Thornburg Limited Term Income Funds
As of 3-31-97
A Shares C Shares I Shares
SEC Yield 6.01% 5.76% 6.49%
NAV $12.15 $12.12 $12.15
Max. Offering Price $12.46 $12.12 $12.15
1 Year 4.65% 6.91% NA
3 Year 5.80% NA NA
Since Inception 5.67% 6.76% 6.70%*
(Inception Date) (10/1/92) (9/1/94) (7/5/96)
A Shares C Shares I Shares
SEC Yield 6.16% 5.83% 6.70%
NAV $12.13 $12.18 $12.13
Max. Offering Price $12.44 $12.18 $12.13
1 Year 1.81% 3.94% NA
5 Year 5.24% NA NA
Since Inception 6.84% 5.79% 4.88%*
(Inception Date) (11/16/87) (9/1/94) (7/5/96)
* Not Annualized.
**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.
Semi-Annual Report for Thornburg Limited Term Income Funds
Letter to Shareholders 3
THORNBURG LIMITED TERM U.S. GOVERNMENT FUND
Statement of Assets and Liabilities 6
Statement of Operations 7
Statements of Change in Net-Assets 8
Notes to Financial Statements 10
Financial Highlights 16
Portfolio / Schedule of Investment 22
THORNBURG LIMITED TERM INCOME FUND
Statement of Assets and Liabilities 6
Statement of Operations 7
Statements of Change in Net-Assets 9
Notes to Financial Statements 10
Financial Highlights 19
Portfolio / Schedule of Investment 25
l e t t e r t o s h a r e h o l d e r s (continued)
Dear Fellow Shareholder:
I am pleased to present the Semi-Annual Report for Thornburg Limited Term Income
Fund and Thornburg Limited Term U.S. Government Fund for the six month period
ending March 31, 1997. The net asset value of the A shares of the Thornburg
Limited Term Income Fund ended the period at $12.15. If you were invested for
the entire period, you received dividends of 38.4 cents per share. If you
reinvested your dividends, you received 38.9 cents per share. Investors who
owned C shares received 35.8 and 36.3 cents per share, respectively. Investors
who owned I shares received 40.3 and 40.8 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 $12.13. If you were invested for the entire period, you
received dividends of 38.0 cents per share. If you reinvested your dividends,
you received 38.2 cents per share. Investors who owned C shares received 35.2
and 35.6 cents per share, respectively. Investors who owned I shares received
39.9 and 40.5 cents per share, respectively.
Please read the accompanying exhibits for more detailed information and history.
The last six months have seen changes in the public perception of the direction
of interest rates. After a slight slow down in the economy last summer, people
were expecting interest rates to continue to go lower. However, the strength in
the economy reasserted itself in the last quarter of 1996 and the first quarter
of 1997. This prompted the Federal Reserve Open Market Committee to tighten
interest rate policy in its March meeting. So now, after initially falling in
the fourth quarter, interest rates are a little higher than they were six months
ago. It still would not surprise me to see interest rates rise a little over the
next year. The economic reports, while mixed, are generally showing a US economy
that is moving along steadily and the economies of other developed countries are
firming as well.
The Dow Jones Industrial Average has recently reached another record level.
Investors are still pouring money into the stock market. It might be a good time
to see whether the outsized gains over the last couple of years have unbalanced
the asset allocation of your investment portfolio. It might be a little more
heavily weighted in stocks than you intended. It could be time to look at adding
more intermediate bonds to your portfolio to balance the asset allocation. The
yield level of intermediate bonds is currently about 3 times the dividend yield
of the S&P 500 (currently about 2%). Intermediate bonds can provide a
stabilizing presence to the principal value of a portfolio. Intermediate bonds
have only had 1 down year on a total return basis in the last 25 years,
according to a study by Ibbotson Associates. And according to that same study,
intermediate bonds have historically provided about 160% of the return of
Treasury Bills. Take a look at the charts (inside back cover) 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.
Your funds 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. A
bond due in May 2002 will be worth 100 when it matures. It may be worth 96 or
104 in the open market today, but it will be worth 100 when it matures. Think
about that. Nothing has happened in the last several years of rising and falling
interest rates to change the ultimate maturity value of most of the bonds you
own through investment in these funds. We feel a laddered maturity portfolio of
short-to-intermediate bonds is a sensible strategy over time.
Thank you for investing in our funds. Intermediate bonds have proven to be a
sensible part of a portfolio. 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.
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, 1997 U. S. Government Income
(unaudited) Fund Fund
ASSETS
Investments at value (cost $136,952,269
and $33,430,262, respectively) $137,681,415 $33,830,860
Cash 2,857 36,022
Receivable for fund shares sold 747,381 168,977
Receivable for investments sold 76,842 --
Interest receivable at market value 1,589,046 569,559
Principal receivable 165,172 20,502
Prepaid expenses and other assets 33,479 73,657
TOTAL ASSETS 140,296,192 34,699,577
LIABILITIES
Payable for fund shares redeemed 226,865 17,023
Accounts payable and accrued expenses 176,453 87,170
Dividends payable 228,596 75,137
TOTAL LIABILITIES 631,914 179,330
NET ASSETS $139,664,278 $34,520,247
NET ASSET VALUE:
Class A Shares:
Net asset value and redemption price per share
($135,273,153 and $12.13 $12.15
$27,485,432 applicable to 11,151,859
and 2,262,691 shares of
beneficial interest outstanding - Note 4)
Maximum sales charge, 2.50% of offering
price (2.57% of net asset value per share) .31 .31
Maximum Offering Price Per Share $12.44 $12.46
Class C Shares:
Net asset value and offering price
per share* ($4,206,948 $12.18 $12.12
and $4,968,019 applicable to 345,330 and 409,862 shares of beneficial
interest outstanding - Note 4)
Class I Shares:
Net asset value, offering and redemption
price per share ($184,178 $12.13 $12.15
and $2,066,796 applicable to 15,188
and 170,158 shares of beneficial
interest outstanding - Note 4)
* Redemption price per share is equal to net asset value less any applicable
contingent deferred sales charges.
