UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT
COMPANIES
Investment Company Act file number 811-05201
Thornburg Investment Trust
119 East Marcy Street, Santa Fe, New Mexico 87501
Garrett Thornburg, 119 East Marcy Street, Santa Fe, New Mexico 87501
Registrant’s telephone number, including area code: 505-984-0200
Date of fiscal year end: September 30, 2004
Date of reporting period: September 30, 2004
Item 1. Reports to Stockholders
The following annual reports are attached hereto, in order:
Thornburg Limited Term Municipal Fund Thornburg Limited Term Municipal Fund Class I Thornburg California Limited Term Municipal Fund Thornburg California Limited Term Municipal Fund Class I Thornburg Intermediate Municipal Fund Thornburg Intermediate Municipal Fund Class I Thornburg New Mexico Intermediate Municipal Fund Thornburg Florida Intermediate Municipal Fund Thornburg New York Intermediate Municipal Fund Thornburg Limited Term Income Funds Thornburg Limited Term Income Funds Class I Thornburg Value Fund Thornburg Value Fund Class I Thornburg International Value Fund Thornburg International Value Fund Class I Thornburg Core Growth Fund Thornburg Core Growth Fund Class I Thornburg Investment Income Builder Fund Thornburg Investment Income Builder Fund Class I |
Thornburg Limited Term Municipal Fund
September 30, 2004
Table of Contents
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
4 Certified Annual Report
Important Information
Performance data quoted represent the past and are no guarantee of future results. Current returns may be either lower or higher than those shown. Share prices and returns will fluctuate and investors may experience a loss upon redemption. There is no guarantee that the Fund will meet its objectives. Shares in the Fund carry risks, including possible loss of principal. The principal value of a bond fund will decrease when interest rates rise.
The maximum sales charge for Class A Shares is 1.50%. C shares assume deduction of a 0.50% contingent deferred sales charge (CDSC) for the first year only.
For the most recent month-end performance information, visit www.thornburg.com.
The information presented on the following pages was current as of September 30, 2004. The manager’s views, portfolio holdings, and sector diversification are historical and subject to change. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each Fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any Fund to differ materially as compared to its benchmarks.
Glossary
The Lehman Brothers Five-Year Municipal Bond Index – A rules-based, market-value-weighted index engineered for the long-term tax-exempt bond market. To be included in the index, bonds must have a minimum credit rating of Baa. The approximate maturity of the municipal bonds in the index is five years. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
Duration – The measure of the price sensitivity of a fixed-income security to an interest rate change of 100 basis points. Calculation is based on the weighted average of the present values for all cash flows.
Weighted Average Maturity – Is a weighted average of all the effective maturities of the bonds in a portfolio. Effective maturity takes into consideration mortgage prepayments, puts, calls, adjustable coupons, and other features of individual bonds and is thus a more accurate measure of interest-rate sensitivity. Longer-maturity funds are generally considered more interest-rate sensitive than their shorter counterparts.
Certified Annual Report 5
Letter to Shareholders
George Strickland
Portfolio Manager
October 21, 2004
Dear Fellow Shareholder:
I am pleased to present the Annual Report for the Thornburg Limited Term Municipal Fund. This report will cover only the three month period from June 30, 2004 to September 30, 2004 because the fiscal year-end of the Fund was recently changed from June 30 to September 30. The net asset value of the A shares increased by 15 cents to $13.83 during the three months ending September 30, 2004. If you were with us for the entire period, you received dividends of 9.4 cents per share. Investors who owned C shares received dividends of 8.5 cents per share.
Over the last three months, interest rates on bonds that mature in five to ten years have fallen more than interest rates on bonds that mature in less than five years. This has led to better performance for intermediate bonds relative to shorter-term bonds. The A shares of your Fund produced a total return of 1.78% over the last three months, compared to a 2.83% return for the Lehman Five-Year Municipal Bond Index. We believe that the index outperformed the Fund because it is generally concentrated in bonds with a longer duration than bonds held by the Fund. If long-term interest rates start to rise again, we would expect the Fund to outperform the index.
Interest rates on intermediate municipal bonds have covered a lot of ground over the last year. For example, the yield on a five-year AAA-rated municipal bond hit a low of 2.16% on March 9, 2004 before climbing to a high of 3.31% only two months later. As of September 30, 2004, that bond’s yield has fallen back down to 2.70%. (Source: Bloomberg: Municipal Market Advisors, Inc.)
Ironically, bond yields rose this past spring before the Federal Reserve started raising the targeted Fed Funds rate. Now that the Federal Reserve is pushing up short-term interest rates, the interest rates on bonds and home mortgages have been falling. In essence, the bond market is counteracting a tightening Federal Reserve by allowing corporations, governments, and individuals to borrow money at lower interest rates.
Given the abundant liquidity and relatively low yields in the bond markets today, we believe that the Federal Reserve has a significant amount of additional tightening to do before they overcome the bond market’s “give back” and achieve a neutral monetary policy. The yield curve does not appear to be pricing in this possibility today. If it does start pricing in a more aggressive Federal Reserve, we believe that bond yields will rise above current levels.
We have positioned your Fund with this outlook in mind. Your Thornburg Limited Term Municipal Fund is a laddered portfolio of over 670 municipal obligations from 49 states. Today, your Fund’s weighted average maturity is 3.87 years. We ladder the maturity dates of the bonds in your portfolio so that some of the bonds are scheduled to mature during each of the coming years. Laddering intermediate bonds are intended to accomplish two goals. First, the staggered bond maturities contained in a ladder ordinarily defuse
6 Certified Annual Report
interest-rate risk and dampen the Fund’s price volatility. Second, laddering gives the Fund a steady cash flow stream from maturing bonds which, if not needed for other purposes, can be reinvested toward the top of the ladder where yields are typically higher. The laddering strategy is what differentiates this Fund from most bond mutual funds. It will be particularly useful if interest rates rise, because it may allow the Fund to gradually increase the yield of the portfolio as bonds mature and get replaced with new ones. The chart below describes the percentages of your Fund’s bond portfolio maturing in each of the coming years.
Thanks to a strong economy and tax increases, state tax revenue was up 11.4% over the last fiscal year. However, revenues are just now approaching 2002 levels nationwide. Meanwhile, spending for Medicaid and other items continues its upward trajectory, causing many states to continue grappling with budget deficits. State reserve funds have been largely depleted and tax-supported state debt levels have risen over 15% in the last two years. To reduce credit risk, we have kept 93% of the portfolio in bonds rated A or above and maintained broad diversification across issuers and market sectors.
% of portfolio | Cumulative % | |||||||||||||||||||||
maturing | maturing | |||||||||||||||||||||
1 year | = | 12 | % | Year 1 | = | 12 | % | |||||||||||||||
1 to 2 years | = | 13 | % | Year 2 | = | 25 | % | |||||||||||||||
2 to 3 years | = | 13 | % | Year 3 | = | 38 | % | |||||||||||||||
3 to 4 years | = | 15 | % | Year 4 | = | 53 | % | |||||||||||||||
4 to 5 years | = | 13 | % | Year 5 | = | 66 | % | |||||||||||||||
5 to 6 years | = | 10 | % | Year 6 | = | 76 | % | |||||||||||||||
6 to 7 years | = | 9 | % | Year 7 | = | 85 | % | |||||||||||||||
7 to 8 years | = | 7 | % | Year 8 | = | 92 | % | |||||||||||||||
8 to 9 years | = | 4 | % | Year 9 | = | 96 | % | |||||||||||||||
Over 9 years | = | 4 | % | Over 9 years | = | 100 | % |
Percentages can and do vary. Data as of 9/30/04.
Over the years, our practice of laddering a diversified portfolio of short and intermediate maturity municipal bonds has allowed your Fund to perform consistently well in varying interest rate environments. Thank you for investing in Thornburg Limited Term Municipal Fund.
Sincerely,
George Strickland
Portfolio Manager
Certified Annual Report 7
STATEMENT OF ASSETS AND LIABILITIES
Thornburg Limited Term Municipal Fund | September 30, 2004 |
ASSETS | ||||
Investments at value (cost $1,353,950,547) | $ | 1,401,090,183 | ||
Cash | 194,616 | |||
Receivable for investments sold | 19,004,764 | |||
Receivable for fund shares sold | 4,089,989 | |||
Interest receivable | 18,606,174 | |||
Prepaid expenses and other assets | 75,058 | |||
Total Assets | 1,443,060,784 | |||
LIABILITIES | ||||
Payable for investments purchased | 4,276,249 | |||
Payable for fund shares redeemed | 2,222,106 | |||
Accounts payable and accrued expenses | 139,492 | |||
Payable to investment advisor and other affiliates (Note 3) | 894,485 | |||
Dividends payable | 1,019,612 | |||
Total Liabilities | 8,551,944 | |||
NET ASSETS | $ | 1,434,508,840 | ||
NET ASSETS CONSIST OF: | ||||
Undistributed (distribution in excess of) net investment income | $ | (1,629 | ) | |
Net unrealized appreciation (depreciation) on investments | 47,139,636 | |||
Accumulated net realized gain (loss) | (4,583,701 | ) | ||
Net capital paid in on shares of beneficial interest | 1,391,954,534 | |||
$ | 1,434,508,840 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($1,039,049,760 applicable to 75,115,022 shares of beneficial interest outstanding — Note 4) | $ | 13.83 | ||
Maximum sales charge, 1.50% of offering price | 0.21 | |||
Maximum Offering Price Per Share | $ | 14.04 | ||
Class C Shares: | ||||
Net asset value and offering price per share* ($156,870,003 applicable to 11,319,695 shares of beneficial interest outstanding — Note 4) | $ | 13.86 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($238,589,077 applicable to 17,245,784 shares of beneficial interest outstanding — Note 4) | $ | 13.83 | ||
*Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See notes to financial statements.
8 Certified Annual Report
STATEMENTS OF OPERATIONS
Thornburg Limited Term Municipal Fund
Three Months Ended | Year Ended | |||||||
September 30, 2004 | June 30, 2004 | |||||||
INVESTMENT INCOME: | ||||||||
Interest income (net of premium amortized of $4,143,091 and $15,358,148 for the period ended September 30, 2004 and year ended June 30, 2004 respectively) | $ | 12,983,539 | $ | 53,238,459 | ||||
EXPENSES: | ||||||||
Investment advisory fees (Note 3) | 1,466,294 | 5,754,193 | ||||||
Administration fees (Note 3) | ||||||||
Class A Shares | 331,206 | 1,311,880 | ||||||
Class C Shares | 49,344 | 191,093 | ||||||
Class I Shares | 29,149 | 107,843 | ||||||
Distribution and service fees (Note 3) | ||||||||
Class A Shares | 662,411 | 2,622,964 | ||||||
Class C Shares | 394,149 | 1,538,688 | ||||||
Transfer agent fees | ||||||||
Class A Shares | 93,700 | 377,245 | ||||||
Class C Shares | 19,950 | 98,715 | ||||||
Class I Shares | 15,820 | 60,375 | ||||||
Registration and filing fees | ||||||||
Class A Shares | 3,196 | 75,030 | ||||||
Class C Shares | 903 | 14,731 | ||||||
Class I Shares | 874 | 15,281 | ||||||
Custodian fees (Note 3) | 112,950 | 534,108 | ||||||
Professional fees | 50,900 | 150,630 | ||||||
Accounting fees | 21,340 | 121,890 | ||||||
Trustee fees | 9,200 | 51,315 | ||||||
Other expenses | 66,591 | 332,331 | ||||||
Total Expenses | 3,327,977 | 13,358,312 | ||||||
Less: | ||||||||
Expenses reimbursed by Investment advisor (Note 3) | 0 | (4,388 | ) | |||||
Distribution and service fees waived (Note 3) | (197,075 | ) | (769,344 | ) | ||||
Fees paid indirectly (Note 3) | (850 | ) | (5,718 | ) | ||||
Net Expenses | 3,130,052 | 12,578,862 | ||||||
Net Investment Income | 9,853,487 | 40,659,597 | ||||||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||
Net realized gain (loss) on investments sold | 74,945 | 1,795,864 | ||||||
Increase (Decrease) in unrealized appreciation of investments | 16,155,302 | (36,334,816 | ) | |||||
Net Realized and Unrealized Gain (Loss) on Investments | 16,230,247 | (34,538,952 | ) | |||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 26,083,734 | $ | 6,120,645 | ||||
See notes to financial statements.
Certified Annual Report 9
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Limited Term Municipal Fund
Three Months Ended | Year Ended | Year Ended | ||||||||||
September 30, 2004 | June 30, 2004 | June 30, 2003 | ||||||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||||||
OPERATIONS: | ||||||||||||
Net investment income | $ | 9,853,487 | $ | 40,659,597 | $ | 36,971,587 | ||||||
Net realized gain (loss) on investments sold | 74,945 | 1,795,864 | 877,102 | |||||||||
Increase (Decrease) in unrealized appreciation of investments | 16,155,302 | (36,334,816 | ) | 28,100,206 | ||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 26,083,734 | 6,120,645 | 65,948,895 | |||||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||||||
From net investment income | ||||||||||||
Class A Shares | (7,133,301 | ) | (29,889,249 | ) | (28,771,058 | ) | ||||||
Class C Shares | (958,113 | ) | (3,916,198 | ) | (2,645,994 | ) | ||||||
Class I Shares | (1,762,073 | ) | (6,854,150 | ) | (5,554,535 | ) | ||||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||||||
Class A Shares | (20,348,137 | ) | 74,238,458 | 190,903,532 | ||||||||
Class C Shares | (353,019 | ) | 21,587,725 | 78,064,848 | ||||||||
Class I Shares | 13,279,935 | 30,607,967 | 69,803,156 | |||||||||
Net Increase (Decrease) in Net Assets | 8,809,026 | 91,895,198 | 367,748,844 | |||||||||
NET ASSETS: | ||||||||||||
Beginning of period | 1,425,699,814 | 1,333,804,616 | 966,055,772 | |||||||||
End of period | $ | 1,434,508,840 | $ | 1,425,699,814 | $ | 1,333,804,616 | ||||||
See notes to financial statements.
10 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS
Thornburg Limited Term Municipal Fund | September 30, 2004 |
NOTE 1 – ORGANIZATION
Thornburg Limited Term Municipal Fund (the “Fund”)(formerly Thornburg Limited Term Municipal Fund – National Portfolio) is a 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 eleven series of shares of beneficial interest in addition to those of the Fund: Thornburg California Limited Term Municipal Fund, Thornburg Florida Intermediate Municipal Fund, Thornburg New York Intermediate Municipal Fund, Thornburg New Mexico Intermediate Municipal Fund, Thornburg Intermediate Municipal Fund, Thornburg Limited Term U.S. Government Fund, Thornburg Limited Term Income Fund, Thornburg Value Fund, Thornburg International Value Fund, Thornburg Core Growth Fund, and Thornburg Investment Income Builder Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund’s investment objective is to obtain as high a level of current income exempt from Federal income taxes as is consistent, in the view of the Fund’s investment advisor, with the preservation of capital.
Reorganization: The Fund is the successor to Thornburg Limited Term Municipal Fund – National Portfolio (the “National Portfolio”) a series of Thornburg Limited Term Municipal Fund, Inc. On December 8, 2003, the Company’s Board of Directors approved an Agreement and Plan of Reorganization providing for the transfer of substantially all of the National Portfolio’s assets to the Fund, in exchange solely for voting shares of the Fund, and the distribution of those shares to the shareholders of the National Portfolio and the subsequent dissolution of the National Portfolio. The Fund was created by the Trust on December 8, 2003 to accomplish the reorganization, and until the reorganization was completed had only nominal assets. The reorganization was intended to simplify legal and regulatory compliance functions, and to reduce the costs of performing those functions. The Agreement and Plan of Reorganization was approved by the National Portfolio’s shareholders on May 21, 2004, and the reorganization was concluded on June 21, 2004. As a result, all of the National Portfolio’s assets were transferred to the Fund, and the shareholders of the National Portfolio became shareholders of the Fund. There was no change in investment objective or policies as a result of the reorganization, and the investment advisor did not change because of the reorganization. The National Portfolio is the accounting survivor, and the financial results of the Fund include the results of the National Portfolio prior to the reorganization.
The Fund currently offers three classes of shares of beneficial interest, Class A, Class C and Institutional Class (Class I) shares. Each class of shares of the Fund represents an interest in the same portfolio of investments, 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 contingent deferred sales charge upon redemption within one year, and bear both 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, the Fund may allocate among its classes certain expenses, to the extent applicable 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 Fund are limited to service and distribution fees, administrative fees, and certain registration and transfer agent expenses.
The Fund employed a fiscal year ending June 30 from the Fund’s inception through June 30, 2004, when the Trustees determined to change the Fund’s fiscal year end to September 30. In consequence, the Fund’s financial statements display information for a fiscal period commencing July 1, 2004 and ending September 30, 2004.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Fund are as follows:
Valuation of Investments: In determining the net asset value, the Fund utilizes an independent pricing service approved by the Board of 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, normally at 4:00 p.m. 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 municipal 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 Fund are reviewed by the officers of the Trust under the general supervision of the Board of Trustees. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
Federal Income Taxes: It is the policy of the Fund to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all of its taxable (if any) and tax exempt income to its shareholders. Therefore, no provision for Federal income tax is required.
When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do
Certified Annual Report 11
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
so for the purpose of acquiring portfolio securities consistent with the investment objectives of the Fund and not for the purpose of investment leverage or to speculate on interest rate changes. At the time the Fund makes a commitment to purchase a security on a when-issued basis, the Fund will record the transaction and reflect the value in determining its 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 on 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 Fund is declared daily as a dividend on shares for which the Fund has received payment. Dividends are paid monthly and are reinvested in additional shares of the Fund 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 at least annually.
General: Securities transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and discounts on securities purchased are amortized to call dates or maturity dates of the respective securities. Realized gains and losses from the sale of securities are recorded on an identified cost basis. Net investment income, other than class specific expenses, and realized and unrealized gains and losses, are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
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 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.
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liability arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an Investment Advisory Agreement, Thornburg Investment Management, Inc. (the “Advisor”) serves as the investment advisor and performs services for which the fees are payable at the end of each month. For the period ended September 30, 2004, these fees were payable at annual rates ranging from .50 of 1% to .225 of 1% of the average daily net assets of the Fund. The Fund also has an Administrative Services Agreement with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% of the average daily net assets attributable to each class of shares. For the year ended June 30, 2004, and the period ended September 30, 2004, the advisor voluntarily reimbursed certain class specific expenses and administrative fees of $4,388 and $0 for Class C Shares, respectively.
The Fund has a Distribution Agreement with Thornburg Securities Corporation (the “Distributor,” an affiliate of the advisor), which acts as the Distributor of Fund shares. For the year ended June 30, 2004 and the period ended September 30, 2004, the Distributor has advised the Fund that it earned commissions aggregating $16,530 and $3,829, respectively, from the sale of Class A shares, and collected contingent deferred sales charges aggregating $71,750 and $9,605, respectively, from redemptions of Class C shares of the Fund.
Pursuant to a Service Plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor amounts not to exceed .25 of 1% per annum of the average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other persons for distribution of the Fund’s shares and to obtain various shareholder related services. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
The Fund has also adopted a Distribution Plan pursuant to Rule 12b-1, applicable only to the Fund’s Class C shares under which the Fund compensates the Distributor for services in promoting the sale of Class C shares of the Fund at an annual rate of up to .75 of 1% per annum of the average daily net assets attributable to Class C shares. Total fees incurred by each class of shares of the Fund under their respective Service and Distribution plans and Class C distribution fees waived by the Distributor for the period ended September 30, 2004, are set forth in the statement of operations.
The Fund has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees have been adjusted to reflect amounts that would have been paid without this agreement, with a corre-
12 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
sponding adjustment reflected as fees paid indirectly in the statement of operations. For the period ended September 30, 2004, and the year ended June 30, 2004, fees paid indirectly were $850 and $5,718, respectively.
Certain officers and Trustees of the Trust are also officers and/or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At September 30, 2004, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Three Months Ended | Year Ended | Year Ended | ||||||||||||||||||||||
September 30, 2004 | June 30, 2004 | June 30, 2003 | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||
Shares sold | 2,652,124 | $ | 36,597,200 | 22,343,137 | $ | 310,234,300 | 24,734,784 | $ | 343,160,230 | |||||||||||||||
Shares issued to shareholders in reinvestment of dividends | 335,506 | 4,631,084 | 1,399,170 | 19,393,497 | 1,359,442 | 18,874,006 | ||||||||||||||||||
Shares repurchased | (4,457,299 | ) | (61,576,421 | ) | (18,441,220 | ) | (255,389,339 | ) | (12,329,726 | ) | (171,130,704 | ) | ||||||||||||
Net Increase (Decrease) | (1,469,669 | ) | $ | (20,348,137 | ) | 5,301,087 | $ | 74,238,458 | 13,764,500 | $ | 190,903,532 | |||||||||||||
Class C Shares | ||||||||||||||||||||||||
Shares sold | 506,589 | $ | 7,003,493 | 4,814,111 | $ | 66,984,540 | 7,145,702 | $ | 99,350,605 | |||||||||||||||
Shares issued to shareholders in reinvestment of dividends | 46,675 | 645,678 | 194,692 | 2,704,058 | 135,892 | 1,892,308 | ||||||||||||||||||
Shares repurchased | (578,793 | ) | (8,002,190 | ) | (3,462,370 | ) | (48,100,873 | ) | (1,670,144 | ) | (23,178,065 | ) | ||||||||||||
Net Increase (Decrease) | (25,529 | ) | $ | (353,019 | ) | 1,546,433 | $ | 21,587,725 | 5,611,450 | $ | 78,064,848 | |||||||||||||
Class I Shares | ||||||||||||||||||||||||
Shares sold | 1,826,487 | $ | 25,227,726 | 8,616,079 | $ | 119,652,434 | 7,667,976 | $ | 106,488,989 | |||||||||||||||
Shares issued to shareholders in reinvestment of dividends | 104,786 | 1,446,479 | 394,435 | 5,468,468 | 309,747 | 4,303,264 | ||||||||||||||||||
Shares repurchased | (970,031 | ) | (13,394,270 | ) | (6,808,603 | ) | (94,512,935 | ) | (2,952,400 | ) | (40,989,097 | ) | ||||||||||||
Net Increase (Decrease) | 961,242 | $ | 13,279,935 | 2,201,911 | $ | 30,607,967 | 5,025,323 | $ | 69,803,156 | |||||||||||||||
NOTE 5 – SECURITIES TRANSACTIONS
For the period ended September 30, 2004, the Fund had purchase and sale transactions (excluding short-term securities) of $61,650,705 and $81,179,464, respectively.
NOTE 6 – INCOME TAXES
At September 30, 2004, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 1,353,955,992 | ||
Gross unrealized appreciation on a tax basis | $ | 48,001,300 | ||
Gross unrealized depreciation on a tax basis | (867,109 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 47,134,191 | ||
At September 30, 2004, the Fund did not have any undistributed tax-exempt/ordinary net income or undistributed capital gains.
At September 30, 2004, the Fund had tax basis capital losses, which may be carried over to offset future capital gains. To the extent such carry forwards are used, capital gain distributions may be reduced to the extent provided by regulations.
Such capital loss carryovers expire as follows:
2007 | 1,013,153 | |||
2008 | 3,565,103 | |||
$ | 4,578,256 | |||
The Fund utilized $74,945 of its capital loss carry forward during the period ended September 30, 2004.
Certified Annual Report 13
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
In order to account for permanent book/tax differences, the Fund increased net investment loss by $336 and decreased accumulated net realized investment loss by $336. This reclassification has no impact on the net asset value of the Fund. Reclassifications result primarily from market discount.
All dividends paid by the Fund for the period ended September 30, 2004 and year ended June 30, 2004, represent exempt interest dividends, which are excludable by shareholders from gross income for Federal income tax purposes.
14 Certified Annual Report
FINANCIAL HIGHLIGHTS
Thornburg Limited Term Municipal Fund
Three Months Ended September 30, | Year Ended June 30, | |||||||||||||||||||||||
2004 | 2004 | 2003 | 2002 | 2001 | 2000 | |||||||||||||||||||
Class A Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.68 | $ | 14.01 | $ | 13.65 | $ | 13.44 | $ | 13.06 | $ | 13.26 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.09 | 0.40 | 0.45 | 0.52 | 0.58 | 0.59 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.15 | (0.33 | ) | 0.36 | 0.21 | 0.38 | (0.20 | ) | ||||||||||||||||
Total from investment operations | 0.24 | 0.07 | 0.81 | 0.73 | 0.96 | 0.39 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.09 | ) | (0.40 | ) | (0.45 | ) | (0.52 | ) | (0.58 | ) | (0.59 | ) | ||||||||||||
Change in net asset value | 0.15 | (0.33 | ) | 0.36 | 0.21 | 0.38 | (0.20 | ) | ||||||||||||||||
NET ASSET VALUE, end of period | $ | 13.83 | $ | 13.68 | $ | 14.01 | $ | 13.65 | $ | 13.44 | $ | 13.06 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | 1.78 | % | 0.47 | % | 5.99 | % | 5.54 | % | 7.49 | % | 3.00 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 2.69 | %(b) | 2.85 | % | 3.20 | % | 3.83 | % | 4.36 | % | 4.48 | % | ||||||||||||
Expenses, after expense reductions | 0.89 | %(b) | 0.91 | % | 0.93 | % | 0.95 | % | 0.99 | % | 0.96 | % | ||||||||||||
Expenses, after expense reductions and net of custody credits | 0.89 | %(b) | 0.91 | % | 0.93 | % | 0.95 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 0.89 | %(b) | 0.91 | % | 0.93 | % | 0.96 | % | 0.99 | % | 0.96 | % | ||||||||||||
Portfolio turnover rate | 4.57 | % | 21.37 | % | 15.81 | % | 19.59 | % | 25.37 | % | 33.65 | % | ||||||||||||
Net assets at end of period (000) | $ | 1,039,050 | $ | 1,047,482 | $ | 998,878 | $ | 785,145 | $ | 654,157 | $ | 672,775 |
(a) | Sales loads are not reflected in computing total return, which is not annualized for periods less than one year. | |||
(b) | Annualized. |
Certified Annual Report 15
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Limited Term Municipal Fund
Three Months Ended September 30, | Year Ended June 30, | |||||||||||||||||||||||
2004 | 2004 | 2003 | 2002 | 2001 | 2000 | |||||||||||||||||||
Class C Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.70 | $ | 14.04 | $ | 13.67 | $ | 13.46 | $ | 13.08 | $ | 13.28 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.08 | 0.36 | 0.41 | 0.47 | 0.53 | 0.53 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.16 | (0.34 | ) | 0.37 | 0.21 | 0.38 | (0.20 | ) | ||||||||||||||||
Total from investment operations | 0.24 | 0.02 | 0.78 | 0.68 | 0.91 | 0.33 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.08 | ) | (0.36 | ) | (0.41 | ) | (0.47 | ) | (0.53 | ) | (0.53 | ) | ||||||||||||
Change in net asset value | 0.16 | (0.34 | ) | 0.37 | 0.21 | 0.38 | (0.20 | ) | ||||||||||||||||
NET ASSET VALUE, end of period | $ | 13.86 | $ | 13.70 | $ | 14.04 | $ | 13.67 | $ | 13.46 | $ | 13.08 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | 1.79 | % | 0.12 | % | 5.78 | % | 5.13 | % | 7.07 | % | 2.57 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 2.43 | %(b) | 2.56 | % | 2.89 | % | 3.42 | % | 3.96 | % | 4.06 | % | ||||||||||||
Expenses, after expense reductions | 1.15 | %(b) | 1.19 | % | 1.18 | % | 1.33 | % | 1.38 | % | 1.38 | % | ||||||||||||
Expenses, after expense reductions and net of custody credits | 1.15 | %(b) | 1.19 | % | 1.18 | % | 1.33 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 1.65 | %(b) | 1.69 | % | 1.68 | % | 1.80 | % | 1.85 | % | 1.82 | % | ||||||||||||
Portfolio turnover rate | 4.57 | % | 21.37 | % | 15.81 | % | 19.59 | % | 25.37 | % | 33.65 | % | ||||||||||||
Net assets at end of period (000) | $ | 156,870 | $ | 155,458 | $ | 137,559 | $ | 57,258 | $ | 24,773 | $ | 21,322 |
(a) | Not annualized for periods less than one year. | |||
(b) | Annualized. |
16 Certified Annual Report
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Limited Term Municipal Fund
Three Months Ended September 30, | Year Ended June 30, | |||||||||||||||||||||||
2004 | 2004 | 2003 | 2002 | 2001 | 2000 | |||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.68 | $ | 14.01 | $ | 13.65 | $ | 13.44 | $ | 13.06 | $ | 13.26 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.11 | 0.44 | 0.49 | 0.57 | 0.63 | 0.63 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.15 | (0.33 | ) | 0.36 | 0.21 | 0.38 | (0.20 | ) | ||||||||||||||||
Total from investment operations | 0.26 | 0.11 | 0.85 | 0.78 | 1.01 | 0.43 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.11 | ) | (0.44 | ) | (0.49 | ) | (0.57 | ) | (0.63 | ) | (0.63 | ) | ||||||||||||
Change in net asset value | 0.15 | (0.33 | ) | 0.36 | 0.21 | 0.38 | (0.20 | ) | ||||||||||||||||
NET ASSET VALUE, end of period | $ | 13.83 | $ | 13.68 | $ | 14.01 | $ | 13.65 | $ | 13.44 | $ | 13.06 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | 1.87 | % | 0.80 | % | 6.36 | % | 5.91 | % | 7.91 | % | 3.37 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 3.02 | %(b) | 3.18 | % | 3.54 | % | 4.18 | % | 4.75 | % | 4.84 | % | ||||||||||||
Expenses, after expense reductions | 0.55 | %(b) | 0.57 | % | 0.58 | % | 0.60 | % | 0.60 | % | 0.60 | % | ||||||||||||
Expenses, after expense reductions and net of custody credits | 0.55 | %(b) | 0.57 | % | 0.58 | % | 0.60 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 0.55 | %(b) | 0.57 | % | 0.58 | % | 0.62 | % | 0.65 | % | 0.62 | % | ||||||||||||
Portfolio turnover rate | 4.57 | % | 21.37 | % | 15.81 | % | 19.59 | % | 25.37 | % | 33.65 | % | ||||||||||||
Net assets at end of period (000) | $ | 238,589 | $ | 222,760 | $ | 197,367 | $ | 123,652 | $ | 86,160 | $ | 76,470 |
(a) | Not annualized for periods less than one year. | |||
(b) | Annualized. |
Certified Annual Report 17
SCHEDULE OF INVESTMENTS
Thornburg Limited Term Municipal Fund | September 30, 2004 |
CUSIPS: CLASS A — 885-215-459, CLASS C — 885-215-442, CLASS I — 885-215-434
NASDAQ SYMBOLS: CLASS A — LTMFX, CLASS C — LTMCX, CLASS I — LTMIX
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
ALABAMA (1.80%) | ||||||||||||
$ | 10,000,000 | Birmingham Carraway Alabama Special, 6.25% due 8/15/2009 (Insured: Connie Lee) | NR/AAA | $ | 11,043,100 | |||||||
1,245,000 | Huntsville Health Care Authority Facilities Revenue Series B, 4.65% due 6/1/2024 put 6/1/2005 (Insured : MBIA) | Aaa/AAA | 1,266,190 | |||||||||
5,330,000 | Huntsville Health Care Series A, 4.65% due 6/1/2024 put 6/1/2005 (Insured: MBIA) | Aaa/AAA | 5,420,716 | |||||||||
1,920,000 | Scottsboro Industrial Development Board Refunding, 5.25% due 5/1/2009 (LOC: PNC Bank) | NR/NR | 1,960,858 | |||||||||
500,000 | Shelby County Series A, 7.20% due 8/1/2005 (Insured: MBIA) (ETM)* | Aaa/AAA | 502,170 | |||||||||
5,000,000 | Wilsonville Industrial Development Board Pollution Control Revenue Refunding, 4.20% due 6/1/2019 put 6/1/2006 (Southern Electric Gaston Project; Insured: AMBAC) | Aaa/AAA | 5,177,500 | |||||||||
ALASKA (0.10%) | ||||||||||||
2,070,000 | North Slope Borough Alaska, 0% due 6/30/2006 (Insured: MBIA) | Aaa/AAA | 1,996,412 | |||||||||
ARIZONA (0.90%) | ||||||||||||
2,500,000 | Arizona State Transportation Board Grant Anticipation Notes Series A, 5.00% due 7/1/2009 | Aa3/AA- | 2,752,425 | |||||||||
650,000 | Maricopa County Arizona School District 97, 5.50% due 7/1/2008 (Insured: FGIC) | Aaa/NR | 721,630 | |||||||||
1,000,000 | Maricopa County School District 008, 7.50% due 7/1/2008 (Insured: MBIA) | Aaa/AAA | 1,177,400 | |||||||||
1,000,000 | Maricopa County Unified School District Number 41 Gilbert Refunding, 0% due 1/1/2006 (Insured: FGIC) | Aaa/AAA | 977,070 | |||||||||
4,595,000 | Mohave County Industrial Development Authority Correctional Facilities Contract Revenue Series A, 5.00% due 4/1/2009 (Mohave Prison LLC Project; Insured: XLCA) | Aaa/AAA | 5,021,921 | |||||||||
1,000,000 | Pima County Industrial Development Authority Education Revenue Series C, 6.40% due 7/1/2013 (Arizona Charter Schools Project) | Baa3/NR | 1,055,860 | |||||||||
680,000 | Pima County Industrial Development Authority Industrial Revenue Refunding Lease Obligation A, 7.25% due 7/15/2010 (Insured: FSA) | Aaa/AAA | 717,604 | |||||||||
500,000 | Tucson Water Revenue Series D, 9.75% due 7/1/2008 | Aa3/A+ | 627,615 | |||||||||
ARKANSAS (0.90%) | ||||||||||||
2,000,000 | Conway Electric Revenue Refunding, 5.00% due 8/1/2007 | A2/NR | 2,142,420 | |||||||||
1,000,000 | Jefferson County Hospital Revenue Refunding & Improvement, 5.50% due 6/1/2010 (Regional Medical Center Project) | NR/A | 1,104,860 | |||||||||
1,075,000 | Jefferson County Hospital Revenue Refunding & Improvement, 5.50% due 6/1/2011 (Regional Medical Center Project) | NR/A | 1,190,595 | |||||||||
1,000,000 | Little Rock Arkansas Capital Improvement, 4.00% due 4/1/2005 (Insured: FSA) | Aaa/AAA | 1,011,570 | |||||||||
2,645,000 | Little Rock Hotel & Restaurant Gross Receipts Tax Refunding, 7.125% due 8/1/2009 | A3/NR | 3,035,058 | |||||||||
1,735,000 | Rogers Sales & Use Tax Revenue, 6.00% due 11/1/2007 | A1/AA- | 1,741,593 | |||||||||
1,545,000 | Rogers Sales & Use Tax Revenue Refunding & Improvement Series A, 4.25% due 9/1/2006 (Insured: FGIC) | Aaa/AAA | 1,613,567 | |||||||||
CALIFORNIA (3.20%) | ||||||||||||
2,385,000 | Bay Area Government Association Rapid Transit, 4.875% due 6/15/2009 (Insured: AMBAC) | Aaa/AAA | 2,390,962 | |||||||||
2,620,000 | California Health Facilities Financing Authority Revenue Series B Refunding, 5.25% due 10/1/2013 (Kaiser Permanente Project) (ETM)* | A3/AAA | 2,900,681 | |||||||||
2,050,000 | California State Department of Water Resources Power Supply Series A, 5.50% due 5/1/2008 | A2/BBB+ | 2,254,980 | |||||||||
2,600,000 | California State Department of Water Resources Power Supply Series A, 5.50% due 5/1/2012 | A2/BBB+ | 2,938,208 | |||||||||
2,550,000 | California State Department of Water Resources Power Supply Series A, 6.00% due 5/1/2013 | A2/BBB+ | 2,973,886 | |||||||||
400,000 | California State Department of Water Resources Series B-2, 1.80% due 5/1/2022 put 10/1/2004 (LOC: BNP Paribus) (daily demand notes) | VMIG1/A1+ | 400,000 | |||||||||
3,500,000 | California State Economic Recovery Series C-3, 1.73% due 7/1/2023 put 10/1/2004 (daily demand notes) | VMIG1/A1+ | 3,500,000 |
18 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 2,870,000 | Central Valley Financing Authority Revenue, 6.00% due 7/1/2009 (Carson Ice Project) | NR/BBB | $ | 2,956,100 | |||||||
3,700,000 | Fairfield Water Revenue Refunding, 5.25% due 4/1/2012 (Insured: AMBAC) | Aaa/AAA | 3,835,605 | |||||||||
1,200,000 | Irvine Improvement Bond Act 1915 Adjusted Assessment District, 1.73% due 9/2/2024 put 10/1/2004 (daily demand notes) | VMIG1/A-1 | 1,200,000 | |||||||||
100,000 | Irvine Improvement Bond Act 1915 Limited Obligation Assessment District, 1.73% due 9/2/2025 put 10/1/2004 (daily demand notes) | VMIG1/A1+ | 100,000 | |||||||||
1,400,000 | Metropolitan Water District South California Variable Series B-3, 1.73% due 7/1/2035 put 10/1/2004 (daily demand notes) | VMIG1/A1+ | 1,400,000 | |||||||||
1,100,000 | Metropolitan Water District Southern California Waterworks Revenue Series C-1, 1.80% due 7/1/2036 put 10/1/2004 (daily demand notes) | VMIG1/A1+ | 1,100,000 | |||||||||
5,000,000 | Oakland Alameda County Coliseum Authority Lease Revenue Refunding Series C-1, 1.70% due 2/1/2025 put 10/7/2004 (Coliseum Project; LOC: California State) (weekly demand notes) | VMIG1/A1+ | 5,000,000 | |||||||||
5,200,000 | Orange County Refunding Recovery, 6.50% due 6/1/2005 (Insured: MBIA) | Aaa/AAA | 5,366,088 | |||||||||
1,490,000 | Orange County Various Sanitation Districts Certificates of Participation Refunding Series B, 1.73% due 8/1/2030 put 10/1/2004 (LOC: Dexia Public Finance Bank) (daily demand notes) | VMIG1/A1+ | 1,490,000 | |||||||||
3,000,000 | San Jose Financing Authority Lease Revenue Series D, 5.00% due 6/1/2039 mandatory put 6/1/2006 (Civic Center Project; Insured: AMBAC) | Aaa/AAA | 3,154,320 | |||||||||
1,380,000 | Torrance Hospital Revenue Series A, 7.10% due 12/1/2015 pre-refunded 12/1/2005 (Little Co.of Mary Hospital Project) | NR/AAA | 1,453,416 | |||||||||
COLORADO (3.40%) | ||||||||||||
1,500,000 | Adams County Communication Center Series A, 4.75% due 12/1/2006 | Baa1/NR | 1,549,755 | |||||||||
1,000,000 | Adams County School District 012 Series A, 4.375% due 12/15/2007 | Aa3/AA- | 1,065,420 | |||||||||
7,210,000 | Central Platte Valley Metropolitan District Refunding Series A, 5.00% due 12/1/2031 put 12/1/2009 (LOC: US Bank) | NR/A1+ | 7,691,051 | |||||||||
1,500,000 | Colorado Department Transport Revenue Anticipation Notes, 6.00% due 6/15/2008 (Insured: AMBAC) | Aaa/AAA | 1,686,015 | |||||||||
1,000,000 | Colorado Educational & Cultural Facilities, 4.90% due 4/1/2008 (Nashville Public Radio Project) | NR/BBB+ | 1,058,970 | |||||||||
5,705,000 | Colorado Health Facilities Authority, 5.00% due 9/1/2007 (Catholic Health Initiatives Project) | Aa2/A1+ | 6,105,548 | |||||||||
515,000 | Colorado Health Facilities Authority Series A, 5.375% due 12/1/2009 (Catholic Health Initiatives Project) | Aa2/A1+ | 559,094 | |||||||||
160,000 | Colorado Housing Finance Authority, 5.25% due 10/1/2007 | A1/AA+ | 160,011 | |||||||||
2,230,000 | Colorado Springs Utilities Revenue Systems Subordinated Lien Refunding & Improvement Series A, 5.00% due 11/15/2005 | Aa2/AA | 2,310,971 | |||||||||
500,000 | Cucharas Sanitation & Water District Refunding & Improvement, 7.25% due 1/1/2015 pre-refunded 1/1/2005 NR/NR | 511,795 | ||||||||||
500,000 | Denver City & County Certificates of Participation Series A, 5.50% due 5/1/2006 (Insured: MBIA) | Aaa/AAA | 528,015 | |||||||||
3,335,000 | Denver Convention Center Senior Series A, 5.00% due 12/1/2011 (Insured: XLCA) | Aaa/AAA | 3,678,072 | |||||||||
1,820,000 | Dove Valley Metropolitan District Arapahoe County,Series B, 3.30% due 11/1/2025 put 11/1/2005 @100 (LOC: BNP Paribas) | NR/A1+ | 1,848,283 | |||||||||
500,000 | El Paso County School District G.O.20 Series B, 8.25% due 12/15/2004 (State Aid Withholding) | Aa3/NR | 506,770 | |||||||||
1,000,000 | Highlands Ranch Metro District Number 2 G.O., 6.50% due 6/15/2012 (Insured: FSA) | Aaa/AAA | 1,206,710 | |||||||||
1,760,000 | Highlands Ranch Metropolitan District Number 3 Refunding Series B,5.25% due 12/1/2008 (Insured: ACA) | NR/A | 1,887,336 | |||||||||
1,520,000 | Highlands Ranch Metropolitan District Number 3 Series A, 5.25% due 12/1/2008 (Insured: ACA) | NR/A | 1,629,972 | |||||||||
1,000,000 | Lakewood Certificates of Participation, 4.40% due 12/1/2008 (Insured: MBIA) | Aaa/AAA | 1,070,090 | |||||||||
1,025,000 | Metropolitan Football Stadium District Colorado Sales Tax Revenue Capital Appreciation Series A, 0% due 1/1/2008 (Insured: MBIA) | Aaa/AAA | 938,316 | |||||||||
1,000,000 | Pinery West Metropolitan District Number 3, 4.70% due 12/1/2021 put 12/1/2007 (LOC: Compass Bank) | NR/A- | 1,044,310 | |||||||||
6,000,000 | Plaza Metropolitan District Number 1 Revenue, 7.60% due 12/1/2016 (Public Improvement Fee/Tax Increment Project) | NR/NR | 6,248,280 | |||||||||
1,000,000 | Regional Transportation District of Colorado Series A, 5.00% due 6/1/2009 (Transit Vehicles Project; Insured: AMBAC) | Aaa/AAA | 1,096,830 | |||||||||
1,000,000 | Section 14 Metropolitan District Jefferson Refunding Series A, 6.20% due 12/1/2013 (LOC: US Bank Trust) | NR/AA- | 1,007,440 | |||||||||
1,000,000 | Southland Company Medical District unlimited G.O., 6.75% due 12/1/2016 | NR/NR | 996,600 | |||||||||
1,150,000 | Superior Metropolitan District 1 Variable Refunding & Improvement Series A, 5.45% due 12/1/2020 put 12/1/2004 (LOC: BNP) | NR/AA | 1,156,003 |
Certified Annual Report 19
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
CONNECTICUT (0.40%) | ||||||||||||
$ | 1,325,000 | Bridgeport G.O., 6.00% due 3/1/2006 (Insured: AMBAC) | Aaa/AAA | $ | 1,401,214 | |||||||
800,000 | Bridgeport Series A Prerefunded, 6.00% due 3/1/2005 (Insured: AMBAC) (ETM)* | Aaa/AAA | 814,720 | |||||||||
885,000 | Bridgeport Series A Unrefunded Balance, 6.00% due 3/1/2005 (Insured: AMBAC) | Aaa/AAA | 900,983 | |||||||||
350,000 | Capitol Region Education Council, 6.375% due 10/15/2005 | NR/BBB | 363,086 | |||||||||
2,010,000 | New Haven Connecticut, 3.00% due 11/1/2004 (Insured: FGIC) | Aaa/AAA | 2,012,392 | |||||||||
DELAWARE (0.60%) | ||||||||||||
2,045,000 | Delaware State Economic Development Authority Revenue, 5.50% due 7/1/2025 put 7/1/2010 (Delmarva Power & Light Project) | Baa1/BBB | 2,171,524 | |||||||||
2,000,000 | Delaware State Health Facilities Authority Revenue, 6.25% due 10/1/2006 (Insured:MBIA) (ETM)* | Aaa/AAA | 2,040,980 | |||||||||
1,275,000 | Delaware State Health Facilities Authority Revenue Refunding Series A, 5.25% due 6/1/2011 (Beebe Medical Center Project) | Baa1/BBB | 1,376,171 | |||||||||
1,370,000 | Delaware State Health Facilities Authority Revenue Series A, 5.25% due 5/1/2012 (Nanticoke Memorial Hospital Project; Insured: Radian) | NR/AA | 1,504,548 | |||||||||
1,445,000 | Delaware State Health Facilities Authority Revenue Series A, 5.25% due 5/1/2013 (Nanticoke Memorial Hospital Project; Insured: Radian) | NR/AA | 1,569,328 | |||||||||
DISTRICT OF COLUMBIA (2.60%) | ||||||||||||
1,915,000 | District of Columbia, 5.50% due 6/1/2008 (Insured: AMBAC) | Aaa/AAA | 2,114,677 | |||||||||
1,000,000 | District of Columbia Certificates of Participation, 5.00% due 1/1/2008 (Public Safety & Emergency Project; insured: AMBAC) | Aaa/AAA | 1,079,870 | |||||||||
5,950,000 | District of Columbia Certificates of Participation, 5.25% due 1/1/2013 (Insured: AMBAC) | Aaa/AAA | 6,551,485 | |||||||||
4,430,000 | District of Columbia Hospital Revenue, 5.70% due 8/15/2008 (Medlantic Healthcare Project; Insured: MBIA) (ETM)* | Aaa/AAA | 4,805,930 | |||||||||
1,500,000 | District of Columbia Hospital Revenue Refunding, 5.10% due 8/15/2008 (Medlantic Healthcare Group A Project; Insured: MBIA) (ETM)* | Aaa/AAA | 1,629,255 | |||||||||
1,330,000 | District of Columbia Revenue, 6.00% due 8/15/2005 (Medlantic Healthcare Project; Insured: MBIA) (ETM)* | Aaa/AAA | 1,379,848 | |||||||||
500,000 | District of Columbia Revenue, 5.50% due 10/1/2005 (Insured: MBIA) | Aaa/AAA | 518,405 | |||||||||
500,000 | District of Columbia Revenue, 6.00% due 1/1/2007 (Insured: AMBAC) (American Assoc. for Advancement of Science Project; Insured: AMBAC) | Aaa/AAA | 541,975 | |||||||||
1,000,000 | District of Columbia Revenue, 6.00% due 1/1/2009 (American Assoc.for Advancement of Science Project; Insured: AMBAC) | Aaa/AAA | 1,127,410 | |||||||||
4,700,000 | District of Columbia Series A, 5.50% due 6/1/2009 (Insured: MBIA) | Aaa/AAA | 5,250,746 | |||||||||
2,000,000 | District of Columbia Tax Increment Capital Appreciation, 0% due 7/1/2009 (Mandarin Oriental Project; Insured: FSA) | Aaa/AAA | 1,723,120 | |||||||||
1,990,000 | District of Columbia Tax Increment Capital Appreciation, 0% due 7/1/2011 (Mandarin Oriental Project; Insured: FSA) | Aaa/AAA | 1,550,290 | |||||||||
1,480,000 | District of Columbia Tax Increment Capital Appreciation, 0% due 7/1/2012 (Mandarin Oriental Project; Insured: FSA) | Aaa/AAA | 1,096,517 | |||||||||
750,000 | Washington DC Convention Center Authority Dedicated Tax Revenue, 5.00% due 10/1/2006 (Insured: AMBAC) | Aaa/AAA | 793,958 | |||||||||
6,110,000 | Washington DC Convention Center Senior Lien,5.00% due 10/1/2007 (Insured: AMBAC) | Aaa/AAA | 6,591,529 | |||||||||
FLORIDA (5.00%) | ||||||||||||
5,000,000 | Broward County Resource Recovery Revenue Refunding, 5.375% due 12/1/2009 | A3/AA- | 5,470,250 | |||||||||
1,000,000 | Capital Projects Finance Authority Student Housing, 5.50% due 10/1/2012 (Capital Projects Student Housing; Insured: MBIA) | Aaa/AAA | 1,110,170 | |||||||||
2,996,000 | Crossings at Fleming Island Community Development Refunding Series B, 5.45% due 5/1/2010 (Insured: MBIA) | Aaa/AAA | 3,374,125 | |||||||||
7,000,000 | Dade County Solid Waste Systems Special Obligation Revenue Refunding, 6.00% due 10/1/2007 (Insured: AMBAC) | Aaa/AAA | 7,760,200 |
20 Certified Annual Report
SCHEDULE OF INVESTMENTS,CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 1,465,000 | Florida State Refunding, 6.00% due 7/1/2006 (Department of Transportation Right of Way Project) | Aa2/AA+ | $ | 1,569,337 | |||||||
1,000,000 | Hillsborough County Capital Improvement Program Revenue Refunding Junior Lien, 5.00% due 8/1/2008 (Criminal Justice Project; Insured: FGIC) | Aaa/AAA | 1,092,250 | |||||||||
2,400,000 | Hillsborough County Industrial Development Authority Pollution Control Revenue Refunding, 4.00% due 9/1/2025 put 8/1/2007 (Tampa Electric Co. Project) | Baa2/BBB- | 2,433,336 | |||||||||
5,000,000 | Jacksonville Electric St. John’s River Park Systems Revenue Refunding Issue-2 17th Series, 5.25% due 10/1/2012 | Aa2/AA- | 5,567,150 | |||||||||
1,910,000 | Miami Dade County School Board Certificates of Participation Series A, 5.00% due 5/1/2006 (Insured: MBIA) | Aaa/AAA | 2,005,118 | |||||||||
1,010,000 | Miami Dade County School Board Certificates of Participation Series B, 5.50% due 5/1/2031 put 5/1/2011 (Insured:MBIA) | Aaa/AAA | 1,131,018 | |||||||||
3,390,000 | Miami Dade County School Board Certificates of Participation Series C, 5.00% due 8/1/2007 (Insured: MBIA) | Aaa/AAA | 3,658,522 | |||||||||
3,700,000 | Miami Dade County Special Housing Revenue Refunding, 5.80% due 10/1/2012 (HUD Section 8) | Baa3/NR | 3,612,273 | |||||||||
1,395,000 | Orange County Health Facilities Authority, 5.80% due 11/15/2009 (Adventist Health System Project) | A2/A | 1,558,564 | |||||||||
3,120,000 | Orange County Health Facilities Authority Revenue Refunding, 6.25% due 11/15/2008 (Adventist Health Systems Project; Insured: AMBAC) | Aaa/AAA | 3,325,889 | |||||||||
925,000 | Orange County Health Facilities Authority Revenue Unrefunded Balance Series A, 6.25% due 10/1/2007 (Orlando Regional Hospital Project; Insured: MBIA) | Aaa/AAA | 1,029,284 | |||||||||
3,500,000 | Orange County School Board Certificates of Participation Series B, 1.73% due 8/1/2027 put 10/1/2004 (Insured: MBIA) (daily demand notes) | VMIG1/AAA | 3,500,000 | |||||||||
5,000,000 | Orange County School Board Certificates Series A, 5.00% due 8/1/2006 (Insured: MBIA) | Aaa/NR | 5,277,600 | |||||||||
1,455,000 | Orange County School District Series B, 1.73% due 8/1/2025 put 10/1/2004 (Insured: AMBAC) (daily demand notes) | Aaa/NR | 1,455,000 | |||||||||
940,000 | Palm Beach County Industrial Development Revenue Series 1996, 6.00% due 12/1/2006 (Lourdes-Noreen McKeen Residence Project; LOC: Allied Irish Bank) (ETM)* | NR/A | 1,017,108 | |||||||||
2,420,000 | Palm Beach County Solid Waste Authority Revenue Refunding Series A, 5.00% due 10/1/2005 | Aa3/AA- | 2,492,213 | |||||||||
1,000,000 | Pasco County Housing Finance Authority Multi Family Revenue Refunding Series A, 5.35% due 6/1/2027 put 6/1/2008 (Oak Trail Apts Project; Insured: AXA) | NR/AA- | 1,060,840 | |||||||||
3,445,000 | Pelican Marsh Community Development District Refunding Series A, 5.00% due 5/1/2011 (Insured: Radian) | NR/NR | 3,625,794 | |||||||||
100,000 | Sarasota County Public Hospital Board,1.80% due 7/1/2037 put 10/1/2004 (Sarasota Memorial Hospital Project) (daily demand notes) | VMIG1/A1+ | 100,000 | |||||||||
1,755,000 | St. Johns County Florida Industrial Development Authority Series A, 5.50% due 8/1/2014 (Presbyterian Retirement Project) | NR/NR | 1,866,864 | |||||||||
2,040,000 | Tampa Florida Guaranteed Entitlement Revenue Refunding, 6.00% due 10/1/2007 (Insured: AMBAC) | Aaa/AAA | 2,264,686 | |||||||||
3,000,000 | University Athletic Association Inc. Florida Athletic Program Revenue Refunding, 2.20% due 10/1/2031 put 10/1/2005 (LOC: Suntrust Bank) | VMIG1/NR | 3,013,230 | |||||||||
GEORGIA (1.00%) | ||||||||||||
1,000,000 | Georgia Municipal Association Inc.Certificates of Participation City Court Atlanta Project, 5.00% due 12/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,063,570 | |||||||||
1,550,000 | Georgia Municipal Electric Power Authority Revenue, 7.00% due 1/1/2008 (Insured: MBIA) | Aaa/AAA | 1,769,651 | |||||||||
730,000 | Georgia Municipal Electric Power Authority Revenue Series Y, 6.30% due 1/1/2006 | A2/A+ | 768,427 | |||||||||
2,000,000 | Monroe County Development Authority Pollution Control, 6.75% due 1/1/2010 (Oglethorpe Power Scherer A Refunding; Insured: MBIA) | Aaa/AAA | 2,357,600 | |||||||||
1,000,000 | Monroe County Development Authority Pollution Control Revenue Oglethorpe Power Scherer A, 6.80% due 1/1/2012 (Insured: MBIA) | Aaa/AAA | 1,219,580 | |||||||||
5,000,000 | Municipal Electric Authority Georgia Subordinated Series B, 5.00% due 1/1/2026 put 1/1/2009 (Project One; Insured: AMBAC) | Aaa/AAA | 5,429,550 | |||||||||
910,000 | Municipal Electric Authority Georgia Unrefunded Balance Subordinated A, 6.00% due 1/1/2006 (Project One; Insured: AMBAC) | Aaa/AAA | 956,519 |
Certified Annual Report 21
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
HAWAII (0.40%) | ||||||||||||
$ | 2,000,000 | Hawaii State Department of Budget & Finance Special Purpose Hawaiian Electric Co., 4.95% due 4/1/2012 (Insured: MBIA) | Aaa/AAA | $ | 2,187,140 | |||||||
1,000,000 | Hawaii State Refunding Series Cb, 5.75% due 1/1/2007 | Aa3/AA- | 1,081,020 | |||||||||
1,565,000 | Hawaii State Series CN, 6.25% due 3/1/2006 (Insured: FGIC) | Aaa/AAA | 1,661,169 | |||||||||
1,000,000 | Honolulu City & County Refunding Series A, 7.35% due 7/1/2006 | Aa2/AA- | 1,091,650 | |||||||||
ILLINOIS (12.00%) | ||||||||||||
3,345,000 | Champaign County Community Unit Series C, 0% due 1/1/2009 (Insured: FGIC) | Aaa/AAA | 2,936,040 | |||||||||
2,000,000 | Chicago Board of Education, 6.00% due 12/1/2009 (Insured: FGIC) | Aaa/AAA | 2,295,140 | |||||||||
750,000 | Chicago Board of Education School Reform, 6.25% due 12/1/2012 (Insured: MBIA) | Aaa/AAA | 897,053 | |||||||||
2,300,000 | Chicago Housing Authority Capital Program Revenue, 5.25% due 7/1/2010 | Aa3/AA | 2,528,068 | |||||||||
1,000,000 | Chicago Illinois Housing Authority Capital Program Revenue, 5.00% due 7/1/2007 | Aa3/AA | 1,067,440 | |||||||||
2,015,000 | Chicago Illinois Transit Authority Capital Grant Receipts Revenue Series A, 4.25% due 6/1/2008 (Insured: AMBAC) | Aaa/AAA | 2,077,707 | |||||||||
2,300,000 | Chicago Metropolitan Water Reclamation District, 6.90% due 1/1/2007 | Aaa/AA+ | 2,489,175 | |||||||||
1,340,000 | Chicago Midway Airport Revenue Series A, 5.40% due 1/1/2009 (Insured: MBIA) | Aaa/AAA | 1,437,230 | |||||||||
1,180,000 | Chicago Midway Airport Revenue Series C, 5.50% due 1/1/2013 (Insured: MBIA) | Aaa/AAA | 1,332,480 | |||||||||
3,420,000 | Chicago O’Hare International Airport Refunding General Airport Series A, 6.375% due 1/1/2012 (Insured: MBIA) | Aaa/AAA | 3,525,268 | |||||||||
1,000,000 | Chicago O’Hare International Airport Revenue, 5.375% due 1/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,059,990 | |||||||||
1,105,000 | Chicago O’Hare International Airport Revenue, 5.00% due 1/1/2012 (Insured: MBIA) | Aaa/AAA | 1,216,992 | |||||||||
1,000,000 | Chicago O’Hare International Airport Revenue 2nd Lien Series C-1, 5.00% due 1/1/2010 (Insured: MBIA) | Aaa/AAA | 1,094,450 | |||||||||
3,000,000 | Chicago O’Hare International Airport Revenue Passenger Facility Change Series A, 6.00% due 1/1/2006 (Insured: AMBAC) | Aaa/AAA | 3,152,220 | |||||||||
690,000 | Chicago O’Hare International Airport Revenue Refunding, 4.80% due 1/1/2005 (Insured: AMBAC) | Aaa/AAA | 695,458 | |||||||||
675,000 | Chicago O’Hare International Airport Revenue Refunding Series A, 4.90% due 1/1/2006 (Insured: MBIA) | Aaa/AAA | 690,039 | |||||||||
6,000,000 | Chicago O’Hare International Airport Revenue Series C-1, 5.00% due 1/1/2008 (Insured: MBIA) | Aaa/AAA | 6,479,220 | |||||||||
11,900,000 | Chicago Park District, 6.60% due 11/15/2014 partially pre-refunded 5/15/2005 | Aa3/AA | 12,483,457 | |||||||||
1,000,000 | Chicago Park District Parking Facility Revenue, 5.75% due 1/1/2010 (ETM)* | Baa1/A | 1,134,750 | |||||||||
750,000 | Chicago Public Commerce Building Revenue, 5.00% due 3/1/2005 (Insured: AMBAC) | Aaa/AAA | 760,395 | |||||||||
2,000,000 | Chicago Public Commerce Building Revenue Series C, 5.50% due 2/1/2006 (Insured: FGIC) | Aaa/AAA | 2,095,920 | |||||||||
2,000,000 | Chicago Refunding Series A, 5.375% due 1/1/2013 (Insured: MBIA) | Aaa/AAA | 2,232,240 | |||||||||
1,000,000 | Chicago Refunding Series A-2, 6.125% due 1/1/2012 (Insured: AMBAC) | Aaa/AAA | 1,176,600 | |||||||||
5,000,000 | Chicago Tax Increment Allocation Central Series A, 0% due 12/1/2005 (Insured: AMBAC) | Aaa/AAA | 4,893,800 | |||||||||
1,000,000 | Cicero Refunding Tax Increment Series A, 4.25% due 1/1/2007 (Insured: FGIC) | Aaa/AAA | 1,046,810 | |||||||||
1,000,000 | Collinsville Leased Facilities Revenue Refunding, 5.15% due 11/1/2004 (Insured: MBIA) | Aaa/AAA | 1,002,930 | |||||||||
2,545,000 | Cook & Will Counties Township High School District 206 Series C, 0% due 12/1/2005 (Insured: FSA) | Aaa/AAA | 2,490,588 | |||||||||
995,000 | Cook County Capital Improvement, 5.50% due 11/15/2008 pre-refunded 11/15/2006 | Aaa/AAA | 1,078,461 | |||||||||
2,250,000 | Cook County Community School District 97 Series B, 9.00% due 12/1/2013 (Insured: FGIC) | Aaa/NR | 3,184,402 | |||||||||
2,650,000 | Cook County Series C Refunding, 5.80% due 11/15/2004 (Insured: FGIC) | Aaa/AAA | 2,663,700 | |||||||||
5,000,000 | Du Page County Forest Preservation District, 0% due 11/1/2009 | Aaa/AAA | 4,263,650 | |||||||||
1,500,000 | Glenview Multi Family Revenue Refunding, 5.20% due 12/1/2027 put 12/1/2007 (Collateralized: FNMA) | NR/AAA | 1,570,620 | |||||||||
1,015,000 | Hoffman Estates Illinois Tax Increment Revenue, 0% due 5/15/2005 (Hoffman Estates Economic Dev. Project; Guaranty: Sears) | Baa1/NR | 994,213 | |||||||||
3,075,000 | Hoffman Estates Illinois Tax Increment Revenue, 0% due 5/15/2006 (Hoffman Estates Economic Dev. Project; Guaranty: Sears) | Baa1/NR | 2,915,315 | |||||||||
1,500,000 | Hoffman Estates Illinois Tax Increment Revenue Junior Lien, 0% due 5/15/2007 | Baa1/NR | 1,374,195 | |||||||||
5,000,000 | Hoffman Estates Illinois Tax Increment Revenue Refunding, 5.25% due 11/15/2009 (Economic Development Project; Insured: AMBAC) | Aaa/AAA | 5,021,400 | |||||||||
1,000,000 | Illinois Department Central Management Services Certificates of Participation, 5.85% due 7/1/2009 (Insured: MBIA) | Aaa/AAA | 1,065,100 |
22 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||
$3,000,000 | Illinois Development Finance Authority Pollution Control Revenue Refunding, 5.70% due 1/15/2009 (Commonwealth Edison Company Project; Insured: MBIA) | Aaa/AAA | $ | 3,340,620 | ||||
860,000 | Illinois Development Finance Authority Revenue, 4.00% due 11/15/2005 (Insured: XLCA) | Aaa/AAA | 880,718 | |||||
915,000 | Illinois Development Finance Authority Revenue, 4.00% due 11/15/2006 (Insured: XLCA) | Aaa/AAA | 951,316 | |||||
3,635,000 | Illinois Development Finance Authority Revenue, 6.00% due 11/15/2009 (Adventist Health Project; Insured: MBIA) | Aaa/AAA | 4,106,023 | |||||
1,005,000 | Illinois Development Finance Authority Revenue, 6.35% due 7/1/2010 pre-refunded 7/1/2005 (Elderly Housing 8 Mattoon Tower A Project) | A3/NR | 1,039,642 | |||||
3,860,000 | Illinois Development Finance Authority Revenue, 6.00% due 11/15/2010 (Adventist Health Project; Insured: MBIA) | Aaa/AAA | 4,397,968 | |||||
785,000 | Illinois Development Finance Authority Revenue, 5.25% due 2/15/2011 (Insured: AMBAC) | NR/AAA | 810,089 | |||||
1,000,000 | Illinois Development Finance Authority Revenue Refunding Community Rehab Providers A, 5.60% due 7/1/2005 | NR/BBB | 1,016,760 | |||||
1,000,000 | Illinois Development Finance Authority Revenue Refunding Community Rehab Providers A, 5.60% due 7/1/2006 | NR/BBB | 1,034,310 | |||||
4,500,000 | Illinois Development Finance Authority Revenue Refunding Community Rehab Providers Series A, 6.00% due 7/1/2015 | NR/BBB | 4,656,780 | |||||
6,035,000 | Illinois Development Finance Authority Revenue Series A, 5.75% due 5/15/2014 (Provena Health Project; Insured: MBIA) | Aaa/AAA | 6,698,126 | |||||
915,000 | Illinois Health Facilities Authority Revenue, 5.50% due 11/15/2007 (OSF Healthcare System Project) | A2/A | 982,234 | |||||
1,290,000 | Illinois Health Facilities Authority Revenue, 6.50% due 2/15/2008 (Iowa Health System Project) | A1/NR | 1,434,054 | |||||
1,375,000 | Illinois Health Facilities Authority Revenue, 6.50% due 2/15/2009 (Iowa Health System Project) | A1/NR | 1,551,619 | |||||
1,465,000 | Illinois Health Facilities Authority Revenue, 6.50% due 2/15/2010 (Iowa Health System Project) | A1/NR | 1,669,177 | |||||
1,560,000 | Illinois Health Facilities Authority Revenue, 6.00% due 2/15/2011 (Iowa Health System Project; Insured: AMBAC) | Aaa/AAA | 1,773,377 | |||||
1,000,000 | Illinois Health Facilities Authority Revenue Refunding, 4.00% due 8/15/2005 (University of Chicago Hospital & Health Project; Insured MBIA) | Aaa/AAA | 1,019,230 | |||||
1,000,000 | Illinois Health Facilities Authority Revenue Refunding, 5.00% due 8/15/2006 (University of Chicago Hospital & Health Project; Insured MBIA) | Aaa/AAA | 1,054,650 | |||||
1,500,000 | Illinois Health Facilities Authority Revenue Refunding, 5.00% due 8/15/2007 (University of Chicago Hospital & Health Project; Insured MBIA) | Aaa/AAA | 1,612,485 | |||||
1,500,000 | Illinois Health Facilities Authority Revenue Refunding, 5.00% due 8/15/2008 (University of Chicago Hospital & Health Project; Insured MBIA) | Aaa/AAA | 1,630,455 | |||||
3,000,000 | Illinois Health Facilities Authority Revenue Refunding, 5.50% due 11/15/2011 (Methodist Medical Center Project; Insured: MBIA) | Aaa/AAA | 3,321,420 | |||||
37,000 | Illinois Health Facilities Authority Revenue Series 1993-A, 7.875% due 8/15/2005 (Community Provider Pooled Loan Program Project) | NR/NR | 37,239 | |||||
1,000,000 | Illinois Health Facilities Authority Revenue University of Chicago, 5.00% due 8/15/2009 (Hospital Systems Project; Insured: MBIA) | Aaa/AAA | 1,092,460 | |||||
1,040,000 | Illinois Hospital District, 5.50% due 1/1/2010 (Insured: FGIC) | Aaa/AAA | 1,158,477 | |||||
500,000 | Illinois State COPS Central Management Department, 5.00% due 7/1/2007 (Insured: AMBAC) | Aaa/AAA | 537,595 | |||||
1,000,000 | Illinois State Partners Series A, 6.00% due 7/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,069,420 | |||||
2,250,000 | Illinois State Refunding, 5.125% due 12/1/2006 (Insured: FGIC) | Aaa/AAA | 2,375,865 | |||||
1,200,000 | Kane County Illinois School District Number 129 Aurora West Side Refunding, 5.50% due 2/1/2012 (Insured: FGIC) | Aaa/NR | 1,312,608 | |||||
920,000 | Kankakee Series A, 5.25% due 1/1/2012 pre-refunded 1/1/2006 @100 | Aaa/AAA | 959,698 | |||||
80,000 | Kankakee Unrefunded Balance Series A, 5.25% due 1/1/2012 (Insured: FSA) | Aaa/AAA | 83,188 | |||||
1,000,000 | Lake County Community Consolidated School District 73, 9.00% due 1/1/2006 (Insured: FSA) | Aaa/NR | 1,086,260 | |||||
2,000,000 | Lake County Community High School District 117 Series B, 0% due 12/1/2006 (Insured: FGIC) | Aaa/NR | 1,904,420 | |||||
3,235,000 | Lake County Community High School District 117 Series B, 0% due 12/1/2011 (Insured: FGIC) | Aaa/NR | 2,481,827 | |||||
2,370,000 | Lake County Consolidated High School Refunding, 3.00% due 12/1/2004 | NR/AA- | 2,374,977 | |||||
2,990,000 | Lake County Consolidated High School Refunding, 3.25% due 12/1/2005 | NR/AA- | 3,035,926 | |||||
1,000,000 | McHenry & Kane Counties Community Consolidated School District 158, 0% due 1/1/2010 (Insured: FGIC) | Aaa/AAA | 833,390 |
Certified Annual Report 23
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||
$1,250,000 | Metropolitan Pier & Exposition Authority Dedicated State Tax Revenue Refunding Series A-2002, 6.00% due 6/15/2007 pre-refunded 6/15/2006 @ 102 (McCormick Place Exposition Project; Insured: AMBAC) | Aaa/AAA | $ | 1,361,050 | ||||
3,750,000 | Metropolitan Pier & Exposition Authority Dedicated State Tax Revenue Refunding Series A-2002, 6.00% due 6/15/2007 pre-refunded 6/15/2006 @102 (McCormick Place Exposition Project; Insured: AMBAC) | Aaa/AAA | 4,063,012 | |||||
2,445,000 | Naperville City, Du Page & Will Counties Economic Development Revenue, 6.10% due 5/1/2008 (Hospital & Health System Association Project; LOC: American National Bank) | NR/A1+ | 2,535,514 | |||||
1,100,000 | Peoria Public Building Commission School District Facilities Revenue, 0% due 12/1/2007 (Insured: FGIC) | Aaa/NR 1 | ,015,938 | |||||
6,300,000 | University of Illinois Revenue, 0% due 10/1/2006 (Insured: MBIA) | Aaa/AAA | 6,032,313 | |||||
INDIANA (4.30%) | ||||||||
1,370,000 | Allen County Economic Development Revenue, 5.00% due 12/30/2012 (Indiana Institute of Technology Project) | NR/NR | 1,449,583 | |||||
965,000 | Allen County Economic Development Revenue First Mortgage, 5.20% due 12/30/2005 (Indiana Institute of Technology Project) | NR/NR | 999,634 | |||||
690,000 | Allen County Economic Development Revenue First Mortgage, 5.30% due 12/30/2006 (Indiana Institute of Technology Project) | NR/NR | 729,827 | |||||
1,110,000 | Allen County Economic Development Revenue First Mortgage, 5.60% due 12/30/2009 (Indiana Institute of Technology Project) | NR/NR | 1,199,310 | |||||
1,115,000 | Allen County Jail Building Corp. First Mortgage, 5.75% due 10/1/2010 | Aa3/NR | 1,274,724 | |||||
1,000,000 | Ball State University Revenues Student Fee Series K, 5.75% due 7/1/2012 (Insured: FGIC) | Aaa/AAA | 1,148,480 | |||||
1,085,000 | Boone County Hospital Association Lease Revenue, 5.00% due 1/15/2007 (Insured: FGIC) (ETM)* | Aaa/AAA | 1,156,361 | |||||
850,000 | Boonville Junior High School Building Corp. Revenue, 0% due 7/1/2010 (State Aid) | NR/A | 677,960 | |||||
850,000 | Boonville Junior High School Building Corp. Revenue, 0% due 1/1/2011 (State Aid) | NR/A | 658,274 | |||||
950,000 | Boonville Junior High School Building Corp. Revenue Refunding, 0% due 7/1/2011 (State Aid) | NR/A | 719,407 | |||||
1,175,000 | Center Grove 2000 Building First Mortgage, 5.00% due 7/15/2009 (Insured: AMBAC) | Aaa/AAA | 1,289,116 | |||||
1,135,000 | Center Grove 2000 Building First Mortgage, 5.00% due 7/15/2010 (Insured: AMBAC) | Aaa/AAA | 1,250,747 | |||||
910,000 | Eagle Union Middle School Building Corp., 5.50% due 7/15/2009 (Insured: AMBAC) (ETM)* | Aaa/AAA | 1,023,504 | |||||
1,860,000 | Elberfeld J. H. Castle School Building Corp. Indiana First Mortgage (State Aid), 0% due 1/15/2006 | NR/A | 1,799,346 | |||||
1,860,000 | Elberfeld J. H. Castle School Building Corp. Indiana First Mortgage Refunding, 0% due 7/5/2008 (Insured: MBIA) | Aaa/AAA | 1,675,860 | |||||
965,000 | Evansville Vanderburgh School Building Corp. First Mortgage, 5.00% due 1/15/2008 (Insured: FSA) | Aaa/AAA | 1,042,393 | |||||
965,000 | Goshen Multi School Building Corp. 1st Mortgage, 5.20% due 7/15/2007 (Insured: MBIA) | Aaa/AAA | 1,043,705 | |||||
2,305,000 | Hammond Multi-School Building Corp. First Mortgage Refunding Bond Series 1997, 6.00% due 7/15/2008 (Lake County Project) | NR/A | 2,513,119 | |||||
390,000 | Huntington Economic Development Revenue, 6.00% due 11/1/2006 (United Methodist Membership Project) | NR/NR | 412,526 | |||||
700,000 | Huntington Economic Development Revenue, 6.15% due 11/1/2008 (United Methodist Membership Project) | NR/NR | 762,048 | |||||
790,000 | Huntington Economic Development Revenue, 6.20% due 11/1/2010 (United Methodist Membership Project) | NR/NR | 845,403 | |||||
85,000 | Indiana Health Facility Financing Authority Hospital Revenue, 5.75% due 11/1/2005 (Daughters of Charity Project) (ETM)* | Aaa/NR | 86,665 | |||||
1,265,000 | Indiana Health Facility Financing Authority Hospital Revenue Series D, 5.00% due 11/1/2026 pre-refunded 11/1/2007 | Aaa/NR | 1,345,935 | |||||
1,000,000 | Indiana Municipal Power Agency Power Supply Systems Revenue Refunding Series B, 5.80% due 1/1/2008 (Insured: MBIA) | Aaa/AAA | 1,105,930 | |||||
670,000 | Indiana State Educational Facilities Authority Revenue, 5.75% due 10/1/2009 (University of Indianapolis Project) | NR/A- | 744,477 | |||||
2,500,000 | Indiana University Revenues Refunding, 0% due 8/1/2007 (Insured: AMBAC) | Aaa/AAA | 2,333,175 | |||||
1,000,000 | Indianapolis Airport Authority Revenue Refunding Series A, 5.75% due 7/1/2005 (Insured: FGIC) | Aaa/AAA | 1,030,060 | |||||
1,100,000 | Indianapolis Airport Authority Revenue Refunding Series A, 5.35% due 7/1/2007 (Insured: FGIC) | Aaa/AAA | 1,180,388 | |||||
1,220,000 | Indianapolis Local Public Improvement Bond Bank Transportation Revenue, 0% due 7/1/2005 (ETM)* | Aa2/NR | 1,204,640 | |||||
1,240,000 | Indianapolis Local Public Improvement Bond Bank Transportation Revenue, 0% due 7/1/2006 (ETM)* | Aa2/NR | 1,196,873 | |||||
2,200,000 | Indianapolis Resource Recovery Revenue Refunding, 6.75% due 12/1/2004 (Ogden Martin Systems, Inc. Project; Insured: AMBAC) | Aaa/AAA | 2,217,864 | |||||
2,000,000 | Indianapolis Resource Recovery Revenue Refunding, 6.75% due 12/1/2006 (Ogden Martin Systems, Inc. Project; Insured: AMBAC) | Aaa/AAA | 2,181,120 |
24 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||
$855,000 | Knox Middle School Building Corp. First Mortgage, 6.00% due 7/15/2008 (Insured: FGIC) | Aaa/AAA | $ | 960,336 | ||||
455,000 | Knox Middle School Building Corp. First Mortgage, 6.00% due 7/15/2009 (Insured: FGIC) | Aaa/AAA | 518,573 | |||||
890,000 | Merrillville Multi School Building Corp. Refunding First Mortgage, 6.55% due 7/1/2005 (Insured: MBIA) | Aaa/AAA | 921,844 | |||||
625,000 | Monroe County Community School Building Corp. Revenue Refunding, 5.00% due 1/15/2007 (Insured: AMBAC) | Aaa/AAA | 665,531 | |||||
940,000 | North Adams Community Schools, 4.00% due 7/15/2005 (Insured: FSA) | Aaa/AAA | 956,854 | |||||
1,070,000 | North Central Campus School Building Corp. Indiana, 4.50% due 7/10/2005 (Insured: AMBAC) | Aaa/AAA | 1,093,069 | |||||
684,000 | Northwest Allen Building Corp. First Mortgage, 5.30% due 12/1/2005 (Insured: MBIA) | Aaa/AAA | 700,238 | |||||
835,000 | Peru Community School Corp. Refunding First Mortgage, 0% due 7/1/2010 | NR/A | 665,996 | |||||
1,655,000 | Plymouth Multi School Building Corp. Refunding, 5.50% due 7/1/2005 (Plymouth Community School Project; Insured: MBIA) | Aaa/AAA | 1,702,300 | |||||
4,000,000 | Rockport Pollution Control Revenue Series C, 2.625% due 4/1/2025 put 10/1/2006 (Indiana Michigan Power Co. Project) | Baa2/BBB | 3,998,080 | |||||
1,540,000 | Vigo County Elementary School Building Corp. Refunding & Improvement First Mortgage, 4.00% due 1/10/2006 (Insured: FSA) | Aaa/AAA | 1,581,349 | |||||
1,635,000 | Vigo County Elementary School Building Corp. Refunding & Improvement First Mortgage, 4.00% due 1/10/2008 (Insured: FSA) | Aaa/AAA | 1,716,145 | |||||
995,000 | Wawasee Community School Corp. First Mortgage, 5.50% due 7/15/2010 (State Aid) | NR/AA- | 1,116,460 | |||||
1,095,000 | Wawasee Community School Corp. First Mortgage, 5.50% due 7/15/2011 (State Aid) | NR/AA- | 1,235,193 | |||||
2,080,000 | West Clark School Building Corp. First Mortgage, 5.75% due 7/15/2011 (Insured: FGIC) | Aaa/AAA | 2,392,603 | |||||
1,820,000 | Westfield Elementary School Building Corp. First Mortgage Series 1997, 6.80% due 7/15/2007 (Insured: AMBAC) (ETM)* | Aaa/AAA | 2,043,514 | |||||
IOWA (2.10%) | ||||||||
2,900,000 | Ankeny Community School District Sales & Services Tax Revenue, 5.00% due 7/1/2010 | NR/A+ | 3,145,166 | |||||
3,515,000 | Des Moines Limited Obligation Revenue, 6.25% due 12/1/2015 put 12/1/2005 (Des Moines Parking Associates Project; LOC: Wells Fargo Bank) | NR/NR | 3,521,151 | |||||
6,650,000 | Iowa Finance Authority Commercial Development Revenue Refunding, 5.75% due 4/1/2014 put 4/1/2010 (Governor Square Project; Insured: AXA) | NR/AA | 7,049,599 | |||||
435,000 | Iowa Finance Authority Hospital Facility Revenue, 6.50% due 2/15/2007 (Iowa Health Services Project) | A1/NR | 472,867 | |||||
1,765,000 | Iowa Finance Authority Hospital Facility Revenue, 6.50% due 2/15/2009 (Iowa Health Services Project) | A1/NR | 1,993,250 | |||||
1,955,000 | Iowa Finance Authority Hospital Facility Revenue, 6.50% due 2/15/2010 (Iowa Health Services Project) | A1/NR | 2,229,521 | |||||
3,145,000 | Iowa Finance Authority Hospital Facility Revenue, 6.00% due 2/15/2011 (Iowa Health Services Project; Insured: AMBAC) | Aaa/AAA | 3,580,173 | |||||
1,430,000 | Iowa Finance Authority Revenue Trinity Health Series B, 5.75% due 12/1/2007 | Aa3/AA- | 1,566,279 | |||||
3,295,000 | Iowa Finance Authority Revenue Trinity Health Series B, 5.75% due 12/1/2010 | Aa3/AA- | 3,720,154 | |||||
1,170,000 | Iowa University of Science & Technology Revenue Refunding Series B, 5.20% due 7/1/2005 (Academic Building Project) | Aa3/A+ | 1,200,467 | |||||
390,000 | University of Iowa Facilities Corp. Revenue Series A, 4.875% due 6/1/2005 | Aa2/AA- | 397,960 | |||||
KANSAS (0.10%) | ||||||||
500,000 | Dodge Unified School District 443 Ford County, 8.25% due 9/1/2006 (Insured: FSA) | Aaa/AAA | 558,555 | |||||
1,160,000 | Wichita Water & Sewer Utility Revenue, 5.50% due 10/1/2011 (Insured: FGIC) | Aaa/AAA | 1,247,847 | |||||
KENTUCKY (1.40%) | ||||||||
145,000 | Campbell & Kenton Counties Sanitation District Number 1 Revenue, 6.50% due 8/1/2005 (ETM)* | Aaa/AAA | 150,886 | |||||
1,580,000 | Kentucky Economic Development Finance Authority Refunding & Improvement Series A, 5.00% due 2/1/2009 (Ashland Hospital; Insured: FSA) | Aaa/AAA | 1,723,180 | |||||
1,000,000 | Kentucky Economic Development Finance Authority Refunding & Improvement Series A, 5.00% due 2/1/2010 (Ashland Hospital; Insured: FSA) | Aaa/AAA | 1,093,310 | |||||
7,400,000 | Kentucky Economic Development Finance Authority Series C, 0% due 10/1/2009 converts to 5.35% 10/1/2005 (Norton Healthcare Project; Insured: MBIA) | Aaa/AAA | 7,799,674 |
Certified Annual Report 25
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||
$7,830,000 | Kentucky Economic Development Finance Authority Series C, 0% due 10/1/2010 converts to 5.40% 10/1/2005 (Norton Healthcare Project; Insured: MBIA) | Aaa/AAA | $ | 8,325,247 | ||||
390,000 | Kentucky State Turnpike Authority Resources Recovery Revenue, 0% due 7/1/2006 (Insured: FGIC) | Aaa/AAA | 367,169 | |||||
150,000 | Louisville Water Revenue Refunding, 6.00% due 11/15/2006 (ETM)* | Aaa/AAA | 161,945 | |||||
LOUISIANA (2.70%) | ||||||||
4,125,000 | Jefferson Parish Hospital District 2, 5.25% due 12/1/2015 crossover-refunded 12/1/2005 (Insured: FGIC) | Aaa/AAA | 4,275,810 | |||||
1,440,000 | Jefferson Sales Tax District Special Sales Tax Revenue Refunding, 5.25% due 12/1/2006 \ (Insured: AMBAC) | Aaa/AAA | 1,540,109 | |||||
1,515,000 | Jefferson Sales Tax District Special Sales Tax Revenue Refunding, 5.25% due 12/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,654,698 | |||||
1,000,000 | Louisiana Local Govt. Environmental Facilities & Community Dev. Auth. Multi Family Revenue Series A, 5.00% due 9/1/2012 (Bellemont Apartments Project) | Baa1/NR | 989,020 | |||||
2,255,000 | Louisiana PFA Revenue, 5.375% due 12/1/2008 (Wynhoven Health Care Center Project; Guaranty: Archdiocese of New Orleans) | NR/NR | 2,341,164 | |||||
1,000,000 | Louisiana Public Facilities Authority Revenue, 5.75% due 10/1/2008 (Loyola University Project) | A1/A+ | 1,116,190 | |||||
1,280,000 | Louisiana Public Facilities Authority Revenue Refunding, 5.50% due 10/1/2006 (Loyola University Project) | A1/A+ | 1,365,696 | |||||
7,135,000 | Louisiana State Correctional Facility Lease, 5.00% due 12/15/2008 (Insured: Radian) | NR/AA | 7,729,845 | |||||
2,350,000 | Louisiana State Offshore Terminal Authority Deepwater Port Revenue, 4.375% due 10/1/2020 put 6/1/2007 (Loop LLC Project) | A3/A-1 | 2,454,974 | |||||
5,000,000 | Louisiana State Offshore Terminal Refunding Series D, 4.00% due 9/1/2023 put 9/1/2008 (Loop LLC Project) | A3/A-1 | 5,165,900 | |||||
1,250,000 | Louisiana State Refunding Series A, 7.75% due 8/1/2006 (Insured: MBIA) | Aaa/AAA | 1,380,325 | |||||
5,050,000 | New Orleans Parish School Board, 0% due 2/1/2008 (ETM)* | Aaa/AAA | 4,309,417 | |||||
1,000,000 | New Orleans Refunding, 0% due 9/1/2006 (Insured: AMBAC) | Aaa/AAA | 960,070 | |||||
3,000,000 | St. Charles Parish Pollution Control Revenue Variable Refunding Series A, 4.90% due 6/1/2030 put 6/1/2005 (Entergy Louisiana Inc. Project) | Baa2/BBB- | 3,039,540 | |||||
MAINE (0.10%) | ||||||||
1,000,000 | Regional Waste Systems Inc. Solid Waste Resources Recovery Revenue Series P, 6.25% due 7/1/2010 (Insured: FSA) | Aaa/AAA | 1,052,510 | |||||
MARYLAND (0.50%) | ||||||||
580,000 | Baltimore Maryland, 7.00% due 10/15/2009 (Insured: MBIA) | Aaa/AAA | 693,245 | |||||
2,050,000 | Baltimore Public Improvement Series A, 7.00% due 10/15/2006 (Insured: MBIA) | Aaa/AAA | 2,255,369 | |||||
1,000,000 | Howard County Retirement Community Revenue Series A, 7.25% due 5/15/2015 pre-refunded 5/15/2010 | NR/NR | 1,223,330 | |||||
2,500,000 | Howard County Retirement Community Revenue Series A, 7.875% due 5/15/2021 pre-refunded 5/15/2010 | NR/NR | 3,134,125 | |||||
MASSACHUSETTS (2.50%) | ||||||||
2,000,000 | Boston Economic Development & Industrial Corp., 5.15% due 7/1/2025 put 7/1/2005 (LOC: Fleet National Bank) | Aa3/NR | 2,036,620 | |||||
3,470,000 | Massachusetts Development Finance Agency Resource Recovery Revenue Series A, 5.50% due 1/1/2011 (Insured: MBIA) | Aaa/AAA | 3,893,791 | |||||
1,000,000 | Massachusetts Industrial Finance Agency Pollution Control Revenue Refunding, 5.875% due 8/1/2008 (Eastern Edison Co. Project) | A2/A | 1,013,190 | |||||
1,000,000 | Massachusetts Industrial Finance Agency Revenue, 8.375% due 2/15/2018 pre-refunded 2/15/2006 @ 102 (Glenmeadow Retirement Project) | NR/NR | 1,101,490 | |||||
900,000 | Massachusetts Municipal Wholesale Electric Co. Power Supply Systems Revenue, 5.00% due 7/1/2005 (Stony Brook Intermediate Project A; Insured: MBIA) | Aaa/AAA | 922,095 | |||||
4,000,000 | Massachusetts Municipal Wholesale Electric Co. Power Supply Systems Revenue Number 1-Series A, 5.00% due 7/1/2007 (Nuclear Mix Project; Insured: MBIA) | Aaa/AAA | 4,299,680 | |||||
1,000,000 | Massachusetts Municipal Wholesale Electric Co. Power Supply Systems Revenue Series A, 5.00% due 7/1/2005 (Stony Brook Peaking Project; Insured: MBIA) | Aaa/AAA | 1,024,550 | |||||
2,000,000 | Massachusetts State Federal Highway Grant Anticipation Notes Series A, 5.25% due 6/15/2009 | Aa3/NR | 2,210,540 |
26 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||
$8,120,000 | Massachusetts State Health & Educational Facilities Authority Capital Assets Program Series D, 1.72% due 1/1/2035 (Insured: MBIA) (Daily Demand Notes) | VMIG1/A1+ | $ | 8,120,000 | ||||
3,415,000 | Massachusetts State Health & Educational Series H, 5.375% due 5/15/2012 (New England Medical Center Hospital Project; Insured: FGIC) | Aaa/AAA | 3,831,630 | |||||
1,220,000 | Massachusetts State Industrial Finance Agency Revenue, 5.90% due 7/1/2027 pre-refunded 7/1/2007 (Dana Hall School Project) | Baa2/NR | 1,361,459 | |||||
1,000,000 | Massachusetts State Refunding Series A, 5.375% due 8/1/2008 | Aa2/AA- | 1,103,850 | |||||
1,000,000 | Massachusetts State Refunding Series A, 6.00% due 11/1/2008 | Aa2/AA- | 1,131,090 | |||||
1,500,000 | Massachusetts State Refunding Series A, 5.50% due 1/1/2010 | Aa2/AA- | 1,680,915 | |||||
1,500,000 | Taunton G. O., 8.00% due 2/1/2006 (Insured: MBIA) | Aaa/AAA | 1,620,855 | |||||
MICHIGAN (2.80%) | ||||||||
2,450,000 | Dearborn Economic Development Corp. Oakwood Obligation Group Series A, 5.75% due 11/15/2015 (Insured: FGIC) | Aaa/AAA | 2,594,893 | |||||
1,000,000 | Detroit Convention Facility, 5.25% due 9/30/2007 | NR/A | 1,075,140 | |||||
1,405,000 | Detroit Michigan Series A, 6.00% due 4/1/2007 (Insured: FGIC) (ETM)* | Aaa/AAA | 1,540,442 | |||||
2,500,000 | Dickinson County Healthcare Systems Hospital Revenue Refunding, 5.50% due 11/1/2013 (Insured: ACA) | NR/A | 2,703,375 | |||||
1,670,000 | Jackson County Hospital Finance Authority Hospital Revenue Series A, 5.00% due 6/1/2006 (W.A. Foote Memorial Hospital Project; Insured: AMBAC) | Aaa/NR | 1,753,667 | |||||
1,000,000 | Kalamazoo Hospital Finance Authority Facility Revenue, 5.50% due 5/15/2005 (Bronson Methodist Hospital Project; Insured: MBIA) | Aaa/NR | 1,023,380 | |||||
1,000,000 | Lansing Building Authority, 6.00% due 6/1/2005 (Insured: AMBAC) (ETM)* | Aaa/AAA | 1,000,100 | |||||
2,000,000 | Michigan Hospital Finance Authority Revenue, 5.375% due 7/1/2012 (Insured: FSA) | Aaa/AAA | 2,089,060 | |||||
10,000,000 | Michigan Hospital Finance Authority Revenue Series A, 5.375% due 11/15/2033 put 11/15/2007 (Ascension Health Project) | Aa2/AA | 10,863,200 | |||||
655,000 | Michigan Housing Development Authority Single Family Insured Mortgage Revenue Series A, 5.00% due 4/1/2010 (Insured: FHA/VA Mtgs) | Aa1/AA+ | 655,799 | |||||
1,500,000 | Michigan State Building Authority Revenue Refunding Facilities Program Series 1, 5.00% due 4/15/2005 | Aa2/AA | 1,526,790 | |||||
4,000,000 | Michigan State Building Authority Revenue Refunding Facilities Program Series 1, 5.00% due 10/15/2007 (Insured: FSA) | Aaa/AAA | 4,329,080 | |||||
4,000,000 | Michigan State Building Authority Revenue Refunding Facilities Program Series 1, 5.00% due 10/15/2008 (Insured: FSA) | Aaa/AAA | 4,380,800 | |||||
1,000,000 | Michigan State Job Development Authority Pollution Control Revenue, 5.55% due 4/1/2009 (General Motors Corp. Project; Guaranty: GM) | Baa1/BBB | 1,001,560 | |||||
1,000,000 | Missouri State Health & Educational Facilities Authority Revenue Series A, 5.00% due 6/1/2011 | NR/AA- | 1,087,060 | |||||
1,000,000 | Oakland County Economic Development Corp. Limited, 5.50% due 6/1/2014 pre-refunded 6/1/2007 @ 102 (LOC: First of America Bank-Central) | A1/NR | 1,107,530 | |||||
800,000 | Oxford Area Community School District, 5.00% due 5/1/2012 (Guaranty: School Bond Loan Fund) | Aa1/AA+ | 880,512 | |||||
MINNESOTA (1.20%) | ||||||||
1,000,000 | Breckenridge Health Facilities Revenue Catholic Health Corp., 5.25% due 11/15/2013 (Insured: MBIA) | Aaa/AAA | 1,022,690 | |||||
5,000,000 | Minneapolis Refunding Series B, 5.15% due 3/1/2009 | Aa1/AAA | 5,153,250 | |||||
3,130,000 | Minneapolis St. Paul Health Care Systems, 5.25% due 12/1/2011 (Healthpartners Obligation Group Project) | Baa1/BBB+ | 3,320,116 | |||||
1,000,000 | Minneapolis St. Paul Health Care Systems, 5.25% due 12/1/2012 (Healthpartners Obligation Group Project) | Baa1/BBB+ | 1,055,070 | |||||
1,500,000 | Minneapolis St. Paul Health Care Systems, 5.25% due 12/1/2013 (Healthpartners Obligation Group Project) | Baa1/BBB+ | 1,572,630 | |||||
1,915,000 | Osseo Independent School District 279 Crossover Refunding Series B, 5.00% due 2/1/2006 | Aa2/NR | 1,996,100 | |||||
1,000,000 | Southern Minnesota Municipal Power Agency Revenue Refunding Series A, 5.00% due 1/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,039,820 | |||||
1,450,000 | University of Minnesota Refunding Series A, 5.50% due 7/1/2006 | Aa2/AA | 1,540,814 | |||||
MISSISSIPPI (0.50%) | ||||||||
1,020,000 | Gautier Utility District Systems Revenue Refunding, 5.50% due 3/1/2012 (Insured: FGIC) | Aaa/NR | 1,161,545 | |||||
700,000 | Hattiesburg Water & Sewer Revenue Refunding Systems, 5.20% due 8/1/2006 (Insured: AMBAC) | Aaa/AAA | 732,613 |
Certified Annual Report 27
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||
$1,000,000 | Mississippi Hospital Equipment & Facilities Authority Revenue, 6.50% due 5/1/2006 (Refunding Mississippi Baptist Medical Center; Insured: MBIA) | Aaa/AAA | $ | 1,045,860 | ||||
915,000 | Ridgeland Multi Family Housing Revenue, 4.95% due 10/1/2007 (Collateralized: FNMA) | NR/A1+ | 933,355 | |||||
3,050,000 | Warren County Mississippi Pollution Control Revenue Series A, 5.625% due 11/15/2006 (International Paper Company Project) | Baa2/BBB | 3,058,022 | |||||
MISSOURI (0.60%) | ||||||||
425,000 | Jackson County Public Building Corp. Leasehold Revenue Series 1996, 6.00% due 12/1/2004 (Capital Improvement Project; Insured: MBIA) | Aaa/AAA | 428,124 | |||||
1,275,000 | Missouri Development Finance Board Healthcare Facilities Revenue Series A, 4.80% due 11/1/2012 (Lutheran Home Aged Project; LOC: Commerce Bank) | A2/NR | 1,325,860 | |||||
1,530,000 | Platte County Certificates of Participation, 5.00% due 9/1/2008 | NR/AA- | 1,663,156 | |||||
840,000 | Springfield Certificates of Participation, 5.20% due 6/1/2006 (Law Enforcement Communication Project) | Aa3/NR | 883,411 | |||||
840,000 | Springfield Certificates of Participation, 5.25% due 6/1/2007 (Law Enforcement Communication Project) | Aa3/NR | 903,916 | |||||
2,495,000 | St. Louis County Refunding, 5.00% due 8/15/2007 (Convention & Sports Facility Project B 1; Insured: AMBAC) | Aaa/AAA | 2,689,335 | |||||
MONTANA (1.20%) | ||||||||
11,440,000 | Forsyth Pollution Control Revenue Refunding, 5.00% due 10/1/2032 put 12/30/2008 (Insured: AMBAC) | Aaa/AAA | 12,446,148 | |||||
4,000,000 | Forsyth Pollution Control Revenue Refunding, 5.20% due 5/1/2033 put 5/1/2009 (Portland General Project) | Baa2/BBB+ | 4,249,960 | |||||
NEBRASKA (1.40%) | ||||||||
1,995,000 | Lancaster County School District 1, 4.00% due 7/15/2007 (Lincoln Public School Project) | Aa2/AAA | 2,097,643 | |||||
1,455,000 | Madison County Hospital Authority Revenue 1, 5.25% due 7/1/2010 (Faith Regional Health Services Project; Insured: Radian) | NR/AA | 1,598,477 | |||||
1,625,000 | Madison County Hospital Authority Revenue 1, 5.50% due 7/1/2012 (Faith Regional Health Services Project; Insured: Radian) | NR/AA | 1,806,204 | |||||
2,655,000 | Nebraska IFA Tax Exempt Multi Family Housing Revenue Refunding 1995-A, 5.50% due 12/1/2025 put 12/1/2005 (Willow Park Apartments Project; Collateralized: FNMA) | NR/AAA | 2,715,083 | |||||
1,400,000 | Nebraska Public Power District Revenue General Series A, 5.25% due 1/1/2007 (Insured: MBIA) | Aaa/AAA | 1,499,694 | |||||
5,000,000 | Omaha Public Power District Nebraska Electric Revenue Refunding Systems B, 5.00% due 2/1/2013 | Aa2/AA | 5,528,900 | |||||
2,095,000 | Omaha Public Power District Nebraska Electric Revenue Series A, 7.50% due 2/1/2006 (ETM)* | NR/AA | 2,183,723 | |||||
1,500,000 | University of Nebraska Facilities Corp., 5.00% due 7/15/2008 | Aa2/AA- | 1,634,910 | |||||
NEVADA (1.20%) | ||||||||
840,000 | Colorado River Commission Power Delivery A, 7.00% due 9/15/2008 | Aa2/AA | 952,274 | |||||
5,000,000 | Humboldt County Pollution Control Revenue Refunding, 6.55% due 10/1/2013 (Sierra Pacific Project; Insured: AMBAC) | Aaa/AAA | 5,225,500 | |||||
1,770,000 | Las Vegas Special Refunding Local Improvement District 707 Series A, 5.125% due 6/1/2011 (Insured: FSA) | Aaa/AAA | 1,941,938 | |||||
1,470,000 | Nevada Housing Division FNMA Multi Family Certificate A, 4.80% due 4/1/2008 (Collateralized: FNMA) | NR/AAA | 1,523,008 | |||||
1,000,000 | Sparks Redevelopment Agency Tax Allocation Revenue Refunding Series A, 5.70% due 1/15/2009 (Insured: Radian) | NR/AA | 1,105,330 | |||||
1,000,000 | Sparks Redevelopment Agency Tax Allocation Revenue Refunding Series A, 5.70% due 1/15/2010 (Insured: Radian) | NR/AA | 1,111,240 | |||||
1,285,000 | Sparks Redevelopment Agency Tax Allocation Revenue Refunding Series A, 5.70% due 1/15/2011 (Insured: Radian) | NR/AA | 1,426,633 | |||||
3,500,000 | Washoe County School District, 5.50% due 6/1/2008 (Insured: FSA) | Aaa/AAA | 3,872,715 | |||||
NEW HAMPSHIRE (0.30%) | ||||||||
1,500,000 | Manchester New Hampshire Housing & Redevelopment Authority Revenue Series A, 6.05% due 1/1/2012 (Insured: ACA) | NR/A | 1,643,535 |
28 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||
$2,485,000 | New Hampshire Industrial Development Authority Revenue, 5.50% due 12/1/2009 put 12/1/2004 (Central Vermont Public Services Project; LOC: Citizens Bank) | NR/AA- | $ | 2,495,188 | ||||
NEW JERSEY (2.00%) | ||||||||
5,000,000 | New Jersey State Transit Corp. Federal Transit Administration Grants Series B, 5.50% due 9/15/2007 (Insured: AMBAC) | Aaa/AAA | 5,445,100 | |||||
3,000,000 | New Jersey State Transport Trust Fund Authority Series C, 5.00% due 6/15/2007 (Transportation Systems Project) | A1/A+ | 3,216,240 | |||||
5,000,000 | New Jersey State Transport Trust Fund Authority Series C, 5.00% due 6/15/2008 (Transportation Systems Project) | A1/A+ | 5,426,400 | |||||
5,000,000 | New Jersey State Transport Trust Fund Authority Series C, 5.00% due 6/15/2009 (Transportation Systems Project) | A1/A+ | 5,464,550 | |||||
3,015,000 | New Jersey State Turnpike Authority Revenue Refunding Series A, 5.50% due 1/1/2006 (Insured: MBIA) | Aaa/AAA | 3,152,092 | |||||
1,780,000 | Newark Housing Authority Port Authority Rental Backed, 3.50% due 1/1/2006 (Newark Marine Terminal Redevelopment Project; Insured: MBIA) | Aaa/AAA | 1,816,170 | |||||
1,000,000 | Newark Housing Authority Port Authority Rental Backed, 5.00% due 1/1/2007 (Newark Marine Terminal Redevelopment Project; Insured: MBIA) | Aaa/AAA | 1,064,140 | |||||
1,000,000 | Newark Housing Authority Port Authority Rental Backed, 5.00% due 1/1/2010 (Newark Marine Terminal Redevelopment Project; Insured: MBIA) | Aaa/AAA | 1,098,010 | |||||
1,515,000 | Pequannock River Basin Regional Sewage Authority Refunding Series M, 5.00% due 12/1/2006 (Sewer Revenue Project; Insured: MBIA) | Aaa/NR | 1,573,115 | |||||
NEW MEXICO (1.70%) | ||||||||
8,900,000 | Albuquerque Airport Revenue Adjustment Refunding Subordinated, 1.66% due 7/1/2014 put 10/7/2004 (Insured: AMBAC) (weekly demand notes) | VMIG1/A-2 | 8,900,000 | |||||
3,200,000 | Farmington Pollution Control Revenue, 1.73% due 9/1/2024 put 10/1/2004 (LOC: Barclays Bank) (daily demand notes) | P1/A1+ | 3,200,000 | |||||
4,865,000 | New Mexico Highway Commission Revenue Subordinated Lien Tax Series B, 5.00% due 6/15/2011 (Insured: AMBAC) | Aaa/AAA | 5,352,668 | |||||
1,350,000 | New Mexico State, 4.00% due 3/1/2005 | Aa1/AA+ | 1,363,325 | |||||
1,000,000 | New Mexico State Refunding Series B, 5.00% due 9/1/2005 | Aa1/AA+ | 1,030,020 | |||||
2,650,000 | New Mexico State Severance Tax, 5.00% due 7/1/2005 | Aa2/AA | 2,715,481 | |||||
1,260,000 | New Mexico State University Revenues Refunding & Improvement, 4.00% due 4/1/2006 (Insured: FSA) | Aaa/AAA | 1,300,534 | |||||
NEW YORK (6.90%) | ||||||||
1,625,000 | Brookhaven Industrial Development Agency Civic Facility Revenue, 4.375% due 11/1/2031 put 11/1/2006 (Methodist Retirement Community Project; LOC: Northfork Bank) | A2/A- | 1,659,905 | |||||
1,000,000 | Hempstead Industrial Development Agency Resource Recovery Revenue Refunding, 5.00% due 12/1/2007 (American Ref-Fuel Project; Insured: MBIA) | Aaa/AAA | 1,075,890 | |||||
1,000,000 | Hempstead Town Industrial Development Agency Refunding, 5.00% due 12/1/2008 (American Fuel Co. Project; Insured: MBIA) | Aaa/AAA | 1,068,960 | |||||
1,500,000 | Long Island Power Authority Electric Systems Revenue General Series A, 6.00% due 12/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,671,240 | |||||
7,000,000 | Long Island Power Authority General Series B, 5.00% due 12/1/2006 | Baa1/A- | 7,401,030 | |||||
8,000,000 | Metropolitan Transportation Authority New York Revenue Series B, 5.00% due 11/15/2007 | A2/A | 8,610,640 | |||||
4,535,000 | Metropolitan Transportation Authority New York Service Series B, 5.25% due 7/1/2007 | A3/AA- | 4,901,065 | |||||
1,050,000 | Monroe County Industrial Development Agency, 5.375% due 6/1/2007 (St. John Fisher College Project; Insured: Radian) | NR/AA | 1,133,265 | |||||
600,000 | New York City Adjustment Series C, 1.68% due 10/1/2023 put 10/1/2004 (LOC: JPM) (daily demand notes) | VMIG1/A1+ | 600,000 | |||||
355,000 | New York City Housing Development Corp. Multi Family Housing Revenue Refunding Series A, 5.50% due 11/1/2009 | Aa2/AA | 359,803 |
Certified Annual Report 29
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||
$2,215,000 | New York City Industrial Development Agency Civic Facility, 5.25% due 6/1/2011 (Lycee Francais De New York Project Series A; Insured: ACA) | NR/A | $ | 2,371,268 | ||||
2,330,000 | New York City Industrial Development Agency Civic Facility, 5.25% due 6/1/2012 (Lycee Francais De New York Project Series A; Insured: ACA) | NR/A | 2,491,702 | |||||
1,300,000 | New York City Refunding Series H, 1.73% due 8/1/2014 put 10/1/2004 (Insured: FSA) (daily demand notes) | VMIG1/A1+ | 1,300,000 | |||||
600,000 | New York City Transitional Finance Authority, 1.80% due 11/1/2022 put 10/1/2004 (LOC: Bank of New York) (daily demand notes) | VMIG1/A1+ | 600,000 | |||||
1,500,000 | New York City Transitional Refunding Future Tax Secured Series A, 4.50% due 11/1/2004 | Aa2/AA+ | 1,503,690 | |||||
1,040,000 | New York Dormitory Authority, 6.00% due 7/1/2007 (Champlain Valley Physicians Project; Insured: Connie Lee) | NR/AAA | 1,145,248 | |||||
1,370,000 | New York Dormitory Authority Revenues, 6.00% due 9/1/2008 pre-refunded 9/1/2005 (Norton Healthcare Project) | NR/AA | 1,440,089 | |||||
1,600,000 | New York Dormitory Authority Revenues Mental Health Services Facilities Improvement B, 5.00% due 8/15/2010 (Insured: MBIA) | Aaa/AAA | 1,770,960 | |||||
4,000,000 | New York Dormitory Authority Revenues Series B, 5.25% due 11/15/2026 put 5/15/2012 (Insured: AMBAC) | Aaa/AAA | 4,463,320 | |||||
560,000 | New York Medical Care Facilities Finance Agency Revenue, 6.40% due 11/1/2014 (Insured: FSA) | Aaa/AAA | 562,061 | |||||
1,000,000 | New York Municipal Water Finance Authority Water & Sewer Systems Revenue Series 93-C, 1.73% due 6/15/2022 put 10/1/2004 (daily demand notes); (Insured: FGIC) | VMIG1/A1+ | 1,000,000 | |||||
1,000,000 | New York Series B, 5.50% due 8/1/2011 (Insured: MBIA) | Aaa/AAA | 1,139,650 | |||||
1,300,000 | New York Series B, 1.73% due 8/15/2018 put 10/1/2004 (daily demand notes) | VMIG1/A1+ | 1,300,000 | |||||
4,870,000 | New York State Dormitory Authority Revenue Refunding, 5.00% due 2/15/2010 (Wyckoff Heights Project; Insured: AMBAC) | Aaa/AAA | 5,282,781 | |||||
1,000,000 | New York State Dormitory Authority Revenues, 5.875% due 7/1/2005 (Teresian House Project; LOC: Fleet Bank) | Aa3/NR | 1,028,700 | |||||
15,100,000 | New York State Dormitory Authority Revenues, 4.00% due 12/15/2005 | NR/AA | 15,499,546 | |||||
3,500,000 | New York State Dormitory Authority Revenues, 5.00% due 7/1/2007 (City University Systems Project) | NR/AA- | 3,749,585 | |||||
1,820,000 | New York State Dormitory Authority Revenues, 5.50% due 7/1/2012 (South Nassau Community Hospital B Project) | Baa1/NR | 1,999,052 | |||||
1,500,000 | New York State Dormitory Authority Revenues, 5.50% due 7/1/2013 (South Nassau Community Hospital B Project) | Baa1/NR | 1,644,360 | |||||
1,135,000 | New York State Medical Care Facilities Finance Agency Revenue Bonds Series F, 6.20% due 8/15/2015 pre-refunded 8/15/05 @102 (Insured: FHA) | Aa2/AA | 1,202,601 | |||||
2,500,000 | New York State Urban Development Corp. Revenue Refunding Facilities A, 6.50% due 1/1/2011 (Correctional Capital Project; Insured: FSA) | Aaa/AAA | 2,970,250 | |||||
1,320,000 | New York Thruway Authority General Revenue Special Obligation, 0% due 1/1/2006 | NR/A- | 1,281,614 | |||||
255,000 | New York Urban Development Corp. Revenue University Facilities Grants, 6.00% due 1/1/2006 | A3/AA- | 267,776 | |||||
3,425,000 | New York Urban Development Corp. Series 7, 6.00% due 1/1/2006 | A3/AA- | 3,596,593 | |||||
710,000 | Oneida County Industrial Development Agency Series C, 6.00% due 1/1/2009 (Civic Facility Faxton Hospital Project; Insured: Radian) | NR/AA | 797,124 | |||||
500,000 | Port Authority New York & New Jersey Special Obligation, 1.73% due 5/1/2019 put 10/1/2004 (daily demand notes) | VMIG1/A1+ | 500,000 | |||||
2,000,000 | Tobacco Settlement Financing Corp. Asset Backed Series B 1C, 5.25% due 6/1/2013 | NR/AA- | 2,144,380 | |||||
1,000,000 | Tobacco Settlement Financing Corp. New York Revenue Asset Backed Series A-1C, 5.25% due 6/1/2012 (Secured: State Contingency Contract) | NR/AA- | 1,049,690 | |||||
2,000,000 | Tobacco Settlement Financing Corp. New York Revenue Asset Backed Series B-1C, 5.25% due 6/1/2013 (Insured: XLCA) | Aaa/AAA | 2,179,140 | |||||
2,055,000 | Yonkers New York Series B, 4.00% due 10/15/2009 (Insured: FSA) | Aaa/AAA | 2,175,731 | |||||
NORTH CAROLINA (2.60%) | ||||||||
1,100,000 | Cabarrus County Certificates of Participation Installment Financing Contract, 4.50% due 2/1/2007 (Insured:AMBAC) | Aaa/AAA | 1,160,775 | |||||
1,000,000 | Charlotte Certificates of Participation Series B, 5.00% due 6/1/2006 (FY Project) | Aa1/AA+ | 1,050,100 |
30 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||
$1,000,000 | Macon County Certificates of Participation, 4.00% due 6/1/2007 (Insured: AMBAC) | Aaa/AAA | $ | 1,046,820 | ||||
925,000 | North Carolina Capital Facilities Finance Agency Educational Facilities Revenue Series A, 5.00% due 4/1/2007 (Johnson & Wales University Project; Insured: XLCA) | Aaa/AAA | 988,437 | |||||
2,860,000 | North Carolina Eastern Municipal Power Agency Power Systems Revenue, 6.125% due 1/1/2009 (Insured: MBIA) | Aaa/AAA | 3,244,756 | |||||
1,000,000 | North Carolina Eastern Municipal Power Agency Power Systems Revenue Refunding Series A, 6.00% due 1/1/2006 (Insured: MBIA) | Aaa/AAA | 1,050,740 | |||||
3,000,000 | North Carolina Eastern Municipal Power Agency Power Systems Revenue Refunding Series D, 5.375% due 1/1/2011 | Baa2/BBB | 3,257,100 | |||||
650,000 | North Carolina Eastern Municipal Power Agency Power Systems Revenue Series C, 5.25% due 1/1/2012 | Baa2/BBB | 701,948 | |||||
1,000,000 | North Carolina Eastern Municipal Power Agency Power Systems Series A, 5.50% due 1/1/2012 | Baa2/BBB | 1,095,540 | |||||
1,055,000 | North Carolina Eastern Municipal Power Agency Power Systems Series C, 5.25% due 1/1/2013 | Baa2/BBB | 1,139,157 | |||||
1,350,000 | North Carolina Medical Care Commission, 5.00% due 6/1/2006 (Rex Healthcare Project; Insured: AMBAC) | Aaa/AAA | 1,419,700 | |||||
2,400,000 | North Carolina Municipal Power Agency 1 Catawba Electric Revenue, 6.00% due 1/1/2010 (Insured: MBIA) | Aaa/AAA | 2,744,856 | |||||
2,505,000 | North Carolina Municipal Power Agency 1 Catawba Electric Revenue Series A, 5.50% due 1/1/2013 | Baa1/BBB+ | 2,776,016 | |||||
1,000,000 | North Carolina Municipal Power Agency 1 Catawba Electric Revenue Series B, 6.375% due 1/1/2013 | Baa1/BBB+ | 1,129,710 | |||||
3,400,000 | North Carolina Municipal Power Agency Series A, 6.00% due 1/1/2007 (Insured: MBIA) | Aaa/AAA | 3,692,502 | |||||
3,900,000 | North Carolina Municipal Power Agency Series A, 6.00% due 1/1/2008 (Insured: MBIA) | Aaa/AAA | 4,335,318 | |||||
2,000,000 | North Carolina State Certificates of Participation Series B, 5.00% due 6/1/2009 (Repair & Renovation Project) | Aa2/AA+ | 2,191,820 | |||||
2,000,000 | Raleigh Durham Airport Authority Airport Revenue Series A, 5.50% due 11/1/2006 (Insured: FGIC) | Aaa/NR | 2,141,440 | |||||
1,030,000 | University of North Carolina Systems Pool Revenue Refunding Series B, 5.00% due 4/1/2012 (Insured: AMBAC) | Aaa/AAA | 1,148,429 | |||||
NORTH DAKOTA (0.10%) | ||||||||
910,000 | Grand Forks Health Care Systems Revenue Bond Series 1997, 6.25% due 8/15/2005 (Altru Health System Project; Insured: MBIA) | Aaa/AAA | 944,780 | |||||
OHIO (2.60%) | ||||||||
2,205,000 | Bellefontaine Hospital Revenue Refunding, 6.00% due 12/1/2013 (Mary Rutan Health Associates Project) | NR/BBB+ | 2,255,054 | |||||
3,995,000 | Cleveland Cuyahoga County Port Authority Revenue, 6.00% due 11/15/2010 | NR/NR | 4,285,317 | |||||
1,000,000 | Cuyahoga County Hospital Revenue Refunding Series A, 4.75% due 2/15/2008 (Metrohealth Systems Project; Insured: MBIA) | Aaa/AAA | 1,075,890 | |||||
2,705,000 | Cuyahoga County Hospital Revenue Refunding Series B, 6.00% due 1/15/2006 (University Hospital Health Systems Project) | Baa1/A | 2,839,411 | |||||
1,400,000 | Hudson City Library Improvement, 6.35% due 12/1/2011 | Aa1/NR | 1,649,732 | |||||
520,000 | Lake County Sewer & Water District Improvement, 5.30% due 12/1/2011 | Aa2/NR | 562,297 | |||||
1,200,000 | Lorain County Hospital Revenue Refunding Catholic Healthcare Partners B, 6.00% due 9/1/2008 (Insured: MBIA) | Aaa/AAA | 1,338,264 | |||||
1,300,000 | Mahoning Valley District Water Refunding, 5.85% due 11/15/2008 (Insured: FSA) | Aaa/AAA | 1,468,935 | |||||
770,000 | Mahoning Valley District Water Refunding, 5.90% due 11/15/2009 (Insured: FSA) | Aaa/AAA | 882,843 | |||||
2,250,000 | Montgomery County Revenue, 6.00% due 12/1/2008 (Catholic Health Initiatives Project) | Aa2/AA | 2,515,950 | |||||
2,385,000 | Montgomery County Revenue, 6.00% due 12/1/2009 (Catholic Health Initiatives Project) | Aa2/AA | 2,690,543 | |||||
1,530,000 | Montgomery County Revenue, 6.00% due 12/1/2010 (Catholic Health Initiatives Project) | Aa2/AA | 1,737,636 | |||||
1,000,000 | Montgomery County Solid Waste Revenue, 6.00% due 11/1/2005 (Insured: MBIA) | Aaa/AAA | 1,045,620 | |||||
2,000,000 | Ohio State Building Authority Refunding Adult Corrections Facilities, 5.00% due 10/1/2006 (Insured: FSA) | Aaa/AAA | 2,120,060 | |||||
1,000,000 | Ohio State G.O., 6.65% due 9/1/2009 (Infrastructure Improvement Project) | Aa1/AA+ | 1,117,910 | |||||
1,000,000 | Ohio State Highway Capital Improvement Series C, 5.00% due 5/1/2006 | Aa1/AAA | 1,050,030 | |||||
5,000,000 | Ohio State Unlimited Tax G.O. Series A, 5.75% due 6/15/2010 pre-refunded 6/15/2009 @ 100 | Aa1/AA+ | 5,673,800 | |||||
680,000 | Plain Local School District Capital Appreciation, 0% due 12/1/2006 (Insured: FGIC) | Aaa/NR | 648,516 | |||||
845,000 | Plain Local School District Capital Appreciation, 0% due 12/1/2007 (Insured: FGIC) | Aaa/NR | 783,611 | |||||
975,000 | Reading Revenue Development, 6.00% due 2/1/2009 (St. Mary’s Educational Institute Project; Insured: Radian) | NR/AA | 1,092,341 |
Certified Annual Report 31
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||
Oklahoma (2.30%) | ||||||||
$1,235,000 | Claremore Public Works Authority Revenue Refunding, 6.00% due 6/1/2006 (Insured: FSA) | Aaa/NR | $ | 1,319,042 | ||||
1,340,000 | Claremore Public Works Authority Revenue Refunding, 6.00% due 6/1/2007 (Insured: FSA) | Aaa/NR | 1,476,037 | |||||
660,000 | Jenks Aquarium Authority Revenue First Mortgage, 5.50% due 7/1/2010 (Insured: MBIA) | Aaa/NR | 720,218 | |||||
2,380,000 | Oklahoma Authority Revenue Refunding Health Systems Obligation Group Series A, 5.75% due 8/15/2007 (Insured: MBIA) | Aaa/AAA | 2,608,551 | |||||
2,340,000 | Oklahoma Authority Revenue Refunding Health Systems Obligation Group Series A, 6.00% due 8/15/2010 (Insured: MBIA) | Aaa/AAA | 2,652,952 | |||||
740,000 | Oklahoma Development Finance Authority Health Facilities Revenue, 5.75% due 6/1/2011 (Insured: AMBAC) | Aaa/AAA | 844,325 | |||||
1,070,000 | Oklahoma Development Finance Authority Hospital Revenue Refunding, 5.00% due 10/1/2012 (Unity Health Center Project) | NR/BBB+ | 1,114,748 | |||||
1,215,000 | Oklahoma Development Finance Authority Hospital Revenue Series A, 5.25% due 12/1/2011 (Duncan Regional Hospital Project) | NR/A- | 1,317,692 | |||||
1,330,000 | Oklahoma Development Finance Authority Hospital Revenue Series A, 5.25% due 12/1/2012 (Duncan Regional Hospital Project) | NR/A- | 1,436,347 | |||||
1,250,000 | Oklahoma Development Finance Authority Hospital Revenue Series A, 5.25% due 12/1/2013 (Duncan Regional Hospital Project) | NR/A- | 1,342,462 | |||||
5,000,000 | Oklahoma Housing Development Authority Revenue Lease Purchase Program Series A, 5.10% due 11/1/2005 | Aa3/NR | 5,168,350 | |||||
1,000,000 | Oklahoma State Industrial Authority Revenue Refunding Integris Health System, 5.50% due 8/15/2005 (Insured: MBIA) | Aaa/AAA | 1,032,360 | |||||
2,750,000 | Tulsa County Independent School Building, 4.00% due 6/1/2008 | Aa3/NR | 2,895,970 | |||||
2,650,000 | Tulsa County Independent School District, 4.50% due 8/1/2006 | Aa3/A+ | 2,772,377 | |||||
1,500,000 | Tulsa County Industrial Authority Capital Series B, 4.00% due 5/15/2005 | NR/AA | 1,521,525 | |||||
2,000,000 | Tulsa County Industrial Authority Capital Series B, 4.00% due 5/15/2006 | NR/AA | 2,067,380 | |||||
1,000,000 | Tulsa Metropolitan Utility Authority Water Series A, 5.60% due 11/1/2004 | NR/AA | 1,003,340 | |||||
750,000 | Tulsa Public Facilities Authority Solid Waste Steam & Electric Revenue Refunding Series 1994, 5.45% due 11/1/2004 (Ogden Martin Systems of Tulsa Project; Insured: AMBAC) | Aaa/AAA | 752,310 | |||||
OREGON (0.50%) | ||||||||
4,000,000 | Clackamas County Hospital Facility Authority Revenue Refunding, 5.00% due 5/1/2008 (Legacy Health Systems Project) | Aa3/AA | 4,320,480 | |||||
1,000,000 | Medford Hospital Facilities Authority Revenue Series A, 5.25% due 8/15/2006 (Asante Health Systems Project; Insured: MBIA) | Aaa/AAA | 1,060,370 | |||||
1,000,000 | Salem Hospital Facility Authority Revenue, 5.25% due 8/15/2014 (Salem Hospital Project) | NR/AA- | 1,063,310 | |||||
750,000 | Salem Oregon Water & Sewer Revenue, 6.00% due 6/1/2005 (Insured: MBIA) | Aaa/AAA | 771,495 | |||||
PENNSYLVANIA (1.90%) | ||||||||
1,505,000 | Allegheny County Hospital Development Health Series B, 6.30% due 5/1/2009 (South Hills Health System Project) | Baa1/NR | 1,578,820 | |||||
1,000,000 | Allegheny County Hospital Development Refunding, 4.40% due 11/1/2005 (Health Center UPMC Health Systems Project; Insured: MBIA) | Aaa/AAA | 1,028,050 | |||||
1,325,000 | Central Bucks School District Refunding, 5.50% due 11/15/2009 (State Aid Withholding) | A1/NR | 1,376,754 | |||||
1,000,000 | Delaware County Pennsylvania Authority Revenue, 5.50% due 11/15/2007 (Insured: AMBAC) | Aaa/AAA | 1,091,820 | |||||
1,000,000 | Geisinger Authority Health Systems Revenue, 5.50% due 8/15/2009 | Aa3/AA- | 1,095,870 | |||||
1,605,000 | Manheim Township School Authority School Revenue Series 1978, 6.625% due 12/1/2007 pre-refunded 12/1/2005 | NR/AAA | 1,689,038 | |||||
730,000 | Montgomery County Higher Education & Health Authority, 6.25% due 7/1/2006 | Baa3/NR | 754,667 | |||||
550,000 | Montgomery County Higher Education & Health Authority, 6.375% due 7/1/2007 | Baa3/NR | 577,681 | |||||
1,500,000 | Pennsylvania Higher Educational Facilities Authority Health Services Revenue, 5.50% due 1/1/2009 (University of Pennsylvania Health Systems Project) | A3/A | 1,558,635 |
32 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||
$750,000 | Pennsylvania Higher Educational Facility Series A, 6.00% due 1/1/2005 (University of Pennsylvania Health Systems Project) | A3/A | $ | 757,950 | ||||
1,500,000 | Pennsylvania State Higher Educational Facilities Authority Revenue, 4.00% due 11/1/2032 put 11/1/2005 (LOC: Allied Irish Banks PLC) | VMIG1/NR | 1,535,640 | |||||
900,000 | Pennsylvania State Second Series, 5.25% due 10/1/2008 | Aa2/AA | 994,797 | |||||
1,000,000 | Philadelphia Hospital & Higher Education Facilities Authority Revenue, 5.50% due 5/15/2006 (Jefferson Health Systems Project) | Aa3/AA- | 1,051,970 | |||||
4,000,000 | Philadelphia Pennsylvania Gas Works Revenue Sixteenth Series, 5.25% due 7/1/2006 (Insured: FSA) | Aaa/AAA | 4,219,840 | |||||
1,000,000 | Pottsville Pennsylvania Hospital Authority Revenue Acsension Health Credit Series A, 5.20% due 11/15/2009 (Insured: AMBAC) | Aaa/AAA | 1,104,510 | |||||
1,255,000 | Sayre Pennsylvania Health Care Facilities Authority Series A, 5.00% due 7/1/2008 (Latrobe Area Hospital Project; Insured: AMBAC) | Aaa/AAA | 1,363,859 | |||||
1,320,000 | Sayre Pennsylvania Health Care Facilities Authority Series A, 5.00% due 7/1/2009 (Latrobe Area Hospital Project; Insured: AMBAC) | Aaa/AAA | 1,443,420 | |||||
1,400,000 | Sayre Pennsylvania Health Care Facilities Authority Series A, 5.25% due 7/1/2011 (Latrobe Area Hospital Project; Insured: AMBAC) | Aaa/AAA | 1,558,592 | |||||
1,000,000 | Sayre Pennsylvania Health Care Facilities Authority Series A, 5.25% due 7/1/2012 (Latrobe Area Hospital Project; Insured: AMBAC) | Aaa/AAA | 1,115,710 | |||||
RHODE ISLAND (2.00%) | ||||||||
1,075,000 | Providence Public Building Authority Refunding Series B, 5.75% due 12/15/2007 (Insured: FSA) | Aaa/AAA | 1,189,423 | |||||
1,000,000 | Providence Public Building Authority School Project Series B, 5.00% due 12/15/2005 (Insured: MBIA) | Aaa/AAA | 1,038,480 | |||||
1,000,000 | Providence Public Building Authority School Project Series B, 4.00% due 12/15/2006 (Insured: MBIA) | Aaa/AAA | 1,042,550 | |||||
1,000,000 | Providence Public Building Authority School Project Series B, 4.00% due 12/15/2007 (Insured: MBIA) | Aaa/AAA | 1,052,610 | |||||
1,880,000 | Providence Series C, 5.50% due 1/15/2012 (Insured: FSA) | Aaa/AAA | 2,146,659 | |||||
4,455,000 | Rhode Island Bond Authority Revenue Refunding Series A, 5.00% due 10/1/2005 (State Public Projects; Insured: AMBAC) | Aaa/AAA | 4,599,208 | |||||
10,085,000 | Rhode Island Bond Authority Revenue Refunding Series A, 5.00% due 10/1/2006 (State Public Projects; Insured: AMBAC) | Aaa/AAA | 10,686,268 | |||||
2,075,000 | Rhode Island Economic Development Corp. Revenue, 5.75% due 7/1/2010 (Providence Place Mall Project; Insured: Radian) | NR/AA | 2,332,342 | |||||
1,960,000 | Rhode Island State Health & Education Building, 4.50% due 9/1/2009 (Butler Hospital Project; LOC: Fleet National Bank) | NR/AA- | 2,084,813 | |||||
1,565,000 | Rhode Island State Health & Educational Building Corp. Revenue Hospital Financing, 5.25% due 7/1/2014 (Memorial Hospital Project; LOC: Fleet Bank) | NR/AA- | 1,681,248 | |||||
SOUTH CAROLINA (1.60%) | ||||||||
2,050,000 | Charleston County Certificates of Participation, 6.00% due 12/1/2007 (Insured: MBIA) | Aaa/AAA | 2,281,834 | |||||
1,350,000 | Charleston County Certificates of Participation Refunding, 5.00% due 6/1/2007 (Charleston Public Facilities Corp. Project; Insured: MBIA) | Aaa/AAA | 1,445,472 | |||||
1,445,000 | Kershaw County School District Series B, 4.60% due 3/1/2007 | Aa1/AA+ | 1,489,665 | |||||
1,000,000 | Medical University of South Carolina Hospital Facilities Revenue, 5.50% due 7/1/2005 (ETM)* | Baa2/NR | 1,028,890 | |||||
945,000 | Piedmont Municipal Power Agency Electric Revenue, 6.375% due 1/1/2006 (Insured: FGIC) | Aaa/AAA | 998,648 | |||||
1,250,000 | South Carolina Jobs Economic Development Authority Hospital Facilities Revenue Improvement, 7.125% due 12/15/2015 pre-refunded 12/15/2010 (Palmetto Health Alliance Project) | Baa2/BBB | 1,533,488 | |||||
2,600,000 | South Carolina Jobs Economic Development Authority Hospital Facilities Revenue Improvement Series A, 7.375% due 12/15/2021 pre-refunded 12/15/2010 (Palmetto Health Alliance Project) | Baa2/BBB | 3,225,820 | |||||
3,530,000 | South Carolina State Public Service Authority Refunding Series A, 6.50% due 1/1/2008 (Insured: MBIA) | Aaa/AAA | 3,796,127 | |||||
2,000,000 | South Carolina State Public Service Authority Revenue Refunding Series D, 5.00% due 1/1/2006 | Aa2/AA- | 2,077,360 | |||||
2,315,000 | South Carolina State Public Service Authority Revenue Refunding Series D, 5.00% due 1/1/2007 | Aa2/AA- | 2,462,419 | |||||
1,720,000 | York County Refunding, 5.00% due 6/1/2006 (Insured: FSA) | Aaa/AAA | 1,809,371 |
Certified Annual Report 33
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||
SOUTH DAKOTA (0.30%) | ||||||||
$1,100,000 | South Dakota Health & Educational Facilities Authority Revenue, 5.50% due 9/1/2011 (Rapid City Regional Hospital Project; Insured: MBIA) | Aaa/AAA | $ | 1,240,822 | ||||
1,000,000 | South Dakota State Health & Educational Facilities Authority Revenue Refunding, 6.25% due 7/1/2009 (McKennan Hospital Project; Insured: MBIA) | Aaa/AAA | 1,144,340 | |||||
1,000,000 | South Dakota State Health & Educational Facilities Authority Revenue Refunding, 6.00% due 7/1/2014 (McKennan Hospital Project; Insured: MBIA) | Aaa/AAA | 1,083,100 | |||||
TENNESSEE (0.60%) | ||||||||
2,420,000 | Clarksville Natural Gas Refunding, 5.00% due 11/1/2004 | NR/BBB+ | 2,424,961 | |||||
770,000 | Franklin Industrial Development Multi Family Refunding Housing Series A, 5.75% due 4/1/2010 (Insured: FSA) | Aaa/AAA | 811,980 | |||||
1,000,000 | Hamilton County Industrial Development Board, 5.75% due 9/1/2005 (Insured: FGIC) | Aaa/AAA | 1,036,550 | |||||
2,000,000 | Knox County Health Educational & Housing Facilities Board Hospital Facilities Revenue Refunding, 5.00% due 1/1/2006 (Insured: FSA) | Aaa/AAA | 2,077,100 | |||||
1,000,000 | Metropolitan Government Nashville & Davidson County Water & Sewer Revenue Refunding, 6.00% due 1/1/2007 (Insured: MBIA) | Aaa/AAA | 1,086,950 | |||||
1,050,000 | Shelby County Series A, 0% due 5/1/2011 pre-refunded 5/1/2005 @ 69.561 | Aa2/AA+ | 723,503 | |||||
TEXAS (11.10%) | ||||||||
1,350,000 | Amarillo Health Facilities Corp. Hospital Revenue, 5.50% due 1/1/2011 (Baptist St. Anthony’s Hospital Corp. Project; Insured: FSA) | Aaa/NR | 1,511,635 | |||||
1,000,000 | Austin Texas Refunding, 5.00% due 3/1/2011 | Aa2/AA+ | 1,102,890 | |||||
1,000,000 | Bell County Health Facilities Development Corp. Revenue Series A, 6.25% due 8/15/2010 (Scott & White Memorial Hospital Project; Insured: MBIA) | Aaa/AAA | 1,156,560 | |||||
1,800,000 | Bexar County Housing Finance Corp. Multi Family Housing Revenue, 5.00% due 1/1/2011 (Insured: MBIA) | Aaa/NR | 1,934,658 | |||||
1,250,000 | Cedar Hill Independent School District Refunding, 0% due 8/15/2010 (Guaranty: PSF) | NR/AAA | �� | 1,000,488 | ||||
1,700,000 | Clint Independent School District Refunding, 5.50% due 2/15/2011 (Guaranty: PSF) | Aaa/AAA | 1,924,111 | |||||
1,425,000 | Clint Independent School District Refunding, 5.50% due 2/15/2012 (Guaranty: PSF) | Aaa/AAA | 1,600,018 | |||||
3,300,000 | Coppell Independent School District Refunding, 0% due 8/15/2007 (Guaranty: PSF) | NR/AAA | 3,076,425 | |||||
1,025,000 | Corpus Christi Business & Job Development Corp. Sales Tax Revenue, 5.00% due 9/1/2012 (Refunding & Improvement Arena Project; Insured: AMBAC) | Aaa/AAA | 1,135,977 | |||||
2,000,000 | Corpus Christi Utility Systems Revenue Refunding, 5.50% due 7/15/2005 (Insured: FSA) | Aaa/AAA | 2,059,480 | |||||
4,070,000 | Corpus Christi Utility Systems Revenue Refunding, 5.50% due 7/15/2006 (Insured: FSA) | Aaa/AAA | 4,326,166 | |||||
2,000,000 | Corpus Christi Utility Systems Revenue Refunding, 5.50% due 7/15/2008 (Insured: FSA) | Aaa/AAA | 2,215,840 | |||||
4,780,000 | Corpus Christi Utility Systems Revenue Refunding, 5.50% due 7/15/2009 (Insured: FSA) | Aaa/AAA | 5,357,472 | |||||
450,000 | Dallas Tax Increment Financing Reinvestment Zone 2, 5.75% due 8/15/2006 (Insured: Radian) | NR/AA | 478,710 | |||||
4,945,000 | Duncanville Independent School District Refunding Series B, 0% due 2/15/2011 (Guaranty: PSF) | Aaa/AAA | 3,916,836 | |||||
1,245,000 | Duncanville Independent School District Refunding Series B, 0% due 2/15/2012 (Guaranty: PSF) | Aaa/AAA | 936,389 | |||||
3,800,000 | Fort Worth Water & Sewer Revenue Refunding & Improvement, 5.25% due 2/15/2011 | Aa2/AA | 4,129,042 | |||||
1,390,000 | Fort Worth Water & Sewer Revenue Series 2001, 5.25% due 2/15/2011 (Tarrant & Denton County Project) | Aa2/AA | 1,553,353 | |||||
2,005,000 | Grapevine Texas, 5.25% due 2/15/2012 (Insured: FGIC) | Aaa/AAA | 2,091,075 | |||||
4,000,000 | Gulf Coast Waste Disposal Authority Environmental Facilities Revenue Refunding, 4.20% due 11/1/2006 (Occidental Project) | Baa2/BBB+ | 4,138,800 | |||||
1,000,000 | Gulf Coast Waste Disposal Authority Texas Revenue Refunding, 5.00% due 10/1/2010 (Bayport Area Systems Project; Insured: AMBAC) | Aaa/AAA | 1,098,170 | |||||
1,000,000 | Gulf Coast Waste Disposal Authority Texas Revenue Refunding, 5.00% due 10/1/2011 (Bayport Area Systems Project; Insured: AMBAC) | Aaa/AAA | 1,098,630 | |||||
750,000 | Harlingen Consolidated Independent School, 7.50% due 8/15/2009 (Guaranty: PSF) | Aaa/AAA | 906,930 | |||||
500,000 | Harris County Health Facilities Development Corp. Hospital Revenue Refunding Series A, 6.00% due 6/1/2012 (Memorial Hospital Systems Project; Insured: MBIA) | Aaa/AAA | 585,615 |
34 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||
$4,410,000 | Harris County Health Facilities Development Corp. Thermal Utility Revenue, 5.45% due 2/15/2011 (Insured: AMBAC) | Aaa/AAA | $ | 4,912,299 | ||||
600,000 | Harris County Health Facilities Hospital Series A, 6.00% due 6/1/2010 (Memorial Hospital Systems Project; Insured: MBIA) | Aaa/AAA | 686,778 | |||||
620,000 | Harris County Hospital District Mortgage Revenue, 7.40% due 2/15/2010 (Insured: AMBAC) (ETM)* | Aaa/AAA | 678,410 | |||||
930,000 | Harris County Hospital District Mortgage Revenue Unrefunded Balance Refunding, 7.40% due 2/15/2010 (Insured: AMBAC) | Aaa/AAA | 1,058,005 | |||||
10,000,000 | Harris County Hospital District Revenue Refunding, 5.75% due 2/15/2011 (Insured: MBIA) | Aaa/AAA | 11,288,600 | |||||
2,000,000 | Harris County Hospital District Revenue Refunding, 5.75% due 2/15/2012 (Insured: MBIA) | Aaa/AAA | 2,248,640 | |||||
5,000,000 | Harris County Refunding Toll Road Senior Lien Series B-2, 5.00% due 8/15/2021 put 8/15/2009 @100 (Insured: FGIC) | Aaa/AAA | 5,468,500 | |||||
3,260,000 | Harris County Sports Authority Revenue Senior Lien Series G, 0% due 11/15/2010 (Insured: MBIA) | Aaa/AAA | 2,627,919 | |||||
1,000,000 | Irving Independent School District, 0% due 2/15/2005 (Guaranty: PSF) | Aaa/AAA | 993,890 | |||||
500,000 | Irving Texas Hospital Authority Revenue Series B, 5.75% due 7/1/2005 (Irving Healthcare Systems Project; Insured: FSA) | Aaa/AAA | 514,760 | |||||
1,000,000 | Lewisville Combination Contract Revenue, 4.125% due 5/1/2031 put 11/1/2006 (Special Assessment Castle Hills Project Number 3; LOC: Wells Fargo Bank) | NR/AA | 1,043,670 | |||||
750,000 | Lower Colorado River Authority Revenue Refunding & Improvement, 8.00% due 5/15/2010 (Insured: FSA) | Aaa/AAA | 938,895 | |||||
3,000,000 | Matagorda County Navigation District 1 Adjusted Refunding Central Power A, 2.15% due 5/1/2030 put 11/1/2004 | Baa2/BBB | 2,999,190 | |||||
3,065,000 | Mesquite Independent School District Refunding, 0% due 8/15/2011 (Guaranty: PSF) | NR/AAA | 2,339,392 | |||||
1,415,000 | Midlothian Independent School District Refunding, 0% due 2/15/2008 (Guaranty: PSF) | Aaa/NR | 1,291,046 | |||||
1,200,000 | Midlothian Independent School District Refunding, 0% due 2/15/2009 (Guaranty: PSF) | Aaa/NR | 1,050,480 | |||||
700,000 | Midtown Redevelopment Authority Texas Tax, 6.00% due 1/1/2010 (Insured: Radian) | Baa2/AA | 787,549 | |||||
740,000 | Midtown Redevelopment Authority Texas Tax, 6.00% due 1/1/2011 (Insured: Radian) | Baa2/AA | 839,930 | |||||
2,275,000 | New Caney Independent School District Refunding, 0% due 2/15/2005 (Guaranty: PSF) | Aaa/AAA | 2,261,100 | |||||
5,000,000 | North Texas Thruway Authority Dallas North Thruway Systems Revenue Refunding Series B, 5.00% due 1/1/2038 put 7/1/2008 (Insured: AMBAC) | Aaa/AAA | 5,437,450 | |||||
2,500,000 | Red River Education Finance Corp., 2.10% due 12/1/2034 put 12/1/2007 (Parish Episcopal School Project; LOC: Allied Irish Banks PLC) | VMIG1/NR | 2,462,325 | |||||
6,000,000 | Sam Rayburn Municipal Power Agency Refunding, 5.50% due 10/1/2012 | Baa2/BBB- | 6,658,860 | |||||
3,000,000 | San Antonio Hotel Occupancy Revenue Refunding Series B, 5.00% due 8/15/2034 put 8/1/2008 (Insured: AMBAC) | Aaa/AAA | 3,259,410 | |||||
1,970,000 | Socorro Independent School District Series A, 5.75% due 2/15/2011 (Guaranty: PSF) | NR/AAA | 2,168,871 | |||||
965,000 | Southlake Tax Increment Certificates of Obligation Series B, 0% due 2/15/2007 (Insured: AMBAC) | Aaa/AAA | 882,869 | |||||
1,120,000 | Southlake Tax Increment Certificates of Obligation Series B, 0% due 2/15/2008 pre-refunded 2/15/2006 (Insured: AMBAC) | Aaa/AAA | 972,182 | |||||
1,275,000 | Southlake Tax Increment Certificates of Obligation Series B, 0% due 2/15/2009 pre-refunded 2/15/2006 (Insured: AMBAC) | Aaa/AAA | 1,041,688 | |||||
1,440,000 | Southlake Tax Increment Certificates of Obligation Series B, 0% due 2/15/2010 pre-refunded 2/15/2006 (Insured: AMBAC) | Aaa/AAA | 1,103,054 | |||||
500,000 | Spring Branch Independent School District, 7.50% due 2/1/2011 (Guaranty: PSF) | Aaa/AAA | 619,735 | |||||
580,000 | Tarrant County Health Facilities, 5.875% due 11/15/2007 (Adventist/Sunbelt Health System Project) | A2/A | 632,681 | |||||
650,000 | Tarrant County Health Facilities, 6.00% due 11/15/2009 (Adventist/Sunbelt Health System Project) | A2/A | 729,755 | |||||
730,000 | Tarrant County Health Facilities, 6.10% due 11/15/2011 (Adventist/Sunbelt Health System Project) | A2/A | 825,243 | |||||
1,400,000 | Tarrant County Health Facilities Development Corp., 5.75% due 2/15/2011 (Texas Health Resources Project; Insured: MBIA) | Aaa/AAA | 1,559,726 | |||||
3,000,000 | Tarrant County Health Facilities Development Corp. Health Systems Revenue Series A, 5.75% due 2/15/2008 (Texas Health Resources Systems Project; Insured: MBIA) | Aaa/AAA | 3,311,040 | |||||
1,000,000 | Texarkana Health Facilities Development Corp. Hospital Revenue, 5.75% due 10/1/2008 (Insured: MBIA) | Aaa/AAA | 1,115,790 | |||||
2,000,000 | Texas Affordable Housing Corp. Portfolio A, 4.85% due 9/1/2012 (Insured: MBIA) | Aaa/AAA | 1,999,920 | |||||
1,945,000 | Texas Affordable Housing Corp. Series A, 4.85% due 9/1/2012 (Insured: MBIA) | Aaa/AAA | 2,110,617 | |||||
1,680,000 | Texas Municipal Power Agency Revenue Refunding, 5.00% due 9/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,776,566 | |||||
1,000,000 | Texas Public Finance Authority Building Revenue State Preservation Project Series B, 6.00% due 8/1/2011 (Insured: FSA) | Aaa/AAA | 1,134,550 |
Certified Annual Report 35
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||
$7,000,000 | Texas State Turnpike Authority Central Texas Turnpike Systems Rev. Bond Anticipation Note 2nd Tier, 5.00% due 6/1/2008 | Aa3/AA | $ | 7,607,880 | ||||
1,000,000 | Town Center Improvement District Texas Sales & Hotel Occupancy Tax, 5.00% due 3/1/2006 (Insured: FGIC) | Aaa/AAA | 1,044,020 | |||||
1,000,000 | Travis County, 5.00% due 3/1/2007 | Aaa/AAA | 1,068,710 | |||||
500,000 | Travis County, 5.00% due 3/1/2010 | Aaa/AAA | 537,940 | |||||
2,300,000 | Travis County Health Development Corp. Series A, 5.75% due 11/15/2008 (Insured: MBIA) | Aaa/AAA | 2,573,447 | |||||
1,000,000 | Travis County Health Facilities Development Corp. Revenue Ascension Health Credit Series A, 5.75% due 11/15/2007 (Insured: MBIA) | Aaa/AAA | 1,101,840 | |||||
3,750,000 | Travis County Health Facilities Development Corp. Revenue Series A, 5.75% due 11/15/2009 (Insured: MBIA) | Aaa/AAA | 4,233,525 | |||||
2,000,000 | Travis County Health Facilities Development Series A, 5.75% due 11/15/2010 (Ascension Health Project; Insured: MBIA) | Aaa/AAA | 2,254,700 | |||||
2,020,000 | Washington County Health Facilities Development Corp. Revenue, 5.35% due 6/1/2009 (Insured: ACA) | NR/A | 2,173,924 | |||||
UTAH (0.70%) | ||||||||
4,355,000 | Intermountain Power Agency Power Supply Revenue Series A, 5.00% due 7/1/2012 (Insured: MBIA) (ETM)* | Aaa/AAA | 4,366,933 | |||||
500,000 | Intermountain Power Agency Utah Power Supply Series E, 6.25% due 7/1/2009 (Insured: FSA) | Aaa/AAA | 575,760 | |||||
1,500,000 | Salt Lake County Municipal Building, 5.50% due 10/1/2009 | Aa1/AA+ | 1,688,580 | |||||
675,000 | Snyderville Basin Sewer Improvement, 5.00% due 11/1/2006 (Insured: AMBAC) | Aaa/AAA | 717,876 | |||||
510,000 | Utah Board Regents Auxiliary Systems & Student Fee Revenue Refunding Series A, 5.00% due 5/1/2010 | NR/AA | 560,077 | |||||
500,000 | Utah State University Hospital Board of Regents Revenue, 5.50% due 8/1/2005 (Insured: AMBAC) | Aaa/AAA | 515,580 | |||||
1,000,000 | Utah State University Hospital Board of Regents Revenue, 5.25% due 8/1/2008 (Insured: MBIA) | Aaa/AAA | 1,094,050 | |||||
VERMONT (0.00%) | ||||||||
470,000 | Vermont Educational & Health Buildings Financing Agency Revenue, 6.00% due 9/1/2006 (Northwestern Medical Center Project) | NR/BBB | 489,218 | |||||
VIRGINIA (1.10%) | ||||||||
1,010,000 | Alexandria Industrial Development Authority Revenue, 5.75% due 10/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,114,565 | |||||
1,070,000 | Alexandria Industrial Development Authority Revenue, 5.75% due 10/1/2008 (Insured: AMBAC) | Aaa/AAA | 1,202,113 | |||||
1,130,000 | Alexandria Industrial Development Authority Revenue, 5.75% due 10/1/2009 (Insured: AMBAC) | Aaa/AAA | 1,285,737 | |||||
1,195,000 | Alexandria Industrial Development Authority Revenue, 5.75% due 10/1/2010 (Insured: AMBAC) | Aaa/AAA | 1,373,939 | |||||
1,500,000 | Chesterfield County Industrial Development, 5.50% due 10/1/2009 (Vepco Project) | A3/BBB+ | 1,602,060 | |||||
545,000 | Hampton G.O. Refunding Bond, 5.85% due 3/1/2007 | Aa2/AA | 554,472 | |||||
500,000 | Hampton Hospital Facilities Revenue Series A, 5.00% due 11/1/2005 | Aa2/AA | 516,630 | |||||
3,500,000 | Loudoun County Industrial Development Authority Series E, 1.72% due 2/15/2038 put 10/1/2004 (Howard Hughes Medical Center Project) (daily demand notes) | VMIG1/A1+ | 3,500,000 | |||||
1,460,000 | Norton Industrial Development Authority Hospital Revenue Refunding Improvement, 5.75% due 12/1/2012 (Norton Community Hospital Project; Insured: ACA) | NR/A | 1,611,023 | |||||
3,000,000 | Suffolk Redevelopment Housing Authority Refunding, 4.85% due 7/1/2031 put 7/1/2011 (Windsor at Potomac Project; Collateralized: FNMA) | Aaa/NR | 3,237,810 | |||||
WASHINGTON (5.00%) | ||||||||
1,000,000 | Conservation & Renewable Energy Systems Revenue Refunding, 5.00% due 10/1/2007 (Washington Conservation Project) | Aaa/AA- | 1,079,420 | |||||
2,000,000 | Energy Northwest Washington Electric Revenue Refunding Series A, 5.375% due 7/1/2013 (Project Number 1; Insured: FSA) | Aaa/AAA | 2,250,800 | |||||
1,675,000 | Energy Northwest Washington Revenue Series A, 4.75% due 7/1/2007 (Wind Project) | A3/A- | 1,744,613 | |||||
1,760,000 | Energy Northwest Washington Wind Project Revenue Series A, 4.95% due 7/1/2008 | A3/A- | 1,850,200 | |||||
705,000 | Energy Northwest Washington Wind Project Revenue Series B, 4.95% due 7/1/2008 | A3/A- | 741,131 | |||||
785,000 | Energy Northwest Washington Wind Project Revenue Series B, 5.20% due 7/1/2010 | A3/A- | 826,064 |
36 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||
$650,000 | Grant County Priest Rapids Hydroelectric, 6.00% due 1/1/2006 (Insured: AMBAC) | Aaa/AAA | $ | 683,150 | ||||
1,885,000 | King County School District 414 Lake Washington Refunding, 3.00% due 12/1/2004 | Aa1/AA | 1,889,373 | |||||
1,880,000 | Lewis County Public Utility District Refunding, 5.00% due 10/1/2007 | Aaa/AA- | 2,029,874 | |||||
1,000,000 | Seattle Municipal Light & Power Revenue Refunding, 4.75% due 7/1/2007 (Insured: FSA) | Aaa/AAA | 1,069,380 | |||||
5,000,000 | Seattle Municipal Light & Power Revenue Refunding & Improvement, 5.00% due 11/1/2006 (Insured: FSA) | Aaa/AAA | 5,308,050 | |||||
2,285,000 | Spokane County School District Number 354 Mead Refunding, 4.00% due 12/1/2007 (Insured: MBIA) | Aaa/NR | 2,406,607 | |||||
1,375,000 | Spokane County School District Number 354 Mead Refunding, 4.00% due 12/1/2008 (Insured: MBIA) | Aaa/NR | 1,452,564 | |||||
1,000,000 | Spokane Regional Solid Waste Refunding, 5.00% due 12/1/2005 (Insured: AMBAC) | Aaa/AAA | 1,035,070 | |||||
1,000,000 | Spokane Regional Solid Waste Refunding, 5.00% due 12/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,059,410 | |||||
1,000,000 | Spokane Regional Solid Waste Refunding, 5.25% due 12/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,085,170 | |||||
2,150,000 | Spokane Washington Refunding, 5.00% due 12/15/2009 | A2/BBB | 2,275,022 | |||||
2,430,000 | Spokane Washington Refunding, 5.00% due 12/15/2010 | A2/BBB | 2,555,048 | |||||
550,000 | Tacoma Conservation Systems Project Revenue, 6.20% due 1/1/2006 (Tacoma Public Utilities Project) | Aaa/AA- | 556,380 | |||||
900,000 | University of Washington Alumni Association Lease Revenue Refunding, 4.50% due 8/15/2005 (University of Washington Medical Center Project; Insured: MBIA) | Aaa/AAA | 921,195 | |||||
1,000,000 | University of Washington Alumni Association Lease Revenue Refunding, 5.00% due 8/15/2006 (University of Washington Medical Center Project; Insured: MBIA) | Aaa/AAA | 1,054,650 | |||||
1,100,000 | University of Washington Alumni Association Lease Revenue Refunding, 5.00% due 8/15/2007 (University of Washington Medical Center Project; Insured: MBIA) | Aaa/AAA | 1,182,489 | |||||
1,500,000 | Washington Health Care Facilities, 5.50% due 12/1/2009 (Providence Services Project; Insured: MBIA) | Aaa/AAA | 1,674,915 | |||||
900,000 | Washington Public Power Supply, 5.40% due 7/1/2012 (Insured: FSA) | Aaa/AAA | 1,014,525 | |||||
2,500,000 | Washington Public Power Supply Refunding Series A, 5.00% due 7/1/2011 (Insured: FSA) | Aaa/AAA | 2,723,650 | |||||
1,140,000 | Washington Public Power Supply System Refunding Revenue, 0% due 7/1/2008 (Nuclear Project Number 3) | Aaa/AA- | 1,023,629 | |||||
1,655,000 | Washington Public Power Supply System Series 96-A, 6.00% due 7/1/2006 (Insured: MBIA) | Aaa/AAA | 1,770,188 | |||||
1,000,000 | Washington Public Power Supply Systems, 6.00% due 7/1/2008 (Nuclear Project Number 1; Insured: AMBAC) | Aaa/AAA | 1,123,060 | |||||
1,810,000 | Washington Public Power Supply Systems Revenue Refunding Series A, 6.00% due 7/1/2006 (Nuclear Project Number 2; Insured: AMBAC) | Aaa/AAA | 1,935,976 | |||||
1,000,000 | Washington Public Power Supply Systems Revenue Refunding Series A, 5.10% due 7/1/2010 (Nuclear Project Number 2; Insured: FSA) | Aaa/AAA | 1,092,000 | |||||
830,000 | Washington Public Power Supply Systems Revenue Refunding Series B, 0% due 7/1/2008 (Nuclear Project Number 3) | Aaa/AA- | 745,274 | |||||
1,000,000 | Washington State Health Care Facilities Authority Revenue, 4.00% due 7/1/2005 (Overlake Hospital Medical Center Project; Insured: MBIA) | Aaa/AAA | 1,016,730 | |||||
1,090,000 | Washington State Health Care Facilities Authority Revenue, 6.00% due 10/1/2006 (Sisters of Providence Project; Insured: AMBAC) | Aaa/AAA | 1,153,645 | |||||
5,075,000 | Washington State Motor Vehicle Fuel Tax Series B, 5.00% due 7/1/2007 (Insured: FGIC) | Aaa/AAA | 5,463,643 | |||||
1,000,000 | Washington State Public Power Supply Systems Nuclear Project Number 2 Revenue Refunding Series A, 4.90% due 7/1/2005 | Aaa/AA- | 1,023,810 | |||||
5,000,000 | Washington State Public Power Supply Systems Revenue Refunding Series A, 6.00% due 7/1/2007 (Nuclear Project Number 1; Insured: AMBAC) | Aaa/AAA | 5,419,150 | |||||
6,810,000 | Washington State Series A, 5.00% due 7/1/2008 (Insured: FGIC) | Aaa/AAA | 7,423,649 | |||||
WEST VIRGINIA (0.30%) | ||||||||
455,000 | Harrison County Nursing Facility Revenue Refunding, 5.625% due 9/1/2010 (Salem Health Care Corp. Project; LOC: Fleet Bank) | NR/NR | 467,594 | |||||
94,098 | Marion County SFMR Series 1992, 7.75% due 7/10/2011 | NR/NR | 95,275 | |||||
1,500,000 | Pleasants County Pollution Control Revenue, 4.70% due 11/1/2007 (Monongahela Power Co. Project; Insured: AMBAC) | Aaa/AAA | 1,612,200 | |||||
2,000,000 | West Virginia Statewide Commission Lottery Revenue Series 1997-A, 5.50% due 7/1/2005 (Insured: MBIA) | Aaa/AAA | 2,057,000 | |||||
WISCONSIN (1.20%) | ||||||||
1,500,000 | Bradley Pollution Control Revenue, 6.75% due 7/1/2009 (Owens Illinois Waste Project) (ETM)* | B1/BB+ | 1,759,680 | |||||
3,325,000 | Milwaukee Wisconsin, 5.00% due 3/15/2005 | Aa2/AA | 3,375,573 |
Certified Annual Report 37
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||
$2,835,000 | Wisconsin State Health & Educational Facilities, 5.00% due 8/15/2009 (Aurora Health Care Inc. Project; Insured: MBIA) | Aaa/AAA | $ | 3,071,666 | ||||
800,000 | Wisconsin State Health & Educational Facilities Authority, 5.90% due 8/15/2005 (Wheaton Franciscan Services Inc. Project; Insured: MBIA) | Aaa/AAA | 828,568 | |||||
2,000,000 | Wisconsin State Health & Educational Facilities Authority Revenue, 6.00% due 8/15/2008 (Aurora Health Care Inc. Project; Insured: MBIA) | Aaa/AAA | 2,222,840 | |||||
1,000,000 | Wisconsin State Health & Educational Facilities Authority Revenue Series A, 4.00% due 2/15/2006 (Gundersen Lutheran Hospital Project; Insured: FSA) | Aaa/AAA | 1,026,150 | |||||
1,000,000 | Wisconsin State Health & Educational Facilities Authority Revenue Series A, 5.00% due 2/15/2007 (Gundersen Lutheran Hospital Project; Insured: FSA) | Aaa/AAA | 1,062,510 | |||||
1,860,000 | Wisconsin State Health & Educational Facilities Authority Revenue Series A, 5.00% due 2/15/2009 (Gundersen Lutheran Hospital Project; Insured: FSA) | Aaa/AAA | 2,018,156 | |||||
1,250,000 | Wisconsin State Health & Educational Series A, 5.00% due 2/15/2008 (Gundersen Lutheran Hospital Project; Insured: FSA) | Aaa/AAA | 1,346,087 | |||||
WYOMING (0.30%) | ||||||||
1,615,000 | West Park Hospital District Revenue, 5.90% due 7/1/2010 (Insured: ACA) | NR/A | 1,702,743 | |||||
2,500,000 | Wyoming Farm Loan Board Revenue, 0% due 4/1/2009 | NR/AA- | 2,138,400 | |||||
TOTAL INVESTMENTS (100%) (Cost $1,353,950,547) | $ | 1,401,090,183 | ||||||
† Credit ratings are unaudited.
* Escrowed to maturity.
See notes to financial statements.
CREDIT RATING†
38 Certified Annual Report
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Limited Term Municipal Fund
To the Trustees and Shareholders of
Thornburg Limited Term Municipal Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg Limited Term Municipal Fund series of Thornburg Investment Trust (the “Fund”) at September 30, 2004, the results of its operations for the three month period ended September 30, 2004 and the year ended June 30, 2004, the changes in its net assets for the three month period ended September 30, 2004 and the years ended June 30, 2004 and 2003 and the financial highlights for each of the periods presented, 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 Fund’s 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 the Standards of the Public Company Accounting Oversight Board (United States). Those standards 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, 2004 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 9, 2004
Certified Annual Report 39
EXPENSE EXAMPLE
Thornburg Limited Term Municipal Fund | September 30, 2004 |
As a shareholder of the Fund, you incur two types of costs:
(1) transaction costs, including
(a) sales charges (loads) on purchase payments, for Class A Shares,
(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase, and
(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase; and
(2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses.
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested on April 1, 2004 and held until September 30, 2004.
Actual Expenses
The first line of the table at right provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table at right provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Beginning | Ending | Expenses Paid | ||||||||||
Account Value | Account Value | During Period† | ||||||||||
4/01/04 | 9/30/04 | 4/1/04–9/30/04 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000 | $ | 1,003.70 | $ | 4.58 | ||||||
Hypothetical* | $ | 1,000 | $ | 1,020.43 | $ | 4.61 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000 | $ | 1,002.40 | $ | 5.94 | ||||||
Hypothetical* | $ | 1,000 | $ | 1,019.07 | $ | 5.99 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000 | $ | 1,005.40 | $ | 2.93 | ||||||
Hypothetical* | $ | 1,000 | $ | 1,022.08 | $ | 2.95 |
†Expenses are equal to the annualized expense ratio for each class (A: 0.91%; C: 1.19%; and I: 0.58%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period.
*Hypothetical assumes a rate of return of 5% per year before expenses.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
40 Certified Annual Report
INDEX COMPARISON
Thornburg Limited Term Municipal Fund | September 30, 2004 |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Limited Term Municipal Fund Class A Total Returns versus
Lehman Brothers Five Year Municipal Bond Index and Consumer Price Index
(September 30, 1984 to September 30, 2004)
AVERAGE ANNUAL TOTAL RETURNS
For the periods ended September 30, 2004 (with sales charge)
Since | ||||||||||||||||
1 Yr | 5 Yrs | 10 Yrs | Inception | |||||||||||||
A Shares (Incep: 9/28/84) | 0.23 | % | 4.40 | % | 4.55 | % | 6.07 | % | ||||||||
C Shares (Incep: 9/01/94) | 0.95 | % | 4.37 | % | 4.29 | % | 4.20 | % |
FUND ATTRIBUTES
as of September 30, 2004
Annualized | SEC | Maximum | ||||||||||||||
Dist. Rate (NAV) | Yield | NAV | Offering Price | |||||||||||||
A Shares (Incep: 9/28/84) | 2.76 | % | 1.84 | % | $ | 13.83 | $ | 14.04 | ||||||||
C Shares (Incep: 9/01/94) | 2.49 | % | 1.59 | % | $ | 13.86 | $ | 13.86 |
Performance data reflect past performance, which is no guarantee of future results. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares.
Returns reflect the reinvestment of dividends and capital gains and the following sales charges: Class A Shares are sold with a maximum sales charge of 1.50%. C shares assume deduction of a 0.50% contingent deferred sales charge (CDSC) for the first year only.
The Consumer Price Index (“CPI”) measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. The CPI is also known as the cost-of-living index.
The Lehman Brothers Five-Year Municipal Bond Index is a rules-based, market-value-weighted index engineered for the long-term tax-exempt bond market. To be included in the index, bonds must have a minimum credit rating of Baa. The approximate maturity of the municipal bonds in the index is five years.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
The SEC Yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Fund’s shares at the end of the period.
The distribution rate is calculated by taking the sum of the month’s total distribution factors and dividing this sum by a 30-day period and annualizing to 360-day year. The value is then divided by the ending Net Asset Value (NAV) to arrive at the annualized distribution yield. The yield is calculated on a periodic basis and is subject to change depending on the Funds’ NAV and current distributions.
Certified Annual Report 41
TRUSTEES AND OFFICERS
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
INTERESTED TRUSTEES(2)(4) | ||||
Garrett Thornburg, 58 Chairman of Trustees Trustee since 1987(3) | CEO, Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor) and Thornburg Securities Corporation (securities dealer); Chairman of Thornburg Limited Term Municipal Fund, Inc. (registered investment company) to 2004; CEO and Chairman of Thornburg Mortgage, Inc. (real estate investment trust); Chairman of Thornburg Mortgage Advisory Corporation (investment manager to Thornburg Mortgage, Inc.). | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Brian J. McMahon, 48 Trustee since 2001 President since 1997(5)(6) | President and Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | None | ||
INDEPENDENT TRUSTEES(2)(4) | ||||
David A. Ater, 59 Trustee since 1994 | Principal in Ater & Ater Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner developer and broker for various real estate projects. | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
David D. Chase, 63 Trustee since 2000 | Chairman, President, CEO, and General Partner of Vestor Partners, LP, Santa Fe, NM (private equity fund); Chairman and CEO of Vestor Holdings, Inc., Santa Fe, NM (merchant bank). | Director of Thornburg Limited Term Municipal Fund, Inc. 2001–2004 | ||
Eliot R. Cutler, 58 Trustee since 2004 | Partner, Akin, Gump, Strauss, Hauer & Feld, LLP, Washington, D.C. (law firm) since November 2000; partner, Cutler & Stanfield, Washington, D.C. (law firm) until November 2000. | Director of Thornburg Limited Term Municipal Fund, Inc. to 2004; director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Susan H. Dubin, 55 Trustee since 2004 | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations; and formerly, Vice President of Chemical Bank (predecessor to JP Morgan Chase & Co.), New York, 1974–1996. | None | ||
Forrest S. Smith, 74 Trustee since 1987 | Trust and estate attorney, of counsel to Catron, Catron & Pottow, Santa Fe, NM (law firm). | None | ||
Owen D. Van Essen, 50 Trustee since 2004 | President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 45 Trustee since 1996 | Executive Vice President and Director to 2002, and since 2002; CEO and Vice Chairman, Nambé Mills, Inc., Santa Fe, NM (manufacturer). | None |
42 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(6)(7) | ||||
Dawn B. Fischer, 57 Secretary since 1987 | Secretary and Managing Director, Thornburg Investment Management, Inc.; Secretary, Thornburg Limited Term Municipal Fund, Inc. to 2004; Secretary, Thornburg Securities Corporation; Vice President, Daily Tax Free Income Fund, Inc. (registered investment company). | Not applicable | ||
Steven J. Bohlin, 45 Vice President, since 1987; Treasurer since 1989 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
George T. Strickland, 41 Vice President since 1996 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President (and Treasurer since 2003) of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
William V. Fries, 65 Vice President since 1995 | Vice President and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 37 Vice President since 2001 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2004. | Not applicable | ||
Kenneth Ziesenheim, 50 Vice President since 1995 | Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Securities Corporation; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Alexander Motola, 34 Vice President since 2001 | Managing Director of Thornburg Investment Management, Inc. since 2000; Portfolio Manager, Insight Capital Research & Management, Inc., Walnut Creek, California 1995–2000. | Not applicable | ||
Wendy Trevisani, 33 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 2000 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2002; Sales Representative, Solomon Smith Barney 1996–1999. | Not applicable | ||
Joshua Gonze, 41 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 1999 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Brad Kinkelaar, 36 Vice President since 1999 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 1999, Vice President since 2000, and Managing Director since 2004; Equity Investment Analyst, State Farm Insurance Companies 1996–1999. | Not applicable | ||
Kerry D. Lee, 37 Vice President since 1999 | Vice President of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Certified Annual Report 43
TRUSTEES AND OFFICERS, CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
Christopher Ihlefeld, 34 Vice President since 2003 | Associate Portfolio Manager since 1999; Vice President of Thornburg Investment Management, Inc. since 2002; Vice President of Limited Term Municipal Fund, Inc., 2003–2004. | Not applicable | ||
Leon Sandersfeld, 38 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2002; Senior Staff Accountant, Farm Bureau Life Insurance Co. 1998–2002. | Not applicable | ||
Sasha Wilcoxon, 30 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2000; and Mutual Fund Support Service Department Manager since 2002. | Not applicable | ||
Ed Maran, 46 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Analyst, USAA 2001–2002; Oil Analyst, A.G. Edwards 1997–2000. | Not applicable | ||
Vinson Walden, 34 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Associate Portfolio Manager, Ibis Management 2002–2004; Associate, Lehman Brothers, 1997–2001. | Not applicable | ||
(1) | Each person’s address is 119 East Marcy Street, Santa Fe, New Mexico 87501. | |||
(2) | The Fund is one of twelve separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. The Trust currently has twelve active Funds. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twelve funds of the Trust. Each Trustee oversees the twelve portfolios in the fund complex. | |||
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is a director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twelve active funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. | |||
(4) | Each Trustee serves in office until the election and qualification of a successor. | |||
(5) | Mr. McMahon is considered an “interested” Trustee because he is the president of Thornburg Investment Management, Inc. | |||
(6) | The Trust’s president, secretary and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. | |||
(7) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
44 Certified Annual Report
OTHER INFORMATION (UNAUDITED)
Thornburg Limited Term Municipal Fund | September 30, 2004 |
PORTFOLIO PROXY VOTING
The Trust has delegated to Thornburg Investment Management, Inc. (“the Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.
Commencing August 31, 2004, information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request, on the Thornburg website at www.thornburg.com and (ii) on the Securities and Exchange Commission’s website at www.sec.gov.
TAX INFORMATION
For the fiscal year ended September 30,2004,one hundred percent of dividends paid by the Fund are tax exempt dividends for Federal Income Tax purposes. The information and distributions reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2004.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund will file with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year, commencing with the calendar quarter ending December 31,2004. The Fund’s Forms N-Q will be available on the Commission’s website at http://www.sec.gov, or may be copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
SHAREHOLDER MEETING INFORMATION
A special meeting (the “Meeting”) of the shareholders of Thornburg Investment Trust (the “Trust”) was held on September 13,2004 at the offices of Thornburg Investment Management, Inc., 119 East Marcy Street, Santa Fe, New Mexico 87501. Thornburg Limited Term Municipal Fund is one of 12 active series or “Funds” of the Trust.
The shareholders of the Trust considered at the Meeting (i) the election of Trustees, and (ii) ratification of the selection of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm for the fiscal year (fiscal period commencing July 1, 2004 in the case of Thornburg Limited Term Municipal Fund) ending September 30, 2004.
The Trustees elected at the Meeting were Garrett Thornburg, David A. Ater, David D. Chase, Eliot R. Cutler, Susan H. Dubin, Brian J. McMahon, Owen D. Van Essen and James W. Weyhrauch. Forrest S. Smith, a Trustee since 1987 did not stand for election; his term of office will continue through the end of 2004, when he will retire in accordance with the Trust’s Bylaws. The shareholders also ratified the appointment of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm.
The voting results for the matters voted on are set out for each Fund as follows:
Election of Trustees
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Garrett Thornburg | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,772,086.332 | 692,014.443 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,202,049.716 | 217,551.648 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,555.521 | 114,080.445 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,255,221.686 | 81,237.603 | — | — | ||||||||||||
Thornburg Value Fund | 64,672,758.966 | 447,696.934 | — | — | ||||||||||||
Thornburg International Value Fund | 59,954,867.369 | 1,241,990.622 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,135,097.039 | 21,483.205 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,943.082 | 122,916.941 | — | — | ||||||||||||
Total: | 345,469,631.406 | 3,282,138.627 | — | — |
Certified Annual Report 45
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
David A. Ater | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,797,094.826 | 667,005.949 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,898.015 | 244,703.349 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,174.575 | 74,750.866 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,356,553.614 | 118,082.352 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,645.960 | 84,813.329 | — | — | ||||||||||||
Thornburg Value Fund | 64,673,309.598 | 447,696.934 | — | — | ||||||||||||
Thornburg International Value Fund | 60,746,833.041 | 450,024.950 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,132,382.888 | 24,197.356 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,615.730 | 120,243.993 | — | — | ||||||||||||
Total: | 346,235,149.064 | 2,517,171.301 | — | — | ||||||||||||
David D. Chase | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,792,336.993 | 671,763.782 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,107,955.251 | 64,970.190 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,243,684.887 | 92,774.402 | — | — | ||||||||||||
Thornburg Value Fund | 64,693,947.421 | 446,508.479 | — | — | ||||||||||||
Thornburg International Value Fund | 60,752,533.146 | 444,324.845 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,837,095.494 | 116,764.229 | — | — | ||||||||||||
Total: | 346,310,480.812 | 2,461,288.921 | — | — | ||||||||||||
Eliot R. Cutler | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,785,534.542 | 678,566.233 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,449,458.366 | 232,489.857 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,199,536.657 | 220,064.707 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,111,971.636 | 60,953.805 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,350,526.614 | 124,109.352 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,250,801.917 | 85,657.372 | — | — | ||||||||||||
Thornburg Value Fund | 64,599,511.493 | 520,944.407 | — | — | ||||||||||||
Thornburg International Value Fund | 60,724,718.843 | 472,139.148 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,134,780.624 | 21,799.620 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,832,732.499 | 121,127.224 | — | — | ||||||||||||
Total: | 346,159,119.642 | 2,592,650.361 | — | — | ||||||||||||
Susan H. Dubin | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,874.816 | 670,225.959 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,198,659.272 | 220,942.092 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,110,371.636 | 62,553.805 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,372,811.385 | 101,824.581 | — | — |
46 Certified Annual Report
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Limited Term Income Fund | 27,249,237.865 | 87,221.424 | — | — | ||||||||||||
Thornburg Value Fund | 64,679,778.577 | 440,677.323 | — | — | ||||||||||||
Thornburg International Value Fund | 60,742,583.265 | 454,274.726 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,454.801 | 120,404.922 | — | — | ||||||||||||
Total: | 346,285,090.525 | 2,466,679.208 | — | — | ||||||||||||
Brian J. McMahon | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,795,559.677 | 668,541.098 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,205,930.716 | 213,670.648 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,104,748.707 | 68,176.734 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 102,726.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,724.960 | 84,734.329 | — | — | ||||||||||||
Thornburg Value Fund | 64,681,039.437 | 439,416.463 | — | — | ||||||||||||
Thornburg International Value Fund | 60,010,455.736 | 1,186,402.255 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,131,956.015 | 24,624.229 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,227.440 | 120,632.283 | — | — | ||||||||||||
Total: | 345,556,209.517 | 3,195,560.216 | — | — | ||||||||||||
Owen D. Van Essen | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,348.831 | 670,751.944 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,730.914 | 244,870.450 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,708.092 | 74,217.349 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,248,394.246 | 88,065.043 | — | — | ||||||||||||
Thornburg Value Fund | 64,674,135.776 | 446,320.124 | — | — | ||||||||||||
Thornburg International Value Fund | 60,684,276.889 | 512,581.102 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,962.507 | 122,897.216 | — | — | ||||||||||||
Total: | 346,178,126.548 | 2,573,643.185 | — | — | ||||||||||||
James W. Weyhrauch | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,789,717.177 | 674,383.598 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 126,726.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,254,156.818 | 82,302.471 | — | — | ||||||||||||
Thornburg Value Fund | 64,683,895.944 | 436,559.906 | — | — | ||||||||||||
Thornburg International Value Fund | 60,726,245.097 | 470,612.894 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,836,311.264 | 117,548.459 | — | — | ||||||||||||
Total: | 346,278,127.848 | 2,497,641.885 | — | — |
Certified Annual Report 47
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Ratification of Selection of Independent Registered Public Accounting Firm
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Limited Term Municipal Fund | 89,266,423.303 | 430,123.930 | 767,553.542 | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,354,990.466 | 167,198.030 | 159,759.457 | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 27,957,900.165 | 174,857.659 | 286,893.540 | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,067,166.377 | 1,155.000 | 104,604.064 | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,911,733.415 | 6,868.306 | 9,157.121 | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,784,834.660 | 23,509.648 | 38,241.937 | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,583.780 | 33,945.016 | 80,017.170 | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,123,259.928 | 57,081.625 | 156,117.736 | — | ||||||||||||
Thornburg Value Fund | 64,569,333.454 | 212,238.433 | 338,884.013 | — | ||||||||||||
Thornburg International Value Fund | 60,444,286.231 | 343,771.766 | 408,700.994 | — | ||||||||||||
Thornburg Core Growth Fund | 6,110,013.492 | 32,603.465 | 13,963.287 | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,812,877.547 | 40,509.369 | 100,472.807 | — | ||||||||||||
Totals | 344,763,402.818 | 1,523,862.247 | 2,464,365.668 | — |
48 Certified Annual Report
Thornburg Limited Term Municipal Fund
I Shares – September 30, 2004
Table of Contents
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8 | ||||
9 | ||||
10 | ||||
11 | ||||
15 | ||||
16 | ||||
37 | ||||
38 | ||||
39 | ||||
40 | ||||
43 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
4 | Certified Annual Report |
Important Information
Performance data quoted represent the past and are no guarantee of future results. Current returns may be either lower or higher than those shown. Share prices and returns will fluctuate and investors may experience a loss upon redemption. There is no guarantee that the Fund will meet its objectives. Shares in the Fund carry risks, including possible loss of principal. The principal value of a bond fund will decrease when interest rates rise.
Minimum investments for class I shares are higher than those for other classes. Returns reflect the reinvestment of dividends and capital gains. There is no up front sales charge for this class of shares.
For the most recent month-end performance information, visit www.thornburg.com.
The information presented on the following pages was current as of September 30, 2004. The manager’s views, portfolio holdings, and sector diversification are historical and subject to change. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each Fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any Fund to differ materially as compared to its benchmarks.
Glossary
The Lehman Brothers Five-Year Municipal Bond Index - A rules-based, market-value-weighted index engineered for the long-term tax-exempt bond market. To be included in the index, bonds must have a minimum credit rating of Baa. The approximate maturity of the municipal bonds in the index is five years. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
Duration - The measure of the price sensitivity of a fixed-income security to an interest rate change of 100 basis points. Calculation is based on the weighted average of the present values for all cash flows.
Weighted Average Maturity - Is a weighted average of all the effective maturities of the bonds in a portfolio. Effective maturity takes into consideration mortgage prepayments, puts, calls, adjustable coupons, and other features of individual bonds and is thus a more accurate measure of interest-rate sensitivity. Longer-maturity funds are generally considered more interest-rate sensitive than their shorter counterparts.
Certified Annual Report 5
Letter to Shareholders
George Strickland
Portfolio Manager
October 21, 2004
Dear Fellow Shareholder:
I am pleased to present the Annual Report for the Thornburg Limited Term Municipal Fund. This report will cover only the three month period from June 30, 2004 to September 30, 2004 because the fiscal year-end of the Fund was recently changed from June 30 to September 30. The net asset value of the I shares increased by 15 cents to $13.83 during the three months ending September 30, 2004. If you were with us for the entire period, you received dividends of 10.5 cents per share.
Over the last three months, interest rates on bonds that mature in five to ten years have fallen more than interest rates on bonds that mature in less than five years. This has led to better performance for intermediate bonds relative to shorter-term bonds. The I shares of your Fund produced a total return of 1.87% over the last three months, compared to a 2.83% return for the Lehman Five-Year Municipal Bond Index. We believe that the index outperformed the Fund because it is generally concentrated in bonds with a longer duration than bonds held by the Fund. If long-term interest rates start to rise again, we would expect the Fund to outperform the index.
Interest rates on intermediate municipal bonds have covered a lot of ground over the last year. For example, the yield on a five-year AAA-rated municipal bond hit a low of 2.16% on March 9, 2004 before climbing to a high of 3.31% only two months later. As of September 30, 2004, that bond’s yield has fallen back down to 2.70%. (Source: Bloomberg: Municipal Market Advisors, Inc.)
Ironically, bond yields rose this past spring before the Federal Reserve started raising the targeted Fed Funds rate. Now that the Federal Reserve is pushing up short-term interest rates, the interest rates on bonds and home mortgages have been falling. In essence, the bond market is counteracting a tightening Federal Reserve by allowing corporations, governments, and individuals to borrow money at lower interest rates.
Given the abundant liquidity and relatively low yields in the bond markets today, we believe that the Federal Reserve has a significant amount of additional tightening to do before they overcome the bond market’s “give back” and achieve a neutral monetary policy. The yield curve does not appear to be pricing in this possibility today. If it does start pricing in a more aggressive Federal Reserve, we believe that bond yields will rise above current levels.
We have positioned your Fund with this outlook in mind. Your Thornburg Limited Term Municipal Fund is a laddered portfolio of over 670 municipal obligations from 49 states. Today, your Fund’s weighted average maturity is 3.87 years. We ladder the maturity dates of the bonds in your portfolio so that some of the bonds are scheduled to mature during each of the coming years. Laddering intermediate bonds are intended to accomplish two goals. First, the staggered bond maturities contained in a ladder ordinarily defuse interest-rate risk and dampen the Fund’s price volatility. Second, laddering gives the Fund
6 Certified Annual Report
a steady cash flow stream from maturing bonds which, if not needed for other purposes, can be reinvested toward the top of the ladder where yields are typically higher. The laddering strategy is what differentiates this Fund from most bond mutual funds. It will be particularly useful if interest rates rise, because it may allow the Fund to gradually increase the yield of the portfolio as bonds mature and get replaced with new ones. The chart below describes the percentages of your Fund’s bond portfolio maturing in each of the coming years.
Thanks to a strong economy and tax increases, state tax revenue was up 11.4% over the last fiscal year. However, revenues are just now approaching 2002 levels nationwide. Meanwhile, spending for Medicaid and other items continues its upward trajectory, causing many states to continue grappling with budget deficits. State reserve funds have been largely depleted and tax-supported state debt levels have risen over 15% in the last two years. To reduce credit risk, we have kept 93% of the portfolio in bonds rated A or above and maintained broad diversification across issuers and market sectors.
% of portfolio | Cumulative % | |||||||||||||
maturing | maturing | |||||||||||||
1 year | = | 12 | % | Year 1 | = | 12 | % | |||||||
1 to 2 years | = | 13 | % | Year 2 | = | 25 | % | |||||||
2 to 3 years | = | 13 | % | Year 3 | = | 38 | % | |||||||
3 to 4 years | = | 15 | % | Year 4 | = | 53 | % | |||||||
4 to 5 years | = | 13 | % | Year 5 | = | 66 | % | |||||||
5 to 6 years | = | 10 | % | Year 6 | = | 76 | % | |||||||
6 to 7 years | = | 9 | % | Year 7 | = | 85 | % | |||||||
7 to 8 years | = | 7 | % | Year 8 | = | 92 | % | |||||||
8 to 9 years | = | 4 | % | Year 9 | = | 96 | % | |||||||
Over 9 years | = | 4 | % | Over 9 years | = | 100 | % |
Percentages can and do vary. Data as of 9/30/04.
Over the years, our practice of laddering a diversified portfolio of short and intermediate maturity municipal bonds has allowed your Fund to perform consistently well in varying interest rate environments. Thank you for investing in Thornburg Limited Term Municipal Fund.
Sincerely,
George Strickland
Portfolio Manager
Certified Annual Report 7
STATEMENT OF ASSETS AND LIABILITIES
Thornburg Limited Term Municipal Fund
September 30, 2004 | ||||
ASSETS | ||||
Investments at value (cost $1,353,950,547) | $ | 1,401,090,183 | ||
Cash | 194,616 | |||
Receivable for investments sold | 19,004,764 | |||
Receivable for fund shares sold | 4,089,989 | |||
Interest receivable | 18,606,174 | |||
Prepaid expenses and other assets | 75,058 | |||
Total Assets | 1,443,060,784 | |||
LIABILITIES | ||||
Payable for investments purchased | 4,276,249 | |||
Payable for fund shares redeemed | 2,222,106 | |||
Accounts payable and accrued expenses | 139,492 | |||
Payable to investment advisor and other affiliates (Note 3) | 894,485 | |||
Dividends payable | 1,019,612 | |||
Total Liabilities | 8,551,944 | |||
NET ASSETS | $ | 1,434,508,840 | ||
NET ASSETS CONSIST OF: | ||||
Undistributed (distribution in excess of) net investment income | $ | (1,629 | ) | |
Net unrealized appreciation (depreciation) on investments | 47,139,636 | |||
Accumulated net realized gain (loss) | (4,583,701 | ) | ||
Net capital paid in on shares of beneficial interest | 1,391,954,534 | |||
$ | 1,434,508,840 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($1,039,049,760 applicable to 75,115,022 shares of beneficial interest outstanding - Note 4) | $ | 13.83 | ||
Maximum sales charge, 1.50% of offering price | 0.21 | |||
Maximum Offering Price Per Share | $ | 14.04 | ||
Class C Shares: | ||||
Net asset value and offering price per share* ($156,870,003 applicable to 11,319,695 shares of beneficial interest outstanding - Note 4) | $ | 13.86 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($238,589,077 applicable to 17,245,784 shares of beneficial interest outstanding - Note 4) | $ | 13.83 | ||
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
8 Certified Annual Report
STATEMENTS OF OPERATIONS
Thornburg Limited Term Municipal Fund
Three Months Ended | Year Ended | |||||||
September 30, 2004 | June 30, 2004 | |||||||
INVESTMENT INCOME: | ||||||||
Interest income (net of premium amortized of $4,143,091 and $15,358,148 for the period ended September 30, 2004 and year ended June 30, 2004 respectively) | $ | 12,983,539 | $ | 53,238,459 | ||||
EXPENSES: | ||||||||
Investment advisory fees (Note 3) | 1,466,294 | 5,754,193 | ||||||
Administration fees (Note 3) | ||||||||
Class A Shares | 331,206 | 1,311,880 | ||||||
Class C Shares | 49,344 | 191,093 | ||||||
Class I Shares | 29,149 | 107,843 | ||||||
Distribution and service fees (Note 3) | ||||||||
Class A Shares | 662,411 | 2,622,964 | ||||||
Class C Shares | 394,149 | 1,538,688 | ||||||
Transfer agent fees | ||||||||
Class A Shares | 93,700 | 377,245 | ||||||
Class C Shares | 19,950 | 98,715 | ||||||
Class I Shares | 15,820 | 60,375 | ||||||
Registration and filing fees | ||||||||
Class A Shares | 3,196 | 75,030 | ||||||
Class C Shares | 903 | 14,731 | ||||||
Class I Shares | 874 | 15,281 | ||||||
Custodian fees (Note 3) | 112,950 | 534,108 | ||||||
Professional fees | 50,900 | 150,630 | ||||||
Accounting fees | 21,340 | 121,890 | ||||||
Trustee fees | 9,200 | 51,315 | ||||||
Other expenses | 66,591 | 332,331 | ||||||
Total Expenses | 3,327,977 | 13,358,312 | ||||||
Less: | ||||||||
Expenses reimbursed by Investment advisor (Note 3) | 0 | (4,388 | ) | |||||
Distribution and service fees waived (Note 3) | (197,075 | ) | (769,344 | ) | ||||
Fees paid indirectly (Note 3) | (850 | ) | (5,718 | ) | ||||
Net Expenses | 3,130,052 | 12,578,862 | ||||||
Net Investment Income | 9,853,487 | 40,659,597 | ||||||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||
Net realized gain (loss) on investments sold | 74,945 | 1,795,864 | ||||||
Increase (Decrease) in unrealized appreciation of investments | 16,155,302 | (36,334,816 | ) | |||||
Net Realized and Unrealized Gain (Loss) on Investments | 16,230,247 | (34,538,952 | ) | |||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 26,083,734 | $ | 6,120,645 | ||||
See notes to financial statements.
Certified Annual Report 9
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Limited Term Municipal Fund
Three Months Ended | Year Ended | Year Ended | ||||||||||
September 30, 2004 | June 30, 2004 | June 30, 2003 | ||||||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||||||
OPERATIONS: | ||||||||||||
Net investment income | $ | 9,853,487 | $ | 40,659,597 | $ | 36,971,587 | ||||||
Net realized gain (loss) on investments sold | 74,945 | 1,795,864 | 877,102 | |||||||||
Increase (Decrease) in unrealized appreciation of investments | 16,155,302 | (36,334,816 | ) | 28,100,206 | ||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 26,083,734 | 6,120,645 | 65,948,895 | |||||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||||||
From net investment income | ||||||||||||
Class A Shares | (7,133,301 | ) | (29,889,249 | ) | (28,771,058 | ) | ||||||
Class C Shares | (958,113 | ) | (3,916,198 | ) | (2,645,994 | ) | ||||||
Class I Shares | (1,762,073 | ) | (6,854,150 | ) | (5,554,535 | ) | ||||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||||||
Class A Shares | (20,348,137 | ) | 74,238,458 | 190,903,532 | ||||||||
Class C Shares | (353,019 | ) | 21,587,725 | 78,064,848 | ||||||||
Class I Shares | 13,279,935 | 30,607,967 | 69,803,156 | |||||||||
Net Increase (Decrease) in Net Assets | 8,809,026 | 91,895,198 | 367,748,844 | |||||||||
NET ASSETS: | ||||||||||||
Beginning of period | 1,425,699,814 | 1,333,804,616 | 966,055,772 | |||||||||
End of period | $ | 1,434,508,840 | $ | 1,425,699,814 | $ | 1,333,804,616 | ||||||
See notes to financial statements.
10 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS
Thornburg Limited Term Municipal Fund | September 30, 2004 |
NOTE 1 — ORGANIZATION
Thornburg Limited Term Municipal Fund (the “Fund”)(formerly Thornburg Limited Term Municipal Fund - National Portfolio) is a 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 eleven series of shares of beneficial interest in addition to those of the Fund: Thornburg California Limited Term Municipal Fund, Thornburg Florida Intermediate Municipal Fund, Thornburg New York Intermediate Municipal Fund, Thornburg New Mexico Intermediate Municipal Fund, Thornburg Intermediate Municipal Fund, Thornburg Limited Term U.S. Government Fund, Thornburg Limited Term Income Fund, Thornburg Value Fund, Thornburg International Value Fund, Thornburg Core Growth Fund, and Thornburg Investment Income Builder Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund’s investment objective is to obtain as high a level of current income exempt from Federal income taxes as is consistent, in the view of the Fund’s investment advisor, with the preservation of capital.
Reorganization: The Fund is the successor to Thornburg Limited Term Municipal Fund - National Portfolio (the “National Portfolio”) a series of Thornburg Limited Term Municipal Fund, Inc. On December 8, 2003, the Company’s Board of Directors approved an Agreement and Plan of Reorganization providing for the transfer of substantially all of the National Portfolio’s assets to the Fund, in exchange solely for voting shares of the Fund, and the distribution of those shares to the shareholders of the National Portfolio and the subsequent dissolution of the National Portfolio. The Fund was created by the Trust on December 8, 2003 to accomplish the reorganization, and until the reorganization was completed had only nominal assets. The reorganization was intended to simplify legal and regulatory compliance functions, and to reduce the costs of performing those functions. The Agreement and Plan of Reorganization was approved by the National Portfolio’s shareholders on May 21, 2004, and the reorganization was concluded on June 21, 2004. As a result, all of the National Portfolio’s assets were transferred to the Fund, and the shareholders of the National Portfolio became shareholders of the Fund. There was no change in investment objective or policies as a result of the reorganization, and the investment advisor did not change because of the reorganization. The National Portfolio is the accounting survivor, and the financial results of the Fund include the results of the National Portfolio prior to the reorganization.
