Thornburg Limited Term Income Funds
Fund facts. . . as of 9/30/98
Thornburg Limited Term Income Fund
A Shares C Shares I Shares
SEC Yield 4.85% 4.59% 5.28%
NAV $12.50 $12.47 $12.50
Max. Offering Price $12.82 $12.47 $12.50
Total returns. . . as of 9/30/98
(Annual Average - After Subtracting Maximum Sales Charge)
One Year 4.40% 6.65% 7.49%
Five Year 5.66% N/A N/A
Since Inception 6.27% 7.09% 8.68%
Inception Date (10/1/92) (9/1/94) (7/5/96)
Fund facts. . . as of 9/30/98
Thornburg Limited Term U.S. Government Fund*
A Shares C Shares I Shares
SEC Yield 5.26% 4.92% 5.75%
NAV $12.66 $12.71 $12.65
Max. Offering Price $12.98 $12.71 $12.65
Total returns. . . as of 9/30/98
(Annual Average - After Subtracting Maximum Sales Charge)
One Year 5.99% 8.19% 9.06%
Five Year 5.08% N/A N/A
Ten Year 7.11% N/A N/A
Since Inception 7.13% 6.77% 8.42%
Inception Date (11/16/87) (9/1/94) (7/5/96)
*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.
Letter to shareholders
November 6, 1998
Dear 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, 1998. The net asset value of the A shares of the Thornburg Limited
Term Income Fund ended the year at $12.50. If you were invested for the entire
year, you received dividends of 71.6 cents per share. If you reinvested your
dividends, you received 73.6 cents per share. Investors who owned C shares
received 66.5 and 68.2 cents per share, respectively. The net asset value of the
A shares of the Thornburg Limited Term U.S. Government Fund ended the year at
$12.66. If you were invested for the entire year, you received dividends of 69.4
cents per share. If you reinvested your dividends, you received 71.2 cents per
share. Investors who owned C shares received 64.3 and 65.9 cents per share,
respectively. Please read the accompanying exhibits for more detailed
information and history. Over the last year, concerns about credit quality have
been brought to the forefront in the bond markets. As first Southeast Asia, then
Russia and then Brazil have all been brought to the brink of insolvency,
investors started to worry once again about the quality of their portfolios.
Treasury Notes and Bonds rallied over the course of the year, as yields dropped
over 100 to 150 basis points from 1 year Bills to 30 year Bonds as investors
participated in a "flight to quality", avoiding lower quality bonds. In the
corporate bond market, credit spreads widened dramatically after Russia placed a
moratorium on debt payments. This quality spread widening was exacerbated by the
need of speculators to sell into a strained market. For a while in August
through October, there were times when it seemed that the only bonds for which
there was a bid were US Treasuries. And, investors were buying only the newest
Treasuries where there was the most liquidity. Older Treasury issues did not
rally as much as the new issues. Quality spreads on corporate bonds in the
United States widened out to levels not seen since the early 90's. And, the
spread on mortgage bonds widened as well. The types of bonds that the Funds own
benefited from this rally, although the higher percentage of Treasury Notes in
the Thornburg Limited Term US Government Fund made its total return higher than
that of the Thornburg Limited Term Income Fund. Both Funds' portfolios contained
high quality bonds that were not hurt as much as lower rated credits by the
quality spread widening that has occurred. Remember that the Thornburg Limited
Term US Government Fund buys only US Treasury and Agency securities and the
Thornburg Limited Term Income Fund buys only investment grade securities. 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 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
*Money market funds strive to keep a stable net asset value. The net asset
value of the funds fluctuate.
Statement of assets and liabilities
Thornburg Investment Trust
September 30, 1998
Limited Term U.S. Limited Term
Government Fund Income Fund
ASSETS
Investments at value (cost $131,071,917
and $47,672,130, respectively) $ 137,049,829 $ 49,585,368
Cash 128,423 52,455
Receivable for fund shares sold 560,514 466,428
Interest receivable 1,611,822 820,944
Principal receivable 166,596 20,867
Prepaid expenses and other assets 22,935 20,250
Total Assets 139,540,119 50,966,312
LIABILITIES
Payable for investments purchased 1,003,221 0
Payable for fund shares redeemed 217,680 29,852
Accounts payable and accrued expenses 90,061 59,791
Payable to investment advisor 55,804 16,320
Dividends payable 164,456 79,022
Total Liabilities 1,531,222 184,985
NET ASSETS $ 138,008,897 $ 50,781,327
NET ASSET VALUE:
Class A Shares:
Net asset value and redemption price per share ($129,312,927 and $35,865,602
applicable to 10,215,012 and 2,869,867 shares of
beneficial interest outstanding - Note 4) $ 12.66 $ 12.50
Maximum sales charge, 2.50 % of offering price (2.57% of net asset value per
share) 0.32 0.32
Maximum Offering Price Per Share $ 12.98 $ 12.82
Class C Shares:
Net asset value and offering price per share * ($6,445,591 and $7,146,968
applicable to 506,961 and 573,094 shares of beneficial
interest outstanding - Note 4) $ 12.71 $ 12.47
Class I Shares:
Net asset value and offering price per share ($2,250,379 and $7,768,757
applicable to 177,880 and 621,723 shares of beneficial
interest outstanding - Note 4) $ 12.65 $ 12.50
* Redemption price per share is equal to net asset value less any applicable
contingent deferred sales charges. See notes to financial statements.