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 Months Ended March 31, 1997
(unaudited)
INVESTMENT INCOME:
Interest income (net of premium amortized of $147,348 and
$39,072, respectively) $ 5,081,548 $ 1,095,981
EXPENSES:
Investment advisory fees 267,786 75,802
Administration fees (Note 3)
Class A Shares 86,938 15,669
Class C Shares 2,253 2,494
Class I Shares 28 315
Distribution and service fees (Note 3)
Class A Shares 169,269 30,066
Class C Shares 9,012 9,975
Transfer agent fees 68,497 26,801
Custodian fees 55,355 24,685
Registration and filing f 24,996 19,776
Professional fe 13,335 4,647
Accounting fees 7,978 1,745
Other expenses 11,887 6,899
TOTAL EXPENSES 717,334 218,874
Less:
Expenses deferred by investment adviser
(Note 3) (18,789) (60,380)
NET EXPENSES 698,545 158,494
NET INVESTMENT INCOME 4,383,003 937,487
REALIZED AND UNREALIZED GAIN (LOSS) (Note 5)
Net realized gain (loss) on:
Investments (117,740) 10,010
Foreign currency transactions -- 3,854
(117,740) 13,864
Net unrealized depreciation on:
Investments (1,102,012) (309,407)
Foreign currency translation -- (4,297)
(1,102,012) (313,704)
NET REALIZED AND UNREALIZED
LOSS ON INVESTMENTS (1,219,752) (299,840)
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $ 3,163,251 $ 637,647
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 Months Ended Year Ended
March 31, 1997 September 30, 1996
-------------------------------------
INCREASE (DECREASE) IN
NET ASSETS FROM:
OPERATIONS:
Net investment income $4,383,003 $8,845,210
Net realized gain (loss) on
investments sold (117,740) 72,307
Unrealized depreciation of investments (1,102,012) (1,945,835)
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 3,163,251 6,971,682
DIVIDENDS TO SHAREHOLDERS:
From net investment income
Class A Shares (4,276,257) (8,688,345)
Class C Shares (103,040) (156,731)
Class I Shares (3,706) (134)
FUND SHARE TRANSACTIONS - (Note 4):
Class A Shares (3,063,932) (1,502,761)
Class C Shares 1,470,489 600,667
Class I Shares 178,432 8,859
NET DECREASE IN NET ASSETS (2,634,763) (2,766,763)
NET ASSETS:
Beginning of period 142,299,041 145,065,804
End of period $139,664,278 $142,299,041
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 Months Ended Year Ended
March 31, 1997 September 30, 1996
---------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS FROM:
OPERATIONS:
Net investment income $937,487 $1,593,704
Net realized gain on investments
sold 10,010 91,112
Net realized gain(loss)on
foreign currency transactions 3,854 (1,153)
Increase (Decrease) unrealized
appreciation of investments (313,704) 143,555
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 637,647 1,827,218
DIVIDENDS TO SHAREHOLDERS:
From net investment income:
Class A Shares (779,861) (1,472,722)
Class C Shares (116,329) (109,230)
Class I Shares (41,297) (11,752)
FUND SHARE TRANSACTIONS - (Note 4):
Class A Shares 4,265,302 10,842
Class C Shares 2,332,814 1,647,565
Class I Shares 1,296,780 778,309
NET INCREASE IN NET ASSETS 7,595,056 2,670,230
NET ASSETS:
Beginning of period 26,925,191 24,254,961
End of period $34,520,247 $26,925,191
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 series of Thornburg Investment Trust (the
"Trust", formerly known as Thornburg Income Trust). The Trust is organized as a
Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and
is registered as a diversified, open-end management investment company under the
Investment Company Act of 1940, as amended. The Trust is currently issuing four
series of shares of beneficial interest in addition to those of the Funds:
Thornburg Florida Intermediate Municipal Fund, Thornburg New Mexico Intermediate
Municipal Fund, Thornburg Intermediate Municipal Fund and Thornburg Value Fund.
Each series is considered to be a separate entity for financial reporting and
tax purposes. 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. The Funds no longer offer
Class B shares. Each class of shares of a Fund represents an interest in the
same portfolio of investments of the Fund, except that (i) Class A shares are
sold subject to a front-end sales charge collected at the time the shares are
purchased and bear a service fee, (ii) Class B shares were sold at net asset
value without a sales charge at the time of purchase, but were subject to a
contingent deferred sales charge upon redemption, and bore both a service fee
and a distribution fee, (iii) Class C shares are sold at net asset value without
a sales charge at the time of purchase, but are subject to a service fee and a
distribution fee, (iv) Class I shares are sold at net asset value without a
sales charge at the time of purchase, and (v) 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 of the Funds, the Trust
utilizes 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 Trust 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 Trust may engage in
when-issued or delayed delivery transactions. To the extent the Trust 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
Trust makes a commitment to purchase a security on a when-issued basis, it will
record the transaction and reflect the value in determining the Funds net asset
value. When effecting such transactions, assets of the Funds of an amount
sufficient to make payment for the portfolio securities to be purchased will be
segregated on the Funds' records at the trade date. Securities purchased on a
when-issued or delayed delivery basis do not earn interest until the settlement
date.
Dividends: Net investment income of the Funds are declared daily as a dividend
on shares for which the Trust 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
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.
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 (continued)
Thornburg Investment Trust
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 six month
ending March 31, 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 Income Fund. Also, the Trust entered into 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.
In the event normal operating expenses of the Funds, exclusive of brokerage
commissions, taxes, interest, and extraordinary expenses, exceed the limits
prescribed by any state in which each Fund's shares are qualified for sale, the
Adviser will reimburse each Fund for such excess. No such reimbursement was
required as a result of this limitation. For the six month ended March 31, 1997,
the Adviser voluntarily deferred certain operating expenses amounting to $18,789
and $60,380 for the Government Fund and Income Fund, respectively. These
expenses may be repaid to the Advisor by the Fund, however such repayment will
depend upon the overall level of the Fund's expenses for the entire year ending
September 30, 1997.
The Trust have underwriting agreements with Thornburg Securities Corporation
(the "Distributor"), which acts as the Distributor of the Funds' shares. For the
six month ended March 31, 1997, the Distributor earned commissions aggregating
$11,497 and $9,058 from the sale of Class A shares of the Government Fund and
Income Fund, respectively, and collected contingent deferred sales charges
aggregating $729 and $2,697 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 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 Trust has also adopted Distribution Plans pursuant to Rule 12b-1, applicable
only to each Fund's Class C shares under which the Trust 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,
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 directors
of the Trust is borne by the Trust.