The Fund currently offers three classes of shares of beneficial interest, Class A, Class C and Institutional Class (Class I) shares. Each class of shares of the Fund represents an interest in the same portfolio of investments, 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 contingent deferred sales charge upon redemption within one year, and bear both 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, the Fund may allocate among its classes certain expenses, to the extent applicable 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 Fund are limited to service and distribution fees, administrative fees, and certain registration and transfer agent expenses.
The Fund employed a fiscal year ending June 30 from the Fund’s inception through June 30, 2004, when the Trustees determined to change the Fund’s fiscal year end to September 30. In consequence, the Fund’s financial statements display information for a fiscal period commencing July 1, 2004 and ending September 30, 2004.
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Fund are as follows:
Valuation of Investments: In determining the net asset value, the Fund utilizes an independent pricing service approved by the Board of 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, normally at 4:00 p.m. 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 municipal 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 Fund are reviewed by the officers of the Trust under the general supervision of the Board of Trustees. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
Federal Income Taxes: It is the policy of the Fund to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all of its taxable (if any) and tax exempt income to its shareholders. Therefore, no provision for Federal income tax is required.
When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do
Certified Annual Report 11
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
so for the purpose of acquiring portfolio securities consistent with the investment objectives of the Fund and not for the purpose of investment leverage or to speculate on interest rate changes. At the time the Fund makes a commitment to purchase a security on a when-issued basis, the Fund will record the transaction and reflect the value in determining its 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 on 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 Fund is declared daily as a dividend on shares for which the Fund has received payment. Dividends are paid monthly and are reinvested in additional shares of the Fund 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 at least annually.
General: Securities transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and discounts on securities purchased are amortized to call dates or maturity dates of the respective securities. Realized gains and losses from the sale of securities are recorded on an identified cost basis. Net investment income, other than class specific expenses, and realized and unrealized gains and losses, are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
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 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.
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liability arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
NOTE 3 — INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an Investment Advisory Agreement, Thornburg Investment Management, Inc. (the “Advisor”) serves as the investment advisor and performs services for which the fees are payable at the end of each month. For the period ended September 30, 2004, these fees were payable at annual rates ranging from .50 of 1% to .225 of 1% of the average daily net assets of the Fund. The Fund also has an Administrative Services Agreement with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% of the average daily net assets attributable to each class of shares. For the year ended June 30, 2004, and the period ended September 30, 2004, the advisor voluntarily reimbursed certain class specific expenses and administrative fees of $4,388 and $0 for Class C Shares, respectively.
The Fund has a Distribution Agreement with Thornburg Securities Corporation (the “Distributor,” an affiliate of the advisor), which acts as the Distributor of Fund shares. For the year ended June 30, 2004 and the period ended September 30, 2004, the Distributor has advised the Fund that it earned commissions aggregating $16,530 and $3,829, respectively, from the sale of Class A shares, and collected contingent deferred sales charges aggregating $71,750 and $9,605, respectively, from redemptions of Class C shares of the Fund.
Pursuant to a Service Plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor amounts not to exceed .25 of 1% per annum of the average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other persons for distribution of the Fund’s shares and to obtain various shareholder related services. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
The Fund has also adopted a Distribution Plan pursuant to Rule 12b-1, applicable only to the Fund’s Class C shares under which the Fund compensates the Distributor for services in promoting the sale of Class C shares of the Fund at an annual rate of up to .75 of 1% per annum of the average daily net assets attributable to Class C shares. Total fees incurred by each class of shares of the Fund under their respective Service and Distribution plans and Class C distribution fees waived by the Distributor for the period ended September 30, 2004, are set forth in the statement of operations.
The Fund has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees have been adjusted to reflect amounts that would have been paid without this agreement, with a corre-
12 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
sponding adjustment reflected as fees paid indirectly in the statement of operations. For the period ended September 30, 2004, and the year ended June 30, 2004, fees paid indirectly were $850 and $5,718, respectively.
Certain officers and Trustees of the Trust are also officers and/or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.
NOTE 4 — SHARES OF BENEFICIAL INTEREST
At September 30, 2004, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Three Months Ended | Year Ended | Year Ended | ||||||||||||||||||||||
September 30, 2004 | June 30, 2004 | June 30, 2003 | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||
Shares sold | 2,652,124 | $ | 36,597,200 | 22,343,137 | $ | 310,234,300 | 24,734,784 | $ | 343,160,230 | |||||||||||||||
Shares issued to shareholders in reinvestment of dividends | 335,506 | 4,631,084 | 1,399,170 | 19,393,497 | 1,359,442 | 18,874,006 | ||||||||||||||||||
Shares repurchased | (4,457,299 | ) | (61,576,421 | ) | (18,441,220 | ) | (255,389,339 | ) | (12,329,726 | ) | (171,130,704 | ) | ||||||||||||
Net Increase (Decrease) | (1,469,669 | ) | $ | (20,348,137 | ) | 5,301,087 | $ | 74,238,458 | 13,764,500 | $ | 190,903,532 | |||||||||||||
Class C Shares | ||||||||||||||||||||||||
Shares sold | 506,589 | $ | 7,003,493 | 4,814,111 | $ | 66,984,540 | 7,145,702 | $ | 99,350,605 | |||||||||||||||
Shares issued to shareholders in reinvestment of dividends | 46,675 | 645,678 | 194,692 | 2,704,058 | 135,892 | 1,892,308 | ||||||||||||||||||
Shares repurchased | (578,793 | ) | (8,002,190 | ) | (3,462,370 | ) | (48,100,873 | ) | (1,670,144 | ) | (23,178,065 | ) | ||||||||||||
Net Increase (Decrease) | (25,529 | ) | $ | (353,019 | ) | 1,546,433 | $ | 21,587,725 | 5,611,450 | $ | 78,064,848 | |||||||||||||
Class I Shares | ||||||||||||||||||||||||
Shares sold | 1,826,487 | $ | 25,227,726 | 8,616,079 | $ | 119,652,434 | 7,667,976 | $ | 106,488,989 | |||||||||||||||
Shares issued to shareholders in reinvestment of dividends | 104,786 | 1,446,479 | 394,435 | 5,468,468 | 309,747 | 4,303,264 | ||||||||||||||||||
Shares repurchased | (970,031 | ) | (13,394,270 | ) | (6,808,603 | ) | (94,512,935 | ) | (2,952,400 | ) | (40,989,097 | ) | ||||||||||||
Net Increase (Decrease) | 961,242 | $ | 13,279,935 | 2,201,911 | $ | 30,607,967 | 5,025,323 | $ | 69,803,156 | |||||||||||||||
NOTE 5 — SECURITIES TRANSACTIONS
For the period ended September 30, 2004, the Fund had purchase and sale transactions (excluding short-term securities) of $61,650,705 and $81,179,464, respectively.
NOTE 6 — INCOME TAXES
At September 30, 2004, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 1,353,955,992 | ||
Gross unrealized appreciation on a tax basis | $ | 48,001,300 | ||
Gross unrealized depreciation on a tax basis | (867,109 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 47,134,191 | ||
At September 30, 2004, the Fund did not have any undistributed tax-exempt/ordinary net income or undistributed capital gains.
At September 30, 2004, the Fund had tax basis capital losses, which may be carried over to offset future capital gains. To the extent such carry forwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryovers expire as follows:
2007 | $ | 1,013,153 | ||
2008 | 3,565,103 | |||
$ | 4,578,256 | |||
The Fund utilized $74,945 of its capital loss carry forward during the period ended September 30, 2004.
Certified Annual Report 13
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | September 30, 2004 |
In order to account for permanent book/tax differences, the Fund increased net investment loss by $336 and decreased accumulated net realized investment loss by $336. This reclassification has no impact on the net asset value of the Fund. Reclassifications result primarily from market discount.
All dividends paid by the Fund for the period ended September 30, 2004 and year ended June 30, 2004, represent exempt interest dividends, which are excludable by shareholders from gross income for Federal income tax purposes.
14 Certified Annual Report
FINANCIAL HIGHLIGHTS
Thornburg Limited Term Municipal Fund
Three Months Ended September 30, | Year Ended June 30, | |||||||||||||||||||||||
2004 | 2004 | 2003 | 2002 | 2001 | 2000 | |||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE (for a share outstanding throughout the period) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.68 | $ | 14.01 | $ | 13.65 | $ | 13.44 | $ | 13.06 | $ | 13.26 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.11 | 0.44 | 0.49 | 0.57 | 0.63 | 0.63 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.15 | (0.33 | ) | 0.36 | 0.21 | 0.38 | (0.20 | ) | ||||||||||||||||
Total from investment operations | 0.26 | 0.11 | 0.85 | 0.78 | 1.01 | 0.43 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.11 | ) | (0.44 | ) | (0.49 | ) | (0.57 | ) | (0.63 | ) | (0.63 | ) | ||||||||||||
Change in net asset value | 0.15 | (0.33 | ) | 0.36 | 0.21 | 0.38 | (0.20 | ) | ||||||||||||||||
NET ASSET VALUE, end of period | $ | 13.83 | $ | 13.68 | $ | 14.01 | $ | 13.65 | $ | 13.44 | $ | 13.06 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | 1.87 | % | 0.80 | % | 6.36 | % | 5.91 | % | 7.91 | % | 3.37 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 3.02 | %(b) | 3.18 | % | 3.54 | % | 4.18 | % | 4.75 | % | 4.84 | % | ||||||||||||
Expenses, after expense reductions | 0.55 | %(b) | 0.57 | % | 0.58 | % | 0.60 | % | 0.60 | % | 0.60 | % | ||||||||||||
Expenses, after expense reductions and net of custody credits | 0.55 | %(b) | 0.57 | % | 0.58 | % | 0.60 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 0.55 | %(b) | 0.57 | % | 0.58 | % | 0.62 | % | 0.65 | % | 0.62 | % | ||||||||||||
Portfolio turnover rate | 4.57 | % | 21.37 | % | 15.81 | % | 19.59 | % | 25.37 | % | 33.65 | % | ||||||||||||
Net assets at end of period (000) | $ | 238,589 | $ | 222,760 | $ | 197,367 | $ | 123,652 | $ | 86,160 | $ | 76,470 |
(a) | Not annualized for periods less than one year. | |||
(b) | Annualized. |
Certified Annual Report 15
SCHEDULE OF INVESTMENTS
Thornburg Limited Term Municipal Fund | September 30, 2004 |
CUSIPS: CLASS A — 885-215-459, CLASS C — 885-215-442, CLASS I — 885-215-434
NASDAQ SYMBOLS: CLASS A — LTMFX, CLASS C — LTMCX, CLASS I — LTMIX
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
ALABAMA (1.80%) | ||||||||||||
$ | 10,000,000 | Birmingham Carraway Alabama Special, 6.25% due 8/15/2009 (Insured: Connie Lee) | NR/AAA | $ | 11,043,100 | |||||||
1,245,000 | Huntsville Health Care Authority Facilities Revenue Series B, 4.65% due 6/1/2024 put 6/1/2005 (Insured: MBIA) | Aaa/AAA | 1,266,190 | |||||||||
5,330,000 | Huntsville Health Care Series A, 4.65% due 6/1/2024 put 6/1/2005 (Insured: MBIA) | Aaa/AAA | 5,420,716 | |||||||||
1,920,000 | Scottsboro Industrial Development Board Refunding, 5.25% due 5/1/2009 (LOC: PNC Bank) | NR/NR | 1,960,858 | |||||||||
500,000 | Shelby County Series A, 7.20% due 8/1/2005 (Insured: MBIA) (ETM)* | Aaa/AAA | 502,170 | |||||||||
5,000,000 | Wilsonville Industrial Development Board Pollution Control Revenue Refunding, 4.20% due 6/1/2019 put 6/1/2006 (Southern Electric Gaston Project; Insured: AMBAC) | Aaa/AAA | 5,177,500 | |||||||||
ALASKA (0.10%) | ||||||||||||
2,070,000 | North Slope Borough Alaska, 0% due 6/30/2006 (Insured: MBIA) | Aaa/AAA | 1,996,412 | |||||||||
ARIZONA (0.90%) | ||||||||||||
2,500,000 | Arizona State Transportation Board Grant Anticipation Notes Series A, 5.00% due 7/1/2009 | Aa3/AA- | 2,752,425 | |||||||||
650,000 | Maricopa County Arizona School District 97, 5.50% due 7/1/2008 (Insured: FGIC) | Aaa/NR | 721,630 | |||||||||
1,000,000 | Maricopa County School District 008, 7.50% due 7/1/2008 (Insured: MBIA) | Aaa/AAA | 1,177,400 | |||||||||
1,000,000 | Maricopa County Unified School District Number 41 Gilbert Refunding, 0% due 1/1/2006 (Insured: FGIC) | Aaa/AAA | 977,070 | |||||||||
4,595,000 | Mohave County Industrial Development Authority Correctional Facilities Contract Revenue Series A, 5.00% due 4/1/2009 (Mohave Prison LLC Project; Insured: XLCA) | Aaa/AAA | 5,021,921 | |||||||||
1,000,000 | Pima County Industrial Development Authority Education Revenue Series C, 6.40% due 7/1/2013 (Arizona Charter Schools Project) | Baa3/NR | 1,055,860 | |||||||||
680,000 | Pima County Industrial Development Authority Industrial Revenue Refunding Lease Obligation A, 7.25% due 7/15/2010 (Insured: FSA) | Aaa/AAA | 717,604 | |||||||||
500,000 | Tucson Water Revenue Series D, 9.75% due 7/1/2008 | Aa3/A+ | 627,615 | |||||||||
ARKANSAS (0.90%) | ||||||||||||
2,000,000 | Conway Electric Revenue Refunding, 5.00% due 8/1/2007 | A2/NR | 2,142,420 | |||||||||
1,000,000 | Jefferson County Hospital Revenue Refunding & Improvement, 5.50% due 6/1/2010 (Regional Medical Center Project) | NR/A | 1,104,860 | |||||||||
1,075,000 | Jefferson County Hospital Revenue Refunding & Improvement, 5.50% due 6/1/2011 (Regional Medical Center Project) | NR/A | 1,190,595 | |||||||||
1,000,000 | Little Rock Arkansas Capital Improvement, 4.00% due 4/1/2005 (Insured: FSA) | Aaa/AAA | 1,011,570 | |||||||||
2,645,000 | Little Rock Hotel & Restaurant Gross Receipts Tax Refunding, 7.125% due 8/1/2009 | A3/NR | 3,035,058 | |||||||||
1,735,000 | Rogers Sales & Use Tax Revenue, 6.00% due 11/1/2007 | A1/AA- | 1,741,593 | |||||||||
1,545,000 | Rogers Sales & Use Tax Revenue Refunding & Improvement Series A, 4.25% due 9/1/2006 (Insured: FGIC) | Aaa/AAA | 1,613,567 | |||||||||
CALIFORNIA (3.20%) | ||||||||||||
2,385,000 | Bay Area Government Association Rapid Transit, 4.875% due 6/15/2009 (Insured: AMBAC) | Aaa/AAA | 2,390,962 | |||||||||
2,620,000 | California Health Facilities Financing Authority Revenue Series B Refunding, 5.25% due 10/1/2013 (Kaiser Permanente Project) (ETM)* | A3/AAA | 2,900,681 | |||||||||
2,050,000 | California State Department of Water Resources Power Supply Series A, 5.50% due 5/1/2008 | A2/BBB+ | 2,254,980 | |||||||||
2,600,000 | California State Department of Water Resources Power Supply Series A, 5.50% due 5/1/2012 | A2/BBB+ | 2,938,208 | |||||||||
2,550,000 | California State Department of Water Resources Power Supply Series A, 6.00% due 5/1/2013 | A2/BBB+ | 2,973,886 | |||||||||
400,000 | California State Department of Water Resources Series B-2, 1.80% due 5/1/2022 put 10/1/2004 (LOC: BNP Paribus) (daily demand notes) | VMIG1/A1+ | 400,000 | |||||||||
3,500,000 | California State Economic Recovery Series C-3, 1.73% due 7/1/2023 put 10/1/2004 (daily demand notes) | VMIG1/A1+ | 3,500,000 |
16 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 2,870,000 | Central Valley Financing Authority Revenue, 6.00% due 7/1/2009 (Carson Ice Project) | NR/BBB | $ | 2,956,100 | |||||||
3,700,000 | Fairfield Water Revenue Refunding, 5.25% due 4/1/2012 (Insured: AMBAC) | Aaa/AAA | 3,835,605 | |||||||||
1,200,000 | Irvine Improvement Bond Act 1915 Adjusted Assessment District, 1.73% due 9/2/2024 put 10/1/2004 (daily demand notes) | VMIG1/A-1 | 1,200,000 | |||||||||
100,000 | Irvine Improvement Bond Act 1915 Limited Obligation Assessment District, 1.73% due 9/2/2025 put 10/1/2004 (daily demand notes) | VMIG1/A1+ | 100,000 | |||||||||
1,400,000 | Metropolitan Water District South California Variable Series B-3, 1.73% due 7/1/2035 put 10/1/2004 (daily demand notes) | VMIG1/A1+ | 1,400,000 | |||||||||
1,100,000 | Metropolitan Water District Southern California Waterworks Revenue Series C-1, 1.80% due 7/1/2036 put 10/1/2004 (daily demand notes) | VMIG1/A1+ | 1,100,000 | |||||||||
5,000,000 | Oakland Alameda County Coliseum Authority Lease Revenue Refunding Series C-1, 1.70% due 2/1/2025 put 10/7/2004 (Coliseum Project; LOC: California State) (weekly demand notes) | VMIG1/A1+ | 5,000,000 | |||||||||
5,200,000 | Orange County Refunding Recovery, 6.50% due 6/1/2005 (Insured: MBIA) | Aaa/AAA | 5,366,088 | |||||||||
1,490,000 | Orange County Various Sanitation Districts Certificates of Participation Refunding Series B, 1.73% due 8/1/2030 put 10/1/2004 (LOC: Dexia Public Finance Bank) (daily demand notes) | VMIG1/A1+ | 1,490,000 | |||||||||
3,000,000 | San Jose Financing Authority Lease Revenue Series D, 5.00% due 6/1/2039 mandatory put 6/1/2006 (Civic Center Project; Insured: AMBAC) | Aaa/AAA | 3,154,320 | |||||||||
1,380,000 | Torrance Hospital Revenue Series A, 7.10% due 12/1/2015 pre-refunded 12/1/2005 (Little Co. of Mary Hospital Project) | NR/AAA | 1,453,416 | |||||||||
COLORADO (3.40%) | ||||||||||||
1,500,000 | Adams County Communication Center Series A, 4.75% due 12/1/2006 | Baa1/NR | 1,549,755 | |||||||||
1,000,000 | Adams County School District 012 Series A, 4.375% due 12/15/2007 | Aa3/AA- | 1,065,420 | |||||||||
7,210,000 | Central Platte Valley Metropolitan District Refunding Series A, 5.00% due 12/1/2031 put 12/1/2009 (LOC: US Bank) | NR/A1+ | 7,691,051 | |||||||||
1,500,000 | Colorado Department Transport Revenue Anticipation Notes, 6.00% due 6/15/2008 (Insured: AMBAC) | Aaa/AAA | 1,686,015 | |||||||||
1,000,000 | Colorado Educational & Cultural Facilities, 4.90% due 4/1/2008 (Nashville Public Radio Project) | NR/BBB+ | 1,058,970 | |||||||||
5,705,000 | Colorado Health Facilities Authority, 5.00% due 9/1/2007 (Catholic Health Initiatives Project) | Aa2/A1+ | 6,105,548 | |||||||||
515,000 | Colorado Health Facilities Authority Series A, 5.375% due 12/1/2009 (Catholic Health Initiatives Project) | Aa2/A1+ | 559,094 | |||||||||
160,000 | Colorado Housing Finance Authority, 5.25% due 10/1/2007 | A1/AA+ | 160,011 | |||||||||
2,230,000 | Colorado Springs Utilities Revenue Systems Subordinated Lien Refunding & Improvement Series A, 5.00% due 11/15/2005 | Aa2/AA | 2,310,971 | |||||||||
500,000 | Cucharas Sanitation & Water District Refunding & Improvement, 7.25% due 1/1/2015 pre-refunded 1/1/2005 | NR/NR | 511,795 | |||||||||
500,000 | Denver City & County Certificates of Participation Series A, 5.50% due 5/1/2006 (Insured: MBIA) | Aaa/AAA | 528,015 | |||||||||
3,335,000 | Denver Convention Center Senior Series A, 5.00% due 12/1/2011 (Insured: XLCA) | Aaa/AAA | 3,678,072 | |||||||||
1,820,000 | Dove Valley Metropolitan District Arapahoe County, Series B, 3.30% due 11/1/2025 put 11/1/2005 @100 (LOC: BNP Paribas) | NR/A1+ | 1,848,283 | |||||||||
500,000 | El Paso County School District G.O. 20 Series B, 8.25% due 12/15/2004 (State Aid Withholding) | Aa3/NR | 506,770 | |||||||||
1,000,000 | Highlands Ranch Metro District Number 2 G.O., 6.50% due 6/15/2012 (Insured: FSA) | Aaa/AAA | 1,206,710 | |||||||||
1,760,000 | Highlands Ranch Metropolitan District Number 3 Refunding Series B, 5.25% due 12/1/2008 (Insured: ACA) | NR/A | 1,887,336 | |||||||||
1,520,000 | Highlands Ranch Metropolitan District Number 3 Series A, 5.25% due 12/1/2008 (Insured: ACA) | NR/A | 1,629,972 | |||||||||
1,000,000 | Lakewood Certificates of Participation, 4.40% due 12/1/2008 (Insured: MBIA) | Aaa/AAA | 1,070,090 | |||||||||
1,025,000 | Metropolitan Football Stadium District Colorado Sales Tax Revenue Capital Appreciation Series A, 0% due 1/1/2008 (Insured: MBIA) | Aaa/AAA | 938,316 | |||||||||
1,000,000 | Pinery West Metropolitan District Number 3, 4.70% due 12/1/2021 put 12/1/2007 (LOC: Compass Bank) | NR/A- | 1,044,310 | |||||||||
6,000,000 | Plaza Metropolitan District Number 1 Revenue, 7.60% due 12/1/2016 (Public Improvement Fee/Tax Increment Project) | NR/NR | 6,248,280 | |||||||||
1,000,000 | Regional Transportation District of Colorado Series A, 5.00% due 6/1/2009 (Transit Vehicles Project; Insured: AMBAC) | Aaa/AAA | 1,096,830 | |||||||||
1,000,000 | Section 14 Metropolitan District Jefferson Refunding Series A, 6.20% due 12/1/2013 (LOC: US Bank Trust) | NR/AA- | 1,007,440 | |||||||||
1,000,000 | Southland Company Medical District unlimited G.O., 6.75% due 12/1/2016 | NR/NR | 996,600 | |||||||||
1,150,000 | Superior Metropolitan District 1 Variable Refunding & Improvement Series A, 5.45% due 12/1/2020 put 12/1/2004 (LOC: BNP) | NR/AA | 1,156,003 |
Certified Annual Report 17
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
CONNECTICUT (0.40%) | ||||||||||||
$ | 1,325,000 | Bridgeport G. O., 6.00% due 3/1/2006 (Insured: AMBAC) | Aaa/AAA | $ | 1,401,214 | |||||||
800,000 | Bridgeport Series A Prerefunded, 6.00% due 3/1/2005 (Insured: AMBAC) (ETM)* | Aaa/AAA | 814,720 | |||||||||
885,000 | Bridgeport Series A Unrefunded Balance, 6.00% due 3/1/2005 (Insured: AMBAC) | Aaa/AAA | 900,983 | |||||||||
350,000 | Capitol Region Education Council, 6.375% due 10/15/2005 | NR/BBB | 363,086 | |||||||||
2,010,000 | New Haven Connecticut, 3.00% due 11/1/2004 (Insured: FGIC) | Aaa/AAA | 2,012,392 | |||||||||
DELAWARE (0.60%) | ||||||||||||
2,045,000 | Delaware State Economic Development Authority Revenue, 5.50% due 7/1/2025 put 7/1/2010 (Delmarva Power & Light Project) | Baa1/BBB | 2,171,524 | |||||||||
2,000,000 | Delaware State Health Facilities Authority Revenue, 6.25% due 10/1/2006 (Insured: MBIA) (ETM)* | Aaa/AAA | 2,040,980 | |||||||||
1,275,000 | Delaware State Health Facilities Authority Revenue Refunding Series A, 5.25% due 6/1/2011 (Beebe Medical Center Project) | Baa1/BBB | 1,376,171 | |||||||||
1,370,000 | Delaware State Health Facilities Authority Revenue Series A, 5.25% due 5/1/2012 (Nanticoke Memorial Hospital Project; Insured: Radian) | NR/AA | 1,504,548 | |||||||||
1,445,000 | Delaware State Health Facilities Authority Revenue Series A, 5.25% due 5/1/2013 (Nanticoke Memorial Hospital Project; Insured: Radian) | NR/AA | 1,569,328 | |||||||||
DISTRICT OF COLUMBIA (2.60%) | ||||||||||||
1,915,000 | District of Columbia, 5.50% due 6/1/2008 (Insured: AMBAC) | Aaa/AAA | 2,114,677 | |||||||||
1,000,000 | District of Columbia Certificates of Participation, 5.00% due 1/1/2008 (Public Safety & Emergency Project; insured: AMBAC) | Aaa/AAA | 1,079,870 | |||||||||
5,950,000 | District of Columbia Certificates of Participation, 5.25% due 1/1/2013 (Insured: AMBAC) | Aaa/AAA | 6,551,485 | |||||||||
4,430,000 | District of Columbia Hospital Revenue, 5.70% due 8/15/2008 (Medlantic Healthcare Project; Insured: MBIA) (ETM)* | Aaa/AAA | 4,805,930 | |||||||||
1,500,000 | District of Columbia Hospital Revenue Refunding, 5.10% due 8/15/2008 (Medlantic Healthcare Group A Project; Insured: MBIA) (ETM)* | Aaa/AAA | 1,629,255 | |||||||||
1,330,000 | District of Columbia Revenue, 6.00% due 8/15/2005 (Medlantic Healthcare Project; Insured: MBIA) (ETM)* | Aaa/AAA | 1,379,848 | |||||||||
500,000 | District of Columbia Revenue, 5.50% due 10/1/2005 (Insured: MBIA) | Aaa/AAA | 518,405 | |||||||||
500,000 | District of Columbia Revenue, 6.00% due 1/1/2007 (Insured: AMBAC) (American Assoc. for Advancement of Science Project; Insured: AMBAC) | Aaa/AAA | 541,975 | |||||||||
1,000,000 | District of Columbia Revenue, 6.00% due 1/1/2009 (American Assoc. for Advancement of Science Project; Insured: AMBAC) | Aaa/AAA | 1,127,410 | |||||||||
4,700,000 | District of Columbia Series A, 5.50% due 6/1/2009 (Insured: MBIA) | Aaa/AAA | 5,250,746 | |||||||||
2,000,000 | District of Columbia Tax Increment Capital Appreciation, 0% due 7/1/2009 (Mandarin Oriental Project; Insured: FSA) | Aaa/AAA | 1,723,120 | |||||||||
1,990,000 | District of Columbia Tax Increment Capital Appreciation, 0% due 7/1/2011 (Mandarin Oriental Project; Insured: FSA) | Aaa/AAA | 1,550,290 | |||||||||
1,480,000 | District of Columbia Tax Increment Capital Appreciation, 0% due 7/1/2012 (Mandarin Oriental Project; Insured: FSA) | Aaa/AAA | 1,096,517 | |||||||||
750,000 | Washington DC Convention Center Authority Dedicated Tax Revenue, 5.00% due 10/1/2006 (Insured: AMBAC) | Aaa/AAA | 793,958 | |||||||||
6,110,000 | Washington DC Convention Center Senior Lien, 5.00% due 10/1/2007 (Insured: AMBAC) | Aaa/AAA | 6,591,529 | |||||||||
FLORIDA (5.00%) | ||||||||||||
5,000,000 | Broward County Resource Recovery Revenue Refunding, 5.375% due 12/1/2009 | A3/AA- | 5,470,250 | |||||||||
1,000,000 | Capital Projects Finance Authority Student Housing, 5.50% due 10/1/2012 (Capital Projects Student Housing; Insured: MBIA) | Aaa/AAA | 1,110,170 | |||||||||
2,996,000 | Crossings at Fleming Island Community Development Refunding Series B, 5.45% due 5/1/2010 (Insured: MBIA) | Aaa/AAA | 3,374,125 | |||||||||
7,000,000 | Dade County Solid Waste Systems Special Obligation Revenue Refunding, 6.00% due 10/1/2007 (Insured: AMBAC) | Aaa/AAA | 7,760,200 |
18 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 1,465,000 | Florida State Refunding, 6.00% due 7/1/2006 (Department of Transportation Right of Way Project) | Aa2/AA+ | $ | 1,569,337 | |||||||
1,000,000 | Hillsborough County Capital Improvement Program Revenue Refunding Junior Lien, 5.00% due 8/1/2008 (Criminal Justice Project; Insured: FGIC) | Aaa/AAA | 1,092,250 | |||||||||
2,400,000 | Hillsborough County Industrial Development Authority Pollution Control Revenue Refunding, 4.00% due 9/1/2025 put 8/1/2007 (Tampa Electric Co. Project) | Baa2/BBB- | 2,433,336 | |||||||||
5,000,000 | Jacksonville Electric St. John’s River Park Systems Revenue Refunding Issue-2 17th Series, 5.25% due 10/1/2012 | Aa2/AA- | 5,567,150 | |||||||||
1,910,000 | Miami Dade County School Board Certificates of Participation Series A, 5.00% due 5/1/2006 (Insured: MBIA) | Aaa/AAA | 2,005,118 | |||||||||
1,010,000 | Miami Dade County School Board Certificates of Participation Series B, 5.50% due 5/1/2031 put 5/1/2011 (Insured: MBIA) | Aaa/AAA | 1,131,018 | |||||||||
3,390,000 | Miami Dade County School Board Certificates of Participation Series C, 5.00% due 8/1/2007 (Insured: MBIA) | Aaa/AAA | 3,658,522 | |||||||||
3,700,000 | Miami Dade County Special Housing Revenue Refunding, 5.80% due 10/1/2012 (HUD Section 8) | Baa3/NR | 3,612,273 | |||||||||
1,395,000 | Orange County Health Facilities Authority, 5.80% due 11/15/2009 (Adventist Health System Project) | A2/A | 1,558,564 | |||||||||
3,120,000 | Orange County Health Facilities Authority Revenue Refunding, 6.25% due 11/15/2008 (Adventist Health Systems Project; Insured: AMBAC) | Aaa/AAA | 3,325,889 | |||||||||
925,000 | Orange County Health Facilities Authority Revenue Unrefunded Balance Series A, 6.25% due 10/1/2007 (Orlando Regional Hospital Project; Insured: MBIA) | Aaa/AAA | 1,029,284 | |||||||||
3,500,000 | Orange County School Board Certificates of Participation Series B, 1.73% due 8/1/2027 put 10/1/2004 (Insured: MBIA) (daily demand notes) | VMIG1/AAA | 3,500,000 | |||||||||
5,000,000 | Orange County School Board Certificates Series A, 5.00% due 8/1/2006 (Insured: MBIA) | Aaa/NR | 5,277,600 | |||||||||
1,455,000 | Orange County School District Series B, 1.73% due 8/1/2025 put 10/1/2004 (Insured: AMBAC) (daily demand notes) | Aaa/NR | 1,455,000 | |||||||||
940,000 | Palm Beach County Industrial Development Revenue Series 1996, 6.00% due 12/1/2006 (Lourdes-Noreen McKeen Residence Project; LOC: Allied Irish Bank) (ETM)* | NR/A | 1,017,108 | |||||||||
2,420,000 | Palm Beach County Solid Waste Authority Revenue Refunding Series A, 5.00% due 10/1/2005 | Aa3/AA- | 2,492,213 | |||||||||
1,000,000 | Pasco County Housing Finance Authority Multi Family Revenue Refunding Series A, 5.35% due 6/1/2027 put 6/1/2008 (Oak Trail Apts Project; Insured: AXA) | NR/AA- | 1,060,840 | |||||||||
3,445,000 | Pelican Marsh Community Development District Refunding Series A, 5.00% due 5/1/2011 (Insured: Radian) | NR/NR | 3,625,794 | |||||||||
100,000 | Sarasota County Public Hospital Board, 1.80% due 7/1/2037 put 10/1/2004 (Sarasota Memorial Hospital Project) (daily demand notes) | VMIG1/A1+ | 100,000 | |||||||||
1,755,000 | St. Johns County Florida Industrial Development Authority Series A, 5.50% due 8/1/2014 (Presbyterian Retirement Project) | NR/NR | 1,866,864 | |||||||||
2,040,000 | Tampa Florida Guaranteed Entitlement Revenue Refunding, 6.00% due 10/1/2007 (Insured: AMBAC) | Aaa/AAA | 2,264,686 | |||||||||
3,000,000 | University Athletic Association Inc. Florida Athletic Program Revenue Refunding, 2.20% due 10/1/2031 put 10/1/2005 (LOC: Suntrust Bank) | VMIG1/NR | 3,013,230 | |||||||||
GEORGIA (1.00%) | ||||||||||||
1,000,000 | Georgia Municipal Association Inc. Certificates of Participation City Court Atlanta Project, 5.00% due 12/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,063,570 | |||||||||
1,550,000 | Georgia Municipal Electric Power Authority Revenue, 7.00% due 1/1/2008 (Insured: MBIA) | Aaa/AAA | 1,769,651 | |||||||||
730,000 | Georgia Municipal Electric Power Authority Revenue Series Y, 6.30% due 1/1/2006 | A2/A+ | 768,427 | |||||||||
2,000,000 | Monroe County Development Authority Pollution Control, 6.75% due 1/1/2010 (Oglethorpe Power Scherer A Refunding; Insured: MBIA) | Aaa/AAA | 2,357,600 | |||||||||
1,000,000 | Monroe County Development Authority Pollution Control Revenue Oglethorpe Power Scherer A, 6.80% due 1/1/2012 (Insured: MBIA) | Aaa/AAA | 1,219,580 | |||||||||
5,000,000 | Municipal Electric Authority Georgia Subordinated Series B, 5.00% due 1/1/2026 put 1/1/2009 (Project One; Insured: AMBAC) | Aaa/AAA | 5,429,550 | |||||||||
910,000 | Municipal Electric Authority Georgia Unrefunded Balance Subordinated A, 6.00% due 1/1/2006 (Project One; Insured: AMBAC) | Aaa/AAA | 956,519 |
Certified Annual Report 19
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
HAWAII (0.40%) | ||||||||||||
$ | 2,000,000 | Hawaii State Department of Budget & Finance Special Purpose Hawaiian Electric Co., 4.95% due 4/1/2012 (Insured: MBIA) | Aaa/AAA | $ | 2,187,140 | |||||||
1,000,000 | Hawaii State Refunding Series Cb, 5.75% due 1/1/2007 | Aa3/AA- | 1,081,020 | |||||||||
1,565,000 | Hawaii State Series CN, 6.25% due 3/1/2006 (Insured: FGIC) | Aaa/AAA | 1,661,169 | |||||||||
1,000,000 | Honolulu City & County Refunding Series A, 7.35% due 7/1/2006 | Aa2/AA- | 1,091,650 | |||||||||
ILLINOIS (12.00%) | ||||||||||||
3,345,000 | Champaign County Community Unit Series C, 0% due 1/1/2009 (Insured: FGIC) | Aaa/AAA | 2,936,040 | |||||||||
2,000,000 | Chicago Board of Education, 6.00% due 12/1/2009 (Insured: FGIC) | Aaa/AAA | 2,295,140 | |||||||||
750,000 | Chicago Board of Education School Reform, 6.25% due 12/1/2012 (Insured: MBIA) | Aaa/AAA | 897,053 | |||||||||
2,300,000 | Chicago Housing Authority Capital Program Revenue, 5.25% due 7/1/2010 | Aa3/AA | 2,528,068 | |||||||||
1,000,000 | Chicago Illinois Housing Authority Capital Program Revenue, 5.00% due 7/1/2007 | Aa3/AA | 1,067,440 | |||||||||
2,015,000 | Chicago Illinois Transit Authority Capital Grant Receipts Revenue Series A, 4.25% due 6/1/2008 (Insured: AMBAC) | Aaa/AAA | 2,077,707 | |||||||||
2,300,000 | Chicago Metropolitan Water Reclamation District, 6.90% due 1/1/2007 | Aaa/AA+ | 2,489,175 | |||||||||
1,340,000 | Chicago Midway Airport Revenue Series A, 5.40% due 1/1/2009 (Insured: MBIA) | Aaa/AAA | 1,437,230 | |||||||||
1,180,000 | Chicago Midway Airport Revenue Series C, 5.50% due 1/1/2013 (Insured: MBIA) | Aaa/AAA | 1,332,480 | |||||||||
3,420,000 | Chicago O’Hare International Airport Refunding General Airport Series A, 6.375% due 1/1/2012 (Insured: MBIA) | Aaa/AAA | 3,525,268 | |||||||||
1,000,000 | Chicago O’Hare International Airport Revenue, 5.375% due 1/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,059,990 | |||||||||
1,105,000 | Chicago O’Hare International Airport Revenue, 5.00% due 1/1/2012 (Insured: MBIA) | Aaa/AAA | 1,216,992 | |||||||||
1,000,000 | Chicago O’Hare International Airport Revenue 2nd Lien Series C-1, 5.00% due 1/1/2010 (Insured: MBIA) | Aaa/AAA | 1,094,450 | |||||||||
3,000,000 | Chicago O’Hare International Airport Revenue Passenger Facility Change Series A, 6.00% due 1/1/2006 (Insured: AMBAC) | Aaa/AAA | 3,152,220 | |||||||||
690,000 | Chicago O’Hare International Airport Revenue Refunding, 4.80% due 1/1/2005 (Insured: AMBAC) | Aaa/AAA | 695,458 | |||||||||
675,000 | Chicago O’Hare International Airport Revenue Refunding Series A, 4.90% due 1/1/2006 (Insured: MBIA) | Aaa/AAA | 690,039 | |||||||||
6,000,000 | Chicago O’Hare International Airport Revenue Series C-1, 5.00% due 1/1/2008 (Insured: MBIA) | Aaa/AAA | 6,479,220 | |||||||||
11,900,000 | Chicago Park District, 6.60% due 11/15/2014 partially pre-refunded 5/15/2005 | Aa3/AA | 12,483,457 | |||||||||
1,000,000 | Chicago Park District Parking Facility Revenue, 5.75% due 1/1/2010 (ETM)* | Baa1/A | 1,134,750 | |||||||||
750,000 | Chicago Public Commerce Building Revenue, 5.00% due 3/1/2005 (Insured: AMBAC) | Aaa/AAA | 760,395 | |||||||||
2,000,000 | Chicago Public Commerce Building Revenue Series C, 5.50% due 2/1/2006 (Insured: FGIC) | Aaa/AAA | 2,095,920 | |||||||||
2,000,000 | Chicago Refunding Series A, 5.375% due 1/1/2013 (Insured: MBIA) | Aaa/AAA | 2,232,240 | |||||||||
1,000,000 | Chicago Refunding Series A-2, 6.125% due 1/1/2012 (Insured: AMBAC) | Aaa/AAA | 1,176,600 | |||||||||
5,000,000 | Chicago Tax Increment Allocation Central Series A, 0% due 12/1/2005 (Insured: AMBAC) | Aaa/AAA | 4,893,800 | |||||||||
1,000,000 | Cicero Refunding Tax Increment Series A, 4.25% due 1/1/2007 (Insured: FGIC) | Aaa/AAA | 1,046,810 | |||||||||
1,000,000 | Collinsville Leased Facilities Revenue Refunding, 5.15% due 11/1/2004 (Insured: MBIA) | Aaa/AAA | 1,002,930 | |||||||||
2,545,000 | Cook & Will Counties Township High School District 206 Series C, 0% due 12/1/2005 (Insured: FSA) | Aaa/AAA | 2,490,588 | |||||||||
995,000 | Cook County Capital Improvement, 5.50% due 11/15/2008 pre-refunded 11/15/2006 | Aaa/AAA | 1,078,461 | |||||||||
2,250,000 | Cook County Community School District 97 Series B, 9.00% due 12/1/2013 (Insured: FGIC) | Aaa/NR | 3,184,402 | |||||||||
2,650,000 | Cook County Series C Refunding, 5.80% due 11/15/2004 (Insured: FGIC) | Aaa/AAA | 2,663,700 | |||||||||
5,000,000 | Du Page County Forest Preservation District, 0% due 11/1/2009 | Aaa/AAA | 4,263,650 | |||||||||
1,500,000 | Glenview Multi Family Revenue Refunding, 5.20% due 12/1/2027 put 12/1/2007 (Collateralized: FNMA) | NR/AAA | 1,570,620 | |||||||||
1,015,000 | Hoffman Estates Illinois Tax Increment Revenue, 0% due 5/15/2005 (Hoffman Estates Economic Dev. Project; Guaranty: Sears) | Baa1/NR | 994,213 | |||||||||
3,075,000 | Hoffman Estates Illinois Tax Increment Revenue, 0% due 5/15/2006 (Hoffman Estates Economic Dev. Project; Guaranty: Sears) | Baa1/NR | 2,915,315 | |||||||||
1,500,000 | Hoffman Estates Illinois Tax Increment Revenue Junior Lien, 0% due 5/15/2007 | Baa1/NR | 1,374,195 | |||||||||
5,000,000 | Hoffman Estates Illinois Tax Increment Revenue Refunding, 5.25% due 11/15/2009 (Economic Development Project; Insured: AMBAC) | Aaa/AAA | 5,021,400 | |||||||||
1,000,000 | Illinois Department Central Management Services Certificates of Participation, 5.85% due 7/1/2009 (Insured: MBIA) | Aaa/AAA | 1,065,100 |
20 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 3,000,000 | Illinois Development Finance Authority Pollution Control Revenue Refunding, 5.70% due 1/15/2009 (Commonwealth Edison Company Project; Insured: MBIA) | Aaa/AAA | $ | 3,340,620 | |||||||
860,000 | Illinois Development Finance Authority Revenue, 4.00% due 11/15/2005 (Insured: XLCA) | Aaa/AAA | 880,718 | |||||||||
915,000 | Illinois Development Finance Authority Revenue, 4.00% due 11/15/2006 (Insured: XLCA) | Aaa/AAA | 951,316 | |||||||||
3,635,000 | Illinois Development Finance Authority Revenue, 6.00% due 11/15/2009 (Adventist Health Project; Insured: MBIA) | Aaa/AAA | 4,106,023 | |||||||||
1,005,000 | Illinois Development Finance Authority Revenue, 6.35% due 7/1/2010 pre-refunded 7/1/2005 (Elderly Housing 8 Mattoon Tower A Project) | A3/NR | 1,039,642 | |||||||||
3,860,000 | Illinois Development Finance Authority Revenue, 6.00% due 11/15/2010 (Adventist Health Project; Insured: MBIA) | Aaa/AAA | 4,397,968 | |||||||||
785,000 | Illinois Development Finance Authority Revenue, 5.25% due 2/15/2011 (Insured: AMBAC) | NR/AAA | 810,089 | |||||||||
1,000,000 | Illinois Development Finance Authority Revenue Refunding Community Rehab Providers A, 5.60% due 7/1/2005 | NR/BBB | 1,016,760 | |||||||||
1,000,000 | Illinois Development Finance Authority Revenue Refunding Community Rehab Providers A, 5.60% due 7/1/2006 | NR/BBB | 1,034,310 | |||||||||
4,500,000 | Illinois Development Finance Authority Revenue Refunding Community Rehab Providers Series A, 6.00% due 7/1/2015 | NR/BBB | 4,656,780 | |||||||||
6,035,000 | Illinois Development Finance Authority Revenue Series A, 5.75% due 5/15/2014 (Provena Health Project; Insured: MBIA) | Aaa/AAA | 6,698,126 | |||||||||
915,000 | Illinois Health Facilities Authority Revenue, 5.50% due 11/15/2007 (OSF Healthcare System Project) | A2/A | 982,234 | |||||||||
1,290,000 | Illinois Health Facilities Authority Revenue, 6.50% due 2/15/2008 (Iowa Health System Project) | A1/NR | 1,434,054 | |||||||||
1,375,000 | Illinois Health Facilities Authority Revenue, 6.50% due 2/15/2009 (Iowa Health System Project) | A1/NR | 1,551,619 | |||||||||
1,465,000 | Illinois Health Facilities Authority Revenue, 6.50% due 2/15/2010 (Iowa Health System Project) | A1/NR | 1,669,177 | |||||||||
1,560,000 | Illinois Health Facilities Authority Revenue, 6.00% due 2/15/2011 (Iowa Health System Project; Insured: AMBAC) | Aaa/AAA | 1,773,377 | |||||||||
1,000,000 | Illinois Health Facilities Authority Revenue Refunding, 4.00% due 8/15/2005 (University of Chicago Hospital & Health Project; Insured MBIA) | Aaa/AAA | 1,019,230 | |||||||||
1,000,000 | Illinois Health Facilities Authority Revenue Refunding, 5.00% due 8/15/2006 (University of Chicago Hospital & Health Project; Insured MBIA) | Aaa/AAA | 1,054,650 | |||||||||
1,500,000 | Illinois Health Facilities Authority Revenue Refunding, 5.00% due 8/15/2007 (University of Chicago Hospital & Health Project; Insured MBIA) | Aaa/AAA | 1,612,485 | |||||||||
1,500,000 | Illinois Health Facilities Authority Revenue Refunding, 5.00% due 8/15/2008 (University of Chicago Hospital & Health Project; Insured MBIA) | Aaa/AAA | 1,630,455 | |||||||||
3,000,000 | Illinois Health Facilities Authority Revenue Refunding, 5.50% due 11/15/2011 (Methodist Medical Center Project; Insured: MBIA) | Aaa/AAA | 3,321,420 | |||||||||
37,000 | Illinois Health Facilities Authority Revenue Series 1993-A, 7.875% due 8/15/2005 (Community Provider Pooled Loan Program Project) | NR/NR | 37,239 | |||||||||
1,000,000 | Illinois Health Facilities Authority Revenue University of Chicago, 5.00% due 8/15/2009 (Hospital Systems Project; Insured: MBIA) | Aaa/AAA | 1,092,460 | |||||||||
1,040,000 | Illinois Hospital District, 5.50% due 1/1/2010 (Insured: FGIC) | Aaa/AAA | 1,158,477 | |||||||||
500,000 | Illinois State COPS Central Management Department, 5.00% due 7/1/2007 (Insured: AMBAC) | Aaa/AAA | 537,595 | |||||||||
1,000,000 | Illinois State Partners Series A, 6.00% due 7/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,069,420 | |||||||||
2,250,000 | Illinois State Refunding, 5.125% due 12/1/2006 (Insured: FGIC) | Aaa/AAA | 2,375,865 | |||||||||
1,200,000 | Kane County Illinois School District Number 129 Aurora West Side Refunding, 5.50% due 2/1/2012 (Insured: FGIC) | Aaa/NR | 1,312,608 | |||||||||
920,000 | Kankakee Series A, 5.25% due 1/1/2012 pre-refunded 1/1/2006 @100 | Aaa/AAA | 959,698 | |||||||||
80,000 | Kankakee Unrefunded Balance Series A, 5.25% due 1/1/2012 (Insured: FSA) | Aaa/AAA | 83,188 | |||||||||
1,000,000 | Lake County Community Consolidated School District 73, 9.00% due 1/1/2006 (Insured: FSA) | Aaa/NR | 1,086,260 | |||||||||
2,000,000 | Lake County Community High School District 117 Series B, 0% due 12/1/2006 (Insured: FGIC) | Aaa/NR | 1,904,420 | |||||||||
3,235,000 | Lake County Community High School District 117 Series B, 0% due 12/1/2011 (Insured: FGIC) | Aaa/NR | 2,481,827 | |||||||||
2,370,000 | Lake County Consolidated High School Refunding, 3.00% due 12/1/2004 | NR/AA- | 2,374,977 | |||||||||
2,990,000 | Lake County Consolidated High School Refunding, 3.25% due 12/1/2005 | NR/AA- | 3,035,926 | |||||||||
1,000,000 | McHenry & Kane Counties Community Consolidated School District 158, 0% due 1/1/2010 (Insured: FGIC) | Aaa/AAA | 833,390 |
Certified Annual Report 21
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 1,250,000 | Metropolitan Pier & Exposition Authority Dedicated State Tax Revenue Refunding Series A-2002, 6.00% due 6/15/2007 pre-refunded 6/15/2006 @ 102 (McCormick Place Exposition Project; Insured: AMBAC) | Aaa/AAA | $ | 1,361,050 | |||||||
3,750,000 | Metropolitan Pier & Exposition Authority Dedicated State Tax Revenue Refunding Series A-2002, 6.00% due 6/15/2007 pre-refunded 6/15/2006 @102 (McCormick Place Exposition Project; Insured: AMBAC) | Aaa/AAA | 4,063,012 | |||||||||
2,445,000 | Naperville City, Du Page & Will Counties Economic Development Revenue, 6.10% due 5/1/2008 (Hospital & Health System Association Project; LOC: American National Bank) | NR/A1+ | 2,535,514 | |||||||||
1,100,000 | Peoria Public Building Commission School District Facilities Revenue, 0% due 12/1/2007 (Insured: FGIC) | Aaa/NR | 1,015,938 | |||||||||
6,300,000 | University of Illinois Revenue, 0% due 10/1/2006 (Insured: MBIA) | Aaa/AAA | 6,032,313 | |||||||||
INDIANA (4.30%) | ||||||||||||
1,370,000 | Allen County Economic Development Revenue, 5.00% due 12/30/2012 (Indiana Institute of Technology Project) | NR/NR | 1,449,583 | |||||||||
965,000 | Allen County Economic Development Revenue First Mortgage, 5.20% due 12/30/2005 (Indiana Institute of Technology Project) | NR/NR | 999,634 | |||||||||
690,000 | Allen County Economic Development Revenue First Mortgage, 5.30% due 12/30/2006 (Indiana Institute of Technology Project) | NR/NR | 729,827 | |||||||||
1,110,000 | Allen County Economic Development Revenue First Mortgage, 5.60% due 12/30/2009 (Indiana Institute of Technology Project) | NR/NR | 1,199,310 | |||||||||
1,115,000 | Allen County Jail Building Corp. First Mortgage, 5.75% due 10/1/2010 | Aa3/NR | 1,274,724 | |||||||||
1,000,000 | Ball State University Revenues Student Fee Series K, 5.75% due 7/1/2012 (Insured: FGIC) | Aaa/AAA | 1,148,480 | |||||||||
1,085,000 | Boone County Hospital Association Lease Revenue, 5.00% due 1/15/2007 (Insured: FGIC) (ETM)* | Aaa/AAA | 1,156,361 | |||||||||
850,000 | Boonville Junior High School Building Corp. Revenue, 0% due 7/1/2010 (State Aid) | NR/A | 677,960 | |||||||||
850,000 | Boonville Junior High School Building Corp. Revenue, 0% due 1/1/2011 (State Aid) | NR/A | 658,274 | |||||||||
950,000 | Boonville Junior High School Building Corp. Revenue Refunding, 0% due 7/1/2011 (State Aid) | NR/A | 719,407 | |||||||||
1,175,000 | Center Grove 2000 Building First Mortgage, 5.00% due 7/15/2009 (Insured: AMBAC) | Aaa/AAA | 1,289,116 | |||||||||
1,135,000 | Center Grove 2000 Building First Mortgage, 5.00% due 7/15/2010 (Insured: AMBAC) | Aaa/AAA | 1,250,747 | |||||||||
910,000 | Eagle Union Middle School Building Corp., 5.50% due 7/15/2009 (Insured: AMBAC) (ETM)* | Aaa/AAA | 1,023,504 | |||||||||
1,860,000 | Elberfeld J. H. Castle School Building Corp. Indiana First Mortgage (State Aid), 0% due 1/15/2006 | NR/A | 1,799,346 | |||||||||
1,860,000 | Elberfeld J. H. Castle School Building Corp. Indiana First Mortgage Refunding, 0% due 7/5/2008 (Insured: MBIA) | Aaa/AAA | 1,675,860 | |||||||||
965,000 | Evansville Vanderburgh School Building Corp. First Mortgage, 5.00% due 1/15/2008 (Insured: FSA) | Aaa/AAA | 1,042,393 | |||||||||
965,000 | Goshen Multi School Building Corp. 1st Mortgage, 5.20% due 7/15/2007 (Insured: MBIA) | Aaa/AAA | 1,043,705 | |||||||||
2,305,000 | Hammond Multi-School Building Corp. First Mortgage Refunding Bond Series 1997, 6.00% due 7/15/2008 (Lake County Project) | NR/A | 2,513,119 | |||||||||
390,000 | Huntington Economic Development Revenue, 6.00% due 11/1/2006 (United Methodist Membership Project) | NR/NR | 412,526 | |||||||||
700,000 | Huntington Economic Development Revenue, 6.15% due 11/1/2008 (United Methodist Membership Project) | NR/NR | 762,048 | |||||||||
790,000 | Huntington Economic Development Revenue, 6.20% due 11/1/2010 (United Methodist Membership Project) | NR/NR | 845,403 | |||||||||
85,000 | Indiana Health Facility Financing Authority Hospital Revenue, 5.75% due 11/1/2005 (Daughters of Charity Project) (ETM)* | Aaa/NR | 86,665 | |||||||||
1,265,000 | Indiana Health Facility Financing Authority Hospital Revenue Series D, 5.00% due 11/1/2026 pre-refunded 11/1/2007 | Aaa/NR | 1,345,935 | |||||||||
1,000,000 | Indiana Municipal Power Agency Power Supply Systems Revenue Refunding Series B, 5.80% due 1/1/2008 (Insured: MBIA) | Aaa/AAA | 1,105,930 | |||||||||
670,000 | Indiana State Educational Facilities Authority Revenue, 5.75% due 10/1/2009 (University of Indianapolis Project) | NR/A- | 744,477 | |||||||||
2,500,000 | Indiana University Revenues Refunding, 0% due 8/1/2007 (Insured: AMBAC) | Aaa/AAA | 2,333,175 | |||||||||
1,000,000 | Indianapolis Airport Authority Revenue Refunding Series A, 5.75% due 7/1/2005 (Insured: FGIC) | Aaa/AAA | 1,030,060 | |||||||||
1,100,000 | Indianapolis Airport Authority Revenue Refunding Series A, 5.35% due 7/1/2007 (Insured: FGIC) | Aaa/AAA | 1,180,388 | |||||||||
1,220,000 | Indianapolis Local Public Improvement Bond Bank Transportation Revenue, 0% due 7/1/2005 (ETM)* | Aa2/NR | 1,204,640 | |||||||||
1,240,000 | Indianapolis Local Public Improvement Bond Bank Transportation Revenue, 0% due 7/1/2006 (ETM)* | Aa2/NR | 1,196,873 | |||||||||
2,200,000 | Indianapolis Resource Recovery Revenue Refunding, 6.75% due 12/1/2004 (Ogden Martin Systems, Inc. Project; Insured: AMBAC) | Aaa/AAA | 2,217,864 | |||||||||
2,000,000 | Indianapolis Resource Recovery Revenue Refunding, 6.75% due 12/1/2006 (Ogden Martin Systems, Inc. Project; Insured: AMBAC) | Aaa/AAA | 2,181,120 |
22 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 855,000 | Knox Middle School Building Corp. First Mortgage, 6.00% due 7/15/2008 (Insured: FGIC) | Aaa/AAA | $ | 960,336 | |||||||
455,000 | Knox Middle School Building Corp. First Mortgage, 6.00% due 7/15/2009 (Insured: FGIC) | Aaa/AAA | 518,573 | |||||||||
890,000 | Merrillville Multi School Building Corp. Refunding First Mortgage, 6.55% due 7/1/2005 (Insured: MBIA) | Aaa/AAA | 921,844 | |||||||||
625,000 | Monroe County Community School Building Corp. Revenue Refunding, 5.00% due 1/15/2007 (Insured: AMBAC) | Aaa/AAA | 665,531 | |||||||||
940,000 | North Adams Community Schools, 4.00% due 7/15/2005 (Insured: FSA) | Aaa/AAA | 956,854 | |||||||||
1,070,000 | North Central Campus School Building Corp. Indiana, 4.50% due 7/10/2005 (Insured: AMBAC) | Aaa/AAA | 1,093,069 | |||||||||
684,000 | Northwest Allen Building Corp. First Mortgage, 5.30% due 12/1/2005 (Insured: MBIA) | Aaa/AAA | 700,238 | |||||||||
835,000 | Peru Community School Corp. Refunding First Mortgage, 0% due 7/1/2010 | NR/A | 665,996 | |||||||||
1,655,000 | Plymouth Multi School Building Corp. Refunding, 5.50% due 7/1/2005 (Plymouth Community School Project; Insured: MBIA) | Aaa/AAA | 1,702,300 | |||||||||
4,000,000 | Rockport Pollution Control Revenue Series C, 2.625% due 4/1/2025 put 10/1/2006 (Indiana Michigan Power Co. Project) | Baa2/BBB | 3,998,080 | |||||||||
1,540,000 | Vigo County Elementary School Building Corp. Refunding & Improvement First Mortgage, 4.00% due 1/10/2006 (Insured: FSA) | Aaa/AAA | 1,581,349 | |||||||||
1,635,000 | Vigo County Elementary School Building Corp. Refunding & Improvement First Mortgage, 4.00% due 1/10/2008 (Insured: FSA) | Aaa/AAA | 1,716,145 | |||||||||
995,000 | Wawasee Community School Corp. First Mortgage, 5.50% due 7/15/2010 (State Aid) | NR/AA- | 1,116,460 | |||||||||
1,095,000 | Wawasee Community School Corp. First Mortgage, 5.50% due 7/15/2011 (State Aid) | NR/AA- | 1,235,193 | |||||||||
2,080,000 | West Clark School Building Corp. First Mortgage, 5.75% due 7/15/2011 (Insured: FGIC) | Aaa/AAA | 2,392,603 | |||||||||
1,820,000 | Westfield Elementary School Building Corp. First Mortgage Series 1997, 6.80% due 7/15/2007 (Insured: AMBAC) (ETM)* | Aaa/AAA | 2,043,514 | |||||||||
IOWA (2.10%) | ||||||||||||
2,900,000 | Ankeny Community School District Sales & Services Tax Revenue, 5.00% due 7/1/2010 | NR/A+ | 3,145,166 | |||||||||
3,515,000 | Des Moines Limited Obligation Revenue, 6.25% due 12/1/2015 put 12/1/2005 (Des Moines Parking Associates Project; LOC: Wells Fargo Bank) | NR/NR | 3,521,151 | |||||||||
6,650,000 | Iowa Finance Authority Commercial Development Revenue Refunding, 5.75% due 4/1/2014 put 4/1/2010 (Governor Square Project; Insured: AXA) | NR/AA | 7,049,599 | |||||||||
435,000 | Iowa Finance Authority Hospital Facility Revenue, 6.50% due 2/15/2007 (Iowa Health Services Project) | A1/NR | 472,867 | |||||||||
1,765,000 | Iowa Finance Authority Hospital Facility Revenue, 6.50% due 2/15/2009 (Iowa Health Services Project) | A1/NR | 1,993,250 | |||||||||
1,955,000 | Iowa Finance Authority Hospital Facility Revenue, 6.50% due 2/15/2010 (Iowa Health Services Project) | A1/NR | 2,229,521 | |||||||||
3,145,000 | Iowa Finance Authority Hospital Facility Revenue, 6.00% due 2/15/2011 (Iowa Health Services Project; Insured: AMBAC) | Aaa/AAA | 3,580,173 | |||||||||
1,430,000 | Iowa Finance Authority Revenue Trinity Health Series B, 5.75% due 12/1/2007 | Aa3/AA- | 1,566,279 | |||||||||
3,295,000 | Iowa Finance Authority Revenue Trinity Health Series B, 5.75% due 12/1/2010 | Aa3/AA- | 3,720,154 | |||||||||
1,170,000 | Iowa University of Science & Technology Revenue Refunding Series B, 5.20% due 7/1/2005 (Academic Building Project) | Aa3/A+ | 1,200,467 | |||||||||
390,000 | University of Iowa Facilities Corp. Revenue Series A, 4.875% due 6/1/2005 | Aa2/AA- | 397,960 | |||||||||
KANSAS (0.10%) | ||||||||||||
500,000 | Dodge Unified School District 443 Ford County, 8.25% due 9/1/2006 (Insured: FSA) | Aaa/AAA | 558,555 | |||||||||
1,160,000 | Wichita Water & Sewer Utility Revenue, 5.50% due 10/1/2011 (Insured: FGIC) | Aaa/AAA | 1,247,847 | |||||||||
KENTUCKY (1.40%) | ||||||||||||
145,000 | Campbell & Kenton Counties Sanitation District Number 1 Revenue, 6.50% due 8/1/2005 (ETM)* | Aaa/AAA | 150,886 | |||||||||
1,580,000 | Kentucky Economic Development Finance Authority Refunding & Improvement Series A, 5.00% due 2/1/2009 (Ashland Hospital; Insured: FSA) | Aaa/AAA | 1,723,180 | |||||||||
1,000,000 | Kentucky Economic Development Finance Authority Refunding & Improvement Series A, 5.00% due 2/1/2010 (Ashland Hospital; Insured: FSA) | Aaa/AAA | 1,093,310 | |||||||||
7,400,000 | Kentucky Economic Development Finance Authority Series C, 0% due 10/1/2009 converts to 5.35% 10/1/2005 (Norton Healthcare Project; Insured: MBIA) | Aaa/AAA | 7,799,674 |
Certified Annual Report 23
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 7,830,000 | Kentucky Economic Development Finance Authority Series C, 0% due 10/1/2010 converts to 5.40% 10/1/2005 (Norton Healthcare Project; Insured: MBIA) | Aaa/AAA | $ | 8,325,247 | |||||||
390,000 | Kentucky State Turnpike Authority Resources Recovery Revenue, 0% due 7/1/2006 (Insured: FGIC) | Aaa/AAA | 367,169 | |||||||||
150,000 | Louisville Water Revenue Refunding, 6.00% due 11/15/2006 (ETM)* | Aaa/AAA | 161,945 | |||||||||
LOUISIANA (2.70%) | ||||||||||||
4,125,000 | Jefferson Parish Hospital District 2, 5.25% due 12/1/2015 crossover-refunded 12/1/2005 (Insured: FGIC) | Aaa/AAA | 4,275,810 | |||||||||
1,440,000 | Jefferson Sales Tax District Special Sales Tax Revenue Refunding, 5.25% due 12/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,540,109 | |||||||||
1,515,000 | Jefferson Sales Tax District Special Sales Tax Revenue Refunding, 5.25% due 12/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,654,698 | |||||||||
1,000,000 | Louisiana Local Govt. Environmental Facilities & Community Dev. Auth. Multi Family Revenue Series A, 5.00% due 9/1/2012 (Bellemont Apartments Project) | Baa1/NR | 989,020 | |||||||||
2,255,000 | Louisiana PFA Revenue, 5.375% due 12/1/2008 (Wynhoven Health Care Center Project; Guaranty: Archdiocese of New Orleans) | NR/NR | 2,341,164 | |||||||||
1,000,000 | Louisiana Public Facilities Authority Revenue, 5.75% due 10/1/2008 (Loyola University Project) | A1/A+ | 1,116,190 | |||||||||
1,280,000 | Louisiana Public Facilities Authority Revenue Refunding, 5.50% due 10/1/2006 (Loyola University Project) | A1/A+ | 1,365,696 | |||||||||
7,135,000 | Louisiana State Correctional Facility Lease, 5.00% due 12/15/2008 (Insured: Radian) | NR/AA | 7,729,845 | |||||||||
2,350,000 | Louisiana State Offshore Terminal Authority Deepwater Port Revenue, 4.375% due 10/1/2020 put 6/1/2007 (Loop LLC Project) | A3/A-1 | 2,454,974 | |||||||||
5,000,000 | Louisiana State Offshore Terminal Refunding Series D, 4.00% due 9/1/2023 put 9/1/2008 (Loop LLC Project) | A3/A-1 | 5,165,900 | |||||||||
1,250,000 | Louisiana State Refunding Series A, 7.75% due 8/1/2006 (Insured: MBIA) | Aaa/AAA | 1,380,325 | |||||||||
5,050,000 | New Orleans Parish School Board, 0% due 2/1/2008 (ETM)* | Aaa/AAA | 4,309,417 | |||||||||
1,000,000 | New Orleans Refunding, 0% due 9/1/2006 (Insured: AMBAC) | Aaa/AAA | 960,070 | |||||||||
3,000,000 | St. Charles Parish Pollution Control Revenue Variable Refunding Series A, 4.90% due 6/1/2030 put 6/1/2005 (Entergy Louisiana Inc. Project) | Baa2/BBB- | 3,039,540 | |||||||||
MAINE (0.10%) | ||||||||||||
1,000,000 | Regional Waste Systems Inc. Solid Waste Resources Recovery Revenue Series P, 6.25% due 7/1/2010 (Insured: FSA) | Aaa/AAA | 1,052,510 | |||||||||
MARYLAND (0.50%) | ||||||||||||
580,000 | Baltimore Maryland, 7.00% due 10/15/2009 (Insured: MBIA) | Aaa/AAA | 693,245 | |||||||||
2,050,000 | Baltimore Public Improvement Series A, 7.00% due 10/15/2006 (Insured: MBIA) | Aaa/AAA | 2,255,369 | |||||||||
1,000,000 | Howard County Retirement Community Revenue Series A, 7.25% due 5/15/2015 pre-refunded 5/15/2010 | NR/NR | 1,223,330 | |||||||||
2,500,000 | Howard County Retirement Community Revenue Series A, 7.875% due 5/15/2021 pre-refunded 5/15/2010 | NR/NR | 3,134,125 | |||||||||
MASSACHUSETTS (2.50%) | ||||||||||||
2,000,000 | Boston Economic Development & Industrial Corp., 5.15% due 7/1/2025 put 7/1/2005 (LOC: Fleet National Bank) | Aa3/NR | 2,036,620 | |||||||||
3,470,000 | Massachusetts Development Finance Agency Resource Recovery Revenue Series A, 5.50% due 1/1/2011 (Insured: MBIA) | Aaa/AAA | 3,893,791 | |||||||||
1,000,000 | Massachusetts Industrial Finance Agency Pollution Control Revenue Refunding, 5.875% due 8/1/2008 (Eastern Edison Co. Project) | A2/A | 1,013,190 | |||||||||
1,000,000 | Massachusetts Industrial Finance Agency Revenue, 8.375% due 2/15/2018 pre-refunded 2/15/2006 @ 102 (Glenmeadow Retirement Project) | NR/NR | 1,101,490 | |||||||||
900,000 | Massachusetts Municipal Wholesale Electric Co. Power Supply Systems Revenue, 5.00% due 7/1/2005 (Stony Brook Intermediate Project A; Insured: MBIA) | Aaa/AAA | 922,095 | |||||||||
4,000,000 | Massachusetts Municipal Wholesale Electric Co. Power Supply Systems Revenue Number 1-Series A, 5.00% due 7/1/2007 (Nuclear Mix Project; Insured: MBIA) | Aaa/AAA | 4,299,680 | |||||||||
1,000,000 | Massachusetts Municipal Wholesale Electric Co. Power Supply Systems Revenue Series A, 5.00% due 7/1/2005 (Stony Brook Peaking Project; Insured: MBIA) | Aaa/AAA | 1,024,550 | |||||||||
2,000,000 | Massachusetts State Federal Highway Grant Anticipation Notes Series A, 5.25% due 6/15/2009 | Aa3/NR | 2,210,540 |
24 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 8,120,000 | Massachusetts State Health & Educational Facilities Authority Capital Assets Program Series D, 1.72% due 1/1/2035 (Insured: MBIA) (Daily Demand Notes) | VMIG1/A1+ | $ | 8,120,000 | |||||||
3,415,000 | Massachusetts State Health & Educational Series H, 5.375% due 5/15/2012 (New England Medical Center Hospital Project; Insured: FGIC) | Aaa/AAA | 3,831,630 | |||||||||
1,220,000 | Massachusetts State Industrial Finance Agency Revenue, 5.90% due 7/1/2027 pre-refunded 7/1/2007 (Dana Hall School Project) | Baa2/NR | 1,361,459 | |||||||||
1,000,000 | Massachusetts State Refunding Series A, 5.375% due 8/1/2008 | Aa2/AA- | 1,103,850 | |||||||||
1,000,000 | Massachusetts State Refunding Series A, 6.00% due 11/1/2008 | Aa2/AA- | 1,131,090 | |||||||||
1,500,000 | Massachusetts State Refunding Series A, 5.50% due 1/1/2010 | Aa2/AA- | 1,680,915 | |||||||||
1,500,000 | Taunton G. O., 8.00% due 2/1/2006 (Insured: MBIA) | Aaa/AAA | 1,620,855 | |||||||||
MICHIGAN (2.80%) | ||||||||||||
2,450,000 | Dearborn Economic Development Corp. Oakwood Obligation Group Series A, 5.75% due 11/15/2015 (Insured: FGIC) | Aaa/AAA | 2,594,893 | |||||||||
1,000,000 | Detroit Convention Facility, 5.25% due 9/30/2007 | NR/A | 1,075,140 | |||||||||
1,405,000 | Detroit Michigan Series A, 6.00% due 4/1/2007 (Insured: FGIC) (ETM)* | Aaa/AAA | 1,540,442 | |||||||||
2,500,000 | Dickinson County Healthcare Systems Hospital Revenue Refunding, 5.50% due 11/1/2013 (Insured: ACA) | NR/A | 2,703,375 | |||||||||
1,670,000 | Jackson County Hospital Finance Authority Hospital Revenue Series A, 5.00% due 6/1/2006 (W.A. Foote Memorial Hospital Project; Insured: AMBAC) | Aaa/NR | 1,753,667 | |||||||||
1,000,000 | Kalamazoo Hospital Finance Authority Facility Revenue, 5.50% due 5/15/2005 (Bronson Methodist Hospital Project; Insured: MBIA) | Aaa/NR | 1,023,380 | |||||||||
1,000,000 | Lansing Building Authority, 6.00% due 6/1/2005 (Insured: AMBAC) (ETM)* | Aaa/AAA | 1,000,100 | |||||||||
2,000,000 | Michigan Hospital Finance Authority Revenue, 5.375% due 7/1/2012 (Insured: FSA) | Aaa/AAA | 2,089,060 | |||||||||
10,000,000 | Michigan Hospital Finance Authority Revenue Series A, 5.375% due 11/15/2033 put 11/15/2007 (Ascension Health Project) | Aa2/AA | 10,863,200 | |||||||||
655,000 | Michigan Housing Development Authority Single Family Insured Mortgage Revenue Series A, 5.00% due 4/1/2010 (Insured: FHA/VA Mtgs) | Aa1/AA+ | 655,799 | |||||||||
1,500,000 | Michigan State Building Authority Revenue Refunding Facilities Program Series I, 5.00% due 4/15/2005 | Aa2/AA | 1,526,790 | |||||||||
4,000,000 | Michigan State Building Authority Revenue Refunding Facilities Program Series I, 5.00% due 10/15/2007 (Insured: FSA) | Aaa/AAA | 4,329,080 | |||||||||
4,000,000 | Michigan State Building Authority Revenue Refunding Facilities Program Series I, 5.00% due 10/15/2008 (Insured: FSA) | Aaa/AAA | 4,380,800 | |||||||||
1,000,000 | Michigan State Job Development Authority Pollution Control Revenue, 5.55% due 4/1/2009 (General Motors Corp. Project; Guaranty: GM) | Baa1/BBB | 1,001,560 | |||||||||
1,000,000 | Missouri State Health & Educational Facilities Authority Revenue Series A, 5.00% due 6/1/2011 | NR/AA- | 1,087,060 | |||||||||
1,000,000 | Oakland County Economic Development Corp. Limited, 5.50% due 6/1/2014 pre-refunded 6/1/2007 @ 102 (LOC: First of America Bank-Central) | A1/NR | 1,107,530 | |||||||||
800,000 | Oxford Area Community School District, 5.00% due 5/1/2012 (Guaranty: School Bond Loan Fund) | Aa1/AA+ | 880,512 | |||||||||
MINNESOTA (1.20%) | ||||||||||||
1,000,000 | Breckenridge Health Facilities Revenue Catholic Health Corp., 5.25% due 11/15/2013 (Insured: MBIA) | Aaa/AAA | 1,022,690 | |||||||||
5,000,000 | Minneapolis Refunding Series B, 5.15% due 3/1/2009 | Aa1/AAA | 5,153,250 | |||||||||
3,130,000 | Minneapolis St. Paul Health Care Systems, 5.25% due 12/1/2011 (Healthpartners Obligation Group Project) | Baa1/BBB+ | 3,320,116 | |||||||||
1,000,000 | Minneapolis St. Paul Health Care Systems, 5.25% due 12/1/2012 (Healthpartners Obligation Group Project) | Baa1/BBB+ | 1,055,070 | |||||||||
1,500,000 | Minneapolis St. Paul Health Care Systems, 5.25% due 12/1/2013 (Healthpartners Obligation Group Project) | Baa1/BBB+ | 1,572,630 | |||||||||
1,915,000 | Osseo Independent School District 279 Crossover Refunding Series B, 5.00% due 2/1/2006 | Aa2/NR | 1,996,100 | |||||||||
1,000,000 | Southern Minnesota Municipal Power Agency Revenue Refunding Series A, 5.00% due 1/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,039,820 | |||||||||
1,450,000 | University of Minnesota Refunding Series A, 5.50% due 7/1/2006 | Aa2/AA | 1,540,814 | |||||||||
MISSISSIPPI (0.50%) | ||||||||||||
1,020,000 | Gautier Utility District Systems Revenue Refunding, 5.50% due 3/1/2012 (Insured: FGIC) | Aaa/NR | 1,161,545 | |||||||||
700,000 | Hattiesburg Water & Sewer Revenue Refunding Systems, 5.20% due 8/1/2006 (Insured: AMBAC) | Aaa/AAA | 732,613 |
Certified Annual Report 25
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 1,000,000 | Mississippi Hospital Equipment & Facilities Authority Revenue, 6.50% due 5/1/2006 (Refunding Mississippi Baptist Medical Center; Insured: MBIA) | Aaa/AAA | $ | 1,045,860 | |||||||
915,000 | Ridgeland Multi Family Housing Revenue, 4.95% due 10/1/2007 (Collateralized: FNMA) | NR/A1+ | 933,355 | |||||||||
3,050,000 | Warren County Mississippi Pollution Control Revenue Series A, 5.625% due 11/15/2006 (International Paper Company Project) | Baa2/BBB | 3,058,022 | |||||||||
MISSOURI (0.60%) | ||||||||||||
425,000 | Jackson County Public Building Corp. Leasehold Revenue Series 1996, 6.00% due 12/1/2004 (Capital Improvement Project; Insured: MBIA) | Aaa/AAA | 428,124 | |||||||||
1,275,000 | Missouri Development Finance Board Healthcare Facilities Revenue Series A, 4.80% due 11/1/2012 (Lutheran Home Aged Project; LOC: Commerce Bank) | A2/NR | 1,325,860 | |||||||||
1,530,000 | Platte County Certificates of Participation, 5.00% due 9/1/2008 | NR/AA- | 1,663,156 | |||||||||
840,000 | Springfield Certificates of Participation, 5.20% due 6/1/2006 (Law Enforcement Communication Project) | Aa3/NR | 883,411 | |||||||||
840,000 | Springfield Certificates of Participation, 5.25% due 6/1/2007 (Law Enforcement Communication Project) | Aa3/NR | 903,916 | |||||||||
2,495,000 | St. Louis County Refunding, 5.00% due 8/15/2007 (Convention & Sports Facility Project B 1; Insured: AMBAC) | Aaa/AAA | 2,689,335 | |||||||||
MONTANA (1.20%) | ||||||||||||
11,440,000 | Forsyth Pollution Control Revenue Refunding, 5.00% due 10/1/2032 put 12/30/2008 (Insured: AMBAC) | Aaa/AAA | 12,446,148 | |||||||||
4,000,000 | Forsyth Pollution Control Revenue Refunding, 5.20% due 5/1/2033 put 5/1/2009 (Portland General Project) | Baa2/BBB+ | 4,249,960 | |||||||||
NEBRASKA (1.40%) | ||||||||||||
1,995,000 | Lancaster County School District 1, 4.00% due 7/15/2007 (Lincoln Public School Project) | Aa2/AAA | 2,097,643 | |||||||||
1,455,000 | Madison County Hospital Authority Revenue 1, 5.25% due 7/1/2010 (Faith Regional Health Services Project; Insured: Radian) | NR/AA | 1,598,477 | |||||||||
1,625,000 | Madison County Hospital Authority Revenue 1, 5.50% due 7/1/2012 (Faith Regional Health Services Project; Insured: Radian) | NR/AA | 1,806,204 | |||||||||
2,655,000 | Nebraska IFA Tax Exempt Multi Family Housing Revenue Refunding 1995-A, 5.50% due 12/1/2025 put 12/1/2005 (Willow Park Apartments Project; Collateralized: FNMA) | NR/AAA | 2,715,083 | |||||||||
1,400,000 | Nebraska Public Power District Revenue General Series A, 5.25% due 1/1/2007 (Insured: MBIA) | Aaa/AAA | 1,499,694 | |||||||||
5,000,000 | Omaha Public Power District Nebraska Electric Revenue Refunding Systems B, 5.00% due 2/1/2013 | Aa2/AA | 5,528,900 | |||||||||
2,095,000 | Omaha Public Power District Nebraska Electric Revenue Series A, 7.50% due 2/1/2006 (ETM)* | NR/AA | 2,183,723 | |||||||||
1,500,000 | University of Nebraska Facilities Corp., 5.00% due 7/15/2008 | Aa2/AA- | 1,634,910 | |||||||||
NEVADA (1.20%) | ||||||||||||
840,000 | Colorado River Commission Power Delivery A, 7.00% due 9/15/2008 | Aa2/AA | 952,274 | |||||||||
5,000,000 | Humboldt County Pollution Control Revenue Refunding, 6.55% due 10/1/2013 (Sierra Pacific Project; Insured: AMBAC) | Aaa/AAA | 5,225,500 | |||||||||
1,770,000 | Las Vegas Special Refunding Local Improvement District 707 Series A, 5.125% due 6/1/2011 (Insured: FSA) | Aaa/AAA | 1,941,938 | |||||||||
1,470,000 | Nevada Housing Division FNMA Multi Family Certificate A, 4.80% due 4/1/2008 (Collateralized: FNMA) | NR/AAA | 1,523,008 | |||||||||
1,000,000 | Sparks Redevelopment Agency Tax Allocation Revenue Refunding Series A, 5.70% due 1/15/2009 (Insured: Radian) | NR/AA | 1,105,330 | |||||||||
1,000,000 | Sparks Redevelopment Agency Tax Allocation Revenue Refunding Series A, 5.70% due 1/15/2010 (Insured: Radian) | NR/AA | 1,111,240 | |||||||||
1,285,000 | Sparks Redevelopment Agency Tax Allocation Revenue Refunding Series A, 5.70% due 1/15/2011 (Insured: Radian) | NR/AA | 1,426,633 | |||||||||
3,500,000 | Washoe County School District, 5.50% due 6/1/2008 (Insured: FSA) | Aaa/AAA | 3,872,715 | |||||||||
NEW HAMPSHIRE (0.30%) | ||||||||||||
1,500,000 | Manchester New Hampshire Housing & Redevelopment Authority Revenue Series A, 6.05% due 1/1/2012 (Insured: ACA) | NR/A | 1,643,535 |
26 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 2,485,000 | New Hampshire Industrial Development Authority Revenue, 5.50% due 12/1/2009 put 12/1/2004 (Central Vermont Public Services Project; LOC: Citizens Bank) | NR/AA- | $ | 2,495,188 | |||||||
NEW JERSEY (2.00%) | ||||||||||||
5,000,000 | New Jersey State Transit Corp. Federal Transit Administration Grants Series B, 5.50% due 9/15/2007 (Insured: AMBAC) | Aaa/AAA | 5,445,100 | |||||||||
3,000,000 | New Jersey State Transport Trust Fund Authority Series C, 5.00% due 6/15/2007 (Transportation Systems Project) | A1/A+ | 3,216,240 | |||||||||
5,000,000 | New Jersey State Transport Trust Fund Authority Series C, 5.00% due 6/15/2008 (Transportation Systems Project) | A1/A+ | 5,426,400 | |||||||||
5,000,000 | New Jersey State Transport Trust Fund Authority Series C, 5.00% due 6/15/2009 (Transportation Systems Project) | A1/A+ | 5,464,550 | |||||||||
3,015,000 | New Jersey State Turnpike Authority Revenue Refunding Series A, 5.50% due 1/1/2006 (Insured: MBIA) | Aaa/AAA | 3,152,092 | |||||||||
1,780,000 | Newark Housing Authority Port Authority Rental Backed, 3.50% due 1/1/2006 (Newark Marine Terminal Redevelopment Project; Insured: MBIA) | Aaa/AAA | 1,816,170 | |||||||||
1,000,000 | Newark Housing Authority Port Authority Rental Backed, 5.00% due 1/1/2007 (Newark Marine Terminal Redevelopment Project; Insured: MBIA) | Aaa/AAA | 1,064,140 | |||||||||
1,000,000 | Newark Housing Authority Port Authority Rental Backed, 5.00% due 1/1/2010 (Newark Marine Terminal Redevelopment Project; Insured: MBIA) | Aaa/AAA | 1,098,010 | |||||||||
1,515,000 | Pequannock River Basin Regional Sewage Authority Refunding Series M, 5.00% due 12/1/2006 (Sewer Revenue Project; Insured: MBIA) | Aaa/NR | 1,573,115 | |||||||||
NEW MEXICO (1.70%) | ||||||||||||
8,900,000 | Albuquerque Airport Revenue Adjustment Refunding Subordinated, 1.66% due 7/1/2014 put 10/7/2004 (Insured: AMBAC) (weekly demand notes) | VMIG1/A-2 | 8,900,000 | |||||||||
3,200,000 | Farmington Pollution Control Revenue, 1.73% due 9/1/2024 put 10/1/2004 (LOC: Barclays Bank) (daily demand notes) | P | 1/A1+ | 3,200,000 | ||||||||
4,865,000 | New Mexico Highway Commission Revenue Subordinated Lien Tax Series B, 5.00% due 6/15/2011 (Insured: AMBAC) | Aaa/AAA | 5,352,668 | |||||||||
1,350,000 | New Mexico State, 4.00% due 3/1/2005 | Aa1/AA+ | 1,363,325 | |||||||||
1,000,000 | New Mexico State Refunding Series B, 5.00% due 9/1/2005 | Aa1/AA+ | 1,030,020 | |||||||||
2,650,000 | New Mexico State Severance Tax, 5.00% due 7/1/2005 | Aa2/AA | 2,715,481 | |||||||||
1,260,000 | New Mexico State University Revenues Refunding & Improvement, 4.00% due 4/1/2006 (Insured: FSA) | Aaa/AAA | 1,300,534 | |||||||||
NEW YORK (6.90%) | ||||||||||||
1,625,000 | Brookhaven Industrial Development Agency Civic Facility Revenue, 4.375% due 11/1/2031 put 11/1/2006 (Methodist Retirement Community Project; LOC: Northfork Bank) | A2/A- | 1,659,905 | |||||||||
1,000,000 | Hempstead Industrial Development Agency Resource Recovery Revenue Refunding, 5.00% due 12/1/2007 (American Ref-Fuel Project; Insured: MBIA) | Aaa/AAA | 1,075,890 | |||||||||
1,000,000 | Hempstead Town Industrial Development Agency Refunding, 5.00% due 12/1/2008 (American Fuel Co. Project; Insured: MBIA) | Aaa/AAA | 1,068,960 | |||||||||
1,500,000 | Long Island Power Authority Electric Systems Revenue General Series A, 6.00% due 12/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,671,240 | |||||||||
7,000,000 | Long Island Power Authority General Series B, 5.00% due 12/1/2006 | Baa1/A- | 7,401,030 | |||||||||
8,000,000 | Metropolitan Transportation Authority New York Revenue Series B, 5.00% due 11/15/2007 | A2/A | 8,610,640 | |||||||||
4,535,000 | Metropolitan Transportation Authority New York Service Series B, 5.25% due 7/1/2007 | A3/AA- | 4,901,065 | |||||||||
1,050,000 | Monroe County Industrial Development Agency, 5.375% due 6/1/2007 (St. John Fisher College Project; Insured: Radian) | NR/AA | 1,133,265 | |||||||||
600,000 | New York City Adjustment Series C, 1.68% due 10/1/2023 put 10/1/2004 (LOC: JPM) (daily demand notes) | VMIG1/A1+ | 600,000 | |||||||||
355,000 | New York City Housing Development Corp. Multi Family Housing Revenue Refunding Series A, 5.50% due 11/1/2009 | Aa2/AA | 359,803 |
Certified Annual Report 27
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 2,215,000 | New York City Industrial Development Agency Civic Facility, 5.25% due 6/1/2011 (Lycee Francais De New York Project Series A; Insured: ACA) | NR/A | $ | 2,371,268 | |||||||
2,330,000 | New York City Industrial Development Agency Civic Facility, 5.25% due 6/1/2012 (Lycee Francais De New York Project Series A; Insured: ACA) | NR/A | 2,491,702 | |||||||||
1,300,000 | New York City Refunding Series H, 1.73% due 8/1/2014 put 10/1/2004 (Insured: FSA) (daily demand notes) | VMIG1/A1+ | 1,300,000 | |||||||||
600,000 | New York City Transitional Finance Authority, 1.80% due 11/1/2022 put 10/1/2004 (LOC: Bank of New York) (daily demand notes) | VMIG1/A1+ | 600,000 | |||||||||
1,500,000 | New York City Transitional Refunding Future Tax Secured Series A, 4.50% due 11/1/2004 | Aa2/AA+ | 1,503,690 | |||||||||
1,040,000 | New York Dormitory Authority, 6.00% due 7/1/2007 (Champlain Valley Physicians Project; Insured: Connie Lee) | NR/AAA | 1,145,248 | |||||||||
1,370,000 | New York Dormitory Authority Revenues, 6.00% due 9/1/2008 pre-refunded 9/1/2005 (Norton Healthcare Project) | NR/AA | 1,440,089 | |||||||||
1,600,000 | New York Dormitory Authority Revenues Mental Health Services Facilities Improvement B, 5.00% due 8/15/2010 (Insured: MBIA) | Aaa/AAA | 1,770,960 | |||||||||
4,000,000 | New York Dormitory Authority Revenues Series B, 5.25% due 11/15/2026 put 5/15/2012 (Insured: AMBAC) | Aaa/AAA | 4,463,320 | |||||||||
560,000 | New York Medical Care Facilities Finance Agency Revenue, 6.40% due 11/1/2014 (Insured: FSA) | Aaa/AAA | 562,061 | |||||||||
1,000,000 | New York Municipal Water Finance Authority Water & Sewer Systems Revenue Series 93-C, 1.73% due 6/15/2022 put 10/1/2004 (daily demand notes); (Insured: FGIC) | VMIG1/A1+ | 1,000,000 | |||||||||
1,000,000 | New York Series B, 5.50% due 8/1/2011 (Insured: MBIA) | Aaa/AAA | 1,139,650 | |||||||||
1,300,000 | New York Series B, 1.73% due 8/15/2018 put 10/1/2004 (daily demand notes) | VMIG1/A1+ | 1,300,000 | |||||||||
4,870,000 | New York State Dormitory Authority Revenue Refunding, 5.00% due 2/15/2010 (Wyckoff Heights Project; Insured: AMBAC) | Aaa/AAA | 5,282,781 | |||||||||
1,000,000 | New York State Dormitory Authority Revenues, 5.875% due 7/1/2005 (Teresian House Project; LOC: Fleet Bank) | Aa3/NR | 1,028,700 | |||||||||
15,100,000 | New York State Dormitory Authority Revenues, 4.00% due 12/15/2005 | NR/AA | 15,499,546 | |||||||||
3,500,000 | New York State Dormitory Authority Revenues, 5.00% due 7/1/2007 (City University Systems Project) | NR/AA- | 3,749,585 | |||||||||
1,820,000 | New York State Dormitory Authority Revenues, 5.50% due 7/1/2012 (South Nassau Community Hospital B Project) | Baa1/NR | 1,999,052 | |||||||||
1,500,000 | New York State Dormitory Authority Revenues, 5.50% due 7/1/2013 (South Nassau Community Hospital B Project) | Baa1/NR | 1,644,360 | |||||||||
1,135,000 | New York State Medical Care Facilities Finance Agency Revenue Bonds Series F, 6.20% due 8/15/2015 pre-refunded 8/15/05 @102 (Insured: FHA) | Aa2/AA | 1,202,601 | |||||||||
2,500,000 | New York State Urban Development Corp. Revenue Refunding Facilities A, 6.50% due 1/1/2011 (Correctional Capital Project; Insured: FSA) | Aaa/AAA | 2,970,250 | |||||||||
1,320,000 | New York Thruway Authority General Revenue Special Obligation, 0% due 1/1/2006 | NR/A- | 1,281,614 | |||||||||
255,000 | New York Urban Development Corp. Revenue University Facilities Grants, 6.00% due 1/1/2006 | A3/AA- | 267,776 | |||||||||
3,425,000 | New York Urban Development Corp. Series 7, 6.00% due 1/1/2006 | A3/AA- | 3,596,593 | |||||||||
710,000 | Oneida County Industrial Development Agency Series C, 6.00% due 1/1/2009 (Civic Facility Faxton Hospital Project; Insured: Radian) | NR/AA | 797,124 | |||||||||
500,000 | Port Authority New York & New Jersey Special Obligation, 1.73% due 5/1/2019 put 10/1/2004 (daily demand notes) | VMIG1/A1+ | 500,000 | |||||||||
2,000,000 | Tobacco Settlement Financing Corp. Asset Backed Series B 1C, 5.25% due 6/1/2013 | NR/AA- | 2,144,380 | |||||||||
1,000,000 | Tobacco Settlement Financing Corp. New York Revenue Asset Backed Series A-1C, 5.25% due 6/1/2012 (Secured: State Contingency Contract) | NR/AA- | 1,049,690 | |||||||||
2,000,000 | Tobacco Settlement Financing Corp. New York Revenue Asset Backed Series B-1C, 5.25% due 6/1/2013 (Insured: XLCA) | Aaa/AAA | 2,179,140 | |||||||||
2,055,000 | Yonkers New York Series B, 4.00% due 10/15/2009 (Insured: FSA) | Aaa/AAA | 2,175,731 | |||||||||
NORTH CAROLINA (2.60%) | ||||||||||||
1,100,000 | Cabarrus County Certificates of Participation Installment Financing Contract, 4.50% due 2/1/2007 (Insured:AMBAC) | Aaa/AAA | 1,160,775 | |||||||||
1,000,000 | Charlotte Certificates of Participation Series B, 5.00% due 6/1/2006 (FY Project) | Aa1/AA+ | 1,050,100 |
28 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 1,000,000 | Macon County Certificates of Participation, 4.00% due 6/1/2007 (Insured: AMBAC) | Aaa/AAA | $ | 1,046,820 | |||||||
925,000 | North Carolina Capital Facilities Finance Agency Educational Facilities Revenue Series A, 5.00% due 4/1/2007 (Johnson & Wales University Project; Insured: XLCA) | Aaa/AAA | 988,437 | |||||||||
2,860,000 | North Carolina Eastern Municipal Power Agency Power Systems Revenue, 6.125% due 1/1/2009 (Insured: MBIA) | Aaa/AAA | 3,244,756 | |||||||||
1,000,000 | North Carolina Eastern Municipal Power Agency Power Systems Revenue Refunding Series A, 6.00% due 1/1/2006 (Insured: MBIA) | Aaa/AAA | 1,050,740 | |||||||||
3,000,000 | North Carolina Eastern Municipal Power Agency Power Systems Revenue Refunding Series D, 5.375% due 1/1/2011 | Baa2/BBB | 3,257,100 | |||||||||
650,000 | North Carolina Eastern Municipal Power Agency Power Systems Revenue Series C, 5.25% due 1/1/2012 | Baa2/BBB | 701,948 | |||||||||
1,000,000 | North Carolina Eastern Municipal Power Agency Power Systems Series A, 5.50% due 1/1/2012 | Baa2/BBB | 1,095,540 | |||||||||
1,055,000 | North Carolina Eastern Municipal Power Agency Power Systems Series C, 5.25% due 1/1/2013 | Baa2/BBB | 1,139,157 | |||||||||
1,350,000 | North Carolina Medical Care Commission, 5.00% due 6/1/2006 (Rex Healthcare Project; Insured: AMBAC) | Aaa/AAA | 1,419,700 | |||||||||
2,400,000 | North Carolina Municipal Power Agency 1 Catawba Electric Revenue, 6.00% due 1/1/2010 (Insured: MBIA) | Aaa/AAA | 2,744,856 | |||||||||
2,505,000 | North Carolina Municipal Power Agency 1 Catawba Electric Revenue Series A, 5.50% due 1/1/2013 | Baa1/BBB+ | 2,776,016 | |||||||||
1,000,000 | North Carolina Municipal Power Agency 1 Catawba Electric Revenue Series B, 6.375% due 1/1/2013 | Baa1/BBB+ | 1,129,710 | |||||||||
3,400,000 | North Carolina Municipal Power Agency Series A, 6.00% due 1/1/2007 (Insured: MBIA) | Aaa/AAA | 3,692,502 | |||||||||
3,900,000 | North Carolina Municipal Power Agency Series A, 6.00% due 1/1/2008 (Insured: MBIA) | Aaa/AAA | 4,335,318 | |||||||||
2,000,000 | North Carolina State Certificates of Participation Series B, 5.00% due 6/1/2009 (Repair & Renovation Project) | Aa2/AA+ | 2,191,820 | |||||||||
2,000,000 | Raleigh Durham Airport Authority Airport Revenue Series A, 5.50% due 11/1/2006 (Insured: FGIC) | Aaa/NR | 2,141,440 | |||||||||
1,030,000 | University of North Carolina Systems Pool Revenue Refunding Series B, 5.00% due 4/1/2012 (Insured: AMBAC) | Aaa/AAA | 1,148,429 | |||||||||
NORTH DAKOTA (0.10%) | ||||||||||||
910,000 | Grand Forks Health Care Systems Revenue Bond Series 1997, 6.25% due 8/15/2005 (Altru Health System Project; Insured: MBIA) | Aaa/AAA | 944,780 | |||||||||
OHIO (2.60%) | ||||||||||||
2,205,000 | Bellefontaine Hospital Revenue Refunding, 6.00% due 12/1/2013 (Mary Rutan Health Associates Project) | NR/BBB+ | 2,255,054 | |||||||||
3,995,000 | Cleveland Cuyahoga County Port Authority Revenue, 6.00% due 11/15/2010 | NR/NR | 4,285,317 | |||||||||
1,000,000 | Cuyahoga County Hospital Revenue Refunding Series A, 4.75% due 2/15/2008 (Metrohealth Systems Project; Insured: MBIA) | Aaa/AAA | 1,075,890 | |||||||||
2,705,000 | Cuyahoga County Hospital Revenue Refunding Series B, 6.00% due 1/15/2006 (University Hospital Health Systems Project) | Baa1/A | 2,839,411 | |||||||||
1,400,000 | Hudson City Library Improvement, 6.35% due 12/1/2011 | Aa1/NR | 1,649,732 | |||||||||
520,000 | Lake County Sewer & Water District Improvement, 5.30% due 12/1/2011 | Aa2/NR | 562,297 | |||||||||
1,200,000 | Lorain County Hospital Revenue Refunding Catholic Healthcare Partners B, 6.00% due 9/1/2008 (Insured: MBIA) | Aaa/AAA | 1,338,264 | |||||||||
1,300,000 | Mahoning Valley District Water Refunding, 5.85% due 11/15/2008 (Insured: FSA) | Aaa/AAA | 1,468,935 | |||||||||
770,000 | Mahoning Valley District Water Refunding, 5.90% due 11/15/2009 (Insured: FSA) | Aaa/AAA | 882,843 | |||||||||
2,250,000 | Montgomery County Revenue, 6.00% due 12/1/2008 (Catholic Health Initiatives Project) | Aa2/AA | 2,515,950 | |||||||||
2,385,000 | Montgomery County Revenue, 6.00% due 12/1/2009 (Catholic Health Initiatives Project) | Aa2/AA | 2,690,543 | |||||||||
1,530,000 | Montgomery County Revenue, 6.00% due 12/1/2010 (Catholic Health Initiatives Project) | Aa2/AA | 1,737,636 | |||||||||
1,000,000 | Montgomery County Solid Waste Revenue, 6.00% due 11/1/2005 (Insured: MBIA) | Aaa/AAA | 1,045,620 | |||||||||
2,000,000 | Ohio State Building Authority Refunding Adult Corrections Facilities, 5.00% due 10/1/2006 (Insured: FSA) | Aaa/AAA | 2,120,060 | |||||||||
1,000,000 | Ohio State G.O., 6.65% due 9/1/2009 (Infrastructure Improvement Project) | Aa1/AA+ | 1,117,910 | |||||||||
1,000,000 | Ohio State Highway Capital Improvement Series C, 5.00% due 5/1/2006 | Aa1/AAA | 1,050,030 | |||||||||
5,000,000 | Ohio State Unlimited Tax G.O. Series A, 5.75% due 6/15/2010 pre-refunded 6/15/2009 @ 100 | Aa1/AA+ | 5,673,800 | |||||||||
680,000 | Plain Local School District Capital Appreciation, 0% due 12/1/2006 (Insured: FGIC) | Aaa/NR | 648,516 | |||||||||
845,000 | Plain Local School District Capital Appreciation, 0% due 12/1/2007 (Insured: FGIC) | Aaa/NR | 783,611 | |||||||||
975,000 | Reading Revenue Development, 6.00% due 2/1/2009 (St. Mary’s Educational Institute Project; Insured: Radian) | NR/AA | 1,092,341 |
Certified Annual Report 29
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
OKLAHOMA (2.30%) | ||||||||||||
$ | 1,235,000 | Claremore Public Works Authority Revenue Refunding, 6.00% due 6/1/2006 (Insured: FSA) | Aaa/NR | $ | 1,319,042 | |||||||
1,340,000 | Claremore Public Works Authority Revenue Refunding, 6.00% due 6/1/2007 (Insured: FSA) | Aaa/NR | 1,476,037 | |||||||||
660,000 | Jenks Aquarium Authority Revenue First Mortgage, 5.50% due 7/1/2010 (Insured: MBIA) | Aaa/NR | 720,218 | |||||||||
2,380,000 | Oklahoma Authority Revenue Refunding Health Systems Obligation Group Series A, 5.75% due 8/15/2007 (Insured: MBIA) | Aaa/AAA | 2,608,551 | |||||||||
2,340,000 | Oklahoma Authority Revenue Refunding Health Systems Obligation Group Series A, 6.00% due 8/15/2010 (Insured: MBIA) | Aaa/AAA | 2,652,952 | |||||||||
740,000 | Oklahoma Development Finance Authority Health Facilities Revenue, 5.75% due 6/1/2011 (Insured: AMBAC) | Aaa/AAA | 844,325 | |||||||||
1,070,000 | Oklahoma Development Finance Authority Hospital Revenue Refunding, 5.00% due 10/1/2012 (Unity Health Center Project) | NR/BBB+ | 1,114,748 | |||||||||
1,215,000 | Oklahoma Development Finance Authority Hospital Revenue Series A, 5.25% due 12/1/2011 (Duncan Regional Hospital Project) | NR/A- | 1,317,692 | |||||||||
1,330,000 | Oklahoma Development Finance Authority Hospital Revenue Series A, 5.25% due 12/1/2012 (Duncan Regional Hospital Project) | NR/A- | 1,436,347 | |||||||||
1,250,000 | Oklahoma Development Finance Authority Hospital Revenue Series A, 5.25% due 12/1/2013 (Duncan Regional Hospital Project) | NR/A- | 1,342,462 | |||||||||
5,000,000 | Oklahoma Housing Development Authority Revenue Lease Purchase Program Series A, 5.10% due 11/1/2005 | Aa3/NR | 5,168,350 | |||||||||
1,000,000 | Oklahoma State Industrial Authority Revenue Refunding Integris Health System, 5.50% due 8/15/2005 (Insured: MBIA) | Aaa/AAA | 1,032,360 | |||||||||
2,750,000 | Tulsa County Independent School Building, 4.00% due 6/1/2008 | Aa3/NR | 2,895,970 | |||||||||
2,650,000 | Tulsa County Independent School District, 4.50% due 8/1/2006 | Aa3/A+ | 2,772,377 | |||||||||
1,500,000 | Tulsa County Industrial Authority Capital Series B, 4.00% due 5/15/2005 | NR/AA | 1,521,525 | |||||||||
2,000,000 | Tulsa County Industrial Authority Capital Series B, 4.00% due 5/15/2006 | NR/AA | 2,067,380 | |||||||||
1,000,000 | Tulsa Metropolitan Utility Authority Water Series A, 5.60% due 11/1/2004 | NR/AA | 1,003,340 | |||||||||
750,000 | Tulsa Public Facilities Authority Solid Waste Steam & Electric Revenue Refunding Series 1994, 5.45% due 11/1/2004 (Ogden Martin Systems of Tulsa Project; Insured: AMBAC) | Aaa/AAA | 752,310 | |||||||||
OREGON (0.50%) | ||||||||||||
4,000,000 | Clackamas County Hospital Facility Authority Revenue Refunding, 5.00% due 5/1/2008 (Legacy Health Systems Project) | Aa3/AA | 4,320,480 | |||||||||
1,000,000 | Medford Hospital Facilities Authority Revenue Series A, 5.25% due 8/15/2006 (Asante Health Systems Project; Insured: MBIA) | Aaa/AAA | 1,060,370 | |||||||||
1,000,000 | Salem Hospital Facility Authority Revenue, 5.25% due 8/15/2014 (Salem Hospital Project) | NR/AA- | 1,063,310 | |||||||||
750,000 | Salem Oregon Water & Sewer Revenue, 6.00% due 6/1/2005 (Insured: MBIA) | Aaa/AAA | 771,495 | |||||||||
PENNSYLVANIA (1.90%) | ||||||||||||
1,505,000 | Allegheny County Hospital Development Health Series B, 6.30% due 5/1/2009 (South Hills Health System Project) | Baa1/NR | 1,578,820 | |||||||||
1,000,000 | Allegheny County Hospital Development Refunding, 4.40% due 11/1/2005 (Health Center UPMC Health Systems Project; Insured: MBIA) | Aaa/AAA | 1,028,050 | |||||||||
1,325,000 | Central Bucks School District Refunding, 5.50% due 11/15/2009 (State Aid Withholding) | A1/NR | 1,376,754 | |||||||||
1,000,000 | Delaware County Pennsylvania Authority Revenue, 5.50% due 11/15/2007 (Insured: AMBAC) | Aaa/AAA | 1,091,820 | |||||||||
1,000,000 | Geisinger Authority Health Systems Revenue, 5.50% due 8/15/2009 | Aa3/AA- | 1,095,870 | |||||||||
1,605,000 | Manheim Township School Authority School Revenue Series 1978, 6.625% due 12/1/2007 pre-refunded 12/1/2005 | NR/AAA | 1,689,038 | |||||||||
730,000 | Montgomery County Higher Education & Health Authority, 6.25% due 7/1/2006 | Baa3/NR | 754,667 | |||||||||
550,000 | Montgomery County Higher Education & Health Authority, 6.375% due 7/1/2007 | Baa3/NR | 577,681 | |||||||||
1,500,000 | Pennsylvania Higher Educational Facilities Authority Health Services Revenue, 5.50% due 1/1/2009 (University of Pennsylvania Health Systems Project) | A3/A | 1,558,635 |
30 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 750,000 | Pennsylvania Higher Educational Facility Series A, 6.00% due 1/1/2005 (University of Pennsylvania Health Systems Project) | A3/A | $ | 757,950 | |||||||
1,500,000 | Pennsylvania State Higher Educational Facilities Authority Revenue, 4.00% due 11/1/2032 put 11/1/2005 (LOC: Allied Irish Banks PLC) | VMIG1/NR | 1,535,640 | |||||||||
900,000 | Pennsylvania State Second Series, 5.25% due 10/1/2008 | Aa2/AA | 994,797 | |||||||||
1,000,000 | Philadelphia Hospital & Higher Education Facilities Authority Revenue, 5.50% due 5/15/2006 (Jefferson Health Systems Project) | Aa3/AA- | 1,051,970 | |||||||||
4,000,000 | Philadelphia Pennsylvania Gas Works Revenue Sixteenth Series, 5.25% due 7/1/2006 (Insured: FSA) | Aaa/AAA | 4,219,840 | |||||||||
1,000,000 | Pottsville Pennsylvania Hospital Authority Revenue Acsension Health Credit Series A, 5.20% due 11/15/2009 (Insured: AMBAC) | Aaa/AAA | 1,104,510 | |||||||||
1,255,000 | Sayre Pennsylvania Health Care Facilities Authority Series A, 5.00% due 7/1/2008 (Latrobe Area Hospital Project; Insured: AMBAC) | Aaa/AAA | 1,363,859 | |||||||||
1,320,000 | Sayre Pennsylvania Health Care Facilities Authority Series A, 5.00% due 7/1/2009 (Latrobe Area Hospital Project; Insured: AMBAC) | Aaa/AAA | 1,443,420 | |||||||||
1,400,000 | Sayre Pennsylvania Health Care Facilities Authority Series A, 5.25% due 7/1/2011 (Latrobe Area Hospital Project; Insured: AMBAC) | Aaa/AAA | 1,558,592 | |||||||||
1,000,000 | Sayre Pennsylvania Health Care Facilities Authority Series A, 5.25% due 7/1/2012 (Latrobe Area Hospital Project; Insured: AMBAC) | Aaa/AAA | 1,115,710 | |||||||||
RHODE ISLAND (2.00%) | ||||||||||||
1,075,000 | Providence Public Building Authority Refunding Series B, 5.75% due 12/15/2007 (Insured: FSA) | Aaa/AAA | 1,189,423 | |||||||||
1,000,000 | Providence Public Building Authority School Project Series B, 5.00% due 12/15/2005 (Insured: MBIA) | Aaa/AAA | 1,038,480 | |||||||||
1,000,000 | Providence Public Building Authority School Project Series B, 4.00% due 12/15/2006 (Insured: MBIA) | Aaa/AAA | 1,042,550 | |||||||||
1,000,000 | Providence Public Building Authority School Project Series B, 4.00% due 12/15/2007 (Insured: MBIA) | Aaa/AAA | 1,052,610 | |||||||||
1,880,000 | Providence Series C, 5.50% due 1/15/2012 (Insured: FSA) | Aaa/AAA | 2,146,659 | |||||||||
4,455,000 | Rhode Island Bond Authority Revenue Refunding Series A, 5.00% due 10/1/2005 (State Public Projects; Insured: AMBAC) | Aaa/AAA | 4,599,208 | |||||||||
10,085,000 | Rhode Island Bond Authority Revenue Refunding Series A, 5.00% due 10/1/2006 (State Public Projects; Insured: AMBAC) | Aaa/AAA | 10,686,268 | |||||||||
2,075,000 | Rhode Island Economic Development Corp. Revenue, 5.75% due 7/1/2010 (Providence Place Mall Project; Insured: Radian) | NR/AA | 2,332,342 | |||||||||
1,960,000 | Rhode Island State Health & Education Building, 4.50% due 9/1/2009 (Butler Hospital Project; LOC: Fleet National Bank) | NR/AA- | 2,084,813 | |||||||||
1,565,000 | Rhode Island State Health & Educational Building Corp. Revenue Hospital Financing, 5.25% due 7/1/2014 (Memorial Hospital Project; LOC: Fleet Bank) | NR/AA- | 1,681,248 | |||||||||
SOUTH CAROLINA (1.60%) | ||||||||||||
2,050,000 | Charleston County Certificates of Participation, 6.00% due 12/1/2007 (Insured: MBIA) | Aaa/AAA | 2,281,834 | |||||||||
1,350,000 | Charleston County Certificates of Participation Refunding, 5.00% due 6/1/2007 (Charleston Public Facilities Corp. Project; Insured: MBIA) | Aaa/AAA | 1,445,472 | |||||||||
1,445,000 | Kershaw County School District Series B, 4.60% due 3/1/2007 | Aa1/AA+ | 1,489,665 | |||||||||
1,000,000 | Medical University of South Carolina Hospital Facilities Revenue, 5.50% due 7/1/2005 (ETM)* | Baa2/NR | 1,028,890 | |||||||||
945,000 | Piedmont Municipal Power Agency Electric Revenue, 6.375% due 1/1/2006 (Insured: FGIC) | Aaa/AAA | 998,648 | |||||||||
1,250,000 | South Carolina Jobs Economic Development Authority Hospital Facilities Revenue Improvement, 7.125% due 12/15/2015 pre-refunded 12/15/2010 (Palmetto Health Alliance Project) | Baa2/BBB | 1,533,488 | |||||||||
2,600,000 | South Carolina Jobs Economic Development Authority Hospital Facilities Revenue Improvement Series A, 7.375% due 12/15/2021 pre-refunded 12/15/2010 (Palmetto Health Alliance Project) | Baa2/BBB | 3,225,820 | |||||||||
3,530,000 | South Carolina State Public Service Authority Refunding Series A, 6.50% due 1/1/2008 (Insured: MBIA) | Aaa/AAA | 3,796,127 | |||||||||
2,000,000 | South Carolina State Public Service Authority Revenue Refunding Series D, 5.00% due 1/1/2006 | Aa2/AA- | 2,077,360 | |||||||||
2,315,000 | South Carolina State Public Service Authority Revenue Refunding Series D, 5.00% due 1/1/2007 | Aa2/AA- | 2,462,419 | |||||||||
1,720,000 | York County Refunding, 5.00% due 6/1/2006 (Insured: FSA) | Aaa/AAA | 1,809,371 |
Certified Annual Report 31
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
SOUTH DAKOTA (0.30%) | ||||||||||||
$ | 1,100,000 | South Dakota Health & Educational Facilities Authority Revenue, 5.50% due 9/1/2011 (Rapid City Regional Hospital Project; Insured: MBIA) | Aaa/AAA | $ | 1,240,822 | |||||||
1,000,000 | South Dakota State Health & Educational Facilities Authority Revenue Refunding, 6.25% due 7/1/2009 (McKennan Hospital Project; Insured: MBIA) | Aaa/AAA | 1,144,340 | |||||||||
1,000,000 | South Dakota State Health & Educational Facilities Authority Revenue Refunding, 6.00% due 7/1/2014 (McKennan Hospital Project; Insured: MBIA) | Aaa/AAA | 1,083,100 | |||||||||
TENNESSEE (0.60%) | ||||||||||||
2,420,000 | Clarksville Natural Gas Refunding, 5.00% due 11/1/2004 | NR/BBB+ | 2,424,961 | |||||||||
770,000 | Franklin Industrial Development Multi Family Refunding Housing Series A, 5.75% due 4/1/2010 (Insured: FSA) | Aaa/AAA | 811,980 | |||||||||
1,000,000 | Hamilton County Industrial Development Board, 5.75% due 9/1/2005 (Insured: FGIC) | Aaa/AAA | 1,036,550 | |||||||||
2,000,000 | Knox County Health Educational & Housing Facilities Board Hospital Facilities Revenue Refunding, 5.00% due 1/1/2006 (Insured: FSA) | Aaa/AAA | 2,077,100 | |||||||||
1,000,000 | Metropolitan Government Nashville & Davidson County Water & Sewer Revenue Refunding, 6.00% due 1/1/2007 (Insured: MBIA) | Aaa/AAA | 1,086,950 | |||||||||
1,050,000 | Shelby County Series A, 0% due 5/1/2011 pre-refunded 5/1/2005 @ 69.561 | Aa2/AA+ | 723,503 | |||||||||
TEXAS (11.10%) | ||||||||||||
1,350,000 | Amarillo Health Facilities Corp. Hospital Revenue, 5.50% due 1/1/2011 (Baptist St. Anthony’s Hospital Corp. Project; Insured: FSA) | Aaa/NR | 1,511,635 | |||||||||
1,000,000 | Austin Texas Refunding, 5.00% due 3/1/2011 | Aa2/AA+ | 1,102,890 | |||||||||
1,000,000 | Bell County Health Facilities Development Corp. Revenue Series A, 6.25% due 8/15/2010 (Scott & White Memorial Hospital Project; Insured: MBIA) | Aaa/AAA | 1,156,560 | |||||||||
1,800,000 | Bexar County Housing Finance Corp. Multi Family Housing Revenue, 5.00% due 1/1/2011 (Insured: MBIA) | Aaa/NR | 1,934,658 | |||||||||
1,250,000 | Cedar Hill Independent School District Refunding, 0% due 8/15/2010 (Guaranty: PSF) | NR/AAA | 1,000,488 | |||||||||
1,700,000 | Clint Independent School District Refunding, 5.50% due 2/15/2011 (Guaranty: PSF) | Aaa/AAA | 1,924,111 | |||||||||
1,425,000 | Clint Independent School District Refunding, 5.50% due 2/15/2012 (Guaranty: PSF) | Aaa/AAA | 1,600,018 | |||||||||
3,300,000 | Coppell Independent School District Refunding, 0% due 8/15/2007 (Guaranty: PSF) | NR/AAA | 3,076,425 | |||||||||
1,025,000 | Corpus Christi Business & Job Development Corp. Sales Tax Revenue, 5.00% due 9/1/2012 (Refunding & Improvement Arena Project; Insured: AMBAC) | Aaa/AAA | 1,135,977 | |||||||||
2,000,000 | Corpus Christi Utility Systems Revenue Refunding, 5.50% due 7/15/2005 (Insured: FSA) | Aaa/AAA | 2,059,480 | |||||||||
4,070,000 | Corpus Christi Utility Systems Revenue Refunding, 5.50% due 7/15/2006 (Insured: FSA) | Aaa/AAA | 4,326,166 | |||||||||
2,000,000 | Corpus Christi Utility Systems Revenue Refunding, 5.50% due 7/15/2008 (Insured: FSA) | Aaa/AAA | 2,215,840 | |||||||||
4,780,000 | Corpus Christi Utility Systems Revenue Refunding, 5.50% due 7/15/2009 (Insured: FSA) | Aaa/AAA | 5,357,472 | |||||||||
450,000 | Dallas Tax Increment Financing Reinvestment Zone 2, 5.75% due 8/15/2006 (Insured: Radian) | NR/AA | 478,710 | |||||||||
4,945,000 | Duncanville Independent School District Refunding Series B, 0% due 2/15/2011 (Guaranty: PSF) | Aaa/AAA | 3,916,836 | |||||||||
1,245,000 | Duncanville Independent School District Refunding Series B, 0% due 2/15/2012 (Guaranty: PSF) | Aaa/AAA | 936,389 | |||||||||
3,800,000 | Fort Worth Water & Sewer Revenue Refunding & Improvement, 5.25% due 2/15/2011 | Aa2/AA | 4,129,042 | |||||||||
1,390,000 | Fort Worth Water & Sewer Revenue Series 2001, 5.25% due 2/15/2011 (Tarrant & Denton County Project) | Aa2/AA | 1,553,353 | |||||||||
2,005,000 | Grapevine Texas, 5.25% due 2/15/2012 (Insured: FGIC) | Aaa/AAA | 2,091,075 | |||||||||
4,000,000 | Gulf Coast Waste Disposal Authority Environmental Facilities Revenue Refunding, 4.20% due 11/1/2006 (Occidental Project) | Baa2/BBB+ | 4,138,800 | |||||||||
1,000,000 | Gulf Coast Waste Disposal Authority Texas Revenue Refunding, 5.00% due 10/1/2010 (Bayport Area Systems Project; Insured: AMBAC) | Aaa/AAA | 1,098,170 | |||||||||
1,000,000 | Gulf Coast Waste Disposal Authority Texas Revenue Refunding, 5.00% due 10/1/2011 (Bayport Area Systems Project; Insured: AMBAC) | Aaa/AAA | 1,098,630 | |||||||||
750,000 | Harlingen Consolidated Independent School, 7.50% due 8/15/2009 (Guaranty: PSF) | Aaa/AAA | 906,930 | |||||||||
500,000 | Harris County Health Facilities Development Corp. Hospital Revenue Refunding Series A, 6.00% due 6/1/2012 (Memorial Hospital Systems Project; Insured: MBIA) | Aaa/AAA | 585,615 |
32 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 4,410,000 | Harris County Health Facilities Development Corp. Thermal Utility Revenue, 5.45% due 2/15/2011 (Insured: AMBAC) | Aaa/AAA | $ | 4,912,299 | |||||||
600,000 | Harris County Health Facilities Hospital Series A, 6.00% due 6/1/2010 (Memorial Hospital Systems Project; Insured: MBIA) | Aaa/AAA | 686,778 | |||||||||
620,000 | Harris County Hospital District Mortgage Revenue, 7.40% due 2/15/2010 (Insured: AMBAC) (ETM)* | Aaa/AAA | 678,410 | |||||||||
930,000 | Harris County Hospital District Mortgage Revenue Unrefunded Balance Refunding, 7.40% due 2/15/2010 (Insured: AMBAC) | Aaa/AAA | 1,058,005 | |||||||||
10,000,000 | Harris County Hospital District Revenue Refunding, 5.75% due 2/15/2011 (Insured: MBIA) | Aaa/AAA | 11,288,600 | |||||||||
2,000,000 | Harris County Hospital District Revenue Refunding, 5.75% due 2/15/2012 (Insured: MBIA) | Aaa/AAA | 2,248,640 | |||||||||
5,000,000 | Harris County Refunding Toll Road Senior Lien Series B-2, 5.00% due 8/15/2021 put 8/15/2009 @100 (Insured: FGIC) | Aaa/AAA | 5,468,500 | |||||||||
3,260,000 | Harris County Sports Authority Revenue Senior Lien Series G, 0% due 11/15/2010 (Insured: MBIA) | Aaa/AAA | 2,627,919 | |||||||||
1,000,000 | Irving Independent School District, 0% due 2/15/2005 (Guaranty: PSF) | Aaa/AAA | 993,890 | |||||||||
500,000 | Irving Texas Hospital Authority Revenue Series B, 5.75% due 7/1/2005 (Irving Healthcare Systems Project; Insured: FSA) | Aaa/AAA | 514,760 | |||||||||
1,000,000 | Lewisville Combination Contract Revenue, 4.125% due 5/1/2031 put 11/1/2006 (Special Assessment Castle Hills Project Number 3; LOC: Wells Fargo Bank) | NR/AA | 1,043,670 | |||||||||
750,000 | Lower Colorado River Authority Revenue Refunding & Improvement, 8.00% due 5/15/2010 (Insured: FSA) | Aaa/AAA | 938,895 | |||||||||
3,000,000 | Matagorda County Navigation District 1 Adjusted Refunding Central Power A, 2.15% due 5/1/2030 put 11/1/2004 | Baa2/BBB | 2,999,190 | |||||||||
3,065,000 | Mesquite Independent School District Refunding, 0% due 8/15/2011 (Guaranty: PSF) | NR/AAA | 2,339,392 | |||||||||
1,415,000 | Midlothian Independent School District Refunding, 0% due 2/15/2008 (Guaranty: PSF) | Aaa/NR | 1,291,046 | |||||||||
1,200,000 | Midlothian Independent School District Refunding, 0% due 2/15/2009 (Guaranty: PSF) | Aaa/NR | 1,050,480 | |||||||||
700,000 | Midtown Redevelopment Authority Texas Tax, 6.00% due 1/1/2010 (Insured: Radian) | Baa2/AA | 787,549 | |||||||||
740,000 | Midtown Redevelopment Authority Texas Tax, 6.00% due 1/1/2011 (Insured: Radian) | Baa2/AA | 839,930 | |||||||||
2,275,000 | New Caney Independent School District Refunding, 0% due 2/15/2005 (Guaranty: PSF) | Aaa/AAA | 2,261,100 | |||||||||
5,000,000 | North Texas Thruway Authority Dallas North Thruway Systems Revenue Refunding Series B, 5.00% due 1/1/2038 put 7/1/2008 (Insured: AMBAC) | Aaa/AAA | 5,437,450 | |||||||||
2,500,000 | Red River Education Finance Corp., 2.10% due 12/1/2034 put 12/1/2007 (Parish Episcopal School Project; LOC: Allied Irish Banks PLC) | VMIG1/NR | 2,462,325 | |||||||||
6,000,000 | Sam Rayburn Municipal Power Agency Refunding, 5.50% due 10/1/2012 | Baa2/BBB- | 6,658,860 | |||||||||
3,000,000 | San Antonio Hotel Occupancy Revenue Refunding Series B, 5.00% due 8/15/2034 put 8/1/2008 (Insured: AMBAC) | Aaa/AAA | 3,259,410 | |||||||||
1,970,000 | Socorro Independent School District Series A, 5.75% due 2/15/2011 (Guaranty: PSF) | NR/AAA | 2,168,871 | |||||||||
965,000 | Southlake Tax Increment Certificates of Obligation Series B, 0% due 2/15/2007 (Insured: AMBAC) | Aaa/AAA | 882,869 | |||||||||
1,120,000 | Southlake Tax Increment Certificates of Obligation Series B, 0% due 2/15/2008 pre-refunded 2/15/2006 (Insured: AMBAC) | Aaa/AAA | 972,182 | |||||||||
1,275,000 | Southlake Tax Increment Certificates of Obligation Series B, 0% due 2/15/2009 pre-refunded 2/15/2006 (Insured: AMBAC) | Aaa/AAA | 1,041,688 | |||||||||
1,440,000 | Southlake Tax Increment Certificates of Obligation Series B, 0% due 2/15/2010 pre-refunded 2/15/2006 (Insured: AMBAC) | Aaa/AAA | 1,103,054 | |||||||||
500,000 | Spring Branch Independent School District, 7.50% due 2/1/2011 (Guaranty: PSF) | Aaa/AAA | 619,735 | |||||||||
580,000 | Tarrant County Health Facilities, 5.875% due 11/15/2007 (Adventist/Sunbelt Health System Project) | A2/A | 632,681 | |||||||||
650,000 | Tarrant County Health Facilities, 6.00% due 11/15/2009 (Adventist/Sunbelt Health System Project) | A2/A | 729,755 | |||||||||
730,000 | Tarrant County Health Facilities, 6.10% due 11/15/2011 (Adventist/Sunbelt Health System Project) | A2/A | 825,243 | |||||||||
1,400,000 | Tarrant County Health Facilities Development Corp., 5.75% due 2/15/2011 (Texas Health Resources Project; Insured: MBIA) | Aaa/AAA | 1,559,726 | |||||||||
3,000,000 | Tarrant County Health Facilities Development Corp. Health Systems Revenue Series A, 5.75% due 2/15/2008 (Texas Health Resources Systems Project; Insured: MBIA) | Aaa/AAA | 3,311,040 | |||||||||
1,000,000 | Texarkana Health Facilities Development Corp. Hospital Revenue, 5.75% due 10/1/2008 (Insured: MBIA) | Aaa/AAA | 1,115,790 | |||||||||
2,000,000 | Texas Affordable Housing Corp. Portfolio A, 4.85% due 9/1/2012 (Insured: MBIA) | Aaa/AAA | 1,999,920 | |||||||||
1,945,000 | Texas Affordable Housing Corp. Series A, 4.85% due 9/1/2012 (Insured: MBIA) | Aaa/AAA | 2,110,617 | |||||||||
1,680,000 | Texas Municipal Power Agency Revenue Refunding, 5.00% due 9/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,776,566 | |||||||||
1,000,000 | Texas Public Finance Authority Building Revenue State Preservation Project Series B, 6.00% due 8/1/2011 (Insured: FSA) | Aaa/AAA | 1,134,550 |
Certified Annual Report 33
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 7,000,000 | Texas State Turnpike Authority Central Texas Turnpike Systems Rev. Bond Anticipation Note 2nd Tier, 5.00% due 6/1/2008 | Aa3/AA | $ | 7,607,880 | |||||||
1,000,000 | Town Center Improvement District Texas Sales & Hotel Occupancy Tax, 5.00% due 3/1/2006 (Insured: FGIC) | Aaa/AAA | 1,044,020 | |||||||||
1,000,000 | Travis County, 5.00% due 3/1/2007 | Aaa/AAA | 1,068,710 | |||||||||
500,000 | Travis County, 5.00% due 3/1/2010 | Aaa/AAA | 537,940 | |||||||||
2,300,000 | Travis County Health Development Corp. Series A, 5.75% due 11/15/2008 (Insured: MBIA) | Aaa/AAA | 2,573,447 | |||||||||
1,000,000 | Travis County Health Facilities Development Corp. Revenue Ascension Health Credit Series A, 5.75% due 11/15/2007 (Insured: MBIA) | Aaa/AAA | 1,101,840 | |||||||||
3,750,000 | Travis County Health Facilities Development Corp. Revenue Series A, 5.75% due 11/15/2009 (Insured: MBIA) | Aaa/AAA | 4,233,525 | |||||||||
2,000,000 | Travis County Health Facilities Development Series A, 5.75% due 11/15/2010 (Ascension Health Project; Insured: MBIA) | Aaa/AAA | 2,254,700 | |||||||||
2,020,000 | Washington County Health Facilities Development Corp. Revenue, 5.35% due 6/1/2009 (Insured: ACA) | NR/A | 2,173,924 | |||||||||
UTAH (0.70%) | ||||||||||||
4,355,000 | Intermountain Power Agency Power Supply Revenue Series A, 5.00% due 7/1/2012 (Insured: MBIA) (ETM)* | Aaa/AAA | 4,366,933 | |||||||||
500,000 | Intermountain Power Agency Utah Power Supply Series E, 6.25% due 7/1/2009 (Insured: FSA) | Aaa/AAA | 575,760 | |||||||||
1,500,000 | Salt Lake County Municipal Building, 5.50% due 10/1/2009 | Aa1/AA+ | 1,688,580 | |||||||||
675,000 | Snyderville Basin Sewer Improvement, 5.00% due 11/1/2006 (Insured: AMBAC) | Aaa/AAA | 717,876 | |||||||||
510,000 | Utah Board Regents Auxiliary Systems & Student Fee Revenue Refunding Series A, 5.00% due 5/1/2010 | NR/AA | 560,077 | |||||||||
500,000 | Utah State University Hospital Board of Regents Revenue, 5.50% due 8/1/2005 (Insured: AMBAC) | Aaa/AAA | 515,580 | |||||||||
1,000,000 | Utah State University Hospital Board of Regents Revenue, 5.25% due 8/1/2008 (Insured: MBIA) | Aaa/AAA | 1,094,050 | |||||||||
VERMONT (0.00%) | ||||||||||||
470,000 | Vermont Educational & Health Buildings Financing Agency Revenue, 6.00% due 9/1/2006 (Northwestern Medical Center Project) | NR/BBB | 489,218 | |||||||||
VIRGINIA (1.10%) | ||||||||||||
1,010,000 | Alexandria Industrial Development Authority Revenue, 5.75% due 10/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,114,565 | |||||||||
1,070,000 | Alexandria Industrial Development Authority Revenue, 5.75% due 10/1/2008 (Insured: AMBAC) | Aaa/AAA | 1,202,113 | |||||||||
1,130,000 | Alexandria Industrial Development Authority Revenue, 5.75% due 10/1/2009 (Insured: AMBAC) | Aaa/AAA | 1,285,737 | |||||||||
1,195,000 | Alexandria Industrial Development Authority Revenue, 5.75% due 10/1/2010 (Insured: AMBAC) | Aaa/AAA | 1,373,939 | |||||||||
1,500,000 | Chesterfield County Industrial Development, 5.50% due 10/1/2009 (Vepco Project) | A3/BBB+ | 1,602,060 | |||||||||
545,000 | Hampton G.O. Refunding Bond, 5.85% due 3/1/2007 | Aa2/AA | 554,472 | |||||||||
500,000 | Hampton Hospital Facilities Revenue Series A, 5.00% due 11/1/2005 | Aa2/AA | 516,630 | |||||||||
3,500,000 | Loudoun County Industrial Development Authority Series E, 1.72% due 2/15/2038 put 10/1/2004 (Howard Hughes Medical Center Project) (daily demand notes) | VMIG1/A1+ | 3,500,000 | |||||||||
1,460,000 | Norton Industrial Development Authority Hospital Revenue Refunding Improvement, 5.75% due 12/1/2012 (Norton Community Hospital Project; Insured: ACA) | NR/A | 1,611,023 | |||||||||
3,000,000 | Suffolk Redevelopment Housing Authority Refunding, 4.85% due 7/1/2031 put 7/1/2011 (Windsor at Potomac Project; Collateralized: FNMA) | Aaa/NR | 3,237,810 | |||||||||
WASHINGTON (5.00%) | ||||||||||||
1,000,000 | Conservation & Renewable Energy Systems Revenue Refunding, 5.00% due 10/1/2007 (Washington Conservation Project) | Aaa/AA- | 1,079,420 | |||||||||
2,000,000 | Energy Northwest Washington Electric Revenue Refunding Series A, 5.375% due 7/1/2013 (Project Number 1; Insured: FSA) | Aaa/AAA | 2,250,800 | |||||||||
1,675,000 | Energy Northwest Washington Revenue Series A, 4.75% due 7/1/2007 (Wind Project) | A3/A- | 1,744,613 | |||||||||
1,760,000 | Energy Northwest Washington Wind Project Revenue Series A, 4.95% due 7/1/2008 | A3/A- | 1,850,200 | |||||||||
705,000 | Energy Northwest Washington Wind Project Revenue Series B, 4.95% due 7/1/2008 | A3/A- | 741,131 | |||||||||
785,000 | Energy Northwest Washington Wind Project Revenue Series B, 5.20% due 7/1/2010 | A3/A- | 826,064 |
34 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 650,000 | Grant County Priest Rapids Hydroelectric, 6.00% due 1/1/2006 (Insured: AMBAC) | Aaa/AAA | $ | 683,150 | |||||||
1,885,000 | King County School District 414 Lake Washington Refunding, 3.00% due 12/1/2004 | Aa1/AA | 1,889,373 | |||||||||
1,880,000 | Lewis County Public Utility District Refunding, 5.00% due 10/1/2007 | Aaa/AA- | 2,029,874 | |||||||||
1,000,000 | Seattle Municipal Light & Power Revenue Refunding, 4.75% due 7/1/2007 (Insured: FSA) | Aaa/AAA | 1,069,380 | |||||||||
5,000,000 | Seattle Municipal Light & Power Revenue Refunding & Improvement, 5.00% due 11/1/2006 (Insured: FSA) | Aaa/AAA | 5,308,050 | |||||||||
2,285,000 | Spokane County School District Number 354 Mead Refunding, 4.00% due 12/1/2007 (Insured: MBIA) | Aaa/NR | 2,406,607 | |||||||||
1,375,000 | Spokane County School District Number 354 Mead Refunding, 4.00% due 12/1/2008 (Insured: MBIA) | Aaa/NR | 1,452,564 | |||||||||
1,000,000 | Spokane Regional Solid Waste Refunding, 5.00% due 12/1/2005 (Insured: AMBAC) | Aaa/AAA | 1,035,070 | |||||||||
1,000,000 | Spokane Regional Solid Waste Refunding, 5.00% due 12/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,059,410 | |||||||||
1,000,000 | Spokane Regional Solid Waste Refunding, 5.25% due 12/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,085,170 | |||||||||
2,150,000 | Spokane Washington Refunding, 5.00% due 12/15/2009 | A2/BBB | 2,275,022 | |||||||||
2,430,000 | Spokane Washington Refunding, 5.00% due 12/15/2010 | A2/BBB | 2,555,048 | |||||||||
550,000 | Tacoma Conservation Systems Project Revenue, 6.20% due 1/1/2006 (Tacoma Public Utilities Project) | Aaa/AA- | 556,380 | |||||||||
900,000 | University of Washington Alumni Association Lease Revenue Refunding, 4.50% due 8/15/2005 (University of Washington Medical Center Project; Insured: MBIA) | Aaa/AAA | 921,195 | |||||||||
1,000,000 | University of Washington Alumni Association Lease Revenue Refunding, 5.00% due 8/15/2006 (University of Washington Medical Center Project; Insured: MBIA) | Aaa/AAA | 1,054,650 | |||||||||
1,100,000 | University of Washington Alumni Association Lease Revenue Refunding, 5.00% due 8/15/2007 (University of Washington Medical Center Project; Insured: MBIA) | Aaa/AAA | 1,182,489 | |||||||||
1,500,000 | Washington Health Care Facilities, 5.50% due 12/1/2009 (Providence Services Project; Insured: MBIA) | Aaa/AAA | 1,674,915 | |||||||||
900,000 | Washington Public Power Supply, 5.40% due 7/1/2012 (Insured: FSA) | Aaa/AAA | 1,014,525 | |||||||||
2,500,000 | Washington Public Power Supply Refunding Series A, 5.00% due 7/1/2011 (Insured: FSA) | Aaa/AAA | 2,723,650 | |||||||||
1,140,000 | Washington Public Power Supply System Refunding Revenue, 0% due 7/1/2008 (Nuclear Project Number 3) | Aaa/AA- | 1,023,629 | |||||||||
1,655,000 | Washington Public Power Supply System Series 96-A, 6.00% due 7/1/2006 (Insured: MBIA) | Aaa/AAA | 1,770,188 | |||||||||
1,000,000 | Washington Public Power Supply Systems, 6.00% due 7/1/2008 (Nuclear Project Number 1; Insured: AMBAC) | Aaa/AAA | 1,123,060 | |||||||||
1,810,000 | Washington Public Power Supply Systems Revenue Refunding Series A, 6.00% due 7/1/2006 (Nuclear Project Number 2; Insured: AMBAC) | Aaa/AAA | 1,935,976 | |||||||||
1,000,000 | Washington Public Power Supply Systems Revenue Refunding Series A, 5.10% due 7/1/2010 (Nuclear Project Number 2; Insured: FSA) | Aaa/AAA | 1,092,000 | |||||||||
830,000 | Washington Public Power Supply Systems Revenue Refunding Series B, 0% due 7/1/2008 (Nuclear Project Number 3) | Aaa/AA- | 745,274 | |||||||||
1,000,000 | Washington State Health Care Facilities Authority Revenue, 4.00% due 7/1/2005 (Overlake Hospital Medical Center Project; Insured: MBIA) | Aaa/AAA | 1,016,730 | |||||||||
1,090,000 | Washington State Health Care Facilities Authority Revenue, 6.00% due 10/1/2006 (Sisters of Providence Project; Insured: AMBAC) | Aaa/AAA | 1,153,645 | |||||||||
5,075,000 | Washington State Motor Vehicle Fuel Tax Series B, 5.00% due 7/1/2007 (Insured: FGIC) | Aaa/AAA | 5,463,643 | |||||||||
1,000,000 | Washington State Public Power Supply Systems Nuclear Project Number 2 Revenue Refunding Series A, 4.90% due 7/1/2005 | Aaa/AA- | 1,023,810 | |||||||||
5,000,000 | Washington State Public Power Supply Systems Revenue Refunding Series A, 6.00% due 7/1/2007 (Nuclear Project Number 1; Insured: AMBAC) | Aaa/AAA | 5,419,150 | |||||||||
6,810,000 | Washington State Series A, 5.00% due 7/1/2008 (Insured: FGIC) | Aaa/AAA | 7,423,649 | |||||||||
WEST VIRGINIA (0.30%) | ||||||||||||
455,000 | Harrison County Nursing Facility Revenue Refunding, 5.625% due 9/1/2010 (Salem Health Care Corp. Project; LOC: Fleet Bank) | NR/NR | 467,594 | |||||||||
94,098 | Marion County SFMR Series 1992, 7.75% due 7/10/2011 | NR/NR | 95,275 | |||||||||
1,500,000 | Pleasants County Pollution Control Revenue, 4.70% due 11/1/2007 (Monongahela Power Co. Project; Insured: AMBAC) | Aaa/AAA | 1,612,200 | |||||||||
2,000,000 | West Virginia Statewide Commission Lottery Revenue Series 1997-A, 5.50% due 7/1/2005 (Insured: MBIA) | Aaa/AAA | 2,057,000 | |||||||||
WISCONSIN (1.20%) | ||||||||||||
1,500,000 | Bradley Pollution Control Revenue, 6.75% due 7/1/2009 (Owens Illinois Waste Project) (ETM)* | B1/BB+ | 1,759,680 | |||||||||
3,325,000 | Milwaukee Wisconsin, 5.00% due 3/15/2005 | Aa2/AA | 3,375,573 |
Certified Annual Report 35
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 2,835,000 | Wisconsin State Health & Educational Facilities, 5.00% due 8/15/2009 (Aurora Health Care Inc. Project; Insured: MBIA) | Aaa/AAA | $ | 3,071,666 | |||||||
800,000 | Wisconsin State Health & Educational Facilities Authority, 5.90% due 8/15/2005 (Wheaton Franciscan Services Inc. Project; Insured: MBIA) | Aaa/AAA | 828,568 | |||||||||
2,000,000 | Wisconsin State Health & Educational Facilities Authority Revenue, 6.00% due 8/15/2008 (Aurora Health Care Inc. Project; Insured: MBIA) | Aaa/AAA | 2,222,840 | |||||||||
1,000,000 | Wisconsin State Health & Educational Facilities Authority Revenue Series A, 4.00% due 2/15/2006 (Gundersen Lutheran Hospital Project; Insured: FSA) | Aaa/AAA | 1,026,150 | |||||||||
1,000,000 | Wisconsin State Health & Educational Facilities Authority Revenue Series A, 5.00% due 2/15/2007 (Gundersen Lutheran Hospital Project; Insured: FSA) | Aaa/AAA | 1,062,510 | |||||||||
1,860,000 | Wisconsin State Health & Educational Facilities Authority Revenue Series A, 5.00% due 2/15/2009 (Gundersen Lutheran Hospital Project; Insured: FSA) | Aaa/AAA | 2,018,156 | |||||||||
1,250,000 | Wisconsin State Health & Educational Series A, 5.00% due 2/15/2008 (Gundersen Lutheran Hospital Project; Insured: FSA) | Aaa/AAA | 1,346,087 | |||||||||
WYOMING (0.30%) | ||||||||||||
1,615,000 | West Park Hospital District Revenue, 5.90% due 7/1/2010 (Insured: ACA) | NR/A | 1,702,743 | |||||||||
2,500,000 | Wyoming Farm Loan Board Revenue, 0% due 4/1/2009 | NR/AA- | 2,138,400 | |||||||||
TOTAL INVESTMENTS (100%) (Cost $1,353,950,547) | $ | 1,401,090,183 | ||||||||||
† | Credit ratings are unaudited. | |||
* | Escrowed to maturity. | |||
See notes to financial statements. |
CREDIT RATING†
36 Certified Annual Report
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Limited Term Municipal Fund
To the Trustees and Class I Shareholders of
Thornburg Limited Term Municipal Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg Limited Term Municipal Fund series of Thornburg Investment Trust (the “Fund”) at September 30, 2004, the results of its operations for the three month period ended September 30, 2004 and the year ended June 30, 2004, the changes in its net assets for the three month period ended September 30, 2004 and the years ended June 30, 2004 and 2003 and the financial highlights for the class I shares for each of the periods presented, 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 Fund’s 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 the Standards of the Public Company Accounting Oversight Board (United States). Those standards 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, 2004 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 9, 2004
Certified Annual Report 37
EXPENSE EXAMPLE | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
As a shareholder of the Fund, you incur ongoing costs, including management and administrative fees and other Fund expenses.
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested on April 1, 2004 and held until September 30, 2004.
Actual Expenses
The first line of the table at right provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table at right provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses Paid | ||||||||||
Account Value | Account Value | During Period† | ||||||||||
4/01/04 | 9/30/04 | 4/1/04-9/30/04 | ||||||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000 | $ | 1,005.40 | $ | 2.93 | ||||||
Hypothetical* | $ | 1,000 | $ | 1,022.08 | $ | 2.95 |
†Expenses are equal to the annualized expense ratio for class I shares (0.58%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period.
*Hypothetical assumes a rate of return of 5% per year before expenses.
38 Certified Annual Report
INDEX COMPARISON | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Limited Term Municipal Fund Class I Total Returns versus
Lehman Brothers Five Year Municipal Bond Index and Consumer Price Index
(July 30, 1996 to September 30, 2004)
AVERAGE ANNUAL TOTAL RETURNS
For the periods ended September 30, 2004
Since | ||||||||||||||||
1 Yr | 5 Yrs | 10 Yrs | Inception | |||||||||||||
I Shares (Incep: 7/05/96) | 2.08 | % | 5.09 | % | N/A | 4.96 | % | |||||||||
FUND ATTRIBUTES
as of September 30, 2004
Annualized | SEC | Maximum | ||||||||||||||
Dist. Rate (NAV) | Yield | NAV | Offering Price | |||||||||||||
I Shares (Incep: 7/05/96) | 3.08 | % | 2.20 | % | $ | 13.83 | $ | 13.83 | ||||||||
Performance data reflect past performance, which is no guarantee of future results. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares.
Returns reflect the reinvestment of dividends and capital gains. There is no up front sales charge for this class of shares.
The Consumer Price Index (“CPI”) measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. The CPI is also known as the cost-of-living index.
The Lehman Brothers Five-Year Municipal Bond Index is a rules-based, market-value-weighted index engineered for the long-term tax-exempt bond market. To be included in the index, bonds must have a minimum credit rating of Baa. The approximate maturity of the municipal bonds in the index is five years.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
The SEC Yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Fund’s shares at the end of the period.
The distribution rate is calculated by taking the sum of the month’s total distribution factors and dividing this sum by a 30-day period and annualizing to 360-day year. The value is then divided by the ending Net Asset Value (NAV) to arrive at the annualized distribution yield. The yield is calculated on a periodic basis and is subject to change depending on the Funds’ NAV and current distributions.
Certified Annual Report 39
TRUSTEES AND OFFICERS | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
INTERESTED TRUSTEES(2)(4) | ||||
Garrett Thornburg, 58 Chairman of Trustees Trustee since 1987(3) | CEO, Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor) and Thornburg Securities Corporation (securities dealer); Chairman of Thornburg Limited Term Municipal Fund, Inc. (registered investment company) to 2004; CEO and Chairman of Thornburg Mortgage, Inc. (real estate investment trust); Chairman of Thornburg Mortgage Advisory Corporation (investment manager to Thornburg Mortgage, Inc.). | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Brian J. McMahon, 48 Trustee since 2001 President since 1997(5)(6) | President and Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | None | ||
INDEPENDENT TRUSTEES(2)(4) | ||||
David A. Ater, 59 Trustee since 1994 | Principal in Ater & Ater Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner developer and broker for various real estate projects. | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
David D. Chase, 63 Trustee since 2000 | Chairman, President, CEO, and General Partner of Vestor Partners, LP, Santa Fe, NM (private equity fund); Chairman and CEO of Vestor Holdings, Inc., Santa Fe, NM (merchant bank). | Director of Thornburg Limited Term Municipal Fund, Inc. 2001-2004 | ||
Eliot R. Cutler, 58 Trustee since 2004 | Partner, Akin, Gump, Strauss, Hauer & Feld, LLP, Washington, D.C. (law firm) since November 2000; partner, Cutler & Stanfield, Washington, D.C. (law firm) until November 2000. | Director of Thornburg Limited Term Municipal Fund, Inc. to 2004; director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Susan H. Dubin, 55 Trustee since 2004 | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations; and formerly, Vice President of Chemical Bank (predecessor to JP Morgan Chase & Co.), New York, 1974-1996. | None | ||
Forrest S. Smith, 74 Trustee since 1987 | Trust and estate attorney, of counsel to Catron, Catron & Pottow, Santa Fe, NM (law firm). | None | ||
Owen D. Van Essen, 50 Trustee since 2004 | President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 45 Trustee since 1996 | Executive Vice President and Director to 2002, and since 2002; CEO and Vice Chairman, Nambé Mills, Inc., Santa Fe, NM (manufacturer). | None |
40 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(6)(7) | ||||
Dawn B. Fischer, 57 Secretary since 1987 | Secretary and Managing Director, Thornburg Investment Management, Inc.; Secretary, Thornburg Limited Term Municipal Fund, Inc. to 2004; Secretary, Thornburg Securities Corporation; Vice President, Daily Tax Free Income Fund, Inc. (registered investment company). | Not applicable | ||
Steven J. Bohlin, 45 Vice President, since 1987; Treasurer since 1989 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
George T. Strickland, 41 Vice President since 1996 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President (and Treasurer since 2003) of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
William V. Fries, 65 Vice President since 1995 | Vice President and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 37 Vice President since 2001 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999-2004. | Not applicable | ||
Kenneth Ziesenheim, 50 Vice President since 1995 | Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Securities Corporation; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Alexander Motola, 34 Vice President since 2001 | Managing Director of Thornburg Investment Management, Inc. since 2000; Portfolio Manager, Insight Capital Research & Management, Inc., Walnut Creek, California 1995-2000. | Not applicable | ||
Wendy Trevisani, 33 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 2000 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999-2002; Sales Representative, Solomon Smith Barney 1996-1999. | Not applicable | ||
Joshua Gonze, 41 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 1999 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Brad Kinkelaar, 36 Vice President since 1999 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 1999, Vice President since 2000, and Managing Director since 2004; Equity Investment Analyst, State Farm Insurance Companies 1996-1999. | Not applicable | ||
Kerry D. Lee, 37 Vice President since 1999 | Vice President of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable |
Certified Annual Report 41
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
Christopher Ihlefeld, 34 Vice President since 2003 | Associate Portfolio Manager since 1999; Vice President of Thornburg Investment Management, Inc. since 2002; Vice President of Limited Term Municipal Fund, Inc., 2003-2004. | Not applicable | ||
Leon Sandersfeld, 38 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2002; Senior Staff Accountant, Farm Bureau Life Insurance Co. 1998-2002. | Not applicable | ||
Sasha Wilcoxon, 30 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2000; and Mutual Fund Support Service Department Manager since 2002. | Not applicable | ||
Ed Maran, 46 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Analyst, USAA 2001-2002; Oil Analyst, A.G. Edwards 1997-2000. | Not applicable | ||
Vinson Walden, 34 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Associate Portfolio Manager, Ibis Management 2002-2004; Associate, Lehman Brothers, 1997-2001. | Not applicable |
(1) | Each person’s address is 119 East Marcy Street, Santa Fe, New Mexico 87501. | |||
(2) | The Fund is one of twelve separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. The Trust currently has twelve active Funds. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twelve funds of the Trust. Each Trustee oversees the twelve portfolios in the fund complex. | |||
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is a director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twelve active funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. | |||
(4) | Each Trustee serves in office until the election and qualification of a successor. | |||
(5) | Mr. McMahon is considered an “interested” Trustee because he is the president of Thornburg Investment Management, Inc. | |||
(6) | The Trust’s president, secretary and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. | |||
(7) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
42 Certified Annual Report
OTHER INFORMATION (UNAUDITED) | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
PORTFOLIO PROXY VOTING
The Trust has delegated to Thornburg Investment Management, Inc. (“the Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.
Commencing August 31, 2004, information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request, on the Thornburg website at www.thornburg.com and (ii) on the Securities and Exchange Commission’s website at www.sec.gov.
TAX INFORMATION
For the fiscal year ended September 30, 2004, one hundred percent of dividends paid by the Fund are tax exempt dividends for Federal Income Tax purposes. The information and distributions reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2004.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund will file with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year, commencing with the calendar quarter ending December 31, 2004. The Fund’s Forms N-Q will be available on the Commission’s website at http://www.sec.gov, or may be copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
SHAREHOLDER MEETING INFORMATION
A special meeting (the “Meeting”) of the shareholders of Thornburg Investment Trust (the “Trust”) was held on September 13, 2004 at the offices of Thornburg Investment Management, Inc., 119 East Marcy Street, Santa Fe, New Mexico 87501. Thornburg Limited Term Municipal Fund is one of 12 active series or “Funds” of the Trust.
The shareholders of the Trust considered at the Meeting (i) the election of Trustees, and (ii) ratification of the selection of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm for the fiscal year (fiscal period commencing July 1, 2004 in the case of Thornburg Limited Term Municipal Fund) ending September 30, 2004.
The Trustees elected at the Meeting were Garrett Thornburg, David A. Ater, David D. Chase, Eliot R. Cutler, Susan H. Dubin, Brian J. McMahon, Owen D. Van Essen and James W. Weyhrauch. Forrest S. Smith, a Trustee since 1987 did not stand for election; his term of office will continue through the end of 2004, when he will retire in accordance with the Trust’s Bylaws. The shareholders also ratified the appointment of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm.
The voting results for the matters voted on are set out for each Fund as follows:
Election of Trustees
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Garrett Thornburg | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,772,086.332 | 692,014.443 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,202,049.716 | 217,551.648 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,555.521 | 114,080.445 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,255,221.686 | 81,237.603 | — | — | ||||||||||||
Thornburg Value Fund | 64,672,758.966 | 447,696.934 | — | — | ||||||||||||
Thornburg International Value Fund | 59,954,867.369 | 1,241,990.622 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,135,097.039 | 21,483.205 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,943.082 | 122,916.941 | — | — | ||||||||||||
Total: | 345,469,631.406 | 3,282,138.627 | — | — |
Certified Annual Report 43
OTHER INFORMATION (UNAUDITED), CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
David A. Ater | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,797,094.826 | 667,005.949 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,898.015 | 244,703.349 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,174.575 | 74,750.866 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,356,553.614 | 118,082.352 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,645.960 | 84,813.329 | — | — | ||||||||||||
Thornburg Value Fund | 64,673,309.598 | 447,696.934 | — | — | ||||||||||||
Thornburg International Value Fund | 60,746,833.041 | 450,024.950 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,132,382.888 | 24,197.356 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,615.730 | 120,243.993 | — | — | ||||||||||||
Total: | 346,235,149.064 | 2,517,171.301 | — | — | ||||||||||||
David D. Chase | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,792,336.993 | 671,763.782 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,107,955.251 | 64,970.190 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,243,684.887 | 92,774.402 | — | — | ||||||||||||
Thornburg Value Fund | 64,693,947.421 | 446,508.479 | — | — | ||||||||||||
Thornburg International Value Fund | 60,752,533.146 | 444,324.845 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,837,095.494 | 116,764.229 | — | — | ||||||||||||
Total: | 346,310,480.812 | 2,461,288.921 | — | — | ||||||||||||
Eliot R. Cutler | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,785,534.542 | 678,566.233 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,449,458.366 | 232,489.857 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,199,536.657 | 220,064.707 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,111,971.636 | 60,953.805 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,350,526.614 | 124,109.352 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,250,801.917 | 85,657.372 | — | — | ||||||||||||
Thornburg Value Fund | 64,599,511.493 | 520,944.407 | — | — | ||||||||||||
Thornburg International Value Fund | 60,724,718.843 | 472,139.148 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,134,780.624 | 21,799.620 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,832,732.499 | 121,127.224 | — | — | ||||||||||||
Total: | 346,159,119.642 | 2,592,650.361 | — | — | ||||||||||||
Susan H. Dubin | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,874.816 | 670,225.959 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,198,659.272 | 220,942.092 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,110,371.636 | 62,553.805 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,372,811.385 | 101,824.581 |
44 Certified Annual Report
OTHER INFORMATION (UNAUDITED), CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Limited Term Income Fund | 27,249,237.865 | 87,221.424 | — | — | ||||||||||||
Thornburg Value Fund | 64,679,778.577 | 440,677.323 | — | — | ||||||||||||
Thornburg International Value Fund | 60,742,583.265 | 454,274.726 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,454.801 | 120,404.922 | — | — | ||||||||||||
Total: | 346,285,090.525 | 2,466,679.208 | — | — | ||||||||||||
Brian J. McMahon | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,795,559.677 | 668,541.098 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,205,930.716 | 213,670.648 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,104,748.707 | 68,176.734 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 102,726.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,724.960 | 84,734.329 | — | — | ||||||||||||
Thornburg Value Fund | 64,681,039.437 | 439,416.463 | — | — | ||||||||||||
Thornburg International Value Fund | 60,010,455.736 | 1,186,402.255 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,131,956.015 | 24,624.229 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,227.440 | 120,632.283 | — | — | ||||||||||||
Total: | 345,556,209.517 | 3,195,560.216 | — | — | ||||||||||||
Owen D. Van Essen | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,348.831 | 670,751.944 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,730.914 | 244,870.450 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,708.092 | 74,217.349 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,248,394.246 | 88,065.043 | — | — | ||||||||||||
Thornburg Value Fund | 64,674,135.776 | 446,320.124 | — | — | ||||||||||||
Thornburg International Value Fund | 60,684,276.889 | 512,581.102 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,962.507 | 122,897.216 | — | — | ||||||||||||
Total: | 346,178,126.548 | 2,573,643.185 | — | — | ||||||||||||
James W. Weyhrauch | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,789,717.177 | 674,383.598 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 126,726.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,254,156.818 | 82,302.471 | — | — | ||||||||||||
Thornburg Value Fund | 64,683,895.944 | 436,559.906 | — | — | ||||||||||||
Thornburg International Value Fund | �� | 60,726,245.097 | 470,612.894 | — | — | |||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,836,311.264 | 117,548.459 | — | — | ||||||||||||
Total: | 346,278,127.848 | 2,497,641.885 |
Certified Annual Report 45
OTHER INFORMATION (UNAUDITED), CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2004 |
Ratification of Selection of Independent Registered Public Accounting Firm
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Limited Term Municipal Fund | 89,266,423.303 | 430,123.930 | 767,553.542 | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,354,990.466 | 167,198.030 | 159,759.457 | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 27,957,900.165 | 174,857.659 | 286,893.540 | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,067,166.377 | 1,155.000 | 104,604.064 | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,911,733.415 | 6,868.306 | 9,157.121 | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,784,834.660 | 23,509.648 | 38,241.937 | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,583.780 | 33,945.016 | 80,017.170 | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,123,259.928 | 57,081.625 | 156,117.736 | — | ||||||||||||
Thornburg Value Fund | 64,569,333.454 | 212,238.433 | 338,884.013 | — | ||||||||||||
Thornburg International Value Fund | 60,444,286.231 | 343,771.766 | 408,700.994 | — | ||||||||||||
Thornburg Core Growth Fund | 6,110,013.492 | 32,603.465 | 13,963.287 | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,812,877.547 | 40,509.369 | 100,472.807 | — | ||||||||||||
Totals | 344,763,402.818 | 1,523,862.247 | 2,464,365.668 | — |
46 Certified Annual Report
Thornburg California Limited Term Municipal Fund
September 30, 2004
Table of Contents
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28 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
4 Certified Annual Report
Important Information
Performance data quoted represent the past and are no guarantee of future results. Current returns may be either lower or higher than those shown. Share prices and returns will fluctuate and investors may experience a loss upon redemption. There is no guarantee that the Fund will meet its objectives. Shares in the Fund carry risks, including possible loss of principal. The principal value of a bond fund will decrease when interest rates rise.
The maximum sales charge for Class A Shares is 1.50%. C shares assume deduction of a 0.50% contingent deferred sales charge (CDSC) for the first year only.
For the most recent month-end performance information, visit www.thornburg.com.
The information presented on the following pages was current as of September 30, 2004. The manager’s views, portfolio holdings, and sector diversification are historical and subject to change. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
Glossary
The Lehman Brothers Five-Year Municipal Bond Index — A rules-based, market-value-weighted index engineered for the long-term tax-exempt bond market. To be included in the index, bonds must have a minimum credit rating of Baa. The approximate maturity of the municipal bonds in the index is five years. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
Duration — The measure of the price sensitivity of a fixed-income security to an interest rate change of 100 basis points. Calculation is based on the weighted average of the present values for all cash flows.
Weighted Average Maturity — Is a weighted average of all the effective maturities of the bonds in a portfolio. Effective maturity takes into consideration mortgage prepayments, puts, calls, adjustable coupons, and other features of individual bonds and is thus a more accurate measure of interest-rate sensitivity. Longer-maturity funds are generally considered more interest-rate sensitive than their shorter counterparts.
Certified Annual Report 5
Letter to Shareholders
George Strickland
Portfolio Manager
October 21, 2004
Dear Fellow Shareholder:
I am pleased to present the Annual Report for the Thornburg California Limited Term Municipal Fund. This report will cover only the three month period from June 30, 2004 to September 30, 2004 because the fiscal year-end of the Fund was recently changed from June 30 to September 30. The net asset value of the A shares increased by 15 cents to $13.02 during the three months ending September 30, 2004. If you were with us for the entire period, you received dividends of 8.3 cents per share. Investors who owned C shares received dividends of 7.5 cents per share.
Over the last three months, interest rates on bonds that mature in five to ten years have fallen more than interest rates on bonds that mature in less than five years. This has led to better performance for intermediate bonds relative to shorter-term bonds. The A shares of your Fund produced a total return of 1.81% over the last three months, compared to a 2.83% return for the Lehman Five-Year Municipal Bond Index. We believe that the index outperformed the Fund because it is generally concentrated in bonds with a longer duration than bonds held by the Fund. If long-term interest rates start to rise again, we would expect the Fund to outperform the index.
Interest rates on intermediate municipal bonds have covered a lot of ground over the last year. For example, the yield on a 5-year AAA-rated municipal bond hit a low of 2.16% on March 9, 2004 before climbing to a high of 3.31% only two months later. As of September 30, 2004, that bond’s yield has fallen back down to 2.70%. (Source: Bloomberg: Municipal Market Advisors, Inc.)
Ironically, bond yields rose this past spring before the Federal Reserve started raising the targeted Fed Funds rate. Now that the Federal Reserve is pushing up short-term interest rates, the interest rates on bonds and home mortgages have been falling. In essence, the bond market is counteracting a tightening Federal Reserve by allowing corporations, governments, and individuals to borrow money at lower interest rates.
Given the abundant liquidity and relatively low yields in the bond markets today, we believe that the Federal Reserve has a significant amount of additional tightening to do before they overcome the bond market’s “give back” and achieve a neutral monetary policy. The yield curve does not appear to be pricing in this possibility today. If it does start pricing in a more aggressive Federal Reserve, we believe that bond yields will rise above current levels.
We have positioned your Fund with this outlook in mind. Your Thornburg California Limited Term Municipal Fund is a laddered portfolio of over 160 municipal obligations from all over the state. Today, your Fund’s weighted average maturity is 3.72 years. We ladder the maturity dates of the bonds in your portfolio so that some of the bonds are scheduled to mature during each of the coming years. Laddering intermediate bonds is intended to accomplish two goals. First, the staggered bond maturities contained in a ladder defuse interest-rate risk and dampen the Fund’s price volatility. Second, laddering
6 Certified Annual Report
gives the Fund a steady cash flow stream from maturing bonds which, if not needed for other purposes, can be reinvested toward the top of the ladder where yields are typically higher. The laddering strategy is what differentiates this Fund from most bond mutual funds. It will be particularly useful if interest rates rise because it may allow the Fund to gradually increase the yield of the portfolio as bonds mature and get replaced with new ones. The chart on the right describes the percentages of your Fund’s bond portfolio maturing in each of the coming years.
% of portfolio | Cumulative % | |||
maturing | maturing | |||
1 year = 19% | Year 1 = 19% | |||
1 to 2 years = 12% | Year 2 = 31% | |||
2 to 3 years = 14% | Year 3 = 45% | |||
3 to 4 years = 13% | Year 4 = 58% | |||
4 to 5 years = 10% | Year 5 = 68% | |||
5 to 6 years = 6% | Year 6 = 74% | |||
6 to 7 years = 8% | Year 7 = 82% | |||
7 to 8 years = 10% | Year 8 = 92% | |||
8 to 9 years = 1% | Year 9 = 93% | |||
Over 9 years = 7% | Over 9 years = 100% |
Percentages can and do vary. Data as of 9/30/04.
Thanks to a rebounding economy, California state tax revenue is up more than 10% over the last fiscal year. However, revenues are just now regaining the ground lost since 2001. Meanwhile, spending for Medicaid and other items continues its upward trajectory, and the state is running a $3.4 billion operating deficit. The deficit would be substantially wider without the use of deficit bond proceeds, pension obligation bonds, and loans from transportation funds and local governments. California’s reserve funds have been largely depleted and tax supported state debt levels have doubled in the last two years. We believe the state is better off financially than it was last year but still could face further fiscal problems ahead. To reduce credit risk, we have kept 97% of the portfolio in bonds rated A or above and maintained broad diversification across issuers and market sectors.
Over the years, our practice of laddering a diversified portfolio of short- and intermediate-maturity municipal bonds has allowed your Fund to perform consistently well in varying interest rate environments. Thank you for investing in Thornburg California Limited Term Municipal Fund.
Sincerely,
George Strickland
Portfolio Manager
Certified Annual Report 7
STATEMENT OF ASSETS AND LIABILITIES
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
ASSETS | ||||
Investments at value (cost $173,086,479) | $ | 178,001,363 | ||
Cash | 19,721 | |||
Receivable for investments sold | 2,030,000 | |||
Receivable for fund shares sold | 1,507,168 | |||
Interest receivable | 2,241,216 | |||
Prepaid expenses and other assets | 1,728 | |||
Total Assets | 183,801,196 | |||
LIABILITIES | ||||
Payable for investments purchased | 1,109,557 | |||
Payable for fund shares redeemed | 124,346 | |||
Accounts payable and accrued expenses | 60,905 | |||
Payable to investment advisor and other affiliates (Note 3) | 121,558 | |||
Dividends payable | 127,870 | |||
Total Liabilities | 1,544,236 | |||
NET ASSETS | $ | 182,256,960 | ||
NET ASSETS CONSIST OF: | ||||
Net unrealized appreciation (depreciation) on investments | $ | 4,914,884 | ||
Accumulated net realized gain (loss) | (454,405 | ) | ||
Net capital paid in on shares of beneficial interest | 177,796,481 | |||
$ | 182,256,960 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($134,588,289 applicable to 10,338,686 shares of beneficial interest outstanding - Note 4) | $ | 13.02 | ||
Maximum sales charge, 1.50% of offering price | 0.20 | |||
Maximum Offering Price Per Share | $ | 13.22 | ||
Class C Shares: | ||||
Net asset value and offering price per share* ($21,940,676 applicable to 1,684,099 shares of beneficial interest outstanding - Note 4) | $ | 13.03 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($25,727,995 applicable to 1,974,442 shares of beneficial interest outstanding - Note 4) | $ | 13.03 | ||
*Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See notes to financial statements.
8 Certified Annual Report
STATEMENTS OF OPERATIONS
Thornburg California Limited Term Municipal Fund
Three Months Ended | Year Ended | |||||||
September 30, 2004 | June 30, 2004 | |||||||
INVESTMENT INCOME: | ||||||||
Interest income (net of premium amortized of $636,631 and $2,564,506 for the period ended September 30, 2004 and year ended June 30, 2004, respectively) | $ | 1,586,403 | $ | 6,712,550 | ||||
EXPENSES: | ||||||||
Investment advisory fees (Note 3) | 225,229 | 918,297 | ||||||
Administration fees (Note 3) | ||||||||
Class A Shares | 41,622 | 174,699 | ||||||
Class C Shares | 7,007 | 28,238 | ||||||
Class I Shares | 3,072 | 10,709 | ||||||
Distribution and service fees (Note 3) | ||||||||
Class A Shares | 83,244 | 349,320 | ||||||
Class C Shares | 55,973 | 226,548 | ||||||
Transfer agent fees | ||||||||
Class A Shares | 11,680 | 44,268 | ||||||
Class C Shares | 6,038 | 20,379 | ||||||
Class I Shares | 4,698 | 20,052 | ||||||
Custodian fees (Note 3) | 24,132 | 106,583 | ||||||
Registration and filing fees | 216 | 3,389 | ||||||
Professional fees | 19,860 | 61,059 | ||||||
Accounting fees | 3,130 | 17,215 | ||||||
Trustee fees | 340 | 7,178 | ||||||
Other expenses | 14,741 | 56,999 | ||||||
Total Expenses | 500,982 | 2,044,933 | ||||||
Less: | ||||||||
Expenses reimbursed by investment advisor (Note 3) | (30,858 | ) | (116,964 | ) | ||||
Distribution and service fees waived (Note 3) | (27,987 | ) | (113,274 | ) | ||||
Fees paid indirectly (Note 3) | (332 | ) | (1,718 | ) | ||||
Net Expenses | 441,805 | 1,812,977 | ||||||
Net Investment Income | 1,144,598 | 4,899,573 | ||||||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||
Net realized gain (loss) on investments sold | (33,844 | ) | 302,064 | |||||
Increase (Decrease) in unrealized appreciation of investments | 2,023,841 | (5,077,284 | ) | |||||
Net Realized and Unrealized Gain (Loss) on Investments | 1,989,997 | (4,775,220 | ) | |||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 3,134,595 | $ | 124,353 | ||||
See notes to financial statements.
Certified Annual Report 9
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg California Limited Term Municipal Fund
Three Months Ended | Year Ended | Year Ended | ||||||||||
September 30, 2004 | June 30, 2004 | June 30, 2003 | ||||||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||||||
OPERATIONS: | ||||||||||||
Net investment income | $ | 1,144,598 | $ | 4,899,573 | $ | 4,872,973 | ||||||
Net realized gain (loss) on investments sold | (33,844 | ) | 302,064 | 57,393 | ||||||||
Increase (Decrease) in unrealized appreciation of investments | 2,023,841 | (5,077,284 | ) | 2,933,907 | ||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,134,595 | 124,353 | 7,864,273 | |||||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||||||
From net investment income | ||||||||||||
Class A Shares | (841,492 | ) | (3,715,243 | ) | (3,907,510 | ) | ||||||
Class C Shares | (127,839 | ) | (544,139 | ) | (478,583 | ) | ||||||
Class I Shares | (175,267 | ) | (640,191 | ) | (489,837 | ) | ||||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||||||
Class A Shares | 1,954,371 | (14,508,762 | ) | 31,614,924 | ||||||||
Class C Shares | (674,119 | ) | 441,058 | 6,082,493 | ||||||||
Class I Shares | 2,536,234 | 2,945,765 | 10,211,834 | |||||||||
Net Increase (Decrease) in Net Assets | 5,806,483 | (15,897,159 | ) | 50,897,594 | ||||||||
NET ASSETS: | ||||||||||||
Beginning of period | 176,450,477 | 192,347,636 | 141,450,042 | |||||||||
End of period | $ | 182,256,960 | $ | 176,450,477 | $ | 192,347,636 | ||||||
See notes to financial statements.
10 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
NOTE 1 — ORGANIZATION
Thornburg California Limited Term Municipal Fund (the “Fund”) (formerly Thornburg Limited Term Municipal Fund — California Portfolio) is a 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 eleven series of shares of beneficial interest in addition to those of the Fund: Thornburg Limited Term Municipal Fund, Thornburg Florida Intermediate Municipal Fund, Thornburg New York Intermediate Municipal Fund, Thornburg New Mexico Intermediate Municipal Fund, Thornburg Intermediate Municipal Fund, Thornburg Limited Term U.S. Government Fund, Thornburg Limited Term Income Fund, Thornburg Value Fund, Thornburg International Value Fund, Thornburg Core Growth Fund, and Thornburg Investment Income Builder Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund’s investment objective is to obtain as high a level of current income exempt from Federal income tax as is consistent, in the view of the investment advisor, with the preservation of capital. In addition, the Fund will invest primarily in Municipal Obligations originating in California with the objective of obtaining exemption of interest dividends from any income taxes imposed by California on individuals.
Reorganization: The Fund is the successor to Thornburg Limited Term Municipal Fund — California Portfolio (the “California Portfolio”) a series of Thornburg Limited Term Municipal Fund, Inc. On December 8, 2003, the Company’s Board of Directors approved an Agreement and Plan of Reorganization providing for the transfer of substantially all of the California Portfolio’s assets to the Fund, in exchange solely for voting shares of the Fund, and the distribution of those shares to the shareholders of the California Portfolio and the subsequent dissolution of the California Portfolio. The Fund was created by the Trust on December 8, 2003 to accomplish the reorganization, and until the reorganization was completed had only nominal assets. The reorganization was intended to simplify legal and regulatory compliance functions, and to reduce the costs of performing those functions. The Agreement and Plan of Reorganization was approved by the California Portfolio’s shareholders on May 21, 2004, and the reorganization was concluded on June 21, 2004. As a result, all of the California Portfolio’s assets were transferred to the Fund, and the shareholders of the California Portfolio became shareholders of the Fund. There was no change in investment objective or policies as a result of the reorganization, and the investment advisor did not change because of the reorganization. The California Portfolio is the accounting survivor, and the financial results of the Fund include the results of the California Portfolio prior to the reorganization.
The Fund currently offers three classes of shares of beneficial interest, Class A, Class C and Institutional Class (Class I) shares. Each class of shares of the Fund represents an interest in the same portfolio of investments, 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 contingent deferred sales charge upon redemption within one year, and bear both 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, the Fund may allocate among its classes certain expenses, to the extent applicable 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 Fund are limited to service and distribution fees, administrative fees, and certain registration and transfer agent expenses.
The Fund employed a fiscal year ending June 30 from the Fund’s inception through June 30, 2004, when the Trustees determined to change the Fund’s fiscal year end to September 30. In consequence, the Fund’s financial statements display information for a fiscal period commencing July 1, 2004 and ending September 30, 2004.
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Fund are as follows:
Valuation of Investments: In determining the net asset value, the Fund utilizes an independent pricing service approved by the Board of 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, normally at 4:00 p.m. EST or at 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 municipal 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 Fund are reviewed by the officers of the Trust under the general supervision of the Board of Trustees. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
Federal Income Taxes: It is the policy of the Fund to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all of its taxable (if any) and tax exempt income to its shareholders. Therefore, no provision for Federal income tax is required.
Certified Annual Report 11
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with its investment objectives and not for the purpose of investment leverage or to speculate on interest rate changes. At the time the Fund makes a commitment to purchase a security for the Fund, on a when-issued basis, the Fund will record the transaction and reflect the value in determining its 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 on 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 Fund is declared daily as a dividend on shares for which the Fund has received payment. Dividends are paid monthly and are reinvested in additional shares of the Fund 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 at least annually.
General: Securities transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and discounts on securities purchased are amortized to call dates or maturity dates of the respective securities. Realized gains and losses from the sale of securities are recorded on an identified cost basis. Net investment income, other than class specific expenses, and realized and unrealized gains and losses, are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all funds are allocated among the funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
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 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.
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liability arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
NOTE 3 — INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an Investment Advisory Agreement, Thornburg Investment Management, Inc. (the “Advisor”) serves as the investment advisor and performs services for which the fees are payable at the end of each month. For the period ended September 30, 2004, these fees were payable at annual rates ranging from .50 of 1% to .225 of 1% of the average daily net assets of the Fund. The Fund also has entered into an Administrative Services Agreement with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% of the average daily net assets attributable to each class of shares. For the year ended June 30, 2004 and the period ended September 30, 2004 the Advisor voluntarily reimbursed certain class specific expenses and administrative fees of $68,169 and $17,831, respectively, for Class A shares, $24,630 and $7,145, respectively, for Class C shares and $24,165 and $5,882, respectively, for Class I shares.
The Fund has a Distribution Agreement with Thornburg Securities Corporation (the “Distributor,” an affiliate of the advisor), which acts as the distributor of Fund shares. For the year ended June 30, 2004 and the period ended September 30, 2004 the Distributor has advised the Fund that it earned commissions aggregating $1,919 and $1,753, respectively, from the sale of Class A shares, and collected contingent deferred sales charges aggregating $3,860 and $134, respectively, from redemptions of Class C shares of the Fund.
Pursuant to a Service Plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor amounts not to exceed .25 of 1% per annum of the average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other persons for distribution of the Fund’s shares and to obtain various shareholder related services. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
The Fund also has adopted a Distribution Plan pursuant to Rule 12b-1, applicable only to the Fund’s Class C shares, under which the Fund can compensate the Distributor for services in promoting the sale of Class C shares of the Fund at an annual rate of up to .75 of 1% per annum of the average daily net assets attributable to Class C shares. Total fees incurred by each class of shares of the Fund under their respective Service and Distribution plans and Class C distribution fees waived by the Distributor for the period ended September 30, 2004 are set forth in the statement of operations. The Fund has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees have been adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the
12 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
statement of operations. For the year ended June 30, 2004 and the period ended September 30, 2004 fees paid indirectly were $1,718 and $332, respectively.
Certain officers and Trustees of the Trust are also officers and /or Directors of the Advisor and the Distributor. The compensation of independent Trustees is borne by the Trust.
NOTE 4 — SHARES OF BENEFICIAL INTEREST
At September 30, 2004, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Three Months Ended | Year Ended | Year Ended | ||||||||||||||||||||||
September 30, 2004 | June 30, 2004 | June 30, 2003 | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||
Shares sold | 502,652 | $ | 6,531,022 | 1,775,040 | $ | 23,232,846 | 5,242,685 | $ | 68,754,114 | |||||||||||||||
Shares issued to shareholders in reinvestment of dividends | 41,636 | 541,263 | 188,208 | 2,457,459 | 199,540 | 2,620,134 | ||||||||||||||||||
Shares repurchased | (394,425 | ) | (5,117,914 | ) | (3,079,256 | ) | (40,199,067 | ) | (3,028,552 | ) | (39,759,324 | ) | ||||||||||||
Net Increase (Decrease) | 149,863 | $ | 1,954,371 | (1,116,008 | ) | $ | (14,508,762 | ) | 2,413,673 | $ | 31,614,924 | |||||||||||||
Class C Shares | ||||||||||||||||||||||||
Shares sold | 81,630 | $ | 1,061,877 | 530,253 | $ | 6,927,987 | 606,383 | $ | 7,970,447 | |||||||||||||||
Shares issued to shareholders in reinvestment of dividends | 6,991 | 90,936 | 30,099 | 393,331 | 23,883 | 313,949 | ||||||||||||||||||
Shares repurchased | (140,412 | ) | (1,826,932 | ) | (526,102 | ) | (6,880,260 | ) | (168,027 | ) | (2,201,903 | ) | ||||||||||||
Net Increase (Decrease) | (51,791 | ) | $ | (674,119 | ) | 34,250 | $ | 441,058 | 462,239 | $ | 6,082,493 | |||||||||||||
Class I Shares | ||||||||||||||||||||||||
Shares sold | 296,419 | $ | 3,855,573 | 935,797 | $ | 12,251,009 | 1,157,992 | $ | 15,228,991 | |||||||||||||||
Shares issued to shareholders in reinvestment of dividends | 11,020 | 143,387 | 38,885 | 508,066 | 29,869 | 392,681 | ||||||||||||||||||
Shares repurchased | (112,491 | ) | (1,462,726 | ) | (753,140 | ) | (9,813,310 | ) | (411,162 | ) | (5,409,838 | ) | ||||||||||||
Net Increase (Decrease) | 194,948 | $ | 2,536,234 | 221,542 | $ | 2,945,765 | 776,699 | $ | 10,211,834 | |||||||||||||||
NOTE 5 — SECURITIES TRANSACTIONS
For the period ended September 30, 2004, the Fund had purchase and sale transactions (excluding short-term securities) of $12,353,788 and $6,947,600, respectively.
NOTE 6 — INCOME TAXES
At September 30, 2004, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 173,086,479 | ||
Gross unrealized appreciation on a tax basis | $ | 5,071,411 | ||
Gross unrealized depreciation on a tax basis | (156,527 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 4,914,884 | ||
At September 30, 2004, the Fund did not have any undistributed tax-exempt/ordinary net income or undistributed capital gains.
At September 30, 2004, the Fund had tax basis capital losses, which may be carried over to offset future capital gains. To the extent such carry forwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryovers expire as follows:
2007 | $ | 205,990 | ||
2008 | 214,571 | |||
2012 | 33,844 | |||
$ | 454,405 | |||
All dividends paid by the Fund for the period ended September 30, 2004 and year ended June 30, 2004, represent exempt interest dividends, which are excludable by shareholders from gross income for Federal income tax purposes.
Certified Annual Report 13
FINANCIAL HIGHLIGHTS
Thornburg California Limited Term Municipal Fund
Three Months Ended September 30, | Year Ended June 30, | |||||||||||||||||||||||
2004 | 2004 | 2003 | 2002 | 2001 | 2000 | |||||||||||||||||||
Class A Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.87 | $ | 13.20 | $ | 12.96 | $ | 12.79 | $ | 12.59 | $ | 12.75 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.08 | 0.35 | 0.38 | 0.46 | 0.54 | 0.54 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.15 | (0.33 | ) | 0.24 | 0.17 | 0.20 | (0.16 | ) | ||||||||||||||||
Total from investment operations | 0.23 | 0.02 | 0.62 | 0.63 | 0.74 | 0.38 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.08 | ) | (0.35 | ) | (0.38 | ) | (0.46 | ) | (0.54 | ) | (0.54 | ) | ||||||||||||
Change in net asset value | 0.15 | (0.33 | ) | 0.24 | 0.17 | 0.20 | (0.16 | ) | ||||||||||||||||
NET ASSET VALUE, end of period | $ | 13.02 | $ | 12.87 | $ | 13.20 | $ | 12.96 | $ | 12.79 | $ | 12.59 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | 1.81 | % | 0.13 | % | 4.83 | % | 5.03 | % | 6.00 | % | 3.10 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 2.53 | %(b) | 2.66 | % | 2.87 | % | 3.58 | % | 4.26 | % | 4.28 | % | ||||||||||||
Expenses, after expense reductions | 0.99 | %(b) | 0.99 | % | 0.99 | % | 1.00 | % | 0.99 | % | 0.99 | % | ||||||||||||
Expenses, after expense reductions and net of custody credits | 0.99 | %(b) | 0.99 | % | 0.99 | % | 0.99 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 1.05 | %(b) | 1.04 | % | 1.02 | % | 1.01 | % | 1.05 | % | 1.01 | % | ||||||||||||
Portfolio turnover rate | 4.18 | % | 23.80 | % | 26.03 | % | 25.16 | % | 15.45 | % | 21.34 | % | ||||||||||||
Net assets at end of period (000) | $ | 134,588 | $ | 131,158 | $ | 149,269 | $ | 115,237 | $ | 89,967 | $ | 90,035 |
(a) Sales loads are not reflected in computing total return, which is not annualized for periods less than one year.
(b) Annualized.
14 Certified Annual Report
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg California Limited Term Municipal Fund
Three Months Ended September 30, | Year Ended June 30, | |||||||||||||||||||||||
2004 | 2004 | 2003 | 2002 | 2001 | 2000 | |||||||||||||||||||
Class C Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.88 | $ | 13.21 | $ | 12.97 | $ | 12.80 | $ | 12.61 | $ | 12.76 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.07 | 0.32 | 0.34 | 0.41 | 0.49 | 0.49 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.15 | (0.33 | ) | 0.24 | 0.17 | 0.19 | (0.15 | ) | ||||||||||||||||
Total from investment operations | 0.22 | (0.01 | ) | 0.58 | 0.58 | 0.68 | 0.34 | |||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.07 | ) | (0.32 | ) | (0.34 | ) | (0.41 | ) | (0.49 | ) | (0.49 | ) | ||||||||||||
Change in net asset value | 0.15 | (0.33 | ) | 0.24 | 0.17 | 0.19 | (0.15 | ) | ||||||||||||||||
NET ASSET VALUE, end of period | $ | 13.03 | $ | 12.88 | $ | 13.21 | $ | 12.97 | $ | 12.80 | $ | 12.61 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | 1.75 | % | (0.12 | )% | 4.51 | % | 4.60 | % | 5.49 | % | 2.73 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 2.28 | %(b) | 2.41 | % | 2.56 | % | 3.15 | % | 3.86 | % | 3.88 | % | ||||||||||||
Expenses, after expense reductions | 1.24 | %(b) | 1.24 | % | 1.30 | % | 1.38 | % | 1.40 | % | 1.40 | % | ||||||||||||
Expenses, after expense reductions and net of custody credits | 1.24 | %(b) | 1.24 | % | 1.30 | % | 1.37 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 1.87 | %(b) | 1.86 | % | 1.80 | % | 1.86 | % | 2.01 | % | 1.94 | % | ||||||||||||
Portfolio turnover rate | 4.18 | % | 23.80 | % | 26.03 | % | 25.16 | % | 15.45 | % | 21.34 | % | ||||||||||||
Net assets at end of period (000) | $ | 21,941 | $ | 22,363 | $ | 22,487 | $ | 16,081 | $ | 6,392 | $ | 7,411 |
(a) Not annualized for periods less than one year.
(b) Annualized.
Certified Annual Report 15
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg California Limited Term Municipal Fund
Three Months Ended September 30, | Year Ended June 30, | |||||||||||||||||||||||
2004 | 2004 | 2003 | 2002 | 2001 | 2000 | |||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.89 | $ | 13.22 | $ | 12.97 | $ | 12.79 | $ | 12.60 | $ | 12.75 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.09 | 0.39 | 0.42 | 0.51 | 0.59 | 0.58 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.14 | (0.33 | ) | 0.25 | 0.18 | 0.19 | (0.15 | ) | ||||||||||||||||
Total from investment operations | 0.23 | 0.06 | 0.67 | 0.69 | 0.78 | 0.43 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.09 | ) | (0.39 | ) | (0.42 | ) | (0.51 | ) | (0.59 | ) | (0.58 | ) | ||||||||||||
Change in net asset value | 0.14 | (0.33 | ) | 0.25 | 0.18 | 0.19 | (0.15 | ) | ||||||||||||||||
NET ASSET VALUE, end of period | $ | 13.03 | $ | 12.89 | $ | 13.22 | $ | 12.97 | $ | 12.79 | $ | 12.60 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | 1.81 | % | 0.46 | % | 5.27 | % | 5.48 | % | 6.28 | % | 3.50 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 2.85 | %(b) | 2.99 | % | 3.20 | % | 3.92 | % | 4.60 | % | 4.60 | % | ||||||||||||
Expenses, after expense reductions | 0.67 | %(b) | 0.67 | % | 0.65 | % | 0.66 | % | 0.65 | % | 0.65 | % | ||||||||||||
Expenses, after expense reductions and net of custody credits | 0.67 | %(b) | 0.67 | % | 0.65 | % | 0.65 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 0.77 | %(b) | 0.78 | % | 0.75 | % | 0.84 | % | 0.98 | % | 0.79 | % | ||||||||||||
Portfolio turnover rate | 4.18 | % | 23.80 | % | 26.03 | % | 25.16 | % | 15.45 | % | 21.34 | % | ||||||||||||
Net assets at end of period (000) | $ | 25,728 | $ | 22,929 | $ | 20,592 | $ | 10,133 | $ | 5,520 | $ | 5,793 |
(a) Not annualized for periods less than one year.
(b) Annualized.
