Thornburg Limited Term Income Funds
<TABLE>
<CAPTION>
Fund facts. . . as of 3/31/99
Thornburg Limited Term Income Fund
A Shares C Shares I Shares
<S> <C> <C> <C>
SEC Yield 5.36% 5.09% 5.81%
NAV $12.23 $12.20 $12.23
Max. Offering Price $12.54 $12.20 $12.23
Total returns. . . as of 3/31/99
(Annual Average - After Subtracting Maximum Sales Charge)
One Year 2.27% 4.39% 5.22%
Five Year 6.02% N/A N/A
Since Inception 5.88% 6.40% 7.35%
Inception Date (10/1/92) (9/1/94) (7/5/96)
</TABLE>
<TABLE>
<CAPTION>
Fund facts. . . as of 3/31/99
Thornburg Limited Term U.S. Government Fund*
A Shares C Shares I Shares
<S> <C> <C> <C>
SEC Yield 5.24% 4.87% 5.74%
NAV $12.34 $12.40 $12.33
Max. Offering Price $12.66 $12.40 $12.33
Total returns. . . as of 3/31/99
(Annual Average - After Subtracting Maximum Sales Charge)
One Year 2.69% 4.98% 5.64%
Five Year 5.42% N/A N/A
Ten Year 7.00% N/A N/A
Since Inception 6.82% 6.00% 6.93%
Inception Date (11/16/87) (9/1/94) (7/5/96)
<FN>
*Shares are not guaranteed by the U.S. Government.
The investment return and principal value of an investment in the funds will
fluctuate so that, when redeemed, an investor's shares may be worth more or less
than their original cost.
Maximum sales charge of the Funds' Class A Shares is 2.50%.
The data quoted represent past performance and may not be construed as a
guarantee of future results.
</FN>
</TABLE>
<PAGE>
Dear Fellow Shareholder:
I am pleased to present the Semi-Annual Report for the Thornburg Limited Term
Income Fund and the Thornburg Limited Term U.S. Government Fund for the six
month period ending March 31, 1999. The net asset value of the A shares of the
Thornburg Limited Term Income Fund ended the period at $12.23. If you were
invested for the entire period, you received dividends of 34.8 cents per share.
If you reinvested your dividends, you received 35.2 cents per share. Investors
who owned C shares received 32.3 and 32.6 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 $12.34. If you were invested for the entire period, you
received dividends of 32.9 cents per share. If you reinvested your dividends,
you received 33.2 cents per share. Investors who owned C shares received 30.2
and 30.5 cents per share, respectively. Please read the accompanying exhibits
for more detailed information and history.
After falling to their lowest levels in five years in October of 1998, interest
rates have continued to rise since then. The plethora of strong numbers among
the economic releases has caused the market participants to reevaluate their
ideas on the appropriate level of interest rates. Since the lows in October
1998, interest rates have risen over 100 basis points (>1%) on all Treasury
notes and bonds with maturities greater than 2 years. Once the perceptions of
the fates of Southeast Asia, Russia and Brazil changed from imminent collapse to
survival, and, in the case of Southeast Asia, perhaps even growth, the bond
markets once again looked at the robustness of the U.S. economy for the
direction of interest rates. This robustness has also caused the quality spreads
of corporate bonds over treasuries to contract significantly since the 4th
quarter of 1998. While still not back to their pre-collapse level, quality
spreads are approaching the levels of a year ago as the market discounts the
idea of a U.S. recession.
The Dow Jones Industrial Average has recently reached another record level.
Investors are still pouring money into the stock market as our economy continues
to grow. It might be a good time to see whether the outsized gains over the last
couple of years have unbalanced the asset allocation of one's investment
portfolio. It might be a little more heavily weighted in stocks than intended.
It might be time to look at adding more intermediate bonds to the portfolio to
balance the asset allocation. The current yield level of intermediate bonds is
about 4.5 times the dividend yield of the S&P 500, which is currently about
1.2%. Intermediate bonds can provide a stabilizing presence to the principal
value of a portfolio.
The Thornburg Limited Term Income Fund and the Thornburg Limited Term U.S.
Government Fund are laddered portfolios of short-to-intermediate bonds. We do
not speculate on the direction of interest rates. We keep the portfolios
laddered over a time period ranging from one day to approximately ten years,
with the average maturity of the portfolios always no more than five years. Some
of the bonds are always coming close to maturity, but never too many at one
time. We feel a laddered maturity portfolio of short-to-intermediate bonds is a
sensible strategy over time. Intermediate bonds have proven to be a sensible
part of a portfolio. They can provide stability to the underlying principal,
they can provide income for the portfolio, and, over the years, they have
provided an attractive return versus money market instruments. Take a look at
the charts which show the return on an investment in the Thornburg Limited Term
Income Fund and the Thornburg Limited Term U.S. Government Fund versus the
Donoghue's Money Market Fund average.
Thank you for investing in our funds. We feel the Thornburg Limited Term U.S.
Government Fund and the Thornburg Limited Term Income Fund are appropriate
investments for investors who want a short-to-intermediate bond portfolio. While
future performance cannot be guaranteed, we feel that we are well positioned,
and we will maintain a steady course.
