Thornburg Limited Term Income Funds
All data as of 3.31.00
Fund Facts
Thornburg Limited Term Income Fund
A Shares C Shares
SEC Yield ..................................... 6.05% 5.73%
NAV ........................................... $11.79 $11.76
Max. Offering Price ........................... $11.97 $11.76
Total returns
(Annual Average - After Subtracting Maximum Sales Charge)
One Year 0.71% 1.82%
Five Year ..................................... 6.20% 6.09%
Since Inception ............................... 5.53% 5.56%
Inception Date (10.2.1992) (9.1.1994)
Thornburg Limited Term U.S. Government Fund*
Fund Facts
A Shares C Shares
SEC Yield ..................................... 5.69% 5.30%
NAV ........................................... $11.86 $11.92
Max. Offering Price ........................... $12.04 $11.92
Total returns
(Annual Average - After Subtracting Maximum Sales Charge)
One Year 0.01% 1.14%
Five Year ..................................... 5.27% 5.15%
Ten Year 6.21% N/A
Since Inception 6.47% 5.11%
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.
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, 2000. The net asset value of the A shares of the
Thornburg Limited Term Income Fund ended the period at $11.79. If you were
invested for the entire period, you received dividends of 35.6 cents per share.
If you reinvested your dividends, you received 36.1 cents per share. Investors
who owned C shares received 33.1 and 33.5 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 $11.86. If you were invested for the entire period, you
received dividends of 33.5 cents per share. If you reinvested your dividends,
you received 33.9 cents per share. Investors who owned C shares received 31.1
and 31.5 cents per share, respectively. Please read the accompanying exhibits
for more detailed information and history.
Interest rates on short maturity U.S. Treasuries have continued to rise over the
last 6 months. The strong economic data have caused the market participants to
reevaluate their ideas on the appropriate level of interest rates. The rest of
the world joins the United States in enjoying strong economic growth. At the
same time, however, the issuance of debt by the U.S. Treasury is slowing down.
Not only does the Treasury intend to issue less debt going forward, but also
they intend to repurchase some of the debt that is currently outstanding. The
announcement, in January, of the Treasury's plans to buy back at least $30
Billion U.S. Treasury Bonds, primarily in the 15 to 30 year sector, started a
market buying spree of long Treasury Bonds. This, in turn, hastened the
inversion of the yield curve, with shorter maturity bonds now yielding more than
longer maturity bonds.
As the Treasury yield curve reverts to a more normal positive slope, the best
spot to be on a total return basis is normally in intermediate maturities.
Generally, the curve steepens by the market lowering yields on short maturity
bonds and keeping longer maturity bonds yielding approximately the same.
Sometimes the inversion of the yield curve is considered a precursor to an
economic slowdown. Even though the economic data are strong, an exposure to
bonds is probably a prudent investment course at this time. At the least, the
recent volatility in the stock markets should cause investors to reevaluate
their exposure in equities. Even the most aggressive asset allocation model has
a portion of the portfolio invested in bonds. Bonds should be an integral part
of any investment 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 that 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
Statements of assets and liabilities
Limited Term U.S. Limited Term
Government Fund Income Fund
ASSETS
Investments at value (cost $108,322,449
and $53,883,733, respectively) ........ $106,546,077 $ 53,664,510
Cash .................................. 203,830 51,153
Receivable for fund shares sold ....... 61,042 191,555
Receivable for investments sold ....... 0 828,748
Interest receivable ................... 1,206,446 1,052,831
Principal receivable .................. 33,873 20,672
Prepaid expenses and other assets ..... 45,400 22,583
Total Assets ........ 108,096,668 55,832,052
LIABILITIES
Payable for investments purchased ..... 798,471 972,643
Payable for fund shares redeemed ...... 219,372 39,253
Accounts payable and accrued expenses . 27,831 143,538
Payable to Investment Advisor ......... 36,644 16,361
Dividends payable ..................... 137,639 104,543
Total Liabilities ... 1,219,957 1,276,338
NET ASSETS ............................ $106,876,711 $ 54,555,714
NET ASSET VALUE:
Class A Shares:
Net asset value and redemption price per share ($96,681,989 and $35,644,996
applicable to 8,150,461 and 3,023,575 shares of
beneficial interest outstanding - Note 4) $11.86 $11.79
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 $12.04 $11.97
Class C Shares:
Net asset value and offering price per share * ($5,840,444 and
$7,400,000 applicable to 489,852 and 629,007 shares of beneficial
interest outstanding - Note 4) $11.92 $11.76
Class I Shares:
Net asset value and offering price per share ($4,354,278 and
$11,510,718 applicable to 367,166 and 976,465 shares of beneficial
interest outstanding - Note 4) $11.86 $11.79
* Redemption price per share is equal to net asset value less any applicable
contingent deferred sales charges. See notes to financial statements.
Statements of operations
Six Months Ended March 31, 2000
(unaudited)
Limited Term U.S. Limited Term
Government Fund Income Fund
INVESTMENT INCOME:
Interest income (net of premium amortized
of $199,189 and $53,066, respectively) ..... $ 3,873,032 $ 1,966,214
EXPENSES:
Investment advisory fees (Note 3) .......... 219,894 139,670
Administration fees (Note 3)
Class A Shares .................... 65,767 23,423
Class C Shares .................... 4,266 4,724
Class I Shares .................... 1,306 2,708
Distribution and service fees (Note 3)
Class A Shares .................... 128,903 44,973
Class C Shares .................... 34,126 37,764
Transfer agent fees ........................ 62,627 36,916
Custodian fees ............................. 43,455 35,990
Registration and filing fees ............... 23,124 20,864
Professional fees .......................... 9,150 6,912
Accounting fees ............................ 6,255 3,452
Trustee Fees ............................... 1,373 733
Interest ................................... 8,597 1,060
Other expenses ............................. 2,350 5,366
Total Expenses .................... 611,193 364,555
Less:
Expenses reimbursed by investment
advisor (Note 3) (14,182) (69,143)
Distribution and service fees waived (Note 3) (17,063) (18,867)
Net Expenses ........................... 579,948 276,545
Net Investment Income .................. 3,293,084 1,689,669
REALIZED AND UNREALIZED GAIN (LOSS) (Note 5) Net Realized gain (loss) on:
Investments ................................. (910,846) (823,212)
Foreign currency transactions ................. 0 952
(910,846) (822,260)
Net change in unrealized appreciation (depreciation) on:
Investments ................................. (1,130,973) 120,102
Foreign currency translation ............... 0 (307)
(1,130.973) 119,795
Net Realized and Unrealized Gain (Loss)
on Investments (2,041,819) (702,465)
Net Increase in Net Assets Resulting
From Operations. $ 1,251,265 $ 987,204
See notes to financial statements.
