Thornburg Limited Term Income Funds
All data as of 9.30.00
Thornburg Limited Term Income Fund
A Shares C Shares
SEC Yield ............................ 6.09% 5.79%
NAV .................................. $ 11.89 $ 11.87
Max. Offering Price .................. $ 12.07 $ 11.87
(Annual Average - After Subtracting Maximum Sales Charge)
One Year ............................ 4.46% 5.62%
Five Year ........................... 5.50% 5.41%
Since Inception ..................... 5.70% 5.77%
Inception Date (10.1.1992) (9.1.1994)
Thornburg Limited Term U.S. Government Fund*
A Shares C Shares
SEC Yield ........................... 5.62% 5.26%
NAV ................................. $ 12.03 $ 12.10
Max. Offering Price ................. $ 12.21 $ 12.10
(Annual Average - After Subtracting Maximum Sales Charge)
One Year ................................. 4.03% 5.23%
Five Year ................................. 4.96% 4.87%
Ten Year ................................. 6.19% N/A
Since Inception ........................... 6.56% 5.39%
Inception Date (11.16.1987) (9.1.1994)
*Shares are not guaranteed by the U.S. Government
The investment return and principal value of an investment in the funds will
fluctuate so that, when redeemed, an investor's shares may be worth more or less
than their original cost. Maximum sales charge of the Funds' Class A Shares is
1.50%.
The data quoted represent past performance and may not be construed as a
guarantee of future results.
Letter to shareholders
Dear Fellow Shareholder,
I am pleased to present the Annual Report for the Thornburg Limited Term Income
Fund and the Thornburg Limited Term U.S. Government Fund for the year ended
September 30, 2000. The net asset value of an "A" share of the Thornburg Limited
Term Income Fund ended the period at $11.89. If you were invested for the entire
period, you received dividends of 73.3 cents per share. If you reinvested your
dividends, you received 75.4 cents per share. Investors who owned "C" shares
received 68.3 and 70.2 cents per share, respectively. The net asset value of an
"A" share of the Thornburg Limited Term U.S. Government Fund ended the period at
$12.03. If you were invested for the entire period, you received dividends of
67.7 cents per share. If you reinvested your dividends, you received 69.5 cents
per share. Investors who owned "C" shares received 63.1 and 64.6 cents per
share, respectively. Please read the accompanying exhibits for more detailed
information and history.
It has been a tumultuous market. The Federal Reserve Board continued to raise
interest rates. The economic data have shown a very resilient U.S. Consumer who
is still buying automobiles and houses. The U.S. Treasury yield curve inverted
(short rates higher than long rates). And, spread products (corporate bonds,
mortgages, etc.) have lost ground to the treasury curve as quality spreads have
widened to levels we haven't seen in a decade. Good quality bonds have
attractive yields available now.
An inverted yield curve has often been a precursor to a recession. Economists do
not expect this. Most economists are now expecting a soft landing like the one
experienced in 1994-1995. A few more months of data should prove this out one
way or the other. Economists are also expecting the Federal Reserve Board to
start lowering rates sometime in 2001. If this is true, then short interest
rates should be dropping soon, as the bond market tends to lead the Federal
Reserve Board on the direction of interest rates. As the yield curve moves to a
positive slope (short rates lower than long rates), the best performing sector
of the yield curve should be the short-to-intermediate sector, as interest rates
on shorter maturities tend to drop further than longer maturities when the yield
curve steepens after an inversion.
Regardless of the direction of interest rates, we believe your funds are well
positioned. The Thornburg Limited Term Income Fund and the Thornburg Limited
Term U.S. Government Fund are laddered portfolios of short-to-intermediate
bonds. We do not speculate on the direction of interest rates. We keep the
portfolios laddered over a time period ranging from one day to approximately ten
years, with the average maturity of the portfolios always no more than five
years. Some of the bonds are always coming close to maturity, but never too many
at one time. We feel a laddered maturity portfolio of short-to-intermediate
bonds is a sensible strategy over time. Intermediate bonds have proven to be a
sensible part of a portfolio. They can provide stability to the underlying
principal, they can provide income for the portfolio, and, over the years, they
have provided an attractive return versus money market instruments. Take a look
at the charts, which show the return on an investment in the Thornburg Limited
Term Income Fund and the Thornburg Limited Term U.S. Government Fund versus the
Money Market Funds average.
Thank you for investing in our funds. We feel the Thornburg Limited Term U.S.
Government Fund and the Thornburg Limited Term Income Fund are appropriate
investments for investors who want a short-to-intermediate bond portfolio. While
future performance cannot be guaranteed, we feel that 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 $96,806,225
and $49,339,160, respectively) 96,682,125 $ 49,842,956
Cash ............................................. 751,627 294,038
Receivable for investments sold .................. 0 144,155
Principal receivable ............................. 50,596 8,571
Receivable for fund shares sold .................. 27,795 109,759
Interest receivable .............................. 1,046,403 954,178
Prepaid expenses and other assets ................ 19,858 23,358
Total Assets ............................ 98,578,404 51,377,015
LIABILITIES
Payable for securities purchased ................. 1,725,534 0
Payable for fund shares redeemed ................. 156,325 196,325
Accounts payable and accrued expenses ............ 16,643 181,925
Payable to investment advisor (Note 3) ........... 20,621 13,729
Dividends payable ................................ 125,915 98,693
Total Liabilities ....................... 2,045,038 490,672
NET ASSETS ....................................... $96,533,366 $50,886,343
NET ASSET VALUE:
Class A Shares:
Net asset value and redemption price per share ($87,615,980
and $31,520,494 applicable to 7,281,251 and 2,649,979 shares of
beneficial interest outstanding - Note 4) ............. $ 12.03 $ 11.89
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 ...................... $ 12.21 $ 12.07
Class C Shares:
Net asset value and offering price per share* ($5,098,140 and $ 7,272,05
applicable to 421,501 and 612,568 shares of beneficial
outstanding - Note 4) $ 12.10 $ 11.87
Class I Shares:
Net asset value and offering price per share* ($3,819,246 and $12,093,79
applicable to 317,474 and 1,016,690 shares of
beneficial interest outstanding - Note 4) $ 12.03 $ 11.90
See notes to financial statements.
*Redemption price per share is equal to net asset value less any applicable
contingent deferred sales charges.