16 Certified Annual Report
SCHEDULE OF INVESTMENTS
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
CUSIPS: CLASS A - 885-215-426, CLASS C - 885-215-418, CLASS I - 885-215-392
NASDAQ SYMBOLS: CLASS A - LTCAX, CLASS C - LTCCX, CLASS I - LTCIX
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 435,000 | ABAG Finance Authority, 4.75% due 10/1/2011 (California School of Mechanical Arts Project) | A3/NR | $ | 467,534 | |||||||
455,000 | ABAG Finance Authority, 4.75% due 10/1/2012 (California School of Mechanical Arts Project) | A3/NR | 487,669 | |||||||||
425,000 | Alameda Certificates of Participation, 4.60% due 5/1/2011 | NR/A+ | 455,970 | |||||||||
295,000 | Alum Rock Union Elementary School District General Obligation Refunding Bonds, 8.00% due 9/1/2006 (Insured: FGIC) | Aaa/AAA | 328,990 | |||||||||
380,000 | Alum Rock Union Elementary School District General Obligation Refunding Bonds, 8.00% due 9/1/2007 (Insured: FGIC) | Aaa/AAA | 443,110 | |||||||||
785,000 | Bay Area Government Associates Lease Series 2002, 5.00% due 7/1/2005 (Insured: AMBAC) | Aaa/AAA | 804,398 | |||||||||
765,000 | Bay Area Government Associates Lease Series 2002, 4.00% due 7/1/2006 (Insured: AMBAC) | Aaa/AAA | 793,626 | |||||||||
835,000 | Bay Area Government Association Rapid Transit, 4.875% due 6/15/2009 (Insured: AMBAC) | Aaa/AAA | 837,088 | |||||||||
675,000 | Bear Valley Unified School District Series A, 4.00% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 688,318 | |||||||||
750,000 | Bonita Unified School District Certificates of Participation Refunding, 4.50% due 5/1/2009 (Insured: MBIA) | Aaa/AAA | 808,657 | |||||||||
700,000 | Bonita Unified School District Certificates of Participation Refunding, 4.50% due 5/1/2010 (Insured: MBIA) | Aaa/AAA | 753,620 | |||||||||
160,000 | California Educational Facilities Authority Revenue, 6.10% due 6/1/2008 (Keck Graduate Institute Project) | Baa3/NR | 176,760 | |||||||||
170,000 | California Educational Facilities Authority Revenue, 6.10% due 6/1/2009 (Keck Graduate Institute Project) | Baa3/NR | 189,927 | |||||||||
1,235,000 | California Health Facilities Financing, 5.50% due 10/1/2006 (Sisters of Providence Project) | Aa3/AA | 1,317,930 | |||||||||
2,000,000 | California Health Facilities Financing Authority Revenue Series B Refunding, 5.25% due 10/1/2013 (Kaiser Permanente Project) (ETM)* | A3/AAA | 2,214,260 | |||||||||
700,000 | California Health Facilities Financing Revenue, 6.40% due 10/1/2005 (Sisters of Providence Project) | Aa3/AA | 702,485 | |||||||||
880,000 | California Housing Finance Agency Revenue Multi Family Housing Series D, 1.80% due 2/1/2031 put 10/1/2004 (daily demand notes) | VMIG1/A1+ | 880,000 | |||||||||
670,000 | California Housing Finance Authority Revenue Series 1985-B, 9.875% due 2/1/2017 | Aa2/AA- | 707,956 | |||||||||
1,000,000 | California Infrastructure & Economic Development Bank Revenue, 5.00% due 7/1/2010 (Bay Area Toll Bridges Project; Insured: FSA) | Aaa/AAA | 1,108,810 | |||||||||
500,000 | California Mobile Home Park Financing Series A, 4.75% due 11/15/2010 (Rancho Vallecitos Project; Insured: ACA) | NR/A | 525,800 | |||||||||
570,000 | California Mobile Home Park Financing Series A, 5.00% due 11/15/2013 (Rancho Vallecitos Project; Insured: ACA) | NR/A | 598,289 | |||||||||
300,000 | California Pollution Control Financing Authority Series A, 5.90% due 6/1/2014 (San Diego Gas & Electric Project) | A2/A- | 319,272 | |||||||||
2,650,000 | California Pollution Control Solid Waste Authority, 6.75% due 7/1/2011 (ETM)* | Aaa/NR | 2,933,179 | |||||||||
1,500,000 | California Pollution Control Solid Waste Authority Series B, 4.45% due 7/1/2027 put 7/1/2005 Waste Management Inc. Project) | NR/BBB | 1,519,260 | |||||||||
75,000 | California Rural HMFA Single Family Mortgage Revenue, 5.25% due 6/1/2010 (Collateralized: GNMA/FNMA) | NR/AAA | 75,302 | |||||||||
30,000 | California Rural HMFA Single Family Mortgage Revenue, 5.65% due 6/1/2010 (Collateralized: GNMA/FNMA) | NR/AAA | 30,534 | |||||||||
500,000 | California State, 6.40% due 2/1/2006 (Insured: MBIA) | Aaa/AAA | 530,295 | |||||||||
1,005,000 | California State, 7.00% due 8/1/2006 (Insured: FGIC) | Aaa/AAA | 1,097,982 | |||||||||
2,000,000 | California State, 7.50% due 10/1/2007 (Insured: MBIA) | Aaa/AAA | 1,310,800 | |||||||||
560,000 | California State, 6.60% due 2/1/2010 (Insured: MBIA) | Aaa/AAA | 659,602 | |||||||||
1,250,000 | California State, 6.50% due 9/1/2010 (Insured: AMBAC) | Aaa/AAA | 1,482,650 | |||||||||
230,000 | California State, 5.50% due 3/1/2012 (Insured: FGIC) | Aaa/AAA | 235,660 | |||||||||
2,000,000 | California State Department of Water Resources Power Series A, 5.50% due 5/1/2011 (Insured: MBIA) | Aaa/AAA | 2,271,540 | |||||||||
1,470,000 | California State Department of Water Resources Power Supply Revenue Series A, 5.50% due 5/1/2005 | A2/BBB+ | 1,501,135 | |||||||||
2,580,000 | California State Department of Water Resources Power Supply Series A, 5.50% due 5/1/2008 | A2/BBB+ | 2,837,974 | |||||||||
800,000 | California State Department of Water Resources Power Supply Series A, 5.25% due 5/1/2009 (Insured: MBIA) | Aaa/AAA | 887,936 | |||||||||
500,000 | California State Department of Water Resources Series B-2, 1.80% due 5/1/2022 put 10/1/2004 (LOC: BNP Paribus) (daily demand notes) | VMIG1/A1+ | 500,000 | |||||||||
1,000,000 | California State Economic Recovery Series A, 5.00% due 1/1/2008 | Aa3/AA- | 1,084,770 | |||||||||
800,000 | California State Economic Recovery Series C-1, 1.80% due 7/1/2023 put 10/1/2004 (Guaranty: Landesbank) (daily demand notes) | VMIG1/A1+ | 800,000 |
Certified Annual Report 17
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 530,000 | California State Public Works Board Lease Revenue, 5.50% due 6/1/2010 (Various Universities Project) | Aa2/A+ | $ | 589,726 | |||||||
2,000,000 | California State Public Works Board Lease Revenue Series A, 5.25% due 1/1/2007 (Insured: AMBAC) | Aaa/AAA | 2,120,260 | |||||||||
1,000,000 | California State Refunding, 5.75% due 10/1/2010 (Insured: FSA) | Aaa/AAA | 1,149,450 | |||||||||
800,000 | California State Series A-3, 1.73% due 5/1/2033 put 10/1/2004 (daily demand notes) | VMIG1/A1+ | 800,000 | |||||||||
1,000,000 | California State Veterans Bonds, 9.50% due 2/1/2010 (Insured: MBIA) | Aaa/AAA | 1,316,500 | |||||||||
1,000,000 | California Statewide Community Development Authority, 5.00% due 7/1/2005 (Insured: FSA) | Aaa/AAA | 1,024,550 | |||||||||
560,000 | California Statewide Community Development Authority Certificates of Participation, 5.25% due 7/1/2010 (St Joseph Health Systems Project) | Aa3/AA- | 600,298 | |||||||||
595,000 | California Statewide Community Development Authority Revenue, 5.125% due 6/1/2008 (Louisiana Orthopedic Hospital Foundation Project; Insured: AMBAC) | Aaa/AAA | 643,742 | |||||||||
935,000 | California Statewide Community Development Authority Revenue Certificates of Participation, 6.50% due 8/1/2012 (Cedars Sinai Center Hospital Project; Insured: MBIA) | Aaa/AAA | 1,059,458 | |||||||||
1,110,000 | California Statewide Community Development Authority Revenue Series B, 5.00% due 6/1/2008 (Hospital Monterey Peninsula Project; Insured: FSA) | Aaa/AAA | 1,214,562 | |||||||||
1,180,000 | California Statewide Community Development Authority Revenue Series B, 5.00% due 6/1/2009 (Hospital Monterey Peninsula Project; Insured: FSA) | Aaa/AAA | 1,298,602 | |||||||||
1,000,000 | California Statewide Community Development Authority Series 1996-A, 6.00% due 9/1/2005 (San Gabriel Medical Center Project; Insured: California Health) (ETM)* | NR/NR | 1,038,200 | |||||||||
1,000,000 | California Statewide Community Development Authority Solid Waste Revenue, 2.90% due 4/1/2011 put 4/1/2007 (Waste Management Inc. Project) | NR/BBB | 992,600 | |||||||||
2,000,000 | California Statewide Community Development Series E, 4.70% due 11/1/2036 put 6/1/2009 (Kaiser Permanente Project) | A3/A-1 | 2,141,380 | |||||||||
920,000 | Capistrano Unified School District 92-1 Community Facilities District Special Tax, 7.10% due 9/1/2021 pre-refunded 9/1/2007 | NR/NR | 1,047,365 | |||||||||
1,000,000 | Castaic Lake Water Agency Certificates of Participation Refunding Series A, 7.25% due 8/1/2007 (Water Systems Improvement Project; Insured: MBIA) | Aaa/AAA | 1,139,490 | |||||||||
100,000 | Castaic Lake Water Agency Refunding Water Systems Improvement Project Series A, 7.25% due 8/1/2009 (Insured: MBIA) | Aaa/AAA | 119,981 | |||||||||
780,000 | Central Union High School District Imperial County Refunding, 5.00% due 8/1/2011 (Insured: FGIC) | Aaa/AAA | 868,351 | |||||||||
830,000 | Central Union High School District Imperial County Refunding, 5.00% due 8/1/2012 (Insured: FGIC) | Aaa/AAA | 925,906 | |||||||||
955,000 | Central Valley Financing Authority Revenue, 6.00% due 7/1/2009 (Carson Ice Project) | NR/BBB | 983,650 | |||||||||
205,000 | Central Valley School Districts Financing Authority, 0% due 2/1/2007 (Insured: MBIA) | Aaa/AAA | 193,977 | |||||||||
800,000 | Coachella Valley California Unified School District Certificates of Participation Refunding, 5.00% due 9/1/2012 (Insured: MBIA) | Aaa/AAA | 887,784 | |||||||||
2,320,000 | Desert Sands Unified School District Series F, 4.00% due 3/1/2006 (Measure O Project; Insured: MBIA) | Aaa/AAA | 2,391,850 | |||||||||
500,000 | East Side Union High School District Santa Clara County Series B, 6.625% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 521,200 | |||||||||
700,000 | East Side Union High School District Santa Clara County Series B, 6.625% due 8/1/2006 (Insured: MBIA) | Aaa/AAA | 761,201 | |||||||||
840,000 | East Side Union High School District Santa Clara County Series B, 6.625% due 8/1/2007 (Insured: MBIA) | Aaa/AAA | 947,386 | |||||||||
2,730,000 | El Monte Certificates of Participation Senior Department Public Services Facility Phase II, 5.00% due 1/1/2009 (Insured: AMBAC) | Aaa/AAA | 2,989,759 | |||||||||
2,295,000 | Emeryville Public Financing Authority Revenue Series A, 5.00% due 9/1/2012 (Emeryville Redevelopment Project; Insured: AMBAC) | Aaa/AAA | 2,562,023 | |||||||||
500,000 | Escondido Joint Powers Financing Authority Lease Revenue Refunding, 0% due 9/1/2013 (California Center For The Arts Project; Insured: AMBAC) | Aaa/AAA | 298,630 | |||||||||
3,015,000 | Escondido Multi Family Housing Revenue Refunding Bond Series 1997-A, 5.40% due 1/1/2027 put 7/1/2007 (Terrace Gardens Project; Collateralized: FNMA) | NR/AAA | 3,125,228 | |||||||||
2,000,000 | Folsom Cordova Unified School District School Facilities Improvement District-2 Series A, 4.50% due 10/1/2004 (Insured: MBIA) | Aaa/AAA | 2,000,160 | |||||||||
400,000 | Fresno County Housing Authority Multi Family Revenue Refunding Series A, 4.90% due 11/1/2027 mandatory put 11/1/2007 (Housing Creek Park Apartments Project; Collateralized: FNMA) | NR/AAA | 417,408 | |||||||||
575,000 | Hawaiian Gardens Redevelopment Agency Refunding, 5.50% due 12/1/2008 | NR/BBB+ | 627,452 | |||||||||
1,000,000 | Imperial Irrigation District California Certificates of Participation, 6.50% due 11/1/2007 (Electric Systems Project; Insured: MBIA) | Aaa/AAA | 1,108,440 | |||||||||
1,000,000 | Irwindale Community Redevelopment Agency, 6.60% due 8/1/2018 pre-refunded 8/1/2005 | Baa3/NR | 1,058,070 |
18 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 295,000 | Julian Union High School District, 4.875% due 11/1/2005 (Insured: MBIA) | Aaa/AAA | $ | 301,670 | |||||||
165,000 | Kern High School District, 7.00% due 8/1/2010 (ETM)* | A1/NR | 200,874 | |||||||||
500,000 | Kern High School District Refunding Series A, 6.30% due 8/1/2011 (Insured: MBIA) | Aaa/AAA | 588,960 | |||||||||
680,000 | Kern High School District Series B, 9.00% due 8/1/2006 (ETM)* | Aaa/AAA | 767,570 | |||||||||
1,400,000 | Los Angeles Certificates of Participation, 5.00% due 2/1/2012 (Insured: MBIA) | Aaa/AAA | 1,545,922 | |||||||||
835,000 | Los Angeles Community Redevelopment Agency, 5.00% due 7/1/2009 (Cinerama Dome Public Parking Project; Insured: ACA) | NR/A | 887,855 | |||||||||
435,000 | Los Angeles Community Redevelopment Agency, 5.75% due 7/1/2010 (Cinerama Dome Public Parking Project; Insured: ACA) | NR/A | 478,909 | |||||||||
5,000 | Los Angeles Convention & Exhibition Center, 9.00% due 12/1/2020 pre-refunded 12/1/2005 | Aaa/AAA | 5,425 | |||||||||
275,000 | Los Angeles Convention & Exhibition Center Authority Certificates Refunding, 0% due 8/15/2005 (Insured: AMBAC) | Aaa/AAA | 270,842 | |||||||||
2,000,000 | Los Angeles County Capital Asset, 5.00% due 4/1/2008 (Insured: AMBAC) | Aaa/AAA | 2,183,560 | |||||||||
1,730,000 | Los Angeles County Capital Asset Leasing Corp. Lease Revenue Series A, 3.00% due 6/1/2005 | A3/A | 1,743,650 | |||||||||
1,700,000 | Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue, 9.00% due 7/1/2007 (Insured: MBIA) | Aaa/AAA | 2,011,559 | |||||||||
700,000 | Los Angeles Department Airport Revenue Refunding Series A, 5.50% due 5/15/2010 Pre-refunded 5/15/05 @ 101(Insured: FGIC) | Aaa/AAA | 724,318 | |||||||||
1,000,000 | Los Angeles Department of Water & Power Revenue Refunding Series A Subseries A-1, 5.00% due 7/1/2008 (Power Systems Project) | Aaa/AAA | 1,098,400 | |||||||||
3,000,000 | Los Angeles Department of Water & Power Revenue Series A, 5.25% due 7/1/2011 (Insured: MBIA) | Aaa/AAA | 3,382,320 | |||||||||
1,940,000 | Los Angeles Multi Family Revenue, 5.85% due 12/1/2027 put 12/01/2007 (Collateralized: FNMA) | NR/AAA | 2,033,450 | |||||||||
1,590,000 | Los Angeles Regional Airport Lease Refunding, 5.25% due 1/1/2009 (Insured: AMBAC) (Facilities Laxfuel Corp. LA International Project) | Aaa/AAA | 1,708,741 | |||||||||
2,500,000 | Los Angeles Unified School District Series E, 5.50% due 7/1/2012 (Insured: MBIA) | Aaa/AAA | 2,869,700 | |||||||||
1,750,000 | Metropolitan Water District Southern California Waterworks Revenue Series C-1, 1.80% due 7/1/2036 put 10/1/2004 (daily demand notes) | VMIG1/A1+ | 1,750,000 | |||||||||
1,205,000 | Moorpark Mobile Home Park Revenue Series A, 5.80% due 5/15/2010 (Villa Delaware Arroyo Project; Insured: ACA) | NR/A | 1,258,177 | |||||||||
1,400,000 | New Haven Unified School District Refunding, 12.00% due 8/1/2006 (Insured: FSA) | Aaa/AAA | 1,649,662 | |||||||||
1,000,000 | New Haven Unified School District Refunding, 12.00% due 8/1/2008 (Insured: FSA) | Aaa/AAA | 1,342,880 | |||||||||
360,000 | Northern California Power Agency Public Power Revenue, 5.65% due 7/1/2007 (Geothermal Project 3-A) (ETM)* | Baa2/BBB+ | 395,521 | |||||||||
340,000 | Northern California Power Agency Public Power Revenue, 5.65% due 7/1/2007 | Baa2/BBB+ | 368,285 | |||||||||
50,000 | Oakland Redevelopment Agency, 7.40% due 5/1/2007 (Insured: AMBAC) | Aaa/AAA | 50,237 | |||||||||
1,705,000 | Ontario Montclair School District Certificates of Participation Refunding, 3.80% due 9/1/2028 put 8/31/2007 (School Facility Bridge Funding Project; Insured: FSA) | VMIG1/A-1 | 1,707,148 | |||||||||
1,000,000 | Orange County Airport Revenue Bond, 6.00% due 7/1/2007 (Insured: MBIA) | Aaa/AAA | 1,093,340 | |||||||||
510,000 | Orange County Local Transportation Authority Sales Tax Revenue, 6.00% due 2/15/2006 | Aa2/AA+ | 538,983 | |||||||||
600,000 | Orange County Recovery Certificates of Participation Series A, 6.00% due 7/1/2006 (Insured: MBIA) | Aaa/AAA | 643,158 | |||||||||
2,000,000 | Orange County Refunding Recovery, 6.50% due 6/1/2005 (Insured: MBIA) | Aaa/AAA | 2,063,880 | |||||||||
400,000 | Orange County Various Sanitation Districts Certificates of Participation Refunding Series B, 1.73% due 8/1/2030 put 10/1/2004 (LOC: Dexia Public Finance Bank) (daily demand notes) | VMIG1/A1+ | 400,000 | |||||||||
1,000,000 | Piedmont Unified School District Series B, 0% due 8/1/2013 pre-refunded 8/1/2007 | Aa3/NR | 649,840 | |||||||||
3,350,000 | Pittsburg California Redevelopment Agency Tax Allocation Refunding, 5.25% due 8/1/2012 (Los Medanos Community Development Project A; Insured: MBIA) | Aaa/AAA | 3,777,225 | |||||||||
1,000,000 | Pleasanton Unified School District Series B, 0% due 8/1/2016 pre-refunded 8/1/2005 @ 54.674 (Insured: MBIA) | Aaa/AAA | 539,150 | |||||||||
580,000 | Pomona Unified School District General Obligation, 5.35% due 2/1/2005 (Insured: MBIA) | Aaa/AAA | 587,227 | |||||||||
340,000 | Pomona Unified School District General Obligation, 5.40% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 350,615 | |||||||||
320,000 | Pomona Unified School District Refunding Series A, 6.10% due 2/1/2010 (Insured: MBIA) | Aaa/AAA | 369,450 | |||||||||
295,000 | Porterville Certificates of Participation, 6.10% due 10/1/2005 (Water Systems Refunding Project; Insured: AMBAC) | Aaa/AAA | 307,744 | |||||||||
1,000,000 | Puerto Rico Commonwealth Highway & Transportation Authority, 5.50% due 7/1/2009 (Insured: FSA) | Aaa/AAA | 1,124,060 |
Certified Annual Report 19
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 1,000,000 | Puerto Rico Commonwealth Highway & Transportation Authority Highway Revenue Refunding Series A, 5.00% due 7/1/2008 (Insured: FGIC) | Aaa/AAA | $ | 1,095,750 | |||||||
3,300,000 | Puerto Rico Commonwealth Refunding Series B, 0.95% due 7/1/2029 put 10/1/2004 (Insured: FGIC) (daily demand notes) | Aaa/AAA | 3,300,000 | |||||||||
600,000 | Puerto Rico Municipal Finance Agency Series A, 6.00% due 7/1/2011 (Insured: FSA) | Aaa/AAA | 705,648 | |||||||||
1,000,000 | Rancho Santiago Community College District Series A, 4.00% due 9/1/2005 (Insured: MBIA) | Aaa/AAA | 1,021,650 | |||||||||
500,000 | Richmond Joint Powers Financing Authority Revenue Series A, 5.20% due 5/15/2005 | NR/NR | 503,490 | |||||||||
500,000 | Sacramento County Sanitation District Financing Authority Revenue, 4.80% due 12/1/2004 (ETM)* | Aaa/AA | 502,810 | |||||||||
560,000 | Sacramento County Sanitation District Financing Authority Revenue Series A, 5.75% due 12/1/2009 | Aa3/AA | 638,764 | |||||||||
330,000 | Sacramento Municipal Utility District Electric Revenue Refunding Series C, 5.75% due 11/15/2007 (Insured: MBIA) (ETM)* | Aaa/AAA | 331,492 | |||||||||
1,450,000 | Salinas Redevelopment Agency Tax Allocation Series A, 0% due 11/1/2022 (Insured: FSA) | Aaa/AAA | 550,551 | |||||||||
3,000,000 | San Bernardino County Multi Family Housing Revenue Refunding Series A, 4.75% due 12/15/2031 put 12/15/2011 (Collateralized: FNMA) | Aaa/NR | 3,223,890 | |||||||||
190,000 | San Bernardino County Special Taxes Community Facilities District 2002-1, 5.10% due 9/1/2011 | NR/NR | 200,135 | |||||||||
205,000 | San Bernardino County Special Taxes Community Facilities District 2002-1, 5.20% due 9/1/2012 | NR/NR | 215,719 | |||||||||
300,000 | San Bernardino County Special Taxes Community Facilities District 2002-1, 5.30% due 9/1/2013 | NR/NR | 315,816 | |||||||||
175,000 | San Bernardino County Transportation Authority Sales Tax Revenue Series A, 6.00% due 3/1/2010 (Insured: FGIC) (ETM)* | Aaa/AAA | 195,183 | |||||||||
430,000 | San Diego Public Facilities Financing Authority Lease Revenue, 7.00% due 4/1/2005 (Insured: MBIA) | Aaa/AAA | 441,275 | |||||||||
455,000 | San Diego Public Facilities Financing Authority Lease Revenue, 7.00% due 4/1/2006 (Insured: MBIA) | Aaa/AAA | 489,571 | |||||||||
425,000 | San Diego Public Facilities Financing Authority Lease Revenue, 7.00% due 4/1/2007 (Insured: MBIA) | Aaa/AAA | 475,626 | |||||||||
1,400,000 | San Francisco Bay Area Transit Bridge Toll Notes, 5.625% due 8/1/2006 (Insured: ACA) | NR/A | 1,481,620 | |||||||||
1,000,000 | San Francisco Bay Area Transit Financing Authority Bridge Toll Notes, 5.50% due 8/1/2005 (Insured: ACA) | NR/A | 1,028,530 | |||||||||
1,100,000 | San Francisco International Airport Revenue Series Issue 13B, 8.00% due 5/1/2007 (Insured: MBIA) | Aaa/AAA | 1,204,302 | |||||||||
2,400,000 | San Joaquin Hills Transportation Corridor Agency Toll Road Revenue Refunding Series A, 0% due 1/15/2005 (Insured: MBIA) | Aaa/AAA | 2,388,024 | |||||||||
2,200,000 | San Jose Evergreen Community College District Series C, 0% due 9/1/2011 (Insured: AMBAC) | Aaa/AAA | 1,699,148 | |||||||||
2,700,000 | San Jose Financing Authority Lease Revenue Series D, 5.00% due 6/1/2039 mandatory put 6/1/2006 (Civic Center Project; Insured: AMBAC) | Aaa/AAA | 2,838,888 | |||||||||
1,900,000 | San Marcos Public Facilities Authority Revenue Community Facilities District 88-1, 0% due 3/1/2008 (ETM)* | Aaa/NR | 1,743,478 | |||||||||
1,250,000 | Santa Clara County Financing Authority, 5.00% due 8/1/2005 (Measure B Transportation Improvement Program) | A2/NR | 1,280,350 | |||||||||
1,000,000 | Santa Clara County Financing Authority Special Obligation Measure B, 4.00% due 8/1/2006 (Transportation Improvement Program Project) | A2/NR | 1,032,190 | |||||||||
1,000,000 | Santa Clara Valley Transportation Authority Sales Tax Revenue Measure A, 4.00% due 4/1/2036 put 10/2/2006 (Insured: AMBAC) | Aaa/AAA | 1,041,130 | |||||||||
3,410,000 | Santa Clara Valley Transportation Authority Sales Tax Revenue Measure A, 5.50% due 4/1/2036 put 10/2/2006 (Insured: AMBAC) | Aaa/AAA | 3,650,439 | |||||||||
610,000 | Santa Cruz County Certificates Refunding, 4.00% due 8/1/2005 | A3/NR | 620,193 | |||||||||
575,000 | Seal Beach Redevelopment Agency Mobile Home Park Revenue Series A, 5.20% due 12/15/2013 (Insured: ACA) | NR/A | 612,260 | |||||||||
1,435,000 | South Orange County Public Finance Authority Special Tax Revenue, 7.00% due 9/1/2005 (Insured: MBIA) | Aaa/AAA | 1,503,162 | |||||||||
1,500,000 | South Orange County Public Financing Authority Special Tax Revenue Series C, 8.00% due 8/15/2008 (Foothill Area Project; Insured: FGIC) | Aaa/AAA | 1,806,270 | |||||||||
1,060,000 | Southeast Resources Recovery Facilities Authority Lease Revenue Refunding Series B, 5.375% due 12/1/2013 (Insured: AMBAC) | Aaa/AAA | 1,167,908 | |||||||||
350,000 | Southern California Revenue, 5.15% due 7/1/2015 (Public Power Project; Insured: AMBAC) | Aaa/AAA | 390,712 | |||||||||
250,000 | Southern California Revenue, 5.15% due 7/1/2015 (Public Power Project; Insured: AMBAC) | Aaa/AAA | 279,080 | |||||||||
1,000,000 | Southern California Revenue Refunding San Juan Unit 3 Series A, 4.00% due 1/1/2005 (Public Power Project; Insured: FSA) | Aaa/AAA | 1,005,820 | |||||||||
3,250,000 | Stanton Multi Family Housing Revenue Bond Series 1997, 5.625% due 8/1/2029 put 8/1/2009 (Continental Gardens Project; Collateralized: FNMA) | NR/AAA | 3,478,572 | |||||||||
1,000,000 | Tri City Hospital District Revenue Refunding Series B, 6.00% due 2/15/2006 (Insured: MBIA) | Aaa/AAA | 1,056,830 |
20 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 2,380,000 | Ukiah Unified School District Certificates of Participation, 4.00% due 9/1/2006 (Insured: MBIA) | Aaa/AAA | $ | 2,476,033 | |||||||
1,000,000 | Ukiah Unified School District Certificates of Participation, 5.00% due 9/1/2008 (Insured: MBIA) | Aaa/AAA | 1,098,100 | |||||||||
500,000 | Ventura County Community College Series A, 5.00% due 8/1/2012 (Insured: MBIA) | Aaa/AAA | 557,775 | |||||||||
115,000 | Ventura Unified School District Series F, 6.75% due 8/1/2005 (Insured: FSA) | Aaa/AAA | 119,824 | |||||||||
455,000 | Victorville Redevelopment Agency Tax Allocation Bear Valley Road Special Escrow Fund A, 5.00% due 12/1/2014 (Insured: FSA) | Aaa/AAA | 471,239 | |||||||||
800,000 | Walnut Valley Unified School District, 9.00% due 8/1/2006 (ETM)* | Aaa/AAA | 903,024 | |||||||||
1,000,000 | Walnut Valley Unified School District, 8.75% due 8/1/2010 (ETM)* | Aaa/AAA | 1,312,070 | |||||||||
245,000 | Walnut Valley Unified School District Series A, 6.70% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 255,177 | |||||||||
250,000 | Walnut Valley Unified School District Series A, 6.80% due 2/1/2007 (Insured: MBIA) | Aaa/AAA | 277,308 | |||||||||
250,000 | Walnut Valley Unified School District Series A, 6.90% due 2/1/2008 (Insured: MBIA) | Aaa/AAA | 287,567 | |||||||||
100,000 | Walnut Valley Unified School District Series A, 7.00% due 8/1/2008 (Insured: MBIA) | Aaa/AAA | 117,010 | |||||||||
450,000 | Washington Township Health Care District Revenue, 5.00% due 7/1/2009 | A2/NR | 483,579 | |||||||||
570,000 | West Contra Costa Unified School District Series A, 6.50% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 592,686 | |||||||||
595,000 | West Contra Costa Unified School District Series A, 7.00% due 8/1/2006 (Insured: MBIA) | Aaa/AAA | 650,276 | |||||||||
655,000 | West Contra Costa Unified School District Series A, 7.00% due 8/1/2008 (Insured: MBIA) | Aaa/AAA | 766,415 | |||||||||
1,000,000 | Whittier Solid Waste Revenue Refunding Series A, 5.375% due 8/1/2014 (Insured: AMBAC) | Aaa/AAA | 1,012,970 | |||||||||
TOTAL INVESTMENTS (Cost $173,086,479) | $ | 178,001,363 | ||||||||||
† | Credit ratings are unaudited. | |||
* | Escrowed to maturity. | |||
See notes to financial statements. |
CREDIT RATING†
Certified Annual Report 21
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg California Limited Term Municipal Fund |
To the Trustees and Shareholders of Thornburg California Limited Term Municipal Fund | ||||
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg California Limited Term Municipal Fund (formerly Thornburg Limited Term Municipal Fund — California Portfolio) a series of Thornburg Investment Trust (the “Fund”) at September 30, 2004, the results of its operations for the three months ended September 30, 2004, and the year ended June 30, 2004, the changes in its net assets for the three months ended September 30, 2004 and the years ended June 30, 2004 and 2003 and the financial highlights for each of the periods presented, 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 Fund’s 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 the standards of the Public Company Accounting Oversight Board (United States). Those standards 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, 2004 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. | ||||
PricewaterhouseCoopers LLP | ||||
New York, New York November 9, 2004 |
22 Certified Annual Report
EXPENSE EXAMPLE
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
As a shareholder of the Fund, you incur two types of costs:
(1) transaction costs, including |
(a) sales charges (loads) on purchase payments, for Class A Shares, | ||||
(b) a deferred sales charge on redemptions of any part of all of a purchase of $1 million of Class A shares within 12 months of purchase, and | ||||
(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase; and |
(2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. |
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested on April 01, 2004 and held until September 30, 2004.
Actual Expenses
The first line of the table at right provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table at right provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Beginning | Ending | Expenses Paid | ||||||||||
Account Value | Account Value | During Period† | ||||||||||
4/01/04 | 9/30/04 | 4/1/04–9/30/04 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000 | $ | 1,002.50 | $ | 4.97 | ||||||
Hypothetical* | $ | 1,000 | $ | 1,020.04 | $ | 5.01 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000 | $ | 1,001.20 | $ | 6.22 | ||||||
Hypothetical* | $ | 1,000 | $ | 1,018.79 | $ | 6.27 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000 | $ | 1,004.10 | $ | 3.35 | ||||||
Hypothetical* | $ | 1,000 | $ | 1,021.66 | $ | 3.38 |
†Expenses are equal to the annualized expense ratio for each class (A: 0.99%; C: 1.24%; and I: 0.67%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period.
* Hypothetical assumes a rate of return of 5% per year before expenses.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Certified Annual Report 23
INDEX COMPARISON
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Brothers Five-Year Municipal Bond Index and Consumer Price Index
(February 28, 1987 to September 30, 2004)
AVERAGE ANNUAL TOTAL RETURNS
For the periods ended September 30, 2004 (with sales charge)
Since | ||||||||||||||||
1 Yr | 5 Yrs | 10 Yrs | Inception | |||||||||||||
A Shares (Incep: 2/19/87) | (0.01 | )% | 3.72 | % | 4.31 | % | 5.15 | % | ||||||||
C Shares (Incep: 9/1/94) | 0.75 | % | 3.65 | % | 4.06 | % | 3.97 | % |
FUND ATTRIBUTES
as of September 30, 2004
Annualized | SEC | Maximum | ||||||||||||||
Dist. Rate (NAV) | Yield | NAV | Offering Price | |||||||||||||
A Shares (Incep: 2/19/87) | 2.59 | % | 1.68 | % | $ | 13.02 | $ | 13.22 | ||||||||
C Shares (Incep: 9/1/94) | 2.34 | % | 1.46 | % | $ | 13.03 | $ | 13.03 |
Performance data reflect past performance, which is no guarantee of future results. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares.
Returns reflect the reinvestment of dividends and capital gains and the following sales charges: Class A Shares are sold with a maximum sales charge of 1.50%. C shares assume deduction of a 0.50% contingent deferred sales charge (CDSC) for the first year only.
The Consumer Price Index (“CPI”) measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. The CPI is also known as the cost-of-living index.
The Lehman Brothers Five-Year Municipal Bond Index is a rules-based, market-value-weighted index engineered for the long-term tax-exempt bond market. To be included in the index, bonds must have a minimum credit rating of Baa. The approximate maturity of the municipal bonds in the index is five years.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
The SEC Yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Fund’s shares at the end of the period.
The distribution rate is calculated by taking the sum of the month’s total distribution factors and dividing this sum by a 30-day period and annualizing to 360-day year. The value is then divided by the ending Net Asset Value (NAV) to arrive at the annualized distribution yield. The yield is calculated on a periodic basis and is subject to change depending on the Fund’s NAV and current distributions.
24 Certified Annual Report
TRUSTEES AND OFFICERS
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
INTERESTED TRUSTEES(2)(4) | ||||
Garrett Thornburg, 58 Chairman of Trustees Trustee since 1987(3) | CEO, Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor) and Thornburg Securities Corporation (securities dealer); Chairman of Thornburg Limited Term Municipal Fund, Inc. (registered investment company) to 2004; CEO and Chairman of Thornburg Mortgage, Inc. (real estate investment trust); Chairman of Thornburg Mortgage Advisory Corporation (investment manager to Thornburg Mortgage, Inc.). | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Brian J. McMahon, 48 Trustee since 2001 President since 1997(5)(6) | President and Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | None | ||
INDEPENDENT TRUSTEES(2)(4) | ||||
David A. Ater, 59 Trustee since 1994 | Principal in Ater & Ater Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner developer and broker for various real estate projects. | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
David D. Chase, 63 Trustee since 2000 | Chairman, President, CEO, and General Partner of Vestor Partners, LP, Santa Fe, NM (private equity fund); Chairman and CEO of Vestor Holdings, Inc., Santa Fe, NM (merchant bank). | Director of Thornburg Limited Term Municipal Fund, Inc. 2001–2004 | ||
Eliot R. Cutler, 58 Trustee since 2004 | Partner, Akin, Gump, Strauss, Hauer & Feld, LLP, Washington, D.C. (law firm) since November 2000; partner, Cutler & Stanfield, Washington, D.C. (law firm) until November 2000. | Director of Thornburg Limited Term Municipal Fund, Inc. to 2004; director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Susan H. Dubin, 55 Trustee since 2004 | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations; and formerly, Vice President of Chemical Bank (predecessor to JP Morgan Chase & Co.), New York, 1974–1996. | None | ||
Forrest S. Smith, 74 Trustee since 1987 | Trust and estate attorney, of counsel to Catron, Catron & Pottow, Santa Fe, NM (law firm). | None | ||
Owen D. Van Essen, 50 Trustee since 2004 | President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 45 Trustee since 1996 | Executive Vice President and Director to 2002, and since 2002; CEO and Vice Chairman, Nambé Mills, Inc., Santa Fe, NM (manufacturer). | None |
Certified Annual Report 25
TRUSTEES AND OFFICERS, CONTINUED
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
Name, Age, (1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(6)(7) | ||||
Dawn B. Fischer, 57 Secretary since 1987 | Secretary and Managing Director, Thornburg Investment Management, Inc.; Secretary, Thornburg Limited Term Municipal Fund, Inc. to 2004; Secretary, Thornburg Securities Corporation; Vice President, Daily Tax Free Income Fund, Inc. (registered investment company). | Not applicable | ||
Steven J. Bohlin, 45 Vice President, since 1987; Treasurer since 1989 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
George T. Strickland, 41 Vice President since 1996 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President (and Treasurer since 2003) of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
William V. Fries, 65 Vice President since 1995 | Vice President and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 37 Vice President since 2001 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2004. | Not applicable | ||
Kenneth Ziesenheim, 50 Vice President since 1995 | Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Securities Corporation; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Alexander Motola, 34 Vice President since 2001 | Managing Director of Thornburg Investment Management, Inc. since 2000; Portfolio Manager, Insight Capital Research & Management, Inc., Walnut Creek, California 1995–2000. | Not applicable | ||
Wendy Trevisani, 33 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 2000 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2002; Sales Representative, Solomon Smith Barney 1996–1999. | Not applicable | ||
Joshua Gonze, 41 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 1999 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Brad Kinkelaar, 36 Vice President since 1999 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 1999, Vice President since 2000, and Managing Director since 2004; Equity Investment Analyst, State Farm Insurance Companies 1996–1999. | Not applicable | ||
Kerry D. Lee, 37 Vice President since 1999 | Vice President of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable |
26 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
Name, Age, (1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
Christopher Ihlefeld, 34 Vice President since 2003 | Associate Portfolio Manager since 1999; Vice President of Thornburg Investment Management, Inc. since 2002; Vice President of Limited Term Municipal Fund, Inc., 2003–2004. | Not applicable | ||
Leon Sandersfeld, 38 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2002; Senior Staff Accountant, Farm Bureau Life Insurance Co. 1998–2002. | Not applicable | ||
Sasha Wilcoxon, 30 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2000; and Mutual Fund Support Service Department Manager since 2002. | Not applicable | ||
Ed Maran, 46 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Analyst, USAA 2001–2002; Oil Analyst, A. G. Edwards 1997–2000. | Not applicable | ||
Vinson Walden, 34 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Associate Portfolio Manager, Ibis Management 2002–2004; Associate, Lehman Brothers, 1997–2001. | Not applicable |
(1) | Each person’s address is 119 East Marcy Street, Santa Fe, New Mexico 87501. | |||
(2) | The Fund is one of twelve separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. The Trust currently has twelve active Funds. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twelve funds of the Trust. Each Trustee oversees the twelve portfolios in the fund complex. | |||
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is a director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twelve active funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. | |||
(4) | Each Trustee serves in office until the election and qualification of a successor. | |||
(5) | Mr. McMahon is considered an “interested” Trustee because he is the president of Thornburg Investment Management, Inc. | |||
(6) | The Trust’s president, secretary and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. | |||
(7) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
Certified Annual Report 27
OTHER INFORMATION (UNAUDITED)
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
PORTFOLIO PROXY VOTING
The Trust has delegated to Thornburg Investment Management, Inc. (“the Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.
Commencing August 31, 2004, information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request, on the Thornburg website at www.thornburg.com and (ii) on the Securities and Exchange Commission’s website at www.sec.gov.
TAX INFORMATION
For the fiscal year ended September 30, 2004, one hundred percent of dividends paid by the Fund are tax exempt dividends for Federal Income Tax purposes. The information and distributions reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2004.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund will file with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year, commencing with the calendar quarter ending December 31, 2004. The Fund’s Forms N-Q will be available on the Commission’s website at http://www.sec.gov, or may be copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
SHAREHOLDER MEETING INFORMATION
A special meeting (the “Meeting”) of the shareholders of Thornburg Investment Trust (the “Trust”) was held on September 13, 2004 at the offices of Thornburg Investment Management, Inc., 119 East Marcy Street, Santa Fe, New Mexico 87501. Thornburg California Limited Term Municipal Fund is one of 12 active series or “Funds” of the Trust.
The shareholders of the Trust considered at the Meeting (i) the election of Trustees, and (ii) ratification of the selection of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm for the fiscal year (fiscal period commencing July 1, 2004 in the case of Thornburg California Limited Term Municipal Fund) ending September 30, 2004.
The Trustees elected at the Meeting were Garrett Thornburg, David A. Ater, David D. Chase, Eliot R. Cutler, Susan H. Dubin, Brian J. McMahon, Owen D. Van Essen and James W. Weyhrauch. Forrest S. Smith, a Trustee since 1987 did not stand for election;his term of office will continue through the end of 2004, when he will retire in accordance with the Trust’s Bylaws. The shareholders also ratified the appointment of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm.
The voting results for the matters voted on are set out for each Fund as follows:
Election of Trustees
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Garrett Thornburg | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,772,086.332 | 692,014.443 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,202,049.716 | 217,551.648 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,555.521 | 114,080.445 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,255,221.686 | 81,237.603 | – | – | ||||||||||||
Thornburg Value Fund | 64,672,758.966 | 447,696.934 | – | – | ||||||||||||
Thornburg International Value Fund | 59,954,867.369 | 1,241,990.622 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,135,097.039 | 21,483.205 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,943.082 | 122,916.941 | – | – | ||||||||||||
Total: | 345,469,631.406 | 3,282,138.627 | – | – |
28 Certified Annual Report
OTHER INFORMATION (UNAUDITED),CONTINUED
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
David A. Ater | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,797,094.826 | 667,005.949 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,898.015 | 244,703.349 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,174.575 | 74,750.866 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,356,553.614 | 118,082.352 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,645.960 | 84,813.329 | – | – | ||||||||||||
Thornburg Value Fund | 64,673,309.598 | 447,696.934 | – | – | ||||||||||||
Thornburg International Value Fund | 60,746,833.041 | 450,024.950 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,382.888 | 24,197.356 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,615.730 | 120,243.993 | – | – | ||||||||||||
Total: | 346,235,149.064 | 2,517,171.301 | – | – | ||||||||||||
David D. Chase | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,792,336.993 | 671,763.782 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,107,955.251 | 64,970.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,243,684.887 | 92,774.402 | – | – | ||||||||||||
Thornburg Value Fund | 64,693,947.421 | 446,508.479 | – | – | ||||||||||||
Thornburg International Value Fund | 60,752,533.146 | 444,324.845 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,837,095.494 | 116,764.229 | – | – | ||||||||||||
Total: | 346,310,480.812 | 2,461,288.921 | – | – | ||||||||||||
Eliot R. Cutler | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,785,534.542 | 678,566.233 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,449,458.366 | 232,489.857 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,199,536.657 | 220,064.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,111,971.636 | 60,953.805 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,350,526.614 | 124,109.352 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,250,801.917 | 85,657.372 | – | – | ||||||||||||
Thornburg Value Fund | 64,599,511.493 | 520,944.407 | – | – | ||||||||||||
Thornburg International Value Fund | 60,724,718.843 | 472,139.148 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,134,780.624 | 21,799.620 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,832,732.499 | �� | 121,127.224 | – | – | |||||||||||
Total: | 346,159,119.642 | 2,592,650.361 | – | – | ||||||||||||
Susan H. Dubin | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,874.816 | 670,225.959 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,198,659.272 | 220,942.092 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,110,371.636 | 62,553.805 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,372,811.385 | 101,824.581 | – | – |
Certified Annual Report 29
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Limited Term Income Fund | 27,249,237.865 | 87,221.424 | – | – | ||||||||||||
Thornburg Value Fund | 64,679,778.577 | 440,677.323 | – | – | ||||||||||||
Thornburg International Value Fund | 60,742,583.265 | 454,274.726 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,454.801 | 120,404.922 | – | – | ||||||||||||
Total: | 346,285,090.525 | 2,466,679.208 | – | – | ||||||||||||
Brian J. McMahon | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,795,559.677 | 668,541.098 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,205,930.716 | 213,670.648 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,104,748.707 | 68,176.734 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 102,726.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,724.960 | 84,734.329 | – | – | ||||||||||||
Thornburg Value Fund | 64,681,039.437 | 439,416.463 | – | – | ||||||||||||
Thornburg International Value Fund | 60,010,455.736 | 1,186,402.255 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,131,956.015 | 24,624.229 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,227.440 | 120,632.283 | – | – | ||||||||||||
Total: | 345,556,209.517 | 3,195,560.216 | – | – | ||||||||||||
Owen D.Van Essen | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,348.831 | 670,751.944 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,730.914 | 244,870.450 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,708.092 | 74,217.349 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,248,394.246 | 88,065.043 | – | – | ||||||||||||
Thornburg Value Fund | 64,674,135.776 | 446,320.124 | – | – | ||||||||||||
Thornburg International Value Fund | 60,684,276.889 | 512,581.102 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,962.507 | 122,897.216 | – | – | ||||||||||||
Total: | 346,178,126.548 | 2,573,643.185 | – | – | ||||||||||||
James W. Weyhrauch | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,789,717.177 | 674,383.598 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 126,726.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,254,156.818 | 82,302.471 | – | – | ||||||||||||
Thornburg Value Fund | 64,683,895.944 | 436,559.906 | – | – | ||||||||||||
Thornburg International Value Fund | 60,726,245.097 | 470,612.894 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,836,311.264 | 117,548.459 | – | – | ||||||||||||
Total: | 346,278,127.848 | 2,497,641.885 | – | – |
30 Certified Annual Report
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
Ratification of Selection of Independent Registered Public Accounting Firm
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Limited Term Municipal Fund | 89,266,423.303 | 430,123.930 | 767,553.542 | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,354,990.466 | 167,198.030 | 159,759.457 | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 27,957,900.165 | 174,857.659 | 286,893.540 | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,067,166.377 | 1,155.000 | 104,604.064 | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,911,733.415 | 6,868.306 | 9,157.121 | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,784,834.660 | 23,509.648 | 38,241.937 | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,583.780 | 33,945.016 | 80,017.170 | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,123,259.928 | 57,081.625 | 156,117.736 | – | ||||||||||||
Thornburg Value Fund | 64,569,333.454 | 212,238.433 | 338,884.013 | – | ||||||||||||
Thornburg International Value Fund | 60,444,286.231 | 343,771.766 | 408,700.994 | – | ||||||||||||
Thornburg Core Growth Fund | 6,110,013.492 | 32,603.465 | 13,963.287 | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,812,877.547 | 40,509.369 | 100,472.807 | – | ||||||||||||
Totals | 344,763,402.818 | 1,523,862.247 | 2,464,365.668 | – |
Certified Annual Report 31
Thornburg California Limited Term Municipal Fund
I Shares – September 30, 2004
Table of Contents
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This report is certified under the Sarbanes-Oxley Act of 2002,which requires that public companies,including mutual funds,affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
4 Certified annual Report
Important Information
Performance data quoted represent the past and are no guarantee of future results. Current returns may be either lower or higher than those shown. Share prices and returns will fluctuate and investors may experience a loss upon redemption. There is no guarantee that the Fund will meet its objectives. Shares in the Fund carry risks, including possible loss of principal. The principal value of a bond fund will decrease when interest rates rise.
Minimum investments for class I-shares are higher than those for other classes. Returns reflect the reinvestment of dividends and capital gains. There is no up front sales charge for this class of shares.
For the most recent month-end performance information, visit www.thornburg.com.
The information presented on the following pages was current as of September 30, 2004. The manager’s views, portfolio holdings, and sector diversification are historical and subject to change. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
Glossary
The Lehman Brothers Five-Year Municipal Bond Index – A rules-based, market-value-weighted index engineered for the long-term tax-exempt bond market.To be included in the index,bonds must have a minimum credit rating of Baa.The approximate maturity of the municipal bonds in the index is five years.Unless otherwise noted,index returns reflect the reinvestment of income dividends and capital gains,if any,but do not reflect fees,brokerage commissions or other expenses of investing.Investors may not make direct investments into any index.
Duration – The measure of the price sensitivity of a fixed-income security to an interest rate change of 100 basis points. Calculation is based on the weighted average of the present values for all cash flows.
Weighted Average Maturity – Is a weighted average of all the effective maturities of the bonds in a portfolio. Effective maturity takes into consideration mortgage prepayments,puts,calls,adjustable coupons,and other features of individual bonds and is thus a more accurate measure of interest-rate sensitivity. Longer-maturity funds are generally considered more interest-rate sensitive than their shorter counterparts.
Certified annual Report 5
Letter to Shareholders
George Strickland
Portfolio Manager
October 21, 2004
Dear Fellow Shareholder:
I am pleased to present the Annual Report for the Thornburg California Limited Term Municipal Fund. This report will cover only the three month period from June 30, 2004 to September 30, 2004 because the fiscal year-end of the Fund was recently changed from June 30 to September 30. The net asset value of the I shares increased by 14 cents to $13.03 during the three months ending September 30, 2004. If you were with us for the entire period, you received dividends of 9.4 cents per share.
Over the last three months, interest rates on bonds that mature in five to ten years have fallen more than interest rates on bonds that mature in less than five years. This has led to better performance for intermediate bonds relative to shorter-term bonds. The I shares of your Fund produced a total return of 1.81% over the last three months, compared to a 2.83% return for the Lehman Five-Year Municipal Bond Index. We believe that the index outperformed the Fund because it is generally concentrated in bonds with a longer duration than bonds held by the Fund. If long-term interest rates start to rise again, we would expect the Fund to outperform the index.
Interest rates on intermediate municipal bonds have covered a lot of ground over the last year. For example, the yield on a five-year AAA-rated municipal bond hit a low of 2.16% on March 9, 2004 before climbing to a high of 3.31% only two months later. As of September 30, 2004, that bond’s yield has fallen back down to 2.70%. (Source: Bloomberg: Municipal Market Advisors, Inc.)
Ironically, bond yields rose this past spring before the Federal Reserve started raising the targeted Fed Funds rate. Now that the Federal Reserve is pushing up short-term interest rates, the interest rates on bonds and home mortgages have been falling. In essence, the bond market is counteracting a tightening Federal Reserve by allowing corporations, governments, and individuals to borrow money at lower interest rates.
Given the abundant liquidity and relatively low yields in the bond markets today, we believe that the Federal Reserve has a significant amount of additional tightening to do before they overcome the bond market’s “give back” and achieve a neutral monetary policy. The yield curve does not appear to be pricing in this possibility today. If it does start pricing in a more aggressive Federal Reserve, we believe that bond yields will rise above current levels.
We have positioned your Fund with this outlook in mind. Your Thornburg California Limited Term Municipal Fund is a laddered portfolio of over 160 municipal obligations from all over the state. Today, your Fund’s weighted average maturity is 3.72 years. We ladder the maturity dates of the bonds in your portfolio so that some of the bonds are scheduled to mature during each of the coming years. Laddering intermediate bonds is intended to accomplish two goals. First, the staggered bond maturities contained in a ladder defuse interest-rate risk and dampen the Fund’s price volatility. Second, laddering gives the Fund a steady cash flow stream from maturing bonds which, if not needed for
6 Certified annual Report
other purposes, can be reinvested toward the top of the ladder where yields are typically higher. The laddering strategy is what differentiates this Fund from most bond mutual funds. It will be particularly useful if interest rates rise because it may allow the Fund to gradually increase the yield of the portfolio as bonds mature and get replaced with new ones. The chart on the right describes the percentages of your Fund’s bond portfolio maturing in each of the coming years.
% of portfolio | Cumulative % | |||||||||||||||||||
maturing | maturing | |||||||||||||||||||
1 year | = | 19 | % | Year 1 | = | 19 | % | |||||||||||||
1 to 2 years | = | 12 | % | Year 2 | = | 31 | % | |||||||||||||
2 to 3 years | = | 14 | % | Year 3 | = | 45 | % | |||||||||||||
3 to 4 years | = | 13 | % | Year 4 | = | 58 | % | |||||||||||||
4 to 5 years | = | 10 | % | Year 5 | = | 68 | % | |||||||||||||
5 to 6 years | = | 6 | % | Year 6 | = | 74 | % | |||||||||||||
6 to 7 years | = | 8 | % | Year 7 | = | 82 | % | |||||||||||||
7 to 8 years | = | 10 | % | Year 8 | = | 92 | % | |||||||||||||
8 to 9 years | = | 1 | % | Year 9 | = | 93 | % | |||||||||||||
Over 9 years | = | 7 | % | Over 9 years | = | 100 | % |
Percentages can and do vary. Data as of 9/30/04.
Thanks to a rebounding economy, California state tax revenue is up more than 10% over the last fiscal year. However, revenues are just now regaining the ground lost since 2001. Meanwhile, spending for Medicaid and other items continues its upward trajectory, and the state is running a $3.4 billion operating deficit. The deficit would be substantially wider without the use of deficit bond proceeds, pension obligation bonds, and loans from transportation funds and local governments. California’s reserve funds have been largely depleted and tax supported state debt levels have doubled in the last two years. We believe the state is better off financially than it was last year but still could face further fiscal problems ahead. To reduce credit risk, we have kept 97% of the portfolio in bonds rated A or above and maintained broad diversification across issuers and market sectors.
Over the years, our practice of laddering a diversified portfolio of short- and intermediate-maturity municipal bonds has allowed your Fund to perform consistently well in varying interest rate environments. Thank you for investing in Thornburg California Limited Term Municipal Fund.
Sincerely,
George Strickland
Portfolio Manager
Certified annual Report 7
STATEMENT OF ASSETS AND LIABILITIES
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
ASSETS | ||||
Investments at value (cost $173,086,479) | $ | 178,001,363 | ||
Cash | 19,721 | |||
Receivable for investments sold | 2,030,000 | |||
Receivable for fund shares sold | 1,507,168 | |||
Interest receivable | 2,241,216 | |||
Prepaid expenses and other assets | 1,728 | |||
Total Assets | 183,801,196 | |||
LIABILITIES | ||||
Payable for investments purchased | 1,109,557 | |||
Payable for fund shares redeemed | 124,346 | |||
Accounts payable and accrued expenses | 60,905 | |||
Payable to investment advisor and other affiliates (Note 3) | 121,558 | |||
Dividends payable | 127,870 | |||
Total Liabilities | 1,544,236 | |||
NET ASSETS | $ | 182,256,960 | ||
NET ASSETS CONSIST OF: | ||||
Net unrealized appreciation (depreciation) on investments | $ | 4,914,884 | ||
Accumulated net realized gain (loss) | (454,405 | ) | ||
Net capital paid in on shares of beneficial interest | 177,796,481 | |||
$ | 182,256,960 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($134,588,289 applicable to 10,338,686 shares of beneficial interest outstanding — Note 4) | $ | 13.02 | ||
Maximum sales charge, 1.50% of offering price | 0.20 | |||
Maximum Offering Price Per Share | $ | 13.22 | ||
Class C Shares: | ||||
Net asset value and offering price per share* ($21,940,676 applicable to 1,684,099 shares of beneficial interest outstanding — Note 4) | $ | 13.03 | ||
Class I Shares: | ||||
Net asset value,offering and redemption price per share ($25,727,995 applicable to 1,974,442 shares of beneficial interest outstanding — Note 4) | $ | 13.03 | ||
*Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See notes to financial statements.
8 Certified Annual Report
STATEMENTS OF OPERATIONS
Thornburg California Limited Term Municipal Fund
Three Months Ended | Year Ended | |||||||
September 30, 2004 | June 30, 2004 | |||||||
INVESTMENT INCOME: | ||||||||
Interest income (net of premium amortized of $636,631 and $2,564,506 for the period ended September 30, 2004 and year ended June 30, 2004, respectively) | $ | 1,586,403 | $ | 6,712,550 | ||||
EXPENSES: | ||||||||
Investment advisory fees (Note 3) | 225,229 | 918,297 | ||||||
Administration fees (Note 3) | ||||||||
Class A Shares | 41,622 | 174,699 | ||||||
Class C Shares | 7,007 | 28,238 | ||||||
Class I Shares | 3,072 | 10,709 | ||||||
Distribution and service fees (Note 3) | ||||||||
Class A Shares | 83,244 | 349,320 | ||||||
Class C Shares | 55,973 | 226,548 | ||||||
Transfer agent fees | ||||||||
Class A Shares | 11,680 | 44,268 | ||||||
Class C Shares | 6,038 | 20,379 | ||||||
Class I Shares | 4,698 | 20,052 | ||||||
Custodian fees (Note 3) | 24,132 | 106,583 | ||||||
Registration and filing fees | 216 | 3,389 | ||||||
Professional fees | 19,860 | 61,059 | ||||||
Accounting fees | 3,130 | 17,215 | ||||||
Trustee fees | 340 | 7,178 | ||||||
Other expenses | 14,741 | 56,999 | ||||||
Total Expenses | 500,982 | 2,044,933 | ||||||
Less: | ||||||||
Expenses reimbursed by investment advisor (Note 3) | (30,858 | ) | (116,964 | ) | ||||
Distribution and service fees waived (Note 3) | (27,987 | ) | (113,274 | ) | ||||
Fees paid indirectly (Note 3) | (332 | ) | (1,718 | ) | ||||
Net Expenses | 441,805 | 1,812,977 | ||||||
Net Investment Income | 1,144,598 | 4,899,573 | ||||||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||
Net realized gain (loss) on investments sold | (33,844 | ) | 302,064 | |||||
Increase (Decrease) in unrealized appreciation of investments | 2,023,841 | (5,077,284 | ) | |||||
Net Realized and Unrealized Gain (Loss) on Investments | 1,989,997 | (4,775,220 | ) | |||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 3,134,595 | $ | 124,353 | ||||
See notes to financial statements.
Certified Annual Report 9
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg California Limited Term Municipal Fund
Three Months Ended | Year Ended | Year Ended | ||||||||||
September 30, 2004 | June 30, 2004 | June 30, 2003 | ||||||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||||||
OPERATIONS: | ||||||||||||
Net investment income | $ | 1,144,598 | $ | 4,899,573 | $ | 4,872,973 | ||||||
Net realized gain (loss) on investments sold | (33,844 | ) | 302,064 | 57,393 | ||||||||
Increase (Decrease) in unrealized appreciation of investments | 2,023,841 | (5,077,284 | ) | 2,933,907 | ||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,134,595 | 124,353 | 7,864,273 | |||||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||||||
From net investment income | ||||||||||||
Class A Shares | (841,492 | ) | (3,715,243 | ) | (3,907,510 | ) | ||||||
Class C Shares | (127,839 | ) | (544,139 | ) | (478,583 | ) | ||||||
Class I Shares | (175,267 | ) | (640,191 | ) | (489,837 | ) | ||||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||||||
Class A Shares | 1,954,371 | (14,508,762 | ) | 31,614,924 | ||||||||
Class C Shares | (674,119 | ) | 441,058 | 6,082,493 | ||||||||
Class I Shares | 2,536,234 | 2,945,765 | 10,211,834 | |||||||||
Net Increase (Decrease) in Net Assets | 5,806,483 | (15,897,159 | ) | 50,897,594 | ||||||||
NET ASSETS: | ||||||||||||
Beginning of period | 176,450,477 | 192,347,636 | 141,450,042 | |||||||||
End of period | $ | 182,256,960 | $ | 176,450,477 | $ | 192,347,636 | ||||||
See notes to financial statements.
10 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
NOTE 1 – ORGANIZATION
Thornburg California Limited Term Municipal Fund (the “Fund”) (formerly Thornburg Limited Term Municipal Fund – California Portfolio) is a 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 eleven series of shares of beneficial interest in addition to those of the Fund: Thornburg Limited Term Municipal Fund, Thornburg Florida Intermediate Municipal Fund, Thornburg New York Intermediate Municipal Fund, Thornburg New Mexico Intermediate Municipal Fund, Thornburg Intermediate Municipal Fund, Thornburg Limited Term U.S. Government Fund, Thornburg Limited Term Income Fund, Thornburg Value Fund, Thornburg International Value Fund, Thornburg Core Growth Fund, and Thornburg Investment Income Builder Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund’s investment objective is to obtain as high a level of current income exempt from Federal income tax as is consistent, in the view of the investment advisor, with the preservation of capital. In addition, the Fund will invest primarily in Municipal Obligations originating in California with the objective of obtaining exemption of interest dividends from any income taxes imposed by California on individuals.
Reorganization: The Fund is the successor to Thornburg Limited Term Municipal Fund – California Portfolio (the “California Portfolio”) a series of Thornburg Limited Term Municipal Fund, Inc. On December 8, 2003, the Company’s Board of Directors approved an Agreement and Plan of Reorganization providing for the transfer of substantially all of the California Portfolio’s assets to the Fund, in exchange solely for voting shares of the Fund, and the distribution of those shares to the shareholders of the California Portfolio and the subsequent dissolution of the California Portfolio. The Fund was created by the Trust on December 8, 2003 to accomplish the reorganization, and until the reorganization was completed had only nominal assets. The reorganization was intended to simplify legal and regulatory compliance functions, and to reduce the costs of performing those functions. The Agreement and Plan of Reorganization was approved by the California Portfolio’s shareholders on May 21, 2004, and the reorganization was concluded on June 21, 2004. As a result, all of the California Portfolio’s assets were transferred to the Fund, and the shareholders of the California Portfolio became shareholders of the Fund. There was no change in investment objective or policies as a result of the reorganization, and the investment advisor did not change because of the reorganization. The California Portfolio is the accounting survivor, and the financial results of the Fund include the results of the California Portfolio prior to the reorganization.
The Fund currently offers three classes of shares of beneficial interest, Class A, Class C and Institutional Class (Class I) shares. Each class of shares of the Fund represents an interest in the same portfolio of investments, 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 contingent deferred sales charge upon redemption within one year, and bear both 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, the Fund may allocate among its classes certain expenses, to the extent applicable 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 Fund are limited to service and distribution fees, administrative fees, and certain registration and transfer agent expenses.
The Fund employed a fiscal year ending June 30 from the Fund’s inception through June 30, 2004, when the Trustees determined to change the Fund’s fiscal year end to September 30. In consequence, the Fund’s financial statements display information for a fiscal period commencing July 1, 2004 and ending September 30, 2004.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Fund are as follows:
Valuation of Investments: In determining the net asset value, the Fund utilizes an independent pricing service approved by the Board of 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, normally at 4:00 p.m. EST or at 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 municipal 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 Fund are reviewed by the officers of the Trust under the general supervision of the Board of Trustees. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
Federal Income Taxes: It is the policy of the Fund to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all of its taxable (if any) and tax exempt income to its shareholders. Therefore, no provision for Federal income tax is required.
Certified Annual Report 11
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with its investment objectives and not for the purpose of investment leverage or to speculate on interest rate changes. At the time the Fund makes a commitment to purchase a security for the Fund, on a when-issued basis, the Fund will record the transaction and reflect the value in determining its 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 on 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 Fund is declared daily as a dividend on shares for which the Fund has received payment. Dividends are paid monthly and are reinvested in additional shares of the Fund 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 at least annually.
General: Securities transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and discounts on securities purchased are amortized to call dates or maturity dates of the respective securities. Realized gains and losses from the sale of securities are recorded on an identified cost basis. Net investment income, other than class specific expenses, and realized and unrealized gains and losses, are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all funds are allocated among the funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
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 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.
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liability arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an Investment Advisory Agreement, Thornburg Investment Management, Inc. (the “Advisor”) serves as the investment advisor and performs services for which the fees are payable at the end of each month. For the period ended September 30, 2004, these fees were payable at annual rates ranging from .50 of 1% to .225 of 1% of the average daily net assets of the Fund. The Fund also has entered into an Administrative Services Agreement with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% of the average daily net assets attributable to each class of shares. For the year ended June 30, 2004 and the period ended September 30, 2004 the Advisor voluntarily reimbursed certain class specific expenses and administrative fees of $68,169 and $17,831, respectively, for Class A shares, $24,630 and $7,145, respectively, for Class C shares and $24,165 and $5,882, respectively, for Class I shares.
The Fund has a Distribution Agreement with Thornburg Securities Corporation (the “Distributor,” an affiliate of the advisor), which acts as the distributor of Fund shares. For the year ended June 30, 2004 and the period ended September 30, 2004 the Distributor has advised the Fund that it earned commissions aggregating $1,919 and $1,753, respectively, from the sale of Class A shares, and collected contingent deferred sales charges aggregating $3,860 and $134, respectively, from redemptions of Class C shares of the Fund.
Pursuant to a Service Plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor amounts not to exceed .25 of 1% per annum of the average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other persons for distribution of the Fund’s shares and to obtain various shareholder related services. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
The Fund also has adopted a Distribution Plan pursuant to Rule 12b-1, applicable only to the Fund’s Class C shares, under which the Fund can compensate the Distributor for services in promoting the sale of Class C shares of the Fund at an annual rate of up to .75 of 1% per annum of the average daily net assets attributable to Class C shares. Total fees incurred by each class of shares of the Fund under their respective Service and Distribution plans and Class C distribution fees waived by the Distributor for the period ended September 30, 2004 are set forth in the statement of operations. The Fund has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees have been adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the
12 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
statement of operations. For the year ended June 30, 2004 and the period ended September 30, 2004 fees paid indirectly were $1,718 and $332, respectively.
Certain officers and Trustees of the Trust are also officers and/or Directors of the Advisor and the Distributor. The compensation of independent Trustees is borne by the Trust.
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At September 30, 2004, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Three Months Ended | Year Ended | Year Ended | ||||||||||||||||||||||
September 30, 2004 | June 30, 2004 | June 30, 2003 | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||
Shares sold | 502,652 | $ | 6,531,022 | 1,775,040 | $ | 23,232,846 | 5,242,685 | $ | 68,754,114 | |||||||||||||||
Shares issued to shareholders in reinvestment of dividends | 41,636 | 541,263 | 188,208 | 2,457,459 | 199,540 | 2,620,134 | ||||||||||||||||||
Shares repurchased | (394,425 | ) | (5,117,914 | ) | (3,079,256 | ) | (40,199,067 | ) | (3,028,552 | ) | (39,759,324 | ) | ||||||||||||
Net Increase (Decrease) | 149,863 | $ | 1,954,371 | (1,116,008 | ) | $ | (14,508,762 | ) | 2,413,673 | $ | 31,614,924 | |||||||||||||
Class C Shares | ||||||||||||||||||||||||
Shares sold | 81,630 | $ | 1,061,877 | 530,253 | $ | 6,927,987 | 606,383 | $ | 7,970,447 | |||||||||||||||
Shares issued to shareholders in reinvestment of dividends | 6,991 | 90,936 | 30,099 | 393,331 | 23,883 | 313,949 | ||||||||||||||||||
Shares repurchased | (140,412 | ) | (1,826,932 | ) | (526,102 | ) | (6,880,260 | ) | (168,027 | ) | (2,201,903 | ) | ||||||||||||
Net Increase (Decrease) | (51,791 | ) | $ | (674,119 | ) | 34,250 | $ | 441,058 | 462,239 | $ | 6,082,493 | |||||||||||||
Class I Shares | ||||||||||||||||||||||||
Shares sold | 296,419 | $ | 3,855,573 | 935,797 | $ | 12,251,009 | 1,157,992 | $ | 15,228,991 | |||||||||||||||
Shares issued to shareholders in reinvestment of dividends | 11,020 | 143,387 | 38,885 | 508,066 | 29,869 | 392,681 | ||||||||||||||||||
Shares repurchased | (112,491 | ) | (1,462,726 | ) | (753,140 | ) | (9,813,310 | ) | (411,162 | ) | (5,409,838 | ) | ||||||||||||
Net Increase (Decrease) | 194,948 | $ | 2,536,234 | 221,542 | $ | 2,945,765 | 776,699 | $ | 10,211,834 | |||||||||||||||
NOTE 5 – SECURITIES TRANSACTIONS
For the period ended September 30, 2004, the Fund had purchase and sale transactions (excluding short-term securities) of $12,353,788 and $6,947,600, respectively.
NOTE 6 – INCOME TAXES
At September 30, 2004, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 173,086,479 | ||
Gross unrealized appreciation on a tax basis | $ | 5,071,411 | ||
Gross unrealized depreciation on a tax basis | (156,527 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 4,914,884 | ||
At September 30, 2004, the Fund did not have any undistributed tax-exempt/ordinary net income or undistributed capital gains.
At September 30, 2004, the Fund had tax basis capital losses, which may be carried over to offset future capital gains. To the extent such carry forwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryovers expire as follows:
2007 | $ | 205,990 | ||
2008 | 214,571 | |||
2012 | 33,844 | |||
$ | 454,405 | |||
All dividends paid by the Fund for the period ended September 30, 2004 and year ended June 30, 2004, represent exempt interest dividends, which are excludable by shareholders from gross income for Federal income tax purposes.
Certified Annual Report 13
FINANCIAL HIGHLIGHTS
Thornburg California Limited Term Municipal Fund
Three Months Ended September 30, | Year Ended June 30, | |||||||||||||||||||||||
2004 | 2004 | 2003 | 2002 | 2001 | 2000 | |||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.89 | $ | 13.22 | $ | 12.97 | $ | 12.79 | $ | 12.60 | $ | 12.75 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.09 | 0.39 | 0.42 | 0.51 | 0.59 | 0.58 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.14 | (0.33 | ) | 0.25 | 0.18 | 0.19 | (0.15 | ) | ||||||||||||||||
Total from investment operations | 0.23 | 0.06 | 0.67 | 0.69 | 0.78 | 0.43 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.09 | ) | (0.39 | ) | (0.42 | ) | (0.51 | ) | (0.59 | ) | (0.58 | ) | ||||||||||||
Change in net asset value | 0.14 | (0.33 | ) | 0.25 | 0.18 | 0.19 | (0.15 | ) | ||||||||||||||||
NET ASSET VALUE, end of period | $ | 13.03 | $ | 12.89 | $ | 13.22 | $ | 12.97 | $ | 12.79 | $ | 12.60 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | 1.81 | % | 0.46 | % | 5.27 | % | 5.48 | % | 6.28 | % | 3.50 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 2.85 | %(b) | 2.99 | % | 3.20 | % | 3.92 | % | 4.60 | % | 4.60 | % | ||||||||||||
Expenses, after expense reductions | 0.67 | %(b) | 0.67 | % | 0.65 | % | 0.66 | % | 0.65 | % | 0.65 | % | ||||||||||||
Expenses, after expense reductions and net of custody credits | 0.67 | %(b) | 0.67 | % | 0.65 | % | 0.65 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 0.77 | %(b) | 0.78 | % | 0.75 | % | 0.84 | % | 0.98 | % | 0.79 | % | ||||||||||||
Portfolio turnover rate | 4.18 | % | 23.80 | % | 26.03 | % | 25.16 | % | 15.45 | % | 21.34 | % | ||||||||||||
Net assets at end of period (000) | $ | 25,728 | $ | 22,929 | $ | 20,592 | $ | 10,133 | $ | 5,520 | $ | 5,793 |
(a) | Not annualized for periods less than one year. | |
(b) | Annualized. |
14 Certified Annual Report
SCHEDULE OF INVESTMENTS | ||
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
CUSIPS: CLASS A — 885-215-426, CLASS C — 885-215-418,CLASS I - 885-215-392
NASDAQ SYMBOLS: CLASS A — LTCAX, CLASS C — LTCCX, CLASS I — LTCIX
Principal | Credit Rating† | |||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||
$435,000 | ABAG Finance Authority, 4.75% due 10/1/2011 (California School of Mechanical Arts Project) | A3/NR | $ | 467,534 | ||||||
455,000 | ABAG Finance Authority, 4.75% due 10/1/2012 (California School of Mechanical Arts Project) | A3/NR | 487,669 | |||||||
425,000 | Alameda Certificates of Participation, 4.60% due 5/1/2011 | NR/A+ | 455,970 | |||||||
295,000 | Alum Rock Union Elementary School District General Obligation Refunding Bonds, 8.00% due 9/1/2006 (Insured: FGIC) | Aaa/AAA | 328,990 | |||||||
380,000 | Alum Rock Union Elementary School District General Obligation Refunding Bonds, 8.00% due 9/1/2007 (Insured: FGIC) | Aaa/AAA | 443,110 | |||||||
785,000 | Bay Area Government Associates Lease Series 2002, 5.00% due 7/1/2005 (Insured: AMBAC) | Aaa/AAA | 804,398 | |||||||
765,000 | Bay Area Government Associates Lease Series 2002, 4.00% due 7/1/2006 (Insured: AMBAC) | Aaa/AAA | 793,626 | |||||||
835,000 | Bay Area Government Association Rapid Transit, 4.875% due 6/15/2009 (Insured: AMBAC) | Aaa/AAA | 837,088 | |||||||
675,000 | Bear Valley Unified School District Series A, 4.00% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 688,318 | |||||||
750,000 | Bonita Unified School District Certificates of Participation Refunding, 4.50% due 5/1/2009 (Insured: MBIA) | Aaa/AAA | 808,657 | |||||||
700,000 | Bonita Unified School District Certificates of Participation Refunding, 4.50% due 5/1/2010 (Insured: MBIA) | Aaa/AAA | 753,620 | |||||||
160,000 | California Educational Facilities Authority Revenue, 6.10% due 6/1/2008 (Keck Graduate Institute Project) | Baa3/NR | 176,760 | |||||||
170,000 | California Educational Facilities Authority Revenue, 6.10% due 6/1/2009 (Keck Graduate Institute Project) | Baa3/NR | 189,927 | |||||||
1,235,000 | California Health Facilities Financing, 5.50% due 10/1/2006 (Sisters of Providence Project) | Aa3/AA | 1,317,930 | |||||||
2,000,000 | California Health Facilities Financing Authority Revenue Series B Refunding, 5.25% due 10/1/2013 (Kaiser Permanente Project) (ETM)* | A3/AAA | 2,214,260 | |||||||
700,000 | California Health Facilities Financing Revenue, 6.40% due 10/1/2005 (Sisters of Providence Project) | Aa3/AA | 702,485 | |||||||
880,000 | California Housing Finance Agency Revenue Multi Family Housing Series D, 1.80% due 2/1/2031 put 10/1/2004 (daily demand notes) | VMIG1/A1+ | 880,000 | |||||||
670,000 | California Housing Finance Authority Revenue Series 1985-B, 9.875% due 2/1/2017 | Aa2/AA- | 707,956 | |||||||
1,000,000 | California Infrastructure & Economic Development Bank Revenue, 5.00% due 7/1/2010 (Bay Area Toll Bridges Project;Insured:FSA) | Aaa/AAA | 1,108,810 | |||||||
500,000 | California Mobile Home Park Financing Series A, 4.75% due 11/15/2010 (Rancho Vallecitos Project;Insured: ACA) | NR/A | 525,800 | |||||||
570,000 | California Mobile Home Park Financing Series A, 5.00% due 11/15/2013 (Rancho Vallecitos Project;Insured: ACA) | NR/A | 598,289 | |||||||
300,000 | California Pollution Control Financing Authority Series A, 5.90% due 6/1/2014 (San Diego Gas & Electric Project) | �� | A2/A- | 319,272 | ||||||
2,650,000 | California Pollution Control Solid Waste Authority, 6.75% due 7/1/2011 (ETM)* | Aaa/NR | 2,933,179 | |||||||
1,500,000 | California Pollution Control Solid Waste Authority Series B, 4.45% due 7/1/2027 put 7/1/2005 Waste Management Inc.Project) | NR/BBB | 1,519,260 | |||||||
75,000 | California Rural HMFA Single Family Mortgage Revenue, 5.25% due 6/1/2010 (Collateralized: GNMA/FNMA) | NR/AAA | 75,302 | |||||||
30,000 | California Rural HMFA Single Family Mortgage Revenue, 5.65% due 6/1/2010 (Collateralized: GNMA/FNMA) | NR/AAA | 30,534 | |||||||
500,000 | California State, 6.40% due 2/1/2006 (Insured: MBIA) | Aaa/AAA | 530,295 | |||||||
1,005,000 | California State, 7.00% due 8/1/2006 (Insured: FGIC) | Aaa/AAA | 1,097,982 | |||||||
2,000,000 | California State, 7.50% due 10/1/2007 (Insured: MBIA) | Aaa/AAA | 2,310,800 | |||||||
560,000 | California State, 6.60% due 2/1/2010 (Insured: MBIA) | Aaa/AAA | 659,602 | |||||||
1,250,000 | California State,6.50% due 9/1/2010 (Insured: AMBAC) | Aaa/AAA | 1,482,650 | |||||||
230,000 | California State, 5.50% due 3/1/2012 (Insured: FGIC) | Aaa/AAA | 235,660 | |||||||
2,000,000 | California State Department of Water Resources Power Series A, 5.50% due 5/1/2011 (Insured: MBIA) | Aaa/AAA | 2,271,540 | |||||||
1,470,000 | California State Department of Water Resources Power Supply Revenue Series A, 5.50% due 5/1/2005 | A2/BBB+ | 1,501,135 | |||||||
2,580,000 | California State Department of Water Resources Power Supply Series A, 5.50% due 5/1/2008 | A2/BBB+ | 2,837,974 | |||||||
800,000 | California State Department of Water Resources Power Supply Series A, 5.25% due 5/1/2009 (Insured: MBIA) | Aaa/AAA | 887,936 | |||||||
500,000 | California State Department of Water Resources Series B-2, 1.80% due 5/1/2022 put 10/1/2004 (LOC: BNP Paribus) (daily demand notes) | VMIG1/A1+ | 500,000 | |||||||
1,000,000 | California State Economic Recovery Series A, 5.00% due 1/1/2008 | Aa3/AA- | 1,084,770 | |||||||
800,000 | California State Economic Recovery Series C-1, 1.80% due 7/1/2023 put 10/1/2004 (Guaranty: Landesbank) (daily demand notes) | VMIG1/A1+ | 800,000 |
Certified Annual Report 15
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||
$530,000 | California State Public Works Board Lease Revenue, 5.50% due 6/1/2010 (Various Universities Project) | Aa2/A+ | $ | 589,726 | ||||||
2,000,000 | California State Public Works Board Lease Revenue Series A, 5.25% due 1/1/2007 (Insured: AMBAC) | Aaa/AAA | 2,120,260 | |||||||
1,000,000 | California State Refunding, 5.75% due 10/1/2010 (Insured: FSA) | Aaa/AAA | 1,149,450 | |||||||
800,000 | California State Series A-3, 1.73% due 5/1/2033 put 10/1/2004 (daily demand notes) | VMIG1/A1+ | 800,000 | |||||||
1,000,000 | California State Veterans Bonds, 9.50% due 2/1/2010 (Insured: MBIA) | Aaa/AAA | 1,316,500 | |||||||
1,000,000 | California Statewide Community Development Authority, 5.00% due 7/1/2005 (Insured: FSA) | Aaa/AAA | 1,024,550 | |||||||
560,000 | California Statewide Community Development Authority Certificates of Participation, 5.25% due 7/1/2010 (St Joseph Health Systems Project) | Aa3/AA- | 600,298 | |||||||
595,000 | California Statewide Community Development Authority Revenue, 5.125% due 6/1/2008 (Louisiana Orthopedic Hospital Foundation Project; Insured: AMBAC) | Aaa/AAA | 643,742 | |||||||
935,000 | California Statewide Community Development Authority Revenue Certificates of Participation, 6.50% due 8/1/2012 (Cedars Sinai Center Hospital Project; Insured: MBIA) | Aaa/AAA | 1,059,458 | |||||||
1,110,000 | California Statewide Community Development Authority Revenue Series B, 5.00% due 6/1/2008 (Hospital Monterey Peninsula Project; Insured: FSA) | Aaa/AAA | 1,214,562 | |||||||
1,180,000 | California Statewide Community Development Authority Revenue Series B, 5.00% due 6/1/2009 (Hospital Monterey Peninsula Project; Insured: FSA) | Aaa/AAA | 1,298,602 | |||||||
1,000,000 | California Statewide Community Development Authority Series 1996-A, 6.00% due 9/1/2005 (San Gabriel Medical Center Project; Insured: California Health) (ETM)* | NR/NR | 1,038,200 | |||||||
1,000,000 | California Statewide Community Development Authority Solid Waste Revenue, 2.90% due 4/1/2011 put 4/1/2007 (Waste Management Inc. Project) | NR/BBB | 992,600 | |||||||
2,000,000 | California Statewide Community Development Series E, 4.70% due 11/1/2036 put 6/1/2009 (Kaiser Permanente Project) | A3/A-1 | 2,141,380 | |||||||
920,000 | Capistrano Unified School District 92-1 Community Facilities District Special Tax, 7.10% due 9/1/2021 pre-refunded 9/1/2007 | NR/NR | 1,047,365 | |||||||
1,000,000 | Castaic Lake Water Agency Certificates of Participation Refunding Series A, 7.25% due 8/1/2007 (Water Systems Improvement Project; Insured: MBIA) | Aaa/AAA | 1,139,490 | |||||||
100,000 | Castaic Lake Water Agency Refunding Water Systems Improvement Project Series A, 7.25% due 8/1/2009 (Insured: MBIA) | Aaa/AAA | 119,981 | |||||||
780,000 | Central Union High School District Imperial County Refunding, 5.00% due 8/1/2011 (Insured: FGIC) | Aaa/AAA | 868,351 | |||||||
830,000 | Central Union High School District Imperial County Refunding, 5.00% due 8/1/2012 (Insured: FGIC) | Aaa/AAA | 925,906 | |||||||
955,000 | Central Valley Financing Authority Revenue, 6.00% due 7/1/2009 (Carson Ice Project) | NR/BBB | 983,650 | |||||||
205,000 | Central Valley School Districts Financing Authority, 0% due 2/1/2007 (Insured: MBIA) | Aaa/AAA | 193,977 | |||||||
800,000 | Coachella Valley California Unified School District Certificates of Participation Refunding, 5.00% due 9/1/2012 (Insured: MBIA) | Aaa/AAA | 887,784 | |||||||
2,320,000 | Desert Sands Unified School District Series F, 4.00% due 3/1/2006 (Measure O Project; Insured: MBIA) | Aaa/AAA | 2,391,850 | |||||||
500,000 | East Side Union High School District Santa Clara County Series B, 6.625% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 521,200 | |||||||
700,000 | East Side Union High School District Santa Clara County Series B, 6.625% due 8/1/2006 (Insured: MBIA) | Aaa/AAA | 761,201 | |||||||
840,000 | East Side Union High School District Santa Clara County Series B, 6.625% due 8/1/2007 (Insured: MBIA) | Aaa/AAA | 947,386 | |||||||
2,730,000 | El Monte Certificates of Participation Senior Department Public Services Facility Phase II, 5.00% due 1/1/2009 (Insured: AMBAC) | Aaa/AAA | 2,989,759 | |||||||
2,295,000 | Emeryville Public Financing Authority Revenue Series A, 5.00% due 9/1/2012 (Emeryville Redevelopment Project; Insured: AMBAC) | Aaa/AAA | 2,562,023 | |||||||
500,000 | Escondido Joint Powers Financing Authority Lease Revenue Refunding, 0% due 9/1/2013 (California Center For The Arts Project; Insured: AMBAC) | Aaa/AAA | 298,630 | |||||||
3,015,000 | Escondido Multi Family Housing Revenue Refunding Bond Series 1997-A, 5.40% due 1/1/2027 put 7/1/2007 (Terrace Gardens Project; Collateralized: FNMA) | NR/AAA | 3,125,228 | |||||||
2,000,000 | Folsom Cordova Unified School District School Facilities Improvement District-2 Series A, 4.50% due 10/1/2004 (Insured: MBIA) | Aaa/AAA | 2,000,160 | |||||||
400,000 | Fresno County Housing Authority Multi Family Revenue Refunding Series A, 4.90% due 11/1/2027 mandatory put 11/1/2007 (Housing Creek Park Apartments Project; Collateralized: FNMA) | NR/AAA | 417,408 | |||||||
575,000 | Hawaiian Gardens Redevelopment Agency Refunding, 5.50% due 12/1/2008 | NR/BBB+ | 627,452 | |||||||
1,000,000 | Imperial Irrigation District California Certificates of Participation, 6.50% due 11/1/2007 (Electric Systems Project; Insured: MBIA) | Aaa/AAA | 1,108,440 | |||||||
1,000,000 | Irwindale Community Redevelopment Agency, 6.60% due 8/1/2018 pre-refunded 8/1/2005 | Baa3/NR | 1,058,070 |
16 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||
$295,000 | Julian Union High School District, 4.875% due 11/1/2005 (Insured: MBIA) | Aaa/AAA | $ | 301,670 | ||||||
165,000 | Kern High School District, 7.00% due 8/1/2010 (ETM)* | A1/NR | 200,874 | |||||||
500,000 | Kern High School District Refunding Series A, 6.30% due 8/1/2011 (Insured: MBIA) | Aaa/AAA | 588,960 | |||||||
680,000 | Kern High School District Series B, 9.00% due 8/1/2006 (ETM)* | Aaa/AAA | 767,570 | |||||||
1,400,000 | Los Angeles Certificates of Participation, 5.00% due 2/1/2012 (Insured: MBIA) | Aaa/AAA | 1,545,922 | |||||||
835,000 | Los Angeles Community Redevelopment Agency, 5.00% due 7/1/2009 (Cinerama Dome Public Parking Project; Insured: ACA) | NR/A | 887,855 | |||||||
435,000 | Los Angeles Community Redevelopment Agency, 5.75% due 7/1/2010 | |||||||||
(Cinerama Dome Public Parking Project; Insured: ACA) | NR/A | 478,909 | ||||||||
5,000 | Los Angeles Convention & Exhibition Center, 9.00% due 12/1/2020 pre-refunded 12/1/2005 | Aaa/AAA | 5,425 | |||||||
275,000 | Los Angeles Convention & Exhibition Center Authority Certificates Refunding, 0% due 8/15/2005 | |||||||||
(Insured: AMBAC) | Aaa/AAA | 270,842 | ||||||||
2,000,000 | Los Angeles County Capital Asset, 5.00% due 4/1/2008 (Insured: AMBAC) | Aaa/AAA | 2,183,560 | |||||||
1,730,000 | Los Angeles County Capital Asset Leasing Corp.Lease Revenue Series A, 3.00% due 6/1/2005 | A3/A | 1,743,650 | |||||||
1,700,000 | Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue, 9.00% due 7/1/2007 | |||||||||
(Insured: MBIA) | Aaa/AAA | 2,011,559 | ||||||||
700,000 | Los Angeles Department Airport Revenue Refunding Series A, 5.50% due 5/15/2010 Pre-refunded | |||||||||
5/15/05 @ 101(Insured: FGIC) | Aaa/AAA | 724,318 | ||||||||
1,000,000 | Los Angeles Department of Water & Power Revenue Refunding Series A Subseries A-1, 5.00% | |||||||||
due 7/1/2008 (Power Systems Project) | Aaa/AAA | 1,098,400 | ||||||||
3,000,000 | Los Angeles Department of Water & Power Revenue Series A, 5.25% due 7/1/2011 (Insured: MBIA) | Aaa/AAA | 3,382,320 | |||||||
1,940,000 | Los Angeles Multi Family Revenue, 5.85% due 12/1/2027 put 12/01/2007 (Collateralized: FNMA) | NR/AAA | 2,033,450 | |||||||
1,590,000 | Los Angeles Regional Airport Lease Refunding, 5.25% due 1/1/2009 (Insured: AMBAC) | |||||||||
(Facilities Laxfuel Corp. LA International Project) | Aaa/AAA | 1,708,741 | ||||||||
2,500,000 | Los Angeles Unified School District Series E, 5.50% due 7/1/2012 (Insured: MBIA) | Aaa/AAA | 2,869,700 | |||||||
1,750,000 | Metropolitan Water District Southern California Waterworks Revenue Series C-1, 1.80% due 7/1/2036 put 10/1/2004 (daily demand notes) | VMIG1/A1+ | 1,750,000 | |||||||
1,205,000 | Moorpark Mobile Home Park Revenue Series A, 5.80% due 5/15/2010 | |||||||||
(Villa Delaware Arroyo Project; Insured: ACA) | NR/A | 1,258,177 | ||||||||
1,400,000 | New Haven Unified School District Refunding, 12.00% due 8/1/2006 (Insured: FSA) | Aaa/AAA | 1,649,662 | |||||||
1,000,000 | New Haven Unified School District Refunding, 12.00% due 8/1/2008 (Insured: FSA) | Aaa/AAA | 1,342,880 | |||||||
360,000 | Northern California Power Agency Public Power Revenue, 5.65% due 7/1/2007 | |||||||||
(Geothermal Project 3-A) (ETM)* | Baa2/BBB+ | 395,521 | ||||||||
340,000 | Northern California Power Agency Public Power Revenue, 5.65% due 7/1/2007 | Baa2/BBB+ | 368,285 | |||||||
50,000 | Oakland Redevelopment Agency, 7.40% due 5/1/2007 (Insured: AMBAC) | Aaa/AAA | 50,237 | |||||||
1,705,000 | Ontario Montclair School District Certificates of Participation Refunding, 3.80% | |||||||||
due 9/1/2028 put 8/31/2007 (School Facility Bridge Funding Project; Insured: FSA) | VMIG1/A-1 | 1,707,148 | ||||||||
1,000,000 | Orange County Airport Revenue Bond, 6.00% due 7/1/2007 (Insured: MBIA) | Aaa/AAA | 1,093,340 | |||||||
510,000 | Orange County Local Transportation Authority Sales Tax Revenue, 6.00% due 2/15/2006 | Aa2/AA+ | 538,983 | |||||||
600,000 | Orange County Recovery Certificates of Participation Series A, 6.00% due 7/1/2006 (Insured: MBIA) | Aaa/AAA | 643,158 | |||||||
2,000,000 | Orange County Refunding Recovery, 6.50% due 6/1/2005 (Insured: MBIA) | Aaa/AAA | 2,063,880 | |||||||
400,000 | Orange County Various Sanitation Districts Certificates of Participation Refunding Series B, 1.73% | |||||||||
due 8/1/2030 put 10/1/2004 (LOC: Dexia Public Finance Bank) (daily demand notes) | VMIG1/A1+ | 400,000 | ||||||||
1,000,000 | Piedmont Unified School District Series B, 0% due 8/1/2013 pre-refunded 8/1/2007 | Aa3/NR | 649,840 | |||||||
3,350,000 | Pittsburg California Redevelopment Agency Tax Allocation Refunding, 5.25% due 8/1/2012 | |||||||||
(Los Medanos Community Development Project A; Insured: MBIA) | Aaa/AAA | 3,777,225 | ||||||||
1,000,000 | Pleasanton Unified School District Series B, 0% due 8/1/2016 pre-refunded 8/1/2005 @ 54.674 | |||||||||
(Insured: MBIA) | Aaa/AAA | 539,150 | ||||||||
580,000 | Pomona Unified School District General Obligation, 5.35% due 2/1/2005 (Insured: MBIA) | Aaa/AAA | 587,227 | |||||||
340,000 | Pomona Unified School District General Obligation, 5.40% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 350,615 | |||||||
320,000 | Pomona Unified School District Refunding Series A, 6.10% due 2/1/2010 (Insured: MBIA) | Aaa/AAA | 369,450 | |||||||
295,000 | Porterville Certificates of Participation, 6.10% due 10/1/2005 | |||||||||
(Water Systems Refunding Project; Insured: AMBAC) | Aaa/AAA | 307,744 | ||||||||
1,000,000 | Puerto Rico Commonwealth Highway & Transportation Authority, 5.50% due 7/1/2009 (Insured: FSA) | Aaa/AAA | 1,124,060 |
Certified Annual Report 17
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||
Amount | Issuer-Description | Moody’ s/S& P | Value | |||||||
$1,000,000 | Puerto Rico Commonwealth Highway & Transportation Authority Highway Revenue Refunding Series A, 5.00% due 7/1/2008 (Insured: FGIC) | Aaa/AAA | $ | 1,095,750 | ||||||
3,300,000 | Puerto Rico Commonwealth Refunding Series B, 0.95% due 7/1/2029 put 10/1/2004 (Insured: FGIC) (daily demand notes) | Aaa/AAA | 3,300,000 | |||||||
600,000 | Puerto Rico Municipal Finance Agency Series A, 6.00% due 7/1/2011 (Insured: FSA) | Aaa/AAA | 705,648 | |||||||
1,000,000 | Rancho Santiago Community College District Series A, 4.00% due 9/1/2005 (Insured: MBIA) | Aaa/AAA | 1,021,650 | |||||||
500,000 | Richmond Joint Powers Financing Authority Revenue Series A, 5.20% due 5/15/2005 | NR/NR | 503,490 | |||||||
500,000 | Sacramento County Sanitation District Financing Authority Revenue, 4.80% due 12/1/2004 (ETM)* | Aaa/AA | 502,810 | |||||||
560,000 | Sacramento County Sanitation District Financing Authority Revenue Series A, 5.75% due 12/1/2009 | Aa3/AA | 638,764 | |||||||
330,000 | Sacramento Municipal Utility District Electric Revenue Refunding Series C, 5.75% due 11/15/2007 (Insured: MBIA) (ETM)* | Aaa/AAA | 331,492 | |||||||
1,450,000 | Salinas Redevelopment Agency Tax Allocation Series A, 0% due 11/1/2022 (Insured: FSA) | Aaa/AAA | 550,551 | |||||||
3,000,000 | San Bernardino County Multi Family Housing Revenue Refunding Series A, 4.75% due 12/15/2031 put 12/15/2011 (Collateralized: FNMA) | Aaa/NR | 3,223,890 | |||||||
190,000 | San Bernardino County Special Taxes Community Facilities District 2002-1, 5.10% due 9/1/2011 | NR/NR | 200,135 | |||||||
205,000 | San Bernardino County Special Taxes Community Facilities District 2002-1, 5.20% due 9/1/2012 | NR/NR | 215,719 | |||||||
300,000 | San Bernardino County Special Taxes Community Facilities District 2002-1, 5.30% due 9/1/2013 | NR/NR | 315,816 | |||||||
175,000 | San Bernardino County Transportation Authority Sales Tax Revenue Series A, 6.00% due 3/1/2010 (Insured: FGIC) (ETM)* | Aaa/AAA | 195,183 | |||||||
430,000 | San Diego Public Facilities Financing Authority Lease Revenue, 7.00% due 4/1/2005 (Insured: MBIA) | Aaa/AAA | 441,275 | |||||||
455,000 | San Diego Public Facilities Financing Authority Lease Revenue, 7.00% due 4/1/2006 (Insured: MBIA) | Aaa/AAA | 489,571 | |||||||
425,000 | San Diego Public Facilities Financing Authority Lease Revenue, 7.00% due 4/1/2007 (Insured: MBIA) | Aaa/AAA | 475,626 | |||||||
1,400,000 | San Francisco Bay Area Transit Bridge Toll Notes, 5.625% due 8/1/2006 (Insured: ACA) | NR/A | 1,481,620 | |||||||
1,000,000 | San Francisco Bay Area Transit Financing Authority Bridge Toll Notes, 5.50% due 8/1/2005 (Insured: ACA) | NR/A | 1,028,530 | |||||||
1,100,000 | San Francisco International Airport Revenue Series Issue 13B, 8.00% due 5/1/2007 (Insured: MBIA) | Aaa/AAA | 1,204,302 | |||||||
2,400,000 | San Joaquin Hills Transportation Corridor Agency Toll Road Revenue Refunding Series A, 0% due 1/15/2005 (Insured: MBIA) | Aaa/AAA | 2,388,024 | |||||||
2,200,000 | San Jose Evergreen Community College District Series C, 0% due 9/1/2011 (Insured: AMBAC) | Aaa/AAA | 1,699,148 | |||||||
2,700,000 | San Jose Financing Authority Lease Revenue Series D, 5.00% due 6/1/2039 mandatory put 6/1/2006 (Civic Center Project; Insured: AMBAC) | Aaa/AAA | 2,838,888 | |||||||
1,900,000 | San Marcos Public Facilities Authority Revenue Community Facilities District 88-1, 0% due 3/1/2008 (ETM)* | Aaa/NR | 1,743,478 | |||||||
1,250,000 | Santa Clara County Financing Authority, 5.00% due 8/1/2005 (Measure B Transportation Improvement Program) | A2/NR | 1,280,350 | |||||||
1,000,000 | Santa Clara County Financing Authority Special Obligation Measure B, 4.00% due 8/1/2006 (Transportation Improvement Program Project) | A2/NR | 1,032,190 | |||||||
1,000,000 | Santa Clara Valley Transportation Authority Sales Tax Revenue Measure A, 4.00% due 4/1/2036 put 10/2/2006 (Insured: AMBAC) | Aaa/AAA | 1,041,130 | |||||||
3,410,000 | Santa Clara Valley Transportation Authority Sales Tax Revenue Measure A, 5.50% due 4/1/2036 put 10/2/2006 (Insured: AMBAC) | Aaa/AAA | 3,650,439 | |||||||
610,000 | Santa Cruz County Certificates Refunding, 4.00% due 8/1/2005 | A3/NR | 620,193 | |||||||
575,000 | Seal Beach Redevelopment Agency Mobile Home Park Revenue Series A, 5.20% due 12/15/2013 (Insured: ACA) | NR/A | 612,260 | |||||||
1,435,000 | South Orange County Public Finance Authority Special Tax Revenue, 7.00% due 9/1/2005 (Insured: MBIA) | Aaa/AAA | 1,503,162 | |||||||
1,500,000 | South Orange County Public Financing Authority Special Tax Revenue Series C, 8.00% due 8/15/2008 (Foothill Area Project; Insured: FGIC) | Aaa/AAA | 1,806,270 | |||||||
1,060,000 | Southeast Resources Recovery Facilities Authority Lease Revenue Refunding Series B, 5.375% due 12/1/2013 (Insured: AMBAC) | Aaa/AAA | 1,167,908 | |||||||
350,000 | Southern California Revenue, 5.15% due 7/1/2015 (Public Power Project; Insured: AMBAC) | Aaa/AAA | 390,712 | |||||||
250,000 | Southern California Revenue, 5.15% due 7/1/2015 (Public Power Project; Insured: AMBAC) | Aaa/AAA | 279,080 | |||||||
1,000,000 | Southern California Revenue Refunding San Juan Unit 3 Series A, 4.00% due 1/1/2005 (Public Power Project; Insured: FSA) | Aaa/AAA | 1,005,820 | |||||||
3,250,000 | Stanton Multi Family Housing Revenue Bond Series 1997, 5.625% due 8/1/2029 put 8/1/2009 (Continental Gardens Project; Collateralized: FNMA) | NR/AAA | 3,478,572 | |||||||
1,000,000 | Tri City Hospital District Revenue Refunding Series B, 6.00% due 2/15/2006 (Insured: MBIA) | Aaa/AAA | 1,056,830 |
18 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||
$2,380,000 | Ukiah Unified School District Certificates of Participation, 4.00% due 9/1/2006 (Insured: MBIA) | Aaa/AAA | $ | 2,476,033 | ||||||
1,000,000 | Ukiah Unified School District Certificates of Participation, 5.00% due 9/1/2008 (Insured: MBIA) | Aaa/AAA | 1,098,100 | |||||||
500,000 | Ventura County Community College Series A, 5.00% due 8/1/2012 (Insured: MBIA) | Aaa/AAA | 557,775 | |||||||
115,000 | Ventura Unified School District Series F, 6.75% due 8/1/2005 (Insured: FSA) | Aaa/AAA | 119,824 | |||||||
455,000 | Victorville Redevelopment Agency Tax Allocation Bear Road Special Escrow Fund A, 5.00% due 12/1/2014 (Insured: FSA) | Aaa/AAA | 471,239 | |||||||
800,000 | Walnut Valley Unified School District, 9.00% due 8/1/2006 (ETM)* | Aaa/AAA | 903,024 | |||||||
1,000,000 | Walnut Valley Unified School District, 8.75% due 8/1/2010 (ETM)* | Aaa/AAA | 1,312,070 | |||||||
245,000 | Walnut Valley Unified School District Series A, 6.70% due 8/1/2005 (Insured : MBIA) | Aaa/AAA | 255,177 | |||||||
250,000 | Walnut Valley Unified School District Series A, 6.80% due 2/1/2007 (Insured: MBIA) | Aaa/AAA | 277,308 | |||||||
250,000 | Walnut Valley Unified School District Series A, 6.90% due 2/1/2008 (Insured: MBIA) | Aaa/AAA | 287,567 | |||||||
100,000 | Walnut Valley Unified School District Series A, 7.00% due 8/1/2008 (Insured: MBIA) | Aaa/AAA | 117,010 | |||||||
450,000 | Washington Township Health Care District Revenue, 5.00% due 7/1/2009 | A2/NR | 483,579 | |||||||
570,000 | West Contra Costa Unified School District Series A, 6.50% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 592,686 | |||||||
595,000 | West Contra Costa Unified School District Series A, 7.00% due 8/1/2006 (Insured: MBIA) | Aaa/AAA | 650,276 | |||||||
655,000 | West Contra Costa Unified School District Series A, 7.00% due 8/1/2008 (Insured: MBIA) | Aaa/AAA | 766,415 | |||||||
1,000,000 | Whittier Solid Waste Revenue Refunding Series A, 5.375% due 8/1/2014 (Insured: AMBAC) | Aaa/AAA | 1,012,970 | |||||||
TOTAL INVESTMENTS (Cost $173,086,479) | $ | 178,001,363 | ||||||||
† | Credit ratings are unaudited. | |||
* | Escrowed to maturity. | |||
See notes to financial statements. |
CREDIT RATING†
Certified Annual Report 19
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg California Limited Term Municipal Fund
To the Trustees and Class I Shareholders of Thornburg California Limited Term Municipal Fund |
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg California Limited Term Municipal Fund (formerly Thornburg Limited Term Municipal Fund — California Portfolio) a series of Thornburg Investment Trust (the “Fund”) at September 30, 2004, the results of its operations for the three months ended September 30, 2004, and the year ended June 30, 2004, the changes in its net assets for the three months ended September 30, 2004 and the years ended June 30, 2004 and 2003 and the financial highlights for the Class I shares for each of the periods presented, 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 Fund’s 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 the standards of the Public Company Accounting Oversight Board (United States). Those standards 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, 2004 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. |
PricewaterhouseCoopers LLP |
New York, New York November 9, 2004 |
20 Certified Annual Report
EXPENSE EXAMPLE | ||
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
As a shareholder of the Fund, you incur ongoing costs, including management and administration fees and other Fund expenses.
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested on April 01, 2004 and held until September 30, 2004.
Actual Expenses
The first line of the table at right provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table at right provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses Paid | ||||||||||
Account Value | Account Value | During Period† | ||||||||||
4/01/04 | 9/30/04 | 4/1/04–9/30/04 | ||||||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000 | $ | 1,004.10 | $ | 3.35 | ||||||
Hypothetical* | $ | 1,000 | $ | 1,021.66 | $ | 3.38 |
†Expenses are equal to the annualized expense ratio for Class I shares (0.67%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period.
*Hypothetical assumes a rate of return of 5% per year before expenses.
Certified Annual Report 21
INDEX COMPARISON | ||
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg California Limited Term Municipal Fund Class I Total Returns versus Lehman
Brothers Five-Year Municipal Bond Index and Consumer Price Index
(April 1, 1997 to September 30, 2004)
AVERAGE ANNUAL TOTAL RETURNS
For the periods ended September 30, 2004
Since | ||||||||||||||||
1 Yr | 5 Yrs | 10 Yrs | Inception | |||||||||||||
I Shares (Incep: 4/1/97) | 1.84 | % | 4.38 | % | N/A | 4.54 | % | |||||||||
FUND ATTRIBUTES
as of September 30, 2004
Annualized | SEC | Maximum | ||||||||||||||
Dist. Rate (NAV) | Yield | NAV | Offering Price | |||||||||||||
I Shares (Incep: 4/1/97) | 2.91 | % | 2.03 | % | $ | 13.03 | $ | 13.03 | ||||||||
Performance data reflect past performance, which is no guarantee of future results. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares.
Returns reflect the reinvestment of dividends and capital gains. There is no up front sales charge for this class of shares.
The Consumer Price Index (“CPI”) measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. The CPI is also known as the cost-of-living index.
The Lehman Brothers Five-Year Municipal Bond Index is a rules-based, market-value-weighted index engineered for the long-term tax-exempt bond market. To be included in the index, bonds must have a minimum credit rating of Baa. The approximate maturity of the municipal bonds in the index is five years.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
The SEC Yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Fund’s shares at the end of the period.
The distribution rate is calculated by taking the sum of the month’s total distribution factors and dividing this sum by a 30-day period and annualizing to 360-day year. The value is then divided by the ending Net Asset Value (NAV) to arrive at the annualized distribution yield. The yield is calculated on a periodic basis and is subject to change depending on the Fund’s NAV and current distributions.
22 Certified Annual Report
TRUSTEES AND OFFICERS | ||
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
INTERESTED TRUSTEES(2)(4) | ||||
Garrett Thornburg, 58 Chairman of Trustees Trustee since 1987(3) | CEO, Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor) and Thornburg Securities Corporation (securities dealer); Chairman of Thornburg Limited Term Municipal Fund, Inc. (registered investment company) to 2004; CEO and Chairman of Thornburg Mortgage, Inc. (real estate investment trust); Chairman of Thornburg Mortgage Advisory Corporation (investment manager to Thornburg Mortgage, Inc.). | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Brian J. McMahon, 48 Trustee since 2001 President since 1997(5)(6) | President and Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | None | ||
INDEPENDENT TRUSTEES(2)(4) | ||||
David A. Ater, 59 Trustee since 1994 | Principal in Ater & Ater Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner developer and broker for various real estate projects. | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
David D. Chase, 63 Trustee since 2000 | Chairman, President, CEO, and General Partner of Vestor Partners, LP, Santa Fe, NM (private equity fund); Chairman and CEO of Vestor Holdings, Inc., Santa Fe, NM (merchant bank). | Director of Thornburg Limited Term Municipal Fund, Inc. 2001–2004 | ||
Eliot R. Cutler, 58 Trustee since 2004 | Partner, Akin, Gump, Strauss, Hauer & Feld, LLP, Washington, D.C. (law firm) since November 2000; partner, Cutler & Stanfield, Washington, D.C. (law firm) until November 2000. | Director of Thornburg Limited Term Municipal Fund, Inc. to 2004; director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Susan H. Dubin, 55 Trustee since 2004 | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations; and formerly, Vice President of Chemical Bank (predecessor to JP Morgan Chase & Co.), New York, 1974–1996. | None | ||
Forrest S. Smith, 74 Trustee since 1987 | Trust and estate attorney, of counsel to Catron, Catron & Pottow, Santa Fe, NM (law firm). | None | ||
Owen D. Van Essen, 50 Trustee since 2004 | President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 45 Trustee since 1996 | Executive Vice President and Director to 2002, and since 2002; CEO and Vice Chairman, Nambé Mills, Inc., Santa Fe, NM (manufacturer). | None |
Certified Annual Report 23
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
Name, Age,(1) | ||||||||
Position Held with Fund(2) | Other Directorships | |||||||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||||||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(6)(7) | ||||||||
Dawn B. Fischer, 57 Secretary since 1987 | Secretary and Managing Director, Thornburg Investment Management, Inc.; Secretary, Thornburg Limited Term Municipal Fund, Inc. to 2004; Secretary, Thornburg Securities Corporation; Vice President, Daily Tax Free Income Fund, Inc. (registered investment company). | Not applicable | ||||||
Steven J. Bohlin, 45 Vice President, since 1987; Treasurer since 1989 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||||||
George T. Strickland, 41 Vice President since 1996 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President (and Treasurer since 2003) of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||||||
William V. Fries, 65 Vice President since 1995 | Vice President and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||||||
Leigh Moiola, 37 Vice President since 2001 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2004. | Not applicable | ||||||
Kenneth Ziesenheim, 50 Vice President since 1995 | Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Securities Corporation; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||||||
Alexander Motola, 34 Vice President since 2001 | Managing Director of Thornburg Investment Management, Inc. since 2000; Portfolio Manager, Insight Capital Research & Management, Inc., Walnut Creek, California 1995–2000. | Not applicable | ||||||
Wendy Trevisani, 33 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 2000 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2002; Sales Representative, Solomon Smith Barney 1996-1999. | Not applicable | ||||||
Joshua Gonze, 41 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 1999 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||||||
Brad Kinkelaar, 36 Vice President since 1999 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 1999, Vice President since 2000, and Managing Director since 2004; Equity Investment Analyst, State Farm Insurance Companies 1996–1999. | Not applicable | ||||||
Kerry D. Lee, 37 Vice President since 1999 | Vice President of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable |
24 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
Christopher Ihlefeld, 34 Vice President since 2003 | Associate Portfolio Manager since 1999; Vice President of Thornburg Investment Management, Inc. since 2002; Vice President of Limited Term Municipal Fund, Inc., 2003–2004. | Not applicable | ||
Leon Sandersfeld, 38 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2002; Senior Staff Accountant, Farm Bureau Life Insurance Co. 1998–2002. | Not applicable | ||
Sasha Wilcoxon, 30 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2000; and Mutual Fund Support Service Department Manager since 2002. | Not applicable | ||
Ed Maran, 46 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Analyst, USAA 2001–2002; Oil Analyst, A. G. Edwards 1997–2000. | Not applicable | ||
Vinson Walden, 34 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Associate Portfolio Manager, Ibis Management 2002–2004; Associate, Lehman Brothers, 1997–2001. | Not applicable |
(1) | Each person’s address is 119 East Marcy Street, Santa Fe, New Mexico 87501. | |
(2) | The Fund is one of twelve separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. The Trust currently has twelve active Funds. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twelve funds of the Trust. Each Trustee oversees the twelve portfolios in the fund complex. | |
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is a director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twelve active funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. | |
(4) | Each Trustee serves in office until the election and qualification of a successor. | |
(5) | Mr. McMahon is considered an “interested” Trustee because he is the president of Thornburg Investment Management, Inc. | |
(6) | The Trust’s president, secretary and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. | |
(7) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
Certified Annual Report 25
OTHER INFORMATION (UNAUDITED) | ||
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
PORTFOLIO PROXY VOTING
The Trust has delegated to Thornburg Investment Management, Inc. (“the Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.
Commencing August 31, 2004, information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request, on the Thornburg website at www.thornburg.com and (ii) on the Securities and Exchange Commission’s website at www.sec.gov.
TAX INFORMATION
For the fiscal year ended September 30, 2004, 100% of dividends paid by the Fund are tax exempt dividends for Federal Income Tax purposes. The information and distributions reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2004.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund will file with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year, commencing with the calendar quarter ending December 31, 2004. The Fund’s Forms N-Q will be available on the Commission’s website at http://www.sec.gov, or may be copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
SHAREHOLDER MEETING INFORMATION
A special meeting (the “Meeting”) of the shareholders of Thornburg Investment Trust (the “Trust”) was held on September 13, 2004 at the offices of Thornburg Investment Management, Inc., 119 East Marcy Street, Santa Fe, New Mexico 87501. Thornburg California Limited Term Municipal Fund is one of 12 active series or “Funds” of the Trust.
The shareholders of the Trust considered at the Meeting (i) the election of Trustees, and (ii) ratification of the selection of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm for the fiscal year (fiscal period commencing July 1, 2004 in the case of Thornburg California Limited Term Municipal Fund) ending September 30, 2004.
The Trustees elected at the Meeting were Garrett Thornburg, David A. Ater, David D. Chase, Eliot R. Cutler, Susan H. Dubin, Brian J. McMahon, Owen D. Van Essen and James W. Weyhrauch. Forrest S. Smith, a Trustee since 1987 did not stand for election; his term of office will continue through the end of 2004, when he will retire in accordance with the Trust’s Bylaws. The shareholders also ratified the appointment of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm.
The voting results for the matters voted on are set out for each Fund as follows:
Election of Trustees
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Garrett Thornburg | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,772,086.332 | 692,014.443 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,202,049.716 | 217,551.648 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,555.521 | 114,080.445 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,255,221.686 | 81,237.603 | – | – | ||||||||||||
Thornburg Value Fund | 64,672,758.966 | 447,696.934 | – | – | ||||||||||||
Thornburg International Value Fund | 59,954,867.369 | 1,241,990.622 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,135,097.039 | 21,483.205 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,943.082 | 122,916.941 | – | – | ||||||||||||
Total: | 345,469,631.406 | 3,282,138.627 | – | – |
26 Certified Annual Report
OTHER INFORMATION (UNAUDITED), CONTINUED | ||
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
David A. Ater | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,797,094.826 | 667,005.949 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,898.015 | 244,703.349 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,174.575 | 74,750.866 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,356,553.614 | 118,082.352 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,645.960 | 84,813.329 | – | – | ||||||||||||
Thornburg Value Fund | 64,673,309.598 | 447,696.934 | – | – | ||||||||||||
Thornburg International Value Fund | 60,746,833.041 | 450,024.950 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,382.888 | 24,197.356 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,615.730 | 120,243.993 | – | – | ||||||||||||
Total: | 346,235,149.064 | 2,517,171.301 | – | – | ||||||||||||
David D. Chase | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,792,336.993 | 671,763.782 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,107,955.251 | 64,970.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,243,684.887 | 92,774.402 | – | – | ||||||||||||
Thornburg Value Fund | 64,693,947.421 | 446,508.479 | – | – | ||||||||||||
Thornburg International Value Fund | 60,752,533.146 | 444,324.845 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,837,095.494 | 116,764.229 | – | – | ||||||||||||
Total: | 346,310,480.812 | 2,461,288.921 | – | – | ||||||||||||
Eliot R. Cutler | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,785,534.542 | 678,566.233 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,449,458.366 | 232,489.857 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,199,536.657 | 220,064.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,111,971.636 | 60,953.805 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,350,526.614 | 124,109.352 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,250,801.917 | 85,657.372 | – | – | ||||||||||||
Thornburg Value Fund | 64,599,511.493 | 520,944.407 | – | – | ||||||||||||
Thornburg International Value Fund | 60,724,718.843 | 472,139.148 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,134,780.624 | 21,799.620 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,832,732.499 | 121,127.224 | – | – | ||||||||||||
Total: | 346,159,119.642 | 2,592,650.361 | – | – | ||||||||||||
Susan H. Dubin | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,874.816 | 670,225.959 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,198,659.272 | 220,942.092 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,110,371.636 | 62,553.805 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,372,811.385 | 101,824.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,249,237.865 | 87,221.424 | – | – |
Certified Annual Report 27
OTHER INFORMATION (UNAUDITED), CONTINUED | ||
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Value Fund | 64,679,778.577 | 440,677.323 | – | – | ||||||||||||
Thornburg International Value Fund | 60,742,583.265 | 454,274.726 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,454.801 | 120,404.922 | – | – | ||||||||||||
Total: | 346,285,090.525 | 2,466,679.208 | – | – | ||||||||||||
Brian J. McMahon | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,795,559.677 | 668,541.098 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,205,930.716 | 213,670.648 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,104,748.707 | 68,176.734 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 102,726.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,724.960 | 84,734.329 | – | – | ||||||||||||
Thornburg Value Fund | 64,681,039.437 | 439,416.463 | – | – | ||||||||||||
Thornburg International Value Fund | 60,010,455.736 | 1,186,402.255 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,131,956.015 | 24,624.229 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,227.440 | 120,632.283 | – | – | ||||||||||||
Total: | 345,556,209.517 | 3,195,560.216 | – | – | ||||||||||||
Owen D. Van Essen | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,348.831 | 670,751.944 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,730.914 | 244,870.450 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,708.092 | 74,217.349 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,248,394.246 | 88,065.043 | – | – | ||||||||||||
Thornburg Value Fund | 64,674,135.776 | 446,320.124 | – | – | ||||||||||||
Thornburg International Value Fund | 60,684,276.889 | 512,581.102 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,962.507 | 122,897.216 | – | – | ||||||||||||
Total: | 346,178,126.548 | 2,573,643.185 | – | – | ||||||||||||
James W. Weyhrauch | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,789,717.177 | 674,383.598 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 126,726.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,254,156.818 | 82,302.471 | – | – | ||||||||||||
Thornburg Value Fund | 64,683,895.944 | 436,559.906 | – | – | ||||||||||||
Thornburg International Value Fund | 60,726,245.097 | 470,612.894 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,836,311.264 | 117,548.459 | – | – | ||||||||||||
Total: | 346,278,127.848 | 2,497,641.885 | – | – |
28 Certified Annual Report
OTHER INFORMATION (UNAUDITED), CONTINUED | ||
Thornburg California Limited Term Municipal Fund | September 30, 2004 |
Ratification of Selection of Independent Registered Public Accounting Firm
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Limited Term Municipal Fund | 89,266,423.303 | 430,123.930 | 767,553.542 | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,354,990.466 | 167,198.030 | 159,759.457 | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 27,957,900.165 | 174,857.659 | 286,893.540 | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,067,166.377 | 1,155.000 | 104,604.064 | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,911,733.415 | 6,868.306 | 9,157.121 | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,784,834.660 | 23,509.648 | 38,241.937 | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,583.780 | 33,945.016 | 80,017.170 | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,123,259.928 | 57,081.625 | 156,117.736 | – | ||||||||||||
Thornburg Value Fund | 64,569,333.454 | 212,238.433 | 338,884.013 | – | ||||||||||||
Thornburg International Value Fund | 60,444,286.231 | 343,771.766 | 408,700.994 | – | ||||||||||||
Thornburg Core Growth Fund | 6,110,013.492 | 32,603.465 | 13,963.287 | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,812,877.547 | 40,509.369 | 100,472.807 | – | ||||||||||||
Totals | 344,763,402.818 | 1,523,862.247 | 2,464,365.668 | – |
Certified Annual Report 29
Thornburg Intermediate Municipal Fund
September 30, 2004
Table of Contents
6 | ||||
8 | ||||
9 | ||||
10 | ||||
11 | ||||
14 | ||||
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27 | ||||
28 | ||||
29 | ||||
30 | ||||
33 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
4 Certified Annual Report
Important Information
Performance data quoted represent the past and are no guarantee of future results. Current returns may be either lower or higher than those shown. Share prices and returns will fluctuate and investors may experience a loss upon redemption. There is no guarantee that the Fund will meet its objectives. Shares in the Fund carry risks, including possible loss of principal. The principal value of a bond fund will decrease when interest rates rise.
The maximum sales charge for Class A Shares is 2.00%. C shares assume deduction of a 0.60% contingent deferred sales charge (CDSC) for the first year only.
For the most recent month-end performance information, visit www.thornburg.com.
The information presented on the following pages was current as of September 30, 2004. The manager’s views, portfolio holdings, and sector diversification are historical and subject to change. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each Fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any Fund to differ materially as compared to its benchmarks.
Glossary
The Merrill Lynch 7-12 Year Municipal Bond Index – Represents a broad measure of market performance. It is a model portfolio of municipal obligations throughout the U.S., with an average maturity which ranges from seven to twelve years. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
Duration – The measure of the price sensitivity of a fixed-income security to an interest rate change of 100 basis points. Calculation is based on the weighted average of the present values for all cash flows.
Weighted Average Maturity – Is a weighted average of all the effective maturities of the bonds in a portfolio. Effective maturity takes into consideration mortgage prepayments, puts, calls, adjustable coupons, and other features of individual bonds and is thus a more accurate measure of interest-rate sensitivity. Longer-maturity funds are generally considered more interest-rate sensitive than their shorter counterparts.
Certified Annual Report 5
Letter to Shareholders
George Strickland
Portfolio Manager
October 21, 2004
Dear Fellow Shareholder:
I am pleased to present the Annual Report for the Thornburg Intermediate Municipal Fund. The net asset value of the A shares decreased by 8 cents to $13.48 during the year ended September 30, 2004. If you were with us for the entire period, you received dividends of 51.6 cents per share. If you reinvested dividends, you received 52.5 cents per share. Investors who owned C shares received dividends of 48.1 and 48.9 cents per share, respectively.
Over the last year, interest rates on bonds that mature in less than ten years have risen somewhat while interest rates on bonds with maturities longer than ten years have fallen. This has led to better performance for long-term bonds relative to shorter-term bonds. The A shares of your Fund produced a total return of 3.29% over the last fiscal year, compared to a 4.95% return for the Merrill Lynch 7-12 Year Municipal Bond Index. We believe that the index outperformed the Fund because it is generally concentrated in bonds with a longer duration than bonds held by the Fund. If long-term interest rates start to rise again, we would expect the Fund to outperform the index. (Source: Bloomberg: Municipal Market Advisors, Inc.)
Interest rates on intermediate municipal bonds have covered a lot of ground since September 30, 2003. For example, the yield on a seven-year AAA-rated municipal bond hit a low of 2.67% on March 9, 2004 before climbing to a high of 3.80% only two months later. As of September 30, 2004, that bond’s yield has fallen back down to 3.12%. (Source: Bloomberg: Municipal Market Advisors, Inc.)
Ironically, bond yields rose this past spring before the Federal Reserve started raising the targeted Fed Funds rate. Now that the Federal Reserve is pushing up short-term interest rates, the interest rates on bonds and home mortgages have been falling. In essence, the bond market is counteracting a tightening Federal Reserve by allowing corporations, governments, and individuals to borrow money at lower interest rates.
Given the abundant liquidity and relatively low yields in the bond markets today, we believe that the Federal Reserve has a significant amount of additional tightening to do before they overcome the bond market’s “give back” and achieve a neutral monetary policy. The yield curve does not appear to be pricing in this possibility today. If it does start pricing in a more aggressive Federal Reserve, we believe that bond yields will rise above current levels.
We have positioned your Fund with this outlook in mind. Your Thornburg Intermediate Municipal Fund is a laddered portfolio of over 315 municipal obligations from 44 states. Today, your Fund’s weighted average maturity is 7.5 years. We ladder the maturity dates of the bonds in your portfolio so that some of the bonds are scheduled to mature during each of the coming years. Laddering intermediate bonds accomplishes two goals. First, the staggered bond maturities contained in a ladder defuse interest-rate risk and dampen the Fund’s price volatility. Second, laddering gives the Fund a steady cash flow stream from maturing bonds to reinvest, if not otherwise needed, toward the top of the ladder
6 Certified Annual Report
where yields are typically higher. The laddering strategy is what differentiates this Fund from most bond mutual funds. It may be particularly useful if interest rates rise, because it may allow the Fund to gradually increase the yield of the portfolio as bonds mature and are replaced with new ones. The chart on the following page describes the percentages of your Fund’s bond portfolio maturing in each of the coming years.
Thanks to a strong economy and tax increases, state tax revenue was up 11.4% over the last fiscal year. However, revenues are just now approaching 2002 levels nationwide. Meanwhile, spending for Medicaid and other items continues its upward trajectory, causing many states to continue grappling with budget deficits. State reserve funds have been largely depleted and tax supported state debt levels have risen over 15% in the last two years. To reduce credit risk, we have kept 89% of the portfolio in bonds rated A or above and maintained broad diversification across issuers and market sectors.
% of portfolio | Cumulative % | |||
maturing | maturing | |||
2 years = 16% | Year 2 = 16% | |||
2 to 4 years = 10% | Year 4 = 26% | |||
4 to 6 years = 12% | Year 6 = 38% | |||
6 to 8 years = 13% | Year 8 = 51% | |||
8 to 10 years = 14% | Year 10 = 65% | |||
10 to 12 years = 13% | Year 12 = 78% | |||
12 to 14 years = 11% | Year 14 = 89% | |||
14 to 16 years = 5% | Year 16 = 94% | |||
16 to 18 years = 5% | Year 18 = 99% | |||
Over 18 years = 1% | Over 18 years =100% |
Percentages can and do vary. Data as of 9/30/04.
Over the years, our practice of laddering a diversified portfolio of short and intermediate maturity municipal bonds has allowed your Fund to perform consistently well in varying interest rate environments. Thank you for investing in Thornburg Intermediate Municipal Fund.
Sincerely,
Portfolio Manager
Certified Annual Report 7
STATEMENT OF ASSETS AND LIABILITIES
Thornburg Intermediate Municipal Fund | September 30, 2004 |
ASSETS | ||||
Investments at value (cost $431,268,725) | $ | 457,386,677 | ||
Cash | 197,685 | |||
Receivable for investments sold | 385,000 | |||
Receivable for fund shares sold | 2,404,226 | |||
Interest receivable | 5,923,646 | |||
Prepaid expenses and other assets | 52,015 | |||
Total Assets | 466,349,249 | |||
LIABILITIES | ||||
Payable for securities purchased | 3,408,584 | |||
Payable for fund shares redeemed | 704,066 | |||
Accounts payable and accrued expenses | 60,879 | |||
Payable to investment advisor and other affiliates (Note 3) | 335,265 | |||
Dividends payable | 556,397 | |||
Total Liabilities | 5,065,191 | |||
NET ASSETS | $ | 461,284,058 | ||
NET ASSETS CONSIST OF: | ||||
Net unrealized appreciation (depreciation) on investments | $ | 26,117,952 | ||
Overdistributed net investment income | (2,268 | ) | ||
Accumulated net realized gain (loss) | (10,223,418 | ) | ||
Net capital paid in on shares of beneficial interest | 445,391,792 | |||
$ | 461,284,058 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($370,226,524 applicable to 27,454,981 shares of beneficial interest outstanding — Note 4) | $ | 13.48 | ||
Maximum sales charge, 2.00% of offering price | 0.28 | |||
Maximum Offering Price Per Share | $ | 13.76 | ||
Class C Shares: | ||||
Net asset value and offering price per share * ($57,978,739 applicable to 4,294,186 shares of beneficial interest outstanding — Note 4) | $ | 13.50 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($33,078,795 applicable to 2,456,711 shares of beneficial interest outstanding — Note 4) | $ | 13.46 | ||
*Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See notes to financial statements.
8 Certified Annual Report
STATEMENT OF OPERATIONS
Thornburg Intermediate Municipal Fund | Year Ended September 30, 2004 |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $2,105,426) | $ | 21,859,807 | ||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 2,272,037 | |||
Administration fees (Note 3) | ||||
Class A Shares | 465,442 | |||
Class C Shares | 75,001 | |||
Class I Shares | 11,027 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 862,034 | |||
Class C Shares | 600,045 | |||
Transfer agent fees | ||||
Class A Shares | 137,320 | |||
Class C Shares | 35,545 | |||
Class I Shares | 19,155 | |||
Registration and filing fees | ||||
Class A Shares | 17,120 | |||
Class C Shares | 7,961 | |||
Class I Shares | 8,321 | |||
Custodian fees (Note 3) | 197,450 | |||
Professional fees | 36,890 | |||
Accounting fees | 42,545 | |||
Trustee fees | 11,715 | |||
Other expenses | 76,648 | |||
Total Expenses | 4,876,256 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (106,299 | ) | ||
Distribution and service fees waived (Note 3) | (235,631 | ) | ||
Fees paid indirectly (Note 3) | (1,925 | ) | ||
Net Expenses | 4,532,401 | |||
Net Investment Income | 17,327,406 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | (454,070 | ) | ||
Increase (Decrease) in unrealized appreciation of investments | (2,505,819 | ) | ||
Net Realized and Unrealized Gain (Loss) on Investments | (2,959,889 | ) | ||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 14,367,517 | ||
See notes to financial statements.
Certified Annual Report 9
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Intermediate Municipal Fund
Year Ended | Year Ended | |||||||
September 30, 2004 | September 30, 2003 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 17,327,406 | $ | 18,090,689 | ||||
Net realized gain (loss) on investments sold | (454,070 | ) | (4,597,883 | ) | ||||
Increase (Decrease) in unrealized appreciation of investments | (2,505,819 | ) | 581,701 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 14,367,517 | 14,074,507 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (14,280,020 | ) | (15,480,099 | ) | ||||
Class C Shares | (2,139,590 | ) | (1,849,255 | ) | ||||
Class I Shares | (907,796 | ) | (761,335 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | (17,365,422 | ) | (20,552,567 | ) | ||||
Class C Shares | (2,267,561 | ) | 13,877,646 | |||||
Class I Shares | 13,757,994 | 1,174,895 | ||||||
Net Increase (Decrease) in Net Assets | (8,834,878 | ) | (9,516,208 | ) | ||||
NET ASSETS: | ||||||||
Beginning year | 470,118,936 | 479,635,144 | ||||||
End of year | $ | 461,284,058 | $ | 470,118,936 | ||||
See notes to financial statements.
10 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS
Thornburg Intermediate Municipal Fund | September 30, 2004 |
NOTE 1 – ORGANIZATION
Thornburg Intermediate Municipal Fund (the “Fund”) is a 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 eleven series of shares of beneficial interest in addition to those of the Fund: Thornburg Limited Term Municipal Fund, Thornburg California Limited Term Municipal Fund, Thornburg Florida Intermediate Municipal Fund, Thornburg New York Intermediate Fund, Thornburg New Mexico Intermediate Municipal Fund, Thornburg Limited Term U.S. Government Fund, Thornburg Limited Term Income Fund, Thornburg Value Fund, Thornburg International Value Fund, Thornburg Core Growth Fund, and Thornburg Investment Income Builder Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund’s investment objective is to obtain as high a level of current income exempt from Federal income taxes as is consistent with the preservation of capital.
The Fund currently offers three classes of shares of beneficial interest, Class A, Class C and Institutional Class (Class I) shares. Each class of shares of the 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 contingent deferred sales charge upon redemption within one year, and bear 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, the 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 Fund are limited to service and distribution fees, administration fees, and certain registration and 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 Fund utilizes 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, normally 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 municipal 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 Fund are reviewed by the officers of the Trust under the general supervision of the Trustees. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
Federal Income Taxes: It is the policy of the Fund to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all of its taxable (if any) and tax exempt income to its shareholders. Therefore, no provision for Federal income tax is required.
When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with its investment objectives and not for the purpose of investment leverage or to speculate on interest rate changes. At the time the Fund makes a commitment to purchase a security on a when-issued basis, it will record the transaction and reflect the value in determining its 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 Fund is declared daily as a dividend on shares for which the Fund has received payment. Dividends are paid monthly and are reinvested in additional shares of the Fund 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 at least annually.
General: Securities transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and discounts on securities purchased are amortized to call dates or maturity dates of the respective securities. Realized gains and losses from the sale of securities are recorded on an identified cost basis. Net investment income, other than class specific expenses, and realized and unrealized gains and losses, are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current share activity of the respective class). Expenses common to all funds are allocated among the funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
Certified Annual Report 11
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
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 “Advisor”) serves as the investment advisor and performs services for which the fees are payable at the end of each month. For the year ended September 30, 2004, these fees were payable at annual rates ranging from .50 of 1% to .275 of 1% of the average daily net assets of the Fund. The Fund also has an administrative services agreement with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% of the average daily net assets attributable to each class of shares. For the year ended September 30, 2004, the Advisor voluntarily reimbursed certain class specific expenses and administrative fees of $3,717, $84,339, and $18,243 for the Class A, C, and I shares, respectively.
The Fund has an underwriting agreement with Thornburg Securities Corporation (the “Distributor”, an affiliate of the advisor) which acts as the Distributor of the Fund shares. For the year ended September 30, 2004, the Distributor has advised the Fund that it earned net commissions aggregating $2,334 from the sale of Class A shares and collected contingent deferred sales charges aggregating $9,182 from redemptions of Class C shares of the Fund.
Pursuant to a service plan, under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder related services. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
The Fund has also adopted a distribution plan pursuant to Rule 12b-1, applicable only to the Fund’s Class C shares under which the Fund compensates the Distributor for services in promoting the sale of Class C shares of the Fund at an annual rate of up to .75% of the average daily net assets attributable to Class C shares. Total fees incurred by each class of shares of the Fund under their respective Service and Distribution Plans for the year ended September 30, 2004, are set forth in the statement of operations. Distribution fees in the amount of $235,631 were waived for Class C shares.
The Fund has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees have been adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the statement of operations. For the year ended September 30, 2004 fees paid indirectly were $1,925.
Certain officers and trustees of the Trust are also officers and/or directors of the Advisor and Distributor. The compensation of unaffiliated trustees is borne by the Trust.
NOTE 4 — SHARES OF BENEFICIAL INTEREST
At September 30, 2004, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended | Year Ended | |||||||||||||||
September 30, 2004 | September 30, 2003 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 4,635,509 | $ | 62,513,224 | 6,705,141 | $ | 90,330,472 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 621,472 | 8,358,310 | 649,800 | 8,760,445 | ||||||||||||
Shares repurchased | (6,560,558 | ) | (88,236,956 | ) | (8,890,248 | ) | (119,643,484 | ) | ||||||||
Net Increase (Decrease) | (1,303,577 | ) | $ | (17,365,422 | ) | (1,535,307 | ) | $ | (20,552,567 | ) | ||||||
12 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Year Ended | Year Ended | |||||||||||||||
September 30, 2004 | September 30, 2003 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 946,921 | $ | 12,804,296 | 1,632,604 | $ | 22,060,706 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 111,651 | 1,503,248 | 102,429 | 1,382,647 | ||||||||||||
Shares repurchased | (1,234,469 | ) | (16,575,105 | ) | (709,799 | ) | (9,565,707 | ) | ||||||||
Net Increase (Decrease) | (175,897 | ) | $ | (2,267,561 | ) | 1,025,234 | $ | 13,877,646 | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 1,489,564 | $ | 19,943,017 | 807,931 | $ | 10,899,236 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 46,460 | 623,829 | 39,457 | 531,139 | ||||||||||||
Shares repurchased | (506,745 | ) | (6,808,852 | ) | (762,688 | ) | (10,255,480 | ) | ||||||||
Net Increase (Decrease) | 1,029,279 | $ | 13,757,994 | 84,700 | $ | 1,174,895 | ||||||||||
NOTE 5 – SECURITIES TRANSACTIONS
For the year ended September 30, 2004, the Fund had purchase and sale transactions (excluding short-term securities) of $51,778,251 and $77,812,258, respectively.
NOTE 6 – INCOME TAXES
At September 30, 2004, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 431,268,214 | ||
Gross unrealized appreciation on a tax basis | $ | 26,374,672 | ||
Gross unrealized depreciation on a tax basis | (256,209 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 26,118,463 | ||
At September 30, 2004, the Fund did not have any undistributed tax-exempt/ordinary net income or undistributed capital gains.
At September 30, 2004, the Fund had tax basis capital losses, which may be carried over to offset future capital gains. To the extent such carry forwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such losses expire as follows:
2005 | $ | 200,249 | ||
2006 | 27,737 | |||
2007 | 6,140 | |||
2008 | 2,563,342 | |||
2009 | 2,374,508 | |||
2011 | 11,597 | |||
2012 | 4,297,982 | |||
$ | 9,481,555 | |||
During the year ended September 30, 2004, $2,201,912 of capital loss carry forwards from prior years expired.
At September 30, 2004, the Fund had deferred capital losses occurring subsequent to October 31, 2003 of $742,374. For tax purposes, such losses will be reflected in the year ending September 30, 2005.
In order to account for book/tax differences, the Fund increased accumulated net realized gain (loss) by $2,202,423, decreased over-distributed net investment income (loss) by $2,268 and decreased net paid in capital paid in on shares of beneficial interest by $2,200,155. Reclassifications result primarily from an expired capital loss carry forward.
All dividends paid by the Fund for the years ended September 30, 2004 and September 30, 2003, represent tax exempt interest dividends, which are excludable by shareholders from gross income for Federal income tax purposes.
Certified Annual Report 13
FINANCIAL HIGHLIGHTS
Thornburg Intermediate Municipal Fund
Year Ended September 30, | ||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||
Class A Shares: | ||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||
(for a share outstanding throughout the year) | ||||||||||||||||||||
Net asset value, beginning of year | $ | 13.56 | $ | 13.67 | $ | 13.28 | $ | 12.78 | $ | 13.00 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.52 | 0.52 | 0.56 | 0.62 | 0.63 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.08 | ) | (0.11 | ) | 0.39 | 0.50 | (0.22 | ) | ||||||||||||
Total from investment operations | 0.44 | 0.41 | 0.95 | 1.12 | 0.41 | |||||||||||||||
Less dividends from: | ||||||||||||||||||||
Net investment income | (0.52 | ) | (0.52 | ) | (0.56 | ) | (0.62 | ) | (0.63 | ) | ||||||||||
Change in net asset value | (0.08 | ) | (0.11 | ) | 0.39 | 0.50 | (0.22 | ) | ||||||||||||
NET ASSET VALUE, end of year | $ | 13.48 | $ | 13.56 | $ | 13.67 | $ | 13.28 | $ | 12.78 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Total return (a) | 3.29 | % | 3.11 | % | 7.39 | % | 8.94 | % | 3.23 | % | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 3.83 | % | 3.87 | % | 4.23 | % | 4.73 | % | 4.89 | % | ||||||||||
Expenses, after expense reductions | 0.98 | % | 0.99 | % | 0.92 | % | 0.82 | % | 0.89 | % | ||||||||||
Expenses, after expense reductions and net of custody credits | 0.98 | % | 0.99 | % | 0.92 | % | — | — | ||||||||||||
Expenses, before expense reductions | 0.98 | % | 1.00 | % | 1.00 | % | 1.02 | % | 1.02 | % | ||||||||||
Portfolio turnover rate | 11.81 | % | 15.13 | % | 16.36 | % | 18.24 | % | 21.97 | % | ||||||||||
Net assets at end of year (000) | $ | 370,227 | $ | 390,080 | $ | 414,150 | $ | 338,931 | $ | 322,942 |
(a) Sales loads are not reflected in computing total return.
14 Certified Annual Report
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Intermediate Municipal Fund
Year Ended September 30, | ||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||
Class C Shares: | ||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||
(for a share outstanding throughout the year) | ||||||||||||||||||||
Net asset value, beginning of year | $ | 13.58 | $ | 13.69 | $ | 13.30 | $ | 12.79 | $ | 13.02 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.48 | 0.47 | 0.51 | 0.57 | 0.57 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.08 | ) | (0.11 | ) | 0.39 | 0.51 | (0.23 | ) | ||||||||||||
Total from investment operations | 0.40 | 0.36 | 0.90 | 1.08 | 0.34 | |||||||||||||||
Less dividends from: | ||||||||||||||||||||
Net investment income | (0.48 | ) | (0.47 | ) | (0.51 | ) | (0.57 | ) | (0.57 | ) | ||||||||||
Change in net asset value | (0.08 | ) | (0.11 | ) | 0.39 | 0.51 | (0.23 | ) | ||||||||||||
NET ASSET VALUE, end of year | $ | 13.50 | $ | 13.58 | $ | 13.69 | $ | 13.30 | $ | 12.79 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Total return | 3.02 | % | 2.73 | % | 6.97 | % | 8.59 | % | 2.70 | % | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 3.57 | % | 3.50 | % | 3.84 | % | 4.33 | % | 4.44 | % | ||||||||||
Expenses, after expense reductions | 1.24 | % | 1.35 | % | 1.30 | % | 1.21 | % | 1.34 | % | ||||||||||
Expenses, after expense reductions and net of custody credits | 1.24 | % | 1.35 | % | 1.30 | % | — | — | ||||||||||||
Expenses, before expense reductions | 1.78 | % | 1.80 | % | 1.80 | % | 1.83 | % | 1.83 | % | ||||||||||
Portfolio turnover rate | 11.81 | % | 15.13 | % | 16.36 | % | 18.24 | % | 21.97 | % | ||||||||||
Net assets at end of year (000) | $ | 57,979 | $ | 60,707 | $ | 47,155 | $ | 40,002 | $ | 33,353 |
Certified Annual Report 15
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Intermediate Municipal Fund
Year Ended September 30, | ||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||
Class I Shares: | ||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||
(for a share outstanding throughout the year) | ||||||||||||||||||||
Net asset value, beginning of year | $ | 13.54 | $ | 13.65 | $ | 13.26 | $ | 12.76 | $ | 12.98 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.56 | 0.57 | 0.61 | 0.65 | 0.65 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.08 | ) | (0.11 | ) | 0.39 | 0.50 | (0.22 | ) | ||||||||||||
Total from investment operations | 0.48 | 0.46 | 1.00 | 1.15 | 0.43 | |||||||||||||||
Less dividends from: | ||||||||||||||||||||
Net investment income | (0.56 | ) | (0.57 | ) | (0.61 | ) | (0.65 | ) | (0.65 | ) | ||||||||||
Change in net asset value | (0.08 | ) | (0.11 | ) | 0.39 | 0.50 | (0.22 | ) | ||||||||||||
NET ASSET VALUE, end of year | $ | 13.46 | $ | 13.54 | $ | 13.65 | $ | 13.26 | $ | 12.76 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Total return | 3.61 | % | 3.49 | % | 7.75 | % | 9.23 | % | 3.45 | % | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 4.12 | % | 4.23 | % | 4.57 | % | 4.99 | % | 5.10 | % | ||||||||||
Expenses, after expense reductions | 0.67 | % | 0.62 | % | 0.58 | % | 0.55 | % | 0.68 | % | ||||||||||
Expenses, after expense reductions and net of custody credits | 0.67 | % | 0.62 | % | 0.58 | % | — | — | ||||||||||||
Expenses, before expense reductions | 0.75 | % | 0.80 | % | 0.79 | % | 0.79 | % | 0.80 | % | ||||||||||
Portfolio turnover rate | 11.81 | % | 15.13 | % | 16.36 | % | 18.24 | % | 21.97 | % | ||||||||||
Net assets at end of year (000) | $ | 33,079 | $ | 19,333 | $ | 18,330 | $ | 17,258 | $ | 17,563 |
16 Certified Annual Report
SCHEDULE OF INVESTMENTS
Thornburg Intermediate Municipal Fund | September 30, 2004 |
CUSIPS: CLASS A – 885-215-202, CLASS C – 885-215-780, CLASS I – 885-215-673
NASDAQ SYMBOLS: CLASS A – THIMX, CLASS C – THMCX, CLASS I – THMIX
Principal | Credit Rating† | |||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||
ALABAMA (2.60%) | ||||||||||
$ | 800,000 | Alabama Docks Revenue, 6.00% due 10/1/2008 (Insured: MBIA) | Aaa/AAA | $ | 905,048 | |||||
2,000,000 | Birmingham Carraway Alabama Special, 6.25% due 8/15/2009 (Insured: Connie Lee) | NR/AAA | 2,208,620 | |||||||
1,515,000 | East Alabama Health Care Authority Tax Anticipation Series A, 4.00% due 9/1/2006 (Insured: MBIA) | Aaa/AAA | 1,571,934 | |||||||
1,600,000 | Lauderdale County & Florence Health Group Series A, 5.75% due 7/1/2013 (Insured: MBIA) | Aaa/AAA | 1,798,272 | |||||||
5,500,000 | McIntosh Alabama Industrial Development Board Environmental Dailly Refunding Specialty D, 1.75% due 7/1/2028 put 10/1/2004 (daily demand notes) | P1/A-1 | 5,500,000 | |||||||
ALASKA (0.50%) | ||||||||||
955,000 | Alaska Energy Authority Power Revenue Refunding Bradley Lake Fourth Series, 6.00% due 7/1/2011 (Insured: FSA) | Aaa/AAA | 1,109,892 | |||||||
485,000 | Anchorage Alaska, 5.25% due 10/1/2008 (Insured: FGIC) | Aaa/AAA | 501,359 | |||||||
500,000 | Anchorage School Refunding, 6.00% due 10/1/2012 (Insured: FGIC) | Aaa/AAA | 590,610 | |||||||
ARIZONA (2.40%) | ||||||||||
4,580,000 | Maricopa County Industrial Development Capital Appreciation Series B, 4.80% due 12/1/2031 put 12/1/2004 (Waste Management Inc. Project) | NR/BBB | 4,596,855 | |||||||
2,000,000 | Mohave County Industrial Development Correctional Facilities Series A, 5.00% due 4/1/2007 (Mohave Prison LLC Project; Insured: XLCA) | Aaa/AAA | 2,139,180 | |||||||
2,715,000 | Pima County Industrial Development Authority Series C, 6.70% due 7/1/2021 (Arizona Charter Schools Project) | Baa3/NR | 2,826,559 | |||||||
400,000 | Tucson G.O. Series D, 9.75% due 7/1/2012 (ETM)* | Aa3/AA | 571,184 | |||||||
500,000 | Tucson G. O. Series D, 9.75% due 7/1/2013 (ETM)* | Aa3/AA | 731,520 | |||||||
ARKANSAS (0.60%) | ||||||||||
1,135,000 | Jefferson County Hospital Revenue Refunding & Improvement, 5.75% due 6/1/2012 (Regional Medical Center Project) | NR/A | 1,259,453 | |||||||
1,200,000 | Jefferson County Hospital Revenue Refunding & Improvement, 5.75% due 6/1/2013 (Regional Medical Center Project) | NR/A | 1,320,984 | |||||||
CALIFORNIA (9.20%) | ||||||||||
3,000,000 | California Department of Water Resources Power Series A, 5.75% due 5/1/2017 | A2/BBB+ | 3,383,700 | |||||||
675,000 | California Housing Finance Authority Revenue Series 1985-B, 9.875% due 2/1/2017 | Aa2/AA- | 713,239 | |||||||
8,000,000 | California State Economic Recovery Series C-1, 1.80% due 7/1/2023 put 10/1/2004 (Guaranty: Landesbank) (daily demand notes) | VMIG1/A1+ | 8,000,000 | |||||||
2,200,000 | California State Series A-3, 1.73% due 5/1/2033 put 10/1/2004 (daily demand notes) | VMIG1/A1+ | 2,200,000 | |||||||
4,500,000 | California Statewide Community Development Authority Certificate of Participation, 5.50% due 10/1/2007 (Unihealth America Project; Insured: AMBAC) (ETM)* | Aaa/AAA | 4,952,655 | |||||||
1,000,000 | Camino Hospital District Revenue Series A, 6.25% due 8/15/2017 (ETM)* | Aaa/AAA | 1,187,190 | |||||||
1,740,000 | Escondido Joint Powers Financing Authority Lease Revenue, 0% due 9/1/2007 (Center for the Arts Project; Insured: AMBAC) | Aaa/AAA | 1,546,268 | |||||||
2,140,000 | Golden West Schools Financing Authority Capital Appreciation, 0% due 8/1/2018 (Insured: MBIA) | Aaa/AAA | 1,029,896 | |||||||
1,000,000 | Irvine Improvement Bond Act 1915 Adjusted Assessment District, 1.73% due 9/2/2024 put 10/1/2004 (daily demand notes) | VMIG1/A-1 | 1,000,000 | |||||||
500,000 | Irwindale Community Redevelopment Agency, 6.60% due 8/1/2018 pre-refunded 8/1/2005 | Baa3/NR | 529,035 | |||||||
11,050,000 | Metropolitan Water District Southern California Waterworks Revenue Series C-1, 1.80% due 7/1/2036 put 10/1/2004 (daily demand notes) | VMIG1/A1+ | 11,050,000 | |||||||
2,280,000 | Orange County Refunding Recovery, 6.50% due 6/1/2005 (Insured: MBIA) | Aaa/AAA | 2,352,823 | |||||||
500,000 | San Diego County Water Authority Revenue & Refunding Series 1993-A, 9.515% due 4/25/2007 (Insured: FGIC) | Aaa/AAA | 589,220 | |||||||
145,000 | San Marcos Certificate of Participation Series C, 0% due 8/15/2005 (ETM)* | NR/AAA | 142,882 | |||||||
740,000 | San Marcos Certificate of Participation Series D, 0% due 9/2/2005 (ETM)* | NR/AAA | 728,530 |
Certified Annual Report 17
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||
$ | 1,480,000 | Stanton Multi Family Housing Revenue Bond Series 1997, 5.625% due 8/1/2029 put 8/1/2009 (Continental Gardens Project; Collateralized: FNMA) | NR/AAA | $ | 1,584,088 | |||||
800,000 | Sulphur Springs School District G.O. Series B, 5.70% due 3/1/2005 | NR/A | 813,216 | |||||||
215,000 | Sunline Transit Agency Certificate of Participation Series A, 5.75% due 7/1/2005 | A2/NR | 219,281 | |||||||
COLORADO (4.80%) | ||||||||||
1,265,000 | Adams County Communication Center Series A, 5.75% due 12/1/2016 | Baa1/NR | 1,337,447 | |||||||
80,000 | Arvada Industrial Development Revenue, 5.25% due 12/1/2007 (Wanco Inc. Project; LOC: US Bank, N.A.) | NR/NR | 81,079 | |||||||
450,000 | Arvada Industrial Development Revenue, 5.60% due 12/1/2012 (Wanco Inc. Project; LOC: US Bank, N.A.) | NR/NR | 465,917 | |||||||
1,000,000 | Central Platte Valley Metropolitan District, 5.15% due 12/1/2013 pre-refunded 12/1/2009 | NR/AAA | 1,122,330 | |||||||
2,000,000 | Central Platte Valley Metropolitan District Refunding Series A, 5.00% due 12/1/2031 put 12/1/2009 (LOC: US Bank) | NR/A1+ | 2,133,440 | |||||||
500,000 | Colorado Educational & Cultural Facilities Refunding, 6.00% due 4/1/2021 (Charter School Cherry Creek Project) | Baa2/NR | 515,715 | |||||||
35,000 | Colorado Housing Finance Authority Single Family Program Subordinated Series C, 5.75% due 10/1/2007 A1/A+ | 35,003 | ||||||||
1,570,000 | Colorado Student Obligation Bond Student Loan Senior Subordinated Series B, 6.20% due 12/1/2008 | A2/NR | 1,611,574 | |||||||
2,465,000 | Denver City & County Certificates of Participation Series B, 5.00% due 12/1/2011 | Aa2/AA | 2,723,529 | |||||||
500,000 | El Paso County School District 11, 7.10% due 12/1/2013 | Aa3/AA- | 636,595 | |||||||
675,000 | Glendale Certificates of Participation, 5.40% due 8/15/2008 (Education Center Project) | NR/BBB+ | 687,724 | |||||||
2,395,000 | Interstate South Metropolitan District Refunding, 6.00% due 12/1/2020 (LOC: BNP Paribas) | NR/AA | 2,443,810 | |||||||
2,830,000 | Larimer County G.O., 8.45% due 12/15/2005 (Poudre School District Project) | Aa3/NR | 3,051,476 | |||||||
1,005,000 | Northwest Parkway Public Highway Authority Capital Appreciation Senior Convertible C, 0% due 6/15/2014 (Insured: FSA) | Aaa/AAA | 807,648 | |||||||
2,500,000 | Plaza Metropolitan District 1 Colorado Revenue Public Improvement Fee/Tax Increment, 7.70% due 12/1/2017 | NR/NR | 2,612,425 | |||||||
1,370,000 | Southlands Metropolitan District Number 1 G.O., 7.00% due 12/1/2024 | NR/NR | 1,365,424 | |||||||
350,000 | Superior Metropolitan District 1 Water Refunding & Improvement Series B, 5.45% due 12/1/2020 put 12/1/2004 @ 100 (LOC: Allied Irish) | NR/A | 351,858 | |||||||
45,000 | Thornton County Single Family Mortgage Revenue Series 1992-A, 8.05% due 8/1/2009 | A3/NR | 45,027 | |||||||
DELAWARE (0.40%) | ||||||||||
1,500,000 | Delaware State Health Facilities Authority Revenue Series A, 5.25% due 5/1/2016 (Nanticoke Memorial Hospital Project; Insured: Radian) | NR/AA | 1,599,345 | |||||||
DISTRICT OF COLUMBIA (1.10%) | ||||||||||
600,000 | District of Columbia Hospital Revenue, 5.375% due 8/15/2015 (ETM)* | Aaa/AAA | 660,846 | |||||||
3,000,000 | District of Columbia Refunding Series B, 6.00% due 6/1/2015 (Insured: MBIA) | Aaa/AAA | 3,580,140 | |||||||
1,500,000 | District of Columbia Tax Increment Capital Appreciation, 0% due 7/1/2019 (Mandarin Oriental Project; Insured: FSA) | Aaa/AAA | 754,020 | |||||||
FLORIDA (3.20%) | ||||||||||
745,000 | Brevard County School Board Certificates of Participation Series A, 5.00% due 7/1/2005 (Insured: AMBAC) | Aaa/AAA | 763,290 | |||||||
1,500,000 | Broward County Resource Recovery Revenue, 5.00% due 12/1/2007 | A3/AA- | 1,609,410 | |||||||
1,000,000 | Deltona Utility Systems Revenue, 5.25% due 10/1/2015 (Insured: MBIA) | Aaa/AAA | 1,121,020 | |||||||
25,000 | Duval County HFA Single Family Housing Revenue Series 94, 6.10% due 4/1/2006 (Collateralized: GNMA) | Aaa/NR | 25,566 | |||||||
20,000 | Duval County HFA Single Family Housing Revenue Series 94, 6.10% due 10/1/2006 (Collateralized: GNMA) | Aaa/NR | 20,452 | |||||||
1,000,000 | Duval County Multi Family Housing Revenue Refunding, 5.90% due 9/1/2016 (St. Augustine Apartments Project) | NR/A+ | 1,037,050 | |||||||
1,605,000 | Enterprise Community Development District Assessment Bonds, 6.00% due 5/1/2010 (Insured: MBIA) | Aaa/AAA | 1,626,635 | |||||||
3,000,000 | Escambia County Health Facility Revenue, 5.95% due 7/1/2020 (Florida Health Care Facility Loan Project; Insured: AMBAC) | Aaa/NR | 3,084,150 | |||||||
1,200,000 | Florida Board of Education Capital Outlay Refunding Public Education Series D, 5.75% due 6/1/2018 | Aa2/AA+ | 1,357,776 | |||||||
2,000,000 | Pasco County Housing Finance Authority MFHR, 5.50% due 6/1/2027 put 6/1/2008 (Cypress Trail Apartments Project; Guaranty: Axa Reinsurance) | NR/AA- | 2,078,580 | |||||||
650,000 | Pensacola Apartment Revenue Series A, 6.25% due 10/1/2004 (Insured: MBIA) | Aaa/AAA | 650,078 | |||||||
1,000,000 | Turtle Run Community Development District Refunding Water Management Benefit Special Assessment, 5.00% due 5/1/2011 (Insured: MBIA) | Aaa/AAA | 1,088,140 |
18 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||
GEORGIA (0.10%) | ||||||||||
$ | 235,000 | Georgia Municipal Electric Authority Power Revenue Unrefunded Series Y, 10.00% due 1/1/2010 | A2/NR | $ | 310,743 | |||||
HAWAII (0.80%) | ||||||||||
2,000,000 | Hawaii Department of Budget & Finance, 6.40% due 7/1/2013 (Insured: MBIA) | Aaa/AAA | 2,420,460 | |||||||
970,000 | Hawaii Housing Finance Development Corp. Series B, 5.85% due 7/1/2017 (Collateralized: FNMA) | Aaa/AAA | 992,601 | |||||||
IDAHO (0.20%) | ||||||||||
985,000 | Boise City Industrial Development Corp., 5.40% due 12/15/2009 (Western Trailer Co. Project; LOC: First Security) | Aaa/NR | 988,605 | |||||||
ILLINOIS (12.50%) | ||||||||||
1,930,000 | Bedford Park Tax Increment Revenue Refunding Series 1993, 8.00% due 12/1/2010 pre-refunded 12/1/2004 | NR/BBB- | 1,950,593 | |||||||
300,000 | Central Lake County Joint Action Water Agency Series 1991, 0% due 5/1/2005 (Insured: MBIA) | Aaa/AAA | 297,051 | |||||||
800,000 | Champaign County Community Unit Series C, 0% due 1/1/2011 pre-refunded 1/1/2010 @ 94.672 (Insured: FGIC) | Aaa/AAA | 634,128 | |||||||
3,020,000 | Chicago Housing Authority Capital, 5.00% due 7/1/2008 | Aa3/AA | 3,254,986 | |||||||
600,000 | Chicago Park District Harbor, 5.75% due 1/1/2011 | A2/NR | 687,882 | |||||||
2,285,000 | Chicago Tax Increment Allocation Lincoln Belmont A, 5.30% due 1/1/2014 (Insured: ACA) | NR/A | 2,374,915 | |||||||
650,000 | Chicago Wastewater Transmission Revenue Refunding Second Lien, 5.50% due 1/1/2013 (Insured: MBIA) | Aaa/AAA | 740,447 | |||||||
885,000 | Cicero Refunding Tax Increment Series A, 4.50% due 1/1/2008 (Insured: FGIC) | Aaa/AAA | 941,932 | |||||||
500,000 | Cook County Capital Improvement, 5.50% due 11/15/2008 (Insured: FGIC) | Aaa/AAA | 539,540 | |||||||
4,200,000 | Cook County School District Class A, 0% due 12/1/2022 | NR/NR | 1,447,404 | |||||||
655,000 | Du Page County School District Capital Appreciation, 0% due 2/1/2010 (Insured: FGIC) | Aaa/NR | 544,495 | |||||||
1,500,000 | Freeport Illinois, 5.375% due 1/1/2018 | Aaa/AAA | 1,650,300 | |||||||
2,860,000 | Illinois Development Finance Authority Revenue, 6.00% due 11/15/2012 (Insured: MBIA) | Aaa/AAA | 3,301,126 | |||||||
720,000 | Illinois Development Finance Authority Revenue Refunding Community Rehab Providers A, 5.90% due 7/1/2009 | NR/BBB | 754,121 | |||||||
500,000 | Illinois Development Financing Authority, 7.125% due 3/15/2007 (Children’s Home & Aid Society Project; LOC: Bank One) | NR/A-1 | 502,075 | |||||||
2,400,000 | Illinois Development Financing Authority Debt Restructuring Revenue Series 1994, 7.25% due 11/15/2009 (East St. Louis Project) | NR/A | 2,463,432 | |||||||
1,160,000 | Illinois Educational Facilities Authority Revenues Adjusted Medium Term, 4.75% due 11/1/2036 put 11/1/2016 @ 100 (Field Museum Project) | A2/A | 1,198,802 | |||||||
475,000 | Illinois Educational Facilities Authority Revenues Capital Appreciation, 0% due 7/1/2014 pre-refunded 7/1/2009 @ 57.17 (Insured: MBIA) | Aaa/AAA | 230,033 | |||||||
230,000 | Illinois Educational Facilities Authority Revenues Loyola University A, 6.00% due 7/1/2012 (Insured: MBIA) (ETM)* | Aaa/AAA | 270,441 | |||||||
1,500,000 | Illinois Educational Facilities Authority Revenues Midwestern University B, 5.50% due 5/15/2018 (Insured: ACA) | NR/A | 1,563,360 | |||||||
1,540,000 | Illinois Educational Facilities Authority Revenues Unrefunded Balance Loyola A, 5.00% due 7/1/2006 (Insured: MBIA) | Aaa/AAA | 1,618,325 | |||||||
770,000 | Illinois Educational Facilities Authority Revenues Unrefunded Balance Loyola A, 6.00% due 7/1/2011 (ETM)* | Aaa/AAA | 894,886 | |||||||
970,000 | Illinois Educational Facilities Authority Revenues Unrefunded Balance Loyola A, 6.00% due 7/1/2012 (ETM)* | Aaa/AAA | 1,126,917 | |||||||
1,055,000 | Illinois Health Facilities Authority Revenue, 5.50% due 10/1/2009 (Decatur Memorial Hospital Project) | A2/A | 1,158,422 | |||||||
101,000 | Illinois Health Facilities Authority Revenue, 7.60% due 8/15/2010 (Insured: FSA) | Aaa/AAA | 103,009 | |||||||
1,900,000 | Illinois Health Facilities Authority Revenue, 5.75% due 8/15/2013 (Children’s Memorial Hospital Series A Project; Insured: AMBAC) pre-refunded 8/15/2009 @ 101 | Aaa/AAA | 2,171,225 | |||||||
990,000 | Illinois Health Facilities Authority Revenue, 5.70% due 2/20/2021 (Midwest Care Center Project; Collateralized: GNMA) | Aaa/NR | 1,067,992 | |||||||
1,250,000 | Illinois Health Facilities Authority Revenue Healthcare Systems, 6.25% due 11/15/2019 (OSF Healthcare Project) | A2/A | 1,340,025 | |||||||
32,000 | Illinois Health Facilities Authority Revenue Series A, 7.60% due 8/15/2010 (Insured: FSA) | Aaa/AAA | 33,764 | |||||||
1,205,000 | Illinois University Revenues, 5.25% due 1/15/2018 (UIC South Campus Development Project) (Insured: FGIC) | Aaa/AAA | 1,325,777 |
Certified Annual Report 19
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||
$ | 680,000 | Jackson & Williamson Countys, Illinois, 7.50% due 12/1/2009 (Insured: AMBAC) | Aaa/AAA | $ | 827,703 | |||||
5,550,000 | Lake County Community High School Capital Appreciation Series B, 0% due 12/1/2012 (Insured: FGIC) | Aaa/NR | 4,043,896 | |||||||
755,000 | Marion Refunding, 5.00% due 9/15/2012 (Insured: FGIC) | Aaa/AAA | 833,724 | |||||||
710,000 | McHenry County School District Woodstock G.O., 6.80% due 1/1/2006 (Insured: FSA) | Aaa/AAA | 752,841 | |||||||
1,015,000 | Melrose Park Tax Increment Series B, 6.50% due 12/15/2015 (Insured: FSA) | Aaa/AAA | 1,204,064 | |||||||
800,000 | Sangamon County Property Tax Lease Receipts, 7.45% due 11/15/2006 | Aa3/NR | 850,376 | |||||||
2,400,000 | Sangamon County School District Series A, 5.875% due 8/15/2018 (Hay Edwards Project) | NR/A | 2,582,040 | |||||||
1,170,000 | Sherman Revenue Refunding Mortgage, 6.10% due 10/1/2014 (Collateralized: GNMA) | Aaa/AAA | 1,282,367 | |||||||
1,600,000 | Sherman Revenue Refunding Mortgage, 6.20% due 10/1/2019 (Collateralized: GNMA) | Aaa/AAA | 1,742,192 | |||||||
1,425,000 | Southern Illinois University Revenues, 0% due 4/1/2014 (Insured: MBIA) | Aaa/AAA | 960,906 | |||||||
500,000 | Southwestern Illinois Development Authority Revenue, 5.375% due 8/15/2015 | Baa2/BBB+ | 511,815 | |||||||
1,590,000 | University of Illinois Revenue Capital Appreciation, 0% due 4/1/2014 (Insured: MBIA) | Aaa/AAA | 1,072,169 | |||||||
1,000,000 | West Chicago Industrial Development Revenue, 6.90% due 9/1/2024 (Leggett & Platt Inc. Project) | NR/A+ | 1,023,900 | |||||||
1,000,000 | Will & Kendall Counties Community Series B, 5.125% due 1/1/2014 (Insured: FSA) | Aaa/AAA | 1,098,400 | |||||||
3,000,000 | Will County Community School 365-U Capital Appreciation, 0% due 11/1/2011 (Insured: FSA) | Aaa/AAA | 2,307,060 | |||||||
INDIANA (6.50%) | ||||||||||
895,000 | Allen County Economic Development, 5.80% due 12/30/2012 (Indiana Institute of Technology Project) | NR/NR | 956,683 | |||||||
1,355,000 | Allen County Economic Development, 5.75% due 12/30/2015 (Indiana Institute of Technology Project) | NR/NR | 1,483,861 | |||||||
1,000,000 | Allen County War Memorial Series A, 5.25% due 11/1/2013 (Insured: AMBAC) | Aaa/NR | 1,107,020 | |||||||
1,000,000 | Boone County Hospital Association, 5.625% due 1/15/2015 (Insured: FGIC) | Aaa/AAA | 1,124,190 | |||||||
1,515,000 | Dyer Redevelopment Authority, 6.40% due 7/15/2015 | NR/BBB+ | 1,668,030 | |||||||
1,910,000 | Dyer Redevelopment Authority, 6.50% due 7/15/2016 | NR/BBB+ | 2,102,146 | |||||||
350,000 | East Chicago Elementary School Building First Mortgage Series A, 6.25% due 7/5/2008 | NR/A | 391,465 | |||||||
1,000,000 | Gary Building Corp.- Lake County First Mortgage Series 1994-B, 8.25% due 7/1/2010 (Sears Building Project) | NR/NR | 1,029,680 | |||||||
1,020,000 | Goshen Chandler School Building Capital Appreciation Refunding,0% due 1/15/2011 (Insured: MBIA) | Aaa/AAA | 811,736 | |||||||
2,600,000 | Hamilton Southeastern Indiana, 6.25% due 7/15/2006 (North Delaware School Building Project; Insured: AMBAC) | Aaa/AAA | 2,794,948 | |||||||
1,000,000 | Huntington Economic Development Revenue, 6.40% due 5/1/2015 (United Methodist Memorial Project) | NR/NR | 1,059,470 | |||||||
700,000 | Indiana Bond Bank Common School Fund Advanced Purchase Funding, 5.00% due 2/1/2009 (Insured: AMBAC) | Aaa/AAA | 764,925 | |||||||
1,500,000 | Indiana Bond Bank Special Program Hendrick’s Redevelopment Series B, 6.20% due 2/1/2023 (LOC: Canadian Imperial Bank) pre-refunded 2/1/2007 @ 102 | NR/A+ | 1,670,430 | |||||||
575,000 | Indiana Health Facility Hospital Revenue, 5.75% due 9/1/2015 (ETM)* | NR/AAA | 576,857 | |||||||
1,000,000 | Indiana Health Facility Hospital Revenue, 5.40% due 2/15/2016 (Clarian Health Obligation Group Project; Insured: MBIA) | Aaa/AAA | 1,107,400 | |||||||
910,000 | Indiana Public School Building Corp. First Mortgage, 6.00% due 7/5/2007 (Insured: State Aid Withholding) (b) | NR/AA | 1,001,346 | |||||||
1,065,000 | Indiana State Educational Facilities Authority Revenue, 5.65% due 10/1/2015 (University of Indianapolis Project) | NR/A- | 1,164,599 | |||||||
1,025,000 | Indiana State Educational Facilities Authority Revenue, 5.70% due 10/1/2016 (University of Indianapolis Project) | NR/A- | 1,121,709 | |||||||
500,000 | Indianapolis Economic Development Revenue, 5.50% due 6/1/2014 | Aa3/NR | 553,570 | |||||||
740,000 | Indianapolis Local Public Improvement Bond Bank, 0% due 7/1/2009 (ETM)* | Aa2/NR | 639,345 | |||||||
500,000 | Portage Township Multi School Bldg., 5.50% due 7/15/2015 (Insured: FGIC) | Aaa/AAA | 566,560 | |||||||
2,680,000 | Rockport Pollution Control Revenue Series A, 4.90% due 6/1/2025 put 6/1/2007 (Indiana Michigan Power Co. Project) | Baa2/BBB | 2,768,628 | |||||||
1,200,000 | Wawasee Community School Corp. First Mortgage, 5.50% due 7/15/2012 | NR/AA- | 1,358,436 | |||||||
1,685,000 | West Clark School Building Corp. First Mortgage, 5.75% due 7/15/2017 (Insured: FGIC and State Aid Withholding) | Aaa/AAA | 1,923,545 | |||||||
IOWA (1.90%) | ||||||||||
1,780,000 | Iowa Department of General Services Certificate of Participation Series 1992, 6.50% due 7/1/2006 (Insured: AMBAC) (ETM)* | Aaa/AAA | 1,786,942 | |||||||
1,000,000 | Iowa Finance Authority Health Care Facilities, 6.00% due 7/1/2013 (Genesis Medical Center Project) | A1/NR | 1,103,420 | |||||||
1,000,000 | Iowa Finance Authority Hospital Facility Revenue, 6.00% due 7/1/2012 (Trinity Regional Hospital Project; Insured: FSA) | Aaa/AAA | 1,163,980 | |||||||
1,000,000 | Iowa Finance Authority Hospital Facility Revenue, 6.75% due 2/15/2016 | A1/NR | 1,122,310 |
20 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||
$ | 2,000,000 | Iowa Finance Authority Revenue, 6.00% due 12/1/2018 (Catholic Health Initiatives Project) | Aa2/AA | $ | 2,211,600 | |||||
1,250,000 | Iowa Finance Authority Revenue Refunding Trinity Health Series B, 5.75% due 12/1/2015 | Aa3/AA- | 1,369,650 | |||||||
KANSAS (1.00%) | ||||||||||
4,200,000 | Wichita Hospital Revenue Refunding Improvement Series XI, 6.75% due 11/15/2019 (Christi Health System Project) | NR/A+ | 4,710,510 | |||||||
KENTUCKY (1.20%) | ||||||||||
4,000,000 | Kentucky Economic Development Finance Authority Series C, 0% due 10/1/2015 (Norton Healthcare Project; Insured: MBIA) | Aaa/AAA | 4,348,560 | |||||||
570,000 | Paintsville First Mortgage Revenue Refunding Series 1991, 8.65% due 9/1/2005 (Paul B. Hall Medical Center Project) | NR/NR | 573,414 | |||||||
725,000 | Wilmore Housing Facilities Revenue, 5.55% due 7/1/2013 (LOC: Allied Irish Bank PLC) | NR/NR | 765,296 | |||||||
LOUISIANA (1.90%) | ||||||||||
666 | East Baton Rouge Mortgage Financing Authority Purchase Revenue, 8.25% due 2/25/2011 (Collateralized: GNMA) | Aaa/AAA | 673 | |||||||
1,595,000 | Jefferson Sales Tax District Revenue Series B, 5.50% due 12/1/2008 (Insured: AMBAC) | Aaa/AAA | 1,781,009 | |||||||
390,000 | Louisiana Local Govt. Environment Series A, 4.10% due 9/1/2007 (Housing Bellemont Apts. Project) | Baa1/NR | 390,308 | |||||||
3,250,000 | Louisiana State Offshore Terminal Refunding Series D, 4.00% due 9/1/2023 put 9/1/2008 (Loop LLC Project) | A3/A- | 13,357,835 | |||||||
3,000,000 | Morehouse Parish Pollution Revenue Refunding Series A, 5.25% due 11/15/2013 (International Paper Co. Project) | Baa2/BBB | 3,220,110 | |||||||
MASSACHUSETTS (0.50%) | ||||||||||
1,205,000 | Massachusetts Development Finance Agency Refunding, 6.25% due 1/1/2015 (Odd Fellows Home Project) | NR/NR | 1,117,891 | |||||||
1,100,000 | Massachusetts Industrial Financing Agency Revenue Series A, 6.125% due 12/1/2011 (Insured: MBIA) | Aaa/AAA | 1,121,582 | |||||||
MICHIGAN (1.40%) | ||||||||||
650,000 | Kalamazoo Hospital Finance Authority Revenue Series 1994-A, 6.25% due 6/1/2014 (Borgess Medical Center Project) (ETM)* | Aaa/AAA | 788,385 | |||||||
1,000,000 | Kent Hospital Finance Authority Michigan Hospital, 7.25% due 1/15/2013 (Insured: MBIA) | Aaa/AAA | 1,205,320 | |||||||
2,450,000 | Michigan State Building Authority Revenue Refunding Facilities Program Series I, 5.25% due 10/15/2017 (Insured: FSA) | Aaa/AAA | 2,713,718 | |||||||
1,530,000 | Southfield Economic Development Corp. Refunding Revenue N.W. 12 Limited Partnership, 7.25% due 12/1/2010 | NR/NR | 1,527,307 | |||||||
MINNESOTA (0.50%) | ||||||||||
1,000,000 | Minneapolis St. Paul Health, 6.00% due 12/1/2018 (Healthpartners Obligation Group Project) | Baa1/BBB+ | 1,070,470 | |||||||
550,000 | New Ulm Minnesota Independent School District Number 088, 5.45% due 2/1/2012 crossover refunded 2/1/2005 @100 (Insured: FSA) | Aaa/AAA | 556,738 | |||||||
700,000 | Southern Minnesota Municipal Power Agency Supply, pre-refunded to various dates, Series A, 5.75% due 1/1/2018 (Insured: MBIA) | Aaa/AAA | 718,214 | |||||||
MISSISSIPPI (0.50%) | ||||||||||
1,500,000 | Mississippi Higher Educational Authority Series C, 7.50% due 9/1/2009 | A2/NR | 1,503,090 | |||||||
635,000 | Mississippi Hospital Equipment Revenue, 6.40% due 1/1/2007 (Rush Foundation Project; Guaranty: Connie Lee) | Baa3/AAA | 655,187 | |||||||
MISSOURI (1.00%) | ||||||||||
2,025,000 | Missouri Development Finance Board Healthcare Series A, 5.40% due 11/1/2018 (Lutheran Home Aged Project; LOC: Commerce Bank) | A2/NR | 2,112,237 | |||||||
1,310,000 | Platte County Missouri Certificates of Participation, 4 .00% due 9/1/2006 | NR/AA- | 1,357,972 | |||||||
1,175,000 | St. Louis Municipal Finance Corp. Leasehold Revenue, 6.25% due 2/15/2012 pre-refunded 2/1/2005 | Aaa/AAA | 1,195,398 | |||||||
NEBRASKA (0.20%) | ||||||||||
845,000 | Madison County Hospital Authority 1 Hospital Revenue,5.50% due 7/1/2014 (Faith Regional Health Services Project; Insured: Radian) | NR/AA | 922,672 |
Certified Annual Report 21
SCHEDULE OF INVESTMENT, CONTINUED
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||
NEVADA (1.50%) | ||||||||||
$ | 640,000 | Clark County Pollution Control Revenue Series B, 6.60% due 6/1/2019 (Nevada Power Company Project; Insured: FGIC) | Aaa/AAA | $ | 650,086 | |||||
1,220,000 | Las Vegas Special Improvement District Refunding Senior Local Improvement Series A, 5.375% due 6/1/2013 (Insured: FSA) | Aaa/AAA | 1,344,891 | |||||||
2,600,000 | Washoe County Capital Appreciation Reno Sparks Series B, 0% due 7/1/2011 (Insured: FSA) | Aaa/AAA | 2,023,086 | |||||||
2,350,000 | Washoe County School District Refunding Series B, 5.00% due 6/1/2010 (Insured: FGIC) | Aaa/AAA | 2,593,014 | |||||||
NEW HAMPSHIRE (1.90%) | ||||||||||
5,140,000 | Manchester Housing & Redevelopment Authority, 0% due 1/1/2017 (Insured: Radian/ACA) | NR/AA | 2,736,999 | |||||||
4,990,000 | Manchester Housing & Redevelopment Authority Capital Appreciation Series B, 0% due 1/1/2016 (Insured: Radian/ACA) | NR/AA | 2,778,981 | |||||||
3,000,000 | New Hampshire Pollution Refunding Central Maine Power Co., 5.375% due 5/1/2014 | A3/BBB+ | 3,233,220 | |||||||
NEW JERSEY (1.80%) | ||||||||||
265,000 | New Jersey EDA Refunding Revenue, 7.50% due 12/1/2019 (Spectrum for Living Development Project; LOC: PNC Bank) | A3/A | 266,155 | |||||||
2,300,000 | New Jersey State Transit Corp. Federal Transit Administration Grants Series B, 5.50% due 9/15/2007 (Insured: AMBAC) | Aaa/AAA | 2,504,746 | |||||||
5,000,000 | New Jersey State Transport Trust Fund Authority Series C, 5.50% due 6/15/2017 (Transportation Systems Project) | A1/A+ | 5,581,700 | |||||||
NEW MEXICO (0.90%) | ||||||||||
2,380,000 | Albuquerque Airport Revenue Refunding, 5.00% due 7/1/2008 (Insured: AMBAC) | Aaa/AAA | 2,559,904 | |||||||
200,000 | Albuquerque Gross Receipt and Lodgers Tax, 1.69% due 7/1/2023 put 10/7/2004 (weekly demand note) | VMIG1/A1+ | 200,000 | |||||||
1,450,000 | Farmington Pollution Control Revenue, 1.73% due 9/1/2024 put 10/1/2004 (LOC: Barclays Bank) (daily demand notes) | P1/A1+ | 1,450,000 | |||||||
NEW YORK (3.10%) | ||||||||||
2,000,000 | Long Island Power Authority General Series B, 5.00% due 12/1/2006 | Baa1/A- | 2,114,580 | |||||||
1,080,000 | Metro Transportation Authority New York Service Control Series B, 5.25% due 7/1/2006 | A3/AA- | 1,140,707 | |||||||
1,000,000 | Nassau Health Care Corp., 6.00% due 8/1/2011 (Insured: FSA) | Aaa/AAA | 1,152,480 | |||||||
1,175,000 | New York City Industrial Development Agency Series A, 5.00% due 6/1/2010 (Lycee Francais De New York Project; Insured: ACA) | NR/A | 1,246,428 | |||||||
800,000 | New York City Municipal Water Finance Authority, 1.73% due 6/15/2024 put 10/1/2004 (daily demand notes) | VMI G1/A1+ | 800,000 | |||||||
1,400,000 | New York City Refunding Series H, 1.73% due 8/1/2014 put 10/1/2004 (Insured: FSA) (daily demand notes) | VMIG1/A1+ | 1,400,000 | |||||||
700,000 | New York City Refunding Series H, 1.73% due 8/1/2022 put 10/1/2004 (Insured: FSA) (daily demand notes) | VMIG1/A1+ | 700,000 | |||||||
875,000 | New York City Trust Cultural Resources, 5.75% due 7/1/2015 (Museum of American Folk Art Project; Insured: ACA) | NR/A | 935,226 | |||||||
220,000 | New York Housing Finance Service Series A, 6.375% due 9/15/2015 pre-refunded 9/15/2007 @ 100 | A3/AAA | 246,763 | |||||||
910,000 | New York New York Series E, 6.00% due 8/1/2008 pre-refunded 8/1/2006 @ 101.50 | Aaa/AAA | 992,373 | |||||||
1,025,000 | New York New York Series E, 6.00% due 8/1/2008 (Insured: FGIC) | Aaa/AAA | 1,108,343 | |||||||
2,200,000 | Port Authority New York & New Jersey Special Obligation, 6.25% due 12/1/2011 (JFK International Air Terminal 6 Project) (Insured: MBIA) | Aaa/AAA | 2,511,344 | |||||||
NORTH CAROLINA (0.30%) | ||||||||||
1,200,000 | North Carolina Eastern Municipal Power Refunding Series A, 5.70% due 1/1/2013 (Insured: MBIA) | Aaa/AAA | 1,313,772 | |||||||
NORTH DAKOTA (0.10%) | ||||||||||
365,000 | Grand Forks Health Care System Revenue Bonds Series 1997, 6.25% due 8/15/2006 (Altra Health Systems Obligated Group Project; Insured: MBIA) | Aaa/AAA | 392,634 | |||||||
OHIO (2.00%) | ||||||||||
1,000,000 | Butler County Transportation Improvement, 6.00% due 4/1/2010 (Insured: FSA) | Aaa/AAA | 1,132,850 | |||||||
1,530,000 | Cleveland Cuyahoga County Development Bond Fund A, 6.25% due 5/15/2016 (LOC: FifthThird Bank) | NR/NR | 1,589,119 |
22 Certified Annual Report
SCHEDULE OF INVESTMENT, CONTINUED
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||
$ | 1,100,000 | Franklin County Health Care Revenue Series 1995-A, 6.00% due 11/1/2010 (Heinzerling Foundation Project; LOC: Banc One) | Aa2/NR | $ | 1,149,071 | |||||
500,000 | Franklin County Hospital, 5.80% due 12/1/2005 (Doctors Project) (ETM)* | A3/NR | 511,665 | |||||||
575,000 | North Ridgeville Economic Development, 0% due 2/1/2015 | NR/A | 246,129 | |||||||
2,000,000 | Ohio Pollution Control Revenue Refunding, 5.625% due 3/1/2015 (General Motors Corp. Project) | Baa1/BBB | 2,183,700 | |||||||
1,600,000 | Ohio State Higher Educational Facility Revenue, 5.05% due 7/1/2037 put 7/1/16 (Kenyon College Project) | A2/A | 1,718,880 | |||||||
760,000 | Reynoldsburg Health Care Facilities Revenue Bonds Series 1997, 5.70% due 10/20/2012 (Collateralized: GNMA) | Aaa/NR | 817,752 | |||||||
OKLAHOMA (2.40%) | ||||||||||
175,000 | Grady County Industrial Authority Correctional Facilities, 5.00% due 11/1/2004 (Insured: MBIA) | Aaa/AAA | 175,507 | |||||||
1,020,000 | Oklahoma City Municipal Improvement Authority, 0% due 7/1/2008 (Insured: AMBAC) | Aaa/AAA | 921,652 | |||||||
500,000 | Oklahoma City Municipal Water & Sewer Capital Appreciation Series C, 0% due 7/1/2006 (Insured: AMBAC) | Aaa/AAA | 482,610 | |||||||
1,125,000 | Oklahoma City Municipal Water & Sewer Series C, 0% due 7/1/2011 (Insured: AMBAC) | Aaa/AAA | 882,956 | |||||||
1,485,000 | Oklahoma City Municipal Water & Sewer Series C, 0% due 7/1/2013 (Insured: AMBAC) | Aaa/AAA | 1,053,578 | |||||||
825,000 | Oklahoma Development Finance Authority Hospital Association Pooled Hospital A, 5.40% due 6/1/2013 (Insured: AMBAC) | Aaa/AAA | 922,837 | |||||||
750,000 | Oklahoma Industrial Authority Revenue Refunding, 6.00% due 8/15/2010 (Integris Baptist Project; Insured: AMBAC) | Aaa/AAA | 860,977 | |||||||
2,800,000 | Tulsa County Independent School District Combined Purpose, 4.50% due 8/1/2007 | Aa3/A+ | 2,978,668 | |||||||
1,485,000 | Tulsa Industrial Development Authority Hospital Revenue, 6.10% due 2/15/2009 pre-refunded 2/15/2006 @ 100 (St. John’s Medical Center Project) | Aa3/AA | 1,570,358 | |||||||
500,000 | Tulsa Public Facilities Authority Solid Waste Revenue, 5.65% due 11/1/2006 (Ogden Martin Project; Insured: AMBAC) | Aaa/AAA | 534,615 | |||||||
500,000 | Woodward Municipal Hospital Authority Revenue Series 1994, 8.25% due 11/1/2009 | NR/NR | 510,390 | |||||||
OREGON (0.50%) | ||||||||||
365,000 | Albany Hospital Facility Authority Gross Revenue & Refunding Series 1994, 7.00% due 10/1/2005 (Mennonite Home Project) | NR/NR | 371,391 | |||||||
800,000 | Forest Grove Campus Improvement & Refunding Pacific University, 6.00% due 5/1/2015 (Insured: Radian) | NR/AA | 887,544 | |||||||
1,070,000 | Oregon Economic Development Department of Revenue Series CLII, 7.70% due 12/1/2014 (Smokecraft Project; LOC: Seafirst Bank) | Aa2/NR | 1,079,876 | |||||||
PENNSYLVANIA (2.10%) | ||||||||||
380,000 | Admiral Peary Area Vocational School, 5.25% due 2/1/2005 (state aid withheld) | NR/A | 381,113 | |||||||
500,000 | Allegheny County Hospital Development, 7.00% due 8/1/2015 (ETM)* | NR/AAA | 630,470 | |||||||
1,400,000 | Allegheny County Hospital Development Health Series B, 6.50% due 5/1/2012 (South Hills Health Systems Project) | Baa1/NR | 1,471,274 | |||||||
600,000 | Allegheny County Ind. Development Authority Health & Housing Facilities Revenue Refunding Series B, 1.80% due 7/1/2027 put 10/1/2004 (Longwood Project; Insured: Radian) (daily demand notes) | NR/A1+ | 600,000 | |||||||
1,750,000 | Carbon County Industrial Development Authority Refunding, 6.65% due 5/1/2010 (Panther Creek Partners Project) | NR/BBB- | 1,892,048 | |||||||
795,000 | Lancaster County Capital Appreciation Series B, 0% due 5/1/2014 (Insured: FGIC) | Aaa/NR | 533,532 | |||||||
800,000 | Lancaster County Capital Appreciation Series B, 0% due 5/1/2015 (Insured: FGIC) | Aaa/NR | 504,480 | |||||||
785,000 | Lehigh County General Purpose Shepard Rehab. Hospital, 6.00% due 11/15/2007 (Insured: AMBAC) | Aaa/AAA | 870,573 | |||||||
800,000 | McKeesport Area School District Series B, 0% due 10/1/2004 | NR/A | 799,952 | |||||||
2,032,839 | Pennsylvania Higher Education University Series 14, 0% due 7/1/2020 (Insured: AMBAC) | Aaa/AAA | 638,007 | |||||||
500,000 | Pennsylvania State Higher Educational Facility Allegheny Delaware Valley Obligation A, 5.60% due 11/15/2009 (Insured: MBIA) | Aaa/AAA | 551,685 | |||||||
480,000 | Pennsylvania State Higher Educational Facility Allegheny Delaware Valley Obligation A, 5.60% due 11/15/2010 (Insured: MBIA) | Aaa/AAA | 532,133 | |||||||
RHODE ISLAND (1.30%) | ||||||||||
1,840,000 | Providence Series C, 5.50% due 1/15/2011 (Insured: FGIC) | Aaa/AAA | 2,083,266 | |||||||
1,325,000 | Rhode Island Health & Education Building Hospital Financing, 5.25% due 7/1/2015 (Memorial Hospital Project; LOC: Fleet Bank) | NR/AA- | 1,412,927 |
Certified Annual Report 23
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 1,000,000 | Rhode Island Health & Education Building Refunding, 6.00% due 8/1/2014 (Credit Support: FHA) | NR/AAA | $ | 1,105,660 | |||||||
1,065,000 | Rhode Island Health & Education Building Refunding Higher Education State University, 5.00% due 3/15/2014 (Insured: Radian) | NR/AA | 1,139,433 | |||||||||
SOUTH CAROLINA (0.70%) | ||||||||||||
3,100,000 | Darlington County Industrial Development, 6.00% due 4/1/2026 (Sonoco Products Co. Project) | A2/A- | 3,264,765 | |||||||||
SOUTH DAKOTA (0.20%) | ||||||||||||
1,000,000 | South Dakota Housing Development Authority Homeownership Series B, 4.85% due 5/1/2009 | Aa1/AAA | 1,066,800 | |||||||||
TENNESSEE (0.50%) | ||||||||||||
2,000,000 | Knox County Health, 1.00% due 6/1/2031 put 6/1/2011 (Collateralized: FNMA) | NR/AAA | 2,093,260 | |||||||||
TEXAS (14.70%) | ||||||||||||
1,250,000 | Bexar County Health Facilities Development Corp., 6.125% due 7/1/2022 (Army Retirement Residence Project) | NR/BBB- | 1,318,663 | |||||||||
600,000 | Bexar County Housing Finance Corp., 5.50% due 1/1/2016 (Insured: MBIA) | Aaa/NR | 648,954 | |||||||||
1,035,000 | Bexar County Housing Finance Corp., 5.70% due 1/1/2021 (Insured: MBIA) | Aaa/NR | 1,111,279 | |||||||||
2,000,000 | Bexar County Housing Finance Corp., 6.50% due 12/1/2021 | A3/NR | 2,025,920 | |||||||||
1,120,000 | Bexar County Housing Finance Corp. Multi Family Housing, 5.40% due 8/1/2012 (Dymaxion & Marrach Park Apts.A Project; Insured: MBIA) | Aaa/NR | 1,191,960 | |||||||||
1,270,000 | Bexar County Housing Finance Corp. Multi Family Housing, 5.95% due 8/1/2020 (Dymaxion & Marrach Park Apts.A Project; Insured: MBIA) | Aaa/NR | 1,382,966 | |||||||||
975,000 | Bexar County Housing Finance Corp. Series A, 5.875% due 4/1/2014 (Honey Creek Apartments Project; Insured: MBIA) | Aaa/NR | 1,042,285 | |||||||||
800,000 | Bexar County Housing Finance Corp. Series A, 6.125% due 4/1/2020 (Honey Creek Apartments Project; Insured: MBIA) | Aaa/NR | 847,528 | |||||||||
2,800,000 | Birdville Independent School District Refunding, 0% due 2/15/2012 (Guaranty: PSF) | Aaa/AAA | 2,108,988 | |||||||||
1,130,000 | Carroll Independent School District Capital Appreciation Refunding, 0% due 2/15/2011 (Guaranty: PSF) | Aaa/AAA | 867,185 | |||||||||
5,000,000 | Coppell Independent School District Capital Appreciation Refunding, 0% due 8/15/2013 (Guaranty: PSF) | NR/AAA | 3,283,200 | |||||||||
1,100,000 | De Soto Independent School District Refunding, 5.125% due 8/15/2017 (Guaranty: PSF) | NR/AAA | 1,102,552 | |||||||||
3,000,000 | Duncanville Independent School District Capital Appreciation Refunding Series B, 0% due 2/15/2016 (Guaranty: PSF) | Aaa/AAA | 1,714,560 | |||||||||
3,750,000 | El Paso Independent School District Capital Appreciation Refunding, 0% due 8/15/2010 (Guaranty: PSF) | Aaa/AAA | 2,955,450 | |||||||||
2,500,000 | El Paso Independent School District Capital Appreciation Refunding, 0% due 8/15/2011 (Guaranty: PSF) | Aaa/AAA | 1,848,425 | |||||||||
2,460,000 | Ennis Independent School District Refunding, 0% due 8/15/2012 (Guaranty: PSF) | Aaa/NR | 1,775,751 | |||||||||
2,490,000 | Ennis Independent School District Refunding, 0% due 8/15/2013 (Guaranty: PSF) | Aaa/NR | 1,720,490 | |||||||||
2,525,000 | Ennis Independent School District Refunding, 0% due 8/15/2014 (Guaranty: PSF) | Aaa/NR | 1,636,781 | |||||||||
1,000,000 | Fort Worth Water & Sewer Revenue, 5.25% due 2/15/2009 | Aa2/AA | 1,104,310 | |||||||||
1,320,000 | Gulf Coast Center Revenue, 6.75% due 9/1/2020 (Mental Health Retardation Center Project) | NR/BBB+ | 1,414,789 | |||||||||
6,245,000 | Hays Consolidated Independent School District Capital Appreciation, 0% due 8/15/2013 (Guaranty: PSF) | Aaa/AAA | 4,208,568 | |||||||||
880,000 | Houston Water Conveyance System Contract Certificate of Participation Series F, 7.20% due 12/15/2004 (Insured: AMBAC) | Aaa/AAA | 889,900 | |||||||||
470,000 | Irving Hospital Authority Series B, 5.80% due 7/1/2009 (Irving Healthcare Systems Project; Insured: FSA) | Aaa/AAA | 483,080 | |||||||||
1,500,000 | Irving Waterworks & Sewer Revenue Refunding & Improvement, 5.375% due 8/15/2014 | Aa2/AA | 1,672,815 | |||||||||
1,200,000 | Lubbock Texas Health Facilities Development Corp., 5.25% due 7/1/2013 (St. Joseph Health Systems Project) | Aa3/AA- | 1,265,928 | |||||||||
1,420,000 | Mesquite Independent School District Refunding, 0% due 8/15/2012 (Guaranty: PSF) | NR/AAA | 1,018,353 | |||||||||
1,000,000 | Midlothian Independent School District Capital Appreciation Refunding, 0% due 2/15/2012 (Guaranty: PSF) | Aaa/NR | 753,210 | |||||||||
735,000 | Midtown Redevelopment Authority Tax, 6.00% due 1/1/2012 (Insured: Radian) | Baa2/AA | 826,368 | |||||||||
500,000 | Midtown Redevelopment Authority Tax, 6.00% due 1/1/2013 (Insured: Radian) | Baa2/AA | 557,435 | |||||||||
500,000 | North Central Texas Health Facility Development Refunding, 5.50% due 5/15/2013 (Baylor Health Care Systems Project) | Aa3/AA- | 521,685 | |||||||||
1,000,000 | Pharr San Juan Alamo Independent Building, 5.75% due 2/1/2013 (Guaranty: PSF) | Aaa/AAA | 1,123,350 | |||||||||
1,000,000 | Sabine River Authority Texas Pollution Refunding Series A, 5.80% due 7/1/2022 (TXU Energy Co. Project) | Baa2/BBB | 1,022,310 | |||||||||
3,000,000 | Sam Rayburn Municipal Power Agency Refunding, 6.00% due 10/1/2016 | Baa2/BBB- | 3,276,450 |
24 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 1,775,000 | Stafford Economic Development, 6.00% due 9/1/2017 (Insured: FGIC) | Aaa/AAA | $ | 2,088,252 | |||||||
3,500,000 | Tarrant County Health Facilities, 6.625% due 11/15/2020 (Adventist/Sunbelt) | A2/A | 3,871,840 | |||||||||
500,000 | Texarkana Health Facilities Hospital Refunding Series A, 5.75% due 10/1/2009 (Wadley Regional Medical Center Project; Insured: MBIA) | Aaa/AAA | 563,435 | |||||||||
2,500,000 | Texarkana Health Facilities Hospital Refunding Series A, 5.75% due 10/1/2011 (Insured: MBIA) | Aaa/AAA | 2,864,200 | |||||||||
2,000,000 | Travis County Health Facilities Development Series A, 5.75% due 11/15/2010 (Ascension Health Project; Insured: MBIA) | Aaa/AAA | 2,254,700 | |||||||||
3,000,000 | Travis County Health Facilities Development Series A, 6.25% due 11/15/2014 (Ascension Health Project; Insured: MBIA) pre-refunded 11/15/2009 @ 101 | Aaa/AAA | 3,509,790 | |||||||||
600,000 | Upper Trinity Regional Water District Regional Treated Water Supply Systems Series A, 7.125% due 8/1/2008 (Insured: FGIC) | Aaa/AAA | 699,012 | |||||||||
870,000 | Waco Health Facilities Development Corp. Series A, 6.00% due 11/15/2015 pre-refunded 11/15/2009 (Ascension Health) | Aa2/AAA | 1,011,158 | |||||||||
1,050,000 | Waco Health Facilities Development Corp. Series A, 6.00% due 11/15/2016 pre-refunded 11/15/2009 (Ascension Health) | Aa2/AAA | 1,220,362 | |||||||||
500,000 | West Harris County Municipal Utility Refunding, 6.00% due 3/1/2017 (Insured: Radian) | NR/AA | 545,500 | |||||||||
UTAH (1.00%) | ||||||||||||
1,085,000 | Salt Lake City Municipal Building Series B, 5.30% due 10/15/2012 (Insured: AMBAC) | Aaa/AAA | 1,209,439 | |||||||||
595,000 | Utah Board of Regents Auxiliary Refunding Series A, 5.25% due 5/1/2013 | NR/AA | 659,355 | |||||||||
1,000,000 | Utah County Municipal Building Authority, 5.50% due 11/1/2016 (Insured: AMBAC) | Aaa/NR | 1,125,860 | |||||||||
520,000 | Utah Housing Finance Agency, 6.05% due 7/1/2016 (Credit Support: FHA) | NR/AAA | 547,945 | |||||||||
125,000 | Utah Housing Finance Agency Single Family Mortgage D-2 Class I, 5.85% due 7/1/2015 | Aa2/AA | 125,857 | |||||||||
940,000 | Utah Water Finance Agency Revenue Pooled Loan Financing Program Series A, 5.00% due 10/1/2012 (Insured: AMBAC) | Aaa/NR | 1,040,787 | |||||||||
VIRGINIA (2.80%) | ||||||||||||
2,000,000 | Alexandria Industrial Development Authority, 5.90% due 10/1/2020 (Insured: AMBAC) | Aaa/AAA | 2,292,800 | |||||||||
1,500,000 | Alexandria Industrial Development Authority Institute For Defense Analyses Series A, 6.00% due 10/1/2014 (Insured: AMBAC) | Aaa/AAA | 1,743,255 | |||||||||
1,590,000 | Alexandria Industrial Development Authority Institute For Defense Analyses Series A, 6.00% due 10/1/2015 (Insured: AMBAC) | Aaa/AAA | 1,845,481 | |||||||||
500,000 | Arlington County Industrial Development, 6.30% due 7/1/2016 pre-refunded 7/1/2005 @ 102 | NR/A | 527,380 | |||||||||
1,000,000 | Fauquier County Industrial Development Authority, 5.50% due 10/1/2016 (Insured: Radian) | NR/AA | 1,109,150 | |||||||||
795,000 | Hanover County Industrial Development Authority Medical Facilities Revenue, 6.00% due 10/1/2021 (Insured: MBIA) (ETM)* | Aaa/AAA | 795,175 | |||||||||
1,635,000 | Norton Industrial Development Authority Hospital Refunding, 6.00% due 12/1/2014 (Norton Community Hospital Project; Insured: ACA) | NR/A | 1,804,092 | |||||||||
2,210,000 | Spotsylvania County Industrial Development, 6.00% due 9/1/2019 put 9/1/2008 (Walter Grinders Project; LOC: Deutsche Bank) | NR/NR | 2,308,698 | |||||||||
500,000 | Virginia College Building Authority, 5.55% due 11/1/2019 put 11/1/2004 @ 100 (University of Richmond Project) | Aa1/AA | 501,710 | |||||||||
WASHINGTON (6.30%) | ||||||||||||
1,500,000 | Benton County Public Utility District Refunding Series A, 5.625% due 11/1/2012 (Insured: FSA) | Aaa/AAA | 1,708,350 | |||||||||
940,000 | Chelan County Public Utility District Refunding Series B, 4.50% due 7/1/2005 (Chelan Hydro Electric Project; Insured: FGIC) (a) | Aaa/AAA | 943,140 | |||||||||
1,000,000 | Energy Northwest Washington Series A, 5 due 7/1/2015 (Wind Project) | A3/A- | 1,059,510 | |||||||||
745,000 | Energy Northwest Washington Series B, 5 due 7/1/2009 (Wind Project) | A3/A- | 786,213 | |||||||||
285,000 | Grant County Public Utility District-2 Wanapum Hydro Electric Revenue Series C, 6.00% due 1/1/2006 (Insured: AMBAC) | Aaa/AAA | 299,535 | |||||||||
500,000 | Snohomish County Public Utility 001 Systems Notes, 5.00% due 12/1/2005 | A1/SP1+ | 518,065 | |||||||||
750,000 | Tacoma Electric Systems Revenue Series A, 5.50% due 1/1/2012 (Insured: FSA) | Aaa/AAA | 845,303 | |||||||||
1,350,000 | University of Washington Revenue Refunding, 5.25% due 8/15/2009 (University of Washington Medical Center Project; Insured: MBIA) | Aaa/AAA | 1,490,049 |
Certified Annual Report 25
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 3,500,000 | Vancouver Downtown Redevelopment Senior Series A, 5.50% due 1/1/2018 (Conference Center Project; Insured: ACA) | NR/A | $ | 3,694,425 | |||||||
2,690,000 | Washington Health Care Facilities, 5.50% due 12/1/2010 (Insured: MBIA) | Aaa/AAA | 2,999,888 | |||||||||
1,735,000 | Washington Health Care Facilities, 6.00% due 12/1/2014 (Insured: MBIA) | Aaa/AAA | 1,990,218 | |||||||||
1,945,000 | Washington Health Care Facilities, 6.00% due 12/1/2015 (Insured: MBIA) | Aaa/AAA | 2,210,843 | |||||||||
1,500,000 | Washington Health Care Facilities Refunding, 6.375% due 10/1/2010 (Insured: FGIC) | Aaa/AAA | 1,752,885 | |||||||||
1,025,000 | Washington Health Care Facilities Sea Mar Community Health Center, 5.60% due 1/1/2018 (LOC: U.S. Bancorp) | Aa3/NR | 1,102,346 | |||||||||
500,000 | Washington Nonprofit Housing, 5.60% due 7/1/2011 (Kline Galland Center Project; Insured: Radian) | NR/AA | 547,745 | |||||||||
1,000,000 | Washington Nonprofit Housing, 5.875% due 7/1/2019 (Kline Galland Center Project; Insured: Radian) | NR/AA | 1,103,720 | |||||||||
1,000,000 | Washington Public Power Supply Capital Appreciation Refunding Series B, 0% due 7/1/2011 | Aaa/AA- | 774,510 | |||||||||
3,030,000 | Washington Public Power Supply Refunding Series A, 5.00% due 7/1/2011 (Insured: FSA) | Aaa/AAA | 3,301,064 | |||||||||
960,000 | Washington Public Power Supply System, 0% due 7/1/2010 (Project 3) | Aaa/AA- | 781,421 | |||||||||
1,000,000 | Washington State Multi Family Mortgage Revenue, 6.30% due 1/1/2021 put 1/1/2011 @100 (LOC: US Bank N.A.) | NR/AA- | 1,096,500 | |||||||||
WEST VIRGINIA (0.20%) | ||||||||||||
1,000,000 | Marshall County Pollution Control, 5.90% due 4/1/2022 (Insured: MBIA) | Aaa/AAA | 1,006,900 | |||||||||
WISCONSIN (0.70%) | ||||||||||||
60,000 | Bass Lake PCRB, 6.50% due 4/1/2005 (Johnson Timber Corp. Project; Guaranty: SBA) | NR/NR | 60,035 | |||||||||
1,000,000 | Wisconsin Health & Educational Facilities, 5.75% due 8/15/2020 (Eagle River Memorial Hospital Inc. Project; Insured: Radian) | NR/AA | 1,101,400 | |||||||||
2,000,000 | Wisconsin Housing & Economic Development Housing Series A, 5.875% due 11/1/2016 (Insured:AMBAC) | Aaa/AAA | 2,145,300 | |||||||||
TOTAL INVESTMENTS (100%) (Cost $431,268,725) | $ | 457,386,677 | ||||||||||
† | Credit ratings are unaudited. | |||
* | Escrowed to maturity. |
(a) | When issued security. | |||
(b) | Segregated as collateral for a when issued security. | |||
See notes to financial statements. |
CREDIT RATING†
26 Certified Annual Report
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Intermediate Municipal Fund
To the Trustees and Shareholders of
Thornburg Intermediate Municipal Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg Intermediate Municipal Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the “Fund”) at September 30, 2004, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five 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 Fund’s 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 the standards of the Public Company Accounting Oversight Board (United States). Those standards 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, 2004 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 9, 2004
Certified Annual Report 27
EXPENSE EXAMPLE
Thornburg Intermediate Municipal Fund | September 30, 2004 |
As a shareholder of the Fund, you incur two types of costs:
(1) transaction costs, including
(a) | sales charges (loads) on purchase payments, for Class A Shares, | |||
(b) | a deferred sales charge on redemptions of any part of all of a purchase of $1 million of Class A shares within 12 months of purchase, and | |||
(c) | a deferred sales charge on redemptions of Class C shares within 12 months of purchase; and |
(2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses.