Steven J. Bohlin
Managing Director
<PAGE>
Limited Term U.S. Limited Term
Government Fund Income Fund
ASSETS
Investments at value (cost $128,991,287
and $53,945,399, respectively) $ 131,340,931 $ 54,701,181
Cash 63,774 90,250
Receivable for fund shares sold 39,881 219,962
Interest receivable 1,599,557 913,852
Principal receivable 73,542 14,823
Prepaid expenses and other assets 23,472 20,073
Total Assets 133,141,157 55,960,141
LIABILITIES
Payable for investments purchased 0 1,360,560
Payable for fund shares redeemed 598,369 83,639
Accounts payable and accrued expenses 52,812 75,589
Payable to Investment Advisor 57,690 16,597
Dividends payable 158,846 87,815
Total Liabilities 867,717 1,624,200
NET ASSETS $ 132,273,440 $ 54,335,941
NET ASSET VALUE:
Class A Shares:
Net asset value and redemption price per share ($119,602,821 and $38,699,828
applicable to 9,694,684 and 3,164,571 shares of
beneficial interest outstanding - Note 4) $ 12.34 $ 12.23
Maximum sales charge, 2.50 % of offering
price (2.57% of net asset value per share) 0.33 0.31
Maximum Offering Price Per Share $ 12.67 $ 12.54
Class C Shares:
Net asset value and offering price per share * ($7,830,787 and $7,045,102
applicable to 631,539 and 577,332 shares of beneficial
interest outstanding - Note 4) $ 12.40 $ 12.20
Class I Shares:
Net asset value and offering price per share ($4,839,832 and $8,591,011
applicable to 392,529 and 702,603 shares of beneficial
interest outstanding - Note 4) $ 12.33 $ 12.23
Limited Term U.S. Limited Term
Government Fund Income Fund
INVESTMENT INCOME:
Interest income (net of premium amortized
of $258,523 and $58,951, respectively) $ 4,198,502 $ 1,731,131
EXPENSES:
Investment advisory fees (Note 3) 252,902 130,068
Administration fees (Note 3)
Class A Shares 77,716 22,932
Class C Shares 4,357 4,321
Class I Shares 891 2,106
Distribution and service fees (Note 3)
Class A Shares 149,215 43,111
Class C Shares 34,945 34,662
Transfer agent fees 63,443 33,375
Custodian fees 43,795 33,370
Registration and filing fees 20,907 18,264
Professional fees 6,722 3,967
Accounting fees 7,367 3,138
Trustee Fees 1,839 182
Other expenses 10,283 6,771
Total Expenses 674,382 336,267
Less:
Expenses reimbursed by
investment advisor (Note 3) (26,219) (76,461)
Net Expenses 648,163 259,806
Net Investment Income 3,550,339 1,471,325
REALIZED AND UNREALIZED GAIN (LOSS) (Note 5)
Net Realized gain (loss) on:
Investments 133,624 25,015
Foreign currency transactions 0 14,599
133,624 39,614
Net change in unrealized appreciation on:
Investments (3,628,898) (1,157,455)
Foreign currency translation 0 1,733
(3,628,898) (1,155,722)
Net Realized and Unrealized
Gain (Loss) on Investments (3,495,274) (1,116,108)
Net Increase in Net Assets
Resulting From Operations $ 55,065 $ 355,217
See notes to financial statements.
<PAGE>
Six Months Ended Year Ended
March 31, 1999 September 30, 1998
INCREASE (DECREASE) IN
NET ASSETS FROM:
OPERATIONS:
Net investment income $ 3,550,339 $ 7,784,612
Net realized gain on investments sold 133,624 139,163
Increase (decrease) in unrealized appreciation
of investments (3,628,898) 3,564,928
Net Increase in Net Assets Resulting From Operati 55,065 11,488,703
DIVIDENDS TO SHAREHOLDERS:
From net investment income
Class A Shares (3,281,575) (7,311,154)
Class C Shares (168,220) (243,829)
Class I Shares (100,544) (229,629)
FUND SHARE TRANSACTIONS - (Note 4):
Class A Shares (6,486,002) (7,874,739)
Class C Shares 1,564,231 1,991,492
Class I Shares 2,681,588 (3,084,806)
Net Increase (Decrease) in Net Assets (5,735,457) (5,263,962)
NET ASSETS:
Beginning of period 138,008,897 143,272,859
End of period $ 132,273,440 $ 138,008,897
See notes to financial statements.
INCREASE (DECREASE) IN
NET ASSETS FROM:
OPERATIONS:
Net investment income $ 1,471,325 $ 2,645,277
Net realized gain (loss) on investments sold 39,614 (290,262)
Increase (decrease) in unrealized appreciation
of investments (1,155,722) 837,189
Net Increase in Assets Resulting from Operations 355,217 3,192,204
DIVIDENDS TO SHAREHOLDERS:
From net investment income
Class A Shares (1,038,676) (1,937,609)
Class C Shares (181,585) (352,730)
Class I Shares (251,063) (354,938)
FUND SHARE TRANSACTIONS - (Note 4):
Class A Shares 3,624,766 4,205,120
Class C Shares 47,754 1,689,924
Class I Shares 998,201 3,181,451
Net Increase (Decrease) in Net Assets 3,554,614 9,623,422
NET ASSETS:
Beginning of period 50,781,327 41,157,905
End of period $ 54,335,941 $ 50,781,327
See 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 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 six months
ended March 31, 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 six months ended March 31, 1999, the Adviser voluntarily waived certain
operating expenses amounting to $26,219 and $76,461 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 six months ended March 31, 1999, the Distributor earned
commissions aggregating $10,260 and $5,774 from the sale of Class A shares of
the Government Fund and Income Fund, respectively, and collected contingent
deferred sales charges aggregating $410 and $1,682 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 for the six
months ended March 31, 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.
<PAGE>
Note 4- Shares of Beneficial Interest
At March 31, 1999 there were an unlimited number of shares of beneficial
interest authorized, and capital paid in aggregated $136,852,349 and $54,697,651
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:
Six Months Ended March 31, 1999 Yr Ended Sept 30, 1998
Class A Shares Shares Amount Shares Amount
Shares sold 664,288 $ 8,284,493 2,343,398 $ 29,089,064
Shares issued to shareholders in
reinvestment of distributi 184,337 2,297,846 408,731 5,065,254
Shares repurchased (1,368,952) (3,395,632) (3,395,362) (42,029,057)
Net Decrease (520,327)($ 6,486,002) (643,503)($ 7,874,739)
Class C Shares
Shares sold 214,368 $ 2,690,195 268,890 $ 3,352,878
Shares issued to shareholders
in reinvestment of distrib 11,533 144,298 16,876 210,103
Shares repurchased (101,323) (1,270,262) (126,412) (1,571,489)
Net Increase 124,578 $ 1,564,231 159,354 $ 1,991,492
Class I Shares
Shares sold 254,310 $ 3,174,439 349,738 $ 4,333,129
Shares issued to shareholders in
reinvestment of distributi 7,707 95,804 16,580 205,349
Shares repurchased (47,369) (588,655) (615,938) (7,623,284)
Net Increase (Decrease) 214,648 $ 2,681,588 (249,620)($ 3,084,806)
Note 4- Shares of Beneficial Interest . . . continued
Income Fund
Six Months Ended March 31, 1999 Yr Ended Sept 30, 1998
Class A Shares Shares Amount Shares Amount
Shares sold 543,200 $ 6,690,664 871,449 $ 10,757,352
Shares issued to shareholders in
reinvestment of distributi 55,249 681,365 98,517 1,214,844
Shares repurchased (303,745) (3,747,263) (629,596) (7,767,076)
Net Increase 294,704 $ 3,624,766 340,370 $ 4,205,120
Class C Shares
Shares sold 107,081 $ 1,316,728 278,808 $ 3,432,785
Shares issued to shareholders
in reinvestment of distrib 12,549 154,439 24,958 307,071
Shares repurchased (115,392) (1,423,413) (166,840) (2,049,932)
Net Increase 4,238 $ 47,754 136,926 $ 1,689,924
Class I Shares
Shares sold 203,598 $ 2,514,069 333,013 $ 4,102,752
Shares issued to shareholders in
reinvestment of distributi 15,331 189,107 20,510 252,865
Shares repurchased (138,049) (1,704,975) (166,840) (1,174,166)
Net Increase 80,880 $ 998,201 258,187 $ 3,181,451
Note 5 - Securities Transactions
For the six months ended March 31, 1999, portfolio purchase and sale
transactions (excluding short-term securities) were $24,263,619 and $12,517,394
for the Government Fund and $14,562,111 and $7,290,303 for the Income Fund,
respectively. The cost of investments for Federal income tax purposes is
$128,991,287 and $53,945,399 for the Government Fund and Income Fund,
respectively. At March 31, 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 $2,685,847 $1,000,991
Gross unrealized depreciation 336,203 245,208
Net unrealized appreciation $2,349,644 $755,783
Accumulated net realized losses from securities transactions included in net
assets at March 31, 1999 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.