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 (continued)
Thornburg Investment Trust
Note 4 - SHARES OF BENEFICIAL INTEREST:
At March 31, 1997, there were an unlimited number of shares of beneficial
interest of each Fund authorized, and capital paid-in aggregated $146,633,998
and $34,984,689 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:
Government Fund
Six Months Ended Year Ended
March 31, 1997 September 30, 1996
Shares Amount Shares Amount
CLASS A SHARES:
Shares sold 838,575 $10,305,086 1,926,637 $23,786,000
Shares issued to shareholders
in reinvestment of
distributions 232,027 2,850,566 469,904 5,800,674
Shares repurchased (1,321,169) (16,219,584) (2,516,201)(31,089,435)
Net Decrease (250,567) ($3,063,932) (119,660)($1,502,761)
CLASS C SHARES:
Shares sold 130,430 $1,609,952 149,217 $1,847,259
Shares issued to shareholders
in reinvestment of
distributions 7,448 91,817 10,922 135,261
Shares repurchased (18,761) (231,280) (111,987) (1,381,853)
Net Increase 119,117 $1,470,489 48,152 $600,667
CLASS I SHARES:
Shares sold 87,386 $1,071,426 719 $8,724
Shares issued to shareholders
in reinvestment of
distributions 317 3,469 11 135
Shares repurchased (73,245) (896,463) -- --
Net Increase 14,458 $178,432 730 $8,859
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 (continued)
Thornburg Investment Trust
Note 4 - SHARES OF BENEFICIAL INTEREST (continued):
Income Fund
Six Months Ended Year Ended
March 31, 1997 September 30, 1996
Shares Amount Shares Amount
CLASS A SHARES:
Shares sold 486,550 $5,996,855 434,668 $5,275,181
Shares issued to shareholders
in reinvestment of
distributions 34,939 431,966 69,103 838,867
Shares repurchased (174,990) (2,163,519) (505,218) (6,103,206)
Net Increase (Decrease) 346,499 $4,265,302 (1,447) $10,842
CLASS C SHARES:
Shares sold 235,634 $2,908,932 167,611 $2,033,980
Shares issued to shareholders
in reinvestment of
distributions 8,811 108,539 8,173 98,796
Shares repurchased (55,492) (684,657) (40,352) (485,211)
Net Increase 188,953 $2,332,814 135,432 $1,647,565
CLASS I SHARES:
Shares sold 104,386 $1,288,361 64,202 $766,557
Shares issued to shareholders
in reinvestment of
distributions 3,164 39,745 969 11,752
Shares repurchased (2,563) (31,326) -- --
Net Increase 104,987 $1,296,780 65,171 $778,309
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 (continued)
Thornburg Investment Trust
Note 5 - SECURITIES TRANSACTIONS
For the six month ended March 31, 1997, portfolio purchase and sale transactions
(excluding short-term securities) were $16,995,981 and $8,920,079 for the
Government Fund and $15,054,815 and $1,583,932 for the Income Fund,
respectively.
The cost of investments for Federal income tax purposes is $136,972,206 and
$33,430,262 for the Government Fund and Income Fund, respectively. At March 31,
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 $1,610,692 $573,148
Gross unrealized
depreciation (881,546) (172,550)
Net unrealized
appreciation $729,146 $400,598
Accumulated net realized losses from securities transactions included in net
assets at March 31, 1997 aggregated $7,598,865 and $865,021 for the Government
Fund and Income Fund,
respectively.
For Federal income tax purposes, the Government Fund has capital loss
carryforwards of $7,477,671 as of September 30, 1996 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, 1997- $297,671, 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 $964,314 as of September 30, 1996 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- $589,421 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
<TABLE>
Thornburg Limited Term U. S. Government Fund
<CAPTION>
Per share operating performance
(for a share outstanding
throughout the period)
Six Months
EndedYear Ended September 30,
<S> <C> <C> <C> <C> <C> <C>
March 31, 1997 1996 1995 1994 1993 1992
Class of Shares: A A A A A A
------------------------------------- -- - -
Net asset value, beginning of period $12.24 $12.40 $12.03 $12.92 $12.83 $12.36
Income from investment operations:
Net investment income .38 .76 .75 .67 .73 .84
Net realized and unrealized
gain (loss) on investments (.11) (.16) .37 (.89) .09 .47
Total from investment operations .27 .60 1.12 (.22) .82 1.31
Less dividends from:
Net investment income (.38) (.76) (.75) (.67) (.73) (.84)
Change in net asset value (.11) (.16) .37 (.89) .09 .47
Net asset value, end of period $12.13 $12.24 $12.40 $12.03 $12.92 $12.83
Total return (a) 2.18% 4.92% 9.66% (1.72%) 6.61% 11.01%
Ratios/Supplemental Data Ratios to average net assets:
Net investment income 6.15%(b) 6.11% 6.23% 5.38% 5.61% 6.56%
Expenses, after expense reductions .97%(b) .99% .99% .95% 1.01% 1.00%
Expenses, before expense reductions .97%(b) .99% .99% .95% 1.01% 1.10%
Portfolio turnover rate 10.62% 23.27% 28.31% 80.58% 38.88% 34.82%
Net assets
at end of period(000) $135,273 $139,510 $142,849 $177,439 $201,443 $126,095
<FN>
(a) Sales loads are not reflected in computing total return, which is not annualized for periods less than one year.
(b) Annualized.