<TABLE>
Statements of changes in net assets
March 31, 2000
(unaudited)
<CAPTION>
Six Months Ended Year Ended
March 31, 2000 September 30, 1999
INCREASE (DECREASE) IN
NET ASSETS FROM:
OPERATIONS:
<S> <C> <C>
Net investment income ................................................ $ 3,293,084 $ 7,026,209
Net realized gain (loss) on investments sold ......................... (910,846) 113,049
Unrealized appreciation (depreciation)
of investments .............................................. (1,130,973) (6,623,311)
Net Increase in Net Assets Resulting From Operations 1,251,265 515,947
DIVIDENDS TO SHAREHOLDERS:
From net investment income
Class A Shares .............................................. (2,959,217) (6,424,230)
Class C Shares .............................................. (177,534) (357,487)
Class I Shares .............................................. (156,332) (244,492)
FUND SHARE TRANSACTIONS - (Note 4):
Class A Shares .............................................. (14,709,523) (10,147,111)
Class C Shares .............................................. (1,552,794) 1,429,265
Class I Shares .............................................. (1,163,207) 3,563,264
Net Increase (Decrease) in Net Assets .............. (19,467,342) (11,664,844)
NET ASSETS:
Beginning of period ......................................... 126,344,053 138,008,897
End of period ............................................... $ 106,876,711 $ 126,344,053
<FN>
See notes to financial statements.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Statements of changes in net assets
Six Months Ended Year Ended
March 31, 2000 September 30, 1999
INCREASE (DECREASE) IN
NET ASSETS FROM:
OPERATIONS:
<S> <C> <C>
Net investment income ............................................ $ 1,689,669 $ 3,068,909
Net realized gain (loss) on investments sold ..................... (822,260) (233,873)
Unrealized appreciation (depreciation) of investments ............ 119,795 (2,250,614)
Net Increase in Assets Resulting from Operations 987,204 584,422
DIVIDENDS TO SHAREHOLDERS:
From net investment income
Class A Shares .......................................... (1,132,232) (1,970,027)
Class C Shares .......................................... (212,954) (344,083)
Class I Shares .......................................... (344,482) (502,339)
RETURN OF CAPITAL
Class A Shares .......................................... 0 (177,137)
Class C Shares .......................................... 0 (32,483)
Class I Shares .......................................... 0 (42,840)
FUND SHARE TRANSACTIONS - (Note 4):
Class A Shares .......................................... (4,917,251) 6,919,340
Class C Shares .......................................... (32,801) 710,310
Class I Shares .......................................... 1,703,336 2,578,404
Net Increase in Net Assets ..................... (3,949,180) 7,723,567
NET ASSETS:
Beginning of period .............................................. 58,504,894 50,781,327
End of period .................................. $ 54,555,714 $ 58,504,894
<FN>
See notes to financial statements.
</FN>
</TABLE>
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 six
months ending March 31, 2000, 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 ending March 31, 2000, the Adviser voluntarily reimbursed
certain operating expenses amounting to $14,182 and $69,143 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 ending March 31, 2000, the
Distributor earned commissions aggregating $0 and $18 from the sale of Class A
shares of the Government Fund and Income Fund, respectively, and collected
contingent deferred sales charges aggregating $5,689 and $766 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 six months ending March 31, 2000, 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 March 31, 2000 there were an unlimited number of shares of beneficial
interest authorized, and capital paid in aggregated $116,512,426 and $56,988,269
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
Six Months Ended Year Ended
March 31, 2000 September 30, 1999
Class A Shares Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Shares sold 299,409 $3,569,291 1,687,187 $20,772,075
Shares issued to shareholders in
reinvestment of dividends 174,607 2,075,427 365,972 4,498,080
Shares repurchased (1,714,435) (20,354,241) (2,877,290) (35,417,266)
Net (Decrease) (1,240,419) ($14,709,523) (824,131) ($10,147,111)
Class C Shares
Shares sold 38,319 $457,372 296,895 $3,701,013
Shares issued to shareholders
in reinvestment of distributions 12,445 148,696 24,792 305,762
Shares repurchased (181,213) (2,158,862) (208,348) (2,577,510)
Net Increase (Decrease) (130,449) $(1,552,794) 113,339 $1,429,265
Class I Shares
Shares sold 30,036 $357,550 357,156 $4,419,073
Shares issued to shareholders in
reinvestment of dividends 12,502 148,511 19,438 237,764
Shares repurchased (141,199) (1,669,268) (88,647) (1,093,573)
Net Increase (Decrease) (98,661) $(1,163,207) 287,947 $3,563,264
</TABLE>
<TABLE>
<CAPTION>
Income Fund
Six Months Ended Year Ended
March 31, 2000 September 30, 1999
Class A Shares Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Shares sold 182,373 $2,147,344 1,093,764 $13,307,019
Shares issued to shareholders in
reinvestment of dividends 65,494 771,028 117,354 1,428,223
Shares repurchased (664,492) (7,835,623) (640,785) (7,815,902)
Net Increase (Decrease) (416,625) $(4,917,251) 570,333 $6,919,340
Class C Shares
Shares sold 83,903 $987,518 220,299 $2,684,267
Shares issued to shareholders
in reinvestment of distributions 14,111 166,012 25,540 310,368
Shares repurchased (101,243) (1,186,331) (186,698) (2,284,325)
Net Increase (Decrease) (3,229) $(32,801) 59,141 $710,310
Class I Shares
Shares sold 280,120 $3,301,643 410,854 $5,027,548
Shares issued to shareholders in
reinvestment of dividends 22,199 261,233 33,598 408,669
Shares repurchased (158,070) (1,859,540) (233,959) (2,857,813)
Net Increase 144,249 $1,703,336 210,493 $2,578,404
</TABLE>
Note 5 - Securities Transactions
For the six months ending March 31, 2000, portfolio purchase and sale
transactions (excluding short-term securities) were $17,043,140 and $28,846,043
for the Government Fund and $23,242,587 and $23,952,464 for the Income Fund,
respectively.