<PAGE>
<TABLE>
<CAPTION>
Thornburg Limited Term U.S. Government Fund
Per share operating performance (for a share outstanding throughout the year)
Six Months Ended Year Ended September 30,
March 31, 1999 1998 1997 1996 1995 1994
Class A Shares:
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 12.66 $ 12.31 $ 12.24 $ 12.40 $ 12.03 $ 12.92
Income from investment operations:
Net investment income 0.33 0.69 0.75 0.76 0.75 0.67
Net realized and unrealized
gain (loss) on investments (0.32) 0.35 0.07 (0.16) 0.37 (0.89)
Total from investment operations 0.01 1.04 0.82 0.60 1.12 (0.22)
Less dividends from:
Net investment income (0.33) (0.69) (0.75) (0.76) (0.75) (0.67)
Change in net asset value (0.32) 0.35 0.07 (0.16) 0.37 (0.89)
Net asset value, end of period $12.34 $ 12.66 $ 12.31 $ 12.24 $ 12.40 $ 12.03
Total return (a) 0.07% 8.75% 6.86% 4.92% 9.66% (1.72)%
Ratios/Supplemental Data Ratios to average net asset:
Net investment income 5.28%(b) 5.61% 6.09% 6.11% 6.23% 5.38%
Expenses, after expense reductions 0.95%(b) 0.97% 0.97% 0.99% 0.99% 0.95%
Expenses, before expense reductions 0.95%(b) 0.97% 0.97% 0.99% 0.99% 0.95%
Portfolio turnover rate 9.25% 29.77% 41.10% 23.27% 28.31% 80.58%
Net assets at end of period (000) $ 119,603 $ 129,312 $ 133,711 $ 139,510 $ 142,849 $ 177,439
<FN>
(a) Sales loads are not reflected in computing total return.
(b) Annualized.
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>
Class C Shares:
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 12.71 $ 12.37 $ 12.29 $ 12.45 $ 12.08 $ 12.21
Income from investment operations:
Net investment income 0.30 0.64 0.70 0.71 0.69 0.06
Net realized and unrealized
gain (loss) on investments (0.31) 0.34 0.08 (0.16) 0.37 (0.13)
Total from investment operations (0.01) 0.98 0.78 0.55 1.06 (0.07)
Less dividends from:
Net investment income (0.30) (0.64) (0.70) (0.71) (0.69) (0.06)
Change in net asset value (0.31) 0.34 0.08 (0.16) 0.37 (0.13)
Net asset value, end of period $ 12.40 $ 12.71 $ 12.37 $ 12.29 $ 12.45 $ 12.08
Total return (a) (0.06)% 8.19% 6.49% 4.51% 9.07% (0.50)%
Ratios/Supplemental Data Ratios to average net asset:
Net investment income 4.38%(b) 5.16% 5.65% 5.72% 5.68% 5.45%(b)
Expenses, after expense reductions 1.40%(b) 1.40% 1.40% 1.39% 1.52% 1.63%(b)
Expenses, before expense reductions 1.98%(b) 2.20% 2.24% 2.35% 2.30% 1.63%(b)
Portfolio turnover rate 9.25% 29.77% 41.10% 23.27% 28.31% 80.58%
Net assets at end of period (000) $ 7,831 $ 6,445 $ 4,299 $ 2,780 $ 2,217 $ 1,005
<FN>
(a) Sales loads are not reflected in computing total return, which is not
annualized for periods less than one year.
(b) Annualized.
* Sales of Class C shares commenced on September 1, 1994.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Class I Shares:
<S> <C> <C> <C> <C>
Net asset value, beginning of period $ 12.65 $ 12.31 $ 12.24 $ 12.14
Income from investment operations:
Net investment income 0.35 0.74 0.79 0.20
Net realized and unrealized
gain on investments (0.32) 0.34 0.07 0.10
Total from investment operations 0.03 1.08 0.86 0.30
Less dividends from:
Net investment income (0.35) (0.74) (0.79) (0.20)
Change in net asset value (0.32) 0.34 0.07 0.10
Net asset value, end of period $ 12.33 $ 12.65 $ 12.31 $ 12.24
Total return (a) 0.24% 9.06% 7.26% 2.45%
Ratios/Supplemental Data Ratios to average net asset:
Net investment income 5.62%(b) 6.01% 6.35% 6.64%(b)
Expenses, after expense reductions 0.60%(b) 0.60% 0.60% 0.58%(b)
Expenses, before expense reductions 1.14%(b) 1.18% 6.57% 305.74%(b)
Portfolio turnover rate 9.25% 29.77% 41.10% 23.27%
Net assets at end of period (000) $ 4,840 $ 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
Per share operating performance (for a share outstanding throughout the year)
Six Months Ended Year Ended September 30,
March 31, 1999 1998 1997 1996 1995 1994
Class A Shares:
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 12.50 $ 12.37 $ 12.23 $ 12.11 $ 11.83 $ 12.55
Income from investment operations:
Net investment income 0.35 0.72 0.76 0.76 0.76 0.67
Net realized and unrealized
gain (loss) on investments (0.27) 0.13 0.14 0.12 0.28 (0.69)
Total from investment operations 0.08 0.85 0.90 0.88 1.04 (0.02)
Less dividends from:
Net investment income (0.35) (0.72) (0.76) (0.76) (0.76) (0.67)
Realized capital gains 0.00 0.00 0.00 0.00 0.00 (0.03)
Change in net asset value (0.27) 0.13 0.14 0.12 0.28 (0.72)
Net asset value, end of period $ 12.23 $ 12.50 $ 12.37 $ 12.23 $ 12.11 $ 11.83
Total return (a) 0.63% 7.08% 7.56% 7.54% 9.22% (0.14)%
Ratios/Supplemental Data Ratios to average net asset:
Net investment income 5.66%(b) 5.81% 6.16% 6.31% 6.50% 5.51%
Expenses, after expense reductions 0.99%(b) 1.00% 1.00% 0.95% 0.83% 0.66%
Expenses, before expense reductions 1.18%(b) 1.22% 1.27% 1.37% 1.48% 1.47%
Portfolio turnover rate 14.20% 41.01% 13.87% 44.35% 43.12% 84.35%
Net assets at end of period (000) $ 38,700 $ 35,866 $ 31,281 $ 23,433 $ 23,222 $ 21,683
<FN>
(a) Sales loads are not reflected in computing total return.