Statements of operations
Limited Term U.S. Limited Term
Government Fund Income Fund
INVESTMENT INCOME:
Interest income (net of premium amortized
of $351,322 and $99,551, respectively) ....... $ 7,245,272 $ 3,849,719
EXPENSES:
Investment advisory fee (Note 3) ................. 407,165 266,953
Administration fees (Note 3)
Class A Shares .......................... 122,453 43,540
Class C Shares .......................... 7,580 9,220
Class I Shares .......................... 2,276 5,591
Distribution and service fees (Note 3)
Class A Shares .......................... 240,006 83,598
Class C Shares .......................... 60,633 73,757
Transfer agent fees .............................. 116,786 69,238
Custodian fees ................................... 76,476 64,445
Registration and filing fees ..................... 46,465 41,167
Professional fees ................................ 15,825 12,213
Accounting fees .................................. 12,970 7,422
Trustee fees ..................................... 1,739 1,252
Interest ......................................... 29,687 2,280
Other expenses ................................... 8,393 20,530
Total Expenses .......................... 1,148,454 701,206
Less:
Expenses reimbursed by investment advisor (Note 3) (42,117) (137,909)
Distribution fees waived on Class C shares (Note 3) (30,312) (36,877)
Net Expenses ............................ 1,076,025 526,420
Net Investment Income ................... 6,169,247 3,323,299
REALIZED AND UNREALIZED GAIN (LOSS) (Note 5)
Net Realized gain (loss) on:
Investments ..............................(1,178,167) (1,137,053)
Foreign currency transactions ............ 0 (34)
(1,178,167) (1,137,087)
Net change in unrealized appreciation (depreciation) on:
Investments 521,299 843,121
Foreign currency translations ............ 0 (923)
521,299 842,198
Net Realized and Unrealized
Gain (Loss) on Investments ....................... (656,868) (294,889)
Net Increase in Net Assets Resulting
From Operations...................................$5,512,379 $ 3,028,410
See notes to financial statements
Statements of changes in net assets
Year Ended Year Ended
September 30, 2000 September 30, 1999
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income ...................... $ 6,169,247 $ 7,026,209
Net realized gain (loss) on investments sold (1,178,167) 113,049
Increase in unrealized appreciation of investments 521,299 (6,623,311)
Net Increase in Net Assets
Resulting from Operations ......... 5,512,379 515,947
DIVIDENDS TO SHAREHOLDERS:
From net investment income
Class A Shares..................... (5,574,680) (6,424,230)
Class C Shares .................... (319,215) (357,487)
Class I Shares .................... (275,352) (244,492)
FUND SHARE TRANSACTIONS (Note 4):
Class A Shares .................... (25,042,195) (10,147,111)
Class C Shares .................... (2,362,598) 1,429,265
Class I Shares .................... (1,749,026) 3,563,264
Net Increase (Decrease) in Net Assets (29,810,687) (11,664,844)
NET ASSETS:
Beginning of year 126,344,053 138,008,897
End of year $ 96,533,366 $ 126,344,053
See notes to financial statements
Statements of changes in net assets
Year Ended Year Ended
September 30, 2000 September 30, 1999
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income $ 3,323,299 $ 3,068,909
Net realized gain (loss) on investments sold (1,137,087) (233,873)
Increase (decrease) in unrealized appreciation
of investments ............................. 842,198 (2,250,614)
Net Increase in Net Assets
Resulting from Operations ..... 3,028,410 584,422
DIVIDENDS TO SHAREHOLDERS:
From net investment income
Class A Shares..................... (2,163,144) (1,970,027)
Class C Shares .................... (428,600) (344,083)
Class I Shares .................... (731,255) (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 .................... (9,280,093) 6,919,340
Class C Shares .................... (224,076) 710,310
Class I Shares .................... 2,180,207 2,578,404
Net Increase (Decrease) in Net Assets (7,618,551) 7,723,567
NET ASSETS:
Beginning of year .......................... 58,504,894 50,781,327
End of year (Includes distributions in excess of net
investment income of $84,579 and $84,879,
respectively .. ............................ $ 50,886,343 $ 58,504,894
See notes to financial statements
Notes to financial statements
Note 1 - Organization
Thornburg Limited Term U.S. Government Fund (the "Government Fund") and
Thornburg Limited Term Income Fund (the "Income Fund"), hereafter referred to
collectively as the "Funds", are diversified series of Thornburg Investment
Trust (the "Trust"). The Trust is organized as a Massachusetts business trust
under a Declaration of Trust dated June 3, 1987 and is registered as a
diversified, open-end management investment company under the Investment Company
Act of 1940, as amended. The Trust is currently issuing six series of shares of
beneficial interest in addition to those of the Funds:Thornburg Florida
Intermediate Municipal Fund, Thornburg New York Intermediate Municipal Fund,
Thornburg New Mexico Intermediate Municipal Fund, Thornburg Intermediate
Municipal Fund, Thornburg Value Fund and Thornburg Global Value Fund. Each
series is considered to be a separate entity for financial reporting and tax
purposes and bears expenses directly attributable to it. Expenses which are
applicable to all series of the Trust are allocated to each series based on
their relative net assets. 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
Funds 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 gain 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 Funds of an amount sufficient to
make payment for the portfolio securities to be purchased will be segregated on
the Funds' records at the trade date. Securities purchased on a when-issued or
delayed delivery basis do not earn interest until the settlement date.
Dividends: Net investment income of the Funds are declared daily as a dividend
on shares for which the Funds have received payment. Dividends are paid monthly
and are reinvested in additional shares of the Funds at net asset value per
share at the close of business on the dividend payment date, or at the
shareholder's option, paid in cash. Net capital gains, to the extent available,
will be distributed annually.
General: Securities transactions are accounted for on a trade date basis.
Interest income is accrued as earned. Premiums and original issue discounts on
securities purchased are amortized over the life of the respective securities.
Realized gains and losses from the sale of securities are recorded on an
identified cost basis. The Funds invest in various mortgage backed securities.
Such securities pay interest and a portion of principal each month which is then
available for investment in securities at prevailing prices. Foreign Currency
Transactions: With respect to the Income Fund, portfolio securities and other
assets and liabilities denominated in foreign currencies are translated into
U.S. dollars based on the rate of exchange of such currencies against U.S.
dollars on the date of valuation. Purchases and sales of portfolio securities
and interest denominated in foreign currencies are translated into U.S. dollar
amounts on the respective dates of such transactions.
The Fund does not isolate that portion of the results of operations resulting
from changes in foreign exchange rates on investments from the fluctuations
arising from changes in market prices of securities held. Such fluctuations are
included with the net realized and unrealized gain or loss from investments.
Reported net realized foreign exchange gains or losses arise from sales of
foreign currencies, currency gains or losses realized between the trade and
settlement dates on securities transactions and the difference between the
amount of interest recorded on the Fund's books, and the U.S. dollar equivalent
of the amounts actually received or paid.
Use of Estimates: The preparation of financial statements, in conformity with
generally accepted accounting principles, requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities and
the disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates. Note 3- Investment Advisory Fee and Other Transactions With
Affiliates Pursuant to an investment advisory agreement, Thornburg Investment
Management, Inc. (the "Adviser") serves as the investment adviser and performs
services to the Funds for which the fees are payable at the end of each month.
For the year ended September 30, 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 year ended September 30, 2000, the Adviser voluntarily
reimbursed certain class specific transfer agent fees of $7,643 and $76,450 for
Class A, $12,682 and $26,265 for Class C, and $21,792 and $35,194 for Class I of
the Government Fund and Income Fund, respectively.