The cost of investments for Federal income tax purposes is $108,322,449 and
$53,883,733 for the Government Fund and Income Fund, respectively. At March 31,
2000, gross unrealized appreciation and depreciation of investments, based on
cost for Federal income taxes were as follows:
Accumulated net realized losses from securities transactions included in net
assets at March 31, 2000 aggregated $7,859,344 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
occurring 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>
Thornburg Limited Term U.S. Government Fund
Per share operating performance (for A share outstanding throughout the period)
Six Months Ended Year End
March 31, September 30,
2000 1999 1998 1997 1996 1995
Class A Shares:
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period .......... $ 12.06 $ 12.66 $ 12.31 $ 12.24 $ 12.40 $ 12.40
Income from investment operations:
Net investment income ................ 0.33 0.66 0.69 0.75 0.76 0.75
Net realized and unrealized
gain (loss) on investments (0.20) (0.60) 0.35 0.07 (0.16) 0.37
Total from investment operations .............. 0.13 0.06 1.04 0.82 0.60 1.12
Less dividends from:
Net investment income ................ (0.33) (0.66) (0.69) (0.75) (0.76) (0.75)
Change in net asset value ..................... (0.20) (0.60) 0.35 0.07 (0.16) 0.37
Net asset value, end of period ................ $ 11.86 $ 12.06 $ 12.66 $ 12.31 $ 12.24 $ 12.40
Total return (a) .............................. 1.14% 0.48% 8.75% 6.86% 4.92% 9.66%
Ratios/Supplemental Data Ratios to average net asset:
Net investment income ............... 5.63% (b) 5.33% 5.61% 6.09% 6.11% 6.23%
Expenses, after expense reductions .. 0.98% (b) 0.95% 0.97% 0.97% 0.99% 0.99%
Expenses, before expense reductions . 0.98% (b) 0.95% 0.97% 0.97% 0.99% 0.99%
Portfolio turnover rate ...................... 14.44% 19.39% 29.77% 41.10% 23.27% 28.31%
Net assets at end of period (000) .............. $96,682 $113,215 $129,312 $133,711 $139,510 $142,849
<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 I Shares:
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period ................ $ 12.05 $ 12.65 $ 12.31 $ 12.24 $ 12.14
Income from investment operations:
Net investment income ...................... 0.36 0.70 0.74 0.79 0.20
Net realized and unrealized
gain (loss) on investments (0.19) (0.60) 0.34 0.07 0.10
Total from investment operations .................... 0.17 0.10 1.08 0.86 0.30
Less dividends from:
Net investment income ...................... (0.36) (0.70) (0.74) (0.79) (0.20)
Change in net asset value ........................... (0.19) (0.60) 0.34 0.07 0.10
Net asset value, end of period ...................... $ 11.86 $ 12.05 $ 12.65 $ 12.31 $ 12.24
Total return (a) .................................... 1.42% 0.82% 9.06% 7.26% 2.45%
Ratios/Supplemental Data Ratios to average net asset:
Net investment income ...................... 5.98%(b) 5.69% 6.01% 6.35% 6.64%(b)
Expenses, after expense reductions 0.60%(b) 0.60% 0.60% 0.60% 0.58%(b)
Expenses, before expense reductions 0.99%(b) 1.06% 1.18% 6.57% 305.74%(b)
Portfolio turnover rate ............................. 14.44% 19.39% 29.77% 41.10% 23.27%
Net assets at end of period (000) ................... $ 4,354 $ 5,612 $ 2,250 $ 5,263 $ 9
<FN>
(a) Not annualized for periods less than one period .
(b) Annualized
o 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 period)
Six Months Ended Year Ended
March 31, September 30,
2000 1999 1998 1997 1996 1995
Class A Shares:
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ..... $ 11.93 $ 12.50 $ 12.37 $ 12.23 $ 12.11 $ 11.83
Income from investment operations:
Net investment income ........... 0.36 0.69 0.72 0.76 0.76 0.76
Net realized and unrealized
gain (loss) on investments (0.14) (0.57) 0.13 0.14 0.12 0.28
Total from investment operations ......... 0.22 0.12 0.85 0.90 0.88 1.04
Less dividends from:
Net investment income ........... (0.36) (0.64) (0.72) (0.76) (0.76) (0.76)
Return of capital 0 (0.05) 0 0 0 0
Change in net asset value ................ (0.14) (0.57) 0.13 0.14 0.12 0.28
Net asset value, end of period ........... $ 11.79 $ 11.93 $ 12.50 $ 12.37 $ 12.23 $ 12.11
Total return (a) ......................... 1.85% 1.02% 7.08% 7.56% 7.54% 9.22%
Ratios/Supplemental Data
Ratios to average net asset:
Net investment income ........... 6.04%(b) 5.68% 5.81% 6.16% 6.31% 6.50%
Expenses, after expense reductions 0.99%(b) 0.99 1.00% 1.00% 0.95% 0.83%
Expenses, before expense reductions 1.20%(b) 1.19 1.22% 1.27% 1.37% 1.48%
Portfolio turnover rate .................. 42.99% 48.50% 41.01% 13.87% 44.35% 43.12%
Net assets at end of period (000) ........ $35,645 $41,050 $ 35,866 $ 31,281 $ 23,433 $ 23,222
<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 ....... $ 11.91 $ 12.47 $ 12.34 $ 12.20 $ 12.08 $ 11.78
Income from investment operations:
Net investment income ............. 0.33 0.64 0.66 0.71 0.71 0.70
Net realized and unrealized
gain (loss) on investments (0.15) (0.56) 0.13 0.14 0.12 0.30
Total from investment operations ............ 0.18 0.08 0.79 0.85 0.83 1.00
Less dividends from:
Net investment income .............. (0.33) (0.59) (0.66) (0.71) (0.71) (0.70)
Return of capital 0 (0.05) 0 0 0 0
Change in net asset value ................... (0.15) (0.56) 0.13 0.14 0.12 0.30
Net asset value, end of period .............. $ 11.76 $ 11.91 $ 12.47 $ 12.34 $ 12.20 $ 12.08
Total return (a) ........................... 1.56% 0.68% 6.65% 7.13% 7.12% 8.87%
Ratios/Supplemental Data
Ratios to average net asset:
Net investment income ..... 5.64%(b) 5.28% 5.40% 5.76% 5.91% 6.03%
Expenses, after expense reductions 1.40%(b) 1.40% 1.40% 1.40% 1.36% 1.36%
Expenses, before expense reductions 2.25%(b) 2.22% 2.30% 2.44% 3.20% 4.75%
Portfolio turnover rate ........................... 42.99% 48.50% 41.01% 13.87% 44.35% 43.12%
Net assets at end of period (000) .... $ 7,400 $ 7,528 $ 7,147 $ 5,382 $ 2,695 $ 1,032
<FN>
(a) Sales loads are not reflected in computing total return.
