Thornburg
Limited Term
Income Funds
INVESTMENT MANAGER
Thornburg Management Company, Inc.
119 East Marcy Street
Santa Fe, NM 87501
(800) 847-0200
PRINCIPAL UNDERWRITER
Thornburg Securities Corporation
119 East Marcy Street
Santa Fe, NM 87501
(800) 847-0200
Annual Report
September 30, 1997This report is submitted for the general information of the
shareholders of the Fund. It is not authorized for distribution to prospective
investors in the Fund unless preceded or accompanied by an effective prospectus,
which includes information regarding the Fund's objectives and policies,
experience of its management, marketability of shares, and other information.
Performance data quoted represent past performance and do not guarantee of
future results.
<TABLE>
<CAPTION>
Thornburg Limited Term Income Funds
Thornburg Limited Term Income Fund
<S> <C> <C> <C>
A Shares C Shares I Shares
SEC Yield 5.94% 5.71% 6.42%
NAV $12.37 $12.34 $12.36
Max. Offering Price $12.69 $12.34 $12.36
1 Year 4.87% 7.13% 7.80%
3 Year 7.19% 7.70% NA
Since Inception 6.11% 7.24% 9.64%
(Inception Date) (10/1/92) (9/1/94) (7/5/96)
</TABLE>
<TABLE>
Thornburg Limited Term U.S. Government Fund*
<S> <C> <C> <C>
A Shares C Shares I Shares
SEC Yield 5.81% 5.51% 6.34%
NAV $12.31 $12.37 $12.31
Max. Offering Price $12.63 $12.37 $12.31
1 Year 4.22% 6.49% 7.26%
5 Year 4.66% NA NA
Since Inception 6.97% 6.32% 7.91%
(Inception Date) (11/16/87) (9/1/94) (7/5/96)
<FN>
*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.
</FN>
</TABLE>
Annual Report for Thornburg Limited Term Income Funds
Contents
Letter to Shareholders 3
THORNBURG LIMITED TERM U.S. GOVERNMENT FUND
Statement of Assets and Liabilities 5
Statement of Operations 6
Statements of Change in Net-Assets 7
Notes to Financial Statements 9
Financial Highlights 15
Schedule of Investments 21
THORNBURG LIMITED TERM INCOME FUND
Statement of Assets and Liabilities 5
Statement of Operations 6
Statements of Change in Net-Assets 8
Notes to Financial Statements 9
Financial Highlights 18
Schedule of Investments 24
l e t t e r t o s h a r e h o l d e r s
119 East Marcy Street, Santa Fe, New Mexico 87501 (_) (505) 984-0200Dear Fellow
Shareholder:
I am pleased to present the Annual Report for the Thornburg Limited Term Income
Fund and the Thornburg Limited Term U.S. Government Fund for the year ending
September 30, 1997. The net asset value of the A shares of the Thornburg Limited
Term Income Fund ended the period at $12.37. If you were invested for the entire
period, you received dividends of 75.9 cents per share. If you reinvested your
dividends, you received 78.1cents per share. Investors who owned C shares
received 70.9 and 72.8 cents per share, respectively. The net asset value of the
A shares of the Thornburg Limited Term U.S. Government Fund ended the period at
$12.31. If you were invested for the entire period, you received dividends of
74.6 cents per share. If you reinvested your dividends, you received 76.7 cents
per share. Investors who owned C shares received 69.7 and 71.5 cents per share,
respectively. Please read the accompanying exhibits for more detailed
information and history.
The last year has seen some turmoil in the financial markets. Interest rates
fell in the fourth quarter of 1996 before rising steadily through the first
quarter of 1997. But the Federal Reserve Board's move to raise interest rates in
March 1997 did not have a lasting effect on the overall level as interest rates
have been falling since April. A few factors that have supported this market are
that US interest rates are still generally higher than government yields
overseas and, recently, there has been some flight to quality as overseas
investors purchased US Treasuries to protect themselves from the falling world
equity markets. But it would not surprise me to see interest rates a little
higher next year as the US economy is still moving along at a fast clip. Jobs
are being created quite handily and the US consumer is continuing to spend
money. It may not be possible to sustain this growth without some inflationary
pressures showing up. After all is said and done, Asian economies slowing down
will not have a disastrous effect on the US economy and the Federal Reserve
Board must still look to the US economy when determining policy.
The strong economy has caused the US equity markets to continue their upward
climb. While the stock market has fallen from its highs of this summer, it is
still close to record levels. The recent shakeup in the Asian equity markets did
not seem to cause US equity investors to do much more than blink. But it is
possible the recent volatility in stocks will cause investors to think about
their asset allocation again. Now might be a good time to see whether the
outsized gains over the last couple of years has unbalanced the asset allocation
of one's investment portfolio. It might be a little more heavily weighted in
stocks than intended. It might be time to look at adding more intermediate bonds
to balance out the asset allocation of the portfolio.
The Thornburg Limited Term Income Fund and the Thornburg Limited Term U.S.
Government Fund are laddered portfolios of short-to-intermediate bonds. We do
not speculate on the direction of interest rates. We keep the portfolios
laddered over a time period ranging from one day to approximately ten years,
with the average maturity of the portfolios always no more than five years. Some
of the bonds are always coming close to maturity, but never too many at one
time. We feel a laddered maturity portfolio of short-to-intermediate bonds is a
sensible strategy over time. Intermediate bonds have proven to be a sensible
part of a portfolio. They can provide stability to the underlying principal,
they can provide income for the portfolio, and, over the years, they have
provided an attractive return versus money market instruments. Take a look at
the charts which show the return on an investment in the Thornburg Limited Term
Income Fund and the Thornburg Limited Term U.S. Government Fund versus the
Donoghue's Money Market Fund average.
Thank you for investing in our funds. We feel the Thornburg Limited Term U.S.
Government Fund and the Thornburg Limited Term Income Fund are appropriate
investments for investors who want a short-to-intermediate bond portfolio. While
future performance cannot be guaranteed, we feel that we are well positioned,
and we will maintain a steady course.
