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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, 2005
Date of reporting period: March 31, 2005
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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
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Core Strategies for Building Wealth
Thornburg Limited Term Municipal Fund
Semi-Annual Report – March 31, 2005
This report and the accompanying brochure are submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/ download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money. Performance data quoted represents past performance and does not guarantee future results.
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Thornburg Limited Term Municipal Fund
Laddering – an All Weather Strategy
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 preservation of capital (may be subject to Alternative Minimum Tax).
This Fund is a laddered portfolio of municipal bonds with an average maturity of five years or less. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio matures each year; cash from maturing bonds, if not needed for other purposes, is invested in bonds with longer maturities at the far end of the ladder. The strategy is a good compromise for managing different types of risk.
Thornburg Bond Funds
• | Thornburg Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term 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 invests in short- and intermediate-term investment grade bonds. We ladder the maturities of individual bonds in the portfolios to moderate risk. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio will mature each year. We apply this disciplined process in all interest rate environments.
Thornburg Equity Funds
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
Thornburg’s equity research uses a fundamental, yet comprehensive, analytical approach. We invest when and where we perceive the most compelling value. Thornburg equity funds focus on a limited number of securities so that each holding can have a material impact on performance. The equity team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic value.
More information at www.thornburg.com
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2 | This page is not part of the Semi-Annual Report. |
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Thornburg Limited Term Municipal Fund
March 31, 2005
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
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Important Information
Performance data quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate so that upon redemption, investor’s shares may be worth more or less than their original cost. Current performance may be lower or higher than the data quoted. For performance data current to the most recent month end, visit www.thornburg.com.
The maximum sales charge for the Fund’s A shares is 1.50%. C shares include a 0.50% contingent deferred sales charge (CDSC) for the first year only.
Shares in the Fund carry risks, including possible loss of principal. As with direct bond ownership, Funds that invest in bonds are subject to certain risks including interest-rate risk, credit risk, and inflation risk. The principal value of bond funds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Shares in the fund are not deposits or obligations of, or guaranteed or endorsed by, any bank, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any government agency.
The information presented on the following pages was current as of March 31, 2005. 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, sinking funds, 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.
4 | Certified Semi-Annual Report |
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George Strickland
Portfolio Manager
April 15, 2005
Dear Fellow Shareholder:
I am pleased to present the Semi-Annual Report for the Thornburg Limited Term Municipal Fund. The net asset value of the class A shares decreased by 23 cents to $13.60 during the six month period ending March 31, 2005. If you were with us for the entire period, you received dividends of 19.2 cents per share. If you reinvested dividends, you received 19.3 cents per share. Investors who owned class C shares received dividends of 17.3 and 17.4 cents per share, respectively.
Over the past six months, the municipal bond yield curve has flattened considerably. In other words, interest rates on short and intermediate bonds have risen, while the interest rates on long-term bonds have remained relatively unchanged. Since bond prices move in the opposite direction of yields, long-term bond prices have been relatively stable while short and intermediate bond prices have fallen. The class A shares of your Fund produced a total return of (0.28)% over the last six months, matching the (0.28)% return for the Lehman Brothers 5 Year Municipal Bond Index. The portion of the Fund’s ladder maturing beyond five years contributed positively to performance, while the bonds maturing in less than five years underperformed the index. Overall, these two factors generally offset each other.
We are not surprised that short and intermediate bond yields have risen. The Federal Reserve has almost tripled the targeted Fed Funds rate in the last year and is expected to keep raising rates gradually. Producer prices are rising at a 4.7% rate (up from 2.1% a year ago). Consumer prices are rising at a 3.0% rate (up from 1.7%), and the U.S. economy is growing at a nominal rate (unadjusted for inflation) of 6.4%. We haven’t seen that kind of growth since the technology stock bubble burst in the first half of 2000.
We are, however, somewhat perplexed by the stability of long-term bond yields. Market participants may be expecting the economy to falter and inflation to subside this year. While that is certainly a possibility, we believe that the more likely scenario is that economic momentum continues and inflation stays in the 3-4% range. Such a scenario should lead to higher yields for long-term bonds.
New issue municipal bond supply unexpectedly surged 10.9% over the first quarter of last year to a record $96.6 billion. The increased supply showed up just as the government bond market weakened and helped create a buyer-friendly municipal bond market. With rates on intermediate municipal bonds rising by about 0.5% over the last couple of months, we have been finding better values in bonds that mature in the five to ten year range. Though we are still conservatively positioned relative to our long-term averages, we have recently extended the duration of the Fund slightly to 3.1 years. If rates continue to rise, we would expect to continue extending duration.
Your Thornburg Limited Term Municipal Fund is a laddered portfolio of over 680 municipal obligations from 49 states. Today, your Fund’s weighted average maturity is 4.11 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
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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 from most bond mutual funds. It will be particularly useful if interest rates continue rising, 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 shown here describes the percentages of your Fund’s bond portfolio maturing in each of the coming years.
% of portfolio | Cumulative % | |||||||||||
1 year | = | 13.3 | % | Year 1 | = | 13.3 | % | |||||
1 to 2 years | = | 9.6 | % | Year 2 | = | 22.9 | % | |||||
2 to 3 years | = | 12.4 | % | Year 3 | = | 35.3 | % | |||||
3 to 4 years | = | 14.1 | % | Year 4 | = | 49.4 | % | |||||
4 to 5 years | = | 14.4 | % | Year 5 | = | 63.8 | % | |||||
5 to 6 years | = | 11.9 | % | Year 6 | = | 75.7 | % | |||||
6 to 7 years | = | 7.6 | % | Year 7 | = | 83.3 | % | |||||
7 to 8 years | = | 7.9 | % | Year 8 | = | 91.2 | % | |||||
8 to 9 years | = | 4.9 | % | Year 9 | = | 96.1 | % | |||||
Over 9 years | = | 3.9 | % | Over 9 years | = | 100 | % |
Percentages can and do vary. Data as of 3/31/05.
Thanks to a strong economy, state tax revenues were up 7.5% in 2004 – the fastest growth rate since the 2000 fiscal year. Many states are dealing with the fortunate problem of deciding what to do with surplus revenues, while a few states continue grappling with budget deficits. State reserve funds have been drawn down over the last few years and tax supported state debt levels have risen over 15% in the last two years. To reduce credit risk, we have kept 92% of the portfolio in bonds rated A or above by at least one rating agency 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 Limited Term Municipal Fund.
Sincerely, |
![]() |
George Strickland Portfolio Manager |
6 | Certified Semi-Annual Report |
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STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
ASSETS | ||||
Investments at value (cost $1,425,197,346) | $ | 1,449,081,023 | ||
Cash | 88,571 | |||
Receivable for investments sold | 25,418,733 | |||
Receivable for fund shares sold | 4,885,701 | |||
Interest receivable | 18,471,446 | |||
Prepaid expenses and other assets | 80,980 | |||
Total Assets | 1,498,026,454 | |||
LIABILITIES | ||||
Payable for securities purchased | 83,440,035 | |||
Payable for fund shares redeemed | 2,561,478 | |||
Payable to investment advisor and other affiliates (Note 3) | 900,809 | |||
Accounts payable and accrued expenses | 107,761 | |||
Dividends payable | 986,862 | |||
Total Liabilities | 87,996,945 | |||
NET ASSETS | $ | 1,410,029,509 | ||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment gain (loss) | $ | (1,630 | ) | |
Net unrealized appreciation on investments | 23,877,467 | |||
Accumulated net realized gain (loss) | (5,514,874 | ) | ||
Net capital paid in on shares of beneficial interest | 1,391,668,546 | |||
$ | 1,410,029,509 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share | $ | 13.60 | ||
Maximum sales charge, 1.50% of offering price | 0.21 | |||
Maximum offering price per share | $ | 13.81 | ||
Class C Shares: | ||||
Net asset value and offering price per share * | $ | 13.62 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share | $ | 13.60 | ||
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
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STATEMENT OF OPERATIONS | ||
Thornburg Limited Term Municipal Fund | Six Months Ended March 31, 2005 (Unaudited) |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $8,812,219) | $ | 26,287,475 | ||
Total Income | 26,287,475 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 2,885,254 | |||
Administration fees (Note 3) | ||||
Class A Shares | 639,383 | |||
Class C Shares | 97,607 | |||
Class I Shares | 61,421 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 1,278,765 | |||
Class C Shares | 779,909 | |||
Transfer agent fees | ||||
Class A Shares | 199,230 | |||
Class C Shares | 44,055 | |||
Class I Shares | 31,770 | |||
Registration and filing fees | ||||
Class A Shares | 30,790 | |||
Class C Shares | 16,634 | |||
Class I Shares | 27,984 | |||
Custodian fees (Note 3) | 243,183 | |||
Professional fees | 39,300 | |||
Accounting fees | 75,180 | |||
Trustee fees | 15,790 | |||
Other expenses | 142,152 | |||
Total Expenses | 6,608,407 | |||
Less: | ||||
Distribution and service fees waived (Note 3) | (389,955 | ) | ||
Fees paid indirectly (Note 3) | (18,483 | ) | ||
Net Expenses | 6,199,969 | |||
Net Investment Income | 20,087,506 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments | (931,173 | ) | ||
(931,173 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (23,262,169 | ) | ||
(23,262,169 | ) | |||
Net Realized and Unrealized Loss | (24,193,342 | ) | ||
Net Decrease in Net Assets Resulting From Operations | $ | (4,105,836 | ) | |
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg Limited Term Municipal Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Three Months Ended September 30, 2004 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income gain | $ | 20,087,506 | $ | 9,853,487 | ||||
Net realized gain (loss) on investments | (931,173 | ) | 74,945 | |||||
Increase (Decrease) in unrealized appreciation (depreciation) | ||||||||
on investments | (23,262,169 | ) | 16,155,302 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (4,105,836 | ) | 26,083,734 | |||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (14,295,014 | ) | (7,133,301 | ) | ||||
Class C Shares | (1,962,089 | ) | (958,113 | ) | ||||
Class I Shares | (3,830,404 | ) | (1,762,073 | ) | ||||
FUND SHARE TRANSACTIONS - (Note 4): | ||||||||
Class A Shares | (17,173,762 | ) | (20,348,137 | ) | ||||
Class C Shares | (1,899,182 | ) | (353,019 | ) | ||||
Class I Shares | 18,786,956 | 13,279,935 | ||||||
Net Increase (Decrease) in Net Assets | (24,479,331 | ) | 8,809,026 | |||||
NET ASSETS: | ||||||||
Beginning of period | 1,434,508,840 | 1,425,699,814 | ||||||
End of period | $ | 1,410,029,509 | $ | 1,434,508,840 | ||||
See notes to financial statements.
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NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
NOTE 1 – ORGANIZATION
Thornburg Limited Term Municipal Fund (the “Fund”)(for-merly 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.
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.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Trust are as follows:
Valuation of Investments: In determining the net asset value, the Trust 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 Trust to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all taxable (if any) and tax exempt income, of the Fund, to the 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 and or market changes. At the time the Trust 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 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
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
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 period ended March 31, 2005 , these fees were payable at annual rates ranging from .50 of 1% to .225 of 1% per annum of the average daily net assets of the Fund. The Trust 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% per annum of the average daily net assets attributable to each class of shares.
The Trust 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 period ended March 31, 2005, the Distributor has advised the Fund that it earned commissions aggregating $10,031 from the sale of class A shares, and collected contingent deferred sales charges aggregating $809 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 Trust 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 March 31, 2005, are set forth in the Statement of Operations. Distribution fees in the amount of $389,955 were waived for class C 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 March 31, 2005, fees paid indirectly were $18,483.
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.
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2005, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Six Months Ended March 31, 2005 | Three Months Ended September 30, 2004 | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 6,042,010 | $ | 83,097,569 | 2,652,124 | $ | 36,597,200 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 691,610 | 9,497,226 | 335,506 | 4,631,084 | ||||||||||
Shares repurchased | (7,980,906 | ) | (109,768,557 | ) | (4,457,299 | ) | (61,576,421 | ) | ||||||
Net Increase (Decrease) | (1,247,286 | ) | $ | (17,173,762 | ) | (1,469,669 | ) | $ | (20,348,137 | ) | ||||
Class C Shares | ||||||||||||||
Shares sold | 1,091,909 | $ | 15,053,002 | 506,589 | $ | 7,003,493 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 96,878 | 1,332,712 | 46,675 | 645,678 | ||||||||||
Shares repurchased | (1,328,189 | ) | (18,284,896 | ) | (578,793 | ) | (8,002,190 | ) | ||||||
Net Increase (Decrease) | (139,402 | ) | $ | (1,899,182 | ) | (25,529 | ) | $ | (353,019 | ) | ||||
Class I Shares | ||||||||||||||
Shares sold | 3,825,764 | $ | 52,619,077 | 1,826,487 | $ | 25,227,726 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 230,891 | 3,170,558 | 104,786 | 1,446,479 | ||||||||||
Shares repurchased | (2,690,368 | ) | (37,002,679 | ) | (970,031 | ) | (13,394,270 | ) | ||||||
Net Increase (Decrease) | 1,366,287 | $ | 18,786,956 | 961,242 | $ | 13,279,935 | ||||||||
NOTE 5 - SECURITIES TRANSACTIONS
For the period ended March 31, 2005, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $280,202,410 and $184,125,174, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2005, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 1,425,202,791 | ||
Gross unrealized appreciation on a tax basis | $ | 28,822,012 | ||
Gross unrealized depreciation on a tax basis | (4,949,990 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 23,872,022 | ||
At March 31, 2005, the Fund had tax basis capital losses, which may be carried over to offset future capital gains. To the extent such carryforwards 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 | ||
12 | Certified Semi-Annual Report |
Table of Contents
FINANCIAL HIGHLIGHTS | ||
Thornburg Limited Term Municipal Fund | (Unaudited)* |
*6 Months 2005 | 3 Months Sept. 30, 2004(c) | Year Ended June 30, | ||||||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||||||
Class A Shares: | ||||||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.83 | $ | 13.68 | $ | 14.01 | $ | 13.65 | $ | 13.44 | $ | 13.06 | $ | 13.26 | ||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||
Net investment income | 0.19 | 0.09 | 0.40 | 0.45 | 0.52 | 0.58 | 0.59 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.23 | ) | 0.15 | (0.33 | ) | 0.36 | 0.21 | 0.38 | (0.20 | ) | ||||||||||||||||||
Total from investment operations | (0.04 | ) | 0.24 | 0.07 | 0.81 | 0.73 | 0.96 | 0.39 | ||||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||||||
Net investment income | (0.19 | ) | (0.09 | ) | (0.40 | ) | (0.45 | ) | (0.52 | ) | (0.58 | ) | (0.59 | ) | ||||||||||||||
Change in net asset value | (0.23 | ) | 0.15 | (0.33 | ) | 0.36 | 0.21 | 0.38 | (0.20 | ) | ||||||||||||||||||
NET ASSET VALUE, end of period | $ | 13.60 | $ | 13.83 | $ | 13.68 | $ | 14.01 | $ | 13.65 | $ | 13.44 | $ | 13.06 | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||
Total return (a) | (0.28 | )% | 1.78 | % | 0.47 | % | 5.99 | % | 5.54 | % | 7.49 | % | 3.00 | % | ||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Net investment income | 2.79 | % (b) | 2.69 | %(b) | 2.85 | % | 3.20 | % | 3.83 | % | 4.36 | % | 4.48 | % | ||||||||||||||
Expenses, after expense reductions | 0.90 | % (b) | 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) | 0.89 | %(b) | 0.91 | % | 0.93 | % | 0.95 | % | — | — | ||||||||||||||||
Expenses, before expense reductions | 0.90 | % (b) | 0.89 | %(b) | 0.91 | % | 0.93 | % | 0.96 | % | 0.99 | % | 0.96 | % | ||||||||||||||
Portfolio turnover rate | 13.25 | % | 4.57 | % | 21.37 | % | 15.81 | % | 19.59 | % | 25.37 | % | 33.65 | % | ||||||||||||||
Net assets at end of period (000) | $ | 1,004,560 | $ | 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. |
(c) | The Fund’s fiscal year-end changed to September 30. |
Certified Semi-Annual Report 13
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | (Unaudited)* |
*6 Months 2005 | 3 Months 2004(c) | Year Ended June 30, | ||||||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||||||
Class C Shares: | ||||||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.86 | $ | 13.70 | $ | 14.04 | $ | 13.67 | $ | 13.46 | $ | 13.08 | $ | 13.28 | ||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||
Net investment income | 0.17 | 0.08 | 0.36 | 0.41 | 0.47 | 0.53 | 0.53 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.24 | ) | 0.16 | (0.34 | ) | 0.37 | 0.21 | 0.38 | (0.20 | ) | ||||||||||||||||||
Total from investment operations | (0.07 | ) | 0.24 | 0.02 | 0.78 | 0.68 | 0.91 | 0.33 | ||||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||||||
Net investment income | (0.17 | ) | (0.08 | ) | (0.36 | ) | (0.41 | ) | (0.47 | ) | (0.53 | ) | (0.53 | ) | ||||||||||||||
Change in net asset value | (0.24 | ) | 0.16 | (0.34 | ) | 0.37 | 0.21 | 0.38 | (0.20 | ) | ||||||||||||||||||
NET ASSET VALUE, end of period | $ | 13.62 | $ | 13.86 | $ | 13.70 | $ | 14.04 | $ | 13.67 | $ | 13.46 | $ | 13.08 | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||
Total return (a) | (0.49 | )% | 1.79 | % | 0.12 | % | 5.78 | % | 5.13 | % | 7.07 | % | 2.57 | % | ||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Net investment income | 2.51 | % (b) | 2.43 | % (b) | 2.56 | % | 2.89 | % | 3.42 | % | 3.96 | % | 4.06 | % | ||||||||||||||
Expenses, after expense reductions | 1.18 | % (b) | 1.15 | % (b) | 1.19 | % | 1.18 | % | 1.33 | % | 1.38 | % | 1.38 | % | ||||||||||||||
Expenses, after expense reductions and net of custody credits | 1.18 | % (b) | 1.15 | % (b) | 1.19 | % | 1.18 | % | 1.33 | % | — | — | ||||||||||||||||
Expenses, before expense reductions | 1.68 | % (b) | 1.65 | % (b) | 1.69 | % | 1.68 | % | 1.80 | % | 1.85 | % | 1.82 | % | ||||||||||||||
Portfolio turnover rate | 13.25 | % | 4.57 | % | 21.37 | % | 15.81 | % | 19.59 | % | 25.37 | % | 33.65 | % | ||||||||||||||