(b) Annualized.
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>
Class C Shares:
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 12.47 $ 12.34 $ 12.20 $ 12.08 $ 11.78 $ 11.92
Income from investment operations:
Net investment income 0.32 0.66 0.71 0.71 0.70 0.06
Net realized and unrealized
gain (loss) on investments (0.27) 0.13 0.14 0.12 0.30 (0.14)
Total from investment operations 0.05 0.79 0.85 0.83 1.00 (0.08)
Less dividends from:
Net investment income (0.32) (0.66) (0.71) (0.71) (0.70) (0.06)
Change in net asset value (0.27) 0.13 0.14 0.12 0.30 (0.14)
Net asset value, end of period $ 12.20 $ 12.47 $ 12.34 $ 12.20 $ 12.08 $ 11.78
Total return (a) 0.43% 6.65% 7.13% 7.12% 8.87% (0.72)%
Ratios/Supplemental Data Ratios to average net asset:
Net investment income 5.25%(b) 5.40% 5.76% 5.91% 6.03% 5.14%(b)
Expenses, after expense reductions 1.40%(b) 1.40% 1.40% 1.36% 1.36% 1.20%(b)
Expenses, before expense reductions 2.23%(b) 2.30% 2.44% 3.20% 4.75% 1.20%(b)
Portfolio turnover rate 14.20% 41.01% 13.87% 44.35% 43.12% 84.35%
Net assets at end of period (000) $ 7,045 $ 7,147 $ 5,382 $ 2,695 $ 1,032 $ 53
<FN>
(a) Sales loads are not reflected in computing total return, which is not
annualized for periods less than one year. (b) Annualized.
* Sales of Class C shares commenced on September 1, 1994.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Class I Shares:
<S> <C> <C> <C> <C>
Net asset value, beginning of period $ 12.50 $ 12.36 $ 12.23 $ 11.95
Income from investment operations:
Net investment income 0.37 0.75 0.80 0.19
Net realized and unrealized
gain (loss) on investments (0.27) 0.14 0.13 0.28
Total from investment operations 0.10 0.89 0.93 0.47
Less dividends from:
Net investment income (0.37) (0.75) (0.80) (0.19)
Change in net asset value (0.27) 0.14 0.13 0.28
Net asset value, end of period $ 12.23 $ 12.50 $ 12.36 $ 12.23
Total return (a) 0.79% 7.49% 7.80% 3.97%
Ratios/Supplemental Data Ratios to average net asset:
Net investment income 5.96%(b) 6.10% 6.44% 6.67%(b)
Expenses, after expense reductions 0.69%(b) 0.69% 0.69% 0.69%(b)
Expenses, before expense reductions 1.02%(b) 1.19% 1.98% 4.26%(b)
Portfolio turnover rate 14.20% 41.01% 13.87% 44.35%
Net assets at end of period (000) $ 8,591 $ 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>
<PAGE>
<TABLE>
<CAPTION>
Schedule of Investments
Thornburg Limited Term U.S. Government Fund March 31, 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)
<S> <C> <C>
Principal Security Name Value
U.S. Government Agencies (62.40%)
1,050,000 Federal Home Loan Bank Board, 6.75% due 4/10/2006 1,110,869
1,000,000 Federal Home Loan Bank Board, 6.37% due 9/26/2007 1,026,410
1,973,936 Federal Home Loan Bank Board, Pool# W10002, 6.775% due 11/1/2003 2,046,518
2,250,000 Federal Home Loan Mortgage Series 1900 Class L, 7.50% due 11/15/2021 2,266,155
538,934 Federal Home Loan Mortgage Corporation, Pool# C90041, 6.50% due 11/1/2013 541,176
2,111,436 Federal Home Loan Mortgage Corporation CMO Series 1216, Class E, 7.00% due 3/15/2005 2,120,008
500,000 Federal Home Loan Mortgage Corporation CMO Series 1476, Class J, 6.00% due 2/15/2008 492,185
1,000,000 Federal Home Loan Mortgage Corporation Series 1464 Class G, 7.25% due 12/15/2021 1,021,870
445,017 Federal Home Loan Mortgage Corporation, Pool# 141016, 9.25% due 11/1/2016 472,599
181,769 Federal Home Loan Mortgage Corporation, Pool# 160043, 8.75% due 4/1/2008 189,155
117,463 Federal Home Loan Mortgage Corporation, Pool# 180367, 10.00% due 11/1/2010 124,728
287,306 Federal Home Loan Mortgage Corporation, Pool# 181730, 8.50% due 5/1/2008 298,709
267,432 Federal Home Loan Mortgage Corporation, Pool# 200075, 9.00% due 9/1/2004 273,401
145,152 Federal Home Loan Mortgage Corporation, Pool# 213924, 9.00% due 10/1/2001 147,399
296,442 Federal Home Loan Mortgage Corporation, Pool# 216502, 8.00% due 4/1/2002 300,489
5,342 Federal Home Loan Mortgage Corporation, Pool# 220001, 10.75% due 7/1/2000 5,520
74,892 Federal Home Loan Mortgage Corporation, Pool# 220010, 8.75% due 8/1/2001 79,362
74,513 Federal Home Loan Mortgage Corporation, Pool# 250714, 9.75% due 5/1/2010 78,089
105,248 Federal Home Loan Mortgage Corporation, Pool# 252986, 10.75% due 4/1/2010 114,275
8,180 Federal Home Loan Mortgage Corporation, Pool# 256111, 10.75% due 8/1/2000 8,327
207,058 Federal Home Loan Mortgage Corporation, Pool# 256764, 8.75% due 10/1/2014 215,471
161,430 Federal Home Loan Mortgage Corporation, Pool# 260486, 9.00% due 1/1/2010 169,164
87,278 Federal Home Loan Mortgage Corporation, Pool# 276638, 9.25% due 8/1/2016 92,687
71,928 Federal Home Loan Mortgage Corporation, Pool# 279611, 9.25% due 10/1/2016 75,402
533,590 Federal Home Loan Mortgage Corporation, Pool# 291880, 8.25% due 5/1/2017 561,795
130,849 Federal Home Loan Mortgage Corporation, Pool# 294817, 9.75% due 1/1/2017 140,125
119,689 Federal Home Loan Mortgage Corporation, Pool# 298107, 10.25% due 8/1/2017 130,024
68,360 Federal Home Loan Mortgage Corporation, Pool# 431035, 11.50% due 7/1/2010 74,376