</FN>
</TABLE>
<TABLE>
f i n a n c i a l h i g h l i g h t s (continued)
<CAPTION>
Thornburg Limited Term U.S. Government Fund
Per share operating performance
(for a share outstanding
throughout the period) Period from
Six Months September 1, (a)
Ended Year Ended September 30, to September 30,
<S> <C> <C> <C> <C>
March 31, 1997 1996 1995 1994
Class of Shares: C C C C
Net asset value, beginning of period $12.29 $12.45 $12.08 $12.21
Income from investment operations:
Net investment income .35 .71 .69 .06
Net realized and unrealized
gain (loss) on investments (.11) (.16) .37 (.13)
Total from investment operations .24 .55 1.06 (.07)
Less distributions from:
Net investment income (.35) (.71) (.69) (.06)
Change in net asset value (.11) (.16) .37 (.13)
Net asset value, end of period $12.18 $12.29 $12.45 $12.08
Total return (b) 1.96% 4.51% 9.07% (.50%)
Ratios/Supplemental Data Ratios to average net assets:
Net investment income 5.71%(c) 5.72% 5.68% 5.45%(c)
Expenses, after expense reductions 1.40%(c) 1.39% 1.52% 1.63%(c)
Expenses, before expense reductions 1.74%(c) 2.35% 2.30% 1.63%(c)
Portfolio turnover rate 10.62% 23.27% 28.31% 80.58%
Net assets at end of period (000) $4,207 $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>
f i n a n c i a l h i g h l i g h t s (continued)
<CAPTION>
Thornburg Limited Term U.S. Government Fund
Per share operating performance
(for a share outstanding
throughout the period) Period from
Six Months September 1, (a)
Ended Year Ended September 30, to September 30,
<S> <C> <C> <C> <C>
March 31, 1997 1996 1995 1994
Class of Shares: I I** B* B
Net asset value, beginning of period $12.24 $12.14 $12.07 $12.21
Income from investment operations:
Net investment income .40 .20 .69 .06
Net realized and unrealized
gain (loss) on investments (.11) .10 .35 (.14)
Total from investment operations .29 .30 1.04 (.08)
Less distributions from:
Net investment income (.40) (.20) (.69) (.06)
Change in net asset value (.11) .10 .35 (.14)
Net asset value, end of period $12.13 $12.24 $12.42 $12.07
Total return (b) 2.37% 2.45% 9.19% (.60%)
Ratios/Supplemental Data Ratios to average net assets:
Net investment income 6.48%(c) 6.64%(c) 5.70% 5.63%(c)
Expenses, after expense reductions .59%(c) .58%(c) 1.51% 1.43%(c)
Expenses, before expense reductions 24.64%(c) 305.74%(c) 3.79% 1.43%(c)
Portfolio turnover rate 10.62% 23.27% 28.31% 80.58%
Net assets at end of period (000) $184 $9 $0 $27
<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.
* On September 28,1995, all Class B shares were converted into Class A shares.
** Sales of Class I shares commenced on July 5, 1996.
</FN>
</TABLE>
<TABLE>
f i n a n c i a l h i g h l i g h t s
<CAPTION>
Thornburg Limited Term Income Fund
Per share operating performance
(for a share outstanding throughout the period)
Six Months
EndedYear Ended September 30,
<S> <C> <C> <C> <C> <C>
March 31, 1997 1996 1995 1994 1993
Class of Shares: A A A A A
Net asset value, beginning of period $12.23 $12.11 $11.83 $12.55 $12.22
Income from investment operations:
Net investment income .38 .76 .76 .67 .77
Net realized and unrealized
gain (loss) on investments (.08) .12 .28 (.69) .33
Total from investment operations .30 .88 1.04 (.02) 1.10
Less distributions from:
Net investment income (.38) (.76) (.76) (.67) (.77)
Realized capital gain -- -- -- (.03) --
Change in net asset value (.08) .12 .28 (.72) .33
Net asset value, end of period $12.15 $12.23 $12.11 $11.83 $12.55
Total return (a) 2.47% 7.54% 9.22% (.14%) 9.35%
Ratios/Supplemental Data Ratios to average net assets:
Net investment income 6.22%(b) 6.31% 6.50% 5.51% 5.85%
Expenses, after expense reductions 1.00%(b) .95% .83% .66% .37%
Expenses, before expense reductions 1.27%(b) 1.37% 1.48% 1.47% 2.10%
Portfolio turnover rate 5.45% 44.35% 43.12% 84.35% 93.88%
Net assets at end of period (000) $27,485 $23,433 $23,222 $21,683 $20,065
<FN>
(a) Sales loads are not reflected in computing total return, which is not annualized for periods less than one year.
(b) Annualized.
</FN>
</TABLE>
<TABLE>
f i n a n c i a l h i g h l i g h t s (continued)
<CAPTION>
Thornburg Limited Term Income Fund
Per share operating performance
(for a share outstanding
throughout the period) Period from
Six Months September 1, (a)
Ended Year Ended September 30, to September 30,
<S> <C> <C> <C> <C>
March 31, 1997 1996 1995 1994
Class of Shares: C C C C
Net asset value, beginning of period $12.20 $12.08 $11.78 $11.92
Income from investment operations:
Net investment income .36 .71 .70 .06
Net realized and unrealized
gain (loss) on investments (.08) .12 .30 (.14)
Total from investment operations .28 .83 1.00 (.08)
Less distributions from:
Net investment income (.36) (.71) (.79) (.06)
Change in net asset value (.08) .12 .30 (.14)
Net asset value, end of period $12.12 $12.20 $12.08 $11.78
Total return (b) 2.27% 7.12% 8.87% (.72%)
Ratios/Supplemental Data Ratios to average net assets:
Net investment income 5.82%(c) 5.91% 6.03% 5.14%(c)
Expenses, after expense reductions 1.40%(c) 1.36% 1.36% 1.20%(c)
Expenses, before expense reductions 1.96%(c) 3.20% 4.75% 1.20%(c)
Portfolio turnover rate 5.45% 44.35% 43.12% 84.35%
Net assets at end of period (000) $4,968 $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>
f i n a n c i a l h i g h l i g h t s (continued)
<CAPTION>
Thornburg Limited Term Income Fund
Per share operating performance
(for a share outstanding
throughout the period) Period from
Six Months September 1, (a)
Ended Year Ended September 30, to September 30,
<S> <C> <C> <C> <C>
March 31, 1997 1996 1995 1994
Class of Shares: I I** B* B
Net asset value, beginning of period $12.23 $11.95 $11.82 $11.92
Income from investment operations:
Net investment income .40 .19 .72 .06
Net realized and unrealized
gain (loss) on investments (.08) .28 .28 (.10)
Total from investment operations .32 .47 1.00 (.04)
Less distributions from:
Net investment income (.40) (.19) (.72) (.06)
Change in net asset value (.08) .28 .28 (.10)
Net asset value, end of period $12.15 $12.23 $12.10 $11.82
Total return (b) 2.63% 3.97% 9.22% (.37%)
Ratios/Supplemental Data Ratios to average net assets:
Net investment income 6.53%(c) 6.67%(c) 5.96% 5.13%(c)
Expenses, after expense reductions .69%(c) .69%(c) 1.40% 1.14%(c)
Expenses, before expense reductions 3.03%(c) 4.26%(c) 19.72% 1.14%(c)
Portfolio turnover rate 5.45% 44.35% 43.12% 84.35%
Net assets at end of period (000) $2,067 $797 $0 $10
<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.