Net assets at end of period (000) | $ | 152,324 | $ | 156,870 | $ | 155,458 | $ | 137,559 | $ | 57,258 | $ | 24,773 | $ | 21,322 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
(c) | The Fund’s fiscal year-end changed to September 30. |
14 | Certified Semi-Annual Report |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | (Unaudited)* |
*6 Months 2005 | 3 Months 2004(c) | Year Ended June 30, | ||||||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.83 | $ | 13.68 | $ | 14.01 | $ | 13.65 | $ | 13.44 | $ | 13.06 | $ | 13.26 | ||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||
Net investment income | 0.21 | 0.11 | 0.44 | 0.49 | 0.57 | 0.63 | 0.63 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.23 | ) | 0.15 | (0.33 | ) | 0.36 | 0.21 | 0.38 | (0.20 | ) | ||||||||||||||||||
Total from investment operations | (0.02 | ) | 0.26 | 0.11 | 0.85 | 0.78 | 1.01 | 0.43 | ||||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||||||
Net investment income | (0.21 | ) | (0.11 | ) | (0.44 | ) | (0.49 | ) | (0.57 | ) | (0.63 | ) | (0.63 | ) | ||||||||||||||
Change in net asset value | (0.23 | ) | 0.15 | (0.33 | ) | 0.36 | 0.21 | 0.38 | (0.20 | ) | ||||||||||||||||||
NET ASSET VALUE, end of period | $ | 13.60 | $ | 13.83 | $ | 13.68 | $ | 14.01 | $ | 13.65 | $ | 13.44 | $ | 13.06 | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||
Total return (a) | (0.12 | )% | 1.87 | % | 0.80 | % | 6.36 | % | 5.91 | % | 7.91 | % | 3.37 | % | ||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Net investment income | 3.12 | % (b) | 3.02 | % (b) | 3.18 | % | 3.54 | % | 4.18 | % | 4.75 | % | 4.84 | % | ||||||||||||||
Expenses, after expense reductions | 0.58 | % (b) | 0.55 | % (b) | 0.57 | % | 0.58 | % | 0.60 | % | 0.60 | % | 0.60 | % | ||||||||||||||
Expenses, after expense reductions and net of custody credits | 0.57 | % (b) | 0.55 | % (b) | 0.57 | % | 0.58 | % | 0.60 | % | — | — | ||||||||||||||||
Expenses, before expense reductions | 0.58 | % (b) | 0.55 | % (b) | 0.57 | % | 0.58 | % | 0.62 | % | 0.65 | % | 0.62 | % | ||||||||||||||
Portfolio turnover rate | 13.25 | % | 4.57 | % | 21.37 | % | 15.81 | % | 19.59 | % | 25.37 | % | 33.65 | % | ||||||||||||||
Net assets at end of period (000) | $ | 253,145 | $ | 238,589 | $ | 222,760 | $ | 197,367 | $ | 123,652 | $ | 86,160 | $ | 76,470 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
(c) | The Fund’s fiscal year-end changed to September 30. |
Certified Semi-Annual Report | 15 |
Table of Contents
SCHEDULE OF INVESTMENTS | ||
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
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
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
ALABAMA — 2.05% | ||||||||
Birmingham Carraway Alabama Special, 6.25% due 8/15/2009 (Insured: Connie Lee) | NR/AAA | $ | 10,000,000 | $ | 10,711,500 | |||
Huntsville Health Care Authority Facilities Revenue Series B, 4.65% due 6/1/2024 put 6/1/2005 (Insured: MBIA) | Aaa/AAA | 1,245,000 | 1,249,233 | |||||
Huntsville Health Care Series A, 4.65% due 6/1/2024 put 6/1/2005 (Insured: MBIA) | Aaa/AAA | 5,330,000 | 5,348,122 | |||||
Scottsboro Industrial Development Board Refunding, 5.25% due 5/1/2009 (LOC: PNC Bank) | NR/NR | 1,920,000 | 1,951,046 | |||||
Shelby County Series A, 7.20% due 8/1/2005 (ETM) | Aaa/AAA | 500,000 | 508,040 | |||||
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 | 8,955,000 | 9,102,310 | |||||
ALASKA — 0.59% | ||||||||
Alaska Energy Authority Power Revenue Refunding Third Series, 6.00% due 7/1/2008 (Bradley Lake Project; Insured: FSA) | Aaa/AAA | 2,800,000 | 3,047,240 | |||||
Alaska Student Loan Corp. Revenue Series A, 5.25% due 1/1/2012 | NR/AAA | 3,000,000 | 3,277,200 | |||||
North Slope Borough Alaska, 0% due 6/30/2006 (Insured: MBIA) | Aaa/AAA | 2,070,000 | 1,999,806 | |||||
ARIZONA — 1.13% | ||||||||
Arizona State Transportation Board Grant Anticipation Notes Series A, 5.00% due 7/1/2009 | Aa3/AA- | 2,500,000 | 2,672,250 | |||||
Maricopa County Arizona School District 97, 5.50% due 7/1/2008 (Insured: FGIC) | Aaa/NR | 650,000 | 698,886 | |||||
Maricopa County School District 008, 7.50% due 7/1/2008 (Insured: MBIA) | A1/AAA | 1,000,000 | 1,133,150 | |||||
Maricopa County Unified School District 41 Gilbert Refunding, 0% due 1/1/2006 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 981,030 | |||||
Mohave County Industrial Development Authority Correctional Facilities Contract Revenue Series A, 5.00% due 4/1/2009 (Mohave Prison LLC Project; Insured: XLCA) | NR/AAA | 4,595,000 | 4,860,729 | |||||
Mohave County Industrial Development Authority Series A, 5.00% due 4/1/2014 | NR/AAA | 3,135,000 | 3,339,496 | |||||
Pima County Industrial Development Authority Education Revenue Series C, 6.40% due 7/1/2013 (Arizona Charter Schools Project) | Baa3/NR | 1,000,000 | 1,061,050 | |||||
Pima County Industrial Development Authority Industrial Revenue Refunding Lease Obligation A, 7.25% due 7/15/2010 (Insured: FSA) | Aaa/AAA | 570,000 | 596,106 | |||||
Tucson Water Revenue Series D, 9.75% due 7/1/2008 | Aa3/A+ | 500,000 | 600,110 | |||||
ARKANSAS — 0.59% | ||||||||
Conway Electric Revenue Refunding, 5.00% due 8/1/2007 | A2/NR | 2,000,000 | 2,081,740 | |||||
Jefferson County Hospital Revenue Refunding & Improvement, 5.50% due 6/1/2010 (Regional Medical Center Project) | NR/A | 1,000,000 | 1,080,620 | |||||
Jefferson County Hospital Revenue Refunding & Improvement, 5.50% due 6/1/2011 (Regional Medical Center Project) | NR/A | 1,075,000 | 1,168,589 | |||||
Little Rock Arkansas Capital Improvement, 4.00% due 4/1/2005 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,000,000 | |||||
Little Rock Hotel & Restaurant Gross Receipts Tax Refunding, 7.125% due 8/1/2009 | A3/NR | 2,645,000 | 2,932,247 | |||||
CALIFORNIA — 3.64% | ||||||||
Bay Area Government Association Rapid Transit, 4.875% due 6/15/2009 (Insured:AMBAC) | Aaa/AAA | 2,385,000 | 2,389,722 | |||||
California Health Facilities Financing Authority Revenue Series 83 C, 9.25% due 12/1/2006 (Mercy Health Care Project) (ETM) | Aaa/AAA | 1,600,000 | 1,770,256 | |||||
California Health Facilities Financing Authority Revenue Series B Refunding, 5.25% due 10/1/2013 (Kaiser Permanente Project) (ETM) | A3/AAA | 2,620,000 | 2,809,138 | |||||
California State Department of Water Resources Power Supply Series A, 5.50% due 5/1/2005 | A2/BBB+ | 1,470,000 | 1,473,778 | |||||
California State Department of Water Resources Power Supply Series A, 5.50% due 5/1/2008 | A2/BBB+ | 2,050,000 | 2,190,446 | |||||
California State Department of Water Resources Power Supply Series A, 5.50% due 5/1/2012 | A2/BBB+ | 2,600,000 | 2,863,172 |
16 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
California State Department of Water Resources Power Supply Series A, 6.00% due 5/1/2013 | A2/BBB+ | $ | 2,550,000 | $ | 2,898,636 | |||
California State Public Works Board Lease Revenue Series A, 5.25% due 1/1/2007 (Insured:AMBAC) | Aaa/AAA | 2,000,000 | 2,077,100 | |||||
California Statewide Community Development Authority Revenue Series D, 4.35% due 11/1/2036 put 3/1/2007 (Kaiser Permanente Project) | A3/A-1 | 2,000,000 | 2,036,040 | |||||
California Statewide Community Development Authority Series E, 3.875% due 4/1/2032 put 4/1/2010 (Kaiser Permanente Project) | NR/A | 2,000,000 | 2,000,000 | |||||
Central Valley Financing Authority Revenue, 6.00% due 7/1/2009 (Carson Ice Project) | NR/BBB | 1,870,000 | 1,933,580 | |||||
Fairfield Water Revenue Refunding, 5.25% due 4/1/2012 (Insured:AMBAC) | Aaa/AAA | 3,700,000 | 3,777,145 | |||||
Los Angeles County Capital Asset Leasing Corp. Lease Revenue Series A, 3.00% due 6/1/2005 | A3/A | 1,730,000 | 1,731,782 | |||||
Northern California Power Agency Public Power Revenue Series A, 5.00% due 7/1/2009 (Geothermal Project Number 3) | Baa2/A- | 6,100,000 | 6,107,198 | |||||
Orange County Refunding Recovery, 6.50% due 6/1/2005 (Insured: MBIA) | Aaa/AAA | 5,200,000 | 5,236,556 | |||||
Orange County Sanitation Districts Series B, 2.28% due 8/1/2030 put 4/1/2005 (daily demand notes) | VMIG1/A-1+ | 2,000,000 | 2,000,000 | |||||
Sacramento County Sanitation District Financing Authority Revenue Series A, 5.875% due 12/1/2027 Crossover refunded 12/1/2005 | Aa3/AA | 2,500,000 | 2,577,800 | |||||
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 | 3,000,000 | 3,076,680 | |||||
Torrance Hospital Revenue Series A, 7.10% due 12/1/2015 pre-refunded 12/1/2005 (Little Co. of Mary Hospital Project) | NR/AAA | 1,305,000 | 1,345,494 | |||||
Tri City Hospital District Revenue Refunding Series B, 6.00% due 2/15/2006 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,030,020 | |||||
COLORADO — 3.30% | ||||||||
Adams County Communication Center Series A, 4.75% due 12/1/2006 | Baa1/NR | 1,025,000 | 1,040,980 | |||||
Adams County School District 012 Series A, 4.375% due 12/15/2007 | Aa3/AA- | 1,000,000 | 1,036,810 | |||||
Central Platte Valley Metropolitan District Refunding Series A, 5.00% due 12/1/2031 put 12/1/2009 (LOC: US Bank) | NR/A-1 | 9,360,000 | 9,808,344 | |||||
Colorado Department of Transport Revenue Anticipation Notes, 6.00% due 6/15/2008 (Insured:AMBAC) | Aaa/AAA | 1,500,000 | 1,633,365 | |||||
Colorado Educational & Cultural Facilities, 4.90% due 4/1/2008 | NR/BBB+ | 1,000,000 | 1,025,940 | |||||
Colorado Health Facilities Authority, 5.00% due 9/1/2007 (Catholic Health Initiatives Project) | Aa2/AA | 5,705,000 | 5,939,932 | |||||
Colorado Health Facilities Authority Series A, 5.375% due 12/1/2009 (Catholic Health Initiatives Project) | Aa2/AA | 515,000 | 546,492 | |||||
Colorado Housing Finance Authority, 5.25% due 10/1/2007 | A1/AA+ | 110,000 | 110,982 | |||||
Colorado Springs Utilities Revenue Systems Subordinated Lien Refunding & Improvement Series A, 5.00% due 11/15/2005 | Aa2/AA | 2,230,000 | 2,264,833 | |||||
Denver City & County COP Series A, 5.50% due 5/1/2006 (Insured: MBIA) | Aaa/AAA | 500,000 | 514,855 | |||||
Denver Convention Center Senior Series A, 5.00% due 12/1/2011 (Insured: XLCA) | Aaa/AAA | 3,335,000 | 3,574,253 | |||||
Dove Valley Metropolitan District Arapahoe County, Series B, 3.30% due 11/1/2025 put 11/1/2005 (LOC: BNP Paribas) | NR/A-1+ | 1,820,000 | 1,828,591 | |||||
El Paso County School District Number 49 Series A, 6.00% due 12/1/2009 | Aaa/AAA | 1,000,000 | 1,093,010 | |||||
Highlands Ranch Metro District 2 GO, 6.50% due 6/15/2012 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,170,370 | |||||
Highlands Ranch Metropolitan District 3 Refunding Series B, 5.25% due 12/1/2008 (Insured:ACA) | NR/A | 1,760,000 | 1,853,456 | |||||
Highlands Ranch Metropolitan District 3 Series A, 5.25% due 12/1/2008 (Insured:ACA) | NR/A | 1,520,000 | 1,600,712 | |||||
Lakewood COP, 4.40% due 12/1/2008 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,041,770 | |||||
Metropolitan Football Stadium District Colorado Sales Tax Revenue Capital Appreciation Series A, 0.01% due 1/1/2008 (Insured: MBIA) | Aaa/AAA | 1,025,000 | 937,024 | |||||
Pinery West Metropolitan District 3, 4.70% due 12/1/2021 put 12/1/2007 | NR/A-2 | 970,000 | 991,650 | |||||
Plaza Metropolitan District 1 Revenue, 7.60% due 12/1/2016 | NR/NR | 6,000,000 | 6,293,460 | |||||
Regional Transportation District of Colorado Series A, 5.00% due 6/1/2009 |
Certified Semi-Annual Report | 17 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
(Transit Vehicles Project; Insured:AMBAC) | Aaa/AAA | $ | 1,000,000 | $ | 1,065,750 | |||
Southland Metropolitan District Number 1 unlimited GO, 6.75% due 12/1/2016 | NR/NR | 1,000,000 | 1,092,660 | |||||
CONNECTICUT — 0.45% | ||||||||
Bridgeport GO, 6.00% due 3/1/2006 (Insured:AMBAC) | Aaa/AAA | 1,325,000 | 1,365,002 | |||||
Capitol Region Education Council, 6.375% due 10/15/2005 | NR/BBB | 350,000 | 355,621 | |||||
Connecticut State Health & Education Yale University Series V 2, 2.30% due 7/1/2036 put 4/1/2005 (daily demand notes) | VMIG1/A-1+ | 4,560,000 | 4,560,000 | |||||
DELAWARE — 0.60% | ||||||||
Delaware State Economic Development Authority Revenue, 5.50% due 7/1/2025 put 7/1/2010 (Delmarva Power & Light Project) | Baa1/BBB | 2,045,000 | 2,166,084 | |||||
Delaware State Health Facilities Authority Revenue, 6.25% due 10/1/2006 (ETM) | Aaa/AAA | 2,000,000 | 2,000,000 | |||||
Delaware State Health Facilities Authority Revenue Series A, 5.25% due 6/1/2011 (Beebe Medical Center Project) | Baa1/BBB | 1,275,000 | 1,347,917 | |||||
Delaware State Health Facilities Authority Revenue Series A, 5.25% due 5/1/2012 (Nanticoke Memorial Hospital Project; Insured: Radian) | NR/AA | 1,370,000 | 1,465,955 | |||||
Delaware State Health Facilities Authority Revenue Series A, 5.25% due 5/1/2013 (Nanticoke Memorial Hospital Project; Insured: Radian) | NR/AA | 1,445,000 | 1,534,619 | |||||
DISTRICT OF COLUMBIA — 2.09% | ||||||||
District of Columbia, 5.50% due 6/1/2008 (Insured:AMBAC) | Aaa/AAA | 1,915,000 | 2,051,922 | |||||
District of Columbia COP, 5.00% due 1/1/2008 | Aaa/AAA | 1,000,000 | 1,049,940 | |||||
District of Columbia COP, 5.25% due 1/1/2013 (Insured:AMBAC) | Aaa/AAA | 5,950,000 | 6,391,847 | |||||
District of Columbia Hospital Revenue, 5.70% due 8/15/2008 | Aaa/AAA | 4,430,000 | 4,696,199 | |||||
District of Columbia Hospital Revenue Refunding, 5.10% due 8/15/2008 (Medlantic Healthcare Group A Project) (ETM) | Aaa/AAA | 1,500,000 | 1,586,430 | |||||
District of Columbia Revenue, 6.00% due 8/15/2005 (Medlantic Healthcare Project) (ETM) | Aaa/AAA | 1,330,000 | 1,347,702 | |||||
District of Columbia Revenue, 5.50% due 10/1/2005 (Insured: MBIA) | Aaa/AAA | 500,000 | 507,485 | |||||
District of Columbia Revenue, 6.00% due 1/1/2007 | Aaa/AAA | 500,000 | 525,625 | |||||
District of Columbia Revenue, 6.00% due 1/1/2009 | Aaa/AAA | 1,000,000 | 1,094,440 | |||||
District of Columbia Series A, 5.50% due 6/1/2009 (Insured: MBIA) | Aaa/AAA | 4,700,000 | 5,099,782 | |||||
District of Columbia Tax Increment Capital Appreciation, 0% due 7/1/2009 | Aaa/AAA | 2,000,000 | 1,719,320 | |||||
District of Columbia Tax Increment Capital Appreciation, 0% due 7/1/2011 | Aaa/AAA | 1,990,000 | 1,551,742 | |||||
District of Columbia Tax Increment Capital Appreciation, 0% due 7/1/2012 | Aaa/AAA | 1,480,000 | 1,093,380 | |||||
Washington DC Convention Center Authority Dedicated Tax Revenue, 5.00% due 10/1/2006 (Insured:AMBAC) | Aaa/AAA | 750,000 | 774,300 | |||||
FLORIDA — 5.94% | ||||||||
Broward County Resource Recovery Revenue Refunding, 5.375% due 12/1/2009 (Wheelabrator South Project) | A3/AA | 5,000,000 | 5,343,600 | |||||
Capital Projects Finance Authority Student Housing, 5.50% due 10/1/2012 | Aaa/AAA | 1,000,000 | 1,083,570 | |||||
Crossings at Fleming Island Community Development Refunding Series B, 5.45% due 5/1/2010 (Insured: MBIA) | Aaa/AAA | 2,996,000 | 3,206,379 | |||||
Dade County Solid Waste Systems Special Obligation Revenue Refunding, 6.00% due 10/1/2007 (Insured:AMBAC) | Aaa/AAA | 7,000,000 | 7,507,430 |
18 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Escambia County Health Facilities Revenue Baptist Hospital Baptist Manor, 5.125% due 10/1/2014 | A3/BBB+ | $ | 2,755,000 | $ | 2,826,575 | |||
Florida State Refunding, 6.00% due 7/1/2006 (Department of Transportation Right of Way Project) | Aa1/AAA | 1,465,000 | 1,524,333 | |||||
Gulf Breeze Florida Revenue Local Government Series C, 4.00% due 12/1/2015 put 12/1/2007 (Insured: FGIC) | Aaa/AAA | 1,900,000 | 1,927,398 | |||||
Gulf Breeze Florida Revenue Local Government Series E, 4.00% due 12/1/2020 put 12/1/2007 (Insured: FGIC) | Aaa/AAA | 1,170,000 | 1,186,871 | |||||
Hillsborough County Capital Improvement Program Revenue Refunding Junior Lien, 5.00% due 8/1/2008 (Criminal Justice Project; Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,059,690 | |||||
Hillsborough County Industrial Development Authority, 5.10% due 10/1/2013 (Tampa Electric Co. Project) | Baa2/BBB- | 6,000,000 | 6,347,100 | |||||
Jacksonville Electric St. John’s River Park Systems Revenue Refunding Issue-2 17th Series, 5.25% due 10/1/2012 | Aa2/AA- | 5,000,000 | 5,414,000 | |||||
Miami Dade County School Board COP Series A, 5.00% due 5/1/2006 (Insured: MBIA) | Aaa/AAA | 1,910,000 | 1,957,788 | |||||
Miami Dade County School Board COP Series B, 5.50% due 5/1/2031 put 5/1/2011 (Insured: MBIA) | Aaa/AAA | 1,010,000 | 1,099,415 | |||||
Miami Dade County School Board COP Series C, 5.00% due 8/1/2007 (Insured: MBIA) | Aaa/AAA | 3,390,000 | 3,550,923 | |||||
Miami Dade County Special Housing Revenue Refunding, 5.80% due 10/1/2012 (HUD Section 8) | Baa3/NR | 3,700,000 | 3,580,046 | |||||
Orange County Health Facilities Authority, 5.80% due 11/15/2009 (Adventist Health System Project) | A2/A | 1,395,000 | 1,515,751 | |||||
Orange County Health Facilities Authority Revenue Refunding, 6.25% due 11/15/2008 (Adventist Health Systems Project; Insured: AMBAC) | Aaa/AAA | 3,120,000 | 3,247,452 | |||||
Orange County Health Facilities Authority Revenue Unrefunded Balance Series A, 6.25% due 10/1/2007 (Orlando Regional Hospital Project; Insured: MBIA) | Aaa/AAA | 925,000 | 994,810 | |||||
Orange County School Board Series A, 6.00% due 8/1/2008 (Insured: MBIA) | Aaa/NR | 10,000,000 | 10,901,300 | |||||
Palm Beach County Industrial Development Revenue Series 1996, 6.00% due 12/1/2006 (Lourdes-Noreen McKeen Residence Project) (ETM) | NR/A | 940,000 | 986,455 | |||||
Palm Beach County Solid Waste Authority Revenue Refunding Series A, 5.00% due 10/1/2005 | Aa3/AA- | 2,420,000 | 2,447,830 | |||||
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- | 1,000,000 | 1,013,530 | |||||
Pelican Marsh Community Development District Refunding Series A, 5.00% due 5/1/2011 (Insured: Radian) | NR/NR | 3,445,000 | 3,604,125 | |||||
Sarasota County Public Hospital Series A, 2.33% due 7/1/2037 put 4/1/2005 (Sarosota Memorial Hospital Project) (daily demand notes) | VMIG1/NR | 300,000 | 300,000 | |||||
St. John’s County Florida Industrial Development Authority Series A, 5.50% due 8/1/2014 (Presbyterian Retirement Project) | NR/NR | 1,755,000 | 1,865,021 | |||||
Tampa Solid Waste System Revenue Series A, 4.35% due 10/1/2008 (Insured: AMBAC) | Aaa/AAA | 6,045,000 | 6,259,235 | |||||
University Athletic Association Inc. Florida Athletic Program Revenue Refunding, 2.20% due 10/1/2031 put 10/1/2005 (LOC: Suntrust Bank) | Aa3/NR | 3,000,000 | 2,997,240 | |||||
GEORGIA — 1.71% | ||||||||
Floyd County Sales Tax, 3.50% due 1/1/2006 | Aa3/NR | 1,500,000 | 1,510,365 | |||||
Georgia Municipal Association Inc. COP, 5.00% due 12/1/2006 | Aaa/AAA | 1,000,000 | 1,036,490 | |||||
Georgia Municipal Electric Power Authority Revenue, 7.00% due 1/1/2008 (Insured: MBIA) | Aaa/AAA | 1,550,000 | 1,708,069 | |||||
Georgia Municipal Electric Power Authority Revenue Series Y, 6.30% due 1/1/2006 | A1/A+ | 730,000 | 749,235 | |||||
Monroe County Development Authority Pollution Control, 6.75% due 1/1/2010 (Oglethorpe Power Scherer A Refunding; Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,287,680 | |||||
Monroe County Development Authority Pollution Control Revenue Oglethorpe Power Scherer A, 6.80% due 1/1/2012 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,181,500 | |||||
Municipal Electric Authority Georgia Subordinated Series B, 5.00% due 1/1/2026 put 1/1/2009 (Project One; Insured: AMBAC) | Aaa/AAA | 14,850,000 | 15,689,916 |
Certified Semi-Annual Report | 19 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
HAWAII — 0.30% | ||||||||
Hawaii State Department of Budget & Finance Special Purpose Hawaiian Electric Co., 4.95% due 4/1/2012 (Insured: MBIA) | Aaa/AAA | $ | 2,000,000 | $ | 2,129,460 | |||
Hawaii State Refunding Series Cb, 5.75% due 1/1/2007 | Aa3/AA- | 1,000,000 | 1,048,590 | |||||
Honolulu City & County Refunding Series A, 7.35% due 7/1/2006 | Aa2/AA- | 1,000,000 | 1,055,700 | |||||
ILLINOIS — 11.40% | ||||||||
Champaign County Community Unit Series C, 0% due 1/1/2009 (Insured: FGIC) | Aaa/AAA | 3,345,000 | 2,931,491 | |||||
Chicago Board of Education, 6.00% due 12/1/2009 (Insured: FGIC) | Aaa/AAA | 2,000,000 | 2,225,920 | |||||
Chicago Board of Education School Reform, 6.25% due 12/1/2012 (Insured: MBIA) | Aaa/AAA | 750,000 | 868,905 | |||||
Chicago Housing Authority Capital Program Revenue, 5.00% due 7/1/2007 | Aa3/AA | 1,000,000 | 1,037,400 | |||||
Chicago Housing Authority Capital Program Revenue, 5.25% due 7/1/2010 | Aa3/AA | 2,300,000 | 2,460,632 | |||||
Chicago Metropolitan Water Reclamation District, 6.90% due 1/1/2007 | Aaa/AA+ | 2,300,000 | 2,417,369 | |||||
Chicago Midway Airport Revenue Series A, 5.40% due 1/1/2009 (Insured: MBIA) | Aaa/AAA | 1,340,000 | 1,399,590 | |||||
Chicago Midway Airport Revenue Series C, 5.50% due 1/1/2013 (Insured: MBIA) | Aaa/AAA | 1,180,000 | 1,299,357 | |||||
Chicago O’Hare International Airport Revenue, 5.375% due 1/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,037,370 | |||||
Chicago O’Hare International Airport Revenue, 5.00% due 1/1/2012 (Insured: MBIA) | Aaa/AAA | 1,105,000 | 1,185,952 | |||||
Chicago O’Hare International Airport Revenue 2nd Lien Series C-1, 5.00% due 1/1/2010 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,066,420 | |||||