7,501 Federal Home Loan Mortgage Corporation, Pool# 500166, 12.00% due 9/1/2000 7,778
233,858 Federal Home Loan Mortgage Corporation, Pool# 770297, 6.50% (adjustable rate) due 6/1/2018 235,904
199,006 Federal Home Loan Mortgage Corporation, Pool# D06907, 9.00% due 4/1/2017 209,711
133,167 Federal Home Loan Mortgage Corporation, Pool# D06908, 9.50% due 9/1/2017 142,135
809,269 Federal Home Loan Mortgage Corporation, Pool# E00107, 8.00% due 7/1/2007 828,222
487,112 Federal Home Loan Mortgage Corporation, Pool# E49074, 6.50% due 7/1/2008 491,978
541,389 Federal Home Loan Mortgage Corporation, Pool# E65962, 7.00% due 5/1/2008 548,990
2,019,977 Federal Home Loan Mortgage Corporation, Pool# M80406, 7.00% due 1/1/2003 2,032,966
260,378 Federal National Mortgage Association, CMO Series 92-60, Class C, 7.50% due 4/25/1999 259,318
1,900,000 Federal National Mortgage Association CMO Series 1993-12, Class EC, 7.50% due 9/25/2001 1,905,339
391,750 Federal National Mortgage Association, Benchmark Note, 5.125% due 2/13/2004 384,710
1,150,000 Federal National Mortgage Association CMO Series 1992-145, Class L, 7.50% due 1/25/2006 1,157,901
1,500,000 Federal National Mortgage Association, 6.50% due 11/25/2006 1,521,090
850,000 Federal National Mortgage Association CMO Series 1992-22, Class HC, 7.00% due 3/25/2007 875,764
2,000,000 Federal National Mortgage Association CMO Series 1991-134, Class KE, 7.00% due 5/25/2008 1,986,860
750,000 Federal National Mortgage Association Remic 1993 101 Class Project, 7.00% due 6/25/2008 760,073
1,250,000 Federal National Mortgage Association, Remic Trust 1993 191 Class G, 6.00% due 10/25/2008 1,233,975
980,575 Federal National Mortgage Association CMO Series 1992-64, Class G, 7.00% due 12/25/2018 983,938
1,800,000 Federal National Mortgage Association, CMO Series 93-187, Class FC, 4.38% (adjustablerate) 1,790,424
due 11/25/2021
1,250,000 Federal National Mortgage Association CMO Series 1992-33, Class F, 4.69% due 3/25/2022 1,266,012
793,029 Federal National Mortgage Association Remic 1993 168 Class Pk, 6.75% due 8/25/2022 799,714
500,000 Federal National Mortgage Association, CMO Series 1993-185, Class FJ, 4.38% 495,780
(adjustablerate) due 9/25/2022
978,000 Federal National Mortgage Association Series 1993 32, Class H, 6.00% due 3/25/2023 959,350
15,907 Federal National Mortgage Association, Pool# 002473, 10.50% due 1/1/2001 16,121
687,642 Federal National Mortgage Association, Pool# 008307, 8.00% due 5/1/2008 710,884
53,140 Federal National Mortgage Association, Pool# 010294, 8.50% due 9/1/2007 54,377
1,413 Federal National Mortgage Association, Pool# 016072, 11.50% due 5/1/2000 1,426
85,522 Federal National Mortgage Association, Pool# 019535, 10.25% due 7/1/2008 91,649
942,811 Federal National Mortgage Association, Pool# 033356, 9.25% due 8/1/2016 1,006,366
86,105 Federal National Mortgage Association, Pool# 038493, 8.75% due 10/1/2008 90,646
105,751 Federal National Mortgage Association, Pool# 040526, 9.25% due 1/1/2017 112,879
695,652 Federal National Mortgage Association, Pool# 044003, 8.00% due 6/1/2017 725,217
232,910 Federal National Mortgage Association, Pool# 058816, 9.25% due 12/1/2002 240,815
239,549 Federal National Mortgage Association, Pool# 063791, 8.25% due 7/1/2002 243,433
544,031 Federal National Mortgage Association, Pool# 064011, 9.25% due 7/1/2003 566,228
5,000,000 Federal National Mortgage Association, Pool# 073040, 7.625% due 9/1/2001 5,147,284
3,783,879 Federal National Mortgage Association, Pool# 073798, 6.94% due 12/1/2006 3,958,963
445,723 Federal National Mortgage Association, Pool# 076388, 9.25% due 9/1/2018 475,943
106,418 Federal National Mortgage Association, Pool# 077725, 9.75% due 10/1/2018 113,467
364,730 Federal National Mortgage Association, Pool# 112067, 9.50% due 10/1/2016 390,488
993,979 Federal National Mortgage Association, Pool# 156156, 8.50% due 4/1/2021 1,045,478
538,491 Federal National Mortgage Association, Pool# 190555, 7.00% due 1/1/2014 546,794
534,247 Federal National Mortgage Association, Pool# 190703, 7.00% due 3/1/2009 545,931
1,225,607 Federal National Mortgage Association, Pool# 190836, 7.00% due 6/1/2009 1,252,411
858,047 Federal National Mortgage Association, Pool# 250387, 7.00% due 11/1/2010 876,547
523,098 Federal National Mortgage Association, Pool# 250481, 6.50% due 11/1/2015 520,969
1,101,512 Federal National Mortgage Association, Pool# 303383, 7.00% due 12/1/2009 1,123,234
1,240,204 Federal National Mortgage Association, Pool# 312663, 7.50% due 6/1/2010 1,279,730
1,070,022 Federal National Mortgage Association, Pool# 334996, 7.00% due 2/1/2011 1,093,091
1,626,292 Federal National Mortgage Association, Pool# 342947, 7.25% due 4/1/2024 1,660,346
554,400 Federal National Mortgage Association, Pool# 345775, 8.50% due 12/1/2024 583,123
637,191 Federal National Mortgage Association, Pool# 373942, 6.50% due 12/1/2008 642,906
588,085 Federal National Mortgage Association, Pool# 400569, 6.00% due 4/1/2009 586,815