Steven J. Bohlin
Managing Director
<TABLE>
<CAPTION>
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
September 30, 1997
<S> <C> <C>
Limited Term Limited Term
U. S. Government Income
Fund Fund
ASSETS
Investments at value (cost $138,302,402
and $39,043,509, respectively) $ 140,715,386 $40,121,745
Cash 875,260 40,251
Receivable for fund shares sold 156,041 624,046
Interest receivable 1,918,683 589,315
Principal receivable 125,469 26,323
Prepaid expenses and other assets 23,645 27,563
TOTAL ASSETS 143,814,484 41,429,243
LIABILITIES
Payable for fund shares redeemed 160,819 139,592
Accpayable
and accrued expenses 175,907 49,325
Dividends payable 204,899 82,421
TOTAL LIABILITIES 541,625 271,338
NET ASSETS $ 143,272,859 $41,157,905
NET ASSET VALUE:
Class A Shares:
Net asset value and redemption price per share ($133,711,460 and $31,280,742
applicable to 10,858,515 and 2,529,497 shares of
beneficial interest outstanding - Note 4) $12.31 $12.37
Maximum sales charge, 2.50% of offering
price (2.57% of net asset value per share) .32 .32
Maximum Offering Price Per Share $12.63 $12.69
Class C Shares:
Net asset value and offering price per share* ($4,298,837 and $5,382,205
applicable to 347,608 and 436,168 shares of beneficial
interest outstanding - Note 4) $12.37 $12.34
Class I Shares:
Net asset value, offering and redemption price per share ($5,262,562 and
$4,494,958 applicable to 427,500 and 363,536 shares of beneficial
interest outstanding - Note 4) $12.31 $12.36
<FN>
* Redemption price per share is equal to net asset value less any applicable
contingent deferred sales charges.
See notes to financial statements.
</FN>
</TABLE>
<TABLE>
<CAPTION>
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
Year Ended September 30, 1997
<S> <C> <C>
INVESTMENT INCOME:
Interest income (net of premium amortized of $329,893 and
$83,092, respectively) $9,957,422 $2,437,340
EXPENSES:
Investment advisory fees (Note 3) 529,056 170,199
Administration fees (Note 3)
Class A Shares 170,871 33,817
Class C Shares 4,909 5,702
Class I Shares 229 1,212
Distribution and service fees (Note 3)
Class A Shares 330,420 64,185
Class C Shares 39,289 45,644
Transfer agent fees 143,684 61,078
Custodian fees 108,725 48,165
Registration and filing fees 50,380 45,293
Professional fees 29,015 10,394
Accounting fees 14,839 3,685
Trustee Fees 6,268 1,430
Other expenses 20,500 11,915
TOTAL EXPENSES 1,448,185 502,719
Less:
Expenses reimbursed by investment
adviser (Note 3) (60,426) (150,728)
NET EXPENSES 1,387,759 351,991
NET INVESTMENT INCOME 8,569,663 2,085,349
REALIZED AND UNREALIZED GAIN (LOSS) (Note 5)
Net realized gain on:
Investments 280,414 3,722
Foreign currency transactions - 4,333
280,414 8,055
Net unrealized appreciation (depreciation) on:
Investments 581,827 368,231
Foreign currency translation - (4,214)
581,827 364,017
NET REALIZED AND UNREALIZED GAIN 862,241 372,072
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $9,431,904 $2,457,421
<FN>
See notes to financial statements.
</FN>
</TABLE>
<TABLE>
<CAPTION>
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
<S> <C> <C>
Year Ended Year Ended
September 30, 1997 September 30, 1996
INCREASE (DECREASE) IN
NET ASSETS FROM:
OPERATIONS:
Net investment income $8,569,663 $8,845,210
Net realized gain on investments sold 280,414 72,307
Increase (decrease) in unrealized
appreciation of investments 581,827 (1,945,835)
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 9,431,904 6,971,682
DIVIDENDS TO SHAREHOLDERS:
From net investment income
Class A Shares (8,318,540) (8,688,345)
Class C Shares (222,001) (156,731)
Class I Shares (29,122) (134)
FUND SHARE TRANSACTIONS - (Note 4):
Class A Shares (6,637,521) (1,502,761)
Class C Shares 1,499,116 600,667
Class I Shares 5,249,982 8,859
NET INCREASE (DECREASE) IN NET ASSETS 973,818 (2,766,763)
NET ASSETS:
Beginning of year 142,299,041 145,065,804
End of year $143,272,859 $142,299,041
<FN>
See notes to financial statements.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Thornburg Limited Term Income Fund
<S> <C> <C>
Year Ended Year Ended
September 30, 1997 September 30, 1996
INCREASE (DECREASE) IN
NET ASSETS FROM:
OPERATIONS:
Net investment income $2,085,349 $1,593,704
Net realized gain 8,055 89,959
Increase in unrealized appreciation 364,017 143,555
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 2,457,421 1,827,218
DIVIDENDS TO SHAREHOLDERS:
From net investment income:
Class A Shares (1,666,492) (1,472,722)
Class C Shares (262,811) (109,230)
Class I Shares (156,046) (11,752)
FUND SHARE TRANSACTIONS - (Note 4):
Class A Shares 7,539,812 10,842
Class C Shares 2,655,403 1,647,565
Class I Shares 3,665,427 778,309
NET INCREASE IN NET ASSETS 14,232,714 2,670,230
NET ASSETS:
Beginning of year 26,925,191 24,254,961
End of year $41,157,905 $26,925,191
<FN>
See notes to financial statements.
</FN>
</TABLE>
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
Thornburg Investment Trust
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 series of Thornburg Investment Trust (the
"Trust"). The Trust is organized as a Massachusetts business trust under a
Declaration of Trust dated June 3, 1987 and is registered as a diversified,
open-end management investment company under the Investment Company Act of 1940,
as amended. The Trust is currently issuing five series of shares of beneficial
interest in addition to those of the Funds: Thornburg Florida Intermediate
Municipal Fund, Thornburg New York 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. The Funds' objectives are to obtain as
high a level of current income as is consistent with the preservation of
capital.
The Funds currently offer three classes of shares of beneficial interest, Class
A, Class C and Institutional Class (Class I) 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 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, (iii) Class I
shares are sold at net asset value without a sales charge at the time of
purchase, 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, administrative fees and certain 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 Trust 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 a
Fund makes a commitment to purchase a security on a when-issued basis, it will
record the transaction and reflect the value in determining the Fund's net asset
value. When effecting such transactions, assets of the Fund of an amount
sufficient to make payment for the portfolio securities to be purchased will be
segregated on the Fund's 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 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 portfolio 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
the 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.
Note 3 - INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, Thornburg Management Company, Inc.
(the "Adviser") serves as the investment adviser and performs services to the
Funds for which the fees are payable at the end of each month. For the year
ending September 30, 1997, these fees were payable at annual rates ranging from
three-eighths of 1% to 11/40 of 1% of the average daily net assets of the
Government Fund and one-half of 1% to 11/40 of 1% of the average daily net
assets of the Funds' depending on the Funds' asset size. The Funds also have an
Administrative Services Agreement with the Adviser, whereby the Adviser will
perform certain administrative services for the shareholders of each class of
each Fund's shares, and for which fees will be payable at an annual rate of up
to 1/8 of 1% of the average daily net assets attributable to each class of
shares. For the year ended September 30, 1997, the Adviser voluntarily
reimbursed certain operating expenses amounting to $60,426 and $150,728 for the
Government Fund and Income Fund, respectively.