Chicago O’Hare International Airport Revenue Refunding Series A, 4.90% due 1/1/2006 (Insured: MBIA) | Aaa/AAA | 675,000 | 682,938 | |||||
Chicago O’Hare International Airport Revenue Series C-1, 5.00% due 1/1/2008 (Insured: MBIA) | Aaa/AAA | 6,000,000 | 6,296,400 | |||||
Chicago Park District, 6.60% due 11/15/2014 partially pre-refunded 5/15/2005 | Aa3/AA | 11,900,000 | 12,196,667 | |||||
Chicago Park District Parking Facility Revenue, 5.75% due 1/1/2010 (ETM) | Baa1/A | 1,000,000 | 1,104,060 | |||||
Chicago Public Commerce Building Revenue Series C, 5.50% due 2/1/2006 (Insured: FGIC) | Aaa/AAA | 2,000,000 | 2,047,120 | |||||
Chicago Refunding Series A, 5.375% due 1/1/2013 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,173,600 | |||||
Chicago Refunding Series A-2, 6.125% due 1/1/2012 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,141,050 | |||||
Chicago Tax Increment Allocation Central Series A, 0% due 12/1/2005 (Insured: AMBAC) | Aaa/AAA | 5,000,000 | 4,915,600 | |||||
Chicago Water Revenue, 6.50% due 11/1/2011 (Insured: FGIC) | Aaa/AAA | 1,810,000 | 2,102,044 | |||||
Cook & Will Counties Township High School District 206 Series C, 0% due 12/1/2005 (Insured: FSA) | Aaa/AAA | 2,545,000 | 2,502,040 | |||||
Cook County Capital Improvement, 5.50% due 11/15/2008 pre-refunded 11/15/2006 | Aaa/AAA | 995,000 | 1,048,262 | |||||
Cook County Community School District 97 Series B, 9.00% due 12/1/2013 (Insured: FGIC) | Aaa/NR | 2,250,000 | 3,072,263 | |||||
Du Page County Forest Preservation District, 0% due 11/1/2009 | Aaa/AAA | 5,000,000 | 4,249,500 | |||||
Glenview Multi Family Revenue Refunding, 5.20% due 12/1/2027 put 12/1/2007 (Collateralized: FNMA) | NR/AAA | 1,500,000 | 1,542,525 | |||||
Hoffman Estates Illinois Tax Increment Revenue, 0% due 5/15/2005 (Hoffman Estates Economic Dev. Project; Guaranty: Sears) | Baa2/NR | 1,065,000 | 1,059,995 | |||||
Hoffman Estates Illinois Tax Increment Revenue, 0% due 5/15/2006 (Hoffman Estates Economic Dev. Project; Guaranty: Sears) | Baa2/NR | 3,075,000 | 2,944,589 | |||||
Hoffman Estates Illinois Tax Increment Revenue Junior Lien, 0% due 5/15/2007 | Baa2/NR | 1,500,000 | 1,377,930 | |||||
Hoffman Estates Illinois Tax Increment Revenue Refunding, 5.25% due 11/15/2009 (Economic Development Project; Insured: AMBAC) | Aaa/AAA | 5,100,000 | 5,111,628 | |||||
Illinois Department Central Management Services COP, 5.85% due 7/1/2009 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,045,440 | |||||
Illinois Development Finance Authority Pollution Control Revenue Refunding, 5.70% due 1/15/2009 (Commonwealth Edison Co. Project; Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,240,420 | |||||
Illinois Development Finance Authority Pollution Series A, 7.375% due 7/1/2021 pre-refunded 7/1/2006 (Illinois Power Co. Project) | Baa3/NR | 5,000,000 | 5,369,850 | |||||
Illinois Development Finance Authority Revenue, 4.00% due 11/15/2005 (Insured: XLCA) | Aaa/AAA | 860,000 | 867,551 | |||||
Illinois Development Finance Authority Revenue, 6.00% due 11/15/2009 | Aaa/AAA | 3,635,000 | 3,980,580 | |||||
Illinois Development Finance Authority Revenue, 6.00% due 11/15/2010 | Aaa/AAA | 3,860,000 | 4,273,715 |
20 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Illinois Development Finance Authority Revenue, 5.25% due 2/15/2011 (Insured: AMBAC) | NR/AAA | $ | 785,000 | $ | 806,713 | |||
Illinois Development Finance Authority Revenue Community Rehab Providers A, 5.00% due 7/1/2006 | NR/BBB | 1,255,000 | 1,266,257 | |||||
Illinois Development Finance Authority Revenue Provena Health Series A, 5.50% due 5/15/2011 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,068,550 | |||||
Illinois Development Finance Authority Revenue Refunding Community Rehab Providers A, 5.60% due 7/1/2005 | NR/BBB | 1,000,000 | 1,003,800 | |||||
Illinois Development Finance Authority Revenue Refunding Community Rehab Providers A, 5.60% due 7/1/2006 | NR/BBB | 1,000,000 | 1,018,760 | |||||
Illinois Development Finance Authority Revenue Refunding Community Rehab Providers Series A, 6.00% due 7/1/2015 | NR/BBB | 4,500,000 | 4,647,600 | |||||
Illinois Development Finance Authority Revenue Series A, 5.75% due 5/15/2014 (Provena Health Project; Insured: MBIA) | Aaa/AAA | 6,035,000 | 6,492,936 | |||||
Illinois Educational Facilities Authority Revenues, 6.375% due 10/1/2015 pre-refunded 10/1/2005 (Mercy Center Project) | Baa2/NR | 1,000,000 | 1,038,940 | |||||
Illinois Health Facilities Authority Revenue, 5.50% due 11/15/2007 | A2/A | 915,000 | 961,436 | |||||
Illinois Health Facilities Authority Revenue, 6.50% due 2/15/2008 (Iowa Health System Project) | A1/NR | 1,290,000 | 1,387,859 | |||||
Illinois Health Facilities Authority Revenue, 6.50% due 2/15/2009 (Iowa Health System Project) | A1/NR | 1,375,000 | 1,502,256 | |||||
Illinois Health Facilities Authority Revenue, 6.50% due 2/15/2010 (Iowa Health System Project) | A1/NR | 1,465,000 | 1,623,410 | |||||
Illinois Health Facilities Authority Revenue, 6.00% due 2/15/2011 | Aaa/AAA | 1,560,000 | 1,726,452 | |||||
Illinois Health Facilities Authority Revenue Refunding, 4.00% due 8/15/2005 (University of Chicago Hospital & Health Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,005,720 | |||||
Illinois Health Facilities Authority Revenue Refunding, 5.00% due 8/15/2007 (University of Chicago Hospital & Health Project; Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,565,550 | |||||
Illinois Health Facilities Authority Revenue Refunding, 5.00% due 8/15/2008 (University of Chicago Hospital & Health Project; Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,581,915 | |||||
Illinois Health Facilities Authority Revenue Refunding, 5.50% due 11/15/2011 (Methodist Medical Center Project; Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,226,140 | |||||
Illinois Health Facilities Authority Revenue University of Chicago, 5.00% due 8/15/2009 (Hospital Systems Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,061,120 | |||||
Illinois Hospital District, 5.50% due 1/1/2010 (Insured: FGIC) | Aaa/AAA | 1,040,000 | 1,127,870 | |||||
Illinois State COP Central Management Department, 5.00% due 7/1/2007 (Insured: AMBAC) | Aaa/AAA | 500,000 | 521,910 | |||||
Illinois State Partners Series A, 6.00% due 7/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,039,490 | |||||
Kane County School District Number 129 Aurora West Side Refunding, 5.50% due 2/1/2012 (Insured: FGIC) | Aaa/NR | 1,200,000 | 1,271,892 | |||||
Lake County Community Consolidated School District 73, 9.00% due 1/1/2006 (Insured: FSA) | Aaa/NR | 1,000,000 | 1,046,010 | |||||
Lake County Community High School District 117 Series B, 0% due 12/1/2006 (Insured: FGIC) | Aaa/NR | 2,000,000 | 1,904,420 | |||||
Lake County Community High School District 117 Series B, 0% due 12/1/2011 (Insured: FGIC) | Aaa/NR | 3,235,000 | 2,472,478 | |||||
Lake County Consolidated High School Refunding, 3.25% due 12/1/2005 | NR/AA- | 2,990,000 | 3,003,874 | |||||
McHenry & Kane Counties Community Consolidated School District 158, 0% due 1/1/2010 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 836,660 | |||||
Mclean & Woodford Counties School District GO, 7.375% due 12/1/2010 (Insured: FSA) | Aaa/NR | 1,500,000 | 1,791,465 | |||||
Metropolitan Pier & Exposition Authority Dedicated State Tax Revenue Refunding Series A-2002, 6.00% due 6/15/2007 (McCormick Place Exposition Project; Insured: AMBAC) | Aaa/AAA | 1,250,000 | 1,323,688 | |||||
Metropolitan Pier & Exposition Authority Dedicated State Tax Revenue Refunding Series A-2002, 6.00% due 6/15/2007 pre-refunded 6/15/2006 (McCormick Place Exposition Project) | Aaa/AAA | 3,750,000 | 3,956,475 | |||||
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/AA- | 2,445,000 | 2,498,325 | |||||
Peoria Public Building Commission School District Facilities Revenue, 0% due 12/1/2007 (Insured: FGIC) | Aaa/NR | 1,100,000 | 1,010,790 | |||||
University Il COP Series A, 5.00% due 8/15/2019 pre-refunded 8/15/2011 | Aaa/AAA | 5,235,000 | 5,647,256 |
Certified Semi-Annual Report | 21 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
University of Illinois Revenues, 0% due 10/1/2006 (Insured: MBIA) | Aaa/AAA | $ | 6,300,000 | $ | 6,035,463 | |||
INDIANA — 6.49% | ||||||||
Allen County Economic Development Revenue, 5.00% due 12/30/2012 | NR/NR | 1,370,000 | 1,417,032 | |||||
Allen County Economic Development Revenue First Mortgage, 5.20% due 12/30/2005 (Indiana Institute of Technology Project) | NR/NR | 965,000 | 980,729 | |||||
Allen County Economic Development Revenue First Mortgage, 5.30% due 12/30/2006 (Indiana Institute of Technology Project) | NR/NR | 690,000 | 712,411 | |||||
Allen County Economic Development Revenue First Mortgage, 5.60% due 12/30/2009 (Indiana Institute of Technology Project) | NR/NR | 1,110,000 | 1,177,000 | |||||
Allen County Jail Building Corp. First Mortgage, 5.75% due 10/1/2010 | Aa3/NR | 1,115,000 | 1,237,762 | |||||
Allen County Jail Building Corp. GO, 5.00% due 10/1/2011 (Insured: XLCA) | Aaa/NR | 2,390,000 | 2,557,372 | |||||
Allen County Jail Building Corp. GO, 5.00% due 10/1/2012 (Insured: XLCA) | Aaa/NR | 1,275,000 | 1,365,015 | |||||
Allen County Jail Building Corp. GO, 5.00% due 10/1/2014 (Insured: XLCA) | Aaa/NR | 1,000,000 | 1,071,040 | |||||
Allen County Jail Building Corp. GO, 5.00% due 10/1/2015 (Insured: XLCA) | Aaa/NR | 1,480,000 | 1,581,646 | |||||
Allen County Jail Building Corp. GO, 5.00% due 10/1/2016 (Insured: XLCA) | Aaa/NR | 1,520,000 | 1,622,098 | |||||
Ball State University Revenues Student Fee Series K, 5.75% due 7/1/2012 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,116,340 | |||||
Boone County Hospital Association Lease Revenue, 5.00% due 1/15/2007 (ETM) | Aaa/AAA | 1,085,000 | 1,124,678 | |||||
Boonville Junior High School Building Corp. Revenue, 0% due 7/1/2010 (State Aid Withholding) | NR/A | 850,000 | 678,113 | |||||
Boonville Junior High School Building Corp. Revenue, 0% due 1/1/2011 (State Aid Withholding) | NR/A | 850,000 | 658,096 | |||||
Boonville Junior High School Building Corp. Revenue Refunding, 0% due 7/1/2011 (State Aid Withholding) | NR/A | 950,000 | 717,583 | |||||
Brownsburg 1999 School Building, 5.00% due 2/1/2011 (Insured: FSA) | NR/AAA | 1,720,000 | 1,846,540 | |||||
Brownsburg 1999 School Building, 5.00% due 8/1/2011 (Insured: FSA) | NR/AAA | 1,835,000 | 1,974,075 | |||||
Brownsburg 1999 School Building, 5.25% due 2/1/2012 (Insured: FSA) | NR/AAA | 1,880,000 | 2,021,696 | |||||
Brownsburg 1999 School Building, 5.25% due 8/1/2012 (Insured: FSA) | NR/AAA | 1,755,000 | 1,889,995 | |||||
Center Grove 2000 Building First Mortgage, 5.00% due 7/15/2009 (Insured: AMBAC) | Aaa/AAA | 1,175,000 | 1,252,961 | |||||
Center Grove 2000 Building First Mortgage, 5.00% due 7/15/2010 (Insured: AMBAC) | Aaa/AAA | 1,135,000 | 1,218,025 | |||||
Dekalb County Redevelopment Authority Lease Rental Revenue Refunding, 5.00% due 1/15/2011 (Mini Mill Local Public Improvement Project; Insured: XLCA) | Aaa/AAA | 1,015,000 | 1,081,777 | |||||
Dekalb County Redevelopment Authority Lease Rental Revenue Refunding, 5.00% due 1/15/2012 (Mini Mill Local Public Improvement Project; Insured: XLCA) | Aaa/AAA | 1,000,000 | 1,066,600 | |||||
Dekalb County Redevelopment Authority Lease Rental Revenue Refunding, 5.25% due 1/15/2013 (Mini Mill Local Public Improvement Project; Insured: XLCA) | Aaa/AAA | 1,000,000 | 1,081,070 | |||||
Dekalb County Redevelopment Authority Lease Rental Revenue Refunding, 5.25% due 1/15/2014 (Mini Mill Local Public Improvement Project; Insured: XLCA) | Aaa/AAA | 1,000,000 | 1,074,950 | |||||
Eagle Union Middle School Building Corp., 5.50% due 7/15/2009 (ETM) | Aaa/AAA | 910,000 | 991,873 | |||||
Elberfeld J. H. Castle School Building Corp. Indiana First Mortgage, 0% due 1/15/2006 (State Aid Withholding) | NR/A | 1,860,000 | 1,813,407 | |||||
Elberfeld J. H. Castle School Building Corp. Indiana First Mortgage Refunding, 0% due 7/5/2008 (Insured: MBIA) | NR/AAA | 1,860,000 | 1,669,443 | |||||
Evansville Vanderburgh Refunding, 5.00% due 7/15/2014 (Insured: AMBAC) | NR/AAA | 1,000,000 | 1,076,730 | |||||
Evansville Vanderburgh Refunding, 5.00% due 7/15/2015 (Insured: AMBAC) | NR/AAA | 1,000,000 | 1,074,780 | |||||
Evansville Vanderburgh School Building Corp. First Mortgage, 5.00% due 1/15/2008 (Insured: FSA) | Aaa/AAA | 965,000 | 1,013,182 | |||||
Goshen Multi School Building Corp. 1st Mortgage, 5.20% due 7/15/2007 (Insured: MBIA) | Aaa/AAA | 965,000 | 1,012,603 | |||||
Hammond Multi-School Building Corp. First Mortgage Refunding Bond Series 1997, 6.00% due 7/15/2008 (Lake County Project; State Aid Withholding) | NR/A | 2,305,000 | 2,446,297 | |||||
Huntington Economic Development Revenue, 6.00% due 11/1/2006 | NR/NR | 390,000 | 403,007 | |||||
Huntington Economic Development Revenue, 6.15% due 11/1/2008 | NR/NR | 700,000 | 743,939 | |||||
Huntington Economic Development Revenue, 6.20% due 11/1/2010 | NR/NR | 790,000 | 829,579 |
22 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Indiana Health Facility Financing Authority Hospital Revenue, 5.75% due 11/1/2005 (Daughters of Charity Project) (ETM) | Aaa/AA+ | $ | 85,000 | $ | 86,372 | |||
Indiana Health Facility Financing Authority Hospital Revenue Series D, 5.00% due 11/1/2026 pre-refunded 11/1/2007 | Aaa/NR | 1,230,000 | 1,284,809 | |||||
Indiana Municipal Power Supply Systems Revenue Refunding Series B, 5.80% due 1/1/2008 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,071,960 | |||||
Indiana State Educational Facilities Authority Revenue, 5.75% due 10/1/2009 | NR/A- | 670,000 | 722,139 | |||||
Indiana University Revenues Refunding, 0% due 8/1/2007 (Insured: AMBAC) | Aaa/AAA | 2,500,000 | 2,325,250 | |||||
Indianapolis Airport Authority Revenue Refunding Series A, 5.35% due 7/1/2007 (Insured: FGIC) | Aaa/AAA | 1,100,000 | 1,152,481 | |||||
Indianapolis Local Public Improvement Bond Bank Transportation Revenue, 0% due 7/1/2005 (ETM) | Aa2/AA- | 1,220,000 | 1,212,814 | |||||
Indianapolis Local Public Improvement Bond Bank Transportation Revenue, 0% due 7/1/2006 (ETM) | Aa2/NR | 1,240,000 | 1,200,010 | |||||
Indianapolis Resource Recovery Revenue Refunding, 6.75% due 12/1/2006 | Aaa/AAA | 2,000,000 | 2,114,320 | |||||
Knox Middle School Building Corp. First Mortgage, 6.00% due 7/15/2008 (Insured: FGIC) | Aaa/AAA | 855,000 | 930,437 | |||||
Knox Middle School Building Corp. First Mortgage, 6.00% due 7/15/2009 (Insured: FGIC) | Aaa/AAA | 455,000 | 502,848 | |||||
Madison Schools Lydia Middleton Building Corp., 5.00% due 7/15/2014 (Insured: FGIC) | NR/AAA | 1,200,000 | 1,289,184 | |||||
Madison Schools Lydia Middleton Building Corp., 5.00% due 7/15/2015 (Insured: FGIC) | NR/AAA | 1,250,000 | 1,340,225 | |||||
Merrillville Multi School Building Corp. Refunding First Mortgage, 6.55% due 7/1/2005 (Insured: MBIA) | Aaa/AAA | 470,000 | 474,836 | |||||
Monroe County Community School Building Corp. Revenue Refunding, 5.00% due 1/15/2007 (Insured: AMBAC) | Aaa/AAA | 625,000 | 646,106 | |||||
North Adams Community Schools, 4.00% due 7/15/2005 (Insured: FSA) | Aaa/AAA | 475,000 | 477,223 | |||||
North Central Campus School Building Corp. Indiana, 4.50% due 7/10/2005 (Insured: AMBAC) | Aaa/AAA | 1,070,000 | 1,076,334 | |||||
Northwest Allen Building Corp. First Mortgage, 5.30% due 12/1/2005 (Insured: MBIA) | Aaa/AAA | 684,000 | 696,421 | |||||
Northwestern School Building Corp., 5.00% due 7/15/2011 | NR/AA | 1,240,000 | 1,320,761 | |||||
Perry Township Multi School Building Refunding, 5.00% due 1/10/2013 (Insured: FSA) | Aaa/NR | 1,225,000 | 1,313,531 | |||||
Perry Township Multi School Building Refunding, 5.25% due 1/15/2013 (Insured: MBIA) | NR/AAA | 1,235,000 | 1,349,200 | |||||
Perry Township Multi School Building Refunding, 5.00% due 7/10/2013 (Insured: FSA) | Aaa/NR | 2,025,000 | 2,173,433 | |||||
Perry Township Multi School Building Refunding, 5.25% due 7/15/2013 (Insured: MBIA) | NR/AAA | 1,305,000 | 1,428,388 | |||||
Perry Township Multi School Building Refunding, 5.25% due 1/15/2014 (Insured: MBIA) | NR/AAA | 1,335,000 | 1,461,491 | |||||
Perry Township Multi School Building Refunding, 5.00% due 7/10/2014 (Insured: FSA) | Aaa/NR | 2,130,000 | 2,288,280 | |||||
Peru Community School Corp. Refunding First Mortgage, 0% due 7/1/2010 | NR/A | 835,000 | 666,146 | |||||
Plymouth Multi School Building Corp. Refunding, 5.50% due 7/1/2005 | Aaa/AAA | 835,000 | 841,580 | |||||
Rockport Pollution Control Revenue Series C, 2.625% due 4/1/2025 put 10/1/2006 | Baa2/BBB | 4,000,000 | 3,956,880 | |||||
Vigo County Elementary School Building Corp. Refunding & Improvement First Mortgage, 4.00% due 1/10/2008 (Insured: FSA) | Aaa/AAA | 1,635,000 | 1,674,518 | |||||
Warren Township Vision 2005 School Building Corp., 3.00% due 1/10/2006 (Insured: FGIC) | Aaa/AAA | 595,000 | 596,761 | |||||
Wawasee Community School Corp. First Mortgage, 5.50% due 7/15/2010 (State Aid Withholding) | NR/AA- | 995,000 | 1,085,595 | |||||
Wawasee Community School Corp. First Mortgage, 5.50% due 7/15/2011 (State Aid Withholding) | NR/AA- | 1,095,000 | 1,201,149 | |||||
West Clark School Building Corp. First Mortgage, 5.75% due 7/15/2011 (Insured: FGIC) | Aaa/AAA | 2,080,000 | 2,324,088 | |||||
Westfield Elementary School Building Corp. First Mortgage Series 1997, 6.80% due 7/15/2007 (ETM) | Aaa/AAA | 1,820,000 | 1,914,968 | |||||
Whitko Indiana Middle School Building Corp. Refunding, 5.35% due 7/15/2007 (Insured: FSA) | Aaa/AAA | 1,615,000 | 1,669,458 | |||||
IOWA — 2.00% | ||||||||
Ankeny Community School District Sales & Services Tax Revenue, 5.00% due 7/1/2010 | NR/A+ | 2,900,000 | 3,066,895 | |||||
Des Moines Limited Obligation Revenue, 6.25% due 12/1/2015 put 12/1/2005 | NR/NR | $ | 3,355,000 | $ | 3,358,925 |
Certified Semi-Annual Report | 23 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||
Iowa Finance Authority Commercial Development Revenue Refunding, 5.75% due 4/1/2014 put 4/1/2010 (Governor Square Project; Insured: AXA) | NR/AA- | 6,650,000 | 6,972,059 | |||
Iowa Finance Authority Hospital Facility Revenue, 6.50% due 2/15/2007 | A1/NR | 435,000 | 458,751 | |||
Iowa Finance Authority Hospital Facility Revenue, 6.50% due 2/15/2009 | A1/NR | 1,825,000 | 1,995,273 | |||
Iowa Finance Authority Hospital Facility Revenue, 6.50% due 2/15/2010 | A1/NR | 1,955,000 | 2,168,212 | |||
Iowa Finance Authority Hospital Facility Revenue, 6.00% due 2/15/2011 | Aaa/AAA | 3,145,000 | 3,485,006 | |||
Iowa Finance Authority Revenue Trinity Health Series B, 5.75% due 12/1/2007 | Aa3/AA- | 1,430,000 | 1,518,546 | |||
Iowa Finance Authority Revenue Trinity Health Series B, 5.75% due 12/1/2010 | Aa3/AA- | 3,295,000 | 3,608,486 | |||
Iowa University of Science & Technology Revenue Refunding Series B, 5.20% due 7/1/2005 (Academic Building Project) | Aa3/A+ | 1,170,000 | 1,178,588 | |||
University of Iowa Facilities Corp. Revenue Series A, 4.875% due 6/1/2005 | NR/AA- | 390,000 | 391,716 | |||
KANSAS — 0.12% | ||||||
Dodge Unified School District 443 Ford County, 8.25% due 9/1/2006 (Insured: FSA) | Aaa/AAA | 500,000 | 537,390 | |||
Wichita Water & Sewer Utility Revenue, 5.50% due 10/1/2011 (Insured: FGIC) | Aaa/AAA | 1,160,000 | 1,214,543 | |||
KENTUCKY — 1.38% | ||||||
Campbell & Kenton Counties Sanitation District 1 Revenue, 6.50% due 8/1/2005 (ETM) | Aaa/AAA | 145,000 | 147,002 | |||
Kentucky Economic Development Finance Authority Refunding & Improvement Series A, 5.00% due 2/1/2009 (Ashland Hospital Project; Insured: FSA) | Aaa/AAA | 1,580,000 | 1,675,084 | |||
Kentucky Economic Development Finance Authority Refunding & Improvement Series A, 5.00% due 2/1/2010 (Ashland Hospital Project; Insured: FSA) | Aaa/AAA | 1,000,000 | 1,064,790 | |||
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 | 7,400,000 | 7,774,070 | |||
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 | 7,830,000 | 8,307,708 | |||
Kentucky State Turnpike Authority Resources Recovery Revenue, 0% due 7/1/2006 | Aaa/AAA | 390,000 | 370,013 | |||
Louisville Water Revenue Refunding, 6.00% due 11/15/2006 (ETM) | Aaa/AAA | 150,000 | 157,226 | |||
LOUISIANA — 2.89% | ||||||
East Baton Rouge Pollution Control Revenue, 2.19% due 11/1/2019 put 4/1/2005 (Exxon Project) (daily demand notes) | P1/A-1+ | 4,000,000 | 4,000,000 | |||
Jefferson Parish Hospital District 2, 5.25% due 12/1/2015 crossover-refunded 12/1/2005 (Insured: FGIC) | Aaa/AAA | 4,125,000 | 4,190,876 | |||
Jefferson Sales Tax District Special Sales Tax Revenue Refunding, 5.25% due 12/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,440,000 | 1,498,133 | |||
Jefferson Sales Tax District Special Sales Tax Revenue Refunding, 5.25% due 12/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,515,000 | 1,603,794 | |||
Louisiana Local Govt. Environmental Facilities & Community Dev.Auth. Multi Family Revenue Series A, 5.00% due 9/1/2012 (Bellemont Apartments Project) | Baa1/NR | 1,000,000 | 1,005,500 | |||
Louisiana PFA Revenue, 5.375% due 12/1/2008 (Wynhoven Health Care Center Project; Guaranty: Archdiocese of New Orleans) | NR/NR | 1,850,000 | 1,912,808 | |||