The Funds have underwriting agreements with Thornburg Securities Corporation
(the "Distributor"), which acts as the Distributor of the Funds' shares. For the
year ended September 30, 2000, the Distributor earned commissions aggregating $0
and $44 from the sale of Class A shares of the Government Fund and Income Fund,
respectively, and collected contingent deferred sales charges aggregating $5,930
and $1,077 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% per annum of its average net assets attributable to the
Class A and Class C shares of the Funds for payments made by the Adviser to
securities dealers and other financial institutions to obtain various
shareholder related services. The Adviser may pay out of its own funds
additional expenses for distribution of each Fund's shares. The Funds have also
adopted Distribution Plans pursuant to Rule 12b-1, applicable only to each
Fund's Class C shares under which the Funds compensate the Distributor for
services in promoting the sale of Class C shares of the Funds at an annual rate
of up to 3/4 of 1% of the average daily net assets attributable to Class C
shares. Total fees incurred by each class of shares of the Funds under their
respective Service and Distribution Plans and the amount waived for the year
ending September 30, 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 September 30, 2000 there
were an unlimited number of shares of beneficial interest authorized, and
capital paid in aggregated $104,508,404 and $52,674,889 for the Government Fund
and Income Fund, respectively. Transactions in shares of beneficial interest
were as follows:
Government Fund
Year Ended Year Ended
September 30, 2000 September 30, 1999
Class A Shares . Shares Amount Shares Amount
Shares sold ................ 852,938 $ 10,167,674 1,687,187 $20,772,075
Shares issued to shareholders in
reinvestment of dividends 327,157 3,888,919 365,972 4,498,080
Shares repurchased ......... (3,289,725) (39,098,788)(2,877,290) (35,417,266)
Net (Decrease) ............. (2,109,630) $(25,042,195) (824,131)$(10,147,111)
Class C Shares
Shares sold ................. 72,231 $ 862,807 296,895 $ 3,701,013
Shares issued to shareholders
in reinvestment of dividends 21,921 261,900 24,792 305,762
Shares repurchased .......... (292,951) (3,487,305) 208,348) (2,577,510)
Net Increase (Decrease) ..... (198,799) $ (2,362,598) 113,339 $ 1,429,265
Class I Shares
Shares sold ................. 38,291 $ 455,521 357,156 $ 4,419,073
Shares issued to shareholders in
reinvestment of dividends .. 21,760 258,556 19,438 237,764
Shares repurchased ........... (208,404) (2,463,103) (88,647) (1,093,573)
Net Increase (Decrease) ...... (148,353) $ (1,749,026) 287,947 $ 3,563,264
Income Fund
Year Ended Year Ended
September 30, 2000 September 30, 1999
Class A Shares ............. Shares Amount Shares Amount
Shares sold ................ 400,931 $ 4,721,690 1,093,764 $ 13,307,019
Shares issued to shareholders in
reinvestment of dividends 118,550 1,394,917 117,354 1,428,223
Shares repurchased ......... (1,309,702) (15,396,700) (640,785) (7,815,902)
Net Increase (Decrease) .... (790,221) $ (9,280,093) 570,333 $ 6,919,340
Class C Shares
Shares sold ................ 119,130 $ 1,401,747 220,299 $ 2,684,267
Shares issued to shareholders
in reinvestment of dividends 28,291 332,471 25,540 310,368
Shares repurchased ......... (167,088) (1,958,294) (186,698) (2,284,325)
Net Increase (Decrease) .... (19,667) $ (224,076) 59,141 $ 710,310
Class I Shares
Shares sold ................ 384,932 $ 4,537,152 410,854 $ 5,027,548
Shares issued to shareholders in
reinvestment of dividends 46,903 551,946 33,598 408,669
Shares repurchased ......... (247,361) (2,908,891) (233,959) (2,857,813)
Net Increase ............... 184,474 $ 2,180,207 210,493 $ 2,578,404
Note 5 - Securities Transactions
For the year ended September 30, 2000, portfolio purchase and sale transactions
(excluding short-term securities) were $21,405,352 and $38,664,525 for the
Government Fund and $31,073,488 and $35,219,685 for the Income Fund,
respectively. The cost of investments for Federal income tax purposes is
$96,806,225 and $49,339,160 for the Government Fund and Income Fund,
respectively. At September 30, 2000, gross unrealized appreciation and
depreciation of investments, based on cost for Federal income taxes were as
follows:
Government Fund Income Fund
Gross unrealized appreciation $769,919 $728,244
Gross unrealized depreciation 894,019 224,448
Net unrealized appreciation (depreciation) $(124,100) $503,796
Accumulated net realized losses from securities transactions included in net
assets at September 30, 2000 aggregated $7,850,938 and $2,207,186 for the
Government Fund and Income Fund, respectively. At September 30, 2000, the
Government Fund had tax basis capital losses which may be carried over to offset
future capital gains. Such losses expire as follows:
Capital loss carryovers expiring in:
2003 $ 4,647,000
2004 2,026,000
2008 17,000
$ 6,690,000
At September 30, 2000, the Income Fund had tax basis capital losses which may be
carried over to offset future capital gains. Such losses expire as follows:
Capital loss carryovers expiring in:
2003 $ 588,000
2004 226,000
2008 498,000
$ 1,312,000
At September 30, 2000, the Government Fund and the Income Fund had deferred
capital losses occuring subsequent to October 31, 1999 of $1,161,000 and
$896,000, respectively. For tax purposes such losses will be reflected in the
year ending September 30, 2001.
Financial highlights
Year Ended
September 30,
2000 1999 1998 1997 1996
Class A Shares:
Per Share Operating Performance
(for a share outstanding throughout the year)
Net asset value, beginning of year $12.06 $12.66 $12.31 $12.24 $12.40
Income from investment operations:
Net investment income 0.68 0.66 0.69 0.75 0.76
Net realized and unrealized
gain (loss) on investments (0.03) (0.60) 0.35 0.07 (0.16)
Total from investment operations 0.65 0.06 1.04 0.82 0.60
Less dividends from:
Net investment income (0.68) (0.66) (0.69) (0.75) (0.76)
Change in net asset value (0.03) (0.60) 0.35 0.07 (0.16)
Net asset value, end of year $12.03 $12.06 $12.66 $12.31 $12.24
Total return (a) 5.58% 0.48% 8.75% 6.86% 4.92%
Ratios/Supplemental Data Ratios to average net assets:
Net investment income 5.69% 5.33% 5.61% 6.09% 6.11%
Expenses, after expense reductions 0.98% 0.95% 0.97% 0.97% 0.99%
Expenses, before expense reductions 0.99% 0.95% 0.97% 0.97% 0.99%
Portfolio turnover rate 19.66% 19.39% 29.77% 41.10% 23.27%
Net assets at end of year (000) $ 87,616 $113,215 $129,312 $133,711 $139,510
(a) Sales loads are not reflected in computing total return
Class C Shares:
Per Share Operating Performance
(for a share outstanding throughout the year)
Net asset value, beginning of year $12.12 $12.71 $12.37 $12.29 $12.45
Income from investment operations:
Net investment income 0.63 0.60 0.64 0.70 0.71
Net realized and unrealized
gain (loss) on investments (0.02) (0.59) 0.34 0.08 (0.16)
Total from investment operations 0.61 0.01 0.98 0.78 0.55
Less dividends from:
Net investment income (0.63) (0.60) (0.64) (0.70) (0.71)
Change in net asset value (0.02) (0.59) 0.34 0.08 (0.16)
Net asset value, end of year $ 12.10 $ 12.12 $ 12.71 $ 12.37 $ 12.29
Total Return (a) 5.23% 0.13% 8.19% 6.49% 4.51%
Ratios/Supplemental Data Ratios to average net assets:
Net investment income 5.26% 4.88% 5.16% 5.65% 5.72%
Expenses, after expense reductions 1.40% 1.40% 1.40% 1.40% 1.39%
Expenses, before expense reductions 2.11% 1.98% 2.20% 2.24% 2.35%
Portfolio turnover rate 19.66% 19.39% 29.77% 41.10% 23.27%
Net assets at end of year (000) $ 5,098 $ 7,516 $ 6,445 $ 4,299 $ 2,780
(a) Sales loads are not reflected in computing total return.
