Thornburg Limited Term Income Funds
All data as of 9.30.99
Fund Facts
Thornburg Limited Term Income Fund
A Shares C Shares
SEC Yield ............................................... 5.61% 5.30%
NAV ..................................................... $ 11.93 $ 11.91
Max. Offering Price ..................................... $ 12.11 $ 11.91
Total returns
(Annual Average - After Subtracting Maximum Sales Charge)
One Year (0.50)% 0.68%
Five Year ............................................... 6.12% 6.05%
Since Inception ......................................... 5.66% 5.80%
Inception Date (10.2.1992) (9.1.1994)
Fund Facts
Thornburg Limited Term U.S. Government Fund*
A Shares C Shares
SEC Yield ............................................... 5.43% 5.05%
NAV ..................................................... $ 12.06 $ 12.12
Max. Offering Price ..................................... $ 12.24 $ 12.12
Total returns
(Annual Average - After Subtracting Maximum Sales Charge)
One Year (1.01)% 0.13%
Five Year ............................................... 5.77% 5.63%
Ten Year 6.47% N/A
Since Inception ......................................... 6.65% 5.43%
Inception Date (11.16.1987) (9.1.1994)
*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 1.50%.
The data quoted represent past performance and may not be construed as a
guarantee of future results.
Letter to shareholders
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 ended
September 30, 1999. The net asset value of the "A" shares of the Thornburg
Limited Term Income Fund ended the period at $11.93. If you were invested for
the entire period, you received distributions of 69.3 cents per share. If you
reinvested your distributions, you received 71.2 cents per share. Investors who
owned "C" shares received 64.2 and 65.8 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 $12.06. If you were invested for the entire period, you
received dividends of 65.6 cents per share. If you reinvested your dividends,
you received 67.3 cents per share. Investors who owned "C" shares received 60.4
and 61.7 cents per share, respectively. Please read the accompanying exhibits
for more detailed information and history.
After falling to their lowest level in five years in October of 1998, interest
rates have continued to rise since then. Since the lows in October 1998,
interest rates have risen over 130 basis points (>1.3%) on all Treasury notes
and bonds with maturities greater than 1 year. The five to ten year segment of
the yield curve for U.S. Treasuries was especially hard hit with yields rising
over 160 basis points. Once the perceptions of the fates of Southeast Asia,
Russia and Latin America changed from imminent collapse to survival, and, in the
case of Southeast Asia, perhaps even growth, the bond markets once again had to
look at the robustness of the U.S. economy for the direction of interest rates.
Quality spreads on corporate bonds tightened in the first quarter of 1999, but
ended September 30, 1999 at about the same levels they were at in the 4th
quarter of 1998.
The current level of interest rates on bonds provides a pretty nice yield
advantage over money market rates. This is especially true of securities that
pay a spread to Treasuries, such as government agency bonds, mortgage-backed
securities and corporate bonds. By investing in short-to-intermediate bonds
there is also some protection against the price volatility of long-term bonds.
The Thornburg Limited Term Income Fund and the Thornburg Limited Term U.S.
Government Fund, with their short-to-intermediate bonds, provided positive total
returns over the last 12 months, when dividends are included. Mutual funds with
longer maturity bonds in their portfolios did not fair as well.
The Thornburg Limited Term Income Fund and the Thornburg Limited Term U.S.
Government Fund are laddered portfolios of short-to-intermediate bonds. We do
not speculate on the direction of interest rates. We keep the portfolios
laddered over a time period ranging from one day to approximately ten years,
with the average maturity of the portfolios always no more than five years. Some
of the bonds are always coming close to maturity, but never too many at one
time. We feel a laddered maturity portfolio of short-to-intermediate bonds is a
sensible strategy over time. Intermediate bonds have proven to be a sensible
part of a portfolio. They can provide stability to the underlying principal,
they can provide income for the portfolio, and, over the years, they have
provided an attractive return versus money market instruments. Take a look at
the charts, which show the return on an investment in the Thornburg Limited Term
Income Fund and the Thornburg Limited Term U.S. Government Fund versus the Money
Market Funds 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 our funds represent core
holdings in a diversified portfolio.
Steven J. Bohlin
Managing Director
Fund Facts
Thornburg Limited Term Income Fund I Shares
SEC Yield .................................. 6.01%
NAV ........................................ $ 11.93
Max. Offering Price ........................ $ 11.93
Total returns
One Year 1.32%
Three Year ................................. 5.49%
Since Inception ............................ 6.35%
Inception Date (7.5.1996)
Fund Facts
Thornburg Limited Term U.S. Government Fund*
I Shares
SEC Yield .................................. 5.89%
NAV ........................................ $ 12.05
Max. Offering Price ........................ $ 12.05
Total returns
One Year 0.82%
Three Year ................................. 5.65%
Ten Year N/A
Since Inception ............................ 6.02%
Inception Date (7.5.1996)
*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. The data quoted represent past performance and may not
be construed as a guarantee of future results.
Letter to shareholders
Dear Fellow Shareholder,
I am pleased to present the Annual Report for the Institutional Shares of the
Thornburg Limited Term Income Fund and the Thornburg Limited Term U.S.
Government Fund for the year ended September 30, 1999. The net asset value of
the "I" shares of the Thornburg Limited Term Income Fund ended the period at
$11.93. If you were invested for the entire period, you received dividends of
73.0 cents per share. If you reinvested your dividends, you received 75.0 cents
per share. The net asset value of the "I" shares of the Thornburg Limited Term
U.S. Government Fund ended the period at $12.05. If you were invested for the
entire period, you received dividends of 69.9 cents per share. If you reinvested
your dividends, you received 71.7 cents per share. Please read the accompanying
exhibits for more detailed information and history.
After falling to their lowest level in five years in October of 1998, interest
rates have continued to rise since then. Since the lows in October 1998,
interest rates have risen over 130 basis points (>1.3%) on all Treasury notes
and bonds with maturities greater than 1 year. The five to ten year segment of
the yield curve for U.S. Treasuries was especially hard hit with yields rising
over 160 basis points. Once the perceptions of the fates of Southeast Asia,
Russia and Latin America changed from imminent collapse to survival, and, in the
case of Southeast Asia, perhaps even growth, the bond markets once again had to
look at the robustness of the U.S. economy for the direction of interest rates.
Quality spreads on corporate bonds tightened in the first quarter of 1999, but
ended September 30, 1999 at about the same levels they were at in the 4th
quarter of 1998.
The current level of interest rates on bonds provides a pretty nice yield
advantage over money market rates. This is especially true of securities that
pay a spread to Treasuries, such as government agency bonds, mortgage-backed
securities and corporate bonds. By investing in short-to-intermediate bonds
there is also some protection against the price volatility of long-term bonds.
The Thornburg Limited Term Income Fund and the Thornburg Limited Term U.S.
Government Fund, with their short-to-intermediate bonds, provided positive total
returns over the last 12 months, when dividends are included. Mutual funds with
longer maturity bonds in their portfolios did not fair as well.
The Thornburg Limited Term Income Fund and the Thornburg Limited Term U.S.
Government Fund are laddered portfolios of short-to-intermediate bonds. We do
not speculate on the direction of interest rates. We keep the portfolios
laddered over a time period ranging from one day to approximately ten years,
with the average maturity of the portfolios always no more than five years. Some
of the bonds are always coming close to maturity, but never too many at one
time. We feel a laddered maturity portfolio of short-to-intermediate bonds is a
sensible strategy over time. Intermediate bonds have proven to be a sensible
part of a portfolio. They can provide stability to the underlying principal,
they can provide income for the portfolio, and, over the years, they have
provided an attractive return versus money market instruments. Take a look at
the charts, which show the return on an investment in the Thornburg Limited Term
Income Fund and the Thornburg Limited Term U.S. Government Fund versus the Money
Market Funds 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 our funds represent core
holdings in a diversified portfolio.
Steven J. Bohlin
Managing Director
Index Comparisons
GOVERNMENT FUND
Index Comparisons
Compares performance of the Government Fund Class I shares to the Lehman
Brothers Intermediate Government Bond Index, and the Consumer Price Index for
the periods ended September 30, 1999. On September 30, 1999, the weighted
average securities ratings of the Index and the Fund were AAA and AAA,
respectively, and the weighted average portfolio maturities of the Index and the
Fund were 3.9 years and 4.2 years, respectively. Class I shares became available
on July 5, 1996. Past performance of the Index and the Fund may not be
indicative of future performance.
Average Annual Total Returns (periods ending 9/30/99)
(at max. offering price)
One Year: 0.82%
Three Years: 5.65%
From Inception (7/5/96): 6.02%
INCOME FUND
Index Comparisons
Compares performance of the Income Fund Class I shares to the Lehman Brothers
Intermediate Government Corporate Bond Index and the Consumer Price Index for
the periods ended September 30, 1999. On September 30, 1999, the weighted
average securities ratings of the Index and the Fund were A and AA,
respectively, and the weighted average portfolio maturities of the Index and the
Fund were 4.3 years and 4.8 years, respectively. Class I shares became available
on July 5, 1996. Past performance of the Index and the Fund may not be
indicative of future performance.