Louisiana Public Facilities Authority Revenue, 5.75% due 10/1/2008 (Loyola University Project) | A1/A+ | 1,000,000 | 1,080,360 | |||
Louisiana Public Facilities Authority Revenue Refunding, 5.50% due 10/1/2006 | A1/A+ | 1,280,000 | 1,329,075 | |||
Louisiana State Correctional Facility Lease, 5.00% due 12/15/2008 (Insured: Radian) | NR/AA | 7,135,000 | 7,507,090 | |||
Louisiana State Offshore Terminal Authority Deepwater Port Revenue, 4.375% due 10/1/2020 put 6/1/2007 (Loop LLC Project) | A3/A | 2,350,000 | 2,397,376 |
24 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Louisiana State Offshore Terminal Refunding Series D, 4.00% due 9/1/2023 put 9/1/2008 (Loop LLC Project) | A3/A | $ | 5,000,000 | $ | 5,044,900 | |||
New Orleans Parish School Board, 0% due 2/1/2008 (ETM) | NR/AAA | 6,050,000 | 5,151,757 | |||||
New Orleans Refunding, 0% due 9/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 960,920 | |||||
St. Charles Parish Pollution Control Revenue Variable Refunding Series A, 4.90% due 6/1/2030 put 6/1/2005 (Entergy Louisiana Inc. Project) | Baa3/BBB- | 3,000,000 | 3,009,090 | |||||
MAINE — 0.07% | ||||||||
Regional Waste Systems Inc. Solid Waste Resources Recovery Revenue Series P, 6.25% due 7/1/2010 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,029,150 | |||||
MARYLAND — 0.60% | ||||||||
Baltimore Maryland, 7.00% due 10/15/2009 (Insured: MBIA) | Aaa/AAA | 580,000 | 669,419 | |||||
Howard County Retirement Community Revenue Series A, 7.25% due 5/15/2015 pre-refunded 5/15/2010 | NR/AAA | 1,000,000 | 1,183,940 | |||||
Howard County Retirement Community Revenue Series A, 7.875% due 5/15/2021 pre-refunded 5/15/2010 | NR/AAA | 2,500,000 | 3,028,675 | |||||
Maryland State Health High Educational Facilities Refunding, 6.00% due 7/1/2009 (John Hopkins University Project) | Aa2/AA | 3,230,000 | 3,583,814 | |||||
MASSACHUSETTS — 2.09% | ||||||||
Boston Economic Development & Industrial Corp., 5.15% due 7/1/2025 put 7/1/2005 (LOC: Fleet National Bank) | Aa1/NR | 2,000,000 | 2,013,360 | |||||
Massachusetts Development Finance Agency Resource Recovery Revenue Series A, 5.50% due 1/1/2011 (Insured: MBIA) | Aaa/AAA | 3,470,000 | 3,788,754 | |||||
Massachusetts Industrial Finance Agency Revenue, 8.375% due 2/15/2018 pre-refunded 2/15/2006 (Glenmeadow Retirement Project) | NR/NR | 1,000,000 | 1,064,840 | |||||
Massachusetts Municipal Wholesale Electric Co. Power Supply Systems Revenue, 5.00% due 7/1/2005 (Stony Brook Intermediate Project A; Insured: MBIA) | Aaa/AAA | 900,000 | 905,904 | |||||
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 | 1,000,000 | 1,006,560 | |||||
Massachusetts State Federal Highway Grant Anticipation Notes Series A, 5.25% due 6/15/2009 | Aa3/NR | 2,000,000 | 2,149,180 | |||||
Massachusetts State Health & Educational Series H, 5.375% due 5/15/2012 (New England Medical Center Hospital Project; Insured: FGIC) | Aaa/AAA | 3,415,000 | 3,726,106 | |||||
Massachusetts State Industrial Finance Agency, 5.90% due 7/1/2027 pre-refunded 7/1/2007 (Dana Hall School Project) | Baa2/BBB | 1,220,000 | 1,317,222 | |||||
Massachusetts State Industrial Finance Agency Capital Appreciation Biomedical A, 0% due 8/1/2010 | Aa3/A+ | 10,000,000 | 8,088,700 | |||||
Massachusetts State Refunding GO Series A, 6.00% due 11/1/2008 | Aaa/AA | 1,000,000 | 1,094,510 | |||||
Massachusetts State Refunding Series A, 5.375% due 8/1/2008 | Aa2/AA | 1,000,000 | 1,069,610 | |||||
Massachusetts State Refunding Series A, 5.50% due 1/1/2010 | Aa2/AA | 1,500,000 | 1,634,265 | |||||
Taunton GO, 8.00% due 2/1/2006 (Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,566,030 | |||||
MICHIGAN — 2.48% | ||||||||
Dearborn Economic Development Corp. Oakwood Obligation Group Series A, 5.75% due 11/15/2015 (Insured: FGIC) | Aaa/AAA | 2,450,000 | 2,538,788 | |||||
Detroit Convention Facility, 5.25% due 9/30/2007 | NR/A | 1,000,000 | 1,044,490 | |||||
Detroit Michigan Series A, 6.00% due 4/1/2007 (ETM) | Aaa/AAA | 1,405,000 | 1,488,766 | |||||
Dickinson County Healthcare Systems Hospital Revenue Refunding, 5.50% due 11/1/2013 (Insured: ACA) | NR/A | 2,500,000 | 2,655,875 | |||||
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 | 1,670,000 | 1,712,451 | |||||
Kalamazoo Hospital Finance Authority Facility Revenue, 5.50% due 5/15/2005 (Bronson Methodist Hospital Project; Insured: MBIA) | Aaa/NR | $ | 1,000,000 | $ | 1,003,840 |
Certified Semi-Annual Report | 25 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||
Lansing Building Authority, 6.00% due 6/1/2005 (ETM) | Aaa/AAA | 1,000,000 | 1,006,080 | |||
Michigan Hospital Finance Authority Revenue, 5.375% due 7/1/2012 (Insured: FSA) | Aaa/AAA | 2,000,000 | 2,053,040 | |||
Michigan Hospital Finance Authority Revenue Series A, 5.375% due 11/15/2033 put 11/15/2007 (Ascension Health Project) | Aa2/A-1+ | 10,000,000 | 10,535,600 | |||
Michigan State Building Authority Revenue Refunding Facilities Program Series I, 5.00% due 4/15/2005 | Aa3/AA | 1,500,000 | 1,501,605 | |||
Michigan State Building Authority Revenue Refunding Facilities Program Series I, 5.00% due 10/15/2008 (Insured: FSA) | Aaa/AAA | 4,000,000 | 4,249,640 | |||
Michigan State Job Development Authority Pollution Control Revenue, 5.55% due 4/1/2009 (General Motors Corp. Project; Guaranty: GM) | Baa2/BBB- | 1,075,000 | 1,077,688 | |||
Michigan State Strategic Fund Refunding Detroit Educational, 4.85% due 9/1/2030 put 9/1/2011 (Insured: AMBAC) | Aaa/NR | 1,000,000 | 1,047,080 | |||
Missouri State Health & Educational Facilities Authority Revenue Series A, 5.00% due 6/1/2011 | NR/AA- | 1,000,000 | 1,061,580 | |||
Oakland County Economic Development Corp. Limited, 5.50% due 6/1/2014 pre-refunded 6/1/2007 | A1/NR | 1,000,000 | 1,072,310 | |||
Oxford Area Community School District, 5.00% due 5/1/2012 | Aa2/AA+ | 800,000 | 857,688 | |||
MINNESOTA — 0.86% | ||||||
Minneapolis Refunding Series B, 5.15% due 3/1/2009 | Aa1/AAA | 5,000,000 | 5,054,500 | |||
Minneapolis St. Paul Health Care Systems, 5.25% due 12/1/2012 | Baa1/BBB+ | 1,000,000 | 1,065,800 | |||
Minneapolis St. Paul Health Care Systems, 5.25% due 12/1/2013 | Baa1/BBB+ | 1,500,000 | 1,589,070 | |||
Osseo Independent School District 279 Crossover Refunding Series B, 5.00% due 2/1/2006 (School District Credit Program) | Aa2/NR | 1,915,000 | 1,953,089 | |||
Southern Minnesota Municipal Power Agency Revenue Refunding Series A, 5.00% due 1/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,017,900 | |||
University of Minnesota Refunding Series A, 5.50% due 7/1/2006 | Aa2/AA | 1,450,000 | 1,499,329 | |||
MISSISSIPPI — 0.49% | ||||||
Gautier Utility District Systems Revenue Refunding, 5.50% due 3/1/2012 (Insured: FGIC) | Aaa/NR | 1,020,000 | 1,128,742 | |||
Hattiesburg Water & Sewer Revenue Refunding Systems, 5.20% due 8/1/2006 (Insured: AMBAC) | Aaa/AAA | 700,000 | 719,509 | |||
Mississippi Hospital Equipment & Facilities Authority Revenue, 6.50% due 5/1/2006 (Refunding Mississippi Baptist Medical Center; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,022,960 | |||
Ridgeland Multi Family Housing Revenue, 4.95% due 10/1/2007 (Collateralized: FNMA) | NR/AAA | 905,000 | 921,716 | |||
Warren County Pollution Control Revenue Series A, 5.625% due 11/15/2006 | Baa2/BBB | 3,050,000 | 3,062,200 | |||
MISSOURI — 0.52% | ||||||
Missouri Development Finance Board Healthcare Facilities Revenue Series A, 4.80% due 11/1/2012 (Lutheran Home Aged Project; LOC: Commerce Bank) | Aa3/NR | 1,275,000 | 1,299,671 | |||
Platte County COP, 5.00% due 9/1/2008 | NR/AA- | 1,530,000 | 1,613,859 | |||
Springfield COP, 5.20% due 6/1/2006 (Law Enforcement Communication Project) | Aa3/NR | 840,000 | 862,487 | |||
Springfield COP, 5.25% due 6/1/2007 (Law Enforcement Communication Project) | Aa3/NR | 840,000 | 877,708 | |||
St. Louis County Refunding, 5.00% due 8/15/2007 (Convention & Sports Facility Project B 1; Insured: AMBAC) | Aaa/AAA | 2,495,000 | 2,610,094 | |||
MONTANA — 1.15% | ||||||
Forsyth Pollution Control Revenue Refunding, 5.00% due 10/1/2032 put 12/30/2008 (Insured: AMBAC) | Aaa/AAA | 11,440,000 | 12,078,810 |
26 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Forsyth Pollution Control Revenue Refunding, 5.20% due 5/1/2033 put 5/1/2009 | Baa2/BBB+ | $ | 4,000,000 | $ | 4,178,120 | |||
NEBRASKA — 0.95% | ||||||||
Lancaster County School District 1, 4.00% due 7/15/2007 (Lincoln Public School Project) | Aa2/AAA | 1,995,000 | 2,042,621 | |||||
Madison County Hospital Authority Revenue 1, 5.25% due 7/1/2010 | NR/AA | 1,455,000 | 1,556,617 | |||||
Madison County Hospital Authority Revenue 1, 5.50% due 7/1/2012 | NR/AA | 1,625,000 | 1,759,842 | |||||
Omaha Public Power District Nebraska Electric Revenue Refunding Systems B, 5.00% due 2/1/2013 | Aa2/AA | 5,000,000 | 5,386,150 | |||||
Omaha Public Power District Nebraska Electric Revenue Series A, 7.50% due 2/1/2006 (ETM) | NR/AA | 1,090,000 | 1,127,093 | |||||
University of Nebraska Facilities Corp., 5.00% due 7/15/2008 | Aa2/AA- | 1,500,000 | 1,588,725 | |||||
NEVADA — 1.19% | ||||||||
Colorado River Commission Power Delivery A, 7.00% due 9/15/2008 | Aa2/AA | 840,000 | 915,491 | |||||
Humboldt County Pollution Control Revenue Refunding, 6.55% due 10/1/2013 | Aaa/AAA | 5,000,000 | 5,245,500 | |||||
Las Vegas Special Refunding Local Improvement District 707 Series A, 5.125% due 6/1/2011 (Insured: FSA) | Aaa/AAA | 1,750,000 | 1,865,955 | |||||
Nevada Housing Division FNMA Multi Family Certificate A, 4.80% due 4/1/2008 (Collateralized: FNMA) | NR/AAA | 1,430,000 | 1,451,007 | |||||
Sparks Redevelopment Agency Tax Allocation Revenue Refunding Series A, 5.75% due 1/15/2009 (Insured: Radian) | NR/AA | 1,000,000 | 1,073,070 | |||||
Sparks Redevelopment Agency Tax Allocation Revenue Refunding Series A, 5.75% due 1/15/2010 (Insured: Radian) | NR/AA | 1,000,000 | 1,082,180 | |||||
Sparks Redevelopment Agency Tax Allocation Revenue Refunding Series A, 5.75% due 1/15/2011 (Insured: Radian) | NR/AA | 1,285,000 | 1,389,200 | |||||
Washoe County School District, 5.50% due 6/1/2008 (Insured: FSA) | Aaa/AAA | 3,500,000 | 3,752,455 | |||||
NEW HAMPSHIRE — 0.32% | ||||||||
Manchester Housing & Redevelopment Authority Series A, 6.05% due 1/1/2012 (Insured: ACA) | NR/A | 1,500,000 | 1,594,410 | |||||
New Hampshire Industrial Development Authority Revenue, 5.50% due 12/1/2009 | Aa2/AA- | 2,880,000 | 2,911,507 | |||||
NEW JERSEY — 1.79% | ||||||||
New Jersey Economic Development Authority Revenue Cigarette Tax, 5.00% due 6/15/2010 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,069,000 | |||||
New Jersey State Transport Trust Fund Authority Series C, 5.00% due 6/15/2007 (Transportation Systems Project) | A1/A+ | 3,000,000 | 3,123,540 | |||||
New Jersey State Transport Trust Fund Authority Series C, 5.00% due 6/15/2008 (Transportation Systems Project) | A1/A+ | 5,000,000 | 5,268,000 | |||||
New Jersey State Transport Trust Fund Authority Series C, 5.00% due 6/15/2009 (Transportation Systems Project) | A1/A+ | 5,000,000 | 5,306,150 | |||||
New Jersey State Transport Trust Fund Authority Series C, 5.25% due 6/15/2013 (Transportation Systems Project; Insured: MBIA) | Aaa/AAA | 5,000,000 | 5,456,600 | |||||
Newark Housing Authority Port Authority Rental Backed, 3.50% due 1/1/2006 | Aaa/AAA | 1,780,000 | 1,792,175 | |||||
Newark Housing Authority Port Authority Rental Backed, 5.00% due 1/1/2007 | Aaa/AAA | 1,000,000 | 1,036,230 | |||||
Newark Housing Authority Port Authority Rental Backed, 5.00% due 1/1/2010 | Aaa/AAA | 1,000,000 | 1,069,580 |
Certified Semi-Annual Report | 27 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Pequannock River Basin Regional Sewage Authority Refunding Series M, 5.00% due 12/1/2006 (Sewer Revenue Project; Insured: MBIA) | Aaa/NR | $ | 1,090,000 | $ | 1,118,961 | |||
NEW MEXICO — 1.36% | ||||||||
Albuquerque Airport Revenue Adjustment Refunding, 2.28% due 7/1/2014 put 4/7/2005 (Insured: AMBAC) (weekly demand notes) | VMIG1/A-1 | 809,000 | 809,000 | |||||
Farmington Pollution Control Revenue, 2.28% due 9/1/2024 put 4/1/2005 | P1/A-1+ | 2,300,000 | 2,300,000 | |||||
New Mexico Highway Commission Revenue Subordinated Lien Tax Series B, 5.00% due 6/15/2011 (Insured: AMBAC) | Aaa/AAA | 4,865,000 | 5,206,718 | |||||
New Mexico State Refunding Series B, 5.00% due 9/1/2005 | Aa1/AA+ | 1,000,000 | 1,010,880 | |||||
New Mexico State Severance Tax, 5.00% due 7/1/2005 | Aa2/AA | 2,650,000 | 2,667,728 | |||||
University of New Mexico Hospital Mortgage Revenue Bonds, 5.00% due 7/1/2009 (Insured: FSA & FHA) | Aaa/AAA | 1,455,000 | 1,539,245 | |||||
University of New Mexico Hospital Mortgage Revenue Bonds, 5.00% due 1/1/2011 (Insured: FSA & FHA) | Aaa/AAA | 1,790,000 | 1,901,803 | |||||
University of New Mexico Hospital Mortgage Revenue Bonds, 5.00% due 7/1/2011 (Insured: FSA & FHA) | Aaa/AAA | 2,065,000 | 2,199,225 | |||||
University of New Mexico Hospital Mortgage Revenue Bonds, 5.00% due 7/1/2012 (Insured: FSA & FHA) | Aaa/AAA | 1,500,000 | 1,597,395 | |||||
NEW YORK — 8.95% | ||||||||
Brookhaven Industrial Development Agency Revenue, 4.375% due 11/1/2031 put 11/1/2006 (Methodist Retirement Community Project; LOC: Northfork Bank) | A1/A- | 1,625,000 | 1,652,397 | |||||
Hempstead Industrial Development Agency Resource Recovery Revenue Refunding, 5.00% due 12/1/2007 (American Ref-Fuel Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,050,510 | |||||
Hempstead Town Industrial Development Agency Refunding, 5.00% due 12/1/2008 (American Fuel Co. Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,047,580 | |||||
Long Island Power Authority Electric Systems Revenue General Series A, 6.00% due 12/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,500,000 | 1,616,310 | |||||
Long Island Power Authority General Series B, 5.00% due 12/1/2006 | A3/A- | 7,000,000 | 7,246,820 | |||||
Metropolitan Transportation Authority New York Revenue Series B, 5.00% due 11/15/2007 | A2/A | 8,000,000 | 8,387,920 | |||||
Metropolitan Transportation Authority New York Service Series B, 5.25% due 7/1/2007 | A2/AA- | 4,535,000 | 4,754,177 | |||||
Monroe County Industrial Development Agency, 5.375% due 6/1/2007 | NR/AA | 1,050,000 | 1,099,707 | |||||
New York City, 2.24% due 8/1/2017 put 4/1/2005 (LOC: JPM) (daily demand notes) | VMIG1/A-1+ | 2,000,000 | 2,000,000 | |||||
New York City GO, 2.24% due 8/1/2015 put 4/1/2005 (daily demand notes) | VMIG1/A-1 | 1,465,000 | 1,465,000 | |||||
New York City Housing Development Corp. Multi Family Housing Revenue Refunding Series A, 5.50% due 11/1/2009 | Aa2/AA | 185,000 | 185,261 | |||||
New York City Industrial Development Agency Civic Facility Series A, 5.25% due 6/1/2011 (Lycee Francais De New York Project; Insured: ACA) | NR/A | 2,215,000 | 2,351,555 | |||||
New York City Industrial Development Agency Civic Facility Series A, 5.25% due 6/1/2012 (Lycee Francais De New York Project; Insured: ACA) | NR/A | 2,330,000 | 2,469,264 | |||||
New York City Municipal Water Finance Authority Water & Sewer Systems Revenue Series B, 5.75% due 6/15/2026 Crossover refunded 6/15/2006 (Insured: MBIA) | Aaa/AAA | 5,000,000 | 5,234,700 | |||||
New York City Transitional Recovery Series 3B, 2.32% due 11/1/2022 put 4/1/2005 (daily demand notes) | VMIG1/A-1+ | 1,450,000 | 1,450,000 | |||||
New York City Transitional Refunding Future Tax Series A1, 5.00% due 11/1/2013 | Aa1/AAA | 10,000,000 | 10,813,000 | |||||
New York City Transitional Refunding Future Tax Series A1, 5.00% due 11/1/2012 (Insured: MBIA) | Aa1/AAA | 5,000,000 | 5,407,700 | |||||
New York Dormitory Authority, 6.00% due 7/1/2007 | NR/AAA | 1,040,000 | 1,107,569 | |||||
New York Dormitory Authority Revenues, 6.00% due 9/1/2008 pre-refunded 9/1/2005 (Norton Healthcare Project) | NR/AA | 1,370,000 | 1,413,251 |
28 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
New York Dormitory Authority Revenues Mental Health Services Facilities Improvement B, 5.00% due 8/15/2010 (Insured: MBIA) | Aaa/AAA | $ | 1,600,000 | $ | 1,720,608 | |||
New York Dormitory Authority Revenues Series B, 5.25% due 11/15/2026 put 5/15/2012 (Insured: AMBAC) | Aaa/AAA | 4,000,000 | 4,354,880 | |||||
New York Medical Care Facilities Finance Agency Revenue, 6.40% due 11/1/2014 (Insured: FSA) | Aaa/AAA | 560,000 | 563,702 | |||||
New York Series B, 5.50% due 8/1/2011 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,106,220 | |||||
New York Series B-2, Subseries B-4, 2.24% due 8/15/2023 put 4/1/2005 (daily demand notes) | VMIG1/A-1+ | 1,100,000 | 1,100,000 | |||||
New York Series B3, 2.25% due 8/1/2018 put 4/1/2005 (daily demand notes) | VMIG1/A-1+ | 1,100,000 | 1,100,000 | |||||
New York Series H 4, 2.28% due 3/1/2034 put 4/1/2005 (LOC: BONY) (daily demand notes) | VMIG1/A-1+ | 4,500,000 | 4,500,000 | |||||
New York State Dormitory Authority Aids Long Term Health Facilities, 5.00% due 11/1/2013 (Insured: SONYMA) | Aa1/NR | 1,600,000 | 1,670,048 | |||||
New York State Dormitory Authority Aids Long Term Health Facilities, 5.00% due 11/1/2014 (Insured: SONYMA) | Aa1/NR | 1,500,000 | 1,561,965 | |||||
New York State Dormitory Authority Revenue Refunding, 5.00% due 2/15/2010 (Wyckoff Heights Project; Insured: AMBAC) | Aaa/AAA | 4,870,000 | 5,151,778 | |||||
New York State Dormitory Authority Revenues, 5.875% due 7/1/2005 | Aa3/NR | 1,000,000 | 1,008,450 | |||||
New York State Dormitory Authority Revenues, 4.00% due 12/15/2005 | A1/AA | 15,100,000 | 15,257,946 | |||||
New York State Dormitory Authority Revenues, 5.00% due 7/1/2007 | A2/AA- | 3,500,000 | 3,642,520 | |||||
New York State Dormitory Authority Revenues, 5.50% due 7/1/2012 | Baa1/NR | 1,820,000 | 1,962,906 | |||||
New York State Dormitory Authority Revenues, 5.50% due 7/1/2013 | Baa1/NR | 1,500,000 | 1,610,865 | |||||
New York State Urban Development Corp. Revenue Refunding Facilities A, 6.50% due 1/1/2011 (Correctional Capital Project; Insured: FSA) | Aaa/AAA | 2,500,000 | 2,877,550 | |||||
New York Thruway Authority General Revenue Special Obligation, 0% due 1/1/2006 | NR/A- | 1,320,000 | 1,291,990 | |||||
New York Urban Development Corp. Revenue University Facilities Grants, 6.00% due 1/1/2006 | A2/AA- | 255,000 | 261,174 | |||||
New York Urban Development Corp. Series 7, 6.00% due 1/1/2006 | A2/AA- | 3,425,000 | 3,507,919 | |||||
Oneida County Industrial Development Agency Series C, 6.00% due 1/1/2009 | NR/AA | 710,000 | 772,089 | |||||
Port Authority New York & New Jersey Special Obligation, 2.24% due 5/1/2019 put 4/1/2005 (daily demand notes) | VMIG1/A-1+ | 3,000,000 | 3,000,000 | |||||
Tobacco Settlement Financing Corp. Asset Backed Series B 1C, 5.25% due 6/1/2013 | A2/AA- | 2,000,000 | 2,114,420 | |||||
Tobacco Settlement Financing Corp. New York Revenue Asset Backed Series A-1C, 5.25% due 6/1/2012 (Secured: State Contingency Contract) | A2/AA- | 1,000,000 | 1,027,770 | |||||
Tobacco Settlement Financing Corp. New York Revenue Asset Backed Series B-1C, 5.25% due 6/1/2013 (Insured: XLCA) | Aaa/AAA | 2,000,000 | 2,129,900 | |||||
Yonkers New York Series B, 4.00% due 10/15/2009 (Insured: FSA) | Aaa/AAA | 2,055,000 | 2,116,999 | |||||
NORTH CAROLINA — 2.19% | ||||||||
Cabarrus County COP Installment Financing Contract, 4.50% due 2/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,100,000 | 1,131,559 | |||||
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 | 925,000 | 960,835 | |||||
North Carolina Eastern Municipal Power Agency Power Systems Revenue, 6.125% due 1/1/2009 (Insured: MBIA) | Aaa/AAA | 2,860,000 | 3,146,858 | |||||
North Carolina Eastern Municipal Power Agency Power Systems Revenue Refunding Series D, 5.375% due 1/1/2011 | Baa2/BBB | 3,000,000 | 3,198,720 | |||||
North Carolina Eastern Municipal Power Agency Power Systems Revenue Series C, 5.25% due 1/1/2012 | Baa2/BBB | 650,000 | 690,495 | |||||
North Carolina Eastern Municipal Power Agency Power Systems Series A, 5.50% due 1/1/2012 | Baa2/BBB | 1,000,000 | 1,076,870 | |||||
North Carolina Eastern Municipal Power Agency Power Systems Series C, 5.25% due 1/1/2013 | Baa2/BBB | 1,055,000 | 1,120,389 | |||||
North Carolina Municipal Power Agency 1 Catawba Electric Revenue, 6.00% due 1/1/2010 (Insured: MBIA) | Aaa/AAA | 2,400,000 | 2,669,208 |
Certified Semi-Annual Report | 29 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
North Carolina Municipal Power Agency 1 Catawba Electric Revenue Series A, 5.50% due 1/1/2013 | A3/BBB+ | $ | 2,505,000 | $ | 2,737,414 | |||
North Carolina Municipal Power Agency 1 Catawba Electric Revenue Series B, 6.375% due 1/1/2013 | A3/BBB+ | 1,000,000 | 1,105,910 | |||||
North Carolina Municipal Power Agency Series A, 6.00% due 1/1/2007 (Insured: MBIA) | Aaa/AAA | 3,400,000 | 3,578,398 | |||||
North Carolina Municipal Power Agency Series A, 6.00% due 1/1/2008 (Insured: MBIA) | Aaa/AAA | 3,900,000 | 4,198,935 | |||||
North Carolina State COP Series B, 5.00% due 6/1/2009 (Repair & Renovation Project) | Aa2/AA+ | 2,000,000 | 2,131,500 | |||||
Raleigh Durham Airport Authority Airport Revenue Series A, 5.50% due 11/1/2006 (Insured: FGIC) | Aaa/NR | 2,000,000 | 2,082,800 | |||||
University of North Carolina Systems Pool Revenue Refunding Series B, 5.00% due 4/1/2012 (Insured: AMBAC) | Aaa/AAA | 1,030,000 | 1,117,529 | |||||