Statement of operations
Thornburg Investment Trust
Year Ended September 30, 1998
Limited Term U.S. Limited Term
Government Fund Income Fund
INVESTMENT INCOME:
Interest income (net of premium amortized
of $482,885 and $99,545, respectively) $ 9,137,676 $ 3,109,147
EXPENSES:
Investment advisory fees (Note 3) 521,022 228,636
Administration fees (Note 3)
Class A Shares 162,998 41,718
Class C Shares 5,909 8,171
Class I Shares 1,907 2,908
Distribution and service fees (Note 3)
Class A Shares 315,717 78,430
Class C Shares 47,264 65,362
Transfer agent fees 146,350 72,075
Custodian fees 94,225 54,287
Registration and filing fees 42,764 42,969
Professional fees 20,093 11,824
Accounting fees 15,952 5,309
Trustee Fees 8,479 956
Other expenses 29,960 14,448
Total Expenses 1,412,640 627,093
Less:
Expenses reimbursed by
investment advisor (Note 3) (59,576) (163,223)
Net Expenses 1,353,064 463,870
Net Investment Income 7,784,612 2,645,277
REALIZED AND UNREALIZED GAIN (LOSS) (Note 5)
Net Realized gain (loss) on:
Investments 139,163 (265,067)
Foreign currency transactions 0 (25,195)
139,163 (290,262)
Net change in unrealized appreciation on:
Investments 3,564,928 835,002
Foreign currency translation 0 2,187
3,564,928 837,189
Net Realized and
Unrealized Gain on Investments 3,704,091 546,927
Net Increase in Net Assets
Resulting From Operations $ 11,488,703 $ 3,192,204
See notes to financial statements.
Statement of changes in net assets
Thornburg Limited Term U.S. Government Fund
Year Ended Year Ended
Sept 30, 1998 Sept 30, 1997
INCREASE (DECREASE) IN
NET ASSETS FROM:
OPERATIONS:
Net investment income $ 7,784,612 $ 8,569,663
Net realized gain on investments sold 139,163 280,414
Increase in unrealized appreciation of investment 3,564,928 581,827
Net Increase in Net Assets Resulting From Operati 11,488,703 9,431,904
DIVIDENDS TO SHAREHOLDERS:
From net investment income
Class A Shares (7,311,154) (8,318,540)
Class C Shares (243,829) (222,001)
Class I Shares (229,629) (29,122)
FUND SHARE TRANSACTIONS - (Note 4):
Class A Shares (7,874,739) (6,637,521)
Class C Shares 1,991,492 1,499,116
Class I Shares (3,084,806) 5,249,982
Net Increase (Decrease) in Net Assets (5,263,962) 973,818
NET ASSETS:
Beginning of year 143,272,859 142,299,041
End of year $ 138,008,897 $ 143,272,859
See notes to financial statements.
Statement of changes in net assets
Thornburg Limited Term Income Fund
Year Ended Year Ended
Sept 30, 1998 Sept 30, 1997
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income $ 2,645,277 $ 2,085,349
Net realized gain (loss) on investments sold (290,262) 8,055
Increase in unrealized appreciation of investment 837,189 364,017
Net Increase in Assets Resulting from Operations 3,192,204 2,457,421
DIVIDENDS TO SHAREHOLDERS:
From net investment income
Class A Shares (1,937,609) (1,666,492)
Class C Shares (352,730) (262,811)
Class I Shares (354,938) (156,046)
FUND SHARE TRANSACTIONS - (Note 4):
Class A Shares 4,205,120 7,539,812
Class C Shares 1,689,924 2,655,403
Class I Shares 3,181,451 3,665,427
Net Increase in Net Assets 9,623,422 14,232,714
NET ASSETS:
Beginning of year 41,157,905 26,925,191
End of year $ 50,781,327 $ 41,157,905
See notes to financial statements.
Notes to financial statements
Thornburg Investment Trust
September 30, 1998
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 six 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,
Thornburg Value Fund and Thornburg Global 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 Fund 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 ended
September 30, 1998, these fees were payable at annual rates ranging from 3/8 of
1% to 11/40 of 1% of the average daily net assets of the Government Fund and 1/2
of 1% to 11/40 of 1% of the average daily net assets of the Income Fund
depending on each Fund's 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 Class A and Class C shares, and
up to .05 of 1% of the average daily net assets attributable to Class I shares.
For the year ended September 30, 1998, the Adviser voluntarily waived certain
operating expenses amounting to $59,576 and $163,223 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, 1998, the Distributor earned
commissions aggregating $19,485 and $16,787 from the sale of Class A shares of
the Government Fund and Income Fund, respectively, and collected contingent
deferred sales charges aggregating $2,108 and $2,584 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 the Class A and Class C 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, 1998 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, 1998 there were an unlimited number of shares of beneficial
interest authorized, and capital paid in aggregated $139,092,533 and $50,026,930
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:
Yr Ended Sept 30, 1998 Yr Ended Sept 30, 1997
Class A Shares Shares Amount Shares Amount
Shares sold 2,343,398 $29,089,064 1,686,941 $20,681,021
Shares issued to shareholders in
reinvestment of distributi 408,731 5,065,254 452,793 5,555,737
Shares repurchased (3,395,632) (2,683,645) (2,683,645) (32,874,279)
Net Decrease (643,503)($ 7,874,739) (543,911)($ 6,637,521)
Class C Shares
Shares sold 268,890 $ 3,352,878 177,985 $ 2,194,987
Shares issued to shareholders
in reinvestment of distrib 16,876 210,103 16,438 202,464
Shares repurchased (126,412) 1,571,489) (73,028) (898,335)
Net Increase 159,354 $ 1,991,492 121,395 $ 1,499,116
Class I Shares
Shares sold 349,738 $ 4,333,129 497,639 $ 6,117,666
Shares issued to shareholders in
reinvestment of distributi 16,580 205,349 2,385 28,883
Shares repurchased (615,938) (7,623,284) (73,254) (896,567)
Net Increase (Decrease) (249,620)($ 3,084,806) 426,770 $ 5,249,982
Income Fund
Yr Ended Sept 30, 1998 Yr Ended Sept 30, 1997
Class A Shares Shares Amount Shares Amount
Shares sold 871,449 $10,757,352 1,040,156 $ 12,786,894
Shares issued to shareholders in
reinvestment of distributi 98,517 1,214,844 77,562 955,709
Shares repurchased (629,596) (7,767,076) (504,413) (6,202,791)
Net Increase 340,370 $ 4,205,120 613,305 $ 7,539,812
Class C Shares
Shares sold 278,808 $ 3,432,785 352,475 $ 4,339,320
Shares issued to shareholders
in reinvestment of distrib 24,958 307,071 19,669 241,703
Shares repurchased (166,840) (2,049,932) (156,885) (1,925,620)
Net Increase 136,926 $ 1,689,924 215,259 $ 2,655,403
Class I Shares
Shares sold 333,013 $ 4,102,752 301,982 $ 3,708,659
Shares issued to shareholders in
reinvestment of distributi 20,510 252,865 9,788 121,176
Shares repurchased (95,336) (1,174,166) (13,405) (164,408)
Net Increase 258,187 $ 3,181,451 298,365 $ 3,665,427
Note 5 - Securities Transactions
For the year ended September 30, 1998, portfolio purchase and sale transactions
(excluding short-term securities) were $47,044,904 and $41,103,495 for the
Government Fund and $30,998,791 and $18,427,768 for the Income Fund,
respectively. The cost of investments for Federal income tax purposes is
$131,071,917 and $47,672,129 for the Government Fund and Income Fund,
respectively. At September 30, 1998, gross unrealized appreciation and
depreciation of investments, based on cost for Federal income taxes were as
follows:
Government Fund Income Fund
Gross unrealized appreciation $5,988,284 $2,317,862
Gross unrealized depreciation 10,372 404,624
Net unrealized appreciation $5,977,912 $1,913,238
Accumulated net realized losses from securities transactions included in net
assets at September 30, 1998 aggregated $7,061,548 and $1,157,238 for the
Government Fund and Income Fund, respectively. For Federal income tax purposes,
the Government Fund has capital loss carryforwards of $6,765,833 from prior
fiscal years 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 in varying amounts through 2003. For Federal income tax
purposes, the Income Fund has capital loss carryforwards of $883,302 from prior
fiscal years 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 in varying amounts through 2003.