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested on April 1, 2004 and held until September 30, 2004.
Actual Expenses
The first line of the table at right provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table at right provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses Paid | ||||||||||
Account Value | Account Value | During Period† | ||||||||||
4/01/04 | 9/30/04 | 4/1/04–9/30/04 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000 | $ | 1,010.50 | $ | 4.96 | ||||||
Hypothetical* | $ | 1,000 | $ | 1,020.07 | $ | 4.98 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000 | $ | 1,009.20 | $ | 6.23 | ||||||
Hypothetical* | $ | 1,000 | $ | 1,018.80 | $ | 6.26 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000 | $ | 1,012.10 | $ | 3.36 | ||||||
Hypothetical* | $ | 1,000 | $ | 1,021.66 | $ | 3.38 | ||||||
†Expenses are equal to the annualized expense ratio for each class (A: 0.99%; C: 1.24%; and I: 0.67%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period.
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
28 Certified Annual Report
INDEX COMPARISON
Thornburg Intermediate Municipal Fund | September 30, 2004 |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Intermediate Municipal Fund Class A Total Returns, versus
Merrill Lynch 7-12 Year Municipal Bond Index and Consumer Price Index
(July 31, 1991 to September 30, 2004)
AVERAGE ANNUAL TOTAL RETURNS
For the periods ended September 30, 2004 (with sales charge)
Since | ||||||||||||||||
1 Yr | 5 Yrs | 10 Yrs | Inception | |||||||||||||
A Shares (Incep: 7/22/91) | 1.20 | % | 4.73 | % | 5.11 | % | 5.73 | % | ||||||||
C Shares (Incep: 9/1/94) | 2.40 | % | 4.77 | % | 4.90 | % | 4.76 | % |
FUND ATTRIBUTES
as of September 30, 2004
Annualized | SEC | Maximum | ||||||||||||||
Dist. Rate (NAV) | Yield | NAV | Offering Price | |||||||||||||
A Shares (Incep: 7/22/91) | 3.71 | % | 2.54 | % | $ | 13.48 | $ | 13.76 | ||||||||
C Shares (Incep: 9/1/94) | 3.45 | % | 2.33 | % | $ | 13.50 | $ | 13.50 |
Performance data reflect past performance, which is no guarantee of future results. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares.
Returns reflect the reinvestment of dividends and capital gains and the following sales charges: Class A Shares are sold with a maximum sales charge of 2.00%. C shares assume deduction of a 0.60% contingent deferred sales charge (CDSC) for the first year only.
The Consumer Price Index (“CPI”) measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. The CPI is also known as the cost-of-living index.
The Merrill Lynch 7-12 Year Municipal Bond Index represents a broad measure of market performance. It is a model portfolio of municipal obligations throughout the U.S., with an average maturity which ranges from seven to twelve years.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
The SEC Yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Funds’ shares at the end of the period.
The distribution rate is calculated by taking the sum of the month’s total distribution factors and dividing this sum by a 30-day period and annualizing to 360-day year. The value is then divided by the ending Net Asset Value (NAV) to arrive at the annualized distribution yield. The yield is calculated on a periodic basis and is subject to change depending on the Funds’ NAV and current distributions.
Certified Annual Report 29
TRUSTEES AND OFFICERS
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4) (6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
INTERESTED TRUSTEES(2) (4) | ||||
Garrett Thornburg, 58 Chairman of Trustees Trustee since 1987(3) | CEO, Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor) and Thornburg Securities Corporation (securities dealer); Chairman of Thornburg Limited Term Municipal Fund, Inc. (registered investment company) to 2004; CEO and Chairman of Thornburg Mortgage, Inc. (real estate investment trust); Chairman of Thornburg Mortgage Advisory Corporation (investment manager to Thornburg Mortgage, Inc.). | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Brian J. McMahon, 48 Trustee since 2001 President since 1997(5) (6) | President and Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | None | ||
INDEPENDENT TRUSTEES(2)(4) | ||||
David A. Ater, 59 Trustee since 1994 | Principal in Ater & Ater Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner developer and broker for various real estate projects. | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
David D. Chase, 63 Trustee since 2000 | Chairman, President, CEO, and General Partner of Vestor Partners, LP, Santa Fe, NM (private equity fund); Chairman and CEO of Vestor Holdings, Inc., Santa Fe, NM (merchant bank). | Director of Thornburg Limited Term Municipal Fund, Inc. 2001–2004 | ||
Eliot R. Cutler, 58 Trustee since 2004 | Partner, Akin, Gump, Strauss, Hauer & Feld, LLP, Washington, D.C. (law firm) since November 2000; partner, Cutler & Stanfield, Washington, D.C. (law firm) until November 2000. | Director of Thornburg Limited Term Municipal Fund,Inc.to 2004;director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Susan H. Dubin, 55 Trustee since 2004 | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations; and formerly, Vice President of Chemical Bank (predecessor to JP Morgan Chase & Co.), New York, 1974–1996. | None | ||
Forrest S. Smith, 74 Trustee since 1987 | Trust and estate attorney, of counsel to Catron, Catron & Pottow, Santa Fe, NM (law firm). | None | ||
Owen D. Van Essen, 50 Trustee since 2004 | President of Dirks,Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 45 Trustee since 1996 | Executive Vice President and Director to 2002,and since 2002; CEO and Vice Chairman, Nambé Mills, Inc., Santa Fe, NM (manufacturer). | None |
30 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4) (6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(6) (7) | ||||
Dawn B. Fischer, 57 Secretary since 1987 | Secretary and Managing Director, Thornburg Investment Management, Inc.; Secretary, Thornburg Limited Term Municipal Fund, Inc. to 2004; Secretary, Thornburg Securities Corporation; Vice President, Daily Tax Free Income Fund, Inc. (registered investment company). | Not applicable | ||
Steven J. Bohlin, 45 Vice President, since 1987; Treasurer since 1989 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
George T. Strickland, 41 Vice President since 1996 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President (and Treasurer since 2003) of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
William V. Fries, 65 Vice President since 1995 | Vice President and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 37 Vice President since 2001 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2004. | Not applicable | ||
Kenneth Ziesenheim, 50 Vice President since 1995 | Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Securities Corporation; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Alexander Motola, 34 Vice President since 2001 | Managing Director of Thornburg Investment Management, Inc. since 2000; Portfolio Manager, Insight Capital Research & Management, Inc., Walnut Creek, California 1995–2000. | Not applicable | ||
Wendy Trevisani, 33 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 2000 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2002; Sales Representative, Solomon Smith Barney 1996–1999. | Not applicable | ||
Joshua Gonze, 41 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 1999 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Brad Kinkelaar, 36 Vice President since 1999 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 1999, Vice President since 2000, and Managing Director since 2004; Equity Investment Analyst, State Farm Insurance Companies 1996–1999. | Not applicable | ||
Kerry D. Lee, 37 Vice President since 1999 | Vice President of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable |
Certified Annual Report 31
TRUSTEES AND OFFICERS, CONTINUED
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4) (6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
Christopher Ihlefeld, 34 Vice President since 2003 | Associate Portfolio Manager since 1999; Vice President of Thornburg Investment Management, Inc. since 2002; Vice President of Limited Term Municipal Fund, Inc., 2003–2004. | Not applicable | ||
Leon Sandersfeld, 38 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2002; Senior Staff Accountant,Farm Bureau Life Insurance Co. 1998–2002. | Not applicable | ||
Sasha Wilcoxon, 30 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2000; and Mutual Fund Support Service Department Manager since 2002. | Not applicable | ||
Ed Maran, 46 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Analyst, USAA 2001–2002; Oil Analyst, A.G. Edwards 1997–2000. | Not applicable | ||
Vinson Walden, 34 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Associate Portfolio Manager, Ibis Management 2002–2004; Associate, Lehman Brothers,1997–2001. | Not applicable |
(1) | Each person’s address is 119 East Marcy Street, Santa Fe, New Mexico 87501. | |||
(2) | The Fund is one of twelve separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. The Trust currently has twelve active Funds. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twelve funds of the Trust. Each Trustee oversees the twelve portfolios in the fund complex. | |||
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is a director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twelve active funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. | |||
(4) | Each Trustee serves in office until the election and qualification of a successor. | |||
(5) | Mr. McMahon is considered an “interested” Trustee because he is the president of Thornburg Investment Management, Inc. | |||
(6) | The Trust’s president, secretary and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. | |||
(7) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
32 Certified Annual Report
OTHER INFORMATION (UNAUDITED)
Thornburg Intermediate Municipal Fund | September 30, 2004 |
PORTFOLIO PROXY VOTING
The Trust has delegated to Thornburg Investment Management, Inc. (“the Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.
Commencing August 31, 2004, information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request, on the Thornburg website at www.thornburg.com and (ii) on the Securities and Exchange Commission’s website at www.sec.gov.
TAX INFORMATION
For the fiscal year ended September 30, 2004, one hundred percent of dividends paid by the Fund are tax exempt dividends for Federal Income Tax purposes. The information and distributions reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2004.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund will file with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year, commencing with the calendar quarter ending December 31, 2004. The Fund’s Forms N-Q will be available on the Commission’s website at http://www.sec.gov, or may be copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
SHAREHOLDER MEETING INFORMATION
A special meeting (the “Meeting”) of the shareholders of Thornburg Investment Trust (the “Trust”) was held on September 13, 2004 at the offices of Thornburg Investment Management, Inc., 119 East Marcy Street, Santa Fe, New Mexico 87501. Thornburg Intermediate Municipal Fund is one of 12 active series or “Funds” of the Trust.
The shareholders of the Trust considered at the Meeting (i) the election of Trustees, and (ii) ratification of the selection of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm for the fiscal year ending September 30, 2004.
The Trustees elected at the Meeting were Garrett Thornburg, David A. Ater, David D. Chase, Eliot R. Cutler, Susan H. Dubin, Brian J. McMahon, Owen D. Van Essen and James W. Weyhrauch. Forrest S. Smith, a Trustee since 1987 did not stand for election; his term of office will continue through the end of 2004, when he will retire in accordance with the Trust’s Bylaws. The shareholders also ratified the appointment of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm.
The voting results for the matters voted on are set out for each Fund as follows:
Election of Trustees
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Garrett Thornburg | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,772,086.332 | 692,014.443 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,202,049.716 | 217,551.648 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,555.521 | 114,080.445 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,255,221.686 | 81,237.603 | — | — | ||||||||||||
Thornburg Value Fund | 64,672,758.966 | 447,696.934 | — | — | ||||||||||||
Thornburg International Value Fund | 59,954,867.369 | 1,241,990.622 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,135,097.039 | 21,483.205 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,943.082 | 122,916.941 | — | — | ||||||||||||
Total: | 345,469,631.406 | 3,282,138.627 | — | — |
Certified Annual Report 33
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
David A. Ater | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,797,094.826 | 667,005.949 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,898.015 | 244,703.349 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,174.575 | 74,750.866 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,356,553.614 | 118,082.352 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,645.960 | 84,813.329 | — | — | ||||||||||||
Thornburg Value Fund | 64,673,309.598 | 447,696.934 | — | — | ||||||||||||
Thornburg International Value Fund | 60,746,833.041 | 450,024.950 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,132,382.888 | 24,197.356 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,615.730 | 120,243.993 | — | — | ||||||||||||
Total: | 346,235,149.064 | 2,517,171.301 | — | — | ||||||||||||
David D. Chase | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,792,336.993 | 671,763.782 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,107,955.251 | 64,970.190 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,243,684.887 | 92,774.402 | — | — | ||||||||||||
Thornburg Value Fund | 64,693,947.421 | 446,508.479 | — | — | ||||||||||||
Thornburg International Value Fund | 60,752,533.146 | 444,324.845 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,837,095.494 | 116,764.229 | — | — | ||||||||||||
Total: | 346,310,480.812 | 2,461,288.921 | — | — | ||||||||||||
Eliot R. Cutler | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,785,534.542 | 678,566.233 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,449,458.366 | 232,489.857 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,199,536.657 | 220,064.707 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,111,971.636 | 60,953.805 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,350,526.614 | 124,109.352 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,250,801.917 | 85,657.372 | — | — | ||||||||||||
Thornburg Value Fund | 64,599,511.493 | 520,944.407 | — | — | ||||||||||||
Thornburg International Value Fund | 60,724,718.843 | 472,139.148 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,134,780.624 | 21,799.620 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,832,732.499 | 121,127.224 | — | — | ||||||||||||
Total: | 346,159,119.642 | 2,592,650.361 | — | — | ||||||||||||
Susan H. Dubin | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,874.816 | 670,225.959 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,198,659.272 | 220,942.092 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,110,371.636 | 62,553.805 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,372,811.385 | 101,824.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,249,237.865 | 87,221.424 | — | — |
34 Certified Annual Report
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Value Fund | 64,679,778.577 | 440,677.323 | — | — | ||||||||||||
Thornburg International Value Fund | 60,742,583.265 | 454,274.726 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,454.801 | 120,404.922 | — | — | ||||||||||||
Total: | 346,285,090.525 | 2,466,679.208 | — | — | ||||||||||||
Brian J. McMahon | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,795,559.677 | 668,541.098 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,205,930.716 | 213,670.648 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,104,748.707 | 68,176.734 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 102,726.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,724.960 | 84,734.329 | — | — | ||||||||||||
Thornburg Value Fund | 64,681,039.437 | 439,416.463 | — | — | ||||||||||||
Thornburg International Value Fund | 60,010,455.736 | 1,186,402.255 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,131,956.015 | 24,624.229 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,227.440 | 120,632.283 | — | — | ||||||||||||
Total: | 345,556,209.517 | 3,195,560.216 | — | — | ||||||||||||
Owen D. Van Essen | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,348.831 | 670,751.944 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,730.914 | 244,870.450 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,708.092 | 74,217.349 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,248,394.246 | 88,065.043 | — | — | ||||||||||||
Thornburg Value Fund | 64,674,135.776 | 446,320.124 | — | — | ||||||||||||
Thornburg International Value Fund | 60,684,276.889 | 512,581.102 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,962.507 | 122,897.216 | — | — | ||||||||||||
Total: | 346,178,126.548 | 2,573,643.185 | — | — | ||||||||||||
James W. Weyhrauch | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,789,717.177 | 674,383.598 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 126,726.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,254,156.818 | 82,302.471 | — | — | ||||||||||||
Thornburg Value Fund | 64,683,895.944 | 436,559.906 | — | — | ||||||||||||
Thornburg International Value Fund | 60,726,245.097 | 470,612.894 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,836,311.264 | 117,548.459 | — | — | ||||||||||||
Total: | 346,278,127.848 | 2,497,641.885 | — | — |
Certified Annual Report 35
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Ratification of Selection of Independent Registered Public Accounting Firm
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Limited Term Municipal Fund | 89,266,423.303 | 430,123.930 | 767,553.542 | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,354,990.466 | 167,198.030 | 159,759.457 | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 27,957,900.165 | 174,857.659 | 286,893.540 | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,067,166.377 | 1,155.000 | 104,604.064 | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,911,733.415 | 6,868.306 | 9,157.121 | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,784,834.660 | 23,509.648 | 38,241.937 | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,583.780 | 33,945.016 | 80,017.170 | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,123,259.928 | 57,081.625 | 156,117.736 | — | ||||||||||||
Thornburg Value Fund | 64,569,333.454 | 212,238.433 | 338,884.013 | — | ||||||||||||
Thornburg International Value Fund | 60,444,286.231 | 343,771.766 | 408,700.994 | — | ||||||||||||
Thornburg Core Growth Fund | 6,110,013.492 | 32,603.465 | 13,963.287 | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,812,877.547 | 40,509.369 | 100,472.807 | — | ||||||||||||
Totals | 344,763,402.818 | 1,523,862.247 | 2,464,365.668 | — |
36 Certified Annual Report
Thornburg Intermediate Municipal Fund
I Shares – September 30, 2004
Table of Contents
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
4 Certified Annual Report
Important Information
Performance data quoted represent the past and are no guarantee of future results. Current returns may be either lower or higher than those shown. Share prices and returns will fluctuate and investors may experience a loss upon redemption. There is no guarantee that the Fund will meet its objectives. Shares in the Fund carry risks, including possible loss of principal. The principal value of a bond fund will decrease when interest rates rise.
Minimum investments for class I-shares are higher than those for other classes. Returns reflect the reinvestment of dividends and capital gains. There is no up front sales charge for this class of shares.
For the most recent month-end performance information, visit www.thornburg.com.
The information presented on the following pages was current as of September 30, 2004. The manager’s views, portfolio holdings, and sector diversification are historical and subject to change. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each Fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any Fund to differ materially as compared to its benchmarks.
Glossary
The Merrill Lynch 7-12 Year Municipal Bond Index – Represents a broad measure of market performance. It is a model portfolio of municipal obligations throughout the U.S., with an average maturity which ranges from seven to twelve years. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
Duration – The measure of the price sensitivity of a fixed-income security to an interest rate change of 100 basis points. Calculation is based on the weighted average of the present values for all cash flows.
Weighted Average Maturity – Is a weighted average of all the effective maturities of the bonds in a portfolio. Effective maturity takes into consideration mortgage prepayments, puts, calls, adjustable coupons, and other features of individual bonds and is thus a more accurate measure of interest-rate sensitivity. Longer-maturity funds are generally considered more interest-rate sensitive than their shorter counterparts.
Certified Annual Report 5
Letter to Shareholders
George Strickland
Portfolio Manager
October 21, 2004
Dear Fellow Shareholder:
I am pleased to present the Annual Report for the Thornburg Intermediate Municipal Fund. The net asset value of the I shares decreased by 8 cents to $13.46 during the year ended September 30, 2004. If you were with us for the entire period, you received dividends of 55.7 cents per share. If you reinvested dividends, you received 56.7 cents per share.
Over the last year, interest rates on bonds that mature in less than ten years have risen somewhat while interest rates on bonds with maturities longer than ten years have fallen. This has led to better performance for long-term bonds relative to shorter-term bonds. The I shares of your Fund produced a total return of 3.61% over the last fiscal year, compared to a 4.95% return for the Merrill Lynch 7-12 Year Municipal Bond Index. We believe that the index outperformed the Fund because it is generally concentrated in bonds with a longer duration than bonds held by the Fund. If long-term interest rates start to rise again, we would expect the Fund to outperform the index.
Interest rates on intermediate municipal bonds have covered a lot of ground since September 30, 2003. For example, the yield on a seven-year AAA-rated municipal bond hit a low of 2.67% on March 9, 2004 before climbing to a high of 3.80% only two months later. As of September 30, 2004, that bond’s yield has fallen back down to 3.12%. (Source: Bloomberg: Municipal Market Advisors, Inc.)
Ironically, bond yields rose this past spring before the Federal Reserve started raising the targeted Fed Funds rate. Now that the Federal Reserve is pushing up short-term interest rates, the interest rates on bonds and home mortgages have been falling. In essence, the bond market is counteracting a tightening Federal Reserve by allowing corporations, governments, and individuals to borrow money at lower interest rates.
Given the abundant liquidity and relatively low yields in the bond markets today, we believe that the Federal Reserve has a significant amount of additional tightening to do before they overcome the bond market’s “give back” and achieve a neutral monetary policy. The yield curve does not appear to be pricing in this possibility today. If it does start pricing in a more aggressive Federal Reserve, we believe that bond yields will rise above current levels.
We have positioned your Fund with this outlook in mind. Your Thornburg Intermediate Municipal Fund is a laddered portfolio of over 315 municipal obligations from 44 states. Today, your Fund’s weighted average maturity is 7.5 years. We ladder the maturity dates of the bonds in your portfolio so that some of the bonds are scheduled to mature during each of the coming years. Laddering intermediate bonds accomplishes two goals. First, the staggered bond maturities contained in a ladder defuse interest-rate risk and dampen the Fund’s price volatility. Second, laddering gives the Fund a steady cash flow stream from maturing bonds to reinvest, if not otherwise needed, toward the top of the ladder where yields are typically higher. The laddering strategy is what differentiates this Fund from most bond mutual funds. It may be particularly useful if interest rates rise, because
6 Certified Annual Report
it may allow the Fund to gradually increase the yield of the portfolio as bonds mature and are replaced with new ones. The chart below describes the percentages of your Fund’s bond portfolio maturing in each of the coming years.
Thanks to a strong economy and tax increases, state tax revenue was up 11.4% over the last fiscal year. However, revenues are just now approaching 2002 levels nationwide. Meanwhile, spending for Medicaid and other items continues its upward trajectory, causing many states to continue grappling with budget deficits. State reserve funds have been largely depleted and tax supported state debt levels have risen over 15% in the last two years. To reduce credit risk, we have kept 89% of the portfolio in bonds rated A or above and maintained broad diversification across issuers and market sectors.
% of portfolio | Cumulative % | ||||||||||
maturing | maturing | ||||||||||
2 years | = 16 | % | Year 2 | = 16 | % | ||||||
2 to 4 years | = 10 | % | Year 4 | = 26 | % | ||||||
4 to 6 years | = 12 | % | Year 6 | = 38 | % | ||||||
6 to 8 years | = 13 | % | Year 8 | = 51 | % | ||||||
8 to 10 years | = 14 | % | Year 10 | = 65 | % | ||||||
10 to 12 years | = 13 | % | Year 12 | = 78 | % | ||||||
12 to 14 years | = 11 | % | Year 14 | = 89 | % | ||||||
14 to 16 years | = 5 | % | Year 16 | = 94 | % | ||||||
16 to 18 years | = 5 | % | Year 18 | = 99 | % | ||||||
Over 18 years | = 1 | % | Over 18 years | = 100 | % |
Percentages can and do vary. Data as of 9/30/04.
Over the years, our practice of laddering a diversified portfolio of short and intermediate maturity municipal bonds has allowed your Fund to perform consistently well in varying interest rate environments. Thank you for investing in Thornburg Intermediate Municipal Fund.
Sincerely,
Portfolio Manager
Certified Annual Report 7
STATEMENT OF ASSETS AND LIABILITIES
Thornburg Intermediate Municipal Fund | September 30, 2004 |
ASSETS | ||||
Investments at value (cost $431,268,725) | $ | 457,386,677 | ||
Cash | 197,685 | |||
Receivable for investments sold | 385,000 | |||
Receivable for fund shares sold | 2,404,226 | |||
Interest receivable | 5,923,646 | |||
Prepaid expenses and other assets | 52,015 | |||
Total Assets | 466,349,249 | |||
LIABILITIES | ||||
Payable for securities purchased | 3,408,584 | |||
Payable for fund shares redeemed | 704,066 | |||
Accounts payable and accrued expenses | 60,879 | |||
Payable to investment advisor and other affiliates (Note 3) | 335,265 | |||
Dividends payable | 556,397 | |||
Total Liabilities | 5,065,191 | |||
NET ASSETS | $ | 461,284,058 | ||
NET ASSETS CONSIST OF: | ||||
Net unrealized appreciation (depreciation) on investments | $ | 26,117,952 | ||
Overdistributed net investment income | (2,268 | ) | ||
Accumulated net realized gain (loss) | (10,223,418 | ) | ||
Net capital paid in on shares of beneficial interest | 445,391,792 | |||
$ | 461,284,058 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($370,226,524 applicable to 27,454,981 shares of beneficial interest outstanding — Note 4) | $ | 13.48 | ||
Maximum sales charge, 2.00% of offering price | 0.28 | |||
Maximum Offering Price Per Share | $ | 13.76 | ||
Class C Shares: | ||||
Net asset value and offering price per share * ($57,978,739 applicable to 4,294,186 shares of beneficial interest outstanding — Note 4) | $ | 13.50 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($33,078,795 applicable to 2,456,711 shares of beneficial interest outstanding — Note 4) | $ | 13.46 | ||
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
8 Certified Annual Report
STATEMENT OF OPERATIONS
Thornburg Intermediate Municipal Fund | Year Ended September 30, 2004 |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $2,105,426) | $ | 21,859,807 | ||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 2,272,037 | |||
Administration fees (Note 3) | ||||
Class A Shares | 465,442 | |||
Class C Shares | 75,001 | |||
Class I Shares | 11,027 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 862,034 | |||
Class C Shares | 600,045 | |||
Transfer agent fees | ||||
Class A Shares | 137,320 | |||
Class C Shares | 35,545 | |||
Class I Shares | 19,155 | |||
Registration and filing fees | ||||
Class A Shares | 17,120 | |||
Class C Shares | 7,961 | |||
Class I Shares | 8,321 | |||
Custodian fees (Note 3) | 197,450 | |||
Professional fees | 36,890 | |||
Accounting fees | 42,545 | |||
Trustee fees | 11,715 | |||
Other expenses | 76,648 | |||
Total Expenses | 4,876,256 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (106,299 | ) | ||
Distribution and service fees waived (Note 3) | (235,631 | ) | ||
Fees paid indirectly (Note 3) | (1,925 | ) | ||
Net Expenses | 4,532,401 | |||
Net Investment Income | 17,327,406 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | (454,070 | ) | ||
Increase (Decrease) in unrealized appreciation of investments | (2,505,819 | ) | ||
Net Realized and Unrealized Gain (Loss) on Investments | (2,959,889 | ) | ||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 14,367,517 | ||
See notes to financial statements.
Certified Annual Report 9
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Intermediate Municipal Fund |
Year Ended | Year Ended | |||||||
September 30, 2004 | September 30, 2003 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 17,327,406 | $ | 18,090,689 | ||||
Net realized gain (loss) on investments sold | (454,070 | ) | (4,597,883 | ) | ||||
Increase (Decrease) in unrealized appreciation of investments | (2,505,819 | ) | 581,701 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 14,367,517 | 14,074,507 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ) | |||||||
Class A Shares | (14,280,020 | ) | (15,480,099 | ) | ||||
Class C Shares | (2,139,590 | ) | (1,849,255 | ) | ||||
Class I Shares | (907,796 | ) | (761,335 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | (17,365,422 | ) | (20,552,567 | ) | ||||
Class C Shares | (2,267,561 | ) | 13,877,646 | |||||
Class I Shares | 13,757,994 | 1,174,895 | ||||||
Net Increase (Decrease) in Net Assets | (8,834,878 | ) | (9,516,208 | ) | ||||
NET ASSETS: | ||||||||
Beginning year | 470,118,936 | 479,635,144 | ||||||
End of year | $ | 461,284,058 | $ | 470,118,936 | ||||
See notes to financial statements.
10 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Intermediate Municipal Fund | September 30, 2004 |
NOTE 1 – ORGANIZATION
Thornburg Intermediate Municipal Fund (the “Fund”) is a 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 eleven series of shares of beneficial interest in addition to those of the Fund: Thornburg Limited Term Municipal Fund, Thornburg California Limited Term Municipal Fund, Thornburg Florida Intermediate Municipal Fund, Thornburg New York Intermediate Fund, Thornburg New Mexico Intermediate Municipal Fund, Thornburg Limited Term U.S. Government Fund, Thornburg Limited Term Income Fund, Thornburg Value Fund, Thornburg International Value Fund, Thornburg Core Growth Fund, and Thornburg Investment Income Builder Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund’s investment objective is to obtain as high a level of current income exempt from Federal income taxes as is consistent with the preservation of capital.
The Fund currently offers three classes of shares of beneficial interest, Class A, Class C and Institutional Class (Class I) shares. Each class of shares of the 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 contingent deferred sales charge upon redemption within one year, and bear 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, the 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 Fund are limited to service and distribution fees, administration fees, and certain registration and 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 Fund utilizes 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, normally 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 municipal 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 Fund are reviewed by the officers of the Trust under the general supervision of the Trustees. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
Federal Income Taxes: It is the policy of the Fund to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all of its taxable (if any) and tax exempt income to its shareholders. Therefore, no provision for Federal income tax is required.
When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with its investment objectives and not for the purpose of investment leverage or to speculate on interest rate changes. At the time the Fund makes a commitment to purchase a security on a when-issued basis, it will record the transaction and reflect the value in determining its 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 Fund is declared daily as a dividend on shares for which the Fund has received payment. Dividends are paid monthly and are reinvested in additional shares of the Fund 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 at least annually.
General: Securities transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and discounts on securities purchased are amortized to call dates or maturity dates of the respective securities. Realized gains and losses from the sale of securities are recorded on an identified cost basis. Net investment income, other than class specific expenses, and realized and unrealized gains and losses, are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current share activity of the respective class). Expenses common to all funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
Certified Annual Report 11
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
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 “Advisor”) serves as the investment advisor and performs services for which the fees are payable at the end of each month. For the year ended September 30, 2004, these fees were payable at annual rates ranging from .50 of 1% to .275 of 1% of the average daily net assets of the Fund. The Fund also has an administrative services agreement with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% of the average daily net assets attributable to each class of shares. For the year ended September 30, 2004, the Advisor voluntarily reimbursed certain class specific expenses and administrative fees of $3,717, $84,339, and $18,243 for the Class A, C, and I shares, respectively.
The Fund has an underwriting agreement with Thornburg Securities Corporation (the “Distributor,” an affiliate of the advisor) which acts as the Distributor of the Fund shares. For the year ended September 30, 2004, the Distributor has advised the Fund that it earned net commissions aggregating $2,334 from the sale of Class A shares and collected contingent deferred sales charges aggregating $9,182 from redemptions of Class C shares of the Fund.
Pursuant to a service plan, under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder related services. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
The Fund has also adopted a distribution plan pursuant to Rule 12b-1, applicable only to the Fund’s Class C shares under which the Fund compensates the Distributor for services in promoting the sale of Class C shares of the Fund at an annual rate of up to .75% of the average daily net assets attributable to Class C shares. Total fees incurred by each class of shares of the Fund under their respective Service and Distribution Plans for the year ended September 30, 2004, are set forth in the statement of operations. Distribution fees in the amount of $235,631 were waived for Class C shares.
The Fund has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees have been adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the statement of operations. For the year ended September 30, 2004 fees paid indirectly were $1,925.
Certain officers and trustees of the Trust are also officers and/or directors of the Advisor and Distributor. The compensation of unaffiliated trustees is borne by the Trust.
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At September 30, 2004, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended | Year Ended | |||||||||||||||
September 30, 2004 | September 30, 2003 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 4,635,509 | $ | 62,513,224 | 6,705,141 | $ | 90,330,472 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 621,472 | 8,358,310 | 649,800 | 8,760,445 | ||||||||||||
Shares repurchased | (6,560,558 | ) | (88,236,956 | ) | (8,890,248 | ) | (119,643,484 | ) | ||||||||
Net Increase (Decrease) | (1,303,577 | ) | $ | (17,365,422 | ) | (1,535,307 | ) | $ | (20,552,567 | ) | ||||||
12 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Year Ended | Year Ended | |||||||||||||||
September 30, 2004 | September 30, 2003 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 946,921 | $ | 12,804,296 | 1,632,604 | $ | 22,060,706 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 111,651 | 1,503,248 | 102,429 | 1,382,647 | ||||||||||||
Shares repurchased | (1,234,469 | ) | (16,575,105 | ) | (709,799 | ) | (9,565,707 | ) | ||||||||
Net Increase (Decrease) | (175,897 | ) | $ | (2,267,561 | ) | 1,025,234 | $ | 13,877,646 | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 1,489,564 | $ | 19,943,017 | 807,931 | $ | 10,899,236 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 46,460 | 623,829 | 39,457 | 531,139 | ||||||||||||
Shares repurchased | (506,745 | ) | (6,808,852 | ) | (762,688 | ) | (10,255,480 | ) | ||||||||
Net Increase (Decrease) | 1,029,279 | $ | 13,757,994 | 84,700 | $ | 1,174,895 | ||||||||||
NOTE 5 – SECURITIES TRANSACTIONS
For the year ended September 30, 2004, the Fund had purchase and sale transactions (excluding short-term securities) of $51,778,251 and $77,812,258, respectively.
NOTE 6 – INCOME TAXES
At September 30, 2004, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 431,268,214 | ||
Gross unrealized appreciation on a tax basis | $ | 26,374,672 | ||
Gross unrealized depreciation on a tax basis | (256,209 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 26,118,463 | ||
At September 30, 2004, the Fund did not have any undistributed tax-exempt/ordinary net income or undistributed capital gains.
At September 30, 2004, the Fund had tax basis capital losses, which may be carried over to offset future capital gains. To the extent such carry forwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such losses expire as follows:
2005 | $ | 200,249 | ||
2006 | 27,737 | |||
2007 | 6,140 | |||
2008 | 2,563,342 | |||
2009 | 2,374,508 | |||
2011 | 11,597 | |||
2012 | 4,297,982 | |||
$ | 9,481,555 | |||
During the year ended September 30, 2004, $2,201,912 of capital loss carry forwards from prior years expired.
At September 30, 2004, the Fund had deferred capital losses occurring subsequent to October 31, 2003 of $742,374. For tax purposes, such losses will be reflected in the year ending September 30, 2005.
In order to account for book/tax differences, the Fund increased accumulated net realized gain (loss) by $2,202,423, decreased over-distributed net investment income (loss) by $2,268 and decreased net paid in capital paid in on shares of beneficial interest by $2,200,155. Reclassifications result primarily from an expired capital loss carry forward.
All dividends paid by the Fund for the years ended September 30, 2004 and September 30, 2003, represent tax exempt interest dividends, which are excludable by shareholders from gross income for Federal income tax purposes.
Certified Annual Report 15
FINANCIAL HIGHLIGHTS | ||
Thornburg Intermediate Municipal Fund |
Year Ended September 30, | ||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||
Class I Shares: | ||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||
(for a share outstanding throughout the year) | ||||||||||||||||||||
Net asset value, beginning of year | $ | 13.54 | $ | 13.65 | $ | 13.26 | $ | 12.76 | $ | 12.98 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.56 | 0.57 | 0.61 | 0.65 | 0.65 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.08 | ) | (0.11 | ) | 0.39 | 0.50 | (0.22 | ) | ||||||||||||
Total from investment operations | 0.48 | 0.46 | 1.00 | 1.15 | 0.43 | |||||||||||||||
Less dividends from: | ||||||||||||||||||||
Net investment income | (0.56 | ) | (0.57 | ) | (0.61 | ) | (0.65 | ) | (0.65 | ) | ||||||||||
Change in net asset value | (0.08 | ) | (0.11 | ) | 0.39 | 0.50 | (0.22 | ) | ||||||||||||
NET ASSET VALUE, end of year | $ | 13.46 | $ | 13.54 | $ | 13.65 | $ | 13.26 | $ | 12.76 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Total return | 3.61 | % | 3.49 | % | 7.75 | % | 9.23 | % | 3.45 | % | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 4.12 | % | 4.23 | % | 4.57 | % | 4.99 | % | 5.10 | % | ||||||||||
Expenses, after expense reductions | 0.67 | % | 0.62 | % | 0.58 | % | 0.55 | % | 0.68 | % | ||||||||||
Expenses, after expense reductions and net of custody credits | 0.67 | % | 0.62 | % | 0.58 | % | — | — | ||||||||||||
Expenses, before expense reductions | 0.75 | % | 0.80 | % | 0.79 | % | 0.79 | % | 0.80 | % | ||||||||||
Portfolio turnover rate | 11.81 | % | 15.13 | % | 16.36 | % | 18.24 | % | 21.97 | % | ||||||||||
Net assets at end of year (000) | $ | 33,079 | $ | 19,333 | $ | 18,330 | $ | 17,258 | $ | 17,563 |
14 Certified Annual Report
SCHEDULE OF INVESTMENTS | ||
Thornburg Intermediate Municipal Fund | September 30, 2004 |
CUSIPS: CLASS A — 885-215-202, CLASS C — 885-215-780, CLASS I — 885-215-673
NASDAQ SYMBOLS: CLASS A — THIMX, CLASS C — THMCX, CLASS I — THMIX
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
ALABAMA (2.60%) | ||||||||||||
$ | 800,000 | Alabama Docks Revenue, 6.00% due 10/1/2008 (Insured: MBIA) | Aaa/AAA | $ | 905,048 | |||||||
2,000,000 | Birmingham Carraway Alabama Special, 6.25% due 8/15/2009 (Insured: Connie Lee) | NR/AAA | 2,208,620 | |||||||||
1,515,000 | East Alabama Health Care Authority Tax Anticipation Series A, 4.00% due 9/1/2006 (Insured: MBIA) | Aaa/AAA | 1,571,934 | |||||||||
1,600,000 | Lauderdale County & Florence Health Group Series A, 5.75% due 7/1/2013 (Insured: MBIA) | Aaa/AAA | 1,798,272 | |||||||||
5,500,000 | McIntosh Alabama Industrial Development Board Environmental Dailly Refunding Specialty D, 1.75% due 7/1/2028 put 10/1/2004 (daily demand notes) | P | 1/A-1 | 5,500,000 | ||||||||
ALASKA (0.50%) | ||||||||||||
955,000 | Alaska Energy Authority Power Revenue Refunding Bradley Lake Fourth Series, 6.00% due 7/1/2011 (Insured: FSA) | Aaa/AAA | 1,109,892 | |||||||||
485,000 | Anchorage Alaska, 5.25% due 10/1/2008 (Insured: FGIC) | Aaa/AAA | 501,359 | |||||||||
500,000 | Anchorage School Refunding, 6.00% due 10/1/2012 (Insured: FGIC) | Aaa/AAA | 590,610 | |||||||||
ARIZONA (2.40%) | ||||||||||||
4,580,000 | Maricopa County Industrial Development Capital Appreciation Series B, 4.80% due 12/1/2031 put 12/1/2004 (Waste Management Inc. Project) | NR/BBB | 4,596,855 | |||||||||
2,000,000 | Mohave County Industrial Development Correctional Facilities Series A, 5.00% due 4/1/2007 (Mohave Prison LLC Project; Insured: XLCA) | Aaa/AAA | 2,139,180 | |||||||||
2,715,000 | Pima County Industrial Development Authority Series C, 6.70% due 7/1/2021 (Arizona Charter Schools Project) | Baa3/NR | 2,826,559 | |||||||||
400,000 | Tucson G. O. Series D, 9.75% due 7/1/2012 (ETM)* | Aa3/AA | 571,184 | |||||||||
500,000 | Tucson G. O. Series D, 9.75% due 7/1/2013 (ETM)* | Aa3/AA | 731,520 | |||||||||
ARKANSAS (0.60%) | ||||||||||||
1,135,000 | Jefferson County Hospital Revenue Refunding & Improvement, 5.75% due 6/1/2012 (Regional Medical Center Project) | NR/A | 1,259,453 | |||||||||
1,200,000 | Jefferson County Hospital Revenue Refunding & Improvement, 5.75% due 6/1/2013 (Regional Medical Center Project) | NR/A | 1,320,984 | |||||||||
CALIFORNIA (9.20%) | ||||||||||||
3,000,000 | California Department of Water Resources Power Series A, 5.75% due 5/1/2017 | A2/BBB+ | 3,383,700 | |||||||||
675,000 | California Housing Finance Authority Revenue Series 1985-B, 9.875% due 2/1/2017 | Aa2/AA- | 713,239 | |||||||||
8,000,000 | California State Economic Recovery Series C-1, 1.80% due 7/1/2023 put 10/1/2004 (Guaranty: Landesbank) (daily demand notes) | VMIG1/A1+ | 8,000,000 | |||||||||
2,200,000 | California State Series A-3, 1.73% due 5/1/2033 put 10/1/2004 (daily demand notes) | VMIG1/A1+ | 2,200,000 | |||||||||
4,500,000 | California Statewide Community Development Authority Certificate of Participation, 5.50% due 10/1/2007 (Unihealth America Project; Insured: AMBAC) (ETM)* | Aaa/AAA | 4,952,655 | |||||||||
1,000,000 | Camino Hospital District Revenue Series A, 6.25% due 8/15/2017 (ETM)* | Aaa/AAA | 1,187,190 | |||||||||
1,740,000 | Escondido Joint Powers Financing Authority Lease Revenue, 0% due 9/1/2007 (Center for the Arts Project; Insured: AMBAC) | Aaa/AAA | 1,546,268 | |||||||||
2,140,000 | Golden West Schools Financing Authority Capital Appreciation, 0% due 8/1/2018 (Insured: MBIA) | Aaa/AAA | 1,029,896 | |||||||||
1,000,000 | Irvine Improvement Bond Act 1915 Adjusted Assessment District, 1.73% due 9/2/2024 put 10/1/2004 (daily demand notes) | VMIG1/A-1 | 1,000,000 | |||||||||
500,000 | Irwindale Community Redevelopment Agency, 6.60% due 8/1/2018 pre-refunded 8/1/2005 | Baa3/NR | 529,035 | |||||||||
11,050,000 | Metropolitan Water District Southern California Waterworks Revenue Series C-1, 1.80% due 7/1/2036 put 10/1/2004 (daily demand notes) | VMIG1/A1+ | 11,050,000 | |||||||||
2,280,000 | Orange County Refunding Recovery, 6.50% due 6/1/2005 (Insured: MBIA) | Aaa/AAA | 2,352,823 | |||||||||
500,000 | San Diego County Water Authority Revenue & Refunding Series 1993-A, 9.515% due 4/25/2007 (Insured: FGIC) | Aaa/AAA | 589,220 | |||||||||
145,000 | San Marcos Certificate of Participation Series C, 0% due 8/15/2005 (ETM)* | NR/AAA | 142,882 | |||||||||
740,000 | San Marcos Certificate of Participation Series D, 0% due 9/2/2005 (ETM)* | NR/AAA | 728,530 |
Certified Annual Report 15
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 1,480,000 | Stanton Multi Family Housing Revenue Bond Series 1997, 5.625% due 8/1/2029 put 8/1/2009 (Continental Gardens Project; Collateralized: FNMA) | NR/AAA | $ | 1,584,088 | |||||||
800,000 | Sulphur Springs School District G. O. Series B, 5.70% due 3/1/2005 | NR/A | 813,216 | |||||||||
215,000 | Sunline Transit Agency Certificate of Participation Series A, 5.75% due 7/1/2005 | A2/NR | 219,281 | |||||||||
COLORADO (4.80%) | ||||||||||||
1,265,000 | Adams County Communication Center Series A, 5.75% due 12/1/2016 | Baa1/NR | 1,337,447 | |||||||||
80,000 | Arvada Industrial Development Revenue, 5.25% due 12/1/2007 (Wanco Inc. Project; LOC: US Bank, N.A.) | NR/NR | 81,079 | |||||||||
450,000 | Arvada Industrial Development Revenue, 5.60% due 12/1/2012 (Wanco Inc. Project; LOC: US Bank, N.A.) | NR/NR | 465,917 | |||||||||
1,000,000 | Central Platte Valley Metropolitan District, 5.15% due 12/1/2013 pre-refunded 12/1/2009 | NR/AAA | 1,122,330 | |||||||||
2,000,000 | Central Platte Valley Metropolitan District Refunding Series A, 5.00% due 12/1/2031 put 12/1/2009 (LOC: US Bank) | NR/A1+ | 2,133,440 | |||||||||
500,000 | Colorado Educational & Cultural Facilities Refunding, 6.00% due 4/1/2021 (Charter School Cherry Creek Project) | Baa2/NR | 515,715 | |||||||||
35,000 | Colorado Housing Finance Authority Single Family Program Subordinated Series C, 5.75% due 10/1/2007 | A1/A+ | 35,003 | |||||||||
1,570,000 | Colorado Student Obligation Bond Student Loan Senior Subordinated Series B, 6.20% due 12/1/2008 | A2/NR | 1,611,574 | |||||||||
2,465,000 | Denver City & County Certificates of Participation Series B, 5.00% due 12/1/2011 | Aa2/AA | 2,723,529 | |||||||||
500,000 | El Paso County School District 11, 7.10% due 12/1/2013 | Aa3/AA- | 636,595 | |||||||||
675,000 | Glendale Certificates of Participation, 5.40% due 8/15/2008 (Education Center Project) | NR/BBB+ | 687,724 | |||||||||
2,395,000 | Interstate South Metropolitan District Refunding, 6.00% due 12/1/2020 (LOC: BNP Paribas) | NR/AA | 2,443,810 | |||||||||
2,830,000 | Larimer County G. O., 8.45% due 12/15/2005 (Poudre School District Project) | Aa3/NR | 3,051,476 | |||||||||
1,005,000 | Northwest Parkway Public Highway Authority Capital Appreciation Senior Convertible C, 0% due 6/15/2014 (Insured: FSA) | Aaa/AAA | 807,648 | |||||||||
2,500,000 | Plaza Metropolitan District 1 Colorado Revenue Public Improvement Fee/Tax Increment, 7.70% due 12/1/2017 | NR/NR | 2,612,425 | |||||||||
1,370,000 | Southlands Metropolitan District Number 1 G. O., 7.00% due 12/1/2024 | NR/NR | 1,365,424 | |||||||||
350,000 | Superior Metropolitan District 1 Water Refunding & Improvement Series B, 5.45% due 12/1/2020 put 12/1/2004 @ 100 (LOC: Allied Irish) | NR/A | 351,858 | |||||||||
45,000 | Thornton County Single Family Mortgage Revenue Series 1992-A, 8.05% due 8/1/2009 | A3/NR | 45,027 | |||||||||
DELAWARE (0.40%) | ||||||||||||
1,500,000 | Delaware State Health Facilities Authority Revenue Series A, 5.25% due 5/1/2016 (Nanticoke Memorial Hospital Project; Insured: Radian) | NR/AA | 1,599,345 | |||||||||
DISTRICT OF COLUMBIA (1.10%) | ||||||||||||
600,000 | District of Columbia Hospital Revenue, 5.375% due 8/15/2015 (ETM)* | Aaa/AAA | 660,846 | |||||||||
3,000,000 | District of Columbia Refunding Series B, 6.00% due 6/1/2015 (Insured: MBIA) | Aaa/AAA | 3,580,140 | |||||||||
1,500,000 | District of Columbia Tax Increment Capital Appreciation, 0% due 7/1/2019 (Mandarin Oriental Project; Insured: FSA) | Aaa/AAA | 754,020 | |||||||||
FLORIDA (3.20%) | ||||||||||||
745,000 | Brevard County School Board Certificates of Participation Series A, 5.00% due 7/1/2005 (Insured: AMBAC) | Aaa/AAA | 763,290 | |||||||||
1,500,000 | Broward County Resource Recovery Revenue, 5.00% due 12/1/2007 | A3/AA- | 1,609,410 | |||||||||
1,000,000 | Deltona Utility Systems Revenue, 5.25% due 10/1/2015 (Insured: MBIA) | Aaa/AAA | 1,121,020 | |||||||||
25,000 | Duval County HFA Single Family Housing Revenue Series 94, 6.10% due 4/1/2006 (Collateralized: GNMA) | Aaa/NR | 25,566 | |||||||||
20,000 | Duval County HFA Single Family Housing Revenue Series 94, 6.10% due 10/1/2006 (Collateralized: GNMA) | Aaa/NR | 20,452 | |||||||||
1,000,000 | Duval County Multi Family Housing Revenue Refunding, 5.90% due 9/1/2016 (St. Augustine Apartments Project) | NR/A+ | 1,037,050 | |||||||||
1,605,000 | Enterprise Community Development District Assessment Bonds, 6.00% due 5/1/2010 (Insured: MBIA) | Aaa/AAA | 1,626,635 | |||||||||
3,000,000 | Escambia County Health Facility Revenue, 5.95% due 7/1/2020 (Florida Health Care Facility Loan Project; Insured: AMBAC) | Aaa/NR | 3,084,150 | |||||||||
1,200,000 | Florida Board of Education Capital Outlay Refunding Public Education Series D, 5.75% due 6/1/2018 | Aa2/AA+ | 1,357,776 | |||||||||
2,000,000 | Pasco County Housing Finance Authority MFHR, 5.50% due 6/1/2027 put 6/1/2008 (Cypress Trail Apartments Project; Guaranty: Axa Reinsurance) | NR/AA- | 2,078,580 | |||||||||
650,000 | Pensacola Apartment Revenue Series A, 6.25% due 10/1/2004 (Insured: MBIA) | Aaa/AAA | 650,078 | |||||||||
1,000,000 | Turtle Run Community Development District Refunding Water Management Benefit Special Assessment, 5.00% due 5/1/2011 (Insured: MBIA) | Aaa/AAA | 1,088,140 |
16 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
GEORGIA (0.10%) | ||||||||||||
$ | 235,000 | Georgia Municipal Electric Authority Power Revenue Unrefunded Series Y, 10.00% due 1/1/2010 | A2/NR | $ | 310,743 | |||||||
HAWAII (0.80%) | ||||||||||||
2,000,000 | Hawaii Department of Budget & Finance, 6.40% due 7/1/2013 (Insured: MBIA) | Aaa/AAA | 2,420,460 | |||||||||
970,000 | Hawaii Housing Finance Development Corp. Series B, 5.85% due 7/1/2017 (Collateralized: FNMA) | Aaa/AAA | 992,601 | |||||||||
IDAHO (0.20%) | ||||||||||||
985,000 | Boise City Industrial Development Corp., 5.40% due 12/15/2009 (Western Trailer Co. Project; LOC: First Security) | Aaa/NR | 988,605 | |||||||||
ILLINOIS (12.50%) | ||||||||||||
1,930,000 | Bedford Park Tax Increment Revenue Refunding Series 1993, 8.00% due 12/1/2010 pre-refunded 12/1/2004 | NR/BBB- | 1,950,593 | |||||||||
300,000 | Central Lake County Joint Action Water Agency Series 1991, 0% due 5/1/2005 (Insured: MBIA) | Aaa/AAA | 297,051 | |||||||||
800,000 | Champaign County Community Unit Series C, 0% due 1/1/2011 pre-refunded 1/1/2010 @ 94.672 (Insured: FGIC) | Aaa/AAA | 634,128 | |||||||||
3,020,000 | Chicago Housing Authority Capital, 5.00% due 7/1/2008 | Aa3/AA | 3,254,986 | |||||||||
600,000 | Chicago Park District Harbor, 5.75% due 1/1/2011 | A2/NR | 687,882 | |||||||||
2,285,000 | Chicago Tax Increment Allocation Lincoln Belmont A, 5.30% due 1/1/2014 (Insured: ACA) | NR/A | 2,374,915 | |||||||||
650,000 | Chicago Wastewater Transmission Revenue Refunding Second Lien, 5.50% due 1/1/2013 (Insured: MBIA) | Aaa/AAA | 740,447 | |||||||||
885,000 | Cicero Refunding Tax Increment Series A, 4.50% due 1/1/2008 (Insured: FGIC) | Aaa/AAA | 941,932 | |||||||||
500,000 | Cook County Capital Improvement, 5.50% due 11/15/2008 (Insured: FGIC) | Aaa/AAA | 539,540 | |||||||||
4,200,000 | Cook County School District Class A, 0% due 12/1/2022 | NR/NR | 1,447,404 | |||||||||
655,000 | Du Page County School District Capital Appreciation, 0% due 2/1/2010 (Insured: FGIC) | Aaa/NR | 544,495 | |||||||||
1,500,000 | Freeport Illinois, 5.375% due 1/1/2018 | Aaa/AAA | 1,650,300 | |||||||||
2,860,000 | Illinois Development Finance Authority Revenue, 6.00% due 11/15/2012 (Insured: MBIA) | Aaa/AAA | 3,301,126 | |||||||||
720,000 | Illinois Development Finance Authority Revenue Refunding Community Rehab Providers A, 5.90% due 7/1/2009 | NR/BBB | 754,121 | |||||||||
500,000 | Illinois Development Financing Authority, 7.125% due 3/15/2007 (Children’s Home & Aid Society Project; LOC: Bank One) | NR/A-1 | 502,075 | |||||||||
2,400,000 | Illinois Development Financing Authority Debt Restructuring Revenue Series 1994, 7.25% due 11/15/2009 (East St. Louis Project) | NR/A | 2,463,432 | |||||||||
1,160,000 | Illinois Educational Facilities Authority Revenues Adjusted Medium Term, 4.75% due 11/1/2036 put 11/1/2016 @ 100 (Field Museum Project) | A2/A | 1,198,802 | |||||||||
475,000 | Illinois Educational Facilities Authority Revenues Capital Appreciation, 0% due 7/1/2014 pre-refunded 7/1/2009 @ 57.17 (Insured: MBIA) | Aaa/AAA | 230,033 | |||||||||
230,000 | Illinois Educational Facilities Authority Revenues Loyola University A, 6.00% due 7/1/2012 (Insured: MBIA) (ETM)* | Aaa/AAA | 270,441 | |||||||||
1,500,000 | Illinois Educational Facilities Authority Revenues Midwestern University B, 5.50% due 5/15/2018 (Insured: ACA) | NR/A | 1,563,360 | |||||||||
1,540,000 | Illinois Educational Facilities Authority Revenues Unrefunded Balance Loyola A, 5.00% due 7/1/2006 (Insured: MBIA) | Aaa/AAA | 1,618,325 | |||||||||
770,000 | Illinois Educational Facilities Authority Revenues Unrefunded Balance Loyola A, 6.00% due 7/1/2011 (ETM)* | Aaa/AAA | 894,886 | |||||||||
970,000 | Illinois Educational Facilities Authority Revenues Unrefunded Balance Loyola A, 6.00% due 7/1/2012 (ETM)* | Aaa/AAA | 1,126,917 | |||||||||
1,055,000 | Illinois Health Facilities Authority Revenue, 5.50% due 10/1/2009 (Decatur Memorial Hospital Project) | A2/A | 1,158,422 | |||||||||
101,000 | Illinois Health Facilities Authority Revenue, 7.60% due 8/15/2010 (Insured: FSA) | Aaa/AAA | 103,009 | |||||||||
1,900,000 | Illinois Health Facilities Authority Revenue, 5.75% due 8/15/2013 (Children’s Memorial Hospital Series A Project; Insured: AMBAC) pre-refunded 8/15/2009 @ 101 | Aaa/AAA | 2,171,225 | |||||||||
990,000 | Illinois Health Facilities Authority Revenue, 5.70% due 2/20/2021 (Midwest Care Center Project; Collateralized: GNMA) | Aaa/NR | 1,067,992 | |||||||||
1,250,000 | Illinois Health Facilities Authority Revenue Healthcare Systems, 6.25% due 11/15/2019 (OSF Healthcare Project) | A2/A | 1,340,025 | |||||||||
32,000 | Illinois Health Facilities Authority Revenue Series A, 7.60% due 8/15/2010 (Insured: FSA) | Aaa/AAA | 33,764 | |||||||||
1,205,000 | Illinois University Revenues, 5.25% due 1/15/2018 (UIC South Campus Development Project) (Insured: FGIC) | Aaa/AAA | 1,325,777 |
Certified Annual Report 17
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 680,000 | Jackson & Williamson Countys, Illinois, 7.50% due 12/1/2009 (Insured: AMBAC) | Aaa/AAA | $ | 827,703 | |||||||
5,550,000 | Lake County Community High School Capital Appreciation Series B, 0% due 12/1/2012 (Insured: FGIC) | Aaa/NR | 4,043,896 | |||||||||
755,000 | Marion Refunding, 5.00% due 9/15/2012 (Insured: FGIC) | Aaa/AAA | 833,724 | |||||||||
710,000 | McHenry County School District Woodstock G. O., 6.80% due 1/1/2006 (Insured: FSA) | Aaa/AAA | 752,841 | |||||||||
1,015,000 | Melrose Park Tax Increment Series B, 6.50% due 12/15/2015 (Insured: FSA) | Aaa/AAA | 1,204,064 | |||||||||
800,000 | Sangamon County Property Tax Lease Receipts, 7.45% due 11/15/2006 | Aa3/NR | 850,376 | |||||||||
2,400,000 | Sangamon County School District Series A, 5.875% due 8/15/2018 (Hay Edwards Project) | NR/A | 2,582,040 | |||||||||
1,170,000 | Sherman Revenue Refunding Mortgage, 6.10% due 10/1/2014 (Collateralized: GNMA) | Aaa/AAA | 1,282,367 | |||||||||
1,600,000 | Sherman Revenue Refunding Mortgage, 6.20% due 10/1/2019 (Collateralized: GNMA) | Aaa/AAA | 1,742,192 | |||||||||
1,425,000 | Southern Illinois University Revenues, 0% due 4/1/2014 (Insured: MBIA) | Aaa/AAA | 960,906 | |||||||||
500,000 | Southwestern Illinois Development Authority Revenue, 5.375% due 8/15/2015 | Baa2/BBB+ | 511,815 | |||||||||
1,590,000 | University of Illinois Revenue Capital Appreciation, 0% due 4/1/2014 (Insured: MBIA) | Aaa/AAA | 1,072,169 | |||||||||
1,000,000 | West Chicago Industrial Development Revenue, 6.90% due 9/1/2024 (Leggett & Platt Inc. Project) | NR/A+ | 1,023,900 | |||||||||
1,000,000 | Will & Kendall Counties Community Series B, 5.125% due 1/1/2014 (Insured: FSA) | Aaa/AAA | 1,098,400 | |||||||||
3,000,000 | Will County Community School 365-U Capital Appreciation, 0% due 11/1/2011 (Insured: FSA) | Aaa/AAA | 2,307,060 | |||||||||
INDIANA (6.50%) | ||||||||||||
895,000 | Allen County Economic Development, 5.80% due 12/30/2012 (Indiana Institute of Technology Project) | NR/NR | 956,683 | |||||||||
1,355,000 | Allen County Economic Development, 5.75% due 12/30/2015 (Indiana Institute of Technology Project) | NR/NR | 1,483,861 | |||||||||
1,000,000 | Allen County War Memorial Series A, 5.25% due 11/1/2013 (Insured: AMBAC) | Aaa/NR | 1,107,020 | |||||||||
1,000,000 | Boone County Hospital Association, 5.625% due 1/15/2015 (Insured: FGIC) | Aaa/AAA | 1,124,190 | |||||||||
�� | 1,515,000 | Dyer Redevelopment Authority, 6.40% due 7/15/2015 | NR/BBB+ | 1,668,030 | ||||||||
1,910,000 | Dyer Redevelopment Authority, 6.50% due 7/15/2016 | NR/BBB+ | 2,102,146 | |||||||||
350,000 | East Chicago Elementary School Building First Mortgage Series A, 6.25% due 7/5/2008 | NR/A | 391,465 | |||||||||
1,000,000 | Gary Building Corp. — Lake County First Mortgage Series 1994-B, 8.25% due 7/1/2010 (Sears Building Project) | NR/NR | 1,029,680 | |||||||||
1,020,000 | Goshen Chandler School Building Capital Appreciation Refunding, 0% due 1/15/2011 (Insured: MBIA) | Aaa/AAA | 811,736 | |||||||||
2,600,000 | Hamilton Southeastern Indiana, 6.25% due 7/15/2006 (North Delaware School Building Project; Insured: AMBAC) | Aaa/AAA | 2,794,948 | |||||||||
1,000,000 | Huntington Economic Development Revenue, 6.40% due 5/1/2015 (United Methodist Memorial Project) | NR/NR | 1,059,470 | |||||||||
700,000 | Indiana Bond Bank Common School Fund Advanced Purchase Funding, 5.00% due 2/1/2009 (Insured: AMBAC) | Aaa/AAA | 764,925 | |||||||||
1,500,000 | Indiana Bond Bank Special Program Hendrick’s Redevelopment Series B, 6.20% due 2/1/2023 (LOC: Canadian Imperial Bank) pre-refunded 2/1/2007 @ 102 | NR/A+ | 1,670,430 | |||||||||
575,000 | Indiana Health Facility Hospital Revenue, 5.75% due 9/1/2015 (ETM)* | NR/AAA | 576,857 | |||||||||
1,000,000 | Indiana Health Facility Hospital Revenue, 5.40% due 2/15/2016 (Clarian Health Obligation Group Project; Insured: MBIA) | Aaa/AAA | 1,107,400 | |||||||||
910,000 | Indiana Public School Building Corp. First Mortgage, 6.00% due 7/5/2007 (Insured: State Aid Witholding) (b) | NR/AA | 1,001,346 | |||||||||
1,065,000 | Indiana State Educational Facilities Authority Revenue, 5.65% due 10/1/2015 (University of Indianapolis Project) | NR/A- | 1,164,599 | |||||||||
1,025,000 | Indiana State Educational Facilities Authority Revenue, 5.70% due 10/1/2016 (University of Indianapolis Project) | NR/A- | 1,121,709 | |||||||||
500,000 | Indianapolis Economic Development Revenue, 5.50% due 6/1/2014 | Aa3/NR | 553,570 | |||||||||
740,000 | Indianapolis Local Public Improvement Bond Bank, 0% due 7/1/2009 (ETM)* | Aa2/NR | 639,345 | |||||||||
500,000 | Portage Township Multi School Bldg., 5.50% due 7/15/2015 (Insured: FGIC) | Aaa/AAA | 566,560 | |||||||||
2,680,000 | Rockport Pollution Control Revenue Series A, 4.90% due 6/1/2025 put 6/1/2007 (Indiana Michigan Power Co. Project) | Baa2/BBB | 2,768,628 | |||||||||
1,200,000 | Wawasee Community School Corp. First Mortgage, 5.50% due 7/15/2012 | NR/AA- | 1,358,436 | |||||||||
1,685,000 | West Clark School Building Corp. First Mortgage, 5.75% due 7/15/2017 (Insured: FGIC and State Aid Withholding) | Aaa/AAA | 1,923,545 | |||||||||
IOWA (1.90%) | ||||||||||||
1,780,000 | Iowa Department of General Services Certificate of Participation Series 1992, 6.50% due 7/1/2006 (Insured: AMBAC) (ETM)* | Aaa/AAA | 1,786,942 | |||||||||
1,000,000 | Iowa Finance Authority Health Care Facilities, 6.00% due 7/1/2013 (Genesis Medical Center Project) | A1/NR | 1,103,420 | |||||||||
1,000,000 | Iowa Finance Authority Hospital Facility Revenue, 6.00% due 7/1/2012 (Trinity Regional Hospital Project; Insured: FSA) | Aaa/AAA | 1,163,980 | |||||||||
1,000,000 | Iowa Finance Authority Hospital Facility Revenue, 6.75% due 2/15/2016 | A1/NR | 1,122,310 |
18 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 2,000,000 | Iowa Finance Authority Revenue, 6.00% due 12/1/2018 (Catholic Health Initiatives Project) | Aa2/AA | $ | 2,211,600 | |||||||
1,250,000 | Iowa Finance Authority Revenue Refunding Trinity Health Series B, 5.75% due 12/1/2015 | Aa3/AA- | 1,369,650 | |||||||||
KANSAS (1.00%) | ||||||||||||
4,200,000 | Wichita Hospital Revenue Refunding Improvement Series XI, 6.75% due 11/15/2019 (Christi Health System Project) | NR/A+ | 4,710,510 | |||||||||
KENTUCKY (1.20%) | ||||||||||||
4,000,000 | Kentucky Economic Development Finance Authority Series C, 0% due 10/1/2015 (Norton Healthcare Project; Insured: MBIA) | Aaa/AAA | 4,348,560 | |||||||||
570,000 | Paintsville First Mortgage Revenue Refunding Series 1991, 8.65% due 9/1/2005 (Paul B. Hall Medical Center Project) | NR/NR | 573,414 | |||||||||
725,000 | Wilmore Housing Facilities Revenue, 5.55% due 7/1/2013 (LOC: Allied Irish Bank PLC) | NR/NR | 765,296 | |||||||||
LOUISIANA (1.90%) | ||||||||||||
666 | East Baton Rouge Mortgage Financing Authority Purchase Revenue, 8.25% due 2/25/2011 (Collateralized: GNMA) | Aaa/AAA | 673 | |||||||||
1,595,000 | Jefferson Sales Tax District Revenue Series B, 5.50% due 12/1/2008 (Insured: AMBAC) | Aaa/AAA | 1,781,009 | |||||||||
390,000 | Louisiana Local Govt. Environment Series A, 4.10% due 9/1/2007 (Housing Bellemont Apts. Project) | Baa1/NR | 390,308 | |||||||||
3,250,000 | Louisiana State Offshore Terminal Refunding Series D, 4.00% due 9/1/2023 put 9/1/2008 (Loop LLC Project) | A3/A-1 | 3,357,835 | |||||||||
3,000,000 | Morehouse Parish Pollution Revenue Refunding Series A, 5.25% due 11/15/2013 (International Paper Co. Project) | Baa2/BBB | 3,220,110 | |||||||||
MASSACHUSETTS (0.50%) | ||||||||||||
1,205,000 | Massachusetts Development Finance Agency Refunding, 6.25% due 1/1/2015 (Odd Fellows Home Project) | NR/NR | 1,117,891 | |||||||||
1,100,000 | Massachusetts Industrial Financing Agency Revenue Series A, 6.125% due 12/1/2011 (Insured: MBIA) | Aaa/AAA | 1,121,582 | |||||||||
MICHIGAN (1.40%) | ||||||||||||
650,000 | Kalamazoo Hospital Finance Authority Revenue Series 1994-A, 6.25% due 6/1/2014 (Borgess Medical Center Project) (ETM)* | Aaa/AAA | 788,385 | |||||||||
1,000,000 | Kent Hospital Finance Authority Michigan Hospital, 7.25% due 1/15/2013 (Insured: MBIA) | Aaa/AAA | 1,205,320 | |||||||||
2,450,000 | Michigan State Building Authority Revenue Refunding Facilities Program Series I, 5.25% due 10/15/2017 (Insured: FSA) | Aaa/AAA | 2,713,718 | |||||||||
1,530,000 | Southfield Economic Development Corp. Refunding Revenue N.W. 12 Limited Partnership, 7.25% due 12/1/2010 | NR/NR | 1,527,307 | |||||||||
MINNESOTA (0.50%) | ||||||||||||
1,000,000 | Minneapolis St. Paul Health, 6.00% due 12/1/2018 (Healthpartners Obligation Group Project) | Baa1/BBB+ | 1,070,470 | |||||||||
550,000 | New Ulm Minnesota Independent School District Number 088, 5.45% due 2/1/2012 crossover refunded 2/1/2005 @100 (Insured: FSA) | Aaa/AAA | 556,738 | |||||||||
700,000 | Southern Minnesota Municipal Power Agency Supply, pre-refunded to various dates, Series A, 5.75% due 1/1/2018 (Insured: MBIA) | Aaa/AAA | 718,214 | |||||||||
MISSISSIPPI (0.50%) | ||||||||||||
1,500,000 | Mississippi Higher Educational Authority Series C, 7.50% due 9/1/2009 | A2/NR | 1,503,090 | |||||||||
635,000 | Mississippi Hospital Equipment Revenue, 6.40% due 1/1/2007 (Rush Foundation Project; Guaranty: Connie Lee) | Baa3/AAA | 655,187 | |||||||||
MISSOURI (1.00%) | ||||||||||||
2,025,000 | Missouri Development Finance Board Healthcare Series A, 5.40% due 11/1/2018 (Lutheran Home Aged Project; LOC: Commerce Bank) | A2/NR | 2,112,237 | |||||||||
1,310,000 | Platte County Missouri Certificates of Participation, 4.00% due 9/1/2006 | NR/AA- | 1,357,972 | |||||||||
1,175,000 | St. Louis Municipal Finance Corp. Leasehold Revenue, 6.25% due 2/15/2012 pre-refunded 2/1/2005 | Aaa/AAA | 1,195,398 | |||||||||
NEBRASKA (0.20%) | ||||||||||||
845,000 | Madison County Hospital Authority 1 Hospital Revenue, 5.50% due 7/1/2014 (Faith Regional Health Services Project; Insured: Radian) | NR/AA | 922,672 |
Certified Annual Report 19
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
NEVADA (1.50%) | ||||||||||||
$ | 640,000 | Clark County Pollution Control Revenue Series B, 6.60% due 6/1/2019 (Nevada Power Company Project; Insured: FGIC) | Aaa/AAA | $ | 650,086 | |||||||
1,220,000 | Las Vegas Special Improvement District Refunding Senior Local Improvement Series A, 5.375% due 6/1/2013 (Insured: FSA) | Aaa/AAA | 1,344,891 | |||||||||
2,600,000 | Washoe County Capital Appreciation Reno Sparks Series B, 0% due 7/1/2011 (Insured: FSA) | Aaa/AAA | 2,023,086 | |||||||||
2,350,000 | Washoe County School District Refunding Series B, 5.00% due 6/1/2010 (Insured: FGIC) | Aaa/AAA | 2,593,014 | |||||||||
NEW HAMPSHIRE (1.90%) | ||||||||||||
5,140,000 | Manchester Housing & Redevelopment Authority, 0% due 1/1/2017 (Insured: Radian/ACA) | NR/AA | 2,736,999 | |||||||||
4,990,000 | Manchester Housing & Redevelopment Authority Capital Appreciation Series B, 0% due 1/1/2016 (Insured: Radian/ACA) | NR/AA | 2,778,981 | |||||||||
3,000,000 | New Hampshire Pollution Refunding Central Maine Power Co., 5.375% due 5/1/2014 | A3/BBB+ | 3,233,220 | |||||||||
NEW JERSEY (1.80%) | ||||||||||||
265,000 | New Jersey EDA Refunding Revenue, 7.50% due 12/1/2019 (Spectrum for Living Development Project; LOC: PNC Bank) | A3/A | 266,155 | |||||||||
2,300,000 | New Jersey State Transit Corp. Federal Transit Administration Grants Series B, 5.50% due 9/15/2007 (Insured: AMBAC) | Aaa/AAA | 2,504,746 | |||||||||
5,000,000 | New Jersey State Transport Trust Fund Authority Series C, 5.50% due 6/15/2017 (Transportation Systems Project) | A1/A+ | 5,581,700 | |||||||||
NEW MEXICO (0.90%) | ||||||||||||
2,380,000 | Albuquerque Airport Revenue Refunding, 5.00% due 7/1/2008 (Insured: AMBAC) | Aaa/AAA | 2,559,904 | |||||||||
200,000 | Albuquerque Gross Receipt and Lodgers Tax, 1.69% due 7/1/2023 put 10/7/2004 (weekly demand note) | VMIG1/A1+ | 200,000 | |||||||||
1,450,000 | Farmington Pollution Control Revenue, 1.73% due 9/1/2024 put 10/1/2004 (LOC: Barclays Bank) (daily demand notes) | P | 1/A1+ | 1,450,000 | ||||||||
NEW YORK (3.10%) | ||||||||||||
2,000,000 | Long Island Power Authority General Series B, 5.00% due 12/1/2006 | Baa1/A- | 2,114,580 | |||||||||
1,080,000 | Metro Transportation Authority New York Service Control Series B, 5.25% due 7/1/2006 | A3/AA- | 1,140,707 | |||||||||
1,000,000 | Nassau Health Care Corp., 6.00% due 8/1/2011 (Insured: FSA) | Aaa/AAA | 1,152,480 | |||||||||
1,175,000 | New York City Industrial Development Agency Series A, 5.00% due 6/1/2010 (Lycee Francais De New York Project; Insured: ACA) | NR/A | 1,246,428 | |||||||||
800,000 | New York City Municipal Water Finance Authority, 1.73% due 6/15/2024 put 10/1/2004 (daily demand notes) | VMIG1/A1+ | 800,000 | |||||||||
1,400,000 | New York City Refunding Series H, 1.73% due 8/1/2014 put 10/1/2004 (Insured: FSA) (daily demand notes) | VMIG1/A1+ | 1,400,000 | |||||||||
700,000 | New York City Refunding Series H, 1.73% due 8/1/2022 put 10/1/2004 (Insured: FSA) (daily demand notes) | VMIG1/A1+ | 700,000 | |||||||||
875,000 | New York City Trust Cultural Resources, 5.75% due 7/1/2015 (Museum of American Folk Art Project; Insured: ACA) | NR/A | 935,226 | |||||||||
220,000 | New York Housing Finance Service Series A, 6.375% due 9/15/2015 pre-refunded 9/15/2007 @ 100 | A3/AAA | 246,763 | |||||||||
910,000 | New York New York Series E, 6.00% due 8/1/2008 pre-refunded 8/1/2006 @ 101.50 | Aaa/AAA | 992,373 | |||||||||
1,025,000 | New York New York Series E, 6.00% due 8/1/2008 (Insured: FGIC) | Aaa/AAA | 1,108,343 | |||||||||
2,200,000 | Port Authority New York & New Jersey Special Obligation, 6.25% due 12/1/2011 (JFK International Air Terminal 6 Project) (Insured: MBIA) | Aaa/AAA | 2,511,344 | |||||||||
NORTH CAROLINA (0.30%) | ||||||||||||
1,200,000 | North Carolina Eastern Municipal Power Refunding Series A, 5.70% due 1/1/2013 (Insured: MBIA) | Aaa/AAA | 1,313,772 | |||||||||
NORTH DAKOTA (0.10%) | ||||||||||||
365,000 | Grand Forks Health Care System Revenue Bonds Series 1997, 6.25% due 8/15/2006 (Altra Health Systems Obligated Group Project; Insured: MBIA) | Aaa/AAA | 392,634 | |||||||||
OHIO (2.00%) | ||||||||||||
1,000,000 | Butler County Transportation Improvement, 6.00% due 4/1/2010 (Insured: FSA) | Aaa/AAA | 1,132,850 | |||||||||
1,530,000 | Cleveland Cuyahoga County Development Bond Fund A, 6.25% due 5/15/2016 (LOC: FifthThird Bank) | NR/NR | 1,589,119 |
20 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 1,100,000 | Franklin County Health Care Revenue Series 1995-A, 6.00% due 11/1/2010 (Heinzerling Foundation Project; LOC: Banc One) | Aa2/NR | $ | 1,149,071 | |||||||
500,000 | Franklin County Hospital, 5.80% due 12/1/2005 (Doctors Project) (ETM)* | A3/NR | 511,665 | |||||||||
575,000 | North Ridgeville Economic Development, 0% due 2/1/2015 | NR/A | 246,129 | |||||||||
2,000,000 | Ohio Pollution Control Revenue Refunding, 5.625% due 3/1/2015 (General Motors Corp. Project) | Baa1/BBB | 2,183,700 | |||||||||
1,600,000 | Ohio State Higher Educational Facility Revenue, 5.05% due 7/1/2037 put 7/1/16 (Kenyon College Project) | A2/A | 1,718,880 | |||||||||
760,000 | Reynoldsburg Health Care Facilities Revenue Bonds Series 1997, 5.70% due 10/20/2012 (Collateralized: GNMA) | Aaa/NR | 817,752 | |||||||||
OKLAHOMA (2.40%) | ||||||||||||
175,000 | Grady County Industrial Authority Correctional Facilities, 5.00% due 11/1/2004 (Insured: MBIA) | Aaa/AAA | 175,507 | |||||||||
1,020,000 | Oklahoma City Municipal Improvement Authority, 0% due 7/1/2008 (Insured: AMBAC) | Aaa/AAA | 921,652 | |||||||||
500,000 | Oklahoma City Municipal Water & Sewer Capital Appreciation Series C, 0% due 7/1/2006 (Insured: AMBAC) | Aaa/AAA | 482,610 | |||||||||
1,125,000 | Oklahoma City Municipal Water & Sewer Series C, 0% due 7/1/2011 (Insured: AMBAC) | Aaa/AAA | 882,956 | |||||||||
1,485,000 | Oklahoma City Municipal Water & Sewer Series C, 0% due 7/1/2013 (Insured: AMBAC) | Aaa/AAA | 1,053,578 | |||||||||
825,000 | Oklahoma Development Finance Authority Hospital Association Pooled Hospital A, 5.40% due 6/1/2013 (Insured: AMBAC) | Aaa/AAA | 922,837 | |||||||||
750,000 | Oklahoma Industrial Authority Revenue Refunding, 6.00% due 8/15/2010 (Integris Baptist Project; Insured: AMBAC) | Aaa/AAA | 860,977 | |||||||||
2,800,000 | Tulsa County Independent School District Combined Purpose, 4.50% due 8/1/2007 | Aa3/A+ | 2,978,668 | |||||||||
1,485,000 | Tulsa Industrial Development Authority Hospital Revenue, 6.10% due 2/15/2009 pre-refunded 2/15/2006 @ 100 (St. John’s Medical Center Project) | Aa3/AA | 1,570,358 | |||||||||
500,000 | Tulsa Public Facilities Authority Solid Waste Revenue, 5.65% due 11/1/2006 (Ogden Martin Project; Insured: AMBAC) | Aaa/AAA | 534,615 | |||||||||
500,000 | Woodward Municipal Hospital Authority Revenue Series 1994, 8.25% due 11/1/2009 | NR/NR | 510,390 | |||||||||
OREGON (0.50%) | ||||||||||||
365,000 | Albany Hospital Facility Authority Gross Revenue & Refunding Series 1994, 7.00% due 10/1/2005 (Mennonite Home Project) | NR/NR | 371,391 | |||||||||
800,000 | Forest Grove Campus Improvement & Refunding Pacific University, 6.00% due 5/1/2015 (Insured: Radian) | NR/AA | 887,544 | |||||||||
1,070,000 | Oregon Economic Development Department of Revenue Series CLII, 7.70% due 12/1/2014 (Smokecraft Project; LOC: Seafirst Bank) | Aa2/NR | 1,079,876 | |||||||||
PENNSYLVANIA (2.10%) | ||||||||||||
380,000 | Admiral Peary Area Vocational School, 5.25% due 2/1/2005 (state aid withheld) | NR/A | 381,113 | |||||||||
500,000 | Allegheny County Hospital Development, 7.00% due 8/1/2015 (ETM)* | NR/AAA | 630,470 | |||||||||
1,400,000 | Allegheny County Hospital Development Health Series B, 6.50% due 5/1/2012 (South Hills Health Systems Project) | Baa1/NR | 1,471,274 | |||||||||
600,000 | Allegheny County Ind. Development Authority Health & Housing Facilities Revenue Refunding Series B, 1.80% due 7/1/2027 put 10/1/2004 (Longwood Project; Insured: Radian) (daily demand notes) | NR/A1+ | 600,000 | |||||||||
1,750,000 | Carbon County Industrial Development Authority Refunding, 6.65% due 5/1/2010 (Panther Creek Partners Project) | NR/BBB- | 1,892,048 | |||||||||
795,000 | Lancaster County Capital Appreciation Series B, 0% due 5/1/2014 (Insured: FGIC) | Aaa/NR | 533,532 | |||||||||
800,000 | Lancaster County Capital Appreciation Series B, 0% due 5/1/2015 (Insured: FGIC) | Aaa/NR | 504,480 | |||||||||
785,000 | Lehigh County General Purpose Shepard Rehab. Hospital, 6.00% due 11/15/2007 (Insured: AMBAC) | Aaa/AAA | 870,573 | |||||||||
800,000 | McKeesport Area School District Series B, 0% due 10/1/2004 | NR/A | 799,952 | |||||||||
2,032,839 | Pennsylvania Higher Education University Series 14, 0% due 7/1/2020 (Insured: AMBAC) | Aaa/AAA | 638,007 | |||||||||
500,000 | Pennsylvania State Higher Educational Facility Allegheny Delaware Valley Obligation A, 5.60% due 11/15/2009 (Insured: MBIA) | Aaa/AAA | 551,685 | |||||||||
480,000 | Pennsylvania State Higher Educational Facility Allegheny Delaware Valley Obligation A, 5.60% due 11/15/2010 (Insured: MBIA) | Aaa/AAA | 532,133 | |||||||||
RHODE ISLAND (1.30%) | ||||||||||||
1,840,000 | Providence Series C, 5.50% due 1/15/2011 (Insured: FGIC) | Aaa/AAA | 2,083,266 | |||||||||
1,325,000 | Rhode Island Health & Education Building Hospital Financing, 5.25% due 7/1/2015 (Memorial Hospital Project; LOC: Fleet Bank) | NR/AA- | 1,412,927 |
Certified Annual Report 21
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 1,000,000 | Rhode Island Health & Education Building Refunding, 6.00% due 8/1/2014 (Credit Support: FHA) | NR/AAA | $ | 1,105,660 | |||||||
1,065,000 | Rhode Island Health & Education Building Refunding Higher Education State University, 5.00% due 3/15/2014 (Insured: Radian) | NR/AA | 1,139,433 | |||||||||
SOUTH CAROLINA (0.70%) | ||||||||||||
3,100,000 | Darlington County Industrial Development, 6.00% due 4/1/2026 (Sonoco Products Co. Project) | A2/A- | 3,264,765 | |||||||||
SOUTH DAKOTA (0.20%) | ||||||||||||
1,000,000 | South Dakota Housing Development Authority Homeownership Series B, 4.85% due 5/1/2009 | Aa1/AAA | 1,066,800 | |||||||||
TENNESSEE (0.50%) | ||||||||||||
2,000,000 | Knox County Health, 1.00% due 6/1/2031 put 6/1/2011 (Collateralized: FNMA) | NR/AAA | 2,093,260 | |||||||||
TEXAS (14.70%) | ||||||||||||
1,250,000 | Bexar County Health Facilities Development Corp., 6.125% due 7/1/2022 (Army Retirement Residence Project) | NR/BBB- | 1,318,663 | |||||||||
600,000 | Bexar County Housing Finance Corp., 5.50% due 1/1/2016 (Insured: MBIA) | Aaa/NR | 648,954 | |||||||||
1,035,000 | Bexar County Housing Finance Corp., 5.70% due 1/1/2021 (Insured: MBIA) | Aaa/NR | 1,111,279 | |||||||||
2,000,000 | Bexar County Housing Finance Corp., 6.50% due 12/1/2021 | A3/NR | 2,025,920 | |||||||||
1,120,000 | Bexar County Housing Finance Corp. Multi Family Housing, 5.40% due 8/1/2012 (Dymaxion & Marrach Park Apts. A Project; Insured: MBIA) | Aaa/NR | 1,191,960 | |||||||||
1,270,000 | Bexar County Housing Finance Corp. Multi Family Housing, 5.95% due 8/1/2020 (Dymaxion & Marrach Park Apts. A Project; Insured: MBIA) | Aaa/NR | 1,382,966 | |||||||||
975,000 | Bexar County Housing Finance Corp. Series A, 5.875% due 4/1/2014 (Honey Creek Apartments Project; Insured: MBIA) | Aaa/NR | 1,042,285 | |||||||||
800,000 | Bexar County Housing Finance Corp. Series A, 6.125% due 4/1/2020 (Honey Creek Apartments Project; Insured: MBIA) | Aaa/NR | 847,528 | |||||||||
2,800,000 | Birdville Independent School District Refunding, 0% due 2/15/2012 (Guaranty: PSF) | Aaa/AAA | 2,108,988 | |||||||||
1,130,000 | Carroll Independent School District Capital Appreciation Refunding, 0% due 2/15/2011 (Guaranty: PSF) | Aaa/AAA | 867,185 | |||||||||
5,000,000 | Coppell Independent School District Capital Appreciation Refunding, 0% due 8/15/2013 (Guaranty: PSF) | NR/AAA | 3,283,200 | |||||||||
1,100,000 | De Soto Independent School District Refunding, 5.125% due 8/15/2017 (Guaranty: PSF) | NR/AAA | 1,102,552 | |||||||||
3,000,000 | Duncanville Independent School District Capital Appreciation Refunding Series B, 0% due 2/15/2016 (Guaranty: PSF) | Aaa/AAA | 1,714,560 | |||||||||
3,750,000 | El Paso Independent School District Capital Appreciation Refunding, 0% due 8/15/2010 (Guaranty: PSF) | Aaa/AAA | 2,955,450 | |||||||||
2,500,000 | El Paso Independent School District Capital Appreciation Refunding, 0% due 8/15/2011 (Guaranty: PSF) | Aaa/AAA | 1,848,425 | |||||||||
2,460,000 | Ennis Independent School District Refunding, 0% due 8/15/2012 (Guaranty: PSF) | Aaa/NR | 1,775,751 | |||||||||
2,490,000 | Ennis Independent School District Refunding, 0% due 8/15/2013 (Guaranty: PSF) | Aaa/NR | 1,720,490 | |||||||||
2,525,000 | Ennis Independent School District Refunding, 0% due 8/15/2014 (Guaranty: PSF) | Aaa/NR | 1,636,781 | |||||||||
1,000,000 | Fort Worth Water & Sewer Revenue, 5.25% due 2/15/2009 | Aa2/AA | 1,104,310 | |||||||||
1,320,000 | Gulf Coast Center Revenue, 6.75% due 9/1/2020 (Mental Health Retardation Center Project) | NR/BBB+ | 1,414,789 | |||||||||
6,245,000 | Hays Consolidated Independent School District Capital Appreciation, 0% due 8/15/2013 (Guaranty: PSF) | Aaa/AAA | 4,208,568 | |||||||||
880,000 | Houston Water Conveyance System Contract Certificate of Participation Series F, 7.20% due 12/15/2004 (Insured: AMBAC) | Aaa/AAA | 889,900 | |||||||||
470,000 | Irving Hospital Authority Series B, 5.80% due 7/1/2009 (Irving Healthcare Systems Project; Insured: FSA) | Aaa/AAA | 483,080 | |||||||||
1,500,000 | Irving Waterworks & Sewer Revenue Refunding & Improvement, 5.375% due 8/15/2014 | Aa2/AA | 1,672,815 | |||||||||
1,200,000 | Lubbock Texas Health Facilities Development Corp., 5.25% due 7/1/2013 (St. Joseph Health Systems Project) | Aa3/AA- | 1,265,928 | |||||||||
1,420,000 | Mesquite Independent School District Refunding, 0% due 8/15/2012 (Guaranty: PSF) | NR/AAA | 1,018,353 | |||||||||
1,000,000 | Midlothian Independent School District Capital Appreciation Refunding, 0% due 2/15/2012 (Guaranty: PSF) | Aaa/NR | 753,210 | |||||||||
735,000 | Midtown Redevelopment Authority Tax, 6.00% due 1/1/2012 (Insured: Radian) | Baa2/AA | 826,368 | |||||||||
500,000 | Midtown Redevelopment Authority Tax, 6.00% due 1/1/2013 (Insured: Radian) | Baa2/AA | 557,435 | |||||||||
500,000 | North Central Texas Health Facility Development Refunding, 5.50% due 5/15/2013 (Baylor Health Care Systems Project) | Aa3/AA- | 521,685 | |||||||||
1,000,000 | Pharr San Juan Alamo Independent Building, 5.75% due 2/1/2013 (Guaranty: PSF) | Aaa/AAA | 1,123,350 | |||||||||
1,000,000 | Sabine River Authority Texas Pollution Refunding Series A, 5.80% due 7/1/2022 (TXU Energy Co. Project) | Baa2/BBB | 1,022,310 | |||||||||
3,000,000 | Sam Rayburn Municipal Power Agency Refunding, 6.00% due 10/1/2016 | Baa2/BBB- | 3,276,450 |
22 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 1,775,000 | Stafford Economic Development, 6.00% due 9/1/2017 (Insured: FGIC) | Aaa/AAA | $ | 2,088,252 | |||||||
3,500,000 | Tarrant County Health Facilities, 6.625% due 11/15/2020 (Adventist/Sunbelt) | A2/A | 3,871,840 | |||||||||
500,000 | Texarkana Health Facilities Hospital Refunding Series A, 5.75% due 10/1/2009 (Wadley Regional Medical Center Project; Insured: MBIA) | Aaa/AAA | 563,435 | |||||||||
2,500,000 | Texarkana Health Facilities Hospital Refunding Series A, 5.75% due 10/1/2011 (Insured: MBIA) | Aaa/AAA | 2,864,200 | |||||||||
2,000,000 | Travis County Health Facilities Development Series A, 5.75% due 11/15/2010 (Ascension Health Project; Insured: MBIA) | Aaa/AAA | 2,254,700 | |||||||||
3,000,000 | Travis County Health Facilities Development Series A, 6.25% due 11/15/2014 (Ascension Health Project; Insured: MBIA) pre-refunded 11/15/2009 @ 101 | Aaa/AAA | 3,509,790 | |||||||||
600,000 | Upper Trinity Regional Water District Regional Treated Water Supply Systems Series A, 7.125% due 8/1/2008 (Insured: FGIC) | Aaa/AAA | 699,012 | |||||||||
870,000 | Waco Health Facilities Development Corp. Series A, 6.00% due 11/15/2015 pre-refunded 11/15/2009 (Ascension Health) | Aa2/AAA | 1,011,158 | |||||||||
1,050,000 | Waco Health Facilities Development Corp. Series A, 6.00% due 11/15/2016 pre-refunded 11/15/2009 (Ascension Health) | Aa2/AAA | 1,220,362 | |||||||||
500,000 | West Harris County Municipal Utility Refunding, 6.00% due 3/1/2017 (Insured: Radian) | NR/AA | 545,500 | |||||||||
UTAH (1.00%) | ||||||||||||
1,085,000 | Salt Lake City Municipal Building Series B, 5.30% due 10/15/2012 (Insured: AMBAC) | Aaa/AAA | 1,209,439 | |||||||||
595,000 | Utah Board of Regents Auxiliary Refunding Series A, 5.25% due 5/1/2013 | NR/AA | 659,355 | |||||||||
1,000,000 | Utah County Municipal Building Authority, 5.50% due 11/1/2016 (Insured: AMBAC) | Aaa/NR | 1,125,860 | |||||||||
520,000 | Utah Housing Finance Agency, 6.05% due 7/1/2016 (Credit Support: FHA) | NR/AAA | 547,945 | |||||||||
125,000 | Utah Housing Finance Agency Single Family Mortgage D-2 Class I, 5.85% due 7/1/2015 | Aa2/AA | 125,857 | |||||||||
940,000 | Utah Water Finance Agency Revenue Pooled Loan Financing Program Series A, 5.00% due 10/1/2012 (Insured: AMBAC) | Aaa/NR | 1,040,787 | |||||||||
VIRGINIA (2.80%) | ||||||||||||
2,000,000 | Alexandria Industrial Development Authority, 5.90% due 10/1/2020 (Insured: AMBAC) | Aaa/AAA | 2,292,800 | |||||||||
1,500,000 | Alexandria Industrial Development Authority Institute For Defense Analyses Series A, 6.00% due 10/1/2014 (Insured: AMBAC) | Aaa/AAA | 1,743,255 | |||||||||
1,590,000 | Alexandria Industrial Development Authority Institute For Defense Analyses Series A, 6.00% due 10/1/2015 (Insured: AMBAC) | Aaa/AAA | 1,845,481 | |||||||||
500,000 | Arlington County Industrial Development, 6.30% due 7/1/2016 pre-refunded 7/1/2005 @ 102 | NR/A | 527,380 | |||||||||
1,000,000 | Fauquier County Industrial Development Authority, 5.50% due 10/1/2016 (Insured: Radian) | NR/AA | 1,109,150 | |||||||||
795,000 | Hanover County Industrial Development Authority Medical Facilities Revenue, 6.00% due 10/1/2021 (Insured: MBIA) (ETM)* | Aaa/AAA | 795,175 | |||||||||
1,635,000 | Norton Industrial Development Authority Hospital Refunding, 6.00% due 12/1/2014 (Norton Community Hospital Project; Insured: ACA) | NR/A | 1,804,092 | |||||||||
2,210,000 | Spotsylvania County Industrial Development, 6.00% due 9/1/2019 put 9/1/2008 (Walter Grinders Project; LOC: Deutsche Bank) | NR/NR | 2,308,698 | |||||||||
500,000 | Virginia College Building Authority, 5.55% due 11/1/2019 put 11/1/2004 @ 100 (University of Richmond Project) | Aa1/AA | 501,710 | |||||||||
WASHINGTON (6.30%) | ||||||||||||
1,500,000 | Benton County Public Utility District Refunding Series A, 5.625% due 11/1/2012 (Insured: FSA) | Aaa/AAA | 1,708,350 | |||||||||
940,000 | Chelan County Public Utility District Refunding Series B, 4.50% due 7/1/2005 (Chelan Hydro Electric Project; Insured: FGIC) (a) | Aaa/AAA | 943,140 | |||||||||
1,000,000 | Energy Northwest Washington Series A, 5.60% due 7/1/2015 (Wind Project) | A3/A- | 1,059,510 | |||||||||
745,000 | Energy Northwest Washington Series B, 5.10% due 7/1/2009 (Wind Project) | A3/A- | 786,213 | |||||||||
285,000 | Grant County Public Utility District-2 Wanapum Hydro Electric Revenue Series C, 6.00% due 1/1/2006 (Insured: AMBAC) | Aaa/AAA | 299,535 | |||||||||
500,000 | Snohomish County Public Utility 001 Systems Notes, 5.00% due 12/1/2005 | A1/SP1+ | 518,065 | |||||||||
750,000 | Tacoma Electric Systems Revenue Series A, 5.50% due 1/1/2012 (Insured: FSA) | Aaa/AAA | 845,303 | |||||||||
1,350,000 | University of Washington Revenue Refunding, 5.25% due 8/15/2009 (University of Washington Medical Center Project; Insured: MBIA) | Aaa/AAA | 1,490,049 |
Certified Annual Report 23
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 3,500,000 | Vancouver Downtown Redevelopment Senior Series A, 5.50% due 1/1/2018 (Conference Center Project; Insured: ACA) | NR/A | $ | 3,694,425 | |||||||
2,690,000 | Washington Health Care Facilities, 5.50% due 12/1/2010 (Insured: MBIA) | Aaa/AAA | 2,999,888 | |||||||||
1,735,000 | Washington Health Care Facilities, 6.00% due 12/1/2014 (Insured: MBIA) | Aaa/AAA | 1,990,218 | |||||||||
1,945,000 | Washington Health Care Facilities, 6.00% due 12/1/2015 (Insured: MBIA) | Aaa/AAA | 2,210,843 | |||||||||
1,500,000 | Washington Health Care Facilities Refunding, 6.375% due 10/1/2010 (Insured: FGIC) | Aaa/AAA | 1,752,885 | |||||||||
1,025,000 | Washington Health Care Facilities Sea Mar Community Health Center, 5.60% due 1/1/2018 (LOC: U.S. Bancorp) | Aa3/NR | 1,102,346 | |||||||||
500,000 | Washington Nonprofit Housing, 5.60% due 7/1/2011 (Kline Galland Center Project; Insured: Radian) | NR/AA | 547,745 | |||||||||
1,000,000 | Washington Nonprofit Housing, 5.875% due 7/1/2019 (Kline Galland Center Project; Insured: Radian) | NR/AA | 1,103,720 | |||||||||
1,000,000 | Washington Public Power Supply Capital Appreciation Refunding Series B, 0% due 7/1/2011 | Aaa/AA- | 774,510 | |||||||||
3,030,000 | Washington Public Power Supply Refunding Series A, 5.00% due 7/1/2011 (Insured: FSA) | Aaa/AAA | 3,301,064 | |||||||||
960,000 | Washington Public Power Supply System, 0% due 7/1/2010 (Project 3) | Aaa/AA- | 781,421 | |||||||||
1,000,000 | Washington State Multi Family Mortgage Revenue, 6.30% due 1/1/2021 put 1/1/2011 @100 (LOC: US Bank N.A.) | NR/AA- | 1,096,500 | |||||||||
WEST VIRGINIA (0.20%) | ||||||||||||
1,000,000 | Marshall County Pollution Control, 5.90% due 4/1/2022 (Insured: MBIA) | Aaa/AAA | 1,006,900 | |||||||||
WISCONSIN (0.70%) | ||||||||||||
60,000 | Bass Lake PCRB, 6.50% due 4/1/2005 (Johnson Timber Corp. Project; Guaranty: SBA) | NR/NR | 60,035 | |||||||||
1,000,000 | Wisconsin Health & Educational Facilities, 5.75% due 8/15/2020 (Eagle River Memorial Hospital Inc. Project; Insured: Radian) | NR/AA | 1,101,400 | |||||||||
2,000,000 | Wisconsin Housing & Economic Development Housing Series A, 5.875% due 11/1/2016 (Insured: AMBAC) | Aaa/AAA | 2,145,300 | |||||||||
TOTAL INVESTMENTS (100%) (Cost $431,268,725) | $ | 457,386,677 | ||||||||||
† Credit ratings are unaudited.
* Escrowed to maturity.
(a) When issued security.
(b) Segregated as collateral for a when issued security.
See notes to financial statements.
CREDIT RATING †
24 Certified Annual Report
Report of independent Registered public Accounting Firm
Thornburg Intermediate Municipal Fund
To the Trustees and Class I Shareholders of
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg Intermediate Municipal Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the “Fund”) at September 30, 2004, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for the Class I shares for each of the five 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 Fund’s 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 the standards of the Public Company Accounting Oversight Board (United States). Those standards 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, 2004 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 9, 2004
Certified Annual Report 25
EXPENSE EXAMPLE | ||
Thornburg Intermediate Municipal Fund | September 30, 2004 |
As a shareholder of the Fund, you incur ongoing costs, including management and administrative fees and other Fund expenses.
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested on April 1, 2004 and held until September 30, 2004.
Actual Expenses
The first line of the table at right provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table at right provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses Paid | ||||||||||
Account Value | Account Value | During Period† | ||||||||||
4/01/04 | 9/30/04 | 4/1/04 - 9/30/04 | ||||||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000 | $ | 1,012.10 | $ | 3.36 | ||||||
Hypothetical* | $ | 1,000 | $ | 1,021.66 | $ | 3.38 |
†Expenses are equal to the annualized expense ratio for class I shares (0.67%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period.
*Hypothetical assumes a rate of return of 5% per year before expenses.
26 Certified Annual Report
INDEX COMPARISON | ||
Thornburg Intermediate Municipal Fund | September 30, 2004 |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Intermediate Municipal Fund Class I Total Returns, versus
Merrill Lynch 7-12 Year Municipal Bond Index and Consumer Price Index
(July 30, 1996 to September 30, 2004)
AVERAGE ANNUAL TOTAL RETURNS
For the periods ended September 30, 2004 (with sales charge)
Since | ||||||||||||||||
1 Yr | 5 Yrs | 10 Yrs | Inception | |||||||||||||
I Shares (Incep: 7/5/96) | 3.61 | % | 5.48 | % | N/A | 5.34 | % | |||||||||
FUND ATTRIBUTES
as of September 30, 2004
Annualized | SEC | Maximum | ||||||||||||||
Dist. Rate (NAV) | Yield | NAV | Offering Price | |||||||||||||
I Shares (Incep: 7/5/96) | 4.02 | % | 2.91 | % | $ | 13.46 | $ | 13.46 | ||||||||
Performance data reflect past performance, which is no guarantee of future results. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares.
Returns reflect the reinvestment of dividends and capital gains. There is no up front sales charge for this class of shares.
The Consumer Price Index (“CPI”) measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. The CPI is also known as the cost-of-living index.
The Merrill Lynch 7-12 Year Municipal Bond Index represents a broad measure of market performance. It is a model portfolio of municipal obligations throughout the U.S., with an average maturity which ranges from seven to twelve years.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
The SEC Yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Funds’ shares at the end of the period.
The distribution rate is calculated by taking the sum of the month’s total distribution factors and dividing this sum by a 30-day period and annualizing to 360-day year. The value is then divided by the ending Net Asset Value (NAV) to arrive at the annualized distribution yield. The yield is calculated on a periodic basis and is subject to change depending on the Funds’ NAV and current distributions.
Certified Annual Report 27
TRUSTEES AND OFFICERS | ||
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
INTERESTED TRUSTEES(2)(4) | ||||
Garrett Thornburg, 58 | CEO, Chairman and controlling shareholder of Thornburg Investment | Director of Thornburg | ||
Chairman of Trustees | Management, Inc. (investment advisor) and Thornburg Securities Corporation | Mortgage, Inc. (real | ||
Trustee since 1987(3) | (securities dealer); Chairman of Thornburg Limited Term Municipal Fund, Inc. (registered investment company) to 2004; CEO and Chairman of Thornburg Mortgage, Inc. (real estate investment trust); Chairman of Thornburg Mortgage Advisory Corporation (investment manager to Thornburg Mortgage, Inc.). | estate investment trust) | ||
Brian J. McMahon, 48 | President and Managing Director of Thornburg Investment Management, Inc.; | None | ||
Trustee since 2001 | President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | |||
President since 1997(5)(6) | ||||
INDEPENDENT TRUSTEES(2)(4) | ||||
David A. Ater, 59 | Principal in Ater & Ater Associates, Santa Fe, NM (developer, planner and broker | Director of Thornburg | ||
Trustee since 1994 | of residential and commercial real estate); owner developer and broker for various real estate projects. | Mortgage, Inc. (real estate investment trust) | ||
David D. Chase, 63 Trustee since 2000 | Chairman, President, CEO, and General Partner of Vestor Partners, LP, Santa Fe, NM (private equity fund); Chairman and CEO of Vestor Holdings, Inc., Santa Fe, NM (merchant bank). | Director of Thornburg Limited Term Municipal Fund, Inc. 2001 – 2004 | ||
Eliot R. Cutler, 58 Trustee since 2004 | Partner, Akin, Gump, Strauss, Hauer & Feld, LLP, Washington, D.C. (law firm) since November 2000; partner, Cutler & Stanfield, Washington, D.C. (law firm) until November 2000. | Director of Thornburg Limited Term Municipal Fund, Inc. to 2004; director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Susan H. Dubin, 55 | President of Dubin Investments, Ltd., Greenwich, CT (private investment | None | ||
Trustee since 2004 | fund); Director and officer of various charitable organizations; and formerly, Vice President of Chemical Bank (predecessor to JP Morgan Chase & Co.), New York, 1974 – 1996. | |||
Forrest S. Smith, 74 | Trust and estate attorney, of counsel to Catron, Catron & Pottow, Santa Fe, NM | None | ||
Trustee since 1987 | (law firm). | |||
Owen D. Van Essen, 50 | President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers | None | ||
Trustee since 2004 | and acquisitions). | |||
James W. Weyhrauch, 45 | Executive Vice President and Director to 2002, and since 2002; CEO and Vice | None | ||
Trustee since 1996 | Chairman, Nambé Mills, Inc., Santa Fe, NM (manufacturer). |
27 Certified Annual Report
TRUSTEES AND OFFICERS CONTINUED
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(6)(7) | ||||
Dawn B. Fischer, 57 Secretary since 1987 | Secretary and Managing Director, Thornburg Investment Management, Inc.; Secretary, Thornburg Limited Term Municipal Fund, Inc. to 2004; Secretary, Thornburg Securities Corporation; Vice President, Daily Tax Free Income Fund, Inc. (registered investment company). | Not applicable | ||
Steven J. Bohlin, 45 Vice President, since 1987; Treasurer since 1989 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
George T. Strickland, 41 Vice President since 1996 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President (and Treasurer since 2003) of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
William V. Fries, 65 Vice President since 1995 | Vice President and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 37 Vice President since 2001 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2004. | Not applicable | ||
Kenneth Ziesenheim, 50 Vice President since 1995 | Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Securities Corporation; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Alexander Motola, 34 Vice President since 2001 | Managing Director of Thornburg Investment Management, Inc. since 2000; Portfolio Manager, Insight Capital Research & Management, Inc., Walnut Creek, California 1995–2000. | Not applicable | ||
Wendy Trevisani, 33 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 2000 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2002; Sales Representative, Solomon Smith Barney 1996–1999. | Not applicable | ||
Joshua Gonze, 41 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 1999 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Brad Kinkelaar, 36 Vice President since 1999 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 1999, Vice President since 2000, and Managing Director since 2004; Equity Investment Analyst, State Farm Insurance Companies 1996–1999. | Not applicable | ||
Kerry D. Lee, 37 Vice President since 1999 | Vice President of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable |
Certified Annual Report 29
TRUSTEES AND OFFICERS, CONTINUED
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
Christopher Ihlefeld, 34 | Associate Portfolio Manager since 1999; Vice President of Thornburg Investment | Not applicable | ||
Vice President since 2003 | Management, Inc. since 2002; Vice President of Limited Term Municipal Fund, Inc., 2003 – 2004. | |||
Leon Sandersfeld, 38 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2002; Senior Staff Accountant, Farm Bureau Life Insurance Co. 1998 – 2002. | Not applicable | ||
Sasha Wilcoxon, 30 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2000; and Mutual Fund Support Service Department Manager since 2002. | Not applicable | ||
Ed Maran, 46 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Analyst, USAA 2001 – 2002; Oil Analyst, A.G. Edwards 1997 – 2000. | Not applicable | ||
Vinson Walden, 34 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Associate Portfolio Manager, Ibis Management 2002 – 2004; Associate, Lehman Brothers, 1997 – 2001. | Not applicable |
(1) | Each person’s address is 119 East Marcy Street, Santa Fe, New Mexico 87501. | |||
(2) | The Fund is one of twelve separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. The Trust currently has twelve active Funds. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twelve funds of the Trust. Each Trustee oversees the twelve portfolios in the fund complex. | |||
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is a director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twelve active funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. | |||
(4) | Each Trustee serves in office until the election and qualification of a successor. | |||
(5) | Mr. McMahon is considered an “interested” Trustee because he is the president of Thornburg Investment Management, Inc. | |||
(6) | The Trust’s president, secretary and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. | |||
(7) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
30 Certified Annual Report
OTHER INFORMATION (UNAUDITED)
Thornburg Intermediate Municipal Fund | September 30, 2004 |
PORTFOLIO PROXY VOTING
The Trust has delegated to Thornburg Investment Management, Inc. (“the Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.
Commencing August 31, 2004, information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request, on the Thornburg website at www.thornburg.com and (ii) on the Securities and Exchange Commission’s website at www.sec.gov.
TAX INFORMATION
For the fiscal year ended September 30, 2004, one hundred percent of dividends paid by the Fund are tax exempt dividends for Federal Income Tax purposes. The information and distributions reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2004.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund will file with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year, commencing with the calendar quarter ending December 31, 2004. The Fund’s Forms N-Q will be available on the Commission’s website at http://www.sec.gov, or may be copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
SHAREHOLDER MEETING INFORMATION
A special meeting (the “Meeting”) of the shareholders of Thornburg Investment Trust (the “Trust”) was held on September 13, 2004 at the offices of Thornburg Investment Management, Inc., 119 East Marcy Street, Santa Fe, New Mexico 87501. Thornburg Intermediate Municipal Fund is one of 12 active series or “Funds” of the Trust.
The shareholders of the Trust considered at the Meeting (i) the election of Trustees, and (ii) ratification of the selection of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm for the fiscal year ending September 30, 2004.
The Trustees elected at the Meeting were Garrett Thornburg, David A. Ater, David D. Chase, Eliot R. Cutler, Susan H. Dubin, Brian J. McMahon, Owen D. Van Essen and James W. Weyhrauch. Forrest S. Smith, a Trustee since 1987 did not stand for election; his term of office will continue through the end of 2004, when he will retire in accordance with the Trust’s Bylaws. The shareholders also ratified the appointment of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm.
The voting results for the matters voted on are set out for each Fund as follows:
Election of Trustees
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Garrett Thornburg | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,772,086.332 | 692,014.443 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,202,049.716 | 217,551.648 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,555.521 | 114,080.445 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,255,221.686 | 81,237.603 | — | — | ||||||||||||
Thornburg Value Fund | 64,672,758.966 | 447,696.934 | — | — | ||||||||||||
Thornburg International Value Fund | 59,954,867.369 | 1,241,990.622 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,135,097.039 | 21,483.205 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,943.082 | 122,916.941 | — | — | ||||||||||||
Total: | 345,469,631.406 | 3,282,138.627 | — | — |
Certified Annual Report 31
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
David A. Ater | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,797,094.826 | 667,005.949 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,898.015 | 244,703.349 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,174.575 | 74,750.866 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,356,553.614 | 118,082.352 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,645.960 | 84,813.329 | — | — | ||||||||||||
Thornburg Value Fund | 64,673,309.598 | 447,696.934 | — | — | ||||||||||||
Thornburg International Value Fund | 60,746,833.041 | 450,024.950 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,132,382.888 | 24,197.356 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,615.730 | 120,243.993 | — | — | ||||||||||||
Total: | 346,235,149.064 | 2,517,171.301 | — | — | ||||||||||||
David D. Chase | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,792,336.993 | 671,763.782 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,107,955.251 | 64,970.190 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,243,684.887 | 92,774.402 | — | — | ||||||||||||
Thornburg Value Fund | 64,693,947.421 | 446,508.479 | — | — | ||||||||||||
Thornburg International Value Fund | 60,752,533.146 | 444,324.845 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,837,095.494 | 116,764.229 | — | — | ||||||||||||
Total: | 346,310,480.812 | 2,461,288.921 | — | — | ||||||||||||
Eliot R. Cutler | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,785,534.542 | 678,566.233 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,449,458.366 | 232,489.857 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,199,536.657 | 220,064.707 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,111,971.636 | 60,953.805 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,350,526.614 | 124,109.352 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,250,801.917 | 85,657.372 | — | — | ||||||||||||
Thornburg Value Fund | 64,599,511.493 | 520,944.407 | — | — | ||||||||||||
Thornburg International Value Fund | 60,724,718.843 | 472,139.148 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,134,780.624 | 21,799.620 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,832,732.499 | 121,127.224 | — | — | ||||||||||||
Total: | 346,159,119.642 | 2,592,650.361 | — | — | ||||||||||||
Susan H. Dubin | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,874.816 | 670,225.959 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,198,659.272 | 220,942.092 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,110,371.636 | 62,553.805 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,372,811.385 | 101,824.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,249,237.865 | 87,221.424 | — | — |
32 Certified Annual Report
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Value Fund | 64,679,778.577 | 440,677.323 | — | — | ||||||||||||
Thornburg International Value Fund | 60,742,583.265 | 454,274.726 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,454.801 | 120,404.922 | — | — | ||||||||||||
Total: | 346,285,090.525 | 2,466,679.208 | — | — | ||||||||||||
Brian J. McMahon | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,795,559.677 | 668,541.098 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,205,930.716 | 213,670.648 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,104,748.707 | 68,176.734 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 102,726.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,724.960 | 84,734.329 | — | — | ||||||||||||
Thornburg Value Fund | 64,681,039.437 | 439,416.463 | — | — | ||||||||||||
Thornburg International Value Fund | 60,010,455.736 | 1,186,402.255 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,131,956.015 | 24,624.229 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,227.440 | 120,632.283 | — | — | ||||||||||||
Total: | 345,556,209.517 | 3,195,560.216 | — | — | ||||||||||||
Owen D. Van Essen | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,348.831 | 670,751.944 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,730.914 | 244,870.450 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,708.092 | 74,217.349 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,248,394.246 | 88,065.043 | — | — | ||||||||||||
Thornburg Value Fund | 64,674,135.776 | 446,320.124 | — | — | ||||||||||||
Thornburg International Value Fund | 60,684,276.889 | 512,581.102 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,962.507 | 122,897.216 | — | — | ||||||||||||
Total: | 346,178,126.548 | 2,573,643.185 | — | — | ||||||||||||
James W. Weyhrauch | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,789,717.177 | 674,383.598 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 126,726.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,254,156.818 | 82,302.471 | — | — | ||||||||||||
Thornburg Value Fund | 64,683,895.944 | 436,559.906 | — | — | ||||||||||||
Thornburg International Value Fund | 60,726,245.097 | 470,612.894 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,836,311.264 | 117,548.459 | — | — | ||||||||||||
Total: | 346,278,127.848 | 2,497,641.885 | — | — |
Certified Annual Report 33
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg Intermediate Municipal Fund | September 30, 2004 |
Ratification of Selection of Independent Registered Public Accounting Firm
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Limited Term Municipal Fund | 89,266,423.303 | 430,123.930 | 767,553.542 | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,354,990.466 | 167,198.030 | 159,759.457 | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 27,957,900.165 | 174,857.659 | 286,893.540 | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,067,166.377 | 1,155.000 | 104,604.064 | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,911,733.415 | 6,868.306 | 9,157.121 | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,784,834.660 | 23,509.648 | 38,241.937 | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,583.780 | 33,945.016 | 80,017.170 | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,123,259.928 | 57,081.625 | 156,117.736 | — | ||||||||||||
Thornburg Value Fund | 64,569,333.454 | 212,238.433 | 338,884.013 | — | ||||||||||||
Thornburg International Value Fund | 60,444,286.231 | 343,771.766 | 408,700.994 | — | ||||||||||||
Thornburg Core Growth Fund | 6,110,013.492 | 32,603.465 | 13,963.287 | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,812,877.547 | 40,509.369 | 100,472.807 | — | ||||||||||||
Totals | 344,763,402.818 | 1,523,862.247 | 2,464,365.668 | — |
34 Certified Annual Report
Thornburg New Mexico Intermediate Municipal Fund
September 30, 2004
Table of Contents
6 | ||||
8 | ||||
9 | ||||
10 | ||||
11 | ||||
14 | ||||
16 | ||||
20 | ||||
21 | ||||
22 | ||||
23 | ||||
26 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
4 Certified Annual Report
Important Information
Performance data quoted represent the past and are no guarantee of future results. Current returns may be either lower or higher than those shown. Share prices and returns will fluctuate and investors may experience a loss upon redemption. There is no guarantee that the Fund will meet its objectives. Shares in the Fund carry risks, including possible loss of principal. The principal value of a bond fund will decrease when interest rates rise.
The maximum sales charge for Class A Shares is 2.00%. There is no up front sales charge for Class D Shares and no contingent deferred sales charge (CDSC).
For the most recent month-end performance information, visit www.thornburg.com.
The information presented on the following pages was current as of September 30, 2004. The manager’s views, portfolio holdings, and sector diversification are historical and subject to change. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each Fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any Fund to differ materially as compared to its benchmarks.
Glossary
The Merrill Lynch 7-12 Year Municipal Bond Index — Represents a broad measure of market performance. It is a model portfolio of municipal obligations throughout the U.S., with an average maturity which ranges from seven to twelve years. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
Duration — The measure of the price sensitivity of a fixed-income security to an interest rate change of 100 basis points. Calculation is based on the weighted average of the present values for all cash flows.
Weighted Average Maturity — Is a weighted average of all the effective maturities of the bonds in a portfolio. Effective maturity takes into consideration mortgage prepayments, puts, calls, adjustable coupons, and other features of individual bonds and is thus a more accurate measure of interest-rate sensitivity. Longer-maturity funds are generally considered more interest-rate sensitive than their shorter counterparts.
Certified Annual Report 5
Letter to Shareholders
George Strickland
Portfolio Manager
October 21, 2004
Dear Fellow Shareholder:
I am pleased to present the Annual Report for the Thornburg New Mexico Intermediate Municipal Fund. The net asset value of the A shares decreased by 6 cents to $13.40 during the year ended September 30, 2004. If you were with us for the entire period, you received dividends of 45.4 cents per share. If you reinvested dividends, you received 46.2 cents per share. Investors who owned D shares received dividends of 41.7 and 42.3 cents per share, respectively.
Over the last year, interest rates on bonds that mature in less than ten years have risen somewhat while interest rates on bonds with maturities longer than ten years have fallen. This has led to better performance for long-term bonds relative to shorter-term bonds. The A shares of your Fund produced a total return of 3.00% over the last year, compared to a 4.95% return for the Merrill Lynch 7-12 Year Municipal Bond Index. We believe that the index outperformed the Fund because it is generally concentrated in bonds with a longer duration than bonds held by the Fund. If long-term interest rates start to rise again, we would expect the Fund to outperform the index.
Interest rates on intermediate municipal bonds have covered a lot of ground since September 30, 2003. For example, the yield on a 7-year AAA-rated municipal bond hit a low of 2.67% on March 9, 2004 before climbing to a high of 3.80% only two months later. As of September 30, 2004, that bond’s yield has fallen back down to 3.12%. (Source: Bloomberg: Municipal Market Advisors, Inc.)
Ironically, bond yields rose this past spring before the Federal Reserve started raising the targeted Fed Funds rate. Now that the Federal Reserve is pushing up short-term interest rates, the interest rates on bonds and home mortgages have been falling. In essence, the bond market is counteracting a tightening Federal Reserve by allowing corporations, governments, and individuals to borrow money at lower interest rates.
Given the abundant liquidity and relatively low yields in the bond markets today, we believe that the Federal Reserve has a significant amount of additional tightening to do before they overcome the bond market’s “give back” and achieve a neutral monetary policy. The yield curve does not appear to be pricing in this possibility today. If it does start pricing in a more aggressive Federal Reserve, we believe that bond yields will rise above current levels.
We have positioned your Fund with this outlook in mind. Your Thornburg New Mexico Intermediate Municipal Fund is a laddered portfolio of over 150 municipal obligations from all over the state. Today, your Fund’s weighted average maturity is 7.8 years. We ladder the maturity dates of the bonds in your portfolio so that some of the bonds are scheduled to mature during each of the coming years. Laddering intermediate bonds accomplishes two goals. First, the staggered bond maturities contained in a ladder defuse interest-rate risk and dampen the Fund’s price volatility. Second, laddering gives the Fund a steady cash flow stream from maturing bonds to reinvest toward the top of the ladder where yields are typically higher. The laddering strategy is what differentiates this Fund
6 Certified Annual Report
from most bond mutual funds. It will be particularly useful if interest rates rise, because it will allow the Fund to gradually increase the yield of the portfolio as bonds mature and get replaced with new ones. The chart on the right describes the percentages of your Fund’s bond portfolio maturing in each of the coming years.
% of portfolio | Cumulative % | |||||||||||
maturing | maturing | |||||||||||
2 years | = | 15% | Year 2 | = | 15% | |||||||
2 to 4 years | = | 12% | Year 4 | = | 27% | |||||||
4 to 6 years | = | 14% | Year 6 | = | 41% | |||||||
6 to 8 years | = | 15% | Year 8 | = | 56% | |||||||
8 to 10 years | = | 11% | Year 10 | = | 67% | |||||||
10 to 12 years | = | 8% | Year 12 | = | 75% | |||||||
12 to 14 years | = | 11% | Year 14 | = | 86% | |||||||
14 to 16 years | = | 3% | Year 16 | = | 89% | |||||||
16 to 18 years | = | 6% | Year 18 | = | 95% | |||||||
Over 18 years | = | 5% | Over 18 years | = | 100% |
Percentages can and do vary. Data as of 9/30/04.
Thanks to a strong job market, higher oil and gas prices and healthy sales tax growth, New Mexico is enjoying revenue growth of 10% above 2003 levels. State reserve fund balances should increase above the already healthy level of $504 million. While the state is financially sound today, we will be watching to see how this administration manages the growing demands of Medicaid, education, and infrastructure spending while carrying through on plans to lower state income taxes. To manage credit risk, we have kept 93% of the portfolio in bonds rated A or above and maintained broad diversification across issuers and market sectors.
Over the years, our practice of laddering a diversified portfolio of short- and intermediate-maturity municipal bonds has allowed your Fund to perform consistently well in varying interest rate environments. Thank you for investing in Thornburg New Mexico Intermediate Municipal Fund.
Sincerely,
George Strickland
Portfolio Manager
Certified Annual Report 7
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2004 |
ASSETS | ||||
Investments at value (cost $202,384,158) | $ | 211,656,433 | ||
Cash | 76,558 | |||
Receivable for investments sold | 8,405,218 | |||
Receivable for fund shares sold | 344,692 | |||
Interest receivable | 2,902,663 | |||
Prepaid expenses and other assets | 861 | |||
Total Assets | 223,386,425 | |||
LIABILITIES | ||||
Payable for securities purchased | 395,525 | |||
Payable for fund shares redeemed | 64,805 | |||
Accounts payable and accrued expenses | 39,393 | |||
Payable to investment advisor and other affiliates (Note 3) | 163,864 | |||
Dividends payable | 236,251 | |||
Total Liabilities | 899,838 | |||
NET ASSETS | $ | 222,486,587 | ||
NET ASSETS CONSIST OF: | ||||
Net unrealized appreciation (depreciation) on investments | $ | 9,272,275 | ||
Over-distributed net investment income (loss) | (4,717 | ) | ||
Accumulated net realized gain (loss) | (1,103,929 | ) | ||
Net capital paid in on shares of beneficial interest | 214,322,958 | |||
$ | 222,486,587 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($208,435,455 applicable to 15,553,673 shares of beneficial interest outstanding — Note 4) | $ | 13.40 | ||
Maximum sales charge, 2.00% of offering price | 0.27 | |||
Maximum Offering Price Per Share | $ | 13.67 | ||
Class D Shares: | ||||
Net asset value, offering and redemption price per share ($14,051,132 applicable to 1,047,993 shares of beneficial interest outstanding — Note 4) | $ | 13.41 | ||
See notes to financial statements.
8 Certified Annual Report
STATEMENT OF OPERATIONS | ||
Thornburg New Mexico Intermediate Municipal Fund | Year Ended September 30, 2004 |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $1,446,417) | $ | 9,975,493 | ||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 1,144,218 | |||
Administration fees (Note 3) | ||||
Class A Shares | 268,264 | |||
Class D Shares | 17,790 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 477,517 | |||
Class D Shares | 142,339 | |||
Transfer agent fees | ||||
Class A Shares | 70,042 | |||
Class D Shares | 17,728 | |||
Registration and filing fees | ||||
Class A Shares | 398 | |||
Class D Shares | 389 | |||
Custodian fees (Note 3) | 108,629 | |||
Professional fees | 20,420 | |||
Accounting fees | 20,585 | |||
Trustee fees | 5,899 | |||
Other expenses | 31,129 | |||
Total Expenses | 2,325,347 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (14,208 | ) | ||
Distribution and service fees waived (Note 3) | (70,554 | ) | ||
Fees paid indirectly (Note 3) | (2,604 | ) | ||
Net Expenses | 2,237,981 | |||
Net Investment Income | 7,737,512 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | 75,537 | |||
Increase (Decrease) in unrealized appreciation of investments | (1,318,602 | ) | ||
Net Realized and Unrealized Gain (Loss) on Investments | (1,243,065 | ) | ||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 6,494,447 | ||
See notes to financial statements.
Certified Annual Report 9
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg New Mexico Intermediate Municipal Fund
Year Ended | Year Ended | |||||||
September 30, 2004 | September 30, 2003 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 7,737,512 | $ | 7,940,266 | ||||
Net realized gain (loss) on investments | 75,537 | 35,461 | ||||||
Increase (Decrease) in unrealized appreciation of investments | (1,318,602 | ) | 519,875 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 6,494,447 | 8,495,602 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (7,294,556 | ) | (7,548,644 | ) | ||||
Class D Shares | (442,956 | ) | (391,622 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | (7,201,734 | ) | 23,500,283 | |||||
Class D Shares | (492,776 | ) | 4,900,950 | |||||
Net Increase (Decrease) in Net Assets | (8,937,575 | ) | 28,956,569 | |||||
NET ASSETS: | ||||||||
Beginning of year | 231,424,162 | 202,467,593 | ||||||
End of year | $ | 222,486,587 | $ | 231,424,162 | ||||
See notes to financial statements.
10 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2004 |
NOTE 1 — ORGANIZATION
Thornburg New Mexico Intermediate Municipal Fund (the “Fund”) is a non-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 eleven series of shares of beneficial interest in addition to those of the Fund: Thornburg Limited Term Municipal Fund, Thornburg California Limited Term Municipal Fund, Thornburg Florida Intermediate Municipal Fund, Thornburg New York Intermediate Municipal Fund, Thornburg Intermediate Municipal Fund, Thornburg Limited Term U.S. Government Fund, Thornburg Limited Term Income Fund, Thornburg Value Fund, Thornburg International Value Fund, Thornburg Core Growth Fund, and Thornburg Investment Income Builder Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund’s investment objective is to obtain as high a level of current income exempt from Federal income tax as is consistent with the preservation of capital.
The Fund currently offers two classes of shares of beneficial interest, Class A and Class D shares. Each class of shares of the 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 D shares are sold at net asset value without a sales charge at the time of purchase or redemption and bear both a service fee and a distribution fee, and (iii) the respective classes have different reinvestment privileges. Additionally, the 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 Fund are limited to service and distribution fees, administration fees and certain registration and 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 Fund utilizes 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, normally 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 municipal 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 Fund are reviewed by the officers of the Trust under the general supervision of the Trustees. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
Federal Income Taxes: It is the policy of the Fund to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute substantially all of its taxable (if any) and tax exempt income to its shareholders. Therefore, no provision for Federal income tax is required.
When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with its investment objectives and not for the purpose of investment leverage or to speculate on interest rate changes. At the time the 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 on 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 Fund is declared daily as a dividend on shares for which the Fund has received payment. Dividends are paid monthly and are reinvested in additional shares of the Fund 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 at least annually.
General: Securities transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and discounts on securities purchased are amortized to call dates or maturity dates of the respective securities. Realized gains and losses from the sale of securities are recorded on an identified cost basis. Net investment income, other than class specific expenses, and realized and unrealized gains and losses, are allocated daily to each class of shares based upon the relative net asset value of shares outstanding (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current share activity of the respective class). Expenses common to all funds are allocated among the funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
Certified Annual Report 11
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2004 |
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
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 “Advisor”) serves as the investment advisor and performs services for which the fees are payable at the end of each month. For the year ended September 30, 2004, these fees were payable at annual rates ranging from .50 of 1% to .275 of 1% of the average daily net assets of the Fund. The Fund also has an administrative services agreement with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% of the average daily net assets attributable to each class of shares. For the year ended September 30, 2004, the Advisor voluntarily reimbursed certain class specific expenses and administrative fees of $1,031 for Class A shares and $13,177 for Class D shares.
The Fund has an underwriting agreement with Thornburg Securities Corporation (the “Distributor,” an affiliate of the advisor), which acts as the Distributor of Fund shares. For the year ended September 30, 2004, the Distributor has advised the Fund that it earned net commissions aggregating $1,196 from the sale of Class A shares.
Pursuant to a service plan, under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder related services. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
The Fund has also adopted a distribution plan pursuant to Rule 12b-1, applicable only to the Fund’s Class D shares under which the Fund compensates the Distributor for services in promoting the sale of Class D shares of the Fund at an annual rate of up to .75% of the average daily net assets attributable to Class D shares. Total fees incurred by each class of shares of the Fund under their respective Service and Distribution Plans for the year ended September 30, 2004, are set forth in the statement of operations. Distribution fees in the amount of $70,554 were waived for Class D shares.
The Fund has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees have been adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the statement of operations. For the year ended September 30, 2004, the fees paid indirectly were $2,604.
Certain officers and trustees of the Trust are also officers and/or directors of the Advisor and Distributor. The compensation of unaffiliated trustees is borne by the Trust.
12 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2004 |
NOTE 4 — SHARES OF BENEFICIAL INTEREST
At September 30, 2004 there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended | Year Ended | |||||||||||||||
September 30, 2004 | September 30, 2003 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 4,003,342 | $ | 53,491,206 | 5,821,374 | $ | 77,915,699 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 325,601 | 4,347,760 | 347,915 | 4,650,412 | ||||||||||||
Shares repurchased | (4,879,544 | ) | (65,040,700 | ) | (4,424,642 | ) | (59,065,828 | ) | ||||||||
Net Increase (Decrease) | (550,601 | ) | $ | (7,201,734 | ) | 1,744,647 | $ | 23,500,283 | ||||||||
Class D Shares | ||||||||||||||||
Shares sold | 486,049 | $ | 6,512,327 | 766,729 | $ | 10,266,219 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 26,023 | 347,627 | 23,004 | 307,781 | ||||||||||||
Shares repurchased | (552,559 | ) | (7,352,730 | ) | (424,944 | ) | (5,673,050 | ) | ||||||||
Net Increase (Decrease) | (40,487 | ) | $ | (492,776 | ) | 364,789 | $ | 4,900,950 | ||||||||
NOTE 5 — SECURITIES TRANSACTIONS
For the year ended September 30, 2004, the Fund had purchase and sale transactions (excluding short-term securities) of $32,337,146 and $49,078,437, respectively.
NOTE 6 — INCOME TAXES
At September 30, 2004, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 202,385,491 | ||
Gross unrealized appreciation on a tax basis | $ | 9,417,347 | ||
Gross unrealized depreciation on a tax basis | (146,405 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 9,270,942 | ||
At September 30, 2004, the Fund did not have any undistributed tax-exempt/ordinary net income or undistributed capital gains.
At September 30, 2004, the Fund had tax basis capital losses, which may be carried over to offset future capital gains. To the extent such carry forwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such losses expire as follows:
2006 | $ | 7,178 | |
2007 | 33,677 | ||
2008 | 595,638 | ||
2009 | 320,666 | ||
2011 | 145,437 | ||
$ | 1,102,596 | ||
The Fund utilized $75,537 of its capital loss carry forward during the year ended September 30, 2004.
During the year ended September 30, 2004, $479,362 of capital loss carry forwards from prior years expired.
In order to account for book/tax differences, the Fund increased accumulated net realized gain (loss) by $479,542, decreased over-distributed net investment income (loss) by $4,717, and decreased net paid in capital on shares of beneficial interest by $474,825. Reclassifications result primarily from an expired capital loss carry forward.
All dividends paid by the Fund for the years ended September 30, 2004 and September 30, 2003, represent tax exempt interest dividends, which are excludable by shareholders from gross income for Federal income tax purposes.
Certified Annual Report 13
FINANCIAL HIGHLIGHTS
Thornburg New Mexico Intermediate Municipal Fund
Year Ended September 30, | ||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||
Class A Shares: | ||||||||||||||||||||
PER SHARE PERFORMANCE (for a share outstanding throughout the year) | ||||||||||||||||||||
Net asset value, beginning of year | $ | 13.46 | $ | 13.42 | $ | 13.16 | $ | 12.85 | $ | 12.92 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.45 | 0.48 | 0.53 | 0.59 | 0.62 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.06 | ) | 0.04 | 0.26 | 0.31 | (0.07 | ) | |||||||||||||
Total from investment operations | 0.39 | 0.52 | 0.79 | 0.90 | 0.55 | |||||||||||||||
Less dividends from: | ||||||||||||||||||||
Net investment income | (0.45 | ) | (0.48 | ) | (0.53 | ) | (0.59 | ) | (0.62 | ) | ||||||||||
Change in net asset value | (0.06 | ) | 0.04 | 0.26 | 0.31 | (0.07 | ) | |||||||||||||
NET ASSET VALUE, end of year | $ | 13.40 | $ | 13.46 | $ | 13.42 | $ | 13.16 | $ | 12.85 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Total return (a) | 3.00 | % | 3.93 | % | 6.16 | % | 7.12 | % | 4.36 | % | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 3.40 | % | 3.55 | % | 4.01 | % | 4.49 | % | 4.81 | % | ||||||||||
Expenses, after expense reductions | 0.96 | % | 0.97 | % | 0.98 | % | 1.01 | % | 0.99 | % | ||||||||||
Expenses, after expense reductions and net of custody credits | 0.96 | % | 0.97 | % | 0.98 | % | — | — | ||||||||||||
Expenses, before expense reductions | 0.96 | % | 0.97 | % | 1.00 | % | 1.01 | % | 1.03 | % | ||||||||||
Portfolio turnover rate | 14.66 | % | 16.53 | % | 21.35 | % | 18.77 | % | 30.23 | % | ||||||||||
Net assets at end of year (000) | $ | 208,435 | $ | 216,766 | $ | 192,749 | $ | 158,645 | $ | 147,279 |
(a) Sales loads are not reflected in computing total return.
14 Certified Annual Report
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg New Mexico Intermediate Municipal Fund
Year Ended September 30, | ||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||
Class D Shares: | ||||||||||||||||||||
PER SHARE PERFORMANCE (for a share outstanding throughout the year) | ||||||||||||||||||||
Net asset value, beginning of year | $ | 13.47 | $ | 13.43 | $ | 13.16 | $ | 12.85 | $ | 12.93 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.42 | 0.44 | 0.49 | 0.55 | 0.58 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.06 | ) | 0.04 | 0.27 | 0.31 | (0.08 | ) | |||||||||||||
Total from investment operations | 0.36 | 0.48 | 0.76 | 0.86 | 0.50 | |||||||||||||||
Less dividends from: | ||||||||||||||||||||
Net investment income | (0.42 | ) | (0.44 | ) | (0.49 | ) | (0.55 | ) | (0.58 | ) | ||||||||||
Change in net asset value | (0.06 | ) | 0.04 | 0.27 | 0.31 | (0.08 | ) | |||||||||||||
NET ASSET VALUE, end of year | $ | 13.41 | $ | 13.47 | $ | 13.43 | $ | 13.16 | $ | 12.85 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Total return | 2.70 | % | 3.63 | % | 5.94 | % | 6.84 | % | 4.00 | % | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 3.11 | % | 3.24 | % | 3.64 | % | 4.23 | % | 4.55 | % | ||||||||||
Expenses, after expense reductions | 1.25 | % | 1.25 | % | 1.25 | % | 1.27 | % | 1.25 | % | ||||||||||
Expenses, after expense reductions and net of custody credits | 1.24 | % | 1.25 | % | 1.25 | % | — | — | ||||||||||||
Expenses, before expense reductions | 1.83 | % | 1.88 | % | 2.00 | % | 2.40 | % | 2.73 | % | ||||||||||
Portfolio turnover rate | 14.66 | % | 16.53 | % | 21.35 | % | 18.77 | % | 30.23 | % | ||||||||||
Net assets at end of year (000) | $ | 14,051 | $ | 14,658 | $ | 9,719 | $ | 2,831 | $ | 2,151 |
Certified Annual Report 15
SCHEDULE OF INVESTMENTS | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2004 |
CUSIPS: CLASS A — 885-215-301, CLASS D — 885-215-624
NASDAQ SYMBOLS: CLASS A — THNMX, CLASS D — THNDX
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 3,000,000 | Alamogordo Hospital Revenue, 5.30% due 1/1/2013 (Insured: Radian) | NR/AA | $ | 3,130,680 | |||||||
1,000,000 | Albuquerque Airport Revenue, 5.00% due 7/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,066,620 | |||||||||
1,900,000 | Albuquerque Airport Revenue Adjustment Refunding Subordinated, 1.66% due 7/1/2014 put 10/7/2004 (Insured: AMBAC) (weekly demand notes) | VMIG1/A-2 | 1,900,000 | |||||||||
1,670,000 | Albuquerque Airport Revenue Senior Lien Improvement Series B, 5.00% due 7/1/2012 (Insured: MBIA) | Aaa/AAA | 1,795,250 | |||||||||
202,000 | Albuquerque Collateralized Mortgage Municipal Class B-2, 0% due 5/15/2011 (Insured: FGIC) | Aaa/AAA | 115,029 | |||||||||
840,000 | Albuquerque Gross Receipts Series B, 0% due 7/1/2005 (ETM)* | Aaa/AAA | 829,609 | |||||||||
820,000 | Albuquerque Gross Receipts Series B, 0% due 7/1/2012 pre-refunded 7/1/2011 | Aaa/AAA | 618,813 | |||||||||
50,000 | Albuquerque Gross Receipts Tax Revenue, 6.20% due 7/1/2005 | A1/AA | 50,184 | |||||||||
1,195,000 | Albuquerque Gross Receipts Unrefunded Balance Series B, 0% due 7/1/2005 (Insured: FSA) | Aaa/AAA | 1,179,955 | |||||||||
1,180,000 | Albuquerque Gross Receipts Unrefunded Balance Series B, 0% due 7/1/2012 (Insured: FSA) | Aaa/AAA | 877,000 | |||||||||
1,170,000 | Albuquerque Industrial Revenue Refunding, 5.15% due 4/1/2016 (MCT Industries Inc. Project; LOC: Bank of the West) | Aa3/NR | 1,231,261 | |||||||||
2,140,000 | Albuquerque Industrial Revenue Refunding, 5.10% due 4/1/2017 (MCT Industries Inc. Project; LOC: Bank of the West) | Aa3/NR | 2,261,659 | |||||||||
1,600,000 | Albuquerque Joint Water & Sewage Revenue Series A, 0% due 7/1/2008 (Insured: FGIC) | Aaa/AAA | 1,442,528 | |||||||||
1,500,000 | Albuquerque Joint Water & Sewage Systems Revenue, 6.00% due 7/1/2006 | Aa3/AA | 1,605,210 | |||||||||
100,000 | Albuquerque Joint Water & Sewage Systems Revenue, 4.75% due 7/1/2008 | Aa3/AA | 102,087 | |||||||||
1,135,000 | Albuquerque Joint Water & Sewage Systems Revenue Refunding & Improvement Series A, 5.25% due 7/1/2011 | Aa3/AA | 1,276,705 | |||||||||
2,240,000 | Albuquerque Municipal School District Number 12 Refunding, 5.00% due 8/1/2009 | Aa2/AA | 2,468,077 | |||||||||
760,000 | Albuquerque Municipal School District Number 12 Refunding, 5.10% due 8/1/2014 | Aa2/AA | 827,526 | |||||||||
1,175,000 | Albuquerque Municipal School District Number 12 Refunding, 5.00% due 8/1/2015 | Aa2/AA | 1,270,480 | |||||||||
415,000 | Albuquerque Refuse Removal & Disposal Revenue Refunding Series B, 5.00% due 7/1/2010 (Insured: FSA) | Aaa/AAA | 458,305 | |||||||||
1,000,000 | Albuquerque Refuse Removal & Disposal Revenue Refunding Series B, 5.00% due 7/1/2011 (Insured: FSA) | Aaa/AAA | 1,107,210 | |||||||||
2,200,000 | Albuquerque Series B, 5.00% due 7/1/2006 | Aa3/AA | 2,318,514 | |||||||||
115,000 | Albuquerque Special Assessment District Series A, 6.45% due 1/1/2015 (Cottonwood Mall Project; LOC: Bank of America) | NR/AA- | 115,692 | |||||||||
585,000 | Belen Gasoline Tax Revenue Refunding & Improvement, 5.40% due 1/1/2011 | NR/NR | 613,238 | |||||||||
400,000 | Bernalillo County General Obligation, 7.00% due 2/1/2006 | Aa1/AA+ | 427,120 | |||||||||
410,000 | Bernalillo County General Obligation, 7.00% due 2/1/2007 | Aa1/AA+ | 455,949 | |||||||||
525,000 | Bernalillo County Gross Receipts, 5.10% due 10/1/2010 | Aa3/AA | 575,479 | |||||||||
3,000,000 | Bernalillo County Gross Receipts Series B, 5.00% due 4/1/2021 (Insured: MBIA) | Aaa/AAA | 3,302,490 | |||||||||
495,000 | Bernalillo County Gross Receipts Tax Revenue, 5.50% due 10/1/2011 | Aa3/AA | 552,578 | |||||||||
1,000,000 | Bernalillo County Gross Receipts Tax Revenue, 5.25% due 10/1/2012 | Aa3/AA | 1,129,790 | |||||||||
2,000,000 | Bernalillo County Gross Receipts Tax Revenue, 5.75% due 10/1/2015 | Aa3/AA | 2,251,760 | |||||||||
2,300,000 | Bernalillo County Multi Family Housing Revenue Series 1988, 4.60% due 11/1/2025 put 11/1/2006 (Sunchase Apartments Project; Insured: AXA Reinsurance Co.) | NR/AA | 2,304,738 | |||||||||
1,000,000 | Chaves County Gross Receipts Tax Revenue, 5.00% due 7/1/2017 (Insured: FGIC) | Aaa/NR | 1,078,300 | |||||||||
1,030,000 | Chaves County Gross Receipts Tax Revenue, 5.05% due 7/1/2019 (Insured: FGIC) | Aaa/NR | 1,103,418 | |||||||||
2,170,000 | Chaves County New Mexico Gross Receipts Tax Revenue, 5.00% due 7/1/2021 (Insured: FGIC) | Aaa/NR | 2,283,469 | |||||||||
495,000 | Cibola County Gross Receipts Tax Revenue, 5.875% due 11/1/2008 (Insured: AMBAC) | Aaa/AAA | 557,919 | |||||||||
555,000 | Cibola County Gross Receipts Tax Revenue, 6.00% due 11/1/2010 (Insured: AMBAC) | Aaa/AAA | 643,495 | |||||||||
500,000 | Eastern New Mexico University Revenues Refunding & Improvement, 4.95% due 4/1/2006 (Insured: AMBAC) | Aaa/AAA | 501,295 | |||||||||
570,000 | Farmington Hospital Revenue Series A, 5.125% due 6/1/2018 (San Juan Regional Med Center Project) | A3/NR | 593,564 | |||||||||
645,000 | Farmington Hospital Revenue Series A, 5.125% due 6/1/2019 (San Juan Regional Med Center Project) | A3/NR | 668,091 | |||||||||
1,000,000 | Farmington Municipal School District 5 Refunding, 5.00% due 9/1/2011 (Insured: FSA) | Aaa/NR | 1,084,980 | |||||||||
1,740,000 | Farmington Pollution Control Revenue, 5.875% due 6/1/2023 (Insured: MBIA) | Aaa/AAA | 1,762,707 | |||||||||
1,150,000 | Farmington Pollution Control Revenue, 1.73% due 9/1/2024 put 10/1/2004 (LOC: Barclays Bank) (daily demand notes) | p1/A1+ | 1,150,000 | |||||||||
3,000,000 | Farmington Utility Systems Revenue Refunding Series A, 5.00% due 5/15/2011 (Insured: FSA) | Aaa/AAA | 3,323,370 |
16 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 6,095,000 | Farmington Utility Systems Revenue Refunding Series A, 5.00% due 5/15/2012 (Insured: FSA) | Aaa/AAA | $ | 6,689,750 | |||||||
7,975,000 | Gallup Pollution Control Revenue Refunding, 6.65% due 8/15/2017 (Plains Electric Generation Project; Insured: MBIA) | Aaa/AAA | 8,192,398 | |||||||||
1,500,000 | Gallup Pollution Control Revenue Refunding Series 1992, 6.45% due 8/15/2006 (Insured: MBIA) | Aaa/AAA | 1,505,550 | |||||||||
1,310,000 | Grant County Hospital Facility Revenue, 5.50% due 8/1/2009 (Gila Regional Medical Center Project; Insured: Radian) | NR/AA | 1,447,222 | |||||||||
1,385,000 | Grant County Hospital Facility Revenue, 5.50% due 8/1/2010 (Gila Regional Medical Center Project; Insured: Radian) | NR/AA | 1,538,500 | |||||||||
1,115,000 | Las Cruces Gross Receipts Tax Revenue Refunding & Improvement, 5.00% due 6/1/2009 (Insured: MBIA) | Aaa/NR | 1,225,530 | |||||||||
330,000 | Las Cruces Joint Utility Refunding & Improvement Revenue, 6.50% due 7/1/2007 (ETM)* | A1/NR | 334,359 | |||||||||
1,000,000 | Las Cruces School District 2, 5.50% due 8/1/2010 | Aa3/NR | 1,116,970 | |||||||||
2,600,000 | Las Cruces School District 2 Refunding, 4.00% due 8/1/2007 | Aa3/NR | 2,733,276 | |||||||||
975,000 | New Mexico Educational Assistance Foundation Revenue, 6.65% due 3/1/2007 | Aaa/NR | 985,052 | |||||||||
2,000,000 | New Mexico Educational Assistance Foundation Series A 3, 4.95% due 3/1/2009 | Aaa/NR | 2,137,600 | |||||||||
170,000 | New Mexico Educational Assistance Student Loan Series 2-B, 5.75% due 12/1/2008 | NR/NR | 170,012 | |||||||||
1,295,000 | New Mexico Finance Authority Revenue Court Facilities Fee, 5.00% due 6/15/2014 (Insured: MBIA) | Aaa/AAA | 1,415,707 | |||||||||
2,000,000 | New Mexico Finance Authority Revenue Court Facilities Fee Revenue Series A, 5.50% due 6/15/2020 (Insured: MBIA) | Aaa/AAA | 2,235,380 | |||||||||
425,000 | New Mexico Finance Authority Revenue Federal Highway Grant Anticipation Series A, 4.10% due 9/1/2005 (Insured: AMBAC) | Aaa/AAA | 434,380 | |||||||||
2,660,000 | New Mexico Finance Authority Revenue Refunding, 5.00% due 6/1/2014 (Public Project Revolving Fund B; Insured: MBIA) | Aaa/AAA | 2,925,947 | |||||||||
2,300,000 | New Mexico Finance Authority Revenue Series A, 4.00% due 4/1/2010 (Cigarette Tax UNM Health Project; Insured: MBIA) | Aaa/AAA | 2,417,668 | |||||||||
1,000,000 | New Mexico Finance Authority Revenue Series B 1, 5.25% due 6/1/2015 (Public Project) | Aaa/AAA | 1,120,660 | |||||||||
915,000 | New Mexico Finance Authority Revenue Series C, 5.15% due 6/1/2012 (Insured: MBIA) | Aaa/AAA | 1,003,508 | |||||||||
130,000 | New Mexico Finance Authority Revenue Series C, 5.25% due 6/1/2013 (Insured: MBIA) | Aaa/AAA | 143,187 | |||||||||
130,000 | New Mexico Finance Authority Revenue Series C, 5.35% due 6/1/2014 (Insured: MBIA) | Aaa/AAA | 143,750 | |||||||||
145,000 | New Mexico Finance Authority Revenue Series C, 5.45% due 6/1/2015 (Insured: MBIA) | Aaa/AAA | 159,873 | |||||||||
1,725,000 | New Mexico Finance Authority Revenue State Office Building Tax Series A, 5.00% due 6/1/2012 | Aa1/AAA | 1,895,948 | |||||||||
1,325,000 | New Mexico Finance Authority Revenue State Office Building Tax Series A, 5.00% due 6/1/2013 | Aa1/AAA | 1,454,572 | |||||||||
1,875,000 | New Mexico Finance Authority Revenue State Office Building Tax Series A, 5.00% due 6/1/2014 | Aa1/AAA | 2,049,206 | |||||||||
2,100,000 | New Mexico Finance Authority State Transportation Series A, 5.00% due 6/15/2014 (Insured: MBIA) | Aaa/AAA | 2,334,423 | |||||||||
2,000,000 | New Mexico Highway Commission Revenue Senior Subordinated Lien Tax Series A, 5.50% due 6/15/2013 | Aa2/AA+ | 2,260,160 | |||||||||
2,000,000 | New Mexico Highway Commission Revenue Senior Subordinated Lien Tax Series A, 5.50% due 6/15/2014 | Aa2/AA+ | 2,255,040 | |||||||||
4,355,000 | New Mexico Highway Commission Tax Revenue, 5.125% due 6/15/2010 | Aa2/AA+ | 4,739,416 | |||||||||
5,000,000 | New Mexico Highway Commission Tax Senior Subordinated Lien, 6.00% due 6/15/2011 pre-refunded 6/15/2009 @ 100 | Aa2/AA+ | 5,728,750 | |||||||||
1,140,000 | New Mexico Hospital Equipment Loan, 5.20% due 12/1/2010 pre-refunded 12/1/2007 @ 101 (Catholic Health Initiatives Project) | Aa2/AA | 1,254,604 | |||||||||
5,205,000 | New Mexico Hospital Equipment Loan Series A, 5.75% due 8/1/2016 (Presbyterian Healthcare Project) | Aa3/A+ | 5,705,929 | |||||||||
1,160,000 | New Mexico Housing Authority Region III Multi Family Housing Revenue Series A, 5.30% due 12/1/2022 (Senior El Paseo Apartments Project; Insured: AMBAC) | Aaa/AAA | 1,210,205 | |||||||||
435,000 | New Mexico MFA Forward Mortgage Series C, 6.50% due 7/1/2025 (Collateralized: FNMA/GNMA) | NR/AAA | 438,989 | |||||||||
775,000 | New Mexico MFA General, 5.80% due 9/1/2019 | NR/A+ | 824,747 | |||||||||
155,000 | New Mexico MFA SFMR, 5.70% due 9/1/2014 (Collateralized: FNMA/GNMA) | NR/AAA | 156,716 | |||||||||
415,000 | New Mexico MFA SFMR, 5.75% due 3/1/2017 (Collateralized: FNMA/GNMA) | NR/AAA | 419,926 | |||||||||
550,000 | New Mexico MFA SFMR, 0% due 9/1/2019 | NR/AAA | 406,186 | |||||||||
195,000 | New Mexico MFA SFMR Series 1992 A1, 6.90% due 7/1/2008 (Collateralized: FNMA/GNMA) | NR/AAA | 199,354 | |||||||||
160,000 | New Mexico MFA SFMR Series A3, 6.15% due 9/1/2017 (Collateralized: FNMA/GNMA) | NR/AAA | 160,440 | |||||||||
50,000 | New Mexico MFA SFMR Series B2, 5.80% due 1/1/2009 (Collateralized: FNMA/GNMA) | NR/AAA | 50,493 | |||||||||
35,000 | New Mexico MFA SFMR Series B2, 5.80% due 7/1/2009 (Collateralized: FNMA/GNMA) | NR/AAA | 35,375 | |||||||||
375,000 | New Mexico MFA SFMR Series B3, 5.80% due 9/1/2016 (Collateralized: FNMA/GNMA) | NR/AAA | 403,913 | |||||||||
630,000 | New Mexico MFA SFMR Series C2, 6.05% due 9/1/2021 (Collateralized: FNMA/GNMA) | NR/AAA | 664,808 | |||||||||
920,000 | New Mexico MFA SFMR Series D2, 5.875% due 9/1/2021 (Collateralized: FNMA/GNMA) | NR/AAA | 961,750 |
Certified Annual Report 17
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 170,000 | New Mexico MFA SFMR Series H, 5.45% due 1/1/2006 (Collateralized: FNMA/GNMA) | NR/AAA | $ | 175,513 | |||||||
175,000 | New Mexico MFA SFMR Series H, 5.45% due 7/1/2006 (Collateralized: FNMA/GNMA) | NR/AAA | 182,674 | |||||||||
450,000 | New Mexico MFA Single Family Series E2, 5.875% due 9/1/2020 subject to AMT | NR/AAA | 486,059 | |||||||||
1,000,000 | New Mexico Mortgage Finance Multi Family Refunding Series B, 5.00% due 7/1/2031 put 7/1/2011 (Sombra Del Oso Apartments Project; Collateralized: FNMA) | Aaa/NR | 1,064,690 | |||||||||
1,910,000 | New Mexico Mortgage Finance Multi Family Refunding Series C, 5.00% due 7/1/2031 put 7/1/2011 (Riverwalk Apartments Project; Collateralized: FNMA) | Aaa/NR | 2,033,558 | |||||||||
2,785,000 | New Mexico Mortgage Finance Multi Family Refunding Series D, 5.00% due 7/1/2031 put 7/1/2011 (Tierra Pointe I Apartments Project; Collateralized: FNMA) | Aaa/NR | 2,965,162 | |||||||||
2,335,000 | New Mexico Mortgage Finance Multi Family Series A, 6.05% due 7/1/2028 (Sandpiper Apartments Project; Insured: FHA) | NR/AAA | 2,478,252 | |||||||||
8,000,000 | New Mexico State, 4.00% due 9/1/2005 | Aa1/AA+ | 8,167,520 | |||||||||
1,000,000 | New Mexico State Highway Commission Revenue Infrastructure Senior Subordinated Lien C, 5.00% due 6/15/2012 | Aa2/AA+ | 1,102,800 | |||||||||
1,095,000 | New Mexico State Highway Commission Tax Revenue Senior Subordinated Lien, 5.75% due 6/15/2009 | Aa2/AA+ | 1,241,117 | |||||||||
255,000 | New Mexico State Highway Commission Tax Series A, 5.00% due 6/15/2010 (ETM)* | Aa2/AA+ | 282,226 | |||||||||
245,000 | New Mexico State Highway Commission Tax Series A, 5.00% due 6/15/2010 | Aa2/AA+ | 270,304 | |||||||||
500,000 | New Mexico State Hospital Equipment Loan Council Hospital Revenue Series A, 4.80% due 8/1/2010 (Presbyterian Healthcare Project) | Aa3/A+ | 534,895 | |||||||||
650,000 | New Mexico State Refunding Series B, 5.00% due 9/1/2006 | Aa1/AA+ | 687,869 | |||||||||
1,475,000 | New Mexico State Severance Tax, 5.00% due 7/1/2007 | Aa2/AA | 1,587,956 | |||||||||
1,645,000 | New Mexico State Severance Tax Refunding Series A, 5.00% due 7/1/2007 | Aa2/AA | 1,770,974 | |||||||||
550,000 | New Mexico State Severance Tax Refunding Series A, 5.00% due 7/1/2008 | Aa2/AA | 586,944 | |||||||||
2,500,000 | New Mexico State Severance Tax Refunding Series A, 5.00% due 7/1/2009 | Aa2/AA | 2,748,900 | |||||||||
1,000,000 | New Mexico State Supplemental Severance Series A, 5.00% due 7/1/2011 | Aa3/A+ | 1,068,820 | |||||||||
1,000,000 | New Mexico State University Revenues Refunding & Improvement, 5.00% due 4/1/2013 (Insured: FSA) | Aaa/AAA | 1,110,270 | |||||||||
5,000,000 | New Mexico Supplemental Severance Series A, 5.00% due 7/1/2008 | Aa3/A+ | 5,349,650 | |||||||||
570,000 | Otero County Refunding, 4.00% due 8/1/2005 (Insured: MBIA) | Aaa/NR | 580,380 | |||||||||
1,000,000 | Puerto Rico Public Buildings Authority Revenue Refunding Government Facilities Series F, 5.25% due 7/1/2019 (Insured: XLCA) | Aaa/AAA | 1,139,420 | |||||||||
1,000,000 | Rio Rancho Water & Wastewater System, 6.50% due 5/15/2006 (Insured: FSA) | Aaa/AAA | 1,073,170 | |||||||||
1,695,000 | Rio Rancho Water & Wastewater System, 5.25% due 5/15/2007 (Insured: AMBAC) | Aaa/AAA | 1,830,905 | |||||||||
250,000 | Ruidoso Municipal School District 3, 6.35% due 8/1/2006 (Insured: FSA) | Aaa/AAA | 269,845 | |||||||||
400,000 | San Juan County Gasoline Tax/Motor Vehicle Revenue Refunding & Improvement, 5.25% due 5/15/2014 | A1/NR | 440,116 | |||||||||
1,725,000 | San Juan County Gasoline Tax/Motor Vehicle Revenue Refunding & Improvement, 5.25% due 5/15/2022 | A1/NR | 1,824,136 | |||||||||
500,000 | San Juan County Gross Receipts, 5.30% due 9/15/2009 | A1/NR | 540,210 | |||||||||
1,180,000 | San Juan County Gross Receipts Tax Revenue Senior Series B, 5.50% due 9/15/2016 (Insured: AMBAC) | Aaa/AAA | 1,335,441 | |||||||||
1,000,000 | San Juan County Gross Receipts Tax Revenue Subordinated Series A, 5.75% due 9/15/2021 (Insured: AMBAC) | Aaa/AAA | 1,147,150 | |||||||||
400,000 | Sandoval County Landfill Revenue, 5.70% due 7/15/2013 pre-refunded 7/15/2005 @ 101 | NR/NR | 407,084 | |||||||||
1,420,000 | Sandoval County Landfill Revenue Refunding & Improvement, 5.50% due 8/15/2015 | Baa2/NR | 1,498,512 | |||||||||
1,335,000 | Sandoval County Landfill Revenue Refunding & Improvement, 5.75% due 8/15/2018 | Baa2/NR | 1,412,203 | |||||||||
840,000 | Sandoval County Revenue Refunding Series B, 5.75% due 2/1/2010 (Intel Project) | NR/NR | 871,693 | |||||||||
640,000 | Santa Fe County, 5.00% due 7/1/2007 (Insured: MBIA) | Aaa/NR | 671,981 | |||||||||
785,000 | Santa Fe County, 5.00% due 7/1/2008 (Insured: MBIA) | Aaa/NR | 824,226 | |||||||||
1,875,000 | Santa Fe County, 7.25% due 7/1/2029 (Rancho Viejo Improvement District Project) | NR/NR | 1,980,975 | |||||||||
515,000 | Santa Fe County Correctional Systems Revenue, 5.20% due 2/1/2012 (Insured: FSA) | Aaa/AAA | 575,780 | |||||||||
1,000,000 | Santa Fe County Correctional Systems Revenue, 5.00% due 2/1/2018 (Insured: FSA) | Aaa/AAA | 1,101,440 | |||||||||
626,000 | Santa Fe County Revenue Series 1990, 9.00% due 1/1/2008 (Office & Training Facilities Project) (ETM)* | Aaa/NR | 755,807 | |||||||||
1,250,000 | Santa Fe County Revenue Series A, 5.50% due 5/15/2015 (El Castillo Retirement Project) | NR/NR | 1,212,287 | |||||||||
1,835,000 | Santa Fe County Revenue Series A, 5.80% due 5/15/2018 (El Castillo Retirement Project) | NR/NR | 1,781,932 | |||||||||
200,000 | Santa Fe Educational Facilities Revenue, 5.00% due 3/1/2007 (St. John’s College Project) | NR/BBB | 209,024 | |||||||||
210,000 | Santa Fe Educational Facilities Revenue, 5.10% due 3/1/2008 (St. John’s College Project) | NR/BBB | �� | 221,588 | ||||||||
1,215,000 | Santa Fe Educational Facilities Revenue, 5.40% due 3/1/2017 (St. John’s College Project) | NR/BBB | 1,228,377 | |||||||||
1,000,000 | Santa Fe Educational Facilities Revenue Improvement, 6.25% due 10/1/2026 (College of Santa Fe Project) | NR/BBB- | 1,026,280 |
18 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 1,125,000 | Santa Fe Gross Receipts Tax Series B, 3.00% due 6/1/2006 | A1/AA | $ | 1,146,263 | |||||||
60,000 | Santa Fe SFMR, 5.25% due 11/1/2005 (Collateralized: FNMA/GNMA) | Aaa/NR | 61,783 | |||||||||
115,000 | Santa Fe SFMR, 5.60% due 11/1/2010 (Collateralized: FNMA/GNMA) | Aaa/NR | 120,241 | |||||||||
165,000 | Santa Fe SFMR, 6.10% due 11/1/2011 (Collateralized: FNMA/GNMA) | Aaa/NR | 170,918 | |||||||||
195,000 | Santa Fe SFMR, 6.20% due 11/1/2016 (Collateralized: FNMA/GNMA) | Aaa/NR | 195,507 | |||||||||
760,000 | Santa Fe Solid Waste Management Agency Facility Revenue, 5.90% due 6/1/2005 | NR/NR | 778,764 | |||||||||
775,000 | Santa Fe Solid Waste Management Agency Facility Revenue, 6.00% due 6/1/2006 | NR/NR | 819,392 | |||||||||
875,000 | Santa Fe Solid Waste Management Agency Facility Revenue, 6.10% due 6/1/2007 | NR/NR | 949,603 | |||||||||
500,000 | Santa Fe Utility Revenue Refunding Series A, 5.35% due 6/1/2011 (Insured: AMBAC) | Aaa/AAA | 531,785 | |||||||||
1,000,000 | Taos County Gross Receipts Tax Revenue Refunding & Improvement, 4.00% due 10/1/2006 (County Education Project; Insured: MBIA) | Aaa/NR | 1,040,680 | |||||||||
450,000 | Taos Municipal School District 1 Refunding, 5.00% due 9/1/2008 (Insured: FSA) | Aaa/NR | 491,868 | |||||||||
1,730,000 | University of New Mexico Revenue Refunding & Improvement Subordinated Lien Systems Series A, 5.25% due 6/1/2017 | Aa3/AA | 1,915,940 | |||||||||
1,000,000 | University of New Mexico Revenue Refunding & Improvement Subordinated Lien Systems Series A, 5.25% due 6/1/2021 | Aa3/AA | 1,070,210 | |||||||||
645,000 | University of New Mexico Revenue Refunding Subordinated Lien, 5.25% due 6/1/2016 | Aa3/AA | 715,737 | |||||||||
1,825,000 | University of New Mexico Revenue Refunding Subordinated Lien A, 5.25% due 6/1/2018 | Aa3/AA | 2,012,628 | |||||||||
610,000 | University of New Mexico Revenue Series A, 6.00% due 6/1/2021 | Aa3/AA | 732,031 | |||||||||
1,195,000 | University of New Mexico Revenues Refunding Subordinated Lien Systems Series A, 5.25% due 6/1/2015 | Aa3/AA | 1,323,761 | |||||||||
1,200,000 | University of New Mexico Revenues Refunding Subordinated Lien Systems Series A, 5.25% due 6/1/2018 | Aa3/AA | 1,313,508 | |||||||||
665,000 | University of New Mexico University Revenues Series A, 5.25% due 6/1/2013 | Aa3/AA | 741,754 | |||||||||
335,000 | University of New Mexico University Revenues Series A, 5.25% due 6/1/2014 | Aa3/AA | 373,984 | |||||||||
2,000,000 | Ventana West Public Improvement District, 6.625% due 8/1/2023 | NR/NR | 2,031,520 | |||||||||
1,105,000 | Villa Hermosa Multi Family Housing Revenue, 5.85% due 11/20/2016 (Collateralized: GNMA) | NR/AAA | 1,163,068 | |||||||||
TOTAL INVESTMENTS (Cost $202,384,158) | $ | 211,656,433 | ||||||||||
† Credit ratings are unaudited. * Escrowed to maturity. See notes to financial statements. |
CREDIT RATING†
Certified Annual Report 19
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg New Mexico Intermediate Municipal Fund
To the Trustees and Shareholders of
Thornburg New Mexico Intermediate Municipal Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg New Mexico Intermediate Municipal Fund (one of the Portfolios constituting Thornburg Investment Trust, hereafter referred to as the “Fund”) at September 30, 2004, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five 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 Fund’s 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 the standards of the Public Company Accounting Oversight Board (United States). Those standards 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, 2004 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 9, 2004
20 Certified Annual Report
EXPENSE EXAMPLE
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2004 |
As a shareholder of the Fund, you incur two types of costs:
(1) transaction costs, including
(a) sales charges (loads) on purchase payments, for Class A Shares,
(b) a deferred sales charge on redemptions of any part of all of a purchase of $1 million of Class A shares within 12 months of purchase; and
(2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses.
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested on April 1, 2004 and held until September 30, 2004.
Actual Expenses
The first line of the table at right provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table at right provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Beginning | Ending | Expenses Paid | ||||||||||
Account Value | Account Value | During Period† | ||||||||||
4/01/04 | 9/30/04 | 4/1/04–9/30/04 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000 | $ | 1,011.20 | $ | 4.94 | ||||||
Hypothetical* | $ | 1,000 | $ | 1,020.08 | $ | 4.97 | ||||||
Class D Shares | ||||||||||||
Actual | $ | 1,000 | $ | 1,009.90 | $ | 6.25 | ||||||
Hypothetical* | $ | 1,000 | $ | 1,018.78 | $ | 6.28 |
†Expenses are equal to the annualized expense ratio for each class (A: 0.98% and D: 1.24%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period.
*Hypothetical assumes a rate of return of 5% per year before expenses.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Certified Annual Report 21
INDEX COMPARISON
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2004 |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg New Mexico Intermediate Municipal Fund Class A Total Returns, versus
Merrill Lynch 7-12 Year Municipal Bond Index and Consumer Price Index
(June 30, 1991 to September 30, 2004)
AVERAGE ANNUAL TOTAL RETURNS
For the periods ended September 30, 2004 (with sales charge)
Since | ||||||||||||||||
1 Yr | 5 Yrs | 10 Yrs | Inception | |||||||||||||
A Shares (Incep: 6/18/91) | 0.97 | % | 4.48 | % | 4.81 | % | 5.39 | % | ||||||||
D Shares (Incep: 6/1/99) | 2.70 | % | 4.61 | % | N/A | 4.20 | % |
FUND ATTRIBUTES
as of September 30, 2004
Annualized | SEC | Maximum | ||||||||||||||
Dist. Rate (NAV) | Yield | NAV | Offering Price | |||||||||||||
A Shares (Incep: 6/18/91) | 3.37 | % | 2.36 | % | $ | 13.40 | $ | 13.67 | ||||||||
D Shares (Incep: 6/1/99) | 3.10 | % | 2.13 | % | $ | 13.41 | $ | 13.41 |
Performance data reflect past performance, which is no guarantee of future results. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares.
Returns reflect the reinvestment of dividends and capital gains and the following sales charges: Class A Shares are sold with a maximum sales charge of 2.00%. There is no up front sales charge for Class D Shares and no contingent deferred sales charge (CDSC).
The Consumer Price Index (“CPI”) measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. The CPI is also known as the cost-of-living index.
The Merrill Lynch 7-12 Year Municipal Bond Index represents a broad measure of market performance. It is a model portfolio of municipal obligations throughout the U.S., with an average maturity which ranges from seven to twelve years.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
The SEC Yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Funds’ shares at the end of the period.
The distribution rate is calculated by taking the sum of the month’s total distribution factors and dividing this sum by a 30-day period and annualizing to 360-day year. The value is then divided by the ending Net Asset Value (NAV) to arrive at the annualized distribution yield. The yield is calculated on a periodic basis and is subject to change depending on the Funds’ NAV and current distributions.
22 Certified Annual Report
TRUSTEES AND OFFICERS
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2004 |
Name, Age, (1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
INTERESTED TRUSTEES(2)(4) | ||||
Garrett Thornburg, 58 Chairman of Trustees Trustee since 1987(3) | CEO, Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor) and Thornburg Securities Corporation (securities dealer); Chairman of Thornburg Limited Term Municipal Fund, Inc. (registered investment company) to 2004; CEO and Chairman of Thornburg Mortgage, Inc. (real estate investment trust); Chairman of Thornburg Mortgage Advisory Corporation (investment manager to Thornburg Mortgage, Inc.). | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Brian J. McMahon, 48 Trustee since 2001 President since 1997(5)(6) | President and Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | None | ||
INDEPENDENT TRUSTEES(2)(4) | ||||
David A. Ater, 59 Trustee since 1994 | Principal in Ater & Ater Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner developer and broker for various real estate projects. | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
David D. Chase, 63 Trustee since 2000 | Chairman, President, CEO, and General Partner of Vestor Partners, LP, Santa Fe, NM (private equity fund); Chairman and CEO of Vestor Holdings, Inc., Santa Fe, NM (merchant bank). | Director of Thornburg Limited Term Municipal Fund, Inc. 2001–2004 | ||
Eliot R. Cutler, 58 Trustee since 2004 | Partner, Akin, Gump, Strauss, Hauer & Feld, LLP, Washington, D.C. (law firm) since November 2000; partner, Cutler & Stanfield, Washington, D.C. (law firm) until November 2000. | Director of Thornburg Limited Term Municipal Fund, Inc. to 2004; director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Susan H. Dubin, 55 Trustee since 2004 | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations; and formerly, Vice President of Chemical Bank (predecessor to JP Morgan Chase & Co.), New York, 1974–1996. | None | ||
Forrest S. Smith, 74 Trustee since 1987 | Trust and estate attorney, of counsel to Catron, Catron & Pottow, Santa Fe, NM (law firm). | None | ||
Owen D. Van Essen, 50 Trustee since 2004 | President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 45 Trustee since 1996 | Executive Vice President and Director to 2002, and since 2002; CEO and Vice Chairman, Nambé Mills, Inc., Santa Fe, NM (manufacturer). | None |
Certified Annual Report 23
TRUSTEES AND OFFICERS, CONTINUED
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2004 |
Name, Age, (1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(6)(7) | ||||
Dawn B. Fischer, 57 Secretary since 1987 | Secretary and Managing Director, Thornburg Investment Management, Inc.; Secretary, Thornburg Limited Term Municipal Fund, Inc. to 2004;Secretary, Thornburg Securities Corporation; Vice President, Daily Tax Free Income Fund, Inc. (registered investment company). | Not applicable | ||
Steven J. Bohlin, 45 Vice President, since 1987; Treasurer since 1989 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
George T. Strickland, 41 Vice President since 1996 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President (and Treasurer since 2003) of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
William V. Fries, 65 Vice President since 1995 | Vice President and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 37 Vice President since 2001 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2004. | Not applicable | ||
Kenneth Ziesenheim, 50 Vice President since 1995 | Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Securities Corporation;Vice President of Thornburg Limited Term Municipal Fund, Inc.to 2004. | Not applicable | ||
Alexander Motola, 34 Vice President since 2001 | Managing Director of Thornburg Investment Management, Inc. since 2000; Portfolio Manager, Insight Capital Research & Management, Inc., Walnut Creek, California 1995–2000. | Not applicable | ||
Wendy Trevisani, 33 Vice President since 1999 | Associate of Thornburg Investment Management, Inc.since 1999, Vice President since 2000 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2002; Sales Representative, Solomon Smith Barney 1996–1999. | Not applicable | ||
Joshua Gonze, 41 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 1999 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc.to 2004. | Not applicable | ||
Brad Kinkelaar, 36 Vice President since 1999 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 1999, Vice President since 2000, and Managing Director since 2004; Equity Investment Analyst, State Farm Insurance Companies 1996–1999. | Not applicable | ||
Kerry D. Lee, 37 Vice President since 1999 | Vice President of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable |
24 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
Christopher Ihlefeld, 34 Vice President since 2003 | Associate Portfolio Manager since 1999; Vice President of Thornburg Investment Management, Inc. since 2002; Vice President of Limited Term Municipal Fund, Inc., 2003–2004. | Not applicable | ||
Leon Sandersfeld, 38 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2002;Senior Staff Accountant, Farm Bureau Life Insurance Co. 1998–2002. | Not applicable | ||
Sasha Wilcoxon, 30 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2000; and Mutual Fund Support Service Department Manager since 2002. | Not applicable | ||
Ed Maran, 46 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Analyst, USAA 2001–2002; Oil Analyst, A. G .Edwards 1997–2000. | Not applicable | ||
Vinson Walden, 34 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Associate Portfolio Manager, Ibis Management 2002–2004; Associate, Lehman Brothers, 1997–2001. | Not applicable |
(1) | Each person’s address is 119 East Marcy Street, Santa Fe, New Mexico 87501. | |||
(2) | The Fund is one of twelve separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. The Trust currently has twelve active Funds. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twelve funds of the Trust. Each Trustee oversees the twelve portfolios in the fund complex. | |||
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is a director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twelve active funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. | |||
(4) | Each Trustee serves in office until the election and qualification of a successor. | |||
(5) | Mr. McMahon is considered an “interested” Trustee because he is the president of Thornburg Investment Management, Inc. | |||
(6) | The Trust’s president, secretary and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. | |||
(7) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
Certified Annual Report 25
OTHER INFORMATION (UNAUDITED)
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2004 |
PORTFOLIO PROXY VOTING
The Trust has delegated to Thornburg Investment Management, Inc. (“the Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.
Commencing August 31, 2004, information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request, on the Thornburg website at www.thornburg.com and (ii) on the Securities and Exchange Commission’s website at www.sec.gov.
TAX INFORMATION
For the fiscal year ended September 30, 2004, 100% of dividends paid by the Fund are tax exempt dividends for Federal Income Tax purposes. The information and distributions reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2004.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund will file with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year, commencing with the calendar quarter ending December 31, 2004. The Fund’s Forms N-Q will be available on the Commission’s website at http://www.sec.gov, or may be copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
SHAREHOLDER MEETING INFORMATION
A special meeting (the “Meeting”) of the shareholders of Thornburg Investment Trust (the “Trust”) was held on September 13, 2004 at the offices of Thornburg Investment Management, Inc., 119 East Marcy Street, Santa Fe, New Mexico 87501. Thornburg New Mexico Intermediate Municipal Fund is one of 12 active series or “Funds” of the Trust.
The shareholders of the Trust considered at the Meeting (i) the election of Trustees, and (ii) ratification of the selection of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm for the fiscal year ending September 30, 2004.
The Trustees elected at the Meeting were Garrett Thornburg, David A. Ater, David D. Chase, Eliot R. Cutler, Susan H. Dubin, Brian J. McMahon, Owen D.Van Essen and James W. Weyhrauch. Forrest S. Smith, a Trustee since 1987 did not stand for election;his term of office will continue through the end of 2004, when he will retire in accordance with the Trust’s Bylaws. The shareholders also ratified the appointment of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm.
The voting results for the matters voted on are set out for each Fund as follows:
Election of Trustees
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Garrett Thornburg | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89, 772,086.332 | 692,014.443 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,202,049.716 | 217,551.648 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,555.521 | 114,080.445 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,255,221.686 | 81,237.603 | – | – | ||||||||||||
Thornburg Value Fund | 64,672,758.966 | 447,696.934 | – | – | ||||||||||||
Thornburg International Value Fund | 59,954,867.369 | 1,241,990.622 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,135,097.039 | 21,483.205 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,943.082 | 122,916.941 | – | – | ||||||||||||
Total: | 345,469,631.406 | 3,282,138.627 | – | – |
26 Certified Annual Report
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
David A. Ater | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,797,094.826 | 667,005.949 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,898.015 | 244,703.349 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,174.575 | 74,750.866 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,356,553.614 | 118,082.352 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,645.960 | 84,813.329 | – | – | ||||||||||||
Thornburg Value Fund | 64,673,309.598 | 447,696.934 | – | – | ||||||||||||
Thornburg International Value Fund | 60,746,833.041 | 450,024.950 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,382.888 | 24,197.356 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,615.730 | 120,243.993 | – | – | ||||||||||||
Total: | 346,235,149.064 | 2,517,171.301 | – | – | ||||||||||||
David D. Chase | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,792,336.993 | 671,763.782 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,107,955.251 | 64,970.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,243,684.887 | 92,774.402 | – | – | ||||||||||||
Thornburg Value Fund | 64,693,947.421 | 446,508.479 | – | – | ||||||||||||
Thornburg International Value Fund | 60,752,533.146 | 444,324.845 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,837,095.494 | 116,764.229 | – | – | ||||||||||||
Total: | 346,310,480.812 | 2,461,288.921 | – | – | ||||||||||||
Eliot R. Cutler | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,785,534.542 | 678,566.233 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,449,458.366 | 232,489.857 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,199,536.657 | 220,064.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,111,971.636 | 60,953.805 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,350,526.614 | 124,109.352 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,250,801.917 | 85,657.372 | – | – | ||||||||||||
Thornburg Value Fund | 64,599,511.493 | 520,944.407 | – | – | ||||||||||||
Thornburg International Value Fund | 60,724,718.843 | 472,139.148 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,134,780.624 | 21,799.620 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,832,732.499 | 121,127.224 | – | – | ||||||||||||
Total: | 346,159,119.642 | 2,592,650.361 | – | – | ||||||||||||
Susan H. Dubin | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,874.816 | 670,225.959 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,198,659.272 | 220,942.092 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,110,371.636 | 62,553.805 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,372,811.385 | 101,824.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,249,237.865 | 87,221.424 | – | – |
Certified Annual Report 27
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Value Fund | 64,679,778.577 | 440,677.323 | – | – | ||||||||||||
Thornburg International Value Fund | 60,742,583.265 | 454,274.726 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,454.801 | 120,404.922 | – | – | ||||||||||||
Total: | 346,285,090.525 | 2,466,679.208 | – | – | ||||||||||||
Brian J. McMahon | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,795,559.677 | 668,541.098 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,205,930.716 | 213,670.648 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,104,748.707 | 68,176.734 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 102,726.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,724.960 | 84,734.329 | – | – | ||||||||||||
Thornburg Value Fund | 64,681,039.437 | 439,416.463 | – | – | ||||||||||||
Thornburg International Value Fund | 60,010,455.736 | 1,186,402.255 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,131,956.015 | 24,624.229 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,227.440 | 120,632.283 | – | – | ||||||||||||
Total: | 345,556,209.517 | 3,195,560.216 | – | – | ||||||||||||
Owen D. Van Essen | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,348.831 | 670,751.944 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,730.914 | 244,870.450 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,708.092 | 74,217.349 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,248,394.246 | 88,065.043 | – | – | ||||||||||||
Thornburg Value Fund | 64,674,135.776 | 446,320.124 | – | – | ||||||||||||
Thornburg International Value Fund | 60,684,276.889 | 512,581.102 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,962.507 | 122,897.216 | – | – | ||||||||||||
Total: | 346,178,126.548 | 2,573,643.185 | – | – | ||||||||||||
James W. Weyhrauch | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,789,717.177 | 674,383.598 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 126,726.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,254,156.818 | 82,302.471 | – | – | ||||||||||||
Thornburg Value Fund | 64,683,895.944 | 436,559.906 | – | – | ||||||||||||
Thornburg International Value Fund | 60,726,245.097 | 470,612.894 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,836,311.264 | 117,548.459 | – | – | ||||||||||||
Total: | 346,278,127.848 | 2,497,641.885 | – | – |
28 Certified Annual Report
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2004 |
Ratification of Selection of Independent Registered Public Accounting Firm
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Limited Term Municipal Fund | 89,266,423.303 | 430,123.930 | 767,553.542 | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,354,990.466 | 167,198.030 | 159,759.457 | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 27,957,900.165 | 174,857.659 | 286,893.540 | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,067,166.377 | 1,155.000 | 104,604.064 | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,911,733.415 | 6,868.306 | 9,157.121 | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,784,834.660 | 23,509.648 | 38,241.937 | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,583.780 | 33,945.016 | 80,017.170 | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,123,259.928 | 57,081.625 | 156,117.736 | – | ||||||||||||
Thornburg Value Fund | 64,569,333.454 | 212,238.433 | 338,884.013 | – | ||||||||||||
Thornburg International Value Fund | 60,444,286.231 | 343,771.766 | 408,700.994 | – | ||||||||||||
Thornburg Core Growth Fund | 6,110,013.492 | 32,603.465 | 13,963.287 | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,812,877.547 | 40,509.369 | 100,472.807 | – | ||||||||||||
Totals | 344,763,402.818 | 1,523,862.247 | 2,464,365.668 | – |
Certified Annual Report 29
Certified Annual Report
Thornburg Florida Intermediate Municipal Fund
September 30, 2004
Table of Contents
6 | ||||
8 | ||||
9 | ||||
10 | ||||
11 | ||||
14 | ||||
15 | ||||
18 | ||||
19 | ||||
20 | ||||
21 | ||||
24 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
4 Certified Annual Report
Important Information
Performance data quoted represent the past and are no guarantee of future results. Current returns may be either lower or higher than those shown. Share prices and returns will fluctuate and investors may experience a loss upon redemption. There is no guarantee that the Fund will meet its objectives. Shares in the Fund carry risks, including possible loss of principal. The principal value of a bond fund will decrease when interest rates rise.
The maximum sales charge for Class A Shares is 2.00%.
For the most recent month-end performance information, visit www.thornburg.com.
The information presented on the following pages was current as of September 30, 2004. The manager’s views, portfolio holdings, and sector diversification are historical and subject to change. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each Fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any Fund to differ materially as compared to its benchmarks.
Glossary
The Merrill Lynch 7-12 Year Municipal Bond Index – Represents a broad measure of market performance. It is a model portfolio of municipal obligations throughout the U.S., with an average maturity which ranges from seven to twelve years. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
Duration – The measure of the price sensitivity of a fixed-income security to an interest rate change of 100 basis points. Calculation is based on the weighted average of the present values for all cash flows.
Weighted Average Maturity – Is a weighted average of all the effective maturities of the bonds in a portfolio. Effective maturity takes into consideration mortgage prepayments, puts, calls, adjustable coupons, and other features of individual bonds and is thus a more accurate measure of interest-rate sensitivity. Longer-maturity funds are generally considered more interest-rate sensitive than their shorter counterparts.
Certified Annual Report 5
Letter to Shareholders
George Strickland
Portfolio Manager
October 21, 2004
Dear Fellow Shareholder:
I am pleased to present the Annual Report for the Thornburg Florida Intermediate Municipal Fund. The net asset value of the A shares decreased by 6 cents to $12.40 during the year ending September 30, 2004. If you were with us for the entire period, you received dividends of 39.7 cents per share. If you reinvested dividends, you received 40.3 cents per share.