(b) Annualized.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Class I Shares:
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period ...... $ 11.93 $ 12.50 $ 12.36 $ 12.23 $ 11.95
Income from investment operations:
Net investment income ............ 0.37 0.73 0.75 0.80 0.19
Net realized and unrealized
gain (loss) on investments ....... (0.14) (0.57) 0.14 0.13 0.28
Total from investment operations .......... (0.23) 0.16 0.89 0.93 0.47
Less dividends from:
Net investment income ............ (0.37) (0.68) (0.75) (0.80) (0.19)
Return of capital ................ 0 (0.05) 0 0 0
Change in net asset value ................. (0.14) (0.57) 0.14 0.13 0.28
Net asset value, end of period ............ $ 11.79 $ 11.93 $ 12.50 $ 12.36 $ 12.23
Total return (a) .......................... 2.01% 1.32% 7.49% 7.80% 3.97%
Ratios/Supplemental Data Ratios to average net asset:
Net investment income ............... 6.36%(b) 5.99 6.10% 6.44% 6.67%(b)
Expenses, after expense reductions .. 0.69%(b) 0.69 0.69% 0.69% 0.69%(b)
Expenses, before expense reductions . 1.01%(b) 1.01 1.19% 1.98% 4.26%(b)
Portfolio turnover rate ............................ 42.99% 48.50% 41.01% 13.87% 44.35%
Net assets at end of period (000) .............. $ 11,511 $ 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
March 31, 2000 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 (73.40%)
<S> <C> <C>
2,200,000 Federal Farm Credit Bank Consolidated MTNS, 5.92% due 12/29/2004 $ 2,097,344
200,000 Federal Farm Credit Bank Consolidated MTNS, 5.35% due 12/11/2008 175,312
300,000 Federal Farm Credit Bank Consolidated MTNS, 5.80% due 3/19/2009 270,984
265,000 Federal Home Loan Bank Board, 6.55% due 3/7/2005 259,074
1,100,000 Federal Home Loan Bank Board, 5.95% due 6/13/2005 1,043,625
100,000 Federal Home Loan Bank Board, 6.345% due 11/1/2005 96,156
2,265,000 Federal Home Loan Bank Board, 6.50% due 11/29/2005 2,255,442
225,000 Federal Home Loan Bank Board, 5.24% due 12/7/2005 204,714
1,000,000 Federal Home Loan Bank Board, 6.37% due 9/26/2007 950,310
475,000 Federal Home Loan Bank Board, 6.075% due 1/2/2008 441,451
1,100,000 Federal Home Loan Bank Board, 5.98% due 6/18/2008 1,012,682
570,000 Federal Home Loan Bank Board, 5.015% due 10/8/2008 488,775
1,465,000 Federal Home Loan Bank Board, 5.67% due 2/26/2009 1,311,629
3,000,000 Federal Home Loan Bank Board, 5.70% due 3/3/2009 2,718,750
3,000,000 Federal Home Loan Bank Board, 5.985% due 4/9/2009 2,758,704
500,000 Federal Home Loan Mortgage Corporation, CMO Series 1586 Class FA, 5.69% 494,375
(adjustable rate)due 8/15/2007
316,636 Federal Home Loan Mortgage Corporation CMO Series 1900 Class L, 7.50% 315,844
due 11/15/2021
1,000,000 Federal Home Loan Mortgage Corporation CMO Series 1464 Class G, 7.25% 981,870
due 12/15/2021
370,181 Federal Home Loan Mortgage Corporation, Pool# 141016, 9.25% due 382,845
11/1/2016
143,798 Federal Home Loan Mortgage Corporation, Pool# 160043, 8.75% due 146,014
4/1/2008
213,590 Federal Home Loan Mortgage Corporation, Pool# 181730, 8.50% due 216,728
5/1/2008
148,431 Federal Home Loan Mortgage Corporation, Pool# 200075, 9.00% due 148,861
9/1/2004
65,946 Federal Home Loan Mortgage Corporation, Pool# 213924, 9.00% due 65,743
10/1/2001
144,481 Federal Home Loan Mortgage Corporation, Pool# 216502, 8.00% due 145,056
4/1/2002
99,312 Federal Home Loan Mortgage Corporation, Pool# 252986, 10.75% due 104,396
4/1/2010
144,090 Federal Home Loan Mortgage Corporation, Pool# 256764, 8.75% due 146,310
10/1/2014
136,216 Federal Home Loan Mortgage Corporation, Pool# 260486, 9.00% due 139,127
1/1/2010
784,481 Federal Home Loan Mortgage Corporation, Pool# 273822, 8.50% due 796,005
4/1/2009
415,443 Federal Home Loan Mortgage Corporation, Pool# 291880, 8.25% due 418,817
5/1/2017
77,300 Federal Home Loan Mortgage Corporation, Pool# 294817, 9.75% due 81,116
1/1/2017
117,513 Federal Home Loan Mortgage Corporation, Pool# 298107, 10.25% due 124,321
8/1/2017
227,032 Federal Home Loan Mortgage Corporation, Pool# 770297, 6.25% (adjustable 220,150
rate) due 6/1/2018
453,094 Federal Home Loan Mortgage Corporation, Pool# C90041, 6.50% due 437,657
11/1/2013
173,666 Federal Home Loan Mortgage Corporation, Pool# D06907, 9.00% due 177,966
4/1/2017
115,193 Federal Home Loan Mortgage Corporation, Pool# D06908, 9.50% due 120,763
9/1/2017
588,201 Federal Home Loan Mortgage Corporation, Pool# E00107, 8.00% due 593,748
7/1/2007
380,338 Federal Home Loan Mortgage Corporation, Pool# E49074, 6.50% due 371,875
7/1/2008
576,034 Federal Home Loan Mortgage Corporation, Pool# E61778, 6.50% due 563,217
4/1/2008
295,020 Federal Home Loan Mortgage Corporation, Pool# E65962, 7.00% due 293,026