Average Annual Total Returns (periods ending 9/30/99)
(at max. offering price)
One Year: 1.32%
Three Years: 5.49%
From Inception (7/5/96): 6.35%
Thornburg Limited Term U.S. Government Fund - Class I
Outperformed Taxable Money Market Funds
Return from a $100,000 Investment 9/30/89 to 9/30/99
Donoghue's Taxable
Money Market Fund Average
$61,647
Thornburg Limited Term
U.S. Government Fund
$97,086
The chart above is for the Funds' Class 1 Shares only. See the inside front
cover page for the 30-day SEC yield and the total returns at the maximum
offering prices for one year, three years, and since inception for the Class I
shares of the Fund. The illustration includes actual returns of the Class A
shares adjusted for the lower Institutional expenses. Return for the money fund
average is based upon 30-day yield quotations for taxable money funds as quoted
in "Donoghue's Money Fund Report" for the months covered by this analysis. The
return for Limited Term U.S. Government Fund is based upon the dividends paid
for the months covered by this analysis, the beginning offering price of $11.95
and the ending NAV of $12.05. These investments returned the $100,000 initial
investment in addition to the amounts shown above. This analysis assumes that
the dividends from each of these investment vehicles were reinvested and
compounded monthly. Most money funds declare dividends daily and pay them
monthly. LTUIX also declares dividends daily and pays them monthly. The average
money market fund increases shown may differ from the return of a particular
fund. It is not possible to invest in these money fund averages. Note 1: Future
performance of any of these investments may bear no relationship to prior
performance. Note 2: This analysis does not take into account the effect, if
any, caused by taxes. Note 3: The net asset value of the money funds did not
fluctuate. Money funds seek to maintain a constant net asset value. The net
asset value of the Limited Term U.S. Government Fund did vary from time to time,
and it will continue to vary in the future. The analysis assumes that the
investor receives the net asset value of shares owned, plus accrued income, at
redemption. Due to the effect of sales commissions, the net asset value of the
Limited Term U.S. Government Fund shares is less than the offering price of the
shares. Redemptions are made at the then current net asset value and you may
have a gain or a loss when you redeem shares.
Thornburg Limited Term Income Fund - Class I Outperformed Taxable Money Market
Funds Return from a $100,000 Investment 9/30/94 to 9/30/99 Donoghue's Taxable
Money Market Fund Average $27,776 Thornburg Limited Term Income Fund $38,388
The chart above is for the Fund's Class I Shares only. See the inside front
cover page for the 30-day SEC yield and the total returns at the maximum
offering prices for one year, three years, and since inception for the Class I
shares of the Fund. The illustration includes actual returns of the Class A
shares adjusted for the lower Institutional expenses. Return for the money fund
average is based upon 30 day yield quotations for taxable money funds as quoted
in "Donoghue's Money Fund Report" for the months covered by this analysis. The
return for Limited Term Income Fund is based upon the dividends paid for the
months covered by this analysis, the beginning offering price of $11.95 per
share, respectively and the ending NAV of $11.93 per share. These investments
returned the $100,000 initial investment in addition to the amounts shown above.
This analysis assumes that the dividends from each of these investment vehicles
were reinvested and compounded monthly. Most money funds declare dividends daily
and pay them monthly. THIIX also declares dividends daily and pays them monthly.
The average money market fund increases shown may differ from the return of a
particular fund. It is not possible to invest in these money fund averages. Note
1: Future performance of any of these investments may bear no relationship to
prior performance. Note 2: This analysis does not take into account the effect,
if any, caused by taxes. Note 3: The net asset value of the money funds did not
fluctuate. Money funds seek to maintain a constant net asset value. The net
asset value of Limited Term Income Fund did vary from time to time, and it will
continue to vary in the future. The analysis assumes that the investor receives
the net asset value of shares owned, plus accrued income, at redemption. Due to
the effect of sales commissions, the net asset value of the Limited Term Income
Fund shares are less than the offering price of the shares. Redemptions are made
at the then current net asset value and you may have a gain or a loss when you
redeem shares.
<TABLE>
<CAPTION>
Statements of assets and liabilities
Limited Term U.S. Limited Term
Government Fund Income Fund
ASSETS
<S> <C> <C>
Investments at value (cost $127,747,973
and $59,020,534, respectively) ................................................. $127,102,574 $ 58,681,209
Cash ........................................................................... 162,649 123,555
Receivable for fund shares sold ................................................ 117,287 118,539
Receivable for investments sold ................................................ 438 263,057
Interest receivable ............................................................ 1,599,843 979,308
Principal receivable ........................................................... 42,433 24,293
Prepaid expenses and other assets .............................................. 28,336 24,399
Total Assets ................................................. 129,053,560 60,214,360
LIABILITIES
Payable for investments purchased .............................................. 1,211,628 1,303,248
Reverse repurchase agreement ................................................... 994,749 0
Payable for fund shares redeemed ............................................... 259,609 184,379
Accounts payable and accrued expenses .......................................... 48,305 117,938
Payable to Investment Advisor .................................................. 42,182 19,022
Dividends payable .............................................................. 153,034 84,879
Total Liabilities ............................................ 2,709,507 1,709,466
NET ASSETS ..................................................................... $126,344,053 $ 58,504,894
NET ASSET VALUE:
Class A Shares:
Net asset value and redemption price per share ($113,215,434 and $ 41,049,576
applicable to 9,390,881 and 3,440,200 shares of
beneficial interest outstanding - Note 4) ...................................... $ 12.06 $ 11.93
Maximum sales charge, 1.50 % of offering
price (1.52% of net asset value per share) ..................................... 0.18 0.18
Maximum Offering Price Per Share ............................................... $ 12.24 $ 12.11
Class C Shares:
Net asset value and offering price per share * ($7,516,463 and
$7,527,607 applicable to 620,300 and 632,235 shares of beneficial
interest outstanding - Note 4) ................................................. $ 12.12 $ 11.91
Class I Shares:
Net asset value and offering price per share ($5,612,156 and
$9,927,711 applicable to 465,827 and 832,216 shares of beneficial
interest outstanding - Note 4) ................................................. $ 12.05 $ 11.93
<FN>
* Redemption price per share is equal to net asset value less any applicable
contingent deferred sales charges. See notes to financial statements.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Statements of operations
Limited Term U.S. Limited Term
Government Fund Income Fund
INVESTMENT INCOME:
<S> <C> <C>
Interest income (net of premium amortized
of $519,856 and $111,382, respectively) ....................... $ 8,297,961 $ 3,607,299
EXPENSES:
Investment advisory fees (Note 3) ............................. 495,535 270,173
Administration fees (Note 3)
Class A Shares ....................................... 150,667 47,232
Class C Shares ....................................... 9,148 8,923
Class I Shares ....................................... 2,145 4,555
Distribution and service fees (Note 3)
Class A Shares ....................................... 290,728 89,287
Class C Shares ....................................... 73,191 71,360
Transfer agent fees ........................................... 133,104 73,577
Custodian fees ................................................ 91,985 67,685
Registration and filing fees .................................. 43,138 38,239
Professional fees ............................................. 14,902 4,943
Accounting fees ............................................... 12,857 5,337
Trustee Fees .................................................. 4,434 633
Interest ...................................................... 7,795 7,040
Other expenses ................................................ 11,700 11,403
Total Expenses ....................................... 1,341,329 700,387
Less:
Expenses reimbursed by investment advisor (Note 3) ... (32,979) (126,330)
Distribution and service fees waived (Note 3) ........ (36,598) (35,667)
Net Expenses ......................................... 1,271,752 538,390
Net Investment Income ................................ 7,026,209 3,068,909
REALIZED AND UNREALIZED GAIN (LOSS) (Note 5)
Net Realized gain (loss) on:
Investments ................................................... 113,049 (248,377)
Foreign currency transactions ................................. 0 14,504
113,049 (233,873)
Net change in unrealized appreciation (depreciation) on:
Investments ................................................... (6,623,311) (2,252,563)
Foreign currency translation .................................. 0 1,949
(6,623,311) (2,250,614)
Net Realized and Unrealized Gain (Loss) on Investments (6,510,262) (2,484,487)
Net Increase in Net Assets Resulting From Operations $ 515,947 $ 584,422
See notes to financial statements.