<TABLE>
<CAPTION>
Financial highlights
Thornburg Limited Term U.S. Government Fund
Per share operating performance (for a share outstanding throughout the year)
Year Ended September 30
<S> <C> <C> <C> <C> <C>
1998 1997 1996 1995 1994
Class A Shares:
Net asset value, beginning of year $ 12.31 $ 12.24 $ 12.40 $ 12.03 $ 12.92
Income from investment operations:
Net investment income 0.69 0.75 0.76 0.75 0.67
Net realized and unrealized
gain (loss) on investments 0.35 0.07 (0.16) 0.37 (0.89)
Total from investment operations 1.04 0.82 0.60 1.12 (0.22)
Less dividends from:
Net investment income (0.69) (0.75) (0.76) (0.75) (0.67)
Change in net asset value 0.35 0.07 (0.16) 0.37 (0.89)
Net asset value, end of year $ 12.66 $ 12.31 $ 12.24 $ 12.40 $ 12.03
Total return (a) 8.75% 6.86% 4.92% 9.66% (1.72)%
Ratios/Supplemental Data Ratios to average net asset:
Net investment income 5.61% 6.09% 6.11% 6.23% 5.38%
Expenses, after expense reductions 0.97% 0.97% 0.99% 0.99% 0.95%
Expenses, before expense reductions 0.97% 0.97% 0.99% 0.99% 0.95%
Portfolio turnover rate 29.77% 41.10% 23.27% 28.31% 80.58%
Net assets at end of year (000) $ 129,312 $ 133,711 $ 139,510 $ 142,849 $ 177,439
<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>
<CAPTION>
Thornburg Limited Term U.S. Government Fund
Per share operating performance (for a share outstanding throughout the year)
Period from Sept. 1 (a) -
Year Ended September 30, September 30,
<S> <C> <C> <C> <C> <C>
1998 1997 1996 1995 1994
Class C Shares:
Net asset value, beginning of year $ 12.37 $ 12.29 $ 12.45 $ 12.08 $ 12.21
Income from investment operations:
Net investment income 0.64 0.70 0.71 0.69 0.06
Net realized and unrealized
gain (loss) on investments 0.34 0.08 (0.16) 0.37 (0.13)
Total from investment operations 0.98 0.78 0.55 1.06 (0.07)
Less dividends from:
Net investment income (0.64) (0.70) (0.71) (0.69) (0.06)
Change in net asset value 0.34 0.08 (0.16) 0.37 (0.13)
Net asset value, end of year $ 12.71 $ 12.37 $ 12.29 $ 12.45 $ 12.08
Total return (b) 8.19% 6.49% 4.51% 9.07% (0.50)%
Ratios/Supplemental Data Ratios to average net asset:
Net investment income 5.16% 5.65% 5.72% 5.68% 5.45%(c)
Expenses, after expense reductions 1.40% 1.40% 1.39% 1.52% 1.63%(c)
Expenses, before expense reductions 2.20% 2.24% 2.35% 2.30% 1.63%(c)
Portfolio turnover rate 29.77% 41.10% 23.27% 28.31% 80.58%
Net assets at end of year (000) $ 6,445 $ 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>
Thornburg Limited Term U.S. Government Fund
Per share operating performance (for a share outstanding throughout the year)
Year Ended September 30
1998 1997 1996 *
Class I Shares:
Net asset value, beginning of year $ 12.31 $ 12.24 $ 12.14
Income from investment operations:
Net investment income 0.74 0.79 0.20
Net realized and unrealized
gain on investments 0.34 0.07 0.10
Total from investment operations 1.08 0.86 0.30
Less dividends from:
Net investment income (0.74) (0.79) (0.20)
Change in net asset value 0.34 0.07 0.10
Net asset value, end of year $ 12.65 $ 12.31 $ 12.24
Total return (a) 9.06% 7.26% 2.45%
Ratios/Supplemental Data Ratios to average net asset:
Net investment income 6.01% 6.35% 6.64%(b)
Expenses, after expense reductions 0.60% 0.60% 0.58%(b)
Expenses, before expense reductions 1.18% 6.57% 305.74%(b)
Portfolio turnover rate 29.77% 41.10% 23.27%
Net assets at end of year (000) $ 2,250 $ 5,263 $ 9
(a) Not annualized for periods less than one year.
* Sales of Class I shares commenced on July 5, 1996.