Over the last year, interest rates on bonds that mature in less than ten years have risen somewhat while interest rates on bonds with maturities longer than ten years have fallen. This has led to better performance for long-term bonds relative to shorter-term bonds. The A shares of your Fund produced a total return of 2.76% over the last year, compared to a 4.95% return for the Merrill Lynch 7-12 Year Municipal Bond Index. We believe that the index outperformed the Fund because it is generally concentrated in bonds with a longer duration than bonds held by the Fund. If long-term interest rates start to rise again, we would expect the Fund to outperform the index.
Interest rates on intermediate municipal bonds have covered a lot of ground since September 30, 2003. For example, the yield on a seven-year AAA rated municipal bond hit a low of 2.67% on March 9, 2004 before climbing to a high of 3.80% only two months later. As of September 30, 2004, that bond’s yield has fallen back down to 3.12%. (Source: Bloomberg Municipal Market Advisors, Inc.)
Ironically, bond yields rose this past spring before the Federal Reserve started raising the targeted Fed Funds rate. Now that the Federal Reserve is pushing up short-term interest rates, the interest rates on bonds and home mortgages have been falling. In essence, the bond market is counteracting a tightening Federal Reserve by allowing corporations, governments, and individuals to borrow money at lower interest rates.
Given the abundant liquidity and relatively low yields in the bond markets today, we believe that the Federal Reserve has a significant amount of additional tightening to do before they overcome the bond market’s “give back” and achieve a neutral monetary policy. The yield curve does not appear to be pricing in this possibility today. If it does start pricing in a more aggressive Federal Reserve, we believe that bond yields will rise above current levels.
We have positioned your Fund with this outlook in mind. Your Thornburg Florida Intermediate Municipal Fund is a laddered portfolio of over 70 municipal obligations from all over the state. Today, your Fund’s weighted average maturity is 6.5 years. We ladder the maturity dates of the bonds in your portfolio so that some of the bonds are scheduled to mature during each of the coming years. Laddering intermediate bonds accomplishes two goals. First, the staggered bond maturities contained in a ladder ordinarily defuse interest-rate risk and dampen the Fund’s price volatility. Second, laddering gives the Fund a steady cash flow stream from maturing bonds which, if not needed for other purposes,
6 Certified Annual Report
can be reinvested toward the top of the ladder where yields are typically higher. The laddering strategy is what differentiates this Fund from most bond mutual funds. It will be particularly useful if interest rates rise, because it may allow the Fund to gradually increase the yield of the portfolio as bonds mature and get replaced with new ones. The chart on the right describes the percentages of your Fund’s bond portfolio maturing in each of the coming years.
% of portfolio | Cumulative % | |||
maturing | maturing | |||
2 years = 10% | Year 2 = 10% | |||
2 to 4 years = 16% | Year 4 = 26% | |||
4 to 6 years = 15% | Year 6 = 41% | |||
6 to 8 years = 14% | Year 8 = 55% | |||
8 to 10 years = 24% | Year 10 = 79% | |||
10 to 12 years = 9% | Year 12 = 88% | |||
12 to 14 years = 7% | Year 14 = 95% | |||
14 to 16 years = 2% | Year 16 = 97% | |||
16 to 18 years = 3% | Year 18 =100% | |||
Over 18 years = 0% | Over 18 years = 0% |
Percentages can and do vary. Data as of 9/30/04.
Despite being hit by four major hurricanes this year, the state of Florida is still one of the most creditworthy entities in the United States. The state estimates the cost of disaster recovery and relief efforts for the first three hurricanes will total $4 billion (reliable cost estimates for Hurricane Jeanne are not yet available). Of the $4 billion, all but $676 million is reimbursable by federal and other authorities. The state has a combined balance of $3.3 billion in its working capital and budget stabilization funds. However, current revenues for the 2004/05 fiscal year are running $361 million (11%) above estimates, so the state may be able to pay for disaster relief without dipping into reserve funds. We have generally kept the credit quality of your Fund high, with 92% of the portfolio rated A or above, and broad diversification across issuers and market sectors.
Over the years, our practice of laddering a diversified portfolio of short- and intermediate-maturity municipal bonds has allowed your Fund to perform consistently well in varying interest rate environments. Thank you for investing in the Thornburg Florida Intermediate Municipal Fund.
Sincerely,
George Strickland Portfolio Manager
Certified Annual Report 7
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Florida Intermediate Municipal Fund | September 30, 2004 |
ASSETS | $ | 55,116,114 | ||
Investments at value (cost $53,257,597) | $ | 55,116,114 | ||
Cash | 43,552 | |||
Receivable for investments sold | 1,735,000 | |||
Receivable for fund shares sold | 5,065 | |||
Interest receivable | 988,178 | |||
Total Assets | 57,887,909 | |||
LIABILITIES | ||||
Payable for fund shares redeemed | 54,616 | |||
Accounts payable and accrued expenses | 20,316 | |||
Payable to investment advisor and other affiliates (Note 3) | 35,832 | |||
Dividends payable | 87,555 | |||
Total Liabilities | 198,319 | |||
NET ASSETS | $ | 57,689,590 | ||
NET ASSETS CONSIST OF: | ||||
Net unrealized appreciation (depreciation) on investments | $ | 1,858,517 | ||
Over-distributed net investment income (loss) | (388 | ) | ||
Accumulated net realized gain (loss) | (512,830 | ) | ||
Net capital paid in on shares of beneficial interest | 56,344,291 | |||
$ | 57,689,590 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($57,689,590 applicable to 4,651,503 shares of beneficial interest outstanding — Note 4) | $ | 12.40 | ||
Maximum sales charge, 2.00% of offering price | 0.25 | |||
Maximum Offering Price Per Share | $ | 12.65 | ||
See notes to financial statements. |
8 Certified Annual Report
STATEMENT OF OPERATIONS | ||
Thornburg Florida Intermediate Municipal Fund | Year Ended September 30, 2004 |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $504,550) | $ | 2,346,830 | ||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 286,936 | |||
Administration fees (Note 3) | 71,734 | |||
Service fees (Note 3) | 133,502 | |||
Transfer agent fees | 25,358 | |||
Custodian fees (Note 3) | 41,484 | |||
Professional fees | 12,871 | |||
Accounting fees | 4,848 | |||
Trustee fees | 1,462 | |||
Other expenses | 10,225 | |||
Total Expenses | 588,420 | |||
Less: | ||||
Management fees waived by investment advisor (Note 3) | (75,163 | ) | ||
Fees paid indirectly (Note 3) | (1,214 | ) | ||
Net Expenses | 512,043 | |||
Net Investment Income | 1,834,787 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||
Net realized gain (loss) on investments | 154,900 | |||
Increase (Decrease) in unrealized appreciation of investments | (446,787 | ) | ||
Net Realized and Unrealized Gain (Loss) on Investments | (291,887 | ) | ||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 1,542,900 | ||
See notes to financial statements.
Certified Annual Report 9
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Florida Intermediate Municipal Fund
Year Ended | Year Ended | |||||||
September 30, 2004 | September 30, 2003 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 1,834,787 | $ | 1,766,245 | ||||
Net realized gain (loss) on investments sold | 154,900 | (16,605 | ) | |||||
Increase (Decrease) in unrealized appreciation of investments | (446,787 | ) | (341,196 | ) | ||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,542,900 | 1,408,444 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (1,834,787 | ) | (1,766,245 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 4,069,773 | 12,409,008 | ||||||
Net Increase in Net Assets | 3,777,886 | 12,051,207 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 53,911,704 | 41,860,497 | ||||||
End of year | $ | 57,689,590 | $ | 53,911,704 | ||||
See notes to financial statements.
10 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Florida Intermediate Municipal Fund | September 30, 2004 |
NOTE 1 – ORGANIZATION
Thornburg Florida Intermediate Municipal Fund (the “Fund”) is a non-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 eleven series of shares of beneficial interest in addition to those of the Fund: Thornburg California Limited Term Municipal Fund, Thornburg New Mexico Intermediate Municipal Fund, Thornburg New York Intermediate Municipal Fund, Thornburg Limited Term Municipal Fund, Thornburg Intermediate Municipal Fund, Thornburg Limited Term U.S. Government Fund, Thornburg Limited Term Income Fund, Thornburg Value Fund, Thornburg International Value Fund, Thornburg Core Growth Fund, and Thornburg Investment Income Builder Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund’s investment objective is to obtain as high a level of current income exempt from Federal income tax as is consistent with the preservation of capital. The Fund currently offers only one class of shares of beneficial interest, Class A shares.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Fund are as follows: Valuation of Investments: In determining net asset value, the Fund utilizes 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, normally 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 municipal 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 Fund are reviewed by the officers of the Trust under the general supervision of the Trustees. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
Federal Income Taxes: It is the policy of the Fund to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all of its taxable (if any) and tax exempt income to its shareholders. Therefore no provision for Federal income tax is required.
When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with its investment objectives and not for the purpose of investment leverage or to speculate on interest rate changes. At the time the Fund makes a commitment to purchase a security on a when-issued basis, it will record the transaction and reflect the value in determining its 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 on 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 Fund is declared daily as a dividend on shares for which the Fund has received payment. Dividends are paid monthly and are reinvested in additional shares of the Fund 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 at least annually.
General: Securities transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and discounts on securities purchased are amortized to call dates or maturity dates of the respective securities. Realized gains and losses from the sale of securities are recorded on an identified cost basis. Expenses common to all funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
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 “Advisor”) serves as the investment advisor and performs services for which the fees are payable at the end of each month. For the year ended
Certified Annual Report 11
NOTES TO FINANCIAL STATEMENTS,CONTINUED | ||
Thornburg Florida Intermediate Municipal Fund | September 30, 2004 |
September 30, 2004, these fees were payable at annual rates ranging from .50 of 1% to .275 of 1% of the average daily net assets of the Fund. For the year ended September 30, 2004, the Advisor voluntarily waived investment advisory fees of $75,163. The Fund entered into an administrative services agreement with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% of the average daily net assets attributable to each class of shares.
The Fund has an underwriting agreement with Thornburg Securities Corporation (the “Distributor,” an affiliate of the advisor) which acts as the Distributor of Fund shares. For the year ended September 30, 2004, the Distributor has advised the Fund that it earned net commissions aggregating $2,599 from the sale of Class A shares.
Pursuant to a Service Plan, under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder related services. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
The Fund has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees have been adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the statements of operations. For the year ended September 30, 2004, the fees paid indirectly were $1,214.
Certain officers and trustees of the Trust are also officers and/or directors of the Advisor and Distributor. The compensation of unaffiliated trustees is borne by the Trust.
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At September 30, 2004 there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended | Year Ended | |||||||||||||||
September 30,2004 | September 30,2003 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 2,536,845 | $ | 31,559,903 | 2,522,567 | $ | 31,358,503 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 61,460 | 761,112 | 63,396 | 787,452 | ||||||||||||
Shares repurchased | (2,273,113 | ) | (28,251,242 | ) | (1,590,032 | ) | (19,736,947 | ) | ||||||||
Net Increase (Decrease) | 325,192 | $ | 4,069,773 | 995,931 | $ | 12,409,008 | ||||||||||
NOTE 5 – SECURITIES TRANSACTIONS
For the year ended September 30, 2004, the Fund had purchase and sale transactions (excluding short-term securities) of $24,508,572 and $20,083,183, respectively.
NOTE 6 – INCOME TAXES
At September 30, 2004, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 53,257,209 | ||
Gross unrealized appreciation on a tax basis | $ | 1,953,085 | ||
Gross unrealized depreciation on a tax basis | (94,180 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 1,858,905 | ||
12 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED Thornburg Florida Intermediate Municipal Fund | September 30, 2004 |
At September 30, 2004, the Fund did not have any undistributed tax-exempt/ordinary net income or undistributed capital gains.
At September 30, 2004, the Fund had tax basis capital losses, which may be carried over to offset future capital gains. To the extent such carry forwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such losses expire as follows:
2008 | $ | 231,201 | ||
2009 | 282,018 | |||
$ | 513,219 | |||
The Fund utilized $138,262 of its capital loss carry forward during the year ended September 30, 2004. Unutilized tax basis capital losses may be carried forward to offset realized gains in future years.
In order to account for permanent book/tax differences, the Fund increased over-distributed net investment income (loss) by $388 and decreased accumulated net realized investment loss by $388. This reclassification results primarily due to the difference in tax treatment of market discounts and has no impact on the net asset value of the Fund.
All dividends paid by the Fund for the years ended September 30, 2004 and September 30, 2003, represent exempt interest dividends, which are excludable by shareholders from gross income for Federal income tax purposes.
Certified Annual Report 13
FINANCIAL HIGHLIGHTS
Thornburg Florida Intermediate Municipal Fund
Year Ended September 30, | ||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||
Class A Shares: | ||||||||||||||||||||
PER SHARE PERFORMANCE (for a share outstanding throughout the year) | ||||||||||||||||||||
Net asset value, beginning of year | $ | 12.46 | $ | 12.57 | $ | 12.24 | $ | 11.73 | $ | 11.79 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.40 | 0.45 | 0.52 | 0.55 | 0.54 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.06 | ) | (0.11 | ) | 0.33 | 0.51 | (0.06 | ) | ||||||||||||
Total from investment operations | 0.34 | 0.34 | 0.85 | 1.06 | 0.48 | |||||||||||||||
Less dividends from: | ||||||||||||||||||||
Net investment income | (0.40 | ) | (0.45 | ) | (0.52 | ) | (0.55 | ) | (0.54 | ) | ||||||||||
Change in net asset value | (0.06 | ) | (0.11 | ) | 0.33 | 0.51 | (0.06 | ) | ||||||||||||
NET ASSET VALUE, end of year | $ | 12.40 | $ | 12.46 | $ | 12.57 | $ | 12.24 | $ | 11.73 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Total return (a) | 2.76 | % | 2.77 | % | 7.10 | % | 9.20 | % | 4.19 | % | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 3.20 | % | 3.60 | % | 4.18 | % | 4.55 | % | 4.60 | % | ||||||||||
Expenses, after expense reductions | 0.89 | % | 0.91 | % | 0.85 | % | 0.89 | % | 0.98 | % | ||||||||||
Expenses, after expense reductions and net of custody credits | 0.89 | % | 0.91 | % | 0.84 | % | — | — | ||||||||||||
Expenses, before expense reductions | 1.03 | % | 1.01 | % | 1.06 | % | 1.10 | % | 1.10 | % | ||||||||||
Portfolio turnover rate | 36.69 | % | 30.98 | % | 30.28 | % | 22.99 | % | 40.70 | % | ||||||||||
Net assets at end of year (000) | $ | 57,690 | $ | 53,912 | $ | 41,860 | $ | 28,934 | $ | 25,876 |
(a) Sales loads are not reflected in computing total return.
14 Certified Annual Report
SCHEDULE OF INVESTMENTS | ||
Thornburg Florida Intermediate Municipal Fund | September 30, 2004 |
CUSIPS: CLASS A — 885-215-707
NASDAQ SYMBOLS: CLASS A — THFLX
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 780,000 | Broward County Multi Family Housing, 5.40% due 10/1/2011 (Pembroke Park Apts Project; Guaranty: Florida Housing Finance Corp.) | NR/NR | $ | 818,704 | |||||||
1,240,000 | Broward County Resource Recovery Revenue Refunding, 5.375% due 12/1/2009 | A3/AA- | 1,356,622 | |||||||||
820,000 | Capital Projects Finance Authority Student Housing, 5.50% due 10/1/2012 (Capital Projects Student Housing; Insured: MBIA) | Aaa/AAA | 910,339 | |||||||||
1,000,000 | Capital Trust Agency Multi Family Housing Revenue Series A, 1.00% due 11/1/2030 put 11/1/2010 (Shadow Run Project; Collateralized: FNMA) | Aaa/NR | 1,079,640 | |||||||||
800,000 | Collier County Housing Finance Authority Multi Family Revenue A-1, 1.00% due 2/15/2032 put 2/15/2012 (Goodlette Arms Project; Collateralized: FNMA) | Aaa/NR | 834,392 | |||||||||
3,000,000 | Cooper City Utility Systems Capital Appreciation Refunding Series A, 0% due 10/1/2013 (Insured: AMBAC) | Aaa/AAA | 1,724,370 | |||||||||
350,000 | Crossings at Fleming Island Community Development Refunding Series A, 5.60% due 5/1/2012 (Insured: MBIA) | Aaa/AAA | 397,380 | |||||||||
714,000 | Crossings at Fleming Island Community Development Refunding Series B, 5.45% due 5/1/2010 (Insured: MBIA) | Aaa/AAA | 804,114 | |||||||||
655,000 | Dade County Seaport Revenue Refunding Series E, 8.00% due 10/1/2008 (Insured: MBIA) | Aaa/AAA | 790,022 | |||||||||
1,000,000 | Dade County Solid Waste Systems Special Obligation Revenue Refunding, 6.00% due 10/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,108,600 | |||||||||
1,185,000 | Deltona Utility Systems Revenue, 5.25% due 10/1/2015 (Insured: MBIA) | Aaa/AAA | 1,328,409 | |||||||||
505,000 | Duval County HFA Multi Family Housing Revenue Series 1996, 5.35% due 9/1/2006 (St. Augustine Apartments Project) | NR/A+ | 528,129 | |||||||||
700,000 | Duval County Multi Family Housing Revenue Refunding, 5.90% due 9/1/2016 (St. Augustine Apartments Project) | NR/A+ | 725,935 | |||||||||
230,000 | Enterprise Community Development District Florida Water & Sewer Revenue, 6.125% due 5/1/2024 (Insured: MBIA) | Aaa/AAA | 233,117 | |||||||||
1,000,000 | Escambia County Health Facility Revenue, 5.95% due 7/1/2020 (Florida Health Care Facility Loan Project; Insured: AMBAC) | Aaa/NR | 1,028,050 | |||||||||
300,000 | First Florida Govt. Financing Commission Revenue Refunding Series B, 5.50% due 7/1/2016 | Aaa/AAA | 347,346 | |||||||||
900,000 | Fishhawk Community Development District Florida Special Assessment Revenue, 7.625% due 5/1/2018 pre-refunded 5/1/2006 | Aaa/NR | 982,557 | |||||||||
155,000 | Florida Board of Education Capital Outlay, 9.125% due 6/1/2014 (ETM)* | Aaa/AAA | 208,822 | |||||||||
905,000 | Florida Board of Education Capital Outlay, 9.125% due 6/1/2014 | Aa2/AA+ | 1,224,836 | |||||||||
1,000,000 | Florida Board of Education Capital Outlay Public Education Series C, 5.50% due 6/1/2013 (Insured: FGIC) | Aaa/AAA | 1,141,570 | |||||||||
260,000 | Florida Board of Education Capital Outlay Refunding Public Education Series D, 5.75% due 6/1/2018 | Aa2/AA+ | 294,185 | |||||||||
605,000 | Florida Finance Corp. Revenue Homeowner Mortgage Series 1, 4.80% due 1/1/2016 | Aa2/AA | 630,561 | |||||||||
1,000,000 | Florida Housing Finance Agency, 3.90% due 12/1/2007 (Multi Family Guaranteed Mortgage) | NR/A+ | 1,024,400 | |||||||||
35,000 | Florida Housing Finance Agency Revenue Bonds, 5.30% due 12/1/2004 (Insured: AMBAC) | Aaa/AAA | 35,141 | |||||||||
200,000 | Florida Housing Finance Corp. Revenue Housing D 1, 5.10% due 10/1/2011 (Augustine Club Apartments Project; Insured: MBIA) | Aaa/NR | 210,774 | |||||||||
415,000 | Florida Housing Finance Corp. Revenue Housing D 1, 5.40% due 4/1/2014 (Augustine Club Apartments Project; Insured: MBIA) | Aaa/NR | 436,904 | |||||||||
700,000 | Florida State Department of Corrections, 6.25% due 3/1/2015 (Okeechobee Correctional Project; Insured: AMBAC) | Aaa/AAA | 726,264 | |||||||||
500,000 | Florida State Department of Corrections Certificates of Participation, 5.90% due 3/1/2005 (Okeechobee Correctional Project; Insured: AMBAC) | Aaa/AAA | 508,765 | |||||||||
1,000,000 | Florida State Department of Environmental Protection Revenue Series A, 5.00% due 7/1/2017 (Florida Forever Project; Insured: FGIC) | Aaa/AAA | 1,092,650 | |||||||||
285,000 | Grand Haven Community Development District Florida Special Assessment Series A, 6.90% due 5/1/2019 | NR/NR | 288,762 | |||||||||
500,000 | Gulf Breeze Florida Revenue Local Government Loan Program B, 4.40% due 12/1/2015 put 12/1/2006 (Insured: FGIC) | Aaa/AAA | 525,125 | |||||||||
250,000 | Gulf Breeze Revenue, 4.50% due 12/1/2015 put 12/1/2007 (Insured: FGIC) | Aaa/AAA | 266,365 | |||||||||
375,000 | Gulf Breeze Revenue, 4.70% due 12/1/2015 put 12/1/2010 (Insured: FGIC) | Aaa/AAA | 399,727 |
Certified Annual Report 15
SCHEDULE OF INVESTMENTS,CONTINUED | ||
Thornburg Florida Intermediate Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||
$1,000,000 | Hillsborough County Aviation Authority Revenue Tampa International Airport Series A, 5.25% due 10/1/2009 (Insured: MBIA) | Aaa/AAA | $ | 1,096,500 | ||||||
1,000,000 | Hillsborough County Capital Improvement Program Revenue Refunding Junior Lien, 5.00% due 8/1/2008 (Criminal Justice Project; Insured: FGIC) | Aaa/AAA | 1,092,250 | |||||||
1,000,000 | Hillsborough County Industrial Development Authority, 5.10% due 10/1/2013 (Tampa Electric Co. Project) | Baa2/BBB- | 1,034,510 | |||||||
1,000,000 | Jacksonville Electric St. John’s River Park Systems Revenue Refunding Issue-2 17th Series, 5.25% due 10/1/2012 | Aa2/AA- | 1,113,430 | |||||||
1,000,000 | Jacksonville Health Facilities Authority Hospital Revenue, 5.75% due 8/15/2014 pre-refunded 8/15/2011 | Aa2/NR | 1,137,690 | |||||||
500,000 | Lee County Certificates of Participation, 4.90% due 10/1/2006 (Master Lease Project; Insured: AMBAC) | Aaa/AAA | 506,255 | |||||||
1,000,000 | Miami Dade County School Board Series B, 5.00% due 5/1/2031 put 5/1/11 (Insured: MBIA) | Aaa/AAA | 1,090,590 | |||||||
960,000 | Miami Dade County Special Housing Revenue Refunding, 5.80% due 10/1/2012 (HUD Section 8) | Baa3/NR | 937,238 | |||||||
825,000 | Miami Dade County Special Obligation Capital Asset Acquisition Series A-2, 5.00% due 4/1/2011 (Insured: AMBAC) | Aaa/AAA | 913,597 | |||||||
1,000,000 | Miami Refunding, 5.375% due 9/1/2015 (Insured: MBIA) | Aaa/AAA | 1,115,500 | |||||||
300,000 | North Miami Health Facilities Authority Revenue, 6.00% due 8/15/2024 (Catholic Health Services Obligation Group Project; LOC: Suntrust Bank) | Aa3/NR | 315,528 | |||||||
1,000,000 | Okeechobee County Florida Solid Waste Revenue, 4.20% due 7/1/2039 put 7/1/2009 @ 100 (Waste Management Landfill A Project) | NR/BBB | 1,017,190 | |||||||
1,000,000 | Orange County Health Facilities Authority Revenue Refunding, 6.25% due 11/15/2008 (Adventist Health Systems Project; Insured: AMBAC) | Aaa/AAA | 1,065,990 | |||||||
1,000,000 | Orange County Health Facilities Authority Revenue Refunding, 5.125% due 6/1/2014 (Mayflower Retirement Project; Insured: Radian) | NR/AA | 1,055,570 | |||||||
1,000,000 | Orange County Health Facilities Authority Revenue Refunding, 6.375% due 11/15/2020 (Adventist Health Systems Project) | A2/A | 1,101,480 | |||||||
440,000 | Orange County Health Facilities Authority Revenue Unrefunded Balance Series A, 6.25% due 10/1/2013 (Orlando Regional Hospital Project; Insured: MBIA) | Aaa/AAA | 528,607 | |||||||
300,000 | Orange County Health Facilities Authority Revenue Unrefunded Balance Series A, 6.25% due 10/1/2016 (Insured: MBIA) | Aaa/AAA | 368,529 | |||||||
25,000 | Orange County Housing Finance Authority, 6.10% due 10/1/2005 (Collateralized: FNMA/GNMA) | NR/AAA | 25,568 | |||||||
425,000 | Orange County Housing Finance Authority Multi Family, 5.50% due 7/1/2010 (Insured: MBIA) | Aaa/NR | 454,291 | |||||||
310,000 | Orange County School Board Certificates of Participation Refunding Series A, 5.10% due 8/1/2007 (Insured: MBIA) | Aaa/NR | 334,958 | |||||||
735,000 | Orange County School Board Certificates of Participation Series A, 5.50% due 8/1/2017 (Insured: MBIA) | Aaa/AAA | 830,109 | |||||||
500,000 | Orange County Solid Waste Facility Revenue Refunding, 5.00% due 10/1/2011 (Insured: MBIA) | Aaa/AAA | 549,155 | |||||||
500,000 | Orlando & Orange County Expressway Revenue, 8.25% due 7/1/2014 (Insured: FGIC) | Aaa/AAA | 690,605 | |||||||
515,000 | Palm Beach County Industrial Development Revenue Series 1996, 6.10% due 12/1/2007 (Lourdes-Noreen McKeen-Geriatric Care Project; LOC: Allied Irish Bank) | NR/A | 570,275 | |||||||
270,000 | Palm Beach County Industrial Development Revenue Series 1996, 6.20% due 12/1/2008 (Lourdes-Noreen McKeen-Geriatric Care Project; LOC: Allied Irish Bank) | NR/A | 299,551 | |||||||
400,000 | Palm Beach County School Board Certificates of Participation Series D, 5.00% due 8/1/2012 (Insured: FSA) | Aaa/AAA | 445,780 | |||||||
1,000,000 | Palm Beach County Solid Waste Authority Revenue Refunding Series A, 6.00% due 10/1/2008 (Insured: AMBAC) | Aaa/AAA | 1,128,870 | |||||||
1,000,000 | Palm Beach County Solid Waste Revenue Refunding Series A, 6.00% due 10/1/2010 (Insured: AMBAC) | Aaa/AAA | 1,146,850 | |||||||
1,020,000 | Pasco County Housing Finance Authority MFHR, 5.50% due 6/1/2027 put 6/1/2008 (Cypress Trail Apartments Project; Guaranty: Axa Reinsurance) | NR/AA- | 1,060,076 | |||||||
690,000 | Pensacola Airport Revenue, 6.25% due 10/1/2005 (Insured: MBIA) | Aaa/AAA | 719,463 | |||||||
405,000 | Pensacola Airport Revenue Series B, 5.40% due 10/1/2007 (Insured: MBIA) | Aaa/AAA | 427,716 | |||||||
590,000 | Pinellas County Educational Facility Authority Revenue, 8.00% due 2/1/2011 pre-refunded 2/1/2006 @ 102 (Clearwater Christian College Project) | NR/NR | 635,672 | |||||||
2,000,000 | Sarasota County Public Hospital Board, 1.80% due 7/1/2037 put 10/1/2004 (Sarasota Memorial Hospital Project) (daily demand notes) | VMIG1/A1+ | 2,000,000 | |||||||
1,000,000 | St. Johns County Florida Industrial Development Authority Series A, 5.50% due 8/1/2014 (Presbyterian Retirement Project) | NR/NR | 1,063,740 | |||||||
300,000 | State Board of Education Series C, 6.00% due 5/1/2007 (ETM)* | Aaa/AA+ | 302,832 |
16 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Florida Intermediate Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||
$ 220,000 | State Board of Education Series D, 6.20% due 5/1/2007 (Insured: MBIA) (ETM)* | Aaa/AAA | $ | 225,049 | ||||
1,050,000 | Tampa Revenue, 5.50% due 11/15/2013 (Insured: MBIA) | Aaa/AAA | 1,201,315 | |||||
1,345,000 | Tohopekaliga Water Authority Utility Series A, 5.25% due 10/1/2016 (Insured: FSA) | Aaa/AAA | 1,501,208 | |||||
TOTAL INVESTMENTS (Cost $53,257,597) | $ | 55,116,114 | ||||||
† | Credit ratings are unaudited. | |
* | Escrowed to maturity | |
See notes to financial statements. |
CREDIT RATING†
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Florida Intermediate Municipal Fund
To the Trustees and Shareholders of
Thornburg Florida Intermediate Municipal Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg Florida Intermediate Municipal Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the “Fund”) at September 30, 2004, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five 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 Fund’s 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 the standards of the Public Company Accounting Oversight Board (United States). Those standards 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, 2004 by correspondence with the custodian, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 9, 2004
18 Certified Annual Report
EXPENSE EXAMPLE
Thornburg Florida Intermediate Municipal Fund | September 30, 2004 |
As a shareholder of the Fund, you incur two types of costs:
(1) | transaction costs, including |
(a) | sales charges (loads) on purchase payments, for Class A Shares, | |||
(b) | a deferred sales charge on redemptions of any part of all of a purchase of $1 million of Class A shares within 12 months of purchase; and |
(2) | ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. |
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested on April 1, 2004 and held until September 30, 2004.
Actual Expenses
The first line of the table at right provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table at right provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Beginning | Ending | Expenses Paid | ||||||||||
Account Value | Account Value | During Period† | ||||||||||
4/01/04 | 9/30/04 | 4/1/04–9/30/04 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000 | $ | 1,006.50 | $ | 4.53 | ||||||
Hypothetical* | $ | 1,000 | $ | 1,020.49 | $ | 4.56 |
† Expenses are equal to the annualized expense ratio for Class A shares (0.90%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period.
* Hypothetical assumes a rate of return of 5% per year before expenses.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Certified Annual Report 19
INDEX COMPARISON
Thornburg Florida Intermediate Municipal Fund | September 30, 2004 |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Florida Intermediate Municipal Fund Class A Total Returns, versus
Merrill Lynch 7-12 Year Municipal Bond Index and Consumer Price Index
(February 1, 1994 to September 30, 2004)
AVERAGE ANNUAL TOTAL RETURNS
For the periods ended September 30, 2004 (with sales charge)
Since | ||||||||||||||||
1 Yr | 5 Yrs | 10 Yrs | Inception | |||||||||||||
A Shares (Incep: 2/1/94) | 0.74 | % | 4.75 | % | 5.04 | % | 4.62 | % |
FUND ATTRIBUTES
as of September 30, 2004
Annualized | SEC | Maximum | ||||||||||||||
Dist. Rate (NAV) | Yield | NAV | Offering Price | |||||||||||||
A Shares (Incep: 2/1/94) | 3.18 | % | 2.56 | % | $ | 12.40 | $ | 12.65 |
Performance data reflect past performance, which is no guarantee of future results. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares.
Returns reflect the reinvestment of dividends and capital gains and the following sales charges: Class A Shares are sold with a maximum sales charge of 2.00%.
The Consumer Price Index (“CPI”) measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. The CPI is also known as the cost-of-living index.
The Merrill Lynch 7-12 Year Municipal Bond Index represents a broad measure of market performance. It is a model portfolio of municipal obligations throughout the U.S., with an average maturity which ranges from seven to twelve years.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
The SEC Yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Funds’ shares at the end of the period.
The distribution rate is calculated by taking the sum of the month’s total distribution factors and dividing this sum by a 30-day period and annualizing to 360-day year. The value is then divided by the ending Net Asset Value (NAV) to arrive at the annualized distribution yield. The yield is calculated on a periodic basis and is subject to change depending on the Funds’ NAV and current distributions.
20 Certified Annual Report
TRUSTEES AND OFFICERS
Thornburg Florida Intermediate Municipal Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
INTERESTED TRUSTEES(2)(4) | ||||
Garrett Thornburg, 58 Chairman of Trustees Trustee since 1987(3) | CEO, Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor) and Thornburg Securities Corporation (securities dealer); Chairman of Thornburg Limited Term Municipal Fund, Inc. (registered investment company) to 2004; CEO and Chairman of Thornburg Mortgage, Inc. (real estate investment trust); Chairman of Thornburg Mortgage Advisory Corporation (investment manager to Thornburg Mortgage, Inc.). | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Brian J. McMahon, 48 Trustee since 2001 President since 1997(5)(6) | President and Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | None | ||
INDEPENDENT TRUSTEES(2)(4) | ||||
David A. Ater, 59 Trustee since 1994 | Principal in Ater & Ater Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner developer and broker for various real estate projects. | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
David D. Chase, 63 Trustee since 2000 | Chairman, President, CEO, and General Partner of Vestor Partners, LP, Santa Fe, NM (private equity fund); Chairman and CEO of Vestor Holdings, Inc., Santa Fe, NM (merchant bank). | Director of Thornburg Limited Term Municipal Fund, Inc. 2001–2004 | ||
Eliot R. Cutler, 58 Trustee since 2004 | Partner, Akin, Gump, Strauss, Hauer & Feld, LLP, Washington, D.C. (law firm) since November 2000; partner, Cutler & Stanfield, Washington, D.C. (law firm) until November 2000. | Director of Thornburg Limited Term Municipal Fund, Inc. to 2004; director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Susan H. Dubin, 55 Trustee since 2004 | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations; and formerly, Vice President of Chemical Bank (predecessor to JP Morgan Chase & Co.), New York, 1974–1996. | None | ||
Forrest S. Smith, 74 Trustee since 1987 | Trust and estate attorney, of counsel to Catron, Catron & Pottow, Santa Fe, NM (law firm). | None | ||
Owen D. Van Essen, 50 Trustee since 2004 | President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 45 Trustee since 1996 | Executive Vice President and Director to 2002, and since 2002; CEO and Vice Chairman, Nambé Mills, Inc., Santa Fe, NM (manufacturer). | None |
Certified Annual Report 21
TRUSTEES AND OFFICERS
Thornburg Florida Intermediate Municipal Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(6)(7) | ||||
Dawn B. Fischer, 57 Secretary since 1987 | Secretary and Managing Director, Thornburg Investment Management, Inc.; Secretary, Thornburg Limited Term Municipal Fund, Inc. to 2004; Secretary, Thornburg Securities Corporation; Vice President, Daily Tax Free Income Fund, Inc. (registered investment company). | Not applicable | ||
Steven J. Bohlin, 45 Vice President, since 1987; Treasurer since 1989 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
George T. Strickland, 41 Vice President since 1996 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President (and Treasurer since 2003) of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
William V. Fries, 65 Vice President since 1995 | Vice President and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 37 Vice President since 2001 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2004. | Not applicable | ||
Kenneth Ziesenheim, 50 Vice President since 1995 | Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Securities Corporation; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Alexander Motola, 34 Vice President since 2001 | Managing Director of Thornburg Investment Management, Inc. since 2000; Portfolio Manager, Insight Capital Research & Management, Inc., Walnut Creek, California 1995–2000. | Not applicable | ||
Wendy Trevisani, 33 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 2000 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund,Inc. 1999–2002; Sales Representative, Solomon Smith Barney 1996–1999. | Not applicable | ||
Joshua Gonze, 41 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999,Vice President since 1999 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Brad Kinkelaar, 36 Vice President since 1999 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 1999, Vice President since 2000, and Managing Director since 2004; Equity Investment Analyst, State Farm Insurance Companies 1996–1999. | Not applicable | ||
Kerry D. Lee, 37 Vice President since 1999 | Vice President of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable |
22 Certified Annual Report
TRUSTEES AND OFFICERS
Thornburg Florida Intermediate Municipal Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
Christopher Ihlefeld, 34 Vice President since 2003 | Associate Portfolio Manager since 1999; Vice President of Thornburg Investment Management, Inc. since 2002; Vice President of Limited Term Municipal Fund, Inc., 2003–2004. | Not applicable | ||
Leon Sandersfeld, 38 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2002; Senior Staff Accountant, Farm Bureau Life Insurance Co. 1998–2002. | Not applicable | ||
Sasha Wilcoxon, 30 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2000; and Mutual Fund Support Service Department Manager since 2002. | Not applicable | ||
Ed Maran, 46 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Analyst, USAA 2001–2002; Oil Analyst, A.G. Edwards 1997–2000. | Not applicable | ||
Vinson Walden, 34 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Associate Portfolio Manager, Ibis Management 2002–2004; Associate, Lehman Brothers, 1997–2001. | Not applicable |
(1) | Each person’s address is 119 East Marcy Street, Santa Fe, New Mexico 87501. | |||
(2) | The Fund is one of twelve separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. The Trust currently has twelve active Funds. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twelve funds of the Trust. Each Trustee oversees the twelve portfolios in the fund complex. | |||
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is a director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twelve active funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. | |||
(4) | Each Trustee serves in office until the election and qualification of a successor. | |||
(5) | Mr. McMahon is considered an “interested” Trustee because he is the president of Thornburg Investment Management, Inc. | |||
(6) | The Trust’s president, secretary and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. | |||
(7) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
Certified Annual Report 23
OTHER INFORMATION (UNAUDITED)
Thornburg Florida Intermediate Municipal Fund | September 30, 2004 |
PORTFOLIO PROXY VOTING
The Trust has delegated to Thornburg Investment Management, Inc. (“the Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.
Commencing August 31, 2004, information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request, on the Thornburg website at www.thornburg.com and (ii) on the Securities and Exchange Commission’s website at www.sec.gov.
TAX INFORMATION
For the fiscal year ended September 30, 2004, 100% of dividends paid by the Fund are tax exempt dividends for Federal Income Tax purposes. The information and distributions reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2004.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund will file with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year, commencing with the calendar quarter ending December 31, 2004. The Fund’s Forms N-Q will be available on the Commission’s website at http://www.sec.gov, or may be copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
SHAREHOLDER MEETING INFORMATION
A special meeting (the “Meeting”) of the shareholders of Thornburg Investment Trust (the “Trust”) was held on September 13, 2004 at the offices of Thornburg Investment Management, Inc., 119 East Marcy Street, Santa Fe, New Mexico 87501. Thornburg Florida Intermediate Fund is one of 12 active series or “Funds” of the Trust.
The shareholders of the Trust considered at the Meeting (i) the election of Trustees,and (ii) ratification of the selection of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm for the fiscal year ending September 30, 2004.
The Trustees elected at the Meeting were Garrett Thornburg, David A. Ater, David D. Chase, Eliot R. Cutler, Susan H. Dubin, Brian J. McMahon, Owen D. Van Essen and James W. Weyhrauch. Forrest S. Smith, a Trustee since 1987 did not stand for election; his term of office will continue through the end of 2004, when he will retire in accordance with the Trust’s Bylaws. The shareholders also ratified the appointment of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm.
The voting results for the matters voted on are set out for each Fund as follows:
Election of Trustees
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Garrett Thornburg | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,772,086.332 | 692,014.443 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,202,049.716 | 217,551.648 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,555.521 | 114,080.445 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,255,221.686 | 81,237.603 | – | – | ||||||||||||
Thornburg Value Fund | 64,672,758.966 | 447,696.934 | – | – | ||||||||||||
Thornburg International Value Fund | 59,954,867.369 | 1,241,990.622 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,135,097.039 | 21,483.205 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,943.082 | 122,916.941 | – | – | ||||||||||||
Total: | 345,469,631.406 | 3,282,138.627 | – | – |
24 Certified Annual Report
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg Florida Intermediate Municipal Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
David A. Ater | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,797,094.826 | 667,005.949 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,898.015 | 244,703.349 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,174.575 | 74,750.866 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,356,553.614 | 118,082.352 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,645.960 | 84,813.329 | – | – | ||||||||||||
Thornburg Value Fund | 64,673,309.598 | 447,696.934 | – | – | ||||||||||||
Thornburg International Value Fund | 60,746,833.041 | 450,024.950 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,382.888 | 24,197.356 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,615.730 | 120,243.993 | – | – | ||||||||||||
Total: | 346,235,149.064 | 2,517,171.301 | – | – | ||||||||||||
David D. Chase | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,792,336.993 | 671,763.782 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,107,955.251 | 64,970.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,243,684.887 | 92,774.402 | – | – | ||||||||||||
Thornburg Value Fund | 64,693,947.421 | 446,508.479 | – | – | ||||||||||||
Thornburg International Value Fund | 60,752,533.146 | 444,324.845 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,837,095.494 | 116,764.229 | – | – | ||||||||||||
Total: | 346,310,480.812 | 2,461,288.921 | – | – | ||||||||||||
Eliot R. Cutler | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,785,534.542 | 678,566.233 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,449,458.366 | 232,489.857 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,199,536.657 | 220,064.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,111,971.636 | 60,953.805 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,350,526.614 | 124,109.352 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,250,801.917 | 85,657.372 | – | – | ||||||||||||
Thornburg Value Fund | 64,599,511.493 | 520,944.407 | – | – | ||||||||||||
Thornburg International Value Fund | 60,724,718.843 | 472,139.148 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,134,780.624 | 21,799.620 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,832,732.499 | 121,127.224 | – | – | ||||||||||||
Total: | 346,159,119.642 | 2,592,650.361 | – | – | ||||||||||||
Susan H. Dubin | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,874.816 | 670,225.959 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,198,659.272 | 220,942.092 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,110,371.636 | 62,553.805 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,372,811.385 | 101,824.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,249,237.865 | 87,221.424 | – | – |
Certified Annual Report 25
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg Florida Intermediate Municipal Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Value Fund | 64,679,778.577 | 440,677.323 | – | – | ||||||||||||
Thornburg International Value Fund | 60,742,583.265 | 454,274.726 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,454.801 | 120,404.922 | – | – | ||||||||||||
Total: | 346,285,090.525 | 2,466,679.208 | – | – | ||||||||||||
Brian J. McMahon | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,795,559.677 | 668,541.098 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,205,930.716 | 213,670.648 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,104,748.707 | 68,176.734 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 102,726.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,724.960 | 84,734.329 | – | – | ||||||||||||
Thornburg Value Fund | 64,681,039.437 | 439,416.463 | – | – | ||||||||||||
Thornburg International Value Fund | 60,010,455.736 | 1,186,402.255 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,131,956.015 | 24,624.229 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,227.440 | 120,632.283 | – | – | ||||||||||||
Total: | 345,556,209.517 | 3,195,560.216 | – | – | ||||||||||||
Owen D. Van Essen | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,348.831 | 670,751.944 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,730.914 | 244,870.450 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,708.092 | 74,217.349 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,248,394.246 | 88,065.043 | – | – | ||||||||||||
Thornburg Value Fund | 64,674,135.776 | 446,320.124 | – | – | ||||||||||||
Thornburg International Value Fund | 60,684,276.889 | 512,581.102 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,962.507 | 122,897.216 | – | – | ||||||||||||
Total: | 346,178,126.548 | 2,573,643.185 | – | – | ||||||||||||
James W. Weyhrauch | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,789,717.177 | 674,383.598 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 126,726.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,254,156.818 | 82,302.471 | – | – | ||||||||||||
Thornburg Value Fund | 64,683,895.944 | 436,559.906 | – | – | ||||||||||||
Thornburg International Value Fund | 60,726,245.097 | 470,612.894 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,836,311.264 | 117,548.459 | – | – | ||||||||||||
Total: | 346,278,127.848 | 2,497,641.885 | – | – |
26 Certified Annual Report
OTHER INFORMATION (UNAUDITED),CONTINUED
Thornburg Florida Intermediate Municipal Fund | September 30, 2004 |
Ratification of Selection of Independent Registered Public Accounting Firm
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Limited Term Municipal Fund | 89,266,423.303 | 430,123.930 | 767,553.542 | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,354,990.466 | 167,198.030 | 159,759.457 | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 27,957,900.165 | 174,857.659 | 286,893.540 | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,067,166.377 | 1,155.000 | 104,604.064 | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,911,733.415 | 6,868.306 | 9,157.121 | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,784,834.660 | 23,509.648 | 38,241.937 | – | ||||||||||||
Thornburg Limited Term U.S.Government Fund | 14,360,583.780 | 33,945.016 | 80,017.170 | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,123,259.928 | 57,081.625 | 156,117.736 | – | ||||||||||||
Thornburg Value Fund | 64,569,333.454 | 212,238.433 | 338,884.013 | – | ||||||||||||
Thornburg International Value Fund | 60,444,286.231 | 343,771.766 | 408,700.994 | – | ||||||||||||
Thornburg Core Growth Fund | 6,110,013.492 | 32,603.465 | 13,963.287 | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,812,877.547 | 40,509.369 | 100,472.807 | – | ||||||||||||
Totals | 344,763,402.818 | 1,523,862.247 | 2,464,365.668 | – |
Certified Annual Report 27
Thornburg New York Intermediate Municipal Fund
September 30, 2004
Table of Contents
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23 |
This report is certified under the Sarbanes-Oxley Act of 2002,which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
4 Certified Annual Report
Important Information
Performance data quoted represent the past and are no guarantee of future results. Current returns may be either lower or higher than those shown. Share prices and returns will fluctuate and investors may experience a loss upon redemption. There is no guarantee that the Fund will meet its objectives. Shares in the Fund carry risks, including possible loss of principal. The principal value of a bond fund will decrease when interest rates rise.
The maximum sales charge for Class A Shares is 2.00%
For the most recent month-end performance information, visit www.thornburg.com.
The information presented on the following pages was current as of September 30, 2004. The manager’s views, portfolio holdings, and sector diversification are historical and subject to change. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each Fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any Fund to differ materially as compared to its benchmarks.
Glossary
The Merrill Lynch 7-12 Year Municipal Bond Index – Represents a broad measure of market performance. It is a model portfolio of municipal obligations throughout the U.S.,with an average maturity which ranges from seven to twelve years. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains,if any,but do not reflect fees,brokerage commissions or other expenses of investing.Investors may not make direct investments into any index.
Duration – The measure of the price sensitivity of a fixed-income security to an interest rate change of 100 basis points. Calculation is based on the weighted average of the present values for all cash flows.
Weighted Average Maturity – Is a weighted average of all the effective maturities of the bonds in a portfolio. Effective maturity takes into consideration mortgage prepayments, puts, calls, adjustable coupons, and other features of individual bonds and is thus a more accurate measure of interest-rate sensitivity. Longer-maturity funds are generally considered more interest-rate sensitive than their shorter counterparts.
Certified Annual Report 5
Letter to Shareholders
Portfolio Manger
October 21, 2004
Dear Fellow Shareholder:
I am pleased to present the Annual Report for the Thornburg New York Intermediate Municipal Fund. This report will cover only the three-month period from June 30, 2004 to September 30, 2004 because the fiscal year end of the Fund was recently changed from June 30 to September 30. The net asset value of the A shares increased by 18 cents to $12.64 during the three months ending September 30, 2004. If you were with us for the entire period, you received dividends of 10 cents per share.
Over the last three months, interest rates on bonds that mature in five to ten years have fallen more than interest rates on bonds that mature in less than five years. This has led to better performance for intermediate bonds relative to shorter-term bonds. The A shares of your Fund produced a total return of 2.26% over the last three months, compared to a 4.35% return for the Merrill Lynch 7-12 Year Municipal Bond Index. We believe that the index outperformed the Fund because it is generally concentrated in bonds with a longer duration than bonds held by the Fund. If long-term interest rates start to rise again, we would expect the Fund to outperform the index.
Interest rates on intermediate municipal bonds have covered a lot of ground since September 30, 2003. For example, the yield on a seven-year AAA-rated municipal bond hit a low of 2.67% on March 9, 2004 before climbing to a high of 3.80% only two months later. As of September 30, 2004, that bond’s yield has fallen back down to 3.12%. (Source: Bloomberg: Municipal Market Advisors, Inc.)
Ironically, bond yields rose this past spring before the Federal Reserve started raising the targeted Fed Funds rate. Now that the Federal Reserve is pushing up short-term interest rates, the interest rates on bonds and home mortgages have been falling. In essence, the bond market is counteracting a tightening Federal Reserve by allowing corporations, governments, and individuals to borrow money at lower interest rates.
Given the abundant liquidity and relatively low yields in the bond markets today, we believe that the Federal Reserve has a significant amount of additional tightening to do before they overcome the bond market’s “give back” and achieve a neutral monetary policy. The yield curve does not appear to be pricing in this possibility today. If it does start pricing in a more aggressive Federal Reserve, we believe that bond yields will rise above current levels.
We have positioned your Fund with this outlook in mind. Your Thornburg New York Intermediate Municipal Fund is a laddered portfolio of over 55 municipal obligations from all over the state. Today, your Fund’s weighted average maturity is 5.84 years. We ladder the maturity dates of the bonds in your portfolio so that some of the bonds are scheduled to mature during each of the coming years. Laddering intermediate bonds accomplishes two goals. First, the staggered bond maturities contained in a ladder defuse interest-rate risk and dampen the Fund’s price volatility. Second, laddering gives the Fund a steady cash flow stream from maturing bonds to reinvest toward the top of the ladder where
6 Certified Annual Report
yields are typically higher. The laddering strategy is what differentiates this Fund from most bond mutual funds. It will be particularly useful if interest rates rise, because it will allow the Fund to gradually increase the yield of the portfolio as bonds mature and get replaced with new ones. The chart below describes the percentages of your Fund’s bond portfolio maturing in each of the coming years.
Thanks to moderate economic growth, increased taxes, and federal aid, New York State was able to close the 2004 fiscal year with a $300 million surplus. The current year budget deficit of $669 million appears manageable, but out-year deficit estimates of $5 billion to $7 billion may prove to be more challenging. Longer term challenges include bringing down a heavy debt burden and making the state’s tax code more competitive while continuing to meet major infrastructure needs. To reduce credit risk, we currently have 99% of the portfolio in bonds rated A or above and have maintained broad diversification across issuers and market sectors.
% of portfolio | Cumulative % | |||||||||||||||
maturing | maturing | |||||||||||||||
2 years | = | 18 | % | Year 2 | = | 18 | % | |||||||||
2 to 4 years | = | 26 | % | Year 4 | = | 44 | % | |||||||||
4 to 6 years | = | 10 | % | Year 6 | = | 54 | % | |||||||||
6 to 8 years | = | 11 | % | Year 8 | = | 65 | % | |||||||||
8 to 10 years | = | 15 | % | Year 10 | = | 80 | % | |||||||||
10 to 12 years | = | 5 | % | Year 12 | = | 85 | % | |||||||||
12 to 14 years | = | 4 | % | Year 14 | = | 89 | % | |||||||||
14 to 16 years | = | 6 | % | Year 16 | = | 95 | % | |||||||||
16 to 18 years | = | 0 | % | Year 18 | = | 95 | % | |||||||||
Over 18 years | = | 5 | % | Over 18 years | = | 100 | % |
Percentages can and do vary. Data as of 9/30/04.
Over the years, our practice of laddering a diversified portfolio of short- and intermediate-maturity municipal bonds has allowed your Fund to perform consistently well in varying interest rate environments. Thank you for investing in Thornburg New York Intermediate Municipal Fund.
Sincerely, |
George Strickland |
Portfolio Manager |
Certified Annual Report 7
STATEMENT OF ASSETS AND LIABILITIES
Thornburg New York Intermediate Municipal Fund | September 30, 2004 |
ASSETS | ||||
Investments at value (cost $42,671,113) | $ | 44,511,502 | ||
Cash | 27,471 | |||
Receivable for investments sold | 561,000 | |||
Receivable for fund shares sold | 2,654 | |||
Interest receivable | 558,459 | |||
Prepaid expenses and other assets | 299 | |||
Total Assets | 45,661,385 | |||
LIABILITIES | ||||
Payable for fund shares redeemed | 13,493 | |||
Accounts payable and accrued expenses | 35,712 | |||
Payable to investment advisor and other affiliates (Note 3) | 25,664 | |||
Dividends payable | 43,951 | |||
Total Liabilities | 118,820 | |||
NET ASSETS | $ | 45,542,565 | ||
NET ASSETS CONSIST OF: | ||||
Undistributed (distribution in excess of) net investment income | $ | (5,952 | ) | |
Net unrealized appreciation (depreciation) on investments | 1,840,389 | |||
Accumulated net realized gain (loss) | (19,617 | ) | ||
Net capital paid in on shares of beneficial interest | 43,727,745 | |||
$ | 45,542,565 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($45,542,565 applicable to 3,603,132 shares of beneficial interest outstanding — Note 4) | $ | 12.64 | ||
Maximum sales charge, 2.00% of offering price | 0.26 | |||
Maximum Offering Price Per Share | $ | 12.90 | ||
See notes to financial statements
8 Certified Annual Report
STATEMENTS OF OPERATIONS
Thornburg New York Intermediate Municipal Fund
Three Months Ended | Year Ended | |||||||
September 30, 2004 | June 30, 2004 | |||||||
INVESTMENT INCOME: | ||||||||
Interest income (net of premium amortized of $95,995 and $332,490 for the period ended September 30, 2004 and year ended June 30, 2004, respectively) | $ | 467,852 | $ | 1,872,494 | ||||
EXPENSES: | ||||||||
Investment advisory fees (Note 3) | 56,020 | 208,059 | ||||||
Administration fees (Note 3) | 14,005 | 52,017 | ||||||
Service fees (Note 3) | 28,010 | 98,757 | ||||||
Transfer agent fees | 7,830 | 29,297 | ||||||
Custodian fees (Note 3) | 8,244 | 35,364 | ||||||
Registration and filing fees | 109 | 0 | ||||||
Professional fees | 9,484 | 22,259 | ||||||
Accounting fees | 860 | 2,831 | ||||||
Trustee fees | 426 | 1,008 | ||||||
Other expenses | 7,363 | 10,975 | ||||||
Total Expenses | 132,351 | 460,567 | ||||||
Less: | ||||||||
Investment advisory fees waived (Note 3) | (21,168 | ) | (47,265 | ) | ||||
Fees paid indirectly (Note 3) | (264 | ) | (1,334 | ) | ||||
Net Expenses | 110,919 | 411,968 | ||||||
Net Investment Income | 356,933 | 1,460,526 | ||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||
Net realized gain (loss) on investments sold | 11,068 | 7,282 | ||||||
Increase (decrease) in unrealized appreciation of investments | 629,517 | (1,325,587 | ) | |||||
Net Realized and Unrealized Gain (Loss) on Investments | 640,585 | (1,318,305 | ) | |||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 997,518 | $ | 142,221 | ||||
See notes to financial statements
Certified Annual Report 9
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg New York Intermediate Municipal Fund
Three Months Ended | Year Ended | Year Ended | ||||||||||
September 30, 2004 | June 30, 2004 | June 30, 2003 | ||||||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||||||
OPERATIONS: | ||||||||||||
Net investment income | $ | 356,933 | $ | 1,460,526 | $ | 1,416,047 | ||||||
Net realized gain (loss) on investments sold | 11,068 | 7,282 | (38,903 | ) | ||||||||
Increase (Decrease) in unrealized appreciation (depreciation) of investments | 629,517 | (1,325,587 | ) | 678,415 | ||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 997,518 | 142,221 | 2,055,559 | |||||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||||||
From net investment income | ||||||||||||
Class A Shares | (356,933 | ) | (1,460,846 | ) | (1,416,047 | ) | ||||||
From realized gains | ||||||||||||
Class A Shares | 0 | 0 | (52,639 | ) | ||||||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||||||
Class A Shares | 2,350,704 | 4,106,329 | 7,101,029 | |||||||||
Net Increase (Decrease) in Net Assets | 2,991,289 | 2,787,704 | 7,687,902 | |||||||||
NET ASSETS: | ||||||||||||
Beginning of period | 42,551,276 | 39,763,572 | 32,075,670 | |||||||||
End of period | $ | 45,542,565 | $ | 42,551,276 | $ | 39,763,572 | ||||||
See notes to financial statements.
10 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS
Thornburg New York Intermediate Municipal Fund | September 30, 2004 |
NOTE 1 – ORGANIZATION
Thornburg New York Intermediate Municipal Fund (the “Fund”) is a non-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 eleven series of shares of beneficial interest in addition to those of the Fund: Thornburg California Limited Term Municipal Fund, Thornburg Limited Term Municipal Fund, Thornburg Florida Intermediate Municipal Fund, Thornburg New Mexico Intermediate Municipal Fund, Thornburg Intermediate Municipal Fund, Thornburg Limited Term U.S. Government Fund, Thornburg Limited Term Income Fund, Thornburg Value Fund, Thornburg International Value Fund, Thornburg Core Growth Fund, and Thornburg Investment Income Builder Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund’s investment objective is to obtain as high a level of current income exempt from Federal income tax as is consistent, in the view of the Fund’s investment advisor, with the preservation of capital. The Fund will also invest primarily in municipal obligations within the state of New York, with the objective of having interest dividends paid to its shareholders exempt from any individual income taxes. Additionally, the Fund will seek to have dividends paid to its individual shareholders exempt from New York City income taxes.
The Fund employed a fiscal year ending June 30 from the Fund’s inception through June 30, 2004, when the Trustees determined to change the Fund’s fiscal year end to September 30. In consequence, the Fund’s financial statements display information for a fiscal period commencing July 1, 2004 and ending September 30, 2004.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Fund are as follows: Valuation of Investments: In determining net asset value, the Trust utilizes 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, normally at 4:00 p.m. EST or at 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 municipal 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 Fund are reviewed by the officers of the Trust under the general supervision of the Trustees. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute substantially all of its taxable and tax exempt income to its shareholders. Therefore, no provision for Federal income tax is required.
When-Issued and Delayed Delivery Transactions: The Trust may engage in when-issued or delayed delivery transactions. To the extent the Trust engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with the investment objectives of the Fund and not for the purpose of investment leverage or to speculate on interest rate changes. At the time the Trust makes a commitment to purchase a security for the Fund, 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 on 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 Fund is declared daily as a dividend on shares for which the Fund has received payment. Dividends are paid monthly and are reinvested in additional shares of the Fund 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 at least annually.
General: Securities transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and discounts on securities purchased are amortized to call dates or maturity dates of the respective securities. Realized gains and losses from the sale of securities are recorded on an identified cost basis. Expenses common to all funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
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.
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and Trustees are indemnified
Certified Annual Report 11
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg New York Intermediate Municipal Fund | September 30, 2004 |
against certain liability arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an Investment Advisory Agreement, Thornburg Investment Management, Inc. (the “Advisor”) serves as the investment advisor and performs services for which the fees are payable at the end of each month. For the period ended September 30, 2004, these fees were payable at annual rates ranging from .50 of 1% to .275 of 1% of the average daily net assets of the Fund. For the period ended September 30, 2004 and the year ended June 30, 2004, the Advisor voluntarily waived investment advisory fees of $21,168 and $47,265, respectively. The Trust entered into an Administrative Services Agreement with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders and for which fees will be payable at an annual rate of up to .125 of 1% of the average daily net assets.
The Trust has a Distribution Agreement with Thornburg Securities Corporation (the “Distributor,” an affiliate of the advisor), which acts as the distributor of Fund shares. For the period ended September 30, 2004 and the year ended June 30, 2004, the Distributor has advised the Fund that it earned commissions aggregating $35 and $268, respectively, from the sale of Class A shares.
Pursuant to a Service Plan, under Rule 12b-1 of the Investment Company Act of 1940, the Trust may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of the Fund’s average daily net assets for payments made by the Advisor to securities dealers and other persons for distribution of the Fund’s shares and to obtain various shareholder related services. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
The Trust has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees have been adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the statement of operations. For the period ended September 30, 2004 and the year ended June 30, 2004, fees paid indirectly were $264 and $1,334, respectively.
Certain officers and Trustees of the Trust are also officers and/or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At September 30, 2004 there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest of Class A were as follows:
Three Months Ended | Year Ended | Year Ended | ||||||||||||||||||||||
September 30, 2004 | June 30, 2004 | June 30, 2003 | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||
Shares sold | 289,811 | $ | 3,647,279 | 940,980 | $ | 11,918,550 | 1,011,444 | $ | 12,957,471 | |||||||||||||||
Shares issued to shareholders in reinvestment of dividends | 18,199 | 229,327 | 73,809 | 933,594 | 70,934 | 907,397 | ||||||||||||||||||
Shares repurchased | (121,053 | ) | (1,525,902 | ) | (690,958 | ) | (8,745,815 | ) | (530,074 | ) | (6,763,839 | ) | ||||||||||||
Net Increase (Decrease) | 186,957 | $ | 2,350,704 | 323,831 | $ | 4,106,329 | 552,304 | $ | 7,101,029 | |||||||||||||||
NOTE 5 – SECURITIES TRANSACTIONS
For the period ended September 30, 2004 the Fund had purchase and sale transactions (excluding short-term securities) of $2,729,025 and $1,737,500, respectively.
NOTE 6 – INCOME TAXES
At September 30, 2004, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 42,670,346 | ||
Gross unrealized appreciation on a tax basis | $ | 1,854,740 | ||
Gross unrealized depreciation on a tax basis | (13,584 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 1,841,156 | ||
12 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg New York Intermediate Municipal Fund | September 30, 2004 |
At September 30, 2004, the Fund did not have any undistributed tax-exempt/ordinary net income or undistributed capital gains.
At September 30, 2004, the Fund had tax basis capital losses of $20,384, which may be carried over to offset future capital gains. To the extent such carry forwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryovers expire September 30, 2011.
The Fund utilized $11,237 of its capital loss carry forward during the period ended September 30, 2004.
In order to account for permanent book/tax differences, the Fund increased net capital paid in on shares of beneficial interest by $294, decreased accumulated net realized investment loss by $29, and increased over-distributed net investment income (loss) by $323. This reclassification has no impact on the net asset value of the Fund. Reclassifications result primarily from market discount.
The tax character of distributions paid by the Fund for the period ended September 30, 2004, and years ended June 30, 2004 and June 30, 2003 was as follows:
9/30/04 | 6/30/04 | 6/30/03 | ||||||||||
Tax-exempt income | $ | 356,933 | $ | 1,460,846 | $ | 1,416,047 | ||||||
Long-term capital gain | — | — | $ | 52,639 |
Certified Annual Report 13
FINANCIAL HIGHLIGHTS
Thornburg New York Intermediate Municipal Fund
Period Ended | Year Ended June 30, | |||||||||||||||||||||||
September 30, | ||||||||||||||||||||||||
2004 | 2004 | 2003 | 2002 | 2001 | 2000 | |||||||||||||||||||
Class A Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.46 | $ | 12.86 | $ | 12.63 | $ | 12.55 | $ | 12.16 | $ | 12.36 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.10 | 0.45 | 0.51 | 0.54 | 0.62 | 0.64 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.18 | (0.40 | ) | 0.25 | 0.08 | 0.39 | (0.20 | ) | ||||||||||||||||
Total from investment operations | 0.28 | 0.05 | 0.76 | 0.62 | 1.01 | 0.44 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.10 | ) | (0.45 | ) | (0.51 | ) | (0.54 | ) | (0.62 | ) | (0.64 | ) | ||||||||||||
Realized capital gains | — | — | (0.02 | ) | — | — | — | |||||||||||||||||
Total distributions | (0.10 | ) | (0.45 | ) | (0.53 | ) | (0.54 | ) | (0.62 | ) | (0.64 | ) | ||||||||||||
Change in net asset value | 0.18 | (0.40 | ) | 0.23 | 0.08 | 0.39 | (0.20 | ) | ||||||||||||||||
NET ASSET VALUE, end of period | $ | 12.64 | $ | 12.46 | $ | 12.86 | $ | 12.63 | $ | 12.55 | $ | 12.16 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | 2.26 | % | 0.36 | % | 6.16 | % | 5.05 | % | 8.44 | % | 3.65 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 3.19 | %(b) | 3.51 | % | 4.02 | % | 4.29 | % | 4.95 | % | 5.23 | % | ||||||||||||
Expenses, after expense reductions | 0.99 | %(b) | 0.99 | % | 0.93 | % | 0.87 | % | 0.87 | % | 0.76 | % | ||||||||||||
Expenses, after expense reductions and net of custody credits | 0.99 | %(b) | 0.99 | % | 0.93 | % | 0.87 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 1.18 | %(b) | 1.11 | % | 1.10 | % | 1.09 | % | 1.13 | % | 1.15 | % | ||||||||||||
Portfolio turnover rate | 4.27 | % | 13.46 | % | 15.57 | % | 17.66 | % | 21.96 | % | 19.02 | % | ||||||||||||
Net assets at end of period (000) | $ | 45,543 | $ | 42,551 | $ | 39,764 | $ | 32,076 | $ | 25,855 | $ | 24,365 |
(a) | Sales loads are not reflected in computing total return, which is not annualized for periods less than one year. | |||
(b) | Annualized. |
14 Certified Annual Report
SCHEDULE OF INVESTMENTS
Thornburg New York Intermediate Municipal Fund | September 30, 2004 |
CUSIPS: CLASS A — 885-215-665
NASDAQ SYMBOLS: CLASS A — THNYX
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 465,000 | Amherst Industrial Development Agency Civic Facility Revenue, 5.75% due 4/1/2015 (Insured: ACA) | NR/A | $ | 502,586 | |||||||
700,000 | Bethlehem Central School District G. O., 7.10% due 11/1/2006 (Insured: AMBAC) | Aaa/AAA | 772,464 | |||||||||
1,075,000 | Brookhaven Industrial Development Agency Civic Facility Revenue, 4.375% due 11/1/2031 put 11/1/2006 (Methodist Retirement Community Project; LOC: Northfork Bank) | A2/A- | 1,098,091 | |||||||||
215,000 | Canastota Central School District G. O., 7.10% due 6/15/2007 (ETM)* | Baa2/NR | 244,008 | |||||||||
205,000 | Canastota Central School District G. O., 7.10% due 6/15/2008 (ETM)* | Baa2/NR | 240,231 | |||||||||
1,000,000 | Hempstead Ind. Dev. Agency Resource Recovery Revenue, 5.00% due 12/1/2010 put 6/1/2010 (American Ref-Fuel Project) | A3/BBB | 1,063,150 | |||||||||
1,000,000 | Hempstead Industrial Development Agency Resource Recovery Revenue Refunding, 5.00% due 12/1/2007 (American Ref-Fuel Project; Insured: MBIA) | Aaa/AAA | 1,075,890 | |||||||||
785,000 | Long Island Power Authority Electric Systems Revenue General Series A, 6.00% due 12/1/2007 (Insured: AMBAC) | Aaa/AAA | 874,616 | |||||||||
1,000,000 | Long Island Power Authority General Series B, 5.00% due 12/1/2006 | Baa1/A- | 1,057,290 | |||||||||
405,000 | Long Island Power Authority New York Electric Systems Revenue Subordinated Series 8-F, 5.00% due 4/1/2011 put 4/1/2006 (Insured: MBIA) | Aaa/AAA | 423,205 | |||||||||
880,000 | Monroe County Industrial Development Agency Revenue, 6.45% due 2/1/2014 (Civic Facility — DePaul Community Facility Project; Insured: Sonyma) | Aa1/NR | 901,692 | |||||||||
530,000 | Nassau Health Care Corp., 6.00% due 8/1/2011 (Insured: FSA) | Aaa/AAA | 610,814 | |||||||||
600,000 | New York Adjustment Adjusted Series H Subseries H 3, 1.73% due 8/1/2023 put 10/1/2004 (daily demand notes) | VMIG1/A1+ | 600,000 | |||||||||
1,800,000 | New York City Adjustment Series C, 1.68% due 10/1/2023 put 10/1/2004 (LOC: JPM) (daily demand notes) | VMIG1/A1+ | 1,800,000 | |||||||||
580,000 | New York City Industrial Development Agency Civic Facility Revenue Refunding, 6.00% due 8/1/2006 (YMCA Greater New York Project) | Baa1/NR | 618,094 | |||||||||
1,000,000 | New York City Municipal Water Finance Authority Series B, 5.75% due 6/15/2013 (ETM)* | Aaa/AAA | 1,071,550 | |||||||||
1,365,000 | New York City Transitional Refunding Future Tax Secured C, 5.25% due 8/1/2016 (Insured: AMBAC) | Aaa/AAA | 1,502,838 | |||||||||
920,000 | New York City Trust Cultural Resources Revenue, 5.75% due 7/1/2014 (Museum of American Folk Art Project; Insured: ACA) | NR/A | 987,188 | |||||||||
1,000,000 | New York Dormitory Authority Lease Revenue Series A, 5.25% due 8/15/2013 (Insured: FSA) | Aaa/AAA | 1,107,490 | |||||||||
350,000 | New York Dormitory Authority Revenue, 5.25% due 7/1/2010 (Insured: Radian) | NR/AA | 388,573 | |||||||||
370,000 | New York Dormitory Authority Revenue, 5.25% due 7/1/2011 (Insured: Radian) | NR/AA | 412,624 | |||||||||
500,000 | New York Dormitory Authority Revenue, 7.35% due 8/1/2029 (Jewish Geriatric Project; Insured: FHA) | NR/AAA | 512,095 | |||||||||
110,000 | New York Dormitory Authority Revenue Capital Appreciation, 0% due 7/1/2005 (Insured: FSA) | Aaa/AAA | 108,494 | |||||||||
1,115,000 | New York Dormitory Authority Revenue Mental Health Services Facilities Improvement A, 5.50% due 2/15/2019 (Insured: MBIA) | Aaa/AAA | 1,248,376 | |||||||||
1,000,000 | New York Dormitory Authority Revenue Refunding, 6.10% due 7/1/2019 (Ryan Clinton Community Health Center Project; Insured: Sonyma Mortgage) | Aa1/NR | 1,113,690 | |||||||||
575,000 | New York Dormitory Authority School District Bond Financing Program Series A, 5.50% due 7/1/2009 | NR/A+ | 640,090 | |||||||||
400,000 | New York Environmental Facilities Corp. PCR Water Revolving Fund Series E, 6.875% due 6/15/2014 | Aaa/AAA | 407,692 | |||||||||
665,000 | New York Housing Finance Service Series A, 6.375% due 9/15/2015 pre-refunded 9/15/2007 @ 100 | A3/AAA | 745,897 | |||||||||
20,000 | New York Medical Care Facilities Finance Agency Revenue, 6.125% due 2/15/2014 (Insured: FHA) | Aa2/AA | 20,610 | |||||||||
500,000 | New York Medical Care Facilities Finance Agency Revenue Series A, 6.85% due 2/15/2017 pre-refunded 2/15/2005 @ 102 (Brookdale Hospital Medical Center Project) | Aaa/AAA | 519,770 | |||||||||
500,000 | New York Medical Care Facilities Finance Agency Revenue Series A, 6.80% due 2/15/2020 pre-refunded 2/15/2005 @ 102 (New York Downtown Hospital Project) | Aaa/AAA | 519,675 | |||||||||
665,000 | New York Mortgage Agency Revenue, 5.85% due 10/1/2017 | Aaa/NR | 701,941 | |||||||||
1,000,000 | New York New York Refunding Series A, 5.50% due 8/1/2014 (Insured: FSA) | Aaa/AAA | 1,138,120 | |||||||||
750,000 | New York Series A, 7.00% due 8/1/2007 (Insured: FSA) | Aaa/AAA | 825,007 | |||||||||
350,000 | New York Series F, 5.50% due 8/1/2006 (Insured: MBIA) | Aaa/AAA | 372,967 | |||||||||
1,000,000 | New York Series G, 6.75% due 2/1/2009 (Insured: MBIA) | Aaa/AAA | 1,164,320 | |||||||||
1,530,000 | New York State Dormitory Authority Lease Revenue Court Facilities Series A, 4.00% due 5/15/2006 | A3/A | 1,576,665 |
Certified Annual Report 15
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg New York Intermediate Municipal Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 1,000,000 | New York State Dormitory Authority Revenue, 5.50% due 3/15/2012 | NR/AA | $ | 1,138,430 | |||||||
1,000,000 | New York State Dormitory Authority Revenue Refunding, 5.00% due 2/15/2010 (Wyckoff Heights Project; Insured: AMBAC) | Aaa/AAA | 1,084,760 | |||||||||
500,000 | New York State G. O., 9.875% due 11/15/2005 | A2/AA | 543,500 | |||||||||
80,000 | New York State Housing Finance Service Contract Series A 2003, 6.375% due 9/15/2015 pre-refunded 9/15/2005 @ 102 | A3/AA- | 85,171 | |||||||||
5,000 | New York State Housing Finance Service Contract Unrefunded Balance Series A 2003, 6.375% due 9/15/2015 | A3/AA- | 5,290 | |||||||||
300,000 | New York State Mortgage Agency Revenue Series 70, 5.375% due 10/1/2017 | Aa2/NR | 314,688 | |||||||||
1,000,000 | New York State Thruway Authority Service Contract Revenue Refunding, 5.50% due 4/1/2013 (Local Highway & Bridge Project; Insured: XLCA) | Aaa/AAA | 1,127,460 | |||||||||
300,000 | New York State Thruway Authority State Personal Income Tax Revenue Transportation Series A, 5.00% due 3/15/2006 | A1/AA | 313,728 | |||||||||
1,000,000 | New York State Urban Development Corp. Revenue Personal Income Tax Series D, 5.00% due 12/15/2006 | A1/AA | 1,063,390 | |||||||||
1,000,000 | New York State Urban Development Corp. Revenue Refunding Facilities A, 6.50% due 1/1/2011 (Correctional Capital Project; Insured: FSA) | Aaa/AAA | 1,188,100 | |||||||||
2,000,000 | New York Urban Development Corp. Correctional Facilities Revenue, 0% due 1/1/2008 | A3/AA- | 1,820,620 | |||||||||
1,505,000 | Newark Wayne Community Hospital Revenue Series B, 5.875% due 1/15/2033 (Insured: AMBAC) | Aaa/AAA | 1,520,170 | |||||||||
375,000 | Oneida County Industrial Development Agency Revenue, 6.00% due 1/1/2010 (Insured: Radian) | NR/AA | 425,569 | |||||||||
450,000 | Oneida County Industrial Development Agency Revenue, 6.10% due 6/1/2020 (Civic Facility Presbyterian Home Project; LOC: HSBC Bank USA) | Aa3/NR | 492,448 | |||||||||
750,000 | Port Chester Industrial Development Agency Refunding, 4.75% due 7/1/2031 put 7/1/2011 (American Foundation Project; Collateralized: FNMA) | NR/AAA | 808,253 | |||||||||
560,000 | Puerto Rico Electric Power Authority Power Revenue Refunding Series J, 5.375% due 7/1/2017 (Insured: XLCA) | Aaa/AAA | 645,389 | |||||||||
1,000,000 | Puerto Rico Public Buildings Authority Revenue Refunding Government Facilities Series K, 4.00% due 7/1/2026 put 7/1/2007 (Insured: MBIA) | Aaa/AAA | 1,047,880 | |||||||||
850,000 | Tobacco Settlement Financing Corp. New York Revenue Asset Backed Series A-1C, 5.00% due 6/1/2012 (Secured: State Contingency Contract) | NR/AA- | 888,777 | |||||||||
210,000 | Utica Industrial Development Agency Civic Facility Revenue, 5.25% due 7/15/2016 (Munson Williams Proctor Institute Project) | A1/NR | 232,596 | |||||||||
625,000 | Valley Central School District Montgomery, 7.15% due 6/15/2007 (Insured: AMBAC) | Aaa/AAA | 706,463 | |||||||||
90,000 | Westchester County IDA Civic Facility Revenue, 6.25% due 4/1/2005 (Julia Dyckman Project) | NR/NR | 91,017 | |||||||||
TOTAL INVESTMENTS (Cost $42,671,113) | $ | 44,511,502 | ||||||||||
† Credit ratings are unaudited.
* Escrowed to maturity.
See notes to financial statements.
CREDIT RATING†
16 Certified Annual Report
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg New York Intermediate Municipal Fund |
To the Trustees and Shareholders of
Thornburg New York Intermediate Municipal Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg New York Intermediate Municipal Fund series of Thornburg Investment Trust (the “Fund”) at September 30, 2004, the results of its operations for the three months ended September 30, 2004 and the year ended June 30, 2004, the changes in its net assets for the three months ended September 30, 2004 and the years ended June 30, 2004 and 2003 and the financial highlights for each of the periods presented, 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 Fund’s 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 the standards of the Public Company Accounting Oversight Board (United States). Those standards 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, 2004 by correspondence with the custodian, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 9, 2004
Certified Annual Report 17
EXPENSE EXAMPLE
Thornburg New York Intermediate Municipal Fund | September 30, 2004 |
As a shareholder of the Fund, you incur two types of costs:
(1) | transaction costs, including |
(a) | sales charges (loads) on purchase payments, for Class A Shares, | |||
(b) | a deferred sales charge on redemptions of any part of all of a purchase of $1 million of Class A shares within 12 months of purchase; and |
(2) | ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. |
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested on April 1, 2004 and held until September 30, 2004.
Actual Expenses
The first line of the table at right provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table at right provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Beginning | Ending | Expenses Paid | ||||||||||
Account Value | Account Value | During Period† | ||||||||||
4/01/04 | 9/30/04 | 4/1/04-9/30/04 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000 | $ | 1,007.20 | $ | 4.97 | ||||||
Hypothetical* | $ | 1,000 | $ | 1,020.04 | $ | 5.01 |
†Expenses are equal to the annualized expense ratio for class A shares (0.99%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period.
*Hypothetical assumes a rate of return of 5% per year before expenses.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
18 Certified Annual Report
INDEX COMPARISON
Thornburg New York Intermediate Municipal Fund | September 30, 2004 |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg New York Intermediate Municipal Fund Class A Total Returns, versus
Merrill Lynch 7-12 Year Municipal Bond Index and Consumer Price Index
(September 30, 1997 to September 30, 2004)
AVERAGE ANNUAL TOTAL RETURNS
For the periods ended September 30, 2004 (with sales charge)
Since | ||||||||||||||||
1 Yr | 5 Yrs | 10 Yrs | Inception | |||||||||||||
A Shares (Incep: 9/5/97) | 0.44 | % | 4.65 | % | N/A | 4.51 | % |
FUND ATTRIBUTES
as of September 30, 2004
Annualized | SEC | Maximum | ||||||||||||||
Dist. Rate (NAV) | Yield | NAV | Offering Price | |||||||||||||
A Shares (Incep: 9/5/97) | 3.16 | % | 1.96 | % | $ | 12.64 | $ | 12.90 |
Performance data reflect past performance, which is no guarantee of future results. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares.
Returns reflect the reinvestment of dividends and capital gains and the following sales charge: Class A Shares are sold with a maximum sales charge of 2.00%
The Consumer Price Index (“CPI”) measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. The CPI is also known as the cost-of-living index.
The Merrill Lynch 7-12 Year Municipal Bond Index represents a broad measure of market performance. It is a model portfolio of municipal obligations throughout the U.S., with an average maturity which ranges from seven to twelve years.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
The SEC Yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Funds’ shares at the end of the period.
The distribution rate is calculated by taking the sum of the month’s total distribution factors and dividing this sum by a 30-day period and annualizing to 360-day year. The value is then divided by the ending Net Asset Value (NAV) to arrive at the annualized distribution yield. The yield is calculated on a periodic basis and is subject to change depending on the Funds’ NAV and current distributions.
Certified Annual Report 19
TRUSTEES AND OFFICERS
Thornburg New York Intermediate Municipal Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
INTERESTED TRUSTEES(2)(4) | ||||
Garrett Thornburg, 58 Chairman of Trustees Trustee since 1987(3) | CEO, Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor) and Thornburg Securities Corporation (securities dealer); Chairman of Thornburg Limited Term Municipal Fund, Inc. (registered investment company) to 2004; CEO and Chairman of Thornburg Mortgage, Inc. (real estate investment trust); Chairman of Thornburg Mortgage Advisory Corporation (investment manager to Thornburg Mortgage, Inc.). | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Brian J. McMahon, 48 Trustee since 2001 President since 1997 (5)(6) | President and Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | None | ||
INDEPENDENT TRUSTEES(2)(4) | ||||
David A. Ater, 59 Trustee since 1994 | Principal in Ater & Ater Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner developer and broker for various real estate projects. | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
David D. Chase, 63 Trustee since 2000 | Chairman, President, CEO, and General Partner of Vestor Partners, LP, Santa Fe, NM (private equity fund); Chairman and CEO of Vestor Holdings, Inc., Santa Fe, NM (merchant bank). | Director of Thornburg Limited Term Municipal Fund, Inc. 2001-2004 | ||
Eliot R. Cutler, 58 Trustee since 2004 | Partner, Akin, Gump, Strauss, Hauer & Feld, LLP, Washington, D.C. (law firm) since November 2000; partner, Cutler & Stanfield, Washington, D.C. (law firm) until November 2000. | Director of Thornburg Limited Term Municipal Fund, Inc. to 2004; director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Susan H. Dubin, 55 Trustee since 2004 | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations; and formerly, Vice President of Chemical Bank (predecessor to JP Morgan Chase & Co.), New York, 1974-1996. | None | ||
Forrest S. Smith, 74 Trustee since 1987 | Trust and estate attorney, of counsel to Catron, Catron & Pottow, Santa Fe, NM (law firm). | None | ||
Owen D. Van Essen, 50 Trustee since 2004 | President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 45 Trustee since 1996 | Executive Vice President and Director to 2002, and since 2002; CEO and Vice Chairman, Nambé Mills, Inc., Santa Fe, NM (manufacturer). | None |
20 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED
Thornburg New York Intermediate Municipal Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(6)(7) | ||||
Dawn B. Fischer, 57 Secretary since 1987 | Secretary and Managing Director, Thornburg Investment Management, Inc.; Secretary, Thornburg Limited Term Municipal Fund, Inc. to 2004; Secretary, Thornburg Securities Corporation; Vice President, Daily Tax Free Income Fund, Inc. (registered investment company). | Not applicable | ||
Steven J. Bohlin, 45 Vice President, since 1987; Treasurer since 1989 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
George T. Strickland, 41 Vice President since 1996 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President (and Treasurer since 2003) of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
William V. Fries, 65 Vice President since 1995 | Vice President and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 37 Vice President since 2001 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999-2004. | Not applicable | ||
Kenneth Ziesenheim, 50 Vice President since 1995 | Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Securities Corporation; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Alexander Motola, 34 Vice President since 2001 | Managing Director of Thornburg Investment Management, Inc. since 2000; Portfolio Manager, Insight Capital Research & Management, Inc., Walnut Creek, California 1995-2000. | Not applicable | ||
Wendy Trevisani, 33 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 2000 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999-2002; Sales Representative, Solomon Smith Barney 1996-1999. | Not applicable | ||
Joshua Gonze, 41 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 1999 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Brad Kinkelaar, 36 Vice President since 1999 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 1999, Vice President since 2000, and Managing Director since 2004; Equity Investment Analyst, State Farm Insurance Companies 1996-1999. | Not applicable | ||
Kerry D. Lee, 37 Vice President since 1999 | Vice President of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable |
Certified Annual Report 21
TRUSTEES AND OFFICERS, CONTINUED
Thornburg New York Intermediate Municipal Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
Christopher Ihlefeld, 34 Vice President since 2003 | Associate Portfolio Manager since 1999; Vice President of Thornburg Investment Management, Inc. since 2002; Vice President of Limited Term Municipal Fund, Inc., 2003-2004. | Not applicable | ||
Leon Sandersfeld, 38 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2002; Senior Staff Accountant, Farm Bureau Life Insurance Co. 1998-2002. | Not applicable | ||
Sasha Wilcoxon, 30 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2000; and Mutual Fund Support Service Department Manager since 2002. | Not applicable | ||
Ed Maran, 46 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Analyst, USAA 2001-2002; Oil Analyst, A.G. Edwards 1997-2000. | Not applicable | ||
Vinson Walden, 34 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Associate Portfolio Manager, Ibis Management 2002-2004; Associate, Lehman Brothers, 1997-2001. | Not applicable |
(1) | Each person’s address is 119 East Marcy Street, Santa Fe, New Mexico 87501. | |||
(2) | The Fund is one of twelve separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. The Trust currently has twelve active Funds. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twelve funds of the Trust. Each Trustee oversees the twelve portfolios in the fund complex. | |||
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is a director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twelve active funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. | |||
(4) | Each Trustee serves in office until the election and qualification of a successor. | |||
(5) | Mr. McMahon is considered an “interested” Trustee because he is the president of Thornburg Investment Management, Inc. | |||
(6) | The Trust’s president, secretary and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. | |||
(7) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
22 Certified Annual Report
OTHER INFORMATION (UNAUDITED)
Thornburg New York Intermediate Municipal Fund | September 30, 2004 |
PORTFOLIO PROXY VOTING
The Trust has delegated to Thornburg Investment Management, Inc. (“the Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.
Commencing August 31, 2004, information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request, on the Thornburg website at www.thornburg.com and (ii) on the Securities and Exchange Commission’s website at www.sec.gov.
TAX INFORMATION
For the fiscal year ended September 30, 2004, 100% of dividends paid by the Fund are tax exempt dividends for Federal Income Tax purposes. The information and distributions reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2004.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund will file with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year, commencing with the calendar quarter ending December 31, 2004. The Fund’s Forms N-Q will be available on the Commission’s website at http://www.sec.gov, or may be copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
SHAREHOLDER MEETING INFORMATION
A special meeting (the “Meeting”) of the shareholders of Thornburg Investment Trust (the “Trust”) was held on September 13, 2004 at the offices of Thornburg Investment Management, Inc., 119 East Marcy Street, Santa Fe, New Mexico 87501. Thornburg New York Intermediate Municipal Fund is one of 12 active series or “Funds” of the Trust.
The shareholders of the Trust considered at the Meeting (i) the election of Trustees, and (ii) ratification of the selection of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm for the fiscal year (fiscal period commencing July 1, 2004 in the case of Thornburg New York Intermediate Municipal Fund) ending September 30, 2004.
The Trustees elected at the Meeting were Garrett Thornburg, David A. Ater, David D. Chase, Eliot R. Cutler, Susan H. Dubin, Brian J. McMahon, Owen D. Van Essen and James W. Weyhrauch. Forrest S. Smith, a Trustee since 1987 did not stand for election; his term of office will continue through the end of 2004, when he will retire in accordance with the Trust’s Bylaws. The shareholders also ratified the appointment of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm.
The voting results for the matters voted on are set out for each Fund as follows:
Election of Trustees
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Garrett Thornburg | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,772,086.332 | 692,014.443 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,202,049.716 | 217,551.648 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,555.521 | 114,080.445 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,255,221.686 | 81,237.603 | — | — | ||||||||||||
Thornburg Value Fund | 64,672,758.966 | 447,696.934 | — | — | ||||||||||||
Thornburg International Value Fund | 59,954,867.369 | 1,241,990.622 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,135,097.039 | 21,483.205 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,943.082 | 122,916.941 | — | — | ||||||||||||
Total: | 345,469,631.406 | 3,282,138.627 | — | — |
Certified Annual Report 23
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg New York Intermediate Municipal Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
David A. Ater | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,797,094.826 | 667,005.949 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,898.015 | 244,703.349 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,174.575 | 74,750.866 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,356,553.614 | 118,082.352 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,645.960 | 84,813.329 | — | — | ||||||||||||
Thornburg Value Fund | 64,673,309.598 | 447,696.934 | — | — | ||||||||||||
Thornburg International Value Fund | 60,746,833.041 | 450,024.950 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,132,382.888 | 24,197.356 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,615.730 | 120,243.993 | — | — | ||||||||||||
Total: | 346,235,149.064 | 2,517,171.301 | — | — | ||||||||||||
David D. Chase | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,792,336.993 | 671,763.782 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,107,955.251 | 64,970.190 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,243,684.887 | 92,774.402 | — | — | ||||||||||||
Thornburg Value Fund | 64,693,947.421 | 446,508.479 | — | — | ||||||||||||
Thornburg International Value Fund | 60,752,533.146 | 444,324.845 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,837,095.494 | 116,764.229 | — | — | ||||||||||||
Total: | 346,310,480.812 | 2,461,288.921 | — | — | ||||||||||||
Eliot R. Cutler | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,785,534.542 | 678,566.233 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,449,458.366 | 232,489.857 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,199,536.657 | 220,064.707 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,111,971.636 | 60,953.805 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,350,526.614 | 124,109.352 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,250,801.917 | 85,657.372 | — | — | ||||||||||||
Thornburg Value Fund | 64,599,511.493 | 520,944.407 | — | — | ||||||||||||
Thornburg International Value Fund | 60,724,718.843 | 472,139.148 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,134,780.624 | 21,799.620 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,832,732.499 | 121,127.224 | — | — | ||||||||||||
Total: | 346,159,119.642 | 2,592,650.361 | — | — | ||||||||||||
Susan H. Dubin | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,874.816 | 670,225.959 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,198,659.272 | 220,942.092 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,110,371.636 | 62,553.805 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,372,811.385 | 101,824.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,249,237.865 | 87,221.424 | — | — |
24 Certified Annual Report
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg New York Intermediate Municipal Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Value Fund | 64,679,778.577 | 440,677.323 | — | — | ||||||||||||
Thornburg International Value Fund | 60,742,583.265 | 454,274.726 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,454.801 | 120,404.922 | — | — | ||||||||||||
Total: | 346,285,090.525 | 2,466,679.208 | — | — | ||||||||||||
Brian J. McMahon | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,795,559.677 | 668,541.098 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,205,930.716 | 213,670.648 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,104,748.707 | 68,176.734 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 102,726.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,724.960 | 84,734.329 | — | — | ||||||||||||
Thornburg Value Fund | 64,681,039.437 | 439,416.463 | — | — | ||||||||||||
Thornburg International Value Fund | 60,010,455.736 | 1,186,402.255 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,131,956.015 | 24,624.229 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,227.440 | 120,632.283 | — | — | ||||||||||||
Total: | 345,556,209.517 | 3,195,560.216 | — | — | ||||||||||||
Owen D. Van Essen | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,348.831 | 670,751.944 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,730.914 | 244,870.450 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,708.092 | 74,217.349 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,248,394.246 | 88,065.043 | — | — | ||||||||||||
Thornburg Value Fund | 64,674,135.776 | 446,320.124 | — | — | ||||||||||||
Thornburg International Value Fund | 60,684,276.889 | 512,581.102 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,962.507 | 122,897.216 | — | — | ||||||||||||
Total: | 346,178,126.548 | 2,573,643.185 | — | — | ||||||||||||
James W. Weyhrauch | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,789,717.177 | 674,383.598 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 126,726.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,254,156.818 | 82,302.471 | — | — | ||||||||||||
Thornburg Value Fund | 64,683,895.944 | 436,559.906 | — | — | ||||||||||||
Thornburg International Value Fund | 60,726,245.097 | 470,612.894 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,836,311.264 | 117,548.459 | — | — | ||||||||||||
Total: | 346,278,127.848 | 2,497,641.885 | — | — |
Certified Annual Report 25
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg New York Intermediate Municipal Fund | September 30, 2004 |
Ratification of Selection of Independent Registered Public Accounting Firm
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Limited Term Municipal Fund | 89,266,423.303 | 430,123.930 | 767,553.542 | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,354,990.466 | 167,198.030 | 159,759.457 | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 27,957,900.165 | 174,857.659 | 286,893.540 | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,067,166.377 | 1,155.000 | 104,604.064 | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,911,733.415 | 6,868.306 | 9,157.121 | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,784,834.660 | 23,509.648 | 38,241.937 | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,583.780 | 33,945.016 | 80,017.170 | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,123,259.928 | 57,081.625 | 156,117.736 | — | ||||||||||||
Thornburg Value Fund | 64,569,333.454 | 212,238.433 | 338,884.013 | — | ||||||||||||
Thornburg International Value Fund | 60,444,286.231 | 343,771.766 | 408,700.994 | — | ||||||||||||
Thornburg Core Growth Fund | 6,110,013.492 | 32,603.465 | 13,963.287 | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,812,877.547 | 40,509.369 | 100,472.807 | — | ||||||||||||
Totals | 344,763,402.818 | 1,523,862.247 | 2,464,365.668 | — |
26 Certified Annual Report
Thornburg Limited Term Income Funds
September 30, 2004
Table of Contents
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42 | ||||
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46 | ||||
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
4 Certified Annual Report
Important Information
Performance data quoted represent the past and are no guarantee of future results. Current returns may be either lower or higher than those shown. Share prices and returns will fluctuate and investors may experience a loss upon redemption. There is no guarantee that the Fund will meet its objectives. Shares in the Fund carry risks, including possible loss of principal. The principal value of a bond fund will decrease when interest rates rise.
For the Thornburg Limited Term U.S. Government Fund, the maximum sales charge for Class A Shares is 1.50%. B shares carry a contingent deferred sales charge (CDSC), if redeemed within a year, of 5.00%; within two years, 4.25%; within three years, 3.50%; within four years, 2.75%; within five years, 2.00%; within six years, 1.25%; within seven years, 0.50%. There is no charge for redemption within the eighth year. C shares include a 0.50% CDSC for the first year only. There is no up front sales charge for R-1 shares.
For the Limited Term Income Fund, returns reflect the reinvestment of dividends and capital gains and the following sales charges: Class A Shares is 1.50%. C shares include a 0.50% contingent deferred sales charge (CDSC) for the first year only. There is no up front sales charge for R-1 shares.
For the most recent month-end performance information, visit www.thornburg.com.
The information presented on the following pages was current as of September 30, 2004. The manager’s views, portfolio holdings, and sector diversification are historical and subject to change. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each Fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any Fund to differ materially as compared to its benchmarks.
Glossary
The Lehman Brothers Intermediate Government/Credit Bond Index – An unmanaged, market-weighted index generally representative of intermediate government and investment-grade corporate debt securities having maturities of up to ten years.
The Lehman Brothers Intermediate Government Bond Index – An unmanaged, market-weighted index generally representative of all public obligations of the U.S. Government, its agencies and instrumentalities having maturities of up to ten years.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
Duration – The measure of the price sensitivity of a fixed-income security to an interest rate change of 100 basis points. Calculation is based on the weighted average of the present values for all cash flows.
Consumer Price Index (“CPI”) – Measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. The CPI is also known as the cost-of-living index.
Certified Annual Report 5
Letter to Shareholders
Steve Bohlin
Portfolio Manager
October 18, 2004
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, 2004. The net asset value of an A share of the Thornburg Limited Term Income Fund ended the period at $12.80. If you were invested for the entire period, you received dividends of 42.9 cents per share. If you reinvested your dividends, you received 43.5 cents per share. Investors who owned C shares received 39.5 and 40.1 cents per share, respectively. The net asset value of an A share of the Thornburg Limited Term U.S. Government Fund ended the year at $13.01. If you were invested for the entire period, you received dividends of 35.5 cents per share. If you reinvested your dividends, you received 35.9 cents per share. Investors who owned B shares received 20.8 and 20.9 cents per share, respectively. Investors who owned C shares received 31.4 and 31.8 cents per share, respectively. Please read the accompanying exhibits for more detailed information and history.
Interest rates on U.S. Treasuries generally rose during the last year. The 5-year Treasury yield rose from 2.86% to end the period at 3.38%. However, the market fluctuated widely in the interim. For example, the yield on a 5-year U.S. Treasury ranged between a high of 4.10% and a low of 2.65% over the period. Interest rates mostly rose through November before starting a downward trend through March. Market yields rose rapidly from April through June before starting a downward trend from June through September. There was also a flattening of the yield curve as shorter-term interest rates rose more than longer-term rates. Quality spreads (the additional yield on a corporate bond) contracted through December and have primarily remained at those lower levels through the remainder of the period.
Putting income and the change in price together, the A shares of the Thornburg Limited Term Income Fund produced a total return of 1.96% over the year, assuming a beginning-of-the-period investment at the net asset value. The Lehman Brothers Intermediate Government/Credit Index produced a 2.65% total return over the same time period. The A shares of the Thornburg Limited Term U.S. Government Fund produced a total return of 1.04% over the year, assuming a beginning-of-the-period investment at the net asset value. The Lehman Brothers Intermediate Government Index produced a 1.90% total return over the same time period. The Funds kept their maturities concentrated in the front years of the ladder. The flattening of the yield curve caused shorter-term bonds to underperform longer-term bonds. For example, the yield on a 3-year Treasury rose 100 basis points while the yield on a 10-year Treasury rose only 18 basis points. The Funds also shortened their average maturities in the second quarter of 2004 as interest rates rose and, therefore, had shorter durations than the indices during the rally that took place from June to September. Also, the Thornburg Limited Term Income Fund did not own some of the lower-rated credits represented in the Index. Some of these bonds benefited from the significant contraction in spreads to Treasuries on lower rated credits during the period. We have kept our durations shorter than the Indices thus far in 2004 because we believe doing so will improve the Funds’ return relative to the Indices if interest rates continue to rise.
6 Certified Annual Report
After reaching their highs for the year in June 2004, interest rates have fallen, even though the Federal Reserve Board has been raising the Fed Funds Rate. This has caused a flattening of the yield curve as short rates need to rise to keep up with the Fed, but long rates have actually fallen since the start of the tightening cycle. The continued rise in the price of oil has market participants convinced that the economy will slow down. This, coupled with moderate job growth, has some people convinced that long-term interest rate scenarios are benign. It is interesting to note that the increase in employment has averaged 142,000 per month since last September.
It remains to be seen if the rise in oil prices will, in fact, slow the U.S. economy. Other aspects of the U.S. economy have continued increasing as the U.S. moves away from the last recession: the GDP growth has been relatively robust, and an increase in household wealth appears to be sustaining spending in this cycle, not evident in earlier cycles. That may be due to the ease of taking money out of assets, especially houses through mortgage refinancing. A huge influx of foreign investments has helped, pushing down interest rates and boosting asset values. Over the past three years, foreigners have purchased over $675 billion in corporate bonds, over $700 billion of Treasuries, and $575 billion in Agency securities. This has helped corporate spreads as well. There has been a large improvement in credit spreads on corporate bonds over the last few years, but that improvement has moderated over the last six months, as quality spreads are now at levels last seen in 1998.
Given the uptick in inflation, the Fed Funds Rate is still very adaptive. If strong GDP growth continues and employment is rising, the last ingredient for the Fed staying accommodative is low inflation. The year-over-year change in the Consumer Price Index is 2.5%. The members of the Federal Open Market Committee have stated that they do not believe that inflation is much of a problem right now. Indeed, a 2.5% change in inflation is within the tolerances that the Fed has stated as its price stability goal. But the upward move in the “core inflation” numbers is eye-catching, as it may portend further increases in the rate of inflation. However, even if this 2.5% level holds, that means an investor is paying the U.S. Treasury to borrow their money, because the U.S. Treasury can pay the loan back with inflated dollars. They currently can borrow for one year at 2.1% and pay back the loan with dollars that are worth 2.5% less. An investor needs to venture further out the yield curve to reach a level that pays more than the rate of inflation.
It appears evident that the Fed will maintain their “measured pace”; the lost jobs are slowly being replaced; the economy is growing at a steady pace; and inflation is moderate. Eventually, the Fed Funds Rate needs to be at a neutral level, which would be at least the rate of inflation. Any marked increase in the pace of these data will cause the Fed to accelerate their “pace.” Unless inflation slows remarkably, the current level of the 10-year Treasury is not justified. We are cognizant of this as we invest these portfolios.
The Thornburg Limited Term Income Fund and the Thornburg Limited Term U.S. Government Fund are laddered portfolios of short-to-intermediate bonds. 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 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.
Certified Annual Report 7
Letter to Shareholders
continued
Intermediate bonds have proven to be a sensible part of a portfolio. They can provide stability to the underlying principal, and they can provide income for the portfolio, and over the years, they have provided an attractive return versus money market instruments.
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.
Sincerely,
Steve Bohlin
Portfolio Manager
8 Certified Annual Report
STATEMENTS OF ASSETS AND LIABILITIES
Thornburg Limited Term Income Funds | September 30, 2004 |
Limited Term U.S. | Limited Term | |||||||
Government Fund | Income Fund | |||||||
ASSETS | ||||||||
Investments at value (cost $219,401,181 and $377,883,579 respectively) | $ | 219,794,226 | $ | 386,039,073 | ||||
Cash | 399,008 | 214,771 | ||||||
Receivable for investments sold | 0 | 519,749 | ||||||
Principal receivable | 11,346 | 0 | ||||||
Receivable for fund shares sold | 1,257,852 | 1,768,631 | ||||||
Interest receivable | 1,800,559 | 3,968,622 | ||||||
Prepaid expenses and other assets | 56,634 | 70,779 | ||||||
Total Assets | 223,319,625 | 392,581,625 | ||||||
LIABILITIES | ||||||||
Payable for securities purchased | 0 | 4,050,000 | ||||||
Payable for fund shares redeemed | 376,828 | 1,328,867 | ||||||
Accounts payable and accrued expenses | 54,543 | 109,029 | ||||||
Payable to investment advisor and other affiliates (Note 3) | 143,188 | 231,384 | ||||||
Dividends payable | 88,189 | 272,552 | ||||||
Total Liabilities | 662,748 | 5,991,832 | ||||||
NET ASSETS | $ | 222,656,877 | $ | 386,589,793 | ||||
NET ASSETS CONSIST OF: | ||||||||
Undistributed (distribution in excess of) net investment income | $ | 181,257 | $ | 195,289 | ||||
Net unrealized appreciation (depreciation) on investments | 393,045 | 8,155,755 | ||||||
Accumulated net realized (gain) loss | (742,946 | ) | (3,078,191 | ) | ||||
Net capital paid in on shares of beneficial interest | 222,825,521 | 381,316,940 | ||||||
$ | 222,656,877 | $ | 386,589,793 | |||||
NET ASSET VALUE: | ||||||||
Class A Shares: | ||||||||
Net asset value and redemption price per share ($163,529,723 and $230,255,792 applicable to 12,568,446 and 17,983,751 shares of beneficial interest outstanding — Note 4) | $ | 13.01 | $ | 12.80 | ||||
Maximum sales charge, 1.50% of offering price | 0.20 | 0.19 | ||||||
Maximum Offering Price Per Share | $ | 13.21 | $ | 12.99 | ||||
Class B Shares: | ||||||||
Net asset value, offering and redemption price per share* ($2,395,971 applicable to 184,576 shares of beneficial interest outstanding — Note 4) | $ | 12.98 | $ | 0 | ||||
Certified Annual Report 9
STATEMENTS OF ASSETS AND LIABILITIES, CONTINUED
Thornburg Limited Term Income Funds | September 30, 2004 |
Limited Term U.S. | Limited Term | |||||||
Government Fund | Income Fund | |||||||
Class C Shares: | ||||||||
Net asset value and offering price per share * ($43,404,372 and $65,398,041 applicable to 3,315,659 and 5,116,053 shares of beneficial interest outstanding — Note 4) | $ | 13.09 | $ | 12.78 | ||||
Class I Shares: | ||||||||
Net asset value, offering and redemption price per share ($12,905,006 and $90,025,014 applicable to 992,058 and 7,030,930 shares of beneficial interest outstanding — Note 4) | $ | 13.01 | $ | 12.80 | ||||
Class R-1 Shares: | ||||||||
Net asset value, offering and redemption price per share ($421,805 and $910,946 applicable to 32,397 and 71,120 shares of beneficial interest outstanding — Note 4) | $ | 13.02 | $ | 12.81 | ||||
* Redemption price per share is equal to net asset value less any applicable contingent deferred sales charges.
See notes to financial statements.
10 Certified Annual Report
STATEMENTS OF OPERATIONS
Thornburg Limited Term Income Funds | Year Ended September 30, 2004 |
Limited Term U.S. | Limited Term | |||||||
Government Fund | Income Fund | |||||||
INVESTMENT INCOME: | ||||||||
Interest income (net of premium amortized of $2,186,854 and $1,381,058 respectively) | $ | 8,370,660 | $ | 15,396,032 | ||||
EXPENSES: | ||||||||
Investment advisory fees (Note 3) | 863,926 | 1,784,799 | ||||||
Administration fees (Note 3) | ||||||||
Class A Shares | 207,108 | 265,816 | ||||||
Class B Shares | 3,200 | 0 | ||||||
Class C Shares | 62,108 | 76,933 | ||||||
Class I Shares | 6,159 | 41,261 | ||||||
Class R-1 Shares | 160 | 298 | ||||||
Distribution and service fees (Note 3) | ||||||||
Class A Shares | 345,974 | 481,910 | ||||||
Class B Shares | 25,614 | |||||||
Class C Shares | 496,812 | 615,555 | ||||||
Class R-1 Shares | 655 | 1,221 | ||||||
Transfer agent fees | ||||||||
Class A Shares | 147,670 | 220,090 | ||||||
Class B Shares | 17,896 | |||||||
Class C Shares | 65,475 | 75,072 | ||||||
Class I Shares | 21,129 | 42,275 | ||||||
Class R-1 Shares | 2,481 | 1,693 | ||||||
Registration and filing fees | ||||||||
Class A Shares | 14,280 | 12,624 | ||||||
Class B Shares | 10,960 | |||||||
Class C Shares | 9,006 | 9,014 | ||||||
Class I Shares | 8,311 | 8,260 | ||||||
Class R-1 Shares | 13,436 | 13,483 | ||||||
Custodian fees (Note 3) | 128,994 | 171,139 | ||||||
Professional fees | 29,063 | 69,075 | ||||||
Accounting fees | 22,420 | 26,225 | ||||||
Trustee fees | 6,079 | 9,367 | ||||||
Other expenses | 64,276 | 97,551 | ||||||
Total Expenses | 2,573,192 | 4,023,661 | ||||||
Less: | ||||||||
Expenses reimbursed by investment advisor (Note 3) | (59,784 | ) | (288,358 | ) | ||||
Distribution and service fees waived (Note 3) | (246,051 | ) | (303,878 | ) | ||||
Fees paid indirectly (Note 3) | (5,164 | ) | (5,439 | ) | ||||
Net Expenses | 2,262,193 | 3,425,986 | ||||||
Net Investment Income | $ | 6,108,467 | $ | 11,970,046 | ||||
Certified Annual Report 11
STATEMENTS OF OPERATIONS, CONTINUED
Thornburg Limited Term Income Funds | Year Ended September 30, 2004 |
Limited Term U.S. | Limited Term | |||||||
Government Fund | Income Fund | |||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||
Net Realized Gain (Loss) on: | ||||||||
Investments | $ | 2,572,794 | $ | (1,203,824 | ) | |||
Foreign currency transactions | 0 | 6,191 | ||||||
2,572,794 | (1,197,633 | ) | ||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investments | (6,634,413 | ) | (3,680,211 | ) | ||||
Foreign currency translation | 0 | (1,009 | ) | |||||
(6,634,413 | ) | (3,681,220 | ) | |||||
Net Realized and Unrealized Gain (Loss) on Investments | (4,061,619 | ) | (4,878,853 | ) | ||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 2,046,848 | $ | 7,091,193 | ||||
See notes to financial statements.
12 Certified Annual Report
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Limited Term U.S. Government Fund
Year Ended | Year Ended | |||||||
September 30, 2004 | September 30, 2003 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 6,108,467 | $ | 7,983,017 | ||||
Net realized gain (loss) on investments sold | 2,572,794 | 4,695,491 | ||||||
Increase (Decrease) in unrealized appreciation of investments | (6,634,413 | ) | (5,709,054 | ) | ||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,046,848 | 6,969,454 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (4,505,818 | ) | (6,174,157 | ) | ||||
Class B Shares | (42,140 | ) | (50,597 | ) | ||||
Class C Shares | (1,193,563 | ) | (1,378,892 | ) | ||||
Class I Shares | (363,591 | ) | (379,370 | ) | ||||
Class R-1 Shares | (3,340 | ) | (1 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | (10,449,346 | ) | 21,836,105 | |||||
Class B Shares | (628,485 | ) | 3,080,205 | |||||
Class C Shares | (11,845,239 | ) | 25,756,540 | |||||
Class I Shares | 19,693 | 6,129,775 | ||||||
Class R-1 Shares | 421,885 | 76 | ||||||
Net Increase (Decrease) in Net Assets | (26,543,096 | ) | 55,789,138 | |||||
NET ASSETS: | ||||||||
Beginning of year | 249,199,973 | 193,410,835 | ||||||
End of year | $ | 222,656,877 | $ | 249,199,973 | ||||
See notes to financial statements.
Certified Annual Report 13
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Limited Term Income Fund
Year Ended | Year Ended | |||||||
September 30, 2004 | September 30, 2003 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 11,970,046 | $ | 9,222,797 | ||||
Net realized gain (loss) on investments sold | (1,197,633 | ) | 1,075,205 | |||||
Increase (Decrease) in unrealized appreciation of investments and foreign currency translation | (3,681,220 | ) | 2,954,124 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 7,091,193 | 13,252,126 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (7,103,088 | ) | (5,571,809 | ) | ||||
Class C Shares | (1,897,482 | ) | (1,505,535 | ) | ||||
Class I Shares | (3,012,694 | ) | (2,145,452 | ) | ||||
Class R-1 Shares | (8,104 | ) | (1 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 48,582,688 | 77,437,936 | ||||||
Class C Shares | 11,375,293 | 23,908,108 | ||||||
Class I Shares | 31,761,582 | 19,271,605 | ||||||
Class R-1 Shares | 903,829 | 76 | ||||||
Net Increase (Decrease) in Net Assets | 87,693,217 | 124,647,054 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 298,896,576 | 174,249,522 | ||||||
End of year | $ | 386,589,793 | $ | 298,896,576 | ||||
See notes to financial statements.
14 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS
Thornburg Limited Term Income Funds | September 30, 2004 |
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 ten series of shares of beneficial interest in addition to those of the Funds: Thornburg Limited Term Municipal Fund, Thornburg California Limited Term Municipal Fund, Thornburg Florida Intermediate Municipal Fund, Thornburg New York Intermediate Municipal Fund, Thornburg New Mexico Intermediate Municipal Fund, Thornburg Intermediate Municipal Fund, Thornburg Value Fund, Thornburg International Value Fund, Thornburg Core Growth Fund, and Thornburg Investment Income Builder Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Funds’ objectives are to obtain as high a level of current income as is consistent with the preservation of capital.
The Government Fund currently offers five classes of shares of beneficial interest, Class A, Class B, Class C, Institutional Class (Class I), and Retirement Class (Class R-1) shares. The Income Fund currently offers four classes of shares of beneficial interest, Class A, Class C, Institutional Class (Class I), and Retirement Class (Class R-1) shares. Each class of shares of a fund represents an interest in the same portfolio of investments of that 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 B shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption and bear both a service fee and distribution fee, (iii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption and bear both a service fee and a distribution fee, (iv) Class I shares are sold at net asset value without a sales charge at the time of purchase, (v) Class R-1 shares are sold at net asset value without a sales charge, but bear both a service fee and a distribution fee, and (vi) 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 service and distribution fees, administrative fees and certain registration and 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, normally 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 approximates market value.
Federal Income Taxes: It is the policy of the Funds to comply with the provisions of the Internal Revenue code applicable to “regulated investment companies” and to distribute all of their taxable income, including any net realized gain on investments, to its shareholders. Therefore, no provision for Federal income taxes is required.
When-Issued and Delayed Delivery Transactions: The Funds may engage in when-issued or delayed delivery transactions. To the extent the Funds engage in such transactions, they will do so for the purpose of acquiring portfolio securities consistent with their investment objectives and not for the purpose of investment leverage or to speculate on interest rate changes. At the time the Funds make a commitment to purchase a security on a when-issued basis, they will record the transaction and reflect the value in determining each 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 at least annually.
General: Securities transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums
Certified Annual Report 15
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Income Funds | September 30, 2004 |
and 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. Net investment income, other than class specific expenses, and realized and unrealized gains and losses, are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current share activity of the respective class). Expenses common to all funds are allocated among the funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
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 Income 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 Income Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid.
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
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 “Advisor”) serves as the investment advisor and performs services to the Funds for which the fees are payable at the end of each month. For the year ended September 30, 2004, these fees were payable at annual rates ranging from .375 of 1% to .275 of 1% of the average daily net assets of the Government Fund and .50 of 1% to .275 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 Advisor, whereby the Advisor 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 .125 of 1% of the average daily net assets attributable to Class A, Class B, Class C, and Class R-1 shares, and up to .05 of 1% of the average daily net assets attributable to Class I shares. For the year ended September 30, 2004, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and Distribution Fees of $19,171, $11,847, $12,584, and $16,182 for the Class B, C, I, and R-1 shares, respectively, of the Government Fund and $157,475, $77,983, $37,056, and $15,844 for the Class A, C, I, and R-1 shares, respectively, of the Income Fund.
The Funds have underwriting agreements with Thornburg Securities Corporation (the “Distributor,” an affiliate of the advisor), which acts as the distributor of each Fund’s shares. For the year ended September 30, 2004, the Distributor has advised the Funds that it earned net commissions aggregating $1,972 and $1,098 from the sales of Class A shares of the Government Fund and Income Fund, respectively, and collected contingent deferred sales charges aggregating $15,528 and $18,084 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, the Funds may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of its average daily net assets attributable to the Class A, Class B, Class C, and Class R-1 shares of the Funds for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder related services. The Advisor may pay out of its own resources additional expenses for distribution of each Fund’s shares.
The Funds have also adopted distribution plans pursuant to Rule 12b-1, applicable to each Fund’s Class B, Class C, and Class R-1 shares under which the Funds compensate the Distributor for services in promoting the sale of Class B, C, and R-1 shares of the Funds at an annual rate of up to .75 of 1% of
16 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Income Funds | September 30, 2004 |
the average daily net assets attributable to these classes. Total fees incurred by each class of shares of the Funds under their respective service and distribution plans for the year ended September 30, 2004 are set forth in the Statements of Operations. Distribution fees of $246,051 and $303,908 respectively for Class C shares of the Government Fund and Income Fund were waived.
The Funds have an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by each fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees have been adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the Statements of Operations. For the year ended September 30, 2004, the fees paid indirectly were $5,164 and $5,439 for the Government Fund and Income Fund respectively.
Certain officers and trustees of the Trust are also officers and/or directors of the Advisor and Distributor. The compensation of unaffiliated trustees is borne by the Trust.
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At September 30, 2004 there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
GOVERNMENT FUND
Year Ended | Year Ended | |||||||||||||||
September 30, 2004 | September 30, 2003 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 3,221,701 | $ | 42,079,302 | 7,033,728 | $ | 93,088,730 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 258,973 | 3,377,519 | 352,071 | 4,651,838 | ||||||||||||
Shares repurchased | (4,285,525 | ) | (55,906,167 | ) | (5,757,412 | ) | (75,904,463 | ) | ||||||||
Net Increase (Decrease) | (804,851 | ) | $ | (10,449,346 | ) | 1,628,387 | $ | 21,836,105 | ||||||||
Class B Shares | ||||||||||||||||
Shares sold | 78,261 | $ | 1,011,694 | 265,526 | $ | 3,519,557 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 1,992 | 25,958 | 2,704 | 35,753 | ||||||||||||
Shares repurchased | (128,014 | ) | (1,666,137 | ) | (35,893 | ) | (475,105 | ) | ||||||||
Net Increase (Decrease) | (47,761 | ) | $ | (628,485 | ) | 232,337 | $ | 3,080,205 | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 728,926 | $ | 9,584,018 | 2,733,738 | $ | 36,415,998 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 67,056 | 880,006 | 83,795 | 1,113,966 | ||||||||||||
Shares repurchased | (1,700,988 | ) | (22,309,263 | ) | (887,516 | ) | (11,773,424 | ) | ||||||||
Net Increase (Decrease) | (905,006 | ) | $ | (11,845,239 | ) | 1,930,017 | $ | 25,756,540 | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 415,995 | $ | 5,417,464 | 808,309 | $ | 10,671,009 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 23,453 | 305,738 | 24,410 | 322,502 | ||||||||||||
Shares repurchased | (436,875 | ) | (5,703,509 | ) | (367,766 | ) | (4,863,736 | ) | ||||||||
Net Increase (Decrease) | 2,573 | $ | 19,693 | 464,953 | $ | 6,129,775 | ||||||||||
Class R-1 Shares | ||||||||||||||||
Shares sold | 33,177 | $ | 432,173 | 6 | $ | 75 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 186 | 2,416 | — | 1 | ||||||||||||
Shares repurchased | (972 | ) | (12,704 | ) | — | — | ||||||||||
Net Increase (Decrease) | 32,391 | $ | 421,885 | 6 | $ | 76 | ||||||||||
Certified Annual Report 17
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Income Funds | September 30, 2004 |
INCOME FUND
Year Ended | Year Ended | |||||||||||||||
September 30, 2004 | September 30, 2003 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 7,793,807 | $ | 99,954,867 | 8,212,612 | $ | 105,632,467 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 403,134 | 5,160,648 | 317,279 | 4,076,963 | ||||||||||||
Shares repurchased | (4,413,893 | ) | (56,532,827 | ) | (2,518,725 | ) | (32,271,494 | ) | ||||||||
Net Increase (Decrease) | 3,783,048 | $ | 48,582,688 | 6,011,166 | $ | 77,437,936 | ||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 2,147,268 | $ | 27,537,572 | 2,753,770 | $ | 35,318,563 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 100,334 | 1,282,321 | 83,893 | 1,076,023 | ||||||||||||
Shares repurchased | (1,365,887 | ) | (17,444,600 | ) | (973,489 | ) | (12,486,478 | ) | ||||||||
Net Increase (Decrease) | 881,715 | $ | 11,375,293 | 1,864,174 | $ | 23,908,108 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 4,876,662 | $ | 62,615,919 | 2,435,755 | $ | 31,247,349 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 214,441 | 2,744,433 | 150,329 | 1,931,913 | ||||||||||||
Shares repurchased | (2,637,669 | ) | (33,598,770 | ) | (1,080,571 | ) | (13,907,657 | ) | ||||||||
Net Increase (Decrease) | 2,453,434 | $ | 31,761,582 | 1,505,513 | $ | 19,271,605 | ||||||||||
Class R-1 Shares | ||||||||||||||||
Shares sold | 71,754 | $ | 911,924 | 6 | $ | 75 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 223 | 2,855 | — | 1 | ||||||||||||
Shares repurchased | (863 | ) | (10,950 | ) | — | — | ||||||||||
Net Increase (Decrease) | 71,114 | $ | 903,829 | 6 | $ | 76 | ||||||||||
NOTE 5 – SECURITIES TRANSACTIONS
For the year ended September 30, 2004, portfolio purchase and sale transactions (excluding short-term securities) were $30,660,612 and $61,569,919 for the Government Fund and $164,766,639 and $77,345,639 for the Income Fund, respectively.
NOTE 6 – INCOME TAXES
At September 30, 2004, information on the tax components of capital is as follows:
Government Fund | Income Fund | |||||||
Cost of investments for tax purpose | $ | 219,401,181 | $ | 377,891,566 | ||||
Gross unrealized appreciation on a tax basis | $ | 2,151,001 | $ | 9,486,517 | ||||
Gross unrealized depreciation on a tax basis | (1,757,956 | ) | (1,338,749 | ) | ||||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 393,045 | $ | 8,147,507 | ||||
Distributable Earnings ordinary income | $ | 195,092 | $ | 224,841 | ||||
18 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Income Funds | September 30, 2004 |
At September 30, 2004, the Government Fund had tax basis capital losses, which may be carried over to offset future capital gains. Such losses expire as follows:
2009 | $ | 729,335 | ||
2010 | 13,611 | |||
$ | 742,946 | |||
At September 30, 2004, the Income Fund had tax basis capital losses, which may be carried over to offset future capital gains. Such losses expire as follows:
2008 | $ | 497,824 | ||
2009 | 650,941 | |||
2010 | 308,333 | |||
$ | 1,457,098 | |||
The Government Fund utilized $2,474,887 and the Income Fund utilized $182,795 of capital loss carry forwards for the year ended September 30, 2004. Unutilized tax basis capital losses may be carried forward to offset realized gains in future years. To the extent such carry forwards are used, capital gains distributions may be reduced to the extent provided by regulations.
During the year ended September 30, 2004, $43,183 of capital loss carry forwards from prior years expired for the Income Fund.
As of September 30, 2004, the Income Fund had deferred capital losses occurring subsequent to October 31, 2003 of $1,613,106. For tax purposes, such losses will be reflected in the year ending September 30, 2005.
In order to account for book/tax differences, The Government Fund increased undistributed net investment income (loss) by $97,907 and increased accumulated net realized (loss) by $97,907. The Income Fund increased undistributed net investment income (loss) by $240,665, increased accumulated net realized (loss) by $197,482, and decreased net paid in capital paid in on shares of beneficial interest by $43,183. This reclass has no impact on the net asset value of the Fund. Reclassifications result primarily from foreign currency, paydowns, and an expired capital loss carry forward.
For tax purposes, distributions for the years ended September 30, 2004 and September 30, 2003, were paid from ordinary income.
Certified Annual Report 19
FINANCIAL HIGHLIGHTS
Thornburg Limited Term U.S. Government Fund
Year Ended September 30, | ||||||||||||||||||||
Class A Shares: | 2004 | 2003 | 2002 | 2001 | 2000 | |||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||
(for a share outstanding throughout the year) | ||||||||||||||||||||
Net asset value, beginning of year | $ | 13.23 | $ | 13.27 | $ | 12.77 | $ | 12.03 | $ | 12.06 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.35 | 0.47 | 0.58 | 0.67 | 0.68 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.22 | ) | (0.04 | ) | 0.50 | 0.74 | (0.03 | ) | ||||||||||||
Total from investment operations | 0.13 | 0.43 | 1.08 | 1.41 | 0.65 | |||||||||||||||
Less dividends from: | ||||||||||||||||||||
Net investment income | (0.35 | ) | (0.47 | ) | (0.58 | ) | (0.67 | ) | (0.68 | ) | ||||||||||
Change in net asset value | (0.22 | ) | (0.04 | ) | 0.50 | 0.74 | (0.03 | ) | ||||||||||||
NET ASSET VALUE, end of year | $ | 13.01 | $ | 13.23 | $ | 13.27 | $ | 12.77 | $ | 12.03 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Total return (a) | 1.04 | % | 3.29 | % | 8.75 | % | 12.02 | % | 5.58 | % | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 2.72 | % | 3.53 | % | 4.53 | % | 5.39 | % | 5.69 | % | ||||||||||
Expenses, after expense reductions | 0.92 | % | 0.92 | % | 0.93 | % | 0.99 | % | 0.98 | % | ||||||||||
Expenses, after expense reductions and net of custody credits | 0.91 | % | 0.90 | % | 0.92 | % | — | — | ||||||||||||
Expenses, before expense reductions | 0.92 | % | 0.92 | % | 0.93 | % | 0.99 | % | 0.99 | % | ||||||||||
Portfolio turnover rate | 12.39 | % | 35.06 | % | 4.34 | % | 15.23 | % | 19.66 | % | ||||||||||
Net assets at end of year (000) | $ | 163,530 | $ | 176,876 | $ | 155,864 | $ | 105,348 | $ | 87,616 |
(a) Sales loads are not reflected in computing total return.
20 Certified Annual Report
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Limited Term U.S. Government Fund
Year Ended | Period Ended | |||||||
September 30, | September 30, | |||||||
Class B Shares: | 2004 | 2003(c) | ||||||
PER SHARE PERFORMANCE (for a share outstanding throughout the period) | ||||||||
Net asset value, beginning of period | $ | 13.22 | $ | 13.12 | ||||
Income from investment operations | ||||||||
Net investment income | 0.21 | 0.37 | ||||||
Net realized and unrealized gain (loss) on investments | (0.24 | ) | 0.10 | |||||
Total from investment operations | (0.03 | ) | 0.47 | |||||
Less dividends from: | ||||||||
Net investment income | (0.21 | ) | (0.37 | ) | ||||
Change in net asset value | (0.24 | ) | 0.10 | |||||
NET ASSET VALUE, end of period | $ | 12.98 | $ | 13.22 | ||||
RATIOS/SUPPLEMENTAL DATA | ||||||||
Total return (a) | (0.24 | )% | 3.60 | % | ||||
Ratios to average net assets: | ||||||||
Net investment income | 1.65 | % | 2.93 | % (b) | ||||
Expenses, after expense reductions | 1.99 | % | 1.35 | % (b) | ||||
Expenses, after expense reductions and net of custody credits | 1.99 | % | 1.33 | % (b) | ||||
Expenses, before expense reductions | 2.74 | % | 3.32 | % (b) | ||||
Portfolio turnover rate | 12.39 | % | 35.06 | % | ||||
Net assets at end of period (000) | $ | 2,396 | $ | 3,073 |
(a) | Not annualized for periods less than one year. | |||
(b) | Annualized. | |||
(c) | Effective date of Class B Shares was November 1, 2002. |
Certified Annual Report 21
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Limited Term U.S. Government Fund
Year Ended September 30, | ||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||
Class C Shares: | ||||||||||||||||||||
PER SHARE PERFORMANCE (for a share outstanding throughout the year) | ||||||||||||||||||||
Net asset value, beginning of year | $ | 13.31 | $ | 13.35 | $ | 12.85 | $ | 12.10 | $ | 12.12 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.31 | 0.43 | 0.54 | 0.62 | 0.63 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.22 | ) | (0.04 | ) | 0.50 | 0.75 | (0.02 | ) | ||||||||||||
Total from investment operations | 0.09 | 0.39 | 1.04 | 1.37 | 0.61 | |||||||||||||||
Less dividends from: | ||||||||||||||||||||
Net investment income | (0.31 | ) | (0.43 | ) | (0.54 | ) | (0.62 | ) | (0.63 | ) | ||||||||||
Change in net asset value | (0.22 | ) | (0.04 | ) | 0.50 | 0.75 | (0.02 | ) | ||||||||||||
NET ASSET VALUE, end of year | $ | 13.09 | $ | 13.31 | $ | 13.35 | $ | 12.85 | $ | 12.10 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Total return | 0.73 | % | 2.96 | % | 8.33 | % | 11.60 | % | 5.23 | % | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 2.40 | % | 3.14 | % | 4.13 | % | 4.89 | % | 5.26 | % | ||||||||||
Expenses, after expense reductions | 1.24 | % | 1.24 | % | 1.28 | % | 1.41 | % | 1.40 | % | ||||||||||
Expenses, after expense reductions and net of custody credits | 1.24 | % | 1.22 | % | 1.27 | % | — | — | ||||||||||||
Expenses, before expense reductions | 1.76 | % | 1.76 | % | 1.78 | % | 2.01 | % | 2.11 | % | ||||||||||
Portfolio turnover rate | 12.39 | % | 35.06 | % | 4.34 | % | 15.23 | % | 19.66 | % | ||||||||||
Net assets at end of year (000) | $ | 43,404 | $ | 56,166 | $ | 30,587 | $ | 12,704 | $ | 5,098 |
22 Certified Annual Report
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Limited Term U.S. Government Fund
Year Ended September 30, | ||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||
Class I Shares: | ||||||||||||||||||||
PER SHARE PERFORMANCE (for a share outstanding throughout the year) | ||||||||||||||||||||
Net asset value, beginning of year | $ | 13.22 | $ | 13.27 | $ | 12.77 | $ | 12.03 | $ | 12.05 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.39 | 0.51 | 0.62 | 0.72 | 0.72 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.21 | ) | (0.05 | ) | 0.50 | 0.74 | (0.02 | ) | ||||||||||||
Total from investment operations | 0.18 | 0.46 | 1.12 | 1.46 | 0.70 | |||||||||||||||
Less dividends from: | ||||||||||||||||||||
Net investment income | (0.39 | ) | (0.51 | ) | (0.62 | ) | (0.72 | ) | (0.72 | ) | ||||||||||
Change in net asset value | (0.21 | ) | (0.05 | ) | 0.50 | 0.74 | (0.02 | ) | ||||||||||||
NET ASSET VALUE, end of year | $ | 13.01 | $ | 13.22 | $ | 13.27 | $ | 12.77 | $ | 12.03 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Total return | 1.37 | % | 3.51 | % | 9.11 | % | 12.45 | % | 6.07 | % | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 2.95 | % | 3.77 | % | 4.86 | % | 5.79 | % | 6.06 | % | ||||||||||
Expenses, after expense reductions | 0.67 | % | 0.64 | % | 0.61 | % | 0.61 | % | 0.60 | % | ||||||||||
Expenses, after expense reductions and net of custody credits | 0.67 | % | 0.62 | % | 0.60 | % | — | — | ||||||||||||
Expenses, before expense reductions | 0.77 | % | 0.82 | % | 1.04 | % | 1.21 | % | 1.08 | % | ||||||||||
Portfolio turnover rate | 12.39 | % | 35.06 | % | 4.34 | % | 15.23 | % | 19.66 | % | ||||||||||
Net assets at end of year (000) | $ | 12,905 | $ | 13,085 | $ | 6,960 | $ | 3,992 | $ | 3,819 |
Certified Annual Report 23
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Limited Term U.S. Government Fund
Year Ended | Period Ended | |||||||
September 30, | September 30, | |||||||
2004 | 2003(c) | |||||||
Class R-1 Shares: | ||||||||
PER SHARE PERFORMANCE (for a share outstanding throughout the period) | ||||||||
Net asset value, beginning of period | $ | 13.23 | $ | 13.38 | ||||
Income from investment operations: | ||||||||
Net investment income | 0.37 | 0.17 | ||||||
Net realized and unrealized gain (loss) on investments | (0.21 | ) | (0.15 | ) | ||||
Total from investment operations | 0.16 | 0.02 | ||||||
Less dividends from: | ||||||||
Net investment income | (0.37 | ) | (0.17 | ) | ||||
Change in net asset value | (0.21 | ) | (0.15 | ) | ||||
NET ASSET VALUE, end of period | $ | 13.02 | $ | 13.23 | ||||
RATIOS/SUPPLEMENTAL DATA | ||||||||
Total return (a) | 1.26 | % | 0.19 | % | ||||
Ratios to average net assets: | ||||||||
Net investment income | 2.62 | % | 5.07 | %(b) | ||||
Expenses, after expense reductions | 0.91 | % | 1.15 | %(b) | ||||
Expenses, after expense reductions and net of custody credits | 0.91 | % | 1.15 | %(b) | ||||
Expenses, before expense reductions | 13.56 | % | 41,652.81 | %(b)* | ||||
Portfolio turnover rate | 12.39 | % | 35.06 | % | ||||
Net assets at end of period (000) | $ | 422 | $ | — | (d) |
(a) | Not annualized for periods less than one year. | |||
(b) | Annualized. | |||
(c) | Effective date of Class R-1 Shares was July 1, 2003. | |||
(d) | Net assets at end of year were less than $1,000. | |||
* | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
24 Certified Annual Report
FINANCIAL HIGHLIGHTS
Thornburg Limited Term Income Fund
Year Ended September 30, | ||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||
Class A Shares: | ||||||||||||||||||||
PER SHARE PERFORMANCE (for a share outstanding throughout the year) | ||||||||||||||||||||
Net asset value, beginning of year | $ | 12.99 | $ | 12.79 | $ | 12.55 | $ | 11.89 | $ | 11.93 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.43 | 0.51 | 0.61 | 0.73 | 0.73 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.19 | ) | 0.20 | 0.24 | 0.66 | (0.04 | ) | |||||||||||||
Total from investment operations | 0.24 | 0.71 | 0.85 | 1.39 | 0.69 | |||||||||||||||
Less dividends from: | ||||||||||||||||||||
Net investment income | (0.43 | ) | (0.51 | ) | (0.61 | ) | (0.73 | ) | (0.73 | ) | ||||||||||
Change in net asset value | (0.19 | ) | 0.20 | 0.24 | 0.66 | (0.04 | ) | |||||||||||||
NET ASSET VALUE, end of year | $ | 12.80 | $ | 12.99 | $ | 12.79 | $ | 12.55 | $ | 11.89 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Total return (a) | 1.96 | % | 5.56 | % | 7.05 | % | 12.05 | % | 6.05 | % | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 3.33 | % | 3.91 | % | 4.88 | % | 5.94 | % | 6.21 | % | ||||||||||
Expenses, after expense reductions | 0.99 | % | 0.99 | % | 0.99 | % | 1.00 | % | 0.99 | % | ||||||||||
Expenses, after expense reductions and net of custody credits | 0.99 | % | 0.99 | % | 0.99 | % | — | — | ||||||||||||
Expenses, before expense reductions | 1.07 | % | 1.04 | % | 1.10 | % | 1.16 | % | 1.21 | % | ||||||||||
Portfolio turnover rate | 22.73 | % | 18.86 | % | 21.63 | % | 20.54 | % | 59.46 | % | ||||||||||
Net assets at end of year (000) | $ | 230,256 | $ | 184,497 | $ | 104,710 | $ | 56,036 | $ | 31,520 |
(a) | Sales loads are not reflected in computing total return. |
Certified Annual Report 25
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Limited Term Income Fund
Year Ended September 30, | ||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||
Class C Shares: | ||||||||||||||||||||
PER SHARE PERFORMANCE (for a share outstanding throughout the year) | ||||||||||||||||||||
Net asset value, beginning of year | $ | 12.97 | $ | 12.77 | $ | 12.53 | $ | 11.87 | $ | 11.91 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.40 | 0.46 | 0.56 | 0.68 | 0.68 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.19 | ) | 0.20 | 0.24 | 0.66 | (0.04 | ) | |||||||||||||
Total from investment operations | 0.21 | 0.66 | 0.80 | 1.34 | 0.64 | |||||||||||||||
Less dividends from: | ||||||||||||||||||||
Net investment income | (0.40 | ) | (0.46 | ) | (0.56 | ) | (0.68 | ) | (0.68 | ) | ||||||||||
Change in net asset value | (0.19 | ) | 0.20 | 0.24 | 0.66 | (0.04 | ) | |||||||||||||
NET ASSET VALUE, end of year | $ | 12.78 | $ | 12.97 | $ | 12.77 | $ | 12.53 | $ | 11.87 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Total return | 1.70 | % | 5.20 | % | 6.63 | % | 11.61 | % | 5.62 | % | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 3.07 | % | 3.56 | % | 4.45 | % | 5.52 | % | 5.81 | % | ||||||||||
Expenses, after expense reductions | 1.25 | % | 1.33 | % | 1.39 | % | 1.41 | % | 1.40 | % | ||||||||||
Expenses, after expense reductions and net of custody credits | 1.24 | % | 1.33 | % | 1.39 | % | — | — | ||||||||||||
Expenses, before expense reductions | 1.87 | % | 1.92 | % | 1.93 | % | 2.13 | % | 2.26 | % | ||||||||||
Portfolio turnover rate | 22.73 | % | 18.86 | % | 21.63 | % | 20.54 | % | 59.46 | % | ||||||||||
Net assets at end of year (000) | $ | 65,398 | $ | 54,926 | $ | 30,258 | $ | 15,219 | $ | 7,272 |
26 Certified Annual Report
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Limited Term Income Fund
Year Ended September 30, | ||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||
Class I Shares: | ||||||||||||||||||||
PER SHARE PERFORMANCE (for a share outstanding throughout the year) | ||||||||||||||||||||
Net asset value, beginning of year | $ | 12.99 | $ | 12.79 | $ | 12.55 | $ | 11.90 | $ | 11.93 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.47 | 0.55 | 0.65 | 0.77 | 0.77 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.19 | ) | 0.20 | 0.24 | 0.65 | (0.03 | ) | |||||||||||||
Total from investment operations | 0.28 | 0.75 | 0.89 | 1.42 | 0.74 | |||||||||||||||
Less dividends from: | ||||||||||||||||||||
Net investment income | (0.47 | ) | (0.55 | ) | (0.65 | ) | (0.77 | ) | (0.77 | ) | ||||||||||
Change in net asset value | (0.19 | ) | 0.20 | 0.24 | 0.65 | (0.03 | ) | |||||||||||||
NET ASSET VALUE, end of year | $ | 12.80 | $ | 12.99 | $ | 12.79 | $ | 12.55 | $ | 11.90 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Total return | 2.29 | % | 5.89 | % | 7.38 | % | 12.29 | % | 6.46 | % | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 3.64 | % | 4.23 | % | 5.19 | % | 6.24 | % | 6.54 | % | ||||||||||
Expenses, after expense reductions | 0.67 | % | 0.69 | % | 0.69 | % | 0.70 | % | 0.69 | % | ||||||||||
Expenses, after expense reductions and net of custody credits | 0.67 | % | 0.69 | % | 0.69 | % | — | — | ||||||||||||
Expenses, before expense reductions | 0.72 | % | 0.76 | % | 0.78 | % | 0.89 | % | 1.00 | % | ||||||||||
Portfolio turnover rate | 22.73 | % | 18.86 | % | 21.63 | % | 20.54 | % | 59.46 | % | ||||||||||
Net assets at end of year (000) | $ | 90,025 | $ | 59,473 | $ | 39,281 | $ | 24,298 | $ | 12,094 |
Certified Annual Report 27
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Limited Term Income Fund
Year Ended | Period Ended | |||||||
September 30, | September 30, | |||||||
2004 | 2003(c) | |||||||
Class R-1 Shares: | ||||||||
PER SHARE PERFORMANCE (for a share outstanding throughout the period) | ||||||||
Net asset value, beginning of period | $ | 12.99 | $ | 13.10 | ||||
Income from investment operations: | ||||||||
Net investment income | 0.45 | 0.17 | ||||||
Net realized and unrealized gain (loss) on investments | (0.18 | ) | (0.11 | ) | ||||
Total from investment operations | 0.27 | 0.06 | ||||||
Less dividends from: | ||||||||
Net investment income | (0.45 | ) | (0.17 | ) | ||||
Change in net asset value | (0.18 | ) | (0.11 | ) | ||||
NET ASSET VALUE, end of period | $ | 12.81 | $ | 12.99 | ||||
RATIOS/SUPPLEMENTAL DATA | ||||||||
Total return (a) | 2.14 | % | 0.48 | % | ||||
Ratios to average net assets: | ||||||||
Net investment income | 3.41 | % | 5.19 | %(b) | ||||
Expenses, after expense reductions | 0.98 | % | 1.25 | %(b) | ||||
Expenses, after expense reductions and net of custody credits | 0.98 | % | 1.25 | %(b) | ||||
Expenses, before expense reductions | 7.63 | % | 41,534.94 | %(b)* | ||||
Portfolio turnover rate | 22.73 | % | 18.86 | % | ||||
Net assets at end of period (000) | $ | 911 | $ | — | (d) |
(a) | Not annualized for periods less than one year. | |||
(b) | Annualized. | |||
(c) | Effective date of Class R-1 Shares was July 1, 2003. | |||
(d) | Net assets at end of year were less than $1,000. | |||
* | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
28 Certified Annual Report
SCHEDULE OF INVESTMENTS
Thornburg Limited Term U.S. Government Fund | September 30, 2004 |
CUSIPS: CLASS A — 885-215-103, CLASS B — 885-215-848, CLASS C — 885-215-830, CLASS I — 885-215-699, CLASS R-1 — 885-215-491
NASDAQ SYMBOLS: CLASS A — LTUSX, CLASS B — LTUBX, CLASS C — LTUCX, CLASS I — LTUIX, CLASS R-1 — LTURX
Principal | ||||||||
Amount | Issuer-Description | Value | ||||||
U.S. GOVERNMENT AGENCIES (48.20%) | ||||||||
$ | 900,000 | Federal Agricultural Mortgage Corp., 5.86% due 3/3/2006 | $ | 942,021 | ||||
1,000,000 | Federal Agricultural Mortgage Corp., 8.07% due 7/17/2006 | 1,093,530 | ||||||
200,000 | Federal Agricultural Mortgage Corp., 6.71% due 7/28/2014 | 232,687 | ||||||
4,650,000 | Federal Farm Credit Bank, 1.875% due 1/16/2007 | 4,542,173 | ||||||
350,000 | Federal Farm Credit Bank, 6.75% due 7/7/2009 | 397,856 | ||||||
1,900,000 | Federal Farm Credit Bank Consolidated MTN, 5.875% due 7/28/2008 | 2,074,169 | ||||||
1,300,000 | Federal Farm Credit Bank Consolidated MTN, 5.87% due 9/2/2008 | 1,419,941 | ||||||
200,000 | Federal Farm Credit Bank Consolidated MTN, 5.35% due 12/11/2008 | 214,830 | ||||||
300,000 | Federal Farm Credit Bank Consolidated MTN, 5.80% due 3/19/2009 | 328,107 | ||||||
240,000 | Federal Farm Credit Bank Consolidated MTN, 6.06% due 5/28/2013 | 266,817 | ||||||
265,000 | Federal Home Loan Bank, 6.55% due 3/7/2005 | 270,160 | ||||||
100,000 | Federal Home Loan Bank, 6.345% due 11/1/2005 | 104,256 | ||||||
225,000 | Federal Home Loan Bank, 5.24% due 12/7/2005 | 232,424 | ||||||
100,000 | Federal Home Loan Bank, 5.37% due 1/20/2006 | 103,702 | ||||||
3,000,000 | Federal Home Loan Bank, 2.25% due 5/15/2006 | 2,981,365 | ||||||
200,000 | Federal Home Loan Bank, 7.76% due 11/21/2006 | 220,146 | ||||||
150,000 | Federal Home Loan Bank, 7.00% due 2/15/2008 | 168,234 | ||||||
1,250,000 | Federal Home Loan Bank, 5.48% due 1/8/2009 | 1,348,256 | ||||||
1,000,000 | Federal Home Loan Bank, 5.985% due 4/9/2009 | 1,100,657 | ||||||
200,000 | Federal Home Loan Bank, 5.79% due 4/27/2009 | 218,560 | ||||||
1,750,000 | Federal Home Loan Bank, 3.00% due 4/29/2009 | 1,745,592 | ||||||
5,000,000 | Federal Home Loan Bank Consolidated Discount Notes, 1.62% due 10/1/2004 | 5,000,000 | ||||||
13,000,000 | Federal Home Loan Bank Consolidated Discount Notes, 1.61% due 10/4/2004 | 12,998,256 | ||||||
3,000,000 | Federal Home Loan Bank Consolidated Discount Notes, 1.65% due 10/6/2004 | 2,999,313 | ||||||
10,500,000 | Federal Home Loan Bank Consolidated Discount Notes, 1.63% due 10/7/2004 | 10,497,147 | ||||||
75,000 | Federal Home Loan Mortgage Corp., 5.98% due 12/8/2005 | 78,144 | ||||||
300,000 | Federal Home Loan Mortgage Corp., 6.80% due 3/19/2007 | 327,508 | ||||||
500,000 | Federal Home Loan Mortgage Corp., 3.80% due 10/15/2008 | 500,373 | ||||||
5,000,000 | Federal Home Loan Mortgage Corp., 2.29% due 6/2/2009 | 4,997,975 | ||||||
101,754 | Federal Home Loan Mortgage Corp., Pool # 141016, 9.25% due 11/1/2016 | 113,527 | ||||||
197,619 | Federal Home Loan Mortgage Corp., Pool # 141412, 8.50% due 4/1/2017 | 215,272 | ||||||
22,641 | Federal Home Loan Mortgage Corp., Pool # 160043, 8.75% due 4/1/2008 | 23,826 | ||||||
28,130 | Federal Home Loan Mortgage Corp., Pool # 181730, 8.50% due 5/1/2008 | 29,259 | ||||||
44,089 | Federal Home Loan Mortgage Corp., Pool # 252986, 10.75% due 4/1/2010 | 48,994 | ||||||
21,711 | Federal Home Loan Mortgage Corp., Pool # 256764, 8.75% due 10/1/2014 | 22,872 | ||||||
6,433 | Federal Home Loan Mortgage Corp., Pool # 260486, 9.00% due 1/1/2010 | 6,668 | ||||||
109,774 | Federal Home Loan Mortgage Corp., Pool # 273822, 8.50% due 4/1/2009 | 114,180 | ||||||
4,686 | Federal Home Loan Mortgage Corp., Pool # 291880, 8.25% due 5/1/2017 | 4,848 | ||||||
67,129 | Federal Home Loan Mortgage Corp., Pool # 294817, 9.75% due 1/1/2017 | 76,085 | ||||||
28,762 | Federal Home Loan Mortgage Corp., Pool # 298107, 10.25% due 8/1/2017 | 33,055 | ||||||
89,577 | Federal Home Loan Mortgage Corp., Pool # 770297, 3.625% due 6/1/2018 | 90,186 | ||||||
72,011 | Federal Home Loan Mortgage Corp., Pool # C90041, 6.50% due 11/1/2013 | 75,744 | ||||||
10,139 | Federal Home Loan Mortgage Corp., Pool # D06907, 9.00% due 4/1/2017 | 10,842 | ||||||
10,001 | Federal Home Loan Mortgage Corp., Pool # D06908, 9.50% due 9/1/2017 | 10,728 | ||||||
92,772 | Federal Home Loan Mortgage Corp., Pool # D37120, 7.00% due 7/1/2023 | 98,962 | ||||||
75,759 | Federal Home Loan Mortgage Corp., Pool # E00170, 8.00% due 7/1/2007 | 79,297 | ||||||
52,490 | Federal Home Loan Mortgage Corp., Pool # E49074, 6.50% due 7/1/2008 | 55,596 | ||||||
72,040 | Federal Home Loan Mortgage Corp., Pool # E61778, 6.50% due 4/1/2008 | 76,303 |
Certified Annual Report 29
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term U.S. Government Fund | September 30, 2004 |
Principal | ||||||||
Amount | Issuer-Description | Value | ||||||
$ | 7,180 | Federal Home Loan Mortgage Corp., Pool # E65962, 7.00% due 5/1/2008 | $ | 7,630 | ||||
133,490 | Federal Home Loan Mortgage Corp. CMO Series 2137 Class TM, 6.50% due 1/15/2028 | 136,185 | ||||||
2,239,332 | Federal Home Loan Mortgage Corp. CMO Series 2603 Class TN, 4.00% due 10/15/2011 | 2,246,051 | ||||||
2,995,837 | Federal Home Loan Mortgage Corp. CMO Series 2814 Class GB, 5.00% due 6/15/2019 | 2,989,673 | ||||||
2,000,000 | Federal Home Loan Mortgage Discount Notes, 1.66% due 10/12/2004 | 1,998,986 | ||||||
750,000 | Federal National Mortgage Association, 2.15% due 7/21/2006 | 742,843 | ||||||
108,884 | Federal National Mortgage Association, Pool # 008307, 8.00% due 5/1/2008 | 114,219 | ||||||
11,377 | Federal National Mortgage Association, Pool # 019535, 10.25% due 7/1/2008 | 12,267 | ||||||
96,041 | Federal National Mortgage Association, Pool # 033356, 9.25% due 8/1/2016 | 104,927 | ||||||
6,882 | Federal National Mortgage Association, Pool # 040526, 9.25% due 1/1/2017 | 7,224 | ||||||
92,968 | Federal National Mortgage Association, Pool # 044003, 8.00% due 6/1/2017 | 100,667 | ||||||
80,118 | Federal National Mortgage Association, Pool # 050811, 7.50% due 12/1/2012 | 85,183 | ||||||
108,442 | Federal National Mortgage Association, Pool # 050832, 7.50% due 6/1/2013 | 115,275 | ||||||
113,759 | Federal National Mortgage Association, Pool # 076388, 9.25% due 9/1/2018 | 125,460 | ||||||
48,630 | Federal National Mortgage Association, Pool # 077725, 9.75% due 10/1/2018 | 52,302 | ||||||
267,578 | Federal National Mortgage Association, Pool # 100286, 7.50% due 8/1/2009 | 281,416 | ||||||
59,581 | Federal National Mortgage Association, Pool # 112067, 9.50% due 10/1/2016 | 67,085 | ||||||
80,957 | Federal National Mortgage Association, Pool # 156156, 8.50% due 4/1/2021 | 86,370 | ||||||
62,400 | Federal National Mortgage Association, Pool # 190555, 7.00% due 1/1/2014 | 66,013 | ||||||
62,006 | Federal National Mortgage Association, Pool # 190703, 7.00% due 3/1/2009 | 65,944 | ||||||
144,610 | Federal National Mortgage Association, Pool # 190836, 7.00% due 6/1/2009 | 153,795 | ||||||
110,085 | Federal National Mortgage Association, Pool # 250387, 7.00% due 11/1/2010 | 117,146 | ||||||
82,849 | Federal National Mortgage Association, Pool # 250481, 6.50% due 11/1/2015 | 87,191 | ||||||
68,815 | Federal National Mortgage Association, Pool # 251258, 7.00% due 9/1/2007 | 71,981 | ||||||
150,174 | Federal National Mortgage Association, Pool # 251759, 6.00% due 5/1/2013 | 157,994 | ||||||
382,579 | Federal National Mortgage Association, Pool # 252648, 6.50% due 5/1/2022 | 402,350 | ||||||
37,274 | Federal National Mortgage Association, Pool # 252787, 7.00% due 8/1/2006 | 38,727 | ||||||
105,502 | Federal National Mortgage Association, Pool # 303383, 7.00% due 12/1/2009 | 112,204 | ||||||
125,417 | Federal National Mortgage Association, Pool # 312663, 7.50% due 6/1/2010 | 133,824 | ||||||
184,908 | Federal National Mortgage Association, Pool # 323706, 7.00% due 2/1/2009 | 196,652 | ||||||
3,068,804 | Federal National Mortgage Association, Pool # 323735, 5.50% due 5/1/2006 | 3,148,881 | ||||||
104,751 | Federal National Mortgage Association, Pool # 334996, 7.00% due 2/1/2011 | 111,470 | ||||||
647,041 | Federal National Mortgage Association, Pool # 342947, 7.25% due 4/1/2024 | 693,395 | ||||||
58,861 | Federal National Mortgage Association, Pool # 345775, 8.50% due 12/1/2024 | 62,758 | ||||||
82,629 | Federal National Mortgage Association, Pool # 373942, 6.50% due 12/1/2008 | 87,596 | ||||||
305,695 | Federal National Mortgage Association, Pool # 382889, 7.595% due 12/1/2010 | 339,402 | ||||||
339,957 | Federal National Mortgage Association, Pool # 382926, 7.615% due 12/1/2010 | 377,690 | ||||||
624,198 | Federal National Mortgage Association, Pool # 384243, 6.303% due 10/1/2011 | 672,158 | ||||||
1,069,375 | Federal National Mortgage Association, Pool # 384746, 5.86% due 2/1/2009 | 1,152,351 | ||||||
3,216,351 | Federal National Mortgage Association, Pool # 385714, 4.70% due 1/1/2010 | 3,308,038 | ||||||
315,009 | Federal National Mortgage Association, Pool # 406384, 8.25% due 12/1/2024 | 341,914 | ||||||
275,969 | Federal National Mortgage Association, Pool # 443909, 6.50% due 9/1/2018 | 291,000 | ||||||
3,500,000 | Federal National Mortgage Association, Pool # 460568, 5.20% due 12/1/2006 | 3,634,974 | ||||||
292,915 | Federal National Mortgage Association, Pool # 516363, 5.00% due 3/1/2014 | 298,968 | ||||||
250,071 | Federal National Mortgage Association, Pool # 555207, 7.00% due 11/1/2017 | 265,955 | ||||||
216,638 | Federal National Mortgage Association CMO Series 1992-22 Class HC, 7.00% due 3/25/2007 | 223,173 | ||||||
750,000 | Federal National Mortgage Association CMO Series 1993-101 Class PJ, 7.00% due 6/25/2008 | 786,667 | ||||||
250,000 | Federal National Mortgage Association CMO Series 1993-122 Class D, 6.50% due 6/25/2023 | 257,362 | ||||||
263,218 | Federal National Mortgage Association CMO Series 1993-32 Class H, 6.00% due 3/25/2023 | 272,573 | ||||||
809,088 | Federal National Mortgage Association CMO Series G1993-35 Class JD, 6.50% due 11/25/2006 | 831,538 | ||||||
3,000,000 | Federal National Mortgage Association CPI Floating Rate, 4.406% due 2/17/2009 | 3,014,040 | ||||||
97,052 | Government National Mortgage Association, Pool # 000623, 8.00% due 9/20/2016 | 105,723 | ||||||
100,972 | Government National Mortgage Association, Pool # 016944, 7.50% due 5/15/2007 | 108,987 | ||||||
20,633 | Government National Mortgage Association, Pool # 296697, 9.50% due 10/15/2005 | 21,266 |
30 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term U.S. Government Fund | September 30, 2004 |
Principal | ||||||||
Amount | Issuer-Description | Value | ||||||
$ | 46,403 | Government National Mortgage Association, Pool # 306636, 8.25% due 12/15/2006 | $ | 48,334 | ||||
155,844 | Government National Mortgage Association, Pool # 369693, 7.00% due 1/15/2009 | 166,668 | ||||||
107,113 | Government National Mortgage Association, Pool # 409921, 7.50% due 8/15/2010 | 114,795 | ||||||
72,092 | Government National Mortgage Association, Pool # 410240, 7.00% due 12/15/2010 | 77,054 | ||||||
62,992 | Government National Mortgage Association, Pool # 410271, 7.50% due 8/15/2010 | 67,509 | ||||||
117,552 | Government National Mortgage Association, Pool # 410846, 7.00% due 12/15/2010 | 125,643 | ||||||
101,693 | Government National Mortgage Association, Pool # 430150, 7.25% due 12/15/2026 | 109,830 | ||||||
53,249 | Government National Mortgage Association, Pool # 447040, 7.75% due 5/15/2027 | 58,165 | ||||||
136,276 | Government National Mortgage Association, Pool # 453928, 7.00% due 7/15/2017 | 146,246 | ||||||
45,514 | Government National Mortgage Association, Pool # 780063, 7.00% due 9/15/2008 | 48,675 | ||||||
214,628 | Government National Mortgage Association, Pool # 780448, 6.50% due 8/15/2011 | 229,141 | ||||||
2,627,009 | Government National Mortgage Association CMO Series 2001-65 Class PG, 6.00% due 7/20/2028 | 2,676,375 | ||||||
470,020 | Government National Mortgage Association CMO Series 2002-67 Class VA, 6.00% due 3/20/2013 | 490,107 | ||||||
880,413 | Government National Mortgage Association CMO Series 2003-31 Class YA, 4.00% due 5/16/2021 | 883,891 | ||||||
2,168,534 | Government National Mortgage Association CMO Series 2003-67 Class PN, 4.00% due 11/20/2020 | 2,181,754 | ||||||
2,625,600 | Overseas Private Investment Corp., 4.10% due 11/15/2014 | 2,643,218 | ||||||
1,000,000 | Private Export Funding Corp., 4.974% due 8/15/2013 | 1,033,765 | ||||||
3,000,000 | Tennessee Valley Authority, 4.75% due 8/1/2013 | 3,056,343 | ||||||
1,681,768 | United States Government General Services, 7.62% due 9/15/2010 | 1,862,558 | ||||||
Total U.S. Government Agencies (Cost $104,815,159) | 105,895,977 | |||||||
UNITED STATES TREASURY (51.80%) | ||||||||
10,000,000 | United States Treasury Notes, 1.50% due 2/28/2005 | 9,984,375 | ||||||
4,900,000 | United States Treasury Notes, 6.50% due 5/15/2005 | 5,033,219 | ||||||
4,500,000 | United States Treasury Notes, 6.50% due 8/15/2005 | 4,668,750 | ||||||
7,000,000 | United States Treasury Notes, 5.75% due 11/15/2005 | 7,270,156 | ||||||
3,000,000 | United States Treasury Notes, 5.625% due 2/15/2006 | 3,134,062 | ||||||
5,500,000 | United States Treasury Notes, 4.625% due 5/15/2006 | 5,690,781 | ||||||
2,000,000 | United States Treasury Notes, 7.00% due 7/15/2006 | 2,155,938 | ||||||
2,890,000 | United States Treasury Notes, 2.375% due 8/15/2006 | 2,880,969 | ||||||
9,000,000 | United States Treasury Notes, 4.375% due 5/15/2007 | 9,360,000 | ||||||
4,000,000 | United States Treasury Notes, 6.125% due 8/15/2007 | 4,358,750 | ||||||
10,000,000 | United States Treasury Notes, 2.625% due 5/15/2008 | 9,857,812 | ||||||
10,000,000 | United States Treasury Notes, 5.50% due 5/15/2009 | 10,956,250 | ||||||
15,000,000 | United States Treasury Notes, 6.50% due 2/15/2010 | 17,219,532 | ||||||
6,000,000 | United States Treasury Notes, 5.75% due 8/15/2010 | 6,690,937 | ||||||
15,000,000 | United States Treasury Notes, 3.625% due 5/15/2013 | 14,636,718 | ||||||
Total United States Treasury (Cost $114,586,022) | 113,898,249 | |||||||
TOTAL INVESTMENTS (100%) (Cost $219,401,181) | $ | 219,794,226 | ||||||
See notes to financial statements.
TYPE OF HOLDINGS
Certified Annual Report 31
SCHEDULE OF INVESTMENTS
Thornburg Limited Term Income Fund | September 30, 2004 |
CUSIPS: CLASS A — 885-215-509, CLASS C — 885-215-764, CLASS I — 885-215-681, CLASS R-1 — 885-215-483
NASDAQ SYMBOLS: CLASS A — THIFX, CLASS C — THICX, CLASS I — THIIX, CLASS R-1 - THIRX
Principal | Credit Rating† | |||||||||
Amount* | Issuer-Description | Moody’s/S&P | Value | |||||||
U.S. TREASURY SECURITIES - 3.90% | ||||||||||
$ | 1,100,000 | United States Treasury Notes, 6.50% due 5/15/2005 | Aaa/AAA | $ | 1,129,906 | |||||
4,500,000 | United States Treasury Notes, 4.625% due 5/15/2006 | Aaa/AAA | 4,656,094 | |||||||
1,500,000 | United States Treasury Notes, 4.75% due 11/15/2008 | Aaa/AAA | 1,590,703 | |||||||
2,500,000 | United States Treasury Notes, 5.75% due 8/15/2010 | Aaa/AAA | 2,787,891 | |||||||
5,000,000 | United States Treasury Notes, 3.625% due 5/15/2013 | Aaa/AAA | 4,878,906 | |||||||
Total U.S. Treasury Securities (Cost $14,703,249) | 15,043,500 | |||||||||
U.S. GOVERNMENT AGENCIES - 9.60% | ||||||||||
70,000 | Export Funding Trust Series 1994-A Pass Through Certificate, 7.89% due 2/15/2005 | Aaa/AAA | 71,083 | |||||||
710,000 | Federal Farm Credit Bank, 5.96% due 6/16/2008 | Aaa/AAA | 776,169 | |||||||
50,000 | Federal Home Loan Bank, 6.00% due 8/25/2005 | Aaa/AAA | 51,662 | |||||||
2,000,000 | Federal Home Loan Bank, 2.25% due 5/15/2006 | Aaa/AAA | 1,987,577 | |||||||
150,000 | Federal Home Loan Bank, 4.875% due 5/15/2007 | Aaa/AAA | 157,118 | |||||||
500,000 | Federal Home Loan Bank, 5.833% due 1/23/2008 | Aaa/AAA | 541,782 | |||||||
75,000 | Federal Home Loan Bank, 5.785% due 4/14/2008 | Aaa/AAA | 81,374 | |||||||
300,000 | Federal Home Loan Bank, 5.835% due 7/15/2008 | Aaa/AAA | 326,690 | |||||||
480,000 | Federal Home Loan Bank, 5.48% due 9/22/2008 | Aaa/AAA | 517,224 | |||||||
250,000 | Federal Home Loan Bank, 5.085% due 10/7/2008 | Aaa/AAA | 265,746 | |||||||
200,000 | Federal Home Loan Bank, 5.038% due 10/14/2008 | Aaa/AAA | 212,252 | |||||||
75,000 | Federal Home Loan Bank, 5.365% due 12/11/2008 | Aaa/AAA | 80,543 | |||||||
85,000 | Federal Home Loan Bank, 5.985% due 4/9/2009 | Aaa/AAA | 93,556 | |||||||
1,650,000 | Federal Home Loan Bank, 3.00% due 10/21/2009 | Aaa/AAA | 1,651,042 | |||||||
5,000,000 | Federal Home Loan Mortgage Corp., 2.29% due 6/2/2009 | Aaa/AAA | 4,997,975 | |||||||
4,901 | Federal Home Loan Mortgage Corp., Pool # 850082, 9.00% due 10/1/2005 | Aaa/AAA | 5,019 | |||||||
2,995,837 | Federal Home Loan Mortgage Corp. CMO Series 2814 Class GB, 5.00% due 6/15/2019 | Aaa/AAA | 2,989,673 | |||||||
6,495,000 | Federal National Mortgage Association, 2.00% due 12/15/2006 | Aaa/AAA | 6,499,048 | |||||||
3,500,000 | Federal National Mortgage Association, 2.50% due 1/24/2008 | Aaa/AAA | 3,507,368 | |||||||
39,724 | Federal National Mortgage Association, Pool # 020155, 7.491% due 8/1/2014 | Aaa/AAA | 40,767 | |||||||
134,950 | Federal National Mortgage Association, Pool # 190534, 6.00% due 12/1/2008 | Aaa/AAA | 141,809 | |||||||
36,907 | Federal National Mortgage Association, Pool # 297033, 8.00% due 12/1/2009 | Aaa/AAA | 39,275 | |||||||
71,580 | Federal National Mortgage Association, Pool # 303777, 7.00% due 3/1/2011 | Aaa/AAA | 76,172 | |||||||
582,303 | Federal National Mortgage Association, Pool # 382398, 8.00% due 5/1/2011 | Aaa/AAA | 662,082 | |||||||
2,411,599 | Federal National Mortgage Association, Pool # 383398, 6.42% due 4/1/2011 | Aaa/AAA | 2,615,850 | |||||||
473,105 | Federal National Mortgage Association, Pool # 384471, 5.185% due 11/1/2008 | Aaa/AAA | 496,097 | |||||||
128,628 | Federal National Mortgage Association, Pool # 384521, 5.095% due 12/1/2011 | Aaa/AAA | 134,163 | |||||||
800,000 | Federal National Mortgage Association, Pool # 460568, 5.20% due 12/1/2006 | Aaa/AAA | 830,851 | |||||||
5,000,000 | Federal National Mortgage Association CPI Floating Rate, 4.406% due 2/17/2009 | Aaa/AAA | 5,023,400 | |||||||
29,964 | Government National Mortgage Association, Pool # 003007, 8.50% due 11/20/2015 | Aaa/AAA | 32,568 | |||||||
41,856 | Government National Mortgage Association, Pool # 827148, 3.375% due 2/20/2024 | Aaa/AAA | 42,424 | |||||||
2,203,235 | Government National Mortgage Association CMO Series 2003-67 Class PN, 4.00% due 11/20/2020 | Aaa/AAA | 2,216,666 | |||||||
Total U.S. Government Agencies (Cost $36,769,460) | 37,165,025 | |||||||||
ASSET BACKED SECURITIES - 0.20% | ||||||||||
572,171 | Associates Manufactured Housing Trust 1996-1 A5, 7.60% due 3/15/2027 | Aaa/AAA | 592,031 | |||||||
49,301 | Bank of America Mortgage Secs Inc. Series 02-7, Class-2A4, 5.75% due 8/25/2032 | Aaa/NA | 49,214 | |||||||
227,894 | CNH Equipment Trust, 2.01% due 7/17/2006 | Aaa/AAA | 228,008 |
32 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||
Amount* | Issuer-Description | Moody’s/S&P | Value | |||||||
$ | 89,863 | Washington Mutual Series 02-AR10, Class-A6, 4.816% due 10/25/2032 | Aaa/AAA | $ | 90,393 | |||||
Total Asset Backed Securities (Cost $954,153) | 959,646 | |||||||||
CORPORATE BONDS - 62.90% | ||||||||||
BANKS | ||||||||||
1,675,000 | Bank of America Corp., 4.375% due 12/1/2010 | Aa2/A+ | 1,687,913 | |||||||
1,665,000 | Capital One Bank, 6.70% due 5/15/2008 | Baa2/BBB- | 1,824,922 | |||||||
2,500,000 | Fifth Third Bank, Cincinnati Ohio, 3.375% due 8/15/2008 | Aa1/AA- | 2,477,432 | |||||||
700,000 | HSBC USA Inc., 8.375% due 2/15/2007 | A1/A+ | 779,915 | |||||||
2,500,000 | Marshall & Ilsley Corp., 2.625% due 2/9/2007 | Aa3/A+ | 2,473,665 | |||||||
1,000,000 | Mercantile Bancorp, 7.30% due 6/15/2007 | A1/A | 1,100,459 | |||||||
250,000 | Nations Bank Corp. Medium Term Note, 7.23% due 8/15/2012 | Aa2/A+ | 290,170 | |||||||
500,000 | Northern Trust Co. Medium Term Note, 6.25% due 6/2/2008 | A1/A+ | 546,325 | |||||||
95,000 | PNC Funding Corp., 6.875% due 7/15/2007 | A3/BBB+ | 103,675 | |||||||
2,200,000 | Suntrust Bank Atlanta Georgia Medium Term Note, 2.50% due 5/4/2006 | Aa2/AA- | 2,193,765 | |||||||
120,000 | Union Planters Corp., 6.75% due 11/1/2005 | A2/A- | 125,276 | |||||||
385,000 | US Bank, 5.625% due 11/30/2005 | Aa2/AA- | 398,990 | |||||||
400,000 | US Bank, 6.30% due 7/15/2008 | Aa3/A+ | 438,271 | |||||||
14,440,778 | ||||||||||
CAPITAL GOODS | ||||||||||
250,000 | Caterpillar Financial Services Corp., 6.40% due 2/15/2008 | A2/A | 267,659 | |||||||
800,000 | Emerson Electric Co., 5.75% due 11/1/2011 | A2/A | 873,080 | |||||||
600,000 | Gatx Capital Corp., 6.875% due 11/1/2004 | Baa3/BBB- | 602,183 | |||||||
229,405 | General American Railcar Corp., 6.69% due 9/20/2016 | A3/AA- | 232,415 | |||||||
1,000,000 | Hubbell Inc., 6.375% due 5/15/2012 | A3/A+ | 1,093,769 | |||||||
765,000 | Illinois Tool Works Inc., 5.75% due 3/1/2009 | Aa3/AA | 826,248 | |||||||
450,000 | John Deere Capital Corp., 5.125% due 10/19/2006 | A3/A- | 468,170 | |||||||
500,000 | John Deere Capital Corp. Medium Term Note, 3.75% due 1/13/2009 | A3/A- | 498,013 | |||||||
1,000,000 | Johnson Controls Inc., 5.00% due 11/15/2006 | A2/A | 1,039,808 | |||||||
1,000,000 | Pentair Inc., 7.85% due 10/15/2009 | Baa3/BBB | 1,133,438 | |||||||
900,000 | Pitney Bowes Inc., 5.875% due 5/1/2006 | Aa3/A+ | 941,930 | |||||||
900,000 | Pitney Bowes Inc., 4.625% due 10/1/2012 | Aa3/A+ | 906,873 | |||||||
2,000,000 | Pitney Bowes Inc., 3.875% due 6/15/2013 | Aa3/A+ | 1,894,194 10,777,780 | |||||||
COMMERCIAL SERVICES & SUPPLIES | ||||||||||
250,000 | Aramark Services Inc., 7.00% due 7/15/2006 | Baa3/BBB- | 265,581 | |||||||
250,000 | Science Applications International Corp., 6.75% due 2/1/2008 | A3/A- | 276,016 | |||||||
1,000,000 | Science Applications International Corp., 6.25% due 7/1/2012 | A3/A- | 1,098,292 | |||||||
1,700,000 | Valassis Communications, 6.625% due 1/15/2009 | Baa3/BBB- | 1,823,968 | |||||||
1,000,000 | Waste Management Inc., 6.50% due 11/15/2008 | Baa3/BBB | 1,096,237 | |||||||
725,000 | Waste Management Inc., 6.875% due 5/15/2009 | Baa3/BBB | 809,674 | |||||||
500,000 | Waste Management Inc., 7.375% due 8/1/2010 | Baa3/BBB | 577,148 | |||||||
1,010,000 | WMX Technologies Inc., 7.00% due 5/15/2005 | Baa3/BBB | 1,030,406 | |||||||
550,000 | WMX Technologies Inc., 7.00% due 10/15/2006 | Baa3/BBB | 589,794 | |||||||
7,567,116 | ||||||||||
Certified Annual Report 33
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||
Amount* | Issuer-Description | Moody’s/S&P | Value | |||||||
DIVERSIFIED FINANCIALS | ||||||||||
$ | 200,000 | American General Finance Corp. Medium Term Note, 4.625% due 9/1/2010 | A1/A+ | $ | 202,220 | |||||
1,500,000 | American General Finance Corp. Medium Term Note, 4.00% due 3/15/2011 | A1/A+ | 1,465,755 | |||||||
1,500,000 | Bear Stearns Co. Inc., 4.50% due 10/28/2010 | A1/A | 1,512,327 | |||||||
1,000,000 | Beneficial Corp., 6.80% due 7/22/2005 | A1/A | 1,031,530 | |||||||
1,000,000 | Berkshire Hathaway Finance Corp. Senior Note, 4.625% due 10/15/2013 | Aaa/AAA | 998,831 | |||||||
75,000 | Dun & Bradstreet Corp., 6.625% due 3/15/2006 | NR/BBB+ | 78,058 | |||||||
150,000 | Ford Motor Credit, 6.24% due 12/15/2004 | A3/BBB- | 150,883 | |||||||
2,900,000 | General Electric Capital Corp., 5.00% due 2/15/2007 | Aaa/AAA | 3,023,041 | |||||||
494,000 | General Electric Capital Corp., 2.207% due 5/30/2008 | Aaa/AAA | 490,552 | |||||||
200,000 | General Electric Capital Corp., 7.75% due 6/9/2009 | Aaa/AAA | 232,010 | |||||||
400,000 | General Electric Capital Corp., 7.375% due 1/19/2010 | Aaa/AAA | 460,970 | |||||||
2,000,000 | General Electric Capital Corp., 4.25% due 12/1/2010 | Aaa/AAA | 2,007,550 | |||||||
1,000,000 | Hartford Financial Services Group Inc. Senior Notes, 4.625% due 7/15/2013 | A3/A- | 981,725 | |||||||
400,000 | Household Finance Corp., 5.20% due 8/15/2005 | A1/A | 406,336 | |||||||
100,000 | Household Finance Corp., 5.90% due 5/15/2006 | A1/A | 103,119 | |||||||
550,000 | Household Finance Corp., 7.20% due 7/15/2006 | A1/A | 589,488 | |||||||
400,000 | Household Finance Corp., 5.75% due 1/30/2007 | A1/A | 422,793 | |||||||
5,000,000 | Household Finance Corp., 4.64% due 8/10/2009 | A1/A | 4,980,900 | |||||||
400,000 | Household Finance Corp., 6.40% due 9/15/2009 | A1/A | 425,067 | |||||||
2,500,000 | International Lease Finance Corp., 4.55% due 10/15/2009 | A1/AA- | 2,554,430 | |||||||
950,000 | International Lease Finance Corp. Medium Term Note, 5.95% due 6/6/2005 | A1/AA- | 972,359 | |||||||
4,050,000 | International Lease Finance Corp. Medium Term Note, 2.406% due 1/15/2010 | A1/AA- | 4,043,905 | |||||||
2,600,000 | Jefferies Group Inc. Senior Note Series B, 7.50% due 8/15/2007 | Baa2/BBB | 2,888,210 | |||||||
5,000,000 | JP Morgan Chase Co., 4.72% due 6/28/2009 | Aa3/A+ | 5,141,700 | |||||||
1,465,000 | JP Morgan Chase Co., 4.50% due 11/15/2010 | Aa3/A+ | 1,484,397 | |||||||
1,714,286 | Legg Mason Mortgage Capital Corp., 3.283% due 6/1/2009 (a) | NR/NR | 1,712,756 | |||||||
700,000 | Lehman Brothers Holdings Inc., 3.50% due 8/7/2008 | A1/A | 694,429 | |||||||
3,000,000 | Merrill Lynch & Co. CPI Floating Rate, 4.43% due 3/2/2009 | Aa3/A+ | 3,009,210 | |||||||
800,000 | Schwab Charles Corp. Medium Term Note, 6.30% due 4/28/2006 | A2/A- | 839,981 | |||||||
1,675,000 | SLM Corp. Floating Rate, 2.341% due 9/15/2008 | A2/A | 1,674,043 | |||||||
3,000,000 | SLM Corp. Medium Term Note CPI Floating Rate, 4.47% due 3/2/2009 | A2/A | 3,026,580 | |||||||
9,500,000 | SLM Corp. Medium Term Note CPI Floating Rate, 5.39% due 1/31/2014 | A2/A | 9,609,535 | |||||||
800,000 | Toyota Motor Credit Corp., 2.875% due 8/1/2008 | Aaa/AAA | 781,842 | |||||||
800,000 | Toyota Motor Credit Corp., 4.35% due 12/15/2010 | Aaa/AAA | 818,292 | |||||||
3,300,000 | Toyota Motor Credit Corp. Medium Term Note, 2.70% due 1/30/2007 | Aaa/AAA | 3,272,227 | |||||||
62,087,051 | ||||||||||
ENERGY | ||||||||||
850,000 | Amerenenergy Generating Co., 7.75% due 11/1/2005 | A3/A- | 894,167 | |||||||
1,150,000 | Ashland Inc., 7.83% due 8/15/2005 | Baa2/BBB | 1,192,708 | |||||||
75,000 | BJ Services Co. Note Series B, 7.00% due 2/1/2006 | Baa2/BBB+ | 77,776 | |||||||
975,000 | Commonwealth Edison Co., 4.74% due 8/15/2010 | A3/A- | 1,006,403 | |||||||
700,000 | El Paso Corp., 7.00% due 5/15/2011 | Caa1/CCC+ | 675,500 | |||||||
250,000 | Enterprise Products Participating LP, 7.50% due 2/1/2011 | Baa3/BB+ | 284,645 | |||||||
450,000 | EOG Resources Inc., 6.00% due 12/15/2008 | Baa1/BBB+ | 486,738 | |||||||
1,250,000 | Kinder Morgan Energy Partners, 8.00% due 3/15/2005 | Baa1/BBB+ | 1,279,471 | |||||||
290,000 | Louis Dreyfus Natural Gas Corp., 6.875% due 12/1/2007 | A3/BBB+ | 316,255 | |||||||
750,000 | Murphy Oil Corp., 6.375% due 5/1/2012 | Baa1/A- | 825,712 | |||||||
120,000 | Northern Border Pipeline Co., 6.25% due 5/1/2007 | A3/A- | 127,257 | |||||||
800,000 | Occidental Petroleum Corp., 5.875% due 1/15/2007 | Baa1/BBB+ | 845,070 |
34 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||
Amount* | Issuer-Description | Moody’s/S&P | Value | |||||||
$ | 300,000 | Occidental Petroleum Corp., 7.375% due 11/15/2008 | Baa1/BBB+ | $ | 340,754 | |||||
315,000 | Occidental Petroleum Corp., 10.125% due 9/15/2009 | Baa1/BBB+ | 395,907 | |||||||
250,000 | Oneok Inc., 7.75% due 3/1/2005 (Insured: MBIA) | Aaa/AAA | 255,676 | |||||||
1,100,000 | Panenergy Corp., 7.00% due 10/15/2006 | Baa3/BBB- | 1,175,566 | |||||||
250,000 | Phillips Petroleum Co., 8.75% due 5/25/2010 | A3/A- | 307,607 | |||||||
900,000 | Phillips Petroleum Co., 9.375% due 2/15/2011 | A3/A- | 1,144,984 | |||||||
425,000 | Questar Pipeline Co., 6.05% due 12/1/2008 | A2/A+ | 453,304 | |||||||
925,000 | Rio Tinto Finance, 5.75% due 7/3/2006 | Aa3/A+ | 969,579 | |||||||
600,000 | Smith International Inc. Senior Note, 7.00% due 9/15/2007 | Baa1/BBB+ | 655,006 | |||||||
500,000 | Sonat Inc., 7.625% due 7/15/2011 | Caa1/CCC+ | 492,500 | |||||||
525,000 | Texas Eastern Transmission Corp. Senior Note, 5.25% due 7/15/2007 | Baa2/BBB | 545,778 | |||||||
190,000 | Transocean SedCo. Forex Inc., 6.75% due 4/15/2005 | Baa2/A- | 193,537 | |||||||
515,000 | Transocean SedCo. Forex Inc., 6.95% due 4/15/2008 | Baa2/A- | 574,106 | |||||||
85,000 | Transocean SedCo. Forex Inc., 6.625% due 4/15/2011 | Baa2/A- | 94,919 | |||||||
200,000 | Union Oil Co. California, 7.90% due 4/18/2008 | Baa2/BBB+ | 224,614 | |||||||
15,835,539 | ||||||||||
FOOD BEVERAGE & TOBACCO | ||||||||||
1,150,000 | Anheuser Busch Co. Inc., 5.625% due 10/1/2010 | A1/A+ | 1,241,626 | |||||||
2,000,000 | Anheuser Busch Co. Inc., 4.375% due 1/15/2013 | A1/A+ | 1,982,760 | |||||||
515,000 | Coca Cola Co., 4.00% due 6/1/2005 | Aa3/A+ | 519,975 | |||||||
200,000 | Coca Cola Co., 5.75% due 3/15/2011 | Aa3/A+ | 217,791 | |||||||
325,000 | Conagra Inc., 7.50% due 9/15/2005 | Baa1/BBB+ | 338,371 | |||||||
150,000 | Conagra Inc., 7.875% due 9/15/2010 | Baa1/BBB+ | 176,818 | |||||||
4,000,000 | Diageo Capital PLC, 3.375% due 3/20/2008 | A2/A | 3,985,648 | |||||||
925,000 | Diageo Finance BV, 3.00% due 12/15/2006 | A2/A | 923,842 | |||||||
2,500,000 | Diageo Finance BV, 3.875% due 4/1/2011 | A2/A | 2,445,942 | |||||||
300,000 | General Mills, 5.50% due 1/12/2009 | Baa2/BBB+ | 317,699 | |||||||
186,000 | Kellogg Co., 4.875% due 10/15/2005 | Baa2/BBB+ | 189,877 | |||||||
900,000 | Sara Lee Corp. Medium Term Note, 6.00% due 1/15/2008 | A3/A+ | 968,249 | |||||||
1,000,000 | Sysco International Co., 6.10% due 6/1/2012 | A1/A+ | 1,105,026 | |||||||
14,413,624 | ||||||||||
HEALTHCARE EQUIPMENT & SERVICES | ||||||||||
500,000 | Baxter International Inc., 5.25% due 5/1/2007 | Baa1/A- | 522,713 | |||||||
250,000 | Boston Scientific Corp., 6.625% due 3/15/2005 | Baa1/A- | 254,398 | |||||||
777,111 | ||||||||||
HOUSEHOLD & PERSONAL PRODUCTS | ||||||||||
2,000,000 | Gillette Co., 4.00% due 6/30/2005 | Aa3/AA- | 2,021,708 | |||||||
2,000,000 | Gillette Co., 2.875% due 3/15/2008 | Aa3/AA- | 1,968,484 | |||||||
900,000 | Nike Inc., 5.50% due 8/15/2006 | A2/A | 940,911 | |||||||
350,000 | Procter & Gamble Co., 4.75% due 6/15/2007 | Aa3/AA- | 364,603 | |||||||
2,000,000 | Procter & Gamble Co., 4.30% due 8/15/2008 | Aa3/AA- | 2,061,130 | |||||||
7,356,836 | ||||||||||
Certified Annual Report 35
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||
Amount* | Issuer-Description | Moody’s/S&P | Value | |||||||
HOTELS RESTAURANTS & LEISURE | ||||||||||
$ | 225,000 | Hyatt Equities LLC, 9.25% due 5/15/2005 | Baa3/BBB | $ | 231,148 | |||||
500,000 | Wendy’s International Inc., 6.35% due 12/15/2005 | Baa1/BBB+ | 519,825 | |||||||
750,973 | ||||||||||
INSURANCE | ||||||||||
800,000 | AIG Sunamerica Global Financing, 5.10% due 1/17/2007 | Aaa/AAA | 834,080 | |||||||
900,000 | Allstate Corp., 5.375% due 12/1/2006 | A1/A+ | 942,454 | |||||||
170,000 | Equitable Iowa Cos., 8.50% due 2/15/2005 | A1/A+ | 172,849 | |||||||
300,000 | Hartford Life Inc., 7.10% due 6/15/2007 | A3/A- | 328,739 | |||||||
1,000,000 | Liberty Mutual Group Inc., 5.75% due 3/15/2014 | Baa3/BBB | 993,496 | |||||||
1,000,000 | Lincoln National Corp., 4.75% due 2/15/2014 | A3/A- | 976,669 | |||||||
855,000 | Manufacturers Life Insurance Co., 7.875% due 4/15/2005 | A1/AA- | 875,299 | |||||||
450,000 | Metlife Inc., 5.25% due 12/1/2006 | A2/A | 470,058 | |||||||
1,800,000 | Old Republic International Corp., 7.00% due 6/15/2007 | Aa3/A+ | 1,970,503 | |||||||
8,000,000 | Pacific Life Global Funding CPI Floating Rate, 5.446% due 2/6/2016 | Aa3/AA | 8,108,080 | |||||||
700,000 | Principal Financial Group Australia, 8.20% due 8/15/2009 | A2/A | 820,898 | |||||||
4,000,000 | Principal Life Global Funding, 4.40% due 10/1/2010 | Aa2/AA | 4,046,044 | |||||||
5,000,000 | Principal Life Income Funding Trust, 5.15% due 4/1/2016 | Aa2/AA | 4,879,500 | |||||||
1,300,000 | Unitedhealth Group Inc., 3.30% due 1/30/2008 | A3/A | 1,291,628 | |||||||
2,450,000 | Unumprovident Corp., 7.625% due 3/1/2011 | Ba1/BB+ | 2,615,375 | |||||||
900,000 | USF&G Corp., 7.125% due 6/1/2005 | A3/BBB+ | 924,517 | |||||||
30,250,189 | ||||||||||
MATERIALS | ||||||||||
75,000 | Chevron Phillips Chemical, 5.375% due 6/15/2007 | Baa1/BBB+ | 78,514 | |||||||
500,000 | Chevron Phillips Chemical, 7.00% due 3/15/2011 | Baa1/BBB+ | 564,423 | |||||||
1,400,000 | Chevrontexaco Capital Co., 3.50% due 9/17/2007 | Aa2/AA | 1,413,079 | |||||||
350,000 | Dow Chemical Co., 5.75% due 12/15/2008 | A3/A- | 373,553 | |||||||
200,000 | E.I. du Pont de Nemours & Co., 8.25% due 9/15/2006 | Aa3/AA- | 219,671 | |||||||
1,000,000 | E.I. du Pont de Nemours & Co., 4.75% due 11/15/2012 | Aa3/AA- | 1,015,428 | |||||||
325,000 | E.I. du Pont de Nemours & Co., 4.125% due 3/6/2013 | Aa3/AA- | 315,418 | |||||||
200,000 | Hoechst Celanese Corp., 7.125% due 3/15/2009 | B1/A+ | 212,762 | |||||||
75,000 | Lafarge Corp., 6.375% due 7/15/2005 | Baa1/BBB | 76,998 | |||||||
635,000 | Lubrizol Corp. Senior Note, 5.875% due 12/1/2008 | Baa3/BB+ | 663,555 | |||||||
2,000,000 | Minnesota Mining & Manufacturing Co., 4.15% due 6/30/2005 | Aa1/AA | 2,037,740 | |||||||
6,971,141 | ||||||||||
MEDIA | ||||||||||
750,000 | AOL Time Warner Inc., 6.75% due 4/15/2011 | Baa1/BBB+ | 832,048 | |||||||
80,000 | E W Scripps Co. Ohio, 5.75% due 7/15/2012 | A2/A | 86,255 | |||||||
300,000 | New York Times Co., 4.625% due 6/25/2007 | A1/A+ | 311,395 | |||||||
255,000 | Scholastic Corp., 5.75% due 1/15/2007 | Baa2/BBB- | 267,227 | |||||||
2,900,000 | Thomson Corp., 4.25% due 8/15/2009 | A3/A- | 2,923,963 | |||||||
200,000 | Time Warner Inc., 8.05% due 1/15/2016 | Baa1/BBB+ | 236,679 | |||||||
125,000 | Tribune Co., 6.875% due 11/1/2006 | A3/NR | 134,355 | |||||||
4,791,922 | ||||||||||
36 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||
Amount* | Issuer-Description | Moody’s/S&P | Value | |||||||
PHARMACEUTICALS & BIOTECHNOLOGY | ||||||||||
$ | 1,000,000 | Abbott Labs, 6.40% due 12/1/2006 | A1/AA | $ | 1,071,697 | |||||
500,000 | Abbott Labs, 3.75% due 3/15/2011 | A1/AA | 488,187 | |||||||
500,000 | Bristol Myers Squibb Co., 4.75% due 10/1/2006 | A1/A+ | 516,668 | |||||||
1,850,000 | Eli Lilly & Co., 5.50% due 7/15/2006 | Aa3/AA | 1,934,282 | |||||||
2,000,000 | Pharmacia Corp., 5.75% due 12/1/2005 | A1/AAA | 2,069,102 | |||||||
5,450,000 | Tiers Inflation Linked Trust Series Wyeth 2004 21 Trust Certificate CPI Floating Rate, 4.84% due 2/1/2014 | Baa1/A | 5,325,358 | |||||||
11,405,294 | ||||||||||
RETAILING | ||||||||||
500,000 | Costco Wholesale Corp., 5.50% due 3/15/2007 | A2/A | 526,511 | |||||||
100,000 | Dayton Hudson Corp., 9.625% due 2/1/2008 | A2/A+ | 118,050 | |||||||
150,000 | Dillard’s Inc., 7.375% due 6/1/2006 | B2/BB | 157,875 | |||||||
1,000,000 | Target Corp., 3.375% due 3/1/2008 | A2/A+ | 996,366 | |||||||
3,735,000 | Wal Mart Stores Inc., 4.125% due 2/15/2011 | Aa2/AA | 3,740,491 | |||||||
900,000 | Wal-Mart Stores Inc., 6.875% due 8/10/2009 | Aa2/AA | 1,020,698 | |||||||
449,707 | Wal-Mart Stores Inc., 8.57% due 1/2/2010 | Aa2/AA | 500,443 | |||||||
186,121 | Wal-Mart Stores Inc., 1992-A1 Pass Through Certificate, 7.49% due 6/21/2007 | Aa2/AA | 200,662 | |||||||
7,261,096 | ||||||||||
SOFTWARE & SERVICES | ||||||||||
250,000 | Electronic Data Systems Corp., 6.85% due 10/15/2004 | Ba1/BBB- | 250,214 | |||||||
2,500,000 | Electronic Data Systems Corp., 7.125% due 10/15/2009 | Ba1/BBB- | 2,685,350 | |||||||
1,000,000 | Electronic Data Systems Corp., 6.50% due 8/1/2013 | Ba1/BBB- | 1,008,622 | |||||||
800,000 | Reynolds & Reynolds Co., 7.00% due 12/15/2006 | Baa2/BBB | 844,670 | |||||||
4,788,856 | ||||||||||
TECHNOLOGY — HARDWARE & EQUIPMENT | ||||||||||
158,000 | Computer Sciences Corp., 7.50% due 8/8/2005 | A3/A | 163,843 | |||||||
350,000 | Computer Sciences Corp., 6.75% due 6/15/2006 | A3/A | 371,672 | |||||||
2,000,000 | Computer Sciences Corp., 3.50% due 4/15/2008 | A3/A | 1,994,040 | |||||||
300,000 | Computer Sciences Corp., 6.25% due 3/15/2009 | A3/A | 326,336 | |||||||
1,317,000 | Computer Sciences Corp., 7.375% due 6/15/2011 | A3/A | 1,526,481 | |||||||
110,000 | First Data Corp., 6.375% due 12/15/2007 | A1/A+ | 120,082 | |||||||
900,000 | First Data Corp., 5.625% due 11/1/2011 | A1/A+ | 962,437 | |||||||
500,000 | International Business Machines, 4.875% due 10/1/2006 | A1/A+ | 519,044 | |||||||
2,825,000 | International Business Machines, 2.375% due 11/1/2006 | A1/A+ | 2,800,807 | |||||||
1,000,000 | International Business Machines, 4.25% due 9/15/2009 | A1/A+ | 1,022,809 | |||||||
500,000 | Jabil Circuit Inc., 5.875% due 7/15/2010 | Baa3/BB+ | 523,068 | |||||||
1,200,000 | Oracle Corp., 6.91% due 2/15/2007 | A3/A- | 1,293,505 | |||||||
11,624,124 | ||||||||||
TELECOMMUNICATION SERVICES | ||||||||||
900,000 | Cingular Wireless, 5.625% due 12/15/2006 | A3/A+ | 941,718 | |||||||
1,500,000 | GTE Hawaiian Telephone Inc., 7.375% due 9/1/2006 | Aaa/AAA | 1,604,056 | |||||||
50,000 | TCI Communications Inc., 8.00% due 8/1/2005 | Baa3/BBB | 52,774 | |||||||
1,500,000 | Verizon Wireless Capital LLC, 5.375% due 12/15/2006 | A3/A+1, | 570,125 | |||||||
4,168,673 | ||||||||||
Certified Annual Report 37
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||
Amount* | Issuer-Description | Moody’s/S&P | Value | |||||||
TRANSPORTATION | ||||||||||
$ | 206,520 | Continental Airlines Pass Through Certificate Series 1997 4 Class-4A, 6.90% due 1/2/2018 | Baa3/A- | $ | 198,845 | |||||
225,000 | CSX Corp., 7.45% due 5/1/2007 | Baa2/BBB | 246,267 | |||||||
311,928 | Delta Air Lines Inc. EETC Series 2001-1 Class-A, 6.619% due 3/18/2011 | Ba1/BBB- | 283,728 | |||||||
128,091 | Northwest Airlines 1999-2 Class-A, 7.575% due 3/1/2019 | Baa2/A- | 127,541 | |||||||
392,732 | Southwest Airlines Co., 5.10% due 5/1/2006 | Aa2/AA+ | 401,547 | |||||||
1,012,000 | Southwest Airlines Co., 7.875% due 9/1/2007 | Baa1/A | 1,128,561 | |||||||
2,386,489 | ||||||||||
UTILITIES | ||||||||||
175,000 | Appalachian Power Co., 6.60% due 5/1/2009 (Insured: MBIA) | Aaa/AAA | 193,680 | |||||||
1,245,000 | Duke Capital Corp. Senior Note, 7.25% due 10/1/2004 | Baa3/BBB- | 1,245,000 | |||||||
925,000 | Gulf Power Co., 4.35% due 7/15/2013 | A2/A | 900,642 | |||||||
950,000 | Madison Gas & Electric Co., 6.02% due 9/15/2008 | Aa3/AA- | 1,018,118 | |||||||
900,000 | Minnesota Power & Light Co., 7.00% due 2/15/2007 | Baa1/A | 971,630 | |||||||
2,825,000 | Northern States Power Co., 4.75% due 8/1/2010 | A2/A- | 2,906,563 | |||||||
250,000 | Pacificorp, 6.75% due 4/1/2005 | A3/A- | 254,948 | |||||||
210,000 | Pennsylvania Power & Light Co., 6.55% due 3/1/2006 (Insured: MBIA) | Aaa/AAA | 220,737 | |||||||
245,000 | PSI Energy Inc., 6.65% due 6/15/2006 | A3/A- | 259,552 | |||||||
500,000 | PSI Energy Inc., 7.85% due 10/15/2007 | Baa1/BBB | 561,948 | |||||||
1,000,000 | Public Service Co. Colorado, 4.875% due 3/1/2013 | A3/A- | 1,017,624 | |||||||
275,000 | Public Service Electric & Gas Co., 6.75% due 3/1/2006 (Insured: MBIA) | Aaa/AAA | 290,204 | |||||||
225,000 | Southern California Gas Co., 4.375% due 1/15/2011 | A1/A+ | 227,277 | |||||||
3,470,000 | Texas Municipal Gas Corp., 2.60% due 7/1/2007 | Aaa/AAA | 3,462,782 | |||||||
350,000 | Wisconsin Energy Corp., 5.50% due 12/1/2008 | A3/BBB+ | 373,015 | |||||||
1,150,000 | Wisconsin Public Service Corp., 6.125% due 8/1/2011 | Aa2/AA- | 1,275,095 | |||||||
15,178,815 | ||||||||||
MISCELLANEOUS | ||||||||||
500,000 | Stanford University, 5.85% due 3/15/2009 | Aaa/NA | 538,556 | |||||||
YANKEE | ||||||||||
435,000 | Kreditanstalt Fur Wiederaufbau, 3.25% due 7/16/2007 | Aaa/AAA | 436,668 | |||||||
2,475,000 | Kreditanstalt Fur Wiederaufbau, 3.25% due 3/30/2009 | Aaa/AAA | 2,452,549 | |||||||
715,000 | National Westminster Bank, 7.375% due 10/1/2009 | Aa2/AA- | 826,265 | |||||||
500,000 | Nova Scotia Province Canada, 5.75% due 2/27/2012 | A2/A | 546,178 | |||||||
335,000 | Ontario Province Canada, 3.282% due 3/28/2008 | Aa2/AA | 333,700 | |||||||
5,000,000 | Ontario Province Canada, 3.125% due 5/2/2008 | Aa2/AA | 4,941,555 | |||||||
9,536,915 | ||||||||||
Total Corporate Bonds (Cost $237,402,928) | 242,908,878 | |||||||||
TAXABLE MUNICIPAL BONDS - 17.60% | ||||||||||
2,215,000 | Allentown Pennsylvania Taxable Refunding, 4.21% due 10/1/2012 | Aaa/AAA | 2,160,600 | |||||||
4,250,000 | American Campus Properties Student Housing, 7.38% due 9/1/2012 (Insured: MBIA) | Aaa/AAA | 4,849,505 | |||||||
150,000 | American Fork City Utah Sales, 2.40% due 3/1/2005 (Insured: FSA) | Aaa/AAA | 150,099 | |||||||
300,000 | American Fork City Utah Sales, 4.89% due 3/1/2012 (Insured: FSA) | Aaa/AAA | 305,727 | |||||||
120,000 | American Fork City Utah Sales, 5.07% due 3/1/2013 (Insured: FSA) | Aaa/AAA | 122,970 | |||||||
148,000 | Arkansas Electric Coop Corp., 7.33% due 6/30/2008 | A2/AA- | 156,382 |
38 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||
Amount* | Issuer-Description | Moody’s/S&P | Value | |||||||
$ | 300,000 | Arkansas State Taxable Water Waste Disposal Series A, 5.50% due 7/1/2005 | Aa2/AA | $ | 306,993 | |||||
1,000,000 | Ashaubenon Wisconsin, 3.00% due 6/1/2008 | Aa2/NR | 977,100 | |||||||
860,000 | Baton Rouge Louisiana Taxable Series B, 2.60% due 1/15/2005 (Insured: AMBAC) | Aaa/AAA | 861,350 | |||||||
900,000 | Bessemer Alabama Water Revenue Taxable Warrants Series B, 7.375% due 7/1/2008 (Insured: FSA) | Aaa/AAA | 967,320 | |||||||
150,000 | Brockton MA Taxable Economic Development Series A, 6.45% due 5/1/2017 (Insured: FGIC) | Aaa/AAA | 167,280 | |||||||
370,000 | Burbank California Waste Disposal Revenue, 5.29% due 5/1/2007 (Insured: FSA) | Aaa/AAA | 387,160 | |||||||
310,000 | Burbank California Waste Disposal Revenue, 5.48% due 5/1/2008 (Insured: FSA) | Aaa/AAA | 329,434 | |||||||
200,000 | Chicago Illinois Taxable Neighborhoods Alive Series B, 5.20% due 9/1/2006 (Insured: FGIC) | Aaa/AAA | 208,596 | |||||||
2,125,000 | Cleveland Cuyahoga County Ohio, 6.10% due 5/15/2013 | NR/NR | 2,128,846 | |||||||
1,025,000 | Connecticut State Development Authority, 8.55% due 8/15/2005 | NR/A+ | 1,050,246 | |||||||
1,870,000 | Connecticut State Housing Finance Authority, 3.10% due 6/15/2032 put 12/1/2005 (Insured: AMBAC) | Aaa/AAA | 1,873,366 | |||||||
600,000 | Cook County Illinois Community College District 508, 6.90% due 5/1/2010 (Insured: AMBAC) | Aaa/AAA | 644,772 | |||||||
250,000 | Cook County Illinois School District 083, 4.625% due 12/1/2010 (Insured: FSA) | Aaa/NR | 254,200 | |||||||
150,000 | Cook County Illinois School District 083, 4.875% due 12/1/2011 (Insured: FSA) | Aaa/NR | 153,009 | |||||||
900,000 | Denver City & County Special Facilities Taxable Refunding & Improvement Series B, 7.15% due 1/1/2008 (Insured: MBIA) | Aaa/AAA | 999,513 | |||||||
240,000 | Elkhart Indiana Redevelopment District Revenue, 4.80% due 6/15/2011 | NR/NR | 233,928 | |||||||
245,000 | Elkhart Indiana Redevelopment District Revenue, 4.80% due 12/15/2011 | NR/NR | 237,777 | |||||||
515,000 | Elkhart Indiana Redevelopment District Revenue, 5.05% due 12/15/2012 | NR/NR | 499,947 | |||||||
540,000 | Elkhart Indiana Redevelopment District Revenue, 5.25% due 12/15/2013 | NR/NR | 520,220 | |||||||
6,000,000 | Gilliam County Oregon Solid Waste, 2.50% due 7/1/2029 put 5/1/2005 (Waste Management Project) | NR/BBB | 5,991,960 | |||||||
365,000 | Green Bay Wisconsin Series B, 4.875% due 4/1/2011 (Insured: MBIA) | Aaa/NR | 374,048 | |||||||
305,000 | Hancock County Mississippi, 4.20% due 8/1/2008 (Insured: MBIA) | Aaa/NR | 309,346 | |||||||
245,000 | Hancock County Mississippi, 4.80% due 8/1/2010 (Insured: MBIA) | Aaa/NR | 248,722 | |||||||
315,000 | Hancock County Mississippi, 4.90% due 8/1/2011 (Insured: MBIA) | Aaa/NR | 319,038 | |||||||
1,385,000 | Hanover Pennsylvania Area School District Taxable Notes Series B, 4.47% due 3/15/2013 | NR/AAA | 1,371,524 | |||||||
15,000 | Illinois Housing Development Authority Taxable Multi Family Program, 7.85% due 3/1/2005 | A1/A+ | 15,313 | |||||||
450,000 | Indiana Bond Bank Taxable School Severance, 2.74% due 1/15/2005 (Insured: FGIC) | Aaa/AAA | 450,891 | |||||||
500,000 | Jefferson County Texas Navigation Taxable Refunding, 5.50% due 5/1/2010 (Insured: FSA) | Aaa/NR | 523,175 | |||||||
200,000 | Jefferson Franklin, Etc. Counties Illinois Community College District 521, 3.00% due 1/1/2006 (Insured: FSA) | Aaa/NR | 200,950 | |||||||
300,000 | Jefferson Franklin, Etc. Counties Illinois Community College District 521, 3.625% due 1/1/2007 (Insured: FSA) | Aaa/NR | 303,783 | |||||||
575,000 | Jersey City New Jersey Municipal Utilities Authority, 3.72% due 5/15/2009 (Insured: MBIA) | Aaa/AAA | 571,550 | |||||||
365,000 | Kendall Kane County Illinois School 308, 5.50% due 10/1/2011 (Insured: FGIC) | Aaa/NR | 388,360 | |||||||
405,000 | King County Washington General Obligation, 7.55% due 12/1/2005 | Aa1/AA+ | 428,142 | |||||||
2,775,000 | Los Angeles County California Metropolitan Transport, 4.56% due 7/1/2010 | Aaa/AAA | 2,830,389 | |||||||
365,000 | Maryland State Economic Development Corp., 7.25% due 6/1/2008 (Maryland Tech. Development Center Project) | NR/NR | 390,689 | |||||||
240,000 | McKeesport Pennsylvania Taxable Series B, 6.60% due 3/1/2006 (Insured: MBIA) | Aaa/AAA | 252,984 | |||||||
140,000 | Mississippi State Taxable Business Series V, 7.125% due 9/1/2006 | NR/AA | 150,741 | |||||||
100,000 | Montgomery County Maryland Revenue Authority, 5.00% due 2/15/2012 | Aa2/AA+ | 102,284 | |||||||
650,000 | Multnomah County Oregon School District 1J Refunding Taxable, 4.191% due 6/15/2008 | A2/NR | 657,963 | |||||||
4,000,000 | Muskegon County Michigan Taxable Notes, 3.00% due 6/1/2005 | MIG1/NR | 4,015,840 | |||||||
420,000 | New Jersey Health Care Facilities Financing, 10.75% due 7/1/2010 (escrowed to maturity) | NR/NR | 517,944 | |||||||
150,000 | New Jersey Health Care Facilities Financing, 7.70% due 7/1/2011 (Insured: Connie Lee) | NR/AAA | 171,599 | |||||||
150,000 | New Rochelle New York Industrial Development Agency, 7.15% due 10/1/2014 | Aa3/A+ | 160,988 | |||||||
3,500,000 | New York Environmental Facilities, 5.85% due 3/15/2011 | NR/AA- | 3,797,290 | |||||||
585,000 | New York State Housing Finance, 4.46% due 8/15/2009 | Aa1/NR | 592,734 | |||||||
1,000,000 | New York State Thruway Authority Service Contract, 2.59% due 3/15/2006 | A3/AA- | 996,210 | |||||||
1,400,000 | New York State Urban Development Corp., 4.75% due 12/15/2011 | NR/AA | 1,434,594 | |||||||
845,000 | Newark New Jersey, 4.70% due 4/1/2011 (Insured: MBIA) | Aaa/NR | 857,675 | |||||||
1,225,000 | Newark New Jersey, 4.90% due 4/1/2012 (Insured: MBIA) | Aaa/NR | 1,244,980 | |||||||
360,000 | Niagara Falls New York Public Water, 4.30% due 7/15/2010 (Insured: MBIA) | Aaa/AAA | 363,308 | |||||||
1,000,000 | North Carolina Municipal Power Agency Taxable Series B, 3.26% due 1/1/2005 | Baa1/BBB+ | 1,000,950 | |||||||
1,600,000 | Northwest Open Access Network Washington Revenue, 6.18% due 12/1/2008 (Insured: AMBAC) | Aaa/AAA | 1,746,096 |
Certified Annual Report 39
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||
Amount* | Issuer-Description | Moody’s/S&P | Value | |||||||
$ | 835,000 | Ohio State Petroleum Underground Storage, 6.75% due 8/15/2008 (Insured: MBIA) | Aaa/AAA | $ | 846,289 | |||||
205,000 | Oregon State Department Administrative Lottery Revenue Taxable B, 4.90% due 4/1/2005 (Insured: FSA) | Aaa/AAA | 207,661 | |||||||
250,000 | Passaic County New Jersey Multi Modal Taxable Refunding Series B, 6.23% due 9/1/2005 (Insured: FSA) | Aaa/AAA | 258,650 | |||||||
245,000 | Pima County Arizona Industrial Development Authority Series E, 9.05% due 7/1/2008 | Baa3/NR | 271,903 | |||||||
340,000 | Providence Rhode Island, 5.59% due 1/15/2008 | Aaa/AAA | 363,314 | |||||||
775,000 | Sam Rayburn Texas Municipal Power Agency, 5.05% due 10/1/2004 | Baa2/BBB- | 775,046 | |||||||
1,000,000 | Short Pump Town Center Community Development, 6.26% due 2/1/2009 | NR/NR | 996,560 | |||||||
2,005,000 | Sisters Providence Obligation Group Direct Obligation Notes Series 1997, 7.47% due 10/1/2007 | A1/AA- | 2,212,838 | |||||||
400,000 | South Dakota State Building Authority Revenue, 7.00% due 9/1/2005 (escrowed to maturity) | Aaa/AAA | 416,248 | |||||||
1,155,000 | St. Louis Missouri Municipal Finance Corp. Firemans Retirement System, 6.35% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 1,190,932 | |||||||
500,000 | Tennessee State Taxable Series B, 6.00% due 2/1/2013 | Aa2/AA | 537,975 | |||||||
400,000 | Texas State Public Finance Authority Revenue, 3.125% due 6/15/2007 | Aa2/AA | 397,472 | |||||||
245,000 | Texas Tech University Revenue, 6.00% due 8/15/2011 (Insured: MBIA) | Aaa/AAA | 267,780 | |||||||
1,000,000 | University Illinois Revenue, 6.35% due 4/1/2011 (Insured: FGIC) | Aaa/AAA | 1,110,310 | |||||||
90,000 | University of New Mexico Revenue, 3.90% due 6/1/2010 (Insured: AMBAC) | Aaa/AAA | 89,292 | |||||||
250,000 | University of New Mexico Revenue, 4.15% due 6/1/2011 (Insured: AMBAC) | Aaa/AAA | 247,875 | |||||||
180,000 | University of New Mexico Revenue, 4.375% due 6/1/2012 (Insured: AMBAC) | Aaa/AAA | 178,510 | |||||||
270,000 | University of New Mexico Revenue, 4.50% due 6/1/2013 (Insured: AMBAC) | Aaa/AAA | 267,367 | |||||||
1,000,000 | Victor New York Taxable-Tax Increment, 9.20% due 5/1/2014 | NR/NR | 1,059,250 | |||||||
505,000 | Virginia Housing Development Authority Taxable Rental Housing Series I, 7.30% due 2/1/2008 | Aa1/AA+ | 559,520 | |||||||
285,000 | Washington Pennsylvania, 4.30% due 9/1/2005 (Insured: FGIC) | Aaa/AAA | 289,628 | |||||||
245,000 | Waterloo Iowa Sewer Revenue Refunding Taxable Series B, 3.00% due 5/1/2005 | Aaa/NR | 245,862 | |||||||
1,500,000 | West Valley City Utah Municipal Building Lease Refunding Taxable, 7.67% due 5/1/2006 | Aa2/NR | 1,602,345 | |||||||
200,000 | Wisconsin State General Revenue, 4.80% due 5/1/2013 | Aaa/AAA | 203,656 | |||||||
Total Taxable Municipal Bonds (Cost $66,678,022) | 67,924,683 | |||||||||
FOREIGN SECURITIES - 0.70% | ||||||||||
2,000,000 | Federal Republic of Germany, 5.00% due 8/19/2005 (EURO) | Aaa/AAA | 2,540,745 | |||||||
Total Foreign Securities (Cost $1,879,165) | 2,540,745 | |||||||||
SHORT TERM - 5.10% | ||||||||||
7,000,000 | Lasalle Bank Corp., 1.72% due 10/8/2004 | A1+/P1 | 6,997,659 | |||||||
5,000,000 | UBS Finance, 1.80% due 10/1/2004 | PRIM1/A-1+ | 5,000,000 | |||||||
7,500,000 | UBS Finance, 1.70% due 10/4/2004 | PRIM1/A-1+ | 7,498,937 | |||||||
Total Short Term (Cost $19,496,602) | 19,496,596 | |||||||||
TOTAL INVESTMENTS (100%) (Cost $377,883,579) | $ | 386,039,073 | ||||||||
* | Principal amount in U.S. Dollars unless otherwise indicated, value is in U.S. Dollar. | |||
† | Credit ratings are unaudited. | |||
(a) | Security valuation determined using a fair value method. See notes to financial statements. |
CREDIT RATING†
40 Certified Annual Report
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Limited Term Income Funds
To the Trustees and Shareholders of
Thornburg Limited Term U.S. Government Fund
Thornburg Limited Term Income Fund
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 (separate portfolios of Thornburg Investment Trust, hereafter referred to as the “Funds”) at September 30, 2004, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, 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 Fund’s 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 the standards of the Public Company Accounting Oversight Board (United States). Those standards 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, 2004 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 9, 2004
Certified Annual Report 41
EXPENSE EXAMPLE
Thornburg Limited Term Income Funds | September 30, 2004 |
As a shareholder of the Fund, you incur two types of costs:
(1) transaction costs, including
(a) sales charges (loads) on purchase payments, for Class A Shares,
(b) a deferred sales charge on redemptions of any part of all of a purchase of $1 million of Class A shares within 12 months of purchase, and
(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase; and
(2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses.