</TABLE>
<TABLE>
<CAPTION>
Statements of changes in net assets
Year Ended Year Ended
September 30, 1999 September 30, 1998
INCREASE (DECREASE) IN
NET ASSETS FROM:
OPERATIONS:
<S> <C> <C>
Net investment income ................................................ $ 7,026,209 $ 7,784,612
Net realized gain on investments sold ................................ 113,049 139,163
Unrealized appreciation (depreciation)
of investments .............................................. (6,623,311) 3,564,928
Net Increase in Net Assets Resulting From Operations 515,947 11,488,703
DIVIDENDS TO SHAREHOLDERS:
From net investment income
Class A Shares .............................................. (6,424,230) (7,311,154)
Class C Shares .............................................. (357,487) (243,829)
Class I Shares .............................................. (244,492) (229,629)
FUND SHARE TRANSACTIONS - (Note 4):
Class A Shares .............................................. (10,147,111) (7,874,739)
Class C Shares .............................................. 1,429,265 1,991,492
Class I Shares .............................................. 3,563,264 (3,084,806)
Net Increase (Decrease) in Net Assets .............. (11,664,844) (5,263,962)
NET ASSETS:
Beginning of year ........................................... 138,008,897 143,272,859
End of year ................................................. $ 126,344,053 $ 138,008,897
See notes to financial statements ....................................
Statements of changes in net assets
Year Ended Year Ended
September 30, 1999 September 30, 1998
INCREASE (DECREASE) IN
NET ASSETS FROM:
OPERATIONS:
Net investment income ................................................ $ 3,068,909 $ 2,645,277
Net realized gain (loss) on investments sold ......................... (233,873) (290,262)
Unrealized appreciation (depreciation) of investments ................ (2,250,614) 837,189
Net Increase in Assets Resulting from Operations ... 584,422 3,192,204
DIVIDENDS TO SHAREHOLDERS:
From net investment income
Class A Shares .............................................. (1,970,027) (1,937,609)
Class C Shares .............................................. (344,083) (352,730)
Class I Shares .............................................. (502,339) (354,938)
RETURN OF CAPITAL
Class A Shares .............................................. (177,137) 0
Class C Shares .............................................. (32,483) 0
Class I Shares .............................................. (42,840) 0
FUND SHARE TRANSACTIONS - (Note 4):
Class A Shares .............................................. 6,919,340 4,205,120
Class C Shares .............................................. 710,310 1,689,924
Class I Shares .............................................. 2,578,404 3,181,451
Net Increase in Net Assets ......................... 7,723,567 9,623,422
NET ASSETS:
Beginning of year ........................................... 50,781,327 41,157,905
End of year (Includes distribution in excess
of net investment income of $84,879) ........................ $ 58,504,894 $ 50,781,327
</TABLE>
See notes to financial statements.
Notes to financial statements
Note 1 - Organization
Thornburg Limited Term U.S. Government Fund (the "Government Fund") and
Thornburg Limited Term Income Fund (the "Income Fund"), hereafter referred to
collectively as the "Funds", are diversified 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 at 4:00 pm EST 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. Net realized capital losses are carried
forward to offset realized capital gains in future years. To the extent such
carryforwards are used, no capital distributions will be made. 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 Investment
Management, 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, 1999, 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 1/20 of 1% of the average daily net assets attributable to
Class I shares. For the year ended September 30, 1999, the Adviser voluntarily
reimbursed certain operating expenses amounting to $32,979 and $126,330 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, 1999,
the Distributor earned commissions aggregating $10,874 and $7,715 from the sale
of Class A shares of the Government Fund and Income Fund, respectively, and
collected contingent deferred sales charges aggregating $2,112 and $2,387 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 1/4 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 3/4% of 1% 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 and the amount waived for the year ended September 30, 1999
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, 1999 there were an unlimited number of shares of beneficial
interest authorized, and capital paid in aggregated $133,662,223 and $59,998,851
for the Government Fund and Income Fund, respectively. Sales of Class I shares
commenced on July 5, 1996. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
Government Fund
Year Ended September 30, 1999 Year Ended September 30, 1998
Class A Shares ....................................... Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Shares sold .......................................... 1,687,187 $ 20,772,075 2,343,398 $ 29,089,064
Shares issued to shareholders in
reinvestment of dividends ................... 365,972 4,498,080 408,731 5,065,254
Shares repurchased ................................... (2,877,290) (35,417,266) (3,395,632) (42,029,057)
Net (Decrease) ....................................... (824,131) ($10,147,111) (643,503) ($ 7,874,739)
Class C Shares ....................................... Shares Amount Shares Amount
Shares sold .......................................... 296,895 $ 3,701,013 268,890 $ 3,352,878
Shares issued to shareholders
in reinvestment of distributions ............ 24,792 305,762 16,876 210,103
Shares repurchased ................................... (208,348) (2,577,510) (126,412) (1,571,489)
Net Increase ......................................... 113,339 $ 1,429,265 159,354 $ 1,991,492
Class I Shares ....................................... Shares Amount Shares Amount
Shares sold .......................................... 357,156 $ 4,419,073 349,738 $ 4,333,129
Shares issued to shareholders in
reinvestment of dividends ................... 19,438 237,764 16,580 205,349
Shares repurchased ................................... (88,647) (1,093,573) (615,938) (7,623,284)
Net Increase (Decrease) .............................. 287,947 $3,563,2 (249,620) ($ 3,084,806)
Note 4- Shares of Beneficial Interest . . . continued
Income Fund
Year Ended September 30, 1999 Year Ended September 30, 1998
Class A Shares ....................................... Shares Amount Shares Amount
Shares sold .......................................... 1,093,764 $ 13,307,019 871,449 $ 10,757,352
Shares issued to shareholders in
reinvestment of dividends ................... 117,354 1,428,223 98,517 1,214,844
Shares repurchased ................................... (640,785) (7,815,902) (629,596) (7,767,076)
Net Increase ......................................... 570,333 $ 6,919,340 340,370 $ 4,205,120
Class C Shares ....................................... Shares Amount Shares Amount
Shares sold .......................................... 220,299 $ 2,684,267 278,808 $ 3,432,785
Shares issued to shareholders
in reinvestment of distributions ............ 25,540 310,368 24,958 307,071
Shares repurchased ................................... (186,698) (2,284,325) (166,840) (2,049,932)
Net Increase ......................................... 59,141 $710,310 136,926 $ 1,689,924
Class I Shares ....................................... Shares Amount Shares Amount
Shares sold .......................................... 410,854 $ 5,027,548 333,013 $ 4,102,752
Shares issued to shareholders in
reinvestment of dividends ................... 33,598 408,669 20,510 252,865
Shares repurchased ................................... (233,959) (2,857,813) (95,336) (1,174,166)
Net Increase ......................................... 210,493 $ 2,578,404 258,187 $ 3,181,451
</TABLE>
Thornburg Investment Trust
Note 5 - Securities Transactions
For the year ended Spetember 30, 1999, portfolio purchase and sale transactions
(excluding short-term securities) were $44,479,641 and $25,788,738 for the
Government Fund and $35,212,923 and $25,599,940 for the Income Fund,
respectively. The cost of investments for Federal income tax purposes is
$127,747,973 and $59,020,534 for the Government Fund and Income Fund,
respectively. At September 30, 1999, gross unrealized appreciation and
depreciation of investments, based on cost for Federal income taxes were as
follows:
Government Fund Income Fund
Gross Unrealized Appreciation $1,012,910 $402,816
Gross Unrealized Depreciation 1,658,309 742,141
Net Unrealized Appreciation ($645,399) ($339,325)
Accumulated net realized losses from securities transactions included
in net assets at September 30, 1999 aggregated $6,672,771 and $1,070,099 for the
Government Fund and Income Fund, respectively. For Federal income tax purposes,
the Government Fund has capital loss carryforwards of $6,673,000. The
carryforwards expire in varying amounts through 2003. For Federal income tax
purposes, the Income Fund had deferred capital losses occuring subsequent to
October 31, 1998 of $256,000 and capital loss carryforwards of $814,000. The
carryforwards expire in varying amounts through 2003.