(b) Annualized
<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>
1998 1997 1996 1995 1994
Class A Shares:
Net asset value, beginning of year $ 12.37 $ 12.23 $ 12.11 $ 11.83 $ 12.55
Income from investment operations:
Net investment income 0.72 0.76 0.76 0.76 0.67
Net realized and unrealized
gain (loss) on investments 0.13 0.14 0.12 0.28 (0.69)
Total from investment operations 0.85 0.90 0.88 1.04 (0.02)
Less dividends from:
Net investment income (0.72) (0.76) (0.76) (0.76) (0.67)
Realized capital gains 0.00 0.00 0.00 0.00 (0.03)
Change in net asset value (0.13) 0.14 0.12 0.28 (0.72)
Net asset value, end of year $ 12.50 $ 12.37 $ 12.23 $ 12.11 $ 11.83
Total return (a) 7.08% 7.56% 7.54% 9.22% (0.14)%
Ratios/Supplemental Data Ratios to average net asset:
Net investment income 5.81% 6.16% 6.31% 6.50% 5.51%
Expenses, after expense reductions 1.00% 1.00% 0.95% 0.83% 0.66%
Expenses, before expense reductions 1.22% 1.27% 1.37% 1.48% 1.47%
Portfolio turnover rate 41.01% 13.87% 44.35% 43.12% 84.35%
Net assets at end of year (000) $ 35,866 $ 31,281 $ 23,433 $ 23,222 $ 21,683
<FN>
(a) Sales loads are not refelcted 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>
<CAPTION>
Thornburg Limited Term Income Fund
Per share operating performance (for a share outstanding throughout the year)
Period from Sept. 1 (a) -
Year Ended September 30, September 30,
<S> <C> <C> <C> <C> <C>
1998 1997 1996 1995 1994
Class C Shares:
Net asset value, beginning of year $ 12.34 $ 12.20 $ 12.08 $ 11.78 $ 11.92
Income from investment operations:
Net investment income 0.66 0.71 0.71 0.70 0.06
Net realized and unrealized
gain (loss) on investments 0.13 0.14 0.12 0.30 (0.14)
Total from investment operations 0.79 0.85 0.83 1.00 (0.08)
Less dividends from:
Net investment income (0.66) (0.71) (0.71) (0.70) (0.06)
Change in net asset value 0.13 0.14 0.12 0.30 (0.14)
Net asset value, end of year $ 12.47 $ 12.34 $ 12.20 $ 12.08 $ 11.78
Total return (b) 6.65% 7.13% 7.12% 8.87% (0.72)%
Ratios/Supplemental Data Ratios to average net asset:
Net investment income 5.40% 5.76% 5.91% 6.03% 5.14%(c)
Expenses, after expense reductions 1.40% 1.40% 1.36% 1.36% 1.20%(c)
Expenses, before expense reductions 2.30% 2.44% 3.20% 4.75% 1.20%(c)
Portfolio turnover rate 41.01% 13.87% 44.35% 43.12% 84.35%
Net assets at end of year (000) $ 7,147 $ 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>
Thornburg Limited Term Income Fund
Per share operating performance (for a share outstanding throughout the year)
Year Ended September 30
1998 1997 1996 *
Class I Shares:
Net asset value, beginning of year $ 12.36 $ 12.23 $ 11.95
Income from investment operations:
Net investment income 0.75 0.80 0.19
Net realized and unrealized
gain (loss) on investments 0.14 0.13 0.28
Total from investment operations 0.89 0.93 0.47
Less dividends from:
Net investment income (0.75) (0.80) (0.19)
Change in net asset value 0.14 0.13 0.28
Net asset value, end of year $ 12.50 $ 12.36 $ 12.23
Total return (a) 7.49% 7.80% 3.97%
Ratios/Supplemental Data Ratios to average net asset:
Net investment income 6.10% 6.44% 6.67%(b)
Expenses, after expense reductions 0.69% 0.69% 0.69%(b)
Expenses, before expense reductions 1.19% 1.98% 4.26%(b)
Portfolio turnover rate 41.01% 13.87% 44.35%
Net assets at end of year (000) $ 7,768 $ 4,495 $ 797
(a) Not annualized for periods less than one year.
(b) Annualized.
* Sales of Class I shares commenced on July 5, 1996.
<TABLE>
<CAPTION>
Schedule of Investments
Limited Term U.S. Government Fund
September 30, 1998
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)
U.S. Government Agencies (52.70%)
<C> <C> <C>
2,265,000 Federal Home Loan Bank Board, 6.50% due 11/29/05 $2,523,346
1,225,000 Federal Home Loan Bks, Consolidated Bond, 5.605% due 3/3/03 1,267,679
2,000,000 Federal Home Loan Bks, 5.63% due 9/2/03 2,077,180
2,250,000 Federal Home Loan Mortgage Series 1900 Class L, 7.50% due 11/15/21 2,302,020
1,000,000 Federal Home Loan Mortgage Series 1464 Class G, 7.25% due 12/15/21 1,075,930
464,614 Federal Home Loan Mortgage Corporation CMO Series 1330, Class E, 464,902
7.00% due 9/15/99
4,100,000 Federal Home Loan Mortgage Corporation CMO Series 1143, Class VC, 4,110,250
7.50% due 9/15/00
4,148,930 Federal Home Loan Mortgage Corporation CMO Series 1216, Class E, 4,189,092
7.00% due 3/15/05
51,905 Federal Home Loan Mortgage Corporation CMO Series 150, Class E, 51,905
9.00% due 1/15/06
500,000 Federal Home Loan Mortgage Corporation CMO Series 1476, Class J, 513,435
6.00% due 2/15/08
566,202 Federal Home Loan Mortgage Corporation, Pool# 141016, 9.25% due 605,700
11/1/16
216,767 Federal Home Loan Mortgage Corporation, Pool# 160043, 8.75% due 226,881
4/1/08
120,349 Federal Home Loan Mortgage Corporation, Pool# 180367, 10.00% due 130,026
11/1/10
363,793 Federal Home Loan Mortgage Corporation, Pool# 181730, 8.50% due 377,610
5/1/08
