Thornburg Investment Income Builder Fund (TIBAX) N-CSR Certified annual shareholder report (management investment company)

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT
COMPANIES

Investment Company Act file number 811-05201

Thornburg Investment Trust

(Exact name of registrant as specified in charter)

119 East Marcy Street, Santa Fe, New Mexico 87501

(Address of principal executive offices) (Zip code)

Garrett Thornburg, 119 East Marcy Street, Santa Fe, New Mexico 87501

(Name and address of agent for service)

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

Letter to Shareholders	6
Statement of Assets and Liabilities	8
Statements of Operations	9
Statements of Changes in Net Assets	10
Notes to Financial Statements	11
Financial Highlights	15
Schedule of Investments	18
Report of Independent Registered Public Accounting Firm	39
Expense Example	40
Index Comparison	41
Trustees and Officers	42
Other Information	45

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.

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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

Letter to Shareholders	6
Statement of Assets and Liabilities	8
Statements of Operations	9
Statements of Changes in Net Assets	10
Notes to Financial Statements	11
Financial Highlights	15
Schedule of Investments	16
Report of Independent Registered Public Accounting Firm	37
Expense Example	38
Index Comparison	39
Trustees and Officers	40
Other Information	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.

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 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

Letter to Shareholders	6
Statement of Assets and Liabilities	8
Statements of Operations	9
Statements of Changes in Net Assets	10
Notes to Financial Statements	11
Financial Highlights	14
Schedule of Investments	17
Report of Independent Registered Public Accounting Firm	22
Expense Example	23
Index Comparison	24
Trustees and Officers	25
Other Information	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

Thornburg California Limited Term Municipal Fund Class A Total Returns versus Lehman
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

Letter to Shareholders	6
Statement of Assets and Liabilities	8
Statements of Operations	9
Statements of Changes in Net Assets	10
Notes to Financial Statements	11
Financial Highlights	14
Schedule of Investments	15
Report of Independent Registered Public Accounting Firm	20
Expense Example	21
Index Comparison	22
Trustees and Officers	23
Other Information	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.

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

Letter to Shareholders	6
Statement of Assets and Liabilities	8
Statement of Operations	9
Statements of Changes in Net Assets	10
Notes to Financial Statements	11
Financial Highlights	14
Schedule of Investments	17
Report of Independent Registered Public Accounting Firm	27
Expense Example	28
Index Comparison	29
Trustees and Officers	30
Other Information	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,

George Strickland
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

Letter to Shareholders	6
Statement of Assets and Liabilities	8
Statement of Operations	9
Statements of Changes in Net Assets	10
Notes to Financial Statements	11
Financial Highlights	14
Schedule of Investments	15
Report of Independent Registered Public Accounting Firm	25
Expense Example	26
Index Comparison	27
Trustees and Officers	28
Other Information	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.

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,

George Strickland
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  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

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 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

Letter to Shareholders	6
Statement of Assets and Liabilities	8
Statement of Operations	9
Statements of Changes in Net Assets	10
Notes to Financial Statements	11
Financial Highlights	14
Schedule of Investments	16
Report of Independent Registered Public Accounting Firm	20
Expense Example	21
Index Comparison	22
Trustees and Officers	23
Other Information	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

Letter to Shareholders	6
Statement of Assets and Liabilities	8
Statement of Operations	9
Statements of Changes in Net Assets	10
Notes to Financial Statements	11
Financial Highlights	14
Schedule of Investments	15
Report of Independent Registered Public Accounting Firm	18
Expense Example	19
Index Comparison	20
Trustees and Officers	21
Other Information	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

Letter to Shareholders	6
Statement of Assets and Liabilities	8
Statements of Operations	9
Statements of Changes in Net Assets	10
Notes to Financial Statements	11
Financial Highlights	14
Schedule of Investments	15
Report of Independent Registered Public Accounting Firm	17
Expense Example	18
Index Comparison	19
Trustees and Officers	20
Other Information	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

George Strickland
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

Letter to Shareholders	6
Statements of Assets and Liabilities	9
Statements of Operations	11
Statements of Changes in Net Assets,
Limited Term U.S. Government Fund	13
Limited Term Income Fund	14
Notes to Financial Statements	15
Financial Highlights,
Limited Term U.S. Government Fund	20
Limited Term Income Fund	25
Schedule of Investments,
Limited Term U.S. Government Fund	29
Limited Term Income Fund	32
Report of Independent Registered Public Accounting Firm	41
Expense Example	42
Index Comparison,
Limited Term U.S. Government Fund	44
Limited Term Income Fund	45
Trustees and Officers	46
Other Information	49

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.