<TABLE>
<CAPTION>
Financial highlightsThornburg Limited Term U.S. Government Fund
Year Ended September 30,
1999 1998 1997 1996 1995
Class A Shares:
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year .................. $ 12.66 $ 12.31 $ 12.24 $ 12.40 $ 12.03
Income from investment operations:
Net investment income ...................... 0.66 0.69 0.75 0.76 0.75
Net realized and unrealized
gain (loss) on investments ................. (0.60) 0.35 0.07 (0.16) 0.37
Total from investment operations .................... 0.06 1.04 0.82 0.60 1.12
Less dividends from:
Net investment income ...................... (0.66) (0.69) (0.75) (0.76) (0.75)
Change in net asset value ........................... (0.60) 0.35 0.07 (0.16) 0.37
Net asset value, end of year ........................ $ 12.06 $ 12.66 $ 12.31 $ 12.24 $ 12.40
Total return (a) .................................... 0.48% 8.75% 6.86% 4.92% 9.66%
Ratios/Supplemental Data Ratios to average net asset:
Net investment income ...................... 5.33% 5.61% 6.09% 6.11% 6.23%
Expenses, after expense reductions .................. 0.95% 0.97% 0.97% 0.99% 0.99%
Expenses, before expense reductions ................. 0.95% 0.97% 0.97% 0.99% 0.99%
Portfolio turnover rate ............................. 19.39% 29.77% 41.10% 23.27% 28.31%
Net assets at end of year (000) ..................... $ 113,215 $ 129,312 $133,711 $ 139,510 $ 142,849
<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
Year Ended September 30,
1999 1998 1997 1996 1995
Class C Shares:
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year .................. $ 12.71 $ 12.37 $ 12.29 $ 12.45 $ 12.08
Income from investment operations:
Net investment income ...................... 0.60 0.64 0.70 0.71
0.69
Net realized and unrealized
gain (loss) on investments ................. (0.59) 0.34 0.08 (0.16)
0.37
Total from investment operations .................... 0.01 0.98 0.78 0.55 1.06
Less dividends from:
Net investment income ...................... (0.60) (0.64) (0.70) (0.71)
(0.69)
Change in net asset value ........................... (0.59) 0.34 0.08 (0.16) 0.37
Net asset value, end of year ........................ $ 12.12 $ 12.71 $ 12.37 $ 12.29 $
12.45
Total return (a) .................................... 0.13% 8.19% 6.49% 4.51% 9.07%
Ratios/Supplemental Data Ratios to average net asset:
Net investment income ...................... 4.88% 5.16% 5.65% 5.72%
5.68%
Expenses, after expense reductions ......... 1.40% 1.40% 1.40% 1.39%
1.52%
Expenses, before expense reductions ........ 1.98% 2.20% 2.24% 2.35%
2.30%
Portfolio turnover rate ............................. 19.39% 29.77% 41.10% 23.27% 28.31%
Net assets at end of year (000) $ 7,516 $ 6,445 $ 4,299 $ 2,780 $ 2,217
<FN>
(a) Sales loads are not reflected in computing total return.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Thornburg Limited Term U.S. Government Fund
Year Ended September 30,
1999 1998 1997 1996*
Class I Shares:
<S> <C> <C> <C> <C>
Net asset value, beginning of year $ 12.65 $ 12.31 $ 12.24 $ 12.14
Income from investment operations:
Net investment income 0.70 0.74 0.79 0.20
Net realized and unrealized
gain (loss) on investments (0.60) 0.34 0.07 0.10
Total from investment operations 0.10 1.08 0.86 0.30
Less dividends from:
Net investment income (0.70) (0.74) (0.79) (0.20)
Change in net asset value (0.60) 0.34 0.07 0.10
Net asset value, end of year $ 12.05 $ 12.65 $ 12.31 $ 12.24
Total return (a) 0.82% 9.06% 7.26% 2.45%
Ratios/Supplemental Data Ratios to average net asset:
Net investment income 5.69% 6.01% 6.35% 6.64%(b)
Expenses, after expense reductions 0.60% 0.60% 0.60% 0.58%(b)
Expenses, before expense reductions 1.06% 1.18% 6.57% 305.74%(b)
Portfolio turnover rate 19.39% 29.77% 41.10% 23.27%
Net assets at end of year (000) $ 5,612 $ 2,250 $ 5,263 $ 9
<FN>
(a) Not annualized for periods less than one year.
(b) Annualized
Sales of Class I shares commenced on July 5, 1996.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Thornburg Limited Term Income Fund
Year Ended September 30,
1999 1998 1997 1996 1995
Class A Shares:
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year .................. $ 12.50 $ 12.37 $ 12.23 $ 12.11 $ 11.83
Income from investment operations:
Net investment income ...................... 0.69 0.72 0.76 0.76 0.76
Net realized and unrealized
gain (loss) on investments ................. (0.57) 0.13 0.14 0.12 0.28
Total from investment operations .................... 0.12 0.85 0.90 0.88 1.04
Less dividends from:
Net investment income ...................... (0.64) (0.72) (0.76) (0.76) (0.76)
Return of capital .......................... (0.05) 0 0 0
0
Change in net asset value ........................... (0.57) 0.13 0.14 0.12 0.28
Net asset value, end of year ........................ $ 11.93 $ 12.50 $ 12.37 $ 12.23 $ 12.11
Total return (a) .................................... 1.02% 7.08% 7.56% 7.54% 9.22%
Ratios/Supplemental Data
Ratios to average net asset:
Net investment income ...................... 5.68% 5.81% 6.16% 6.31% 6.50%
Expenses, after expense reductions .................. 0.99% 1.00% 1.00% 0.95% 0.83%
Expenses, before expense reductions ................. 1.19% 1.22% 1.27% 1.37% 1.48%
Portfolio turnover rate ............................. 48.50% 41.01% 13.87% 44.35% 43.12%
Net assets at end of year (000) .....................$ 41,050 $ 35,866 $ 31,281 $ 23,433 $ 23,222
<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 Income Fund
Year Ended September 30,
1999 1998 1997 1996 1995
Class C Shares:
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year .................. $ 12.47 $ 12.34 $ 12.20 $ 12.08 $ 11.78
Income from investment operations:
Net investment income ............. 0.64 0.66 0.71 0.71 0.70
Net realized and unrealized
gain (loss) on investments ........ (0.56) 0.13 0.14 0.12 0.30
Total from investment operations .................... 0.08 0.79 0.85 0.83 1.00
Less dividends from:
Net investment income ............. (0.59) (0.66) (0.71) (0.71) (0.70)
Return of capital ................. (0.05) 0 0 0
0
Change in net asset value .................. (0.56) 0.13 0.14 0.12 0.30
Net asset value, end of year ........................ $ 11.91 $ 12.47 $ 12.34 $ 12.20 $ 12.08
Total return (a) .................................... 0.68% 6.65% 7.13% 7.12% 8.87%
Ratios/Supplemental Data
Ratios to average net asset:
Net investment income ............. 5.28% 5.40% 5.76% 5.91% 6.03%
Expenses, after expense reductions .................. 1.40% 1.40% 1.40% 1.36% 1.20%
Expenses, before expense reductions 2.22% 2.30% 2.44% 3.20%
1.20%
Portfolio turnover rate ............................. 48.50% 41.01% 13.87% 44.35% 43.12%
Net assets at end of year (000) $ 7,528 $ 7,147 $ 5,382 $ 2,695 $ 1,032
<FN>
(a) Sales loads are not reflected in computing total return.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Thornburg Limited Term Income Fund
Year Ended September 30,
1999 1998 1997 1996*
Class I Shares:
<S> <C> <C> <C> <C>
Net asset value, beginning of year $ 12.50 $ 12.36 $ 12.23 $ 11.95
Income from investment operations:
Net investment income 0.73 0.75 0.80 0.19
Net realized and unrealized
gain (loss) on investments (0.57) 0.14 0.13 0.28
Total from investment operations 0.16 0.89 0.93 0.47
Less dividends from:
Net investment income (0.68) (0.75) (0.80) (0.19)
Return of capital (0.05) 0 0 0
Change in net asset value (0.57) 0.14 0.13 0.28
Net asset value, end of year $ 11.93 $ 12.50 $ 12.36 $ 12.23
Total return (a) 1.32% 7.49% 7.80% 3.97%
Ratios/Supplemental Data Ratios to average net asset:
Net investment income 5.99% 6.10% 6.44% 6.67%(b)
Expenses, after expense reductions 0.69% 0.69% 0.69% 0.69%(b)
Expenses, before expense reductions 1.01% 1.19% 1.98% 4.26%(b)
Portfolio turnover rate 48.50% 41.01% 13.87% 44.35%
Net assets at end of year (000) $ 9,928 $ 7,768 $ 4,495 $ 797
<FN>
(a) Not annualized for periods less than one year.
(b) Annualized.