345,019 Federal Home Loan Mortgage Corporation, Pool# 200075, 9.00% due 352,934
9/1/04
191,148 Federal Home Loan Mortgage Corporation, Pool# 213924, 9.00% due 194,330
10/1/01
373,393 Federal Home Loan Mortgage Corporation, Pool# 216502, 8.00% due 380,401
4/1/02
6,224 Federal Home Loan Mortgage Corporation, Pool# 220001, 10.75% due 6,600
7/1/00
126,934 Federal Home Loan Mortgage Corporation, Pool# 220010, 8.75% due 133,677
8/1/01
81,211 Federal Home Loan Mortgage Corporation, Pool# 250714, 9.75% due 86,568
5/1/10
318 Federal Home Loan Mortgage Corporation, Pool# 250936, 10.50% due 321
8/1/99
107,980 Federal Home Loan Mortgage Corporation, Pool# 252986, 10.75% due 119,160
4/1/10
35,807 Federal Home Loan Mortgage Corporation, Pool# 256111, 10.75% due 36,462
8/1/00
239,011 Federal Home Loan Mortgage Corporation, Pool# 256764, 8.75% due 249,264
10/1/14
219,172 Federal Home Loan Mortgage Corporation, Pool# 260486, 9.00% due 231,284
1/1/10
88,827 Federal Home Loan Mortgage Corporation, Pool# 276638, 9.25% due 95,024
8/1/16
207,470 Federal Home Loan Mortgage Corporation, Pool# 279611, 9.25% due 220,532
10/1/16
683,002 Federal Home Loan Mortgage Corporation, Pool# 291880, 8.25% due 719,297
5/1/17
200,931 Federal Home Loan Mortgage Corporation, Pool# 294817, 9.75% due 217,357
1/1/17
120,692 Federal Home Loan Mortgage Corporation, Pool# 298107, 10.25% due 133,201
8/1/17
73,681 Federal Home Loan Mortgage Corporation, Pool# 431035, 11.50% due 81,307
7/1/10
32,631 Federal Home Loan Mortgage Corporation, Pool# 500166, 12.00% due 33,865
9/1/00
236,326 Federal Home Loan Mortgage Corporation, Pool# 770297, 6.50% 239,207
(adjustable rate) due 6/1/18
251,361 Federal Home Loan Mortgage Corporation, Pool# D06907, 9.00% due 264,786
4/1/17
139,164 Federal Home Loan Mortgage Corporation, Pool# D06908, 9.50% due 149,645
9/1/17
1,015,248 Federal Home Loan Mortgage Corporation, Pool# E00107, 8.00% due 1,041,624
7/1/07
536,599 Federal Home Loan Mortgage Corporation, Pool# E49074, 6.50% due 546,773
7/1/08
766,432 Federal Home Loan Mortgage Corporation, Pool# E65962, 7.00% due 781,408
5/1/08
2,624,291 Federal Home Loan Mortgage Corporation, Pool# M80406, 7.00% due 2,678,692
1/1/03
227,005 Federal National Mortgage Association CMO Series 1992-62, Class 226,862
E, 7.00% due 5/25/99
1,900,000 Federal National Mortgage Association CMO Series 1993-12, Class 1,964,125
EC, 7.50% due 9/25/01
1,150,000 Federal National Mortgage Association CMO Series 1992-145, Class 1,201,382
L, 7.50% due 1/25/06
1,500,000 Federal National Mortgage Association, 6.50% due 11/25/06 1,585,305
850,000 Federal National Mortgage Association CMO Series 1992-22, Class 915,076
HC, 7.00% due 3/25/07
2,000,000 Federal National Mortgage Association CMO Series 1991-134, Class 2,050,620
KE, 7.00% due 5/25/08
750,000 Federal National Mortgage Association Remic Trust 1993 101 Class 807,188
Project, 7.00% due 6/25/08
1,000,000 Federal National Mortgage Association CMO Series 1992-64, Class 1,015,620
G, 7.00% due 12/25/18
1,800,000 Federal National Mortgage Association, CMO Series 93-187, Class 1,780,308
FC, 4.74% (adjustable rate) due 11/25/21
1,250,000 Federal National Mortgage Association CMO Series 1992-33, Class 1,263,275
F, 4.38% due 3/25/22
500,000 Federal National Mortgage Association, CMO Series 1993-185, Class 493,125
FJ, 4.74% (adjustable rate) due 9/25/22
978,000 Federal National Mortgage Association Series 1993 32, Class H, 999,086
6.00% due 3/25/23
25,615 Federal National Mortgage Association, Pool# 002473, 10.50% due 26,130
1/1/01
786,084 Federal National Mortgage Association, Pool# 008307, 8.00% due 822,951
5/1/08
69,355 Federal National Mortgage Association, Pool# 010294, 8.50% due 71,039
9/1/07
3,881 Federal National Mortgage Association, Pool# 016072, 11.50% due 3,909
5/1/00
110,487 Federal National Mortgage Association, Pool# 019535, 10.25% due 119,382
7/1/08
1,240,375 Federal National Mortgage Association, Pool# 033356, 9.25% due 1,329,682
8/1/16
103,203 Federal National Mortgage Association, Pool# 038493, 8.75% due 108,563
10/1/08
130,822 Federal National Mortgage Association, Pool# 040526, 9.25% due 140,156
1/1/17
840,283 Federal National Mortgage Association, Pool# 044003, 8.00% due 879,616
6/1/17
274,355 Federal National Mortgage Association, Pool# 058816, 9.25% due 283,263
12/1/02
318,844 Federal National Mortgage Association, Pool# 063791, 8.25% due 324,102
7/1/02
639,381 Federal National Mortgage Association, Pool# 064011, 9.25% due 660,142
7/1/03
5,000,000 Federal National Mortgage Association, Pool# 073040, 7.625% due 5,276,140
9/1/01
589,478 Federal National Mortgage Association, Pool# 076388, 9.25% due 632,303
9/1/18
109,806 Federal National Mortgage Association, Pool# 077725, 9.75% due 117,690
10/1/18
407,001 Federal National Mortgage Association, Pool# 112067, 9.50% due 438,613
10/1/16
1,416,194 Federal National Mortgage Association, Pool# 156156, 8.50% due 1,486,352