NORTH DAKOTA — 0.07% | ||||||||
Grand Forks Health Care Systems Revenue Bond Series 1997, 6.25% due 8/15/2005 | Aaa/AAA | 910,000 | 922,658 | |||||
OHIO — 2.98% | ||||||||
Bellefontaine Hospital Revenue Refunding, 6.00% due 12/1/2013 | NR/BBB+ | 1,885,000 | 1,908,977 | |||||
Central Ohio Authority Solid Waste Facility Series B, 5.00% due 12/1/2007 | Aa2/AA+ | 2,025,000 | 2,123,557 | |||||
Cleveland Cuyahoga County Port Authority Revenue GO, 6.00% due 11/15/2010 | NR/NR | 3,775,000 | 4,022,904 | |||||
Columbus GO, 12.375% due 2/15/2009 | Aaa/AAA | 1,050,000 | 1,390,421 | |||||
Cuyahoga County Hospital Revenue Refunding, 5.50% due 1/15/2019 | Aaa/AAA | 4,000,000 | 4,152,240 | |||||
Cuyahoga County Hospital Revenue Refunding Series A, 4.75% due 2/15/2008 (Metrohealth Systems Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,046,520 | |||||
Cuyahoga County Hospital Revenue Refunding Series B, 6.00% due 1/15/2006 | Baa1/A | 2,705,000 | 2,771,218 | |||||
Hudson City Library Improvement, 6.35% due 12/1/2011 | Aa1/NR | 1,400,000 | 1,602,846 | |||||
Lake County Sewer & Water District Improvement, 5.30% due 12/1/2011 | Aa2/NR | 455,000 | 483,206 | |||||
Lorain County Hospital Revenue Refunding Catholic Healthcare Partners B, 6.00% due 9/1/2008 (Insured: MBIA) | Aaa/AAA | 1,200,000 | 1,295,256 | |||||
Mahoning Valley District Water Refunding, 5.85% due 11/15/2008 (Insured: FSA) | Aaa/AAA | 1,300,000 | 1,421,173 | |||||
Mahoning Valley District Water Refunding, 5.90% due 11/15/2009 (Insured: FSA) | Aaa/AAA | 770,000 | 854,446 | |||||
Montgomery County Revenue, 6.00% due 12/1/2008 (Catholic Health Initiatives Project) | Aa2/AA | 2,250,000 | 2,435,175 | |||||
Montgomery County Revenue, 6.00% due 12/1/2009 (Catholic Health Initiatives Project) | Aa2/AA | 2,385,000 | 2,609,118 | |||||
Montgomery County Revenue, 6.00% due 12/1/2010 (Catholic Health Initiatives Project) | Aa2/AA | 1,530,000 | 1,691,247 | |||||
Montgomery County Solid Waste Revenue, 6.00% due 11/1/2005 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,020,450 | |||||
Ohio State Building Authority Refunding Adult Corrections Facilities, 5.00% due 10/1/2006 (Insured: FSA) | Aaa/AAA | 2,000,000 | 2,066,280 | |||||
Ohio State GO, 6.65% due 9/1/2009 (Infrastructure Improvement Project) | Aa1/AA+ | 1,000,000 | 1,080,810 | |||||
Ohio State Unlimited Tax GO Series A, 5.75% due 6/15/2010 pre-refunded 6/15/2009 | Aa1/AA+ | 5,000,000 | 5,492,550 | |||||
Plain Local School District Capital Appreciation, 0% due 12/1/2006 (Insured: FGIC) | Aaa/NR | 680,000 | 648,808 | |||||
Plain Local School District Capital Appreciation, 0% due 12/1/2007 (Insured: FGIC) | Aaa/NR | 845,000 | 779,741 | |||||
Reading Revenue Development, 6.00% due 2/1/2009 | NR/AA | 975,000 | 1,058,762 | |||||
OKLAHOMA — 2.36% | ||||||||
Claremore Public Works Authority Revenue Refunding, 6.00% due 6/1/2006 (Insured: FSA) | Aaa/NR | 1,235,000 | 1,282,461 | |||||
Claremore Public Works Authority Revenue Refunding, 6.00% due 6/1/2007 (Insured: FSA) | Aaa/NR | 1,340,000 | 1,426,859 | |||||
Comanche County Oklahoma Hospital Authority Revenue Refunding, 4.00% due 7/1/2007 (Insured: Radian) | Aa3/AA | 1,265,000 | 1,283,444 | |||||
Comanche County Oklahoma Hospital Authority Revenue Refunding, 5.00% due 7/1/2011 (Insured: Radian) | Aa3/AA | 1,000,000 | 1,053,060 | |||||
Grand River Dam Authority Revenue, 5.50% due 6/1/2010 | A2/BBB+ | 1,200,000 | 1,303,020 |
30 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Jenks Aquarium Authority Revenue First Mortgage, 5.50% due 7/1/2010 (Insured: MBIA) | Aaa/NR | $ | 585,000 | $ | 621,007 | |||
Oklahoma Authority Revenue Refunding Health Systems Obligation Group Series A, 5.75% due 8/15/2007 (Insured: MBIA) | Aaa/AAA | 2,380,000 | 2,525,109 | |||||
Oklahoma Authority Revenue Refunding Health Systems Obligation Group Series A, 6.00% due 8/15/2010 (Insured: MBIA) | Aaa/AAA | 2,340,000 | 2,583,220 | |||||
Oklahoma Development Finance Authority Health Facilities Revenue, 5.75% due 6/1/2011 (Insured: AMBAC) | Aaa/AAA | 740,000 | 821,496 | |||||
Oklahoma Development Finance Authority Hospital Revenue Refunding, 5.00% due 10/1/2012 (Unity Health Center Project) | NR/BBB+ | 1,070,000 | 1,097,231 | |||||
Oklahoma Development Finance Authority Hospital Revenue Series A, 5.25% due 12/1/2011 (Duncan Regional Hospital Project) | NR/A- | 1,215,000 | 1,290,111 | |||||
Oklahoma Development Finance Authority Hospital Revenue Series A, 5.25% due 12/1/2012 (Duncan Regional Hospital Project) | NR/A- | 1,330,000 | 1,410,359 | |||||
Oklahoma Development Finance Authority Hospital Revenue Series A, 5.25% due 12/1/2013 (Duncan Regional Hospital Project) | NR/A- | 1,250,000 | 1,316,862 | |||||
Oklahoma Development Finance Authority Revenue Refunding Series A, 5.20% due 8/15/2011 pre-refunded 8/15/2009 (Hillcrest Healthcare System Project) | Aaa/AAA | 2,015,000 | 2,170,417 | |||||
Oklahoma Housing Development Authority Revenue Lease Purchase Program Series A, 5.10% due 11/1/2005 | Aa3/NR | 5,000,000 | 5,070,600 | |||||
Oklahoma State Industrial Authority Revenue Refunding Integris Health System, 5.50% due 8/15/2005 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,011,310 | |||||
Tulsa County Independent School Building, 4.00% due 6/1/2008 | Aa3/NR | 2,750,000 | 2,825,680 | |||||
Tulsa County Independent School District, 4.50% due 8/1/2006 | Aa3/AA- | 2,650,000 | 2,710,579 | |||||
Tulsa County Industrial Authority Capital Series B, 4.00% due 5/15/2005 | NR/AA- | 1,500,000 | 1,503,075 | |||||
OREGON — 0.42% | ||||||||
Clackamas County Hospital Facility Authority Revenue Refunding, 5.00% due 5/1/2008 (Legacy Health Systems Project) | Aa3/AA | 4,000,000 | 4,196,480 | |||||
Medford Hospital Facilities Authority Revenue Series A, 5.25% due 8/15/2006 (Asante Health Systems Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,033,000 | |||||
Salem Oregon Water & Sewer Revenue, 6.00% due 6/1/2005 (Insured: MBIA) | Aaa/AAA | 750,000 | 754,642 | |||||
PENNSYLVANIA — 2.00% | ||||||||
Allegheny County Hospital Development Health Series B, 6.30% due 5/1/2009 (South Hills Health System Project) | Baa1/NR | 1,505,000 | 1,599,424 | |||||
Allegheny County Hospital Development Refunding, 4.40% due 11/1/2005 (Health Center UPMC Health Systems Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,010,930 | |||||
Central Bucks School District Refunding, 5.50% due 11/15/2009 (State Aid Withholding) | A1/NR | 1,325,000 | 1,347,949 | |||||
Delaware County Pennsylvania Authority Revenue, 5.50% due 11/15/2007 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,058,150 | |||||
Geisinger Authority Health Systems Revenue, 5.50% due 8/15/2009 | Aa3/AA- | 1,000,000 | 1,067,200 | |||||
Manheim Township School Authority School Revenue Series 1978, 6.625% due 12/1/2007 pre-refunded 12/1/2005 | NR/AAA | 1,530,000 | 1,572,427 | |||||
Montgomery County Higher Education & Health Authority, 6.25% due 7/1/2006 | Baa2/NR | 730,000 | 746,994 | |||||
Montgomery County Higher Education & Health Authority, 6.375% due 7/1/2007 | Baa3/NR | 550,000 | 571,906 | |||||
Pennsylvania Higher Educational Facilities Authority Health Services Revenue, 5.50% due 1/1/2009 (University of Pennsylvania Health Systems Project) | A3/A | 1,500,000 | 1,546,755 | |||||
Pennsylvania Higher Educational Facilities Series A, 5.00% due 8/15/2008 (University of Pennsylvania Health Systems Project) | A3/A | 1,250,000 | 1,306,675 | |||||
Pennsylvania State Higher Educational Facilities Authority Revenue, 4.00% due 11/1/2032 put 11/1/2005 (LOC: Allied Irish Banks PLC) | VMIG1/NR | 1,500,000 | 1,512,600 | |||||
Pennsylvania State Second Series, 5.25% due 10/1/2008 | Aa2/AA | 900,000 | 964,332 | |||||
Philadelphia Gas Works Revenue Eighteenth Series, 5.00% due 8/1/2009 (Insured: AGC) | Aa1/AAA | 1,240,000 | 1,313,458 | |||||
Philadelphia Gas Works Revenue Eighteenth Series, 5.00% due 8/1/2010 (Insured: AGC) | Aa1/AAA | 1,305,000 | 1,388,507 | |||||
Philadelphia Hospital & Higher Education Facilities Authority Revenue, 5.50% due 5/15/2006 (Jefferson Health Systems Project) | Aa3/AA- | $ | 1,000,000 | $ | 1,027,190 |
Certified Semi-Annual Report | 31 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||
Philadelphia Hospital & Higher Education Health System Series A, 5.25% due 5/15/2007 (Jefferson Health Systems Project; Insured: MBIA) | Aaa/AAA | 2,600,000 | 2,719,054 | |||
Pottsville Hospital Authority Revenue Acsension Health Credit Series A, 5.20% due 11/15/2009 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,072,810 | |||
Sayre Pennsylvania Health Care Facilities Authority Series A, 5.00% due 7/1/2008 (Latrobe Area Hospital Project; Insured: AMBAC) | Aaa/AAA | 1,255,000 | 1,322,946 | |||
Sayre Pennsylvania Health Care Facilities Authority Series A, 5.00% due 7/1/2009 (Latrobe Area Hospital Project; Insured: AMBAC) | Aaa/AAA | 1,320,000 | 1,401,246 | |||
Sayre Pennsylvania Health Care Facilities Authority Series A, 5.25% due 7/1/2011 (Latrobe Area Hospital Project; Insured: AMBAC) | Aaa/AAA | 1,400,000 | 1,516,760 | |||
Sayre Pennsylvania Health Care Facilities Authority Series A, 5.25% due 7/1/2012 (Latrobe Area Hospital Project; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,085,800 | |||
Scranton Lackawanna Health & Welfare Authority, 7.125% due 1/15/2013 pre-refunded 1/15/2007 (Marian Community Hospital Project) | NR/NR | 1,000,000 | 1,085,390 | |||
RHODE ISLAND — 1.24% | ||||||
Providence Public Building Authority Refunding Series B, 5.75% due 12/15/2007 (Insured: FSA) | Aaa/AAA | 1,075,000 | 1,151,572 | |||
Providence Public Building Authority School Project Series B, 5.00% due 12/15/2005 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,017,230 | |||
Providence Public Building Authority School Project Series B, 4.00% due 12/15/2007 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,026,080 | |||
Providence Series C, 5.50% due 1/15/2012 (Insured: FSA) | Aaa/AAA | 1,880,000 | 2,084,507 | |||
Rhode Island Bond Authority Revenue Refunding Series A, 5.00% due 10/1/2005 (State Public Projects; Insured: AMBAC) | Aaa/AAA | 4,455,000 | 4,511,801 | |||
Rhode Island Economic Development Corp. Revenue, 5.75% due 7/1/2010 (Providence Place Mall Project; Insured: Radian) | NR/AA | 2,075,000 | 2,242,121 | |||
Rhode Island State COP Refunding, 5.125% due 10/1/2008 (Insured: MBIA) | Aaa/AAA | 1,660,000 | 1,751,532 | |||
Rhode Island State Health & Education Building, 4.50% due 9/1/2009 (Butler Hospital Project; LOC: Fleet National Bank) | NR/AA | 1,960,000 | 2,030,011 | |||
Rhode Island State Health & Educational Building Corp. Revenue Hospital Financing, 5.25% due 7/1/2014 (Memorial Hospital Project; LOC: Fleet Bank) | NR/AA | 1,565,000 | 1,647,241 | |||
SOUTH CAROLINA — 0.97% | ||||||
Charleston County COP, 6.00% due 12/1/2007 (Insured: MBIA) | Aaa/AAA | 2,050,000 | 2,191,901 | |||
Charleston County COP Refunding, 5.00% due 6/1/2007 (Charleston Public Facilities Corp. Project; Insured: MBIA) | Aaa/AAA | 1,350,000 | 1,403,865 | |||
Medical University of South Carolina Hospital Facilities Revenue, 5.50% due 7/1/2005 (ETM) | NR/NR | 1,000,000 | 1,007,850 | |||
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) | NR/BBB | 1,250,000 | 1,501,275 | |||
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) | NR/BBB | 2,600,000 | 3,155,984 | |||
South Carolina State Public Service Authority Revenue Refunding Series D, 5.00% due 1/1/2006 | Aa2/AA- | 2,000,000 | 2,034,740 | |||
South Carolina State Public Service Authority Revenue Refunding Series D, 5.00% due 1/1/2007 | Aa2/AA- | 2,315,000 | 2,395,655 | |||
SOUTH DAKOTA — 0.32% | ||||||
Rapid City Area School District Refunding Capital Outlay Certificates GO, 5.00% due 1/1/2010 (Insured: FSA) | Aaa/NR | 1,000,000 | 1,070,040 | |||
South Dakota Health & Educational Facilities Authority Revenue, 5.50% due 9/1/2011 (Rapid City Regional Hospital Project; Insured: MBIA) | Aaa/AAA | 1,100,000 | 1,206,414 | |||
South Dakota State Health & Educational Facilities Authority Revenue Refunding, 6.25% due 7/1/2009 (McKennan Hospital Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,106,830 | |||
South Dakota State Health & Educational Facilities Authority Revenue Refunding, 6.00% due 7/1/2014 (McKennan Hospital Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,056,130 |
32 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
TENNESSEE — 0.28% | ||||||||
Franklin Industrial Development Multi Family Refunding Housing Series A, 5.75% due 4/1/2010 (Insured: FSA) | Aaa/AAA | $ | 660,000 | $ | 686,387 | |||
Hamilton County Industrial Development Board, 5.75% due 9/1/2005 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,013,850 | |||||
Metro Government Nashville Water & Sewer, 6.50% due 12/1/2014 (ETM) | Aaa/AAA | 1,240,000 | 1,496,717 | |||||
Shelby County Series A, 0% due 5/1/2011 pre-refunded 5/1/2005 | Aa2/AA+ | 1,050,000 | 728,984 | |||||
TEXAS — 13.12% | ||||||||
Amarillo Health Facilities Corp. Hospital Revenue, 5.50% due 1/1/2011 (Baptist St.Anthony’s Hospital Corp. Project; Insured: FSA) | Aaa/NR | 1,350,000 | 1,469,637 | |||||
Austin Texas Refunding, 5.00% due 3/1/2011 | Aa2/AA+ | 1,000,000 | 1,073,980 | |||||
Bell County Health Facilities Development Corp. Revenue Series A, 6.25% due 8/15/2010 (Scott & White Memorial Hospital Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,123,900 | |||||
Bexar County Housing Finance Corp. Multi Family Housing Revenue, 5.00% due 1/1/2011 (Insured: MBIA) | Aaa/NR | 1,800,000 | 1,888,704 | |||||
Brazos River Authority Texas Special Facilities Revenue Refunding, 5.20% due 8/15/2008 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,009,620 | |||||
Cedar Hill Independent School District Refunding, 0% due 8/15/2010 (Guaranty: PSF) | NR/AAA | 1,250,000 | 998,800 | |||||
Central Regional Mobility Authority Anticipation Notes, 5.00% due 1/1/2008 | Aa3/AA | 7,000,000 | 7,325,080 | |||||
Clint Independent School District Refunding, 5.50% due 2/15/2011 (Guaranty: PSF) | Aaa/AAA | 1,700,000 | 1,870,000 | |||||
Clint Independent School District Refunding, 5.50% due 2/15/2012 (Guaranty: PSF) | Aaa/AAA | 1,425,000 | 1,555,273 | |||||
Coppell Independent School District Refunding, 0% due 8/15/2007 (Guaranty: PSF) | NR/AAA | 3,300,000 | 3,065,964 | |||||
Corpus Christi Business & Job Development Corp. Sales Tax Revenue, 5.00% due 9/1/2012 (Refunding & Improvement Arena Project; Insured: AMBAC) | Aaa/AAA | 1,025,000 | 1,101,967 | |||||
Corpus Christi Utility Systems Revenue Refunding, 5.50% due 7/15/2005 (Insured: FSA) | Aaa/AAA | 2,000,000 | 2,017,940 | |||||
Corpus Christi Utility Systems Revenue Refunding, 5.50% due 7/15/2006 (Insured: FSA) | Aaa/AAA | 4,070,000 | 4,210,863 | |||||
Corpus Christi Utility Systems Revenue Refunding, 5.50% due 7/15/2008 (Insured: FSA) | Aaa/AAA | 2,000,000 | 2,146,740 | |||||
Corpus Christi Utility Systems Revenue Refunding, 5.50% due 7/15/2009 (Insured: FSA) | Aaa/AAA | 4,780,000 | 5,191,893 | |||||
Cypress Fair Independent School District Refunding GO, 5.00% due 2/15/2022 put 8/15/2010 | Aaa/AAA | 2,500,000 | 2,678,300 | |||||
Dallas Tax Increment Financing Reinvestment Zone 2, 5.75% due 8/15/2006 (Insured: Radian) | NR/AA | 450,000 | 466,128 | |||||
Duncanville Independent School District Refunding Series B, 0% due 2/15/2011 (Guaranty: PSF) | Aaa/AAA | 4,945,000 | 3,925,638 | |||||
Duncanville Independent School District Refunding Series B, 0% due 2/15/2012 (Guaranty: PSF) | Aaa/AAA | 1,245,000 | 937,547 | |||||
Fort Worth Water & Sewer Revenue Refunding & Improvement, 5.25% due 2/15/2011 | Aa2/AA | 3,800,000 | 4,031,876 | |||||
Fort Worth Water & Sewer Revenue Series 2001, 5.25% due 2/15/2011 (Tarrant & Denton County Project) | Aa2/AA | 1,390,000 | 1,510,749 | |||||
Grapevine Texas, 5.25% due 2/15/2012 (Insured: FGIC) | Aaa/AAA | 2,005,000 | 2,047,325 | |||||
Gulf Coast Waste Disposal Authority Environmental Facilities Revenue Refunding, 4.20% due 11/2/2006 (Occidental Project) | Baa2/BBB | 4,000,000 | 4,087,200 | |||||
Gulf Coast Waste Disposal Authority Texas Revenue Refunding, 5.00% due 10/1/2010 (Bayport Area Systems Project; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,067,750 | |||||
Gulf Coast Waste Disposal Authority Texas Revenue Refunding, 5.00% due 10/1/2011 (Bayport Area Systems Project; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,068,240 | |||||
Harlingen Consolidated Independent School, 7.50% due 8/15/2006 (Guaranty: PSF) | Aaa/AAA | 1,275,000 | 1,354,879 | |||||
Harlingen Consolidated Independent School, 7.50% due 8/15/2009 (Guaranty: PSF) | Aaa/AAA | 750,000 | 874,410 | |||||
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 | 500,000 | 568,010 | |||||
Harris County Health Facilities Development Corp. Thermal Utility Revenue, 5.45% due 2/15/2011 (Insured: AMBAC) | Aaa/AAA | 4,085,000 | 4,423,156 | |||||
Harris County Health Facilities Hospital Series A, 6.00% due 6/1/2010 (Memorial Hospital Systems Project; Insured: MBIA) | Aaa/AAA | 3,100,000 | 3,446,208 | |||||
Harris County Hospital District Mortgage Revenue, 7.40% due 2/15/2010 (ETM) | Aaa/AAA | 420,000 | 456,191 | |||||
Harris County Hospital District Mortgage Revenue Unrefunded Balance Refunding, 7.40% due 2/15/2010 (Insured: AMBAC) | Aaa/AAA | 1,925,000 | 2,141,543 |
Certified Semi-Annual Report | 33 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Harris County Hospital District Revenue Refunding, 5.75% due 2/15/2011 | Aaa/AAA | $ | 10,000,000 | $ | 10,979,800 | |||
Harris County Hospital District Revenue Refunding, 5.75% due 2/15/2012 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,186,800 | |||||
Harris County Refunding Toll Road Senior Lien Series B-2, 5.00% due 8/15/2021 put 8/15/2009 (Insured: FGIC) | Aaa/AAA | 5,000,000 | 5,299,350 | |||||
Harris County Sports Authority Revenue Senior Lien Series G, 0% due 11/15/2010 (Insured: MBIA) | Aaa/AAA | 3,260,000 | 2,629,451 | |||||
Houston Community College Systems Refunding Student Fee, 5.25% due 4/15/2010 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,083,120 | |||||
Houston Community College Systems Refunding Student Fee, 5.25% due 4/15/2011 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,088,030 | |||||
Houston Community College Systems Refunding Student Fee, 5.25% due 4/15/2012 (Insured: FSA) | Aaa/AAA | 1,460,000 | 1,593,517 | |||||
Houston Community College Systems Refunding Student Fee, 5.25% due 4/15/2013 (Insured: FSA) | Aaa/AAA | 1,250,000 | 1,367,000 | |||||
Irving Texas Hospital Authority Revenue Series B, 5.75% due 7/1/2005 | Aaa/AAA | 500,000 | 504,160 | |||||
Laredo Sports Venue Sales Refunding & Improvement, 5.00% due 3/15/2012 (Insured: AMBAC) | Aaa/AAA | 1,660,000 | 1,782,823 | |||||
Laredo Sports Venue Sales Refunding & Improvement, 5.00% due 3/15/2013 (Insured: AMBAC) | Aaa/AAA | 1,745,000 | 1,874,427 | |||||
Laredo Sports Venue Sales Refunding & Improvement, 5.00% due 3/15/2014 (Insured: AMBAC) | Aaa/AAA | 1,835,000 | 1,972,240 | |||||
Laredo Sports Venue Sales Refunding & Improvement, 5.00% due 3/15/2015 (Insured: AMBAC) | Aaa/AAA | 1,930,000 | 2,069,481 | |||||
Lewisville Combination Contract Revenue, 4.125% due 5/1/2031 pre-refunded 11/1/2006 (Special Assessment Castle Hills Project Number 3; LOC: Wells Fargo Bank) | NR/AA | 1,000,000 | 1,021,300 | |||||
Longview Water & Sewer Revenue Refunding, 5.00% due 3/1/2012 (Insured: MBIA) | Aaa/AAA | 1,150,000 | 1,237,124 | |||||
Lower Colorado River Authority Revenue Refunding & Improvement, 8.00% due 5/15/2010 (Transportation Systems Project; Insured: FSA) | Aaa/AAA | 750,000 | 906,300 | |||||
Mesquite Independent School District Refunding, 0% due 8/15/2011 (Guaranty: PSF) | NR/AAA | 3,065,000 | 2,348,556 | |||||
Midlothian Independent School District Refunding, 0% due 2/15/2008 (Guaranty: PSF) | Aaa/NR | 1,415,000 | 1,288,032 | |||||
Midlothian Independent School District Refunding, 0% due 2/15/2009 (Guaranty: PSF) | Aaa/NR | 1,200,000 | 1,048,332 | |||||
Midtown Redevelopment Authority Texas Tax, 6.00% due 1/1/2010 (Insured: Radian) | NR/AA | 700,000 | 766,304 | |||||
Midtown Redevelopment Authority Texas Tax, 6.00% due 1/1/2011 (Insured: Radian) | NR/AA | 740,000 | 816,102 | |||||
North Texas Health Facilities Development Corp., 5.25% due 9/1/2006 | Aaa/AAA | 1,000,000 | 1,033,250 | |||||
North Texas Thruway Authority Systems Revenue Refunding Series B, 5.00% due 1/1/2038 put 12/1/2008 (Insured: AMBAC) | Aaa/AAA | 5,000,000 | 5,280,200 | |||||
Red River Education Finance Corp., 2.10% due 12/1/2034 put 12/1/2007 | VMIG1/NR | 2,500,000 | 2,414,050 | |||||
Sam Rayburn Municipal Power Agency Refunding, 5.50% due 10/1/2012 | Baa2/BBB- | 6,000,000 | 6,615,000 | |||||
San Antonio Hotel Occupancy Revenue Refunding Series B, 5.00% due 8/15/2034 put 8/1/2008 (Insured: AMBAC) | Aaa/AAA | 5,000,000 | 5,273,550 | |||||
Socorro Independent School District Series A, 5.75% due 2/15/2011 (Guaranty: PSF) | NR/AAA | 1,970,000 | 2,100,020 | |||||
Southlake Tax Increment Certificates of Obligation Series B, 0% due 2/15/2007 (Insured: AMBAC) | Aaa/AAA | 965,000 | 888,254 | |||||