5/1/2008
1,453,456 Federal Home Loan Mortgage Corporation, Pool# M80406, 7.00% due 1,441,058
1/1/2003
1,766,247 Federal National Mortgage Association CMO Series 1993-12 Class EC, 1,753,548
7.50% due 9/25/2001
391,000 Federal National Mortgage Association, Benchmark Note, 5.125% due 365,522
2/13/2004
1,150,000 Federal National Mortgage Association CMO Series 1992-145 Class L, 1,133,106
7.50% due 1/25/2006
1,500,000 Federal National Mortgage Association CMO Series 1993-35 Class G, 6.50% 1,451,250
due 11/25/2006
850,000 Federal National Mortgage Association CMO Series 1992-22 Class HC, 840,965
7.00% due 3/25/2007
1,534,201 Federal National Mortgage Association CMO Series 1991-134 Class KE, 1,521,727
7.00% due 5/25/2008
750,000 Federal National Mortgage Association CMO Series 1993-101 Class PJ, 736,170
7.00% due 6/25/2008
1,000,000 Federal National Mortgage Association CMO Series 1993-112 Class EC, 977,500
7.00% due 1/25/2011
141,830 Federal National Mortgage Association CMO Series 1992-64 Class G, 7.00% 141,209
due 12/25/2018
100,000 Federal National Mortgage Association CMO Series 1992-135 Class J, 100,062
7.50% due 2/25/2021
978,000 Federal National Mortgage Association CMO Series 1993-32 Class H, 6.00% 883,555
due 3/25/2023
531,283 Federal National Mortgage Association CMO Series 1994-36 Class UA, 519,659
7.00% due 8/25/2023
539,840 Federal National Mortgage Association, Pool# 008307, 8.00% due 5/1/2008 542,653
78,500 Federal National Mortgage Association, Pool# 019535, 10.25% due 83,090
7/1/2008
596,501 Federal National Mortgage Association, Pool# 033356, 9.25% due 8/1/2016 622,884
102,114 Federal National Mortgage Association, Pool# 040526, 9.25% due 1/1/2017 106,630
559,385 Federal National Mortgage Association, Pool# 044003, 8.00% due 6/1/2017 564,577
416,822 Federal National Mortgage Association, Pool# 050811, 7.50% due 419,689
12/1/2012
124,653 Federal National Mortgage Association, Pool# 058816, 9.25% due 126,494
12/1/2002
128,923 Federal National Mortgage Association, Pool# 063791, 8.25% due 7/1/2002 129,889
305,498 Federal National Mortgage Association, Pool# 064011, 9.25% due 7/1/2003 311,532
5,000,000 Federal National Mortgage Association, Pool# 073040, 7.625% due 4,996,283
9/1/2001
309,589 Federal National Mortgage Association, Pool# 076388, 9.25% due 9/1/2018 323,372
99,159 Federal National Mortgage Association, Pool# 077725, 9.75% due 104,343
10/1/2018
167,197 Federal National Mortgage Association, Pool# 112067, 9.50% due 176,511
10/1/2016
765,104 Federal National Mortgage Association, Pool# 156156, 8.50% due 4/1/2021 783,130
453,019 Federal National Mortgage Association, Pool# 190555, 7.00% due 1/1/2014 444,321
422,793 Federal National Mortgage Association, Pool# 190703, 7.00% due 3/1/2009 416,645
956,433 Federal National Mortgage Association, Pool# 190836, 7.00% due 6/1/2009 942,527
692,188 Federal National Mortgage Association, Pool# 250387, 7.00% due 680,179
11/1/2010
498,206 Federal National Mortgage Association, Pool# 250481, 6.50% due 469,873
11/1/2015
511,687 Federal National Mortgage Association, Pool# 251258, 7.00% due 9/1/2007 505,383
1,877,355 Federal National Mortgage Association, Pool# 252648, 6.50% due 5/1/2022 1,779,207
1,135,449 Federal National Mortgage Association, Pool# 252787, 7.00% due 8/1/2006 1,115,215
857,875 Federal National Mortgage Association, Pool# 303383, 7.00% due 847,418
12/1/2009
704,292 Federal National Mortgage Association, Pool# 312663, 7.50% due 6/1/2010 704,292
1,324,117 Federal National Mortgage Association, Pool# 323706, 7.00% due 2/1/2009 1,307,976
856,021 Federal National Mortgage Association, Pool# 334996, 7.00% due 2/1/2011 841,169
1,388,869 Federal National Mortgage Association, Pool# 342947, 7.25% due 4/1/2024 1,357,397
309,852 Federal National Mortgage Association, Pool# 345775, 8.50% due 317,152
12/1/2024
500,087 Federal National Mortgage Association, Pool# 373942, 6.50% due 488,555
12/1/2008
1,961,561 Federal National Mortgage Association, Pool# 380488, 6.10% due 7/1/2008 1,821,174
2,951,032 Federal National Mortgage Association, Pool# 380633, 6.18% due 9/1/2008 2,750,805
1,825,235 Federal National Mortgage Association, Pool# 381146, 6.04% due 1/1/2009 1,684,747
456,966 Federal National Mortgage Association, Pool# 400569, 6.00% due 4/1/2009 445,994
924,013 Federal National Mortgage Association, Pool# 406384, 8.25% due 940,737
12/1/2024
550,079 Government National Mortgage Association, Pool# 000623, 8.00% due 557,786
9/20/2016
590,223 Government National Mortgage Association, Pool# 016944, 7.50% due 595,859
5/15/2007