Class I Shares:
Per Share Operating Performance
(for a share outstanding throughout the year)
Net asset value, beginning of year $ 12.05 $ 12.65 $ 12.31 $ 12.24 $ 12.14
Income from investment operations:
Net investment income 0.72 0.70 0.74 0.79 0.20
Net realized and unrealized
gain (loss) on investments (0.02) (0.60) 0.34 0.07 0.10
Total from investment operations 0.70 0.10 1.08 0.86 0.30
Less dividends from:
Net investment income (0.72) (0.70) (0.74) (0.79) (0.20)
Change in net asset value (0.02) (0.60) 0.34 0.07 0.10
Net asset value, end of year $ 12.03 $ 12.05 $ 12.65 $ 12.31 $ 12.24
Total Return (a) 6.07% 0.82% 9.06% 7.26% 2.45%
Ratios/Supplemental Data
Ratios to average net assets:
Net investment income 6.06% 5.69% 6.01% 6.35% 6.64%(b)
Expenses, after expense reductions 0.60% 0.60% 0.60% 0.60% 0.58%(b)
Expenses, before expense reductions 1.08% 1.06% 1.18% 6.57% 305.74%(b)
Portfolio turnover rate 19.66% 19.39% 29.77% 41.10% 23.27%
Net assets at end of year (000) $ 3,819 $ 5,612 $2,250 $ 5,263 $ 9
(a) Not annualized for periods less than one year.
(b) Annualized.
o Sales of Class I shares commenced on July 5, 1996.
Thornburg Limited Term Income Fund
Class A Shares:
Per Share Operating Performance
(for a share outstanding throughout the year)
Net asset value, beginning of year $11.93 $ 12.50 $ 12.37 $ 12.23 $ 12.11
Income from investment operations:
Net investment income 0.73 0.69 0.72 0.76 0.7
Net realized and unrealized
gain (loss) on investments (0.04) (0.57) 0.13 0.14 0.12
Total from investment operations 0.69 0.12 0.85 0.90 0.88
Less dividends from:
Net investment income (0.73) (0.64) (0.72) (0.76) (0.76)
Return of capital 0 (0.05) 0 0 0
Change in net asset value (0.04) (0.57) 0.13 0.14 0.12
Net asset value, end of year $ 11.89 $ 11.93 $12.50 $12.37 $12.23
Total Return (a) 6.05% 1.02% 7.08% 7.56% 7.54%
Ratios/Supplemental Data Ratios to average net assets:
Net investment income 6.21% 5.68% 5.81% 6.16% 6.31%
Expenses,after expense reductions 0.99% 0.99% 1.00% 1.00% 0.95%
Expenses,before expense reductions 1.21% 1.19% 1.22% 1.27% 1.37%
Portfolio turnover rate 59.46% 48.50% 41.01% 13.87% 44.35%
Net assets at end of year (000)$ 31,520 $41,050 $35,866 $31,281 $23,433
(a) Sales loads are not reflected in computing total return.
Class C Shares:
Per Share Operating Performance
(for a share outstanding throughout the year)
Net asset value, beginning of year $11.91 $12.47 $ 12.34 $12.20 $ 12.08
Income from investment operations:
Net investment income ...... 0.68 0.64 0.66 0.71 0.71
Net realized and unrealized
gain (loss) on investments . (0.04) (0.56) 0.13 0.14 0.12
Total from investment operations 0.64 0.08 0.79 0.85 0.83
Less dividends from:
Net investment income ...... (0.68) (0.59) (0.66) (0.71) (0.71)
Return of capital .......... 0 (0.05) 0 0 0
Change in net asset value .... (0.04) (0.56) 0.13 0.14 0.12
Net asset value, end of year . $ 11.87 $11.91 $ 12.47 $ 12.34 $ 12.20
Total Return (a) ............. 5.62% 0.68% 6.65% 7.13% 7.12%
Ratios/Supplemental Data
Ratios to average net assets:
Net investment income ....... 5.81% 5.28% 5.40% 5.76% 5.91%
Expenses,after expense reductions 1.40% 1.40% 1.40% 1.40% 1.36%
Expenses,before expense reductions 2.26% 2.22% 2.30% 2.44% 3.20%
Portfolio turnover rate ...... 59.46% 48.50% 41.01% 13.87% 44.35%
Net assets at end of year (000) $ 7,272 $7,528 $ 7,147 $ 5,382 $ 2,695
(a) Sales loads are not reflected in computing total return
Class I Shares:
Per Share Operating Performance
(for a share outstanding throughout the year)
Net asset value, beginning of year $ 11.93 $ 12.50 $ 12.36 $ 12.23 $ 11.95
Income from investment operations:
Net investment income .... 0.77 0.73 0.75 0.80 0.19
Net realized and unrealized
gain (loss) on investments (0.03) (0.57) 0.14 0.13 0.28
Total from investment operations 0.74 0.16 0.89 0.93 0.47
Less dividends from:
Net investment income .... (0.77) (0.68) (0.75) (0.80) (0.19)
Return of capital ........ 0 (0.05) 0 0 0
Change in net asset value .. (0.03) (0.57) 0.14 0.13 0.28
Net asset value, end of year $ 11.90 $ 11.93 $ 12.50 $ 12.36 $ 12.23
Total Return (a) ........... 6.46% 1.32% 7.49% 7.80% 3.97%
Ratios/Supplemental Data Ratios to average net assets:
Net investment income .... 6.54% 5.99% 6.10% 6.44% 6.67%(b)
Expenses, after expense reductions 0.69% 0.69% 0.69% 0.69% 0.69%(b)
Expenses, before expense reductions 1.00% 1.01% 1.19% 1.98% 4.26%(b)
Portfolio turnover rate .... 59.46% 48.50% 41.01% 13.87% 44.35%
Net assets at end of year (000) $ 12,094 $ 9,928 $ 7,768 $ 4,495 $ 797
(a) Not annualized for periods less than one year ...
(b) Annualized.
*Sales of Class I shares commenced on July 5, 1996.