620,000 Federal National Mortgage Association Remic, Trust 94 Class 94 041, 6.25% due 1/25/2021 624,842
1,000,000 Federal National Mortgage Association Remic 1998 49 Class TD, 6.25% due 12/18/2023 993,430
596,618 Federal National Mortgage Association Remic Trust 94 036 UA, 7.00% due 8/25/2023 603,885
674,412 Government National Mortgage Association, Pool# 000623, 8.00% due 9/20/2016 704,686
55,183 Government National Mortgage Association, Pool# 000862, 9.00% due 10/20/2002 57,241
12,975 Government National Mortgage Association, Pool# 000956, 10.00% due 3/20/2003 13,414
22,740 Government National Mortgage Association, Pool# 001228, 10.00% due 7/20/2004 23,765
69,523 Government National Mortgage Association, Pool# 001408, 9.50% due 5/20/2005 72,852
791,672 Government National Mortgage Association, Pool# 016944, 7.50% due 5/15/2007 817,535
50,844 Government National Mortgage Association, Pool# 035861, 10.875% due 2/15/2010 55,848
21,287 Government National Mortgage Association, Pool# 161848, 9.00% due 8/15/2001 21,809
14,903 Government National Mortgage Association, Pool# 276712, 11.00% due 3/15/2000 15,137
222,633 Government National Mortgage Association, Pool# 296697, 9.50% due 10/15/2005 237,737
342,480 Government National Mortgage Association, Pool# 306636, 8.25% due 12/15/2006 352,771
1,486,935 Government National Mortgage Association, Pool# 313403, 6.80% due 5/20/2023 1,490,325
1,972,870 Government National Mortgage Association, Pool# 357090, 6.80% due 4/20/2025 1,974,468
647,725 Government National Mortgage Association, Pool# 362865, 8.00% due 7/15/2003 660,018
792,786 Government National Mortgage Association, Pool# 430150, 7.25% due 12/15/2026 810,742
766,771 Government National Mortgage Association, Pool# 453928, 7.00% due 7/15/2017 782,344
398,920 Government National Mortgage Association, Pool# 780063, 7.00% due 9/15/2008 409,140
884,931 Government National Mortgage Association, Pool# 780448, 6.50% due 8/15/2011 896,816
800,000 Tennessee Valley Authority, 8.375% due 10/1/1999 813,248
Total U.S. Government Agencies (Cost $81,185,394) 81,970,444
United States Treasury (37.60%)
1,500,000 United States Treasury Notes, 7.50% due 10/31/1999 1,522,965
4,200,000 United States Treasury Notes, 6.25% due 4/30/2001 4,300,422
10,000,000 United States Treasury Notes, 7.50% due 11/15/2001 10,578,100
1,350,000 United States Treasury Notes, 6.25% due 1/31/2002 1,389,231
3,200,000 United States Treasury Notes, 6.25% due 2/15/2003 3,316,000
5,000,000 United States Treasury Notes, 5.75% due 8/15/2003 5,101,550
9,750,000 United States Treasury Notes, 7.25% due 5/15/2004 10,616,873
3,700,000 United States Treasury Notes, 7.25% due 8/15/2004 4,038,772
3,900,000 United States Treasury Notes, 6.50% due 5/15/2005 4,130,334
4,000,000 United States Treasury Notes, 7.00% due 7/15/2006 4,376,240
Total United States Treasury (Cost $47,805,893) 49,370,487
TOTAL INVESTMENTS (100%) (Cost $128,991,287) $ 131,340,931
<FN>
See notes to unaudited financial statements.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Schedule of Investments
Thornburg Limited Term Income Fund March 31, 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)
Credit Rating
Principal Security Name Moody's/S&P Value
U.S. TREASURY SECURITIES - 6.10%
<S> <C> <C> <C>
350,000 United States Treasury Notes, 6.875% due 8/31/1999 Aaa/AAA $ 352,954
750,000 United States Treasury Notes, 8.00% due 5/15/2001 Aaa/AAA 794,182
500,000 United States Treasury Notes, 6.375% due 8/15/2002 Aaa/AAA 518,360
500,000 United States Treasury Notes, 6.25% due 2/15/2003 Aaa/AAA 518,125
1,100,000 United States Treasury Notes, 6.50% due 5/15/2005 Aaa/AAA 1,164,966
Total U.S. Treasury Securities (Cost $3,182,278) 3,348,587
U. S. GOVERNMENT AGENCIES - 10.00%
900,000 Federal Home Loan Bank Board, 7.11% due 8/19/1999 Aaa/NR 907,308
186,516 Federal Home Loan Mortgage Corp., CMO Series 1327 E, 7.50% due NR/NR 187,855
7/15/2007
500,000 Federal Home Loan Mortgage Corp., CMO Series 1914 AC, 7.00% due NR/NR 497,810
12/15/2011
50,588 Federal Home Loan Mortgage Corp., CMO Series 1019 E, 8.75% due NR/NR 50,888
7/15/2020
363,504 Federal Home Loan Mortgage Corp., CMO Series 1208 D, 4.93% due NR/NR 366,910
2/15/2022
53,447 Federal Home Loan Mortgage Corp., Pool# 141540, 9.00% due 5/1/2009 Aaa/AAA 55,850
171,222 Federal Home Loan Mortgage Corp., Pool# 214180, 9.75% due 11/1/2001 Aaa/AAA 175,314
41,407 Federal Home Loan Mortgage Corp., Pool# 216639, 8.25% due 4/1/2002 Aaa/AAA 42,257
10,742 Federal Home Loan Mortgage Corp., Pool# 220005, 8.75% due 4/1/2001 Aaa/AAA 11,383
5,764 Federal Home Loan Mortgage Corp., Pool# 296006, 8.00% due 6/1/2017 Aaa/AAA 6,054
65,408 Federal Home Loan Mortgage Corp., Pool# 503253, 9.50% due 7/1/2005 Aaa/AAA 68,624
240,686 Federal Home Loan Mortgage Corp., Pool# 850082, 9.00% due 10/1/2005 Aaa/AAA 249,351
137,290 Federal National Mortgage Association, CMO Series 92-60, Class C, 7.50% NR/NR 136,731
due4/25/1999