165,121 Government National Mortgage Association, Pool# 296697, 9.50% due 171,759
10/15/2005
271,052 Government National Mortgage Association, Pool# 306636, 8.25% due 274,386
12/15/2006
1,252,775 Government National Mortgage Association, Pool# 313403, 6.80% due 1,201,387
5/20/2023
1,942,658 Government National Mortgage Association, Pool# 357090, 6.80% due 1,857,628
4/20/2025
449,329 Government National Mortgage Association, Pool# 362865, 8.00% due 452,488
7/15/2003
1,150,160 Government National Mortgage Association, Pool# 369693, 7.00% due 1,137,577
1/15/2009
567,637 Government National Mortgage Association, Pool# 409921, 7.50% due 570,118
8/15/2010
547,480 Government National Mortgage Association, Pool# 410271, 7.50% due 549,873
8/15/2010
643,659 Government National Mortgage Association, Pool# 430150, 7.25% due 632,292
12/15/2026
1,137,648 Government National Mortgage Association, Pool# 447040, 7.75% due 1,140,310
5/15/2027
696,137 Government National Mortgage Association, Pool# 453928, 7.00% due 680,905
7/15/2017
314,006 Government National Mortgage Association, Pool# 780063, 7.00% due 310,925
9/15/2008
1,052,632 Government National Mortgage Association, Pool# 780448, 6.50% due 1,019,842
8/15/2011
2,450,000 United States Government General Services, 7.62% due 9/15/2010 2,456,125
Total U.S. Government Agencies (Cost $79,783,294) 78,197,216
United States Treasury (26.60%)
2,000,000 United States Treasury Notes, 6.25% due 4/30/2001 1,996,240
5,000,000 United States Treasury Notes, 7.50% due 11/15/2001 5,073,450
600,000 United States Treasury Notes, 6.25% due 2/15/2003 596,436
5,000,000 United States Treasury Notes, 5.75% due 8/15/2003 4,897,650
7,750,000 United States Treasury Notes, 7.25% due 5/15/2004 7,984,902
3,700,000 United States Treasury Notes, 7.25% due 8/15/2004 3,820,250
1,900,000 United States Treasury Notes, 6.50% due 5/15/2005 1,913,053
2,000,000 United States Treasury Notes, 7.00% due 7/15/2006 2,066,880
Total United States Treasury (Cost $28,539,185) 28,348,861
TOTAL INVESTMENTS (100%) (Cost $108,322,479) $ 106,546,077
See notes to unaudited financial statements.
</TABLE>
<TABLE>
<CAPTION>
Schedule of Investments
Thornburg Limited Term Income Fund
March 31, 2000
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 - 4.60%
<S> <C> <C> <C>
750,000 United States Treasury Notes, 8.00% due 5/15/2001 Aaa/AAA $762,307
500,000 United States Treasury Notes, 6.375% due 8/15/2002 Aaa/AAA 498,750
100,000 United States Treasury Notes, 6.25% due 2/15/2003 Aaa/AAA 99,406
1,100,000 United States Treasury Notes, 6.50% due 5/15/2005 Aaa/AAA 1,107,557
Total U.S. Treasury Securities (Cost $2,437,106) 2,468,020
U. S. GOVERNMENT AGENCIES - 4.60%
200,000 Federal Farm Credit Bank Consolidated, 5.96% due 6/16/2008 Aaa/AAA 183,906
300,000 Federal Home Loan Mortgage Corp., Consolidated Bond, 5.835% due Aaa/NA 273,327
7/15/2008
250,000 Federal Home Loan Mortgage Corp., Consolidated Bond, 5.085% due Aaa/NA 215,508
10/7/2008
200,000 Federal Home Loan Mortgage Corp., 5.038% due 10/14/2008 Aaa/NA 171,750
71,409 Federal Home Loan Mortgage Corp., Pool# 214180, 9.75% due 11/1/2001 Aaa/AAA 71,766
152,430 Federal Home Loan Mortgage Corp., Pool# 850082, 9.00% due 10/1/2005 Aaa/AAA 154,695
600,000 Federal National Mortgage Association, CMO Series G94-7 B, 7.50% due NR/NR 595,500
5/17/2024
628,990 Federal National Mortgage Association, Pool# 020155, 7.491% due 8/1/2014 Aaa/AAA 614,938
112,887 Federal National Mortgage Association, Pool# 297033, 8.00% due 12/1/2009 Aaa/AAA 114,209
46,378 Government National Mortgage Association, Pool# 827148, 6.375% due Aaa/AAA 46,596
2/20/2024
Total U. S. Government Agencies (Cost $2,469,824) 2,442,195
MORTGAGE BACKED
SECURITIES - 0.40%
247,180 GE Capital Mortgage Services, Series 92-13 G2, 7.00% due 1/1/2008 Aaa/AAA 239,038
Total Mortgage Backed Securities (Cost $247,180) 239,038
CORPORATE BONDS - 42.60%
BANKS
700,000 HSBC USA Inc., 8.375% due 2/15/2007 A2/A 717,447
1,000,000 Mercantile Bancorp, 7.30% due 6/15/2007 A3/BBB+ 961,696
95,000 PNC Funding Corp., 6.875% due 7/15/2007 A3/BBB+ 90,524
385,000 US Bank Minnesota, 5.625% due 11/30/2005 Aa3/A+ 348,139
400,000 US Bank Minnesota, 6.30% due 7/15/2008 A1/A 365,484
2,483,290
COMPUTERS & BUSINESS
EQUIPMENT
500,000 Oracle Corp., 6.72% due 2/15/2004 Baa2/A- 486,440
500,000 Sun Microsystems Inc., 7.50% due 8/15/2006 Baa1/BBB+ 499,231
985,671
INDUSTRIALS
100,000 A T & T Canada Inc, 7.65% due 9/15/2006 Baa3/BBB 100,153
150,000 AMR Corporation Delaware, 9.50% due 5/15/2001 Baa2/BBB- 152,666
250,000 Fina Oil & Chemical, 6.875% due 7/15/2001 Aa2/A 249,129
1,000,000 Ford Motor Credit, 7.75% due 2/15/2007 A1/A+ 995,140