The Funds have underwriting agreements with Thornburg Securities Corporation
(the "Distributor"), which acts as the Distributor of the Funds' shares. For the
year ended September 30, 1997, the Distributor earned commissions aggregating
$18,119 and $18,484 from the sale of Class A shares of the Government Fund and
Income Fund, respectively, and collected contingent deferred sales charges
aggregating $1,793 and $6,628 from redemptions of Class C 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 attributable to each class of shares of the
Funds 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.
The Funds have also adopted Distribution Plans pursuant to Rule 12b-1,
applicable only to each Fund's Class C shares under which the Funds 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 year
ended September 30, 1997, are set forth in the statement of operations.
Certain officers and trustees of the Trust are also officers and/or directors of
the Adviser and Distributor. The compensation of unaffiliated trustees is borne
by the Trust.
Note 4 - SHARES OF BENEFICIAL INTEREST:
At September 30, 1997, there were an unlimited number of shares of beneficial
interest of each Fund authorized, and capital paid-in aggregated $147,784,859
and $40,950,435 for the Government Fund and Income Fund, respectively. Sales of
Class I shares commenced on July 5, 1996. Transactions in shares of beneficial
interest were as follows:
<TABLE>
<CAPTION>
Government Fund
<S> <C> <C> <C> <C>
Year Ended Year Ended
September 30, 1997 September 30, 1996
Shares Amount Shares Amount
CLASS A SHARES:
Shares sold 1,686,941 $ 20,681,021 1,926,637 $ 23,786,000
Shares issued to shareholders
in reinvestment of
distributions 452,793 5,555,737 469,904 5,800,674
Shares repurchased (2,683,645) (32,874,279) (2,516,201) (31,089,435)
Net Decrease (543,911)($ 6,637,521) (119,660)($ 1,502,761)
CLASS C SHARES:
Shares sold 177,985 $ 2,194,987 149,217 $ 1,847,259
Shares issued to shareholders
in reinvestment of
distributions 16,438 202,464 10,922 135,261
Shares repurchased (73,028) (898,335) (111,987) (1,381,853)
Net Increase 121,395 $ 1,499,116 48,152 $ 600,667
CLASS I SHARES:
Shares sold 497,639 $ 6,117,666 719 $ 8,724
Shares issued to shareholders
in reinvestment of
distributions 2,385 28,883 11 135
Shares repurchased (73,254) (896,567) -- --
Net Increase 426,770 $ 5,249,982 730 $ 8,859
</TABLE>
<TABLE>
<CAPTION>
Income Fund
<S> <C> <C> <C> <C>
Year Ended Year Ended
September 30, 1997 September 30, 1996
Shares Amount Shares Amount
CLASS A SHARES:
Shares sold 1,040,156 $ 12,786,894 434,668 $ 5,275,181
Shares issued to shareholders
in reinvestment of
distributions 77,562 955,709 69,103 838,867
Shares repurchased (504,413) (6,202,791) (505,218) (6,103,206)
Net Increase (Decrease) 613,305 $ 7,539,812 (1,447)$ 10,842
CLASS C SHARES:
Shares sold 352,475 $ 4,339,320 167,611 $ 2,033,980
Shares issued to shareholders
in reinvestment of
distributions 19,669 241,703 8,173 98,796
Shares repurchased (156,885) (1,925,620) (40,352) (485,211)
Net Increase 215,259 $ 2,655,403 135,432 $ 1,647,565
CLASS I SHARES:
Shares sold 301,982 $ 3,708,659 64,202 $ 766,557
Shares issued to shareholders
in reinvestment of
distributions 9,788 121,176 969 11,752
Shares repurchased (13,405) (164,408) -- --
Net Increase 298,365 $ 3,665,427 65,171 $ 778,309
</TABLE>
Note 5 - SECURITIES TRANSACTIONS
For the year ended September 30, 1997, portfolio purchase and sale transactions
(excluding short-term securities) were $57,513,645 and $58,517,675 for the
Government Fund and $17,217,829 and $4,497,101 for the Income Fund,
respectively.
The cost of investments for Federal income tax purposes is $138,322,339 and
$39,043,509 for the Government Fund and Income Fund, respectively. At September
30, 1997, gross unrealized appreciation and depreciation of investments, based
on cost for Federal income taxes were as follows:
Government Fund Income Fund
Gross unrealized
appreciation $2,485,279 $1,183,076
Gross unrealized
depreciation 92,232 104,840
Net unrealized
appreciation $2,393,047 $1,078,236
Accumulated net realized losses from securities transactions included in net
assets at September 30, 1997 aggregated $7,200,711 and
$866,976 for the Government Fund and Income Fund, respectively.
For Federal income tax purposes, the Government Fund has capital loss
carryforwards of $6,905,046 as of September 30, 1997 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, 2001 - $11,013, September 30, 2002 - $4,867,978 and September 30,
2003 - $2,026,055.
For Federal income tax purposes, the Income Fund has capital loss carryforwards
of $883,302 as of September 30, 1997 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 - $657,324 and September 30, 2003 - $225,978.
f i n a n c i a l h i g h l i g h t s
<TABLE>
Thornburg Limited Term U. S. Government Fund
<CAPTION>
Per share operating performance
(for a share outstanding
throughout the year)
Year Ended September 30,
------------------------
<S> <C> <C> <C> <C> <C>
1997 1996 1995 1994 1993
Class of Shares: A A A A A
Net asset value, beginning of year $12.24 $12.40 $12.03 $12.92 $12.83
Income from investment operations:
Net investment income .75 .76 .75 .67 .73
Net realized and unrealized
gain (loss) on investments .07 (.16) .37 (.89) .09
Total from investment operations .82 .60 1.12 (.22) .82
Less dividends from:
Net investment income (.75) (.76) (.75) (.67) (.73)
Change in net asset value .07 (.16) .37 (.89) .09
Net asset value, end of year $12.31 $12.24 $12.40 $12.03 $12.92
Total return (a) 6.86% 4.92% 9.66% (1.72%) 6.61%
Ratios/Supplemental Data Ratios to average net assets:
Net investment income 6.09% 6.11% 6.23% 5.38% 5.61%
Expenses, after expense reductions .97% .99% .99% .95% 1.01%
Expenses, before expense reductions .97% .99% .99% .95% 1.01%
Portfolio turnover rate 41.10% 23.27% 28.31% 80.58% 38.88%
Net assets
at end of year(000) $133,711 $139,510 $142,849 $177,439 $201,443
<FN>
(a) Sales loads are not reflected in computing total return.