685,000 Federal National Mortgage Association, CMO Series 97-13 D, 7.00% due NR/NR 702,981
8/18/2006
200,000 Federal National Mortgage Association, CMO Series 1993-140, Class J, NR/NR 203,936
6.65% due6/25/2013
600,000 Federal National Mortgage Association, CMO Series G94-7 B, 7.50% due NR/NR 615,936
5/17/2024
22,680 Federal National Mortgage Association, Pool# 001768, 8.00% due Aaa/AAA 23,200
10/1/2006
650,630 Federal National Mortgage Association, Pool# 020155, 7.491% due Aaa/AAA 661,730
8/1/2014
298,240 Federal National Mortgage Association, Pool# 297033, 8.00% due Aaa/AAA 307,000
2/1/2009
40,552 Government National Mortgage Association, Pool# 305541, 9.00% due Aaa/AAA 42,162
5/15/2003
156,281 Government National Mortgage Association, Pool# 827148, 6.875% due Aaa/AAA 156,647
2/20/2024
Total U. S. Government Agencies (Cost $5,397,218) 5,469,927
MORTGAGE BACKED SECURITIES - 0.70
29,647 Collateralized Mortgage Obligation Trust, Series 56-B, 9.985% due Aaa/AAA 31,277
1/1/2019
351,151 GE Capital Mortgage Services, Series 92-13 G2, 7.00% due 1/1/2008 Aaa/AAA 352,893
Total Mortgage Backed Securities (Cost $379,610) 384,170
CORPORATE BONDS - 26.90%
BANKING INSTITUTIONS
1,000,000 Mellon Financial Company, 5.75% due 11/15/2003 A2/A+ 991,890
450,000 Westdeutsche Landesbank Giroze, 2008 Subordinated Note, 6.05% due Aa1/AA+ 434,403
1/15/2009
1,426,293
FINANCIAL SERVICES
1,000,000 Merrill Lynch & Company Incorporated, 6.00% due 11/15/2004 Aa3/AA- 996,940
INDUSTRIALS
2,000,000 Computer Associates International Incorporated, 2005 Senior Note, Baa1/A- 1,927,100
6.375% due4/15/2005
50,000 Grand Metropolitan Investment Corporation, 0% due 1/6/2004 A1/A+ 36,960
1,000,000 Ingersoll Rand Company, 6.46% due 11/19/2003 A3/A- 1,030,630
1,000,000 Occidental Petroleum Corporation, Senior Note, 7.375% due 11/15/2008 Baa3/BBB 1,005,840
700,000 Raytheon Company, 6.30% due 3/15/2005 Baa1/BBB 704,977
1,000,000 Security Capital Group Incorporated, Tranche Trust 00001, 7.75% due NR/BBB 1,009,180
11/15/2003
50,000 Valassis Communications, 9.55% due 12/1/2003 Baa3/BBB- 55,803
500,000 Valassis Communications Inc., Senior Note 144A, 6.625% due 1/15/2009 Baa3/BBB- 483,936
879,000 Wheeling Pittsburgh Corporation, 9.375% due 11/15/2003 Aaa/AAA 948,221
700,000 WMX Technologies Incorporated, 8.25% due 11/15/1999 Baa3/BBB+ 710,736
185,000 WMX Technologies Incorporated, 7.00% due 5/15/2005 Baa1/BBB+ 192,198
8,105,581
TELEPHONES
500,000 A T & T Corporation, 6.00% due 3/15/2009 A1/AA- 496,760
UTILITIES
1,000,000 Carolina Power & Light Company, 6.80% due 8/15/2007 A2/A 1,048,870
400,000 Carolina Power & Light Company, 5.95% due 3/1/2009 A2/A 395,736
85,000 Niagara Mohawk Power Corporation, 8.00% due 6/1/2004 NR/NR 92,273
60,000 Niagara Mohawk Power Corporation, 6.625% due 7/1/2005 Aaa/AAA 62,085
80,000 Pennsylvania Power & Light Company, 6.875% due 3/1/2004 Aaa/NA 83,074
100,000 Public Service Electric & Gas Company, 6.75% due 3/1/2006 NR/AAA 103,222
75,000 Texas Utilities Electric Company, 6.75% due 7/1/2005 Aaa/NR 78,595
1,863,855
YANKEE
2,150,000 Dao Heng Bank Group, 7.75% due 1/24/2007 (U.S. Dollar) Baa1/BBB+ 1,803,626
Total Corporate Bonds (Cost $14,767,113) 14,693,055
TAXABLE MUNICIPAL BONDS - 52.80%
1,500,000 Austin Texas General Obligation, 6.90% due 3/1/2002 Aa2/AA 1,545,615
240,000 Baltimore Economic Development Authority, 8.50% due 8/1/2002 (Arcade LP A3/BBB+ 251,842
Project)
55,000 Beaumont Housing Multi Family Mortgage Series 1995-B, 7.50% due Aaa/NR 56,082
6/15/2000(Insured: FHA)
60,000 Bellingham Washington Civic Center Development, Series A, 4.80% due NR/NR 61,211
8/1/2000
1,750,000 Capital Projects Finance Authority Florida Revenue, Series B, 8.00% NR/NR 1,770,475
due12/1/2001
1,025,000 Connecticut St. Development Authority, 8.55% due 8/15/2005 NR/A+ 1,135,331
100,000 Dayton Ohio Economic Development Revenue, 6.03% due 12/1/2003 Aaa/AAA 100,111
115,000 Duquesne Pennsylvania General Obligation, 6.75% due 12/15/2001 Aaa/AAA 117,220
(Insured: MBIA)
125,000 Duquesne Pennsylvania General Obligation, 6.75% due 12/15/2002 Aaa/AAA 127,851
(Insured: MBIA)
130,000 Duquesne Pennsylvania General Obligation, 6.95% due 12/15/2003 Aaa/AAA 133,910
(Insured: MBIA)
1,085,000 East Baton Rouge Louisiana Mortgage Finance, Series C2 Tax Refunding Aaa/NR 1,103,673
Mortgage,6.75% due 4/1/2005
320,000 Georgia Municipal Electric Authority Power Revenue, Taxable Series One, A3/A 329,846
7.00%due 1/1/2006
1,350,000 Grand Prairie Sports Facilities Development, Taxable Refunding Series Aaa/NR 1,345,221
A, 6.40%due 9/15/2008
2,000,000 Greater Valley Medical Building Partnership, Series 1996, 6.95% due Aa3/NR 2,033,780
3/1/2021 put3/1/01 (LOC: Krediet Bank)
500,000 Gulfport Mississippi Hospital Facility Revenue, Memorial Hospital Aaa/AAA 546,755
Gulfport B,8.00% due 7/1/2006
1,120,000 Halifax Hospital Medical Center Florida Health, 6.50% due 4/1/2002 NR/A 1,120,000
845,000 Idaho Housing Multi Family Housing Revenue Series 94-B, 8.15% due A/NR 919,723
7/1/2004