900,000 Goodyear Tire & Rubber, 8.50% due 3/15/2007 Baa1/BBB+ 911,282
125,000 Grand Metropolitan Investment Corp., 0% due 1/6/2004 A1/A+ 94,581
90,000 Northwest Pipeline Corp., 6.625% due 12/1/2007 Baa1/BBB 85,406
1,000,000 Occidental Petroleum Corp., 7.375% due 11/15/2008 Baa3/BBB- 959,830
1,000,000 Pentair Inc., 7.85% due 10/15/2009 Baa2/BBB 995,589
1,000,000 Reliance Electric Company, 6.80% due 4/15/2003 A2/A+ 986,150
727,615 US Air Inc., 7.50% due 4/15/2008 Baa1/A 714,526
200,000 Valassis Communications, 9.55% due 12/1/2003 Baa3/BBB- 209,895
1,400,000 Valassis Communications, 6.625% due 1/15/2009 Baa3/BBB- 1,287,596
75,000 Waste Management Inc., 7.70% due 10/1/2002 Baa3/BBB 71,459
500,000 Waste Management Inc., 6.875% due 5/15/2009 Ba1/BBB+ 421,359
979,000 Wheeling Pittsburgh Corp., 9.375% due 11/15/2003 Aaa/AAA 1,014,489
185,000 WMX Technologies Inc., 7.00% due 5/15/2005 Ba1/BBB 164,998
9,414,248
INSURANCE
855,000 Manufacturers Life Insurance Company, 7.875% due 4/15/2005 A1/AA- 872,698
800,000 Old Republic International Corporation Debenture, 7.00% due 6/15/2007 Aa3/A+ 785,330
1,658,028
PUBLISHING
125,000 Tribune Company, 6.875% due 11/1/2006 A2/NR 120,478
REAL ESTATE INVESTMENT
TRUSTS
155,000 Avalon Bay Communities, 6.625% due 1/15/2005 Baa1/BBB+ 146,782
1,000,000 Prologis Trust, 7.10% due 4/15/2008 Baa1/BBB+ 928,825
1,075,607
RENTAL AUTOMOTIVE
EQUIPMENT
100,000 Hertz Corp., 7.00% due 7/15/2003 Baa2/BBB+ 98,506
RETAIL
210,000 CPC International Inc., 6.875% due 10/15/2003 A2/A+ 206,862
150,000 Dillard Inc., 7.375% due 6/1/2006 Baa1/BBB 135,908
1,000,000 Duty Free International Inc., 7.00% due 1/15/2004 Baa2/AA- 987,525
1,330,295
TELECOMMUNICATION SERVICES
975,000 US West Communications, 7.20% due 11/1/2004 A2/A 963,050
UTILITIES
750,000 Commonwealth Edison Company, 6.40% due 10/15/2005 Baa2/BBB 703,515
75,000 Detroit Edison Company, 7.40% due 1/15/2003 Aaa/AAA 74,762
110,000 Niagara Mohawk Power Corp., 6.625% due 7/1/2005 Aaa/AAA 107,387
200,000 Northern Illinois Gas Company, 5.75% due 6/1/2003 Aa1/AA 191,495
150,000 Pacific Gas & Electric Company, 7.875% due 3/1/2002 NR/NA 151,275
50,000 Pennsylvania Power and Light Company, 6.55% due 3/1/2006 Aaa/AAA 47,952
70,000 Philadelphia Electric Company, 8.00% due 4/1/2002 (Insured: MBIA) Aaa/AAA 71,077
50,000 Philadelphia Electric Company, 6.625% due 3/1/2003 (Insured: MBIA) Aaa/AAA 48,861
225,000 Public Service Electric & Gas Company, 6.125% due 8/1/2002 (Insured: Aaa/AAA 219,350
MBIA)
225,000 Public Service Electric & Gas Company, 6.75% due 3/1/2006 Aaa/AAA 216,900
70,000 Texas Utilities Electric Company, 8.125% due 2/1/2002 Aaa/AAA 70,610
50,000 Virginia Electric & Power Company First Refunding Mortgage, 8.00% due NR/NA 50,795
3/1/2004
1,953,979
YANKEE
2,150,000 Dao Heng Bank Group, 7.75% due 1/24/2007 (U.S. Dollar) Baa1/BBB 2,053,738
715,000 National Westminster Bank, 7.375% due 10/1/2009 Aa3/AA- 698,176
2,751,914
Total Corporate Bonds (Cost $22,881,625) 22,835,066
TAXABLE MUNICIPAL BONDS - 43.70%
1,500,000 Austin Texas General Obligation, 6.90% due 3/1/2002 Aa2/AA 1,496,085
185,000 Baltimore Economic Development Authority, 8.50% due 8/1/2002 (Arcade LP A3/BBB+ 186,217
Project)
30,000 Beaumont Housing Multi Family Mortgage Series 1995-B, 7.50% due Aaa/NR 30,041
6/15/2000(Insured: FHA)
60,000 Bellingham Washington Civic Center Development, Series A, 6.99% due NR/NR 60,071
8/1/2000
1,750,000 Capital Projects Finance Authority Florida Revenue, Series B, 8.00% NR/NR 1,727,793
due 12/1/2001
1,025,000 Connecticut State Development Authority, 8.55% due 8/15/2005 NR/NR 1,063,960
625,000 Dallas County Texas Single Family Mortgage Taxable Refunding, 6.85% A1/NR 602,681
due12/1/2008
900,000 Denver City and County Special Facilities Taxable Refunding & Aaa/AAA 893,016
Improvement SeriesB, 7.15% due 1/1/2008
500,000 Duke University Revenue, 6.19% due 6/1/2004 (Duke University Hospital Aa3/AA 482,730
Project A)
115,000 Duquesne Pennsylvania General Obligation, 6.75% due 12/15/2001 (Insured: Aaa/AAA 114,482
MBIA)
125,000 Duquesne Pennsylvania General Obligation, 6.75% due 12/15/2002 (Insured: Aaa/AAA 123,916
MBIA)
130,000 Duquesne Pennsylvania General Obligation, 6.95% due 12/15/2003 (Insured: Aaa/AAA 129,272
MBIA)
950,000 East Baton Rouge Louisiana Mortgage Finance, Series C-2 Tax Refunding Aaa/NR 921,510
Mortgage,6.75% due 4/1/2005
155,000 Fairfax County Virginia Redevelopment and Housing Series A, 7.72% due Aaa*/AAA* 156,415
8/1/2009
320,000 Georgia Municipal Electric Authority Power Revenue Taxable Series One, A3/A 314,333
7.00% due1/1/2006