* On September 28,1995, all Class B shares were converted into Class A shares.
** 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
March 31, 1997 ...... CUSIPS: Class A - 885-215-103, Class C - 885-215-830, Class I - 885-215-699
Principal Security Name .............................................................................. Value
----------
<S> <C> <C>
U.S. Government Agencies (54.59%) (Cost $74,505,340)
$ 279,982 Bear Stearns Secured Investors Trust, Collateralized Mortgage Obligation
Series 1, Class D, 9.00% due 6/1/17 ........................................................ $ 283,569
394,911 Collateralized Mortgage Security Corp. Series 1989-2, Class F, 9.30% due 2/25/19 ........... 403,547
83,781 Federal Home Loan Mortgage Corporation, Pool# M30002, 9.00% due 11/1/05 .................... 85,456
4,339,925 Federal Home Loan Mortgage Corporation, Pool# M80406, 7.00% due 1/1/03 ..................... 4,316,619
464,695 Federal Home Loan Mortgage Corporation, Collateralized Mortgage Obligation
Series 150, Class E, 9.00% due 1/15/06 ..................................................... 471,665
4,100,000 Federal Home Loan Mortgage Corporation, Collateralized Mortgage Obligation
Series 1143, Class VC, 7.50% due 9/15/00 ................................................... 4,057,688
5,000,000 Federal Home Loan Mortgage Corporation, Collateralized Mortgage Obligation
Series 1216, Class E, 7.00% due 3/15/05 .................................................... 4,993,750
2,000,000 Federal Home Loan Mortgage Corporation, Collateralized Mortgage Obligation
Series 1330, Class E, 7.00% due 9/15/99 .................................................... 1,995,000
1,534,348 Federal Home Loan Mortgage Corporation, Pool # E00107, 8.00% due 7/1/07 .................... 1,563,623
1,000,000 Federal Home Loan Mortgage Corporation, Collateralized Mortgage Obligation
Series 1586, Class FA, 6.25% (adjustable rate) due 8/15/07 ................................. 983,430
2,000,000 Federal Farm Credit Bank Medium Term Note, 7.95% due 1/2/98 ................................ 2,025,620
7,000,000 Federal Home Loan Bank, Consolidated Bonds, 4.30% due 6/30/97 .............................. 6,949,600
2,100,000 Federal Home Loan Bank Board, 7.11% due 8/19/99 ............................................ 2,102,961
2,265,000 Federal Home Loan Bank Board, 6.50% due 11/29/05 ........................................... 2,170,142
766,267 Federal Home Loan Mortgage Corporation, Pool# 141016, 9.25% due 11/1/16 .................... 808,051
149,817 Federal Home Loan Mortgage Corporation, Pool# 180367, 10.00% due 11/1/10 ................... 163,249
510,465 Federal Home Loan Mortgage Corporation, Pool# 181730, 8.50% due 5/1/08 ..................... 526,427
467,630 Federal Home Loan Mortgage Corporation, Collateralized Mortgage Obligation
Series 59, Class D, 9.70% due 1/15/16 ...................................................... 470,553
304,868 Federal Home Loan Mortgage Corporation, Pool# 160043, 8.75% due 4/1/08 ..................... 317,157
635,358 Federal Home Loan Mortgage Corporation, Pool# 200075, 9.00% due 9/1/04 ..................... 657,392
193,537 Federal Home Loan Mortgage Corporation, Pool# 250714, 9.75% due 5/1/10 ..................... 206,922
46,633 Federal Home Loan Mortgage Corporation, Pool# 250936, 10.50% due 8/1/99 .................... 49,110
205,197 Federal Home Loan Mortgage Corporation, Pool# 252986, 10.75% due 4/1/10 .................... 224,262
74,007 Federal Home Loan Mortgage Corporation, Pool# 256111, 10.75% due 8/1/00 .................... 78,056
358,124 Federal Home Loan Mortgage Corporation, Pool# 256764, 8.75% due 10/1/14 .................... 371,350
350,201 Federal Home Loan Mortgage Corporation, Pool# 213924, 9.00% due 10/1/01 .................... 360,308
729,765 Federal Home Loan Mortgage Corporation, Pool# 216502, 8.00% due 4/1/02 ..................... 734,749
311,865 Federal Home Loan Mortgage Corporation, Pool# 260486, 9.00% due 1/1/10 ..................... 327,673
243,323 Federal Home Loan Mortgage Corporation, Pool# 770297, 6.75% (adjustable rate) due 6/1/18 ... 241,145
21,227 Federal Home Loan Mortgage Corporation, Pool# 220001, 10.75% due 7/1/00 .................... 21,910
244,971 Federal Home Loan Mortgage Corporation, Pool# 220010, 8.75% due 8/1/01 ..................... 253,239
88,002 Federal Home Loan Mortgage Corporation, Pool# 272107, 10.00% due 5/1/16 .................... 96,155
250,872 Federal Home Loan Mortgage Corporation, Pool# 276638, 9.25% due 8/1/16 ..................... 264,552
261,950 Federal Home Loan Mortgage Corporation, Pool# 279611, 9.25% due 10/1/16 .................... 276,234
93,329 Federal Home Loan Mortgage Corporation, Pool# 431035, 11.50% due 7/1/10 .................... 101,844
247,272 Federal Home Loan Mortgage Corporation, Pool# 294817, 9.75% due 1/1/17 ..................... 266,394
123,400 Federal Home Loan Mortgage Corporation, Pool# 298107, 10.25% due 8/1/17 .................... 134,506
150,413 Federal Home Loan Mortgage Corporation, Pool# 500166, 12.00% due 9/1/00 .................... 159,155
514,703 Federal National Mortgage Association, Collateralized Mortgage Obligation
Series 133, Class JB, 8.00% due 3/25/98 .................................................... 513,092
1,250,000 Federal National Mortgage Association, Collateralized Mortgage Obligation
Series 1992-33, Class F, 6.37% (adjustable rate) due 3/25/22 ............................... 1,219,138
1,650,000 Federal National Mortgage Association, Collateralized Mortgage Obligation
Series 1992-60, Class C, 7.50% due 4/25/99 ................................................. 1,660,824
s c h e d u l e o f i n v e s t m e n t s (continued)
Thornburg Limited Term U. S. Government Fund
Principal Security Name .................................................................... Value
1,000,000 Federal National Mortgage Association, Collateralized Mortgage Obligation
Series 62, Class E, 7.00% due 5/25/99 ...................................................... 1,004,680
273,575 Federal National Mortgage Association, Collateralized Mortgage Obligation
Series 134, Class M, 6.00% due 3/25/20 ..................................................... 272,119
1,150,000 Federal National Mortgage Association, Collateralized Mortgage Obligation
Series 1992-145, Class L, 7.50% due 1/25/06 ................................................ 1,133,819
1,900,000 Federal National Mortgage Association, Collateralized Mortgage Obligation
Series 1993-12, Class EC, 7.50% due 9/25/01 ................................................ 1,868,517
500,000 Federal National Mortgage Association, Collateralized Mortgage Obligation