<TABLE>
<CAPTION>
Schedule of investments
Thornburg Limited Term U.S.Government Fund September 30, 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 (72.90%)
<S> <C> <C>
200,000 Federal Farm Credit Bank Consolidated MTNS, 5.35% due 12/11/2008 . $ 180,750
300,000 Federal Farm Credit Bank Consolidated MTNS, 5.80% due 3/19/2009 .. 279,000
265,000 Federal Home Loan Bank Board, 6.55% due 3/7/2005 ................. 264,955
100,000 Federal Home Loan Bank Board, 6.345% due 11/1/2005 ............... 98,656
225,000 Federal Home Loan Bank Board, 5.24% due 12/7/2005 ................ 211,043
1,000,000 Federal Home Loan Bank Board, 6.37% due 9/26/2007 ................ 977,500
475,000 Federal Home Loan Bank Board, 6.075% due 1/2/2008 ................ 453,996
1,100,000 Federal Home Loan Bank Board, 5.98% due 6/18/2008 ................ 1,042,932
570,000 Federal Home Loan Bank Board, 5.015% due 10/8/2008 ............... 504,627
1,465,000 Federal Home Loan Bank Board, 5.67% due 2/26/2009 ................ 1,351,008
3,000,000 Federal Home Loan Bank Board, 5.70% due 3/3/2009 ................. 2,783,430
362,537 Federal Home Loan Mortgage Corporation, Pool# 141016, 9.25% due .. 374,091
11/1/2016
119,682 Federal Home Loan Mortgage Corporation, Pool# 160043, 8.75% due .. 122,146
4/1/2008
174,784 Federal Home Loan Mortgage Corporation, Pool# 181730, 8.50% due .. 177,717
5/1/2008
103,771 Federal Home Loan Mortgage Corporation, Pool# 200075, 9.00% due .. 104,877
9/1/2004
38,189 Federal Home Loan Mortgage Corporation, Pool# 213924, 9.00% due .. 38,397
10/1/2001
101,609 Federal Home Loan Mortgage Corporation, Pool# 216502, 8.00% due .. 102,135
4/1/2002
78,094 Federal Home Loan Mortgage Corporation, Pool# 252986, 10.75% due . 82,821
4/1/2010
135,088 Federal Home Loan Mortgage Corporation, Pool# 256764, 8.75% due .. 137,869
10/1/2014
129,854 Federal Home Loan Mortgage Corporation, Pool# 260486, 9.00% due .. 132,786
1/1/2010
753,518 Federal Home Loan Mortgage Corporation, Pool# 273822, 8.50% due .. 769,764
4/1/2009
362,986 Federal Home Loan Mortgage Corporation, Pool# 291880, 8.25% due .. 369,052
5/1/2017
76,393 Federal Home Loan Mortgage Corporation, Pool# 294817, 9.75% due .. 79,544
1/1/2017
73,694 Federal Home Loan Mortgage Corporation, Pool# 298107, 10.25% due . 78,242
8/1/2017
224,098 Federal Home Loan Mortgage Corporation, Pool# 770297, 6.75% ...... 221,501
(adjustable rate) due 6/1/2018
426,694 Federal Home Loan Mortgage Corporation, Pool# C90041, 6.50% due .. 420,221
11/1/2013
160,308 Federal Home Loan Mortgage Corporation, Pool# D06907, 9.00% due .. 165,122
4/1/2017
82,526 Federal Home Loan Mortgage Corporation, Pool# D06908, 9.50% due .. 84,862
9/1/2017
518,699 Federal Home Loan Mortgage Corporation, Pool# E00107, 8.00% due .. 525,701
7/1/2007
347,867 Federal Home Loan Mortgage Corporation, Pool# E49074, 6.50% due .. 344,239
7/1/2008
517,170 Federal Home Loan Mortgage Corporation, Pool# E61778, 6.50% due .. 512,365
4/1/2008
205,737 Federal Home Loan Mortgage Corporation, Pool# E65962, 7.00% due .. 205,663
5/1/2008
1,277,745 Federal Home Loan Mortgage Corporation, Pool# M80406, 7.00% due .. 1,273,758
1/1/2003
1,000,000 Federal Home Loan Mortgage Corporation CMO Series 1464 Class G, .. 986,870
7.25% due 12/15/2021
411,059 Federal Home Loan Mortgage Corporation CMO Series 1586 Class FA, . 405,789
5.06% (adjustable rate)due 8/15/2007
1,100,000 Federal National Mortgage Association, 7.40% due 12/1/2099 ....... 1,113,063
483,589 Federal National Mortgage Association, Pool# 008307, 8.00% due ... 491,152
5/1/2008
74,697 Federal National Mortgage Association, Pool# 019535, 10.25% due .. 78,456
7/1/2008
496,144 Federal National Mortgage Association, Pool# 033356, 9.25% due ... 514,089
8/1/2016
100,103 Federal National Mortgage Association, Pool# 040526, 9.25% due ... 103,717
1/1/2017
525,691 Federal National Mortgage Association, Pool# 044003, 8.00% due ... 536,857
6/1/2017
388,596 Federal National Mortgage Association, Pool# 050811, 7.50% due ... 391,934
12/1/2012
101,947 Federal National Mortgage Association, Pool# 058816, 9.25% due ... 103,245
12/1/2002
93,260 Federal National Mortgage Association, Pool# 063791, 8.25% due ... 93,932
7/1/2002
256,768 Federal National Mortgage Association, Pool# 064011, 9.25% due ... 260,036
7/1/2003
5,000,000 Federal National Mortgage Association, Pool# 073040, 7.625% due .. 4,987,359
9/1/2001
209,748 Federal National Mortgage Association, Pool# 076388, 9.25% due ... 217,350
9/1/2018
95,204 Federal National Mortgage Association, Pool# 077725, 9.75% due ... 99,327
10/1/2018
164,371 Federal National Mortgage Association, Pool# 112067, 9.50% due ... 170,518
10/1/2016
594,793 Federal National Mortgage Association, Pool# 156156, 8.50% due ... 612,060
4/1/2021
425,356 Federal National Mortgage Association, Pool# 190555, 7.00% due ... 423,944
1/1/2014
383,446 Federal National Mortgage Association, Pool# 190703, 7.00% due ... 383,829
3/1/2009
857,330 Federal National Mortgage Association, Pool# 190836, 7.00% due ... 858,187
6/1/2009
633,689 Federal National Mortgage Association, Pool# 250387, 7.00% due ... 633,093
11/1/2010
487,602 Federal National Mortgage Association, Pool# 250481, 6.50% due ... 469,770
11/1/2015
455,429 Federal National Mortgage Association, Pool# 251258, 7.00% due ... 455,028
9/1/2007
1,785,787 Federal National Mortgage Association, Pool# 252648, 6.50% due ... 1,729,124
5/1/2022
1,077,062 Federal National Mortgage Association, Pool# 252787, 7.00% due ... 1,073,357
8/1/2006
772,499 Federal National Mortgage Association, Pool# 303383, 7.00% due ... 773,078
12/1/2009
584,048 Federal National Mortgage Association, Pool# 312663, 7.50% due ... 590,800
6/1/2010
1,200,691 Federal National Mortgage Association, Pool# 323706, 7.00% due ... 1,201,892
2/1/2009
781,097 Federal National Mortgage Association, Pool# 334996, 7.00% due ... 780,363
2/1/2011
1,303,296 Federal National Mortgage Association, Pool# 342947, 7.25% due ... 1,296,571
4/1/2024
288,194 Federal National Mortgage Association, Pool# 345775, 8.50% due ... 296,561