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested on April 1, 2004 and held until September 30, 2004.
Actual Expenses
The first line of the table at right provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table at right provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses Paid | ||||||||||
Account Value | Account Value | During Period† | ||||||||||
4/01/04 | 9/30/04 | 4/1/04–9/30/04 | ||||||||||
U.S. Government Fund | ||||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000 | $ | 993.20 | $ | 4.75 | ||||||
Hypothetical* | $ | 1,000 | $ | 1,020.23 | $ | 4.81 | ||||||
Class B Shares | ||||||||||||
Actual | $ | 1,000 | $ | 984.40 | $ | 11.99 | ||||||
Hypothetical* | $ | 1,000 | $ | 1,012.91 | $ | 12.17 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000 | $ | 991.90 | $ | 6.17 | ||||||
Hypothetical* | $ | 1,000 | $ | 1,018.81 | $ | 6.25 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000 | $ | 995.30 | $ | 3.32 | ||||||
Hypothetical* | $ | 1,000 | $ | 1,021.68 | $ | 3.36 | ||||||
Class R-1 Shares | ||||||||||||
Actual | $ | 1,000 | $ | 993.40 | $ | 4.53 | ||||||
Hypothetical* | $ | 1,000 | $ | 1,020.45 | $ | 4.59 | ||||||
Income Fund | ||||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000 | $ | 998.10 | $ | 4.97 | ||||||
Hypothetical* | $ | 1,000 | $ | 1,020.03 | $ | 5.02 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000 | $ | 996.90 | $ | 6.21 | ||||||
Hypothetical* | $ | 1,000 | $ | 1,018.78 | $ | 6.28 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000 | $ | 999.00 | $ | 3.34 | ||||||
Hypothetical* | $ | 1,000 | $ | 1,021.66 | $ | 3.38 | ||||||
Class R-I Shares | ||||||||||||
Actual | $ | 1,000 | $ | 998.10 | $ | 4.88 | ||||||
Hypothetical* | $ | 1,000 | $ | 1,020.11 | $ | 4.94 |
†Thornburg Limited Term U.S. Government Fund expenses are equal to the annualized expense ratio for each class (A: 0.95%; B: 2.42%; C: 1.24%; I: 0.66%; and R-1: 0.91%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period.
†Thornburg Limited Term Income Fund expenses are equal to the annualized expense ratio for each class (A: 0.99%; C: 1.24%; I: 0.67%; and R-I: 0.98%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period.
*Hypothetical assumes a rate of return of 5% per year before expenses.
42 Certified Annual Report
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Certified Annual Report 43
INDEX COMPARISON
Thornburg Limited Term U.S. Government Fund | September 30, 2004 |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Limited Term U.S. Government Fund Class A Total Returns, versus
Lehman Brothers Intermediate Government Bond Index and Consumer Price Index
(November 30, 1987 to September 30, 2004)
Thornburg Limited Term U.S. Government Fund, A Shares | $ | 28,678 | ||
Lehman Brothers Intermediate Government Bond Index | $ | 33,320 | ||
Consumer Price Index | $ | 16,626 |
AVERAGE ANNUAL TOTAL RETURNS
For the periods ended September 30, 2004 (with sales charge)
Since | ||||||||||||||||
1 Yr | 5 Yrs | 10 Yrs | Inception | |||||||||||||
A Shares (Incep: 11/16/87) | -0.46 | % | 5.75 | % | 5.92 | % | 6.47 | % | ||||||||
B Shares (Incep: 11/1/02) | -5.23 | % | N/A | N/A | -0.47 | % | ||||||||||
C Shares (Incep: 9/1/94) | 0.22 | % | 5.70 | % | 5.66 | % | 5.56 | % | ||||||||
R-1 Shares (Incep: 7/1/03) | 1.26 | % | N/A | N/A | 1.15 | % |
FUND ATTRIBUTES
as of September 30, 2004
Annualized | SEC | Maximum | ||||||||||||||
Dist. Rate (NAV) | Yield | NAV | Offering Price | |||||||||||||
A Shares (Incep: 11/16/87) | 2.24 | % | 2.11 | % | $ | 13.01 | $ | 13.21 | ||||||||
B Shares (Incep: 11/1/02) | 1.05 | % | 0.94 | % | $ | 12.98 | $ | 12.98 | ||||||||
C Shares (Incep: 9/1/94) | 1.97 | % | 1.84 | % | $ | 13.09 | $ | 13.09 | ||||||||
R-1 Shares (Incep: 7/1/03) | 2.26 | % | 2.17 | % | $ | 13.02 | $ | 13.02 |
Performance data reflect past performance, which is no guarantee of future results. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares.
For the U.S. Government Fund, returns reflect the reinvestment of dividends and capital gains and the following sales charges: Class A Shares are sold with a maximum sales charge of 1.50%. B shares carry a contingent deferred sales charge (CDSC), if redeemed within a year, of 5.00%; within two years, 4.25%; within three years, 3.50%; within four years, 2.75%; within five years, 2.00%; within six years, 1.25%; within seven years, 0.50%. There is no charge for redemption within the eighth year. C shares include a 0.50% CDSC for the first year only. There is no up front sales charge for R-1 shares.
The Lehman Brothers Intermediate Government Bond Index is an unmanaged market-weighted index generally representative of all public obligations of the U.S. Government, its agencies and instrumentalities having maturities of up to ten years.
The SEC Yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Funds’ shares at the end of the period.
The distribution rate is calculated by taking the sum of the month’s total distribution factors and dividing this sum by a 30-day period and annualizing to 360-day year. The value is then divided by the ending Net Asset Value (NAV) to arrive at the annualized distribution yield. The yield is calculated on a periodic basis and is subject to change depending on the Funds’ NAV and current distributions.
Shares are not guaranteed by the U.S. Government.
44 Certified Annual Report
INDEX COMPARISON
Thornburg Limited Term Income Fund | September 30, 2004 |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Limited Term Income Fund Class A Total Returns versus
Lehman Brothers Intermediate Government/Credit Index and Consumer Price Index
(October 1, 1992 to September 30, 2004)
Thornburg Limited Term Income Fund, A Shares | $ | 20,122 | ||
Lehman Brothers Intermediate Government/Credit Index | $ | 21,219 | ||
Consumer Price Index | $ | 13,645 |
AVERAGE ANNUAL TOTAL RETURNS
For the periods ended September 30, 2004 (with sales charge)
Since | ||||||||||||||||
1 Yr | 5 Yrs | 10 Yrs | Inception | |||||||||||||
A Shares (Incep: 10/1/92) | 0.44 | % | 6.17 | % | 6.30 | % | 6.00 | % | ||||||||
C Shares (Incep: 9/1/94) | 1.20 | % | 6.10 | % | 6.08 | % | 5.95 | % | ||||||||
R-1 Shares (Incep: 7/1/03) | 2.14 | % | N/A | N/A | 2.10 | % |
FUND ATTRIBUTES
as of September 30, 2004
Annualized | SEC | Maximum | ||||||||||||||
Dist. Rate (NAV) | Yield | NAV | Offering Price | |||||||||||||
A Shares (Incep: 10/1/92) | 3.55 | % | 2.68 | % | $ | 12.80 | $ | 12.99 | ||||||||
C Shares (Incep: 9/1/94) | 3.31 | % | 2.47 | % | $ | 12.78 | $ | 12.78 | ||||||||
R-1 Shares (Incep: 7/1/03) | 3.42 | % | 2.75 | % | $ | 12.81 | $ | 12.81 |
Performance data reflect past performance, which is no guarantee of future results. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares.
For the Limited Term Income Fund, returns reflect the reinvestment of dividends and capital gains and the following sales charges: Class A Shares is 1.50%. C shares include a 0.50% contingent deferred sales charge (CDSC) for the first year only. There is no up front sales charge for R-1 shares.
The Lehman Brothers Intermediate Government/Credit Bond Index is an unmanaged, market-weighted index generally representative of intermediate government and investment grade corporate debt securities having maturities of up to ten years.
The Consumer Price Index (“CPI”) measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. The CPI is also known as the cost-of-living index.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
Certified Annual Report 45
TRUSTEES AND OFFICERS
Thornburg Limited Term Income Funds | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
INTERESTED TRUSTEES(2)(4) | ||||
Garrett Thornburg, 58 Chairman of Trustees Trustee since 1987(3) | CEO, Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor) and Thornburg Securities Corporation (securities dealer); Chairman of Thornburg Limited Term Municipal Fund, Inc. (registered investment company) to 2004; CEO and Chairman of Thornburg Mortgage, Inc. (real estate investment trust); Chairman of Thornburg Mortgage Advisory Corporation (investment manager to Thornburg Mortgage, Inc.). | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Brian J. McMahon, 48 Trustee since 2001 President since 1997(5)(6) | President and Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | None | ||
INDEPENDENT TRUSTEES(2)(4) | ||||
David A. Ater, 59 Trustee since 1994 | Principal in Ater & Ater Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner developer and broker for various real estate projects. | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
David D. Chase, 63 Trustee since 2000 | Chairman, President, CEO, and General Partner of Vestor Partners, LP, Santa Fe, NM (private equity fund); Chairman and CEO of Vestor Holdings, Inc., Santa Fe, NM (merchant bank). | Director of Thornburg Limited Term Municipal Fund, Inc. 2001-2004 | ||
Eliot R. Cutler, 58 Trustee since 2004 | Partner, Akin, Gump, Strauss, Hauer & Feld, LLP, Washington, D.C. (law firm) since November 2000; partner, Cutler & Stanfield, Washington, D.C. (law firm) until November 2000. | Director of Thornburg Limited Term Municipal Fund, Inc. to 2004; director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Susan H. Dubin, 55 Trustee since 2004 | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations; and formerly, Vice President of Chemical Bank (predecessor to JP Morgan Chase & Co.), New York, 1974-1996. | None | ||
Forrest S. Smith, 74 Trustee since 1987 | Trust and estate attorney, of counsel to Catron, Catron & Pottow, Santa Fe, NM (law firm). | None | ||
Owen D. Van Essen, 50 Trustee since 2004 | President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 45 Trustee since 1996 | Executive Vice President and Director to 2002, and since 2002; CEO and Vice Chairman, Nambé Mills, Inc., Santa Fe, NM (manufacturer). | None |
46 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED
Thornburg Limited Term Income Funds | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(6)(7) | ||||
Dawn B. Fischer, 57 Secretary since 1987 | Secretary and Managing Director, Thornburg Investment Management, Inc.; Secretary, Thornburg Limited Term Municipal Fund, Inc. to 2004; Secretary, Thornburg Securities Corporation; Vice President, Daily Tax Free Income Fund, Inc. (registered investment company). | Not applicable | ||
Steven J. Bohlin, 45 Vice President, since 1987; Treasurer since 1989 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
George T. Strickland, 41 Vice President since 1996 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President (and Treasurer since 2003) of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
William V. Fries, 65 Vice President since 1995 | Vice President and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 37 Vice President since 2001 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999-2004. | Not applicable | ||
Kenneth Ziesenheim, 50 Vice President since 1995 | Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Securities Corporation; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Alexander Motola, 34 Vice President since 2001 | Managing Director of Thornburg Investment Management, Inc. since 2000; Portfolio Manager, Insight Capital Research & Management, Inc., Walnut Creek, California 1995-2000. | Not applicable | ||
Wendy Trevisani, 33 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 2000 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999-2002; Sales Representative, Solomon Smith Barney 1996-1999. | Not applicable | ||
Joshua Gonze, 41 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 1999 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Brad Kinkelaar, 36 Vice President since 1999 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 1999, Vice President since 2000, and Managing Director since 2004; Equity Investment Analyst, State Farm Insurance Companies 1996-1999. | Not applicable | ||
Kerry D. Lee, 37 Vice President since 1999 | Vice President of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable |
Certified Annual Report 47
TRUSTEES AND OFFICERS, CONTINUED
Thornburg Limited Term Income Funds | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
Christopher Ihlefeld, 34 Vice President since 2003 | Associate Portfolio Manager since 1999; Vice President of Thornburg Investment Management, Inc. since 2002; Vice President of Limited Term Municipal Fund, Inc., 2003-2004. | Not applicable | ||
Leon Sandersfeld, 38 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2002; Senior Staff Accountant, Farm Bureau Life Insurance Co. 1998-2002. | Not applicable | ||
Sasha Wilcoxon, 30 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2000; and Mutual Fund Support Service Department Manager since 2002. | Not applicable | ||
Ed Maran, 46 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Analyst, USAA 2001–2002; Oil Analyst, A.G. Edwards 1997–2000. | Not applicable | ||
Vinson Walden, 34 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Associate Portfolio Manager, Ibis Management 2002–2004; Associate, Lehman Brothers, 1997–2001. | Not applicable |
(1) | Each person’s address is 119 East Marcy Street, Santa Fe, New Mexico 87501. | |||
(2) | The Fund is one of twelve separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. The Trust currently has twelve active Funds. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twelve funds of the Trust. Each Trustee oversees the twelve portfolios in the fund complex. | |||
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is a director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twelve active funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. | |||
(4) | Each Trustee serves in office until the election and qualification of a successor. | |||
(5) | Mr. McMahon is considered an “interested” Trustee because he is the president of Thornburg Investment Management, Inc. | |||
(6) | The Trust’s president, secretary and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. | |||
(7) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
48 Certified Annual Report
OTHER INFORMATION (UNAUDITED)
Thornburg Limited Term Income Funds | September 30, 2004 |
PORFOLIO PROXY VOTING
The Trust has delegated to Thornburg Investment Management, Inc. (“the Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.
Commencing August 31, 2004, information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request, on the Thornburg website at www.thornburg.com and (ii) on the Securities and Exchange Commission’s website at www.sec.gov.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund will file with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year, commencing with the calendar quarter ending December 31, 2004. The Fund’s Forms N-Q will be available on the Commission’s website at http://www.sec.gov, or may be copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
SHAREHOLDER MEETING INFORMATION
A special meeting (the “Meeting”) of the shareholders of Thornburg Investment Trust (the “Trust”) was held on September 13, 2004 at the offices of Thornburg Investment Management, Inc., 119 East Marcy Street, Santa Fe, New Mexico 87501. Thornburg Limited Term U.S. Government Fund and Thornburg Limited Term Income Fund are two of 12 active series or “Funds” of the Trust.
The shareholders of the Trust considered at the Meeting (i) the election of Trustees, and (ii) ratification of the selection of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm for the fiscal year ending September 30, 2004.
The Trustees elected at the Meeting were Garrett Thornburg, David A. Ater, David D. Chase, Eliot R. Cutler, Susan H. Dubin, Brian J. McMahon, Owen D. Van Essen and James W. Weyhrauch. Forrest S. Smith, a Trustee since 1987 did not stand for election; his term of office will continue through the end of 2004, when he will retire in accordance with the Trust’s Bylaws. The shareholders also ratified the appointment of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm.
The voting results for the matters voted on are set out for each Fund as follows:
Election of Trustees
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Garrett Thornburg | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,772,086.332 | 692,014.443 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,202,049.716 | 217,551.648 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,555.521 | 114,080.445 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,255,221.686 | 81,237.603 | – | – | ||||||||||||
Thornburg Value Fund | 64,672,758.966 | 447,696.934 | – | – | ||||||||||||
Thornburg International Value Fund | 59,954,867.369 | 1,241,990.622 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,135,097.039 | 21,483.205 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,943.082 | 122,916.941 | – | – | ||||||||||||
Total: | 345,469,631.406 | 3,282,138.627 | – | – |
Certified Annual Report 49
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg Limited Term Income Funds | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
David A. Ater | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,797,094.826 | 667,005.949 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,898.015 | 244,703.349 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,174.575 | 74,750.866 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,356,553.614 | 118,082.352 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,645.960 | 84,813.329 | – | – | ||||||||||||
Thornburg Value Fund | 64,673,309.598 | 447,696.934 | – | |||||||||||||
Thornburg International Value Fund | 60,746,833.041 | 450,024.950 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,382.888 | 24,197.356 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,615.730 | 120,243.993 | – | – | ||||||||||||
Total: | 346,235,149.064 | 2,517,171.301 | – | – | ||||||||||||
David D. Chase | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,792,336.993 | 671,763.782 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,107,955.251 | 64,970.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,243,684.887 | 92,774.402 | – | – | ||||||||||||
Thornburg Value Fund | 64,693,947.421 | 446,508.479 | – | – | ||||||||||||
Thornburg International Value Fund | 60,752,533.146 | 444,324.845 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,837,095.494 | 116,764.229 | – | – | ||||||||||||
Total: | 346,310,480.812 | 2,461,288.921 | – | – | ||||||||||||
Eliot R. Cutler | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,785,534.542 | 678,566.233 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,449,458.366 | 232,489.857 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,199,536.657 | 220,064.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,111,971.636 | 60,953.805 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,350,526.614 | 124,109.352 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,250,801.917 | 85,657.372 | – | – | ||||||||||||
Thornburg Value Fund | 64,599,511.493 | 520,944.407 | – | – | ||||||||||||
Thornburg International Value Fund | 60,724,718.843 | 472,139.148 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,134,780.624 | 21,799.620 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,832,732.499 | 121,127.224 | – | – | ||||||||||||
Total: | 346,159,119.642 | 2,592,650.361 | – | – | ||||||||||||
Susan H. Dubin | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,874.816 | 670,225.959 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,198,659.272 | 220,942.092 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,110,371.636 | 62,553.805 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,372,811.385 | 101,824.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,249,237.865 | 87,221.424 | – | – |
50 Certified Annual Report
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg Limited Term Income Funds | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Value Fund | 64,679,778.577 | 440,677.323 | – | – | ||||||||||||
Thornburg International Value Fund | 60,742,583.265 | 454,274.726 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,454.801 | 120,404.922 | – | – | ||||||||||||
Total: | 346,285,090.525 | 2,466,679.208 | – | – | ||||||||||||
Brian J. McMahon | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,795,559.677 | 668,541.098 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,205,930.716 | 213,670.648 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,104,748.707 | 68,176.734 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 102,726.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,724.960 | 84,734.329 | – | – | ||||||||||||
Thornburg Value Fund | 64,681,039.437 | 439,416.463 | – | – | ||||||||||||
Thornburg International Value Fund | 60,010,455.736 | 1,186,402.255 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,131,956.015 | 24,624.229 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,227.440 | 120,632.283 | – | – | ||||||||||||
Total: | 345,556,209.517 | 3,195,560.216 | – | – | ||||||||||||
Owen D. Van Essen | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,348.831 | 670,751.944 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,730.914 | 244,870.450 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,708.092 | 74,217.349 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,248,394.246 | 88,065.043 | – | – | ||||||||||||
Thornburg Value Fund | 64,674,135.776 | 446,320.124 | – | – | ||||||||||||
Thornburg International Value Fund | 60,684,276.889 | 512,581.102 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,962.507 | 122,897.216 | – | – | ||||||||||||
Total: | 346,178,126.548 | 2,573,643.185 | – | – | ||||||||||||
James W. Weyhrauch | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,789,717.177 | 674,383.598 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 126,726.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,254,156.818 | 82,302.471 | – | – | ||||||||||||
Thornburg Value Fund | 64,683,895.944 | 436,559.906 | – | – | ||||||||||||
Thornburg International Value Fund | 60,726,245.097 | 470,612.894 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,836,311.264 | 117,548.459 | – | – | ||||||||||||
Total: | 346,278,127.848 | 2,497,641.885 | – | – |
Certified Annual Report 51
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg Limited Term Income Funds | September 30, 2004 |
Ratification of Selection of Independent Registered Public Accounting Firm
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Limited Term Municipal Fund | 89,266,423.303 | 430,123.930 | 767,553.542 | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,354,990.466 | 167,198.030 | 159,759.457 | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 27,957,900.165 | 174,857.659 | 286,893.540 | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,067,166.377 | 1,155.000 | 104,604.064 | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,911,733.415 | 6,868.306 | 9,157.121 | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,784,834.660 | 23,509.648 | 38,241.937 | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,583.780 | 33,945.016 | 80,017.170 | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,123,259.928 | 57,081.625 | 156,117.736 | – | ||||||||||||
Thornburg Value Fund | 64,569,333.454 | 212,238.433 | 338,884.013 | – | ||||||||||||
Thornburg International Value Fund | 60,444,286.231 | 343,771.766 | 408,700.994 | – | ||||||||||||
Thornburg Core Growth Fund | 6,110,013.492 | 32,603.465 | 13,963.287 | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,812,877.547 | 40,509.369 | 100,472.807 | – | ||||||||||||
Totals | 344,763,402.818 | 1,523,862.247 | 2,464,365.668 | – |
52 Certified Annual Report
Thornburg Limited Term Income Funds
I Shares – September 30, 2004
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
4 Certified Annual Report
Important Information
Performance data quoted represent the past and are no guarantee of future results. Current returns may be either lower or higher than those shown. Share prices and returns will fluctuate and investors may experience a loss upon redemption. There is no guarantee that the Fund will meet its objectives. Shares in the Fund carry risks, including possible loss of principal. The principal value of a bond fund will decrease when interest rates rise.
Minimum investments for Class I-share are higher than those for other classes.
For the Limited Term U.S. Government Fund, returns reflect the reinvestment of dividends and capital gains. There is no up-front sales charge for I shares.
For the Limited Term Income Fund, returns reflect the reinvestment of dividends and capital gains. There is no up-front sales charge for I shares.
For the most recent month-end performance information, visit www.thornburg.com.
The information presented on the following pages was current as of September 30, 2004. The manager’s views, portfolio holdings, and sector diversification are historical and subject to change. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each Fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any Fund to differ materially as compared to its benchmarks.
Glossary
The Lehman Brothers Intermediate Government/Credit Bond Index – An unmanaged, market-weighted index generally representative of intermediate government and investment-grade corporate debt securities having maturities of up to ten years.
The Lehman Brothers Intermediate Government Bond Index – An unmanaged, market-weighted index generally representative of all public obligations of the U.S. Government, its agencies and instrumentalities having maturities of up to ten years.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
Duration – The measure of the price sensitivity of a fixed-income security to an interest rate change of 100 basis points. Calculation is based on the weighted average of the present values for all cash flows.
Consumer Price Index (“CPI”) – Measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. The CPI is also known as the cost-of-living index.
Certified Annual Report 5
Letter to Shareholders
Steve Bohlin
Portfolio Manager
October 18, 2004
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, 2004. The net asset value of an I share of the Thornburg Limited Term Income Fund ended the period at $12.80. If you were invested for the entire period, you received dividends of 47.0 cents per share. If you reinvested your dividends, you received 47.7 cents per share. The net asset value of an I share of the Thornburg Limited Term U.S. Government Fund ended the year at $13.01. If you were invested for the entire period, you received dividends of 38.6 cents per share. If you reinvested your dividends, you received 39.2 cents per share. Please read the accompanying exhibits for more detailed information and history.
Interest rates on U.S. Treasuries generally rose during the last year. The 5-year Treasury yield rose from 2.86% to end the period at 3.38%. However, the market fluctuated widely in the interim. For example, the yield on a 5-year U.S. Treasury ranged between a high of 4.10% and a low of 2.65% over the period. Interest rates mostly rose through November before starting a downward trend through March. Market yields rose rapidly from April through June before starting a downward trend from June through September. There was also a flattening of the yield curve as shorter-term interest rates rose more than longer-term rates. Quality spreads (the additional yield on a corporate bond) contracted through December and have primarily remained at those lower levels through the remainder of the period.
Putting income and the change in price together, the I shares of the Thornburg Limited Term Income Fund produced a total return of 2.29% over the year, assuming a beginning-of-the-period investment at the net asset value. The Lehman Brothers Intermediate Government/Credit Index produced a 2.65% total return over the same time period. The I shares of the Thornburg Limited Term U.S. Government Fund produced a total return of 1.37% over the year, assuming a beginning-of-the-period investment at the net asset value. The Lehman Brothers Intermediate Government Index produced a 1.90% total return over the same time period. The Funds kept their maturities concentrated in the front years of the ladder. The flattening of the yield curve caused shorter-term bonds to underperform longer-term bonds. For example, the yield on a 3-year Treasury rose 100 basis points while the yield on a 10-year Treasury rose only 18 basis points. The Funds also shortened their average maturities in the second quarter of 2004 as interest rates rose and, therefore, had shorter durations than the indices during the rally that took place from June to September. Also, the Thornburg Limited Term Income Fund did not own some of the lower-rated credits represented in the Index. Some of these bonds benefited from the significant contraction in spreads to Treasuries on lower rated credits during the period. We have kept our durations shorter than the Indices thus far in 2004 because we believe doing so will improve the Funds’ returns relative to the Indices if interest rates continue to rise.
After reaching their highs for the year in June 2004, interest rates have fallen, even though the Federal Reserve Board has been raising the Fed Funds Rate. This has caused a
6 Certified Annual Report
flattening of the yield curve as short rates need to rise to keep up with the Fed, but long rates have actually fallen since the start of the tightening cycle. The continued rise in the price of oil has market participants convinced that the economy will slow down. This, coupled with moderate job growth, has some people convinced that long-term interest rate scenarios are benign. It is interesting to note that the increase in employment has averaged 142,000 per month since last September.
It remains to be seen if the rise in oil prices will, in fact, slow the U.S. economy. Other aspects of the U.S. economy have continued increasing as the U.S. moves away from the last recession: the GDP growth has been relatively robust, and an increase in household wealth appears to be sustaining spending in this cycle, not evident in earlier cycles. That may be due to the ease of taking money out of assets, especially houses through mortgage refinancing. A huge influx of foreign investments has helped, pushing down interest rates and boosting asset values. Over the past three years, foreigners have purchased over $675 billion in corporate bonds, over $700 billion of Treasuries, and $575 billion in Agency securities. This has helped corporate spreads as well. There has been a large improvement in credit spreads on corporate bonds over the last few years, but that improvement has moderated over the last six months, as quality spreads are now at levels last seen in 1998.
Given the uptick in inflation, the Fed Funds Rate is still very adaptive. If strong GDP growth continues and employment is rising, the last ingredient for the Fed staying accommodative is low inflation. The year-over-year change in the Consumer Price Index is 2.5%. The members of the Federal Open Market Committee have stated that they do not believe that inflation is much of a problem right now. Indeed, a 2.5% change in inflation is within the tolerances that the Fed has stated as its price stability goal. But the upward move in the “core inflation” numbers is eye-catching, as it may portend further increases in the rate of inflation. However, even if this 2.5% level holds, that means an investor is paying the U.S. Treasury to borrow their money, because the U.S. Treasury can pay the loan back with inflated dollars. They currently can borrow for one year at 2.1% and pay back the loan with dollars that are worth 2.5% less. An investor needs to venture further out the yield curve to reach a level that pays more than the rate of inflation.
It appears evident that the Fed will maintain their “measured pace”; the lost jobs are slowly being replaced; the economy is growing at a steady pace; and inflation is moderate. Eventually, the Fed Funds Rate needs to be at a neutral level, which would be at least the rate of inflation. Any marked increase in the pace of these data will cause the Fed to accelerate their “pace.” Unless inflation slows remarkably, the current level of the 10-year Treasury is not justified. We are cognizant of this as we invest these portfolios.
The Thornburg Limited Term Income Fund and the Thornburg Limited Term U.S. Government Fund are laddered portfolios of short-to-intermediate bonds. 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 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, and they can provide income for the portfolio, and over the years, they have provided an attractive return versus money market instruments.
Certified Annual Report 7
Letter to Shareholders
continued
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.
Sincerely,
Steve Bohlin
Portfolio Manager
8 Certified Annual Report
STATEMENTS OF ASSETS AND LIABILITIES
Thornburg Limited Term Income Funds | September 30, 2004 |
Limited Term U.S. | Limited Term | |||||||
Government Fund | Income Fund | |||||||
ASSETS | ||||||||
Investments at value (cost $219,401,181 and $377,883,579 respectively) | $ | 219,794,226 | $ | 386,039,073 | ||||
Cash | 399,008 | 214,771 | ||||||
Receivable for investments sold | 0 | 519,749 | ||||||
Principal receivable | 11,346 | 0 | ||||||
Receivable for fund shares sold | 1,257,852 | 1,768,631 | ||||||
Interest receivable | 1,800,559 | 3,968,622 | ||||||
Prepaid expenses and other assets | 56,634 | 70,779 | ||||||
Total Assets | 223,319,625 | 392,581,625 | ||||||
LIABILITIES | ||||||||
Payable for securities purchased | 0 | 4,050,000 | ||||||
Payable for fund shares redeemed | 376,828 | 1,328,867 | ||||||
Accounts payable and accrued expenses | 54,543 | 109,029 | ||||||
Payable to investment advisor and other affiliates (Note 3) | 143,188 | 231,384 | ||||||
Dividends payable | 88,189 | 272,552 | ||||||
Total Liabilities | 662,748 | 5,991,832 | ||||||
NET ASSETS | $ | 222,656,877 | $ | 386,589,793 | ||||
NET ASSETS CONSIST OF: | ||||||||
Undistributed (distribution in excess of) net investment income | $ | 181,257 | $ | 195,289 | ||||
Net unrealized appreciation (depreciation) on investments | 393,045 | 8,155,755 | ||||||
Accumulated net realized (gain) loss | (742,946 | ) | (3,078,191 | ) | ||||
Net capital paid in on shares of beneficial interest | 222,825,521 | 381,316,940 | ||||||
$ | 222,656,877 | $ | 386,589,793 | |||||
NET ASSET VALUE: | ||||||||
Class A Shares: | ||||||||
Net asset value and redemption price per share ($163,529,723 and $230,255,792 applicable to 12,568,446 and 17,983,751 shares of beneficial interest outstanding — Note 4) | $ | 13.01 | $ | 12.80 | ||||
Maximum sales charge, 1.50% of offering price | 0.20 | 0.19 | ||||||
Maximum Offering Price Per Share | $ | 13.21 | $ | 12.99 | ||||
Class B Shares: | ||||||||
Net asset value, offering and redemption price per share* ($2,395,971 applicable to 184,576 shares of beneficial interest outstanding — Note 4) | $ | 12.98 | $ | 0 | ||||
Certified Annual Report 9
STATEMENTS OF ASSETS AND LIABILITIES, CONTINUED
Thornburg Limited Term Income Funds | September 30, 2004 |
Limited Term U.S. | Limited Term | |||||||
Government Fund | Income Fund | |||||||
Class C Shares: | ||||||||
Net asset value and offering price per share * ($43,404,372 and $65,398,041 applicable to 3,315,659 and 5,116,053 shares of beneficial interest outstanding — Note 4) | $ | 13.09 | $ | 12.78 | ||||
Class I Shares: | ||||||||
Net asset value, offering and redemption price per share ($12,905,006 and $90,025,014 applicable to 992,058 and 7,030,930 shares of beneficial interest outstanding — Note 4) | $ | 13.01 | $ | 12.80 | ||||
Class R-1 Shares: | ||||||||
Net asset value, offering and redemption price per share ($421,805 and $910,946 applicable to 32,397 and 71,120 shares of beneficial interest outstanding — Note 4) | $ | 13.02 | $ | 12.81 | ||||
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charges. See notes to financial statements. |
10 Certified Annual Report
STATEMENTS OF OPERATIONS
Thornburg Limited Term Income Funds | Year Ended September 30, 2004 |
Limited Term U.S. | Limited Term | |||||||
Government Fund | Income Fund | |||||||
INVESTMENT INCOME: | ||||||||
Interest income (net of premium amortized of $2,186,854 and $1,381,058 respectively) | $ | 8,370,660 | $ | 15,396,032 | ||||
EXPENSES: | ||||||||
Investment advisory fees (Note 3) | 863,926 | 1,784,799 | ||||||
Administration fees (Note 3) | ||||||||
Class A Shares | 207,108 | 265,816 | ||||||
Class B Shares | 3,200 | 0 | ||||||
Class C Shares | 62,108 | 76,933 | ||||||
Class I Shares | 6,159 | 41,261 | ||||||
Class R-1 Shares | 160 | 298 | ||||||
Distribution and service fees (Note 3) | ||||||||
Class A Shares | 345,974 | 481,910 | ||||||
Class B Shares | 25,614 | |||||||
Class C Shares | 496,812 | 615,555 | ||||||
Class R-1 Shares | 655 | 1,221 | ||||||
Transfer agent fees | ||||||||
Class A Shares | 147,670 | 220,090 | ||||||
Class B Shares | 17,896 | |||||||
Class C Shares | 65,475 | 75,072 | ||||||
Class I Shares | 21,129 | 42,275 | ||||||
Class R-1 Shares | 2,481 | 1,693 | ||||||
Registration and filing fees | ||||||||
Class A Shares | 14,280 | 12,624 | ||||||
Class B Shares | 10,960 | |||||||
Class C Shares | 9,006 | 9,014 | ||||||
Class I Shares | 8,311 | 8,260 | ||||||
Class R-1 Shares | 13,436 | 13,483 | ||||||
Custodian fees (Note 3) | 128,994 | 171,139 | ||||||
Professional fees | 29,063 | 69,075 | ||||||
Accounting fees | 22,420 | 26,225 | ||||||
Trustee fees | 6,079 | 9,367 | ||||||
Other expenses | 64,276 | 97,551 | ||||||
Total Expenses | 2,573,192 | 4,023,661 | ||||||
Less: | ||||||||
Expenses reimbursed by investment advisor (Note 3) | (59,784 | ) | (288,358 | ) | ||||
Distribution and service fees waived (Note 3) | (246,051 | ) | (303,878 | ) | ||||
Fees paid indirectly (Note 3) | (5,164 | ) | (5,439 | ) | ||||
Net Expenses | 2,262,193 | 3,425,986 | ||||||
Net Investment Income | $ | 6,108,467 | $ | 11,970,046 | ||||
Certified Annual Report 11
STATEMENTS OF OPERATIONS, CONTINUED
Thornburg Limited Term Income Funds | Year Ended September 30, 2004 |
Limited Term U.S. | Limited Term | |||||||
Government Fund | Income Fund | |||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||
Net Realized Gain (Loss) on: | ||||||||
Investments | $ | 2,572,794 | $ | (1,203,824 | ) | |||
Foreign currency transactions | 0 | 6,191 | ||||||
2,572,794 | (1,197,633 | ) | ||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investments | (6,634,413 | ) | (3,680,211 | ) | ||||
Foreign currency translation | 0 | (1,009 | ) | |||||
(6,634,413 | ) | (3,681,220 | ) | |||||
Net Realized and Unrealized Gain (Loss) on Investments | (4,061,619 | ) | (4,878,853 | ) | ||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 2,046,848 | $ | 7,091,193 | ||||
See notes to financial statements.
12 Certified Annual Report
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Limited Term U.S. Government Fund
Year Ended | Year Ended | |||||||
September 30, 2004 | September 30, 2003 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 6,108,467 | $ | 7,983,017 | ||||
Net realized gain (loss) on investments sold | 2,572,794 | 4,695,491 | ||||||
Increase (Decrease) in unrealized appreciation of investments | (6,634,413 | ) | (5,709,054 | ) | ||||
Net Increase (Decrease) in Net Assets | ||||||||
Resulting from Operations | 2,046,848 | 6,969,454 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (4,505,818 | ) | (6,174,157 | ) | ||||
Class B Shares | (42,140 | ) | (50,597 | ) | ||||
Class C Shares | (1,193,563 | ) | (1,378,892 | ) | ||||
Class I Shares | (363,591 | ) | (379,370 | ) | ||||
Class R-1 Shares | (3,340 | ) | (1 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | (10,449,346 | ) | 21,836,105 | |||||
Class B Shares | (628,485 | ) | 3,080,205 | |||||
Class C Shares | (11,845,239 | ) | 25,756,540 | |||||
Class I Shares | 19,693 | 6,129,775 | ||||||
Class R-1 Shares | 421,885 | 76 | ||||||
Net Increase (Decrease) in Net Assets | (26,543,096 | ) | 55,789,138 | |||||
NET ASSETS: | ||||||||
Beginning of year | 249,199,973 | 193,410,835 | ||||||
End of year | $ | 222,656,877 | $ | 249,199,973 | ||||
See notes to financial statements.
Certified Annual Report 13
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Limited Term Income Fund
Year Ended | Year Ended | |||||||
September 30, 2004 | September 30, 2003 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 11,970,046 | $ | 9,222,797 | ||||
Net realized gain (loss) on investments sold | (1,197,633 | ) | 1,075,205 | |||||
Increase (Decrease) in unrealized appreciation of investments and foreign currency translation | (3,681,220 | ) | 2,954,124 | |||||
Net Increase (Decrease) in Net Assets | ||||||||
Resulting from Operations | 7,091,193 | 13,252,126 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (7,103,088 | ) | (5,571,809 | ) | ||||
Class C Shares | (1,897,482 | ) | (1,505,535 | ) | ||||
Class I Shares | (3,012,694 | ) | (2,145,452 | ) | ||||
Class R-1 Shares | (8,104 | ) | (1 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 48,582,688 | 77,437,936 | ||||||
Class C Shares | 11,375,293 | 23,908,108 | ||||||
Class I Shares | 31,761,582 | 19,271,605 | ||||||
Class R-1 Shares | 903,829 | 76 | ||||||
Net Increase (Decrease) in Net Assets | 87,693,217 | 124,647,054 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 298,896,576 | 174,249,522 | ||||||
End of year | $ | 386,589,793 | $ | 298,896,576 | ||||
See notes to financial statements.
14 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS
Thornburg Limited Term Income Funds | September 30, 2004 |
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 ten series of shares of beneficial interest in addition to those of the Funds: Thornburg Limited Term Municipal Fund, Thornburg California Limited Term Municipal Fund, Thornburg Florida Intermediate Municipal Fund, Thornburg New York Intermediate Municipal Fund, Thornburg New Mexico Intermediate Municipal Fund, Thornburg Intermediate Municipal Fund, Thornburg Value Fund, Thornburg International Value Fund, Thornburg Core Growth Fund, and Thornburg Investment Income Builder Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Funds’ objectives are to obtain as high a level of current income as is consistent with the preservation of capital.
The Government Fund currently offers five classes of shares of beneficial interest, Class A, Class B, Class C, Institutional Class (Class I), and Retirement Class (Class R-1) shares. The Income Fund currently offers four classes of shares of beneficial interest, Class A, Class C, Institutional Class (Class I), and Retirement Class (Class R-1) shares. Each class of shares of a fund represents an interest in the same portfolio of investments of that 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 B shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption and bear both a service fee and distribution fee, (iii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption and bear both a service fee and a distribution fee, (iv) Class I shares are sold at net asset value without a sales charge at the time of purchase, (v) Class R-1 shares are sold at net asset value without a sales charge, but bear both a service fee and a distribution fee, and (vi) 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 service and distribution fees, administrative fees and certain registration and 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, normally 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 approximates market value.
Federal Income Taxes: It is the policy of the Funds to comply with the provisions of the Internal Revenue code applicable to “regulated investment companies” and to distribute all of their taxable income, including any net realized gain on investments, to its shareholders. Therefore, no provision for Federal income taxes is required.
When-Issued and Delayed Delivery Transactions: The Funds may engage in when-issued or delayed delivery transactions. To the extent the Funds engage in such transactions, they will do so for the purpose of acquiring portfolio securities consistent with their investment objectives and not for the purpose of investment leverage or to speculate on interest rate changes. At the time the Funds make a commitment to purchase a security on a when-issued basis, they will record the transaction and reflect the value in determining each 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 at least annually.
General: Securities transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums
Certified Annual Report 15
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Income Funds | September 30, 2004 |
and 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. Net investment income, other than class specific expenses, and realized and unrealized gains and losses, are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current share activity of the respective class). Expenses common to all funds are allocated among the funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
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 Income 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 Income Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid.
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
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 “Advisor”) serves as the investment advisor and performs services to the Funds for which the fees are payable at the end of each month. For the year ended September 30, 2004, these fees were payable at annual rates ranging from .375 of 1% to .275 of 1% of the average daily net assets of the Government Fund and .50 of 1% to .275 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 Advisor, whereby the Advisor 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 .125 of 1% of the average daily net assets attributable to Class A, Class B, Class C, and Class R-1 shares, and up to .05 of 1% of the average daily net assets attributable to Class I shares. For the year ended September 30, 2004, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and Distribution Fees of $19,171, $11,847, $12,584, and $16,182 for the Class B, C, I, and R-1 shares, respectively, of the Government Fund and $157,475, $77,983, $37,056, and $15,844 for the Class A, C, I, and R-1 shares, respectively, of the Income Fund.
The Funds have underwriting agreements with Thornburg Securities Corporation (the “Distributor,” an affiliate of the advisor), which acts as the distributor of each Fund’s shares. For the year ended September 30, 2004, the Distributor has advised the Funds that it earned net commissions aggregating $1,972 and $1,098 from the sales of Class A shares of the Government Fund and Income Fund, respectively, and collected contingent deferred sales charges aggregating $15,528 and $18,084 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, the Funds may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of its average daily net assets attributable to the Class A, Class B, Class C, and Class R-1 shares of the Funds for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder related services. The Advisor may pay out of its own resources additional expenses for distribution of each Fund’s shares.
The Funds have also adopted distribution plans pursuant to Rule 12b-1, applicable to each Fund’s Class B, Class C, and Class R-1 shares under which the Funds compensate the Distributor for services in promoting the sale of Class B, C, and R-1 shares of the Funds at an annual rate of up to .75 of 1% of
16 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Income Funds | September 30, 2004 |
the average daily net assets attributable to these classes. Total fees incurred by each class of shares of the Funds under their respective service and distribution plans for the year ended September 30, 2004 are set forth in the Statements of Operations. Distribution fees of $246,051 and $303,908 respectively for Class C shares of the Government Fund and Income Fund were waived.
The Funds have an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by each fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees have been adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the Statements of Operations. For the year ended September 30, 2004, the fees paid indirectly were $5,164 and $5,439 for the Government Fund and Income Fund respectively.
Certain officers and trustees of the Trust are also officers and/or directors of the Advisor and Distributor. The compensation of unaffiliated trustees is borne by the Trust.
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At September 30, 2004 there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
GOVERNMENT FUND | Year Ended | Year Ended | ||||||||||||||
September 30, 2004 | September 30, 2003 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 3,221,701 | $ | 42,079,302 | 7,033,728 | $ | 93,088,730 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 258,973 | 3,377,519 | 352,071 | 4,651,838 | ||||||||||||
Shares repurchased | (4,285,525 | ) | (55,906,167 | ) | (5,757,412 | ) | (75,904,463 | ) | ||||||||
Net Increase (Decrease) | (804,851 | ) | $ | (10,449,346 | ) | 1,628,387 | $ | 21,836,105 | ||||||||
Class B Shares | ||||||||||||||||
Shares sold | 78,261 | $ | 1,011,694 | 265,526 | $ | 3,519,557 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 1,992 | 25,958 | 2,704 | 35,753 | ||||||||||||
Shares repurchased | (128,014 | ) | (1,666,137 | ) | (35,893 | ) | (475,105 | ) | ||||||||
Net Increase (Decrease) | (47,761 | ) | $ | (628,485 | ) | 232,337 | $ | 3,080,205 | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 728,926 | $ | 9,584,018 | 2,733,738 | $ | 36,415,998 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 67,056 | 880,006 | 83,795 | 1,113,966 | ||||||||||||
Shares repurchased | (1,700,988 | ) | (22,309,263 | ) | (887,516 | ) | (11,773,424 | ) | ||||||||
Net Increase (Decrease) | (905,006 | ) | $ | (11,845,239 | ) | 1,930,017 | $ | 25,756,540 | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 415,995 | $ | 5,417,464 | 808,309 | $ | 10,671,009 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 23,453 | 305,738 | 24,410 | 322,502 | ||||||||||||
Shares repurchased | (436,875 | ) | (5,703,509 | ) | (367,766 | ) | (4,863,736 | ) | ||||||||
Net Increase (Decrease) | 2,573 | $ | 19,693 | 464,953 | $ | 6,129,775 | ||||||||||
Class R-1 Shares | ||||||||||||||||
Shares sold | 33,177 | $ | 432,173 | 6 | $ | 75 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 186 | 2,416 | — | 1 | ||||||||||||
Shares repurchased | (972 | ) | (12,704 | ) | — | — | ||||||||||
Net Increase (Decrease) | 32,391 | $ | 421,885 | 6 | $ | 76 | ||||||||||
Certified Annual Report 17
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Income Funds | September 30, 2004 |
INCOME FUND | Year Ended | Year Ended | ||||||||||||||
September 30, 2004 | September 30, 2003 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 7,793,807 | $ | 99,954,867 | 8,212,612 | $ | 105,632,467 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 403,134 | 5,160,648 | 317,279 | 4,076,963 | ||||||||||||
Shares repurchased | (4,413,893 | ) | (56,532,827 | ) | (2,518,725 | ) | (32,271,494 | ) | ||||||||
Net Increase (Decrease) | 3,783,048 | $ | 48,582,688 | 6,011,166 | $ | 77,437,936 | ||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 2,147,268 | $ | 27,537,572 | 2,753,770 | $ | 35,318,563 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 100,334 | 1,282,321 | 83,893 | 1,076,023 | ||||||||||||
Shares repurchased | (1,365,887 | ) | (17,444,600 | ) | (973,489 | ) | (12,486,478 | ) | ||||||||
Net Increase (Decrease) | 881,715 | $ | 11,375,293 | 1,864,174 | $ | 23,908,108 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 4,876,662 | $ | 62,615,919 | 2,435,755 | $ | 31,247,349 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 214,441 | 2,744,433 | 150,329 | 1,931,913 | ||||||||||||
Shares repurchased | (2,637,669 | ) | (33,598,770 | ) | (1,080,571 | ) | (13,907,657 | ) | ||||||||
Net Increase (Decrease) | 2,453,434 | $ | 31,761,582 | 1,505,513 | $ | 19,271,605 | ||||||||||
Class R-1 Shares | ||||||||||||||||
Shares sold | 71,754 | $ | 911,924 | 6 | $ | 75 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 223 | 2,855 | — | 1 | ||||||||||||
Shares repurchased | (863 | ) | (10,950 | ) | — | — | ||||||||||
Net Increase (Decrease) | 71,114 | $ | 903,829 | 6 | $ | 76 | ||||||||||
NOTE 5 – SECURITIES TRANSACTIONS
For the year ended September 30, 2004, portfolio purchase and sale transactions (excluding short-term securities) were $30,660,612 and $61,569,919 for the Government Fund and $164,766,639 and $77,345,639 for the Income Fund, respectively.
NOTE 6 – INCOME TAXES
At September 30, 2004, information on the tax components of capital is as follows:
Government Fund | Income Fund | |||||||
Cost of investments for tax purpose | $ | 219,401,181 | $ | 377,891,566 | ||||
Gross unrealized appreciation on a tax basis | $ | 2,151,001 | $ | 9,486,517 | ||||
Gross unrealized depreciation on a tax basis | (1,757,956 | ) | (1,338,749 | ) | ||||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 393,045 | $ | 8,147,507 | ||||
Distributable Earnings ordinary income | $ | 195,092 | $ | 224,841 | ||||
18 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Income Funds | September 30, 2004 |
At September 30, 2004, the Government Fund had tax basis capital losses, which may be carried over to offset future capital gains. Such losses expire as follows:
2009 | $ | 729,335 | ||
2010 | 13,611 | |||
$ | 742,946 | |||
At September 30, 2004, the Income Fund had tax basis capital losses, which may be carried over to offset future capital gains. Such losses expire as follows:
2008 | $ | 497,824 | ||
2009 | 650,941 | |||
2010 | 308,333 | |||
$ | 1,457,098 | |||
The Government Fund utilized $2,474,887 and the Income Fund utilized $182,795 of capital loss carry forwards for the year ended September 30, 2004. Unutilized tax basis capital losses may be carried forward to offset realized gains in future years. To the extent such carry forwards are used, capital gains distributions may be reduced to the extent provided by regulations.
During the year ended September 30, 2004, $43,183 of capital loss carry forwards from prior years expired for the Income Fund.
As of September 30, 2004, the Income Fund had deferred capital losses occurring subsequent to October 31, 2003 of $1,613,106. For tax purposes, such losses will be reflected in the year ending September 30, 2005.
In order to account for book/tax differences, The Government Fund increased undistributed net investment income (loss) by $97,907 and increased accumulated net realized (loss) by $97,907. The Income Fund increased undistributed net investment income (loss) by $240,665, increased accumulated net realized (loss) by $197,482, and decreased net paid in capital paid in on shares of beneficial interest by $43,183. This reclass has no impact on the net asset value of the Fund. Reclassifications result primarily from foreign currency, paydowns, and an expired capital loss carry forward.
For tax purposes, distributions for the years ended September 30, 2004 and September 30, 2003, were paid from ordinary income.
Certified Annual Report 19
FINANCIAL HIGHLIGHTS
Thornburg Limited Term U.S. Government Fund
Year Ended September 30, | ||||||||||||||||||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||||||||||||||||
PER SHARE PERFORMANCE (for a share outstanding throughout the year) | ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 13.22 | $ | 13.27 | $ | 12.77 | $ | 12.03 | $ | 12.05 | ||||||||||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||||||||
Net investment income | 0.39 | 0.51 | 0.62 | 0.72 | 0.72 | |||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.21 | ) | (0.05 | ) | 0.50 | 0.74 | (0.02 | ) | ||||||||||||||||||||||||||||||
Total from investment operations | 0.18 | 0.46 | 1.12 | 1.46 | 0.70 | |||||||||||||||||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||||||||||||||||
Net investment income | (0.39 | ) | (0.51 | ) | (0.62 | ) | (0.72 | ) | (0.72 | ) | ||||||||||||||||||||||||||||
Change in net asset value | (0.21 | ) | (0.05 | ) | 0.50 | 0.74 | (0.02 | ) | ||||||||||||||||||||||||||||||
NET ASSET VALUE, end of year | $ | 13.01 | $ | 13.22 | $ | 13.27 | $ | 12.77 | $ | 12.03 | ||||||||||||||||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||
Total return | 1.37 | % | 3.51 | % | 9.11 | % | 12.45 | % | 6.07 | % | ||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||
Net investment income | 2.95 | % | 3.77 | % | 4.86 | % | 5.79 | % | 6.06 | % | ||||||||||||||||||||||||||||
Expenses, after expense reductions | 0.67 | % | 0.64 | % | 0.61 | % | 0.61 | % | 0.60 | % | ||||||||||||||||||||||||||||
Expenses, after expense reductions and net of custody credits | 0.67 | % | 0.62 | % | 0.60 | % | — | — | ||||||||||||||||||||||||||||||
Expenses, before expense reductions | 0.77 | % | 0.82 | % | 1.04 | % | 1.21 | % | 1.08 | % | ||||||||||||||||||||||||||||
Portfolio turnover rate | 12.39 | % | 35.06 | % | 4.34 | % | 15.23 | % | 19.66 | % | ||||||||||||||||||||||||||||
Net assets at end of year (000) | $ | 12,905 | $ | 13,085 | $ | 6,960 | $ | 3,992 | $ | 3,819 |
20 Certified Annual Report
FINANCIAL HIGHLIGHTS
Thornburg Limited Term Income Fund
Year Ended September 30, | ||||||||||||||||||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||||||||||||||||
PER SHARE PERFORMANCE (for a share outstanding throughout the year) | ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 12.99 | $ | 12.79 | $ | 12.55 | $ | 11.90 | $ | 11.93 | ||||||||||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||||||||
Net investment income | 0.47 | 0.55 | 0.65 | 0.77 | 0.77 | |||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.19 | ) | 0.20 | 0.24 | 0.65 | (0.03 | ) | |||||||||||||||||||||||||||||||
Total from investment operations | 0.28 | 0.75 | 0.89 | 1.42 | 0.74 | |||||||||||||||||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||||||||||||||||
Net investment income | (0.47 | ) | (0.55 | ) | (0.65 | ) | (0.77 | ) | (0.77 | ) | ||||||||||||||||||||||||||||
Change in net asset value | (0.19 | ) | 0.20 | 0.24 | 0.65 | (0.03 | ) | |||||||||||||||||||||||||||||||
NET ASSET VALUE, end of year | $ | 12.80 | $ | 12.99 | $ | 12.79 | $ | 12.55 | $ | 11.90 | ||||||||||||||||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||
Total return | 2.29 | % | 5.89 | % | 7.38 | % | 12.29 | % | 6.46 | % | ||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||
Net investment income | 3.64 | % | 4.23 | % | 5.19 | % | 6.24 | % | 6.54 | % | ||||||||||||||||||||||||||||
Expenses, after expense reductions | 0.67 | % | 0.69 | % | 0.69 | % | 0.70 | % | 0.69 | % | ||||||||||||||||||||||||||||
Expenses, after expense reductions and net of custody credits | 0.67 | % | 0.69 | % | 0.69 | % | — | — | ||||||||||||||||||||||||||||||
Expenses, before expense reductions | 0.72 | % | 0.76 | % | 0.78 | % | 0.89 | % | 1.00 | % | ||||||||||||||||||||||||||||
Portfolio turnover rate | 22.73 | % | 18.86 | % | 21.63 | % | 20.54 | % | 59.46 | % | ||||||||||||||||||||||||||||
Net assets at end of year (000) | $ | 90,025 | $ | 59,473 | $ | 39,281 | $ | 24,298 | $ | 12,094 |
Certified Annual Report 21
SCHEDULE OF INVESTMENTS
Thornburg Limited Term U.S. Government Fund | September 30, 2004 |
CUSIPS: CLASS A — 885-215-103, CLASS B — 885-215-848, CLASS C — 885-215-830, CLASS I — 885-215-699, CLASS R-1 — 885-215-491 NASDAQ SYMBOLS: CLASS A — LTUSX, CLASS B — LTUBX, CLASS C — LTUCX, CLASS I — LTUIX, CLASS R-1 — LTURX
Principal | ||||||||
Amount | Issuer-Description | Value | ||||||
U.S. GOVERNMENT AGENCIES (48.20%) | ||||||||
$ | 900,000 | Federal Agricultural Mortgage Corp., 5.86% due 3/3/2006 | $ | 942,021 | ||||
1,000,000 | Federal Agricultural Mortgage Corp., 8.07% due 7/17/2006 | 1,093,530 | ||||||
200,000 | Federal Agricultural Mortgage Corp., 6.71% due 7/28/2014 | 232,687 | ||||||
4,650,000 | Federal Farm Credit Bank, 1.875% due 1/16/2007 | 4,542,173 | ||||||
350,000 | Federal Farm Credit Bank, 6.75% due 7/7/2009 | 397,856 | ||||||
1,900,000 | Federal Farm Credit Bank Consolidated MTN, 5.875% due 7/28/2008 | 2,074,169 | ||||||
1,300,000 | Federal Farm Credit Bank Consolidated MTN, 5.87% due 9/2/2008 | 1,419,941 | ||||||
200,000 | Federal Farm Credit Bank Consolidated MTN, 5.35% due 12/11/2008 | 214,830 | ||||||
300,000 | Federal Farm Credit Bank Consolidated MTN, 5.80% due 3/19/2009 | 328,107 | ||||||
240,000 | Federal Farm Credit Bank Consolidated MTN, 6.06% due 5/28/2013 | 266,817 | ||||||
265,000 | Federal Home Loan Bank, 6.55% due 3/7/2005 | 270,160 | ||||||
100,000 | Federal Home Loan Bank, 6.345% due 11/1/2005 | 104,256 | ||||||
225,000 | Federal Home Loan Bank, 5.24% due 12/7/2005 | 232,424 | ||||||
100,000 | Federal Home Loan Bank, 5.37% due 1/20/2006 | 103,702 | ||||||
3,000,000 | Federal Home Loan Bank, 2.25% due 5/15/2006 | 2,981,365 | ||||||
200,000 | Federal Home Loan Bank, 7.76% due 11/21/2006 | 220,146 | ||||||
150,000 | Federal Home Loan Bank, 7.00% due 2/15/2008 | 168,234 | ||||||
1,250,000 | Federal Home Loan Bank, 5.48% due 1/8/2009 | 1,348,256 | ||||||
1,000,000 | Federal Home Loan Bank, 5.985% due 4/9/2009 | 1,100,657 | ||||||
200,000 | Federal Home Loan Bank, 5.79% due 4/27/2009 | 218,560 | ||||||
1,750,000 | Federal Home Loan Bank, 3.00% due 4/29/2009 | 1,745,592 | ||||||
5,000,000 | Federal Home Loan Bank Consolidated Discount Notes, 1.62% due 10/1/2004 | 5,000,000 | ||||||
13,000,000 | Federal Home Loan Bank Consolidated Discount Notes, 1.61% due 10/4/2004 | 12,998,256 | ||||||
3,000,000 | Federal Home Loan Bank Consolidated Discount Notes, 1.65% due 10/6/2004 | 2,999,313 | ||||||
10,500,000 | Federal Home Loan Bank Consolidated Discount Notes, 1.63% due 10/7/2004 | 10,497,147 | ||||||
75,000 | Federal Home Loan Mortgage Corp., 5.98% due 12/8/2005 | 78,144 | ||||||
300,000 | Federal Home Loan Mortgage Corp., 6.80% due 3/19/2007 | 327,508 | ||||||
500,000 | Federal Home Loan Mortgage Corp., 3.80% due 10/15/2008 | 500,373 | ||||||
5,000,000 | Federal Home Loan Mortgage Corp., 2.29% due 6/2/2009 | 4,997,975 | ||||||
101,754 | Federal Home Loan Mortgage Corp., Pool # 141016, 9.25% due 11/1/2016 | 113,527 | ||||||
197,619 | Federal Home Loan Mortgage Corp., Pool # 141412, 8.50% due 4/1/2017 | 215,272 | ||||||
22,641 | Federal Home Loan Mortgage Corp., Pool # 160043, 8.75% due 4/1/2008 | 23,826 | ||||||
28,130 | Federal Home Loan Mortgage Corp., Pool # 181730, 8.50% due 5/1/2008 | 29,259 | ||||||
44,089 | Federal Home Loan Mortgage Corp., Pool # 252986, 10.75% due 4/1/2010 | 48,994 | ||||||
21,711 | Federal Home Loan Mortgage Corp., Pool # 256764, 8.75% due 10/1/2014 | 22,872 | ||||||
6,433 | Federal Home Loan Mortgage Corp., Pool # 260486, 9.00% due 1/1/2010 | 6,668 | ||||||
109,774 | Federal Home Loan Mortgage Corp., Pool # 273822, 8.50% due 4/1/2009 | 114,180 | ||||||
4,686 | Federal Home Loan Mortgage Corp., Pool # 291880, 8.25% due 5/1/2017 | 4,848 | ||||||
67,129 | Federal Home Loan Mortgage Corp., Pool # 294817, 9.75% due 1/1/2017 | 76,085 | ||||||
28,762 | Federal Home Loan Mortgage Corp., Pool # 298107, 10.25% due 8/1/2017 | 33,055 | ||||||
89,577 | Federal Home Loan Mortgage Corp., Pool # 770297, 3.625% due 6/1/2018 | 90,186 | ||||||
72,011 | Federal Home Loan Mortgage Corp., Pool # C90041, 6.50% due 11/1/2013 | 75,744 | ||||||
10,139 | Federal Home Loan Mortgage Corp., Pool # D06907, 9.00% due 4/1/2017 | 10,842 | ||||||
10,001 | Federal Home Loan Mortgage Corp., Pool # D06908, 9.50% due 9/1/2017 | 10,728 | ||||||
92,772 | Federal Home Loan Mortgage Corp., Pool # D37120, 7.00% due 7/1/2023 | 98,962 | ||||||
75,759 | Federal Home Loan Mortgage Corp., Pool # E00170, 8.00% due 7/1/2007 | 79,297 | ||||||
52,490 | Federal Home Loan Mortgage Corp., Pool # E49074, 6.50% due 7/1/2008 | 55,596 | ||||||
72,040 | Federal Home Loan Mortgage Corp., Pool # E61778, 6.50% due 4/1/2008 | 76,303 |
22 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term U.S. Government Fund | September 30, 2004 |
Principal | ||||||||
Amount | Issuer-Description | Value | ||||||
$ | 7,180 | Federal Home Loan Mortgage Corp., Pool # E65962, 7.00% due 5/1/2008 | $ | 7,630 | ||||
133,490 | Federal Home Loan Mortgage Corp. CMO Series 2137 Class TM, 6.50% due 1/15/2028 | 136,185 | ||||||
2,239,332 | Federal Home Loan Mortgage Corp. CMO Series 2603 Class TN, 4.00% due 10/15/2011 | 2,246,051 | ||||||
2,995,837 | Federal Home Loan Mortgage Corp. CMO Series 2814 Class GB, 5.00% due 6/15/2019 | 2,989,673 | ||||||
2,000,000 | Federal Home Loan Mortgage Discount Notes, 1.66% due 10/12/2004 | 1,998,986 | ||||||
750,000 | Federal National Mortgage Association, 2.15% due 7/21/2006 | 742,843 | ||||||
108,884 | Federal National Mortgage Association, Pool # 008307, 8.00% due 5/1/2008 | 114,219 | ||||||
11,377 | Federal National Mortgage Association, Pool # 019535, 10.25% due 7/1/2008 | 12,267 | ||||||
96,041 | Federal National Mortgage Association, Pool # 033356, 9.25% due 8/1/2016 | 104,927 | ||||||
6,882 | Federal National Mortgage Association, Pool # 040526, 9.25% due 1/1/2017 | 7,224 | ||||||
92,968 | Federal National Mortgage Association, Pool # 044003, 8.00% due 6/1/2017 | 100,667 | ||||||
80,118 | Federal National Mortgage Association, Pool # 050811, 7.50% due 12/1/2012 | 85,183 | ||||||
108,442 | Federal National Mortgage Association, Pool # 050832, 7.50% due 6/1/2013 | 115,275 | ||||||
113,759 | Federal National Mortgage Association, Pool # 076388, 9.25% due 9/1/2018 | 125,460 | ||||||
48,630 | Federal National Mortgage Association, Pool # 077725, 9.75% due 10/1/2018 | 52,302 | ||||||
267,578 | Federal National Mortgage Association, Pool # 100286, 7.50% due 8/1/2009 | 281,416 | ||||||
59,581 | Federal National Mortgage Association, Pool # 112067, 9.50% due 10/1/2016 | 67,085 | ||||||
80,957 | Federal National Mortgage Association, Pool # 156156, 8.50% due 4/1/2021 | 86,370 | ||||||
62,400 | Federal National Mortgage Association, Pool # 190555, 7.00% due 1/1/2014 | 66,013 | ||||||
62,006 | Federal National Mortgage Association, Pool # 190703, 7.00% due 3/1/2009 | 65,944 | ||||||
144,610 | Federal National Mortgage Association, Pool # 190836, 7.00% due 6/1/2009 | 153,795 | ||||||
110,085 | Federal National Mortgage Association, Pool # 250387, 7.00% due 11/1/2010 | 117,146 | ||||||
82,849 | Federal National Mortgage Association, Pool # 250481, 6.50% due 11/1/2015 | 87,191 | ||||||
68,815 | Federal National Mortgage Association, Pool # 251258, 7.00% due 9/1/2007 | 71,981 | ||||||
150,174 | Federal National Mortgage Association, Pool # 251759, 6.00% due 5/1/2013 | 157,994 | ||||||
382,579 | Federal National Mortgage Association, Pool # 252648, 6.50% due 5/1/2022 | 402,350 | ||||||
37,274 | Federal National Mortgage Association, Pool # 252787, 7.00% due 8/1/2006 | 38,727 | ||||||
105,502 | Federal National Mortgage Association, Pool # 303383, 7.00% due 12/1/2009 | 112,204 | ||||||
125,417 | Federal National Mortgage Association, Pool # 312663, 7.50% due 6/1/2010 | 133,824 | ||||||
184,908 | Federal National Mortgage Association, Pool # 323706, 7.00% due 2/1/2009 | 196,652 | ||||||
3,068,804 | Federal National Mortgage Association, Pool # 323735, 5.50% due 5/1/2006 | 3,148,881 | ||||||
104,751 | Federal National Mortgage Association, Pool # 334996, 7.00% due 2/1/2011 | 111,470 | ||||||
647,041 | Federal National Mortgage Association, Pool # 342947, 7.25% due 4/1/2024 | 693,395 | ||||||
58,861 | Federal National Mortgage Association, Pool # 345775, 8.50% due 12/1/2024 | 62,758 | ||||||
82,629 | Federal National Mortgage Association, Pool # 373942, 6.50% due 12/1/2008 | 87,596 | ||||||
305,695 | Federal National Mortgage Association, Pool # 382889, 7.595% due 12/1/2010 | 339,402 | ||||||
339,957 | Federal National Mortgage Association, Pool # 382926, 7.615% due 12/1/2010 | 377,690 | ||||||
624,198 | Federal National Mortgage Association, Pool # 384243, 6.303% due 10/1/2011 | 672,158 | ||||||
1,069,375 | Federal National Mortgage Association, Pool # 384746, 5.86% due 2/1/2009 | 1,152,351 | ||||||
3,216,351 | Federal National Mortgage Association, Pool # 385714, 4.70% due 1/1/2010 | 3,308,038 | ||||||
315,009 | Federal National Mortgage Association, Pool # 406384, 8.25% due 12/1/2024 | 341,914 | ||||||
275,969 | Federal National Mortgage Association, Pool # 443909, 6.50% due 9/1/2018 | 291,000 | ||||||
3,500,000 | Federal National Mortgage Association, Pool # 460568, 5.20% due 12/1/2006 | 3,634,974 | ||||||
292,915 | Federal National Mortgage Association, Pool # 516363, 5.00% due 3/1/2014 | 298,968 | ||||||
250,071 | Federal National Mortgage Association, Pool # 555207, 7.00% due 11/1/2017 | 265,955 | ||||||
216,638 | Federal National Mortgage Association CMO Series 1992-22 Class HC, 7.00% due 3/25/2007 | 223,173 | ||||||
750,000 | Federal National Mortgage Association CMO Series 1993-101 Class PJ, 7.00% due 6/25/2008 | 786,667 | ||||||
250,000 | Federal National Mortgage Association CMO Series 1993-122 Class D, 6.50% due 6/25/2023 | 257,362 | ||||||
263,218 | Federal National Mortgage Association CMO Series 1993-32 Class H, 6.00% due 3/25/2023 | 272,573 | ||||||
809,088 | Federal National Mortgage Association CMO Series G1993-35 Class JD, 6.50% due 11/25/2006 | 831,538 | ||||||
3,000,000 | Federal National Mortgage Association CPI Floating Rate, 4.406% due 2/17/2009 | 3,014,040 | ||||||
97,052 | Government National Mortgage Association, Pool # 000623, 8.00% due 9/20/2016 | 105,723 | ||||||
100,972 | Government National Mortgage Association, Pool # 016944, 7.50% due 5/15/2007 | 108,987 | ||||||
20,633 | Government National Mortgage Association, Pool # 296697, 9.50% due 10/15/2005 | 21,266 |
Certified Annual Report 23
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term U.S. Government Fund | September 30, 2004 |
Principal | ||||||||
Amount | Issuer-Description | Value | ||||||
$ | 46,403 | Government National Mortgage Association, Pool # 306636, 8.25% due 12/15/2006 | $ | 48,334 | ||||
155,844 | Government National Mortgage Association, Pool # 369693, 7.00% due 1/15/2009 | 166,668 | ||||||
107,113 | Government National Mortgage Association, Pool # 409921, 7.50% due 8/15/2010 | 114,795 | ||||||
72,092 | Government National Mortgage Association, Pool # 410240, 7.00% due 12/15/2010 | 77,054 | ||||||
62,992 | Government National Mortgage Association, Pool # 410271, 7.50% due 8/15/2010 | 67,509 | ||||||
117,552 | Government National Mortgage Association, Pool # 410846, 7.00% due 12/15/2010 | 125,643 | ||||||
101,693 | Government National Mortgage Association, Pool # 430150, 7.25% due 12/15/2026 | 109,830 | ||||||
53,249 | Government National Mortgage Association, Pool # 447040, 7.75% due 5/15/2027 | 58,165 | ||||||
136,276 | Government National Mortgage Association, Pool # 453928, 7.00% due 7/15/2017 | 146,246 | ||||||
45,514 | Government National Mortgage Association, Pool # 780063, 7.00% due 9/15/2008 | 48,675 | ||||||
214,628 | Government National Mortgage Association, Pool # 780448, 6.50% due 8/15/2011 | 229,141 | ||||||
2,627,009 | Government National Mortgage Association CMO Series 2001-65 Class PG, 6.00% due 7/20/2028 | 2,676,375 | ||||||
470,020 | Government National Mortgage Association CMO Series 2002-67 Class VA, 6.00% due 3/20/2013 | 490,107 | ||||||
880,413 | Government National Mortgage Association CMO Series 2003-31 Class YA, 4.00% due 5/16/2021 | 883,891 | ||||||
2,168,534 | Government National Mortgage Association CMO Series 2003-67 Class PN, 4.00% due 11/20/2020 | 2,181,754 | ||||||
2,625,600 | Overseas Private Investment Corp., 4.10% due 11/15/2014 | 2,643,218 | ||||||
1,000,000 | Private Export Funding Corp., 4.974% due 8/15/2013 | 1,033,765 | ||||||
3,000,000 | Tennessee Valley Authority, 4.75% due 8/1/2013 | 3,056,343 | ||||||
1,681,768 | United States Government General Services, 7.62% due 9/15/2010 | 1,862,558 | ||||||
Total U.S. Government Agencies (Cost $104,815,159) | 105,895,977 | |||||||
UNITED STATES TREASURY (51.80%) | ||||||||
10,000,000 | United States Treasury Notes, 1.50% due 2/28/2005 | 9,984,375 | ||||||
4,900,000 | United States Treasury Notes, 6.50% due 5/15/2005 | 5,033,219 | ||||||
4,500,000 | United States Treasury Notes, 6.50% due 8/15/2005 | 4,668,750 | ||||||
7,000,000 | United States Treasury Notes, 5.75% due 11/15/2005 | 7,270,156 | ||||||
3,000,000 | United States Treasury Notes, 5.625% due 2/15/2006 | 3,134,062 | ||||||
5,500,000 | United States Treasury Notes, 4.625% due 5/15/2006 | 5,690,781 | ||||||
2,000,000 | United States Treasury Notes, 7.00% due 7/15/2006 | 2,155,938 | ||||||
2,890,000 | United States Treasury Notes, 2.375% due 8/15/2006 | 2,880,969 | ||||||
9,000,000 | United States Treasury Notes, 4.375% due 5/15/2007 | 9,360,000 | ||||||
4,000,000 | United States Treasury Notes, 6.125% due 8/15/2007 | 4,358,750 | ||||||
10,000,000 | United States Treasury Notes, 2.625% due 5/15/2008 | 9,857,812 | ||||||
10,000,000 | United States Treasury Notes, 5.50% due 5/15/2009 | 10,956,250 | ||||||
15,000,000 | United States Treasury Notes, 6.50% due 2/15/2010 | 17,219,532 | ||||||
6,000,000 | United States Treasury Notes, 5.75% due 8/15/2010 | 6,690,937 | ||||||
15,000,000 | United States Treasury Notes, 3.625% due 5/15/2013 | 14,636,718 | ||||||
Total United States Treasury (Cost $114,586,022) | 113,898,249 | |||||||
TOTAL INVESTMENTS (100%) (Cost $219,401,181) | $ | 219,794,226 | ||||||
See notes to financial statements.
TYPE OF HOLDINGS
24 Certified Annual Report
SCHEDULE OF INVESTMENTS
Thornburg Limited Term Income Fund | September 30, 2004 |
CUSIPS: CLASS A — 885-215-509, CLASS C — 885-215-764, CLASS I - 885-215-681, CLASS R-1 — 885-215-483
NASDAQ SYMBOLS: CLASS A — THIFX, CLASS C — THICX, CLASS I — THIIX, CLASS R-1 — THIRX
Principal | Credit Rating† | |||||||||||
Amount* | Issuer-Description | Moody’s/S&P | Value | |||||||||
U.S. TREASURY SECURITIES - 3.90% | ||||||||||||
$ | 1,100,000 | United States Treasury Notes, 6.50% due 5/15/2005 | Aaa/AAA | $ | 1,129,906 | |||||||
4,500,000 | United States Treasury Notes, 4.625% due 5/15/2006 | Aaa/AAA | 4,656,094 | |||||||||
1,500,000 | United States Treasury Notes, 4.75% due 11/15/2008 | Aaa/AAA | 1,590,703 | |||||||||
2,500,000 | United States Treasury Notes, 5.75% due 8/15/2010 | Aaa/AAA | 2,787,891 | |||||||||
5,000,000 | United States Treasury Notes, 3.625% due 5/15/2013 | Aaa/AAA | 4,878,906 | |||||||||
Total U.S. Treasury Securities (Cost $14,703,249) | 15,043,500 | |||||||||||
U.S. GOVERNMENT AGENCIES - 9.60% | ||||||||||||
70,000 | Export Funding Trust Series 1994-A Pass Through Certificate, 7.89% due 2/15/2005 | Aaa/AAA | 71,083 | |||||||||
710,000 | Federal Farm Credit Bank, 5.96% due 6/16/2008 | Aaa/AAA | 776,169 | |||||||||
50,000 | Federal Home Loan Bank, 6.00% due 8/25/2005 | Aaa/AAA | 51,662 | |||||||||
2,000,000 | Federal Home Loan Bank, 2.25% due 5/15/2006 | Aaa/AAA | 1,987,577 | |||||||||
150,000 | Federal Home Loan Bank, 4.875% due 5/15/2007 | Aaa/AAA | 157,118 | |||||||||
500,000 | Federal Home Loan Bank, 5.833% due 1/23/2008 | Aaa/AAA | 541,782 | |||||||||
75,000 | Federal Home Loan Bank, 5.785% due 4/14/2008 | Aaa/AAA | 81,374 | |||||||||
300,000 | Federal Home Loan Bank, 5.835% due 7/15/2008 | Aaa/AAA | 326,690 | |||||||||
480,000 | Federal Home Loan Bank, 5.48% due 9/22/2008 | Aaa/AAA | 517,224 | |||||||||
250,000 | Federal Home Loan Bank, 5.085% due 10/7/2008 | Aaa/AAA | 265,746 | |||||||||
200,000 | Federal Home Loan Bank, 5.038% due 10/14/2008 | Aaa/AAA | 212,252 | |||||||||
75,000 | Federal Home Loan Bank, 5.365% due 12/11/2008 | Aaa/AAA | 80,543 | |||||||||
85,000 | Federal Home Loan Bank, 5.985% due 4/9/2009 | Aaa/AAA | 93,556 | |||||||||
1,650,000 | Federal Home Loan Bank, 3.00% due 10/21/2009 | Aaa/AAA | 1,651,042 | |||||||||
5,000,000 | Federal Home Loan Mortgage Corp., 2.29% due 6/2/2009 | Aaa/AAA | 4,997,975 | |||||||||
4,901 | Federal Home Loan Mortgage Corp., Pool # 850082, 9.00% due 10/1/2005 | Aaa/AAA | 5,019 | |||||||||
2,995,837 | Federal Home Loan Mortgage Corp. CMO Series 2814 Class GB, 5.00% due 6/15/2019 | Aaa/AAA | 2,989,673 | |||||||||
6,495,000 | Federal National Mortgage Association, 2.00% due 12/15/2006 | Aaa/AAA | 6,499,048 | |||||||||
3,500,000 | Federal National Mortgage Association, 2.50% due 1/24/2008 | Aaa/AAA | 3,507,368 | |||||||||
39,724 | Federal National Mortgage Association, Pool # 020155, 7.491% due 8/1/2014 | Aaa/AAA | 40,767 | |||||||||
134,950 | Federal National Mortgage Association, Pool # 190534, 6.00% due 12/1/2008 | Aaa/AAA | 141,809 | |||||||||
36,907 | Federal National Mortgage Association, Pool # 297033, 8.00% due 12/1/2009 | Aaa/AAA | 39,275 | |||||||||
71,580 | Federal National Mortgage Association, Pool # 303777, 7.00% due 3/1/2011 | Aaa/AAA | 76,172 | |||||||||
582,303 | Federal National Mortgage Association, Pool # 382398, 8.00% due 5/1/2011 | Aaa/AAA | 662,082 | |||||||||
2,411,599 | Federal National Mortgage Association, Pool # 383398, 6.42% due 4/1/2011 | Aaa/AAA | 2,615,850 | |||||||||
473,105 | Federal National Mortgage Association, Pool # 384471, 5.185% due 11/1/2008 | Aaa/AAA | 496,097 | |||||||||
128,628 | Federal National Mortgage Association, Pool # 384521, 5.095% due 12/1/2011 | Aaa/AAA | 134,163 | |||||||||
800,000 | Federal National Mortgage Association, Pool # 460568, 5.20% due 12/1/2006 | Aaa/AAA | 830,851 | |||||||||
5,000,000 | Federal National Mortgage Association CPI Floating Rate, 4.406% due 2/17/2009 | Aaa/AAA | 5,023,400 | |||||||||
29,964 | Government National Mortgage Association, Pool # 003007, 8.50% due 11/20/2015 | Aaa/AAA | 32,568 | |||||||||
41,856 | Government National Mortgage Association, Pool # 827148, 3.375% due 2/20/2024 | Aaa/AAA | 42,424 | |||||||||
2,203,235 | Government National Mortgage Association CMO Series 2003-67 Class PN, 4.00% due 11/20/2020 | Aaa/AAA | 2,216,666 | |||||||||
Total U.S. Government Agencies (Cost $36,769,460) | 37,165,025 | |||||||||||
ASSET BACKED SECURITIES - 0.20% | ||||||||||||
572,171 | Associates Manufactured Housing Trust 1996-1 A5, 7.60% due 3/15/2027 | Aaa/AAA | 592,031 | |||||||||
49,301 | Bank of America Mortgage Secs Inc. Series 02-7, Class-2A4, 5.75% due 8/25/2032 | Aaa/NA | 49,214 | |||||||||
227,894 | CNH Equipment Trust, 2.01% due 7/17/2006 | Aaa/AAA | 228,008 |
Certified Annual Report 25
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||
$ | 89,863 | Washington Mutual Series 02-AR10, Class-A6, 4.816% due 10/25/2032 | Aaa/AAA | $ | 90,393 | |||||
Total Asset Backed Securities (Cost $954,153) | 959,646 | |||||||||
CORPORATE BONDS - 62.90% | ||||||||||
BANKS | ||||||||||
1,675,000 | Bank of America Corp., 4.375% due 12/1/2010 | Aa2/A+ | 1,687,913 | |||||||
1,665,000 | Capital One Bank, 6.70% due 5/15/2008 | Baa2/BBB- | 1,824,922 | |||||||
2,500,000 | Fifth Third Bank, Cincinnati Ohio, 3.375% due 8/15/2008 | Aa1/AA- | 2,477,432 | |||||||
700,000 | HSBC USA Inc., 8.375% due 2/15/2007 | A1/A+ | 779,915 | |||||||
2,500,000 | Marshall & Ilsley Corp., 2.625% due 2/9/2007 | Aa3/A+ | 2,473,665 | |||||||
1,000,000 | Mercantile Bancorp, 7.30% due 6/15/2007 | A1/A | 1,100,459 | |||||||
250,000 | Nations Bank Corp. Medium Term Note, 7.23% due 8/15/2012 | Aa2/A+ | 290,170 | |||||||
500,000 | Northern Trust Co. Medium Term Note, 6.25% due 6/2/2008 | A1/A+ | 546,325 | |||||||
95,000 | PNC Funding Corp., 6.875% due 7/15/2007 | A3/BBB+ | 103,675 | |||||||
2,200,000 | Suntrust Bank Atlanta Georgia Medium Term Note, 2.50% due 5/4/2006 | Aa2/AA- | 2,193,765 | |||||||
120,000 | Union Planters Corp., 6.75% due 11/1/2005 | A2/A- | 125,276 | |||||||
385,000 | US Bank, 5.625% due 11/30/2005 | Aa2/AA- | 398,990 | |||||||
400,000 | US Bank, 6.30% due 7/15/2008 | Aa3/A+ | 438,271 | |||||||
14,440,778 | ||||||||||
CAPITAL GOODS | ||||||||||
250,000 | Caterpillar Financial Services Corp., 6.40% due 2/15/2008 | A2/A | 267,659 | |||||||
800,000 | Emerson Electric Co., 5.75% due 11/1/2011 | A2/A | 873,080 | |||||||
600,000 | Gatx Capital Corp., 6.875% due 11/1/2004 | Baa3/BBB- | 602,183 | |||||||
229,405 | General American Railcar Corp., 6.69% due 9/20/2016 | A3/AA- | 232,415 | |||||||
1,000,000 | Hubbell Inc., 6.375% due 5/15/2012 | A3/A+ | 1,093,769 | |||||||
765,000 | Illinois Tool Works Inc., 5.75% due 3/1/2009 | Aa3/AA | 826,248 | |||||||
450,000 | John Deere Capital Corp., 5.125% due 10/19/2006 | A3/A- | 468,170 | |||||||
500,000 | John Deere Capital Corp. Medium Term Note, 3.75% due 1/13/2009 | A3/A- | 498,013 | |||||||
1,000,000 | Johnson Controls Inc., 5.00% due 11/15/2006 | A2/A | 1,039,808 | |||||||
1,000,000 | Pentair Inc., 7.85% due 10/15/2009 | Baa3/BBB | 1,133,438 | |||||||
900,000 | Pitney Bowes Inc., 5.875% due 5/1/2006 | Aa3/A+ | 941,930 | |||||||
900,000 | Pitney Bowes Inc., 4.625% due 10/1/2012 | Aa3/A+ | 906,873 | |||||||
2,000,000 | Pitney Bowes Inc., 3.875% due 6/15/2013 | Aa3/A+ | 1,894,194 | |||||||
10,777,780 | ||||||||||
COMMERCIAL SERVICES & SUPPLIES | ||||||||||
250,000 | Aramark Services Inc., 7.00% due 7/15/2006 | Baa3/BBB- | 265,581 | |||||||
250,000 | Science Applications International Corp., 6.75% due 2/1/2008 | A3/A- | 276,016 | |||||||
1,000,000 | Science Applications International Corp., 6.25% due 7/1/2012 | A3/A- | 1,098,292 | |||||||
1,700,000 | Valassis Communications, 6.625% due 1/15/2009 | Baa3/BBB- | 1,823,968 | |||||||
1,000,000 | Waste Management Inc., 6.50% due 11/15/2008 | Baa3/BBB | 1,096,237 | |||||||
725,000 | Waste Management Inc., 6.875% due 5/15/2009 | Baa3/BBB | 809,674 | |||||||
500,000 | Waste Management Inc., 7.375% due 8/1/2010 | Baa3/BBB | 577,148 | |||||||
1,010,000 | WMX Technologies Inc ., 7.00% due 5/15/2005 | Baa3/BBB | 1,030,406 | |||||||
550,000 | WMX Technologies Inc., 7.00% due 10/15/2006 | Baa3/BBB | 589,794 | |||||||
7,567,116 | ||||||||||
26 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||
DIVERSIFIED FINANCIALS | ||||||||||
$ | 200,000 | American General Finance Corp. Medium Term Note, 4.625% due 9/1/2010 | A1/A+ | $ | 202,220 | |||||
1,500,000 | American General Finance Corp. Medium Term Note, 4.00% due 3/15/2011 | A1/A+ | 1,465,755 | |||||||
1,500,000 | Bear Stearns Co. Inc., 4.50% due 10/28/2010 | A1/A | 1,512,327 | |||||||
1,000,000 | Beneficial Corp., 6.80% due 7/22/2005 | A1/A | 1,031,530 | |||||||
1,000,000 | Berkshire Hathaway Finance Corp. Senior Note, 4.625% due 10/15/2013 | Aaa/AAA | 998,831 | |||||||
75,000 | Dun & Bradstreet Corp., 6.625% due 3/15/2006 | NR/BBB+ | 78,058 | |||||||
150,000 | Ford Motor Credit, 6.24% due 12/15/2004 | A3/BBB- | 150,883 | |||||||
2,900,000 | General Electric Capital Corp., 5.00% due 2/15/2007 | Aaa/AAA | 3,023,041 | |||||||
494,000 | General Electric Capital Corp., 2.207% due 5/30/2008 | Aaa/AAA | 490,552 | |||||||
200,000 | General Electric Capital Corp., 7.75% due 6/9/2009 | Aaa/AAA | 232,010 | |||||||
400,000 | General Electric Capital Corp., 7.375% due 1/19/2010 | Aaa/AAA | 460,970 | |||||||
2,000,000 | General Electric Capital Corp., 4.25% due 12/1/2010 | Aaa/AAA | 2,007,550 | |||||||
1,000,000 | Hartford Financial Services Group Inc. Senior Notes, 4.625% due 7/15/2013 | A3/A- | 981,725 | |||||||
400,000 | Household Finance Corp., 5.20% due 8/15/2005 | A1/A | 406,336 | |||||||
100,000 | Household Finance Corp., 5.90% due 5/15/2006 | A1/A | 103,119 | |||||||
550,000 | Household Finance Corp., 7.20% due 7/15/2006 | A1/A | 589,488 | |||||||
400,000 | Household Finance Corp., 5.75% due 1/30/2007 | A1/A | 422,793 | |||||||
5,000,000 | Household Finance Corp., 4.64% due 8/10/2009 | A1/A | 4,980,900 | |||||||
400,000 | Household Finance Corp., 6.40% due 9/15/2009 | A1/A | 425,067 | |||||||
2,500,000 | International Lease Finance Corp., 4.55% due 10/15/2009 | A1/AA- | 2,554,430 | |||||||
950,000 | International Lease Finance Corp. Medium Term Note, 5.95% due 6/6/2005 | A1/AA- | 972,359 | |||||||
4,050,000 | International Lease Finance Corp. Medium Term Note, 2.406% due 1/15/2010 | A1/AA- | 4,043,905 | |||||||
2,600,000 | Jefferies Group Inc. Senior Note Series B, 7.50% due 8/15/2007 | Baa2/BBB | 2,888,210 | |||||||
5,000,000 | JP Morgan Chase Co., 4.72% due 6/28/2009 | Aa3/A+ | 5,141,700 | |||||||
1,465,000 | JP Morgan Chase Co., 4.50% due 11/15/2010 | Aa3/A+ | 1,484,397 | |||||||
1,714,286 | Legg Mason Mortgage Capital Corp., 3.283% due 6/1/2009 (a) | NR/NR | 1,712,756 | |||||||
700,000 | Lehman Brothers Holdings Inc., 3.50% due 8/7/2008 | A1/A | 694,429 | |||||||
3,000,000 | Merrill Lynch & Co. CPI Floating Rate, 4.43% due 3/2/2009 | Aa3/A+ | 3,009,210 | |||||||
800,000 | Schwab Charles Corp. Medium Term Note, 6.30% due 4/28/2006 | A2/A- | 839,981 | |||||||
1,675,000 | SLM Corp. Floating Rate, 2.341% due 9/15/2008 | A2/A | 1,674,043 | |||||||
3,000,000 | SLM Corp. Medium Term Note CPI Floating Rate, 4.47% due 3/2/2009 | A2/A | 3,026,580 | |||||||
9,500,000 | SLM Corp. Medium Term Note CPI Floating Rate, 5.39% due 1/31/2014 | A2/A | 9,609,535 | |||||||
800,000 | Toyota Motor Credit Corp., 2.875% due 8/1/2008 | Aaa/AAA | 781,842 | |||||||
800,000 | Toyota Motor Credit Corp., 4.35% due 12/15/2010 | Aaa/AAA | 818,292 | |||||||
3,300,000 | Toyota Motor Credit Corp. Medium Term Note, 2.70% due 1/30/2007 | Aaa/AAA | 3,272,227 | |||||||
62,087,051 | ||||||||||
ENERGY | ||||||||||
850,000 | Amerenenergy Generating Co., 7.75% due 11/1/2005 | A3/A- | 894,167 | |||||||
1,150,000 | Ashland Inc., 7.83% due 8/15/2005 | Baa2/BBB | 1,192,708 | |||||||
75,000 | BJ Services Co. Note Series B, 7.00% due 2/1/2006 | Baa2/BBB+ | 77,776 | |||||||
975,000 | Commonwealth Edison Co., 4.74% due 8/15/2010 | A3/A- | 1,006,403 | |||||||
700,000 | El Paso Corp., 7.00% due 5/15/2011 | Caa1/CCC+ | 675,500 | |||||||
250,000 | Enterprise Products Participating LP, 7.50% due 2/1/2011 | Baa3/BB+ | 284,645 | |||||||
450,000 | EOG Resources Inc., 6.00% due 12/15/2008 | Baa1/BBB+ | 486,738 | |||||||
1,250,000 | Kinder Morgan Energy Partners, 8.00% due 3/15/2005 | Baa1/BBB+ | 1,279,471 | |||||||
290,000 | Louis Dreyfus Natural Gas Corp., 6.875% due 12/1/2007 | A3/BBB+ | 316,255 | |||||||
750,000 | Murphy Oil Corp., 6.375% due 5/1/2012 | Baa1/A- | 825,712 | |||||||
120,000 | Northern Border Pipeline Co., 6.25% due 5/1/2007 | A3/A- | 127,257 | |||||||
800,000 | Occidental Petroleum Corp., 5.875% due 1/15/2007 | Baa1/BBB+ | 845,070 |
Certified Annual Report 27
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||
$ | 300,000 | Occidental Petroleum Corp., 7.375% due 11/15/2008 | Baa1/BBB+ | $ | 340,754 | |||||
315,000 | Occidental Petroleum Corp., 10.125% due 9/15/2009 | Baa1/BBB+ | 395,907 | |||||||
250,000 | Oneok Inc., 7.75% due 3/1/2005 (Insured: MBIA) | Aaa/AAA | 255,676 | |||||||
1,100,000 | Panenergy Corp., 7.00% due 10/15/2006 | Baa3/BBB- | 1,175,566 | |||||||
250,000 | Phillips Petroleum Co., 8.75% due 5/25/2010 | A3/A- | 307,607 | |||||||
900,000 | Phillips Petroleum Co., 9.375% due 2/15/2011 | A3/A- | 1,144,984 | |||||||
425,000 | Questar Pipeline Co., 6.05% due 12/1/2008 | A2/A+ | 453,304 | |||||||
925,000 | Rio Tinto Finance, 5.75% due 7/3/2006 | Aa3/A+ | 969,579 | |||||||
600,000 | Smith International Inc. Senior Note, 7.00% due 9/15/2007 | Baa1/BBB+ | 655,006 | |||||||
500,000 | Sonat Inc., 7.625% due 7/15/2011 | Caa1/CCC+ | 492,500 | |||||||
525,000 | Texas Eastern Transmission Corp. Senior Note, 5.25% due 7/15/2007 | Baa2/BBB | 545,778 | |||||||
190,000 | Transocean SedCo. Forex Inc., 6.75% due 4/15/2005 | Baa2/A- | 193,537 | |||||||
515,000 | Transocean SedCo. Forex Inc., 6.95% due 4/15/2008 | Baa2/A- | 574,106 | |||||||
85,000 | Transocean SedCo. Forex Inc., 6.625% due 4/15/2011 | Baa2/A- | 94,919 | |||||||
200,000 | Union Oil Co. California, 7.90% due 4/18/2008 | Baa2/BBB+ | 224,614 | |||||||
15,835,539 | ||||||||||
FOOD BEVERAGE & TOBACCO | ||||||||||
1,150,000 | Anheuser Busch Co. Inc., 5.625% due 10/1/2010 | A1/A+ | 1,241,626 | |||||||
2,000,000 | Anheuser Busch Co. Inc., 4.375% due 1/15/2013 | A1/A+ | 1,982,760 | |||||||
515,000 | Coca Cola Co., 4.00% due 6/1/2005 | Aa3/A+ | 519,975 | |||||||
200,000 | Coca Cola Co., 5.75% due 3/15/2011 | Aa3/A+ | 217,791 | |||||||
325,000 | Conagra Inc., 7.50% due 9/15/2005 | Baa1/BBB+ | 338,371 | |||||||
150,000 | Conagra Inc., 7.875% due 9/15/2010 | Baa1/BBB+ | 176,818 | |||||||
4,000,000 | Diageo Capital PLC, 3.375% due 3/20/2008 | A2/A | 3,985,648 | |||||||
925,000 | Diageo Finance BV, 3.00% due 12/15/2006 | A2/A | 923,842 | |||||||
2,500,000 | Diageo Finance BV, 3.875% due 4/1/2011 | A2/A | 2,445,942 | |||||||
300,000 | General Mills, 5.50% due 1/12/2009 | Baa2/BBB+ | 317,699 | |||||||
186,000 | Kellogg Co., 4.875% due 10/15/2005 | Baa2/BBB+ | 189,877 | |||||||
900,000 | Sara Lee Corp. Medium Term Note, 6.00% due 1/15/2008 | A3/A+ | 968,249 | |||||||
1,000,000 | Sysco International Co., 6.10% due 6/1/2012 | A1/A+ | 1,105,026 | |||||||
14,413,624 | ||||||||||
HEALTHCARE EQUIPMENT & SERVICES | ||||||||||
500,000 | Baxter International Inc., 5.25% due 5/1/2007 | Baa1/A- | 522,713 | |||||||
250,000 | Boston Scientific Corp., 6.625% due 3/15/2005 | Baa1/A- | 254,398 | |||||||
777,111 | ||||||||||
HOUSEHOLD & PERSONAL PRODUCTS | ||||||||||
2,000,000 | Gillette Co., 4.00% due 6/30/2005 | Aa3/AA- | 2,021,708 | |||||||
2,000,000 | Gillette Co., 2.875% due 3/15/2008 | Aa3/AA- | 1,968,484 | |||||||
900,000 | Nike Inc., 5.50% due 8/15/2006 | A2/A | 940,911 | |||||||
350,000 | Procter & Gamble Co., 4.75% due 6/15/2007 | Aa3/AA- | 364,603 | |||||||
2,000,000 | Procter & Gamble Co., 4.30% due 8/15/2008 | Aa3/AA- | 2,061,130 | |||||||
7,356,836 | ||||||||||
28 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||
HOTELS RESTAURANTS & LEISURE | ||||||||||
$ | 225,000 | Hyatt Equities LLC, 9.25% due 5/15/2005 | Baa3/BBB | $ | 231,148 | |||||
500,000 | Wendy’s International Inc., 6.35% due 12/15/2005 | Baa1/BBB+ | 519,825 | |||||||
750,973 | ||||||||||
INSURANCE | ||||||||||
800,000 | AIG Sunamerica Global Financing, 5.10% due 1/17/2007 | Aaa/AAA | 834,080 | |||||||
900,000 | Allstate Corp., 5.375% due 12/1/2006 | A1/A+ | 942,454 | |||||||
170,000 | Equitable Iowa Cos., 8.50% due 2/15/2005 | A1/A+ | 172,849 | |||||||
300,000 | Hartford Life Inc., 7.10% due 6/15/2007 | A3/A- | 328,739 | |||||||
1,000,000 | Liberty Mutual Group Inc., 5.75% due 3/15/2014 | Baa3/BBB | 993,496 | |||||||
1,000,000 | Lincoln National Corp., 4.75% due 2/15/2014 | A3/A- | 976,669 | |||||||
855,000 | Manufacturers Life Insurance Co., 7.875% due 4/15/2005 | A1/AA- | 875,299 | |||||||
450,000 | Metlife Inc., 5.25% due 12/1/2006 | A2/A | 470,058 | |||||||
1,800,000 | Old Republic International Corp., 7.00% due 6/15/2007 | Aa3/A+ | 1,970,503 | |||||||
8,000,000 | Pacific Life Global Funding CPI Floating Rate, 5.446% due 2/6/2016 | Aa3/AA | 8,108,080 | |||||||
700,000 | Principal Financial Group Australia, 8.20% due 8/15/2009 | A2/A | 820,898 | |||||||
4,000,000 | Principal Life Global Funding, 4.40% due 10/1/2010 | Aa2/AA | 4,046,044 | |||||||
5,000,000 | Principal Life Income Funding Trust, 5.15% due 4/1/2016 | Aa2/AA | 4,879,500 | |||||||
1,300,000 | Unitedhealth Group Inc., 3.30% due 1/30/2008 | A3/A | 1,291,628 | |||||||
2,450,000 | Unumprovident Corp., 7.625% due 3/1/2011 | Ba1/BB+ | 2,615,375 | |||||||
900,000 | USF&G Corp., 7.125% due 6/1/2005 | A3/BBB+ | 924,517 | |||||||
30,250,189 | ||||||||||
MATERIALS | ||||||||||
75,000 | Chevron Phillips Chemical, 5.375% due 6/15/2007 | Baa1/BBB+ | 78,514 | |||||||
500,000 | Chevron Phillips Chemical, 7.00% due 3/15/2011 | Baa1/BBB+ | 564,423 | |||||||
1,400,000 | Chevrontexaco Capital Co., 3.50% due 9/17/2007 | Aa2/AA | 1,413,079 | |||||||
350,000 | Dow Chemical Co., 5.75% due 12/15/2008 | A3/A- | 373,553 | |||||||
200,000 | E.I. du Pont de Nemours & Co., 8.25% due 9/15/2006 | Aa3/AA- | 219,671 | |||||||
1,000,000 | E.I. du Pont de Nemours & Co., 4.75% due 11/15/2012 | Aa3/AA- | 1,015,428 | |||||||
325,000 | E.I. du Pont de Nemours & Co., 4.125% due 3/6/2013 | Aa3/AA- | 315,418 | |||||||
200,000 | Hoechst Celanese Corp., 7.125% due 3/15/2009 | B1/A+ | 212,762 | |||||||
75,000 | Lafarge Corp., 6.375% due 7/15/2005 | Baa1/BBB | 76,998 | |||||||
635,000 | Lubrizol Corp. Senior Note, 5.875% due 12/1/2008 | Baa3/BB+ | 663,555 | |||||||
2,000,000 | Minnesota Mining & Manufacturing Co., 4.15% due 6/30/2005 | Aa1/AA | 2,037,740 | |||||||
6,971,141 | ||||||||||
MEDIA | ||||||||||
750,000 | AOL Time Warner Inc., 6.75% due 4/15/2011 | Baa1/BBB+ | 832,048 | |||||||
80,000 | E W Scripps Co. Ohio, 5.75% due 7/15/2012 | A2/A | 86,255 | |||||||
300,000 | New York Times Co., 4.625% due 6/25/2007 | A1/A+ | 311,395 | |||||||
255,000 | Scholastic Corp., 5.75% due 1/15/2007 | Baa2/BBB- | 267,227 | |||||||
2,900,000 | Thomson Corp., 4.25% due 8/15/2009 | A3/A- | 2,923,963 | |||||||
200,000 | Time Warner Inc., 8.05% due 1/15/2016 | Baa1/BBB+ | 236,679 | |||||||
125,000 | Tribune Co., 6.875% due 11/1/2006 | A3/NR | 134,355 | |||||||
4,791,922 | ||||||||||
Certified Annual Report 29
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||
PHARMACEUTICALS & BIOTECHNOLOGY | ||||||||||
$ | 1,000,000 | Abbott Labs, 6.40% due 12/1/2006 | A1/AA | $ | 1,071,697 | |||||
500,000 | Abbott Labs, 3.75% due 3/15/2011 | A1/AA | 488,187 | |||||||
500,000 | Bristol Myers Squibb Co., 4.75% due 10/1/2006 | A1/A+ | 516,668 | |||||||
1,850,000 | Eli Lilly & Co., 5.50% due 7/15/2006 | Aa3/AA | 1,934,282 | |||||||
2,000,000 | Pharmacia Corp., 5.75% due 12/1/2005 | A1/AAA | 2,069,102 | |||||||
5,450,000 | Tiers Inflation Linked Trust Series Wyeth 2004 21 Trust Certificate CPI Floating Rate, 4.84% due 2/1/2014 | Baa1/A | 5,325,358 | |||||||
11,405,294 | ||||||||||
RETAILING | ||||||||||
500,000 | Costco Wholesale Corp., 5.50% due 3/15/2007 | A2/A | 526,511 | |||||||
100,000 | Dayton Hudson Corp., 9.625% due 2/1/2008 | A2/A+ | 118,050 | |||||||
150,000 | Dillard’s Inc., 7.375% due 6/1/2006 | B2/BB | 157,875 | |||||||
1,000,000 | Target Corp., 3.375% due 3/1/2008 | A2/A+ | 996,366 | |||||||
3,735,000 | Wal Mart Stores Inc., 4.125% due 2/15/2011 | Aa2/AA | 3,740,491 | |||||||
900,000 | Wal-Mart Stores Inc., 6.875% due 8/10/2009 | Aa2/AA | 1,020,698 | |||||||
449,707 | Wal-Mart Stores Inc., 8.57% due 1/2/2010 | Aa2/AA | 500,443 | |||||||
186,121 | Wal-Mart Stores Inc., 1992-A1 Pass Through Certificate, 7.49% due 6/21/2007 | Aa2/AA | 200,662 | |||||||
7,261,096 | ||||||||||
SOFTWARE & SERVICES | ||||||||||
250,000 | Electronic Data Systems Corp., 6.85% due 10/15/2004 | Ba1/BBB- | 250,214 | |||||||
2,500,000 | Electronic Data Systems Corp., 7.125% due 10/15/2009 | Ba1/BBB- | 2,685,350 | |||||||
1,000,000 | Electronic Data Systems Corp., 6.50% due 8/1/2013 | Ba1/BBB- | 1,008,622 | |||||||
800,000 | Reynolds & Reynolds Co., 7.00% due 12/15/2006 | Baa2/BBB | 844,670 | |||||||
4,788,856 | ||||||||||
TECHNOLOGY — HARDWARE & EQUIPMENT | ||||||||||
158,000 | Computer Sciences Corp., 7.50% due 8/8/2005 | A3/A | 163,843 | |||||||
350,000 | Computer Sciences Corp., 6.75% due 6/15/2006 | A3/A | 371,672 | |||||||
2,000,000 | Computer Sciences Corp., 3.50% due 4/15/2008 | A3/A | 1,994,040 | |||||||
300,000 | Computer Sciences Corp., 6.25% due 3/15/2009 | A3/A | 326,336 | |||||||
1,317,000 | Computer Sciences Corp., 7.375% due 6/15/2011 | A3/A | 1,526,481 | |||||||
110,000 | First Data Corp., 6.375% due 12/15/2007 | A1/A+ | 120,082 | |||||||
900,000 | First Data Corp., 5.625% due 11/1/2011 | A1/A+ | 962,437 | |||||||
500,000 | International Business Machines, 4.875% due 10/1/2006 | A1/A+ | 519,044 | |||||||
2,825,000 | International Business Machines, 2.375% due 11/1/2006 | A1/A+ | 2,800,807 | |||||||
1,000,000 | International Business Machines, 4.25% due 9/15/2009 | A1/A+ | 1,022,809 | |||||||
500,000 | Jabil Circuit Inc., 5.875% due 7/15/2010 | Baa3/BB+ | 523,068 | |||||||
1,200,000 | Oracle Corp., 6.91% due 2/15/2007 | A3/A- | 1,293,505 | |||||||
11,624,124 | ||||||||||
TELECOMMUNICATION SERVICES | ||||||||||
900,000 | Cingular Wireless, 5.625% due 12/15/2006 | A3/A+ | 941,718 | |||||||
1,500,000 | GTE Hawaiian Telephone Inc., 7.375% due 9/1/2006 | Aaa/AAA | 1,604,056 | |||||||
50,000 | TCI Communications Inc., 8.00% due 8/1/2005 | Baa3/BBB | 52,774 | |||||||
1,500,000 | Verizon Wireless Capital LLC, 5.375% due 12/15/2006 | A3/A+ | 1,570,125 | |||||||
4,168,673 | ||||||||||
30 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||
TRANSPORTATION | ||||||||||
$ | 206,520 | Continental Airlines Pass Through Certificate Series 1997 4 Class-4A, 6.90% due 1/2/2018 | Baa3/A- | $ | 198,845 | |||||
225,000 | CSX Corp., 7.45% due 5/1/2007 | Baa2/BBB | 246,267 | |||||||
311,928 | Delta Air Lines Inc. EETC Series 2001-1 Class-A, 6.619% due 3/18/2011 | Ba1/BBB- | 283,728 | |||||||
128,091 | Northwest Airlines 1999-2 Class-A, 7.575% due 3/1/2019 | Baa2/A- | 127,541 | |||||||
392,732 | Southwest Airlines Co., 5.10% due 5/1/2006 | Aa2/AA+ | 401,547 | |||||||
1,012,000 | Southwest Airlines Co., 7.875% due 9/1/2007 | Baa1/A | 1,128,561 | |||||||
2,386,489 | ||||||||||
UTILITIES | ||||||||||
175,000 | Appalachian Power Co., 6.60% due 5/1/2009 (Insured: MBIA) | Aaa/AAA | 193,680 | |||||||
1,245,000 | Duke Capital Corp. Senior Note, 7.25% due 10/1/2004 | Baa3/BBB- | 1,245,000 | |||||||
925,000 | Gulf Power Co., 4.35% due 7/15/2013 | A2/A | 900,642 | |||||||
950,000 | Madison Gas & Electric Co., 6.02% due 9/15/2008 | Aa3/AA- | 1,018,118 | |||||||
900,000 | Minnesota Power & Light Co., 7.00% due 2/15/2007 | Baa1/A | 971,630 | |||||||
2,825,000 | Northern States Power Co., 4.75% due 8/1/2010 | A2/A- | 2,906,563 | |||||||
250,000 | Pacificorp, 6.75% due 4/1/2005 | A3/A- | 254,948 | |||||||
210,000 | Pennsylvania Power & Light Co., 6.55% due 3/1/2006 (Insured: MBIA) | Aaa/AAA | 220,737 | |||||||
245,000 | PSI Energy Inc., 6.65% due 6/15/2006 | A3/A- | 259,552 | |||||||
500,000 | PSI Energy Inc., 7.85% due 10/15/2007 | Baa1/BBB | 561,948 | |||||||
1,000,000 | Public Service Co. Colorado, 4.875% due 3/1/2013 | A3/A- | 1,017,624 | |||||||
275,000 | Public Service Electric & Gas Co., 6.75% due 3/1/2006 (Insured: MBIA) | Aaa/AAA | 290,204 | |||||||
225,000 | Southern California Gas Co., 4.375% due 1/15/2011 | A1/A+ | 227,277 | |||||||
3,470,000 | Texas Municipal Gas Corp., 2.60% due 7/1/2007 | Aaa/AAA | 3,462,782 | |||||||
350,000 | Wisconsin Energy Corp., 5.50% due 12/1/2008 | A3/BBB+ | 373,015 | |||||||
1,150,000 | Wisconsin Public Service Corp., 6.125% due 8/1/2011 | Aa2/AA- | 1,275,095 | |||||||
15,178,815 | ||||||||||
MISCELLANEOUS | ||||||||||
500,000 | Stanford University, 5.85% due 3/15/2009 | Aaa/NA | 538,556 | |||||||
YANKEE | ||||||||||
435,000 | Kreditanstalt Fur Wiederaufbau, 3.25% due 7/16/2007 | Aaa/AAA | 436,668 | |||||||
2,475,000 | Kreditanstalt Fur Wiederaufbau, 3.25% due 3/30/2009 | Aaa/AAA | 2,452,549 | |||||||
715,000 | National Westminster Bank, 7.375% due 10/1/2009 | Aa2/AA- | 826,265 | |||||||
500,000 | Nova Scotia Province Canada, 5.75% due 2/27/2012 | A2/A | 546,178 | |||||||
335,000 | Ontario Province Canada, 3.282% due 3/28/2008 | Aa2/AA | 333,700 | |||||||
5,000,000 | Ontario Province Canada, 3.125% due 5/2/2008 | Aa2/AA | 4,941,555 | |||||||
9,536,915 | ||||||||||
Total Corporate Bonds (Cost $237,402,928) | 242,908,878 | |||||||||
TAXABLE MUNICIPAL BONDS - 17.60% | ||||||||||
2,215,000 | Allentown Pennsylvania Taxable Refunding, 4.21% due 10/1/2012 | Aaa/AAA | 2,160,600 | |||||||
4,250,000 | American Campus Properties Student Housing, 7.38% due 9/1/2012 (Insured: MBIA) | Aaa/AAA | 4,849,505 | |||||||
150,000 | American Fork City Utah Sales, 2.40% due 3/1/2005 (Insured: FSA) | Aaa/AAA | 150,099 | |||||||
300,000 | American Fork City Utah Sales, 4.89% due 3/1/2012 (Insured: FSA) | Aaa/AAA | 305,727 | |||||||
120,000 | American Fork City Utah Sales, 5.07% due 3/1/2013 (Insured: FSA) | Aaa/AAA | 122,970 | |||||||
148,000 | Arkansas Electric Coop Corp., 7.33% due 6/30/2008 | A2/AA- | 156,382 |
Certified Annual Report 31
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||
$ | 300,000 | Arkansas State Taxable Water Waste Disposal Series A, 5.50% due 7/1/2005 | Aa2/AA | $ | 306,993 | |||||
1,000,000 | Ashaubenon Wisconsin, 3.00% due 6/1/2008 | Aa2/NR | 977,100 | |||||||
860,000 | Baton Rouge Louisiana Taxable Series B, 2.60% due 1/15/2005 (Insured: AMBAC) | Aaa/AAA | 861,350 | |||||||
900,000 | Bessemer Alabama Water Revenue Taxable Warrants Series B, 7.375% due 7/1/2008 (Insured: FSA) | Aaa/AAA | 967,320 | |||||||
150,000 | Brockton MA Taxable Economic Development Series A, 6.45% due 5/1/2017 (Insured: FGIC) | Aaa/AAA | 167,280 | |||||||
370,000 | Burbank California Waste Disposal Revenue, 5.29% due 5/1/2007 (Insured: FSA) | Aaa/AAA | 387,160 | |||||||
310,000 | Burbank California Waste Disposal Revenue, 5.48% due 5/1/2008 (Insured: FSA) | Aaa/AAA | 329,434 | |||||||
200,000 | Chicago Illinois Taxable Neighborhoods Alive Series B, 5.20% due 9/1/2006 (Insured: FGIC) | Aaa/AAA | 208,596 | |||||||
2,125,000 | Cleveland Cuyahoga County Ohio, 6.10% due 5/15/2013 | NR/NR | 2,128,846 | |||||||
1,025,000 | Connecticut State Development Authority, 8.55% due 8/15/2005 | NR/A+ | 1,050,246 | |||||||
1,870,000 | Connecticut State Housing Finance Authority, 3.10% due 6/15/2032 put 12/1/2005 (Insured: AMBAC) | Aaa/AAA | 1,873,366 | |||||||
600,000 | Cook County Illinois Community College District 508, 6.90% due 5/1/2010 (Insured: AMBAC) | Aaa/AAA | 644,772 | |||||||
250,000 | Cook County Illinois School District 083, 4.625% due 12/1/2010 (Insured: FSA) | Aaa/NR | 254,200 | |||||||
150,000 | Cook County Illinois School District 083, 4.875% due 12/1/2011 (Insured: FSA) | Aaa/NR | 153,009 | |||||||
900,000 | Denver City & County Special Facilities Taxable Refunding & Improvement Series B, 7.15% due 1/1/2008 (Insured: MBIA) | Aaa/AAA | 999,513 | |||||||
240,000 | Elkhart Indiana Redevelopment District Revenue, 4.80% due 6/15/2011 | NR/NR | 233,928 | |||||||
245,000 | Elkhart Indiana Redevelopment District Revenue, 4.80% due 12/15/2011 | NR/NR | 237,777 | |||||||
515,000 | Elkhart Indiana Redevelopment District Revenue, 5.05% due 12/15/2012 | NR/NR | 499,947 | |||||||
540,000 | Elkhart Indiana Redevelopment District Revenue, 5.25% due 12/15/2013 | NR/NR | 520,220 | |||||||
6,000,000 | Gilliam County Oregon Solid Waste, 2.50% due 7/1/2029 put 5/1/2005 (Waste Management Project) | NR/BBB | 5,991,960 | |||||||
365,000 | Green Bay Wisconsin Series B, 4.875% due 4/1/2011 (Insured: MBIA) | Aaa/NR | 374,048 | |||||||
305,000 | Hancock County Mississippi, 4.20% due 8/1/2008 (Insured: MBIA) | Aaa/NR | 309,346 | |||||||
245,000 | Hancock County Mississippi, 4.80% due 8/1/2010 (Insured: MBIA) | Aaa/NR | 248,722 | |||||||
315,000 | Hancock County Mississippi, 4.90% due 8/1/2011 (Insured: MBIA) | Aaa/NR | 319,038 | |||||||
1,385,000 | Hanover Pennsylvania Area School District Taxable Notes Series B, 4.47% due 3/15/2013 | NR/AAA | 1,371,524 | |||||||
15,000 | Illinois Housing Development Authority Taxable Multi Family Program, 7.85% due 3/1/2005 | A1/A+ | 15,313 | |||||||
450,000 | Indiana Bond Bank Taxable School Severance, 2.74% due 1/15/2005 (Insured: FGIC) | Aaa/AAA | 450,891 | |||||||
500,000 | Jefferson County Texas Navigation Taxable Refunding, 5.50% due 5/1/2010 (Insured: FSA) | Aaa/NR | 523,175 | |||||||
200,000 | Jefferson Franklin, Etc. Counties Illinois Community College District 521, 3.00% due 1/1/2006 (Insured: FSA) | Aaa/NR | 200,950 | |||||||
300,000 | Jefferson Franklin, Etc. Counties Illinois Community College District 521, 3.625% due 1/1/2007 (Insured: FSA) | Aaa/NR | 303,783 | |||||||
575,000 | Jersey City New Jersey Municipal Utilities Authority, 3.72% due 5/15/2009 (Insured: MBIA) | Aaa/AAA | 571,550 | |||||||
365,000 | Kendall Kane County Illinois School 308, 5.50% due 10/1/2011 (Insured: FGIC) | Aaa/NR | 388,360 | |||||||
405,000 | King County Washington General Obligation, 7.55% due 12/1/2005 | Aa1/AA+ | 428,142 | |||||||
2,775,000 | Los Angeles County California Metropolitan Transport, 4.56% due 7/1/2010 | Aaa/AAA | 2,830,389 | |||||||
365,000 | Maryland State Economic Development Corp., 7.25% due 6/1/2008 (Maryland Tech. Development Center Project) | NR/NR | 390,689 | |||||||
240,000 | McKeesport Pennsylvania Taxable Series B, 6.60% due 3/1/2006 (Insured: MBIA) | Aaa/AAA | 252,984 | |||||||
140,000 | Mississippi State Taxable Business Series V, 7.125% due 9/1/2006 | NR/AA | 150,741 | |||||||
100,000 | Montgomery County Maryland Revenue Authority, 5.00% due 2/15/2012 | Aa2/AA+ | 102,284 | |||||||
650,000 | Multnomah County Oregon School District 1J Refunding Taxable, 4.191% due 6/15/2008 | A2/NR | 657,963 | |||||||
4,000,000 | Muskegon County Michigan Taxable Notes, 3.00% due 6/1/2005 | MIG1/NR | 4,015,840 | |||||||
420,000 | New Jersey Health Care Facilities Financing, 10.75% due 7/1/2010 (escrowed to maturity) | NR/NR | 517,944 | |||||||
150,000 | New Jersey Health Care Facilities Financing, 7.70% due 7/1/2011 (Insured: Connie Lee) | NR/AAA | 171,599 | |||||||
150,000 | New Rochelle New York Industrial Development Agency, 7.15% due 10/1/2014 | Aa3/A+ | 160,988 | |||||||
3,500,000 | New York Environmental Facilities, 5.85% due 3/15/2011 | NR/AA- | 3,797,290 | |||||||
585,000 | New York State Housing Finance, 4.46% due 8/15/2009 | Aa1/NR | 592,734 | |||||||
1,000,000 | New York State Thruway Authority Service Contract, 2.59% due 3/15/2006 | A3/AA- | 996,210 | |||||||
1,400,000 | New York State Urban Development Corp., 4.75% due 12/15/2011 | NR/AA | 1,434,594 | |||||||
845,000 | Newark New Jersey, 4.70% due 4/1/2011 (Insured: MBIA) | Aaa/NR | 857,675 | |||||||
1,225,000 | Newark New Jersey, 4.90% due 4/1/2012 (Insured: MBIA) | Aaa/NR | 1,244,980 | |||||||
360,000 | Niagara Falls New York Public Water, 4.30% due 7/15/2010 (Insured: MBIA) | Aaa/AAA | 363,308 | |||||||
1,000,000 | North Carolina Municipal Power Agency Taxable Series B, 3.26% due 1/1/2005 | Baa1/BBB+ | 1,000,950 | |||||||
1,600,000 | Northwest Open Access Network Washington Revenue, 6.18% due 12/1/2008 (Insured: AMBAC) | Aaa/AAA | 1,746,096 |
32 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | September 30, 2004 |
Principal | Credit Rating† | |||||||||||
Amount | Issuer-Description | Moody’s/S&P | Value | |||||||||
$ | 835,000 | Ohio State Petroleum Underground Storage, 6.75% due 8/15/2008 (Insured: MBIA) | Aaa/AAA | $ | 846,289 | |||||||
205,000 | Oregon State Department Administrative Lottery Revenue Taxable B, 4.90% due 4/1/2005 (Insured: FSA) | Aaa/AAA | 207,661 | |||||||||
250,000 | Passaic County New Jersey Multi Modal Taxable Refunding Series B, 6.23% due 9/1/2005 (Insured: FSA) | Aaa/AAA | 258,650 | |||||||||
245,000 | Pima County Arizona Industrial Development Authority Series E, 9.05% due 7/1/2008 | Baa3/NR | 271,903 | |||||||||
340,000 | Providence Rhode Island, 5.59% due 1/15/2008 | Aaa/AAA | 363,314 | |||||||||
775,000 | Sam Rayburn Texas Municipal Power Agency, 5.05% due 10/1/2004 | Baa2/BBB- | 775,046 | |||||||||
1,000,000 | Short Pump Town Center Community Development, 6.26% due 2/1/2009 | NR/NR | 996,560 | |||||||||
2,005,000 | Sisters Providence Obligation Group Direct Obligation Notes Series 1997, 7.47% due 10/1/2007 | A1/AA- | 2,212,838 | |||||||||
400,000 | South Dakota State Building Authority Revenue, 7.00% due 9/1/2005 (escrowed to maturity) | Aaa/AAA | 416,248 | |||||||||
1,155,000 | St. Louis Missouri Municipal Finance Corp. Firemans Retirement System, 6.35% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 1,190,932 | |||||||||
500,000 | Tennessee State Taxable Series B, 6.00% due 2/1/2013 | Aa2/AA | 537,975 | |||||||||
400,000 | Texas State Public Finance Authority Revenue, 3.125% due 6/15/2007 | Aa2/AA | 397,472 | |||||||||
245,000 | Texas Tech University Revenue, 6.00% due 8/15/2011 (Insured: MBIA) | Aaa/AAA | 267,780 | |||||||||
1,000,000 | University Illinois Revenue, 6.35% due 4/1/2011 (Insured: FGIC) | Aaa/AAA | 1,110,310 | |||||||||
90,000 | University of New Mexico Revenue, 3.90% due 6/1/2010 (Insured:AMBAC) | Aaa/AAA | 89,292 | |||||||||
250,000 | University of New Mexico Revenue, 4.15% due 6/1/2011 (Insured: AMBAC) | Aaa/AAA | 247,875 | |||||||||
180,000 | University of New Mexico Revenue, 4.375% due 6/1/2012 (Insured: AMBAC) | Aaa/AAA | 178,510 | |||||||||
270,000 | University of New Mexico Revenue, 4.50% due 6/1/2013 (Insured: AMBAC) | Aaa/AAA | 267,367 | |||||||||
1,000,000 | Victor New York Taxable-Tax Increment, 9.20% due 5/1/2014 | NR/NR | 1,059,250 | |||||||||
505,000 | Virginia Housing Development Authority Taxable Rental Housing Series I, 7.30% due 2/1/2008 | Aa1/AA+ | 559,520 | |||||||||
285,000 | Washington Pennsylvania, 4.30% due 9/1/2005 (Insured: FGIC) | Aaa/AAA | 289,628 | |||||||||
245,000 | Waterloo Iowa Sewer Revenue Refunding Taxable Series B, 3.00% due 5/1/2005 | Aaa/NR | 245,862 | |||||||||
1,500,000 | West Valley City Utah Municipal Building Lease Refunding Taxable, 7.67% due 5/1/2006 | Aa2/NR | 1,602,345 | |||||||||
200,000 | Wisconsin State General Revenue, 4.80% due 5/1/2013 | Aaa/AAA | 203,656 | |||||||||
Total Taxable Municipal Bonds (Cost $66,678,022) | 67,924,683 | |||||||||||
FOREIGN SECURITIES - 0.70% | ||||||||||||
2,000,000 | Federal Republic of Germany, 5.00% due 8/19/2005 (EURO) | Aaa/AAA | 2,540,745 | |||||||||
Total Foreign Securities (Cost $1,879,165) | 2,540,745 | |||||||||||
SHORT TERM - 5.10% | ||||||||||||
7,000,000 | Lasalle Bank Corp., 1.72% due 10/8/2004 | A1+/P1 | 6,997,659 | |||||||||
5,000,000 | UBS Finance, 1.80% due 10/1/2004 | PRIM1/A-1+ | 5,000,000 | |||||||||
7,500,000 | UBS Finance, 1.70% due 10/4/2004 | PRIM1/A-1+ | 7,498,937 | |||||||||
Total Short Term (Cost $19,496,602) | 19,496,596 | |||||||||||
TOTAL INVESTMENTS (100%) (Cost $377,883,579) | $ | 386,039,073 | ||||||||||
* | Principal amount in U.S. Dollars unless otherwise indicated, value is in U.S. Dollar. | |
† | Credit ratings are unaudited. | |
(a) | Security valuation determined using a fair value method. See notes to financial statements. |
CREDIT RATING†
Certified Annual Report 33
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Limited Term Income Funds
To the Trustees and Class I Shareholders
of Thornburg Limited Term U.S. Government Fund
Thornburg Limited Term Income Fund
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 (separate portfolios of Thornburg Investment Trust, hereafter referred to as the “Funds”) at September 30, 2004, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for the class I shares for each of the periods presented, 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 Fund’s 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 the standards of the Public Company Accounting Oversight Board (United States). Those standards 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, 2004 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 9, 2004
34 Certified Annual Report
EXPENSE EXAMPLE
Thornburg Limited Term Income Funds | September 30, 2004 |
As a shareholder of the Fund, you incur ongoing costs, including management and administrative fees and other Fund expenses.
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested on April 1, 2004 and held until September 30, 2004.
Actual Expenses
The first line of the table at right provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table at right provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses Paid | ||||||||||
Account Value | Account Value | During Period† | ||||||||||
4/01/04 | 9/30/04 | 4/1/04–9/30/04 | ||||||||||
U.S. Government Fund | ||||||||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000 | $ | 995.30 | $ | 3.32 | ||||||
Hypothetical* | $ | 1,000 | $ | 1,021.68 | $ | 3.36 | ||||||
Income Fund | ||||||||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000 | $ | 999.00 | $ | 3.34 | ||||||
Hypothetical* | $ | 1,000 | $ | 1,021.66 | $ | 3.38 |
†Thornburg Limited Term U.S. Government Fund expenses are equal to the annualized expense ratio for Class I shares of 0.66% multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period.
†Thornburg Limited Term Income Fund expenses are equal to the annualized expense ratio for Class I shares of 0.67% multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period.
*Hypothetical assumes a rate of return of 5% per year before expenses.
Certified Annual Report 35
INDEX COMPARISON
Thornburg Limited Term U.S. Government Fund | September 30, 2004 |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Limited Term U.S. Government Fund Class I Total Returns, versus
Lehman Brothers Intermediate Government Bond Index and Consumer Price Index
(July 30, 1996 to September 30, 2004)
AVERAGE ANNUAL TOTAL RETURNS
For the periods ended September 30, 2004
Since | ||||||||||||||||
1 Yr | 5 Yrs | 10 Yrs | Inception | |||||||||||||
I Shares (Incep: 7/5/96) | 1.37 | % | 6.43 | % | N/A | 6.26 | % | |||||||||
FUND ATTRIBUTES
as of September 30, 2004
Annualized | SEC | Maximum | ||||||||||||||
Dist. Rate (NAV) | Yield | NAV | Offering Price | |||||||||||||
I Shares (Incep: 7/5/96) | 2.53 | % | 2.43 | % | $ | 13.01 | $ | 13.01 | ||||||||
Performance data reflect past performance, which is no guarantee of future results. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares.
For the U.S. Government Fund, returns reflect the reinvestment of dividends and capital gains. There is no up front sales charge for I shares.
The Lehman Brothers Intermediate Government Bond Index is an unmanaged market-weighted index generally representative of all public obligations of the U.S. Government, its agencies and instrumentalities having maturities of up to ten years.
The SEC Yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Funds’ shares at the end of the period.
Shares are not guaranteed by the U.S. Government.
36 Certified Annual Report
INDEX COMPARISON
Thornburg Limited Term Income Fund | September 30, 2004 |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Limited Term Income Fund Class I Total Returns versus
Lehman Brothers Intermediate Government/Credit Index and Consumer Price Index
(July 30, 1996 to September 30, 2004)
AVERAGE ANNUAL TOTAL RETURNS
For the periods ended September 30, 2004
Since | ||||||||||||||||
1 Yr | 5 Yrs | 10 Yrs | Inception | |||||||||||||
I Shares (Incep: 7/5/96) | 2.29 | % | 6.81 | % | N/A | 6.62 | % | |||||||||
FUND ATTRIBUTES
as of September 30, 2004
Annualized | SEC | Maximum | ||||||||||||||
Dist. Rate (NAV) | Yield | NAV | Offering Price | |||||||||||||
I Shares (Incep: 7/5/96) | 3.86 | % | 3.04 | % | $ | 12.80 | $ | 12.80 | ||||||||
Performance data reflect past performance, which is no guarantee of future results. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares.
For the Limited Term Income Fund, returns reflect the reinvestment of dividends and capital gains. There is no up front sales charge for I shares.
The Lehman Brothers Intermediate Government/Credit Bond Index is an unmanaged, market-weighted index generally representative of intermediate government and investment grade corporate debt securities having maturities of up to ten years.
The distribution rate is calculated by taking the sum of the month’s total distribution factors and dividing this sum by a 30-day period and annualizing to 360-day year. The value is then divided by the ending Net Asset Value (NAV) to arrive at the annualized distribution yield. The yield is calculated on a periodic basis and is subject to change depending on the Funds’ NAV and current distributions.
The Consumer Price Index (“CPI”) measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. The CPI is also known as the cost-of-living index.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
Certified Annual Report 37
TRUSTEES AND OFFICERS
Thornburg Limited Term Income Funds | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
INTERESTED TRUSTEES(2)(4) | ||||
Garrett Thornburg, 58 Chairman of Trustees Trustee since 1987(3) | CEO, Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor) and Thornburg Securities Corporation (securities dealer); Chairman of Thornburg Limited Term Municipal Fund, Inc. (registered investment company) to 2004; CEO and Chairman of Thornburg Mortgage, Inc. (real estate investment trust); Chairman of Thornburg Mortgage Advisory Corporation (investment manager to Thornburg Mortgage, Inc.). | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Brian J. McMahon, 48 Trustee since 2001 President since 1997 (5)(6) | President and Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | None | ||
INDEPENDENT TRUSTEES(2)(4) | ||||
David A. Ater, 59 Trustee since 1994 | Principal in Ater & Ater Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner developer and broker for various real estate projects. | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
David D. Chase, 63 Trustee since 2000 | Chairman, President, CEO, and General Partner of Vestor Partners, LP, Santa Fe, NM (private equity fund); Chairman and CEO of Vestor Holdings, Inc., Santa Fe, NM (merchant bank). | Director of Thornburg Limited Term Municipal Fund, Inc. 2001–2004 | ||
Eliot R. Cutler, 58 Trustee since 2004 | Partner, Akin, Gump, Strauss, Hauer & Feld, LLP,Washington, D.C. (law firm) since November 2000; partner, Cutler & Stanfield, Washington, D.C. (law firm) until November 2000. | Director of Thornburg Limited Term Municipal Fund, Inc. to 2004; director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Susan H. Dubin, 55 Trustee since 2004 | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations; and formerly,Vice President of Chemical Bank (predecessor to JP Morgan Chase & Co.), New York, 1974–1996. | None | ||
Forrest S. Smith, 74 Trustee since 1987 | Trust and estate attorney, of counsel to Catron, Catron & Pottow, Santa Fe, NM (law firm). | None | ||
Owen D. Van Essen, 50 Trustee since 2004 | President of Dirks,Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 45 Trustee since 1996 | Executive Vice President and Director to 2002, and since 2002; CEO and Vice Chairman, Nambé Mills, Inc., Santa Fe, NM (manufacturer). | None |
38 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED
Thornburg Limited Term Income Funds | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(6)(7) | ||||
Dawn B. Fischer, 57 Secretary since 1987 | Secretary and Managing Director, Thornburg Investment Management, Inc.; Secretary, Thornburg Limited Term Municipal Fund, Inc. to 2004; Secretary, Thornburg Securities Corporation; Vice President, Daily Tax Free Income Fund, Inc. (registered investment company). | Not applicable | ||
Steven J. Bohlin, 45 Vice President, since 1987; Treasurer since 1989 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
George T. Strickland, 41 Vice President since 1996 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President (and Treasurer since 2003) of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
William V. Fries, 65 Vice President since 1995 | Vice President and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 37 Vice President since 2001 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2004. | Not applicable | ||
Kenneth Ziesenheim, 50 Vice President since 1995 | Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Securities Corporation; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Alexander Motola, 34 Vice President since 2001 | Managing Director of Thornburg Investment Management, Inc. since 2000; Portfolio Manager, Insight Capital Research & Management, Inc.,Walnut Creek, California 1995–2000. | Not applicable | ||
Wendy Trevisani, 33 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999,Vice President since 2000 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2002; Sales Representative, Solomon Smith Barney 1996–1999. | Not applicable | ||
Joshua Gonze, 41 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999,Vice President since 1999 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Brad Kinkelaar, 36 Vice President since 1999 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 1999, Vice President since 2000, and Managing Director since 2004; Equity Investment Analyst, State Farm Insurance Companies 1996–1999. | Not applicable | ||
Kerry D. Lee, 37 Vice President since 1999 | Vice President of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable |
Certified Annual Report 39
TRUSTEES AND OFFICERS, CONTINUED
Thornburg Limited Term Income Funds | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
Christopher Ihlefeld, 34 Vice President since 2003 | Associate Portfolio Manager since 1999; Vice President of Thornburg Investment Management, Inc. since 2002; Vice President of Limited Term Municipal Fund, Inc., 2003–2004. | Not applicable | ||
Leon Sandersfeld, 38 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2002; Senior Staff Accountant, Farm Bureau Life Insurance Co. 1998–2002. | Not applicable | ||
Sasha Wilcoxon, 30 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2000; and Mutual Fund Support Service Department Manager since 2002. | Not applicable | ||
Ed Maran, 46 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Analyst, USAA 2001–2002; Oil Analyst, A.G. Edwards 1997–2000. | Not applicable | ||
Vinson Walden, 34 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Associate Portfolio Manager, Ibis Management 2002–2004; Associate, Lehman Brothers, 1997–2001. | Not applicable |
(1) | Each person’s address is 119 East Marcy Street, Santa Fe, New Mexico 87501. | |||
(2) | The Fund is one of twelve separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. The Trust currently has twelve active Funds. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twelve funds of the Trust. Each Trustee oversees the twelve portfolios in the fund complex. | |||
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is a director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twelve active funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. | |||
(4) | Each Trustee serves in office until the election and qualification of a successor. | |||
(5) | Mr. McMahon is considered an “interested” Trustee because he is the president of Thornburg Investment Management, Inc. | |||
(6) | The Trust’s president, secretary and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. | |||
(7) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
40 Certified Annual Report
OTHER INFORMATION (UNAUDITED) | ||
Thornburg Limited Term Income Funds | September 30, 2004 |
PORTFOLIO PROXY VOTING
The Trust has delegated to Thornburg Investment Management,Inc. (“the Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.
Commencing August 31,2004,information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request, on the Thornburg website at www.thornburg.com and (ii) on the Securities and Exchange Commission’s website at www.sec.gov.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund will file with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year, commencing with the calendar quarter ending December 31, 2004. The Fund’s Forms N-Q will be available on the Commission’s website at http://www.sec.gov, or may be copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
SHAREHOLDER MEETING INFORMATION
A special meeting (the “Meeting”) of the shareholders of Thornburg Investment Trust (the “Trust”) was held on September 13, 2004 at the offices of Thornburg Investment Management, Inc., 119 East Marcy Street, Santa Fe, New Mexico 87501. Thornburg Limited Term U.S. Government Fund and Thornburg Limited Term Income Fund are two of 12 active series or “Funds” of the Trust.
The shareholders of the Trust considered at the Meeting (i) the election of Trustees, and (ii) ratification of the selection of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm for the fiscal year ending September 30, 2004.
The Trustees elected at the Meeting were Garrett Thornburg, David A. Ater, David D. Chase, Eliot R. Cutler, Susan H. Dubin, Brian J. McMahon, Owen D. Van Essen and James W. Weyhrauch. Forrest S. Smith, a Trustee since 1987 did not stand for election; his term of office will continue through the end of 2004, when he will retire in accordance with the Trust’s Bylaws. The shareholders also ratified the appointment of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm.
The voting results for the matters voted on are set out for each Fund as follows:
Election of Trustees
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Garrett Thornburg | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,772,086.332 | 692,014.443 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,202,049.716 | 217,551.648 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,555.521 | 114,080.445 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,255,221.686 | 81,237.603 | – | – | ||||||||||||
Thornburg Value Fund | 64,672,758.966 | 447,696.934 | – | – | ||||||||||||
Thornburg International Value Fund | 59,954,867.369 | 1,241,990.622 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,135,097.039 | 21,483.205 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,943.082 | 122,916.941 | – | – | ||||||||||||
Total: | 345,469,631.406 | 3,282,138.627 | – | – |
Certified Annual Report 41
OTHER INFORMATION (UNAUDITED), CONTINUED | ||
Thornburg Limited Term Income Funds | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
David A. Ater | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,797,094.826 | 667,005.949 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,898.015 | 244,703.349 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,174.575 | 74,750.866 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,356,553.614 | 118,082.352 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,645.960 | 84,813.329 | – | – | ||||||||||||
Thornburg Value Fund | 64,673,309.598 | 447,696.934 | – | – | ||||||||||||
Thornburg International Value Fund | 60,746,833.041 | 450,024.950 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,382.888 | 24,197.356 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | �� | 20,833,615.730 | 120,243.993 | – | – | |||||||||||
Total: | 346,235,149.064 | 2,517,171.301 | – | – | ||||||||||||
David D. Chase | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,792,336.993 | 671,763.782 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,107,955.251 | 64,970.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,243,684.887 | 92,774.402 | – | – | ||||||||||||
Thornburg Value Fund | 64,693,947.421 | 446,508.479 | – | – | ||||||||||||
Thornburg International Value Fund | 60,752,533.146 | 444,324.845 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,837,095.494 | 116,764.229 | – | – | ||||||||||||
Total: | 346,310,480.812 | 2,461,288.921 | – | – | ||||||||||||
Eliot R. Cutler | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,785,534.542 | 678,566.233 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,449,458.366 | 232,489.857 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,199,536.657 | 220,064.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,111,971.636 | 60,953.805 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,350,526.614 | 124,109.352 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,250,801.917 | 85,657.372 | – | – | ||||||||||||
Thornburg Value Fund | 64,599,511.493 | 520,944.407 | – | – | ||||||||||||
Thornburg International Value Fund | 60,724,718.843 | 472,139.148 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,134,780.624 | 21,799.620 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,832,732.499 | 121,127.224 | – | – | ||||||||||||
Total: | 346,159,119.642 | 2,592,650.361 | – | – | ||||||||||||
Susan H. Dubin | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,874.816 | 670,225.959 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,198,659.272 | 220,942.092 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,110,371.636 | 62,553.805 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,372,811.385 | 101,824.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,249,237.865 | 87,221.424 | – | – |
42 Certified Annual Report
OTHER INFORMATION (UNAUDITED), CONTINUED | ||
Thornburg Limited Term Income Funds | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Value Fund | 64,679,778.577 | 440,677.323 | – | – | ||||||||||||
Thornburg International Value Fund | 60,742,583.265 | 454,274.726 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,454.801 | 120,404.922 | – | – | ||||||||||||
Total: | 346,285,090.525 | 2,466,679.208 | – | – | ||||||||||||
Brian J. McMahon | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,795,559.677 | 668,541.098 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,205,930.716 | 213,670.648 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,104,748.707 | 68,176.734 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 102,726.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,724.960 | 84,734.329 | – | – | ||||||||||||
Thornburg Value Fund | 64,681,039.437 | 439,416.463 | – | – | ||||||||||||
Thornburg International Value Fund | 60,010,455.736 | 1,186,402.255 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,131,956.015 | 24,624.229 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,227.440 | 120,632.283 | – | – | ||||||||||||
Total: | 345,556,209.517 | 3,195,560.216 | – | – | ||||||||||||
Owen D. Van Essen | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,348.831 | 670,751.944 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,730.914 | 244,870.450 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,708.092 | 74,217.349 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,248,394.246 | 88,065.043 | – | – | ||||||||||||
Thornburg Value Fund | 64,674,135.776 | 446,320.124 | – | – | ||||||||||||
Thornburg International Value Fund | 60,684,276.889 | 512,581.102 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,962.507 | 122,897.216 | – | – | ||||||||||||
Total: | 346,178,126.548 | 2,573,643.185 | – | – | ||||||||||||
James W. Weyhrauch | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,789,717.177 | 674,383.598 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 126,726.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,254,156.818 | 82,302.471 | – | – | ||||||||||||
Thornburg Value Fund | 64,683,895.944 | 436,559.906 | – | – | ||||||||||||
Thornburg International Value Fund | 60,726,245.097 | 470,612.894 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,836,311.264 | 117,548.459 | – | – | ||||||||||||
Total: | 346,278,127.848 | 2,497,641.885 | – | – |
Certified Annual Report 43
OTHER INFORMATION (UNAUDITED), CONTINUED | ||
Thornburg Limited Term Income Funds | September 30, 2004 |
Ratification of Selection of Independent Registered Public Accounting Firm
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Limited Term Municipal Fund | 89,266,423.303 | 430,123.930 | 767,553.542 | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,354,990.466 | 167,198.030 | 159,759.457 | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 27,957,900.165 | 174,857.659 | 286,893.540 | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,067,166.377 | 1,155.000 | 104,604.064 | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,911,733.415 | 6,868.306 | 9,157.121 | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,784,834.660 | 23,509.648 | 38,241.937 | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,583.780 | 33,945.016 | 80,017.170 | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,123,259.928 | 57,081.625 | 156,117.736 | – | ||||||||||||
Thornburg Value Fund | 64,569,333.454 | 212,238.433 | 338,884.013 | – | ||||||||||||
Thornburg International Value Fund | 60,444,286.231 | 343,771.766 | 408,700.994 | – | ||||||||||||
Thornburg Core Growth Fund | 6,110,013.492 | 32,603.465 | 13,963.287 | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,812,877.547 | 40,509.369 | 100,472.807 | – | ||||||||||||
Totals | 344,763,402.818 | 1,523,862.247 | 2,464,365.668 | – |
44 Certified Annual Report
Thornburg Value Fund
September 30, 2004
Table of Contents
10 | ||||
12 | ||||
14 | ||||
16 | ||||
17 | ||||
21 | ||||
26 | ||||
29 | ||||
30 | ||||
31 | ||||
32 | ||||
35 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
Certified Annual Report 9
Letter to Shareholders
William V. Fries, CFA
Portfolio Manager
October 26, 2004
Dear Fellow Shareholder:
The Thornburg Value Fund total return for the fiscal year ended September 30 was positive. Although a positive return is always good, it was a challenging year.
Reflecting on performance over the year, it is no surprise that with oil prices having risen dramatically, integrated oil companies such as Amerada Hess Corp. would be among prominent gainers during the year. Interestingly, at this time last year, oil was among the few industry sectors expected to have lower earnings in 2004 than in 2003. This highlights just how much of a surprise the rise in oil prices has been. Other areas of strength were health care and telecommunication services. In health care we continue to be mostly invested in the service segment of the industry where stocks such as Caremark Rx Inc. have contributed positively to performance. In telecom services most of the performance came in the second half of the year from stocks such as Alltel Corp. and NII Holdings Inc.
As outlined in the Fund’s investment prospectus, our portfolio is much more focused than the S&P 500 Index stock benchmark and many other competitive funds, as holdings currently number 46. The philosophy here is that though the portfolio will be diversified, a concentrated portfolio can more directly reflect the results of effective fundamental research and stock selection. Relative to the benchmark S&P 500 Index, our Fund’s performance from April to August was particularly disappointing. Investor fears of a delayed profit recovery pressured our economically and market sensitive holdings. Internet related issues such as online retailer IAC/InterActiveCorp and advertiser DoubleClick, were also poor performers. Business execution at these companies was disappointing and we sold them. For the full year, technology holding results were mixed. Samsung Electronics Co. Inc. was among the Fund’s best full-year performers while others such as Seagate Technology were among our worst performing stocks.
During the year, corporate bonds were a small portion of the portfolio, consisting of the bonds of two issuers: Level 3 Communications and Delta Airlines. Poor performance of the Delta bonds reflected an unanticipated rise in fuel prices which undermined our confidence in cash flow adequacy. Offsetting operating cost savings have not been forthcoming, so the bonds have been sold.
One of our largest holdings, Federal National Mortgage Association (Fannie Mae), has been in the news persistently. Its government overseer has recently issued a report damaging to the reputation of management, alleging inadequate documentation discipline with regard to derivative hedges. By agreement with its regulator, Fannie Mae will be rebuilding capital for several quarters, a process that will likely constrain growth below prior expectations. The stock’s valuation appears to fully reflect the current controversy. Nonetheless, the position has been reduced.
10 Certified Annual Report
As we start the new fiscal year, a litany of issues is foremost in investor awareness. Iraq, oil prices, interest rates, the dollar, the trade imbalance and budget deficit, and economic growth will likely remain the general issues of the day for investors. Favorable developments with regard to any of these issues (most are linked) would likely be good for the economy and stocks. A portfolio of equities such as the Thornburg Value Fund, with comprehensive diversification including Basic Value, Consistent Earner and Emerging Franchise stocks (see prospectus for descriptions) should participate. Additions to the portfolio are made on the basis of individual stock attributes. Recent additions have included positions in the very large capitalization market segment. Please review the holdings by industry on the following pages. Our web site at www.thornburg.com/funds has descriptions of companies held as well as other commentary you may find useful in tracking your investment with us. Thank you very much for your continued confidence and trust.
Sincerely,
William V. Fries, CFA
Portfolio Manager
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each Fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager, and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
Certified Annual Report 11
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Value Fund | September 30, 2004 |
ASSETS | ||||
Investments at value (cost $1,913,720,531) | $ | 2,033,796,076 | ||
Cash | 155,757 | |||
Receivable for securities sold | 13,351,794 | |||
Receivable for fund shares sold | 3,500,160 | |||
Dividends receivable | 2,736,133 | |||
Interest receivable | 1,489,000 | |||
Prepaid expenses and other assets | 96,141 | |||
Total Assets | 2,055,125,061 | |||
LIABILITIES | ||||
Payable for securities purchased | 7,040,135 | |||
Payable for fund shares redeemed | 5,320,870 | |||
Payable to investment advisor and other affiliates (Note 3) | 2,170,706 | |||
Accounts payable and accrued expenses | 499,086 | |||
Dividends payable | 754,317 | |||
Total Liabilities | 15,785,114 | |||
NET ASSETS | $ | 2,039,339,947 | ||
NET ASSETS CONSIST OF: | ||||
Undistributed (Distribution in excess of) net investment income | $ | 125,227 | ||
Net unrealized appreciation (depreciation) on investments | 120,072,559 | |||
Accumulated net realized gain (loss) | (273,615,480 | ) | ||
Net capital paid in on shares of beneficial interest | 2,192,757,641 | |||
$ | 2,039,339,947 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($1,086,448,235 applicable to 38,647,412 shares of beneficial interest outstanding — Note 4) | $ | 28.11 | ||
Maximum sales charge, 4.50% of offering price | 1.32 | |||
Maximum Offering Price Per Share | $ | 29.43 | ||
Class B Shares: | ||||
Net asset value and offering price per share* ($93,507,617 applicable to 3,446,129 shares of beneficial interest outstanding — Note 4) | $ | 27.13 | ||
Class C Shares: | ||||
Net asset value and offering price per share* ($475,295,914 applicable to 17,347,825 shares of beneficial interest outstanding — Note 4) | $ | 27.40 | ||
12 Certified Annual Report
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Value Fund | September 30, 2004 |
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($378,334,159 applicable to 13,277,799 shares of beneficial interest outstanding — Note 4) | $ | 28.49 | ||
Class R-1 Shares: | ||||
Net asset value, offering and redemption price per share ($5,754,022 applicable to 205,091 shares of beneficial interest outstanding — Note 4) | $ | 28.06 | ||
*Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. See notes to financial statements.
Certified Annual Report 13
STATEMENT OF OPERATIONS | ||
Thornburg Value Fund | Year Ended September 30, 2004 |
INVESTMENT INCOME | ||||
Dividend income (net of foreign taxes withheld of $660,538) | $ | 30,767,136 | ||
Interest income | 11,512,138 | |||
Other income | 293 | |||
Total Income | 42,279,567 | |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 16,296,068 | |||
Administration fees (Note 3) | ||||
Class A Shares | 1,393,828 | |||
Class B Shares | 122,721 | |||
Class C Shares | 621,397 | |||
Class I Shares | 166,548 | |||
Class R-1 Shares | 3,151 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 2,811,132 | |||
Class B Shares | 995,639 | |||
Class C Shares | 5,012,986 | |||
Class R-1 Shares | 12,863 | |||
Transfer agent fees | ||||
Class A Shares | 1,445,600 | |||
Class B Shares | 177,055 | |||
Class C Shares | 724,670 | |||
Class I Shares | 216,550 | |||
Class R-1 Shares | 4,134 | |||
Registration and filing fees | ||||
Class A Shares | 25,054 | |||
Class B Shares | 14,070 | |||
Class C Shares | 14,892 | |||
Class I Shares | 22,587 | |||
Class R-1 Shares | 13,546 | |||
Custodian fees (Note 3) | 562,681 | |||
Professional fees | 119,750 | |||
Accounting fees | 154,350 | |||
Trustee fees | 51,605 | |||
Other expenses | 528,370 | |||
Total Expenses | 31,511,247 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (82,857 | ) | ||
Fees paid indirectly (Note 3) | (9,661 | ) | ||
Net Expenses | 31,418,729 | |||
Net Investment Income | $ | 10,860,838 | ||
14 Certified Annual Report
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Value Fund | Year Ended September 30, 2004 |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments | $ | 144,022,898 | ||
Foreign currency transactions | (50,368 | ) | ||
143,972,530 | ||||
Net change in unrealized appreciation on: | ||||
Investments | (29,882,458 | ) | ||
Foreign currency translation | (28,766 | ) | ||
(29,911,224 | ) | |||
Net Realized and Unrealized Gain (Loss) | 114,061,306 | |||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 124,922,144 | ||
See notes to financial statements.
Certified Annual Report 15
STATEMENTS OF CHANGES IN NET ASSETS |
Thornburg Value Fund |
Year Ended | Year Ended | |||||||
September 30, 2004 | September 30, 2003 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income gain (loss) | $ | 10,860,838 | $ | 7,313,471 | ||||
Net realized gain (loss) on investments and foreign currency transactions | 143,972,530 | (71,469,466 | ) | |||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments and foreign currency translation | (29,911,224 | ) | 418,721,057 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 124,922,144 | 354,565,062 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (7,240,069 | ) | (608,906 | ) | ||||
Class B Shares | (165,223 | ) | 0 | |||||
Class C Shares | (881,785 | ) | 0 | |||||
Class I Shares | (3,723,901 | ) | (313,321 | ) | ||||
Class R-1 Shares | (41,476 | ) | 0 | |||||
From return of capital | ||||||||
Class A Shares | 0 | (841,616 | ) | |||||
Class I Shares | 0 | (433,066 | ) | |||||
FUND SHARE TRANSACTIONS — (NOTE 4) | ||||||||
Class A Shares | 28,336,374 | (9,595,663 | ) | |||||
Class B Shares | (1,996,877 | ) | 1,176,900 | |||||
Class C Shares | 6,280,617 | (15,910,000 | ) | |||||
Class I Shares | 102,430,454 | 1,829,284 | ||||||
Class R-1 Shares | 5,988,945 | 75 | ||||||
Net Increase (Decrease) in Net Assets | 253,909,203 | 329,868,749 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 1,785,430,744 | 1,455,561,995 | ||||||
End of year | $ | 2,039,339,947 | $ | 1,785,430,744 | ||||
See notes to financial statements.
16 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Value Fund | September 30, 2004 |
NOTE 1 – ORGANIZATION
Thornburg Value Fund, hereinafter referred to as the “Fund,” is a 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 eleven series of shares of beneficial interest in addition to those of the Fund: Thornburg California Limited Term Municipal Fund, Thornburg Limited Term Municipal Fund, Thornburg Limited Term U.S. Government Fund, Thornburg New Mexico Intermediate Municipal Fund, Thornburg Intermediate Municipal Fund, Thornburg Limited Term Income Fund, Thornburg Florida Intermediate Municipal Fund, Thornburg International Value Fund, Thornburg Core Growth Fund, Thornburg New York Intermediate Municipal Fund, and Thornburg Investment Income Builder Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing primarily in domestic equity securities selected on a value basis.
The Fund currently offers five classes of shares of beneficial interest, Class A, Class B, Class C, Institutional Class (Class I) and Retirement Class (Class R-1) 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 B shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption and bear both a service fee and distribution fee, (iii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year, and bear a service fee and a distribution fee, (iv) Class I shares are sold at net asset value without a sales charge at the time of purchase, (v) Class R-1 shares are sold at net asset value without a sales charge at the time of purchase but bear both a service fee and distribution fee, and (vi) the respective classes have different reinvestment privileges. Additionally, the 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 Fund are limited to service and distribution fees, administration fees and certain registration and transfer agent expenses. Class B shares of the Fund outstanding for eight years will convert to Class A shares of the Fund.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Fund are as follows:
Valuation of Securities: In determining net asset value, investments are stated at value based on latest sales prices, normally at 4:00 pm EST reported on national securities exchanges on the last business day of the period. Investments for which no sale is reported are valued at the mean between bid and asked prices or in accordance with such other method as the Trustees may authorize. Securities for which market quotations are not readily available are valued at fair value as determined by management and approved in good faith by the Board of Trustees. Short term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
Foreign Currency Translation: Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against the U.S. dollar on the date of valuation. Purchases and sales of securities and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the translation date. When the Fund purchases or sells foreign securities it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in 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.
Federal Income Taxes: It is the policy of the Fund to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all of its taxable income to its shareholders. Therefore, no provision for Federal income tax is required.
When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with its investment objectives and not for the purpose of investment leverage or to speculate on market changes. At the time the Fund makes a commitment to purchase a security on a when-issued basis, it will record the transaction and reflect the value in determining its 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 on the trade date.
Dividends: Dividends to shareholders are generally paid quarterly and are reinvested in additional shares of the Fund 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 realized capital gains, to the extent available, will be distributed at least annually. Distributions to shareholders are based on income tax regulations and therefore, their characteristics may differ for financial statement and tax purposes.
General: Securities transactions are accounted for on a trade date basis. Interest income is accrued as earned and dividend income is recorded on the ex-dividend date. Certain income from foreign securities is recognized as soon as information is available to the
Certified Annual Report 17
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund | September 30, 2004 |
Fund. Realized gains and losses from the sale of securities are recorded on an identified cost basis. Net investment income, other than class specific expenses, and realized and unrealized gains and losses, are allocated daily to each class of shares based upon the relative net asset value of outstanding shares of each class of shares at the beginning of the day (after adjusting for the current share activity of the respective class). Expenses common to all funds are allocated among the funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
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 “Advisor”) serves as the investment advisor and performs services to the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2004, these fees were payable at annual rates ranging from .875 of 1% to .675 of 1% of the average daily net assets of the Fund depending on the Fund’s asset size. The Fund also has an administrative services agreement with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% of the average daily net assets attributable to each class of shares. For the year ended September 30, 2004, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $13,500 for Class B shares, $38,000 for Class C shares, $9,097 for class I shares and $22,260 for Class R-1 shares.
The Fund has an underwriting agreement with Thornburg Securities Corporation (the “Distributor,” an affiliate of the advisor), which acts as the distributor of the Fund’s shares. For the year ended September 30, 2004, the Distributor has advised the Fund that it earned net commissions aggregating $176,351 from the sale of Class A shares of the Fund, and collected contingent deferred sales charges aggregating $40,677 from redemptions of Class C shares of the Fund.
Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed ..25 of 1% per annum of its average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder related services. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
The Fund has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Fund’s Class B, Class C, and Class R-1 shares under which the Fund compensates the Distributor for services in promoting the sale of Class B, Class C, and Class R-1 shares of the Fund at an annual rate of up to .75 of 1% of the average daily net assets attributable to Class B, Class C, and Class R-1 shares. Total fees incurred by the distributor for each class of shares of the Fund under its respective service and distribution plans for the year ended September 30, 2004 are set forth in the Statement of Operations.
The Fund has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees have been adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the statements of operations. For the year ended September 30, 2004, the fees paid indirectly were $9,661.
Certain officers and trustees of the Trust are also officers and/or directors of the Advisor and Distributor. The compensation of unaffiliated trustees is borne by the Trust.
18 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund | September 30, 2004 |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At September 30, 2004 there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended | Year Ended | |||||||||||||||
September 30, 2004 | September 30, 2003 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 11,405,873 | $ | 327,555,712 | 10,779,879 | $ | 260,163,852 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 228,437 | 6,559,600 | 51,321 | 1,323,066 | ||||||||||||
Shares repurchased ** | (10,795,871 | ) | (305,778,938 | ) | (12,057,032 | ) | (271,082,581 | ) | ||||||||
Net Increase (Decrease) | 838,439 | $ | 28,336,374 | (1,225,832 | ) | $ | (9,595,663 | ) | ||||||||
** | Effective October 1, 2003, the Fund charges a redemption fee of 1% of the Class A shares exchanged within 90 days of purchase. For the year ended September 30, 2004, $63,006 was netted in the amount reported for shares repurchased. |
Class B Shares | ||||||||||||||||
Shares sold | 380,476 | $ | 10,548,934 | 513,612 | $ | 11,953,625 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 5,415 | 146,992 | — | — | ||||||||||||
Shares repurchased | (460,576 | ) | (12,692,803 | ) | (487,795 | ) | (10,776,725 | ) | ||||||||
Net Increase (Decrease) | (74,685 | ) | $ | (1,996,877 | ) | 25,817 | $ | 1,176,900 | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 3,239,399 | $ | 90,745,058 | 2,810,602 | $ | 66,343,222 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 27,090 | 746,516 | — | — | ||||||||||||
Shares repurchased | (3,079,437 | ) | (85,210,957 | ) | (3,690,038 | ) | (82,253,222 | ) | ||||||||
Net Increase (Decrease) | 187,052 | $ | 6,280,617 | (879,436 | ) | $ | (15,910,000 | ) | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 5,766,851 | $ | 167,750,890 | 3,982,384 | $ | 94,533,465 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 106,031 | 3,088,228 | 23,269 | 607,316 | ||||||||||||
Shares repurchased ** | (2,376,801 | ) | (68,408,664 | ) | (4,135,473 | ) | (93,311,497 | ) | ||||||||
Net Increase (Decrease) | 3,496,081 | $ | 102,430,454 | (129,820 | ) | $ | 1,829,284 | |||||||||
** | Effective October 1, 2003, the Fund charges a redemption fee of 1% of the Class I shares exchanged within 90 days of purchase. For the year ended September 30, 2004, $12,511 was netted in the amount reported for shares repurchased. |
Class R-1 Shares | ||||||||||||||||
Shares sold | 218,435 | $ | 6,370,169 | 3 | $ | 75 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 1,357 | 38,681 | — | — | ||||||||||||
Shares repurchased | (14,704 | ) | (419,905 | ) | — | — | ||||||||||
Net Increase (Decrease) | 205,088 | $ | 5,988,945 | 3 | $ | 75 | ||||||||||
Certified Annual Report 19
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund | September 30, 2004 |
NOTE 5 – SECURITIES TRANSACTIONS
For the year ended September 30, 2004 the Fund had purchase and sale transactions of investment securities excluding short-term securities of $1,505,368,593 and $1,369,438,815, respectively.
NOTE 6 – INCOME TAXES
At September 30, 2004, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 1,913,720,531 | ||
Gross unrealized appreciation on a tax basis | $ | 236,894,595 | ||
Gross unrealized depreciation on a tax basis | (116,819,050 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 120,075,545 | ||
Distributable earnings – ordinary income | $ | 125,227 | ||
At September 30, 2004, the Fund had tax basis capital losses, which may be carried over to offset future capital gains. To the extent such carry forwards are used, capital gains distributions may be reduced to the extent provided by regulations. Such losses expire as follows:
Capital loss carryovers expiring in: | ||||
2010 | $ | 98,702,605 | ||
2011 | 174,912,875 | |||
$ | 273,615,480 | |||
The Fund utilized $101,167,307 of its capital loss carry forward during the year ended September 30, 2004.
In order to account for permanent book/tax differences, the Fund decreased undistributed net investment loss by $1,586,572, increased accumulated net realized investment loss by $623,405, and decreased net capital paid in on shares of beneficial interest by $963,167. This reclassification has no impact on the net asset value of the Fund. Reclassifications result primarily from investments in REIT’s, partnerships, and currency losses.
The tax character of distributions paid during the years ended September 30, 2004, and September 30, 2003, was as follows:
2004 | 2003 | |||||||
Distributions from: | ||||||||
Ordinary income | $ | 12,052,454 | $ | 922,227 | ||||
Return of capital | — | 1,274,682 | ||||||
Total Distribution | $ | 12,052,454 | $ | 2,196,909 | ||||
20 Certified Annual Report
FINANCIAL HIGHLIGHTS
Thornburg Value Fund
Year Ended September 30, | ||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||
Class A Shares: | ||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||
(for a share outstanding throughout the year)+ | ||||||||||||||||||||
Net asset value, beginning of year | $ | 26.29 | $ | 20.73 | $ | 26.04 | $ | 32.98 | $ | 26.20 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss) | 0.20 | 0.15 | — | (c) | 0.02 | 0.74 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.81 | 5.45 | (5.31 | ) | (6.38 | ) | 7.29 | |||||||||||||
Total from investment operations | 2.01 | 5.60 | (5.31 | ) | (6.36 | ) | 8.03 | |||||||||||||
Less dividends from: | ||||||||||||||||||||
Net investment income | (0.19 | ) | (0.02 | ) | — | (0.25 | ) | (0.86 | ) | |||||||||||
Net realized gains | — | — | — | (0.25 | ) | (0.39 | ) | |||||||||||||
Return of capital | — | (0.02 | ) | — | (0.08 | ) | — | |||||||||||||
Total dividends | (0.19 | ) | (0.04 | ) | — | (0.58 | ) | (1.25 | ) | |||||||||||
Change in net asset value | 1.82 | 5.56 | (5.31 | ) | (6.94 | ) | 6.78 | |||||||||||||
NET ASSET VALUE, end of year | $ | 28.11 | $ | 26.29 | $ | 20.73 | $ | 26.04 | $ | 32.98 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Total return (a) | 7.61 | % | 27.02 | % | (20.39 | )% | (19.59 | )% | 30.68 | % | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.69 | % | 0.66 | % | — | (b) | 0.07 | % | 2.31 | % | ||||||||||
Expenses, after expense reductions | 1.37 | % | 1.43 | % | 1.40 | % | 1.37 | % | 1.38 | % | ||||||||||
Expenses, after expense reductions and net of custody credits | 1.37 | % | 1.43 | % | 1.40 | % | — | — | ||||||||||||
Expenses, before expense reductions | 1.37 | % | 1.43 | % | 1.40 | % | 1.38 | % | 1.38 | % | ||||||||||
Portfolio turnover rate | 68.74 | % | 82.89 | % | 76.37 | % | 71.81 | % | 72.35 | % | ||||||||||
Net assets at end of year (000) | $ | 1,086,448 | $ | 994,043 | $ | 809,229 | $ | 1,078,582 | $ | 873,433 |
(a) Sales loads are not reflected in computing total return.
(b) The ratio of net investment loss to average net assets is less than 0.01%.
(c) Net investment loss per share is less than 0.01.
+ Based on weighted average shares outstanding.
Certified Annual Report 21
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Value Fund
Year Ended September 30, | Period Ended | |||||||||||||||||||
September 30, | ||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 (a) | ||||||||||||||||
Class B Shares: | ||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||
Net asset value, beginning of period | $ | 25.47 | $ | 20.22 | $ | 25.61 | $ | 32.63 | $ | 33.22 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss) | (0.03 | ) | (0.05 | ) | (0.22 | ) | (0.24 | ) | — | |||||||||||
Net realized and unrealized gain (loss) on investments | 1.74 | 5.30 | (5.17 | ) | (6.31 | ) | 0.09 | |||||||||||||
Total from investment operations | 1.71 | 5.25 | (5.39 | ) | (6.55 | ) | 0.09 | |||||||||||||
Less dividends from: | ||||||||||||||||||||
Net investment income | (0.05 | ) | — | — | (0.19 | ) | (0.68 | ) | ||||||||||||
Net realized gains | — | — | — | (0.25 | ) | — | ||||||||||||||
Return of capital | — | — | — | (0.03 | ) | — | ||||||||||||||
Total dividends | (0.05 | ) | — | — | (0.47 | ) | (0.68 | ) | ||||||||||||
Change in net asset value | 1.66 | 5.25 | (5.39 | ) | (7.02 | ) | (0.59 | ) | ||||||||||||
NET ASSET VALUE, end of period | $ | 27.13 | $ | 25.47 | $ | 20.22 | $ | 25.61 | $ | 32.63 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Total return (c) | 6.71 | % | 25.96 | % | (21.05 | )% | (20.35 | )% | 0.25 | % | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.12 | )% | (0.22 | )% | (0.85 | )% | (0.83 | )% | 0.02% | (b) | ||||||||||
Expenses, after expense reductions | 2.18 | % | 2.31 | % | 2.25 | % | 2.27 | % | 2.38% | (b) | ||||||||||
Expenses, after expense reductions and net of custody credits | 2.18 | % | 2.31 | % | 2.25 | % | — | — | ||||||||||||
Expenses, before expense reductions | 2.20 | % | 2.32 | % | 2.25 | % | 2.30 | % | 2.43% | (b) | ||||||||||
Portfolio turnover rate | 68.74 | % | 82.89 | % | 76.37 | % | 71.81 | % | 72.35 | % | ||||||||||
Net assets at end of period (000) | $ | 93,508 | $ | 89,661 | $ | 70,682 | $ | 68,740 | $ | 17,945 |
(a) Effective date of Class B Shares was April 3, 2000.
(b) Annualized.
(c) Total return is not annualized for periods less than one year.
+ Based on weighted average shares outstanding
22 Certified Annual Report
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Value Fund
Year Ended September 30, | ||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||
Class C Shares: | ||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||
(for a share outstanding throughout the year)+ | ||||||||||||||||||||
Net asset value, beginning of year | $ | 25.70 | $ | 20.40 | $ | 25.82 | $ | 32.80 | $ | 26.08 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss) | (0.02 | ) | (0.04 | ) | (0.20 | ) | (0.22 | ) | 0.49 | |||||||||||
Net realized and unrealized gain (loss) on investments | 1.77 | 5.34 | (5.22 | ) | (6.34 | ) | 7.23 | |||||||||||||
Total from investment operations | 1.75 | 5.30 | (5.42 | ) | (6.56 | ) | 7.72 | |||||||||||||
Less dividends from: | ||||||||||||||||||||
Net investment income | (0.05 | ) | — | — | (0.16 | ) | (0.61 | ) | ||||||||||||
Net realized gains | — | — | — | (0.25 | ) | (0.39 | ) | |||||||||||||
Return of capital | — | — | — | (0.01 | ) | — | ||||||||||||||
Total dividends | (0.05 | ) | — | — | (0.42 | ) | (1.00 | ) | ||||||||||||
Change in net asset value | 1.70 | 5.30 | (5.42 | ) | (6.98 | ) | 6.72 | |||||||||||||
NET ASSET VALUE, end of year | $ | 27.40 | $ | 25.70 | $ | 20.40 | $ | 25.82 | $ | 32.80 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Total return | 6.81 | % | 25.98 | % | (20.99 | )% | (20.24 | )% | 29.90 | % | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.07 | )% | (0.16 | )% | (0.77 | )% | (0.74 | )% | 1.53 | % | ||||||||||
Expenses, after expense reductions | 2.14 | % | 2.25 | % | 2.17 | % | 2.18 | % | 2.16 | % | ||||||||||
Expenses, after expense reductions and net of custody credits | 2.14 | % | 2.25 | % | 2.17 | % | — | — | ||||||||||||
Expenses, before expense reductions | 2.15 | % | 2.25 | % | 2.17 | % | 2.19 | % | 2.17 | % | ||||||||||
Portfolio turnover rate | 68.74 | % | 82.89 | % | 76.37 | % | 71.81 | % | 72.35 | % | ||||||||||
Net assets at end of year (000) | $ | 475,296 | $ | 441,103 | $ | 368,038 | $ | 437,199 | $ | 361,447 |
+ Based on weighted average shares outstanding.
Certified Annual Report 23
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Value Fund
Year Ended September 30, | ||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||
Class I Shares: | ||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||
(for a share outstanding throughout the year)+ | ||||||||||||||||||||
Net asset value, beginning of year | $ | 26.64 | $ | 20.95 | $ | 26.18 | $ | 33.09 | $ | 26.26 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.31 | 0.26 | 0.11 | 0.14 | 0.91 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.84 | 5.51 | (5.34 | ) | (6.42 | ) | 7.25 | |||||||||||||
Total from investment operations | 2.15 | 5.77 | (5.23 | ) | (6.28 | ) | 8.16 | |||||||||||||
Less dividends from: | ||||||||||||||||||||
Net investment income | (0.30 | ) | (0.03 | ) | — | (0.28 | ) | (0.94 | ) | |||||||||||
Net realized gains | — | — | — | (0.25 | ) | (0.39 | ) | |||||||||||||
Return of capital | — | (0.05 | ) | — | (0.10 | ) | — | |||||||||||||
Total dividends | (0.30 | ) | (0.08 | ) | — | (0.63 | ) | (1.33 | ) | |||||||||||
Change in net asset value | 1.85 | 5.69 | (5.23 | ) | (6.91 | ) | 6.83 | |||||||||||||
NET ASSET VALUE, end of year | $ | 28.49 | $ | 26.64 | $ | 20.95 | $ | 26.18 | $ | 33.09 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Total return | 8.04 | % | 27.55 | % | (19.98 | )% | (19.29 | )% | 31.44 | % | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 1.07 | % | 1.10 | % | 0.42 | % | 0.45 | % | 2.82 | % | ||||||||||
Expenses, after expense reductions | 0.99 | % | 0.99 | % | 0.98 | % | 0.99 | % | 0.99 | % | ||||||||||
Expenses, after expense reductions and net of custody credits | 0.99 | % | 0.99 | % | 0.98 | % | — | — | ||||||||||||
Expenses, before expense reductions | 0.99 | % | 1.03 | % | 0.99 | % | 1.01 | % | 1.00 | % | ||||||||||
Portfolio turnover rate | 68.74 | % | 82.89 | % | 76.37 | % | 71.81 | % | 72.35 | % | ||||||||||
Net assets at end of year (000) | $ | 378,334 | $ | 260,624 | $ | 207,613 | $ | 293,784 | $ | 242,974 |
+ Based on weighted average shares outstanding.