Series 1993-185, Class FJ, 5.98% (adjustable rate) due 9/25/22 ............................. 475,310
1,800,000 Federal National Mortgage Association, Collateralized Mortgage Obligation
Series 1993-187, Class FC, 5.98% (adjustable rate) due 11/25/21 ............................ 1,716,174
54,883 Federal National Mortgage Association, Pool# 02473, 10.50% due 1/1/01 ...................... 57,627
1,085,964 Federal National Mortgage Association, Pool# 08307, 8.00% due 5/1/08 ....................... 1,108,020
115,715 Federal National Mortgage Association, Pool# 10294, 8.50% due 9/1/07 ....................... 118,157
21,098 Federal National Mortgage Association, Pool# 16072, 11.50% due 5/1/00 ...................... 22,786
237,435 Federal National Mortgage Association, Pool# 19535, 10.25% due 7/1/08 ...................... 255,737
186,659 Federal National Mortgage Association, Collateralized Mortgage Obligation
Series 1989-2, Class C, 8.80% due 4/25/17 .................................................. 187,126
1,640,331 Federal National Mortgage Association, Pool# 33356, 9.25% due 8/1/16 ....................... 1,737,717
118,012 Federal National Mortgage Association, Pool# 38493, 8.75% due 10/1/08 ...................... 122,289
193,065 Federal National Mortgage Association, Pool# 40526, 9.25% due 1/1/17 ....................... 204,527
1,261,612 Federal National Mortgage Association, Pool# 44003, 8.00% due 6/1/17 ....................... 1,278,165
66,818 Federal National Mortgage Association, Pool# 50409, 9.00% due 2/1/98 ....................... 67,123
456,409 Federal National Mortgage Association, Pool# 58816, 9.25% due 12/1/02 ...................... 474,492
679,148 Federal National Mortgage Association, Pool # 63791, 8.25% due 7/01/02 ..................... 688,731
880,240 Federal National Mortgage Association, Pool# 64011, 9.25% due 7/1/03 ....................... 915,151
5,000,000 Federal National Mortgage Association, Pool# 73040, 7.625% due 9/1/01 ...................... 5,187,500
860,735 Federal National Mortgage Association, Pool# 76388, 9.25% due 9/1/18 ....................... 912,017
232,759 Federal National Mortgage Association, Pool# 77725, 9.75% due 10/1/18 ...................... 248,836
375,000 Federal National Mortgage Association, Medium Term Note, 6.05% due 6/30/03 ................. 356,779
794,596 Federal National Mortgage Association, Pool# 112067, 9.50% due 10/1/16 ..................... 857,536
1,968,959 Federal National Mortgage Association, Pool# 156156, 8.50% due 4/1/21 ...................... 2,036,869
1,018,395 Federal National Mortgage Association, Pool# 345775, 8.50% due 12/1/24 ..................... 1,053,519
347,876 Federal Home Loan Mortgage Corporation, Pool# D06907, 9.00% due 4/1/17 ..................... 364,518
217,478 Federal Home Loan Mortgage Corporation, Pool# D06908, 9.50% due 9/1/17 ..................... 233,017
1,077,152 Government National Mortgage Association, GNMA II Pool# 623, 8.00% due 9/20/16 ............. 1,093,784
127,503 Government National Mortgage Association, GNMA II Pool# 862, 9.00% due 10/20/02 ............ 132,643
34,023 Government National Mortgage Association, GNMA II Pool# 956, 10.00% due 3/20/03 ............ 35,724
46,501 Government National Mortgage Association, GNMA II Pool# 1228, 10.00% due 7/20/04 ........... 48,827
151,274 Government National Mortgage Association, GNMA II Pool# 1408, 9.50% due 5/20/05 ............ 159,641
1,235,060 Government National Mortgage Association, Pool# 362865, 8.00% due 7/15/03 .................. 1,265,937
1,290,146 Government National Mortgage Association, Pool# 19832 Project Loan, 8.25% due 7/15/05 ...... 1,295,384
123,616 Government National Mortgage Association, Pool# 35861, 10.875% due 2/15/10 ................. 135,450
36,489 Government National Mortgage Association, GNMA II Pool# 112262,
11.50% due 2/20/99 ......................................................................... 38,405
37,283 Government National Mortgage Association, Pool# 161848, 9.00% due 8/15/01 .................. 38,713
156,990 Government National Mortgage Association, Pool# 276712, 11.00% due 3/15/00 ................. 162,484
411,052 Government National Mortgage Association, Pool# 296697, 9.50% due 10/15/05 ................. 432,118
525,710 Government National Mortgage Association, Pool# 306636, 8.25% due 12/15/06 ................. 532,281
83,326 Small Business Administration Series 1988-10B, 9.80% due 6/01/98 ........................... 85,054
800,000 Tennessee Valley Authority, 8.375% due 10/01/99 ............................................ 830,128
1,000,000 Tennessee Valley Authority, 7.45% due 10/15/01 ............................................. 1,008,590
Total U.S. Government Agencies ............................................................. $75,160,138
s c h e d u l e o f i n v e s t m e n t s (continued)
Thornburg Limited Term U. S. Government Fund
PrincipalSecurity Name Value
United States Treasury (45.41%)(Cost $62,446,929)
1,500,000 United States Treasury Notes, 7.875% due 4/15/98 ........................................... 1,526,010
5,000,000 United States Treasury Notes, 8.25% due 7/15/98 ................................... 5,121,850
10,000,000 United States Treasury Notes, 7.50% due 11/15/01 ........................................... 10,282,800
2,000,000 United States Treasury Notes, 6.375% due 8/15/02 ........................................... 1,963,440
1,200,000 United States Treasury Notes, 6.25% due 2/15/03 ............................................ 1,167,372
2,000,000 United States Treasury Notes, 7.25 due 5/15/04 ............................................. 2,040,320
4,600,000 United States Treasury Notes, 6.875% due 7/31/99 ........................................... 4,634,500
5,200,000 United States Treasury Notes, 7.25% due 8/15/04 ............................................ 5,303,168
23,250,000 United States Treasury Notes, 6.875% due 8/31/99 ........................................... 23,420,655
1,500,000 United States Treasury Notes, 7.50% due 10/31/99 ........................................... 1,532,340
1,300,000 United States Treasury Notes, 7.75% due 1/31/00 ............................................ 1,337,778
1,400,000 United States Treasury Notes, 6.50% due 5/15/05 ............................................ 1,362,368
1,800,000 United States Treasury Notes, 8.50% due 7/15/97 ............................................ 1,814,616
1,000,000 United States Treasury Notes, 7.875% due 1/15/98 ........................................... 1,014,060
Total United States $ 62,521,277
TOTAL INVESTMENTS ($ 137,681,415
See notes to financial statements.