12/1/2024
445,890 Federal National Mortgage Association, Pool# 373942, 6.50% due ... 441,199
12/1/2008
1,949,202 Federal National Mortgage Association, Pool# 380488, 6.10% due ... 1,865,664
7/1/2008
2,933,582 Federal National Mortgage Association, Pool# 380633, 6.18% due ... 2,816,934
9/1/2008
1,814,045 Federal National Mortgage Association, Pool# 381146, 6.04% due ... 1,724,732
1/1/2009
274,159 Federal National Mortgage Association, Pool# 382321, 7.60% due ... 280,500
4/1/2010
923,676 Federal National Mortgage Association, Pool# 382450, 7.86% due ... 977,942
6/1/2010
1,397,907 Federal National Mortgage Association, Pool# 382616, 7.40% due ... 1,438,531
8/1/2010
600,000 Federal National Mortgage Association, Pool# 382712, 7.15% due ... 604,875
9/1/2030
377,677 Federal National Mortgage Association, Pool# 400569, 6.00% due ... 372,167
4/1/2009
855,414 Federal National Mortgage Association, Pool# 406384, 8.25% due ... 877,270
12/1/2024
391,000 Federal National Mortgage Association Benchmark Note, 5.125% due . 374,136
2/13/2004
783,165 Federal National Mortgage Association CMO Series 1991-134 Class .. 778,270
KE, 7.00% due 5/25/2008
95,444 Federal National Mortgage Association CMO Series 1992-135 Class J, 95,951
7.50% due 2/25/2021
1,150,000 Federal National Mortgage Association CMO Series 1992-145 Class L, 1,144,606
7.50% due 1/25/2006
850,000 Federal National Mortgage Association CMO Series 1992-22 Class HC, 847,076
7.00% due 3/25/2007
750,000 Federal National Mortgage Association CMO Series 1993-101 Class .. 739,920
PJ, 7.00% due 6/25/2008
1,000,000 Federal National Mortgage Association CMO Series 1993-112 Class .. 983,120
EC, 7.00% due 1/25/2011
1,177,785 Federal National Mortgage Association CMO Series 1993-12 Class EC, 1,171,520
7.50% due 9/25/2001
978,000 Federal National Mortgage Association CMO Series 1993-32 Class H, 888,757
6.00% due 3/25/2023
1,500,000 Federal National Mortgage Association CMO Series 1993-35 Class G, 1,475,625
6.50% due 11/25/2006
531,283 Federal National Mortgage Association CMO Series 1994-36 Class UA, 525,971
7.00% due 8/25/2023
517,285 Government National Mortgage Association, Pool# 000623, 8.00% due 526,674
9/20/2016
528,332 Government National Mortgage Association, Pool# 016944, 7.50% due 537,134
5/15/2007
145,172 Government National Mortgage Association, Pool# 296697, 9.50% due 150,913
10/15/2005
226,746 Government National Mortgage Association, Pool# 306636, 8.25% due 231,208
12/15/2006
1,240,678 Government National Mortgage Association, Pool# 313403, 6.80% due 1,208,123
5/20/2023
1,620,988 Government National Mortgage Association, Pool# 357090, 6.80% due 1,575,957
4/20/2025
320,500 Government National Mortgage Association, Pool# 362865, 8.00% due 323,202
7/15/2003
1,040,767 Government National Mortgage Association, Pool# 369693, 7.00% due 1,045,596
1/15/2009
547,885 Government National Mortgage Association, Pool# 409921, 7.50% due 556,789
8/15/2010
473,084 Government National Mortgage Association, Pool# 410271, 7.50% due 480,771
8/15/2010
445,964 Government National Mortgage Association, Pool# 430150, 7.25% due 443,663
12/15/2026
1,131,306 Government National Mortgage Association, Pool# 447040, 7.75% due 1,143,332
5/15/2027
682,452 Government National Mortgage Association, Pool# 453928, 7.00% due 677,976
7/15/2017
279,767 Government National Mortgage Association, Pool# 780063, 7.00% due 281,065
9/15/2008
975,881 Government National Mortgage Association, Pool# 780448, 6.50% due 966,630
8/15/2011
2,450,000 United States Government General Services, 7.62% due 9/15/2010 ... 2,514,312
Total U.S. Government Agencies (Cost $69,848,178) 69,690,232
3,000,000 Federal Home Loan Bank Board, 5.985% due 4/9/2009 2,838,462
United States Treasury (25.30%)
1,000,000 United States Treasury Notes, 6.25% due 4/30/2001 999,530
5,000,000 United States Treasury Notes, 7.50% due 11/15/2001 5,064,050
600,000 United States Treasury Notes, 6.25% due 2/15/2003 603,372
1,500,000 United States Treasury Notes, 5.75% due 8/15/2003 1,491,555
7,750,000 United States Treasury Notes, 7.25% due 5/15/2004 8,076,973
3,700,000 United States Treasury Notes, 7.25% due 8/15/2004 3,867,647
1,900,000 United States Treasury Notes, 6.50% due 5/15/2005 1,947,804
2,000,000 United States Treasury Notes, 7.00% due 7/15/2006 2,102,500
Total United States Treasury (Cost $23,988,687) .. 24,153,431
TOTAL INVESTMENTS (101%) (Cost $96,806,225) ...... $96,682,125
<FN>
See notes to financial statements.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Schedule of Investments
Thornburg Limited Term Income Fund September 30, 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 - 5.00%
<C> <C> <C> <C>
1,000,000 United States Treasury Notes, 8.00% due Aaa/AAA $757,380
5/15/2001
500,000 United States Treasury Notes, 6.375% due Aaa/AAA 502,810
8/15/2002
100,000 United States Treasury Notes, 6.25% due Aaa/AAA 100,562
2/15/2003
1,100,000 United States Treasury Notes, 6.50% due Aaa/AAA 1,127,676
5/15/2005
Total U.S. Treasury Securities 2,488,428
U. S. GOVERNMENT AGENCIES - 6.80%
200,000 Federal Farm Credit Bank Consolidated, Aaa/AAA 189,374
5.96% due 6/16/2008
100,000 Federal Home Loan Bank Board, 5.64% due Aaa/NR 96,725
4/30/2004
85,000 Federal Home Loan Bank Board, 5.985% due Aaa/NA 80,285
4/9/2009
50,000 Federal Home Loan Bank Board Consolidated Aaa/NA 49,656
Bond, 5.23% due 3/30/2001
75,000 Federal Home Loan Bank Board Consolidated Aaa/NA 67,852
Bond, 5.365% due 12/11/2008
50,000 Federal Home Loan Banks Consolidated Bond, Aaa/NA 48,726
6.00% due 8/25/2005
75,000 Federal Home Loan Banks Preassign 885, Aaa/NA 70,336
5.785% due 4/14/2008
200,000 Federal Home Loan Mortgage Corp., 5.038% Aaa/NA 177,312
due 10/14/2008
37,600 Federal Home Loan Mortgage Corp., Pool# Aaa/AAA 38,070
214180, 9.75% due 11/1/2001
121,645 Federal Home Loan Mortgage Corp., Pool# Aaa/AAA 124,208
850082, 9.00% due 10/1/2005
300,000 Federal Home Loan Mortgage Corp. Aaa/NA 281,718
Consolidated Bond, 5.835% due 7/15/2008
250,000 Federal Home Loan Mortgage Corp. Aaa/NA 222,382