24 Certified Annual Report
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Value Fund
Year Ended | Period Ended | |||||||
September 30, | September 30, | |||||||
2004 | 2003(c) | |||||||
Class R-1 Shares: | ||||||||
PER SHARE PERFORMANCE | ||||||||
(for a share outstanding throughout the period)+ | ||||||||
Net asset value, beginning of period | $ | 26.27 | $ | 25.83 | ||||
Income from investment operations: | ||||||||
Net investment income | 0.17 | 0.03 | ||||||
Net realized and unrealized gain (loss) on investments | 1.85 | 0.41 | ||||||
Total from investment operations | 2.02 | 0.44 | ||||||
Less dividends from: | ||||||||
Net investment income | (0.23 | ) | — | |||||
Change in net asset value | 1.79 | 0.44 | ||||||
NET ASSET VALUE, end of period | $ | 28.06 | $ | 26.27 | ||||
RATIOS/SUPPLEMENTAL DATA | ||||||||
Total return (a) | 7.68 | % | 1.70 | % | ||||
Ratios to average net assets: | ||||||||
Net investment income | 0.61 | % | 0.48% | (b) | ||||
Expenses, after expense reductions | 1.34 | % | 1.45% | (b) | ||||
Expenses, after expense reductions and net of custody credits | 1.34 | % | 1.45% | (b) | ||||
Expenses,before expense reductions | 2.22 | % | 44,445.63% | (b)* | ||||
Portfolio turnover rate | 68.74 | % | 82.89 | % | ||||
Net assets at end of period (000) | $ | 5,754 | $ | 0 | (d) |
(a) Total return is not annualized for periods less than one year.
(b) Annualized.
(c) Effective date of Class R-1 Shares was July 1, 2003.
(d) Net assets at end of year were less than $1,000.
* Due to the size of net assets and fixed expenses, ratios may appear disproportionate.
+ Based on weighted average shares outstanding.
Certified Annual Report 25
SCHEDULE OF INVESTMENTS | ||
Thornburg Value Fund | September 30, 2004 |
CUSIPS: CLASS A — 885-215-731, CLASS B — 885-215-590, CLASS C — 885-215-715, CLASS I — 885-215-632,
CLASS R-1 — 885-215-533
NASDAQ SYMBOLS: CLASS A — TVAFX, CLASS B — TVBFX, CLASS C — TVCFX, CLASS I — TVIFX,
CLASS R-1 — TVRFX
Shares/ | ||||||||
Principal Amount | Value | |||||||
COMMON STOCKS - 96.70% | ||||||||
BANKS (8.80%) | ||||||||
Bank of America Corp. | 940,200 | $ | 40,738,866 | |||||
Lloyds TSB Group plc | 5,446,500 | 42,530,914 | ||||||
The Bank of New York Co. Inc. | 2,176,600 | 63,491,422 | ||||||
Wells Fargo & Co. | 553,800 | 33,023,094 | ||||||
CAPITAL GOODS (3.20%) | ||||||||
General Electric Co. | 1,916,100 | 64,342,638 | ||||||
COMMERCIAL SERVICES & SUPPLIES (1.10%) | ||||||||
FTI Consulting Inc.+ | 1,237,600 | 23,390,640 | ||||||
DIVERSIFIED FINANCIALS (11.20%) | ||||||||
American International Group Inc. | 599,300 | 40,746,407 | ||||||
Citigroup Inc. | 1,416,800 | 62,509,216 | ||||||
E-Trade Financial Corp.+ | 2,125,177 | 24,269,521 | ||||||
Fannie Mae | 914,700 | 57,991,980 | ||||||
T. Rowe Price Group Inc. | 815,600 | 41,546,664 | ||||||
ENERGY (7.50%) | ||||||||
Exxon Mobil Corp. | 1,704,500 | 82,378,485 | ||||||
Unocal Corp. | 1,649,200 | 70,915,600 | ||||||
HEALTH CARE EQUIPMENT & SERVICES (11.50%) | ||||||||
Anthem Inc. + | 459,200 | 40,065,200 | ||||||
Cardinal Health Inc. | 506,400 | 22,165,128 | ||||||
Caremark Rx Inc.+ | 1,202,200 | 38,554,554 | ||||||
Guidant Corp. | 591,500 | 39,062,660 | ||||||
Health Management Associates | 2,190,255 | 44,746,910 | ||||||
UnitedHealth Group Inc. | 655,200 | 48,314,448 | ||||||
HOUSEHOLD & PERSONAL PRODUCTS (3.40%) | ||||||||
American Greetings Corp.+ | 1,448,700 | 36,391,344 | ||||||
Colgate Palmolive Co. | 730,600 | 33,008,508 | ||||||
INSURANCE (5.80%) | ||||||||
Aon Corp. | 1,583,100 | 45,498,294 | ||||||
Lincoln National Corp. | 529,122 | 24,868,734 | ||||||
The St. Paul Travelers Cos. Inc. | 1,415,100 | 46,783,206 | ||||||
MATERIALS (1.00%) | ||||||||
Smurfit Stone Container Corp.+ | 1,102,200 | 21,349,614 |
26 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Value Fund | September 30, 2004 |
Shares/ | ||||||||
Principal Amount | Value | |||||||
MEDIA (8.60%) | ||||||||
Comcast Corp.+ | 1,430,200 | $ | 39,931,184 | |||||
DIRECTV Group Inc.+ | 2,914,185 | 51,260,514 | ||||||
Fox Entertainment Group Inc.+ | 1,576,175 | 43,723,094 | ||||||
Time Warner Inc.+ | 2,533,755 | 40,894,806 | ||||||
PHARMACEUTICALS & BIOTECHNOLOGY (4.70%) | ||||||||
Amgen Inc.+ | 604,500 | 34,263,060 | ||||||
Pfizer Inc. | 1,989,300 | 60,872,580 | ||||||
REAL ESTATE MANAGEMENT & DEVELOPMENT (0.70%) | ||||||||
Crown Castle International Corp.+ | 926,200 | 13,781,856 | ||||||
RETAILING (6.30%) | ||||||||
Linens N Things Inc.+ | 1,526,077 | 35,359,204 | ||||||
Lowe’s Cos. Inc. | 949,200 | 51,589,020 | ||||||
Target Corp. | 906,400 | 41,014,600 | ||||||
SOFTWARE & SERVICES (6.60%) | ||||||||
Affiliated Computer Services Inc.+ | 622,090 | 34,631,750 | ||||||
Eclipsys Corp.+ | 1,866,440 | 29,116,464 | ||||||
Microsoft Corp. | 2,582,900 | 71,417,185 | ||||||
TECHNOLOGY — HARDWARE & EQUIPMENT (3.90%) | ||||||||
Samsung Electronics Co. Ltd. | 91,800 | 36,512,723 | ||||||
Texas Instruments Inc. | 2,010,075 | 42,774,396 | ||||||
TELECOMMUNICATION SERVICES (7.40%) | ||||||||
Alltel Corp. | 979,500 | 53,784,345 | ||||||
Nextel Communications Inc.+ | 1,942,600 | 46,311,584 | ||||||
NII Holdings Inc. + | 1,203,204 | 49,584,037 | ||||||
TRANSPORTATION (5.00%) | ||||||||
Southwest Airlines Co. | 3,672,453 | 50,018,810 | ||||||
Union Pacific Corp. | 879,100 | 51,515,260 | ||||||
TOTAL COMMON STOCKS (Cost $1,840,089,996) | 1,967,040,519 | |||||||
CORPORATE BONDS – 1.30% | ||||||||
TELECOMMUNICATION SERVICES (1.30%) | ||||||||
Level 3 Communications Inc., 9.125%, 5/1/2008 | $ | 30,400,000 | 22,344,000 | |||||
Level 3 Communications Inc., 10.50%, 12/1/2008 | 5,900,000 | 4,366,000 | ||||||
TOTAL CORPORATE BONDS (Cost $27,172,953) | 26,710,000 | |||||||
Certified Annual Report 27
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Value Fund | September 30, 2004 |
Shares/ | ||||||||
Principal Amount | Value | |||||||
CONVERTIBLE BONDS – 1.20% | ||||||||
TELECOMMUNICATION SERVICES (1.20%) | ||||||||
Level 3 Communications Inc., 6.00%, 9/15/2009 | $ | 18,700,000 | $ | 10,004,500 | ||||
Level 3 Communications Inc., 6.00%, 3/15/2010 | 28,800,000 | 14,544,000 | ||||||
TOTAL CONVERTIBLE BONDS (Cost $30,960,525) | 24,548,500 | |||||||
SHORT TERM INVESTMENTS – 0.80% | ||||||||
Lasalle Bank Corp.,1.64% due 10/4/2004 | 10,000,000 | 9,998,633 | ||||||
UBS Finance, 1.72% due 10/7/2004 | 5,500,000 | 5,498,424 | ||||||
TOTAL SHORT TERM INVESTMENTS (Cost $15,497,057) | 15,497,057 | |||||||
TOTAL INVESTMENTS (100%) (Cost $1,913,720,531) | $ | 2,033,796,076 | ||||||
+ Non-income producing.
See notes to financial statements.
INDUSTRY EXPOSURE
As of 9/30/04
Health Care Equipment & Services | 11.5 | % | ||
Diversified Financials | 11.2 | % | ||
Telecommunication Services | 9.9 | % | ||
Banks | 8.8 | % | ||
Media | 8.6 | % | ||
Energy | 7.5 | % | ||
Software & Services | 6.6 | % | ||
Retailing | 6.3 | % | ||
Insurance | 5.8 | % | ||
Transportation | 5.0 | % | ||
Pharmaceuticals & Biotechnology | 4.7 | % | ||
Technology – Hardware & Equipment | 3.9 | % | ||
Household & Personal Products | 3.4 | % | ||
Capital Goods | 3.2 | % | ||
Commercial Services & Supplies | 1.1 | % | ||
Materials | 1.0 | % | ||
Real Estate Management & Development | 0.7 | % | ||
Short-term Investments | 0.8 | % |
28 Certified Annual Report
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Value Fund | September 30, 2004 |
To the Trustees and Shareholders of
Thornburg Value Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg Value Fund (one of the Portfolios constituting Thornburg Investment Trust hereafter referred to as the “Fund”) at September 30, 2004, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented 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 Fund’s 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 the standards of the Public Company Accounting Oversight Board (United States). Those standards 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, 2004 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 9, 2004
Certified Annual Report 29
EXPENSE EXAMPLE
Thornburg Value Fund | September 30, 2004 |
As a shareholder of the Fund, you incur two types of costs:
(1) | transaction costs, including |
(a) sales charges (loads) on purchase payments for Class A shares,
(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase,
(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase,
(d) a 90-day redemption fee on Class A and Class I shares; and
(2) | ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. |
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested on April 1, 2004 and held until September 30, 2004.
Actual Expenses
The first line of the table at right provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table at right provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Beginning | Ending | Expenses Paid | ||||||||||
Account Value | Account Value | During Period† | ||||||||||
4/1/04 | 9/30/04 | 4/1/04–9/30/04 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 951.00 | $ | 6.81 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.02 | $ | 7.05 | ||||||
Class B Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 947.30 | $ | 10.47 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,014.24 | $ | 10.83 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 947.40 | $ | 10.35 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,014.37 | $ | 10.71 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 952.60 | $ | 4.90 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,019.98 | $ | 5.07 | ||||||
Class R-1 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 951.40 | $ | 6.54 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.30 | $ | 6.76 |
† Expenses are equal to the annualized expense ratio for each class (A: 1.40%; B: 2.15%; C: 2.13%; I: 1.00%; and R: 1.34%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period.
*Hypothetical assumes a rate of return of 5% per year before expenses.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
30 Certified Annual Report
INDEX COMPARISON
Thornburg Value Fund | September 30, 2004 |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Value Fund versus S&P 500 Index (October 2, 1995 to September 30, 2004)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended September 30, 2004 (with sales charge)
Since | ||||||||||||
1 Yr | 5 Yrs | Inception | ||||||||||
A Shares (Incep: 10/02/95) | 2.76 | % | 1.82 | % | 11.99 | % | ||||||
B Shares (Incep: 4/03/00) | 1.52 | % | — | -4.38 | % | |||||||
C Shares (Incep: 10/02/95) | 5.81 | % | 1.95 | % | 11.68 | % | ||||||
R-1 Shares (Incep: 7/01/03) | 7.68 | % | — | 7.53 | % | |||||||
S&P 500 (Since: 10/02/95) | 13.87 | % | -1.31 | % | 9.24 | % |
Performance data reflect past performance, which is no guarantee of future results. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares.
Returns reflect the reinvestment of dividends and capital gains and the following sales charges: Class A shares are sold with a maximum sales charge of 4.50%. Class B shares are sold with a contingent deferred sales charge (CDSC) that declines from 5.00% to 0% depending upon the period of time the shares are held. Class B shares will automatically convert to Class A shares on a quarterly basis approximately eight years after purchase. Class C shares are subject to a 1% CDSC for the first year only. There is no up-front sales charge for Class R-1 shares.
The Standard & Poor’s 500 Stock Index (S&P 500) is an unmanaged index generally representative of the U.S. stock market, without regard to company size. Unless otherwise noted, index returns do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
Certified Annual Report 31
TRUSTEES AND OFFICERS
Thornburg Value Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
INTERESTED TRUSTEES(2)(4) | ||||
Garrett Thornburg, 58 Chairman of Trustees Trustee since 1987(3) | CEO, Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor) and Thornburg Securities Corporation (securities dealer); Chairman of Thornburg Limited Term Municipal Fund, Inc. (registered investment company) to 2004; CEO and Chairman of Thornburg Mortgage, Inc. (real estate investment trust); Chairman of Thornburg Mortgage Advisory Corporation (investment manager to Thornburg Mortgage, Inc.). | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Brian J. McMahon, 48 Trustee since 2001 President since 1997(5)(6) | President and Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | None | ||
INDEPENDENT TRUSTEES(2)(4) | ||||
David A. Ater, 59 Trustee since 1994 | Principal in Ater & Ater Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner developer and broker for various real estate projects. | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
David D. Chase, 63 Trustee since 2000 | Chairman, President, CEO, and General Partner of Vestor Partners, LP, Santa Fe, NM (private equity fund); Chairman and CEO of Vestor Holdings, Inc., Santa Fe, NM (merchant bank). | Director of Thornburg Limited Term Municipal Fund, Inc. 2001–2004 | ||
Eliot R. Cutler, 58 Trustee since 2004 | Partner, Akin, Gump, Strauss, Hauer & Feld, LLP, Washington, D.C. (law firm) since November 2000; partner, Cutler & Stanfield, Washington, D.C. (law firm) until November 2000. | Director of Thornburg Limited Term Municipal Fund, Inc. to 2004; director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Susan H. Dubin, 55 Trustee since 2004 | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations; and formerly,Vice President of Chemical Bank (predecessor to JP Morgan Chase & Co.), New York, 1974–1996. | None | ||
Forrest S. Smith, 74 Trustee since 1987 | Trust and estate attorney, of counsel to Catron, Catron & Pottow, Santa Fe, NM (law firm). | None | ||
Owen D. Van Essen, 50 Trustee since 2004 | President of Dirks,Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 45 Trustee since 1996 | Executive Vice President and Director to 2002, and since 2002; CEO and Vice Chairman, Nambé Mills, Inc., Santa Fe, NM (manufacturer). | None |
32 Certified Annual Report
TRUSTEES AND OFFICERS CONTINUED
Thornburg Value Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(6)(7) | ||||
Dawn B. Fischer, 57 Secretary since 1987 | Secretary and Managing Director, Thornburg Investment Management, Inc.; Secretary, Thornburg Limited Term Municipal Fund, Inc. to 2004; Secretary, Thornburg Securities Corporation; Vice President, Daily Tax Free Income Fund, Inc. (registered investment company). | Not applicable | ||
Steven J. Bohlin, 45 Vice President, since 1987; Treasurer since 1989 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
George T. Strickland, 41 Vice President since 1996 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President (and Treasurer since 2003) of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
William V. Fries, 65 Vice President since 1995 | Vice President and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 37 Vice President since 2001 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2004. | Not applicable | ||
Kenneth Ziesenheim, 50 Vice President since 1995 | Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Securities Corporation;Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Alexander Motola, 34 Vice President since 2001 | Managing Director of Thornburg Investment Management, Inc. since 2000; Portfolio Manager, Insight Capital Research & Management, Inc.,Walnut Creek, California 1995–2000. | Not applicable | ||
Wendy Trevisani, 33 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 2000 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2002; Sales Representative, Solomon Smith Barney 1996–1999. | Not applicable | ||
Joshua Gonze, 41 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 1999 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Brad Kinkelaar, 36 Vice President since 1999 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 1999, Vice President since 2000, and Managing Director since 2004; Equity Investment Analyst, State Farm Insurance Companies 1996–1999. | Not applicable | ||
Kerry D. Lee, 37 Vice President since 1999 | Vice President of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable |
Certified Annual Report 33
TRUSTEES AND OFFICERS CONTINUED
Thornburg Value Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
Christopher Ihlefeld, 34 Vice President since 2003 | Associate Portfolio Manager since 1999; Vice President of Thornburg Investment Management, Inc. since 2002; Vice President of Limited Term Municipal Fund, Inc., 2003–2004. | Not applicable | ||
Leon Sandersfeld, 38 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2002; Senior Staff Accountant, Farm Bureau Life Insurance Co. 1998–2002. | Not applicable | ||
Sasha Wilcoxon, 30 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2000; and Mutual Fund Support Service Department Manager since 2002. | Not applicable | ||
Ed Maran, 46 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Analyst, USAA 2001–2002; Oil Analyst, A.G. Edwards 1997–2000. | Not applicable | ||
Vinson Walden, 34 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Associate Portfolio Manager, Ibis Management 2002–2004; Associate, Lehman Brothers, 1997–2001. | Not applicable |
(1) | Each person’s address is 119 East Marcy Street, Santa Fe, New Mexico 87501. | |||
(2) | The Fund is one of twelve separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. The Trust currently has twelve active Funds. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twelve funds of the Trust. Each Trustee oversees the twelve portfolios in the fund complex. | |||
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is a director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twelve active funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. | |||
(4) | Each Trustee serves in office until the election and qualification of a successor. | |||
(5) | Mr. McMahon is considered an “interested” Trustee because he is the president of Thornburg Investment Management, Inc. | |||
(6) | The Trust’s president, secretary and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. | |||
(7) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
34 Certified Annual Report
OTHER INFORMATION (UNAUDITED)
Thornburg Value Fund | September 30, 2004 |
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to Thornburg Investment Management, Inc. (“the Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.
Commencing August 31, 2004, information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request, on the Thornburg website at www.thornburg.com and (ii) on the Securities and Exchange Commission’s website at www.sec.gov.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund will file with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year, commencing with the calendar quarter ending December 31, 2004. The Fund’s Forms N-Q will be available on the Commission’s website at http://www.sec.gov, or may be copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg.com/download or upon request by calling 1-800-847-0200.
TAX INFORMATION
For the tax year ended 09/30/04, the Thornburg Value Fund designates 100% of the dividends paid from tax basis net ordinary income as qualifying for the reduced rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003. The information and distributions reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2004. Complete information will be computed and reported in conjunction with your 2004 Form 1099-DIV.
SHAREHOLDER MEETING INFORMATION
A special meeting (the “Meeting”) of the shareholders of Thornburg Investment Trust (the “Trust”) was held on September 13, 2004 at the offices of Thornburg Investment Management, Inc., 119 East Marcy Street, Santa Fe, New Mexico 87501. Thornburg Value Fund is one of 12 active series or “Funds” of the Trust.
The shareholders of the Trust considered at the Meeting (i) the election of Trustees, and (ii) ratification of the selection of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm for the fiscal year ended September 30, 2004.
The Trustees elected at the Meeting were Garrett Thornburg, David A. Ater, David D. Chase, Eliot R. Cutler, Susan H. Dubin, Brian J. McMahon, Owen D. Van Essen and James W.Weyhrauch. Forrest S. Smith, a Trustee since 1987 did not stand for election; his term of office will continue through the end of 2004, when he will retire in accordance with the Trust’s Bylaws. The shareholders also ratified the appointment of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm.
The voting results for the matters voted on are set out for each Fund as follows:
Election of Trustees
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Garrett Thornburg | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,772,086.332 | 692,014.443 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,202,049.716 | 217,551.648 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,555.521 | 114,080.445 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,255,221.686 | 81,237.603 | – | – | ||||||||||||
Thornburg Value Fund | 64,672,758.966 | 447,696.934 | – | – | ||||||||||||
Thornburg International Value Fund | 59,954,867.369 | 1,241,990.622 | – | – |
Certified Annual Report 35
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg Value Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Core Growth Fund | 6,135,097.039 | 21,483.205 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,943.082 | 122,916.941 | – | – | ||||||||||||
Total: | 345,469,631.406 | 3,282,138.627 | – | – | ||||||||||||
David A. Ater | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,797,094.826 | 667,005.949 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,898.015 | 244,703.349 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,174.575 | 74,750.866 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,356,553.614 | 118,082.352 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,645.960 | 84,813.329 | – | – | ||||||||||||
Thornburg Value Fund | 64,673,309.598 | 447,696.934 | – | – | ||||||||||||
Thornburg International Value Fund | 60,746,833.041 | 450,024.950 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,382.888 | 24,197.356 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,615.730 | 120,243.993 | – | – | ||||||||||||
Total: | 346,235,149.064 | 2,517,171.301 | – | – | ||||||||||||
David D. Chase | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,792,336.993 | 671,763.782 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,107,955.251 | 64,970.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,243,684.887 | 92,774.402 | – | – | ||||||||||||
Thornburg Value Fund | 64,693,947.421 | 446,508.479 | – | – | ||||||||||||
Thornburg International Value Fund | 60,752,533.146 | 444,324.845 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,837,095.494 | 116,764.229 | – | – | ||||||||||||
Total: | 346,310,480.812 | 2,461,288.921 | – | – | ||||||||||||
Eliot R. Cutler | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,785,534.542 | 678,566.233 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,449,458.366 | 232,489.857 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,199,536.657 | 220,064.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,111,971.636 | 60,953.805 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,350,526.614 | 124,109.352 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,250,801.917 | 85,657.372 | – | – | ||||||||||||
Thornburg Value Fund | 64,599,511.493 | 520,944.407 | – | – | ||||||||||||
Thornburg International Value Fund | 60,724,718.843 | 472,139.148 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,134,780.624 | 21,799.620 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,832,732.499 | 121,127.224 | – | – | ||||||||||||
Total: | 346,159,119.642 | 2,592,650.361 | – | – | ||||||||||||
Susan H. Dubin | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,874.816 | 670,225.959 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,198,659.272 | 220,942.092 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,110,371.636 | 62,553.805 | – | – |
36 Certified Annual Report
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg Value Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,372,811.385 | 101,824.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,249,237.865 | 87,221.424 | – | – | ||||||||||||
Thornburg Value Fund | 64,679,778.577 | 440,677.323 | – | – | ||||||||||||
Thornburg International Value Fund | 60,742,583.265 | 454,274.726 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,454.801 | 120,404.922 | – | – | ||||||||||||
Total: | 346,285,090.525 | 2,466,679.208 | – | – | ||||||||||||
Brian J. McMahon | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,795,559.677 | 668,541.098 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,205,930.716 | 213,670.648 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,104,748.707 | 68,176.734 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 102,726.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,724.960 | 84,734.329 | – | – | ||||||||||||
Thornburg Value Fund | 64,681,039.437 | 439,416.463 | – | – | ||||||||||||
Thornburg International Value Fund | 60,010,455.736 | 1,186,402.255 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,131,956.015 | 24,624.229 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,227.440 | 120,632.283 | – | – | ||||||||||||
Total: | 345,556,209.517 | 3,195,560.216 | – | – | ||||||||||||
Owen D. Van Essen | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,348.831 | 670,751.944 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,730.914 | 244,870.450 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,708.092 | 74,217.349 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,248,394.246 | 88,065.043 | – | – | ||||||||||||
Thornburg Value Fund | 64,674,135.776 | 446,320.124 | – | – | ||||||||||||
Thornburg International Value Fund | 60,684,276.889 | 512,581.102 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,962.507 | 122,897.216 | – | – | ||||||||||||
Total: | 346,178,126.548 | 2,573,643.185 | – | – | ||||||||||||
James W.Weyhrauch | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,789,717.177 | 674,383.598 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 126,726.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,254,156.818 | 82,302.471 | – | – | ||||||||||||
Thornburg Value Fund | 64,683,895.944 | 436,559.906 | – | – | ||||||||||||
Thornburg International Value Fund | 60,726,245.097 | 470,612.894 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,836,311.264 | 117,548.459 | – | – | ||||||||||||
Total: | 346,278,127.848 | 2,497,641.885 | – | – |
Certified Annual Report 37
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg Value Fund | September 30, 2004 |
Ratification of Selection of Independent Registered Public Accounting Firm
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,266,423.303 | 430,123.930 | 767,553.542 | – | ||||||||||||||||
Thornburg California Limited Term Municipal Fund | 12,354,990.466 | 167,198.030 | 159,759.457 | – | ||||||||||||||||
Thornburg Intermediate Municipal Fund | 27,957,900.165 | 174,857.659 | 286,893.540 | – | ||||||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,067,166.377 | 1,155.000 | 104,604.064 | – | ||||||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,911,733.415 | 6,868.306 | 9,157.121 | – | ||||||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,784,834.660 | 23,509.648 | 38,241.937 | – | ||||||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,583.780 | 33,945.016 | 80,017.170 | – | ||||||||||||||||
Thornburg Limited Term Income Fund | 27,123,259.928 | 57,081.625 | 156,117.736 | – | ||||||||||||||||
Thornburg Value Fund | 64,569,333.454 | 212,238.433 | 338,884.013 | – | ||||||||||||||||
Thornburg International Value Fund | 60,444,286.231 | 343,771.766 | 408,700.994 | – | ||||||||||||||||
Thornburg Core Growth Fund | 6,110,013.492 | 32,603.465 | 13,963.287 | – | ||||||||||||||||
Thornburg Investment Income Builder Fund | 20,812,877.547 | 40,509.369 | 100,472.807 | – | ||||||||||||||||
Totals | 344,763,402.818 | 1,523,862.247 | 2,464,365.668 | – |
38 Certified Annual Report
Thornburg Value Fund
I Shares – September 30, 2004
Table of Contents | ||||
10 | ||||
12 | ||||
14 | ||||
16 | ||||
17 | ||||
21 | ||||
22 | ||||
25 | ||||
26 | ||||
27 | ||||
28 | ||||
31 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
Certified Annual Report 9
Letter to Shareholders
William V. Fries, CFA
Portfolio Manager
October 26, 2004
Dear Fellow Shareholder:
The Thornburg Value Fund total return for the fiscal year ended September 30 was positive. Although a positive return is always good, it was a challenging year.
Reflecting on performance over the year, it is no surprise that with oil prices having risen dramatically, integrated oil companies such as Amerada Hess Corp. would be among prominent gainers during the year. Interestingly, at this time last year, oil was among the few industry sectors expected to have lower earnings in 2004 than in 2003. This highlights just how much of a surprise the rise in oil prices has been. Other areas of strength were health care and telecommunication services. In health care we continue to be mostly invested in the service segment of the industry where stocks such as Caremark Rx Inc. have contributed positively to performance. In telecom services most of the performance came in the second half of the year from stocks such as Alltel Corp. and NII Holdings Inc.
As outlined in the Fund’s investment prospectus, our portfolio is much more focused than the S&P 500 Index stock benchmark and many other competitive funds, as holdings currently number 46. The philosophy here is that though the portfolio will be diversified, a concentrated portfolio can more directly reflect the results of effective fundamental research and stock selection. Relative to the benchmark S&P 500 Index, our Fund’s performance from April to August was particularly disappointing. Investor fears of a delayed profit recovery pressured our economically and market sensitive holdings. Internet related issues such as online retailer IAC/InterActiveCorp and advertiser DoubleClick, were also poor performers. Business execution at these companies was disappointing and we sold them. For the full year, technology holding results were mixed. Samsung Electronics Co. Inc. was among the Fund’s best full-year performers while others such as Seagate Technology were among our worst performing stocks.
During the year, corporate bonds were a small portion of the portfolio, consisting of the bonds of two issuers: Level 3 Communications and Delta Airlines. Poor performance of the Delta bonds reflected an unanticipated rise in fuel prices which undermined our confidence in cash flow adequacy. Offsetting operating cost savings have not been forthcoming, so the bonds have been sold.
One of our largest holdings, Federal National Mortgage Association (Fannie Mae), has been in the news persistently. Its government overseer has recently issued a report damaging to the reputation of management, alleging inadequate documentation discipline with regard to derivative hedges. By agreement with its regulator, Fannie Mae will be rebuilding capital for several quarters, a process that will likely constrain growth below prior expectations. The stock’s valuation appears to fully reflect the current controversy. Nonetheless, the position has been reduced.
10 Certified Annual Report
As we start the new fiscal year, a litany of issues is foremost in investor awareness. Iraq, oil prices, interest rates, the dollar, the trade imbalance and budget deficit, and economic growth will likely remain the general issues of the day for investors. Favorable developments with regard to any of these issues (most are linked) would likely be good for the economy and stocks. A portfolio of equities such as the Thornburg Value Fund, with comprehensive diversification including Basic Value, Consistent Earner and Emerging Franchise stocks (see prospectus for descriptions) should participate. Additions to the portfolio are made on the basis of individual stock attributes. Recent additions have included positions in the very large capitalization market segment. Please review the holdings by industry on the following pages. Our web site at www.thornburg.com/funds has descriptions of companies held as well as other commentary you may find useful in tracking your investment with us. Thank you very much for your continued confidence and trust.
Sincerely,
William V. Fries, CFA
Portfolio Manager
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995.These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each Fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager, and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
Certified Annual Report 11
STATEMENT OF ASSETS AND LIABILITIES
Thornburg Value Fund | September 30, 2004 |
ASSETS | ||||
Investments at value (cost $1,913,720,531) | $ | 2,033,796,076 | ||
Cash | 155,757 | |||
Receivable for securities sold | 13,351,794 | |||
Receivable for fund shares sold | 3,500,160 | |||
Dividends receivable | 2,736,133 | |||
Interest receivable | 1,489,000 | |||
Prepaid expenses and other assets | 96,141 | |||
Total Assets | 2,055,125,061 | |||
LIABILITIES | ||||
Payable for securities purchased | 7,040,135 | |||
Payable for fund shares redeemed | 5,320,870 | |||
Payable to investment advisor and other affiliates (Note 3) | 2,170,706 | |||
Accounts payable and accrued expenses | 499,086 | |||
Dividends payable | 754,317 | |||
Total Liabilities | 15,785,114 | |||
NET ASSETS | $ | 2,039,339,947 | ||
NET ASSETS CONSIST OF: | ||||
Undistributed (Distribution in excess of) net investment income | $ | 125,227 | ||
Net unrealized appreciation (depreciation) on investments | 120,072,559 | |||
Accumulated net realized gain (loss) | (273,615,480 | ) | ||
Net capital paid in on shares of beneficial interest | 2,192,757,641 | |||
$ | 2,039,339,947 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($1,086,448,235 applicable to 38,647,412 shares of beneficial interest outstanding — Note 4) | $ | 28.11 | ||
Maximum sales charge, 4.50% of offering price | 1.32 | |||
Maximum Offering Price Per Share | $ | 29.43 | ||
Class B Shares: | ||||
Net asset value and offering price per share * ($93,507,617 applicable to 3,446,129 shares of beneficial interest outstanding — Note 4) | $ | 27.13 | ||
Class C Shares: | ||||
Net asset value and offering price per share * ($475,295,914 applicable to 17,347,825 shares of beneficial interest outstanding — Note 4) | $ | 27.40 | ||
12 Certified Annual Report
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED
Thornburg Value Fund | September 30, 2004 |
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($378,334,159 applicable to 13,277,799 shares of beneficial interest outstanding — Note 4) | $ | 28.49 | ||
Class R-1 Shares: | ||||
Net asset value, offering and redemption price per share ($5,754,022 applicable to 205,091 shares of beneficial interest outstanding — Note 4) | $ | 28.06 | ||
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. See notes to financial statements. |
Certified Annual Report 13
STATEMENT OF OPERATIONS
Thornburg Value Fund | Year Ended September 30, 2004 |
INVESTMENT INCOME | ||||
Dividend income (net of foreign taxes withheld of $660,538) | $ | 30,767,136 | ||
Interest income | 11,512,138 | |||
Other income | 293 | |||
Total Income | 42,279,567 | |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 16,296,068 | |||
Administration fees (Note 3) | ||||
Class A Shares | 1,393,828 | |||
Class B Shares | 122,721 | |||
Class C Shares | 621,397 | |||
Class I Shares | 166,548 | |||
Class R-1 Shares | 3,151 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 2,811,132 | |||
Class B Shares | 995,639 | |||
Class C Shares | 5,012,986 | |||
Class R-1 Shares | 12,863 | |||
Transfer agent fees | ||||
Class A Shares | 1,445,600 | |||
Class B Shares | 177,055 | |||
Class C Shares | 724,670 | |||
Class I Shares | 216,550 | |||
Class R-1 Shares | 4,134 | |||
Registration and filing fees | ||||
Class A Shares | 25,054 | |||
Class B Shares | 14,070 | |||
Class C Shares | 14,892 | |||
Class I Shares | 22,587 | |||
Class R-1 Shares | 13,546 | |||
Custodian fees (Note 3) | 562,681 | |||
Professional fees | 119,750 | |||
Accounting fees | 154,350 | |||
Trustee fees | 51,605 | |||
Other expenses | 528,370 | |||
Total Expenses | 31,511,247 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (82,857 | ) | ||
Fees paid indirectly (Note 3) | (9,661 | ) | ||
Net Expenses | 31,418,729 | |||
Net Investment Income | $ | 10,860,838 | ||
14 Certified Annual Report
STATEMENT OF OPERATIONS, CONTINUED
Thornburg Value Fund | Year Ended September 30, 2004 |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments | $ | 144,022,898 | ||
Foreign currency transactions | (50,368 | ) | ||
143,972,530 | ||||
Net change in unrealized appreciation on: | ||||
Investments | (29,882,458 | ) | ||
Foreign currency translation | (28,766 | ) | ||
(29,911,224 | ) | |||
Net Realized and Unrealized Gain (Loss) | 114,061,306 | |||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 124,922,144 | ||
See notes to financial statements.
Certified Annual Report 15
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Value Fund |
Year Ended | Year Ended | |||||||
September 30, 2004 | September 30, 2003 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income gain (loss) | $ | 10,860,838 | $ | 7,313,471 | ||||
Net realized gain (loss) on investments and foreign currency transactions | 143,972,530 | (71,469,466 | ) | |||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments and foreign currency translation | (29,911,224 | ) | 418,721,057 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 124,922,144 | 354,565,062 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (7,240,069 | ) | (608,906 | ) | ||||
Class B Shares | (165,223 | ) | 0 | |||||
Class C Shares | (881,785 | ) | 0 | |||||
Class I Shares | (3,723,901 | ) | (313,321 | ) | ||||
Class R-1 Shares | (41,476 | ) | 0 | |||||
From return of capital | ||||||||
Class A Shares | 0 | (841,616 | ) | |||||
Class I Shares | 0 | (433,066 | ) | |||||
FUND SHARE TRANSACTIONS – (NOTE 4) | ||||||||
Class A Shares | 28,336,374 | (9,595,663 | ) | |||||
Class B Shares | (1,996,877 | ) | 1,176,900 | |||||
Class C Shares | 6,280,617 | (15,910,000 | ) | |||||
Class I Shares | 102,430,454 | 1,829,284 | ||||||
Class R-1 Shares | 5,988,945 | 75 | ||||||
Net Increase (Decrease) in Net Assets | 253,909,203 | 329,868,749 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 1,785,430,744 | 1,455,561,995 | ||||||
End of year | $ | 2,039,339,947 | $ | 1,785,430,744 | ||||
See notes to financial statements.
16 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS
Thornburg Value Fund | September 30, 2004 |
NOTE 1 – ORGANIZATION
Thornburg Value Fund, hereinafter referred to as the “Fund,” is a 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 eleven series of shares of beneficial interest in addition to those of the Fund: Thornburg California Limited Term Municipal Fund, Thornburg Limited Term Municipal Fund, Thornburg Limited Term U.S. Government Fund, Thornburg New Mexico Intermediate Municipal Fund, Thornburg Intermediate Municipal Fund, Thornburg Limited Term Income Fund, Thornburg Florida Intermediate Municipal Fund, Thornburg International Value Fund, Thornburg Core Growth Fund, Thornburg New York Intermediate Municipal Fund, and Thornburg Investment Income Builder Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing primarily in domestic equity securities selected on a value basis.
The Fund currently offers five classes of shares of beneficial interest, Class A, Class B, Class C, Institutional Class (Class I) and Retirement Class (Class R-1) 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 B shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption and bear both a service fee and distribution fee, (iii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year, and bear a service fee and a distribution fee, (iv) Class I shares are sold at net asset value without a sales charge at the time of purchase, (v) Class R-1 shares are sold at net asset value without a sales charge at the time of purchase but bear both a service fee and distribution fee, and (vi) the respective classes have different reinvestment privileges. Additionally, the 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 Fund are limited to service and distribution fees, administration fees and certain registration and transfer agent expenses. Class B shares of the Fund outstanding for eight years will convert to Class A shares of the Fund.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Fund are as follows: Valuation of Securities: In determining net asset value, investments are stated at value based on latest sales prices, normally at 4:00 pm EST reported on national securities exchanges on the last business day of the period. Investments for which no sale is reported are valued at the mean between bid and asked prices or in accordance with such other method as the Trustees may authorize. Securities for which market quotations are not readily available are valued at fair value as determined by management and approved in good faith by the Board of Trustees. Short term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
Foreign Currency Translation: Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against the U.S. dollar on the date of valuation. Purchases and sales of securities and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the translation date. When the Fund purchases or sells foreign securities it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in 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.
Federal Income Taxes: It is the policy of the Fund to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all of its taxable income to its shareholders. Therefore, no provision for Federal income tax is required.
When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with its investment objectives and not for the purpose of investment leverage or to speculate on market changes. At the time the Fund makes a commitment to purchase a security on a when-issued basis, it will record the transaction and reflect the value in determining its 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 on the trade date.
Dividends: Dividends to shareholders are generally paid quarterly and are reinvested in additional shares of the Fund 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 realized capital gains, to the extent available, will be distributed at least annually. Distributions to shareholders are based on income tax regulations and therefore, their characteristics may differ for financial statement and tax purposes.
General: Securities transactions are accounted for on a trade date basis. Interest income is accrued as earned and dividend income is recorded on the ex-dividend date. Certain income from foreign securities is recognized as soon as information is available to the
Certified Annual Report 17
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Value Fund | September 30, 2004 |
Fund. Realized gains and losses from the sale of securities are recorded on an identified cost basis. Net investment income, other than class specific expenses, and realized and unrealized gains and losses, are allocated daily to each class of shares based upon the relative net asset value of outstanding shares of each class of shares at the beginning of the day (after adjusting for the current share activity of the respective class). Expenses common to all funds are allocated among the funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
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 “Advisor”) serves as the investment advisor and performs services to the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2004, these fees were payable at annual rates ranging from .875 of 1% to .675 of 1% of the average daily net assets of the Fund depending on the Fund’s asset size. The Fund also has an administrative services agreement with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% of the average daily net assets attributable to each class of shares. For the year ended September 30, 2004, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $13,500 for Class B shares, $38,000 for Class C shares, $9,097 for class I shares and $22,260 for Class R-1 shares.
The Fund has an underwriting agreement with Thornburg Securities Corporation (the “Distributor,” an affiliate of the advisor), which acts as the distributor of the Fund’s shares. For the year ended September 30, 2004, the Distributor has advised the Fund that it earned net commissions aggregating $176,351 from the sale of Class A shares of the Fund, and collected contingent deferred sales charges aggregating $40,677 from redemptions of Class C shares of the Fund.
Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of its average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder related services. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
The Fund has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Fund’s Class B, Class C, and Class R-1 shares under which the Fund compensates the Distributor for services in promoting the sale of Class B, Class C, and Class R-1 shares of the Fund at an annual rate of up to .75 of 1% of the average daily net assets attributable to Class B, Class C, and Class R-1 shares. Total fees incurred by the distributor for each class of shares of the Fund under its respective service and distribution plans for the year ended September 30, 2004 are set forth in the Statement of Operations.
The Fund has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees have been adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the statements of operations. For the year ended September 30, 2004, the fees paid indirectly were $9,661.
Certain officers and trustees of the Trust are also officers and/or directors of the Advisor and Distributor. The compensation of unaffiliated trustees is borne by the Trust.
18 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Value Fund | September 30, 2004 |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At September 30, 2004 there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended | Year Ended | |||||||||||||||
September 30, 2004 | September 30, 2003 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 11,405,873 | $ | 327,555,712 | 10,779,879 | $ | 260,163,852 | ||||||||||
Shares issued to shareholders in | 228,437 | 6,559,600 | 51,321 | 1,323,066 | ||||||||||||
reinvestment of dividends Shares repurchased ** | (10,795,871 | ) | (305,778,938 | ) | (12,057,032 | ) | (271,082,581 | ) | ||||||||
Net Increase (Decrease) | 838,439 | $ | 28,336,374 | (1,225,832 | ) | $ | (9,595,663 | ) | ||||||||
** Effective October 1, 2003, the Fund charges a redemption fee of 1% of the Class A shares exchanged within 90 days of purchase. For the year ended September 30, 2004, $63,006 was netted in the amount reported for shares repurchased. | ||||||||||||||||
Class B Shares | ||||||||||||||||
Shares sold | 380,476 | $ | 10,548,934 | 513,612 | $ | 11,953,625 | ||||||||||
Shares issued to shareholders in | 5,415 | 146,992 | — | — | ||||||||||||
reinvestment of dividends Shares repurchased | (460,576 | ) | (12,692,803 | ) | (487,795 | ) | (10,776,725 | ) | ||||||||
Net Increase (Decrease) | (74,685 | ) | $ | (1,996,877 | ) | 25,817 | $ | 1,176,900 | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 3,239,399 | $ | 90,745,058 | 2,810,602 | $ | 66,343,222 | ||||||||||
Shares issued to shareholders in | 27,090 | 746,516 | — | — | ||||||||||||
reinvestment of dividends Shares repurchased | (3,079,437 | ) | (85,210,957 | ) | (3,690,038 | ) | (82,253,222 | ) | ||||||||
Net Increase (Decrease) | 187,052 | $ | 6,280,617 | (879,436 | ) | $ | (15,910,000 | ) | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 5,766,851 | $ | 167,750,890 | 3,982,384 | $ | 94,533,465 | ||||||||||
Shares issued to shareholders in | 106,031 | 3,088,228 | 23,269 | 607,316 | ||||||||||||
reinvestment of dividends Shares repurchased ** | (2,376,801 | ) | (68,408,664 | ) | (4,135,473 | ) | (93,311,497 | ) | ||||||||
Net Increase (Decrease) | 3,496,081 | $ | 102,430,454 | (129,820 | ) | $ | 1,829,284 | |||||||||
** Effective October 1, 2003, the Fund charges a redemption fee of 1% of the Class I shares exchanged within 90 days of purchase. For the year ended September 30, 2004, $12,511 was netted in the amount reported for shares repurchased. | ||||||||||||||||
Class R-1 Shares | ||||||||||||||||
Shares sold | 218,435 | $ | 6,370,169 | 3 | $ | 75 | ||||||||||
Shares issued to shareholders in | 1,357 | 38,681 | — | — | ||||||||||||
reinvestment of dividends Shares repurchased | (14,704 | ) | (419,905 | ) | — | — | ||||||||||
Net Increase (Decrease) | 205,088 | $ | 5,988,945 | 3 | $ | 75 | ||||||||||
Certified Annual Report 19
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Value Fund | September 30, 2004 |
NOTE 5 – SECURITIES TRANSACTIONS
For the year ended September 30, 2004 the Fund had purchase and sale transactions of investment securities excluding short-term securities of $1,505,368,593 and $1,369,438,815, respectively.
NOTE 6 – INCOME TAXES
At September 30, 2004, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 1,913,720,531 | ||
Gross unrealized appreciation on a tax basis | $ | 236,894,595 | ||
Gross unrealized depreciation on a tax basis | (116,819,050 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 120,075,545 | ||
Distributable earnings – ordinary income | $ | 125,227 | ||
At September 30, 2004, the Fund had tax basis capital losses, which may be carried over to offset future capital gains. To the extent such carry forwards are used, capital gains distributions may be reduced to the extent provided by regulations. Such losses expire as follows:
Capital loss carryovers expiring in:
2010 | $ | 98,702,605 | ||
2011 | 174,912,875 | |||
$ | 273,615,480 | |||
The Fund utilized $101,167,307 of its capital loss carry forward during the year ended September 30, 2004.
In order to account for permanent book/tax differences, the Fund decreased undistributed net investment loss by $1,586,572, increased accumulated net realized investment loss by $623,405, and decreased net capital paid in on shares of beneficial interest by $963,167. This reclassification has no impact on the net asset value of the Fund. Reclassifications result primarily from investments in REIT’s, partnerships, and currency losses.
The tax character of distributions paid during the years ended September 30, 2004, and September 30, 2003, was as follows:
2004 | 2003 | |||||||
Distributions from: | ||||||||
Ordinary income | $ | 12,052,454 | $ | 922,227 | ||||
Return of capital | — | 1,274,682 | ||||||
Total Distribution | $ | 12,052,454 | $ | 2,196,909 | ||||
20 Certified Annual Report
FINANCIAL HIGHLIGHTS
Thornburg Value Fund
Year Ended September 30, | ||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||
Class I Shares: | ||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||
(for a share outstanding throughout the year)+ | ||||||||||||||||||||
Net asset value, beginning of year | $ | 26.64 | $ | 20.95 | $ | 26.18 | $ | 33.09 | $ | 26.26 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.31 | 0.26 | 0.11 | 0.14 | 0.91 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.84 | 5.51 | (5.34 | ) | (6.42 | ) | 7.25 | |||||||||||||
Total from investment operations | 2.15 | 5.77 | (5.23 | ) | (6.28 | ) | 8.16 | |||||||||||||
Less dividends from: | ||||||||||||||||||||
Net investment income | (0.30 | ) | (0.03 | ) | — | (0.28 | ) | (0.94 | ) | |||||||||||
Net realized gains | — | — | — | (0.25 | ) | (0.39 | ) | |||||||||||||
Return of capital | — | (0.05 | ) | — | (0.10 | ) | — | |||||||||||||
Total dividends | (0.30 | ) | (0.08 | ) | — | (0.63 | ) | (1.33 | ) | |||||||||||
Change in net asset value | 1.85 | 5.69 | (5.23 | ) | (6.91 | ) | 6.83 | |||||||||||||
NET ASSET VALUE, end of year | $ | 28.49 | $ | 26.64 | $ | 20.95 | $ | 26.18 | $ | 33.09 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Total return | 8.04 | % | 27.55 | % | (19.98 | )% | (19.29 | )% | 31.44 | % | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 1.07 | % | 1.10 | % | 0.42 | % | 0.45 | % | 2.82 | % | ||||||||||
Expenses, after expense reductions | 0.99 | % | 0.99 | % | 0.98 | % | 0.99 | % | 0.99 | % | ||||||||||
Expenses, after expense reductions and net of custody credits | 0.99 | % | 0.99 | % | 0.98 | % | — | — | ||||||||||||
Expenses, before expense reductions | 0.99 | % | 1.03 | % | 0.99 | % | 1.01 | % | 1.00 | % | ||||||||||
Portfolio turnover rate | 68.74 | % | 82.89 | % | 76.37 | % | 71.81 | % | 72.35 | % | ||||||||||
Net assets at end of year (000) | $ | 378,334 | $ | 260,624 | $ | 207,613 | $ | 293,784 | $ | 242,974 |
+ Based on weighted average shares outstanding.
Certified Annual Report 21
SCHEDULE OF INVESTMENTS
Thornburg Value Fund | September 30, 2004 |
CUSIPS: CLASS A — 885-215-731, CLASS B — 885-215-590, CLASS C — 885-215-715, CLASS I — 885-215-632, CLASS R-1 — 885-215-533
NASDAQ SYMBOLS: CLASS A — TVAFX, CLASS B — TVBFX, CLASS C — TVCFX, CLASS I - TVIFX, CLASS R-1 — TVRFX
Shares/ | ||||||||
COMMON STOCKS - 96.70% | Principal Amount | Value | ||||||
BANKS (8.80%) | ||||||||
Bank of America Corp. | 940,200 | $ | 40,738,866 | |||||
Lloyds TSB Group plc | 5,446,500 | 42,530,914 | ||||||
The Bank of New York Co. Inc. | 2,176,600 | 63,491,422 | ||||||
Wells Fargo & Co. | 553,800 | 33,023,094 | ||||||
CAPITAL GOODS (3.20%) | ||||||||
General Electric Co. | 1,916,100 | 64,342,638 | ||||||
COMMERCIAL SERVICES & SUPPLIES (1.10%) | ||||||||
FTI Consulting Inc. + | 1,237,600 | 23,390,640 | ||||||
DIVERSIFIED FINANCIALS (11.20%) | ||||||||
American International Group Inc. | 599,300 | 40,746,407 | ||||||
Citigroup Inc. | 1,416,800 | 62,509,216 | ||||||
E-Trade Financial Corp. + | 2,125,177 | 24,269,521 | ||||||
Fannie Mae | 914,700 | 57,991,980 | ||||||
T. Rowe Price Group Inc. | 815,600 | 41,546,664 | ||||||
ENERGY (7.50%) | ||||||||
Exxon Mobil Corp. | 1,704,500 | 82,378,485 | ||||||
Unocal Corp. | 1,649,200 | 70,915,600 | ||||||
HEALTH CARE EQUIPMENT & SERVICES (11.50%) | ||||||||
Anthem Inc. + | 459,200 | 40,065,200 | ||||||
Cardinal Health Inc. | 506,400 | 22,165,128 | ||||||
Caremark Rx Inc. + | 1,202,200 | 38,554,554 | ||||||
Guidant Corp. | 591,500 | 39,062,660 | ||||||
Health Management Associates | 2,190,255 | 44,746,910 | ||||||
UnitedHealth Group Inc. | 655,200 | 48,314,448 | ||||||
HOUSEHOLD & PERSONAL PRODUCTS (3.40%) | ||||||||
American Greetings Corp. + | 1,448,700 | 36,391,344 | ||||||
Colgate Palmolive Co. | 730,600 | 33,008,508 | ||||||
INSURANCE (5.80%) | ||||||||
Aon Corp. | 1,583,100 | 45,498,294 | ||||||
Lincoln National Corp. | 529,122 | 24,868,734 | ||||||
The St. Paul Travelers Cos. Inc. | 1,415,100 | 46,783,206 | ||||||
MATERIALS (1.00%) | ||||||||
Smurfit Stone Container Corp. + | 1,102,200 | 21,349,614 |
22 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Value Fund | September 30, 2004 |
Shares/ | ||||||||
Principal Amount | Value | |||||||
MEDIA (8.60%) | ||||||||
Comcast Corp. + | 1,430,200 | $ | 39,931,184 | |||||
DIRECTV Group Inc. + | 2,914,185 | 51,260,514 | ||||||
Fox Entertainment Group Inc. + | 1,576,175 | 43,723,094 | ||||||
Time Warner Inc. + | 2,533,755 | 40,894,806 | ||||||
PHARMACEUTICALS & BIOTECHNOLOGY (4.70%) | ||||||||
Amgen Inc. + | 604,500 | 34,263,060 | ||||||
Pfizer Inc. | 1,989,300 | 60,872,580 | ||||||
REAL ESTATE MANAGEMENT & DEVELOPMENT (0.70%) | ||||||||
Crown Castle International Corp. + | 926,200 | 13,781,856 | ||||||
RETAILING (6.30%) | ||||||||
Linens N Things Inc. + | 1,526,077 | 35,359,204 | ||||||
Lowe’s Cos. Inc. | 949,200 | 51,589,020 | ||||||
Target Corp. | 906,400 | 41,014,600 | ||||||
SOFTWARE & SERVICES (6.60%) | ||||||||
Affiliated Computer Services Inc. + | 622,090 | 34,631,750 | ||||||
Eclipsys Corp. + | 1,866,440 | 29,116,464 | ||||||
Microsoft Corp. | 2,582,900 | 71,417,185 | ||||||
TECHNOLOGY — HARDWARE & EQUIPMENT (3.90%) | ||||||||
Samsung Electronics Co. Ltd. | 91,800 | 36,512,723 | ||||||
Texas Instruments Inc. | 2,010,075 | 42,774,396 | ||||||
TELECOMMUNICATION SERVICES (7.40%) | ||||||||
Alltel Corp. | 979,500 | 53,784,345 | ||||||
Nextel Communications Inc. + | 1,942,600 | 46,311,584 | ||||||
NII Holdings Inc. + | 1,203,204 | 49,584,037 | ||||||
TRANSPORTATION (5.00%) | ||||||||
Southwest Airlines Co. | 3,672,453 | 50,018,810 | ||||||
Union Pacific Corp. | 879,100 | 51,515,260 | ||||||
TOTAL COMMON STOCKS (Cost $1,840,089,996) | 1,967,040,519 | |||||||
CORPORATE BONDS – 1.30% | ||||||||
TELECOMMUNICATION SERVICES (1.30%) | ||||||||
Level 3 Communications Inc., 9.125%, 5/1/2008 | $ | 30,400,000 | 22,344,000 | |||||
Level 3 Communications Inc., 10.50%, 12/1/2008 | 5,900,000 | 4,366,000 | ||||||
TOTAL CORPORATE BONDS (Cost $27,172,953) | 26,710,000 | |||||||
Certified Annual Report 23
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Value Fund | September 30, 2004 |
Shares/ | ||||||||
CONVERTIBLE BONDS – 1.20% | Principal Amount | Value | ||||||
TELECOMMUNICATION SERVICES (1.20%) | ||||||||
Level 3 Communications Inc., 6.00%, 9/15/2009 | $ | 18,700,000 | $ | 10,004,500 | ||||
Level 3 Communications Inc., 6.00%, 3/15/2010 | 28,800,000 | 14,544,000 | ||||||
TOTAL CONVERTIBLE BONDS (Cost $30,960,525) | 24,548,500 | |||||||
SHORT TERM INVESTMENTS – 0.80% | ||||||||
Lasalle Bank Corp., 1.64% due 10/4/2004 | 10,000,000 | 9,998,633 | ||||||
UBS Finance, 1.72% due 10/7/2004 | 5,500,000 | 5,498,424 | ||||||
TOTAL SHORT TERM INVESTMENTS (Cost $15,497,057) | 15,497,057 | |||||||
TOTAL INVESTMENTS (100%) (Cost $1,913,720,531) | $ | 2,033,796,076 | ||||||
+ Non-income producing.
See notes to financial statements.
INDUSTRY EXPOSURE
As of 9/30/04
Health Care Equipment & Services | 11.5 | % | ||
Diversified Financials | 11.2 | % | ||
Telecommunication Services | 9.9 | % | ||
Banks | 8.8 | % | ||
Media | 8.6 | % | ||
Energy | 7.5 | % | ||
Software & Services | 6.6 | % | ||
Retailing | 6.3 | % | ||
Insurance | 5.8 | % | ||
Transportation | 5.0 | % | ||
Pharmaceuticals & Biotechnology | 4.7 | % | ||
Technology – Hardware & Equipment | 3.9 | % | ||
Household & Personal Products | 3.4 | % | ||
Capital Goods | 3.2 | % | ||
Commercial Services & Supplies | 1.1 | % | ||
Materials | 1.0 | % | ||
Real Estate Management & Development | 0.7 | % | ||
Short-term Investments | 0.8 | % |
24 Certified Annual Report
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Value Fund
To the Trustees and Class I Shareholders of
Thornburg Value Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg Value Fund (one of the Portfolios constituting Thornburg Investment Trust hereafter referred to as the “Fund”) at September 30, 2004, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for the Class I shares for each of the periods presented 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 Fund’s 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 the standards of the Public Company Accounting Oversight Board (United States). Those standards 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, 2004 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 9, 2004
Certified Annual Report 25
EXPENSE EXAMPLE
Thornburg Value Fund | September 30, 2004 |
As a shareholder of the Fund, you incur two types of costs:
(1) transaction costs, including a 90-day redemption fee on Class I shares; and
(2) ongoing costs, including management and administrative fees and other Fund expenses.
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested on April 1, 2004 and held until September 30, 2004.
Actual Expenses
The first line of the table at right provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table at right provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses Paid | ||||||||||
Account Value | Account Value | During Period† | ||||||||||
4/1/04 | 9/30/04 | 4/1/04–9/30/04 | ||||||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 952.60 | $ | 4.90 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,019.98 | $ | 5.07 |
†Expenses are equal to the annualized expense ratio for Class I shares (1.00%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period.
* Hypothetical assumes a rate of return of 5% per year before expenses.
26 Certified Annual Report
INDEX COMPARISON
Thornburg Value Fund | September 30, 2004 |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Value Fund versus S&P 500 Index (November 2, 1998 to September 30, 2004)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended September 30, 2004
Since | ||||||||||||
1Yr | 5Yrs | Inception | ||||||||||
I Shares (Incep: 11/02/98) | 8.04 | % | 3.18 | % | 6.15 | % | ||||||
S&P500 (Since: 11/02/98) | 13.87 | % | -1.31 | % | 1.73 | % |
Performance data reflect past performance, which is no guarantee of future results. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares.
Returns reflect the reinvestment of dividends and capital gains. There is no up-front sales charge for Class I shares.
The Standard & Poor’s 500 Stock Index (S&P 500) is an unmanaged index generally representative of the U.S. stock market, without regard to company size. Unless otherwise noted, index returns do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
Certified Annual Report 27
TRUSTEES AND OFFICERS
Thornburg Value Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
INTERESTED TRUSTEES (2)(4) | ||||
Garrett Thornburg, 58 Chairman of Trustees Trustee since 1987(3) | CEO, Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor) and Thornburg Securities Corporation (securities dealer); Chairman of Thornburg Limited Term Municipal Fund, Inc. (registered investment company) to 2004; CEO and Chairman of Thornburg Mortgage, Inc. (real estate investment trust); Chairman of Thornburg Mortgage Advisory Corporation (investment manager to Thornburg Mortgage, Inc.). | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Brian J. McMahon, 48 Trustee since 2001 President since 1997(5)(6) | President and Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | None | ||
INDEPENDENT TRUSTEES(2)(4) | ||||
David A.Ater, 59 Trustee since 1994 | Principal in Ater & Ater Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner developer and broker for various real estate projects. | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
David D. Chase, 63 Trustee since 2000 | Chairman, President, CEO, and General Partner of Vestor Partners, LP, Santa Fe, NM (private equity fund); Chairman and CEO of Vestor Holdings, Inc., Santa Fe, NM (merchant bank). | Director of Thornburg Limited Term Municipal Fund, Inc. 2001–2004 | ||
Eliot R. Cutler, 58 Trustee since 2004 | Partner,Akin, Gump, Strauss, Hauer & Feld, LLP, Washington, D.C. (law firm) since November 2000; partner, Cutler & Stanfield, Washington, D.C. (law firm) until November 2000. | Director of Thornburg Limited Term Municipal Fund, Inc. to 2004; director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Susan H. Dubin, 55 Trustee since 2004 | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations; and formerly, Vice President of Chemical Bank (predecessor to JP Morgan Chase & Co.), New York, 1974–1996. | None | ||
Forrest S. Smith, 74 Trustee since 1987 | Trust and estate attorney, of counsel to Catron, Catron & Pottow, Santa Fe, NM (law firm). | None | ||
Owen D.Van Essen, 50 Trustee since 2004 | President of Dirks,Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 45 Trustee since 1996 | Executive Vice President and Director to 2002, and since 2002; CEO and Vice Chairman, Nambé Mills, Inc., Santa Fe, NM (manufacturer). | None |
28 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED
Thornburg Value Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with | ||||
Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(6)(7) | ||||
Dawn B. Fischer, 57 Secretary since 1987 | Secretary and Managing Director,Thornburg Investment Management, Inc.; Secretary,Thornburg Limited Term Municipal Fund, Inc. to 2004; Secretary, Thornburg Securities Corporation;Vice President, Daily Tax Free Income Fund, Inc. (registered investment company). | Not applicable | ||
Steven J. Bohlin, 45 Vice President, since 1987; Treasurer since 1989 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
George T. Strickland, 41 Vice President since 1996 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President (and Treasurer since 2003) of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
William V. Fries, 65 Vice President since 1995 | Vice President and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 37 Vice President since 2001 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2004. | Not applicable | ||
Kenneth Ziesenheim, 50 Vice President since 1995 | Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Securities Corporation;Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Alexander Motola, 34 Vice President since 2001 | Managing Director of Thornburg Investment Management, Inc. since 2000; Portfolio Manager, Insight Capital Research & Management, Inc., Walnut Creek, California 1995–2000. | Not applicable | ||
Wendy Trevisani, 33 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999,Vice President since 2000 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2002; Sales Representative, Solomon Smith Barney 1996–1999. | Not applicable | ||
Joshua Gonze, 41 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999,Vice President since 1999 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Brad Kinkelaar, 36 Vice President since 1999 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 1999, Vice President since 2000, and Managing Director since 2004; Equity Investment Analyst, State Farm Insurance Companies 1996–1999. | Not applicable | ||
Kerry D. Lee, 37 Vice President since 1999 | Vice President of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable |
Certified Annual Report 29
TRUSTEES AND OFFICERS, CONTINUED
Thornburg Value Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
Christopher Ihlefeld, 34 Vice President since 2003 | Associate Portfolio Manager since 1999;Vice President of Thornburg Investment Management, Inc. since 2002;Vice President of Limited Term Municipal Fund, Inc., 2003–2004. | Not applicable | ||
Leon Sandersfeld, 38 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2002; Senior Staff Accountant, Farm Bureau Life Insurance Co. 1998–2002. | Not applicable | ||
Sasha Wilcoxon, 30 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2000; and Mutual Fund Support Service Department Manager since 2002. | Not applicable | ||
Ed Maran, 46 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Analyst, USAA 2001–2002; Oil Analyst,A.G. Edwards 1997–2000. | Not applicable | ||
Vinson Walden, 34 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Associate Portfolio Manager, Ibis Management 2002–2004; Associate, Lehman Brothers, 1997–2001. | Not applicable |
(1) | Each person’s address is 119 East Marcy Street, Santa Fe, New Mexico 87501. | |||
(2) | The Fund is one of twelve separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. The Trust currently has twelve active Funds.Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twelve funds of the Trust. Each Trustee oversees the twelve portfolios in the fund complex. | |||
(3) | Mr.Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is a director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twelve active funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. | |||
(4) | Each Trustee serves in office until the election and qualification of a successor. | |||
(5) | Mr. McMahon is considered an “interested” Trustee because he is the president of Thornburg Investment Management, Inc. | |||
(6) | The Trust’s president, secretary and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. | |||
(7) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
30 Certified Annual Report
OTHER INFORMATION (UNAUDITED)
Thornburg Value Fund | September 30, 2004 |
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to Thornburg Investment Management, Inc. (“the Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.
Commencing August 31, 2004, information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request, on the Thornburg website at www.thornburg.com and (ii) on the Securities and Exchange Commission’s website at www.sec.gov.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund will file with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year, commencing with the calendar quarter ending December 31, 2004. The Fund’s Forms N-Q will be available on the Commission’s website at http://www.sec.gov, or may be copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg.com/download or upon request by calling 1-800-847-0200.
TAX INFORMATION
For the tax year ended 09/30/04, the Thornburg Value Fund designates 100% of the dividends paid from tax basis net ordinary income as qualifying for the reduced rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003. The information and distributions reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2004. Complete information will be computed and reported in conjunction with your 2004 Form 1099-DIV.
SHAREHOLDER MEETING INFORMATION
A special meeting (the “Meeting”) of the shareholders of Thornburg Investment Trust (the “Trust”) was held on September 13, 2004 at the offices of Thornburg Investment Management, Inc., 119 East Marcy Street, Santa Fe, New Mexico 87501. Thornburg Value Fund is one of 12 active series or “Funds” of the Trust.
The shareholders of the Trust considered at the Meeting (i) the election of Trustees, and (ii) ratification of the selection of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm for the fiscal year ended September 30, 2004.
The Trustees elected at the Meeting were Garrett Thornburg, David A. Ater, David D. Chase, Eliot R. Cutler, Susan H. Dubin, Brian J. McMahon, Owen D. Van Essen and James W. Weyhrauch. Forrest S. Smith, a Trustee since 1987 did not stand for election; his term of office will continue through the end of 2004, when he will retire in accordance with the Trust’s Bylaws. The shareholders also ratified the appointment of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm.
The voting results for the matters voted on are set out for each Fund as follows:
Election of Trustees
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Garrett Thornburg | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,772,086.332 | 692,014.443 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,202,049.716 | 217,551.648 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,555.521 | 114,080.445 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,255,221.686 | 81,237.603 | – | – | ||||||||||||
Thornburg Value Fund | 64,672,758.966 | 447,696.934 | – | – | ||||||||||||
Thornburg International Value Fund | 59,954,867.369 | 1,241,990.622 | – | – |
Certified Annual Report 31
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg Value Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Core Growth Fund | 6,135,097.039 | 21,483.205 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,943.082 | 122,916.941 | – | – | ||||||||||||
Total: | 345,469,631.406 | 3,282,138.627 | – | – | ||||||||||||
David A. Ater | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,797,094.826 | 667,005.949 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,898.015 | 244,703.349 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,174.575 | 74,750.866 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,356,553.614 | 118,082.352 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,645.960 | 84,813.329 | – | – | ||||||||||||
Thornburg Value Fund | 64,673,309.598 | 447,696.934 | – | – | ||||||||||||
Thornburg International Value Fund | 60,746,833.041 | 450,024.950 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,382.888 | 24,197.356 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,615.730 | 120,243.993 | – | – | ||||||||||||
Total: | 346,235,149.064 | 2,517,171.301 | – | – | ||||||||||||
David D. Chase | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,792,336.993 | 671,763.782 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,107,955.251 | 64,970.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,243,684.887 | 92,774.402 | – | – | ||||||||||||
Thornburg Value Fund | 64,693,947.421 | 446,508.479 | – | – | ||||||||||||
Thornburg International Value Fund | 60,752,533.146 | 444,324.845 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,837,095.494 | 116,764.229 | – | – | ||||||||||||
Total: | 346,310,480.812 | 2,461,288.921 | – | – | ||||||||||||
Eliot R. Cutler | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,785,534.542 | 678,566.233 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,449,458.366 | 232,489.857 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,199,536.657 | 220,064.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,111,971.636 | 60,953.805 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,350,526.614 | 124,109.352 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,250,801.917 | 85,657.372 | – | – | ||||||||||||
Thornburg Value Fund | 64,599,511.493 | 520,944.407 | – | – | ||||||||||||
Thornburg International Value Fund | 60,724,718.843 | 472,139.148 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,134,780.624 | 21,799.620 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,832,732.499 | 121,127.224 | – | – | ||||||||||||
Total: | 346,159,119.642 | 2,592,650.361 | – | – | ||||||||||||
Susan H. Dubin | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,874.816 | 670,225.959 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,198,659.272 | 220,942.092 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,110,371.636 | 62,553.805 | – | – |
32 Certified Annual Report
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg Value Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,372,811.385 | 101,824.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,249,237.865 | 87,221.424 | – | – | ||||||||||||
Thornburg Value Fund | 64,679,778.577 | 440,677.323 | – | – | ||||||||||||
Thornburg International Value Fund | 60,742,583.265 | 454,274.726 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,454.801 | 120,404.922 | – | – | ||||||||||||
Total: | 346,285,090.525 | 2,466,679.208 | – | – | ||||||||||||
Brian J. McMahon | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,795,559.677 | 668,541.098 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,205,930.716 | 213,670.648 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,104,748.707 | 68,176.734 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 102,726.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,724.960 | 84,734.329 | – | – | ||||||||||||
Thornburg Value Fund | 64,681,039.437 | 439,416.463 | – | – | ||||||||||||
Thornburg International Value Fund | 60,010,455.736 | 1,186,402.255 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,131,956.015 | 24,624.229 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,227.440 | 120,632.283 | – | – | ||||||||||||
Total: | 345,556,209.517 | 3,195,560.216 | – | – | ||||||||||||
Owen D. Van Essen | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,348.831 | 670,751.944 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,730.914 | 244,870.450 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,708.092 | 74,217.349 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,248,394.246 | 88,065.043 | – | – | ||||||||||||
Thornburg Value Fund | 64,674,135.776 | 446,320.124 | – | – | ||||||||||||
Thornburg International Value Fund | 60,684,276.889 | 512,581.102 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,962.507 | 122,897.216 | – | – | ||||||||||||
Total: | 346,178,126.548 | 2,573,643.185 | – | – | ||||||||||||
James W. Weyhrauch | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,789,717.177 | 674,383.598 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 126,726.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,254,156.818 | 82,302.471 | – | – | ||||||||||||
Thornburg Value Fund | 64,683,895.944 | 436,559.906 | – | – | ||||||||||||
Thornburg International Value Fund | 60,726,245.097 | 470,612.894 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,836,311.264 | 117,548.459 | – | – | ||||||||||||
Total: | 346,278,127.848 | 2,497,641.885 | – | – |
Certified Annual Report 33
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg Value Fund | September 30, 2004 |
Ratification of Selection of Independent Registered Public Accounting Firm
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Limited Term Municipal Fund | 89,266,423.303 | 430,123.930 | 767,553.542 | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,354,990.466 | 167,198.030 | 159,759.457 | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 27,957,900.165 | 174,857.659 | 286,893.540 | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,067,166.377 | 1,155.000 | 104,604.064 | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,911,733.415 | 6,868.306 | 9,157.121 | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,784,834.660 | 23,509.648 | 38,241.937 | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,583.780 | 33,945.016 | 80,017.170 | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,123,259.928 | 57,081.625 | 156,117.736 | – | ||||||||||||
Thornburg Value Fund | 64,569,333.454 | 212,238.433 | 338,884.013 | – | ||||||||||||
Thornburg International Value Fund | 60,444,286.231 | 343,771.766 | 408,700.994 | – | ||||||||||||
Thornburg Core Growth Fund | 6,110,013.492 | 32,603.465 | 13,963.287 | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,812,877.547 | 40,509.369 | 100,472.807 | – | ||||||||||||
Totals | 344,763,402.818 | 1,523,862.247 | 2,464,365.668 | – |
34 Certified Annual Report
Thornburg International Value Fund
September 30, 2004
Table of Contents
10 | ||||
12 | ||||
14 | ||||
16 | ||||
17 | ||||
21 | ||||
26 | ||||
29 | ||||
30 | ||||
31 | ||||
32 | ||||
35 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
Certified Annual Report 9
Letter to Shareholders
William V. Fries, CFA
Portfolio Manager
October 27, 2004
Dear Fellow Shareholder:
The Thornburg International Value Fund (class A shares) total return for the fiscal year ended September 30, 2004 was 21.61%, which trailed the MSCI EAFE Index return of 22.08%, but was well above the U.S. market and actually better than the returns in local currency of a number of the world’s major markets outside the U.S. Contributing to performance were good returns on consumer related issues, energy producers, telecommunications, media and financial stocks. Holdings in autos, retailing, and durable goods manufacturers performed well, reflecting earnings progress and competitive strength. Emerging market holdings were positive contributors to performance. The excellent business results of mobile communications companies in Russia and Mexico were reflected in the stock prices of our holdings, Mobile TeleSystems and American Movil S.A. de CV.
While the majority of holdings recorded positive returns for the year, a few did not, most prominently Japanese holdings, NEC Electronics and Mitsubishi Tokyo Financial Group. Exposure to these stocks can be identified one of the reasons the fund narrowly underperformed the benchmark. NEC Electronics has been impacted by the slowdown in the semiconductor industry and Mitsubishi Tokyo Financial Group is involved in the acquisition of troubled Japanese bank UFJ Holdings. Closing of the acquisition will make Mitsubishi Tokyo Financial Group one of the world’s largest banks.
As outlined in the Fund’s investment prospectus, our portfolio is much more focused than the widely used international benchmark MSCI EAFE and many other competitive funds. At fiscal year-end, holdings numbered 54. Our philosophy is that a well diversified yet more concentrated portfolio dynamically reflects the results of our global fundamental research effort and stock selection. However, this can also result in more short-term volatility as well.
While the times seem uncertain, the reality is that times are always uncertain. What we know is that each stock holding in the Thornburg International Value Fund has been selected for what we believe to be its promising future with valuation in mind. The portfolio, though focused, is diversified by industry, country and category of holding (Basic Value, Consistent Earner or Emerging Franchise.) Please review the holdings by industry on the following pages. Our website at www.thornburg.com/funds has descriptions of companies held as well as other commentary you may find useful in tracking your investment with us.
Thank you very much for your continued confidence and trust.
Sincerely,
William V. Fries, CFA
Portfolio Manager
10 Certified Annual Report
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each Fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager, and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any Fund to differ materially as compared to its benchmarks.
Certified Annual Report 11
STATEMENT OF ASSETS AND LIABILITIES
Thornburg International Value Fund | September 30, 2004 |
ASSETS | ||||
Investments at value (cost $1,422,605,015) | $ | 1,516,071,453 | ||
Cash | 163,827 | |||
Cash denominated in foreign currency (cost $6,659,432) | 6,698,603 | |||
Receivable for securities sold | 8,415,978 | |||
Receivable for fund shares sold | 20,776,164 | |||
Dividends receivable | 6,200,770 | |||
Prepaid expenses and other assets | 140,211 | |||
Total Assets | 1,558,467,006 | |||
LIABILITIES | ||||
Payable for securities purchased | 31,163,021 | |||
Payable for fund shares redeemed | 1,649,858 | |||
Payable to investment advisor and other affiliates (Note 3) | 1,336,494 | |||
Unrealized loss on forward exchange contracts (Note 7) | 3,302,979 | |||
Deferred tax payable | 495,718 | |||
Accounts payable and accrued expenses | 961,804 | |||
Total Liabilities | 38,909,874 | |||
NET ASSETS | $ | 1,519,557,132 | ||
NET ASSETS CONSIST OF: | ||||
Undistributed net investment gain (loss) | $ | 6,417,511 | ||
Net unrealized appreciation (depreciation) on investments, net of deferred taxes payable of $495,718 | 89,693,322 | |||
Accumulated net realized gain (loss) | (3,263,398 | ) | ||
Net capital paid in on shares of beneficial interest | 1,426,709,697 | |||
$ | 1,519,557,132 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($948,631,377 applicable to 52,191,197 shares of beneficial interest outstanding - Note 4) | $ | 18.18 | ||
Maximum sales charge, 4.50% of offering price | 0.86 | |||
Maximum Offering Price Per Share | $ | 19.04 | ||
Class B Shares: | ||||
Net asset value and offering price per share* ($22,180,915 applicable to 1,275,170 shares of beneficial interest outstanding - Note 4) | $ | 17.39 | ||
Class C Shares: | ||||
Net asset value and offering price per share* ($243,954,599 applicable to 13,974,158 shares of beneficial interest outstanding - Note 4) | $ | 17.46 | ||
12 Certified Annual Report
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED
Thornburg International Value Fund | September 30, 2004 |
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($293,583,270 applicable to 15,884,508 shares of beneficial interest outstanding - Note 4) | $ | 18.48 | ||
Class R-1 Shares: | ||||
Net asset value, offering and redemption price per share ($11,206,971 applicable to 613,077 shares of beneficial interest outstanding - Note 4) | $ | 18.28 | ||
*Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See notes to financial statements.
Certified Annual Report 13
STATEMENT OF OPERATIONS
Thornburg International Value Fund | Year Ended September 30, 2004 |
INVESTMENT INCOME | ||||
Dividend income (net of foreign taxes withheld of $2,288,999) | $ | 19,413,221 | ||
Interest income | 469,928 | |||
Other income | 4,665 | |||
Total Income | 19,887,814 | |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 7,177,797 | |||
Administration fees (Note 3) | ||||
Class A Shares | 657,504 | |||
Class B Shares | 17,397 | |||
Class C Shares | 183,466 | |||
Class I Shares | 78,997 | |||
Class R-1 Shares | 3,887 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 1,330,200 | |||
Class B Shares | 141,057 | |||
Class C Shares | 1,473,098 | |||
Class R-1 Shares | 15,888 | |||
Transfer agent fees | ||||
Class A Shares | 765,550 | |||
Class B Shares | 35,844 | |||
Class C Shares | 210,855 | |||
Class I Shares | 104,792 | |||
Class R-1 Shares | 11,293 | |||
Registration & filing fees | ||||
Class A Shares | 16,892 | |||
Class B Shares | 5,981 | |||
Class C Shares | 8,206 | |||
Class I Shares | 12,608 | |||
Class R-1 Shares | 12,862 | |||
Custodian fees (Note 3) | 632,775 | |||
Professional fees | 71,940 | |||
Accounting fees | 21,515 | |||
Trustee fees | 19,645 | |||
Other expenses | 423,500 | |||
Total Expenses | 13,433,549 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (347,281 | ) | ||
Expenses paid indirectly (Note 3) | (14,815 | ) | ||
Net Expenses | 13,071,453 | |||
Net Investment Income | $ | 6,816,361 | ||
14 Certified Annual Report
STATEMENT OF OPERATIONS, CONTINUED
Thornburg International Value Fund | Year Ended September 30, 2004 |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments | $ | 24,331,916 | ||
Foreign currency transactions | (2,608,479 | ) | ||
21,723,437 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments, net of change in deferred taxes payable of $495,718 | 63,377,379 | |||
Foreign currency translation | (2,448,524 | ) | ||
Deferred taxes | 495,718 | |||
61,424,573 | ||||
Net Realized and Unrealized Gain (Loss) | 83,148,010 | |||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 89,964,371 | ||
See notes to financial statements.
Certified Annual Report 15
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg International Value Fund
Year Ended | Year Ended | |||||||
September 30, 2004 | September 30, 2003 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income gain (loss) | $ | 6,816,361 | $ | 448,338 | ||||
Net realized gain (loss) on investments and foreign currency transactions | 21,723,437 | (11,991,488 | ) | |||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments, foreign currency translation, and deferred taxes | 61,424,573 | 46,112,063 | ||||||
Net Increase (Decrease) in Net Assets | ||||||||
Resulting from Operations | 89,964,371 | 34,568,913 | ||||||
FUND SHARE TRANSACTIONS – (NOTE 4) | ||||||||
Class A Shares | 797,028,763 | 11,087,620 | ||||||
Class B Shares | 14,140,582 | 485,325 | ||||||
Class C Shares | 172,158,420 | 5,432,349 | ||||||
Class I Shares | 242,069,929 | 8,371,956 | ||||||
Class R-1 Shares | 10,904,969 | 75 | ||||||
Net Increase (Decrease) in Net Assets | 1,326,267,034 | 59,946,238 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 193,290,098 | 133,343,860 | ||||||
End of year | $ | 1,519,557,132 | $ | 193,290,098 | ||||
See notes to financial statements.
16 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS
Thornburg International Value Fund | September 30, 2004 |
NOTE 1 – ORGANIZATION
Thornburg International Value Fund, hereinafter referred to as the “Fund,” is a diversified series of Thornburg Investment Trust (the “Trust”). The Trust was 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 eleven series of shares of beneficial interest in addition to those of the Fund: Thornburg California Limited Term Municipal Fund, Thornburg Limited Term Municipal Fund, Thornburg Limited Term U.S. Government Fund, Thornburg New Mexico Intermediate Municipal Fund, Thornburg Intermediate Municipal Fund, Thornburg Limited Term Income Fund, Thornburg Florida Intermediate Municipal Fund, Thornburg Value Fund, Thornburg Core Growth Fund, Thornburg New York Intermediate Municipal Fund, and Thornburg Investment Income Builder Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing in both foreign and domestic equity securities selected on a value basis.
The Fund currently offers five classes of shares of beneficial interest, Class A, Class B, Class C, Institutional Class (Class I) and Retirement Class (Class R-1) 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 B shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption and bear both a service fee and distribution fee, (iii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year, and bear a service fee and a distribution fee, (iv) Class I shares are sold at net asset value without a sales charge at the time of purchase, (v) Class R-1 shares are sold at net asset value without a sales charge at the time of purchase, but bear both a service fee and distribution fee, and (vi) the respective classes have different reinvestment privileges. Additionally, the 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 Fund are limited to service and distribution fees, administration fees and certain registration and transfer agent expenses. Class B shares of the Fund outstanding for eight years will convert to Class A shares of the Fund.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Funds are as follows: Valuation of Securities: In determining net asset value, investments are stated at value based on latest sales prices, normally at 4:00 pm EST reported on national securities exchanges on the last business day of the period. Investments for which no sale is reported are valued at the mean between bid and asked prices. Securities for which market quotations are not readily available are valued at fair value as determined by management and approved in good faith by the Board of Trustees. Short term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
Foreign Currency Translation: Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against the U.S. dollar on the date of valuation. Purchases and sales of securities and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the translation date. When the Fund purchases or sells foreign securities it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in 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.
Deferred taxes: The Fund is subject to a tax imposed on net realized gains of securities of certain foreign countries. The Fund records an estimated deferred tax liability for net unrealized gains on these securities as reflected in the accompanying financial statements.
Federal Income Taxes: It is the policy of the Fund to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all of its taxable income to its shareholders. Therefore, no provision for Federal income tax is required.
When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with its investment objectives and not for the purpose of investment leverage or to speculate on market changes. At the time the Fund makes a commitment to purchase a security on a when-issued basis, it will record the transaction and reflect the value in determining its net asset value. When effecting such
Certified Annual Report 17
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg International Value Fund | September 30, 2004 |
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 on the trade date.
Dividends: Dividends to shareholders are generally paid quarterly and are reinvested in additional shares of the Fund 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 realized capital gains, to the extent available, will be distributed at least annually. Distributions to shareholders are based on income tax regulations and therefore, their characteristics may differ for financial statement and tax purposes.
General: Securities transactions are accounted for on a trade date basis. Interest income is accrued as earned and dividend income is recorded on the ex-dividend date. Certain income from foreign securities is recognized as soon as information is available to the Fund. Realized gains and losses from the sale of securities are recorded on an identified cost basis. Net investment income, other than class specific expenses, and realized and unrealized gains and losses, are allocated daily to each class of shares based upon the relative net asset value of outstanding shares of each class of shares at the beginning of the day (after adjusting for the current share activity of the respective class). Expenses common to all funds are allocated among the funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
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 “Advisor”) serves as the investment advisor and performs services to the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2004, these fees were payable at annual rates ranging from .875 of 1% to .675 of 1% of the average daily net assets of the Fund depending on the Fund’s asset size. The Fund also has an administrative services agreement with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% of the average daily net assets attributable to each class of shares. For the year ended September 30, 2004, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $123,430 for Class A shares, $8,278 for Class B shares, $185,288 for Class I shares, and $30,285 for Class R-1 shares.
The Fund has an underwriting agreement with Thornburg Securities Corporation (the “Distributor,” an affiliate of the advisor), which acts as the Distributor of the Fund’s shares. For the year ended September 30, 2004, the Distributor has advised the Fund that it earned net commissions aggregating $264,841 from the sale of Class A shares of the Fund, and collected contingent deferred sales charges aggregating $28,847 from redemptions of Class C shares of the Fund.
Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of its average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder related services. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
The Fund has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Fund’s Class B, Class C and Class R-1 shares under which the Fund compensates the Distributor for services in promoting the sale of Class B, Class C and Class R-1 shares of the Fund at an annual rate of up to .75 of 1% of the average daily net assets attributable to Class B, Class C and Class R-1 shares. Total fees incurred by each class of shares of the Fund under their respective Service and Distribution Plans for the year ended September 30, 2004 are set forth in the Statement of Operations.
The Fund has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees have been adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the statement of operations. For the year ended September 30, 2004 fees paid indirectly were $14,815.
Certain officers and trustees of the Trust are also officers and/or directors of the Advisor and Distributor. The compensation of unaffiliated trustees is borne by the Trust.
18 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg International Value Fund | September 30, 2004 |
NOTE 4 — SHARES OF BENEFICIAL INTEREST
At September 30, 2004, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended | Year Ended | |||||||||||||||
September 30, 2004 | September 30, 2003 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 51,167,423 | $ | 894,268,597 | 3,378,754 | $ | 44,006,739 | ||||||||||
Shares repurchased** | (5,531,059 | ) | (97,239,834 | ) | (2,671,582 | ) | (32,919,119 | ) | ||||||||
Net Increase (Decrease) | 45,636,364 | $ | 797,028,763 | 707,172 | $ | 11,087,620 | ||||||||||
** The Fund charges a redemption fee of 1% of the Class A shares exchanged within 90 days of purchase. For the year ended September 30, 2004 and year ended September 30, 2003, $51,074 and $55,020, respectively, were netted in the amount reported for shares repurchased. | ||||||||||||||||
Class B Shares | ||||||||||||||||
Shares sold | 897,624 | $ | 15,193,868 | 136,594 | $ | 1,695,976 | ||||||||||
Shares repurchased | (62,324 | ) | (1,053,286 | ) | (100,676 | ) | (1,210,651 | ) | ||||||||
Net Increase (Decrease) | 835,300 | $ | 14,140,582 | 35,918 | $ | 485,325 | ||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 10,858,583 | $ | 184,217,626 | 1,397,752 | $ | 17,554,897 | ||||||||||
Shares repurchased | (716,792 | ) | (12,059,206 | ) | (1,014,225 | ) | (12,122,548 | ) | ||||||||
Net Increase (Decrease) | 10,141,791 | $ | 172,158,420 | 383,527 | $ | 5,432,349 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 14,591,120 | $ | 258,463,205 | 1,169,448 | $ | 15,121,898 | ||||||||||
Shares repurchased** | (921,861 | ) | (16,393,276 | ) | (558,936 | ) | (6,749,942 | ) | ||||||||
Net Increase (Decrease) | 13,669,259 | $ | 242,069,929 | 610,512 | $ | 8,371,956 | ||||||||||
** The Fund charges a redemption fee of 1% of the Class I shares exchanged within 90 days of purchase. For the year ended September 30, 2004 and year ended September 30, 2003, $18,249 and $7,078, respectively, were netted in the amount reported for shares repurchased. | ||||||||||||||||
Class R-1 Shares | ||||||||||||||||
Shares sold | 686,300 | $ | 12,209,648 | 5 | $ | 75 | ||||||||||
Shares repurchased | (73,228 | ) | (1,304,679 | ) | — | — | ||||||||||
Net Increase (Decrease) | 613,072 | $ | 10,904,969 | 5 | $ | 75 | ||||||||||
Certified Annual Report 19
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg International Value Fund | September 30, 2004 |
NOTE 5 – SECURITIES TRANSACTIONS
For the year ended September 30, 2004, the Fund had purchase and sale transactions of investment securities (excluding short term securities) of $1,424,134,860 and $288,552,278, respectively.
NOTE 6 – INCOME TAXES
At September 30, 2004, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 1,422,804,559 | ||
Gross unrealized appreciation on a tax basis | $ | 114,777,389 | ||
Gross unrealized depreciation on a tax basis | (21,510,495 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 93,266,894 | ||
Distributable earnings – ordinary income | $ | 6,417,511 | ||
At September 30, 2004, the Fund had tax basis capital losses of $7,110,004, which may be carried over to offset future capital gains. To the extent such carry forwards are used in future years, capital gain distributions may be reduced to the extent provided by regulations. Such losses expire September 30, 2011.
The Fund utilized $6,990,644 of its capital loss carry forward for the year ended September 30, 2004.
In order to account for permanent book/tax differences, the Fund increased undistributed net investment income by $539,429 and increased accumulated net realized loss by $539,429. This reclassification has no impact on the net asset value of the Fund. Reclassifications result primarily from foreign currency losses.
NOTE 7 – FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK
During the year ended September 30, 2004, the Fund was a party to financial instruments with off-balance sheet risks, primarily currency forward exchange contracts. A forward exchange contract is an agreement between two parties to exchange different currencies at a specified rate at an agreed upon future date. These contracts are purchased in order to minimize the risk to the Fund with respect to its foreign stock transactions from adverse changes in the relationship between the U.S. dollar and foreign currencies. In each case these contracts have been initiated in conjunction with foreign stock transactions. These instruments may involve market risks in excess of the amount recognized on the Statement of Assets and Liabilities. Such risks would arise from the possible inability of counterparties to meet the terms of their contracts, future movement in currency value and interest rates and contract positions that are not exact offsets. These contracts are reported in the financial statements at the Fund’s net equity, as measured by the difference between the forward exchange rates at the reporting date and the forward exchange rates at the dates of entry into the contract.
CONTRACTS TO SELL:
37,000,000 | Euro Dollar for 44,845,110 USD, October 6, 2004 | $ | (1,097,618 | ) | ||
41,000,000 | Euro Dollar for 48,664,540 USD, October 15, 2004 | (2,241,600 | ) | |||
15,000,000 | Euro Dollar for 18,333,150 USD, February 10, 2005 | (288,605 | ) | |||
60,000,000,000 | Korean Won for 51,533,331 USD, February 24, 2005 | (294,313 | ) | |||
335,500,000 | Mexican Peso for 29,332,051 USD, October 5, 2004 | (108,687 | ) | |||
200,000,000 | Mexican Peso for 17,098,401 USD, December 14, 2004 | (238,885 | ) | |||
41,000,000 | Mexican Peso for 3,467,524 USD, January 10, 2005 | (70,755 | ) | |||
Unrealized loss from forward exchange contracts. | (4,340,463 | ) | ||||
864,000,000 | Indian Rupee for 19,667,653 USD, October 5, 2004 | 847,133 | ||||
625,000,000 | Indian Rupee for 13,763,488 USD, November 16, 2004 | 190,351 | ||||
Unrealized gain from forward exchange contracts. | 1,037,484 | |||||
Net unrealized gain (loss) from forward exchange contracts | $ | (3,302,979 | ) | |||
20 Certified Annual Report
FINANCIAL HIGHLIGHTS
Thornburg International Value Fund
Year Ended September 30, | | |||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||
Class A Shares: | ||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||
(for a share outstanding throughout the year)+ | ||||||||||||||||||||
Net asset value, beginning of year | $ | 14.95 | $ | 11.88 | $ | 12.37 | $ | 16.64 | $ | 12.95 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.15 | 0.06 | 0.03 | 0.03 | 0.44 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 3.08 | 3.00 | (0.54 | ) | (3.39 | ) | 4.03 | |||||||||||||
Total from investment operations | 3.23 | 3.06 | (0.51 | ) | (3.36 | ) | 4.47 | |||||||||||||
Redemption fees added to paid in capital | — | 0.01 | 0.02 | — | — | |||||||||||||||
Less dividends from: | ||||||||||||||||||||
Net investment income | — | — | — | (0.86 | ) | (0.78 | ) | |||||||||||||
Return of capital | — | — | — | (0.05 | ) | — | ||||||||||||||
Total dividends | — | — | — | (0.91 | ) | (0.78 | ) | |||||||||||||
Change in net asset value | 3.23 | 3.07 | (0.49 | ) | (4.27 | ) | 3.69 | |||||||||||||
NET ASSET VALUE, end of year | $ | 18.18 | $ | 14.95 | $ | 11.88 | $ | 12.37 | $ | 16.64 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Total return (a) | 21.61 | % | 25.84 | % | (3.96 | )% | (21.28 | )% | 34.42 | % | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 0.88 | % | 0.44 | % | 0.19 | % | 0.22 | % | 2.61 | % | ||||||||||
Expenses, after expense reductions | 1.49 | % | 1.59 | % | 1.57 | % | 1.54 | % | 1.53 | % | ||||||||||
Expenses, after expense reductions and net of custody credits | 1.49 | % | 1.59 | % | 1.57 | % | — | — | ||||||||||||
Expenses, before expense reductions | 1.51 | % | 1.67 | % | 1.60 | % | 1.56 | % | 1.55 | % | ||||||||||
Portfolio turnover rate | 35.84 | % | 58.35 | % | 28.39 | % | 61.05 | % | 86.13 | % | ||||||||||
Net assets at end of year (000) | $ | 948,631 | $ | 97,991 | $ | 69,490 | $ | 56,507 | $ | 76,070 |
(a) Sales loads are not reflected in computing total return.
Certified Annual Report 21
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg International Value Fund
Year Ended September 30, | Period Ended | |||||||||||||||||||
September 30, | ||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 (b) | ||||||||||||||||
Class B Shares: | ||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||
Net asset value, beginning of period | $ | 14.43 | $ | 11.57 | $ | 12.16 | $ | 16.44 | $ | 17.62 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss) | (0.02 | ) | (0.04 | ) | (0.08 | ) | (0.06 | ) | 0.14 | |||||||||||
Net realized and unrealized gain (loss) on investments | 2.98 | 2.90 | (0.51 | ) | (3.36 | ) | (0.79 | ) | ||||||||||||
Total from investment operations | 2.96 | 2.86 | (0.59 | ) | (3.42 | ) | (0.65 | ) | ||||||||||||
Less dividends from: | ||||||||||||||||||||
Net investment income | — | — | — | (0.82 | ) | (0.53 | ) | |||||||||||||
Return of capital | — | — | — | (0.04 | ) | — | ||||||||||||||
Total dividends | — | — | — | (0.86 | ) | (0.53 | ) | |||||||||||||
Change in net asset value | 2.96 | 2.86 | (0.59 | ) | (4.28 | ) | (1.18 | ) | ||||||||||||
NET ASSET VALUE, end of period | $ | 17.39 | $ | 14.43 | $ | 11.57 | $ | 12.16 | $ | 16.44 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Total return (c) | 20.51 | % | 24.72 | % | (4.85 | )% | (21.86 | )% | (3.73 | )% | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.12 | )% | (0.32 | )% | (0.58 | )% | (0.39 | )% | 1.63% | (a) | ||||||||||
Expenses, after expense reductions | 2.36 | % | 2.38 | % | 2.39 | % | 2.40 | % | 2.38% | (a) | ||||||||||
Expenses, after expense reductions and net of custody credits | 2.36 | % | 2.38 | % | 2.39 | % | — | — | ||||||||||||
Expenses, before expense reductions | 2.42 | % | 2.84 | % | 2.88 | % | 3.62 | % | 6.08% | (a) | ||||||||||
Portfolio turnover rate | 35.84 | % | 58.35 | % | 28.39 | % | 61.05 | % | 86.13 | % | ||||||||||
Net assets at end of period (000) | $ | 22,181 | $ | 6,346 | $ | 4,672 | $ | 2,570 | $ | 1,270 |
(a) Annualized.
(b) Effective date of Class B Shares was April 3, 2000.
(c) Total return is not annualized for periods less than one year.
+ Based on weighted average shares outstanding.
22 Certified Annual Report
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg International Value Fund
Year Ended September 30, | ||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||
Class C Shares: | ||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||
(for a share outstanding throughout the year)+ | ||||||||||||||||||||
Net asset value, beginning of year | $ | 14.47 | $ | 11.60 | $ | 12.19 | $ | 16.49 | $ | 12.88 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss) | 0.01 | (0.04 | ) | (0.08 | ) | (0.08 | ) | 0.38 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 2.98 | 2.91 | (0.51 | ) | (3.37 | ) | 3.91 | |||||||||||||
Total from investment operations | 2.99 | 2.87 | (0.59 | ) | (3.45 | ) | 4.29 | |||||||||||||
Less dividends from: | ||||||||||||||||||||
Net investment income | — | — | — | (0.81 | ) | (0.68 | ) | |||||||||||||
Return of capital | — | — | — | (0.04 | ) | — | ||||||||||||||
Total dividends | — | — | — | (0.85 | ) | (0.68 | ) | |||||||||||||
Change in net asset value | 2.99 | 2.87 | (0.59 | ) | (4.30 | ) | 3.61 | |||||||||||||
NET ASSET VALUE, end of year | $ | 17.46 | $ | 14.47 | $ | 11.60 | $ | 12.19 | $ | 16.49 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Total return | 20.66 | % | 24.74 | % | (4.84 | )% | (21.96 | )% | 33.20 | % | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.04 | % | (0.31 | )% | (0.62 | )% | (0.51 | )% | 2.25 | % | ||||||||||
Expenses, after expense reductions | 2.26 | % | 2.37 | % | 2.36 | % | 2.37 | % | 2.37 | % | ||||||||||
Expenses, after expense reductions and net of custody credits | 2.26 | % | 2.37 | % | 2.36 | % | — | — | ||||||||||||
Expenses, before expense reductions | 2.26 | % | 2.45 | % | 2.36 | % | 2.39 | % | 2.43 | % | ||||||||||
Portfolio turnover rate | 35.84 | % | 58.35 | % | 28.39 | % | 61.05 | % | 86.13 | % | ||||||||||
Net assets at end of year (000) | $ | 243,955 | $ | 55,443 | $ | 39,995 | $ | 26,426 | $ | 26,120 |
+ Based on weighted average shares outstanding.
Certified Annual Report 23
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg International Value Fund
Year Ended | Period Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2004 | 2003 | 2002 | 2001(b) | |||||||||||||
Class I Shares: | ||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||
Net asset value, beginning of period | $ | 15.13 | $ | 11.96 | $ | 12.40 | $ | 14.63 | ||||||||
Income from investment operations: | ||||||||||||||||
Net investment income | 0.24 | 0.14 | 0.10 | 0.11 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 3.11 | 3.03 | (0.54 | ) | (2.21 | ) | ||||||||||
Total from investment operations | 3.35 | 3.17 | (0.44 | ) | (2.10 | ) | ||||||||||
Less dividends from: | ||||||||||||||||
Net investment income | — | — | — | (0.08 | ) | |||||||||||
Return of capital | — | — | — | (0.05 | ) | |||||||||||
Total dividends | — | — | — | (0.13 | ) | |||||||||||
Change in net asset value | 3.35 | 3.17 | (0.44 | ) | (2.23 | ) | ||||||||||
NET ASSET VALUE, end of period | $ | 18.48 | $ | 15.13 | $ | 11.96 | $ | 12.40 | ||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||
Total return (c) | 22.14 | % | 26.51 | % | (3.55 | )% | (14.50 | )% | ||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income | 1.35 | % | 1.07 | % | 0.71 | % | 1.57 | %(a) | ||||||||
Expenses, after expense reductions | 0.99 | % | 0.99 | % | 0.99 | % | 0.97 | %(a) | ||||||||
Expenses, after expense reductions and net of custody credits | 0.99 | % | 0.99 | % | 0.99 | % | — | |||||||||
Expenses, before expense reductions | 1.11 | % | 1.25 | % | 1.28 | % | 1.38 | %(a) | ||||||||
Portfolio turnover rate | 35.84 | % | 58.35 | % | 28.39 | % | 61.05 | % | ||||||||
Net assets at end of period (000) | $ | 293,583 | $ | 33,511 | $ | 19,187 | $ | 11,249 |
(a) Annualized.
(b) Effective date of Class I Shares was March 30, 2001.
(c) Total return is not annualized for periods less than one year.
+ Based on weighted average shares outstanding.
24 Certified Annual Report
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg International Value Fund
Year Ended | Period Ended | |||||||
September 30, | September 30, | |||||||
2004 | 2003(c) | |||||||
Class R-1 Shares: | ||||||||
PER SHARE PERFORMANCE | ||||||||
(for a share outstanding throughout the period)+ | ||||||||
Net asset value, beginning of period | $ | 15.01 | $ | 13.59 | ||||
Income from investment operations: | ||||||||
Net investment income | 0.19 | 0.02 | ||||||
Net realized and unrealized gain (loss) on investments | 3.08 | 1.40 | ||||||
Total from investment operations | 3.27 | 1.42 | ||||||
Less dividends from: | ||||||||
Net investment income | — | — | ||||||
Change in net asset value | 3.27 | 1.42 | ||||||
NET ASSET VALUE, end of period | $ | 18.28 | $ | 15.01 | ||||
RATIOS/SUPPLEMENTAL DATA | ||||||||
Total return (a) | 21.79 | % | 10.45 | % | ||||
Ratios to average net assets: | ||||||||
Net investment income | 1.08 | % | 0.65 | %(b) | ||||
Expenses, after expense reductions | 1.45 | % | 1.60 | %(b) | ||||
Expenses, after expense reductions and net of custody credits | 1.45 | % | 1.60 | %(b) | ||||
Expenses, before expense reductions | 2.42 | % | 30,451.98 | %(b)* | ||||
Portfolio turnover rate | 35.84 | % | 58.35 | % | ||||
Net assets at end of period (000) | $ | 11,207 | $ | — | (d) |
(a) Total return is not annualized for periods less than one year.
(b) Annualized.
(c) Effective date of Class R-1 Shares was July 1, 2003.
(d) Net assets at end of year were less than $1,000.
* Due to the size of net assets and fixed expenses, ratios may appear disproportionate.
+ Based on weighted average shares outstanding.
Certified Annual Report 25
SCHEDULE OF INVESTMENTS
Thornburg International Value Fund | September 30, 2004 |
CUSIPS: CLASS A — 885-215-657, CLASS B — 885-215-616, CLASS C — 885-215-640, CLASS I — 885-215-566, CLASS R-1 — 885-215-525
NASDAQ SYMBOLS: CLASS A — TGVAX, CLASS B — THGBX, CLASS C — THGCX, CLASS I — TGVIX, CLASS R-1 — TGVRX
Shares/ | ||||||||
Principal Amount | Value | |||||||
COMMON STOCKS — 93.20% | ||||||||
AUTOMOBILES & COMPONENTS (5.30%) | ||||||||
Bayerische Motoren Werke AG | 380,376 | $ | 15,634,187 | |||||
Hero Honda Motors Ltd. | 1,536,700 | 14,998,648 | ||||||
Hyundai Motor Co. | 496,300 | 22,886,261 | ||||||
Magna International Inc. | 191,700 | 14,201,136 | ||||||
Toyota Motor Corp. | 312,600 | 11,971,251 | ||||||
BANKS (13.10%) | ||||||||
Bank of Fukuoka Ltd. | 6,553,300 | 31,281,236 | ||||||
Bank of Ireland | 2,160,500 | 29,081,564 | ||||||
Barclays plc | 3,547,600 | 34,026,472 | ||||||
Kookmin Bank | 632,200 | 20,011,889 | ||||||
Lloyds TSB Group plc | 4,398,900 | 34,350,361 | ||||||
Mitsubishi Tokyo Financial Group | 4,335 | 36,152,865 | ||||||
Shinhan Financial Group Co. | 813,600 | 14,060,478 | ||||||
CAPITAL GOODS (1.70%) | ||||||||
Embraer Brasileira de Aeronaut | 295,895 | 1,945,724 | ||||||
Embraer Brasileira de Aeronaut ADR | 902,455 | 23,824,812 | ||||||
CONSUMER DURABLES & APPAREL (8.70%) | ||||||||
Adidas-Salomon AG | 268,521 | 37,461,533 | ||||||
Burberry Group plc | 5,012,946 | 33,792,920 | ||||||
Merloni Elettrodomestici S.p.A. | 1,488,134 | 24,484,550 | ||||||
Puma AG | 134,871 | 36,127,940 | ||||||
DIVERSIFIED FINANCIALS (7.20%) | ||||||||
Deutsche Boerse AG | 555,709 | 28,098,906 | ||||||
Euronext NV | 1,130,311 | 32,155,647 | ||||||
UBS AG | 686,680 | 48,393,804 | ||||||
ENERGY (6.60%) | ||||||||
BP Amoco ADR | 592,900 | 34,109,537 | ||||||
Gail India Ltd. | 4,405,000 | 18,314,971 | ||||||
Petroleo Brasileiro SA ADR | 1,329,200 | 46,854,300 | ||||||
FOOD BEVERAGE & TOBACCO (3.70%) | ||||||||
Cadbury Schweppes plc | 4,023,041 | 30,942,101 | ||||||
Korean Tobacco & Ginseng Corp. | 965,700 | 25,536,748 | ||||||
FOOD & STAPLES RETAILING (3.20%) | ||||||||
Tesco plc | 9,386,853 | 48,456,504 |
26 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg International Value Fund | September 30, 2004 |
Shares/ | ||||||||
Principal Amount | Value | |||||||
INSURANCE (3.10%) | ||||||||
ACE Ltd. | 843,000 | $ | 33,770,580 | |||||
Alea Group Holdings Ltd. | 1,514,600 | 5,838,267 | ||||||
Ping An Insurance Group Co. + | 4,863,000 | 7,140,374 | ||||||
MATERIALS (4.00%) | ||||||||
Givaudan AG | 62,060 | 37,765,917 | ||||||
MMC Norilsk Nickel ADR | 369,500 | 23,463,250 | ||||||
MEDIA (5.90%) | ||||||||
News Corp. Ltd.ADR | 904,700 | 29,737,489 | ||||||
Rogers Communications Inc. | 1,580,300 | 31,961,965 | ||||||
Shaw Communications | 1,657,600 | 27,656,144 | ||||||
PHARMACEUTICALS & BIOTECHNOLOGY (5.00%) | ||||||||
Bachem Holding AG | 85,893 | 4,448,738 | ||||||
Gedeon Richter RT | 236,943 | 28,433,875 | ||||||
Novartis AG ADR | 922,000 | 43,029,740 | ||||||
RETAILING (6.90%) | ||||||||
FamilyMart Co. Ltd. | 1,172,500 | 31,441,876 | ||||||
Kingfisher plc | 7,367,675 | 41,099,823 | ||||||
Wal-Mart de Mexico | 9,194,900 | 31,220,344 | ||||||
SOFTWARE & SERVICES (3.30%) | ||||||||
Amdocs Ltd. + | 1,330,800 | 29,051,364 | ||||||
Infosys Technologies Ltd. | 562,400 | 20,775,343 | ||||||
TECHNOLOGY — HARDWARE & EQUIPMENT (4.50%) | ||||||||
Canon Inc. | 714,200 | 33,572,812 | ||||||
NEC Electronics Corp. | 290,300 | 14,831,789 | ||||||
Samsung Electronics Co. Ltd. | 51,000 | 20,284,846 | ||||||
TELECOMMUNICATION SERVICES (7.00%) | ||||||||
America Movil S.A. de C.V. | 742,100 | 28,964,163 | ||||||
Portugal Telecom SGPS SA | 3,178,500 | 35,009,027 | ||||||
SK Telecom Co. Ltd. | 32,547 | 4,960,485 | ||||||
Vodafone Group plc | 862,500 | 2,064,245 | ||||||
Vodafone Group plc ADR | 1,477,900 | 35,632,169 | ||||||
TRANSPORTATION (2.80%) | ||||||||
China Merchants Hldgs. Intl. Co. Ltd. | 6,430,400 | 9,689,181 | ||||||
Fraport AG + | 987,182 | 32,962,659 | ||||||
UTILITIES (1.20%) | ||||||||
Datang International Power Generation Co. Ltd. | 22,895,800 | 18,644,071 | ||||||
TOTAL COMMON STOCKS (Cost $1,319,140,443) | 1,412,606,881 | |||||||
Certified Annual Report 27
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg International Value Fund | September 30, 2004 |
Shares/ | ||||||||
Principal Amount | Value | |||||||
SHORT TERM INVESTMENTS – 6.80% | ||||||||
American General Finance Corp., 1.81% due 10/4/2004 | $ | 15,000,000 | $ | 14,997,737 | ||||
American General Finance Corp., 1.79% due 10/5/2004 | 9,000,000 | 8,998,210 | ||||||
American General Finance Corp., 1.81% due 10/8/2004 | 5,000,000 | 4,998,240 | ||||||
American General Finance Corp., 1.82% due 10/8/2004 | 10,000,000 | 9,996,461 | ||||||
American General Finance Corp., 1.82% due 10/12/2004 | 10,000,000 | 9,994,439 | ||||||
American General Finance Corp., 1.81% due 10/14/2004 | 25,000,000 | 24,983,660 | ||||||
Lasalle Bank Corp., 1.70% due 10/1/2004 | 14,500,000 | 14,500,000 | ||||||
Lasalle Bank Corp., 1.67% due 10/7/2004 | 15,000,000 | 14,995,825 | ||||||
TOTAL SHORT TERM INVESTMENTS (Cost $103,464,572) | 103,464,572 | |||||||
TOTAL INVESTMENTS (100%) (Cost $1,422,605,015) | $ | 1,516,071,453 | ||||||
+ Non-income producing.
See notes to financial statements.
INDUSTRY EXPOSURE
As of 9/30/04
Banks | 13.1 | % | ||
Consumer Durables & Apparel | 8.7 | % | ||
Diversified Financials | 7.2 | % | ||
Telecommunication Services | 7.0 | % | ||
Retailing | 6.9 | % | ||
Energy | 6.6 | % | ||
Media | 5.9 | % | ||
Automobiles & Components | 5.3 | % | ||
Pharmaceuticals & Biotechnology | 5.0 | % | ||
Technology Hardware & Equipment | 4.5 | % | ||
Materials | 4.0 | % | ||
Food, Beverage & Tobacco | 3.7 | % | ||
Software & Services | 3.3 | % | ||
Food & Staples Retailing | 3.2 | % | ||
Insurance | 3.1 | % | ||
Transportation | 2.8 | % | ||
Capital Goods | 1.7 | % | ||
Utilities | 1.2 | % | ||
Short-term Investments | 6.8 | % |
COUNTRY EXPOSURE
As of 9/30/04
U.K. | 19.4 | % | ||
Japan | 10.5 | % | ||
Germany | 9.9 | % | ||
Switzerland | 8.8 | % | ||
South Korea | 7.1 | % | ||
Canada | 4.9 | % | ||
Brazil | 4.8 | % | ||
Mexico | 4.0 | % | ||
India | 3.6 | % | ||
Bermuda | 2.6 | % | ||
China | 2.3 | % | ||
Portugal | 2.3 | % | ||
France | 2.1 | % | ||
Australia | 2.0 | % | ||
U.S. | 1.9 | % | ||
Ireland | 1.9 | % | ||
Hungary | 1.9 | % | ||
Italy | 1.6 | % | ||
Russia | 1.6 | % | ||
Short-term Investments | 6.8 | % |
28 Certified Annual Report
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg International Value Fund
To the Trustees and Shareholders of
Thornburg International Value Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg International Value Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the “Fund”) at September 30, 2004, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, 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 Fund’s 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 the standards of the Public Company Accounting Oversight Board (United States). Those standards 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, 2004 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 9, 2004
Certified Annual Report 29
EXPENSE EXAMPLE
Thornburg International Value Fund | September 30, 2004 |
As a shareholder of the Fund, you incur two types of costs:
(1) transaction costs, including
(a) sales charges (loads) on purchase payments for Class A shares,
(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase,
(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase,
(d) a 90-day redemption fee on Class A and Class I shares; and
(2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses.
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested on April 1, 2004 and held until September 30, 2004.
Actual Expenses
The first line of the table at right provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table at right provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Beginning | Ending | Expenses Paid | ||||||||||
Account Value | Account Value | During Period† | ||||||||||
4/1/04 | 9/30/04 | 4/1/04–9/30/04 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 996.20 | $ | 7.53 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.46 | $ | 7.61 | ||||||
Class B Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 991.40 | $ | 11.71 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,013.24 | $ | 11.84 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 992.00 | $ | 11.36 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,013.60 | $ | 11.48 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 998.40 | $ | 4.95 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.04 | $ | 5.01 | ||||||
Class R-1 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 996.20 | $ | 7.26 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.73 | $ | 7.34 |
†Expenses are equal to the annualized expense ratio for each class (A: 1.51%; B: 2.35%; C: 2.28%; I: 0.99%; and R: 1.45%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period.
*Hypothetical assumes a rate of return of 5% per year before expenses.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
30 Certified Annual Report
INDEX COMPARISON
Thornburg International Value Fund | September 30, 2004 |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg International Value Fund versus MSCI EAFE Index (May 28,1998 to September 30,2004)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended September 30, 2004 (with sales charge)
1Yr | 5Yrs | Inception | ||||||||||
A Shares (Incep: 05/28/98) | 16.17 | % | 8.23 | % | 8.04 | % | ||||||
B Shares (Incep:4/03/00) | 15.51 | % | — | 0.84 | % | |||||||
C Shares (Incep: 5/28/98) | 19.66 | % | 8.29 | % | 7.86 | % | ||||||
R-1 Shares (Incep:7/01/03) | 21.79 | % | — | 26.72 | % | |||||||
MSCI EAFE Index (Since:05/28/98) | 22.08 | % | 0.85 | % | 1.29 | % |
Performance data reflect past performance, which is no guarantee of future results. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares.
Returns reflect the reinvestment of dividends and capital gains and the following sales charges: Class A shares are sold with a maximum sales charge of 4.50%. Class B shares are sold with a contingent deferred sales charge (CDSC) that declines from 5.00% to 0% depending upon the period of time the shares are held. Class B shares will automatically convert to Class A shares on a quarterly basis approximately eight years after purchase. Class C shares are subject to a 1% CDSC for the first year only. There is no up-front sales charge for Class R-1 shares.
The Morgan Stanley Capital International (MSCI) Europe,Australasia, Far East Index (EAFE) is an unmanaged index of over 900 companies and is a generally accepted benchmark for major overseas markets. Index weightings represent the relative capitalizations of the major overseas markets included in the index on a U.S. dollar adjusted basis. The index is calculated separately: without dividends, with gross dividends reinvested and estimated tax withheld, and with gross dividends reinvested, in both U.S. dollars and local currency. Unless otherwise noted, index returns do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
Certified Annual Report 31
TRUSTEES AND OFFICERS
Thornburg International Value Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
INTERESTED TRUSTEES(2)(4) | ||||
Garrett Thornburg, 58 Chairman of Trustees Trustee since 1987(3) | CEO, Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor) and Thornburg Securities Corporation (securities dealer); Chairman of Thornburg Limited Term Municipal Fund, Inc. (registered investment company) to 2004; CEO and Chairman of Thornburg Mortgage, Inc. (real estate investment trust); Chairman of Thornburg Mortgage Advisory Corporation (investment manager to Thornburg Mortgage, Inc.). | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Brian J. McMahon, 48 Trustee since 2001 President since 1997(5)(6) | President and Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | None | ||
INDEPENDENT TRUSTEES(2)(4) | ||||
David A. Ater, 59 Trustee since 1994 | Principal in Ater & Ater Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner developer and broker for various real estate projects. | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
David D. Chase, 63 Trustee since 2000 | Chairman, President, CEO, and General Partner of Vestor Partners, LP, Santa Fe, NM (private equity fund); Chairman and CEO of Vestor Holdings, Inc., Santa Fe, NM (merchant bank). | Director of Thornburg Limited Term Municipal Fund, Inc. 2001–2004 | ||
Eliot R. Cutler, 58 Trustee since 2004 | Partner,Akin, Gump, Strauss, Hauer & Feld, LLP,Washington, D.C. (law firm) since November 2000; partner, Cutler & Stanfield,Washington, D.C. (law firm) until November 2000. | Director of Thornburg Limited Term Municipal Fund, Inc. to 2004; director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Susan H. Dubin, 55 Trustee since 2004 | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations; and formerly,Vice President of Chemical Bank (predecessor to JP Morgan Chase & Co.), New York, 1974–1996. | None | ||
Forrest S. Smith, 74 Trustee since 1987 | Trust and estate attorney, of counsel to Catron, Catron & Pottow, Santa Fe, NM (law firm). | None | ||
Owen D.Van Essen, 50 Trustee since 2004 | President of Dirks,Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 45 Trustee since 1996 | Executive Vice President and Director to 2002, and since 2002; CEO and Vice Chairman, Nambé Mills, Inc., Santa Fe, NM (manufacturer). | None |
32 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED
Thornburg International Value Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(6)(7) | ||||
Dawn B. Fischer, 57 Secretary since 1987 | Secretary and Managing Director,Thornburg Investment Management, Inc.; Secretary,Thornburg Limited Term Municipal Fund, Inc. to 2004; Secretary, Thornburg Securities Corporation;Vice President, Daily Tax Free Income Fund, Inc. (registered investment company). | Not applicable | ||
Steven J. Bohlin, 45 Vice President, since 1987; | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Treasurer since 1989 | ||||
George T. Strickland, 41 Vice President since 1996 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President (and Treasurer since 2003) of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
William V. Fries, 65 Vice President since 1995 | Vice President and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 37 Vice President since 2001 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2004. | Not applicable | ||
Kenneth Ziesenheim, 50 Vice President since 1995 | Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Securities Corporation;Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Alexander Motola, 34 Vice President since 2001 | Managing Director of Thornburg Investment Management, Inc. since 2000; Portfolio Manager, Insight Capital Research & Management, Inc.,Walnut Creek, California 1995–2000. | Not applicable | ||
Wendy Trevisani, 33 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999,Vice President since 2000 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2002; Sales Representative, Solomon Smith Barney 1996–1999. | Not applicable | ||
Joshua Gonze, 41 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999,Vice President since 1999 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Brad Kinkelaar, 36 Vice President since 1999 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 1999, Vice President since 2000, and Managing Director since 2004; Equity Investment Analyst, State Farm Insurance Companies 1996–1999. | Not applicable | ||
Kerry D. Lee, 37 Vice President since 1999 | Vice President of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable |
Certified Annual Report 33
TRUSTEES AND OFFICERS, CONTINUED
Thornburg International Value Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
Christopher Ihlefeld, 34 Vice President since 2003 | Associate Portfolio Manager since 1999;Vice President of Thornburg Investment Management,Inc.since 2002;Vice President of Limited Term Municipal Fund,Inc., 2003–2004. | Not applicable | ||
Leon Sandersfeld, 38 Vice President since 2003 | Associate of Thornburg Investment Management,Inc.since 2002;Senior Staff Accountant,Farm Bureau Life Insurance Co.1998–2002. | Not applicable | ||
Sasha Wilcoxon, 30 Vice President since 2003 | Associate of Thornburg Investment Management,Inc.since 2000;and Mutual Fund Support Service Department Manager since 2002. | Not applicable | ||
Ed Maran, 46 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management,Inc.since 2002 and Vice President since 2004;Analyst,USAA 2001–2002;Oil Analyst,A.G.Edwards 1997–2000. | Not applicable | ||
Vinson Walden, 34 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management,Inc.since 2002 and Vice President since 2004;Associate Portfolio Manager,Ibis Management 2002–2004;Associate,Lehman Brothers,1997–2001. | Not applicable |
(1) | Each person’s address is 119 East Marcy Street, Santa Fe, New Mexico 87501. | |||
(2) | The Fund is one of twelve separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. The Trust currently has twelve active Funds.Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twelve funds of the Trust. Each Trustee oversees the twelve portfolios in the fund complex. | |||
(3) | Mr.Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is a director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twelve active funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. | |||
(4) | Each Trustee serves in office until the election and qualification of a successor. | |||
(5) | Mr. McMahon is considered an “interested” Trustee because he is the president of Thornburg Investment Management, Inc. | |||
(6) | The Trust’s president, secretary and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. | |||
(7) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
34 Certified Annual Report
OTHER INFORMATION (UNAUDITED)
Thornburg International Value Fund | September 30, 2004 |
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to Thornburg Investment Management, Inc. (“the Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.
Commencing August 31, 2004, information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request, on the Thornburg website at www.thornburg.com and (ii) on the Securities and Exchange Commission’s website at www.sec.gov.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund will file with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year, commencing with the calendar quarter ending December 31, 2004. The Fund’s Forms N-Q will be available on the Commission’s website at http://www.sec.gov, or may be copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg.com/download or upon request by calling 1-800-847-0200.
SHAREHOLDER MEETING INFORMATION
A special meeting (the “Meeting”) of the shareholders of Thornburg Investment Trust (the “Trust”) was held on September 13, 2004 at the offices of Thornburg Investment Management, Inc., 119 East Marcy Street, Santa Fe, New Mexico 87501. Thornburg International Value Fund is one of 12 active series or “Funds” of the Trust.
The shareholders of the Trust considered at the Meeting (i) the election of Trustees, and (ii) ratification of the selection of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm for the fiscal year ending September 30, 2004.
The Trustees elected at the Meeting were Garrett Thornburg, David A.Ater, David D. Chase, Eliot R. Cutler, Susan H. Dubin, Brian J. McMahon, Owen D. Van Essen and James W.Weyhrauch. Forrest S. Smith, a Trustee since 1987 did not stand for election; his term of office will continue through the end of 2004, when he will retire in accordance with the Trust’s Bylaws. The shareholders also ratified the appointment of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm.
The voting results for the matters voted on are set out for each Fund as follows:
Election of Trustees
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Garrett Thornburg | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,772,086.332 | 692,014.443 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,202,049.716 | 217,551.648 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,555.521 | 114,080.445 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,255,221.686 | 81,237.603 | – | – | ||||||||||||
Thornburg Value Fund | 64,672,758.966 | 447,696.934 | – | – | ||||||||||||
Thornburg International Value Fund | 59,954,867.369 | 1,241,990.622 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,135,097.039 | 21,483.205 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,943.082 | 122,916.941 | – | – | ||||||||||||
Total: | 345,469,631.406 | 3,282,138.627 | – | – |
Certified Annual Report 35
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg International Value Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
David A. Ater | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,797,094.826 | 667,005.949 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,898.015 | 244,703.349 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,174.575 | 74,750.866 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,356,553.614 | 118,082.352 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,645.960 | 84,813.329 | – | – | ||||||||||||
Thornburg Value Fund | 64,673,309.598 | 447,696.934 | – | – | ||||||||||||
Thornburg International Value Fund | 60,746,833.041 | 450,024.950 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,382.888 | 24,197.356 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,615.730 | 120,243.993 | – | – | ||||||||||||
Total: | 346,235,149.064 | 2,517,171.301 | – | – | ||||||||||||
David D. Chase | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,792,336.993 | 671,763.782 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,107,955.251 | 64,970.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,243,684.887 | 92,774.402 | – | – | ||||||||||||
Thornburg Value Fund | 64,693,947.421 | 446,508.479 | – | – | ||||||||||||
Thornburg International Value Fund | 60,752,533.146 | 444,324.845 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,837,095.494 | 116,764.229 | – | – | ||||||||||||
Total: | 346,310,480.812 | 2,461,288.921 | – | – | ||||||||||||
Eliot R. Cutler | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,785,534.542 | 678,566.233 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,449,458.366 | 232,489.857 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,199,536.657 | 220,064.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,111,971.636 | 60,953.805 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,350,526.614 | 124,109.352 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,250,801.917 | 85,657.372 | – | – | ||||||||||||
Thornburg Value Fund | 64,599,511.493 | 520,944.407 | – | – | ||||||||||||
Thornburg International Value Fund | 60,724,718.843 | 472,139.148 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,134,780.624 | 21,799.620 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,832,732.499 | 121,127.224 | – | – | ||||||||||||
Total: | 346,159,119.642 | 2,592,650.361 | – | – | ||||||||||||
Susan H. Dubin | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,874.816 | 670,225.959 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,198,659.272 | 220,942.092 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,110,371.636 | 62,553.805 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,372,811.385 | 101,824.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,249,237.865 | 87,221.424 | – | – |
36 Certified Annual Report
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg International Value Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Value Fund | 64,679,778.577 | 440,677.323 | – | – | ||||||||||||
Thornburg International Value Fund | 60,742,583.265 | 454,274.726 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,454.801 | 120,404.922 | – | – | ||||||||||||
Total: | 346,285,090.525 | 2,466,679.208 | – | – | ||||||||||||
Brian J. McMahon | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,795,559.677 | 668,541.098 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,205,930.716 | 213,670.648 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,104,748.707 | 68,176.734 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 102,726.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,724.960 | 84,734.329 | – | – | ||||||||||||
Thornburg Value Fund | 64,681,039.437 | 439,416.463 | – | – | ||||||||||||
Thornburg International Value Fund | 60,010,455.736 | 1,186,402.255 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,131,956.015 | 24,624.229 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,227.440 | 120,632.283 | – | – | ||||||||||||
Total: | 345,556,209.517 | 3,195,560.216 | – | – | ||||||||||||
Owen D.Van Essen | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,348.831 | 670,751.944 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,730.914 | 244,870.450 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,708.092 | 74,217.349 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,248,394.246 | 88,065.043 | – | – | ||||||||||||
Thornburg Value Fund | 64,674,135.776 | 446,320.124 | – | – | ||||||||||||
Thornburg International Value Fund | 60,684,276.889 | 512,581.102 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,962.507 | 122,897.216 | – | – | ||||||||||||
Total: | 346,178,126.548 | 2,573,643.185 | – | – | ||||||||||||
James W.Weyhrauch | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,789,717.177 | 674,383.598 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 126,726.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,254,156.818 | 82,302.471 | – | – | ||||||||||||
Thornburg Value Fund | 64,683,895.944 | 436,559.906 | – | – | ||||||||||||
Thornburg International Value Fund | 60,726,245.097 | 470,612.894 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,836,311.264 | 117,548.459 | – | – | ||||||||||||
Total: | 346,278,127.848 | 2,497,641.885 | – | – |
Certified Annual Report 37
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg International Value Fund | September 30, 2004 |
Ratification of Selection of Independent Registered Public Accounting Firm
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Limited Term Municipal Fund | 89,266,423.303 | 430,123.930 | 767,553.542 | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,354,990.466 | 167,198.030 | 159,759.457 | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 27,957,900.165 | 174,857.659 | 286,893.540 | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,067,166.377 | 1,155.000 | 104,604.064 | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,911,733.415 | 6,868.306 | 9,157.121 | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,784,834.660 | 23,509.648 | 38,241.937 | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,583.780 | 33,945.016 | 80,017.170 | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,123,259.928 | 57,081.625 | 156,117.736 | – | ||||||||||||
Thornburg Value Fund | 64,569,333.454 | 212,238.433 | 338,884.013 | – | ||||||||||||
Thornburg International Value Fund | 60,444,286.231 | 343,771.766 | 408,700.994 | – | ||||||||||||
Thornburg Core Growth Fund | 6,110,013.492 | 32,603.465 | 13,963.287 | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,812,877.547 | 40,509.369 | 100,472.807 | – | ||||||||||||
Totals | 344,763,402.818 | 1,523,862.247 | 2,464,365.668 | – |
38 Certified Annual Report
Thornburg International Value Fund
I Shares – September 30, 2004
Table of Contents
10 | ||||
12 | ||||
14 | ||||
16 | ||||
17 | ||||
21 | ||||
22 | ||||
25 | ||||
26 | ||||
27 | ||||
28 | ||||
31 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
Certified Annual Report 9
Letter to Shareholders
William V. Fries, CFA
Portfolio Manager
October 27, 2004
Dear Fellow Shareholder:
The Thornburg International Value Fund (class I shares) total return for the fiscal year ended September 30, 2004 was 22.14%, well above the U.S. market and actually better than the returns in local currency of a number of the world’s major markets outside the U.S. Contributing to performance were good returns on consumer related issues, energy producers, telecommunications, media and financial stocks. Holdings in autos, retailing, and durable goods manufacturers performed well, reflecting earnings progress and competitive strength. Emerging market holdings were positive contributors to performance. The excellent business results of mobile communications companies in Russia and Mexico were reflected in the stock prices of our holdings, Mobile TeleSystems and American Movil S.A. de CV.
While the majority of holdings recorded positive returns for the year, a few did not, most prominently Japanese holdings, NEC Electronics and Mitsubishi Tokyo Financial Group. The former has been impacted by the slowdown in the semiconductor industry and the latter is involved in the acquisition of troubled Japanese bank UFJ Holdings. Closing of the acquisition will make Mitsubishi Tokyo Financial Group one of the world’s largest banks.
As outlined in the Fund’s investment prospectus, our portfolio is much more focused than the widely used international benchmark MSCI EAFE and many other competitive funds. At fiscal year-end, holdings numbered 54. Our philosophy is that a well diversified yet more concentrated portfolio dynamically reflects the results of our global fundamental research effort and stock selection. However, this can also result in more short-term volatility as well.
While the times seem uncertain, the reality is that times are always uncertain. What we know is that each stock holding in the Thornburg International Value Fund has been selected for what we believe to be its promising future with valuation in mind. The portfolio, though focused, is diversified by industry, country and category of holding (Basic Value, Consistent Earner or Emerging Franchise.) Please review the holdings by industry on the following pages. Our website at www.thornburg.com/funds has descriptions of companies held as well as other commentary you may find useful in tracking your investment with us.
Thank you very much for your continued confidence and trust.
Sincerely,
William V. Fries, CFA
Portfolio Manager
10 Certified Annual Report
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each Fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager, and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any Fund to differ materially as compared to its benchmarks.
Certified Annual Report 11
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg International Value Fund | September 30, 2004 |
ASSETS | ||||
Investments at value (cost $1,422,605,015) | $ | 1,516,071,453 | ||
Cash | 163,827 | |||
Cash denominated in foreign currency (cost $6,659,432) | 6,698,603 | |||
Receivable for securities sold | 8,415,978 | |||
Receivable for fund shares sold | 20,776,164 | |||
Dividends receivable | 6,200,770 | |||
Prepaid expenses and other assets | 140,211 | |||
Total Assets | 1,558,467,006 | |||
LIABILITIES | ||||
Payable for securities purchased | 31,163,021 | |||
Payable for fund shares redeemed | 1,649,858 | |||
Payable to investment advisor and other affiliates (Note 3) | 1,336,494 | |||
Unrealized loss on forward exchange contracts (Note 7) | 3,302,979 | |||
Deferred tax payable | 495,718 | |||
Accounts payable and accrued expenses | 961,804 | |||
Total Liabilities | 38,909,874 | |||
NET ASSETS | $ | 1,519,557,132 | ||
NET ASSETS CONSIST OF: | ||||
Undistributed net investment gain (loss) | $ | 6,417,511 | ||
Net unrealized appreciation (depreciation) on investments, net of deferred taxes payable of $495,718 | 89,693,322 | |||
Accumulated net realized gain (loss) | (3,263,398 | ) | ||
Net capital paid in on shares of beneficial interest | 1,426,709,697 | |||
$ | 1,519,557,132 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($948,631,377 applicable to 52,191,197 shares of beneficial interest outstanding — Note 4) | $ | 18.18 | ||
Maximum sales charge, 4.50% of offering price | 0.86 | |||
Maximum Offering Price Per Share | $ | 19.04 | ||
Class B Shares: | ||||
Net asset value and offering price per share* ($22,180,915 applicable to 1,275,170 shares of beneficial interest outstanding — Note 4) | $ | 17.39 | ||
Class C Shares: | ||||
Net asset value and offering price per share* ($243,954,599 applicable to 13,974,158 shares of beneficial interest outstanding — Note 4) | $ | 17.46 | ||
12 Certified Annual Report
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg International Value Fund | September 30, 2004 |
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($293,583,270 applicable to 15,884,508 shares of beneficial interest outstanding — Note 4) | $ | 18.48 | ||
Class R-1 Shares: | ||||
Net asset value, offering and redemption price per share ($11,206,971 applicable to 613,077 shares of beneficial interest outstanding — Note 4) | $ | 18.28 | ||
*Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See notes to financial statements.
Certified Annual Report 13
STATEMENT OF OPERATIONS | ||
Thornburg International Value Fund | Year Ended September 30, 2004 |
INVESTMENT INCOME | ||||
Dividend income (net of foreign taxes withheld of $2,288,999) | $ | 19,413,221 | ||
Interest income | 469,928 | |||
Other income | 4,665 | |||
Total Income | 19,887,814 | |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 7,177,797 | |||
Administration fees (Note 3) | ||||
Class A Shares | 657,504 | |||
Class B Shares | 17,397 | |||
Class C Shares | 183,466 | |||
Class I Shares | 78,997 | |||
Class R-1 Shares | 3,887 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 1,330,200 | |||
Class B Shares | 141,057 | |||
Class C Shares | 1,473,098 | |||
Class R-1 Shares | 15,888 | |||
Transfer agent fees | ||||
Class A Shares | 765,550 | |||
Class B Shares | 35,844 | |||
Class C Shares | 210,855 | |||
Class I Shares | 104,792 | |||
Class R-1 Shares | 11,293 | |||
Registration & filing fees | ||||
Class A Shares | 16,892 | |||
Class B Shares | 5,981 | |||
Class C Shares | 8,206 | |||
Class I Shares | 12,608 | |||
Class R-1 Shares | 12,862 | |||
Custodian fees (Note 3) | 632,775 | |||
Professional fees | 71,940 | |||
Accounting fees | 21,515 | |||
Trustee fees | 19,645 | |||
Other expenses | 423,500 | |||
Total Expenses | 13,433,549 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (347,281 | ) | ||
Expenses paid indirectly (Note 3) | (14,815 | ) | ||
Net Expenses | 13,071,453 | |||
Net Investment Income | $ | 6,816,361 | ||
14 Certified Annual Report
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg International Value Fund | Year Ended September 30, 2004 |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments | $ | 24,331,916 | ||
Foreign currency transactions | (2,608,479 | ) | ||
21,723,437 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments, net of change in deferred taxes payable of $495,718 | 63,377,379 | |||
Foreign currency translation | (2,448,524 | ) | ||
Deferred taxes | 495,718 | |||
61,424,573 | ||||
Net Realized and Unrealized Gain (Loss) | 83,148,010 | |||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 89,964,371 | ||
See notes to financial statements.
Certified Annual Report 15
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg International Value Fund
Year Ended | Year Ended | |||||||
September 30, 2004 | September 30, 2003 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income gain (loss) | $ | 6,816,361 | $ | 448,338 | ||||
Net realized gain (loss) on investments and foreign currency transactions | 21,723,437 | (11,991,488 | ) | |||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments, foreign currency translation, and deferred taxes | 61,424,573 | 46,112,063 | ||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 89,964,371 | 34,568,913 | ||||||
FUND SHARE TRANSACTIONS – (NOTE 4) | ||||||||
Class A Shares | 797,028,763 | 11,087,620 | ||||||
Class B Shares | 14,140,582 | 485,325 | ||||||
Class C Shares | 172,158,420 | 5,432,349 | ||||||
Class I Shares | 242,069,929 | 8,371,956 | ||||||
Class R-1 Shares | 10,904,969 | 75 | ||||||
Net Increase (Decrease) in Net Assets | 1,326,267,034 | 59,946,238 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 193,290,098 | 133,343,860 | ||||||
End of year | $ | 1,519,557,132 | $ | 193,290,098 | ||||
See notes to financial statements.
16 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg International Value Fund | September 30, 2004 |
NOTE 1 – ORGANIZATION
Thornburg International Value Fund, hereinafter referred to as the “Fund,” is a diversified series of Thornburg Investment Trust (the “Trust”). The Trust was 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 eleven series of shares of beneficial interest in addition to those of the Fund: Thornburg California Limited Term Municipal Fund, Thornburg Limited Term Municipal Fund, Thornburg Limited Term U.S. Government Fund, Thornburg New Mexico Intermediate Municipal Fund, Thornburg Intermediate Municipal Fund, Thornburg Limited Term Income Fund, Thornburg Florida Intermediate Municipal Fund, Thornburg Value Fund, Thornburg Core Growth Fund, Thornburg New York Intermediate Municipal Fund, and Thornburg Investment Income Builder Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing in both foreign and domestic equity securities selected on a value basis.
The Fund currently offers five classes of shares of beneficial interest, Class A, Class B, Class C, Institutional Class (Class I) and Retirement Class (Class R-1) 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 B shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption and bear both a service fee and distribution fee, (iii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year, and bear a service fee and a distribution fee, (iv) Class I shares are sold at net asset value without a sales charge at the time of purchase, (v) Class R-1 shares are sold at net asset value without a sales charge at the time of purchase, but bear both a service fee and distribution fee, and (vi) the respective classes have different reinvestment privileges. Additionally, the 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 Fund are limited to service and distribution fees, administration fees and certain registration and transfer agent expenses. Class B shares of the Fund outstanding for eight years will convert to Class A shares of the Fund.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Funds are as follows: Valuation of Securities: In determining net asset value, investments are stated at value based on latest sales prices, normally at 4:00 pm EST reported on national securities exchanges on the last business day of the period. Investments for which no sale is reported are valued at the mean between bid and asked prices. Securities for which market quotations are not readily available are valued at fair value as determined by management and approved in good faith by the Board of Trustees. Short term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
Foreign Currency Translation: Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against the U.S. dollar on the date of valuation. Purchases and sales of securities and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the translation date. When the Fund purchases or sells foreign securities it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in 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.
Deferred taxes: The Fund is subject to a tax imposed on net realized gains of securities of certain foreign countries. The Fund records an estimated deferred tax liability for net unrealized gains on these securities as reflected in the accompanying financial statements.
Federal Income Taxes: It is the policy of the Fund to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all of its taxable income to its shareholders. Therefore, no provision for Federal income tax is required.
When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with its investment objectives and not for the purpose of investment leverage or to speculate on market changes. At the time the Fund makes a commitment to purchase a security on a when-issued basis, it will record the transaction and reflect the value in determining its net asset value. When effecting such
Certified Annual Report 17
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | September 30, 2004 |
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 on the trade date.
Dividends: Dividends to shareholders are generally paid quarterly and are reinvested in additional shares of the Fund 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 realized capital gains, to the extent available, will be distributed at least annually. Distributions to shareholders are based on income tax regulations and therefore, their characteristics may differ for financial statement and tax purposes.
General: Securities transactions are accounted for on a trade date basis. Interest income is accrued as earned and dividend income is recorded on the ex-dividend date. Certain income from foreign securities is recognized as soon as information is available to the Fund. Realized gains and losses from the sale of securities are recorded on an identified cost basis. Net investment income, other than class specific expenses, and realized and unrealized gains and losses, are allocated daily to each class of shares based upon the relative net asset value of outstanding shares of each class of shares at the beginning of the day (after adjusting for the current share activity of the respective class). Expenses common to all funds are allocated among the funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
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 “Advisor”) serves as the investment advisor and performs services to the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2004, these fees were payable at annual rates ranging from .875 of 1% to .675 of 1% of the average daily net assets of the Fund depending on the Fund’s asset size. The Fund also has an administrative services agreement with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% of the average daily net assets attributable to each class of shares. For the year ended September 30, 2004, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $123,430 for Class A shares, $8,278 for Class B shares, $185,288 for Class I shares, and $30,285 for Class R-1 shares.
The Fund has an underwriting agreement with Thornburg Securities Corporation (the “Distributor,” an affiliate of the advisor), which acts as the Distributor of the Fund’s shares. For the year ended September 30, 2004, the Distributor has advised the Fund that it earned net commissions aggregating $264,841 from the sale of Class A shares of the Fund, and collected contingent deferred sales charges aggregating $28,847 from redemptions of Class C shares of the Fund.
Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of its average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder related services. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
The Fund has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Fund’s Class B, Class C and Class R-1 shares under which the Fund compensates the Distributor for services in promoting the sale of Class B, Class C and Class R-1 shares of the Fund at an annual rate of up to .75 of 1% of the average daily net assets attributable to Class B, Class C and Class R-1 shares. Total fees incurred by each class of shares of the Fund under their respective Service and Distribution Plans for the year ended September 30, 2004 are set forth in the Statement of Operations.
The Fund has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees have been adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the statement of operations. For the year ended September 30, 2004 fees paid indirectly were $14,815.
Certain officers and trustees of the Trust are also officers and/or directors of the Advisor and Distributor. The compensation of unaffiliated trustees is borne by the Trust.
18 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | September 30, 2004 |
NOTE 4 — SHARES OF BENEFICIAL INTEREST
At September 30, 2004, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended | Year Ended | |||||||||||||||
September 30, 2004 | September 30, 2003 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 51,167,423 | $ | 894,268,597 | 3,378,754 | $ | 44,006,739 | ||||||||||
Shares repurchased** | (5,531,059 | ) | (97,239,834 | ) | (2,671,582 | ) | (32,919,119 | ) | ||||||||
Net Increase (Decrease) | 45,636,364 | $ | 797,028,763 | 707,172 | $ | 11,087,620 | ||||||||||
** | The Fund charges a redemption fee of 1% of the Class A shares exchanged within 90 days of purchase. For the year ended September 30, 2004 and year ended September 30, 2003, $51,074 and $55,020, respectively, were netted in the amount reported for shares repurchased. |
Class B Shares | ||||||||||||||||
Shares sold | 897,624 | $ | 15,193,868 | 136,594 | $ | 1,695,976 | ||||||||||
Shares repurchased | (62,324 | ) | (1,053,286 | ) | (100,676 | ) | (1,210,651 | ) | ||||||||
Net Increase (Decrease) | 835,300 | $ | 14,140,582 | 35,918 | $ | 485,325 | ||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 10,858,583 | $ | 184,217,626 | 1,397,752 | $ | 17,554,897 | ||||||||||
Shares repurchased | (716,792 | ) | (12,059,206 | ) | (1,014,225 | ) | (12,122,548 | ) | ||||||||
Net Increase (Decrease) | 10,141,791 | $ | 172,158,420 | 383,527 | $ | 5,432,349 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 14,591,120 | $ | 258,463,205 | 1,169,448 | $ | 15,121,898 | ||||||||||
Shares repurchased** | (921,861 | ) | (16,393,276 | ) | (558,936 | ) | (6,749,942 | ) | ||||||||
Net Increase (Decrease) | 13,669,259 | $ | 242,069,929 | 610,512 | $ | 8,371,956 | ||||||||||
** | The Fund charges a redemption fee of 1% of the Class I shares exchanged within 90 days of purchase. For the year ended September 30, 2004 and year ended September 30, 2003, $18,249 and $7,078, respectively, were netted in the amount reported for shares repurchased. |
Class R-1 Shares | ||||||||||||||||
Shares sold | 686,300 | $ | 12,209,648 | 5 | $ | 75 | ||||||||||
Shares repurchased | (73,228 | ) | (1,304,679 | ) | — | — | ||||||||||
Net Increase (Decrease) | 613,072 | $ | 10,904,969 | 5 | $ | 75 | ||||||||||
Certified Annual Report 19
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | September 30, 2004 |
NOTE 5 – SECURITIES TRANSACTIONS
For the year ended September 30, 2004, the Fund had purchase and sale transactions of investment securities (excluding short term securities) of $1,424,134,860 and $288,552,278, respectively.
NOTE 6 – INCOME TAXES
At September 30, 2004, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 1,422,804,559 | ||
Gross unrealized appreciation on a tax basis | $ | 114,777,389 | ||
Gross unrealized depreciation on a tax basis | (21,510,495 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 93,266,894 | ||
Distributable earnings – ordinary income | $ | 6,417,511 | ||
At September 30, 2004, the Fund had tax basis capital losses of $7,110,004, which may be carried over to offset future capital gains. To the extent such carry forwards are used in future years, capital gain distributions may be reduced to the extent provided by regulations. Such losses expire September 30, 2011.
The Fund utilized $6,990,644 of its capital loss carry forward for the year ended September 30, 2004.
In order to account for permanent book/tax differences, the Fund increased undistributed net investment income by $539,429 and increased accumulated net realized loss by $539,429. This reclassification has no impact on the net asset value of the Fund. Reclassifications result primarily from foreign currency losses.
NOTE 7 – FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK
During the year ended September 30, 2004, the Fund was a party to financial instruments with off-balance sheet risks, primarily currency forward exchange contracts. A forward exchange contract is an agreement between two parties to exchange different currencies at a specified rate at an agreed upon future date. These contracts are purchased in order to minimize the risk to the Fund with respect to its foreign stock transactions from adverse changes in the relationship between the U.S. dollar and foreign currencies. In each case these contracts have been initiated in conjunction with foreign stock transactions. These instruments may involve market risks in excess of the amount recognized on the Statement of Assets and Liabilities. Such risks would arise from the possible inability of counterparties to meet the terms of their contracts, future movement in currency value and interest rates and contract positions that are not exact offsets. These contracts are reported in the financial statements at the Fund’s net equity, as measured by the difference between the forward exchange rates at the reporting date and the forward exchange rates at the dates of entry into the contract.
CONTRACTS TO SELL:
37,000,000 | Euro Dollar for 44,845,110 USD, October 6, 2004 | $ | (1,097,618 | ) | ||
41,000,000 | Euro Dollar for 48,664,540 USD, October 15, 2004 | (2,241,600 | ) | |||
15,000,000 | Euro Dollar for 18,333,150 USD, February 10, 2005 | (288,605 | ) | |||
60,000,000,000 | Korean Won for 51,533,331 USD, February 24, 2005 | (294,313 | ) | |||
335,500,000 | Mexican Peso for 29,332,051 USD, October 5, 2004 | (108,687 | ) | |||
200,000,000 | Mexican Peso for 17,098,401 USD, December 14, 2004 | (238,885 | ) | |||
41,000,000 | Mexican Peso for 3,467,524 USD, January 10, 2005 | (70,755 | ) | |||
Unrealized loss from forward exchange contracts. | (4,340,463 | ) | ||||
864,000,000 | Indian Rupee for 19,667,653 USD, October 5, 2004 | 847,133 | ||||
625,000,000 | Indian Rupee for 13,763,488 USD, November 16, 2004 | 190,351 | ||||
Unrealized gain from forward exchange contracts. | 1,037,484 | |||||
Net unrealized gain (loss) from forward exchange contracts | $ | (3,302,979 | ) | |||
20 Certified Annual Report
FINANCIAL HIGHLIGHTS
Thornburg International Value Fund
Year Ended | Period Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
Class I Shares: | 2004 | 2003 | 2002 | 2001(b) | ||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||
Net asset value, beginning of period | $ | 15.13 | $ | 11.96 | $ | 12.40 | $ | 14.63 | ||||||||
Income from investment operations: | ||||||||||||||||
Net investment income | 0.24 | 0.14 | 0.10 | 0.11 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 3.11 | 3.03 | (0.54 | ) | (2.21 | ) | ||||||||||
Total from investment operations | 3.35 | 3.17 | (0.44 | ) | (2.10 | ) | ||||||||||
Less dividends from: | �� | |||||||||||||||
Net investment income | — | — | — | (0.08 | ) | |||||||||||
Return of capital | — | — | — | (0.05 | ) | |||||||||||
Total dividends | — | — | — | (0.13 | ) | |||||||||||
Change in net asset value | 3.35 | 3.17 | (0.44 | ) | (2.23 | ) | ||||||||||
NET ASSET VALUE, end of period | $ | 18.48 | $ | 15.13 | $ | 11.96 | $ | 12.40 | ||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||
Total return (c) | 22.14 | % | 26.51 | % | (3.55 | )% | (14.50 | )% | ||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income | 1.35 | % | 1.07 | % | 0.71 | % | 1.57 | %(a) | ||||||||
Expenses, after expense reductions | 0.99 | % | 0.99 | % | 0.99 | % | 0.97 | %(a) | ||||||||
Expenses, after expense reductions and net of custody credits | 0.99 | % | 0.99 | % | 0.99 | % | — | |||||||||
Expenses, before expense reductions | 1.11 | % | 1.25 | % | 1.28 | % | 1.38 | %(a) | ||||||||
Portfolio turnover rate | 35.84 | % | 58.35 | % | 28.39 | % | 61.05 | % | ||||||||
Net assets at end of period (000) | $ | 293,583 | $ | 33,511 | $ | 19,187 | $ | 11,249 |
(a) | Annualized. | |||
(b) | Effective date of Class I Shares was March 30, 2001. | |||
(c) | Total return is not annualized for periods less than one year. | |||
+ Based on weighted average shares outstanding. |
Certified Annual Report 21
SCHEDULE OF INVESTMENTS | ||
Thornburg International Value Fund | September 30, 2004 |
CUSIPS: CLASS A — 885-215-657, CLASS B — 885-215-616, CLASS C — 885-215-640, CLASS I — 885-215-566, CLASS R-1 — 885-215-525
NASDAQ SYMBOLS: CLASS A — TGVAX, CLASS B — THGBX, CLASS C — THGCX, CLASS I — TGVIX, CLASS R-1 — TGVRX
Shares/ | ||||||||
Principal Amount | Value | |||||||
COMMON STOCKS - 93.20% | ||||||||
AUTOMOBILES & COMPONENTS (5.30%) | ||||||||
Bayerische Motoren Werke AG | 380,376 | $ | 15,634,187 | |||||
Hero Honda Motors Ltd. | 1,536,700 | 14,998,648 | ||||||
Hyundai Motor Co. | 496,300 | 22,886,261 | ||||||
Magna International Inc. | 191,700 | 14,201,136 | ||||||
Toyota Motor Corp. | 312,600 | 11,971,251 | ||||||
BANKS (13.10%) | ||||||||
Bank of Fukuoka Ltd. | 6,553,300 | 31,281,236 | ||||||
Bank of Ireland | 2,160,500 | 29,081,564 | ||||||
Barclays plc | 3,547,600 | 34,026,472 | ||||||
Kookmin Bank | 632,200 | 20,011,889 | ||||||
Lloyds TSB Group plc | 4,398,900 | 34,350,361 | ||||||
Mitsubishi Tokyo Financial Group | 4,335 | 36,152,865 | ||||||
Shinhan Financial Group Co. | 813,600 | 14,060,478 | ||||||
CAPITAL GOODS (1.70%) | ||||||||
Embraer Brasileira de Aeronaut | 295,895 | 1,945,724 | ||||||
Embraer Brasileira de Aeronaut ADR | 902,455 | 23,824,812 | ||||||
CONSUMER DURABLES & APPAREL (8.70%) | ||||||||
Adidas-Salomon AG | 268,521 | 37,461,533 | ||||||
Burberry Group plc | 5,012,946 | 33,792,920 | ||||||
Merloni Elettrodomestici S.p.A. | 1,488,134 | 24,484,550 | ||||||
Puma AG | 134,871 | 36,127,940 | ||||||
DIVERSIFIED FINANCIALS (7.20%) | ||||||||
Deutsche Boerse AG | 555,709 | 28,098,906 | ||||||
Euronext NV | 1,130,311 | 32,155,647 | ||||||
UBS AG | 686,680 | 48,393,804 | ||||||
ENERGY (6.60%) | ||||||||
BP Amoco ADR | 592,900 | 34,109,537 | ||||||
Gail India Ltd. | 4,405,000 | 18,314,971 | ||||||
Petroleo Brasileiro SA ADR | 1,329,200 | 46,854,300 | ||||||
FOOD BEVERAGE & TOBACCO (3.70%) | ||||||||
Cadbury Schweppes plc | 4,023,041 | 30,942,101 | ||||||
Korean Tobacco & Ginseng Corp. | 965,700 | 25,536,748 | ||||||
FOOD & STAPLES RETAILING (3.20%) | ||||||||
Tesco plc | 9,386,853 | 48,456,504 |
22 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund | September 30, 2004 |
Shares/ | ||||||||
Principal Amount | Value | |||||||
INSURANCE (3.10%) | ||||||||
ACE Ltd. | 843,000 | $ | 33,770,580 | |||||
Alea Group Holdings Ltd. | 1,514,600 | 5,838,267 | ||||||
Ping An Insurance Group Co. + | 4,863,000 | 7,140,374 | ||||||
MATERIALS (4.00%) | ||||||||
Givaudan AG | 62,060 | 37,765,917 | ||||||
MMC Norilsk Nickel ADR | 369,500 | 23,463,250 | ||||||
MEDIA (5.90%) | ||||||||
News Corp. Ltd.ADR | 904,700 | 29,737,489 | ||||||
Rogers Communications Inc. | 1,580,300 | 31,961,965 | ||||||
Shaw Communications | 1,657,600 | 27,656,144 | ||||||
PHARMACEUTICALS & BIOTECHNOLOGY (5.00%) | ||||||||
Bachem Holding AG | 85,893 | 4,448,738 | ||||||
Gedeon Richter RT | 236,943 | 28,433,875 | ||||||
Novartis AG ADR | 922,000 | 43,029,740 | ||||||
RETAILING (6.90%) | ||||||||
FamilyMart Co. Ltd. | 1,172,500 | 31,441,876 | ||||||
Kingfisher plc | 7,367,675 | 41,099,823 | ||||||
Wal Mart De Mexico | 9,194,900 | 31,220,344 | ||||||
SOFTWARE & SERVICES (3.30%) | ||||||||
Amdocs Ltd. + | 1,330,800 | 29,051,364 | ||||||
Infosys Technologies Ltd. | 562,400 | 20,775,343 | ||||||
TECHNOLOGY — HARDWARE & EQUIPMENT (4.50%) | ||||||||
Canon Inc. | 714,200 | 33,572,812 | ||||||
NEC Electronics Corp. | 290,300 | 14,831,789 | ||||||
Samsung Electronics Co. Ltd. | 51,000 | 20,284,846 | ||||||
TELECOMMUNICATION SERVICES (7.00%) | ||||||||
America Movil S.A. de C.V. | 742,100 | 28,964,163 | ||||||
Portugal Telecom SGPS SA | 3,178,500 | 35,009,027 | ||||||
SK Telecom Co. Ltd. | 32,547 | 4,960,485 | ||||||
Vodafone Group plc | 862,500 | 2,064,245 | ||||||
Vodafone Group plc ADR | 1,477,900 | 35,632,169 | ||||||
TRANSPORTATION (2.80%) | ||||||||
China Merchants Hldgs. Intl. Co. Ltd. | 6,430,400 | 9,689,181 | ||||||
Fraport AG + | 987,182 | 32,962,659 | ||||||
UTILITIES (1.20%) | ||||||||
Datang International Power Generation Co. Ltd. | 22,895,800 | 18,644,071 | ||||||
TOTAL COMMON STOCKS (Cost $1,319,140,443) | 1,412,606,881 | |||||||
Certified Annual Report 23
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund | September 30, 2004 |
Shares/ | ||||||||
Principal Amount | Value | |||||||
SHORT TERM INVESTMENTS - 6.80% | ||||||||
American General Finance Corp., 1.81% due 10/4/2004 | $ | 15,000,000 | $ | 14,997,737 | ||||
American General Finance Corp., 1.79% due 10/5/2004 | 9,000,000 | 8,998,210 | ||||||
American General Finance Corp., 1.81% due 10/8/2004 | 5,000,000 | 4,998,240 | ||||||
American General Finance Corp., 1.82% due 10/8/2004 | 10,000,000 | 9,996,461 | ||||||
American General Finance Corp., 1.82% due 10/12/2004 | 10,000,000 | 9,994,439 | ||||||
American General Finance Corp., 1.81% due 10/14/2004 | 25,000,000 | 24,983,660 | ||||||
Lasalle Bank Corp., 1.70% due 10/1/2004 | 14,500,000 | 14,500,000 | ||||||
Lasalle Bank Corp., 1.67% due 10/7/2004 | 15,000,000 | 14,995,825 | ||||||
TOTAL SHORT TERM INVESTMENTS (Cost $103,464,572) | 103,464,572 | |||||||
TOTAL INVESTMENTS (100%) (Cost $1,422,605,015) | $ | 1,516,071,453 | ||||||
+ Non-income producing. | ||||
See notes to financial statements. |
INDUSTRY EXPOSURE
As of 9/30/04
Banks | 13.1 | % | ||
Consumer Durables & Apparel | 8.7 | % | ||
Diversified Financials | 7.2 | % | ||
Telecommunication Services | 7.0 | % | ||
Retailing | 6.9 | % | ||
Energy | 6.6 | % | ||
Media | 5.9 | % | ||
Automobiles & Components | 5.3 | % | ||
Pharmaceuticals & Biotechnology | 5.0 | % | ||
Technology Hardware & Equipment | 4.5 | % | ||
Materials | 4.0 | % | ||
Food, Beverage & Tobacco | 3.7 | % | ||
Software & Services | 3.3 | % | ||
Food & Staples Retailing | 3.2 | % | ||
Insurance | 3.1 | % | ||
Transportation | 2.8 | % | ||
Capital Goods | 1.7 | % | ||
Utilities | 1.2 | % | ||
Short-term Investments | 6.8 | % |
COUNTRY EXPOSURE
As of 9/30/04
U.K. | 19.4 | % | ||
Japan | 10.5 | % | ||
Germany | 9.9 | % | ||
Switzerland | 8.8 | % | ||
South Korea | 7.1 | % | ||
Canada | 4.9 | % | ||
Brazil | 4.8 | % | ||
Mexico | 4.0 | % | ||
India | 3.6 | % | ||
Bermuda | 2.6 | % | ||
China | 2.3 | % | ||
Portugal | 2.3 | % | ||
France | 2.1 | % | ||
Australia | 2.0 | % | ||
U.S. | 1.9 | % | ||
Ireland | 1.9 | % | ||
Hungary | 1.9 | % | ||
Italy | 1.6 | % | ||
Russia | 1.6 | % | ||
Short-term Investments | 6.8 | % |
24 Certified Annual Report
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg International Value Fund
To the Trustees and Class I Shareholders of
Thornburg International Value Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg International Value Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the “Fund”) at September 30, 2004, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for Class I shares for each of the periods presented, 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 Fund’s 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 the standards of the Public Company Accounting Oversight Board (United States). Those standards 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, 2004 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 9, 2004
Certified Annual Report 25
EXPENSE EXAMPLE | ||
Thornburg International Value Fund | September 30, 2004 |
As a shareholder of the Fund, you incur two types of costs:
(1) transaction costs, including a 90-day redemption fee on Class I shares; and
(2) ongoing costs, including management and administrative fees and other Fund expenses.
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested on April 1, 2004 and held until September 30, 2004.
Actual Expenses
The first line of the table at right provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table at right provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses Paid | ||||||||||
Account Value | Account Value | During Period† | ||||||||||
4/1/04 | 9/30/04 | 4/1/04–9/30/04 | ||||||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 998.40 | $ | 4.95 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.04 | $ | 5.01 |
†Expenses are equal to the annualized expense ratio for Class I shares (0.99%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period.
* Hypothetical assumes a rate of return of 5% per year before expenses.
26 Certified Annual Report
INDEX COMPARISON | ||
Thornburg International Value Fund | September 30, 2004 |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg International Value Fund versus MSCI EAFE Index (March 30, 2001 to September 30, 2004)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended September 30, 2004
Since | ||||||||||||
1Yr | 3Yrs | Inception | ||||||||||
I Shares (Incep: 03/30/01) | 22.14 | % | 14.22 | % | 7.16 | % | ||||||
MSCI EAFE Index (Since: 03/30/01) | 22.08 | % | 9.12 | % | 2.91 | % |
Performance data reflect past performance, which is no guarantee of future results. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares.
Returns reflect the reinvestment of dividends and capital gains. There is no up-front sales charge for Class I shares.
The Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East Index (EAFE) is an unmanaged index of over 900 companies and is a generally accepted benchmark for major overseas markets. Index weightings represent the relative capitalizations of the major overseas markets included in the index on a U.S. dollar adjusted basis. The index is calculated separately: without dividends, with gross dividends reinvested and estimated tax withheld, and with gross dividends reinvested, in both U.S. dollars and local currency. Unless otherwise noted, index returns do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
Certified Annual Report 27
TRUSTEES AND OFFICERS Thornburg International Value Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
INTERESTED TRUSTEES(2)(4) | ||||
Garrett Thornburg, 58 Chairman of Trustees Trustee since 1987(3) | CEO, Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor) and Thornburg Securities Corporation (securities dealer); Chairman of Thornburg Limited Term Municipal Fund, Inc. (registered investment company) to 2004; CEO and Chairman of Thornburg Mortgage, Inc. (real estate investment trust); Chairman of Thornburg Mortgage Advisory Corporation (investment manager to Thornburg Mortgage, Inc.). | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Brian J. McMahon, 48 Trustee since 2001 President since 1997(5)(6) | President and Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | None | ||
INDEPENDENT TRUSTEES(2)(4) | ||||
David A. Ater, 59 Trustee since 1994 | Principal in Ater & Ater Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner developer and broker for various real estate projects. | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
David D. Chase, 63 Trustee since 2000 | Chairman, President, CEO, and General Partner of Vestor Partners, LP, Santa Fe, NM (private equity fund); Chairman and CEO of Vestor Holdings, Inc., Santa Fe, NM (merchant bank). | Director of Thornburg Limited Term Municipal Fund, Inc. 2001–2004 | ||
Eliot R. Cutler, 58 Trustee since 2004 | Partner, Akin, Gump, Strauss, Hauer & Feld, LLP, Washington, D.C. (law firm) since November 2000; partner, Cutler & Stanfield, Washington, D.C. (law firm) until November 2000. | Director of Thornburg Limited Term Municipal Fund, Inc. to 2004; director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Susan H. Dubin, 55 Trustee since 2004 | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations; and formerly,Vice President of Chemical Bank (predecessor to JP Morgan Chase & Co.), New York, 1974–1996. | None | ||
Forrest S. Smith, 74 Trustee since 1987 | Trust and estate attorney, of counsel to Catron, Catron & Pottow, Santa Fe, NM (law firm). | None | ||
Owen D. Van Essen, 50 Trustee since 2004 | President of Dirks,Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 45 Trustee since 1996 | Executive Vice President and Director to 2002, and since 2002; CEO and Vice Chairman, Nambé Mills, Inc., Santa Fe, NM (manufacturer). | None |
28 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg International Value Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(6)(7) | ||||
Dawn B. Fischer, 57 Secretary since 1987 | Secretary and Managing Director, Thornburg Investment Management, Inc.; Secretary, Thornburg Limited Term Municipal Fund, Inc. to 2004; Secretary, Thornburg Securities Corporation; Vice President, Daily Tax Free Income Fund, Inc. (registered investment company). | Not applicable | ||
Steven J. Bohlin, 45 Vice President, since 1987; Treasurer since 1989 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
George T. Strickland, 41 Vice President since 1996 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President (and Treasurer since 2003) of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
William V. Fries, 65 Vice President since 1995 | Vice President and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 37 Vice President since 2001 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2004. | Not applicable | ||
Kenneth Ziesenheim, 50 Vice President since 1995 | Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Securities Corporation; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Alexander Motola, 34 Vice President since 2001 | Managing Director of Thornburg Investment Management, Inc. since 2000; Portfolio Manager, Insight Capital Research & Management, Inc., Walnut Creek, California 1995–2000. | Not applicable | ||
Wendy Trevisani, 33 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 2000 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2002; Sales Representative, Solomon Smith Barney 1996–1999. | Not applicable | ||
Joshua Gonze, 41 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 1999 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Brad Kinkelaar, 36 Vice President since 1999 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 1999, Vice President since 2000, and Managing Director since 2004; Equity Investment Analyst, State Farm Insurance Companies 1996–1999. | Not applicable | ||
Kerry D. Lee, 37 Vice President since 1999 | Vice President of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable |
Certified Annual Report 29
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg International Value Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
Christopher Ihlefeld, 34 Vice President since 2003 | Associate Portfolio Manager since 1999; Vice President of Thornburg Investment Management, Inc. since 2002; Vice President of Limited Term Municipal Fund, Inc., 2003–2004. | Not applicable | ||
Leon Sandersfeld, 38 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2002; Senior Staff Accountant, Farm Bureau Life Insurance Co. 1998–2002. | Not applicable | ||
Sasha Wilcoxon, 30 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2000; and Mutual Fund Support Service Department Manager since 2002. | Not applicable | ||
Ed Maran, 46 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Analyst, USAA 2001–2002; Oil Analyst,A.G. Edwards 1997–2000. | Not applicable | ||
Vinson Walden, 34 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Associate Portfolio Manager, Ibis Management 2002–2004; Associate, Lehman Brothers, 1997–2001. | Not applicable |
(1) | Each person’s address is 119 East Marcy Street, Santa Fe, New Mexico 87501. | |||
(2) | The Fund is one of twelve separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. The Trust currently has twelve active Funds. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twelve funds of the Trust. Each Trustee oversees the twelve portfolios in the fund complex. | |||
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is a director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twelve active funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. | |||
(4) | Each Trustee serves in office until the election and qualification of a successor. | |||
(5) | Mr. McMahon is considered an “interested” Trustee because he is the president of Thornburg Investment Management, Inc. | |||
(6) | The Trust’s president, secretary and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. | |||
(7) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
30 Certified Annual Report
OTHER INFORMATION (UNAUDITED) | ||
Thornburg International Value Fund | September 30, 2004 |
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to Thornburg Investment Management, Inc. (“the Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.
Commencing August 31, 2004, information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request, on the Thornburg website at www.thornburg.com and (ii) on the Securities and Exchange Commission’s website at www.sec.gov.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund will file with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year, commencing with the calendar quarter ending December 31, 2004. The Fund’s Forms N-Q will be available on the Commission’s website at http://www.sec.gov, or may be copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg.com/download or upon request by calling 1-800-847-0200.
SHAREHOLDER MEETING INFORMATION
A special meeting (the “Meeting”) of the shareholders of Thornburg Investment Trust (the “Trust”) was held on September 13, 2004 at the offices of Thornburg Investment Management, Inc., 119 East Marcy Street, Santa Fe, New Mexico 87501. Thornburg International Value Fund is one of 12 active series or “Funds” of the Trust.
The shareholders of the Trust considered at the Meeting (i) the election of Trustees, and (ii) ratification of the selection of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm for the fiscal year ending September 30, 2004.
The Trustees elected at the Meeting were Garrett Thornburg, David A. Ater, David D. Chase, Eliot R. Cutler, Susan H. Dubin, Brian J. McMahon, Owen D. Van Essen and James W. Weyhrauch. Forrest S. Smith, a Trustee since 1987 did not stand for election; his term of office will continue through the end of 2004, when he will retire in accordance with the Trust’s Bylaws. The shareholders also ratified the appointment of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm.
The voting results for the matters voted on are set out for each Fund as follows:
Election of Trustees
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Garrett Thornburg | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,772,086.332 | 692,014.443 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,202,049.716 | 217,551.648 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,555.521 | 114,080.445 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,255,221.686 | 81,237.603 | — | — | ||||||||||||
Thornburg Value Fund | 64,672,758.966 | 447,696.934 | — | — | ||||||||||||
Thornburg International Value Fund | 59,954,867.369 | 1,241,990.622 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,135,097.039 | 21,483.205 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,943.082 | 122,916.941 | — | — | ||||||||||||
Total: | 345,469,631.406 | 3,282,138.627 | — | — |
Certified Annual Report 31
OTHER INFORMATION (UNAUDITED), CONTINUED | ||
Thornburg International Value Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
David A. Ater | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,797,094.826 | 667,005.949 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,898.015 | 244,703.349 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,174.575 | 74,750.866 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,356,553.614 | 118,082.352 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,645.960 | 84,813.329 | — | — | ||||||||||||
Thornburg Value Fund | 64,673,309.598 | 447,696.934 | — | — | ||||||||||||
Thornburg International Value Fund | 60,746,833.041 | 450,024.950 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,132,382.888 | 24,197.356 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,615.730 | 120,243.993 | — | — | ||||||||||||
Total: | 346,235,149.064 | 2,517,171.301 | — | — | ||||||||||||
David D. Chase | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,792,336.993 | 671,763.782 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,107,955.251 | 64,970.190 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,243,684.887 | 92,774.402 | — | — | ||||||||||||
Thornburg Value Fund | 64,693,947.421 | 446,508.479 | — | — | ||||||||||||
Thornburg International Value Fund | 60,752,533.146 | 444,324.845 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,837,095.494 | 116,764.229 | — | — | ||||||||||||
Total: | 346,310,480.812 | 2,461,288.921 | — | — | ||||||||||||
Eliot R. Cutler | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,785,534.542 | 678,566.233 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,449,458.366 | 232,489.857 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,199,536.657 | 220,064.707 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,111,971.636 | 60,953.805 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,350,526.614 | 124,109.352 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,250,801.917 | 85,657.372 | — | — | ||||||||||||
Thornburg Value Fund | 64,599,511.493 | 520,944.407 | — | — | ||||||||||||
Thornburg International Value Fund | 60,724,718.843 | 472,139.148 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,134,780.624 | 21,799.620 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,832,732.499 | 121,127.224 | — | — | ||||||||||||
Total: | 346,159,119.642 | 2,592,650.361 | — | — | ||||||||||||
Susan H. Dubin | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,874.816 | 670,225.959 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,198,659.272 | 220,942.092 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,110,371.636 | 62,553.805 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,372,811.385 | 101,824.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,249,237.865 | 87,221.424 | — | — |
32 Certified Annual Report
OTHER INFORMATION (UNAUDITED), CONTINUED | ||
Thornburg International Value Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Value Fund | 64,679,778.577 | 440,677.323 | — | — | ||||||||||||
Thornburg International Value Fund | 60,742,583.265 | 454,274.726 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,454.801 | 120,404.922 | — | — | ||||||||||||
Total: | 346,285,090.525 | 2,466,679.208 | — | — | ||||||||||||
Brian J. McMahon | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,795,559.677 | 668,541.098 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,205,930.716 | 213,670.648 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,104,748.707 | 68,176.734 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 102,726.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,724.960 | 84,734.329 | — | — | ||||||||||||
Thornburg Value Fund | 64,681,039.437 | 439,416.463 | — | — | ||||||||||||
Thornburg International Value Fund | 60,010,455.736 | 1,186,402.255 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,131,956.015 | 24,624.229 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,227.440 | 120,632.283 | — | — | ||||||||||||
Total: | 345,556,209.517 | 3,195,560.216 | — | — | ||||||||||||
Owen D.Van Essen | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,348.831 | 670,751.944 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,730.914 | 244,870.450 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,708.092 | 74,217.349 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,248,394.246 | 88,065.043 | — | — | ||||||||||||
Thornburg Value Fund | 64,674,135.776 | 446,320.124 | — | — | ||||||||||||
Thornburg International Value Fund | 60,684,276.889 | 512,581.102 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,962.507 | 122,897.216 | — | — | ||||||||||||
Total: | 346,178,126.548 | 2,573,643.185 | — | — | ||||||||||||
James W.Weyhrauch | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,789,717.177 | 674,383.598 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 126,726.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,254,156.818 | 82,302.471 | — | — | ||||||||||||
Thornburg Value Fund | 64,683,895.944 | 436,559.906 | — | — | ||||||||||||
Thornburg International Value Fund | 60,726,245.097 | 470,612.894 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,836,311.264 | 117,548.459 | — | — | ||||||||||||
Total: | 346,278,127.848 | 2,497,641.885 | — | — |
Certified Annual Report 33
OTHER INFORMATION (UNAUDITED), CONTINUED | ||
Thornburg International Value Fund | September 30, 2004 |
Ratification of Selection of Independent Registered Public Accounting Firm
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Limited Term Municipal Fund | 89,266,423.303 | 430,123.930 | 767,553.542 | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,354,990.466 | 167,198.030 | 159,759.457 | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 27,957,900.165 | 174,857.659 | 286,893.540 | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,067,166.377 | 1,155.000 | 104,604.064 | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,911,733.415 | 6,868.306 | 9,157.121 | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,784,834.660 | 23,509.648 | 38,241.937 | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,583.780 | 33,945.016 | 80,017.170 | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,123,259.928 | 57,081.625 | 156,117.736 | — | ||||||||||||
Thornburg Value Fund | 64,569,333.454 | 212,238.433 | 338,884.013 | — | ||||||||||||
Thornburg International Value Fund | 60,444,286.231 | 343,771.766 | 408,700.994 | — | ||||||||||||
Thornburg Core Growth Fund | 6,110,013.492 | 32,603.465 | 13,963.287 | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,812,877.547 | 40,509.369 | 100,472.807 | — | ||||||||||||
Totals | 344,763,402.818 | 1,523,862.247 | 2,464,365.668 | — |
34 Certified Annual Report
Thornburg Core Growth Fund
September 30, 2004
Table of Contents | ||||
10 | ||||
13 | ||||
14 | ||||
16 | ||||
17 | ||||
20 | ||||
24 | ||||
26 | ||||
27 | ||||
28 | ||||
29 | ||||
32 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
Certified Annual Report 9
Letter to Shareholders
Alex M.V. Motola, CFA
Portfolio Manager
October 20, 2004
Dear Fellow Shareholder:
The Thornburg Core Growth Fund class A shares rose 0.74% in the third quarter, declined 0.46% year to date (2004) and increased in value by 7.52% over the past twelve months. The Nasdaq Composite declined 7.24% in the third quarter, declined 4.98% for the year, and rose 6.71% over the past twelve months. The Russell 1000 Growth declined 5.23% in the third quarter, declined 2.63% to date, and rose 7.51% over the past twelve months. The median Lipper Multi-Cap Growth Fund lost 4.53% in the third quarter, 1.05% year to date, and gained 9.69% over the past twelve months.
Since the inception of this Fund, our goal has been to provide competitive returns in all market environments. Our approach to realize this goal has been to own a diversified yet concentrated portfolio of promising, well-researched companies. I think, so far, we have delivered on this goal, and we continue to improve our investment process incrementally. Since the Fund started in late 2000, we have had consistent success relative to our benchmarks and peer group. The Thornburg Core Growth Fund also received recognition from Lipper for consistent returns that topped the multi-cap growth category.
Over the past twelve months, our biggest contributors to total return have been a blend of long-term holdings, recent buys, and participation in two initial public offerings (IPOs). Of the top ten performers, three are long-term holdings that remain in the Fund. UnitedHealth Group, which was purchased when we started the Fund in December 2000, has rewarded shareholders over the past months. Two other contributors, Affiliated Managers Group and Gilead Sciences, have been held longer than two years.
Gilead Sciences returned 33% over the past twelve months, outperforming our benchmark indices as well as the Fund as a whole. Concerns surrounding the company’s drug Viread, a treatment for HIV, had the shares down from their peak in mid 2003. Pharmaceutical distributors, like Cardinal Health, were stocking the drug ahead of announced price increases. This caused volatility in reported sales of Viread; the second quarter of 2003 was an “inventory stocking” period where Viread sales were much higher than demand would have predicted ($167m); the third quarter of 2003 saw an “inventory draw-down” which led to lower sales than expected ($115m). While the stock did trade down during that period, we remained confident in our investment thesis and were able to buy additional shares in November, December and January.
We have been excited about Viread for some time. The drug, which launched in 2001, is one of the three parts of the AIDS cocktail. Viread has shown better efficacy and a better side effect profile than competing drugs and is only required to be taken once daily, easing the treatment regimen for HIV-infected patients (source: Gilead Study 934). Our conversations with doctors have confirmed how important it is to prescribe a treatment regimen that is easy for patients to follow. While Viread is already the most-prescribed HIV drug, Gilead should continue to gain share in the HIV market with their combination pill Truvada, which was launched during the most recent quarter. That pill combines two parts of the AIDS cocktail in a single pill taken once daily. Truvada and a yet unnamed future product that will combine all three components of the AIDS cocktail should, in our opinion, allow Gilead to create a billion-dollar HIV-treatment franchise and grow profitably as they continue to work on their early stage pipeline.
10 Certified Annual Report
Growth investors rarely participate in commodity rallies. The Fund did own Evergreen Resources, which was acquired in September of 2004 (the deal was announced in May of 2004, and we sold shortly thereafter — the premium was virtually non-existent; the acquirer, Pioneer, held no attraction for us; and there was almost no merger arbitrage opportunity). This was actually a disappointment, since Evergreen had scarce assets and little premium was paid. Although the stock did not ultimately reach our target price before we sold it, we profited from the stock’s rise. Two IPOs helped performance, both recently — NAVTEQ and Google. NAVTEQ provides digital map database software for use in many vehicle navigation systems, geographic information systems, and location-based services. NAVTEQ has over 90% market share in the United States, and nearly as much in Europe.
We bought Google at its IPO. Conventional wisdom indicated that their auction-based IPO process was ridiculous, and supposedly, investment professionals knew better than to get involved. I guess we didn’t know better, because we felt that this was a chance to do a couple of neat things — we got to value a company without any guidance from investment banks and put in tiered bids (i.e., we could put in orders for different share amounts at different prices). We had a chance to get a material allocation of a high quality IPO. This was an opportunity to truly practice our craft — analyzing and valuing growth companies. As Google was nearing our price target, we sold it, so you won’t see it in the portfolio today. However, we continue to closely monitor Google’s developments.
Of the ten stocks that hurt performance the most over the past twelve months, only two remain in the portfolio as of this writing: ASE Test and NetEase. In fact, we sold NetEase to recognize the capital loss and repurchased it just over 30 days later. Because we like the company’s end markets and wanted to remain exposed to the strong growth there, we purchased Shanda when we sold NetEase. Shanda has been one of the best performing stocks in the portfolio since it was added.
Looking over the ten worst performing stocks, the focal points are semiconductors and Asia. We have stayed away from semiconductors throughout much of the life of this Fund, but the lesson that cheap stocks can get cheaper hasn’t changed over the past year. More recently, I rationalized some of the semiconductor holdings, and performance has improved on a relative basis.
We sold ten stocks during the course of the third quarter: NetEase, Samsung, E*Trade, Silicon Labs, Life Time Fitness, Mobile Telesystems, Platinum Underwriters, August Technologies, Google, and Martek Biosciences. Of these ten sales, only two were sold because they hit their target prices. Six of the stocks were sold based on deteriorating fundamentals — situations where we proactively sold the stocks before the adverse situation changes became apparent to the market. To me, this is a very important part of our investment approach — we want to sell stocks when our investment thesis is violated. This continued adherence to our buy and sell discipline helps the Thornburg Core Growth Fund differentiate itself from its competition.
In addition to NetEase and Google, Martek Biosciences was also bought and sold in the quarter. Martek Biosciences was purchased based on several factors: demand for the company’s product exceeding their ability to meet it, patent protection of a value-added product, and valuation. It was sold because our opinion changed regarding the rate the company would be able to add capacity. From my perspective, this was a good investment because (1) given a similar situation in the future, we would invest, (2) we had a developed thesis and were able to evaluate the progress of the company to that thesis, and (3) we ultimately decided we were wrong and sold the stock at a modest profit.
Certified Annual Report 11
Letter to Shareholders
Continued |
Other stocks purchased during the quarter include Cymer Inc., Shenzen Chiwan Wharf Holdings Ltd., SBA Communications Corp., Imax Corp., and Pfizer Inc.
Stocks received at their IPOs contributed positively to the results for the quarter and the trailing twelve-month results. As a result of the Fund’s participation in the new offering market, performance improved by 1.73% for the quarter and 2.39% for the fiscal year ended September 30, 2004. The effects of offerings in prior periods are disclosed in prior quarterly reports. Obviously, we received a material positive benefit by participating in offerings, particularly in the most recent quarter. We continue to pursue our strategy of selectively investing in IPOs with strong fundamentals and attractive valuations.
Our motto is “Core Strategies for Serious Investors.” We believe the Thornburg Core Growth Fund continues to fulfill its mandate as a growth oriented-investment vehicle that can form part of the nucleus of an asset allocation strategy. Our focus is on trying to maximize long term after-tax returns while controlling risk. We encourage you to learn more about your portfolio. Descriptions of holdings and links to company websites can be found by pointing your Internet browser to www.thornburg.com/funds. Thank you for investing in the Thornburg Core Growth Fund.
Regards,
Alexander M.V. Motola, CFA
Portfolio Manager
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each Fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager, and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
12 Certified Annual Report
STATEMENT OF ASSETS AND LIABILITIES
Thornburg Core Growth Fund | September 30, 2004 |
ASSETS | ||||
Investments at value (cost $68,891,434) | $ | 76,097,466 | ||
Cash | 567,337 | |||
Receivable for securities sold | 4,514,860 | |||
Receivable for fund shares sold | 354,346 | |||
Dividends receivable | 36,282 | |||
Prepaid expenses and other assets | 27,795 | |||
Total Assets | 81,598,086 | |||
LIABILITIES | ||||
Payable for securities purchased | 4,222,465 | |||
Payable for fund shares redeemed | 77,918 | |||
Payable to investment advisor and other affiliates (Note 3) | 67,085 | |||
Accounts payable and accrued expenses | 44,700 | |||
Total Liabilities | 4,412,168 | |||
NET ASSETS | $ | 77,185,918 | ||
NET ASSETS CONSIST OF: | ||||
Undistributed net investment gain (loss) | $ | (7,546 | ) | |
Net unrealized appreciation (depreciation) on investments | 7,206,032 | |||
Accumulated net realized gain (loss) | (2,287,918 | ) | ||
Net capital paid in on shares of beneficial interest | 72,275,350 | |||
$ | 77,185,918 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($40,899,056 applicable to 3,762,106 shares of beneficial interest outstanding — Note 4) | $ | 10.87 | ||
Maximum sales charge, 4.50% of offering price | 0.51 | |||
Maximum Offering Price Per Share | $ | 11.38 | ||
Class C Shares: | ||||
Net asset value and offering price per share * ($14,692,659 applicable to 1,397,681 shares of beneficial interest outstanding — Note 4) | $ | 10.51 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($21,578,406 applicable to 1,973,687 shares of beneficial interest outstanding — Note 4) | $ | 10.93 | ||
Class R-1 Shares: | ||||
Net asset value, offering and redemption price per share ($15,798 applicable to 1,450 shares of beneficial interest outstanding — Note 4) | $ | 10.90 | ||
*Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See notes to financial statements.
Certified Annual Report 13
STATEMENT OF OPERATIONS
Thornburg Core Growth Fund | Year Ended September 30, 2004 |
INVESTMENT INCOME | ||||
Dividend income (net of foreign taxes withheld of $11,947) | $ | 148,565 | ||
Interest income | 10,660 | |||
Total Income | 159,225 | |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 578,186 | |||
Administration fees (Note 3) | ||||
Class A Shares | 49,470 | |||
Class C Shares | 15,158 | |||
Class I Shares | 7,187 | |||
Class R-1 Shares | 3 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 99,699 | |||
Class C Shares | 122,398 | |||
Class R-1 Shares | 13 | |||
Transfer agent fees | ||||
Class A Shares | 96,030 | |||
Class C Shares | 32,588 | |||
Class I Shares | 17,446 | |||
Class R-1 Shares | 3,106 | |||
Registration & filing fees | ||||
Class A Shares | 10,443 | |||
Class C Shares | 7,546 | |||
Class I Shares | 10,245 | |||
Class R-1 Shares | 14,210 | |||
Custodian fees (Note 3) | 56,165 | |||
Professional fees | 18,009 | |||
Accounting fees | 1,462 | |||
Trustee fees | 1,707 | |||
Other expenses | 43,717 | |||
Total Expenses | 1,184,788 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (70,059 | ) | ||
Management fees waived by investment advisor (Note 3) | (41,228 | ) | ||
Expenses paid indirectly (Note 3) | (7,015 | ) | ||
Net Expenses | 1,066,486 | |||
Net Investment Income (Loss) | $ | (907,261 | ) | |
14 Certified Annual Report
STATEMENT OF OPERATIONS, CONTINUED
Thornburg Core Growth Fund | Year Ended September 30, 2004 |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments | $ | (61,620 | ) | |
Foreign currency transactions | (7,546 | ) | ||
(69,166 | ) | |||
Net change in unrealized appreciation on: | ||||
Investments | 3,816,240 | |||
Net Realized and Unrealized Gain (Loss) on Investments | 3,747,074 | |||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 2,839,813 | ||
See notes to financial statements.
Certified Annual Report 15
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Core Growth Fund
Year Ended | Year Ended | |||||||
September 30, 2004 | September 30, 2003 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment gain (loss) | $ | (907,261 | ) | $ | (256,573 | ) | ||
Net realized gain (loss) on investments and foreign currency transactions | (69,166 | ) | 2,052,999 | |||||
Increase (Decrease) in unrealized appreciation on investments | 3,816,240 | 4,261,917 | ||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,839,813 | 6,058,343 | ||||||
FUND SHARE TRANSACTIONS — (NOTE 4) | ||||||||
Class A Shares | 2,225,643 | 25,630,774 | ||||||
Class C Shares | 7,120,528 | 4,106,879 | ||||||
Class I Shares | 21,612,285 | 0 | ||||||
Class R-1 Shares | 14,604 | 75 | ||||||
Net Increase (Decrease) in Net Assets | 33,812,873 | 35,796,071 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 43,373,045 | 7,576,974 | ||||||
End of year | $ | 77,185,918 | $ | 43,373,045 | ||||
See notes to financial statements.
16 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS
Thornburg Core Growth Fund | September 30, 2004 |
NOTE 1 — ORGANIZATION
Thornburg Core Growth Fund, hereinafter referred to as the “Fund,” is a diversified series of Thornburg Investment Trust (the “Trust”). The Fund commenced operations on December 27, 2000. The Trust was 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 eleven series of shares of beneficial interest in addition to those of the Fund: Thornburg California Limited Term Municipal Fund, Thornburg Limited Term Municipal Fund, Thornburg Limited Term U.S. Government Fund, Thornburg New Mexico Intermediate Municipal Fund, Thornburg Intermediate Municipal Fund, Thornburg Limited Term Income Fund, Thornburg Value Fund, Thornburg International Value Fund, Thornburg Florida Intermediate Municipal Fund, Thornburg New York Intermediate Municipal Fund, and Thornburg Investment Income Builder Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing primarily in domestic equity securities selected for their growth potential.
The Fund currently offers four classes of shares of beneficial interest, Class A, Class C, Institutional Class (Class I), and Retirement Class (Class R-1) shares. Each class of shares of the 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 contingent deferred sales charge upon redemption within one year, and bear both 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, (iv) Class R-1 shares are sold at net asset value without a sales charge at the time of purchase but bear both a service fee and a distribution fee, and (iv) the respective classes have different reinvestment privileges. Additionally, the 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 administration and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees and certain registration and transfer agent expenses.
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Fund are as follows: Valuation of Securities: In determining net asset value, investments are stated at value based on latest sales prices, normally at 4:00 pm EST, reported on national securities exchanges on the last business day of the period. Investments for which no sale is reported are valued at the mean between bid and asked prices. Securities for which market quotations are not readily available are valued at fair value as determined by management and approved in good faith by the Board of Trustees. Short term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
Options Transactions: The Fund may buy or write put and call options through listed exchanges and the over-the-counter market. The buyer has the right to purchase (in the case of a call option) or sell (in the case of a put option) a specified quantity of a specific security or other underlying asset at a specified price prior to or on a specified expiration date. The writer of an option is exposed to the risk of loss if the market price of the underlying asset declines (in the case of a put option) or increases (in the case of a call option). The writer of an option can never profit by more than the premium paid by the buyer but can lose an unlimited amount. The writer also has the additional risk of not being able to enter into a closing transaction if a liquid secondary market does not exist.
Premiums received/paid from writing/purchasing options are recorded as liabilities/assets on the Statement of Assets and Liabilities, and are subsequently adjusted to current values. The difference between the current value of an option and the premium received/paid is treated as an unrealized gain or loss.
When a purchased option expires on its stipulated expiration date or when a closing transaction is entered into, the premium paid on the purchase of the option is treated by the Fund as a realized loss. When a written option expires on its stipulated expiration date or when a closing transaction is entered into, the related liability is extinguished and the Fund realizes a gain (loss if the cost of the closing transaction exceeds the premium received when the option was written).
Foreign Currency Translation: Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against the U.S. dollar on the date of valuation. Purchases and sales of securities and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the translation date. When the Fund purchases or sells foreign securities it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in 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.
Federal Income Taxes: It is the policy of the Fund to comply with the provisions of the Internal Revenue Code applicable to
Certified Annual Report 17
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Core Growth Fund | September 30, 2004 |
“regulated investment companies” and to distribute all of its taxable income to its shareholders. Therefore, no provision for Federal income tax is required.
Dividends: Dividends to shareholders are generally paid quarterly and are reinvested in additional shares of the Fund 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 realized capital gains, to the extent available, will be distributed at least annually. Distributions to shareholders are based on income tax regulations and therefore, their characteristics may differ for financial statement and tax purposes.
General: Securities transactions are accounted for on a trade date basis. Interest income is accrued as earned and dividend income is recorded on the ex-dividend date. Certain income from foreign securities is recognized as soon as information is available to the Fund. Realized gains and losses from the sale of securities are recorded on an identified cost basis. Net investment income, other than class specific expenses, and realized and unrealized gains and losses, are allocated daily to each class of shares based upon the relative net asset value of outstanding shares of each class of shares at the beginning of the day (after adjusting for the current share activity of the respective class). Expenses common to all funds are allocated among the funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
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 “Advisor”) serves as the investment advisor and performs services to the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2004, these fees were payable at annual rates ranging from .875 of 1% to .675 of 1% of the average daily net assets of the Fund depending on the Fund’s asset size. For the year ended September 30, 2004, the Advisor voluntarily waived investment advisory fees of $41,228. The Fund also has an administrative services agreement with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% of the average daily net assets attributable to each class of shares. For the year ended September 30, 2004, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $8,070 for Class A shares, $8,690 for Class C shares, $35,978 for Class I shares, and $17,321 for Class R-1 shares.
The Fund has an underwriting agreement with Thornburg Securities Corporation (the “Distributor,” an affiliate of the advisor), which acts as the Distributor of the Fund’s shares. For the year ended September 30, 2004, the Distributor has advised the Fund that it earned commissions aggregating $46,601 from the sale of Class A shares of the Fund and collected contingent deferred sales charges aggregating $4,560 from redemptions of Class C shares of the Fund.
Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of its average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder related services. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
The Fund has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Fund’s Class C and Class R-1 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C and Class R-1 shares of the Fund at an annual rate of up to .75 of 1% of the average daily net assets attributable to Class C and Class R-1 shares. Total fees incurred by each class of shares of the Fund under its respective Service and Distribution Plans are set forth in the Statement of Operations.