s c h e d u l e o f i n v e s t m e n t s (continued)
Thornburg Limited Term Income Fund
March 31, 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)
Credit Rating+
Principal Security Name Moody's/S&P Value
U.S. GOVERNMENT SECURITIES - 12.22% (Cost $4,132,090)
750,000 United States Treasury Notes, 8.00% due 5/15/01 Aaa/AAA 783,630
250,000 United States Treasury Notes, 6.375% due 1/15/99 Aaa/AAA 250,000
500,000 United States Treasury Notes, 6.25% due 2/15/03 Aaa/AAA 486,405
600,000 United States Treasury Notes, 4.75% due 10/31/98 Aaa/AAA 585,654
950,000 United States Treasury Notes, 6.875% due 8/31/99 Aaa/AAA 956,973
1,100,000 United States Treasury Notes, 6.50% due 5/15/05 Aaa/AA 1,070,432
Total U. S. Govertment Securities $4,133,094
U.S. GOVERNMENT AGENCIES - 22.22% (Cost $7,475,922)
----------
392,488 Federal Home Loan Mortgage Corp., CMO Series 1019 Class E, 8.75% due 7/15/20 Aaa/AAA 399,969
81,327 Federal Home Loan Mortgage Corp., CMO Series 1060 Class F, 7.25% due 2/15/01 Aaa/AAA 81,632
500,000 Federal Home Loan Mortgage Corp., CMO Series 1208 Class D, 5.86% due 2/15/22 Aaa/AAA 492,030
500,000 Federal Home Loan Mortgage Corp., CMO Series 1327 E, 7.50% due 7/15/07 Aaa/AAA 499,840
900,000 Federal Home Loan Bank Board, 7.11% due 8/19/99 Aaa/AAA 901,269
89,005 Federal Home Loan Mortgage Corp., Pool #141540, 9.00% due 5/1/09 Aaa/AAA 93,517
83,205 Federal Home Loan Mortgage Corp., CMO Series 37 C, 9.00% due 4/15/20 Aaa/AAA 84,479
98,170 Federal Home Loan Mortgage Corp., Pool #216639, 8.25% due 4/1/02 Aaa/AAA 98,859
31,173 Federal Home Loan Mortgage Corp., Pool #220005, 8.75% due 4/1/01 Aaa/AAA 32,225
5,964 Federal Home Loan Mortgage Corp., Pool #296006, 8.00% due 6/1/17 Aaa/AAA 6,070
167,179 Federal Home Loan Mortgage Corp., Pool #503253, 9.50% due 7/1/05 Aaa/AAA 174,911
555,688 Federal Home Loan Mortgage Corp., Pool #850082, 9.00% due 10/1/05 Aaa/AAA 575,138
870,000 Federal National Mortgage Association, CMO Series 92-60 C, 7.50% due 4/25/99 Aaa/AAA 875,708
224,550 Federal National Mortgage Association, CMO Series 92-150 G, 6.75% due 9/25/18 Aaa/AAA 224,339
600,000 Federal National Mortgage Association, CMO Series G94-7 B, 7.50% due 5/17/24 Aaa/AAA 599,250
1,000,000 Federal National Mortgage Association, REMIC Trust, 6.718% due 12/25/11 Aaa/AAA 999,168
72,561 Federal National Mortgage Association, Pool #1768, 8.00% due 10/1/06 Aaa/AAA 73,798
26,088 Federal National Mortgage Association, Pool #103348, 9.00% due 10/1/97 Aaa/AAA 26,208
24,120 Federal National Mortgage Association, Pool #098078, 9.00% due 11/1/97 Aaa/AAA 24,230
743,044 Federal National Mortgage Association, Pool # 297033, 8.00% due 12/1/09 Aaa/AAA 758,136
408,086 Government National Mortgage Association, Pool #827148, 6.50% due 2/20/24 Aaa/AAA 414,016
79,306 Government National Mortgage Association, Pool #305541, 9.00% due 5/15/03 Aaa/AAA 83,272
Total U. S. Government Agencies $7,518,064
MORTGAGE BACKED SECURITIES - 1.56% (Cost $535,514)
----------
46,183 Collateralized Mortgage Obligation Trust, Series 56 B, 9.985% due 1/1/19 Aaa/AAA 49,402
500,000 GE Capital Mortgage Services, Series 92-13 G2, 7.00% due 1/1/08 Aaa/AAA 476,870
Total Mortgage Backed Securities $ 526,272
CORPORATE BONDS - 6.46% (Cost $2,196,631
FINANCIAL
500,000 Transamerica Financial Corporation Series MTNC SUB, 6.06% due 6/15/98 A3/A $ 497,310
HEALTH SERVICES
500,000 Waukesha Health Systems, Incorporated, 5.575% due 8/15/26, put 4/7/97
weekly demand notes (LOC: Bank of America) Aa3/VMIG1 $ 500,000
s c h e d u l e o f i n v e s t m e n t s (continued)
Thornburg Limited Term Income Fund
Credit Rating+
Principal Security Name Moody's/S&P Value
REAL ESTATE
181,125 Equitable Lord Realty Corporation, 10.50% due 12/30/97 (Debt assumed by Equitable Life) A2/AA- 184,844
1,000,000 Fisher Brothers Realty Euronotes, 10.75% due 12/17/00 NR/BBB 1,002,500
Total Corporate $1,187,344
TAXABLE MUNICIPAL BONDS - 31.05% (Cost $10,429,972)
330,000 Baltimore Economic Development Authority, 8.50% due 8/1/02 (Arcade LP Project) A/BBB+ 343,085
100,000 Beaumont Housing Multifamily Mortgage Series 1995B, 7.50% due 6/15/00 (LOC: FHA) Aaa/NR 100,276
1,025,000 Connecticut St. Development Authority, 8.55% due 8/15/05 NR/A+ 1,087,607
905,000 Cook County Township High School District # 205 Series 1995-B,
8.30% due 12/1/97 (Insured: FGIC) Aaa/AAA 917,969
115,000 Duquesne Pennsylvania General Obligation, 6.75 due 12/15/01 (Insured: MBIA) NR/AAA 112,279
125,000 Duquesne Pennsylvania General Obligation, 6.75 due 12/15/02 (Insured: MBIA) NR/AAA 121,447