4/1/21
639,185 Federal National Mortgage Association, Pool# 190555, 7.00% due 662,458
1/1/14
625,593 Federal National Mortgage Association, Pool# 190703, 7.00% due 642,402
3/1/09
585,428 Federal National Mortgage Association, Pool# 250481, 6.50% due 595,491
11/1/15
1,701,194 Federal National Mortgage Association, Pool# 342947, 7.25% due 1,753,557
4/1/24
703,207 Federal National Mortgage Association, Pool# 345775, 8.50% due 738,043
12/1/24
724,185 Federal National Mortgage Association, Pool# 373942, 6.50% due 739,226
12/1/08
673,559 Federal National Mortgage Association, Pool# 400569, 6.00% due 679,398
4/1/09
793,029 Federal National Mortgage Association Guaranteed Remic Trust 1993 843,331
168 Class Park, 6.75% due 8/25/22
375,000 Federal National Mortgage Association Medium Term Note, 6.05% due 396,154
6/30/03
620,000 Federal National Mortgage Association Remic, Series 94 Class 94 638,600
041, 6.25% due 1/25/21
1,000,000 Federal National Mortgage Association Remic Trust 1998 49 Class 1,023,905
TD, 6.25% due 12/18/23
596,618 Federal National Mortgage Association Remic Trust Series 94 036 585,519
Ua, 7.00% due 8/25/23
786,811 Government National Mortgage Association, GNMA II, Pool# 000623, 824,626
8.00% due 9/20/16
73,752 Government National Mortgage Association, GNMA II, Pool# 000862, 76,031
9.00% due 10/20/02
16,342 Government National Mortgage Association, GNMA II, Pool# 000956, 16,846
10.00% due 3/20/03
24,460 Government National Mortgage Association, GNMA II, Pool# 001228, 25,366
10.00% due 7/20/04
74,085 Government National Mortgage Association, GNMA II, Pool# 001408, 77,710
9.50% due 5/20/05
938,564 Government National Mortgage Association, Pool# 016944, 7.50% due 979,063
5/15/07
68,278 Government National Mortgage Association, Pool# 035861, 10.875% 75,181
due 2/15/10
0 Government National Mortgage Association, GNMA II, Pool# 112262, 0
11.50% due 2/20/99
25,574 Government National Mortgage Association, Pool# 161848, 9.00% due 26,006
8/15/01
40,936 Government National Mortgage Association, Pool# 276712, 11.00% 41,818
due 3/15/00
276,310 Government National Mortgage Association, Pool# 296697, 9.50% due 291,789
10/15/05
381,926 Government National Mortgage Association, Pool# 306636, 8.25% due 395,412
12/15/06
822,445 Government National Mortgage Association, Pool# 362865, 8.00% due 838,730
7/15/03
904,901 Government National Mortgage Association, Pool# 430150, 7.25% due 936,002
12/15/26
900,263 Government National Mortgage Association, Pool# 453928, 7.00% due 937,678
7/15/17
466,303 Government National Mortgage Association, Pool# 780063, 7.00% due 480,945
9/15/08
977,441 Government National Mortgage Association, Pool# 780448, 6.50% due 1,001,877
8/15/11
800,000 Tennessee Valley Authority, 8.375% due 10/1/99 828,128
Total U.S. Government Agencies (Cost $70,795,489) 73,082,972
2,100,000 Federal Home Loan Bank Board, 7.11% due 8/19/99 2,141,013
853,805 Federal National Mortgage Association, CMO Series 92-60, Class C, 857,801
7.50% due 4/25/99
Total (Cost $2,960,259) 2,998,814
United States Treasury (44.00%)
7,050,000 United States Treasury Notes, 6.875% due 8/31/99 7,189,872
2,500,000 United States Treasury Notes, 7.50% due 10/31/99 2,574,225
1,300,000 United States Treasury Notes, 7.75% due 1/31/00 1,353,222
4,200,000 United States Treasury Notes, 6.25% due 4/30/01 4,389,672
10,000,000 United States Treasury Notes, 7.50% due 11/15/01 10,898,400
1,350,000 United States Treasury Notes, 6.25% due 1/31/02 1,427,409
3,200,000 United States Treasury Notes, 6.25% due 2/15/03 3,440,992
5,000,000 United States Treasury Notes, 5.75% due 8/15/03 5,305,450
9,750,000 United States Treasury Notes, 7.25% due 5/15/04 11,119,582
3,700,000 United States Treasury Notes, 7.25% due 8/15/04 4,239,386
3,900,000 United States Treasury Notes, 6.50% due 5/15/05 4,369,833
4,000,000 United States Treasury Notes, 7.00% due 7/15/06 4,660,000
Total United States Treasury (Cost $57,316,138) 60,968,043
TOTAL INVESTMENTS (100%) (Cost $131,071,886) $ 137,049,829
<FN>
See notes to financial statements.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Schedule of Investments
Thornburg Limited Term Income Fund
September 30, 1998
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)
U. S. GOVERNMENT SECURITIES - 8.20%
<C> <C> <C> <C>
600,000 United States Treasury Notes, 4.75% due 10/31/98 Aaa/NA $600,096
350,000 United States Treasury Notes, 6.875% due 8/31/99 Aaa/NA 356,944
750,000 United States Treasury Notes, 8.00% due 5/15/01 Aaa/NA 816,562
500,000 United States Treasury Notes, 6.375% due 8/15/02 Aaa/NA 535,390
500,000 United States Treasury Notes, 6.25% due 2/15/03 Aaa/NA 537,655
1,100,000 United States Treasury Notes, 6.50% due 5/15/05 Aaa/NA 1,232,517
Total U. S. Government Securities (Cost $3,781,716) 4,079,164
U. S. GOVERNMENT AGENCIES - 13.30%
900,000 Federal Home Loan Bank Board, 7.11% due 8/19/99 Aaa/NA 917,577