Southlake Tax Increment Certificates of Obligation Series B, 0% due 2/15/2008 pre-refunded 2/15/2006 | Aaa/AAA | 1,120,000 | 976,226 | |||||
Southlake Tax Increment Certificates of Obligation Series B, 0% due 2/15/2009 pre-refunded 2/15/2006 | Aaa/AAA | 1,275,000 | 1,046,010 | |||||
Southlake Tax Increment Certificates of Obligation Series B, 0% due 2/15/2010 pre-refunded 2/15/2006 | Aaa/AAA | 1,440,000 | 1,107,634 | |||||
Spring Branch Independent School District, 7.50% due 2/1/2011 (Guaranty: PSF) | Aaa/AAA | 500,000 | 599,415 | |||||
Springhill Courtland Heights Public Facility Corp. Multi Family Revenue Senior Lien Housing Series A, 5.125% due 12/1/2008 | NR/BBB- | 1,150,000 | 1,168,917 | |||||
Tarrant County Health Facilities, 5.875% due 11/15/2007 (Adventist/Sunbelt Health System Project) | A2/A | 580,000 | 615,444 | |||||
Tarrant County Health Facilities, 6.00% due 11/15/2009 (Adventist/Sunbelt Health System Project) | A2/A | 650,000 | 708,623 | |||||
Tarrant County Health Facilities, 6.10% due 11/15/2011 (Adventist/Sunbelt Health System Project) | A2/A | 730,000 | 806,679 | |||||
Tarrant County Health Facilities Development Corp., 5.75% due 2/15/2011 | Aaa/AAA | 1,400,000 | 1,513,050 | |||||
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 | 3,000,000 | 3,206,520 | |||||
Texarkana Health Facilities Development Corp. Hospital Revenue, 5.75% due 10/1/2008 (Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,620,030 |
34 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Texas Affordable Housing Corp. Portfolio A, 4.85% due 9/1/2012 (Insured: MBIA) | Aaa/AAA | $ | 2,000,000 | $ | 1,999,920 | |||
Texas Affordable Housing Corp. Series A, 4.85% due 9/1/2012 (Insured: MBIA) | Aaa/AAA | 1,945,000 | 1,984,600 | |||||
Texas Public Finance Authority Building Revenue State Preservation Project Series B, 6.00% due 8/1/2011 pre-refunded 8/1/2009 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,108,560 | |||||
Texas State Turnpike Authority Central Texas Turnpike Systems Rev. Bond Anticipation Note 2nd Tier, 5.00% due 6/1/2008 | Aa3/AA | 7,000,000 | 7,393,610 | |||||
Travis County GO, 5.00% due 3/1/2007 | Aaa/AAA | 1,000,000 | 1,038,470 | |||||
Travis County GO, 5.00% due 3/1/2010 | Aaa/AAA | 500,000 | 522,405 | |||||
Travis County Health Facilities Development Corp. Revenue Ascension Health Credit Series A, 5.75% due 11/15/2007 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,066,210 | |||||
Travis County Health Facilities Development Corp. Revenue Ascension Health Credit Series A, 5.75% due 11/15/2008 (Insured: MBIA) | Aaa/AAA | 2,300,000 | 2,490,808 | |||||
Travis County Health Facilities Development Corp. Revenue Series A, 5.75% due 11/15/2009 (Insured: MBIA) | Aaa/AAA | 3,750,000 | 4,105,350 | |||||
Travis County Health Facilities Development Series A, 5.75% due 11/15/2010 | Aaa/AAA | 2,000,000 | 2,196,680 | |||||
Washington County Health Facilities Development Corp. Revenue, 5.35% due 6/1/2009 (Insured: ACA) | NR/A | 2,020,000 | 2,139,746 | |||||
West Harris County Regional Water, 5.25% due 12/15/2010 (Insured: FSA) | Aaa/AAA | 1,700,000 | 1,852,847 | |||||
West Harris County Regional Water, 5.25% due 12/15/2011 (Insured: FSA) | Aaa/AAA | 2,315,000 | 2,528,235 | |||||
West Harris County Regional Water, 5.25% due 12/15/2012 (Insured: FSA) | Aaa/AAA | 2,435,000 | 2,664,377 | |||||
UTAH — 0.66% | ||||||||
Intermountain Power Agency Power Supply Revenue Series A, 5.00% due 7/1/2012 (ETM) | Aaa/AAA | 4,355,000 | 4,364,146 | |||||
Intermountain Power Agency Utah Power Supply Series E, 6.25% due 7/1/2009 (Insured: FSA) | Aaa/AAA | 500,000 | 557,595 | |||||
Salt Lake County Municipal Building, 5.50% due 10/1/2009 | Aa1/AA+ | 1,500,000 | 1,636,305 | |||||
Snyderville Basin Sewer Improvement, 5.00% due 11/1/2006 (Insured: AMBAC) | Aaa/AAA | 675,000 | 698,996 | |||||
Utah Board Regents Auxiliary Systems & Student Fee Revenue Refunding Series A, 5.00% due 5/1/2010 | NR/AA | 510,000 | 545,501 | |||||
Utah State University Hospital Board of Regents Revenue, 5.50% due 8/1/2005 (Insured: AMBAC) | Aaa/AAA | 500,000 | 505,105 | |||||
Utah State University Hospital Board of Regents Revenue, 5.25% due 8/1/2008 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,060,700 | |||||
VERMONT — 0.03% | ||||||||
Vermont Educational & Health Buildings Financing Agency Revenue, 6.00% due 9/1/2006 (Northwestern Medical Center Project) | NR/BBB | 470,000 | 480,951 | |||||
VIRGINIA — 0.87% | ||||||||
Alexandria Industrial Development Authority Revenue, 5.75% due 10/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,010,000 | 1,077,933 | |||||
Alexandria Industrial Development Authority Revenue, 5.75% due 10/1/2008 (Insured: AMBAC) | Aaa/AAA | 1,070,000 | 1,163,368 | |||||
Alexandria Industrial Development Authority Revenue, 5.75% due 10/1/2009 (Insured: AMBAC) | Aaa/AAA | 1,130,000 | 1,244,401 | |||||
Alexandria Industrial Development Authority Revenue, 5.75% due 10/1/2010 (Insured: AMBAC) | Aaa/AAA | 1,195,000 | 1,332,891 | |||||
Chesterfield County Industrial Development, 5.50% due 10/1/2009 (Vepco Project) | A3/BBB+ | 1,500,000 | 1,569,375 | |||||
Hampton GO Refunding Bond, 5.85% due 3/1/2007 | Aa2/AA | 545,000 | 552,592 | |||||
Hampton Hospital Facilities Revenue Series A, 5.00% due 11/1/2005 | Aa2/AA | 500,000 | 506,950 | |||||
Norton Industrial Development Authority Hospital Revenue Refunding Improvement, 5.75% due 12/1/2012 (Norton Community Hospital Project; Insured: ACA) | NR/A | 1,460,000 | 1,594,700 | |||||
Suffolk Redevelopment Housing Authority Refunding, 4.85% due 7/1/2031 put 7/1/2011 (Windsor at Potomac Project; Collateralized: FNMA) | Aaa/NR | 3,000,000 | 3,156,570 | |||||
WASHINGTON — 3.84% | ||||||||
Conservation & Renewable Energy Systems Revenue Refunding, 5.00% due 10/1/2007 (Washington Conservation Project) | Aaa/AA- | 1,000,000 | 1,048,070 | |||||
Energy Northwest Washington Electric Revenue Refunding Series A, 5.375% due 7/1/2013 (Project Number 1; Insured: FSA) | Aaa/AAA | 2,000,000 | 2,181,960 |
Certified Semi-Annual Report | 35 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Energy Northwest Washington Revenue Series A, 4.75% due 7/1/2007 (Wind Project) | A3/A- | $ | 1,675,000 | $ | 1,709,270 | |||
Energy Northwest Washington Revenue Series A, 4.95% due 7/1/2008 (Wind Project) | A3/A- | 1,760,000 | 1,852,048 | |||||
Energy Northwest Washington Revenue Series B, 4.95% due 7/1/2008 (Wind Project) | A3/A- | 705,000 | 724,966 | |||||
Energy Northwest Washington Revenue Series B, 5.20% due 7/1/2010 (Wind Project) | A3/A- | 785,000 | 836,268 | |||||
Grant County Priest Rapids Hydroelectric, 6.00% due 1/1/2006 (Insured: AMBAC) | Aaa/AAA | 335,000 | 343,388 | |||||
Lewis County Public Utility District Refunding, 5.00% due 10/1/2007 | Aaa/AA- | 1,880,000 | 1,970,842 | |||||
Seattle Municipal Light & Power Revenue Refunding, 4.75% due 7/1/2007 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,038,860 | |||||
Spokane County School District GO, 0% due 6/1/2014 (Insured: MBIA) | Aaa/AAA | 1,600,000 | 1,403,024 | |||||
Spokane County School District Number 354 Mead Refunding, 4.00% due 12/1/2008 (Insured: MBIA) | Aaa/AAA | 1,375,000 | 1,415,466 | |||||
Spokane Regional Solid Waste Refunding, 5.00% due 12/1/2005 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,015,160 | |||||
Spokane Regional Solid Waste Refunding, 5.00% due 12/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,032,850 | |||||
Spokane Regional Solid Waste Refunding, 5.25% due 12/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,053,080 | |||||
Spokane Washington Refunding, 5.00% due 12/15/2009 | A2/AA- | 2,150,000 | 2,231,550 | |||||
Spokane Washington Refunding, 5.00% due 12/15/2010 | A2/AA- | 2,430,000 | 2,513,835 | |||||
University of Washington Alumni Association Lease Revenue Refunding, 4.50% due 8/15/2005 (Medical Center Project; Insured: MBIA) | Aaa/AAA | 900,000 | 906,831 | |||||
University of Washington Alumni Association Lease Revenue Refunding, 5.00% due 8/15/2006 (Medical Center Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,028,970 | |||||
University of Washington Alumni Association Lease Revenue Refunding, 5.00% due 8/15/2007 (Medical Center Project; Insured: MBIA) | Aaa/AAA | 1,100,000 | 1,148,334 | |||||
Washington Health Care Facilities, 5.50% due 12/1/2009 (Providence Services Project; Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,626,510 | |||||
Washington Public Power Supply, 5.40% due 7/1/2012 (Insured: FSA) | Aaa/AAA | 900,000 | 985,671 | |||||
Washington Public Power Supply Refunding Series A, 5.00% due 7/1/2011 (Insured: FSA) | Aaa/AAA | 2,500,000 | 2,652,425 | |||||
Washington Public Power Supply System Refunding Revenue, 0% due 7/1/2008 | Aaa/AA- | 1,140,000 | 1,019,411 | |||||
Washington Public Power Supply System Series 96-A, 6.00% due 7/1/2006 (Insured: MBIA) | Aaa/AAA | 1,655,000 | 1,720,571 | |||||
Washington Public Power Supply Systems, 6.00% due 7/1/2008 | Aaa/AAA | 1,000,000 | 1,087,650 | |||||
Washington Public Power Supply Systems Revenue Refunding Series A, 5.10% due 7/1/2010 (Nuclear Project Number 2; Insured: FSA) | Aaa/AAA | 1,000,000 | 1,059,950 | |||||
Washington Public Power Supply Systems Revenue Refunding Series B, 0% due 7/1/2008 (Nuclear Project Number 3) | Aaa/AA- | 830,000 | 742,203 | |||||
Washington State Motor Vehicle Fuel Tax Series B, 5.00% due 7/1/2007 (Insured: FGIC) | Aaa/AAA | 5,075,000 | 5,301,903 | |||||
Washington State Public Power Supply Systems Revenue Refunding Series A, 6.00% due 7/1/2007 (Nuclear Project Number 1; Insured: AMBAC) | Aaa/AAA | 5,000,000 | 5,277,500 | |||||
Washington State Series A, 5.00% due 7/1/2008 (Insured: FGIC) | Aaa/AAA | 6,810,000 | 7,208,930 | |||||
WEST VIRGINIA — 0.29% | ||||||||
Harrison County Nursing Facility Revenue Refunding, 5.625% due 9/1/2010 | NR/NR | 455,000 | 465,242 | |||||
Pleasants County Pollution Control Revenue, 4.70% due 11/1/2007 | Aaa/AAA | 1,500,000 | 1,565,445 | |||||
West Virginia Statewide Commission Lottery Revenue Series 1997-A, 5.50% due 7/1/2005 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,015,800 | |||||
WISCONSIN — 1.37% | ||||||||
Bradley Pollution Control Revenue, 6.75% due 7/1/2009 (Owens Illinois Waste Project) (ETM) | Ba1/BB+ | 1,500,000 | 1,699,095 | |||||
Milwaukee Wisconsin Corp. Series R GO, 5.50% due 9/1/2009 | Aa2/AA | 2,200,000 | 2,394,788 | |||||
Wisconsin State Health & Educational Facilities, 5.00% due 8/15/2009 | Aaa/AAA | 2,835,000 | 2,987,665 | |||||
Wisconsin State Health & Educational Facilities Authority, 5.90% due 8/15/2005 | Aaa/AAA | 800,000 | 810,184 | |||||
Wisconsin State Health & Educational Facilities Authority Revenue, 6.00% due 8/15/2008 (Aurora Health Care Inc. Project; Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,159,880 |
36 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | ||||||
Wisconsin State Health & Educational Facilities Authority Revenue Series A, 5.00% due 2/15/2009 (Gundersen Lutheran Hospital Project; Insured: FSA) | Aaa/AAA | $ | 1,860,000 | $ | 1,968,085 | ||||
Wisconsin State Health & Educational Facilities Hospital Sisters Services Inc., 4.50% due 12/1/2023 put 12/1/2007 (Insured: FSA) | Aaa/NR | 5,825,000 | 6,015,652 | ||||||
Wisconsin State Health & Educational Series A, 5.00% due 2/15/2008 | Aaa/AAA | 1,250,000 | 1,310,875 | ||||||
WYOMING — 0.27% | |||||||||
West Park Hospital District Revenue, 5.90% due 7/1/2010 (Insured: ACA) | NR/A | 1,615,000 | 1,681,344 | ||||||
Wyoming Farm Loan Board Revenue, 0% due 4/1/2009 | NR/AA | 2,500,000 | 2,143,800 | ||||||
TOTAL INVESTMENTS — 102.77% (COST $ 1,425,197,346) | $ | 1,449,081,023 | |||||||
LIABILITIES NET OF OTHER ASSETS — (2.77)% | (39,051,514 | ) | |||||||
NET ASSETS — 100.00% | $ | 1,410,029,509 | |||||||
Footnote Legend
See notes to financial statements.
† | Credit ratings are unaudited. Rating changes may have occurred prior to or subsequent to the reporting period end. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ACA | Insured by American Capital Access | |
AGC | Insured by Asset Guaranty Corp. | |
AMBAC | Insured by American Municipal Bond Assurance Corp. | |
BONY | Letter of Credit from Bank of New York | |
COP | Certificates of Participation | |
ETM | Escrowed to Maturity | |
FGIC | Insured by Financial Guaranty Insurance Co. | |
FHA | Insured by Federal Housing Administration | |
FNMA | Collateralized by Federal National Mortgage Association | |
FSA | Insured by Financial Security Assurance Co. | |
GO | General Obligation | |
MBIA | Insured by Municipal Bond Investors Assurance | |
PSF | Guaranteed by Permanent School Fund | |
RADIAN | Insured by Radian Asset Assurance | |
SONYMA | State of New York Mortgage Authority | |
XLCA | Insured by XL Capital Assurance |
SUMMARY OF SECURITY CREDIT RATINGS†
Ratings are a blend of Moody’s and Standard & Poor’s, using the higher rating. Some bonds are rated by only one service.
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EXPENSE EXAMPLE | ||
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
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 September 30, 2004 and held until March 31, 2005.
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 Account Value 9/30/04 | Ending Account Value 3/31/05 | Expenses Paid During Period† 9/30/04–3/31/05 | |||||||
Class A Shares | |||||||||
Actual | $ | 1,000 | $ | 997.20 | $ | 4.46 | |||
Hypothetical* | $ | 1,000 | $ | 1,020.47 | $ | 4.51 | |||
Class C Shares | |||||||||
Actual | $ | 1,000 | $ | 995.10 | $ | 5.85 | |||
Hypothetical* | $ | 1,000 | $ | 1,019.06 | $ | 5.92 | |||
Class I Shares | |||||||||
Actual | $ | 1,000 | $ | 998.80 | $ | 2.86 | |||
Hypothetical* | $ | 1,000 | $ | 1,022.07 | $ | 2.89 |
† | Expenses are equal to the annualized expense ratio for each class (A: 0.89%; C: 1.18%; and I: 0.57%) multiplied by the average account value over the period, multiplied by 182/365 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.
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OTHER INFORMATION | ||
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
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 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.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files 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. The Fund’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, or may be reviewed and 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.
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Trustees’ Statement to Shareholders
February 8, 2005
The Trustees are concerned that recent commentaries and opinions reported in the media may confuse investors in general as to the supervisory duties of trustees of mutual funds and, in particular, leave Thornburg Investment Trust shareholders uncertain regarding how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. We decided to spell out clearly three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf.
We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.
Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders’ returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.
Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.
This statement is submitted for the general information of the shareholders of Thornburg Investment Trust. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online www.thornburg.com/download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money.
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Planning Options
Retirement and Education Accounts
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs – Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 701/2, even if you are covered by an employer retirement plan.
Roth IRAs – Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our web site at www.thornburg.com/ira.
SEP IRAs – Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employee’s SEP IRA on a discretionary basis.
SIMPLE IRAs – Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employee’s SIMPLE IRA. Employees may make salary deferral contributions.
403(b)
A special, tax-advantaged savings vehicle available only to employees of 501(c)(3) organizations, such as charitable, educational, scientific and religious organizations. 403(b) plans are also available to employees of public schools and universities.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
• | Thornburg International Value Fund |
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
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The Firm
Thornburg Investment Management is a privately held investment management company based in Santa Fe, New Mexico with assets under management of over $13 billion. Founded in 1982, the firm manages four equity funds, eight bond funds, and separate portfolios for select institutions and individuals.
Investment Philosophy
We seek to preserve and increase the real wealth of the Funds’ shareholders after accounting for inflation, taxes, and investment expenses. We’ re committed to disciplined investing and controlling risk in all market environments through laddered bond and focused equity portfolios.
Portfolio Holdings Disclosure
We believe you should know what is in your portfolio. Our web site keeps investors informed of the Funds’ equity holdings. Go to www.thornburg.com/funds for portfolio manager commentary on our equity fund holdings.
Co-Ownership of Funds
We invest side-by-side with the Funds’ shareholders. Our employees have invested over $100 million in Thornburg Funds.
Core Strategies for Building Wealth
We deliver core strategies to help investors meet long-term goals. A core strategy is a consistent, disciplined and proven investment process that represents the foundation of a diversified portfolio.
INVESTMENT MANAGER
Thornburg Investment Management, Inc.
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
PRINCIPAL UNDERWRITER
Thornburg Securities Corporation
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
www.thornburg.com
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Core Strategies for Building Wealth
Thornburg
Limited Term
Municipal Fund
I Shares
Semi-Annual Report – March 31, 2005
This report and the accompanying brochure are submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/ download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money. Performance data quoted represents past performance and does not guarantee future results.
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Thornburg Limited Term Municipal Fund
Laddering – an All Weather Strategy
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 preservation of capital (may be subject to Alternative Minimum Tax).
This Fund is a laddered portfolio of municipal bonds with an average maturity of five years or less. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio matures each year; cash from maturing bonds, if not needed for other purposes, is invested in bonds with longer maturities at the far end of the ladder. The strategy is a good compromise for managing different types of risk.
Thornburg Bond Funds
• | Thornburg Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term 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 invests in short- and intermediate-term investment grade bonds. We ladder the maturities of individual bonds in the portfolios to moderate risk. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio will mature each year. We apply this disciplined process in all interest rate environments.
Thornburg Equity Funds
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
Thornburg’s equity research uses a fundamental, yet comprehensive, analytical approach. We invest when and where we perceive the most compelling value. Thornburg equity funds focus on a limited number of securities so that each holding can have a material impact on performance. The equity team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic value.
More information at www.thornburg.com
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Thornburg Limited Term Municipal Fund
I Shares – March 31, 2005
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
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Important Information
Performance data quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate so that upon redemption, investor’s shares may be worth more or less than their original cost. Current performance may be lower or higher than the data quoted. For performance data current to the most recent month end, visit www.thornburg.com.
Minimum investments for class I shares are higher than those for other classes. There is no up front sales charge for this class of shares.
Shares in the Fund carry risks, including possible loss of principal. As with direct bond ownership, Funds that invest in bonds are subject to certain risks including interest-rate risk, credit risk, and inflation risk. The principal value of bond funds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Shares in the fund are not deposits or obligations of, or guaranteed or endorsed by, any bank, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any government agency.