* Sales of Class I shares commenced on July 5, 1996.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Schedule of Investments Thornburg Limited Term U.S. Government Fund
September 30, 1999
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 (68.60%)
<S> <C> <C>
2,200,000 Federal Farm Credit Bank Consolidated MTNS, 5.92% due $2,141,729
12/29/2004
200,000 Federal Farm Credit Bank Consolidated MTNS, 5.35% due 180,782
12/11/2008
2,000,000 Federal Home Loan Bank Board, 5.63% due 9/2/2003 1,947,180
265,000 Federal Home Loan Bank Board, 6.55% due 3/7/2005 265,868
1,100,000 Federal Home Loan Bank Board, 5.95% due 6/13/2005 1,070,091
100,000 Federal Home Loan Bank Board, 6.345% due 11/1/2005 98,984
2,265,000 Federal Home Loan Bank Board, 6.50% due 11/29/2005 2,295,782
1,050,000 Federal Home Loan Bank Board, 6.75% due 4/10/2006 1,066,401
1,000,000 Federal Home Loan Bank Board, 6.37% due 9/26/2007 976,720
475,000 Federal Home Loan Bank Board, 6.075% due 1/2/2008 454,589
1,465,000 Federal Home Loan Bank Board, 5.67% due 2/26/2009 1,353,528
3,000,000 Federal Home Loan Bank Board, 5.70% due 3/3/2009 2,803,110
3,000,000 Federal Home Loan Bank Board, 5.985% due 4/9/2009 2,849,955
1,973,936 Federal Home Loan Bank Board, Pool# W10002, 6.775% due 1,982,345
11/1/2003
679,839 Federal Home Loan Mortgage Corporation CMO Series 1216 679,411
Class E, 7.00% due 3/15/2005
500,000 Federal Home Loan Mortgage Corporation CMO Series 1476 473,125
Class J, 6.00% due 2/15/2008
1,681,976 Federal Home Loan Mortgage Corporation CMO Series 1900 1,683,018
Class L, 7.50% due 11/15/2021
1,000,000 Federal Home Loan Mortgage Corporation CMO Series 1464 995,620
Class G, 7.25% due 12/15/2021
377,576 Federal Home Loan Mortgage Corporation, Pool# 141016, 396,727
9.25% due 11/1/2016
156,005 Federal Home Loan Mortgage Corporation, Pool# 160043, 160,735
8.75% due 4/1/2008
231,802 Federal Home Loan Mortgage Corporation, Pool# 181730, 237,944
8.50% due 5/1/2008
198,318 Federal Home Loan Mortgage Corporation, Pool# 200075, 199,605
9.00% due 9/1/2004
103,478 Federal Home Loan Mortgage Corporation, Pool# 213924, 103,482
9.00% due 10/1/2001
210,386 Federal Home Loan Mortgage Corporation, Pool# 216502, 212,659
8.00% due 4/1/2002
102,362 Federal Home Loan Mortgage Corporation, Pool# 252986, 109,869
10.75% due 4/1/2010
170,983 Federal Home Loan Mortgage Corporation, Pool# 256764, 176,167
8.75% due 10/1/2014
141,947 Federal Home Loan Mortgage Corporation, Pool# 260486, 146,758
9.00% due 1/1/2010
467,277 Federal Home Loan Mortgage Corporation, Pool# 291880, 484,193
8.25% due 5/1/2017
129,343 Federal Home Loan Mortgage Corporation, Pool# 294817, 137,428
9.75% due 1/1/2017
118,630 Federal Home Loan Mortgage Corporation, Pool# 298107, 127,993
10.25% due 8/1/2017
231,113 Federal Home Loan Mortgage Corporation, Pool# 770297, 225,627
6.25% (adjustable rate) due 6/1/2018
482,381 Federal Home Loan Mortgage Corporation, Pool# C90041, 470,770
6.50% due 11/1/2013
186,363 Federal Home Loan Mortgage Corporation, Pool# D06907, 193,515
9.00% due 4/1/2017
127,066 Federal Home Loan Mortgage Corporation, Pool# D06908, 133,512
9.50% due 9/1/2017
666,639 Federal Home Loan Mortgage Corporation, Pool# E00107, 679,638
8.00% due 7/1/2007
435,015 Federal Home Loan Mortgage Corporation, Pool# E49074, 430,017
6.50% due 7/1/2008
638,285 Federal Home Loan Mortgage Corporation, Pool# E61778, 631,672
6.50% due 4/1/2008
363,621 Federal Home Loan Mortgage Corporation, Pool# E65962, 364,225
7.00% due 5/1/2008
1,614,946 Federal Home Loan Mortgage Corporation, Pool# M80406, 1,619,144
7.00% due 1/1/2003
1,900,000 Federal National Mortgage Association CMO Series 1993-12 1,900,000
Class EC, 7.50% due 9/25/2001
391,000 Federal National Mortgage Association, Benchmark Note, 372,549
5.125% due 2/13/2004
1,150,000 Federal National Mortgage Association CMO Series 1,148,919
1992-145 Class L, 7.50% due 1/25/2006
1,500,000 Federal National Mortgage Association CMO Series 1993-35 1,470,930
Class G, 6.50% due 11/25/2006
850,000 Federal National Mortgage Association CMO Series 1992-22 849,464
Class HC, 7.00% due 3/25/2007
2,000,000 Federal National Mortgage Association CMO Series 1,992,500
1991-134 Class KE, 7.00% due 5/25/2008
750,000 Federal National Mortgage Association CMO Series 745,312
1993-101 Class PJ, 7.00% due 6/25/2008
1,250,000 Federal National Mortgage Association CMO Series 1,223,037
1993-191 Class G, 6.00% due 10/25/2008
1,000,000 Federal National Mortgage Association CMO Series 986,870
1993-112 Class EC, 7.00% due 1/25/2011
388,093 Federal National Mortgage Association CMO Series 1992-64 387,969
Class G, 7.00% due 12/25/2018
620,000 Federal National Mortgage Association CMO Series 1994-41 615,152
Class PG, 6.25% due 1/25/2021
100,000 Federal National Mortgage Association CMO Series 101,250
1992-135 Class J, 7.50% due 2/25/2021
640,000 Federal National Mortgage Association CMO Series 628,000
1993-120 Class H, 6.50% due 11/25/2021
793,029 Federal National Mortgage Association CMO Series 776,423
1993-168 Class PK, 6.75% due 8/25/2022
978,000 Federal National Mortgage Association CMO Series 1993-32 908,924
Class H, 6.00% due 3/25/2023
538,692 Federal National Mortgage Association CMO Series 1994-36 535,826
Class UA, 7.00% due 8/25/2023
1,000,000 Federal National Mortgage Association CMO Series 1998-49 964,370
Class TD, 6.25% due 12/18/2023
603,279 Federal National Mortgage Association, Pool# 008307, 617,318
8.00% due 5/1/2008
82,105 Federal National Mortgage Association, Pool# 019535, 87,812
10.25% due 7/1/2008
756,120 Federal National Mortgage Association, Pool# 033356, 797,532
9.25% due 8/1/2016
103,976 Federal National Mortgage Association, Pool# 040526, 109,640
9.25% due 1/1/2017
611,785 Federal National Mortgage Association, Pool# 044003, 626,945
8.00% due 6/1/2017
449,979 Federal National Mortgage Association, Pool# 050811, 456,665
7.50% due 12/1/2012
170,202 Federal National Mortgage Association, Pool# 058816, 175,359
9.25% due 12/1/2002
171,343 Federal National Mortgage Association, Pool# 063791, 173,564
8.25% due 7/1/2002
396,831 Federal National Mortgage Association, Pool# 064011, 408,855
9.25% due 7/1/2003
5,000,000 Federal National Mortgage Association, Pool# 073040, 5,068,310
7.625% due 9/1/2001
3,765,023 Federal National Mortgage Association, Pool# 073798, 3,790,491
6.94% due 12/1/2006
314,166 Federal National Mortgage Association, Pool# 076388, 331,467
9.25% due 9/1/2018
102,881 Federal National Mortgage Association, Pool# 077725, 109,295
9.75% due 10/1/2018
219,299 Federal National Mortgage Association, Pool# 112067, 232,573
9.50% due 10/1/2016
817,027 Federal National Mortgage Association, Pool# 156156, 849,356
8.50% due 4/1/2021
474,603 Federal National Mortgage Association, Pool# 190555, 472,240
7.00% due 1/1/2014
465,918 Federal National Mortgage Association, Pool# 190703, 465,988
7.00% due 3/1/2009
1,056,089 Federal National Mortgage Association, Pool# 190836, 1,056,089
7.00% due 6/1/2009
750,180 Federal National Mortgage Association, Pool# 250387, 749,828
7.00% due 11/1/2010
511,150 Federal National Mortgage Association, Pool# 250481, 492,621
6.50% due 11/1/2015
1,944,028 Federal National Mortgage Association, Pool# 252648, 1,881,625
6.50% due 5/1/2022
1,200,771 Federal National Mortgage Association, Pool# 252787, 1,202,452
7.00% due 8/1/2006
955,595 Federal National Mortgage Association, Pool# 303383, 955,891
7.00% due 12/1/2009
897,348 Federal National Mortgage Association, Pool# 312663, 910,808
7.50% due 6/1/2010
929,002 Federal National Mortgage Association, Pool# 334996, 928,565
7.00% due 2/1/2011
1,517,313 Federal National Mortgage Association, Pool# 342947, 1,512,336
7.25% due 4/1/2024
504,944 Federal National Mortgage Association, Pool# 345775, 524,925
8.50% due 12/1/2024
550,327 Federal National Mortgage Association, Pool# 373942, 543,453
6.50% due 12/1/2008
522,037 Federal National Mortgage Association, Pool# 400569, 512,197
6.00% due 4/1/2009
1,102,082 Federal National Mortgage Association, Pool# 406384, 1,139,156
8.25% due 12/1/2024
582,105 Government National Mortgage Association, Pool# 000623, 596,436
8.00% due 9/20/2016
657,414 Government National Mortgage Association, Pool# 016944, 669,175
7.50% due 5/15/2007
184,788 Government National Mortgage Association, Pool# 296697, 196,650
9.50% due 10/15/2005
296,588 Government National Mortgage Association, Pool# 306636, 304,744
8.25% due 12/15/2006
1,377,598 Government National Mortgage Association, Pool# 313403, 1,342,538
6.80% due 5/20/2023
1,958,120 Government National Mortgage Association, Pool# 357090, 1,900,766
6.80% due 4/20/2025
554,605 Government National Mortgage Association, Pool# 362865, 562,231
8.00% due 7/15/2003
691,765 Government National Mortgage Association, Pool# 430150, 687,116
7.25% due 12/15/2026
1,194,081 Government National Mortgage Association, Pool# 447040, 1,209,007
7.75% due 5/15/2027
708,208 Government National Mortgage Association, Pool# 453928, 700,021
7.00% due 7/15/2017
346,341 Government National Mortgage Association, Pool# 780063, 347,747
7.00% due 9/15/2008
796,169 Government National Mortgage Association, Pool# 780448, 783,646
6.50% due 8/15/2011
800,000 Tennessee Valley Authority, 8.375% due 10/1/1999 800,000
Total U.S. Government Agencies (Cost $84,473,881) 83,450,846
United States Treasury (35.90%)
1,500,000 United States Treasury Notes, 7.50% due 10/31/1999 1,502,805
3,200,000 United States Treasury Notes, 6.25% due 4/30/2001 3,231,264
10,000,000 United States Treasury Notes, 7.50% due 11/15/2001 10,357,800
3,200,000 United States Treasury Notes, 6.25% due 2/15/2003 3,241,504
5,000,000 United States Treasury Notes, 5.75% due 8/15/2003 4,984,350
9,750,000 United States Treasury Notes, 7.25% due 5/15/2004 10,280,107
3,700,000 United States Treasury Notes, 7.25% due 8/15/2004 3,907,533
1,900,000 United States Treasury Notes, 6.50% due 5/15/2005 1,945,125
4,000,000 United States Treasury Notes, 7.00% due 7/15/2006 4,201,240
Total United States Treasury (Cost $43,274,092) 43,651,728
TOTAL INVESTMENTS (105%) (Cost $127,747,973) $ 127,102,574
See notes to financial statements.