Consolidated Bond, 5.085% due 10/7/2008
569,109 Federal National Mortgage Association, Aaa/AAA 564,488
Pool# 020155, 7.491% due 8/1/2014
109,108 Federal National Mortgage Association, Aaa/AAA 111,085
Pool# 297033, 8.00% due 12/1/2009
599,035 Federal National Mortgage Association, Aaa/AAA 628,616
Pool# 382398, 8.00% due 5/1/2011
600,000 Federal National Mortgage Association CMO Aaa/AAA 594,000
Series G94-7 B, 7.50% due 5/17/2024
46,033 Government National Mortgage Association, Aaa/AAA 46,083
Pool# 827148, 7.375% due 2/20/2024
Total U. S. Government Agencies 3,390,916
MORTGAGE BACKED SECURITIES - 0.50%
226,662 GE Capital Mortgage Services Series 92-13 Aaa/AAA 224,074
G2, 7.00% due 1/1/2008
Total Mortgage Backed Securities 224,074
CORPORATE BONDS - 43.80%
BANKS
400,000 Capital One Bank Medium Term Senior Tranche Baa2/BBB- 368,120
Trust 00101, 6.70% due 5/15/2008
700,000 HSBC USA Inc., 8.375% due 2/15/2007 A1/A+ 731,597
500,000 Keycorp, 8.00% due 7/1/2004 A2/BBB+ 513,198
1,000,000 Mercantile Bancorp, 7.30% due 6/15/2007 A2/A- 984,718
500,000 Northern Trust Company Bank Medium Term A1/A+ 470,199
Note, 6.25% due 6/2/2008
95,000 PNC Funding Corp., 6.875% due 7/15/2007 A3/BBB+ 92,233
385,000 US Bank Minnesota, 5.625% due 11/30/2005 Aa3/A+ 358,822
400,000 US Bank Minnesota, 6.30% due 7/15/2008 A1/A 370,900
3,889,787
COMPUTERS & BUSINESS EQUIPMENT
275,000 Computer Associates International Inc., Baa1/BBB+ 263,197
6.25% due 4/15/2003
500,000 Oracle Corp., 6.72% due 2/15/2004 A3/A- 495,863
500,000 Sun Microsystems Inc., 7.50% due 8/15/2006 Baa1/BBB+ 507,944
1,267,004
INDUSTRIALS
100,000 A T & T Canada Inc., 7.65% due 9/15/2006 Baa3/BBB 100,291
250,000 Fina Oil & Chemical, 6.875% due 7/15/2001 Aa2/NR 249,861
900,000 Goodyear Tire & Rubber, 8.50% due 3/15/2007 Baa1/BBB+ 925,719
125,000 Grand Metropolitan Investment Corp., 0% due A1/A+ 99,489
1/6/2004
90,000 Northwest Pipeline Corp., 6.625% due Baa1/BBB 86,629
12/1/2007
1,000,000 Pentair Inc., 7.85% due 10/15/2009 Baa2/BBB 992,659
721,931 US Air Inc., 7.50% due 4/15/2008 Baa1/A 673,814
200,000 Valassis Communications, 9.55% due Baa3/BBB- 212,160
12/1/2003
1,400,000 Valassis Communications, 6.625% due Baa3/BBB- 1,300,993
1/15/2009
75,000 Waste Management Inc., 7.70% due 10/1/2002 Ba1/BBB 73,938
500,000 Waste Management Inc., 6.875% due 5/15/2009 Ba1/BBB 455,892
979,000 Wheeling Pittsburgh Corp., 9.375% due Aaa/AAA 1,005,736
11/15/2003
185,000 WMX Technologies Inc., 7.00% due 5/15/2005 Ba1/BBB 176,209
6,353,390
INSURANCE
855,000 Manufacturers Life Insurance Company, A1/AA- 876,153
7.875% due 4/15/2005
800,000 Old Republic International Corporation Aa3/A+ 800,127
Debenture, 7.00% due 6/15/2007
800,000 USF & G Corp., 7.125% due 6/1/2005 A1/A+ 786,837
2,463,117
PUBLISHING
125,000 Tribune Company, 6.875% due 11/1/2006 A2/NR 122,745
REAL ESTATE INVESTMENT TRUSTS
155,000 Avalon Bay Communities, 6.625% due Baa1/BBB+ 149,684
1/15/2005
1,000,000 Prologis Trust, 7.10% due 4/15/2008 Baa1/BBB+ 937,406
1,087,090
RENTAL AUTOMOTIVE EQUIPMENT
100,000 Hertz Corp., 7.00% due 7/15/2003 Baa2/BBB+ 98,848
RETAIL
150,000 Dillard Inc., 7.375% due 6/1/2006 Baa3/BBB- 117,687
1,400,000 Duty Free International Inc., 7.00% due Baa2/AA- 1,392,244
1/15/2004
1,509,931
TELECOMMUNICATION SERVICES
150,000 Metronet Communications Corporation, Baa3/BBB 166,647
10.625% due 11/1/2008
975,000 US West Communications Inc., 7.20% due A2/BBB+ 975,191
11/1/2004
1,141,838
UTILITIES
200,000 Northern Illinois Gas Company, 5.75% due Aa1/AA 195,995
6/1/2003
100,000 Pennsylvania Power & Light Company, 7.75% Aa/AAA 101,371
due 5/1/2002
150,000 Pennsylvania Power and Light Company, 6.55% Aaa/AAA 144,555
due 3/1/2006
50,000 Philadelphia Electric Company, 6.625% due Aaa/AAA 49,377
3/1/2003 (Insured: MBIA)
500,000 PSI Energy Inc., 7.85% due 10/15/2007 Baa1/BBB+ 500,920
50,000 Public Service Electric & Gas Company, Aaa/AAA 48,784
6.75% due 3/1/2006
50,000 Virginia Electric & Power Company First Aaa/AAA 51,444
Refunding Mortgage, 8.00% due 3/1/2004
1,092,446
YANKEE
2,150,000 Dao Heng Bank Group, 7.75% due 1/24/2007 Baa1/BBB 2,067,072
715,000 National Westminster Bank, 7.375% due Aa3/A+ 704,318
10/1/2009
2,771,390
Total Corporate Bonds 21,797,586
TAXABLE MUNICIPAL BONDS - 39.70%
1,500,000 Austin Texas General Obligation, 6.90% due Aa2/AA+ 1,504,530
3/1/2002
130,000 Baltimore Economic Development Authority, A3/BBB+ 132,068
8.50% due 8/1/2002 (Arcade LP Project)
1,750,000 Capital Projects Finance Authority Florida NR/NR 1,750,893
Revenue Series B, 8.00% due 12/1/2001
1,025,000 Connecticut State Development Authority, NR/NR 1,081,365
8.55% due 8/15/2005
900,000 Denver City and County Special Facilities Aaa/AAA 899,856
Taxable Refunding & Improvement SeriesB,
7.15% due 1/1/2008
500,000 Duke University Revenue, 6.19% due 6/1/2004 Aa3/AA 490,650
(Duke University Hospital Project A)
115,000 Duquesne Pennsylvania General Obligation, Aaa/AAA 115,070
6.75% due 12/15/2001 (Insured: MBIA)
125,000 Duquesne Pennsylvania General Obligation, Aaa/AAA 125,305
6.75% due 12/15/2002 (Insured: MBIA)
130,000 Duquesne Pennsylvania General Obligation, Aaa/AAA 130,982
6.95% due 12/15/2003 (Insured: MBIA)
155,000 Fairfax County Virginia Redevelopment and Aaa*/AAA* 156,474
Housing Series A, 7.72% due 8/1/2009
320,000 Georgia Municipal Electric Authority Power A3/A 319,536
Revenue Taxable Series One, 7.00%
due1/1/2006
1,900,000 Greater Valley Medical Building Partnership Aa3/NR 1,897,587
Series 1996, 6.95% due 3/1/2021 put3/1/01
(LOC: Krediet Bank)
845,000 Idaho Housing Multi Family Housing Revenue A/NR 880,127
Series 94-B, 8.15% due 7/1/2004
115,000 Illinois Housing Development Authority A1/A+ 117,293
Taxable Multi Family Pg Series 2, 7.85%due
3/1/2005
405,000 King County Washington General Obligation, Aa1/AA+ 417,470
7.55% due 12/1/2005
1,000,000 Los Angeles County Pension Obligation, Aaa/AAA 1,025,810
8.30% due 6/30/2002 (Insured: FSA)
705,000 Louisiana Public Facilities Authority Aaa/NR 704,168
Revenue Taxable Single Family
Mortgage Series, 7.05% due 8/1/2017