Note: From September 1, 1994 to September 28, 1995 the Fund issued Class B
shares, which at the time of their conversion to Class A shares on September 28,
1995 represented less than 1% of the Fund's net assets.
</FN>
</TABLE>
<TABLE>
Thornburg Limited Term U.S. Government Fund
<CAPTION>
Per share operating performance
(for a share outstanding
throughout the year) Period from
September 1, (a)
Year Ended September 30, to September 30,
<S> <C> <C> <C> <C>
1997 1996 1995 1994
Class of Shares: C C C C
Net asset value, beginning of year $12.29 $12.45 $12.08 $12.21
Income from investment operations:
Net investment income .70 .71 .69 .06
Net realized and unrealized
gain (loss) on investments .08 (.16) .37 (.13)
Total from investment operations .78 .55 1.06 (.07)
Less distributions from:
Net investment income (.70) (.71) (.69) (.06)
Change in net asset value .08 (.16) .37 (.13)
Net asset value, end of year $12.37 $12.29 $12.45 $12.08
Total return (b) 6.49% 4.51% 9.07% (.50%)
Ratios/Supplemental Data Ratios to average net assets:
Net investment income 5.65% 5.72% 5.68% 5.45%(c)
Expenses, after expense reductions 1.40% 1.39% 1.52% 1.63%(c)
Expenses, before expense reductions 2.24% 2.35% 2.30% 1.63%(c)
Portfolio turnover rate 41.10% 23.27% 28.31% 80.58%
Net assets at end of year (000) $4,299 $2,780 $2,217 $1,005
<FN>
(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
</FN>
</TABLE>
<TABLE>
Thornburg Limited Term U.S. Government Fund
<CAPTION>
Per share operating performance
(for a share outstanding
throughout the year)
Year Ended September 30,
<S> <C> <C>
1997 1996
Class of Shares: I I*
Net asset value, beginning of year $12.24 $12.14
Income from investment operations:
Net investment income .79 .20
Net realized and unrealized
gain (loss) on investments .07 .10
Total from investment operations .86 .30
Less distributions from:
Net investment income (.79) (.20)
Change in net asset value .07 .10
Net asset value, end of year $12.31 $12.24
Total return (b) 7.26% 2.45%
Ratios/Supplemental Data Ratios to average net assets:
Net investment income 6.35% 6.64%(c)
Expenses, after expense reductions .60% .58%(c)
Expenses, before expense reductions 6.57% 305.74%(c)
Portfolio turnover rate 41.10% 23.27%
Net assets at end of year (000) $5,263 $9
<FN>
(a) Commencement of operations.
(b) Not annualized for periods less than one year.
(c) Annualized.
* Sales of Class I shares commenced on July 5, 1996.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Thornburg Limited Term Income Fund
Per share operating performance
(for a share outstanding throughout the year)
Year Ended September 30,
------------------------
<S> <C> <C> <C> <C> <C>
1997 1996 1995 1994 1993
Class of Shares: A A A A A
Net asset value, beginning of year $12.23 $12.11 $11.83 $12.55 $12.22
Income from investment operations:
Net investment income .76 .76 .76 .67 .77
Net realized and unrealized
gain (loss) on investments .14 .12 .28 (.69) .33
Total from investment operations .90 .88 1.04 (.02) 1.10
Less distributions from:
Net investment income (.76) (.76) (.76) (.67) (.77)
Realized capital gain -- -- -- (.03) --
Change in net asset value .14 .12 .28 (.72) .33
Net asset value, end of year $12.37 $12.23 $12.11 $11.83 $12.55
Total return (a) 7.56% 7.54% 9.22% (.14%) 9.35%
Ratios/Supplemental Data Ratios to average net assets:
Net investment income 6.16% 6.31% 6.50% 5.51% 5.85%
Expenses, after expense reductions 1.00% .95% .83% .66% .37%
Expenses, before expense reductions 1.27% 1.37% 1.48% 1.47% 2.10%
Portfolio turnover rate 13.87% 44.35% 43.12% 84.35% 93.88%
Net assets at end of year (000) $31,281 $23,433 $23,222 $21,683 $20,065
<FN>
(a) Sales loads are not reflected in computing total return.
Note: From September 1, 1994 to September 28, 1995 the Fund issued
class B Shares, which at the time of their conversion to Class A
shares on September 28, 1995 represented less than 1% of the Fund's net assets.
</FN>
</TABLE>
<TABLE>
Thornburg Limited Term Income Fund
<CAPTION>
Per share operating performance
(for a share outstanding
throughout the year) Period from
September 1, (a)
Year Ended September 30, to September 30,
<S> <C> <C> <C> <C>
1997 1996 1995 1994
Class of Shares: C C C C
Net asset value, beginning of year $12.20 $12.08 $11.78 $11.92
Income from investment operations:
Net investment income .71 .71 .70 .06
Net realized and unrealized
gain (loss) on investments .14 .12 .30 (.14)
Total from investment operations .85 .83 1.00 (.08)
Less distributions from:
Net investment income (.71) (.71) (.70) (.06)
Change in net asset value .14 .12 .30 (.14)
Net asset value, end of year $12.34 $12.20 $12.08 $11.78
Total return (b) 7.13% 7.12% 8.87% (.72%)
Ratios/Supplemental Data Ratios to average net assets:
Net investment income 5.76% 5.91% 6.03% 5.14%(c)
Expenses, after expense reductions 1.40% 1.36% 1.36% 1.20%(c)
Expenses, before expense reductions 2.44% 3.20% 4.75% 1.20%(c)
Portfolio turnover rate 13.87% 44.35% 43.12% 84.35%
Net assets at end of year (000) $5,382 $2,695 $1,032 $53
<FN>
(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.
</FN>
</TABLE>
<TABLE>
Thornburg Limited Term Income Fund
<CAPTION>
Per share operating performance
(for a share outstanding
throughout the year)
Year Ended September 30,
<S> <C> <C>
1997 1996
Class of Shares: I I*
Net asset value, beginning of year $12.23 $11.95
Income from investment operations:
Net investment income .80 .19
Net realized and unrealized
gain (loss) on investments .13 .28
Total from investment operations .93 .47
Less distributions from:
Net investment income (.80) (.19)
Change in net asset value .13 .28
Net asset value, end of year $12.36 $12.23
Total return (b) 7.80% 3.97%
Ratios/Supplemental Data Ratios to average net assets:
Net investment income 6.44% 6.67%(c)
Expenses, after expense reductions .69% .69%(c)
Expenses, before expense reductions 1.98% 4.26%(c)
Portfolio turnover rate 13.87% 44.35%
Net assets at end of year (000) $4,495 $797
<FN>
(a) Commencement of operations.