321,097 Federal Home Loan Mortgage Corp., CMO Series 1327 E, NR/NR 325,611
7.50% due 7/15/07
500,000 Federal Home Loan Mortgage Corp., CMO Series 1914 AC, NR/NR 509,375
7.00% due 12/15/11
147,574 Federal Home Loan Mortgage Corp., CMO Series 1019 E, NR/NR 149,972
8.75% due 7/15/20
465,735 Federal Home Loan Mortgage Corp., CMO Series 1208 D, NR/NR 470,099
4.60% due 2/15/22
66,612 Federal Home Loan Mortgage Corp., Pool# 141540, 9.00% Aaa/AAA 70,293
due 5/1/09
204,978 Federal Home Loan Mortgage Corp., Pool# 214180, 9.75% Aaa/AAA 210,679
due 11/1/01
46,252 Federal Home Loan Mortgage Corp., Pool# 216639, 8.25% Aaa/AAA 47,189
due 4/1/02
12,790 Federal Home Loan Mortgage Corp., Pool# 220005, 8.75% Aaa/AAA 13,469
due 4/1/01
5,819 Federal Home Loan Mortgage Corp., Pool# 296006, 8.00% Aaa/AAA 6,116
due 6/1/17
101,616 Federal Home Loan Mortgage Corp., Pool# 503253, 9.50% Aaa/AAA 108,062
due 7/1/05
299,740 Federal Home Loan Mortgage Corp., Pool# 850082, 9.00% Aaa/AAA 310,390
due 10/1/05
56,543 Federal Home Loan Mortgage Corp., Pool# N93035, 7.00% Aaa/AAA 56,978
due 1/1/00
450,188 Federal National Mortgage Association, CMO Series 92-60, NR/NR 452,295
Class C, 7.50% due 4/25/99
685,000 Federal National Mortgage Association, CMO Series 97-13 NR/NR 740,869
D, 7.00% due 8/18/06
200,000 Federal National Mortgage Association, CMO Series NR/NR 215,186
1993-140, Class J, 6.65% due 6/25/13
600,000 Federal National Mortgage Association, CMO Series G94-7 NR/NR 636,372
B, 7.50% due 5/17/24
24,865 Federal National Mortgage Association, Pool# 001768, Aaa/AAA 25,581
8.00% due 10/1/06
660,762 Federal National Mortgage Association, Pool# 020155, Aaa/AAA 674,909
7.491% due 8/1/14
435,232 Federal National Mortgage Association, Pool# 297033, Aaa/AAA 448,289
8.00% due 12/1/09
49,447 Government National Mortgage Association, Pool# 305541, Aaa/AAA 50,830
9.00% due 5/15/03
157,360 Government National Mortgage Association, Pool# 827148, Aaa/AAA 158,933
6.875% due 2/20/24
Total U. S. Government Agencies (Cost $6,413,183) 6,599,074
MORTGAGE BACKED SECURITIES - 1.50%
37,444 Collateralized Mortgage Obligation Trust, Series 56-B, Aaa/AAA 40,989
9.985% due 1/1/19
228,515 Federal Home Loan Mortgage Corp., CMO Series 1537 B, NR/NR 229,084
5.60% due 6/15/00
448,948 GE Capital Mortgage Services, Series 92-13 G2, 7.00% due Aaa/AAA 454,163
1/1/08
Total Mortgage Backed Securities (Cost $709,922) 724,236
ASSET BACKED SECURITIES - 0.50%
250,000 California Infrastructure, Series 1997 1 Certificate Aaa/AAA 252,933
Class A2, 6.04% due 3/25/02
Total Asset Backed Securities (Cost $249,966) 252,933
CORPORATE BONDS - 14.30%
INDUSTRIALS
1,000,000 Computer Associates International Incorporated, 2005 Baa1/A- 1,006,600
Senior Note, 6.375% due 4/15/05
1,000,000 Ingersoll Rand Company, 6.46% due 11/19/03 A3/A- 1,060,530
700,000 Raytheon Company, 6.30% due 3/15/05 Baa1/BBB 730,646
879,000 Wheeling Pittsburgh Corporation, 9.375% due 11/15/03 Aaa/AAA 960,308
700,000 WMX Technologies Incorporated, 8.25% due 11/15/99 Baa3/BBB+ 723,197
4,481,281
UTILITIES
1,000,000 Carolina Power & Light Company, 6.80% due 8/15/07 A2/A 1,104,280
YANKEE
2,150,000 Dao Heng Bank Group, 7.75% due 1/24/07 (U.S. Dollar) Baa1/BBB+ 1,481,892
Total Corporate Bonds (Cost $7,240,009) 7,067,453
TAXABLE MUNICIPAL BONDS - 54.20%
1,500,000 Austin Texas General Obligation, 6.90% due 3/1/02 Aa2/AA 1,591,860
240,000 Baltimore Economic Development Authority, 8.50% due A3/BBB+ 258,895
8/1/02 (Arcade LP Project)
55,000 Beaumont Housing Multifamily Mortgage Series 1995-B, Aaa/NR 56,806
7.50% due 6/15/00 (Insured: FHA)
500,000 Capital Projects Finance Authority Florida Revenue, NR/NR 517,500
Series B, 8.00% due 12/1/01
1,025,000 Connecticut St. Development Authority, 8.55% due 8/15/05 NR/A+ 1,220,621
1,000,000 Denver Company City County School District 1, Taxable Aaa/AAA 1,104,580
Pension School Facilities Lease, 6.79% due 12/15/08
115,000 Duquesne Pennsylvania General Obligation, 6.75% due Aaa/AAA 120,262
12/15/01 (Insured: MBIA)
125,000 Duquesne Pennsylvania General Obligation, 6.75% due Aaa/AAA 131,600
12/15/02 (Insured: MBIA)
130,000 Duquesne Pennsylvania General Obligation, 6.95% due Aaa/AAA 138,847
12/15/03 (Insured: MBIA)
1,125,000 East Baton Rouge Louisiana Mortgage Finance, Series C2 Aaa/NR 1,192,826
Tax Refunding Mortgage, 6.75% due 4/1/05
320,000 Georgia Municipal Electric Authority Power Revenue, A3/A 343,203
Taxable Series One, 7.00% due 1/1/06
2,000,000 Greater Valley Medical Building Partnership, Series Aa3/NR 2,071,600
1996, 6.95% due 3/1/21 put 3/1/01 (LOC: Krediet Bank)
500,000 Gulfport Mississippi Hospital Facility Revenue, Memorial Aaa/AAA 579,205
Hospital Gulfprt B, 8.00% due 7/1/06
1,120,000 Halifax Hospital MedIcal Center Florida Health, 6.50% NR/A 1,148,728
due 4/1/02
1,000,000 Harris County Houston Texas Sport, Taxable Junior Lien Aaa/AAA 1,042,220