</TABLE>
<TABLE>
<CAPTION>
Schedule of Investments Thornburg Limited Term Income Fund
September 30, 1999 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. TREASURY
SECURITIES - 8.70%
<S> <C> <C> <C>
750,000 United States Treasury Notes, 8.00% due 5/15/2001 Aaa/AAA $777,068
500,000 United States Treasury Notes, 6.375% due 8/15/2002 Aaa/AAA 508,360
500,000 United States Treasury Notes, 6.25% due 2/15/2003 Aaa/AAA 506,485
1,000,000 United States Treasury Notes, 4.25% due 11/15/2003 Aaa/AAA 943,438
1,100,000 United States Treasury Notes, 6.50% due 5/15/2005 Aaa/AAA 1,126,125
1,000,000 United States Treasury Notes, 5.625% due 5/15/2008 Aaa/AAA 970,620
Total U.S. Treasury Securities (Cost $4,743,077) 4,832,096
U. S. GOVERNMENT
AGENCIES - 6.00%
300,000 Federal Home Loan Mortgage Corp., Consolidated Aaa/NA 281,811
Bond, 5.835% due 7/15/2008
419,891 Federal Home Loan Mortgage Corp., CMO Series 1914 NR/NR 410,179
AC, 7.00% due 12/15/2011
123,086 Federal Home Loan Mortgage Corp., Pool# 214180, Aaa/AAA 124,015
9.75% due 11/1/2001
189,713 Federal Home Loan Mortgage Corp., Pool# 850082, Aaa/AAA 193,391
9.00% due 10/1/2005
685,000 Federal National Mortgage Association, CMO Series NR/NR 685,212
97-13 D, 7.00% due 8/18/2006
200,000 Federal National Mortgage Association, CMO Series NR/NR 196,186
1993-140, Class J, 6.65% due6/25/2013
600,000 Federal National Mortgage Association, CMO Series NR/NR 592,872
G94-7 B, 7.50% due 5/17/2024
640,042 Federal National Mortgage Association, Pool# Aaa/AAA 628,739
020155, 7.491% due 8/1/2014
193,320 Federal National Mortgage Association, Pool# Aaa/AAA 198,122
297033, 8.00% due 12/1/2009
46,755 Government National Mortgage Association, Pool# Aaa/AAA 47,054
827148, 6.375% due 2/20/2024
Total U. S. Government Agencies (Cost $3,397,480) 3,357,581
MORTGAGE BACKED
SECURITIES - 0.50%
279,661 GE Capital Mortgage Services, Series 92-13 G2, Aaa/AAA 275,078
7.00% due 1/1/2008
Total Mortgage Backed Securities (Cost $279,661) 275,078
CORPORATE BONDS -
31.60%
BANKS
1,000,000 Mercantile Bancorpation Incorporated, Subordinated A3/BBB 1,003,571
Note, 7.30% due 6/15/2007
1,350,000 Westdeutsche Landesbank Giroze, 2008 Subordinated Aa1/AA+ 1,231,821
Note, 6.05% due 1/15/2009
2,235,392
INDUSTRIALS
50,000 AMR Corporation Delaware, 9.50% due 5/15/2001 Baa2/BBB- 51,774
100,000 AT&T Canada Inc., 7.65% due 9/15/2006 Baa3/BBB 100,261
1,000,000 Burlington Northern Santa Fe, Certificate Series NA/NA 998,530
A, 5.38% due 5/1/2000
2,000,000 Computer Associates International Incorporated, Baa1/BBB+ 1,870,700
2005 Senior Note, 6.375% due4/15/2005
50,000 Grand Metropolitan Investment Corporation, 0% due A1/A+ 37,088
1/6/2004
1,000,000 Ingersoll Rand Company, 6.46% due 11/19/2003 A3/A- 998,350
515,000 International Business Machs, Tranche Trust 00036, A1/A+ 465,792
5.40% due 10/1/2008
1,000,000 Johnson & Johnson, 6.625% due 9/1/2009 Aaa/AAA 989,840
1,000,000 Occidental Petroleum Corporation, Senior Note, Baa3/BBB 987,770
7.375% due 11/15/2008
700,000 Raytheon Company, 6.30% due 3/15/2005 Baa1/BBB 675,003
500,000 Sun Microsystems Inc., Senior Note, 7.50% due Baa1/BBB+ 505,082
8/15/2006
125,000 Valassis Communications, 9.55% due 12/1/2003 Baa3/BBB- 134,683
1,400,000 Valassis Communications Incorporated, 2009 Senior Baa3/BBB- 1,304,265
Note, 6.625% due 1/15/2009
500,000 Waste Management Incorporated Delaware, 144-A, Baa2/BBB 435,858
6.875% due 5/15/2009
879,000 Wheeling Pittsburgh Corporation, 9.375% due Aaa/AAA 924,049
11/15/2003
185,000 WMX Technologies Inc., 7.00% due 5/15/2005 Baa1/BBB 170,992
10,650,037
INSURANCE
900,000 Old Republic International Corporation, Debenture, Aa3/AA- 874,359
7.00% due 6/15/2007
RENTAL AUTOMOTIVE
EQUIPMENT
100,000 Hertz Corporation, 7.00% due 7/15/2003 Baa2/BBB+ 99,731
UTILITIES
750,000 Commonwealth Edison Company, 6.40% due 10/15/2005 Baa2/BBB 716,985
75,000 Detroit Edison Company, 7.40% due 1/15/2003 NA/AAA 76,753
85,000 Niagara Mohawk Power Corporation, 8.00% due NA/NA 89,238
6/1/2004
110,000 Niagara Mohawk Power Corporation, 6.625% due Aaa/AAA 110,515
7/1/2005
150,000 Pacific Gas & Electric Company, 7.875% due NR/NA 155,027
3/1/2002
50,000 Pennsylvania Power and Light Company, 6.55% due Aaa/A- 48,352
3/1/2006
70,000 Philadelphia Electric Company, Refunding Mortgage, Aaa/AAA 72,385
8.00% due 4/1/2002 (Insured:MBIA)
125,000 Public Service Electric & Gas Company, First NR/AAA 122,926
Refunding Mortgage Series Railroad,6.125% due
8/1/2002 (Insured: MBIA)
175,000 Public Service Electric & Gas Company, 6.75% due NR/AAA 170,566
3/1/2006
70,000 Texas Utilities Electric Company, 8.125% due Aaa/AAA 72,178
2/1/2002
195,000 Texas Utilities Electric Company, 6.75% due Aaa/AAA 197,158
7/1/2005
50,000 Virginia Electric & Power Company, First Refunding NR/NA 52,383
Mortgage, 8.00% due 3/1/2004
1,884,466
YANKEE
2,150,000 Dao Heng Bank Group, 7.75% due 1/24/2007 (U.S. Baa1/BBB 1,921,354
Dollar)
Total Corporate Bonds (Cost $18,085,298) 17,665,339
TAXABLE MUNICIPAL
BONDS - 48.10%
1,500,000 Austin Texas General Obligation, 6.90% due Aa2/AA 1,525,410
3/1/2002
185,000 Baltimore Economic Development Authority, 8.50% A3/BBB+ 189,747
due 8/1/2002 (Arcade LP Project)
30,000 Beaumont Housing Multi Family Mortgage Series Aaa/NR 30,300
1995-B, 7.50% due 6/15/2000(Insured: FHA)
60,000 Bellingham Washington Civic Center Development, NR/NR 60,617
Series A, 6.97% due 8/1/2000
900,000 California Maritime Infrastructure, Taxable San A3/A 863,541
Diego, 6.63% due 11/1/2009
1,750,000 Capital Projects Finance Authority Florida NR/NR 1,747,987
Revenue, Series B, 8.00% due12/1/2001
1,025,000 Connecticut State Development Authority, 8.55% due NR/A+ 1,085,188
8/15/2005
755,000 Dallas County Texas Single Family Mortgage, A1/NR 745,034
Taxable Refunding, 6.85% due12/1/2008
900,000 Denver City and County Special Facilities, Taxable Aaa/AAA 900,414
Refunding & ImprovementSeries B, 7.15% due
1/1/2008
500,000 Duke University Revenue, 6.19% due 6/1/2004 (Duke Aa3/AA 491,035
University Hospital Project A)
115,000 Duquesne Pennsylvania General Obligation, 6.75% Aaa/AAA 115,919
due 12/15/2001 (Insured: MBIA)
125,000 Duquesne Pennsylvania General Obligation, 6.75% Aaa/AAA 125,886
due 12/15/2002 (Insured: MBIA)
130,000 Duquesne Pennsylvania General Obligation, 6.95% Aaa/AAA 131,062
due 12/15/2003 (Insured: MBIA)
985,000 East Baton Rouge Louisiana Mortgage Finance, Aaa/NR 962,975
Series C-2 Tax Refunding Mortgage,6.75% due
4/1/2005