(b) Not annualized for periods less than one year.
Sales of Class I shares commenced on July 5, 1996.
</FN>
</TABLE>
<TABLE>
s c h e d u l e o f i n v e s t m e n t s
<CAPTION>
Thornburg Limited Term U. S. Government Fund
September 30, 1997 CUSIPS: Class A - 885-215-103, Class C - 885-215-830, Class I
- 885-215-699 NASDAQ Symbols: Class A - LTUSX, Class C -LTUCX (Proposed),
Class I - LTUIX (Proposed)
<S> <C> <C>
Principal Security Name Value
U.S. Government Agencies (52.70%)
$38,496 Bear Stearns Secured Investors Trust, Collateralized Mortgage Obligation
Series 1, Class D, 9.00% due 6/1/17 $38,315
207,753 Collateralized Mortgage Security Corp. Series 1989-2, Class F, 9.30% due 2/25/19 208,532
80,437 Federal Home Loan Mortgage Corporation, Pool# M30002, 9.00% due 11/1/05 81,241
4,096,850 Federal Home Loan Mortgage Corporation, Pool# M80406, 7.00% due 1/1/03 4,137,367
325,056 Federal Home Loan Mortgage Corporation, Collateralized Mortgage Obligation
Series 150, Class E, 9.00% due 1/15/06 327,901
4,100,000 Federal Home Loan Mortgage Corporation, Collateralized Mortgage Obligation
Series 1143, Class VC, 7.50% due 9/15/00 4,132,021
5,000,000 Federal Home Loan Mortgage Corporation, Collateralized Mortgage Obligation
Series 1216, Class E, 7.00% due 3/15/05 5,064,050
1,962,915 Federal Home Loan Mortgage Corporation, Collateralized Mortgage Obligation
Series 1330, Class E, 7.00% due 9/15/99 1989,905
1,397,328 Federal Home Loan Mortgage Corporation, Pool# E00107, 8.00% due 7/1/07 1,443,104
5,000,000 Federal Home Loan Bank Board, 6.055% due 7/28/00 5,003,900
1,000,000 Federal Home Loan Mortgage Corporation, Collateralized Mortgage Obligation
Series 1586, Class FA, 5.64% (adjustable rate) due 8/15/07 1,004,060
2,000,000 Federal Farm Credit Bank Medium Term Note, 7.95% due 1/2/98 2,011,560
1,000,000 Federal Home Loan Bank, 7.95% due 10/1/01 1,000,000
2,100,000 Federal Home Loan Bank Board, 7.11% due 8/19/99 2,128,875
2,265,000 Federal Home Loan Bank Board, 6.50% due 11/29/05 2,286,223
757,208 Federal Home Loan Mortgage Corporation, Pool# 141016, 9.25% due 11/1/16 813,461
126,552 Federal Home Loan Mortgage Corporation, Pool# 180367, 10.00% due 11/1/10 138,096
428,593 Federal Home Loan Mortgage Corporation, Pool# 181730, 8.50% due 5/1/08 446,950
256,872 Federal Home Loan Mortgage Corporation, Collateralized Mortgage Obligation
Series 59, Class D, 9.70% due 1/15/16 257,673
272,943 Federal Home Loan Mortgage Corporation, Pool# 160043, 8.75% due 4/1/08 286,464
530,485 Federal Home Loan Mortgage Corporation, Pool# 200075, 9.00% due 9/1/04 554,378
155,207 Federal Home Loan Mortgage Corporation, Pool# 250714, 9.75% due 5/1/10 166,288
17,461 Federal Home Loan Mortgage Corporation, Pool# 250936, 10.50% due 8/1/99 18,661
201,248 Federal Home Loan Mortgage Corporation, Pool# 252986, 10.75% due 4/1/10 222,259
61,816 Federal Home Loan Mortgage Corporation, Pool# 256111, 10.75% due 8/1/00 66,165
302,914 Federal Home Loan Mortgage Corporation, Pool# 256764, 8.75% due 10/1/14 317,921
293,233 Federal Home Loan Mortgage Corporation, Pool# 213924, 9.00% due 10/1/01 304,531
582,796 Federal Home Loan Mortgage Corporation, Pool# 216502, 8.00% due 4/1/02 589,399
303,227 Federal Home Loan Mortgage Corporation, Pool# 260486, 9.00% due 1/1/10 322,436
241,339 Federal Home Loan Mortgage Corporation, Pool# 770297, 6.50%
(adjustable rate) due 6/1/18 240,363
15,564 Federal Home Loan Mortgage Corporation, Pool# 220001, 10.75% due 7/1/00 16,395
189,151 Federal Home Loan Mortgage Corporation, Pool# 220010, 8.75% due 8/1/01 199,377
205,944 Federal Home Loan Mortgage Corporation, Pool# 276638, 9.25% due 8/1/16 221,291
254,491 Federal Home Loan Mortgage Corporation, Pool# 279611, 9.25% due 10/1/16 271,733
88,346 Federal Home Loan Mortgage Corporation, Pool# 431035, 11.50% due 7/1/10 97,452
244,933 Federal Home Loan Mortgage Corporation, Pool# 294817, 9.75% due 1/1/17 266,230
122,544 Federal Home Loan Mortgage Corporation, Pool# 298107, 10.25% due 8/1/17 135,267
108,404 Federal Home Loan Mortgage Corporation, Pool# 500166, 12.00% due 9/1/00 116,399
2,000,000 Federal National Mortgage Association, Collateralized Mortgage Obligation
Series 1991-134, Class KE, 7.00% due 5/25/08 1,975,000
850,000 Federal National Mortgage Association, Collateralized Mortgage Obligation
Series 1992-22, Class HC, 7.00% due 3/25/07 863,277
1,250,000 Federal National Mortgage Association, Collateralized Mortgage Obligation
Series 1992-33, Class F, 5.69% (adjustable rate) due 3/25/22 1,278,513
1,536,524 Federal National Mortgage Association, Collateralized Mortgage Obligation
Series 1992-60, Class C, 7.50% due 4/25/99 1,555,730
792,074 Federal National Mortgage Association, Collateralized Mortgage Obligation
Series 62, Class E, 7.00% due 5/25/99 795,780
1,150,000 Federal National Mortgage Association, Collateralized Mortgage Obligation
Series 1992-145, Class L, 7.50% due 1/25/06 1,168,688
1,000,000 Federal National Mortgage Association,Collateralized Mortgage Obligation
Series 1992-64, Class G, 7.00% due 12/25/18 1,008,120
1,900,000 Federal National Mortgage Association, Collateralized Mortgage Obligation
Series 1993-12, Class EC, 7.50% due 9/25/01 1,923,142
500,000 Federal National Mortgage Association, Collateralized Mortgage Obligation
Series 1993-185, Class FJ, 5.62% (adjustable rate) due 9/25/22 508,125