The Fund has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees have been adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the statement of operations. For the year ended September 30, 2004, the fees paid indirectly were 7,015.
Certain officers and trustees of the Trust are also officers and/or directors of the Advisor and Distributor. The compensation of unaffiliated trustees is borne by the Trust.
At September 30, 2004, 16.3% of the Fund’s shares were owned by the Advisor and other affiliates of the Fund.
18 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Core Growth Fund | September 30, 2004 |
NOTE 4 — SHARES OF BENEFICIAL INTEREST
At September 30, 2004 there were an unlimited number of shares of beneficial interest authorized. Sales of Class I shares commenced November 1, 2003. Transactions in shares of beneficial interest were as follows:
Year Ended | Year Ended | |||||||||||||||
September 30, 2004 | September 30, 2003 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 2,600,930 | $ | 28,184,218 | 3,221,438 | $ | 29,901,018 | ||||||||||
Shares repurchased** | (2,423,327 | ) | (25,958,575 | ) | (517,802 | ) | (4,270,244 | ) | ||||||||
Net Increase (Decrease) | 177,603 | $ | 2,225,643 | 2,703,636 | $ | 25,630,774 | ||||||||||
** | The Fund charges a redemption fee of 1% of the Class A shares exchanged within 90 days of purchase. For the year ended September 30, 2004 and year ended September 30, 2003, $19,941 and $29,916, respectively, were netted in the amount reported for shares repurchased. |
Class C Shares | ||||||||||||||||
Shares sold | 872,281 | $ | 9,164,316 | 596,335 | $ | 5,369,114 | ||||||||||
Shares repurchased | (199,986 | ) | (2,043,788 | ) | (167,711 | ) | (1,262,235 | ) | ||||||||
Net Increase (Decrease) | 672,295 | $ | 7,120,528 | 428,624 | $ | 4,106,879 | ||||||||||
Class I Shares* | ||||||||||||||||
Shares sold | 2,027,702 | $ | 22,189,316 | — | $ | — | ||||||||||
Shares repurchased ** | (54,015 | ) | (577,031 | ) | — | — | ||||||||||
Net Increase (Decrease) | 1,973,687 | $ | 21,612,285 | — | $ | — | ||||||||||
* | Effective date of Class I shares was November 1, 2003. | |||
** | The Fund charges a redemption fee of 1% of the Class I shares exchanged within 90 days of purchase. For the period ended September 30, 2004, $474 was netted in the amount reported for shares repurchased. |
Class R-1 Shares | ||||||||||||||||
Shares sold | 1,444 | $ | 14,629 | 8 | $ | 75 | ||||||||||
Shares repurchased | (2 | ) | (25 | ) | — | — | ||||||||||
Net Increase (Decrease) | 1,442 | $ | 14,604 | 8 | $ | 75 | ||||||||||
NOTE 5 — SECURITIES TRANSACTIONS
For the year ended September 30, 2004 the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $99,830,216 and $69,909,137, respectively.
NOTE 6 — INCOME TAXES
At September 30, 2004, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 69,032,910 | ||
Gross unrealized appreciation on a tax basis | $ | 9,874,150 | ||
Gross unrealized depreciation on a tax basis | (2,809,594 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 7,064,556 | ||
At September 30, 2004, the Fund did not have any undistributed ordinary net income or undistributed capital gains.
At September 30, 2004, the Fund had deferred tax basis currency and capital losses occurring subsequent to October 31, 2003 of $7,546 and $802,518 respectively. For tax purposes, such losses will be reflected in the year ending September 30, 2005.
At September 30, 2004, the Fund had tax basis capital losses of $1,343,924, which may be carried over to offset future capital gains. To the extent such carry forwards are used, capital gains distributions may be reduced to the extent provided by regulations. Such losses expire September 30, 2010.
The Fund utilized $936,458 of its capital loss carry forward during the year ended September 30, 2004.
In order to account for permanent book/tax differences, the Fund decreased net capital paid in on shares of beneficial interest by $909,297, decreased accumulated net realized investment (loss) by $7,546, and decreased overdistribution of net investment income (loss) by $901,751. This reclassification has no impact on the net asset value of the Fund. Reclassifications result primarily from net operating loss and currency losses.
Certified Annual Report 19
FINANCIAL HIGHLIGHTS
Thornburg Core Growth Fund
Year Ended | Period Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2004 | 2003 | 2002 | 2001(c) | |||||||||||||
Class A Shares: | ||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||
Net asset value, beginning of period | $ | 10.11 | $ | 6.45 | $ | 7.80 | $ | 11.94 | ||||||||
Income from investment operations: | ||||||||||||||||
Net investment income (loss) | (0.15 | ) | (0.13 | ) | (0.12 | ) | (0.08 | ) | ||||||||
Net realized and unrealized gain (loss) on investments | 0.90 | 3.77 | (1.23 | ) | (4.06 | ) | ||||||||||
Total from investment operations | 0.75 | 3.64 | (1.35 | ) | (4.14 | ) | ||||||||||
Redemption fees added to paid in capital | 0.01 | 0.02 | — | — | ||||||||||||
Change in net asset value | 0.76 | 3.66 | (1.35 | ) | (4.14 | ) | ||||||||||
NET ASSET VALUE, end of period | $ | 10.87 | $ | 10.11 | $ | 6.45 | $ | 7.80 | ||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||
Total return (a) | 7.52 | % | 56.74 | % | (17.31 | )% | (34.67 | )% | ||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) | (1.37 | )% | (1.43 | )% | (1.44 | )% | (1.02) | %(b) | ||||||||
Expenses, after expense reductions | 1.62 | % | 1.65 | % | 1.64 | % | 1.71 | %(b) | ||||||||
Expenses, after expense reductions and net of custody credits | 1.61 | % | 1.63 | % | 1.63 | % | — | |||||||||
Expenses, before expense reductions | 1.70 | % | 2.03 | % | 2.39 | % | 2.80 | %(b) | ||||||||
Portfolio turnover rate | 108.50 | % | 102.91 | % | 212.17 | % | 126.15 | % | ||||||||
Net assets at end of period (000) | $ | 40,899 | $ | 36,247 | $ | 5,685 | $ | 6,337 |
(a) | Sales loads are not reflected in computing total return, which is not annualized for periods less than one year. | |||
(b) | Annualized. | |||
(c) | Fund commenced operations on December 27, 2000. | |||
+ | Based on weighted average shares outstanding. |
20 Certified Annual Report
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Core Growth Fund
Year Ended | Period Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2004 | 2003 | 2002 | 2001(b) | |||||||||||||
Class C Shares: | ||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||
Net asset value, beginning of period | $ | 9.85 | $ | 6.38 | $ | 7.76 | $ | 11.94 | ||||||||
Income from investment operations: | ||||||||||||||||
Net investment income (loss) | (0.22 | ) | (0.18 | ) | (0.18 | ) | (0.13 | ) | ||||||||
Net realized and unrealized gain (loss) on investments | 0.88 | 3.65 | (1.20 | ) | (4.05 | ) | ||||||||||
Total from investment operations | 0.66 | 3.47 | (1.38 | ) | (4.18 | ) | ||||||||||
Change in net asset value | 0.66 | 3.47 | (1.38 | ) | (4.18 | ) | ||||||||||
NET ASSET VALUE, end of period | $ | 10.51 | $ | 9.85 | $ | 6.38 | $ | 7.76 | ||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||
Total return (c) | 6.70 | % | 54.39 | % | (17.78 | )% | (35.01 | )% | ||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) | (2.13 | )% | (2.19 | )% | (2.19 | )% | (1.78) | %(a) | ||||||||
Expenses, after expense reductions | 2.38 | % | 2.40 | % | 2.39 | % | 2.49 | %(a) | ||||||||
Expenses, after expense reductions and net of custody credits | 2.37 | % | 2.38 | % | 2.38 | % | — | |||||||||
Expenses, before expense reductions | 2.52 | % | 3.35 | % | 3.45 | % | 4.43 | %(a) | ||||||||
Portfolio turnover rate | 108.50 | % | 102.91 | % | 212.17 | % | 126.15 | % | ||||||||
Net assets at end of period (000) | $ | 14,693 | $ | 7,146 | $ | 1,892 | $ | 2,216 |
(a) | Annualized. | |||
(b) | Fund commenced operations on December 27, 2000. | |||
(c) | Total return is not annualized for periods less than one year. | |||
+ | Based on weighted average shares outstanding. |
Certified Annual Report 21
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Core Growth Fund
Period Ended | ||||
September 30, | ||||
2004(c) | ||||
Class I Shares: | ||||
PER SHARE PERFORMANCE | ||||
(for a share outstanding throughout the period) | ||||
Net asset value, beginning of period | $ | 10.87 | ||
Income from investment operations: | ||||
Net investment income (loss) | (0.08 | ) | ||
Net realized and unrealized gain (loss) on investments | 0.14 | |||
Total from investment operations | 0.06 | |||
Change in net asset value | 0.06 | |||
NET ASSET VALUE, end of period | $ | 10.93 | ||
RATIOS/SUPPLEMENTAL DATA | ||||
Total return (a) | 0.55 | % | ||
Ratios to average net assets: | ||||
Net investment income (loss) | (0.74) | %(b) | ||
Expenses, after expense reductions | 1.00 | %(b) | ||
Expenses, after expense reductions and net of custody credits | 0.99 | %(b) | ||
Expenses, before expense reductions | 1.31 | %(b) | ||
Portfolio turnover rate | 108.50 | % | ||
Net assets at end of period (000) | $ | 21,578 |
(a) | Total Return is not annualized for periods less than one year. | |||
(b) | Annualized. | |||
(c) | Effective date of Class I Shares was November 1, 2003. |
22 Certified Annual Report
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Core Growth Fund
Year Ended | Period Ended | |||||||
September 30, | September 30, | |||||||
2004 | 2003(c) | |||||||
Class R-1 Shares: | ||||||||
PER SHARE PERFORMANCE | ||||||||
(for a share outstanding throughout the period) | ||||||||
Net asset value, beginning of period | $ | 10.11 | $ | 9.59 | ||||
Income from investment operations: | ||||||||
Net investment income (loss) | (0.12 | ) | (0.03 | ) | ||||
Net realized and unrealized gain (loss) on investments | 0.91 | 0.55 | ||||||
Total from investment operations | 0.79 | 0.52 | ||||||
Change in net asset value | 0.79 | 0.52 | ||||||
NET ASSET VALUE, end of period | $ | 10.90 | $ | 10.11 | ||||
RATIOS/SUPPLEMENTAL DATA | ||||||||
Total return (a) | 7.81 | % | 5.42 | % | ||||
Ratios to average net assets: | ||||||||
Net investment income (loss) | (1.17 | )% | (1.06) | %(b) | ||||
Expenses, after expense reductions | 1.50 | % | 1.65 | %(b) | ||||
Expenses, after expense reductions and net of custody credits | 1.49 | % | 1.65 | %(b) | ||||
Expenses, before expense reductions | 722.79 | %* | 22,219.77 | %(b)* | ||||
Portfolio turnover rate | 108.50 | % | 102.91 | % | ||||
Net assets at end of period (000) | $ | 16 | $ | — | (d) |
(a) | Total Return is not annualized for periods less than one year. | |||
(b) | Annualized. | |||
(c) | Effective date of Class R-1 Shares was July 1, 2003. | |||
(d) | Net assets at end of year were less than $1,000. | |||
* | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
Certified Annual Report 23
SCHEDULE OF INVESTMENTS
Thornburg Core Growth Fund | September 30, 2004 |
CUSIPS: CLASS A — 885-215-582, CLASS C — 885-215-574, CLASS I — 885-215-475, CLASS R-1 — 885-215-517
NASDAQ SYMBOLS: CLASS A — THCGX , CLASS C — TCGCX, CLASS I — THIGX, CLASS R-1 THCRX
Shares | Value | |||||||
COMMON STOCKS — 100.00% | ||||||||
CONSUMER DURABLES & APPAREL (6.50%) | ||||||||
Carter’s Inc. + | 79,400 | $ | 2,198,586 | |||||
Tempur-Pedic International Inc. + | 183,775 | 2,754,787 | ||||||
DIVERSIFIED FINANCIALS (9.60%) | ||||||||
Affiliated Managers Group Inc. + | 47,725 | 2,555,196 | ||||||
Capital One Financial Corp. | 29,885 | 2,208,502 | ||||||
Investors Financial Services Corp. | 56,505 | 2,550,071 | ||||||
HEALTH CARE EQUIPMENT & SERVICES (23.30%) | ||||||||
Anthem Inc. + | 31,300 | 2,730,925 | ||||||
Boston Scientific Corp. + | 62,920 | 2,499,812 | ||||||
Caremark Rx Inc. + | 72,500 | 2,325,075 | ||||||
Cytyc Corp. + | 95,800 | 2,313,570 | ||||||
DataTRAK International Inc. + | 130,400 | 1,330,210 | ||||||
eResearch Technology Inc. + | 95,000 | 1,266,350 | ||||||
Golden Meditech Co. Ltd. | 3,480,000 | 754,184 | ||||||
Guidant Corp. | 43,000 | 2,839,720 | ||||||
UnitedHealth Group Inc. | 22,375 | 1,649,932 | ||||||
MEDIA (8.00%) | ||||||||
Comcast Corp. + | 80,100 | 2,236,392 | ||||||
DIRECTV Group Inc. + | 158,200 | 2,782,738 | ||||||
Imax Corp. + | 191,700 | 1,079,271 | ||||||
PHARMACEUTICALS & BIOTECHNOLOGY (10.60%) | ||||||||
Amgen Inc. + | 46,900 | 2,658,292 | ||||||
Gilead Sciences Inc. + | 73,500 | 2,747,430 | ||||||
Pfizer Inc. | 86,000 | 2,631,600 | ||||||
RETAILING (2.50%) | ||||||||
GameStop Corp. + | 103,950 | 1,924,115 | ||||||
SOFTWARE & SERVICES (17.00%) | ||||||||
Amdocs Ltd. + | 111,050 | 2,424,222 | ||||||
Eclipsys Corp. + | 158,039 | 2,465,408 | ||||||
NAVTEQ Corp. + | 59,130 | 2,107,393 | ||||||
Netease.com Inc. + | 48,800 | 1,850,984 | ||||||
Open Solutions Inc. + | 71,400 | 1,782,858 | ||||||
Shanda Interactive Entertainment Ltd. + | 95,600 | 2,294,400 | ||||||
TECHNOLOGY — HARDWARE & EQUIPMENT (13.20%) | ||||||||
ASE Test Ltd. + | 239,580 | 1,257,795 | ||||||
Atheros Communications Inc. + | 181,000 | 1,846,200 | ||||||
Cymer Inc. + | 68,800 | 1,971,808 | ||||||
Dell Inc. + | 64,600 | 2,299,760 | ||||||
Ditech Communications Corp. + | 78,400 | 1,755,376 | ||||||
SBA Communications Corp. + | 126,600 | 886,200 |
24 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Core Growth Fund | September 30, 2004 |
Shares | Value | |||||||
TELECOMMUNICATION SERVICES (5.60%) | ||||||||
Nextel Communications Inc. + | 112,100 | $ | 2,672,464 | |||||
NII Holdings Inc. + | 38,945 | 1,604,923 | ||||||
TRANSPORTATION (3.70%) | ||||||||
JetBlue Airways Corp. + | 64,000 | 1,338,880 | ||||||
Shenzhen Chiwan Wharf Holdings Ltd. | 859,988 | 1,502,037 | ||||||
TOTAL COMMON STOCKS (Cost $68,891,434) | 76,097,466 | |||||||
TOTAL INVESTMENTS (100%) (Cost $68,891,434) | $ | 76,097,466 | ||||||
+ Non-income producing. See notes to financial statements. |
INDUSTRY EXPOSURE
As of 9/30/04
Health Care Equipment & Services | 23.3 | % | ||
Software & Services | 17.0 | % | ||
Technology — Hardware & Equipment | 13.2 | % | ||
Pharmaceuticals & Biotechnology | 10.6 | % | ||
Diversified Financials | 9.6 | % | ||
Media | 8.0 | % | ||
Consumer Durables & Apparel | 6.5 | % | ||
Telecommunication Services | 5.6 | % | ||
Transportation | 3.7 | % | ||
Retailing | 2.5 | % |
Certified Annual Report 25
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Core Growth Fund
To the Trustees and Shareholders of
Thornburg Core Growth Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg Core Growth Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the “Fund”) at September 30, 2004, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, 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 Fund’s 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 the standards of the Public Company Accounting Oversight Board (United States). Those standards 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, 2004 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 9, 2004
26 Certified Annual Report
EXPENSE EXAMPLE
Thornburg Core Growth Fund | September 30, 2004 |
As a shareholder of the Fund, you incur two types of costs:
(1) transaction costs, including
(a) sales charges (loads) on purchase payments for Class A shares,
(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase,
(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase,
(d) a 90-day redemption fee on Class A and Class I shares; and
(2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses.
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested on April 1, 2004 and held until September 30, 2004.
Actual Expenses
The first line of the table at right provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table at right provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Beginning | Ending | Expenses Paid | ||||||||||
Account Value | Account Value | During Period† | ||||||||||
4/1/04 | 9/30/04 | 4/1/04–9/30/04 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 989.10 | $ | 8.10 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,016.85 | $ | 8.22 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 985.00 | $ | 11.73 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,013.18 | $ | 11.90 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 991.80 | $ | 4.93 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.05 | $ | 5.00 | ||||||
Class R-1 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 990.90 | $ | 7.40 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.57 | $ | 7.50 |
†Expenses are equal to the annualized expense ratio for each class (A: 1.63%; C: 2.36%; I: 0.99%; and R-1: 1.49%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period.
*Hypothetical assumes a rate of return of 5% per year before expenses.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Certified Annual Report 27
INDEX COMPARISON
Thornburg Core Growth Fund | September 30, 2004 |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Core Growth Fund versus NASDAQ Composite Index (December 27, 2000 to September 30, 2004)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended September 30, 2004 (with sales charge)
Since | ||||||||||||
1 Yr | 3 Yrs | Inception | ||||||||||
A Shares (Incep: 12/27/00) | 2.64 | % | 9.99 | % | -3.65 | % | ||||||
C Shares (Incep: 12/27/00) | 5.70 | % | 10.64 | % | -3.33 | % | ||||||
R-1 Shares (Incep: 7/01/03) | 7.81 | % | — | 10.77 | % | |||||||
NASDAQ Composite Index (Since: 12/27/00) | 6.71 | % | 8.64 | % | -7.07 | % |
Performance data reflect past performance, which is no guarantee of future results. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares.
Returns reflect the reinvestment of dividends and capital gains and the following sales charges: Class A shares are sold with a maximum sales charge of 4.50%. Class C shares are subject to a 1% contingent deferred sales charge (CDSC) for the first year only. There is no up-front sales charge for Class R-1 shares.
The NASDAQ Composite Index is a market value-weighted, technology-oriented index comprised of approximately 5,000 domestic and non-US-based securities. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index. The performance of any index is not indicative of the performance of any particular investment.
28 Certified Annual Report
TRUSTEES AND OFFICERS
Thornburg Core Growth Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
INTERESTED TRUSTEES(2)(4) | ||||
Garrett Thornburg, 58 Chairman of Trustees Trustee since 1987(3) | CEO, Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor) and Thornburg Securities Corporation (securities dealer); Chairman of Thornburg Limited Term Municipal Fund, Inc. (registered investment company) to 2004; CEO and Chairman of Thornburg Mortgage, Inc. (real estate investment trust); Chairman of Thornburg Mortgage Advisory Corporation (investment manager to Thornburg Mortgage, Inc.). | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Brian J. McMahon, 48 Trustee since 2001 President since 1997(5)(6) | President and Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | None | ||
INDEPENDENT TRUSTEES(2)(4) | ||||
David A. Ater, 59 Trustee since 1994 | Principal in Ater & Ater Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner developer and broker for various real estate projects. | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
David D. Chase, 63 Trustee since 2000 | Chairman, President, CEO, and General Partner of Vestor Partners, LP, Santa Fe, NM (private equity fund); Chairman and CEO of Vestor Holdings, Inc., Santa Fe, NM (merchant bank). | Director of Thornburg Limited Term Municipal Fund, Inc. 2001 — 2004 | ||
Eliot R. Cutler, 58 Trustee since 2004 | Partner, Akin, Gump, Strauss, Hauer & Feld, LLP, Washington, D.C. (law firm) since November 2000; partner, Cutler & Stanfield,Washington, D.C. (law firm) until November 2000. | Director of Thornburg Limited Term Municipal Fund, Inc. to 2004; director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Susan H. Dubin, 55 Trustee since 2004 | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations; and formerly,Vice President of Chemical Bank (predecessor to JP Morgan Chase & Co.), New York, 1974 – 1996. | None | ||
Forrest S. Smith, 74 Trustee since 1987 | Trust and estate attorney, of counsel to Catron, Catron & Pottow, Santa Fe, NM (law firm). | None | ||
Owen D. Van Essen, 50 Trustee since 2004 | President of Dirks,Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 45 Trustee since 1996 | Executive Vice President and Director to 2002, and since 2002; CEO and Vice Chairman, Nambé Mills, Inc., Santa Fe, NM (manufacturer). | None |
Certified Annual Report 29
TRUSTEES AND OFFICERS, CONTINUED
Thornburg Core Growth Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(6)(7) | ||||
Dawn B. Fischer, 57 Secretary since 1987 | Secretary and Managing Director,Thornburg Investment Management, Inc.; Secretary, Thornburg Limited Term Municipal Fund, Inc. to 2004; Secretary, Thornburg Securities Corporation; Vice President, Daily Tax Free Income Fund, Inc. (registered investment company). | Not applicable | ||
Steven J. Bohlin, 45 Vice President, since 1987; Treasurer since 1989 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
George T. Strickland, 41 Vice President since 1996 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President (and Treasurer since 2003) of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
William V. Fries, 65 Vice President since 1995 | Vice President and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 37 Vice President since 2001 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999 – 2004. | Not applicable | ||
Kenneth Ziesenheim, 50 Vice President since 1995 | Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Securities Corporation; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Alexander Motola, 34 Vice President since 2001 | Managing Director of Thornburg Investment Management, Inc. since 2000; Portfolio Manager, Insight Capital Research & Management, Inc., Walnut Creek, California 1995 – 2000. | Not applicable | ||
Wendy Trevisani, 33 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 2000 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999 – 2002; Sales Representative, Solomon Smith Barney 1996 – 1999. | Not applicable | ||
Joshua Gonze, 41 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 1999 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Brad Kinkelaar, 36 Vice President since 1999 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 1999, Vice President since 2000, and Managing Director since 2004; Equity Investment Analyst, State Farm Insurance Companies 1996 – 1999. | Not applicable | ||
Kerry D. Lee, 37 Vice President since 1999 | Vice President of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable |
30 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED
Thornburg Core Growth Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
Christopher Ihlefeld, 34 Vice President since 2003 | Associate Portfolio Manager since 1999; Vice President of Thornburg Investment Management, Inc. since 2002; Vice President of Limited Term Municipal Fund, Inc., 2003 – 2004. | Not applicable | ||
Leon Sandersfeld, 38 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2002; Senior Staff Accountant, Farm Bureau Life Insurance Co. 1998 – 2002. | Not applicable | ||
Sasha Wilcoxon, 30 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2000; and Mutual Fund Support Service Department Manager since 2002. | Not applicable | ||
Ed Maran, 46 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Analyst, USAA 2001 – 2002; Oil Analyst, A.G. Edwards 1997 – 2000. | Not applicable | ||
Vinson Walden, 34 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Associate Portfolio Manager, Ibis Management 2002 – 2004; Associate, Lehman Brothers, 1997 – 2001. | Not applicable |
(1) | Each person’s address is 119 East Marcy Street, Santa Fe, New Mexico 87501. | |||
(2) | The Fund is one of twelve separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. The Trust currently has twelve active Funds. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twelve funds of the Trust. Each Trustee oversees the twelve portfolios in the fund complex. | |||
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is a director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twelve active funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. | |||
(4) | Each Trustee serves in office until the election and qualification of a successor. | |||
(5) | Mr. McMahon is considered an “interested” Trustee because he is the president of Thornburg Investment Management, Inc. | |||
(6) | The Trust’s president, secretary and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. | |||
(7) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
Certified Annual Report 31
OTHER INFORMATION (UNAUDITED)
Thornburg Core Growth Fund | September 30, 2004 |
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to Thornburg Investment Management, Inc. (“the Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.
Commencing August 31, 2004, information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request, on the Thornburg website at www.thornburg.com and (ii) on the Securities and Exchange Commission’s website at www.sec.gov.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund will file with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year, commencing with the calendar quarter ending December 31, 2004. The Fund’s Forms N-Q will be available on the Commission’s website at http://www.sec.gov, or may be copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg.com/download or upon request by calling 1-800-847-0200.
SHAREHOLDER MEETING INFORMATION
A special meeting (the “Meeting”) of the shareholders of Thornburg Investment Trust (the “Trust”) was held on September 13, 2004 at the offices of Thornburg Investment Management, Inc., 119 East Marcy Street, Santa Fe, New Mexico 87501. Thornburg Core Growth Fund is one of 12 active series or “Funds” of the Trust.
The shareholders of the Trust considered at the Meeting (i) the election of Trustees, and (ii) ratification of the selection of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm for the fiscal year ending September 30, 2004.
The Trustees elected at the Meeting were Garrett Thornburg, David A. Ater, David D. Chase, Eliot R. Cutler, Susan H. Dubin, Brian J. McMahon, Owen D. Van Essen and James W. Weyhrauch. Forrest S. Smith, a Trustee since 1987 did not stand for election; his term of office will continue through the end of 2004, when he will retire in accordance with the Trust’s Bylaws. The shareholders also ratified the appointment of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm.
The voting results for the matters voted on are set out for each Fund as follows:
Election of Trustees
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Garrett Thornburg | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,772,086.332 | 692,014.443 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,202,049.716 | 217,551.648 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,555.521 | 114,080.445 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,255,221.686 | 81,237.603 | — | — | ||||||||||||
Thornburg Value Fund | 64,672,758.966 | 447,696.934 | — | — | ||||||||||||
Thornburg International Value Fund | 59,954,867.369 | 1,241,990.622 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,135,097.039 | 21,483.205 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,943.082 | 122,916.941 | — | — | ||||||||||||
Total: | 345,469,631.406 | 3,282,138.627 | — | — | ||||||||||||
David A. Ater | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,797,094.826 | 667,005.949 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | — | — |
32 Certified Annual Report
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg Core Growth Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,898.015 | 244,703.349 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,174.575 | 74,750.866 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,356,553.614 | 118,082.352 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,645.960 | 84,813.329 | — | — | ||||||||||||
Thornburg Value Fund | 64,673,309.598 | 447,696.934 | — | — | ||||||||||||
Thornburg International Value Fund | 60,746,833.041 | 450,024.950 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,132,382.888 | 24,197.356 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,615.730 | 120,243.993 | — | — | ||||||||||||
Total: | 346,235,149.064 | 2,517,171.301 | — | — | ||||||||||||
David D. Chase | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,792,336.993 | 671,763.782 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,107,955.251 | 64,970.190 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,243,684.887 | 92,774.402 | — | — | ||||||||||||
Thornburg Value Fund | 64,693,947.421 | 446,508.479 | — | — | ||||||||||||
Thornburg International Value Fund | 60,752,533.146 | 444,324.845 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,837,095.494 | 116,764.229 | — | — | ||||||||||||
Total: | 346,310,480.812 | 2,461,288.921 | — | — | ||||||||||||
Eliot R. Cutler | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,785,534.542 | 678,566.233 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,449,458.366 | 232,489.857 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,199,536.657 | 220,064.707 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,111,971.636 | 60,953.805 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,350,526.614 | 124,109.352 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,250,801.917 | 85,657.372 | — | — | ||||||||||||
Thornburg Value Fund | 64,599,511.493 | 520,944.407 | — | — | ||||||||||||
Thornburg International Value Fund | 60,724,718.843 | 472,139.148 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,134,780.624 | 21,799.620 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,832,732.499 | 121,127.224 | — | — | ||||||||||||
Total: | 346,159,119.642 | 2,592,650.361 | — | — | ||||||||||||
Susan H. Dubin | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,874.816 | 670,225.959 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,198,659.272 | 220,942.092 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,110,371.636 | 62,553.805 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,372,811.385 | 101,824.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,249,237.865 | 87,221.424 | — | — | ||||||||||||
Thornburg Value Fund | 64,679,778.577 | 440,677.323 | — | — | ||||||||||||
Thornburg International Value Fund | 60,742,583.265 | 454,274.726 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | — | — |
Certified Annual Report 33
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg Core Growth Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Investment Income Builder Fund | 20,833,454.801 | 120,404.922 | — | — | ||||||||||||
Total: | 346,285,090.525 | 2,466,679.208 | — | — | ||||||||||||
Brian J. McMahon | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,795,559.677 | 668,541.098 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,205,930.716 | 213,670.648 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,104,748.707 | 68,176.734 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 102,726.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,724.960 | 84,734.329 | — | — | ||||||||||||
Thornburg Value Fund | 64,681,039.437 | 439,416.463 | — | — | ||||||||||||
Thornburg International Value Fund | 60,010,455.736 | 1,186,402.255 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,131,956.015 | 24,624.229 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,227.440 | 120,632.283 | — | — | ||||||||||||
Total: | 345,556,209.517 | 3,195,560.216 | — | — | ||||||||||||
Owen D. Van Essen | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,348.831 | 670,751.944 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,730.914 | 244,870.450 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,708.092 | 74,217.349 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,248,394.246 | 88,065.043 | — | — | ||||||||||||
Thornburg Value Fund | 64,674,135.776 | 446,320.124 | — | — | ||||||||||||
Thornburg International Value Fund | 60,684,276.889 | 512,581.102 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,962.507 | 122,897.216 | — | — | ||||||||||||
Total: | 346,178,126.548 | 2,573,643.185 | — | — | ||||||||||||
James W. Weyhrauch | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,789,717.177 | 674,383.598 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 126,726.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,254,156.818 | 82,302.471 | — | — | ||||||||||||
Thornburg Value Fund | 64,683,895.944 | 436,559.906 | — | — | ||||||||||||
Thornburg International Value Fund | 60,726,245.097 | 470,612.894 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,836,311.264 | 117,548.459 | — | — | ||||||||||||
Total: | 346,278,127.848 | 2,497,641.885 | — | — |
34 Certified Annual Report
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg Core Growth Fund | September 30, 2004 |
Ratification of Selection of Independent Registered Public Accounting Firm
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Limited Term Municipal Fund | 89,266,423.303 | 430,123.930 | 767,553.542 | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,354,990.466 | 167,198.030 | 159,759.457 | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 27,957,900.165 | 174,857.659 | 286,893.540 | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,067,166.377 | 1,155.000 | 104,604.064 | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,911,733.415 | 6,868.306 | 9,157.121 | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,784,834.660 | 23,509.648 | 38,241.937 | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,583.780 | 33,945.016 | 80,017.170 | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,123,259.928 | 57,081.625 | 156,117.736 | — | ||||||||||||
Thornburg Value Fund | 64,569,333.454 | 212,238.433 | 338,884.013 | — | ||||||||||||
Thornburg International Value Fund | 60,444,286.231 | 343,771.766 | 408,700.994 | — | ||||||||||||
Thornburg Core Growth Fund | 6,110,013.492 | 32,603.465 | 13,963.287 | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,812,877.547 | 40,509.369 | 100,472.807 | — | ||||||||||||
Totals | 344,763,402.818 | 1,523,862.247 | 2,464,365.668 | — |
Certified Annual Report 35
Thornburg Core Growth Fund
I Shares – September 30, 2004
Table of Contents
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
Certified Annual Report 9
Letter to Shareholders
Alex M.V. Motola, CFA
Portfolio Manager
October 20, 2004
Dear Fellow Shareholder:
The Thornburg Core Growth Fund class I shares rose 0.92% in the third quarter and have had no change year to date (your I shares were introduced November 1, 2003). The Nasdaq Composite declined 7.24% in the third quarter and declined 4.98% for the year. The Russell 1000 Growth declined 5.23% in the third quarter and declined 2.63% to date. The median Lipper Multi-Cap Growth Fund lost 4.53% in the third quarter and 1.05% year to date.
Since the inception of this Fund, our goal has been to provide competitive returns in all market environments. Our approach to realize this goal has been to own a diversified yet concentrated portfolio of promising, well-researched companies. I think, so far, we have delivered on this goal, and we continue to improve our investment process incrementally. Since the Fund started in late 2000, we have had consistent success relative to our benchmarks and peer group. The Thornburg Core Growth Fund also received recognition from Lipper for consistent returns that topped the multi-cap growth category.
Over the past twelve months, our biggest contributors to total return have been a blend of long-term holdings, recent buys, and participation in two initial public offerings (IPOs). Of the top ten performers, three are long-term holdings that remain in the Fund. UnitedHealth Group, which was purchased when we started the Fund in December 2000, has rewarded shareholders over the past months. Two other contributors, Affiliated Managers Group and Gilead Sciences, have been held longer than two years.
Gilead Sciences returned 33% over the past twelve months, outperforming our benchmark indices as well as the Fund as a whole. Concerns surrounding the company’s drug Viread, a treatment for HIV, had the shares down from their peak in mid 2003. Pharmaceutical distributors, like Cardinal Health, were stocking the drug ahead of announced price increases. This caused volatility in reported sales of Viread; the second quarter of 2003 was an “inventory stocking” period where Viread sales were much higher than demand would have predicted ($167m); the third quarter of 2003 saw an “inventory draw-down” which led to lower sales than expected ($115m). While the stock did trade down during that period, we remained confident in our investment thesis and were able to buy additional shares in November, December and January.
We have been excited about Viread for some time. The drug, which launched in 2001, is one of the three parts of the AIDS cocktail. Viread has shown better efficacy and a better side effect profile than competing drugs and is only required to be taken once daily, easing the treatment regimen for HIV-infected patients (source: Gilead Study 934). Our conversations with doctors have confirmed how important it is to prescribe a treatment regimen that is easy for patients to follow. While Viread is already the most-prescribed HIV drug, Gilead should continue to gain share in the HIV market with their combination pill Truvada, which was launched during the most recent quarter. That pill combines two parts of the AIDS cocktail in a single pill taken once daily. Truvada and a yet unnamed future product that will combine all three components of the AIDS cocktail should, in our opinion, allow Gilead to create a billion-dollar HIV-treatment franchise and grow profitably as they continue to work on their early stage pipeline.
Growth investors rarely participate in commodity rallies. The Fund did own Evergreen Resources, which was acquired in September of 2004 (the deal was announced in May of 2004, and we sold shortly thereafter – the premium was virtually non-existent; the acquirer,
10 Certified Annual Report
Pioneer, held no attraction for us; and there was almost no merger arbitrage opportunity). This was actually a disappointment, since Evergreen had scarce assets and little premium was paid. Although the stock did not ultimately reach our target price before we sold it, we profited from the stock’s rise. Two IPOs helped performance, both recently – NAVTEQ and Google. NAVTEQ provides digital map database software for use in many vehicle navigation systems, geographic information systems, and location-based services. NAVTEQ has over 90% market share in the United States, and nearly as much in Europe.
We bought Google at its IPO. Conventional wisdom indicated that their auction-based IPO process was ridiculous, and supposedly, investment professionals knew better than to get involved. I guess we didn’t know better, because we felt that this was a chance to do a couple of neat things – we got to value a company without any guidance from investment banks and put in tiered bids (i.e., we could put in orders for different share amounts at different prices). We had a chance to get a material allocation of a high quality IPO. This was an opportunity to truly practice our craft – analyzing and valuing growth companies. As Google was nearing our price target, we sold it, so you won’t see it in the portfolio today. However, we continue to closely monitor Google’s developments.
Of the ten stocks that hurt performance the most over the past twelve months, only two remain in the portfolio as of this writing: ASE Test and NetEase. In fact, we sold NetEase to recognize the capital loss and repurchased it just over 30 days later. Because we like the company’s end markets and wanted to remain exposed to the strong growth there, we purchased Shanda when we sold NetEase. Shanda has been one of the best performing stocks in the portfolio since it was added.
Looking over the ten worst performing stocks, the focal points are semiconductors and Asia. We have stayed away from semiconductors throughout much of the life of this Fund, but the lesson that cheap stocks can get cheaper hasn’t changed over the past year. More recently, I rationalized some of the semiconductor holdings, and performance has improved on a relative basis.
We sold ten stocks during the course of the third quarter: NetEase, Samsung, E*Trade, Silicon Labs, Life Time Fitness, Mobile Telesystems, Platinum Underwriters, August Technologies, Google, and Martek Biosciences. Of these ten sales, only two were sold because they hit their target prices. Six of the stocks were sold based on deteriorating fundamentals – situations where we proactively sold the stocks before the adverse situation changes became apparent to the market. To me, this is a very important part of our investment approach – we want to sell stocks when our investment thesis is violated. This continued adherence to our buy and sell discipline helps the Thornburg Core Growth Fund differentiate itself from its competition.
In addition to NetEase and Google, Martek Biosciences was also bought and sold in the quarter. Martek Biosciences was purchased based on several factors: demand for the company’s product exceeding their ability to meet it, patent protection of a value-added product, and valuation. It was sold because our opinion changed regarding the rate the company would be able to add capacity. From my perspective, this was a good investment because (1) given a similar situation in the future, we would invest, (2) we had a developed thesis and were able to evaluate the progress of the company to that thesis, and (3) we ultimately decided we were wrong and sold the stock at a modest profit.
Other stocks purchased during the quarter include Cymer Inc., Shenzen Chiwan Wharf Holdings Ltd., SBA Communications Corp., Imax Corp., and Pfizer Inc.
Certified Annual Report 11
Letter to Shareholders
Continued
Stocks received at their IPOs contributed positively to the results for the quarter and the trailing twelve-month results. As a result of the Fund’s participation in the new offering market, performance improved by 1.73% for the quarter and 2.39% for the fiscal year ended September 30, 2004. The effects of offerings in prior periods are disclosed in prior quarterly reports. Obviously, we received a material positive benefit by participating in offerings, particularly in the most recent quarter. We continue to pursue our strategy of selectively investing in IPOs with strong fundamentals and attractive valuations.
Our motto is “Core Strategies for Serious Investors.” We believe the Thornburg Core Growth Fund continues to fulfill its mandate as a growth oriented-investment vehicle that can form part of the nucleus of an asset allocation strategy. Our focus is on trying to maximize long term after-tax returns while controlling risk. We encourage you to learn more about your portfolio. Descriptions of holdings and links to company websites can be found by pointing your Internet browser to www.thornburg.com/funds. Thank you for investing in the Thornburg Core Growth Fund.
Regards,
Alexander M.V. Motola, CFA
Portfolio Manager
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each Fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager, and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
12 Certified Annual Report
STATEMENT OF ASSETS AND LIABILITIES
Thornburg Core Growth Fund | September 30, 2004 |
ASSETS | ||||
Investments at value (cost $68,891,434) | $ | 76,097,466 | ||
Cash | 567,337 | |||
Receivable for securities sold | 4,514,860 | |||
Receivable for fund shares sold | 354,346 | |||
Dividends receivable | 36,282 | |||
Prepaid expenses and other assets | 27,795 | |||
Total Assets | 81,598,086 | |||
LIABILITIES | ||||
Payable for securities purchased | 4,222,465 | |||
Payable for fund shares redeemed | 77,918 | |||
Payable to investment advisor and other affiliates (Note 3) | 67,085 | |||
Accounts payable and accrued expenses | 44,700 | |||
Total Liabilities | 4,412,168 | |||
NET ASSETS | $ | 77,185,918 | ||
NET ASSETS CONSIST OF: | ||||
Undistributed net investment gain (loss) | $ | (7,546 | ) | |
Net unrealized appreciation (depreciation) on investments | 7,206,032 | |||
Accumulated net realized gain (loss) | (2,287,918 | ) | ||
Net capital paid in on shares of beneficial interest | 72,275,350 | |||
$ | 77,185,918 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($40,899,056 applicable to 3,762,106 shares of beneficial interest outstanding — Note 4) | $ | 10.87 | ||
Maximum sales charge, 4.50% of offering price | 0.51 | |||
Maximum Offering Price Per Share | $ | 11.38 | ||
Class C Shares: | ||||
Net asset value and offering price per share * ($14,692,659 applicable to 1,397,681 shares of beneficial interest outstanding — Note 4) | $ | 10.51 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($21,578,406 applicable to 1,973,687 shares of beneficial interest outstanding — Note 4) | $ | 10.93 | ||
Class R-1 Shares: | ||||
Net asset value, offering and redemption price per share ($15,798 applicable to 1,450 shares of beneficial interest outstanding — Note 4) | $ | 10.90 | ||
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. See notes to financial statements. |
Certified Annual Report 13
STATEMENT OF OPERATIONS
Thornburg Core Growth Fund | Year Ended September 30, 2004 |
INVESTMENT INCOME | ||||
Dividend income (net of foreign taxes withheld of $11,947) | $ | 148,565 | ||
Interest income | 10,660 | |||
Total Income | 159,225 | |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 578,186 | |||
Administration fees (Note 3) | ||||
Class A Shares | 49,470 | |||
Class C Shares | 15,158 | |||
Class I Shares | 7,187 | |||
Class R-1 Shares | 3 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 99,699 | |||
Class C Shares | 122,398 | |||
Class R-1 Shares | 13 | |||
Transfer agent fees | ||||
Class A Shares | 96,030 | |||
Class C Shares | 32,588 | |||
Class I Shares | 17,446 | |||
Class R-1 Shares | 3,106 | |||
Registration & filing fees | ||||
Class A Shares | 10,443 | |||
Class C Shares | 7,546 | |||
Class I Shares | 10,245 | |||
Class R-1 Shares | 14,210 | |||
Custodian fees (Note 3) | 56,165 | |||
Professional fees | 18,009 | |||
Accounting fees | 1,462 | |||
Trustee fees | 1,707 | |||
Other expenses | 43,717 | |||
Total Expenses | 1,184,788 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (70,059 | ) | ||
Management fees waived by investment advisor (Note 3) | (41,228 | ) | ||
Expenses paid indirectly (Note 3) | (7,015 | ) | ||
Net Expenses | 1,066,486 | |||
Net Investment Income (Loss) | $ | (907,261 | ) | |
14 Certified Annual Report
STATEMENT OF OPERATIONS, CONTINUED
Thornburg Core Growth Fund | Year Ended September 30, 2004 |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments | $ | (61,620 | ) | |
Foreign currency transactions | (7,546 | ) | ||
(69,166 | ) | |||
Net change in unrealized appreciation on: | ||||
Investments | 3,816,240 | |||
Net Realized and Unrealized Gain (Loss) on Investments | 3,747,074 | |||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 2,839,813 | ||
See notes to financial statements.
Certified Annual Report 15
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Core Growth Fund
Year Ended | Year Ended | |||||||
September 30, 2004 | September 30, 2003 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment gain (loss) | $ | (907,261 | ) | $ | (256,573 | ) | ||
Net realized gain (loss) on investments and foreign currency transactions | (69,166 | ) | 2,052,999 | |||||
Increase (Decrease) in unrealized appreciation on investments | 3,816,240 | 4,261,917 | ||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,839,813 | 6,058,343 | ||||||
FUND SHARE TRANSACTIONS – (NOTE 4) | ||||||||
Class A Shares | 2,225,643 | 25,630,774 | ||||||
Class C Shares | 7,120,528 | 4,106,879 | ||||||
Class I Shares | 21,612,285 | 0 | ||||||
Class R-1 Shares | 14,604 | 75 | ||||||
Net Increase (Decrease) in Net Assets | 33,812,873 | 35,796,071 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 43,373,045 | 7,576,974 | ||||||
End of year | $ | 77,185,918 | $ | 43,373,045 | ||||
See notes to financial statements.
16 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS
Thornburg Core Growth Fund | September 30, 2004 |
NOTE 1 – ORGANIZATION
Thornburg Core Growth Fund, hereinafter referred to as the “Fund,” is a diversified series of Thornburg Investment Trust (the “Trust”). The Fund commenced operations on December 27, 2000. The Trust was 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 eleven series of shares of beneficial interest in addition to those of the Fund: Thornburg California Limited Term Municipal Fund, Thornburg Limited Term Municipal Fund, Thornburg Limited Term U.S. Government Fund, Thornburg New Mexico Intermediate Municipal Fund, Thornburg Intermediate Municipal Fund, Thornburg Limited Term Income Fund, Thornburg Value Fund, Thornburg International Value Fund, Thornburg Florida Intermediate Municipal Fund, Thornburg New York Intermediate Municipal Fund, and Thornburg Investment Income Builder Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing primarily in domestic equity securities selected for their growth potential.
The Fund currently offers four classes of shares of beneficial interest, Class A, Class C, Institutional Class (Class I), and Retirement Class (Class R-1) shares. Each class of shares of the 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 contingent deferred sales charge upon redemption within one year, and bear both 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, (iv) Class R-1 shares are sold at net asset value without a sales charge at the time of purchase but bear both a service fee and a distribution fee, and (iv) the respective classes have different reinvestment privileges. Additionally, the 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 administration and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees and certain registration and transfer agent expenses.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Fund are as follows: Valuation of Securities: In determining net asset value, investments are stated at value based on latest sales prices, normally at 4:00 pm EST, reported on national securities exchanges on the last business day of the period. Investments for which no sale is reported are valued at the mean between bid and asked prices. Securities for which market quotations are not readily available are valued at fair value as determined by management and approved in good faith by the Board of Trustees. Short term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
Options Transactions: The Fund may buy or write put and call options through listed exchanges and the over-the-counter market. The buyer has the right to purchase (in the case of a call option) or sell (in the case of a put option) a specified quantity of a specific security or other underlying asset at a specified price prior to or on a specified expiration date. The writer of an option is exposed to the risk of loss if the market price of the underlying asset declines (in the case of a put option) or increases (in the case of a call option). The writer of an option can never profit by more than the premium paid by the buyer but can lose an unlimited amount. The writer also has the additional risk of not being able to enter into a closing transaction if a liquid secondary market does not exist.
Premiums received/paid from writing/purchasing options are recorded as liabilities/assets on the Statement of Assets and Liabilities, and are subsequently adjusted to current values. The difference between the current value of an option and the premium received/paid is treated as an unrealized gain or loss.
When a purchased option expires on its stipulated expiration date or when a closing transaction is entered into, the premium paid on the purchase of the option is treated by the Fund as a realized loss. When a written option expires on its stipulated expiration date or when a closing transaction is entered into, the related liability is extinguished and the Fund realizes a gain (loss if the cost of the closing transaction exceeds the premium received when the option was written).
Foreign Currency Translation: Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against the U.S. dollar on the date of valuation. Purchases and sales of securities and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the translation date. When the Fund purchases or sells foreign securities it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in 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.
Federal Income Taxes: It is the policy of the Fund to comply with the provisions of the Internal Revenue Code applicable to
Certified Annual Report 17
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Core Growth Fund | September 30, 2004 |
“regulated investment companies” and to distribute all of its taxable income to its shareholders. Therefore, no provision for Federal income tax is required.
Dividends: Dividends to shareholders are generally paid quarterly and are reinvested in additional shares of the Fund 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 realized capital gains, to the extent available, will be distributed at least annually. Distributions to shareholders are based on income tax regulations and therefore, their characteristics may differ for financial statement and tax purposes.
General: Securities transactions are accounted for on a trade date basis. Interest income is accrued as earned and dividend income is recorded on the ex-dividend date. Certain income from foreign securities is recognized as soon as information is available to the Fund. Realized gains and losses from the sale of securities are recorded on an identified cost basis. Net investment income, other than class specific expenses, and realized and unrealized gains and losses, are allocated daily to each class of shares based upon the relative net asset value of outstanding shares of each class of shares at the beginning of the day (after adjusting for the current share activity of the respective class). Expenses common to all funds are allocated among the funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
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 “Advisor”) serves as the investment advisor and performs services to the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2004, these fees were payable at annual rates ranging from .875 of 1% to .675 of 1% of the average daily net assets of the Fund depending on the Fund’s asset size. For the year ended September 30, 2004, the Advisor voluntarily waived investment advisory fees of $41,228. The Fund also has an administrative services agreement with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% of the average daily net assets attributable to each class of shares. For the year ended September 30, 2004, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $8,070 for Class A shares, $8,690 for Class C shares, $35,978 for Class I shares, and $17,321 for Class R-1 shares.
The Fund has an underwriting agreement with Thornburg Securities Corporation (the “Distributor,” an affiliate of the advisor), which acts as the Distributor of the Fund’s shares. For the year ended September 30, 2004, the Distributor has advised the Fund that it earned commissions aggregating $46,601 from the sale of Class A shares of the Fund and collected contingent deferred sales charges aggregating $4,560 from redemptions of Class C shares of the Fund.
Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of its average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder related services. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
The Fund has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Fund’s Class C and Class R-1 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C and Class R-1 shares of the Fund at an annual rate of up to .75 of 1% of the average daily net assets attributable to Class C and Class R-1 shares. Total fees incurred by each class of shares of the Fund under its respective Service and Distribution Plans are set forth in the Statement of Operations.
The Fund has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees have been adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the statement of operations. For the year ended September 30, 2004, the fees paid indirectly were 7,015.
Certain officers and trustees of the Trust are also officers and/or directors of the Advisor and Distributor. The compensation of unaffiliated trustees is borne by the Trust.
At September 30, 2004, 16.3% of the Fund’s shares were owned by the Advisor and other affiliates of the Fund.
18 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Core Growth Fund | September 30, 2004 |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At September 30, 2004 there were an unlimited number of shares of beneficial interest authorized. Sales of Class I shares commenced November 1, 2003. Transactions in shares of beneficial interest were as follows:
Year Ended | Year Ended | |||||||||||||||
September 30, 2004 | September 30, 2003 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 2,600,930 | $ | 28,184,218 | 3,221,438 | $ | 29,901,018 | ||||||||||
Shares repurchased** | (2,423,327 | ) | (25,958,575 | ) | (517,802 | ) | (4,270,244 | ) | ||||||||
Net Increase (Decrease) | 177,603 | $ | 2,225,643 | 2,703,636 | $ | 25,630,774 | ||||||||||
** | The Fund charges a redemption fee of 1% of the Class A shares exchanged within 90 days of purchase. For the year ended September 30, 2004 and year ended September 30, 2003, $19,941 and $29,916, respectively, were netted in the amount reported for shares repurchased. |
Class C Shares | ||||||||||||||||
Shares sold | 872,281 | $ | 9,164,316 | 596,335 | $ | 5,369,114 | ||||||||||
Shares repurchased | (199,986 | ) | (2,043,788 | ) | (167,711 | ) | (1,262,235 | ) | ||||||||
Net Increase (Decrease) | 672,295 | $ | 7,120,528 | 428,624 | $ | 4,106,879 | ||||||||||
Class I Shares* | ||||||||||||||||
Shares sold | 2,027,702 | $ | 22,189,316 | — | $ | — | ||||||||||
Shares repurchased ** | (54,015 | ) | (577,031 | ) | — | — | ||||||||||
Net Increase (Decrease) | 1,973,687 | $ | 21,612,285 | — | $ | — | ||||||||||
* | Effective date of Class I shares was November 1, 2003. |
** | The Fund charges a redemption fee of 1% of the Class I shares exchanged within 90 days of purchase. For the period ended September 30, 2004, $474 was netted in the amount reported for shares repurchased. |
Class R-1 Shares | ||||||||||||||||
Shares sold | 1,444 | $ | 14,629 | 8 | $ | 75 | ||||||||||
Shares repurchased | (2 | ) | (25 | ) | — | — | ||||||||||
Net Increase (Decrease) | 1,442 | $ | 14,604 | 8 | $ | 75 | ||||||||||
NOTE 5 – SECURITIES TRANSACTIONS
For the year ended September 30, 2004 the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $99,830,216 and $69,909,137, respectively.
NOTE 6 – INCOME TAXES
At September 30, 2004, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 69,032,910 | ||
Gross unrealized appreciation on a tax basis | $ | 9,874,150 | ||
Gross unrealized depreciation on a tax basis | (2,809,594 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 7,064,556 | ||
At September 30, 2004, the Fund did not have any undistributed ordinary net income or undistributed capital gains.
At September 30, 2004, the Fund had deferred tax basis currency and capital losses occurring subsequent to October 31, 2003 of $7,546 and $802,518 respectively. For tax purposes, such losses will be reflected in the year ending September 30, 2005.
At September 30, 2004, the Fund had tax basis capital losses of $1,343,924, which may be carried over to offset future capital gains. To the extent such carry forwards are used, capital gains distributions may be reduced to the extent provided by regulations. Such losses expire September 30, 2010.
The Fund utilized $936,458 of its capital loss carry forward during the year ended September 30, 2004.
In order to account for permanent book/tax differences, the Fund decreased net capital paid in on shares of beneficial interest by $909,297, decreased accumulated net realized investment (loss) by $7,546, and decreased overdistribution of net investment income (loss) by $901,751. This reclassification has no impact on the net asset value of the Fund. Reclassifications result primarily from net operating loss and currency losses.
Certified Annual Report 19
FINANCIAL HIGHLIGHTS
Thornburg Core Growth Fund
Period Ended | ||||
September 30, | ||||
2004(c) | ||||
Class I Shares: | ||||
PER SHARE PERFORMANCE (for a share outstanding throughout the period) | ||||
Net asset value, beginning of period | $ | 10.87 | ||
Income from investment operations: | ||||
Net investment income (loss) | (0.08 | ) | ||
Net realized and unrealized gain (loss) on investments | 0.14 | |||
Total from investment operations | 0.06 | |||
Change in net asset value | 0.06 | |||
NET ASSET VALUE, end of period | $ | 10.93 | ||
RATIOS/SUPPLEMENTAL DATA | ||||
Total return (a) | 0.55 | % | ||
Ratios to average net assets: | ||||
Net investment income (loss) | (0.74) | %(b) | ||
Expenses, after expense reductions | 1.00 | %(b) | ||
Expenses, after expense reductions and net of custody credits | 0.99 | %(b) | ||
Expenses, before expense reductions | 1.31 | %(b) | ||
Portfolio turnover rate | 108.50 | % | ||
Net assets at end of period (000) | $ | 21,578 |
(a) | Total Return is not annualized for periods less than one year. | |||
(b) | Annualized. |
(c) | Effective date of Class I Shares was November 1, 2003. |
20 Certified Annual Report
SCHEDULE OF INVESTMENTS
Thornburg Core Growth Fund | September 30, 2004 |
CUSIPS: CLASS A — 885-215-582, CLASS C — 885-215-574, CLASS I — 885-215-475, CLASS R-1 — 885-215-517
NASDAQ SYMBOLS: CLASS A — THCGX , CLASS C — TCGCX, CLASS I — THIGX, CLASS R-1 THCRX
COMMON STOCKS – 100.00%
Shares | Value | |||||||
CONSUMER DURABLES & APPAREL (6.50%) | ||||||||
Carter’s Inc. + | 79,400 | $ | 2,198,586 | |||||
Tempur-Pedic International Inc. + | 183,775 | 2,754,787 | ||||||
DIVERSIFIED FINANCIALS (9.60%) | ||||||||
Affiliated Managers Group Inc. + | 47,725 | 2,555,196 | ||||||
Capital One Financial Corp. | 29,885 | 2,208,502 | ||||||
Investors Financial Services Corp. | 56,505 | 2,550,071 | ||||||
HEALTH CARE EQUIPMENT & SERVICES (23.30%) | ||||||||
Anthem Inc. + | 31,300 | 2,730,925 | ||||||
Boston Scientific Corp. + | 62,920 | 2,499,812 | ||||||
Caremark Rx Inc. + | 72,500 | 2,325,075 | ||||||
Cytyc Corp. + | 95,800 | 2,313,570 | ||||||
DataTRAK International Inc. + | 130,400 | 1,330,210 | ||||||
eResearch Technology Inc. + | 95,000 | 1,266,350 | ||||||
Golden Meditech Co. Ltd. | 3,480,000 | 754,184 | ||||||
Guidant Corp. | 43,000 | 2,839,720 | ||||||
UnitedHealth Group Inc. | 22,375 | 1,649,932 | ||||||
MEDIA (8.00%) | ||||||||
Comcast Corp. + | 80,100 | 2,236,392 | ||||||
DIRECTV Group Inc. + | 158,200 | 2,782,738 | ||||||
Imax Corp. + | 191,700 | 1,079,271 | ||||||
PHARMACEUTICALS & BIOTECHNOLOGY (10.60%) | ||||||||
Amgen Inc. + | 46,900 | 2,658,292 | ||||||
Gilead Sciences Inc. + | 73,500 | 2,747,430 | ||||||
Pfizer Inc. | 86,000 | 2,631,600 | ||||||
RETAILING (2.50%) | ||||||||
GameStop Corp. + | 103,950 | 1,924,115 | ||||||
SOFTWARE & SERVICES (17.00%) | ||||||||
Amdocs Ltd. + | 111,050 | 2,424,222 | ||||||
Eclipsys Corp. + | 158,039 | 2,465,408 | ||||||
NAVTEQ Corp. + | 59,130 | 2,107,393 | ||||||
Netease.com Inc. + | 48,800 | 1,850,984 | ||||||
Open Solutions Inc. + | 71,400 | 1,782,858 | ||||||
Shanda Interactive Entertainment Ltd. + | 95,600 | 2,294,400 | ||||||
TECHNOLOGY–HARDWARE & EQUIPMENT (13.20%) | ||||||||
ASE Test Ltd. + | 239,580 | 1,257,795 | ||||||
Atheros Communications Inc. + | 181,000 | 1,846,200 | ||||||
Cymer Inc. + | 68,800 | 1,971,808 | ||||||
Dell Inc. + | 64,600 | 2,299,760 | ||||||
Ditech Communications Corp. + | 78,400 | 1,755,376 | ||||||
SBA Communications Corp. + | 126,600 | 886,200 |
Certified Annual Report 21
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Core Growth Fund | September 30, 2004 |
Shares | Value | |||||||
TELECOMMUNICATION SERVICES (5.60%) | ||||||||
Nextel Communications Inc. + | 112,100 | $ | 2,672,464 | |||||
NII Holdings Inc. + | 38,945 | 1,604,923 | ||||||
TRANSPORTATION (3.70%) | ||||||||
JetBlue Airways Corp. + | 64,000 | 1,338,880 | ||||||
Shenzhen Chiwan Wharf Holdings Ltd. | 859,988 | 1,502,037 | ||||||
TOTAL COMMON STOCKS (Cost $68,891,434) | 76,097,466 | |||||||
TOTAL INVESTMENTS (100%) (Cost $68,891,434) | $ | 76,097,466 | ||||||
+ | Non-income producing. See notes to financial statements. |
INDUSTRY EXPOSURE
As of 9/30/04
Health Care Equipment & Services | 23.3 | % | ||
Software & Services | 17.0 | % | ||
Technology – Hardware & Equipment | 13.2 | % | ||
Pharmaceuticals & Biotechnology | 10.6 | % | ||
Diversified Financials | 9.6 | % | ||
Media | �� | 8.0 | % | |
Consumer Durables & Apparel | 6.5 | % | ||
Telecommunication Services | 5.6 | % | ||
Transportation | 3.7 | % | ||
Retailing | 2.5 | % |
22 Certified Annual Report
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Core Growth Fund
To the Trustees and Class I Shareholders of
Thornburg Core Growth Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg Core Growth Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the “Fund”) at September 30, 2004, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for Class I shares for each of the periods presented, 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 Fund’s 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 the standards of the Public Company Accounting Oversight Board (United States). Those standards 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, 2004 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 9, 2004
Certified Annual Report 23
EXPENSE EXAMPLE
Thornburg Core Growth Fund | September 30, 2004 |
As a shareholder of the Fund, you incur two types of costs:
(1) transaction costs, including a 90-day redemption fee on Class I shares; and
(2) ongoing costs, including management and administrative fees and other Fund expenses.
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested on April 1, 2004 and held until September 30, 2004.
Actual Expenses
The first line of the table at right provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table at right provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses Paid | ||||||||||
Account Value | Account Value | During Period† | ||||||||||
4/1/04 | 9/30/04 | 4/1/04–9/30/04 | ||||||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 991.80 | $ | 4.93 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.05 | $ | 5.00 |
†Expenses are equal to the annualized expense ratio for Class I shares (0.99%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period.
* Hypothetical assumes a rate of return of 5% per year before expenses.
24 Certified Annual Report
INDEX COMPARISON
Thornburg Core Growth Fund | September 30, 2004 |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Core Growth Fund versus NASDAQ Composite Index (November 1, 2003 to September 30, 2004)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended September 30,2004
Since | |||||||||
YTD | Inception | ||||||||
I Shares (Incep: 11/01/03) | 0.00 | % | 0.55 | % | |||||
NASDAQ Composite Index (Since: 11/01/03) | -4.98 | % | -3.17 | % |
Performance data reflect past performance, which is no guarantee of future results. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares.
Returns reflect the reinvestment of dividends and capital gains. There is no up-front sales charge for Class I shares.
The NASDAQ Composite Index is a market value-weighted, technology-oriented index comprised of approximately 5,000 domestic and non-US-based securities. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index. The performance of any index is not indicative of the performance of any particular investment.
Certified Annual Report 25
TRUSTEES AND OFFICERS
Thornburg Core Growth Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
INTERESTED TRUSTEES(2)(4) | ||||
Garrett Thornburg, 58 Chairman of Trustees Trustee since 1987(3) | CEO, Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor) and Thornburg Securities Corporation (securities dealer); Chairman of Thornburg Limited Term Municipal Fund, Inc. (registered investment company) to 2004; CEO and Chairman of Thornburg Mortgage, Inc. (real estate investment trust); Chairman of Thornburg Mortgage Advisory Corporation (investment manager to Thornburg Mortgage, Inc.). | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Brian J. McMahon, 48 Trustee since 2001 President since 1997(5)(6) | President and Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | None | ||
INDEPENDENT TRUSTEES(2)(4) | ||||
David A.Ater, 59 Trustee since 1994 | Principal in Ater & Ater Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner developer and broker for various real estate projects. | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
David D. Chase, 63 Trustee since 2000 | Chairman, President, CEO, and General Partner of Vestor Partners, LP, Santa Fe, NM (private equity fund); Chairman and CEO of Vestor Holdings, Inc., Santa Fe, NM (merchant bank). | Director of Thornburg Limited Term Municipal Fund, Inc. 2001–2004 | ||
Eliot R. Cutler, 58 Trustee since 2004 | Partner, Akin, Gump, Strauss, Hauer & Feld, LLP, Washington, D.C. (law firm) since November 2000; partner, Cutler & Stanfield, Washington, D.C. (law firm) until November 2000. | Director of Thornburg Limited Term Municipal Fund, Inc. to 2004; director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Susan H. Dubin, 55 Trustee since 2004 | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations; and formerly, Vice President of Chemical Bank (predecessor to JP Morgan Chase & Co.), New York, 1974–1996. | None | ||
Forrest S. Smith, 74 Trustee since 1987 | Trust and estate attorney, of counsel to Catron, Catron & Pottow, Santa Fe, NM (law firm). | None | ||
Owen D.Van Essen, 50 Trustee since 2004 | President of Dirks,Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 45 Trustee since 1996 | Executive Vice President and Director to 2002, and since 2002; CEO and Vice Chairman, Nambé Mills, Inc., Santa Fe, NM (manufacturer). | None |
26 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED
Thornburg Core Growth Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(6)(7) | ||||
Dawn B. Fischer, 57 Secretary since 1987 | Secretary and Managing Director, Thornburg Investment Management, Inc.; Secretary, Thornburg Limited Term Municipal Fund, Inc. to 2004; Secretary, Thornburg Securities Corporation; Vice President, Daily Tax Free Income Fund, Inc. (registered investment company). | Not applicable | ||
Steven J. Bohlin, 45 Vice President, since 1987; Treasurer since 1989 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
George T. Strickland, 41 Vice President since 1996 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President (and Treasurer since 2003) of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
William V. Fries, 65 Vice President since 1995 | Vice President and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 37 Vice President since 2001 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2004. | Not applicable | ||
Kenneth Ziesenheim, 50 Vice President since 1995 | Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Securities Corporation; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Alexander Motola, 34 Vice President since 2001 | Managing Director of Thornburg Investment Management, Inc. since 2000; Portfolio Manager, Insight Capital Research & Management, Inc., Walnut Creek, California 1995–2000. | Not applicable | ||
Wendy Trevisani, 33 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 2000 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2002; Sales Representative, Solomon Smith Barney 1996–1999. | Not applicable | ||
Joshua Gonze, 41 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 1999 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Brad Kinkelaar, 36 Vice President since 1999 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 1999, Vice President since 2000, and Managing Director since 2004; Equity Investment Analyst, State Farm Insurance Companies 1996–1999. | Not applicable | ||
Kerry D. Lee, 37 Vice President since 1999 | Vice President of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable |
Certified Annual Report 27
TRUSTEES AND OFFICERS, CONTINUED
Thornburg Core Growth Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
Christopher Ihlefeld, 34 Vice President since 2003 | Associate Portfolio Manager since 1999; Vice President of Thornburg Investment Management, Inc. since 2002; Vice President of Limited Term Municipal Fund, Inc., 2003–2004. | Not applicable | ||
Leon Sandersfeld, 38 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2002; Senior Staff Accountant, Farm Bureau Life Insurance Co. 1998–2002. | Not applicable | ||
Sasha Wilcoxon, 30 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2000; and Mutual Fund Support Service Department Manager since 2002. | Not applicable | ||
Ed Maran, 46 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Analyst, USAA 2001–2002; Oil Analyst, A.G. Edwards 1997–2000. | Not applicable | ||
Vinson Walden, 34 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Associate Portfolio Manager, Ibis Management 2002–2004; Associate, Lehman Brothers, 1997–2001. | Not applicable |
(1) | Each person’s address is 119 East Marcy Street, Santa Fe, New Mexico 87501. | |||
(2) | The Fund is one of twelve separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. The Trust currently has twelve active Funds. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twelve funds of the Trust. Each Trustee oversees the twelve portfolios in the fund complex. | |||
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is a director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twelve active funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. | |||
(4) | Each Trustee serves in office until the election and qualification of a successor. | |||
(5) | Mr. McMahon is considered an “interested” Trustee because he is the president of Thornburg Investment Management, Inc. | |||
(6) | The Trust’s president, secretary and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. | |||
(7) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
28 Certified Annual Report
OTHER INFORMATION (UNAUDITED)
Thornburg Core Growth Fund | September 30, 2004 |
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to Thornburg Investment Management, Inc. (“the Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.
Commencing August 31, 2004, information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request, on the Thornburg website at www.thornburg.com and (ii) on the Securities and Exchange Commission’s website at www.sec.gov.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund will file with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year, commencing with the calendar quarter ending December 31, 2004. The Fund’s Forms N-Q will be available on the Commission’s website at http://www.sec.gov, or may be copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg.com/download or upon request by calling 1-800-847-0200.
SHAREHOLDER MEETING INFORMATION
A special meeting (the “Meeting”) of the shareholders of Thornburg Investment Trust (the “Trust”) was held on September 13, 2004 at the offices of Thornburg Investment Management, Inc., 119 East Marcy Street, Santa Fe, New Mexico 87501. Thornburg Core Growth Fund is one of 12 active series or “Funds” of the Trust.
The shareholders of the Trust considered at the Meeting (i) the election of Trustees, and (ii) ratification of the selection of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm for the fiscal year ending September 30, 2004.
The Trustees elected at the Meeting were Garrett Thornburg, David A. Ater, David D. Chase, Eliot R. Cutler, Susan H. Dubin, Brian J. McMahon, Owen D. Van Essen and James W. Weyhrauch. Forrest S. Smith, a Trustee since 1987 did not stand for election; his term of office will continue through the end of 2004, when he will retire in accordance with the Trust’s Bylaws. The shareholders also ratified the appointment of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm.
The voting results for the matters voted on are set out for each Fund as follows:
Election of Trustees
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Garrett Thornburg | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,772,086.332 | 692,014.443 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,202,049.716 | 217,551.648 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,555.521 | 114,080.445 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,255,221.686 | 81,237.603 | – | – | ||||||||||||
Thornburg Value Fund | 64,672,758.966 | 447,696.934 | – | – | ||||||||||||
Thornburg International Value Fund | 59,954,867.369 | 1,241,990.622 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,135,097.039 | 21,483.205 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,943.082 | 122,916.941 | – | – | ||||||||||||
Total: | 345,469,631.406 | 3,282,138.627 | – | – | ||||||||||||
David A. Ater | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,797,094.826 | 667,005.949 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | – | – |
Certified Annual Report 29
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg Core Growth Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,898.015 | 244,703.349 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,174.575 | 74,750.866 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,356,553.614 | 118,082.352 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,645.960 | 84,813.329 | – | – | ||||||||||||
Thornburg Value Fund | 64,673,309.598 | 447,696.934 | – | – | ||||||||||||
Thornburg International Value Fund | 60,746,833.041 | 450,024.950 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,382.888 | 24,197.356 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,615.730 | 120,243.993 | – | – | ||||||||||||
Total: | 346,235,149.064 | 2,517,171.301 | – | – | ||||||||||||
David D. Chase | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,792,336.993 | 671,763.782 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,107,955.251 | 64,970.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,243,684.887 | 92,774.402 | – | – | ||||||||||||
Thornburg Value Fund | 64,693,947.421 | 446,508.479 | – | – | ||||||||||||
Thornburg International Value Fund | 60,752,533.146 | 444,324.845 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,837,095.494 | 116,764.229 | – | – | ||||||||||||
Total: | 346,310,480.812 | 2,461,288.921 | – | – | ||||||||||||
Eliot R. Cutler | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,785,534.542 | 678,566.233 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,449,458.366 | 232,489.857 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,199,536.657 | 220,064.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,111,971.636 | 60,953.805 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,350,526.614 | 124,109.352 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,250,801.917 | 85,657.372 | – | – | ||||||||||||
Thornburg Value Fund | 64,599,511.493 | 520,944.407 | – | – | ||||||||||||
Thornburg International Value Fund | 60,724,718.843 | 472,139.148 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,134,780.624 | 21,799.620 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,832,732.499 | 121,127.224 | – | – | ||||||||||||
Total: | 346,159,119.642 | 2,592,650.361 | – | – | ||||||||||||
Susan H. Dubin | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,874.816 | 670,225.959 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,198,659.272 | 220,942.092 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,110,371.636 | 62,553.805 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,372,811.385 | 101,824.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,249,237.865 | 87,221.424 | – | – | ||||||||||||
Thornburg Value Fund | 64,679,778.577 | 440,677.323 | – | – | ||||||||||||
Thornburg International Value Fund | 60,742,583.265 | 454,274.726 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | – | – |
30 Certified Annual Report
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg Core Growth Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Investment Income Builder Fund | 20,833,454.801 | 120,404.922 | – | – | ||||||||||||
Total: | 346,285,090.525 | 2,466,679.208 | – | – | ||||||||||||
Brian J. McMahon | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,795,559.677 | 668,541.098 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,205,930.716 | 213,670.648 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,104,748.707 | 68,176.734 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 102,726.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,724.960 | 84,734.329 | – | – | ||||||||||||
Thornburg Value Fund | 64,681,039.437 | 439,416.463 | – | – | ||||||||||||
Thornburg International Value Fund | 60,010,455.736 | 1,186,402.255 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,131,956.015 | 24,624.229 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,227.440 | 120,632.283 | – | – | ||||||||||||
Total: | 345,556,209.517 | 3,195,560.216 | – | – | ||||||||||||
Owen D. Van Essen | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,348.831 | 670,751.944 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,730.914 | 244,870.450 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,708.092 | 74,217.349 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,248,394.246 | 88,065.043 | – | – | ||||||||||||
Thornburg Value Fund | 64,674,135.776 | 446,320.124 | – | – | ||||||||||||
Thornburg International Value Fund | 60,684,276.889 | 512,581.102 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,962.507 | 122,897.216 | – | – | ||||||||||||
Total: | 346,178,126.548 | 2,573,643.185 | – | – | ||||||||||||
James W. Weyhrauch | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,789,717.177 | 674,383.598 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 126,726.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,254,156.818 | 82,302.471 | – | – | ||||||||||||
Thornburg Value Fund | 64,683,895.944 | 436,559.906 | – | – | ||||||||||||
Thornburg International Value Fund | 60,726,245.097 | 470,612.894 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,836,311.264 | 117,548.459 | – | – | ||||||||||||
Total: | 346,278,127.848 | 2,497,641.885 | – | – |
Certified Annual Report 31
OTHER INFORMATION (UNAUDITED), CONTINUED
Thornburg Core Growth Fund | September 30, 2004 |
Ratification of Selection of Independent Registered Public Accounting Firm
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,266,423.303 | 430,123.930 | 767,553.542 | – | |||||||||||||||
Thornburg California Limited Term Municipal Fund | 12,354,990.466 | 167,198.030 | 159,759.457 | – | |||||||||||||||
Thornburg Intermediate Municipal Fund | 27,957,900.165 | 174,857.659 | 286,893.540 | – | |||||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,067,166.377 | 1,155.000 | 104,604.064 | – | |||||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,911,733.415 | 6,868.306 | 9,157.121 | – | |||||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,784,834.660 | 23,509.648 | 38,241.937 | – | |||||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,583.780 | 33,945.016 | 80,017.170 | – | |||||||||||||||
Thornburg Limited Term Income Fund | 27,123,259.928 | 57,081.625 | 156,117.736 | – | |||||||||||||||
Thornburg Value Fund | 64,569,333.454 | 212,238.433 | 338,884.013 | – | |||||||||||||||
Thornburg International Value Fund | 60,444,286.231 | 343,771.766 | 408,700.994 | – | |||||||||||||||
Thornburg Core Growth Fund | 6,110,013.492 | 32,603.465 | 13,963.287 | – | |||||||||||||||
Thornburg Investment Income Builder Fund | 20,812,877.547 | 40,509.369 | 100,472.807 | – | |||||||||||||||
Totals | 344,763,402.818 | 1,523,862.247 | 2,464,365.668 | – |
32 Certified Annual Report
Thornburg Investment Income Builder Fund
September 30, 2004
Table of Contents | ||||
12 | ||||
14 | ||||
15 | ||||
17 | ||||
18 | ||||
22 | ||||
25 | ||||
29 | ||||
30 | ||||
31 | ||||
32 | ||||
35 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
Certified Annual Report 11
Letter to Shareholders
October 26, 2004
Dear Fellow Shareholder:
Recall that the objective of Thornburg Investment Income Builder is to pay attractive, growing dividends to shareholders. As a by-product of achieving this, we also aim to generate capital appreciation of the share price over time. Following are the quarterly dividends paid by your Fund in the fiscal year that ended on September 30, 2004. For comparison, the calendar year 2003 is also shown:
Fiscal Year | Calendar Year | |||||||||||||||||||||||
Dec. Qtr. | March Qtr. | June Qtr. | Sept. Qtr. | Total | 2003 Total | |||||||||||||||||||
A Shares | 17.5¢ | 10.2¢ | 12.5¢ | 15.0¢ | 55.2¢ | 50.3¢ | ||||||||||||||||||
C Shares | 15.9¢ | 8.4¢ | 10.9¢ | 13.7¢ | 48.9¢ | 44.1¢ |
We expect that at least 90% of the regular quarterly dividends paid by your Fund this year will qualify for the 15% tax rate for individual taxpayers on “qualifying dividends.” We do not expect to pay a significant capital gains dividend at the end of 2004, due in part to trades we executed during the latter part of our fiscal year to realize losses for tax purposes. The net asset values of the A and C shares ended the fiscal period at $15.60 and $15.62, respectively, having increased by $1.83 each since October 1, 2003. On September 30, your Fund owned 48 stocks, comprising 83% of your portfolio. You also held 25 different bonds and cash equivalents with a weighted average duration of 1.5 years.
Firms in a broad range of industries contributed to the solid return of your Fund, but two of our top five performers were oil & gas businesses. Marathon Oil Corp., Worthington Industries (steel fabrication & distribution), Korea Tobacco & Ginseng (tobacco, ginseng products), Bank of Ireland (Irish bank), and Occidental Petroleum, (oil exploration & production) were the top five performers for the fiscal year. Altria (tobacco and packaged goods), Pfizer (pharmaceuticals), Morgan Stanley (investment banking & brokerage), Fannie Mae (mortgage finance), and Sindo Ricoh (manufacturer of copiers & printers) were our weakest portfolio performers. The underlying businesses of each of these under-performers exhibited some weakness, relative to expectations, this year. Several of these names were used for late-year tax-loss trades. These trades, while increasing your portfolio turnover ratio, also allow us to refrain from making a significant late-year capital gain distribution.
We were encouraged that several of our weakest performers from the 2003 fiscal year, including Worthington Industries, Kelda Group, Bank of Ireland, and CNOOC (oil & gas exploration & development, offshore China), recovered to contribute positive returns this fiscal year. Our exposure to foreign currencies via the non-U.S. stocks we own was a small net positive during the fiscal year, although the U.S. dollar has been roughly flat with the euro, British pound, and Swiss franc during calendar 2004. On average, your portfolio companies have increased their earnings and dividends over the last year by around 13% and 20%, respectively.
Your Fund’s industry exposures as of September 30 are listed on pages 25 to 28. Banking and diversified financial services firms continue to be important weightings in your portfolio. Here, we have tried to focus on beneficiaries of rising interest rates. We generally maintained at least a 10% weighting of energy holdings in your Investment Income Builder portfolio in the last fiscal year, even though we cut back toward the end of the period. We have been impressed by the fact that senior oil company executives have told us that their assumed oil price when evaluating new projects remains in the $16-$20 per barrel range (less than 50% of today’s price), indicating under-investment in energy exploration and development which should help sustain generally higher energy prices than we observed prior to 2003. We also continue to favor selected firms in the growing, cash generative mobile telecommunications service sector.
12 Certified Annual Report
We remain optimistic about the backdrop for success of our investment program due to ongoing improvements in corporate ability and willingness to pay interest and dividends. The new 15% tax rate on dividend income is important icing on the cake. The low tax on qualifying dividends has motivated other investors to add more dividend paying investments to their portfolios, as you have done through your investment in this Fund. Ability to pay is determined by revenues, earnings, and cash flows after expenses of operating the business. Looking at the broad U.S. market, year-over-year revenue growth of public companies (as represented by the S&P 1500 Index) increased 15%, and operating earnings per share grew 17%, according to the corporate data service Baseline. Net profit margins have firmed. In general, firms outside the U.S. show similar trends and tend to pay higher dividends. Balance sheets have generally improved, as indicated by Moody’s report of declines in the default rate of below-investment-grade bond issues. Hopefully, these positive trends will continue to play out for several years into the future, although we doubt that company revenues and earnings can continue to increase at such high multiples of GDP growth.
Willingness to pay, determined by the behavior of corporate executives and boards, also seems to be improving. The dividend per unit of the S&P 500 Index increased from $3.14 in 1970 to $16.07 in 2002. Progress of the S&P 500 Index dividend stalled between 1999 and 2002, but increased 8% to $17.38 in 2003. Analysts predict that the S&P 500 Index dividend will increase by more than 25% in 2004, to around $22.50! A special dividend by Microsoft will contribute significantly to the large jump, but many other firms are increasing their dividends too. We believe the period of stupid acquisitions, dishonest accounting, and blind pursuit of profitless top-line growth has yielded (for a while) to a more constructive mindset, focusing on profitability and dividends. There is considerable room for further dividend improvement. The ratio of dividend payments to earnings for the S&P 500 Index portfolio is only around 33%.
Your Fund’s investments are reported to you in the latter pages of this report. You can read more about the equity investments in your Fund by going to www.thornburg.com/funds. (If you do not have internet access, please call us at 800-847-0200. We will print and mail you a copy of this.) Thank you for your support, and best wishes.
Sincerely,
Brian McMahon | Brad Kinkelaar | Steven J. Bohlin | ||
President & Chief Investment Officer | Managing Director | Managing Director |
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each Fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager, and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any Fund to differ materially as compared to its benchmarks.
Certified Annual Report 13
STATEMENT OF ASSETS AND LIABILITIES
Thornburg Investment Income Builder Fund | September 30, 2004 |
ASSETS | ||||
Investments at value (cost $364,169,618) | $ | 390,126,019 | ||
Cash | 615,840 | |||
Cash denominated in foreign currency (cost $66,109) | 68,659 | |||
Receivable for securities sold | 16,522,812 | |||
Receivable for fund shares sold | 3,183,421 | |||
Dividends receivable | 2,589,881 | |||
Interest receivable | 621,307 | |||
Prepaid expenses and other assets | 59,347 | |||
Total Assets | 413,787,286 | |||
LIABILITIES | ||||
Payable for securities purchased | 9,846,794 | |||
Payable for fund shares redeemed | 527,526 | |||
Unrealized loss on forward exchange contracts (Note 7) | 962,520 | |||
Payable to investment advisor and other affiliates (Note 3) | 415,538 | |||
Deferred tax payable | 50,297 | |||
Accounts payable and accrued expenses | 256,255 | |||
Dividends Payable | 837,996 | |||
Total Liabilities | 12,896,926 | |||
NET ASSETS | $ | 400,890,360 | ||
NET ASSETS CONSIST OF: | ||||
Undistributed net investment income | $ | 2,970,098 | ||
Net unrealized appreciation (depreciation) on investments, net of deferred taxes payable of $50,297 | 24,955,431 | |||
Accumulated net realized gain (loss) | (2,886,714 | ) | ||
Net capital paid in on shares of beneficial interest | 375,851,545 | |||
$ | 400,890,360 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($224,522,001 applicable to 14,389,458 shares of beneficial interest outstanding — Note 4) | $ | 15.60 | ||
Maximum sales charge, 4.50% of offering price | 0.74 | |||
Maximum Offering Price Per Share | $ | 16.34 | ||
Class C Shares: | ||||
Net asset value and offering price per share * ($143,121,630 applicable to 9,162,268 shares of beneficial interest outstanding — Note 4) | $ | 15.62 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($33,246,729 applicable to 2,126,050 shares of beneficial interest outstanding — Note 4) | $ | 15.64 | ||
*Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. See notes to financial statements.
14 Certified Annual Report
STATEMENT OF OPERATIONS
Thornburg Investment Income Builder Fund | Year Ended September 30, 2004 |
INVESTMENT INCOME | ||||
Dividend income (net of foreign taxes withheld of $1,162,424) | $ | 14,004,384 | ||
Interest income (net of premium amortized of $116,406) | 2,289,618 | |||
Total Income | 16,294,002 | |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 2,291,430 | |||
Administration fees (Note 3) | ||||
Class A Shares | 191,214 | |||
Class C Shares | 115,524 | |||
Class I Shares | 8,244 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 386,367 | |||
Class C Shares | 933,524 | |||
Transfer agent fees | ||||
Class A Shares | 179,940 | |||
Class C Shares | 104,110 | |||
Class I Shares | 17,853 | |||
Registration & filing fees | ||||
Class A Shares | 17,473 | |||
Class C Shares | 12,175 | |||
Class I Shares | 10,245 | |||
Custodian fees (Note 3) | 166,840 | |||
Professional fees | 34,765 | |||
Accounting fees | 7,017 | |||
Trustee fees | 6,063 | |||
Other expenses | 86,029 | |||
Total Expenses | 4,568,813 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (363,415 | ) | ||
Fees paid indirectly (Note 3) | (10,800 | ) | ||
Net Expenses | 4,194,598 | |||
Net Investment Income | $ | 12,099,404 | ||
Certified Annual Report 15
STATEMENT OF OPERATIONS, CONTINUED
Thornburg Investment Income Builder Fund | Year Ended September 30, 2004 |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments | $ | (2,635,154 | ) | |
Foreign currency transactions | (782,759 | ) | ||
(3,417,913 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments, net of change in deferred taxes payable of $50,297 | 22,407,632 | |||
Foreign currency translations | (955,695 | ) | ||
21,451,937 | ||||
Net Realized and Unrealized Gain (Loss) | 18,034,024 | |||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 30,133,428 | ||
See notes to financial statements.
16 Certified Annual Report
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Investment Income Builder Fund
For the period from | ||||||||
December 24, 2002 | ||||||||
(commencement | ||||||||
Year Ended | of operations) | |||||||
September 30, 2004 | to September 30, 2003 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investments income | $ | 12,099,404 | $ | 1,531,993 | ||||
Net realized gain (loss) on investments and foreign currency transactions | (3,417,913 | ) | (150,743 | ) | ||||
Increase (Decrease) in unrealized appreciation on investments, foreign currency translations | 21,451,937 | 3,503,494 | ||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 30,133,428 | 4,884,744 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (5,486,221 | ) | (662,771 | ) | ||||
Class C Shares | (2,936,820 | ) | (266,157 | ) | ||||
Class I Shares | (641,652 | ) | 0 | |||||
FUND SHARE TRANSACTIONS — (NOTE 4) | ||||||||
Class A Shares | 138,687,397 | 70,256,269 | ||||||
Class C Shares | 96,221,064 | 38,483,680 | ||||||
Class I Shares | 32,217,399 | 0 | ||||||
Net Increase in Net Assets | 288,194,595 | 112,695,765 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 112,695,765 | 0 | ||||||
End of period | $ | 400,890,360 | $ | 112,695,765 | ||||
See notes to financial statements.
Certified Annual Report 17
NOTES TO FINANCIAL STATEMENTS
Thornburg Investment Income Builder Fund | September 30, 2004 |
NOTE 1 — ORGANIZATION
The Fund currently offers three classes of shares of beneficial interest, Class A, Class C, and Institutional Class (Class I) shares. Each class of shares of the 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 contingent deferred sales charge upon redemption within one year, and bear both 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, the 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 administration and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees and certain registration and transfer agent expenses.
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Fund are as follows: Valuation of Securities: In determining net asset value, investments are stated at value based on latest sales prices, normally at 4:00 pm EST, reported on national securities exchanges on the last business day of the period. Investments for which no sale is reported are valued at the mean between bid and asked prices. Securities for which market quotations are not readily available are valued at fair value as determined by management and approved in good faith by the Board of Trustees. Short term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
Foreign Currency Translation: Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against the U.S. dollar on the date of valuation. Purchases and sales of securities and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the translation date. When the Fund purchases or sells foreign securities it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in 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.
Deferred Taxes: The Fund is subject to a tax imposed on net realized gains of securities of certain foreign countries. The Fund records an estimated deferred tax liability for net unrealized gains on these securities as reflected in the accompanying financial statements.
Federal Income Taxes: It is the policy of the Fund to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all of its taxable income to its shareholders. Therefore, no provision for Federal income tax is required.
When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with its investment objectives and not for the purpose of investment leverage or to speculate on market changes. At the time the Fund makes a commitment to purchase a security on a when-issued basis, it will record the transaction and reflect the value in determining its 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 on the trade date.
Dividends: Net investment income of the Fund is declared daily as a dividend on shares for which the Fund has received payment. Dividends are paid quarterly and are reinvested in additional shares of the Fund 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 at least annually. Distributions to shareholders are based on income tax regulations and therefore, their characteristics may differ for financial statement and tax purposes.
General: Securities transactions are accounted for on a trade date basis. Interest income is accrued as earned and dividend income
18 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Investment Income Builder Fund | September 30, 2004 |
is recorded on the ex-dividend date. Certain income from foreign securities is recognized as soon as information is available to the Fund. Realized gains and losses from the sale of securities are recorded on an identified cost basis. Net investment income, other than class specific expenses, and realized and unrealized gains and losses, are allocated daily to each class of shares based upon the relative net asset value of outstanding shares of each class of shares at the beginning of the day (after adjusting for the current share activity of the respective class). Expenses common to all funds are allocated among the funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
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 “Advisor”) serves as the investment advisor and performs services to the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2004, these fees were payable at annual rates ranging from .875 of 1% to .675 of 1% of the average daily net assets of the Fund depending on the Fund’s asset size. The Fund also has an administrative services agreement with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% of the average daily net assets attributable to each class of shares. For the year ended September 30, 2004, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $327,374 for Class C shares and $36,041 for Class I shares.
The Fund has an underwriting agreement with Thornburg Securities Corporation (the “Distributor,” an affiliate of the advisor), which acts as the Distributor of the Fund’s shares. For the year ended September 30, 2004, the Distributor has advised the Fund that it earned commissions aggregating $259,633 from the sale of Class A shares of the Fund and collected contingent deferred sales charges aggregating $27,631 from redemptions of Class C shares of the Fund.
Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of its average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder related services. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
The Fund has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Fund’s Class C shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C shares of the Fund at an annual rate of up to .75 of 1% of the average daily net assets attributable to Class C shares. Total fees incurred by the distributor for each class of shares of the Fund under its respective Service and Distribution Plans are set forth in the statement of operations.
The Fund has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees have been adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the Statement of Operations. For the year ended September 30, 2004, the fees paid indirectly were $10,800.
Certain officers and trustees of the Trust are also officers and/or directors of the Advisor and Distributor. The compensation of unaffiliated trustees is borne by the Trust.
Certified Annual Report 19
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Investment Income Builder Fund | September 30, 2004 |
NOTE 4 — SHARES OF BENEFICIAL INTEREST
At September 30, 2004 there were an unlimited number of shares of beneficial interest authorized. Sales of Class I shares of the Thornburg Investment Income Builder Fund commenced November 01, 2003. Transactions in shares of beneficial interest were as follows:
For the Period from December 24, 2002 | ||||||||||||||||
Year Ended | (commencement of operations) to | |||||||||||||||
September 30, 2004 | September 30, 2003 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 10,579,300 | $ | 160,956,212 | 5,334,254 | $ | 70,587,793 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 283,535 | 4,388,856 | 41,869 | 568,052 | ||||||||||||
Shares repurchased** | (1,780,207 | ) | (26,657,671 | ) | (69,293 | ) | (899,576 | ) | ||||||||
Net Increase (Decrease) | 9,082,628 | $ | 138,687,397 | 5,306,830 | $ | 70,256,269 | ||||||||||
** | The Fund charges a redemption fee of 1% of the Class A shares exchanged within 90 days of purchase. For the year ended September 30, 2004 and period ended September 30, 2003, $33,971 and $2,155, respectively, were netted in the amount reported for shares repurchased. |
Class C Shares | ||||||||||||||||
Shares sold | 6,542,027 | $ | 100,023,227 | 2,880,165 | $ | 38,582,969 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 120,816 | 1,873,063 | 12,283 | 167,691 | ||||||||||||
Shares repurchased | (372,748 | ) | (5,675,226 | ) | (20,275 | ) | (266,980 | ) | ||||||||
Net Increase (Decrease) | 6,290,095 | $ | 96,221,064 | 2,872,173 | $ | 38,483,680 | ||||||||||
Class I Shares* | ||||||||||||||||
Shares sold | 2,128,882 | $ | 32,252,605 | — | $ | — | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 36,925 | 573,313 | — | — | ||||||||||||
Shares repurchased ** | (39,757 | ) | (608,519 | ) | — | — | ||||||||||
Net Increase (Decrease) | 2,126,050 | $ | 32,217,399 | — | $ | — | ||||||||||
* | Effective date for Class I shares was November 1, 2003. | |||
** | The Fund charges a redemption fee of 1% of the Class I shares exchanged within 90 days of purchase. For the period ended September 30, 2004, $1,717 was netted in the amount reported for shares repurchased. |
NOTE 5 — SECURITIES TRANSACTIONS
For the year ended September 30, 2004 the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $504,150,207 and $272,768,923, respectively.
NOTE 6 — INCOME TAXES
At September 30, 2004, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 366,737,870 | ||
Gross unrealized appreciation on a tax basis | $ | 26,547,442 | ||
Gross unrealized depreciation on a tax basis | (3,159,293 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 23,388,149 | ||
Distributable earnings-ordinary income | $ | 3,134,557 | ||
Distributable earnings capital gains | $ | 2,839 | ||
At September 30, 2004, the Fund had deferred tax basis currency and capital losses occurring subsequent to October 31, 2003 of $6,683 and $1,441,597, respectively. For tax purposes, such losses will be reflected in the year ending September 30, 2005.
In order to account for permanent book/tax differences, the Fund decreased accumulated net realized investment loss by $659,650, decreased undistributed net investment income (loss) by $645,386, and decreased net capital paid in on shares of beneficial interest by $14,264. This reclassification has no impact on the net asset value of the Fund. Reclassifications result primarily from investments in REIT’s, partnerships, and currency losses.
The tax character of distributions paid by the Fund for the years ended September 30, 2004 and September 30, 2003 was as follows:
2004 | 2003 | |||||||
Ordinary income | $ | 9,064,693 | $ | 928,928 |
20 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Investment Income Builder Fund | September 30, 2004 |
NOTE 7 — FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK
During the year ended September 30, 2004, the Fund was a party to financial instruments with off-balance sheet risks, primarily currency forward exchange contracts. A forward exchange contract is an agreement between two parties to exchange different currencies at a specified rate at an agreed upon future date. These contracts are purchased in order to minimize the risk to the Fund with respect to its foreign stock transactions from adverse changes in the relationship between the U.S. dollar and foreign currencies. In each case these contracts have been initiated in conjunction with foreign stock transactions. These instruments may involve market risks in excess of the amount recognized on the Statement of Assets and Liabilities. Such risks would arise from the possible inability of counterparties to meet the terms of their contracts, future movement in currency value and interest rates and contract positions that are not exact offsets. These contracts are reported in the financial statements at the Fund’s net equity, as measured by the difference between the forward exchange rates at the reporting date and the forward exchange rates at the dates of entry into the contract.
CONTRACTS TO SELL:
15,000,000 | Euro Dollar for 18,496,950 USD, | |||||
March 31, 2005 | $ | (126,782 | ) | |||
22,000,000 | Greater British Pound for 38,515,400 USD, | |||||
March 7, 2005 | (835,738 | ) | ||||
Net unrealized gain (loss) from forward exchange contracts | $ | (962,520 | ) | |||
Certified Annual Report 21
FINANCIAL HIGHLIGHTS
Thornburg Investment Income Builder Fund |
Year Ended | Period Ended | |||||||
September 30, | September 30, | |||||||
2004 | 2003(c) | |||||||
Class A Shares: | ||||||||
PER SHARE PERFORMANCE (for a share outstanding throughout the period)+ | ||||||||
Net asset value, beginning of period | $ | 13.77 | $ | 11.94 | ||||
Income from investment operations: | ||||||||
Net investment income | 0.72 | 0.56 | ||||||
Net realized and unrealized gain (loss) on investments | 1.66 | 1.60 | ||||||
Total from investment operations | 2.38 | 2.16 | ||||||
Less dividends from: | ||||||||
Net investment income | (0.55 | ) | (0.33 | ) | ||||
Change in net asset value | 1.83 | 1.83 | ||||||
NET ASSET VALUE, end of period | $ | 15.60 | $ | 13.77 | ||||
RATIOS/SUPPLEMENTAL DATA | ||||||||
Total return (a) | 17.40 | % | 18.25 | % | ||||
Ratios to average net assets: | ||||||||
Net investment income | 4.72 | % | 5.65 | %(b) | ||||
Expenses, after expense reductions | 1.50 | % | 1.61 | %(b) | ||||
Expenses, after expense reductions and net of custody credits | 1.49 | % | 1.60 | %(b) | ||||
Expenses, before expense reductions | 1.50 | % | 1.74 | %(b) | ||||
Portfolio turnover rate | 109.21 | % | 52.10 | % | ||||
Net assets at end of period (000) | $ | 224,522 | $ | 73,083 |
(a) | Sales loads are not reflected in computing total return, which is not annualized for periods less than one year. | |||
(b) | Annualized. | |||
(c) | Fund commenced operations on December 24, 2002. | |||
+ | Based on weighted average shares outstanding. |
22 Certified Annual Report
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Investment Income Builder Fund
Year Ended | Period Ended | |||||||
September 30, | September 30, | |||||||
2004 | 2003(c) | |||||||
Class C Shares: | ||||||||
PER SHARE PERFORMANCE (for a share outstanding throughout the period)+ | ||||||||
Net asset value, beginning of period | $ | 13.79 | $ | 11.94 | ||||
Income from investment operations: | ||||||||
Net investment income | 0.66 | 0.51 | ||||||
Net realized and unrealized gain (loss) on investments | 1.66 | 1.62 | ||||||
Total from investment operations | 2.32 | 2.13 | ||||||
Less dividends from: | ||||||||
Net investment income | (0.49 | ) | (0.28 | ) | ||||
Change in net asset value | 1.83 | 1.85 | ||||||
NET ASSET VALUE, end of period | $ | 15.62 | $ | 13.79 | ||||
RATIOS/SUPPLEMENTAL DATA | ||||||||
Total return (a) | 16.89 | % | 18.01 | % | ||||
Ratios to average net assets: | ||||||||
Net investment income | 4.33 | % | 5.10 | %(b) | ||||
Expenses, after expense reductions | 1.89 | % | 1.91 | %(b) | ||||
Expenses, after expense reductions and net of custody credits | 1.89 | % | 1.90 | %(b) | ||||
Expenses, before expense reductions | 2.25 | % | 2.55 | %(b) | ||||
Portfolio turnover rate | 109.21 | % | 52.10 | % | ||||
Net assets at end of period (000) | $ | 143,122 | $ | 39,613 |
(a) | Not annualized for periods less than one year. | |||
(b) | Annualized. | |||
(c) | Fund commenced operations on December 24, 2002. | |||
+ | Based on weighted average shares outstanding. |
Certified Annual Report 23
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Investment Income Builder Fund
Period Ended | ||||
September 30, | ||||
2004 (c) | ||||
Class I Shares: | ||||
PER SHARE PERFORMANCE (for a share outstanding throughout the period)+ | ||||
Net asset value, beginning of period | $ | 14.45 | ||
Income from investment operations: | ||||
Net investment income | 0.74 | |||
Net realized and unrealized gain (loss) on investments | 1.01 | |||
Total from investment operations | 1.75 | |||
Less dividends from: | ||||
Net investment income | (0.56 | ) | ||
Change in net asset value | 1.19 | |||
NET ASSET VALUE, end of period | $ | 15.64 | ||
RATIOS/SUPPLEMENTAL DATA | ||||
Total return (a) | 12.19 | % | ||
Ratios to average net assets: | ||||
Net investment income | 5.33 | %(b) | ||
Expenses, after expense reductions | 0.99 | %(b) | ||
Expenses, after expense reductions and net of custody credits | 0.99 | %(b) | ||
Expenses, before expense reductions | 1.21 | %(b) | ||
Portfolio turnover rate | 109.21 | % | ||
Net assets at end of period (000) | $ | 33,247 |
(a) | Not annualized for periods less than one year. | |||
(b) | Annualized. | |||
(c) | Effective date of Class I Shares was November 01, 2003. | |||
+ | Based on weighted average shares outstanding. |
24 Certified Annual Report
SCHEDULE OF INVESTMENTS
Thornburg Investment Income Builder Fund | September 30, 2004 |
CUSIPS: CLASS A — 885-215-558, CLASS C — 885-215-541, CLASS I — 885-215-467
NASDAQ SYMBOLS: CLASS A — TIBAX, CLASS C — TIBCX, CLASS I — TIBIX
Shares/ | ||||||||
Principal Amount | Value | |||||||
COMMON STOCKS - 81.30% | ||||||||
BANKS (18.10%) | ||||||||
Allied Irish Banks | 500,000 | $ | 8,325,935 | |||||
Bank of America Corp. | 300,000 | 12,999,000 | ||||||
Bank of Ireland | 825,000 | 11,104,971 | ||||||
Barclays plc | 1,700,000 | 16,305,390 | ||||||
Liechtenstein Landesbank | 5,300 | 2,464,622 | ||||||
Lloyds TSB Group plc | 975,000 | 7,613,631 | ||||||
The Bank of New York Co. Inc. | 400,000 | 11,668,000 | ||||||
CAPITAL GOODS (4.10%) | ||||||||
General Electric Co. | 480,000 | 16,118,400 | ||||||
COMMERCIAL SERVICES & SUPPLIES (0.40%) | ||||||||
Electrocomponents | 300,000 | 1,688,449 | ||||||
DIVERSIFIED FINANCIALS (9.60%) | ||||||||
Alliance Capital Management Holding L.P. | 210,000 | 7,455,000 | ||||||
Citigroup Inc. | 230,000 | 10,147,600 | ||||||
Fannie Mae | 70,000 | 4,438,000 | ||||||
JP Morgan Chase & Co. | 200,000 | 7,946,000 | ||||||
WP Stewart & Co. Ltd. | 375,000 | 7,496,250 | ||||||
ENERGY (8.30%) | ||||||||
BP Amoco ADR | 80,000 | 4,602,400 | ||||||
China Petroleum & Chemical Corp. | 20,000,000 | 8,143,009 | ||||||
CNOOC Ltd.ADR | 85,000 | 4,471,000 | ||||||
Gail India Ltd. | 1,000,000 | 4,157,769 | ||||||
Marathon Oil Corp. | 270,000 | 11,145,600 | ||||||
FOOD BEVERAGE & TOBACCO (3.00%) | ||||||||
Fresh Del Monte Produce Inc. | 250,000 | 6,227,500 | ||||||
Korean Tobacco & Ginseng Corp. | 210,000 | 5,553,192 | ||||||
FOOD & STAPLES RETAILING (3.30%) | ||||||||
Tesco plc | 2,500,000 | 12,905,418 | ||||||
HEALTH CARE EQUIPMENT & SERVICES (2.00%) | ||||||||
Johnson & Johnson | 140,000 | 7,886,200 | ||||||
HOUSEHOLD & PERSONAL PRODUCTS (1.00%) | ||||||||
Kimberly Clark de Mexico | 1,280,000 | 3,758,159 | ||||||
HOTELS RESTAURANTS & LEISURE (0.80%) | ||||||||
IHOP Corp. | 80,000 | 3,056,800 | ||||||
INSURANCE (1.70%) | ||||||||
Lincoln National Corp. | 140,000 | 6,580,000 |
Certified Annual Report 25
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Investment Income Builder Fund | September 30, 2004 |
Shares/ | ||||||||
Principal Amount | Value | |||||||
MATERIALS (1.50%) | ||||||||
PPG Industries Inc. | 70,000 | $ | 4,289,600 | |||||
UPM Kymmene Oyj | 85,000 | 1,618,063 | ||||||
MEDIA (2.30%) | ||||||||
APN News & Media | 1,500,000 | 4,932,141 | ||||||
Independent News & Media Finance | 1,510,000 | 3,825,087 | ||||||
PHARMACEUTICALS & BIOTECHNOLOGY (3.10%) | ||||||||
GlaxoSmithKline plc | 550,000 | 11,854,435 | ||||||
REAL ESTATE MANAGEMENT & DEVELOPMENT (1.60%) | ||||||||
Boston Properties, Inc. | 113,000 | 6,259,070 | ||||||
RETAILING (0.80%) | ||||||||
Kingfisher plc | 575,000 | 3,207,579 | ||||||
SOFTWARE & SERVICES (3.40%) | ||||||||
Microsoft Corp. | 475,000 | 13,133,750 | ||||||
TECHNOLOGY — HARDWARE & EQUIPMENT (1.50%) | ||||||||
Samsung Electronics Co. Ltd. | 15,000 | 5,966,131 | ||||||
TELECOMMUNICATION SERVICES (7.80%) | ||||||||
Alltel Corp. | 115,000 | 6,314,650 | ||||||
TIM S.p.A. | 1,800,000 | 9,700,552 | ||||||
Vodafone Group plc | 6,000,000 | 14,359,964 | ||||||
TRANSPORTATION (3.20%) | ||||||||
China Merchants Hldgs. Intl. Co. Ltd. | 4,000,000 | 6,027,109 | ||||||
Hopewell Highway | 6,500,000 | 4,084,328 | ||||||
Shenzhen Chiwan Wharf Holdings Ltd. | 1,411,574 | 2,465,426 | ||||||
UTILITIES (3.80%) | ||||||||
Datang International Power Generation Co. Ltd. | 3,050,000 | 2,483,618 | ||||||
NiSource Inc. | 182,000 | 3,823,820 | ||||||
Scottish Power plc | 280,000 | 8,635,200 | ||||||
TOTAL COMMON STOCKS (Cost $292,193,724) | 317,238,818 | |||||||
PREFERRED STOCK - 2.20% | ||||||||
DIVERSIFIED FINANCIALS (2.10%) | ||||||||
JP Morgan Chase & Co. | 50,000 | 2,579,690 | ||||||
JP Morgan Chase & Co. | 17,400 | 1,765,317 | ||||||
Lehman Brothers Holdings Inc. | 140,000 | 3,530,800 | ||||||
ENERGY (0.10%) | ||||||||
El Paso Tennessee Pipeline Co. | 10,000 | 458,125 | ||||||
TOTAL PREFERRED STOCK (Cost $8,265,155) | 8,333,932 | |||||||
26 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Investment Income Builder Fund | September 30, 2004 |
Shares/ | ||||||||
Principal Amount | Value | |||||||
CORPORATE BONDS - 7.60% | ||||||||
BANKS (0.60%) | ||||||||
Capital One Bank, 6.70%, 5/15/2008 | $ | 655,000 | $ | 717,912 | ||||
Capital One Bank, 6.50%, 6/13/2013 | 1,500,000 | 1,640,289 | ||||||
COMMERCIAL SERVICES & SUPPLIES (0.20%) | ||||||||
Allied Waste North America Inc., 6.375%, 4/15/2011 | 500,000 | 486,250 | ||||||
Waste Management Inc., 7.375%, 8/1/2010 | 175,000 | 202,002 | ||||||
DIVERSIFIED FINANCIALS (1.00%) | ||||||||
SLM Corp. Medium Term Note CPI Floating Rate, 4.47%, 3/2/2009 | 2,000,000 | 2,017,720 | ||||||
SLM Corp. Medium Term Note CPI Floating Rate, 5.39%, 1/31/2014 | 2,000,000 | 2,023,060 | ||||||
ENERGY (0.40%) | ||||||||
Sonat Inc., 7.625%, 7/15/2011 | 1,400,000 | 1,379,000 | ||||||
INSURANCE (1.30%) | ||||||||
AAG Holding Co. Inc., 6.875%, 6/1/2008 | 335,000 | 355,361 | ||||||
Hartford Life Inc., 7.10%, 6/15/2007 | 400,000 | 438,319 | ||||||
Liberty Mutual Group Inc., 5.75%, 3/15/2014 | 1,000,000 | 993,496 | ||||||
Old Republic International Corp., 7.00%, 6/15/2007 | 1,000,000 | 1,094,724 | ||||||
Pacific Life Global Funding CPI Floating Rate, 5.446%, 2/6/2016 | 2,000,000 | 2,027,020 | ||||||
Provident Cos Inc., 6.375%, 7/15/2005 | 353,000 | 361,031 | ||||||
MEDIA (0.30%) | ||||||||
AOL Time Warner Inc., 6.875%, 5/1/2012 | 425,000 | 474,163 | ||||||
Independent News & Media Finance, 5.75%, 5/17/2009 | 600,000 | 750,787 | ||||||
PHARMACEUTICALS & BIOTECHNOLOGY (1.30%) | ||||||||
Tiers Inflation Linked Trust Series Wyeth 2004 21 Trust Certificate CPI Floating Rate, 4.84%, 2/1/2014 | 5,000,000 | 4,885,650 | ||||||
REAL ESTATE MANAGEMENT & DEVELOPMENT (0.40%) | ||||||||
MDC Holdings Inc., 7.00%, 12/1/2012 | 1,500,000 | 1,677,472 | ||||||
TECHNOLOGY — HARDWARE & EQUIPMENT (0.10%) | ||||||||
Jabil Circuit Inc., 5.875%, 7/15/2010 | 500,000 | 523,068 | ||||||
TELECOMMUNICATION SERVICES (2.00%) | ||||||||
Level 3 Communications Inc., 9.125%, 5/1/2008 | 2,800,000 | 2,058,000 | ||||||
Level 3 Communications Inc., 10.50%, 12/1/2008 | 4,000,000 | 2,960,000 | ||||||
TCI Communications Inc., 7.875%, 8/1/2013 | 2,285,000 | 2,674,585 | ||||||
TOTAL CORPORATE BONDS (Cost $29,053,485) | 29,739,909 | |||||||
CONVERTIBLE BONDS - 0.00% (a) | ||||||||
DIVERSIFIED FINANCIALS (0.00%) | ||||||||
E-Trade Financial Corp., 6.00%, 2/1/2007 | 132,000 | 134,970 | ||||||
TOTAL CONVERTIBLE BONDS (Cost $111,501) | 134,970 | |||||||
Certified Annual Report 27
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Investment Income Builder Fund | September 30, 2004 |
Shares/ | ||||||||
Principal Amount | Value | |||||||
U.S. GOVERNMENT AGENCIES - 0.50% | ||||||||
Federal National Mortgage Association CPI Floating Rate, 4.406%, 2/17/2009 | $ | 2,000,000 | $ | 2,009,360 | ||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $2,000,000) | 2,009,360 | |||||||
MUNICIPAL BONDS - 1.10% | ||||||||
Short Pump Town Center Community Development, 6.26%, 2/1/2009 | 2,000,000 | 1,993,120 | ||||||
Victor New York, 9.05%, 5/1/2008 | 2,050,000 | 2,181,036 | ||||||
TOTAL MUNICIPAL BONDS (Cost $4,119,071) | 4,174,156 | |||||||
SHORT TERM INVESTMENTS - 7.30% | ||||||||
American General Finance Corp., 1.75% due 10/1/2004 | 4,500,000 | 4,500,000 | ||||||
American General Finance Corp., 1.81% due 10/4/2004 | 8,500,000 | 8,498,718 | ||||||
American General Finance Corp., 1.82% due 10/5/2004 | 6,500,000 | 6,498,685 | ||||||
UBS Finance, 1.70% due 10/6/2004 | 1,000,000 | 999,764 | ||||||
UBS Finance, 1.72% due 10/7/2004 | 8,000,000 | 7,997,707 | ||||||
TOTAL SHORT TERM INVESTMENTS (Cost $28,494,874) | 28,494,874 | |||||||
TOTAL INVESTMENTS (100%) (Cost $364,169,618) | $ | 390,126,019 | ||||||
(a) | Comprises less than one tenth of one percent of the portfolio | |||
See notes to financial statements. |
INDUSTRY EXPOSURE
As of 9/30/04
Banks | 18.7 | % | ||
Diversified Financials | 12.8 | % | ||
Telecommunication Services | 9.8 | % | ||
Energy | 8.7 | % | ||
Pharmaceuticals & Biotechnology | 4.4 | % | ||
Capital Goods | 4.1 | % | ||
Utilities | 3.8 | % | ||
Software & Services | 3.4 | % | ||
Food & Staples Retailing | 3.3 | % | ||
Transportation | 3.2 | % | ||
Insurance | 3.0 | % | ||
Food Beverage & Tobacco | 3.0 | % | ||
Media | 2.6 | % | ||
Real Estate Management & Development | 2.0 | % | ||
Health Care Equipment & Services | 2.0 | % | ||
Technology — Hardware & Equipment | 1.6 | % | ||
Materials | 1.5 | % | ||
Municipal Bonds | 1.1 | % | ||
Household & Personal Products | 1.0 | % | ||
Retailing | 0.8 | % | ||
Hotels Restaurants & Leisure | 0.8 | % | ||
Commercial Services & Supplies | 0.6 | % | ||
U.S. Government Agencies | 0.5 | % | ||
Short-term Investments | 7.3 | % |
COUNTRY EXPOSURE
As of 9/30/04
U.S. | 48.9 | % | ||
U.K. | 20.8 | % | ||
China | 7.1 | % | ||
Ireland | 6.1 | % | ||
South Korea | 3.0 | % | ||
Italy | 2.5 | % | ||
Australia | 1.3 | % | ||
India | 1.0 | % | ||
Mexico | 1.0 | % | ||
Switzerland | 0.6 | % | ||
Finland | 0.4 | % | ||
Short-term Investments | 7.3 | % |
28 Certified Annual Report
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Investment Income Builder Fund
To the Trustees and Shareholders of
Thornburg Investment Income Builder Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg Investment Income Builder Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the “Fund”) at September 30, 2004, the results of its operations for the year then ended and the changes in its net assets for the year then ended and the period from December 24, 2002 (commencement of operations) to September 30, 2003 and the financial highlights for the periods presented, 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 Fund’s 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 the standards of the Public Company Accounting Oversight Board (United States). Those standards 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, 2004 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 9, 2004
Certified Annual Report 29
EXPENSE EXAMPLE
Thornburg Investment Income Builder Fund | September 30, 2004 |
As a shareholder of the Fund, you incur two types of costs:
(1) transaction costs, including
(a) sales charges (loads) on purchase payments for Class A shares,
(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase,
(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase,
(d) a 90-day redemption fee on Class A and Class I shares; and
(2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses.
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested on April 1, 2004 and held until September 30, 2004.
Actual Expenses
The first line of the table at right provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table at right provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Beginning | Ending | Expenses Paid | ||||||||||
Account Value | Account Value | During Period† | ||||||||||
4/1/04 | 9/30/04 | 4/1/04-9/30/04 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,016.50 | $ | 7.63 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.43 | $ | 7.63 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,015.20 | $ | 9.50 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,015.57 | $ | 9.51 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.80 | $ | 5.00 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.05 | $ | 5.00 |
†Expenses are equal to the annualized expense ratio for each class (A: 1.51%; C: 1.89%; and I: 0.99%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period.
* Hypothetical assumes a rate of return of 5% per year before expenses.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
30 Certified Annual Report
INDEX COMPARISON | ||
Thornburg Investment Income Builder Fund | September 30, 2004 |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Investment Income Builder Fund versus Blended Index (December 31, 2002 to September 30, 2004)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended September 30, 2004 (with sales charge)
Since | ||||||||
1 Yr | Inception | |||||||
A Shares (Incep: 12/24/02) | 12.10 | % | 17.28 | % | ||||
C Shares (Incep: 12/24/02) | 15.89 | % | 19.93 | % | ||||
Blended Index (Since: 12/31/02) | 13.70 | % | 15.57 | % |
Performance data reflect past performance, which is no guarantee of future results. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares.
Returns reflect the reinvestment of dividends and capital gains and the following sales charges. Class A shares are sold with a maximum sales charge of 4.50%. Class C shares are subject to a 1% contingent deferred sales charge (CDSC) for the first year only.
The blended index is comprised of 25% Lehman Brothers Aggregate Bond Index and 75% MSCI World Equity Index. The Lehman Brothers Aggregate Bond Index is composed of approximately 6,000 publicly traded bonds including U.S. government, mortgage-backed, corporate and Yankee bonds with an average maturity of approximately 10 years. The index is weighted by the market value of the bond included in the index. This index represents asset types which are subject to risk, including loss of principal. The Morgan Stanley Capital International World Equity Index is a total return index, reported in U.S. dollars, based on share prices and reinvested gross dividends of approximately 1600 companies from 22 countries: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Italy, Japan, Malaysia, Netherlands, New Zealand, Norway, Singapore, Spain, Sweden, Switzerland, the United Kingdom, and the United States. The securities represented in this index may experience loss of invested principal and are subject to investment risk. In exchange for greater growth potential, investments in foreign securities can have added risks. These include changes in currency rates, economic and monetary policy, differences in auditing standards and risks related to political and economic developments. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index. The performance of any index is not indicative of the performance of any particular investment.
Certified Annual Report 31
TRUSTEES AND OFFICERS Thornburg Investment Income Builder Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
INTERESTED TRUSTEES(2)(4) | ||||
Garrett Thornburg, 58 Chairman of Trustees Trustee since 1987(3) | CEO, Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor) and Thornburg Securities Corporation (securities dealer); Chairman of Thornburg Limited Term Municipal Fund, Inc. (registered investment company) to 2004; CEO and Chairman of Thornburg Mortgage, Inc. (real estate investment trust); Chairman of Thornburg Mortgage Advisory Corporation (investment manager to Thornburg Mortgage, Inc.). | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Brian J. McMahon, 48 Trustee since 2001 President since 1997(5)(6) | President and Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | None | ||
INDEPENDENT TRUSTEES(2)(4) | ||||
David A. Ater, 59 Trustee since 1994 | Principal in Ater & Ater Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner developer and broker for various real estate projects. | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
David D. Chase, 63 Trustee since 2000 | Chairman, President, CEO, and General Partner of Vestor Partners, LP, Santa Fe, NM (private equity fund); Chairman and CEO of Vestor Holdings, Inc., Santa Fe, NM (merchant bank). | Director of Thornburg Limited Term Municipal Fund, Inc. 2001–2004 | ||
Eliot R. Cutler, 58 Trustee since 2004 | Partner, Akin, Gump, Strauss, Hauer & Feld, LLP, Washington, D.C. (law firm) since November 2000; partner, Cutler & Stanfield, Washington, D.C. (law firm) until November 2000. | Director of Thornburg Limited Term Municipal Fund, Inc. to 2004; director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Susan H. Dubin, 55 Trustee since 2004 | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations; and formerly, Vice President of Chemical Bank (predecessor to JP Morgan Chase & Co.), New York, 1974–1996. | None | ||
Forrest S. Smith, 74 Trustee since 1987 | Trust and estate attorney, of counsel to Catron, Catron & Pottow, Santa Fe, NM (law firm). | None | ||
Owen D. Van Essen, 50 Trustee since 2004 | President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 45 Trustee since 1996 | Executive Vice President and Director to 2002, and since 2002; CEO and Vice Chairman, Nambé Mills, Inc., Santa Fe, NM (manufacturer). | None |
32 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(6)(7) | ||||
Dawn B. Fischer, 57 Secretary since 1987 | Secretary and Managing Director, Thornburg Investment Management, Inc.; Secretary, Thornburg Limited Term Municipal Fund, Inc. to 2004; Secretary, Thornburg Securities Corporation;Vice President, Daily Tax Free Income Fund, Inc. (registered investment company). | Not applicable | ||
Steven J. Bohlin, 45 Vice President, since 1987; Treasurer since 1989 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
George T. Strickland, 41 Vice President since 1996 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President (and Treasurer since 2003) of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
William V. Fries, 65 Vice President since 1995 | Vice President and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 37 Vice President since 2001 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2004. | Not applicable | ||
Kenneth Ziesenheim, 50 Vice President since 1995 | Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Securities Corporation;Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Alexander Motola, 34 Vice President since 2001 | Managing Director of Thornburg Investment Management, Inc. since 2000; Portfolio Manager, Insight Capital Research & Management, Inc., Walnut Creek, California 1995–2000. | Not applicable | ||
Wendy Trevisani, 33 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 2000 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2002; Sales Representative, Solomon Smith Barney 1996–1999. | Not applicable | ||
Joshua Gonze, 41 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 1999 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Brad Kinkelaar, 36 Vice President since 1999 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 1999, Vice President since 2000, and Managing Director since 2004; Equity Investment Analyst, State Farm Insurance Companies 1996–1999. | Not applicable | ||
Kerry D. Lee, 37 Vice President since 1999 | Vice President of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable |
Certified Annual Report 33
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
Christopher Ihlefeld, 34 Vice President since 2003 | Associate Portfolio Manager since 1999; Vice President of Thornburg Investment Management, Inc. since 2002; Vice President of Limited Term Municipal Fund, Inc., 2003–2004. | Not applicable | ||
Leon Sandersfeld, 38 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2002; Senior Staff Accountant, Farm Bureau Life Insurance Co. 1998–2002. | Not applicable | ||
Sasha Wilcoxon, 30 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2000; and Mutual Fund Support Service Department Manager since 2002. | Not applicable | ||
Ed Maran, 46 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Analyst, USAA 2001–2002; Oil Analyst, A.G. Edwards 1997–2000. | Not applicable | ||
Vinson Walden, 34 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Associate Portfolio Manager, Ibis Management 2002–2004; Associate, Lehman Brothers, 1997–2001. | Not applicable |
(1) | Each person’s address is 119 East Marcy Street, Santa Fe, New Mexico 87501. | |||
(2) | The Fund is one of twelve separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. The Trust currently has twelve active Funds. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twelve funds of the Trust. Each Trustee oversees the twelve portfolios in the fund complex. | |||
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is a director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twelve active funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. | |||
(4) | Each Trustee serves in office until the election and qualification of a successor. | |||
(5) | Mr. McMahon is considered an “interested” Trustee because he is the president of Thornburg Investment Management, Inc. | |||
(6) | The Trust’s president, secretary and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. | |||
(7) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
34 Certified Annual Report
OTHER INFORMATION (UNAUDITED) | ||
Thornburg Investment Income Builder Fund | September 30, 2004 |
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to Thornburg Investment Management, Inc. (“the Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.
Commencing August 31, 2004, information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request, on the Thornburg website at www.thornburg.com and (ii) on the Securities and Exchange Commission’s website at www.sec.gov.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund will file with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year, commencing with the calendar quarter ending December 31, 2004. The Fund’s Forms N-Q will be available on the Commission’s website at http://www.sec.gov, or may be copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg.com/download or upon request by calling 1-800-847-0200.
TAX INFORMATION
For the tax year ended September 30, 2004, the Thornburg Investment Income Builder Fund designates 100% of the dividends paid from tax basis net ordinary income as qualifying for the reduced rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003. The information and distributions reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2004. Complete information will be computed and reported in conjunction with your 2004 Form 1099-DIV.
SHAREHOLDER MEETING INFORMATION
A special meeting (the “Meeting”) of the shareholders of Thornburg Investment Trust (the “Trust”) was held on September 13, 2004 at the offices of Thornburg Investment Management, Inc., 119 East Marcy Street, Santa Fe, New Mexico 87501. Thornburg Investment Income Builder Fund is one of 12 active series or “Funds” of the Trust.
The shareholders of the Trust considered at the Meeting (i) the election of Trustees, and (ii) ratification of the selection of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm for the fiscal year ending September 30, 2004.
The Trustees elected at the Meeting were Garrett Thornburg, David A. Ater, David D. Chase, Eliot R. Cutler, Susan H. Dubin, Brian J. McMahon, Owen D. Van Essen and James W.Weyhrauch. Forrest S. Smith, a Trustee since 1987 did not stand for election; his term of office will continue through the end of 2004, when he will retire in accordance with the Trust’s Bylaws. The shareholders also ratified the appointment of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm.
The voting results for the matters voted on are set out for each Fund as follows:
Election of Trustees
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Garrett Thornburg | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,772,086.332 | 692,014.443 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,202,049.716 | 217,551.648 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,555.521 | 114,080.445 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,255,221.686 | 81,237.603 | — | — | ||||||||||||
Thornburg Value Fund | 64,672,758.966 | 447,696.934 | — | — | ||||||||||||
Thornburg International Value Fund | 59,954,867.369 | 1,241,990.622 | — | — |
Certified Annual Report 35
OTHER INFORMATION (UNAUDITED), CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Core Growth Fund | 6,135,097.039 | 21,483.205 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,943.082 | 122,916.941 | — | — | ||||||||||||
Total: | 345,469,631.406 | 3,282,138.627 | — | — | ||||||||||||
David A. Ater | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,797,094.826 | 667,005.949 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,898.015 | 244,703.349 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,174.575 | 74,750.866 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,356,553.614 | 118,082.352 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,645.960 | 84,813.329 | — | — | ||||||||||||
Thornburg Value Fund | 64,673,309.598 | 447,696.934 | — | — | ||||||||||||
Thornburg International Value Fund | 60,746,833.041 | 450,024.950 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,132,382.888 | 24,197.356 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,615.730 | 120,243.993 | — | — | ||||||||||||
Total: | 346,235,149.064 | 2,517,171.301 | — | — | ||||||||||||
David D. Chase | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,792,336.993 | 671,763.782 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,107,955.251 | 64,970.190 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,243,684.887 | 92,774.402 | — | — | ||||||||||||
Thornburg Value Fund | 64,693,947.421 | 446,508.479 | — | — | ||||||||||||
Thornburg International Value Fund | 60,752,533.146 | 444,324.845 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,837,095.494 | 116,764.229 | — | — | ||||||||||||
Total: | 346,310,480.812 | 2,461,288.921 | — | — | ||||||||||||
Eliot R. Cutler | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,785,534.542 | 678,566.233 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,449,458.366 | 232,489.857 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,199,536.657 | 220,064.707 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,111,971.636 | 60,953.805 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,350,526.614 | 124,109.352 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,250,801.917 | 85,657.372 | — | — | ||||||||||||
Thornburg Value Fund | 64,599,511.493 | 520,944.407 | — | — | ||||||||||||
Thornburg International Value Fund | 60,724,718.843 | 472,139.148 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,134,780.624 | 21,799.620 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,832,732.499 | 121,127.224 | — | — | ||||||||||||
Total: | 346,159,119.642 | 2,592,650.361 | — | — | ||||||||||||
Susan H. Dubin | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,874.816 | 670,225.959 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,198,659.272 | 220,942.092 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,110,371.636 | 62,553.805 | — | — |
36 Certified Annual Report
OTHER INFORMATION (UNAUDITED), CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,372,811.385 | 101,824.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,249,237.865 | 87,221.424 | — | — | ||||||||||||
Thornburg Value Fund | 64,679,778.577 | 440,677.323 | — | — | ||||||||||||
Thornburg International Value Fund | 60,742,583.265 | 454,274.726 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,454.801 | 120,404.922 | — | — | ||||||||||||
Total: | 346,285,090.525 | 2,466,679.208 | — | — | ||||||||||||
Brian J. McMahon | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,795,559.677 | 668,541.098 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,205,930.716 | 213,670.648 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,104,748.707 | 68,176.734 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 102,726.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,724.960 | 84,734.329 | — | — | ||||||||||||
Thornburg Value Fund | 64,681,039.437 | 439,416.463 | — | — | ||||||||||||
Thornburg International Value Fund | 60,010,455.736 | 1,186,402.255 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,131,956.015 | 24,624.229 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,227.440 | 120,632.283 | — | — | ||||||||||||
Total: | 345,556,209.517 | 3,195,560.216 | — | — | ||||||||||||
Owen D.Van Essen | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,348.831 | 670,751.944 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,730.914 | 244,870.450 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,708.092 | 74,217.349 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,248,394.246 | 88,065.043 | — | — | ||||||||||||
Thornburg Value Fund | 64,674,135.776 | 446,320.124 | — | — | ||||||||||||
Thornburg International Value Fund | 60,684,276.889 | 512,581.102 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,962.507 | 122,897.216 | — | — | ||||||||||||
Total: | 346,178,126.548 | 2,573,643.185 | — | — | ||||||||||||
James W.Weyhrauch | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,789,717.177 | 674,383.598 | — | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | — | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | — | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | — | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | — | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | — | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 126,726.581 | — | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,254,156.818 | 82,302.471 | — | — | ||||||||||||
Thornburg Value Fund | 64,683,895.944 | 436,559.906 | — | — | ||||||||||||
Thornburg International Value Fund | 60,726,245.097 | 470,612.894 | — | — | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | — | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,836,311.264 | 117,548.459 | �� | — | — | |||||||||||
Total: | 346,278,127.848 | 2,497,641.885 | — | — |
Certified Annual Report 37
OTHER INFORMATION (UNAUDITED), CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2004 |
Ratification of Selection of Independent Registered Public Accounting Firm
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Limited Term Municipal Fund | 89,266,423.303 | 430,123.930 | 767,553.542 | — | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,354,990.466 | 167,198.030 | 159,759.457 | — | ||||||||||||
Thornburg Intermediate Municipal Fund | 27,957,900.165 | 174,857.659 | 286,893.540 | — | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,067,166.377 | 1,155.000 | 104,604.064 | — | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,911,733.415 | 6,868.306 | 9,157.121 | — | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,784,834.660 | 23,509.648 | 38,241.937 | — | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,583.780 | 33,945.016 | 80,017.170 | — | ||||||||||||
Thornburg Limited Term Income Fund | 27,123,259.928 | 57,081.625 | 156,117.736 | — | ||||||||||||
Thornburg Value Fund | 64,569,333.454 | 212,238.433 | 338,884.013 | — | ||||||||||||
Thornburg International Value Fund | 60,444,286.231 | 343,771.766 | 408,700.994 | — | ||||||||||||
Thornburg Core Growth Fund | 6,110,013.492 | 32,603.465 | 13,963.287 | — | ||||||||||||
Thornburg Investment Income Builder Fund | 20,812,877.547 | 40,509.369 | 100,472.807 | — | ||||||||||||
Totals | 344,763,402.818 | 1,523,862.247 | 2,464,365.668 | — |
38 Certified Annual Report
Thornburg Investment Income Builder Fund
I Shares – September 30, 2004
Table of Contents
12 | ||||
14 | ||||
15 | ||||
17 | ||||
18 | ||||
22 | ||||
23 | ||||
27 | ||||
28 | ||||
29 | ||||
30 | ||||
33 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies,including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
Certified Annual Report 11
Letter to Shareholders
October 26, 2004
Dear Fellow Shareholder:
Recall that the objective of Thornburg Investment Income Builder is to pay attractive, growing dividends to shareholders. As a by-product of achieving this, we also aim to generate capital appreciation of the share price over time. Following are the quarterly dividends paid by your Fund in the fiscal period that began on November 1, 2003 and ended on September 30, 2004.
Dec. Qtr. | March Qtr. | June Qtr. | Sept.Qtr. | Fiscal Year Total | ||||||||||||||||
I Shares | 14.5¢ | * | 11.7¢ | 13.6¢ | 16.0¢ | 55.8¢ | * |
• inception date for I shares was 11/1/2003
We expect that at least 90% of the regular quarterly dividends paid by your Fund this year will qualify for the 15% tax rate for individual taxpayers on “qualifying dividends.” We do not expect to pay a significant capital gains dividend at the end of 2004, due in part to trades we executed during the latter part of our fiscal year to realize losses for tax purposes. The net asset value of the I shares ended the fiscal period at $15.64, having increased by 17 cents since July 1, 2004 (your I shares were introduced on November 1, 2003). On September 30, your Fund owned 48 stocks, comprising 83% of your portfolio. You also held 25 different bonds and cash equivalents with a weighted average duration of 1.5 years.
Firms in a broad range of industries contributed to the solid return of your Fund, but two of our top five performers were oil & gas businesses. Marathon Oil Corp., Worthington Industries (steel fabrication & distribution), Korea Tobacco & Ginseng (tobacco, ginseng products), Bank of Ireland (Irish bank), and Occidental Petroleum, (oil exploration & production) were the top five performers for the fiscal year. Altria (tobacco and packaged goods), Pfizer (pharmaceuticals), Morgan Stanley (investment banking & brokerage), Fannie Mae (mortgage finance), and Sindo Ricoh (manufacturer of copiers & printers) were our weakest portfolio performers. The underlying businesses of each of these under-performers exhibited some weakness, relative to expectations, this year. Several of these names were used for late-year tax-loss trades. These trades, while increasing your portfolio turnover ratio, also allow us to refrain from making a significant late-year capital gain distribution.
We were encouraged that several of our weakest performers from the 2003 fiscal year, including Worthington Industries, Kelda Group, Bank of Ireland, and CNOOC (oil & gas exploration & development, offshore China), recovered to contribute positive returns this fiscal year. Our exposure to foreign currencies via the non-U.S. stocks we own was a small net positive during the fiscal year, although the U.S. dollar has been roughly flat with the euro, British pound, and Swiss franc during calendar 2004. On average, your portfolio companies have increased their earnings and dividends over the last year by around 13% and 20%, respectively.
Your Fund’s industry exposures as of September 30 are listed on pages 23 to 26. Banking and diversified financial services firms continue to be important weightings in your portfolio. Here, we have tried to focus on beneficiaries of rising interest rates. We generally maintained at least a 10% weighting of energy holdings in your Investment Income Builder portfolio in the last fiscal year, even though we cut back toward the end of the period. We have been impressed by the fact that senior oil company executives have told us that their assumed oil price when evaluating new projects remains in the $16-$20 per barrel range (less than 50% of today’s price), indicating under-investment in energy exploration and development which should help sustain generally higher energy prices than we observed prior to 2003. We also continue to favor selected firms in the growing, cash generative mobile telecommunications service sector.
We remain optimistic about the backdrop for success of our investment program due to ongoing improvements in corporate ability and willingness to pay interest and dividends. The new 15% tax rate on dividend in-
12 Certified Annual Report
come is important icing on the cake. The low tax on qualifying dividends has motivated other investors to add more dividend paying investments to their portfolios, as you have done through your investment in this Fund. Ability to pay is determined by revenues, earnings, and cash flows after expenses of operating the business. Looking at the broad U.S. market, year-over-year revenue growth of public companies (as represented by the S&P 1500 Index) increased 15%, and operating earnings per share grew 17%, according to the corporate data service Baseline. Net profit margins have firmed. In general, firms outside the U.S. show similar trends and tend to pay higher dividends. Balance sheets have generally improved, as indicated by Moody’s report of declines in the default rate of below-investment-grade bond issues. Hopefully, these positive trends will continue to play out for several years into the future, although we doubt that company revenues and earnings can continue to increase at such high multiples of GDP growth.
Willingness to pay, determined by the behavior of corporate executives and boards, also seems to be improving. The dividend per unit of the S&P 500 Index increased from $3.14 in 1970 to $16.07 in 2002. Progress of the S&P 500 Index dividend stalled between 1999 and 2002, but increased 8% to $17.38 in 2003. Analysts predict that the S&P 500 Index dividend will increase by more than 25% in 2004, to around $22.50! A special dividend by Microsoft will contribute significantly to the large jump, but many other firms are increasing their dividends too. We believe the period of stupid acquisitions, dishonest accounting, and blind pursuit of profitless top-line growth has yielded (for a while) to a more constructive mindset, focusing on profitability and dividends. There is considerable room for further dividend improvement. The ratio of dividend payments to earnings for the S&P 500 Index portfolio is only around 33%.
Your Fund’s investments are reported to you in the latter pages of this report. You can read more about the equity investments in your Fund by going to www.thornburg.com/funds. (If you do not have internet access, please call us at 800-847-0200. We will print and mail you a copy of this.) Thank you for your support, and best wishes.
Sincerely, | ||||
Brian McMahon | Brad Kinkelaar | Steven J. Bohlin | ||
President & Chief Investment Officer | Managing Director | Managing Director |
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each Fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager, and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any Fund to differ materially as compared to its benchmarks.
Certified Annual Report 13
STATEMENT OF ASSETS AND LIABILITIES
Thornburg Investment Income Builder Fund | September 30, 2004 |
ASSETS | ||||
Investments at value (cost $364,169,618) | $ | 390,126,019 | ||
Cash | 615,840 | |||
Cash denominated in foreign currency (cost $66,109) | 68,659 | |||
Receivable for securities sold | 16,522,812 | |||
Receivable for fund shares sold | 3,183,421 | |||
Dividends receivable | 2,589,881 | |||
Interest receivable | 621,307 | |||
Prepaid expenses and other assets | 59,347 | |||
Total Assets | 413,787,286 | |||
LIABILITIES | ||||
Payable for securities purchased | 9,846,794 | |||
Payable for fund shares redeemed | 527,526 | |||
Unrealized loss on forward exchange contracts (Note 7) | 962,520 | |||
Payable to investment advisor and other affiliates (Note 3) | 415,538 | |||
Deferred tax payable | 50,297 | |||
Accounts payable and accrued expenses | 256,255 | |||
Dividends Payable | 837,996 | |||
Total Liabilities | 12,896,926 | |||
NET ASSETS | $ | 400,890,360 | ||
NET ASSETS CONSIST OF: | ||||
Undistributed net investment income | $ | 2,970,098 | ||
Net unrealized appreciation (depreciation) on investments, net of deferred taxes payable of $50,297 | 24,955,431 | |||
Accumulated net realized gain (loss) | (2,886,714 | ) | ||
Net capital paid in on shares of beneficial interest | 375,851,545 | |||
$ | 400,890,360 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($224,522,001 applicable to 14,389,458 shares of beneficial interest outstanding — Note 4) | $ | 15.60 | ||
Maximum sales charge, 4.50% of offering price | 0.74 | |||
Maximum Offering Price Per Share | $ | 16.34 | ||
Class C Shares: | ||||
Net asset value and offering price per share * ($143,121,630 applicable to 9,162,268 shares of beneficial interest outstanding — Note 4) | $ | 15.62 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($33,246,729 applicable to 2,126,050 shares of beneficial interest outstanding — Note 4) | $ | 15.64 | ||
*Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See notes to financial statements.
14 Certified Annual Report
STATEMENT OF OPERATIONS
Thornburg Investment Income Builder Fund | Year Ended September 30, 2004 |
INVESTMENT INCOME | ||||
Dividend income (net of foreign taxes withheld of $1,162,424) | $ | 14,004,384 | ||
Interest income (net of premium amortized of $116,406) | 2,289,618 | |||
Total Income | 16,294,002 | |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 2,291,430 | |||
Administration fees (Note 3) | ||||
Class A Shares | 191,214 | |||
Class C Shares | 115,524 | |||
Class I Shares | 8,244 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 386,367 | |||
Class C Shares | 933,524 | |||
Transfer agent fees | ||||
Class A Shares | 179,940 | |||
Class C Shares | 104,110 | |||
Class I Shares | 17,853 | |||
Registration & filing fees | ||||
Class A Shares | 17,473 | |||
Class C Shares | 12,175 | |||
Class I Shares | 10,245 | |||
Custodian fees (Note 3) | 166,840 | |||
Professional fees | 34,765 | |||
Accounting fees | 7,017 | |||
Trustee fees | 6,063 | |||
Other expenses | 86,029 | |||
Total Expenses | 4,568,813 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (363,415 | ) | ||
Fees paid indirectly (Note 3) | (10,800 | ) | ||
Net Expenses | 4,194,598 | |||
Net Investment Income | $ | 12,099,404 | ||
Certified Annual Report 15
STATEMENT OF OPERATIONS, CONTINUED
Thornburg Investment Income Builder Fund | Year Ended September 30, 2004 |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments | $ | (2,635,154 | ) | |
Foreign currency transactions | (782,759 | ) | ||
(3,417,913 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments, net of change in deferred taxes payable of $50,297 | 22,407,632 | |||
Foreign currency translations | (955,695 | ) | ||
21,451,937 | ||||
Net Realized and Unrealized Gain (Loss) | 18,034,024 | |||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 30,133,428 | ||
See notes to financial statements.
16 Certified Annual Report
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Investment Income Builder Fund
For the period from | ||||||||
December 24, 2002 | ||||||||
(commencement | ||||||||
Year Ended | of operations) | |||||||
September 30, 2004 | to September 30, 2003 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investments income | $ | 12,099,404 | $ | 1,531,993 | ||||
Net realized gain (loss) on investments and foreign currency transactions | (3,417,913 | ) | (150,743 | ) | ||||
Increase (Decrease) in unrealized appreciation on investments, foreign currency translations | 21,451,937 | 3,503,494 | ||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 30,133,428 | 4,884,744 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (5,486,221 | ) | (662,771 | ) | ||||
Class C Shares | (2,936,820 | ) | (266,157 | ) | ||||
Class I Shares | (641,652 | ) | 0 | |||||
FUND SHARE TRANSACTIONS — (NOTE 4) | ||||||||
Class A Shares | 138,687,397 | 70,256,269 | ||||||
Class C Shares | 96,221,064 | 38,483,680 | ||||||
Class I Shares | 32,217,399 | 0 | ||||||
Net Increase in Net Assets | 288,194,595 | 112,695,765 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 112,695,765 | 0 | ||||||
End of period | $ | 400,890,360 | $ | 112,695,765 | ||||
See notes to financial statements.
Certified Annual Report 17
NOTES TO FINANCIAL STATEMENTS
Thornburg Investment Income Builder Fund | September 30, 2004 |
NOTE 1 – ORGANIZATION
Thornburg Investment Income Builder Fund, hereinafter referred to as the “Fund,” is a diversified series of Thornburg Investment Trust (the “Trust”). The Fund commenced operations on December 24, 2002. The Trust was 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 eleven series of shares of beneficial interest in addition to those of the Fund: Thornburg California Limited Term Municipal Fund, Thornburg Limited Term Municipal Fund, Thornburg Limited Term U.S. Government Fund, Thornburg New Mexico Intermediate Municipal Fund, Thornburg Intermediate Municipal Fund, Thornburg Limited Term Income Fund, Thornburg Florida Intermediate Municipal Fund, Thornburg Value Fund, Thornburg International Value Fund, Thornburg New York Intermediate Municipal Fund and Thornburg Core Growth Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund pursues its investment objectives by investing in a broad range of income producing securities, primarily stocks and bonds.
The Fund currently offers three classes of shares of beneficial interest, Class A, Class C, and Institutional Class (Class I) shares. Each class of shares of the 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 contingent deferred sales charge upon redemption within one year, and bear both 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, the 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 administration and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees and certain registration and transfer agent expenses.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Fund are as follows: Valuation of Securities: In determining net asset value, investments are stated at value based on latest sales prices, normally at 4:00 pm EST, reported on national securities exchanges on the last business day of the period. Investments for which no sale is reported are valued at the mean between bid and asked prices. Securities for which market quotations are not readily available are valued at fair value as determined by management and approved in good faith by the Board of Trustees. Short term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
Foreign Currency Translation: Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against the U.S. dollar on the date of valuation. Purchases and sales of securities and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the translation date. When the Fund purchases or sells foreign securities it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in 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.
Deferred Taxes: The Fund is subject to a tax imposed on net realized gains of securities of certain foreign countries. The Fund records an estimated deferred tax liability for net unrealized gains on these securities as reflected in the accompanying financial statements.
Federal Income Taxes: It is the policy of the Fund to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all of its taxable income to its shareholders. Therefore, no provision for Federal income tax is required.
When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with its investment objectives and not for the purpose of investment leverage or to speculate on market changes. At the time the Fund makes a commitment to purchase a security on a when-issued basis, it will record the transaction and reflect the value in determining its 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 on the trade date.
Dividends: Net investment income of the Fund is declared daily as a dividend on shares for which the Fund has received payment. Dividends are paid quarterly and are reinvested in additional shares of the Fund 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 at least annually. Distributions to shareholders are based on income tax regulations and therefore, their characteristics may differ for financial statement and tax purposes.
General: Securities transactions are accounted for on a trade date basis. Interest income is accrued as earned and dividend income
18 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Investment Income Builder Fund | September 30, 2004 |
is recorded on the ex-dividend date. Certain income from foreign securities is recognized as soon as information is available to the Fund. Realized gains and losses from the sale of securities are recorded on an identified cost basis. Net investment income, other than class specific expenses, and realized and unrealized gains and losses, are allocated daily to each class of shares based upon the relative net asset value of outstanding shares of each class of shares at the beginning of the day (after adjusting for the current share activity of the respective class). Expenses common to all funds are allocated among the funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
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 “Advisor”) serves as the investment advisor and performs services to the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2004, these fees were payable at annual rates ranging from .875 of 1% to .675 of 1% of the average daily net assets of the Fund depending on the Fund’s asset size. The Fund also has an administrative services agreement with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% of the average daily net assets attributable to each class of shares. For the year ended September 30, 2004, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $327,374 for Class C shares and $36,041 for Class I shares.
The Fund has an underwriting agreement with Thornburg Securities Corporation (the “Distributor,” an affiliate of the advisor), which acts as the Distributor of the Fund’s shares. For the year ended September 30, 2004, the Distributor has advised the Fund that it earned commissions aggregating $259,633 from the sale of Class A shares of the Fund and collected contingent deferred sales charges aggregating $27,631 from redemptions of Class C shares of the Fund.
Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of its average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder related services. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
The Fund has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Fund’s Class C shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C shares of the Fund at an annual rate of up to .75 of 1% of the average daily net assets attributable to Class C shares. Total fees incurred by the distributor for each class of shares of the Fund under its respective Service and Distribution Plans are set forth in the statement of operations.
The Fund has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees have been adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the Statement of Operations. For the year ended September 30, 2004, the fees paid indirectly were $10,800.
Certain officers and trustees of the Trust are also officers and/or directors of the Advisor and Distributor. The compensation of unaffiliated trustees is borne by the Trust.
Certified Annual Report 19
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Investment Income Builder Fund | September 30, 2004 |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At September 30, 2004 there were an unlimited number of shares of beneficial interest authorized. Sales of Class I shares of the Thornburg Investment Income Builder Fund commenced November 01, 2003. Transactions in shares of beneficial interest were as follows:
For the Period from December 24, 2002 | ||||||||||||||||
Year Ended | (commencement of operations) to | |||||||||||||||
September 30, 2004 | September 30, 2003 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 10,579,300 | $ | 160,956,212 | 5,334,254 | $ | 70,587,793 | ||||||||||
Shares issued to shareholders in | 283,535 | 4,388,856 | 41,869 | 568,052 | ||||||||||||
reinvestment of dividends | ||||||||||||||||
Shares repurchased** | (1,780,207 | ) | (26,657,671 | ) | (69,293 | ) | (899,576 | ) | ||||||||
Net Increase (Decrease) | 9,082,628 | $ | 138,687,397 | 5,306,830 | $ | 70,256,269 | ||||||||||
** | The Fund charges a redemption fee of 1% of the Class A shares exchanged within 90 days of purchase. For the year ended September 30, 2004 and period ended September 30, 2003, $33,971 and $2,155, respectively, were netted in the amount reported for shares repurchased. |
Class C Shares | ||||||||||||||||
Shares sold | 6,542,027 | $ | 100,023,227 | 2,880,165 | $ | 38,582,969 | ||||||||||
Shares issued to shareholders in | 120,816 | 1,873,063 | 12,283 | 167,691 | ||||||||||||
reinvestment of dividends | ||||||||||||||||
Shares repurchased | (372,748 | ) | (5,675,226 | ) | (20,275 | ) | (266,980 | ) | ||||||||
Net Increase (Decrease) | 6,290,095 | $ | 96,221,064 | 2,872,173 | $ | 38,483,680 | ||||||||||
Class I Shares* | ||||||||||||||||
Shares sold | 2,128,882 | $ | 32,252,605 | — | $ | — | ||||||||||
Shares issued to shareholders in | 36,925 | 573,313 | — | — | ||||||||||||
reinvestment of dividends | ||||||||||||||||
Shares repurchased ** | (39,757 | ) | (608,519 | ) | — | — | ||||||||||
Net Increase (Decrease) | 2,126,050 | $ | 32,217,399 | — | $ | — | ||||||||||
* | Effective date for Class I shares was November 1, 2003. | |||
** | The Fund charges a redemption fee of 1% of the Class I shares exchanged within 90 days of purchase. For the period ended September 30, 2004, $1,717 was netted in the amount reported for shares repurchased. |
NOTE 5 – SECURITIES TRANSACTIONS
For the year ended September 30, 2004 the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $504,150,207 and $272,768,923, respectively.
NOTE 6 – INCOME TAXES
At September 30, 2004, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 366,737,870 | ||
Gross unrealized appreciation on a tax basis | $ | 26,547,442 | ||
Gross unrealized depreciation on a tax basis | (3,159,293 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 23,388,149 | ||
Distributable earnings-ordinary income | $ | 3,134,557 | ||
Distributable earnings capital gains | $ | 2,839 | ||
At September 30, 2004, the Fund had deferred tax basis currency and capital losses occurring subsequent to October 31, 2003 of $6,683 and $1,441,597, respectively. For tax purposes, such losses will be reflected in the year ending September 30, 2005.
In order to account for permanent book/tax differences, the Fund decreased accumulated net realized investment loss by $659,650, decreased undistributed net investment income (loss) by $645,386, and decreased net capital paid in on shares of beneficial interest by $14,264. This reclassification has no impact on the net asset value of the Fund. Reclassifications result primarily from investments in REIT’s, partnerships, and currency losses.
The tax character of distributions paid by the Fund for the years ended September 30, 2004 and September 30, 2003 was as follows:
2004 | 2003 | |||||||
Ordinary income | $ | 9,064,693 | $ | 928,928 |
20 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Investment Income Builder Fund | September 30, 2004 |
NOTE 7 – FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK
During the year ended September 30, 2004, the Fund was a party to financial instruments with off-balance sheet risks, primarily currency forward exchange contracts. A forward exchange contract is an agreement between two parties to exchange different currencies at a specified rate at an agreed upon future date. These contracts are purchased in order to minimize the risk to the Fund with respect to its foreign stock transactions from adverse changes in the relationship between the U.S. dollar and foreign currencies. In each case these contracts have been initiated in conjunction with foreign stock transactions. These instruments may involve market risks in excess of the amount recognized on the Statement of Assets and Liabilities. Such risks would arise from the possible inability of counterparties to meet the terms of their contracts, future movement in currency value and interest rates and contract positions that are not exact offsets. These contracts are reported in the financial statements at the Fund’s net equity, as measured by the difference between the forward exchange rates at the reporting date and the forward exchange rates at the dates of entry into the contract.
CONTRACTS TO SELL: | ||||
15,000,000 Euro Dollar for 18,496,950 USD, March 31, 2005 | $ | (126,782 | ) | |
22,000,000 Greater British Pound for 38,515,400 USD, March 7, 2005 | (835,738 | ) | ||
Net unrealized gain (loss) from forward exchange contracts | $ | (962,520 | ) | |
Certified Annual Report 21
FINANCIAL HIGHLIGHTS
Thornburg Investment Income Builder Fund |
Period Ended | ||||
September 30, | ||||
2004(c) | ||||
Class I Shares: | ||||
PER SHARE PERFORMANCE (for a share outstanding throughout the period)+ | ||||
Net asset value, beginning of period | $ | 14.45 | ||
Income from investment operations: | ||||
Net investment income | 0.74 | |||
Net realized and unrealized gain (loss) on investments | 1.01 | |||
Total from investment operations | 1.75 | |||
Less dividends from: | ||||
Net investment income | (0.56 | ) | ||
Change in net asset value | 1.19 | |||
NET ASSET VALUE, end of period | $ | 15.64 | ||
RATIOS/SUPPLEMENTAL DATA | ||||
Total return (a) | 12.19 | % | ||
Ratios to average net assets: | ||||
Net investment income | 5.33 | %(b) | ||
Expenses, after expense reductions | 0.99 | %(b) | ||
Expenses, after expense reductions and net of custody credits | 0.99 | %(b) | ||
Expenses, before expense reductions | 1.21 | %(b) | ||
Portfolio turnover rate | 109.21 | % | ||
Net assets at end of period (000) | $ | 33,247 |
(a) | Not annualized for periods less than one year. | |||
(b) | Annualized. | |||
(c) | Effective date of Class I Shares was November 01, 2003. | |||
+ | Based on weighted average shares outstanding. |
22 Certified Annual Report
SCHEDULE OF INVESTMENTS
Thornburg Investment Income Builder Fund | September 30, 2004 |
CUSIPS: CLASS A — 885-215-558, CLASS C — 885-215-541, CLASS I — 885-215-467
NASDAQ SYMBOLS: CLASS A — TIBAX, CLASS C — TIBCX, CLASS I — TIBIX
Shares/ | ||||||||
Principal Amount | Value | |||||||
COMMON STOCKS – 81.30% | ||||||||
BANKS (18.10%) | ||||||||
Allied Irish Banks | 500,000 | $ | 8,325,935 | |||||
Bank of America Corp. | 300,000 | 12,999,000 | ||||||
Bank of Ireland | 825,000 | 11,104,971 | ||||||
Barclays plc | 1,700,000 | 16,305,390 | ||||||
Liechtenstein Landesbank | 5,300 | 2,464,622 | ||||||
Lloyds TSB Group plc | 975,000 | 7,613,631 | ||||||
The Bank of New York Co. Inc. | 400,000 | 11,668,000 | ||||||
CAPITAL GOODS (4.10%) | ||||||||
General Electric Co. | 480,000 | 16,118,400 | ||||||
COMMERCIAL SERVICES & SUPPLIES (0.40%) | ||||||||
Electrocomponents | 300,000 | 1,688,449 | ||||||
DIVERSIFIED FINANCIALS (9.60%) | ||||||||
Alliance Capital Management Holding L.P. | 210,000 | 7,455,000 | ||||||
Citigroup Inc. | 230,000 | 10,147,600 | ||||||
Fannie Mae | 70,000 | 4,438,000 | ||||||
JP Morgan Chase & Co. | 200,000 | 7,946,000 | ||||||
WP Stewart & Co. Ltd. | 375,000 | 7,496,250 | ||||||
ENERGY (8.30%) | ||||||||
BP Amoco ADR | 80,000 | 4,602,400 | ||||||
China Petroleum & Chemical Corp. | 20,000,000 | 8,143,009 | ||||||
CNOOC Ltd. ADR | 85,000 | 4,471,000 | ||||||
Gail India Ltd. | 1,000,000 | 4,157,769 | ||||||
Marathon Oil Corp. | 270,000 | 11,145,600 | ||||||
FOOD BEVERAGE & TOBACCO (3.00%) | ||||||||
Fresh Del Monte Produce Inc. | 250,000 | 6,227,500 | ||||||
Korean Tobacco & Ginseng Corp. | 210,000 | 5,553,192 | ||||||
FOOD & STAPLES RETAILING (3.30%) | ||||||||
Tesco plc | 2,500,000 | 12,905,418 | ||||||
HEALTH CARE EQUIPMENT & SERVICES (2.00%) | ||||||||
Johnson & Johnson | 140,000 | 7,886,200 | ||||||
HOUSEHOLD & PERSONAL PRODUCTS (1.00%) | ||||||||
Kimberly Clark de Mexico | 1,280,000 | 3,758,159 | ||||||
HOTELS RESTAURANTS & LEISURE (0.80%) | ||||||||
IHOP Corp. | 80,000 | 3,056,800 | ||||||
INSURANCE (1.70%) | ||||||||
Lincoln National Corp. | 140,000 | 6,580,000 |
Certified Annual Report 23
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2004 |
Shares/ | ||||||||
Principal Amount | Value | |||||||
MATERIALS (1.50%) | ||||||||
PPG Industries Inc. | 70,000 | $ | 4,289,600 | |||||
UPM Kymmene Oyj | 85,000 | 1,618,063 | ||||||
MEDIA (2.30%) | ||||||||
APN News & Media | 1,500,000 | 4,932,141 | ||||||
Independent News & Media Finance | 1,510,000 | 3,825,087 | ||||||
PHARMACEUTICALS & BIOTECHNOLOGY (3.10%) | ||||||||
GlaxoSmithKline plc | 550,000 | 11,854,435 | ||||||
REAL ESTATE MANAGEMENT & DEVELOPMENT (1.60%) | ||||||||
Boston Properties, Inc. | 113,000 | 6,259,070 | ||||||
RETAILING (0.80%) | ||||||||
Kingfisher plc | 575,000 | 3,207,579 | ||||||
SOFTWARE & SERVICES (3.40%) | ||||||||
Microsoft Corp. | 475,000 | 13,133,750 | ||||||
TECHNOLOGY — HARDWARE & EQUIPMENT (1.50%) | ||||||||
Samsung Electronics Co. Ltd. | 15,000 | 5,966,131 | ||||||
TELECOMMUNICATION SERVICES (7.80%) | ||||||||
Alltel Corp. | 115,000 | 6,314,650 | ||||||
TIM S.p.A. | 1,800,000 | 9,700,552 | ||||||
Vodafone Group plc | 6,000,000 | 14,359,964 | ||||||
TRANSPORTATION (3.20%) | ||||||||
China Merchants Hldgs. Intl. Co. Ltd. | 4,000,000 | 6,027,109 | ||||||
Hopewell Highway | 6,500,000 | 4,084,328 | ||||||
Shenzhen Chiwan Wharf Holdings Ltd. | 1,411,574 | 2,465,426 | ||||||
UTILITIES (3.80%) | ||||||||
Datang International Power Generation Co. Ltd. | 3,050,000 | 2,483,618 | ||||||
NiSource Inc. | 182,000 | 3,823,820 | ||||||
Scottish Power plc | 280,000 | 8,635,200 | ||||||
TOTAL COMMON STOCKS (Cost $292,193,724) | 317,238,818 | |||||||
PREFERRED STOCK – 2.20% | ||||||||
DIVERSIFIED FINANCIALS (2.10%) | ||||||||
JP Morgan Chase & Co. | 50,000 | 2,579,690 | ||||||
JP Morgan Chase & Co. | 17,400 | 1,765,317 | ||||||
Lehman Brothers Holdings Inc. | 140,000 | 3,530,800 | ||||||
ENERGY (0.10%) | ||||||||
El Paso Tennessee Pipeline Co. | 10,000 | 458,125 | ||||||
TOTAL PREFERRED STOCK (Cost $8,265,155) | 8,333,932 | |||||||
24 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2004 |
Shares/ | ||||||||
Principal Amount | Value | |||||||
CORPORATE BONDS - 7.60% | ||||||||
BANKS (0.60%) | ||||||||
Capital One Bank, 6.70%, 5/15/2008 | $ | 655,000 | $ | 717,912 | ||||
Capital One Bank, 6.50%, 6/13/2013 | 1,500,000 | 1,640,289 | ||||||
COMMERCIAL SERVICES & SUPPLIES (0.20%) | ||||||||
Allied Waste North America Inc., 6.375%, 4/15/2011 | 500,000 | 486,250 | ||||||
Waste Management Inc., 7.375%, 8/1/2010 | 175,000 | 202,002 | ||||||
DIVERSIFIED FINANCIALS (1.00%) | ||||||||
SLM Corp. Medium Term Note CPI Floating Rate, 4.47%, 3/2/2009 | 2,000,000 | 2,017,720 | ||||||
SLM Corp. Medium Term Note CPI Floating Rate, 5.39%, 1/31/2014 | 2,000,000 | 2,023,060 | ||||||
ENERGY (0.40%) | ||||||||
Sonat Inc., 7.625%, 7/15/2011 | 1,400,000 | 1,379,000 | ||||||
INSURANCE (1.30%) | ||||||||
AAG Holding Co. Inc., 6.875%, 6/1/2008 | 335,000 | 355,361 | ||||||
Hartford Life Inc., 7.10%, 6/15/2007 | 400,000 | 438,319 | ||||||
Liberty Mutual Group Inc., 5.75%, 3/15/2014 | 1,000,000 | 993,496 | ||||||
Old Republic International Corp., 7.00%, 6/15/2007 | 1,000,000 | 1,094,724 | ||||||
Pacific Life Global Funding CPI Floating Rate, 5.446%, 2/6/2016 | 2,000,000 | 2,027,020 | ||||||
Provident Cos Inc., 6.375%, 7/15/2005 | 353,000 | 361,031 | ||||||
MEDIA (0.30%) | ||||||||
AOL Time Warner Inc., 6.875%, 5/1/2012 | 425,000 | 474,163 | ||||||
Independent News & Media Finance, 5.75%, 5/17/2009 | 600,000 | 750,787 | ||||||
PHARMACEUTICALS & BIOTECHNOLOGY (1.30%) | ||||||||
Tiers Inflation Linked Trust Series Wyeth 2004 21 Trust Certificate CPI Floating Rate, 4.84%, 2/1/2014 | 5,000,000 | 4,885,650 | ||||||
REAL ESTATE MANAGEMENT & DEVELOPMENT (0.40%) | ||||||||
MDC Holdings Inc., 7.00%, 12/1/2012 | 1,500,000 | 1,677,472 | ||||||
TECHNOLOGY — HARDWARE & EQUIPMENT (0.10%) | ||||||||
Jabil Circuit Inc., 5.875%,7/15/2010 | 500,000 | 523,068 | ||||||
TELECOMMUNICATION SERVICES (2.00%) | ||||||||
Level 3 Communications Inc., 9.125%, 5/1/2008 | 2,800,000 | 2,058,000 | ||||||
Level 3 Communications Inc., 10.50%, 12/1/2008 | 4,000,000 | 2,960,000 | ||||||
TCI Communications Inc., 7.875%, 8/1/2013 | 2,285,000 | 2,674,585 | ||||||
TOTAL CORPORATE BONDS (Cost $29,053,485) | 29,739,909 | |||||||
CONVERTIBLE BONDS – 0.00% (a) | ||||||||
DIVERSIFIED FINANCIALS (0.00%) | ||||||||
E-Trade Financial Corp., 6.00%, 2/1/2007 | 132,000 | 134,970 | ||||||
TOTAL CONVERTIBLE BONDS (Cost $111,501) | 134,970 | |||||||
Certified Annual Report 25
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2004 |
Shares/ | ||||||||
Principal Amount | Value | |||||||
U.S.GOVERNMENT AGENCIES – 0.50% | ||||||||
Federal National Mortgage Association CPI Floating Rate, 4.406%, 2/17/2009 | $ | 2,000,000 | $ | 2,009,360 | ||||
�� | ||||||||
TOTAL U.S.GOVERNMENT AGENCIES (Cost $2,000,000) | 2,009,360 | |||||||
MUNICIPAL BONDS – 1.10% | ||||||||
Short Pump Town Center Community Development, 6.26%, 2/1/2009 | 2,000,000 | 1,993,120 | ||||||
Victor New York, 9.05%, 5/1/2008 | 2,050,000 | 2,181,036 | ||||||
TOTAL MUNICIPAL BONDS (Cost $4,119,071) | 4,174,156 | |||||||
SHORT TERM INVESTMENTS – 7.30% | ||||||||
American General Finance Corp., 1.75% due 10/1/2004 | 4,500,000 | 4,500,000 | ||||||
American General Finance Corp., 1.81% due 10/4/2004 | 8,500,000 | 8,498,718 | ||||||
American General Finance Corp., 1.82% due 10/5/2004 | 6,500,000 | 6,498,685 | ||||||
UBS Finance, 1.70% due 10/6/2004 | 1,000,000 | 999,764 | ||||||
UBS Finance, 1.72% due 10/7/2004 | 8,000,000 | 7,997,707 | ||||||
TOTAL SHORT TERM INVESTMENTS (Cost $28,494,874) | 28,494,874 | |||||||
TOTAL INVESTMENTS (100%) (Cost $364,169,618) | $ | 390,126,019 | ||||||
(a) | Comprises less than one tenth of one percent of the portfolio | |||
See notes to financial statements. |
INDUSTRY EXPOSURE
As of 9/30/04
Banks | 18.7 | % | ||
Diversified Financials | 12.8 | % | ||
Telecommunication Services | 9.8 | % | ||
Energy | 8.7 | % | ||
Pharmaceuticals & Biotechnology | 4.4 | % | ||
Capital Goods | 4.1 | % | ||
Utilities | 3.8 | % | ||
Software & Services | 3.4 | % | ||
Food & Staples Retailing | 3.3 | % | ||
Transportation | 3.2 | % | ||
Insurance | 3.0 | % | ||
Food Beverage & Tobacco | 3.0 | % | ||
Media | 2.6 | % | ||
Real Estate Management & Development | 2.0 | % | ||
Health Care Equipment & Services | 2.0 | % | ||
Technology — Hardware & Equipment | 1.6 | % | ||
Materials | 1.5 | % | ||
Municipal Bonds | 1.1 | % | ||
Household & Personal Products | 1.0 | % | ||
Retailing | 0.8 | % | ||
Hotels Restaurants & Leisure | 0.8 | % | ||
Commercial Services & Supplies | 0.6 | % | ||
U.S. Government Agencies | 0.5 | % | ||
Short-term Investments | 7.3 | % |
COUNTRY EXPOSURE
As of 9/30/04
U.S. | 48.9 | % | ||
U.K. | 20.8 | % | ||
China | 7.1 | % | ||
Ireland | 6.1 | % | ||
South Korea | 3.0 | % | ||
Italy | 2.5 | % | ||
Australia | 1.3 | % | ||
India | 1.0 | % | ||
Mexico | 1.0 | % | ||
Switzerland | 0.6 | % | ||
Finland | 0.4 | % | ||
Short-term Investments | 7.3 | % |
26 Certified Annual Report
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Investment Income Builder Fund
To the Trustees and Class I Shareholders of
Thornburg Investment Income Builder Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg Investment Income Builder Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the “Fund”) at September 30, 2004, the results of its operations for the year then ended and the changes in its net assets for the year then ended and the period from December 24, 2002 (commencement of operations) to September 30, 2003 and the financial highlights for Class I shares for the periods presented, 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 Fund’s 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 the standards of the Public Company Accounting Oversight Board (United States). Those standards 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, 2004 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 9, 2004
Certified Annual Report 27
EXPENSE EXAMPLE | ||
Thornburg Investment Income Builder Fund | September 30, 2004 |
As a shareholder of the Fund, you incur two types of costs:
(1) transaction costs, including a 90-day redemption fee on Class I shares; and |
(2) ongoing costs, including management and administrative fees and other Fund expenses. |
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested on April 1, 2004 and held until September 30, 2004.
Actual Expenses
The first line of the table at right provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table at right provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses Paid | ||||||||||
Account Value | Account Value | During Period† | ||||||||||
4/1/04 | 9/30/04 | 4/1/04–9/30/04 | ||||||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.80 | $ | 5.00 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.05 | $ | 5.00 |
† | Expenses are equal to the annualized expense ratio for Class I shares (0.99%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period. |
* Hypothetical assumes a rate of return of 5% per year before expenses.
28 Certified Annual Report
INDEX COMPARISON | ||
Thornburg Investment Income Builder Fund | September 30, 2004 |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Investment Income Builder Fund versus Blended Index (November 1, 2003 to September 30, 2004)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended September 30, 2004
Since | ||||||||
YTD | Inception | |||||||
I Shares (Incep: 11/01/03) | 5.71 | % | 12.19 | % | ||||
Blended Index (Since: 11/01/03) | 2.73 | % | 9.11 | % |
Performance data reflect past performance, which is no guarantee of future results. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares.
Returns reflect the reinvestment of dividends and capital gains. There is no up-front sales charge for Class I shares.
The blended index is comprised of 25% Lehman Brothers Aggregate Bond Index and 75% MSCI World Equity Index. The Lehman Brothers Aggregate Bond Index is composed of approximately 6,000 publicly traded bonds including U.S. government, mortgage-backed, corporate and Yankee bonds with an average maturity of approximately 10 years. The index is weighted by the market value of the bond included in the index. This index represents asset types which are subject to risk, including loss of principal. The Morgan Stanley Capital International World Equity Index is a total return index, reported in U.S. dollars, based on share prices and reinvested gross dividends of approximately 1600 companies from 22 countries: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Italy, Japan, Malaysia, Netherlands, New Zealand, Norway, Singapore, Spain, Sweden, Switzerland, the United Kingdom, and the United States. The securities represented in this index may experience loss of invested principal and are subject to investment risk. In exchange for greater growth potential, investments in foreign securities can have added risks. These include changes in currency rates, economic and monetary policy, differences in auditing standards and risks related to political and economic developments. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index. The performance of any index is not indicative of the performance of any particular investment.
Certified Annual Report 29
TRUSTEES AND OFFICERS | ||
Thornburg Investment Income Builder Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
INTERESTED TRUSTEES(2)(4) | ||||
Garrett Thornburg, 58 Chairman of Trustees Trustee since 1987(3) | CEO, Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor) and Thornburg Securities Corporation (securities dealer); Chairman of Thornburg Limited Term Municipal Fund, Inc. (registered investment company) to 2004; CEO and Chairman of Thornburg Mortgage, Inc. (real estate investment trust); Chairman of Thornburg Mortgage Advisory Corporation (investment manager to Thornburg Mortgage, Inc.). | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Brian J. McMahon, 48 Trustee since 2001 President since 1997(5)(6) | President and Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | None | ||
INDEPENDENT TRUSTEES(2)(4) | ||||
David A. Ater, 59 Trustee since 1994 | Principal in Ater & Ater Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner developer and broker for various real estate projects. | Director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
David D. Chase, 63 Trustee since 2000 | Chairman, President, CEO, and General Partner of Vestor Partners, LP, Santa Fe, NM (private equity fund); Chairman and CEO of Vestor Holdings, Inc., Santa Fe, NM (merchant bank). | Director of Thornburg Limited Term Municipal Fund, Inc. 2001–2004 | ||
Eliot R. Cutler, 58 Trustee since 2004 | Partner, Akin, Gump, Strauss, Hauer & Feld, LLP, Washington, D.C. (law firm) since November 2000; partner, Cutler & Stanfield, Washington, D.C. (law firm) until November 2000. | Director of Thornburg Limited Term Municipal Fund, Inc. to 2004; director of Thornburg Mortgage, Inc. (real estate investment trust) | ||
Susan H. Dubin, 55 Trustee since 2004 | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations; and formerly,Vice President of Chemical Bank (predecessor to JP Morgan Chase & Co.), New York, 1974–1996. | None | ||
Forrest S. Smith, 74 Trustee since 1987 | Trust and estate attorney, of counsel to Catron, Catron & Pottow, Santa Fe, NM (law firm). | None | ||
Owen D. Van Essen, 50 Trustee since 2004 | President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 45 Trustee since 1996 | Executive Vice President and Director to 2002, and since 2002; CEO and Vice Chairman, Nambé Mills, Inc., Santa Fe, NM (manufacturer). | None |
30 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(6)(7) | ||||
Dawn B. Fischer, 57 Secretary since 1987 | Secretary and Managing Director, Thornburg Investment Management, Inc.; Secretary, Thornburg Limited Term Municipal Fund, Inc. to 2004; Secretary, Thornburg Securities Corporation; Vice President, Daily Tax Free Income Fund, Inc. (registered investment company). | Not applicable | ||
Steven J. Bohlin, 45 Vice President, since 1987; Treasurer since 1989 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
George T. Strickland, 41 Vice President since 1996 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President (and Treasurer since 2003) of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
William V. Fries, 65 Vice President since 1995 | Vice President and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 37 Vice President since 2001 | Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2004. | Not applicable | ||
Kenneth Ziesenheim, 50 Vice President since 1995 | Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Securities Corporation; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Alexander Motola, 34 Vice President since 2001 | Managing Director of Thornburg Investment Management, Inc. since 2000; Portfolio Manager, Insight Capital Research & Management, Inc., Walnut Creek, California 1995–2000. | Not applicable | ||
Wendy Trevisani, 33 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 2000 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999–2002; Sales Representative, Solomon Smith Barney 1996–1999. | Not applicable | ||
Joshua Gonze, 41 Vice President since 1999 | Associate of Thornburg Investment Management, Inc. since 1999, Vice President since 1999 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable | ||
Brad Kinkelaar, 36 Vice President since 1999 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 1999, Vice President since 2000, and Managing Director since 2004; Equity Investment Analyst, State Farm Insurance Companies 1996–1999. | Not applicable | ||
Kerry D. Lee, 37 Vice President since 1999 | Vice President of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. | Not applicable |
Certified Annual Report 31
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2004 |
Name, Age,(1) | ||||
Position Held with Fund(2) | Other Directorships | |||
Year Elected(4)(6) | Principal Occupation(s) During Past Five Years | Held by Trustee | ||
Christopher Ihlefeld, 34 Vice President since 2003 | Associate Portfolio Manager since 1999; Vice President of Thornburg Investment Management, Inc. since 2002; Vice President of Limited Term Municipal Fund, Inc., 2003–2004. | Not applicable | ||
Leon Sandersfeld, 38 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2002; Senior Staff Accountant, Farm Bureau Life Insurance Co. 1998–2002. | Not applicable | ||
Sasha Wilcoxon, 30 Vice President since 2003 | Associate of Thornburg Investment Management, Inc. since 2000; and Mutual Fund Support Service Department Manager since 2002. | Not applicable | ||
Ed Maran, 46 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Analyst, USAA 2001–2002; Oil Analyst, A.G. Edwards 1997–2000. | Not applicable | ||
Vinson Walden, 34 Vice President since 2004 | Associate Portfolio Manager of Thornburg Investment Management, Inc. since 2002 and Vice President since 2004; Associate Portfolio Manager, Ibis Management 2002–2004; Associate, Lehman Brothers, 1997–2001. | Not applicable |
(1) | Each person’s address is 119 East Marcy Street, Santa Fe, New Mexico 87501. | |||
(2) | The Fund is one of twelve separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. The Trust currently has twelve active Funds. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twelve funds of the Trust. Each Trustee oversees the twelve portfolios in the fund complex. | |||
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is a director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twelve active funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. | |||
(4) | Each Trustee serves in office until the election and qualification of a successor. | |||
(5) | Mr. McMahon is considered an “interested” Trustee because he is the president of Thornburg Investment Management, Inc. | |||
(6) | The Trust’s president, secretary and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. | |||
(7) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
32 Certified Annual Report
OTHER INFORMATION (UNAUDITED) | ||
Thornburg Investment Income Builder Fund | September 30, 2004 |
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to Thornburg Investment Management, Inc. (“the Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.
Commencing August 31, 2004, information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request, on the Thornburg website at www.thornburg.com and (ii) on the Securities and Exchange Commission’s website at www.sec.gov.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund will file with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year, commencing with the calendar quarter ending December 31, 2004. The Fund’s Forms N-Q will be available on the Commission’s website at http://www.sec.gov, or may be copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg.com/download or upon request by calling 1-800-847-0200.
TAX INFORMATION
For the tax year ended September 30, 2004, the Thornburg Investment Income Builder Fund designates 100% of the dividends paid from tax basis net ordinary income as qualifying for the reduced rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003. The information and distributions reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2004. Complete information will be computed and reported in conjunction with your 2004 Form 1099-DIV.
SHAREHOLDER MEETING INFORMATION
A special meeting (the “Meeting”) of the shareholders of Thornburg Investment Trust (the “Trust”) was held on September 13, 2004 at the offices of Thornburg Investment Management, Inc., 119 East Marcy Street, Santa Fe, New Mexico 87501. Thornburg Investment Income Builder Fund is one of 12 active series or “Funds” of the Trust.
The shareholders of the Trust considered at the Meeting (i) the election of Trustees, and (ii) ratification of the selection of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm for the fiscal year ending September 30, 2004.
The Trustees elected at the Meeting were Garrett Thornburg, David A. Ater, David D. Chase, Eliot R. Cutler, Susan H. Dubin, Brian J. McMahon, Owen D. Van Essen and James W. Weyhrauch. Forrest S. Smith, a Trustee since 1987 did not stand for election; his term of office will continue through the end of 2004, when he will retire in accordance with the Trust’s Bylaws. The shareholders also ratified the appointment of PricewaterhouseCoopers, LLP as the Trust’s independent registered public accounting firm.
The voting results for the matters voted on are set out for each Fund as follows:
Election of Trustees
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Garrett Thornburg | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,772,086.332 | 692,014.443 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,202,049.716 | 217,551.648 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,555.521 | 114,080.445 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,255,221.686 | 81,237.603 | – | – | ||||||||||||
Thornburg Value Fund | 64,672,758.966 | 447,696.934 | – | – | ||||||||||||
Thornburg International Value Fund | 59,954,867.369 | 1,241,990.622 | – | – |
Certified Annual Report 33
OTHER INFORMATION (UNAUDITED), CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Core Growth Fund | 6,135,097.039 | 21,483.205 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,943.082 | 122,916.941 | – | – | ||||||||||||
Total: | 345,469,631.406 | 3,282,138.627 | – | – | ||||||||||||
David A. Ater | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,797,094.826 | 667,005.949 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,898.015 | 244,703.349 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,174.575 | 74,750.866 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,356,553.614 | 118,082.352 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,645.960 | 84,813.329 | – | – | ||||||||||||
Thornburg Value Fund | 64,673,309.598 | 447,696.934 | – | – | ||||||||||||
Thornburg International Value Fund | 60,746,833.041 | 450,024.950 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,382.888 | 24,197.356 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,615.730 | 120,243.993 | – | – | ||||||||||||
Total: | 346,235,149.064 | 2,517,171.301 | – | – | ||||||||||||
David D. Chase | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,792,336.993 | 671,763.782 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,451,094.366 | 230,853.587 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,107,955.251 | 64,970.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,243,684.887 | 92,774.402 | – | – | ||||||||||||
Thornburg Value Fund | 64,693,947.421 | 446,508.479 | – | – | ||||||||||||
Thornburg International Value Fund | 60,752,533.146 | 444,324.845 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,837,095.494 | 116,764.229 | – | – | ||||||||||||
Total: | 346,310,480.812 | 2,461,288.921 | – | – | ||||||||||||
Eliot R. Cutler | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,785,534.542 | 678,566.233 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,449,458.366 | 232,489.857 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,199,536.657 | 220,064.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,111,971.636 | 60,953.805 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,350,526.614 | 124,109.352 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,250,801.917 | 85,657.372 | – | – | ||||||||||||
Thornburg Value Fund | 64,599,511.493 | 520,944.407 | – | – | ||||||||||||
Thornburg International Value Fund | 60,724,718.843 | 472,139.148 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,134,780.624 | 21,799.620 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,832,732.499 | 121,127.224 | – | – | ||||||||||||
Total: | 346,159,119.642 | 2,592,650.361 | – | – | ||||||||||||
Susan H. Dubin | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,874.816 | 670,225.959 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,456,708.993 | 225,238.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,198,659.272 | 220,942.092 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,110,371.636 | 62,553.805 | – | – |
34 Certified Annual Report
OTHER INFORMATION (UNAUDITED), CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2004 |
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,372,811.385 | 101,824.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,249,237.865 | 87,221.424 | – | – | ||||||||||||
Thornburg Value Fund | 64,679,778.577 | 440,677.323 | – | – | ||||||||||||
Thornburg International Value Fund | 60,742,583.265 | 454,274.726 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,454.801 | 120,404.922 | – | – | ||||||||||||
Total: | 346,285,090.525 | 2,466,679.208 | – | – | ||||||||||||
Brian J. McMahon | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,795,559.677 | 668,541.098 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,205,930.716 | 213,670.648 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,104,748.707 | 68,176.734 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 102,726.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,251,724.960 | 84,734.329 | – | – | ||||||||||||
Thornburg Value Fund | 64,681,039.437 | 439,416.463 | – | – | ||||||||||||
Thornburg International Value Fund | 60,010,455.736 | 1,186,402.255 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,131,956.015 | 24,624.229 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,833,227.440 | 120,632.283 | – | – | ||||||||||||
Total: | 345,556,209.517 | 3,195,560.216 | – | – | ||||||||||||
Owen D. Van Essen | ||||||||||||||||
Thornburg Limited Term Municipal Fund | 89,793,348.831 | 670,751.944 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,174,730.914 | 244,870.450 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,098,708.092 | 74,217.349 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,790,081.393 | 56,504.852 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,375,848.385 | 98,787.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,248,394.246 | 88,065.043 | – | – | ||||||||||||
Thornburg Value Fund | 64,674,135.776 | 446,320.124 | – | – | ||||||||||||
Thornburg International Value Fund | 60,684,276.889 | 512,581.102 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,130,645.576 | 25,934.668 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,830,962.507 | 122,897.216 | – | – | ||||||||||||
Total: | 346,178,126.548 | 2,573,643.185 | – | – | ||||||||||||
James W. Weyhrauch | �� | |||||||||||||||
Thornburg Limited Term Municipal Fund | 89,789,717.177 | 674,383.598 | – | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,450,110.993 | 231,836.960 | – | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 28,203,599.657 | 216,001.707 | – | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,109,796.251 | 63,129.190 | – | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,926,882.946 | 875.896 | – | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,792,663.505 | 53,922.740 | – | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,371,909.385 | 126,726.581 | – | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,254,156.818 | 82,302.471 | – | – | ||||||||||||
Thornburg Value Fund | 64,683,895.944 | 436,559.906 | – | – | ||||||||||||
Thornburg International Value Fund | 60,726,245.097 | 470,612.894 | – | – | ||||||||||||
Thornburg Core Growth Fund | 6,132,838.761 | 23,741.483 | – | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,836,311.264 | 117,548.459 | – | – | ||||||||||||
Total: | 346,278,127.848 | 2,497,641.885 | – | – |
Certified Annual Report 35
OTHER INFORMATION (UNAUDITED), CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2004 |
Ratification of Selection of Independent Registered Public Accounting Firm
Votes For | Votes Withheld | Abstentions | Broker Non-Votes | |||||||||||||
Thornburg Limited Term Municipal Fund | 89,266,423.303 | 430,123.930 | 767,553.542 | – | ||||||||||||
Thornburg California Limited Term Municipal Fund | 12,354,990.466 | 167,198.030 | 159,759.457 | – | ||||||||||||
Thornburg Intermediate Municipal Fund | 27,957,900.165 | 174,857.659 | 286,893.540 | – | ||||||||||||
Thornburg New Mexico Intermediate Municipal Fund | 15,067,166.377 | 1,155.000 | 104,604.064 | – | ||||||||||||
Thornburg Florida Intermediate Municipal Fund | 3,911,733.415 | 6,868.306 | 9,157.121 | – | ||||||||||||
Thornburg New York Intermediate Municipal Fund | 2,784,834.660 | 23,509.648 | 38,241.937 | – | ||||||||||||
Thornburg Limited Term U.S. Government Fund | 14,360,583.780 | 33,945.016 | 80,017.170 | – | ||||||||||||
Thornburg Limited Term Income Fund | 27,123,259.928 | 57,081.625 | 156,117.736 | – | ||||||||||||
Thornburg Value Fund | 64,569,333.454 | 212,238.433 | 338,884.013 | – | ||||||||||||
Thornburg International Value Fund | 60,444,286.231 | 343,771.766 | 408,700.994 | – | ||||||||||||
Thornburg Core Growth Fund | 6,110,013.492 | 32,603.465 | 13,963.287 | – | ||||||||||||
Thornburg Investment Income Builder Fund | 20,812,877.547 | 40,509.369 | 100,472.807 | – | ||||||||||||
Totals | 344,763,402.818 | 1,523,862.247 | 2,464,365.668 | – |
56 Certified Annual Report
Item 2. Code of Ethics
Thornburg Investment Trust (the “Trust”) has adopted a code of ethics described in Item 2 of Form N-CSR. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3. Audit Committee Financial Expert
The Trustees of Thornburg Investment Trust have determined that two members of the Trust’s audit committee, David A. Ater and David D. Chase, are each audit committee financial experts as defined in Item 3 of Form N-CSR. Mr. Ater and Mr. Chase are each independent for purposes of Item 3 of Form N-CSR. The Trustees’ determinations in this regard were based upon their current understandings of the definition of “audit committee financial expert” and current interpretations of the definition. The Trustees call attention to the lack of clarity in the definition, and that shareholders and prospective investors may wish to evaluate independently this definition and the qualifications of the Trust’s audit committee. The definition of “audit committee financial expert,” together with comments on the definition, are set forth in the Securities and Exchange Commission’s website (www.sec.gov).
Item 4. Principal Accountant Fees and Services
Audit Fees
The aggregate fees billed to Thornburg Investment Trust in each of the last two fiscal years ended September 30, 2003 and September 30, 2004, for the audit of the Trust’s financial statements and for services that are normally provided by PricewaterhouseCoopers LLP, registered independent public accounting firm (“PWC”) in connection with statutory and regulatory filings or requirements for those fiscal years are set out below. In addition, the narrative below the table describes the aggregate fees billed to Thornburg Limited Term Municipal Fund, Inc. (the “Company”) for the audit of the Company’s financial statements and services described in the preceding sentence for the Company’s two most recent fiscal years. On June 21, 2004, the Company’s two series were reorganized as Funds of Thornburg Investment Trust.
Year Ended | Year Ended | |||||||
September 30, 2003 | September 30, 2004 | |||||||
Thornburg Investment Trust | $ | 162,090 | $ | 491,300 |
For the year ended September 30, 2003, nine Funds of the Trust had a fiscal year ending September 30, and one Fund had a fiscal year ending June 30. The figure for the Trust for the year ended September 30, 2003 consequently includes $10,000 billed for the one June 30 year end Fund relating to its fiscal year ending June 30, 2003.
On June 21, 2004, the two series of the Company were reorganized as Funds of Thornburg Investment Trust. Audit fees billed to the Company’s two series in the fiscal year ended June 30, 2003 and in the period July 1, 2003 to June 21, 2004 were $64,030 and $65,210, respectively. Following the reorganization, the two reorganized Funds and a third Fund of the Trust changed their fiscal year end from June 30 to September 30. The figure of $491,300 for Thornburg Investment Trust billed in the year ended September 30, 2004 reflects audit fees relating to audits for the year ended June 30, 2004 for the three Funds which previously had a June 30 year end, and audits for all 12 Funds of the Trust for the year ended September 30, 2004.
Audit-Related Fees
The fees billed to Thornburg Investment Trust by PWC in each of the last two fiscal years for assurance and related services that are reasonably related to the audit or review of the Trust’s financial statements are set out below. In addition, the narrative below the table describes the aggregate fees billed to the Company for the same category of services for its two most recent fiscal years.
Year Ended | Year Ended | ||||||||||
September 30, 2003 | September 30, 2004 | ||||||||||
Thornburg Investment Trust | $ | 3,850 | $ | 10,230 |
The audit-related fees billed to the Trust in the fiscal year ended September 30, 2003 related to advice, consultation and issuance of consents respecting the commencement of operations by a new Fund and the creation and issuance of a new class of shares by some Funds of the Trust. The audit-related fees billed to the Trust in the year ended September 30, 2004 related to advice on distribution computations, and preparation for and attendance at audit committee meetings. Audit related fees billed to the Company’s two series in the fiscal year ended June 30, 2003 and in the period July 1, 2003 to June 21, 2004 were $-0- and $7,835, respectively. The audit-related fees billed to the Company in the latter period related to advice on financial reporting issues and issuance of consents respecting filings in connection with the reorganization of the Company’s two series as Funds of the Trust.
Tax Fees
The fees billed to Thornburg Investment Trust by PWC in each of the last two fiscal years ended September 30, 2003 and September 30, 2004 for professional services rendered by PWC for tax compliance, tax advice or tax planning are set out below. In addition, the narrative below the table describes the fees billed to the Company for the same category of services for its two most recent fiscal years.
Year Ended | Year Ended | |||||||
September 30, 2003 | September 30, 2004 | |||||||
Thornburg Investment Trust | $ | 32,500 | $ | 3,000 |
The tax fees billed to the Trust in each of the last two fiscal years were primarily for tax return preparation. Tax fees billed to the Company’s two series in the fiscal year ended June 30, 2003 and in the period July 1, 2003 to June 21, 2004 were $5,500 and $7,000, respectively. The tax fees billed to the Company in those periods were primarily for tax return preparation.
All Other Fees
PWC did not bill Thornburg Investment Trust for other products or services, other than described above, for the two most recent fiscal years of Thornburg Investment Trust, ended September 30, 2003 and September 30, 2004.
PWC performs no services for the investment adviser, the Funds’ principal underwriter or any other person controlling, controlled by, or under common control with the investment adviser which provides ongoing services to the Funds, except that PWC has provided to the investment adviser, Thornburg Investment Management, Inc. attestation of its investment performance presentations. The fees billed by PWC for these services were $32,500 and $-0- for the fiscal years ended September 30, 2003 and September 30, 2004, respectively.
The Audit Committee has determined that PWC’s performance of the described services for the investment adviser is compatible with PWC’s independence in its audit of the Funds.
Audit Committee Pre-Approval Policies and Procedures
As of September 30, 2004, the Trust’s Audit Committee has not adopted pre-approval policies and procedures. Accordingly, all services provided by PWC to the Funds must be approved beforehand by the Audit Committee.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
Not applicable.
Item 11. Controls and Procedures
(a) The principal executive officer and the principal financial officer have concluded that Thornburg Investment Trust disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) provide reasonable assurance that material information relating to Thornburg Investment Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days prior to the filing date of this report.
(b) There was no change in Thornburg Investment Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s most recent fiscal half-year that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Code of Business Conduct and Ethics attached hereto as Exhibit 99.CODE ETH. | ||
(a) | (2) | Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 70.30a-2(a)) attached hereto as Exhibit 99.CERT. | ||
(b) | Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 70.30a-2(b)) attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Thornburg Investment Trust, in respect of Thornburg Limited Term Municipal Fund, Thornburg California Limited Term Municipal Fund, Thornburg Intermediate Municipal Fund, Thornburg New Mexico Intermediate Municipal Fund, Thornburg Florida Intermediate Municipal Fund, Thornburg New York Intermediate Municipal Fund, Thornburg Limited Term U.S. Government Fund, Thornburg Limited Term Income Fund, Thornburg Value Fund, Thornburg International Value Fund, Thornburg Core Growth Fund, and Thornburg Investment Income Builder Fund (herein referred to as the “Funds”).
By: | /s/ Brian J. McMahon | |
Brian J. McMahon | ||
President and principal executive officer | ||
Date: | November 23, 2004 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Brian J. McMahon | |
Brian J. McMahon | ||
President and principal executive officer | ||
Date: | November 23, 2004 | |
By: | /s/ Steven J. Bohlin | |
Steven J. Bohlin | ||
Treasurer and principal financial officer | ||
Date: | November 23, 2004 |