370,000 Galveston Texas Wharves & Term Revenue, Taxable Aaa/AAA 346,342
Refunding Series B, 5.87% due2/1/2006
320,000 Georgia Municipal Electric Authority Power A3/A 317,722
Revenue, Taxable Series One, 7.00%due 1/1/2006
2,000,000 Greater Valley Medical Building Partnership, Aa3/NR 2,013,220
Series 1996, 6.95% due 3/1/2021 put3/1/01 (LOC:
Krediet Bank)
500,000 Gulfport Mississippi Hospital Facility Revenue, Aaa/AAA 529,755
Memorial Hospital Gulfport B,8.00% due 7/1/2006
1,120,000 Halifax Hospital Medical Center Florida Health, NR/A 1,109,853
6.50% due 4/1/2002
845,000 Idaho Housing Multi Family Housing Revenue Series A/NR 889,134
94-B, 8.15% due 7/1/2004
135,000 Illinois Housing Development Authority, Taxable A1/A+ 138,384
Multi Family Pg Series 2, 7.85%due 3/1/2005
405,000 King County Washington General Obligation, 7.55% Aa1/AA+ 419,013
due 12/1/2005
100,000 Kiryas Joel Village, New York General Obligation Baa3/NR 100,629
Series B, 8.50% due 1/1/2000
210,000 Lake City Utilities Revenue, Taxable Refunding Aaa/NR 206,276
Series B, 6.40% due 7/1/2004
255,000 Lake City Utilities Revenue, Taxable Refunding Aaa/NR 246,139
Series B, 6.60% due 7/1/2007
260,000 Lake City Utilities Revenue, Taxable Refunding Aaa/NR 247,697
Series B, 6.60% due 7/1/2008
1,000,000 Los Angeles County Pension Obligation, 8.30% due Aaa/AAA 1,047,930
6/30/2002 (Insured: FSA)
1,225,000 Louisiana Public Facilities Authority Revenue, Aaa/NR 1,234,237
Taxable Single Family MortgageSeries, 7.05% due
8/1/2017
110,000 Maine Municipal Bond Bank Special Obligation, NR/A+ 115,196
Taxable Series A, 8.00% due11/1/2002
690,000 Maryland State Economic Development Corporation, NR/NR 681,534
Taxable Maryland TechDevelopment Center Project,
7.25% due 6/1/2008
240,000 Mckeesport Pennsylvania, Taxable Series B, 6.60% Aaa/AAA 235,812
due 3/1/2006
280,000 Miami Beach Housing Authority Revenue, 6.75% due A3/NR 281,159
3/1/2003
200,000 Missouri High Education Student Loan, Series B, Aaa/NR 201,570
6.80% due 2/15/2001
75,000 Mobile Alabama United States Government Guaranteed Aaa*/AAA* 75,771
Notes, 6.99% due 8/1/2000
220,000 New Jersey Economic Development Authority Series Aa3/AA- 221,903
B, 7.10% due 9/15/2002
95,000 New Jersey State Housing & Mortgage Financing NR/A+ 96,378
Agency Series E, 7.95% due11/1/2000
2,370,000 New Orleans Home Mortgage Authority Single Family Aaa/AAA 573,777
Mortgage Revenue RefundingSeries 1994-A, 0% due
10/1/2015 (Insured: MBIA)
200,000 New York City Series 1991, 10.50% due 11/15/2013 Aaa/AAA 220,362
pre-refunded 11/15/01
250,000 New York General Obligation, Taxable Series K, A3/A- 250,380
6.00% due 8/1/2000
500,000 New York Mortgage Agency Revenue, Taxable Mortgage Aaa/NR 499,160
20th Series, 6.70% due10/1/2004
1,000,000 New York Power Authority Revenue & General, Aa3/AA- 999,680
Taxable Series D, 6.17% due2/15/2001
100,000 New York Taxable Prerefunded Series D, 10.00% due A3/A- 109,257
8/1/2005
1,000,000 Oklahoma City Airport Trust, Taxable Senior Lien Aa2/AA 1,003,160
19th Series, 6.15% due 7/1/2000
1,000,000 Pennsylvania Housing Finance Agency, 8.40% due Aa2/AA+ 1,029,490
4/1/2010
1,085,000 Rockwall Texas Independent School District, NR/AAA 572,251
Capital Appreciation RefundingTaxable, 0% due
8/15/2008
1,020,000 Santa Fe New Mexico Civic Housing Authority, Aaa/AAA 994,143
Tuscany Ser B, 6.71% due 8/1/2012
145,000 Texas Department Housing & Community, Affairs A1/A+ 147,620
Single Family Series B, 9.50% due3/1/2016
35,000 Tucson & Pima County IDA SFMR Series A, 7.00% due A1/NR 35,237
12/1/2003
505,000 Virginia Housing Development Authority, Taxable NR/AA+ 506,798
Rental Housing Series I, 7.30%due 2/1/2008 (when
issued)
250,000 Virginia Housing Development Multi Family, Taxable Aa1/AA+ 251,779
Series A, 7.125% due11/1/2003
Total Taxable Municipal Bonds (Cost $26,969,349) 26,923,863
FOREIGN SECURITIES
- - 2.70%
2,000,000 British Columbia Province, 9.00% due 6/21/2004 Aa2/AA- 1,528,605
(Canadian Dollars)
Total Foreign Securities (Cost $1,447,027) 1,528,605
COMMERCIAL PAPER -
7.30%
500,000 American General Finance, 5.32% due 10/5/1999 / 499,705
400,000 American General Finance, 5.26% due 10/7/1999 / 399,649
1,600,000 Ford Motor Credit Corp., 5.22% due 10/1/1999 / 1,600,000
1,600,000 Merrill Lynch Inc., 5.30% due 10/4/1999 PRIM1/A-1+ 1,599,293
Total Commercial Paper (Cost $4,098,647) 4,098,647
TOTAL INVESTMENTS (105%) (Cost $59,020,539) $ 58,681,209
See notes to financial statements.
</TABLE>
Independent Auditor's Report
To the Board of Trustees and Shareholders of Thornburg Investment Trust In our
opinion, the accompanying statement of assets and liabilities, including the
schedule of investments, and the related statements of operations and of changes
in net assets and the financial highlights present fairly, in all material
respects, the financial position of Thornburg Limited Term U.S. Government Fund
and Thornburg Limited Term Income Fund, series of Thornburg Investment Trust
(hereafter referred to as the "Funds") at September 30, 1999, the results of its
operations, the changes in its net assets, and the financial highlights for the
year then ended, in conformity with generally accepted accounting principles.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Funds' management; our
responsibility is to express an opinion on these financial statements based on
our audit. We conducted our audit of these financial statements in accordance
with generally accepted auditing standards, which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audit, which included confirmation of securities at
September 30, 1999 by correspondence with the custodian and brokers, provides a
reasonable basis for the opinion expressed above. The financial statements for
the year ended September 30, 1998, including the financial highlights for each
of the four years in the period then ended, were audited by other independent
accountants whose report dated October 23, 1998 expressed an unqualified opinion
on those financial statements. PricewaterhouseCoopers LLP New York, New York
October 29, 1999
change in Independent accountants
Thornburg Investment Trust
On August 13, 1999, McGladrey & Pullen, LLP (McGladrey) resigned as independent
auditors of the Fund pursuant to an agreement by PricewaterhouseCoopers LLP
(PwC) to acquire McGladrey's investment company practice. The McGladrey partners
and professionals serving the Fund at the time of the acquisition joined PwC.