The information presented on the following pages was current as of March 31, 2005. 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, sinking funds, 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.
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George Strickland
Portfolio Manager
Dear Fellow Shareholder:
I am pleased to present the Semi-Annual Report for the Thornburg Limited Term Municipal Fund. The net asset value of the class I shares decreased by 23 cents to $13.60 during the six month period ending March 31, 2005. If you were with us for the entire period, you received dividends of 21.4 cents per share. If you reinvested dividends, you received 21.5 cents per share.
Over the past six months, the municipal bond yield curve has flattened considerably. In other words, interest rates on short and intermediate bonds have risen, while the interest rates on long-term bonds have remained relatively unchanged. Since bond prices move in the opposite direction of yields, long-term bond prices have been relatively stable while short and intermediate bond prices have fallen. The class I shares of your Fund produced a total return of (0.12)% over the last six months, compared to a (0.28)% return for the Lehman Brothers Five Year Municipal Bond Index. The portion of the Fund’s ladder maturing beyond five years contributed positively to performance, while the bonds maturing in less than five years underperformed the index. Overall, these two factors generally offset each other.
We are not surprised that short and intermediate bond yields have risen. The Federal Reserve has almost tripled the targeted Fed Funds rate in the last year and is expected to keep raising rates gradually. Producer prices are rising at a 4.7% rate (up from 2.1% a year ago). Consumer prices are rising at a 3.0% rate (up from 1.7%), and the U.S. economy is growing at a nominal rate (unadjusted for inflation) of 6.4%. We haven’t seen that kind of growth since the technology stock bubble burst in the first half of 2000.
We are, however, somewhat perplexed by the stability of long-term bond yields. Market participants may be expecting the economy to falter and inflation to subside this year. While that is certainly a possibility, we believe that the more likely scenario is that economic momentum continues and inflation stays in the 3-4% range. Such a scenario should lead to higher yields for long-term bonds.
New issue municipal bond supply unexpectedly surged 10.9% over the first quarter of last year to a record $96.6 billion. The increased supply showed up just as the government bond market weakened and helped create a buyer-friendly municipal bond market. With rates on intermediate municipal bonds rising by about 0.5% over the last couple of months, we have been finding better values in bonds that mature in the five to ten year range. Though we are still conservatively positioned relative to our long-term averages, we have recently extended the duration of the Fund slightly to 3.1 years. If rates continue to rise, we would expect to continue extending duration.
Your Thornburg Limited Term Municipal Fund is a laddered portfolio of over 680 municipal obligations from 49 states. Today, your Fund’s weighted average maturity is 4.09 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 from most bond mutual funds. It will be particularly useful if interest rates continue rising,
Certified Semi-Annual Report | 5 |
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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 percent-ages of your Fund’s bond portfolio maturing in each of the coming years.
% of portfolio | Cumulative % | ||||||||||
1 year | = | 13.3% | Year 1 | = | 3.3 | % | |||||
1 to 2 years | = | 9.6% | Year 2 | = | 22.9 | % | |||||
2 to 3 years | = | 12.4% | Year 3 | = | 35.3 | % | |||||
3 to 4 years | = | 14.1% | Year 4 | = | 49.4 | % | |||||
4 to 5 years | = | 14.4% | Year 5 | = | 63.8 | % | |||||
5 to 6 years | = | 11.9% | Year 6 | = | 75.7 | % | |||||
6 to 7 years | = | 7.6% | Year 7 | = | 83.3 | % | |||||
7 to 8 years | = | 7.9% | Year 8 | = | 91.2 | % | |||||
8 to 9 years | = | 4.9% | Year 9 | = | 96.1 | % | |||||
Over 9 years | = | 3.9% | Over 9 years | = | 100 | % |
Percentages can and do vary. Data as of 3/31/05.
Thanks to a strong economy, state tax revenues were up 7.5% in 2004 – the fastest growth rate since the 2000 fiscal year. Many states are dealing with the fortunate problem of deciding what to do with surplus revenues, while a few states continue grappling with budget deficits. State reserve funds have been drawn down over the last few years and tax supported state debt levels have risen over 15% in the last two years. To reduce credit risk, we have kept 92% of the portfolio in bonds rated A or above by at least one rating agency 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 Limited Term Municipal Fund.
Sincerely, |
![]() |
George Strickland |
Portfolio Manager |
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STATEMENT OF ASSETS AND LIABILITIES
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
ASSETS | ||||
Investments at value (cost $1,425,197,346) | $ | 1,449,081,023 | ||
Cash | 88,571 | |||
Receivable for investments sold | 25,418,733 | |||
Receivable for fund shares sold | 4,885,701 | |||
Interest receivable | 18,471,446 | |||
Prepaid expenses and other assets | 80,980 | |||
Total Assets | 1,498,026,454 | |||
LIABILITIES | ||||
Payable for securities purchased | 83,440,035 | |||
Payable for fund shares redeemed | 2,561,478 | |||
Payable to investment advisor and other affiliates (Note 3) | 900,809 | |||
Accounts payable and accrued expenses | 107,761 | |||
Dividends payable | 986,862 | |||
Total Liabilities | 87,996,945 | |||
NET ASSETS | $ | 1,410,029,509 | ||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment gain (loss) | $ | (1,630 | ) | |
Net unrealized appreciation on investments | 23,877,467 | |||
Accumulated net realized gain (loss) | (5,514,874 | ) | ||
Net capital paid in on shares of beneficial interest | 1,391,668,546 | |||
$ | 1,410,029,509 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share | $ | 13.60 | ||
Maximum sales charge, 1.50% of offering price | 0.21 | |||
Maximum Offering Price Per Share | $ | 13.81 | ||
Class C Shares: | ||||
Net asset value and offering price per share * | $ | 13.62 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share | $ | 13.60 | ||
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
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Thornburg Limited Term Municipal Fund | Six Months Ended March 31, 2005 (Unaudited) |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $8,812,219) | $ | 26,287,475 | ||
Total Income | 26,287,475 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 2,885,254 | |||
Administration fees (Note 3) | ||||
Class A Shares | 639,383 | |||
Class C Shares | 97,607 | |||
Class I Shares | 61,421 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 1,278,765 | |||
Class C Shares | 779,909 | |||
Transfer agent fees | ||||
Class A Shares | 199,230 | |||
Class C Shares | 44,055 | |||
Class I Shares | 31,770 | |||
Registration and filing fees | ||||
Class A Shares | 30,790 | |||
Class C Shares | 16,634 | |||
Class I Shares | 27,984 | |||
Custodian fees (Note 3) | 243,183 | |||
Professional fees | 39,300 | |||
Accounting fees | 75,180 | |||
Trustee fees | 15,790 | |||
Other expenses | 142,152 | |||
Total Expenses | 6,608,407 | |||
Less: | ||||
Distribution and service fees waived (Note 3) | (389,955 | ) | ||
Fees paid indirectly (Note 3) | (18,483 | ) | ||
Net Expenses | 6,199,969 | |||
Net Investment Income | 20,087,506 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments | (931,173 | ) | ||
(931,173 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (23,262,169 | ) | ||
(23,262,169 | ) | |||
Net Realized and Unrealized Loss | (24,193,342 | ) | ||
Net Decrease in Net Assets Resulting From Operations | $ | (4,105,836 | ) | |
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Limited Term Municipal Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Three Months Ended September 30, 2004 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income gain | $ | 20,087,506 | $ | 9,853,487 | ||||
Net realized gain (loss) on investments | (931,173 | ) | 74,945 | |||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments | (23,262,169 | ) | 16,155,302 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (4,105,836 | ) | 26,083,734 | |||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (14,295,014 | ) | (7,133,301 | ) | ||||
Class C Shares | (1,962,089 | ) | (958,113 | ) | ||||
Class I Shares | (3,830,404 | ) | (1,762,073 | ) | ||||
FUND SHARE TRANSACTIONS - (Note 4): | ||||||||
Class A Shares | (17,173,762 | ) | (20,348,137 | ) | ||||
Class C Shares | (1,899,182 | ) | (353,019 | ) | ||||
Class I Shares | 18,786,956 | 13,279,935 | ||||||
Net Increase (Decrease) in Net Assets | (24,479,331 | ) | 8,809,026 | |||||
NET ASSETS: | ||||||||
Beginning of period | 1,434,508,840 | 1,425,699,814 | ||||||
End of period | $ | 1,410,029,509 | $ | 1,434,508,840 | ||||
See notes to financial statements.
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Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
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.
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.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Trust are as follows:
Valuation of Investments: In determining the net asset value, the Trust 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 Trust to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all taxable (if any) and tax exempt income, of the Fund, to the 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 and or market changes. At the time the Trust 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 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
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
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.
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 period ended March 31, 2005 , these fees were payable at annual rates ranging from .50 of 1% to .225 of 1% per annum of the average daily net assets of the Fund. The Trust 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% per annum of the average daily net assets attributable to each class of shares.
The Trust 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 period ended March 31, 2005, the Distributor has advised the Fund that it earned commissions aggregating $10,031 from the sale of class A shares, and collected contingent deferred sales charges aggregating $809 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 Trust 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 March 31, 2005, are set forth in the Statement of Operations. Distribution fees in the amount of $389,955 were waived for class C 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 March 31, 2005, fees paid indirectly were $18,483.
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.
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Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2005, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Six Months Ended March 31, 2005 | Three Months Ended September 30, 2004 | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 6,042,010 | $ | 83,097,569 | 2,652,124 | $ | 36,597,200 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 691,610 | 9,497,226 | 335,506 | 4,631,084 | ||||||||||
Shares repurchased | (7,980,906 | ) | (109,768,557 | ) | (4,457,299 | ) | (61,576,421 | ) | ||||||
Net Increase (Decrease) | (1,247,286 | ) | $ | (17,173,762 | ) | (1,469,669 | ) | $ | (20,348,137 | ) | ||||
Class C Shares | ||||||||||||||
Shares sold | 1,091,909 | $ | 15,053,002 | 506,589 | $ | 7,003,493 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 96,878 | 1,332,712 | 46,675 | 645,678 | ||||||||||
Shares repurchased | (1,328,189 | ) | (18,284,896 | ) | (578,793 | ) | (8,002,190 | ) | ||||||
Net Increase (Decrease) | (139,402 | ) | $ | (1,899,182 | ) | (25,529 | ) | $ | (353,019 | ) | ||||
Class I Shares | ||||||||||||||
Shares sold | 3,825,764 | $ | 52,619,077 | 1,826,487 | $ | 25,227,726 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 230,891 | 3,170,558 | 104,786 | 1,446,479 | ||||||||||
Shares repurchased | (2,690,368 | ) | (37,002,679 | ) | (970,031 | ) | (13,394,270 | ) | ||||||
Net Increase (Decrease) | 1,366,287 | $ | 18,786,956 | 961,242 | $ | 13,279,935 | ||||||||
NOTE 5 – SECURITIES TRANSACTIONS
For the period ended March 31, 2005, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $280,202,410 and $184,125,174, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2005, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 1,425,202,791 | ||
Gross unrealized appreciation on a tax basis | $ | 28,822,012 | ||
Gross unrealized depreciation on a tax basis | (4,949,990 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 23,872,022 |
At March 31, 2005, the Fund had tax basis capital losses, which may be carried over to offset future capital gains. To the extent such carryforwards 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 | ||
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Thornburg Limited Term Municipal Fund | (Unaudited)* |
*6 Months Ended March 31, 2005 | 3 Months Ended Sept. 30, 2004(c) | Year Ended June 30, | ||||||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.83 | $ | 13.68 | $ | 14.01 | $ | 13.65 | $ | 13.44 | $ | 13.06 | $ | 13.26 | ||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||
Net investment income | 0.21 | 0.11 | 0.44 | 0.49 | 0.57 | 0.63 | 0.63 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.23 | ) | 0.15 | (0.33 | ) | 0.36 | 0.21 | 0.38 | (0.20 | ) | ||||||||||||||||||
Total from investment operations | (0.02 | ) | 0.26 | 0.11 | 0.85 | 0.78 | 1.01 | 0.43 | ||||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||||||
Net investment income | (0.21 | ) | (0.11 | ) | (0.44 | ) | (0.49 | ) | (0.57 | ) | (0.63 | ) | (0.63 | ) | ||||||||||||||
Change in net asset value | (0.23 | ) | 0.15 | (0.33 | ) | 0.36 | 0.21 | 0.38 | (0.20 | ) | ||||||||||||||||||
NET ASSET VALUE, end of period | $ | 13.60 | $ | 13.83 | $ | 13.68 | $ | 14.01 | $ | 13.65 | $ | 13.44 | $ | 13.06 | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||
Total return (a) | (0.12 | )% | 1.87 | % | 0.80 | % | 6.36 | % | 5.91 | % | 7.91 | % | 3.37 | % | ||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Net investment income | 3.12 | %(b) | 3.02 | %(b) | 3.18 | % | 3.54 | % | 4.18 | % | 4.75 | % | 4.84 | % | ||||||||||||||
Expenses, after expense reductions | 0.58 | %(b) | 0.55 | %(b) | 0.57 | % | 0.58 | % | 0.60 | % | 0.60 | % | 0.60 | % | ||||||||||||||
Expenses, after expense reductions and net of custody credits | 0.57 | %(b) | 0.55 | %(b) | 0.57 | % | 0.58 | % | 0.60 | % | — | — | ||||||||||||||||
Expenses, before expense reductions | 0.58 | %(b) | 0.55 | %(b) | 0.57 | % | 0.58 | % | 0.62 | % | 0.65 | % | 0.62 | % | ||||||||||||||
Portfolio turnover rate | 13.25 | % | 4.57 | % | 21.37 | % | 15.81 | % | 19.59 | % | 25.37 | % | 33.65 | % | ||||||||||||||
Net assets at end of period (000) | $ | 253,145 | $ | 238,589 | $ | 222,760 | $ | 197,367 | $ | 123,652 | $ | 86,160 | $ | 76,470 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
(c) | The Fund’s fiscal year-end changed to September 30. |
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Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
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 | ||||||||
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
ALABAMA — 2.05% | ||||||||
Birmingham Carraway Alabama Special, 6.25% due 8/15/2009 (Insured: Connie Lee) | NR/AAA | $ | 10,000,000 | $ | 10,711,500 | |||
Huntsville Health Care Authority Facilities Revenue Series B, 4.65% due 6/1/2024 put 6/1/2005 (Insured: MBIA) | Aaa/AAA | 1,245,000 | 1,249,233 | |||||
Huntsville Health Care Series A, 4.65% due 6/1/2024 put 6/1/2005 (Insured: MBIA) | Aaa/AAA | 5,330,000 | 5,348,122 | |||||
Scottsboro Industrial Development Board Refunding, 5.25% due 5/1/2009 (LOC: PNC Bank) | NR/NR | 1,920,000 | 1,951,046 | |||||
Shelby County Series A, 7.20% due 8/1/2005 (ETM) | Aaa/AAA | 500,000 | 508,040 | |||||
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 | 8,955,000 | 9,102,310 | |||||
ALASKA — 0.59% | ||||||||
Alaska Energy Authority Power Revenue Refunding Third Series, 6.00% due 7/1/2008 (Bradley Lake Project; Insured: FSA) | Aaa/AAA | 2,800,000 | 3,047,240 | |||||
Alaska Student Loan Corp. Revenue Series A, 5.25% due 1/1/2012 (Capital Project; Insured: FSA) | NR/AAA | 3,000,000 | 3,277,200 | |||||
North Slope Borough Alaska, 0% due 6/30/2006 (Insured: MBIA) | Aaa/AAA | 2,070,000 | 1,999,806 | |||||
ARIZONA — 1.13% | ||||||||
Arizona State Transportation Board Grant Anticipation Notes Series A, 5.00% due 7/1/2009 | Aa3/AA- | 2,500,000 | 2,672,250 | |||||
Maricopa County Arizona School District 97, 5.50% due 7/1/2008 (Insured: FGIC) | Aaa/NR | 650,000 | 698,886 | |||||
Maricopa County School District 008, 7.50% due 7/1/2008 (Insured: MBIA) | A1/AAA | 1,000,000 | 1,133,150 | |||||
Maricopa County Unified School District 41 Gilbert Refunding, 0% due 1/1/2006 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 981,030 | |||||
Mohave County Industrial Development Authority Correctional Facilities Contract Revenue Series A, 5.00% due 4/1/2009 (Mohave Prison LLC Project; Insured: XLCA) | NR/AAA | 4,595,000 | 4,860,729 | |||||
Mohave County Industrial Development Authority Series A, 5.00% due 4/1/2014 (Mohave Prison LLC Project; Insured: XLCA) | NR/AAA | 3,135,000 | 3,339,496 | |||||
Pima County Industrial Development Authority Education Revenue Series C, 6.40% due 7/1/2013 (Arizona Charter Schools Project) | Baa3/NR | 1,000,000 | 1,061,050 | |||||
Pima County Industrial Development Authority Industrial Revenue Refunding Lease Obligation A, 7.25% due 7/15/2010 (Insured: FSA) | Aaa/AAA | 570,000 | 596,106 | |||||
Tucson Water Revenue Series D, 9.75% due 7/1/2008 | Aa3/A+ | 500,000 | 600,110 | |||||
ARKANSAS — 0.59% | ||||||||
Conway Electric Revenue Refunding, 5.00% due 8/1/2007 | A2/NR | 2,000,000 | 2,081,740 | |||||
Jefferson County Hospital Revenue Refunding & Improvement, 5.50% due 6/1/2010 (Regional Medical Center Project) | NR/A | 1,000,000 | 1,080,620 | |||||
Jefferson County Hospital Revenue Refunding & Improvement, 5.50% due 6/1/2011 (Regional Medical Center Project) | NR/A | 1,075,000 | 1,168,589 | |||||
Little Rock Arkansas Capital Improvement, 4.00% due 4/1/2005 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,000,000 | |||||
Little Rock Hotel & Restaurant Gross Receipts Tax Refunding, 7.125% due 8/1/2009 | A3/NR | 2,645,000 | 2,932,247 | |||||
CALIFORNIA — 3.64% | ||||||||
Bay Area Government Association Rapid Transit, 4.875% due 6/15/2009 (Insured: AMBAC) | Aaa/AAA | 2,385,000 | 2,389,722 | |||||
California Health Facilities Financing Authority Revenue Series 83 C, 9.25% due 12/1/2006 (Mercy Health Care Project) (ETM) | Aaa/AAA | 1,600,000 | 1,770,256 | |||||
California Health Facilities Financing Authority Revenue Series B Refunding, 5.25% due 10/1/2013 (Kaiser Permanente Project) (ETM) | A3/AAA | 2,620,000 | 2,809,138 | |||||
California State Department of Water Resources Power Supply Series A, 5.50% due 5/1/2005 | A2/BBB+ | 1,470,000 | 1,473,778 | |||||
California State Department of Water Resources Power Supply Series A, 5.50% due 5/1/2008 | A2/BBB+ | 2,050,000 | 2,190,446 | |||||
California State Department of Water Resources Power Supply Series A, 5.50% due 5/1/2012 | A2/BBB+ | 2,600,000 | 2,863,172 |
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SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
California State Department of Water Resources Power Supply Series A, 6.00% due 5/1/2013 | A2/BBB+ | $ | 2,550,000 | $ | 2,898,636 | |||
California State Public Works Board Lease Revenue Series A, 5.25% due 1/1/2007 (Insured: AMBAC) | Aaa/AAA | 2,000,000 | 2,077,100 | |||||
California Statewide Community Development Authority Revenue Series D, 4.35% due 11/1/2036 put 3/1/2007 (Kaiser Permanente Project) | A3/A-1 | 2,000,000 | 2,036,040 | |||||
California Statewide Community Development Authority Series E, 3.875% due 4/1/2032 put 4/1/2010 (Kaiser Permanente Project) | NR/A | 2,000,000 | 2,000,000 | |||||
Central Valley Financing Authority Revenue, 6.00% due 7/1/2009 (Carson Ice Project) | NR/BBB | 1,870,000 | 1,933,580 | |||||
Fairfield Water Revenue Refunding, 5.25% due 4/1/2012 (Insured: AMBAC) | Aaa/AAA | 3,700,000 | 3,777,145 | |||||
Los Angeles County Capital Asset Leasing Corp. Lease Revenue Series A, 3.00% due 6/1/2005 | A3/A | 1,730,000 | 1,731,782 | |||||
Northern California Power Agency Public Power Revenue Series A, 5.00% due 7/1/2009 (Geothermal Project Number 3) | Baa2/A- | 6,100,000 | 6,107,198 | |||||
Orange County Refunding Recovery, 6.50% due 6/1/2005 (Insured: MBIA) | Aaa/AAA | 5,200,000 | 5,236,556 | |||||
Orange County Sanitation Districts Series B, 2.28% due 8/1/2030 put 4/1/2005 (daily demand notes) | VMIG1/A-1+ | 2,000,000 | 2,000,000 | |||||
Sacramento County Sanitation District Financing Authority Revenue Series A, 5.875% due 12/1/2027 Crossover refunded 12/1/2005 | Aa3/AA | 2,500,000 | 2,577,800 | |||||
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 | 3,000,000 | 3,076,680 | |||||
Torrance Hospital Revenue Series A, 7.10% due 12/1/2015 pre-refunded 12/1/2005 (Little Co. of Mary Hospital Project) | NR/AAA | 1,305,000 | 1,345,494 | |||||
Tri City Hospital District Revenue Refunding Series B, 6.00% due 2/15/2006 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,030,020 | |||||
COLORADO — 3.30% | ||||||||
Adams County Communication Center Series A, 4.75% due 12/1/2006 | Baa1/NR | 1,025,000 | 1,040,980 | |||||
Adams County School District 012 Series A, 4.375% due 12/15/2007 | Aa3/AA- | 1,000,000 | 1,036,810 | |||||