1,900,000 Greater Valley Medical Building Partnership Series 1996, 6.95% due Aa3/NR 1,892,723
3/1/2021 put3/1/01 (LOC: Krediet Bank)
500,000 Gulfport Mississippi Hospital Facility Revenue, 8.00% due 7/1/2006 Aaa/AAA 520,270
1,120,000 Halifax Hospital Medical Center Florida Health, 6.50% due 4/1/2002 NR/A 1,094,722
845,000 Idaho Housing Multi Family Housing Revenue Series 94-B, 8.15% due A/NR 871,930
7/1/2004
125,000 Illinois Housing Development Authority Taxable Multi Family Pg Series 2, A1/A+ 125,541
7.85%due 3/1/2005
405,000 King County Washington General Obligation, 7.55% due 12/1/2005 Aa1/AA+ 412,193
1,000,000 Los Angeles County Pension Obligation, 8.30% due 6/30/2002 (Insured: Aaa/AAA 1,021,740
FSA)
975,000 Louisiana Public Facilities Authority Revenue Taxable Single Family Aaa/NR 969,998
MortgageSeries, 7.05% due 8/1/2017
110,000 Maine Municipal Bond Bank Special Obligation Taxable Series A, 8.00% NR/A+ 112,266
due11/1/2002
2,215,000 Maricopa County Arizona Industrial Development, 9.00% due 7/1/2006 Baa3/NR 2,221,756
690,000 Maryland State Economic Development Corp. Taxable Maryland Tech NR/NR 670,742
DevelopmentCenter Project, 7.25% due 6/1/2008
240,000 Mckeesport Pennsylvania Taxable Series B, 6.60% due 3/1/2006 Aaa/AAA 233,928
245,000 Miami Beach Housing Authority Revenue, 6.75% due 3/1/2003 A3/NR 242,307
200,000 Missouri High Education Student Loan Series B, 6.80% due 2/15/2001 Aaa/NR 199,610
75,000 Mobile Alabama United States Government Guaranteed Notes, 6.99% due Aaa*/AAA* 75,089
8/1/2000
200,000 New Jersey Economic Development Authority Series B, 7.10% due 9/15/2002 Aa3/AA 198,668
95,000 New Jersey State Housing and Mortgage Financing Agency Series E, 7.95% NR/A+ 95,287
due11/1/2000
1,970,000 New Orleans Home Mortgage Authority Single Family Mortgage Revenue Aaa/AAA 488,205
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 213,726
250,000 New York General Obligation Taxable Series K, 6.00% due 8/1/2000 A3/A- 248,965
100,000 New York Taxable Prerefunded Series D, 10.00% due 8/1/2005 A3/A- 106,350
1,000,000 Pennsylvania Housing Finance Agency, 8.40% due 4/1/2010 Aa2/AA+ 1,010,440
1,020,000 Santa Fe New Mexico Civic Housing Authority Tuscany Series B, 6.71% due Aaa/AAA 979,353
8/1/2012
150,000 Syracuse New York Industrial Development Agency Series A, 7.72% due Aaa*/AAA* 151,370
8/1/2009
35,000 Tucson & Pima County IDA SFMR Series A, 7.00% due 12/1/2003 A1/NR 34,688
225,000 Utica New York Urban Renewal Agency Series A, 7.65% due 8/1/2008 Aaa*/AAA* 226,962
505,000 Virginia Housing Development Authority Taxable Rental Housing Series I, Aa1/AA+ 499,607
7.30%due 2/1/2008
250,000 Virginia Housing Development Multi Family Taxable Series A, 7.125% due Aa1/AA+ 247,310
11/1/2003
Total Taxable Municipal Bonds (Cost $23,701,236) 23,468,268
FOREIGN SECURITIES - 2.80%
2,000,000 British Columbia Province, 9.00% due 6/21/2004 (Canadian Dollars) Aa2/AA- 1,512,127
Total Foreign Securities (Cost $1,446,958) 1,512,127
700,000 Ford Motor Company, 5.25% due 4/3/2000 699,796
TOTAL INVESTMENTS (100%) (Cost $53,883,725) $ 53,664,510
See notes to unaudited financial statements.
</TABLE>
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 March 31, 2000. On March 31, 2000, 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 4.4 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 3/31/00)(at max. offering price)
A Shares
One Year: 0.01%
Five Years: 5.27%
Ten Years: 6.21%
From Inception (11/16/87): 6.47%
Average Annual Total Returns (periods ending 3/31/00)
C Shares
One Year: 1.14%
Five Years: 5.15%
From Inception (9/1/94): 5.11%
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 March 31, 2000. On March 31, 2000, 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 3/31/00)(at max. offering price)
A Shares
One Year 0.71%
Five Years: 6.20%
From Inception (10/1/92): 5.53%
Average Annual Total Returns (periods ending 3/31/00)
C Shares
One Year 1.82%
Five Years: 6.09%
From Inception (9/1/94): 5.56%
Thornburg Limited Term U.S. Government Fund - Class A
Outperformed Taxable Money Market Funds
Donoghue's Taxable
Money Market Fund Average
$65,785
Thornburg Limited Term
U.S. Government Fund
$89,258
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 and 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 $12.23 and the ending NAV of $11.98.
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
$28,173
Thornburg Limited Term
Income Fund
$37,065
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 and 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 $12.13 per share, respectively and the ending NAV of
$11.85 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.