The reports of McGladrey on the financial statements of the Fund during the past
two fiscal years contained no adverse opinion or disclaimer of opinion, and were
not qualified or modified as to uncertainty, audit scope or accounting
principles. In connection with its audits for the two most recent fiscal years
and through August 13, 1999, there were no disagreements with McGladrey on any
matter of accounting principle or practices, financial statement disclosure, or
auditing scope or procedure, which disagreements, if not resolved to the
satisfaction of McGladrey would have caused it to make reference to the subject
matter of disagreement in connection with its report. On September 22, 1999, the
Fund, with the approval of its Board of Directors and its Audit Committee,
engaged PwC as its independent auditor.
Index Comparisons
GOVERNMENT FUND
Index Comparisons
Compares performance of the Government Fund Class A shares and Class C shares to
the Lehman Brothers Intermediate Government Bond Index, and the Consumer Price
Index for the periods ended September 30, 1999. On September 30, 1999, the
weighted average securities ratings of the Index and the Fund were AAA and AAA,
respectively, and the weighted average portfolio maturities of the Index and the
Fund were 3.9 years and 4.2 years, respectively. Class A shares became available
on November 16, 1987, and Class C shares became available on September 1, 1994.
Past performance of the Index and the Fund may not be indicative of future
performance.
Average Annual Total Returns (periods ending 9/30/99)(at max. offering price)
A Shares
One Year: (1.01)%
Five Years: 5.77%
Ten Years: 6.47%
From Inception (11/16/87): 6.65%
Average Annual Total Returns (periods ending 9/30/99)
C Shares
One Year: 0.13%
Five Years: 5.63%
From Inception (9/1/94): 5.43%
INCOME FUND
Index Comparisons
Compares performance of the Income Fund Class A shares and Class C shares to the
Lehman Brothers Intermediate Government Corporate Bond Index and the Consumer
Price Index for the periods ended September 30, 1999. On September 30, 1999, the
weighted average securities ratings of the Index and the Fund were A and AA,
respectively, and the weighted average portfolio maturities of the Index and the
Fund were 4.3 years and 4.8 years, respectively. Class A shares became available
on October 1, 1992 and Class C shares became available on September 1, 1994.
Past performance of the Index and the Fund may not be indicative of future
performance.
Average Annual Total Returns (periods ending 9/30/99)(at max. offering price)
A Shares
One Year (0.50)%
Five Years: 6.12%
From Inception (10/1/92): 5.66%
Average Annual Total Returns (periods ending 9/30/99)
C Shares
One Year 0.68%
Five Years: 6.05%
From Inception (9/1/94): 5.80%
Y2k Update
We Are Ready for the Year 2000
Dear Shareholder,
I wish to inform you about our success with respect to being Year 2000 compliant
in the computer systems used to manage your Thornburg funds investment. Your
shareholder records are kept on a large computer system belonging to our
transfer agent, DST Systems. Accounting data pertaining to your investment
portfolio reside on large systems belonging to State Street Bank and its
affiliates. We have smaller computer networks at Thornburg Investment Management
to help us organize and manage our investment activities. I will describe
briefly the Year 2000 status of each area.
Shareholder records for Thornburg funds are kept on computers that use a DST
software system called "TA 2000." DST is one of the largest mutual fund record
processors in the world, keeping shareholder records for many large mutual fund
families. The TA 2000 system, as is name implies, was built with 4-digit year
description fields in order to be Year 2000 compliant. To quote from DST's
February 1999 newsletter, "Internal 2000 readiness testing of TA 2000 and TRA
2000 is complete. Several retests of critical TA 2000 (and TRAC 2000) functions
were also completed successfully in 1998. With the completion of these internal
tests, the TA 2000 (and TRAC 2000) systems are considered to be Y2K ready."
There are no hedge words in the preceeding 3 sentences! I am not surprised. I
first heard DST talk about taking concrete measures to deal with Y2K issues
about 8 years ago. If you worry about electric power continuity, I can inform
you that DST maintains its own diesel powered backup generating station adjacent
to its computer facility.
Both are located in geologically stable limestone caves east of Kansas City.
Asset custody and fund accounting records of the Thornburg funds are stored on
State Street Bank computers. We use a variety of software systems to carry out
all activities relating to running the funds. We are informed that this software
infrastructure has been 100% tested and corrected to be Year 2000 compliant. You
can monitor State Street Bank's disclosure yourself on the internet website,
statestreet.com.
Thornburg Investment Management has a computer network to help us carry out our
daily business of managing the assets in our mutual funds. Our information
technology director, Stewart Kane, has made a great effort to be certain that
our software platforms are Year 2000 compliant.
We look forward to the new year.
Brian McMahon, President
Thornburg Investment Management
Thornburg Limited Term U.S. Government Fund - Class A
Outperformed Taxable Money Market Funds
Donoghue's Taxable
Money Market Fund Average
$61,647
Thornburg Limited Term
U.S. Government Fund
$89,958
Return from a $100,000 Investment 9/30/89 to 9/30/99
The chart above is for the Funds' Class A Shares only. Class C Shares and Class
I Shares have different sales charges and expenses. See the inside front cover
page for the 30-day SEC yield and the total returns at the maximum offering
prices for one year, five years, and ten years for the Class A & C shares of the
Fund. Return for the money fund average is based upon 30-day yield quotations
for taxable money funds as quoted in "Donoghue's Money Fund Report" for the
months covered by this analysis. The return for Limited Term U.S. Government
Fund is based upon the dividends paid for the months covered by this analysis,
the beginning offering price of $12.44 and the ending NAV of $12.06. These
investments returned the $100,000 initial investment in addition to the amounts
shown above. This analysis assumes that the dividends from each of these
investment vehicles were reinvested and compounded monthly. Most money funds
declare dividends daily and pay them monthly. LTUSX also declares dividends
daily and pays them monthly. The average money market fund increases shown may
differ from the return of a particular fund. It is not possible to invest in
these money fund averages. Note 1: Future performance of any of these
investments may bear no relationship to prior performance. Note 2: This analysis
does not take into account the effect, if any, caused by taxes. Note 3: The net
asset value of the money funds did not fluctuate. Money funds seek to maintain a
constant net asset value. The net asset value of the Limited Term U.S.
Government Fund did vary from time to time, and it will continue to vary in the
future. The analysis assumes that the investor receives the net asset value of
shares owned, plus accrued income, at redemption. Due to the effect of sales
commissions, the net asset value of the Limited Term U.S. Government Fund shares
is less than the offering price of the shares. Redemptions are made at the then
current net asset value and you may have a gain or a loss when you redeem
shares.
Thornburg Limited Term Income Fund - Class A
Outperformed Taxable Money Market Funds
Donoghue's Taxable
Money Market Fund Average
$27,776
Thornburg Limited Term
Income Fund
$36,641
Return from a $100,000 Investment 9/30/94 to 9/30/99
The chart above is for the Fund's Class A Shares only. Class C Shares and Class
I Shares have different sales charges and expenses. See the inside front cover
page for the 30-day SEC yield and the total returns at the maximum offering
prices for one year, five years, and since inception for the Class A & C shares
of the Fund. Return for the money fund average is based upon 30 day yield
quotations for taxable money funds as quoted in "Donoghue's Money Fund Report"
for the months covered by this analysis. The return for Limited Term Income Fund
is based upon the dividends paid for the months covered by this analysis, the
beginning offering price of $12.44 per share, respectively and the ending NAV of
$11.93 per share. These investments returned the $100,000 initial investment in
addition to the amounts shown above. This analysis assumes that the dividends
from each of these investment vehicles were reinvested and compounded monthly.
Most money funds declare dividends daily and pay them monthly. THIFX also
declares dividends daily and pays them monthly. The average money market fund
increases shown may differ from the return of a particular fund. It is not
possible to invest in these money fund averages. Note 1: Future performance of
any of these investments may bear no relationship to prior performance. Note 2:
This analysis does not take into account the effect, if any, caused by taxes.
Note 3: The net asset value of the money funds did not fluctuate. Money funds
seek to maintain a constant net asset value. The net asset value of Limited Term
Income Fund did vary from time to time, and it will continue to vary in the
future. The analysis assumes that the investor receives the net asset value of
shares owned, plus accrued income, at redemption. Due to the effect of sales
commissions, the net asset value of the Limited Term Income Fund shares are less
than the offering price of the shares. Redemptions are made at the then current
net asset value and you may have a gain or a loss when you redeem shares.
