,000 Federal Home Loan Mortgage Corp., CMO Series 1327
E, 7.50% due 7/15/07 .............. Aaa/AAA 512,030
900,000 Federal Home Loan Bank Board, 7.11% due 8/19/99 Aaa/AAA 926,154
103,023 Federal Home Loan Mortgage Corp., Pool #141540,
9.00% due 5/1/09 .................... Aaa/AAA 108,912
155,335 Federal Home Loan Mortgage Corp., CMO
Series 37 C, 9.00% due 4/15/20 ................ Aaa/AAA 159,655
187,880 Federal Home Loan Mortgage Corp., Pool #216639,
8.25% due 4/1/02 .................... Aaa/AAA 192,049
44,151 Federal Home Loan Mortgage Corp., Pool #220005,
8.75% due 4/1/01 .................... Aaa/AAA 45,572
11,240 Federal Home Loan Mortgage Corp., Pool #296006,
8.00% due 6/1/17 .................... Aaa/AAA 11,484
209,068 Federal Home Loan Mortgage Corp., Pool #503253,
9.50% due 7/1/05 .................... Aaa/AAA 219,650
788,902 Federal Home Loan Mortgage Corp., Pool #850082,
9.00% due 10/1/05 ................... Aaa/AAA 822,675
103,008 Federal National Mortgage Association,
CMO Series 91-69 G, 7.50% due 6/25/19 Aaa/AAA 103,233
870,000 Federal National Mortgage Association,
CMO Series 92-60 C, 7.50% due 4/25/99 Aaa/AAA 894,734
350,000 Federal National Mortgage Association,
CMO Series 92-150 G, 6.75% due 9/25/18 Aaa/AAA 352,296
81,068 Federal National Mortgage Association,
Pool #1768, 8.00% due 10/1/06 ................ Aaa/AAA 83,429
30,792 Federal National Mortgage Association,
Pool #103348, 9.00% due 10/1/97 .............. Aaa/AAA 31,495
60,544 Federal National Mortgage Association,
Pool #108078, 9.00% due 11/1/97 .............. Aaa/AAA 61,925
110,730 Government National Mortgage Association,
Pool #305541, 9.00% due 5/15/03 Aaa/AAA 114,605
Total U. S. Government Agencies $5,699,923
MORTGAGE BACKED SECURITIES (2.1%)(Cost $539,789)
54,431 Collateralized Mortgage Obligation Trust,
Series 56 B, 9.985% due 1/1/19 Aaa/AAA 58,173
500,000 GE Capital Mortgage Services, Series 92-13 G2,
7.00% due 1/1/08 ..................... Aaa/AAA 476,749
Total Mortgage Backed Securities $534,922
CORPORATE BONDS (6.5%)(Cost $1,644,507)
FINANCE
200,000 General Motors Acceptance Corporation,
8.625% due 7/15/96 ........................... A3/A- 201,364
INDUSTRIALS
50,000 RJR Nabisco Incorporated, 8.75% due 4/15/04 ...Baa3/BBB- 48,913
REAL ESTATE
345,000 Equitable Lord Realty Corporation, 10.50%
due 12/30/97 (Debt assumed by Equitable Life) ...A2/AA- 363,544
1,000,000 Fisher Brothers Realty Euronotes, 10.75%
due 12/17/00 ............................... NR/BBB 1,036,250
Total Corporate Bonds $1,650,071
TAXABLE MUNICIPAL BONDS (30.7%)(Cost $7,720,295)
375,000 Baltimore Economic Development Authority, 8.50%
due 8/1/02 (Arcade LP Project) A/BBB+ ... 392,831
120,000 Beaumont Housing Multifamily Mortgage
Series 1995B, 7.50% due 6/15/00 (LOC:FHA) Aaa/NR 119,979
905,000 Cook County Township High School District # 205
Series 1995-B, 8.30% due 12/1/97 (Insured: FGIC) Aaa/AAA 936,802
500,000 Gardena Financing Agency Lease, 6.50% due 7/1/98
(Municipal Mutual Insurance Project) ............NR/BBB 503,125
1,000,000 Greater Valley Medical Building Partnership,
Seriies 1996, 6.95% due 3/1/21, Put 3/1/01
(LOC: Krediet Bank) .............................Aa2/AA 1,000,000
845,000 Idaho Housing Multi Family Housing Revenue
Series 94-B, 8.15% due 7/1/04 ............ A/NR 896,646
100,000 Kiryas Joel Village, New York General Obligation
Series B, 8.50% due 1/1/00 Baa/NR 104,888
1,000,000 Los Angeles County Pension Obligation, 8.30%
due 6/30/02 (Insured: FSA) ............. Aaa/AAA 1,057,510
575,000 Louisiana Public Facilities Authority Revenue
Refunding Series 1993, 7.00% due 10/1/99
(Schwegman Westside Expressway Project) ..........NR/NR 575,000
300,000 Massachusetts Industrial Financing Authority
Resource Recovery Revenue Refunding, 6.95%
due 7/1/99 (Insured: FSA) ......................Aaa/AAA 303,600
305,000 New Jersey Economic Development Authority
Series B, 7.10% due 9/15/02 ............... A1/A+ 311,109
50,000 New Jersey State Housing & Mortgage Financing
Agency Series E, 7.40% due 11/1/98 NR/A+ 50,697
95,000 New Jersey State Housing & Mortgage Financing
Agency Series E, 7.95% due 11/1/00 NR/A+ 98,406
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 1,075,886
100,000 New York City Series D, 10.00% due 8/1/05 ....Baa1/BBB+ 114,514
50,000 Tucson & Pima County IDA SFMR Series A,
7.00% due 12/1/03 ........................... A1/NR 48,895
200,000 University of Southern California Revenue,
9.35% due 10/1/00 ........................ Aa/AA 211,200
Total Taxable Municipal Bonds $7,801,088
FOREIGN SECURITIES (24.3%) (Cost $6,140,274)
2,000,000 British Columbia Province, 9.00% due 6/21/04 ...Aa1/AA+ 1,582,235
1,000,000 Irish Government, 8.00% due 8/18/06 ..............A1/NR 1,568,504
1,000,000 Manitoba Province, 7.875% due 4/7/03 .............A1/NR 745,918
1,572,000 New Zealand Government, 6.50% due 2/15/00 ...... Aaa/NR 1,006,245
1,800,000 Metropolitan Toronto, 7.75% due 12/1/05 ......... A1/NR 1,292,408
Total Foreign Securities $6.195,310
COMMERCIAL PAPER (0.8%) (Cost $199,909)
200,000 Ford Motor Credit, 5.45% due 4/4/96 $ 199,909
Total Investments (100%) (Cost $25,117,040) $25,448,052
+Credit ratings are unauduted.
See notes to financial statements.