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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+		1,894,19410,777,780
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

Table of Contents
Letter to Shareholders	6
Statements of Assets and Liabilities	9
Statements of Operations	11
Statements of Changes in Net Assets,
Limited Term U.S. Government Fund	13
Limited Term Income Fund	14
Notes to Financial Statements	15
Financial Highlights,
Limited Term U.S. Government Fund	20
Limited Term Income Fund	21
Schedule of Investments,
Limited Term U.S. Government Fund	22
Limited Term Income Fund	25
Report of Independent Registered Public Accounting Firm	34
Expense Example	35
Index Comparison,
Limited Term U.S. Government Fund	36
Limited Term Income Fund	37
Trustees and Officers	38
Other Information	41

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

Letter to Shareholders	10
Statement of Assets and Liabilities	12
Statement of Operations	14
Statements of Changes in Net Assets	16
Notes to Financial Statements	17
Financial Highlights	21
Schedule of Investments	26
Report of Independent Registered Public Accounting Firm	29
Expense Example	30
Index Comparison	31
Trustees and Officers	32
Other Information	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
Letter to Shareholders	10
Statement of Assets and Liabilities	12
Statement of Operations	14
Statements of Changes in Net Assets	16
Notes to Financial Statements	17
Financial Highlights	21
Schedule of Investments	22
Report of Independent Registered Public Accounting Firm	25
Expense Example	26
Index Comparison	27
Trustees and Officers	28
Other Information	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

Letter to Shareholders	10
Statement of Assets and Liabilities	12
Statement of Operations	14
Statements of Changes in Net Assets	16
Notes to Financial Statements	17
Financial Highlights	21
Schedule of Investments	26
Report of Independent Registered Public Accounting Firm	29
Expense Example	30
Index Comparison	31
Trustees and Officers	32
Other Information	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.

+ Based on weighted average shares outstanding.

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

Letter to Shareholders	10
Statement of Assets and Liabilities	12
Statement of Operations	14
Statements of Changes in Net Assets	16
Notes to Financial Statements	17
Financial Highlights	21
Schedule of Investments	22
Report of Independent Registered Public Accounting Firm	25
Expense Example	26
Index Comparison	27
Trustees and Officers	28
Other Information	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
Letter to Shareholders	10
Statement of Assets and Liabilities	13
Statement of Operations	14
Statements of Changes in Net Assets	16
Notes to Financial Statements	17
Financial Highlights	20
Schedule of Investments	24
Report of Independent Registered Public Accounting Firm	26
Expense Example	27
Index Comparison	28
Trustees and Officers	29
Other Information	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

Letter to Shareholders	10
Statement of Assets and Liabilities	13
Statement of Operations	14
Statements of Changes in Net Assets	16
Notes to Financial Statements	17
Financial Highlights	20
Schedule of Investments	21
Report of Independent Registered Public Accounting Firm	23
Expense Example	24
Index Comparison	25
Trustees and Officers	26
Other Information	29

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
Letter to Shareholders	12
Statement of Assets and Liabilities	14
Statement of Operations	15
Statements of Changes in Net Assets	17
Notes to Financial Statements	18
Financial Highlights	22
Schedule of Investments	25
Report of Independent Registered Public Accounting Firm	29
Expense Example	30
Index Comparison	31
Trustees and Officers	32
Other Information	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

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 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

Letter to Shareholders	12
Statement of Assets and Liabilities	14
Statement of Operations	15
Statements of Changes in Net Assets	17
Notes to Financial Statements	18
Financial Highlights	22
Schedule of Investments	23
Report of Independent Registered Public Accounting Firm	27
Expense Example	28
Index Comparison	29
Trustees and Officers	30
Other Information	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