1,800,000 Federal National Mortgage Association, Collateralized Mortgage Obligation
Series 1993-187, Class FC, 5.62% (adjustable rate) due 11/25/21 1,832,616
1,500,000 Federal National Mortgage Association, 6.50% due 11/25/06 1,482,645
45,514 Federal National Mortgage Association, Pool# 02473, 10.50% due 1/1/01 47,241
988,963 Federal National Mortgage Association, Pool# 08307, 8.00% due 5/1/08 1,022,765
90,676 Federal National Mortgage Association, Pool# 10294, 8.50% due 9/1/07 93,134
7,861 Federal National Mortgage Association, Pool# 16072, 11.50% due 5/1/00 8,227
226,762 Federal National Mortgage Association, Pool# 19535, 10.25% due 7/1/08 247,953
42,949 Federal National Mortgage Association, Collateralized Mortgage Obligation
Series 1989-2, Class C, 8.80% due 4/25/17 42,842
1,486,794 Federal National Mortgage Association, Pool# 33356, 9.25% due 8/1/16 1,605,902
114,574 Federal National Mortgage Association, Pool# 38493, 8.75% due 10/1/08 120,549
190,101 Federal National Mortgage Association, Pool# 40526, 9.25% due 1/1/17 205,113
1,142,603 Federal National Mortgage Association, Pool# 44003, 8.00% due 6/1/17 1,190,809
55,672 Federal National Mortgage Association, Pool# 50409, 9.00% due 2/1/98 55,867
423,792 Federal National Mortgage Association, Pool# 58816, 9.25% due 12/1/02 441,210
500,197 Federal National Mortgage Association, Pool# 63791, 8.25% due 7/01/02 510,391
819,289 Federal National Mortgage Association, Pool# 64011, 9.25% due 7/1/03 852,962
5,000,000 Federal National Mortgage Association, Pool# 73040, 7.625% due 9/1/01 5,100,000
851,194 Federal National Mortgage Association, Pool# 76388, 9.25% due 9/1/18 920,345
182,793 Federal National Mortgage Association, Pool# 77725, 9.75% due 10/1/18 198,170
375,000 Federal National Mortgage Association, Medium Term Note, 6.05% due 6/30/03 371,835
607,530 Federal National Mortgage Association, Pool# 112067, 9.50% due 10/1/16 657,262
1,760,196 Federal National Mortgage Association, Pool# 156156, 8.50% due 4/1/21 1,852,958
886,600 Federal National Mortgage Association, Pool# 345775, 8.50% due 12/1/24 933,323
328,733 Federal Home Loan Mortgage Corporation, Pool# D06907, 9.00% due 4/1/17 349,374
180,805 Federal Home Loan Mortgage Corporation, Pool# D06908, 9.50% due 9/1/17 194,422
1,006,181 Government National Mortgage Association, GNMA II Pool# 623, 8.00% due 9/20/16 1,053,120
110,091 Government National Mortgage Association, GNMA II Pool# 862, 9.00% due 10/20/02 113,920
26,204 Government National Mortgage Association, GNMA II Pool# 956, 10.00% due 3/20/03 27,866
44,179 Government National Mortgage Association, GNMA II Pool# 1228, 10.00% due 7/20/04 46,981
144,203 Government National Mortgage Association, GNMA II Pool# 1408, 9.50% due 5/20/05 151,894
1,110,346 Government National Mortgage Association, Pool# 362865, 8.00% due 7/15/03 1,135,329
1,208,389 Government National Mortgage Association, Pool#016944, 7.50% due 5/15/07 1,241,233
1,235,724 Government National Mortgage Association, Pool# 19832 Project Loan, 8.25%
due 7/15/05 1,277,430
74,074 Government National Mortgage Association, Pool# 35861, 10.875% due 2/15/10 82,735
1,006,010 Government National Mortgage Association, Pool # 453928, 7.00% due 7/15/17 1,016,071
19,675 Government National Mortgage Association, GNMA II Pool# 112262,
11.50% due 2/20/99 20,788
33,563 Government National Mortgage Association, Pool# 161848, 9.00% due 8/15/01 34,629
108,623 Government National Mortgage Association, Pool# 276712, 11.00% due 3/15/00 114,291
363,555 Government National Mortgage Association, Pool# 296697, 9.50% due 10/15/05 386,277
476,310 Government National Mortgage Association, Pool# 306636, 8.25% due 12/15/06 490,003
83,326 Small Business Administration Series 1988-10B, 9.80% due 6/01/98 84,776
800,000 Tennessee Valley Authority, 8.375% due 10/01/99 835,872
1,000,000 Tennessee Valley Authority, 7.45% due 10/15/01 1,026,090
Total U.S. Government Agencies (Cost $75,924,669) 77,479,838
United States Treasury (47.30%)
1,500,000 United States Treasury Notes, 7.875% due 4/15/98 1,518,510
5,000,000 United States Treasury Notes, 8.25% due 7/15/98 5,100,800
10,000,000 United States Treasury Notes, 7.50% due 11/15/01 10,539,100
1,200,000 United States Treasury Notes, 6.25% due 2/15/03 1,211,436
5,000,000 United States Treasury Notes, 5.75 due 8/15/03 4,922,650
9,750,000 United States Treasury Notes, 7.25 due 5/15/04 10,353,232
5,200,000 United States Treasury Notes, 7.25% due 8/15/04 5,528,224
7,850,000 United States Treasury Notes, 6.875% due 8/31/99 7,998,444
5,000,000 United States Treasury Notes, 7.50% due 10/31/99 5,160,150
1,300,000 United States Treasury Notes, 7.75% due 1/31/00 1,352,611
1,400,000 United States Treasury Notes, 6.50% due 5/15/05 1,429,750
5,000,000 United States Treasury Notes, 6.25% due 4/30/01 5,044,550
1,000,000 United States Treasury Notes, 7.875% due 1/15/98 1,007,190
2,050,000 United States Treasury Notes, 6.25% due 1/31/02 2,068,901
Total United States Treasury (Cost $62,377,733) 63,235,548
TOTAL INVESTMENTS (100%) (Cost $138,302,402) $140,715,386
<FN>
See notes to financial statements.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Thornburg Limited Term Income Fund
September 30, 1997 CUSIPS: Class A - 885-215-509, Class C - 885-215-764 , Class
I - 885-215-681 NASDAQ Symbols: Class A - THIFX, Class C - THICX (Proposed),
Class I - THIIX (Proposed)
<S> <C> <C> <C>
Credit Rating+