145,000 Illinois Housing Development Authority, Taxable Multi Family Pg Series A1/A+ 150,815
2, 7.85%due 3/1/2005
405,000 King County Washington General Obligation, 7.55% due 12/1/2005 Aa1/AA+ 434,435
100,000 Kiryas Joel Village, New York General Obligation Series B, 8.50% due Baa3/NR 102,072
1/1/2000
210,000 Lake City Utilities Revenue, Taxable Refunding Series B, 6.40% due Aaa/NR 212,300
7/1/2004
225,000 Lake City Utilities Revenue, Taxable Refunding Series B, 6.50% due Aaa/NR 227,268
7/1/2005
240,000 Lake City Utilities Revenue, Taxable Refunding Series B, 6.50% due Aaa/NR 242,035
7/1/2006
255,000 Lake City Utilities Revenue, Taxable Refunding Series B, 6.60% due Aaa/NR 256,576
7/1/2007
260,000 Lake City Utilities Revenue, Taxable Refunding Series B, 6.60% due Aaa/NR 258,193
7/1/2008
1,000,000 Los Angeles County Pension Obligation, 8.30% due 6/30/2002 (Insured: Aaa/AAA 1,068,370
FSA)
1,225,000 Maine Health & Higher Ed Fac Series A, 7.35% due 7/1/2012 put 7/1/99 NR/BBB+ 1,230,022
(NursingHome Project; LOC: Sumitumo Bank)
110,000 Maine Municipal Bond Bank Special Obligation, Taxable Series A, 8.00% NR/A+ 117,537
due11/1/2002
690,000 Maryland State Economic Development Corporation, Taxable Maryland NR/NR 704,904
TechDevelopment Center Project, 7.25% due 6/1/2008
300,000 Massachusetts Industrial Financing Authority Resource Recovery Aaa/AAA 301,356
RevenueRefunding, 6.95% due 7/1/1999 (Insured: FSA)
315,000 Miami Beach Housing Authority Revenue, 6.75% due 3/1/2003 A3/NR 318,024
200,000 Missouri High Education Student Loan, Series B, 6.80% due 2/15/2001 Aaa/NR 203,766
75,000 Mobile United States Government Guaranteed, 6.99% due 8/1/2000 Aaa*/AAA* 76,514
245,000 New Jersey Economic Development Authority Series B, 7.10% due 9/15/2002 Aa3/AA- 250,733
95,000 New Jersey State Housing & Mortgage Financing Agency Series E, 7.95% NR/A+ 97,442
due11/1/2000
3,245,000 New Orleans Home Mortgage Authority Single Family Mortgage Revenue Aaa/AAA 769,389
RefundingSeries 1994-A, 0% due 10/1/2015 (Insured: MBIA)
200,000 New York City Series 1991, 10.50% due 11/15/2013 pre-refunded 11/15/01 Aaa/AAA 226,240
250,000 New York General Obligation, Taxable Series K, 6.00% due 8/1/2000 A3/A- 251,585
100,000 New York New York, Taxable Prerefunded Series D, 10.00% due 8/1/2005 A3/A- 111,770
500,000 New York St Mortgage Agency Revenue, Taxable Mortgage 20th Series, Aaa/NR 515,015
6.70% due10/1/2004
1,000,000 New York St Power Authority Revenue & General, Taxable Series D, 6.17% Aa3/AA- 1,007,800
due2/15/2001
1,000,000 Oklahoma City Airport Trust, Taxable Senior Lien 19th Series, 6.15% due Aa2/AA 1,009,870
7/1/2000
1,000,000 Pennsylvania Housing Finance Agency, 8.40% due 4/1/2010 Aa/AA+ 1,049,100
1,085,000 Rockwall Texas Independent School District, Capital Appreciation NR/AAA 593,061
RefundingTaxable, 0% due 8/15/2008
1,020,000 Santa Fe New Mexico Civic Housing Authority, Tuscany Ser B, 6.71% due Aaa/AAA 1,035,912
8/1/2012
520,000 Texas Department Housing & Community, Affairs Single Family Series B, A1/A+ 539,448
9.50% due3/1/2016
35,000 Tucson & Pima County IDA SFMR Series A, 7.00% due 12/1/2003 A1/NR 35,399
250,000 Virginia Housing Development Authority, Taxable Series D, 7.55% due Aa1/AA+ 253,075
1/1/2011
250,000 Virginia Housing Development Multi Family, Taxable Series A, 7.125% Aa1/AA+ 258,083
due11/1/2003
300,000 Virginia State Housing Development Authority Series C, 6.65% due Aa1/AA+ 305,295
11/1/2003
300,000 Washington Gas Light Company Medium, Tranche Trust 00047, 6.60% due Aa3/NR 304,155
8/11/2008
825,000 Wilkes Barre Pennsylvania Redevelopment Authority Revenue, 6.25% due Aaa/NR 830,956
6/15/2008
810,000 York County General Obligation, Refunding Taxable Series C, 5.85% due Aaa/AAA 809,927
12/1/2004
Total Taxable Municipal Bonds (Cost $28,372,087) 28,857,088
FOREIGN SECURITIES - 2.80%
2,000,000 British Columbia Province, 9.00% due 6/21/2004 (Canadian Dollars) Aa2/AA 1,548,354
Total Foreign Securities (Cost $1,447,093) 1,548,354
COMMERCIAL PAPER - 0.70%
400,000 Mobil Credit Finance, 4.90% due 4/1/1999 A1+/P1 400,000
Total Commercial Paper (Cost $400,000) 400,000
TOTAL INVESTMENTS (100%) (Cost $53,945,399) $54,701,181
<FN>
See notes to unaudited financial statements.
</FN>
</TABLE>
See notes to financial statements.
* Principal amount in U.S. Dollars unless otherwise indicated, value is in
U.S. Dollar.
Credit ratings are unaudited.
Thornburg Limited Term
U.S. Government Fund
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 each class of 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 $12.66. 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
Return from a $100,000 Investment 10/1/92 to 3/31/99
$50,000
$40,000
$30,000
$20,000
$10,000
$0
$32,233
Donoghue's Taxable
Money Market Fund Average
$46,032
Thornburg Limited Term
Income Fund
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 each class of 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
$12.50 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.