130,000 Duquesne Pennsylvania General Obligation, 6.75 due 12/15/03 (Insured: MBIA) NR/AAA 125,426
340,000 Gardena Financing Agency Lease, 6.50% due 7/1/98 (Municipal Mutual Insurance Project) NR/BBB 339,239
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 1,000,050
845,000 Idaho Housing Multifamily Housing Revenue Series 94-B, 8.15% due 7/1/04 A/NR 872,378
100,000 Kiryas Joel Village, New York General Obligation Series B, 8.50% due 1/1/00 Baa/NR 102,798
1,000,000 Los Angeles County Pension Obligation, 8.30% due 6/30/02 (Insured: FSA) Aaa/AAA 1,047,270
905,000 Maine Health & Higher Ed Fac Series A, 7.35% due 7/1/12
(Nursing Home Project; LOC: Sumitumo Bank) NR/A 910,430
300,000 Massachusetts Industrial Financing Authority Resource Recovery Revenue
Refunding, 6.95% due 7/1/99 (Insured: FSA) Aaa/AAA 299,931
305,000 New Jersey Economic Development Authority Series B, 7.10% due 9/15/02 A1/A+ 302,926
50,000 New Jersey State Housing & Mortgage Financing Agency Series E, 7.40% due 11/1/98 NR/A+ 50,106
95,000 New Jersey State Housing & Mortgage Financing Agency Series E, 7.95% due 11/1/00 NR/A+ 96,167
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 1,285,730
100,000 New York City Series D, 10.00% due 8/1/05 Baa1/BBB+ 110,890
1,000,000 Pennsylvania Housing Finance Agency, 8.40% due 4/1/10 Aa/AA+ 1,029,900
45,000 Tucson & Pima County IDA SFMR Series A, 7.00% due 12/1/03 A1/NR 44,149
200,000 University of Southern California Revenue, 9.35% due 10/1/00 Aa/AA 204,400
Total Taxable Municipal $10,504,453
FOREIGN SECURITIES - 22.36% (Cost $7,261,477)
2,000,000 British Columbia Province, 9.00% due 6/21/04 Aa1/AA+ 1,638,482
1,000,000 Irish Government, 8.00% due 8/18/06 A1/NR 1,705,826
1,000,000 Manitoba Province, 7.875% due 4/7/03 A1/NR 775,305
1,500,000 New Zealand Government,8.00% due 4/15/04 Aaa/AAA 1,040,939
1,400,000 New Zealand Government,10.00% due 3/15/02 Aaa/NR 1,051,063
1,800,000 Metropolitan Toronto, 7.75% due 12/1/05 A1/NR 1,354,052
Total Foreign Securities $7,565,667
COMMERCIAL PAPER - 4.13% (Cost $1,398,656)
700,000 Merrill Lynch, 5.90% due 4/07/97 699,344
700,000 Ford Motor Credit Company, 5.62% due 4/07/97 699,312
Total Commercial Paper $1,398,656
Total Investments (100%) (Cost $33,430,262) $33,830,860
+Credit ratings are unaudited
See notes to financial statements.
</TABLE>
Thornburg Limited Term U.S. Government Fund
Outperformed Taxable Money Market Funds
Increase in a $100,000 Investment
11/30/87 to 3/31/97 on NAV
Thornburg Limited Term Income Fund
Outperformed Taxable Money Market Funds
Return from a $100,000 Investment
10/1/92 to 3/31/97
Thornburg Limited Term Municipal Fund - National Portfolio
LTMFX is an open end mutual fund which invests
in a laddered portfolio of municipal obligations from throughout the U.S.
The Fund has an average maturity of 5 years or less.
Thornburg Limited Term Municipal Fund - California Portfolio
LTCAX, a single state companion portfolio to LTMFX, offers California
investors double tax-free** yields in a laddered, short maturity portfolio.
The Fund has an average maturity of 5 years or less.
Thornburg Intermediate Municipal Fund.
THIMX is an open end mutual fund which invests in a laddered portfolio of
municipal obligations from throughout the U.S. The Fund has an average
maturity of 10 years or less.
Thornburg Florida Intermediate Municipal Fund
Thornburg Florida Intermediate Fund, a single state companion fund to THIMX,
offers Florida investors a balanced approach to double tax-free**
yields. The Fund has an average maturity of 10 years or less.
Thornburg New Mexico Intermediate Municipal Fund THNMX, a single state
companion fund to
THIMX, offers New Mexico investors a balanced approach to double tax-free**
yields. The Fund has an average maturity of 10 years or less. Thornburg Limited
Term U.S. Government Fund LTUSX is an open end mutual fund which invests in
short to intermediate obligations issued by the U.S. Government, its agencies or
instrumentalities***. It has an average maturity of 5 years or less. It is
particularly suitable for your IRA, Keogh Plan, Pension Plan, or Profit Sharing
Plan.
Thornburg Limited Term Income Fund THIFX is an open end mutual fund which
invests in a wide variety of taxable, investment grade, short to intermediate
obligations. The Fund keeps a weighted average maturity of 5 years or less. It
is also suitable for your IRA, Keogh Plan, Pension Plan, or Profit Sharing Plan.
Thornburg Value Fund A mutual fund that invests primarily in domestic equities
selected on a compelling value basis using traditional fundamental research
evaluation methods.