2,215,000 Maricopa County Arizona Industrial Baa3/NR 2,297,154
Development, 9.00% due 7/1/2006
635,000 Maryland State Economic Development Corp., NR/NR 628,923
7.25% due 6/1/2008(Maryland TechDevelopment
Center Project)
240,000 Mckeesport Pennsylvania Taxable Series B, Aaa/AAA 237,516
6.60% due 3/1/2006
210,000 Miami Beach Housing Authority Revenue, A3/NR 209,355
6.75% due 3/1/2003
200,000 Missouri High Education Student Loan Series Aaa/NR 199,950
B, 6.80% due 2/15/2001
175,000 New Jersey Economic Development Authority Aa3/AA 175,285
Series B, 7.10% due 9/15/2002
95,000 New Jersey State Housing and Mortgage NR/A+ 95,091
Financing Agency Series E, 7.95%
due11/1/2000
1,505,000 New Orleans Home Mortgage Authority Single Aaa/AAA 389,328
Family Mortgage Revenue RefundingSeries
1994-A, 0% due 10/1/2015 (Insured: MBIA)
100,000 New York Taxable Prerefunded Series D, Aaa/A 105,408
10.00% due 8/1/2005
1,000,000 Pennsylvania Housing Finance Agency, 8.40% Aa2/AA+ 1,010,670
due 4/1/2010
150,000 Syracuse New York Industrial Development Aaa*/AAA* 151,427
Agency Series A, 7.72% due 8/1/2009
5,000 Tucson & Pima County IDA SFMR Series A, A1/NR 4,971
7.00% due 12/1/2003
225,000 Utica New York Urban Renewal Agency Series Aaa*/AAA* 227,066
A, 7.65% due 8/1/2008
505,000 Virginia Housing Development Authority Aa1/AA+ 504,929
Taxable Rental Housing Series I, 7.30%due
2/1/2008
250,000 Virginia Housing Development Multi Family Aa1/AA+ 251,658
Taxable Series A, 7.125% due 11/1/2003
1,500,000 West Valley City Utah Municipal Building A2/NR 1,512,675
Lease, Refunding Taxable, 7.67% due5/1/2006
Total Taxable Municipal Bonds 19,750,590
FOREIGN SECURITIES - 4.40%
2,000,000 British Columbia Province, 9.00% due Aa2/AA- 1,457,825
6/21/2004 (Canadian Dollars)
745,000 Manitoba Province Canada, 6.125% due Aa3/AA- 733,537
1/19/2004
Total Foreign Securities 2,191,362
TOTAL INVESTMENTS (100%) (Cost $49,339,160) $ 49,842,956
<FN>
* Principal amount in U.S. Dollars unless otherwise indicated,
value is in U.S.Dollar.
+ Credit ratings are unaudited.
See notes to financial statements.
</FN>
</TABLE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Board of Trustees and Shareholders of
Thornburg Investment Trust
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Thornburg Limited Term U.S.
Government Fund and Thornburg Limited Term Income Fund, series of Thornburg
Investment Trust (the "Funds") at September 30, 2000, the results of each of
their operations for the year then ended, the changes in each of their net
assets and the financial highlights for each of the two years in the period then
ended, in conformity with accounting principles generally accepted in the United
States of America. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Funds' management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with auditing standards generally accepted in
the United States of America, which require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements are free
of material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at September 30, 2000 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion. The financial highlights for each of the three years in the period
ended September 30, 1998 were audited by other independent accountants whose
report dated October 23, 1998 expressed an unqualified opinion on those
financial statements.
PricewaterhouseCoopers LLP
New York, New York
October 27, 2000
Index Comparisons
GOVERNMENT FUND
Index Comparisons
Compares performance of the Government Fund Class A shares and Class C shares to
the Lehman Brothers Intermediate Government Bond Index, and the Consumer Price
Index for the periods ended September 30, 2000. On September 30, 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 4.7 years, respectively. Class A shares became available
on November 16, 1987, and Class C shares became available on September 1, 1994.
Past performance of the Index and the Fund may not be indicative of future
performance.
Average Annual Total Returns (periods ending 9/30/00)(at max. offering price)
A Shares
One Year: 4.03%
Five Years: 4.96%
Ten Years: 6.19%
From Inception (11/16/87): 6.56%
Average Annual Total Returns (periods ending 9/30/00)
C Shares
One Year: 5.23%
Five Years: 4.87%
From Inception (9/1/94): 5.39%
INCOME FUND
Index Comparisons
Compares performance of the Income Fund Class A shares and Class C shares to the
Lehman Brothers Intermediate Government Corporate Bond Index and the Consumer
Price Index for the periods ended September 30, 2000. On September 30, 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 4.4 years, respectively. Class A shares became available
on October 1, 1992 and Class C shares became available on September 1, 1994.
Past performance of the Index and the Fund may not be indicative of future
performance.
Average Annual Total Returns (periods ending 9/30/00)(at max. offering price)
A Shares
One Year 4.46%
Five Years: 5.50%
From Inception (10/1/92): 5.70%
Average Annual Total Returns (periods ending 9/30/00)
C Shares
One Year 5.62%
Five Years: 5.41%
From Inception (9/1/94): 5.77%
Thornburg Limited Term U.S. Government Fund - Class A
Outperformed Taxable Money Market Funds
Return from a $100,000 Investment 9.30.90 to 9.30.00
$58,071 Donoghue's Taxable
Money Market Fund Average
$82,252 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 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 $11.92 and the ending NAV of $12.03. 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 9.30.95 to 9.30.00
$28,073 Donoghue's Taxable
Money Market Fund Average
$34,472 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 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 $12.11 per share, respectively and the ending NAV of $11.89
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.
Investment Manager
Thornburg Investment Management, Inc.
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
Principal Underwriter
Thornburg Securities Corporation
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