Series C, 6.00% due 11/15/05
845,000 Idaho Housing Multifamily Housing Revenue Series 94-B, A/NR 957,157
8.15% due 7/1/04
155,000 Illinois Housing Development Authority, Taxable Multi A1/A+ 165,633
Family Pg Series 2, 7.85% due 3/1/05
405,000 King County Washington General Obligation, 7.55% due Aa1/AA+ 456,666
12/1/05
100,000 Kiryas Joel Village, New York General Obligation Series Baa/NR 103,706
B, 8.50% due 1/1/00
210,000 Lake City Florida Utilities Revenue, Taxable Refunding Aaa/NR 219,927
Series B, 6.40% due 7/1/04
225,000 Lake City Florida Utilities Revenue, Taxable Refunding Aaa/NR 237,136
Series B, 6.50% due 7/1/05
240,000 Lake City Florida Utilities Revenue, Taxable Refunding Aaa/NR 254,568
Series B, 6.50% due 7/1/06
255,000 Lake City Florida Utilities Revenue, Taxable Refunding Aaa/NR 271,700
Series B, 6.60% due 7/1/07
260,000 Lake City Florida Utilities Revenue, Taxable Refunding Aaa/NR 275,496
Series B, 6.60% due 7/1/08
1,000,000 Los Angeles County Pension Obligation, 8.30% due 6/30/02 Aaa/AAA 1,104,080
(Insured: FSA)
1,225,000 Maine Health & Higher Ed Fac Series A, 7.35% due 7/1/12 NR/A- 1,240,166
put 7/1/99 (Nursing Home Project; LOC: Sumitumo Bank)
110,000 Maine Municipal Bond Bank Special Obligation, Taxable NR/A+ 122,056
Series A, 8.00% due 11/1/02
690,000 Maryland State Economic Development Corporation, Taxable NR/NR 731,814
Maryland Tech Development Center Project, 7.25% due
6/1/08
300,000 Massachusetts Industrial Financing Authority Resource Aaa/AAA 303,726
Recovery Revenue Refunding, 6.95% due 7/1/99 (Insured:
FSA)
350,000 Miami Beach Housing Authority Revenue, 6.75% due 3/1/03 A3/NR 356,825
265,000 New Jersey Economic Development Authority Series B, Aa3/A+ 278,197
7.10% due 9/15/02
50,000 New Jersey State Housing & Mortgage Financing Agency NR/A+ 50,066
Series E, 7.40% due 11/1/98
95,000 New Jersey State Housing & Mortgage Financing Agency NR/A+ 99,274
Series E, 7.95% due 11/1/00
4,360,000 New Orleans Home Mortgage Authority Single Family Aaa/AAA 1,021,112
Mortgage Revenue Refunding Series 1994-A, 0% due 10/1/15
(Insured: MBIA)
200,000 New York City Series 1991, 10.50% due 11/15/13 Aaa/AAA 234,540
prerefunded 11/15/01
80,000 New York New York, Taxable Prerefunded Series D, 10.00% A3/A- 92,296
due 8/1/05
20,000 New York New York, Taxable Unrefunded Balance D, 10.00% A3/A- 22,988
due 8/1/05
500,000 New York St Mortgage Agency Revenue, Taxable Mortgage Aaa/NR 534,795
20th Series, 6.70% due 10/1/04
1,000,000 New York St Power Authority Revenue & General, Taxable Aa3/AA- 1,024,030
Series D, 6.17% due 2/15/01
1,000,000 Oklahoma City Oklahoma Airport Trust, Taxable Senior Aa2/AA 1,020,050
Lien 19th Series, 6.15% due 7/1/00
1,000,000 Pennsylvania Housing Finance Agency, 8.40% due 4/1/10 Aa/AA+ 1,123,300
1,020,000 Santa Fe New Mexico Civic Housing Authority, Tuscany Ser Aaa/AAA 1,094,256
B, 6.71% due 8/1/12
680,000 Texas St Department Housing & Community, Affairs Single A1/A+ 689,384
Family Series B, 9.50% due 3/1/16
35,000 Tucson & Pima County IDA SFMR Series A, 7.00% due 12/1/03 A1/NR 36,449
300,000 Virginia State Housing Development Authority Series C, Aa1/AA+ 316,059
6.65% due 11/1/03
825,000 Wilkes Barre Pennsylvania Redevelopment Authority Aaa/NR 880,275
Revenue, 6.25% due 6/15/08
Total Taxable Municipal Bonds (Cost $25,377,753) 26,836,480
FOREIGN SECURITIES - 7.30%
2,000,000 British Columbia Province, 9.00% due 6/21/04 (Canadian Aa2/AA 1,554,335
Dollars)
1,000,000 Manitoba Province, 7.875% due 4/7/03 (Canadian Dollars) NA/NA 728,696
1,800,000 Toronto Metropolitan, 7.75% due 12/1/05 (Canadian NA/AA+ 1,343,348
Dollars)
Total Foreign Securities (Cost $3,499,931) 3,626,379
COMMERCIAL PAPER - 0.80%
400,000 Ford Motor Credit Company, 5.27% due 10/7/98 A1/P1 399,649
Total Commercial Paper (Cost $399,649) 399,649
TOTAL INVESTMENTS (100%) (Cost $47,672,129) $ 49,585,368
<FN>
See notes to financial statements.
</FN>
</TABLE>
Independent Auditor's Report
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, 1998, and the related statement of operations, the statements 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 audits. We conducted
our audits in accordance with generally accepted auditing standards. Those
standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and 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, 1998,
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, 1998, and the results of their operations, 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 23, 1998
Investment Manager
Thornburg Management Company, Inc.
119 East Marcy Street
Santa Fe, New Mexico 87501
(800) 847-0200
Principal Underwriter
Thornburg Securities Corporation
119 East Marcy Street
Santa Fe, New Mexico 87501
(800) 847-0200
www.thornburg.com
This 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 future results.
Annual Report September 30, 1998
Thornburg Limited Term Income Funds