Principal* Security Name Moody's/S&P Value
U.S. GOVERNMENT SECURITIES - 15.39%
$750,000 United States Treasury Notes, 8.00% due 5/15/01 Aaa/AAA $799,215
250,000 United States Treasury Notes, 6.375% due 1/15/99 Aaa/AAA 251,915
500,000 United States Treasury Notes, 6.375% due 8/15/02 Aaa/AAA 507,655
500,000 United States Treasury Notes, 6.25% due 2/15/03 Aaa/AAA 504,765
600,000 United States Treasury Notes, 4.75% due 10/31/98 Aaa/AAA 594,000
2,350,000 United States Treasury Notes, 6.875% due 8/31/99 Aaa/AAA 2,394,439
1,100,000 United States Treasury Notes, 6.50% due 5/15/05 Aaa/AAA 1,123,375
Total U. S. Government Securities (Cost $6,049,790) 6,175,364
U.S. GOVERNMENT AGENCIES - 22.22%
623,894 Federal Home Loan Mortgage Corp, Seven Year Balloon Pool # N93035,
7.00% due 1/1/00 Aaa/AAA 629,566
316,683 Federal Home Loan Mortgage Corp., CMO Series 1019 Class E, 8.75%
due 7/15/20 Aaa/AAA 327,766
72,143 Federal Home Loan Mortgage Corp., CMO Series 1060 Class F, 7.25%
due 2/15/01 Aaa/AAA 72,323
500,000 Federal Home Loan Mortgage Corp., CMO Series 1208 Class D, 5.89%
due 2/15/22 Aaa/AAA 507,810
500,000 Federal Home Loan Mortgage Corp., CMO Series 1327 E, 7.50% due 7/15/07 Aaa/AAA 509,060
250,000 Hederal Home Loan Mortgage Corp, CMO Series 1537 B, 5.60% due 6/15/00 Aaa/AAA 247,155
900,000 Federal Home Loan Bank Board, 7.11% due 8/19/99 Aaa/AAA 912,375
86,320 Federal Home Loan Mortgage Corp., Pool #141540, 9.00% due 5/1/09 Aaa/AAA 91,788
62,260 Federal Home Loan Mortgage Corp., , 9.00% due 4/15/20 Aaa/AAA 63,136
299,751 Federal Home Loan Mortgage Corp., #214180, 9.75% due 11/1/01 Aaa/AAA 315,174
82,636 Federal Home Loan Mortgage Corp., Pool #216639, 8.25% due 4/1/02 Aaa/AAA 83,480
20,771 Federal Home Loan Mortgage Corp., Pool #220005, 8.75% due 4/1/01 Aaa/AAA 21,894
5,916 Federal Home Loan Mortgage Corp., Pool #296006, 8.00% due 6/1/17 Aaa/AAA 6,183
113,484 Federal Home Loan Mortgage Corp., Pool #503253, 9.50% due 7/1/05 Aaa/AAA 121,003
457,223 Federal Home Loan Mortgage Corp., Pool #850082, 9.00% due 10/1/05 Aaa/AAA 480,798
810,167 Federal National Mortgage Association, CMO Series 92-60 C, 7.50% due 4/25/99Aaa/AAA 820,294
131,112 Federal National Mortgage Association, CMO Series 92-150 G, 6.75% due 9/25/18Aaa/AAA 130,865
600,000 Federal National Mortgage Association, CMO Series G94-7 B, 7.50% due 5/17/24Aaa/AAA 626,436
1,000,000 Federal National Mortgage Association, REMIC Trust, 6.718% due 12/25/11 Aaa/AAA 999,168
60,791 Federal National Mortgage Association, Pool #1768, 8.00% due 10/1/06 Aaa/AAA 62,374
728,481 Federal National Mortgage Association, Pool #20155, 7.491% due 8/1/14 Aaa/AAA 729,508
25,939 Federal National Mortgage Association, Pool #103348, 9.00% due 10/1/97 Aaa/AAA 26,030
723,663 Federal National Mortgage Association, Pool # 297033, 8.00% due 12/1/09 Aaa/AAA 750,120
301,629 Government National Mortgage Association, Pool #827148, 6.50% due 2/20/24 Aaa/AAA 308,322
69,688 Government National Mortgage Association, Pool #305541, 9.00% due 5/15/03 Aaa/AAA 73,173
Total U. S. Government Agencies (Cost $8,777,763) 8,915,801
MORTGAGE BACKED SECURITIES - 1.34%
43,113 Collateralized Mortgage Obligation Trust, Series 56-B, 9.985% due 1/1/19 Aaa/AAA 47,586
500,000 GE Capital Mortgage Services, Series 92-13 G2, 7.00% due 1/1/08 Aaa/AAA 490,845
Total Mortgage Backed Securities (Cost $534,661) 538,431
CORPORATE BONDS - 5.45%
FINANCIAL
500,000 Transamerica Financial Corporation Series MTNC SUB, 6.06% due 6/15/98 A3/A 499,650
HEALTH SERVICES
500,000 Waukesha Health Systems, Incorporated, 5.65% due 8/15/26, put 10/07/97
(weekly demand notes) (LOC: Bank of America) Aa3/VMIG1 500,000
REAL ESTATE
181,125 Equitable Lord Realty Corporation, 10.50% due 12/30/97
(Debt assumed by Equitable Life)A2/AA- 182,776
UTILITIES
1,000,000 Carolina Power & Light, 6.80% due 8/15/07 A2/A 1,004,611
Total Corporate Bonds (Cost $2,180,737) 2,187,037
TAXABLE MUNICIPAL BONDS - 33.48%
1,500,000 Austin Texas General Obligation, 6.90% due 3/1/02 Aa2/AA 1,534,260
285,000 Baltimore Economic Development Authority, 8.50% due 8/1/02
(Arcade LP Project) A/BBB+ 302,240
80,000 Beaumont Housing Multifamily Mortgage Series 1995-B, 7.50% due 6/15/00
(Insured: FHA) Aaa/NR 81,648
1,025,000 Connecticut St. Development Authority, 8.55% due 8/15/05 NR/A+ 1,136,151
905,000 Cook County Township HS District # 205 Series 1995-B, 8.30% due 12/1/97
(Insured: FGIC) Aaa/AAA 909,498
510,000 Dauphin County Pennsylvania General Authority Health Center, 7.25%
due 9/1/10 NR/NR 510,204
115,000 Duquesne Pennsylvania General Obligation, 6.75 due 12/15/01 (Insured: MBIA)NR/AAA 115,722
125,000 Duquesne Pennsylvania General Obligation, 6.75 due 12/15/02 (Insured: MBIA)NR/AAA 125,799
130,000 Duquesne Pennsylvania General Obligation, 6.95 due 12/15/03 (Insured: MBIA)NR/AAA 130,955
175,000 Gardena Financing Agency Lease, 6.50% due 7/1/98
(Municipal Mutual Insurance Project) NR/BBB 175,999
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 1,000,500
845,000 Idaho Housing Multifamily Housing Revenue Series 94-B, 8.15% due 7/1/04 A/NR 908,130
405,000 King County Washington General Obligation, 7.55% due 12/01/05 Aa1/AA+ 423,743
100,000 Kiryas Joel Village, New York General Obligation Series B, 8.50% due 1/1/00Baa/NR 103,987
1,000,000 Los Angeles County Pension Obligation, 8.30% due 6/30/02 (Insured: FSA) Aaa/AAA 1,074,500
870,000 Maine Health & Higher Ed Fac Series A, 7.35% due 7/1/12
(Nursing Home Project; LOC: Sumitumo Bank) NR/A 879,474
300,000 Massachusetts Industrial Financing Authority Resource Recovery Revenue
Refunding, 6.95% due 7/1/99 (Insured: FSA) Aaa/AAA 304,029
415,000 Miami Beach Housing Authority Revenue, 6.75% due 3/1/03 A3/NR 415,415
305,000 New Jersey Economic Development Authority Series B, 7.10% due 9/15/02 A1/A+ 312,640
50,000 New Jersey State Housing & Mortgage Financing Agency Series E, 7.40%
due 11/1/98 NR/A+ 50,434
95,000 New Jersey State Housing & Mortgage Financing Agency Series E, 7.95%
due 11/1/00 NR/A+ 97,987
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 1,382,210
100,000 New York City Series D, 10.00% due 8/1/05 Baa1/BBB+ 113,863
200,000 New York City Series 1991, 10.50% due 11/15/13 Aaa/AAA 232,770
1,000,000 Pennsylvania Housing Finance Agency, 8.40% due 4/1/10 Aa/AA+ 1,064,790
45,000 Tucson & Pima County IDA SFMR Series A, 7.00% due 12/1/03 A1/NR 45,345
Total Taxable Municipal Bonds (Cost $13,047,763) 13,432,293
FOREIGN SECURITIES - 19.13%
2,000,000 British Columbia Province, 9.00% due 6/21/04 (Canadian Dollars) Aa1/AA+ 1,718,751
1,000,000 Irish Government, 8.00% due 8/18/06 (Irish Punts) A1/NR 1,654,698
1,000,000 Manitoba Province, 7.875% due 4/7/03 (Canadian Dollars) A1/NR 806,830
1,500,000 New Zealand Government,8.00% due 4/15/04 (New Zealand Dollars) Aaa/AAA 1,026,706
1,400,000 New Zealand Government,10.00% due 3/15/02 (New Zealand Dollars) Aaa/NR 1,008,466
1,800,000 Toronto Metropolitan, 7.75% due 12/1/05 (Canadian Dollars) A1/NR 1,458,298
Total Foreign Securities (Cost $7,253,725) 7,673,749
COMMERCIAL PAPER - 2.99%
900,000 Ford Motor Credit, 5.57% due 10/7/97 899,164
300,000 Merrill Lynch, 5.65% due 10/3/97 299,906
Total Commercial Paper (Cost $1,199,070) 1,199,070
<FN>
Total Investments (100%) (Cost $39,043,509) $40,121,745
+Credit ratings are unauduted.
See notes to financial statements.
* Principal amount in U.S. Dollars unless otherwise indicated, value is in U.S. dollars
</FN>
</TABLE>
i n d e p e n d e n t a u d i t o r ' s r e p o r t
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, 1997; the related statement of operations, the statement of
changes in net assets, and the financial highlights for the periods indicated.
These financial statements and financial highlights are the responsibility of
the Funds'management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audit.
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 financial
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, 1997, 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, 1997, the results of their net assets, the changes in
their net assets and the financial highlights for the periods indicated, in
conformity with generally accepted accounting principles.
New York, New York
October 24, 1997
Thornburg Limited Term U.S. Government Fund
Outperformed Taxable Money Market Funds
Return for the money fund average is based upon 30 day yield quotations for
taxable money funds as quoted in "Donoghue's Money Fund Report" for the months
covered by this analysis. The return for Limited Term U.S. Government Fund and
the Limited Term Income Fund is based upon the dividends paid for the months
covered by this analysis, the beginning offering price of $12.44 and $12.44 per
share, respectively and the ending NAV at $12.31 and $12.37 per share,
respectively. These investments returned the $100,000 initial investment in
addition to the amounts shown above. This analysis assumes that the dividends
from each of these investment vehicles were reinvested and compounded monthly.
Most money funds declare dividends daily and pay them monthly. LTUSX also
declares dividends daily and pays them monthly.
The average money market fund increases shown may differ from the return of a
particular fund. It is not possible to invest in these money fund averages.
Note 1: Future performance of any of these investments may bear no relationship
to prior performance. Return quotations for the money fund averages are based
upon 30 day yield quotations for taxable and tax exempt money funds as quoted in
"Donoghue's Money Fund Report" for the months covered by this analysis. Note 2:
This analysis does not take into account the effect, if any, caused by taxes.
Note 3: The net asset value of the money funds did not fluctuate. Money funds
seek to maintain a constant net asset value. The net asset value of LTUSX did
vary from time to time, and it will continue to vary in the future. The analysis
assumes that the investor receives net asset value of share owned, plus accrued
income, at redemption. Due to the effect of sales commissions, net asset value
of the Limited Term U.S. Government, and Income Fund shares are less than the
offering price of the shares. Redemptions are made at the then current net asset
value and you may have a gain or a loss when you redeem shares. Note 4: This
analysis assumes that the dividends from each of these investment vehicles are
reinvested and compounded monthly. Most money funds declare dividends daily and
pay them monthly. Limited Term U.S. Government , and Income Fund also declare
dividends daily and pay them monthly. Note 5: See the inside front cover of this
report for the 30 day SEC yield and the total returns at the maximum offering
price for one year, five years, and since inception of the fund.