Central Platte Valley Metropolitan District Refunding Series A, 5.00% due 12/1/2031 put 12/1/2009 (LOC: US Bank) | NR/A-1 | 9,360,000 | 9,808,344 | |||||
Colorado Department of Transport Revenue Anticipation Notes, 6.00% due 6/15/2008 (Insured: AMBAC) | Aaa/AAA | 1,500,000 | 1,633,365 | |||||
Colorado Educational & Cultural Facilities, 4.90% due 4/1/2008 (Nashville Public Radio Project) | NR/BBB+ | 1,000,000 | 1,025,940 | |||||
Colorado Health Facilities Authority, 5.00% due 9/1/2007 (Catholic Health Initiatives Project) | Aa2/AA | 5,705,000 | 5,939,932 | |||||
Colorado Health Facilities Authority Series A, 5.375% due 12/1/2009 (Catholic Health Initiatives Project) | Aa2/AA | 515,000 | 546,492 | |||||
Colorado Housing Finance Authority, 5.25% due 10/1/2007 | A1/AA+ | 110,000 | 110,982 | |||||
Colorado Springs Utilities Revenue Systems Subordinated Lien Refunding & Improvement Series A, 5.00% due 11/15/2005 | Aa2/AA | 2,230,000 | 2,264,833 | |||||
Denver City & County COP Series A, 5.50% due 5/1/2006 (Insured: MBIA) | Aaa/AAA | 500,000 | 514,855 | |||||
Denver Convention Center Senior Series A, 5.00% due 12/1/2011 (Insured: XLCA) | Aaa/AAA | 3,335,000 | 3,574,253 | |||||
Dove Valley Metropolitan District Arapahoe County, Series B, 3.30% due 11/1/2025 put 11/1/2005 (LOC: BNP Paribas) | NR/A-1+ | 1,820,000 | 1,828,591 | |||||
El Paso County School District Number 49 Series A, 6.00% due 12/1/2009 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,093,010 | |||||
Highlands Ranch Metro District 2 GO, 6.50% due 6/15/2012 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,170,370 | |||||
Highlands Ranch Metropolitan District 3 Refunding Series B, 5.25% due 12/1/2008 (Insured: ACA) | NR/A | 1,760,000 | 1,853,456 | |||||
Highlands Ranch Metropolitan District 3 Series A, 5.25% due 12/1/2008 (Insured: ACA) | NR/A | 1,520,000 | 1,600,712 | |||||
Lakewood COP, 4.40% due 12/1/2008 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,041,770 | |||||
Metropolitan Football Stadium District Colorado Sales Tax Revenue Capital Appreciation Series A, 0.01% due 1/1/2008 (Insured: MBIA) | Aaa/AAA | 1,025,000 | 937,024 | |||||
Pinery West Metropolitan District 3, 4.70% due 12/1/2021 put 12/1/2007 (LOC: Compass Bank) | NR/A-2 | 970,000 | 991,650 | |||||
Plaza Metropolitan District 1 Revenue, 7.60% due 12/1/2016 (Public Improvement Fee/Tax Increment Project) | NR/NR | 6,000,000 | 6,293,460 |
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SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Regional Transportation District of Colorado Series A, 5.00% due 6/1/2009 (Transit Vehicles Project; Insured: AMBAC) | Aaa/AAA | $ | 1,000,000 | $ | 1,065,750 | |||
Southland Metropolitan District Number 1 unlimited GO, 6.75% due 12/1/2016 | NR/NR | 1,000,000 | 1,092,660 | |||||
CONNECTICUT — 0.45% | ||||||||
Bridgeport GO, 6.00% due 3/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,325,000 | 1,365,002 | |||||
Capitol Region Education Council, 6.375% due 10/15/2005 | NR/BBB | 350,000 | 355,621 | |||||
Connecticut State Health & Education Yale University Series V 2, 2.30% due 7/1/2036 put 4/1/2005 (daily demand notes) | VMIG1/A-1+ | 4,560,000 | 4,560,000 | |||||
DELAWARE — 0.60% | ||||||||
Delaware State Economic Development Authority Revenue, 5.50% due 7/1/2025 put 7/1/2010 (Delmarva Power & Light Project) | Baa1/BBB | 2,045,000 | 2,166,084 | |||||
Delaware State Health Facilities Authority Revenue, 6.25% due 10/1/2006 (ETM) | Aaa/AAA | 2,000,000 | 2,000,000 | |||||
Delaware State Health Facilities Authority Revenue Series A, 5.25% due 6/1/2011 (Beebe Medical Center Project) | Baa1/BBB | 1,275,000 | 1,347,917 | |||||
Delaware State Health Facilities Authority Revenue Series A, 5.25% due 5/1/2012 (Nanticoke Memorial Hospital Project; Insured: Radian) | NR/AA | 1,370,000 | 1,465,955 | |||||
Delaware State Health Facilities Authority Revenue Series A, 5.25% due 5/1/2013 (Nanticoke Memorial Hospital Project; Insured: Radian) | NR/AA | 1,445,000 | 1,534,619 | |||||
DISTRICT OF COLUMBIA — 2.09% | ||||||||
District of Columbia, 5.50% due 6/1/2008 (Insured: AMBAC) | Aaa/AAA | 1,915,000 | 2,051,922 | |||||
District of Columbia COP, 5.00% due 1/1/2008 (Public Safety & Emergency Project; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,049,940 | |||||
District of Columbia COP, 5.25% due 1/1/2013 (Insured: AMBAC) | Aaa/AAA | 5,950,000 | 6,391,847 | |||||
District of Columbia Hospital Revenue, 5.70% due 8/15/2008 (Medlantic Healthcare Project) (ETM) | Aaa/AAA | 4,430,000 | 4,696,199 | |||||
District of Columbia Hospital Revenue Refunding, 5.10% due 8/15/2008 (Medlantic Healthcare Group A Project) (ETM) | Aaa/AAA | 1,500,000 | 1,586,430 | |||||
District of Columbia Revenue, 6.00% due 8/15/2005 (Medlantic Healthcare Project) (ETM) | Aaa/AAA | 1,330,000 | 1,347,702 | |||||
District of Columbia Revenue, 5.50% due 10/1/2005 (Insured: MBIA) | Aaa/AAA | 500,000 | 507,485 | |||||
District of Columbia Revenue, 6.00% due 1/1/2007 (American Assoc. for Advancement of Science Project; Insured: AMBAC) | Aaa/AAA | 500,000 | 525,625 | |||||
District of Columbia Revenue, 6.00% due 1/1/2009 (American Assoc. for Advancement of Science Project; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,094,440 | |||||
District of Columbia Series A, 5.50% due 6/1/2009 (Insured: MBIA) | Aaa/AAA | 4,700,000 | 5,099,782 | |||||
District of Columbia Tax Increment Capital Appreciation, 0% due 7/1/2009 (Mandarin Oriental Project; Insured: FSA) | Aaa/AAA | 2,000,000 | 1,719,320 | |||||
District of Columbia Tax Increment Capital Appreciation, 0% due 7/1/2011 (Mandarin Oriental Project; Insured: FSA) | Aaa/AAA | 1,990,000 | 1,551,742 | |||||
District of Columbia Tax Increment Capital Appreciation, 0% due 7/1/2012 (Mandarin Oriental Project; Insured: FSA) | Aaa/AAA | 1,480,000 | 1,093,380 | |||||
Washington DC Convention Center Authority Dedicated Tax Revenue, 5.00% due 10/1/2006 (Insured: AMBAC) | Aaa/AAA | 750,000 | 774,300 | |||||
FLORIDA — 5.94% | ||||||||
Broward County Resource Recovery Revenue Refunding, 5.375% due 12/1/2009 (Wheelabrator South Project) | A3/AA | 5,000,000 | 5,343,600 | |||||
Capital Projects Finance Authority Student Housing, 5.50% due 10/1/2012 (Capital Projects Student Housing; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,083,570 | |||||
Crossings at Fleming Island Community Development Refunding Series B, 5.45% due 5/1/2010 (Insured: MBIA) | Aaa/AAA | 2,996,000 | 3,206,379 | |||||
Dade County Solid Waste Systems Special Obligation Revenue Refunding, 6.00% due 10/1/2007 (Insured: AMBAC) | Aaa/AAA | 7,000,000 | 7,507,430 |
16 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Escambia County Health Facilities Revenue Baptist Hospital Baptist Manor, 5.125% due 10/1/2014 | A3/BBB+ | $ | 2,755,000 | $ | 2,826,575 | |||
Florida State Refunding, 6.00% due 7/1/2006 (Department of Transportation Right of Way Project) | Aa1/AAA | 1,465,000 | 1,524,333 | |||||
Gulf Breeze Florida Revenue Local Government Series C, 4.00% due 12/1/2015 put 12/1/2007 (Insured: FGIC) | Aaa/AAA | 1,900,000 | 1,927,398 | |||||
Gulf Breeze Florida Revenue Local Government Series E, 4.00% due 12/1/2020 put 12/1/2007 (Insured: FGIC) | Aaa/AAA | 1,170,000 | 1,186,871 | |||||
Hillsborough County Capital Improvement Program Revenue Refunding Junior Lien, 5.00% due 8/1/2008 (Criminal Justice Project; Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,059,690 | |||||
Hillsborough County Industrial Development Authority, 5.10% due 10/1/2013 (Tampa Electric Co. Project) | Baa2/BBB- | 6,000,000 | 6,347,100 | |||||
Jacksonville Electric St. John’s River Park Systems Revenue Refunding Issue-2 17th Series, 5.25% due 10/1/2012 | Aa2/AA- | 5,000,000 | 5,414,000 | |||||
Miami Dade County School Board COP Series A, 5.00% due 5/1/2006 (Insured: MBIA) | Aaa/AAA | 1,910,000 | 1,957,788 | |||||
Miami Dade County School Board COP Series B, 5.50% due 5/1/2031 put 5/1/2011 (Insured: MBIA) | Aaa/AAA | 1,010,000 | 1,099,415 | |||||
Miami Dade County School Board COP Series C, 5.00% due 8/1/2007 (Insured: MBIA) | Aaa/AAA | 3,390,000 | 3,550,923 | |||||
Miami Dade County Special Housing Revenue Refunding, 5.80% due 10/1/2012 (HUD Section 8) | Baa3/NR | 3,700,000 | 3,580,046 | |||||
Orange County Health Facilities Authority, 5.80% due 11/15/2009 (Adventist Health System Project) | A2/A | 1,395,000 | 1,515,751 | |||||
Orange County Health Facilities Authority Revenue Refunding, 6.25% due 11/15/2008 (Adventist Health Systems Project; Insured: AMBAC) | Aaa/AAA | 3,120,000 | 3,247,452 | |||||
Orange County Health Facilities Authority Revenue Unrefunded Balance Series A, 6.25% due 10/1/2007 (Orlando Regional Hospital Project; Insured: MBIA) | Aaa/AAA | 925,000 | 994,810 | |||||
Orange County School Board Series A, 6.00% due 8/1/2008 (Insured: MBIA) | Aaa/NR | 10,000,000 | 10,901,300 | |||||
Palm Beach County Industrial Development Revenue Series 1996, 6.00% due 12/1/2006 (Lourdes-Noreen McKeen Residence Project) (ETM) | NR/A | 940,000 | 986,455 | |||||
Palm Beach County Solid Waste Authority Revenue Refunding Series A, 5.00% due 10/1/2005 | Aa3/AA- | 2,420,000 | 2,447,830 | |||||
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- | 1,000,000 | 1,013,530 | |||||
Pelican Marsh Community Development District Refunding Series A, 5.00% due 5/1/2011 (Insured: Radian) | NR/NR | 3,445,000 | 3,604,125 | |||||
Sarasota County Public Hospital Series A, 2.33% due 7/1/2037 put 4/1/2005 (Sarosota Memorial Hospital Project) (daily demand notes) | VMIG1/NR | 300,000 | 300,000 | |||||
St. John’s County Florida Industrial Development Authority Series A, 5.50% due 8/1/2014 (Presbyterian Retirement Project) | NR/NR | 1,755,000 | 1,865,021 | |||||
Tampa Solid Waste System Revenue Series A, 4.35% due 10/1/2008 (Insured: AMBAC) | Aaa/AAA | 6,045,000 | 6,259,235 | |||||
University Athletic Association Inc. Florida Athletic Program Revenue Refunding, 2.20% due 10/1/2031 put 10/1/2005 (LOC: Suntrust Bank) | Aa3/NR | 3,000,000 | 2,997,240 | |||||
GEORGIA — 1.71% | ||||||||
Floyd County Sales Tax, 3.50% due 1/1/2006 | Aa3/NR | 1,500,000 | 1,510,365 | |||||
Georgia Municipal Association Inc. COP, 5.00% due 12/1/2006 (Atlanta City Court Project; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,036,490 | |||||
Georgia Municipal Electric Power Authority Revenue, 7.00% due 1/1/2008 (Insured: MBIA) | Aaa/AAA | 1,550,000 | 1,708,069 | |||||
Georgia Municipal Electric Power Authority Revenue Series Y, 6.30% due 1/1/2006 | A1/A+ | 730,000 | 749,235 | |||||
Monroe County Development Authority Pollution Control, 6.75% due 1/1/2010 (Oglethorpe Power Scherer A Refunding; Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,287,680 | |||||
Monroe County Development Authority Pollution Control Revenue Oglethorpe Power Scherer A, 6.80% due 1/1/2012 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,181,500 | |||||
Municipal Electric Authority Georgia Subordinated Series B, 5.00% due 1/1/2026 put 1/1/2009 (Project One; Insured: AMBAC) | Aaa/AAA | 14,850,000 | 15,689,916 |
Certified Semi-Annual Report | 17 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
HAWAII — 0.30% | ||||||||
Hawaii State Department of Budget & Finance Special Purpose Hawaiian Electric Co., 4.95% due 4/1/2012 (Insured: MBIA) | Aaa/AAA | $ | 2,000,000 | $ | 2,129,460 | |||
Hawaii State Refunding Series Cb, 5.75% due 1/1/2007 | Aa3/AA- | 1,000,000 | 1,048,590 | |||||
Honolulu City & County Refunding Series A, 7.35% due 7/1/2006 | Aa2/AA- | 1,000,000 | 1,055,700 | |||||
ILLINOIS — 11.40% | ||||||||
Champaign County Community Unit Series C, 0% due 1/1/2009 (Insured: FGIC) | Aaa/AAA | 3,345,000 | 2,931,491 | |||||
Chicago Board of Education, 6.00% due 12/1/2009 (Insured: FGIC) | Aaa/AAA | 2,000,000 | 2,225,920 | |||||
Chicago Board of Education School Reform, 6.25% due 12/1/2012 (Insured: MBIA) | Aaa/AAA | 750,000 | 868,905 | |||||
Chicago Housing Authority Capital Program Revenue, 5.00% due 7/1/2007 | Aa3/AA | 1,000,000 | 1,037,400 | |||||
Chicago Housing Authority Capital Program Revenue, 5.25% due 7/1/2010 | Aa3/AA | 2,300,000 | 2,460,632 | |||||
Chicago Metropolitan Water Reclamation District, 6.90% due 1/1/2007 | Aaa/AA+ | 2,300,000 | 2,417,369 | |||||
Chicago Midway Airport Revenue Series A, 5.40% due 1/1/2009 (Insured: MBIA) | Aaa/AAA | 1,340,000 | 1,399,590 | |||||
Chicago Midway Airport Revenue Series C, 5.50% due 1/1/2013 (Insured: MBIA) | Aaa/AAA | 1,180,000 | 1,299,357 | |||||
Chicago O’Hare International Airport Revenue, 5.375% due 1/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,037,370 | |||||
Chicago O’Hare International Airport Revenue, 5.00% due 1/1/2012 (Insured: MBIA) | Aaa/AAA | 1,105,000 | 1,185,952 | |||||
Chicago O’Hare International Airport Revenue 2nd Lien Series C-1, 5.00% due 1/1/2010 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,066,420 | |||||
Chicago O’Hare International Airport Revenue Refunding Series A, 4.90% due 1/1/2006 (Insured: MBIA) | Aaa/AAA | 675,000 | 682,938 | |||||
Chicago O’Hare International Airport Revenue Series C-1, 5.00% due 1/1/2008 (Insured: MBIA) | Aaa/AAA | 6,000,000 | 6,296,400 | |||||
Chicago Park District, 6.60% due 11/15/2014 partially pre-refunded 5/15/2005 | Aa3/AA | 11,900,000 | 12,196,667 | |||||
Chicago Park District Parking Facility Revenue, 5.75% due 1/1/2010 (ETM) | Baa1/A | 1,000,000 | 1,104,060 | |||||
Chicago Public Commerce Building Revenue Series C, 5.50% due 2/1/2006 (Insured: FGIC) | Aaa/AAA | 2,000,000 | 2,047,120 | |||||
Chicago Refunding Series A, 5.375% due 1/1/2013 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,173,600 | |||||
Chicago Refunding Series A-2, 6.125% due 1/1/2012 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,141,050 | |||||
Chicago Tax Increment Allocation Central Series A, 0% due 12/1/2005 (Insured: AMBAC) | Aaa/AAA | 5,000,000 | 4,915,600 | |||||
Chicago Water Revenue, 6.50% due 11/1/2011 (Insured: FGIC) | Aaa/AAA | 1,810,000 | 2,102,044 | |||||
Cook & Will Counties Township High School District 206 Series C, 0% due 12/1/2005 (Insured: FSA) | Aaa/AAA | 2,545,000 | 2,502,040 | |||||
Cook County Capital Improvement, 5.50% due 11/15/2008 pre-refunded 11/15/2006 | Aaa/AAA | 995,000 | 1,048,262 | |||||
Cook County Community School District 97 Series B, 9.00% due 12/1/2013 (Insured: FGIC) | Aaa/NR | 2,250,000 | 3,072,263 | |||||
Du Page County Forest Preservation District, 0% due 11/1/2009 | Aaa/AAA | 5,000,000 | 4,249,500 | |||||
Glenview Multi Family Revenue Refunding, 5.20% due 12/1/2027 put 12/1/2007 (Collateralized: FNMA) | NR/AAA | 1,500,000 | 1,542,525 | |||||
Hoffman Estates Illinois Tax Increment Revenue, 0% due 5/15/2005 (Hoffman Estates Economic Dev. Project; Guaranty: Sears) | Baa2/NR | 1,065,000 | 1,059,995 | |||||
Hoffman Estates Illinois Tax Increment Revenue, 0% due 5/15/2006 (Hoffman Estates Economic Dev. Project; Guaranty: Sears) | Baa2/NR | 3,075,000 | 2,944,589 | |||||
Hoffman Estates Illinois Tax Increment Revenue Junior Lien, 0% due 5/15/2007 | Baa2/NR | 1,500,000 | 1,377,930 | |||||
Hoffman Estates Illinois Tax Increment Revenue Refunding, 5.25% due 11/15/2009 (Economic Development Project; Insured: AMBAC) | Aaa/AAA | 5,100,000 | 5,111,628 | |||||
Illinois Department Central Management Services COP, 5.85% due 7/1/2009 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,045,440 | |||||
Illinois Development Finance Authority Pollution Control Revenue Refunding, 5.70% due 1/15/2009 (Commonwealth Edison Co. Project; Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,240,420 | |||||
Illinois Development Finance Authority Pollution Series A, 7.375% due 7/1/2021 pre-refunded 7/1/2006 (Illinois Power Co. Project) | Baa3/NR | 5,000,000 | 5,369,850 | |||||
Illinois Development Finance Authority Revenue, 4.00% due 11/15/2005 (Insured: XLCA) | Aaa/AAA | 860,000 | 867,551 | |||||
Illinois Development Finance Authority Revenue, 6.00% due 11/15/2009 (Adventist Health Project; Insured: MBIA) | Aaa/AAA | 3,635,000 | 3,980,580 | |||||
Illinois Development Finance Authority Revenue, 6.00% due 11/15/2010 (Adventist Health Project; Insured: MBIA) | Aaa/AAA | 3,860,000 | 4,273,715 |
18 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Illinois Development Finance Authority Revenue, 5.25% due 2/15/2011 (Insured: AMBAC) | NR/AAA | $ | 785,000 | $ | 806,713 | |||
Illinois Development Finance Authority Revenue Community Rehab Providers A, 5.00% due 7/1/2006 | NR/BBB | 1,255,000 | 1,266,257 | |||||
Illinois Development Finance Authority Revenue Provena Health Series A, 5.50% due 5/15/2011 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,068,550 | |||||
Illinois Development Finance Authority Revenue Refunding Community Rehab Providers A, 5.60% due 7/1/2005 | NR/BBB | 1,000,000 | 1,003,800 | |||||
Illinois Development Finance Authority Revenue Refunding Community Rehab Providers A, 5.60% due 7/1/2006 | NR/BBB | 1,000,000 | 1,018,760 | |||||
Illinois Development Finance Authority Revenue Refunding Community Rehab Providers Series A, 6.00% due 7/1/2015 | NR/BBB | 4,500,000 | 4,647,600 | |||||
Illinois Development Finance Authority Revenue Series A, 5.75% due 5/15/2014 (Provena Health Project; Insured: MBIA) | Aaa/AAA | 6,035,000 | 6,492,936 | |||||
Illinois Educational Facilities Authority Revenues, 6.375% due 10/1/2015 pre-refunded 10/1/2005 (Mercy Center Project) | Baa2/NR | 1,000,000 | 1,038,940 | |||||
Illinois Health Facilities Authority Revenue, 5.50% due 11/15/2007 (OSF Healthcare System Project) | A2/A | 915,000 | 961,436 | |||||
Illinois Health Facilities Authority Revenue, 6.50% due 2/15/2008 (Iowa Health System Project) | A1/NR | 1,290,000 | 1,387,859 | |||||
Illinois Health Facilities Authority Revenue, 6.50% due 2/15/2009 (Iowa Health System Project) | A1/NR | 1,375,000 | 1,502,256 | |||||
Illinois Health Facilities Authority Revenue, 6.50% due 2/15/2010 (Iowa Health System Project) | A1/NR | 1,465,000 | 1,623,410 | |||||
Illinois Health Facilities Authority Revenue, 6.00% due 2/15/2011 (Iowa Health System Project; Insured: AMBAC) | Aaa/AAA | 1,560,000 | 1,726,452 | |||||
Illinois Health Facilities Authority Revenue Refunding, 4.00% due 8/15/2005 (University of Chicago Hospital & Health Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,005,720 | |||||
Illinois Health Facilities Authority Revenue Refunding, 5.00% due 8/15/2007 (University of Chicago Hospital & Health Project; Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,565,550 | |||||
Illinois Health Facilities Authority Revenue Refunding, 5.00% due 8/15/2008 (University of Chicago Hospital & Health Project; Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,581,915 | |||||
Illinois Health Facilities Authority Revenue Refunding, 5.50% due 11/15/2011 (Methodist Medical Center Project; Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,226,140 | |||||
Illinois Health Facilities Authority Revenue University of Chicago, 5.00% due 8/15/2009 (Hospital Systems Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,061,120 | |||||
Illinois Hospital District, 5.50% due 1/1/2010 (Insured: FGIC) | Aaa/AAA | 1,040,000 | 1,127,870 | |||||
Illinois State COP Central Management Department, 5.00% due 7/1/2007 (Insured: AMBAC) | Aaa/AAA | 500,000 | 521,910 | |||||
Illinois State Partners Series A, 6.00% due 7/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,039,490 | |||||
Kane County School District Number 129 Aurora West Side Refunding, 5.50% due 2/1/2012 (Insured: FGIC) | Aaa/NR | 1,200,000 | 1,271,892 | |||||
Lake County Community Consolidated School District 73, 9.00% due 1/1/2006 (Insured: FSA) | Aaa/NR | 1,000,000 | 1,046,010 | |||||
Lake County Community High School District 117 Series B, 0% due 12/1/2006 (Insured: FGIC) | Aaa/NR | 2,000,000 | 1,904,420 | |||||
Lake County Community High School District 117 Series B, 0% due 12/1/2011 (Insured: FGIC) | Aaa/NR | 3,235,000 | 2,472,478 | |||||
Lake County Consolidated High School Refunding, 3.25% due 12/1/2005 | NR/AA- | 2,990,000 | 3,003,874 | |||||
McHenry & Kane Counties Community Consolidated School District 158, 0% due 1/1/2010 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 836,660 | |||||
Mclean & Woodford Counties School District GO, 7.375% due 12/1/2010 (Insured: FSA) | Aaa/NR | 1,500,000 | 1,791,465 | |||||
Metropolitan Pier & Exposition Authority Dedicated State Tax Revenue Refunding Series A-2002, 6.00% due 6/15/2007 (McCormick Place Exposition Project; Insured: AMBAC) | Aaa/AAA | 1,250,000 | 1,323,688 | |||||
Metropolitan Pier & Exposition Authority Dedicated State Tax Revenue Refunding Series A-2002, 6.00% due 6/15/2007 pre-refunded 6/15/2006 (McCormick Place Exposition Project) | Aaa/AAA | 3,750,000 | 3,956,475 | |||||
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/AA- | 2,445,000 | 2,498,325 | |||||
Peoria Public Building Commission School District Facilities Revenue, 0% due 12/1/2007 (Insured: FGIC) | Aaa/NR | 1,100,000 | 1,010,790 | |||||
University II COP Series A, 5.00% due 8/15/2019 pre-refunded 8/15/2011 (Utility Infrastructure Project) | Aaa/AAA | 5,235,000 | 5,647,256 |
Certified Semi-Annual Report | 19 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
University of Illinois Revenues, 0% due 10/1/2006 (Insured: MBIA) | Aaa/AAA | $ | 6,300,000 | $ | 6,035,463 | |||
INDIANA — 6.49% | ||||||||
Allen County Economic Development Revenue, 5.00% due 12/30/2012 (Indiana Institute of Technology Project) | NR/NR | 1,370,000 | 1,417,032 | |||||
Allen County Economic Development Revenue First Mortgage, 5.20% due 12/30/2005 (Indiana Institute of Technology Project) | NR/NR | 965,000 | 980,729 | |||||
Allen County Economic Development Revenue First Mortgage, 5.30% due 12/30/2006 (Indiana Institute of Technology Project) | NR/NR | 690,000 | 712,411 | |||||
Allen County Economic Development Revenue First Mortgage, 5.60% due 12/30/2009 (Indiana Institute of Technology Project) | NR/NR | 1,110,000 | 1,177,000 | |||||
Allen County Jail Building Corp. First Mortgage, 5.75% due 10/1/2010 | Aa3/NR | 1,115,000 | 1,237,762 | |||||
Allen County Jail Building Corp. GO, 5.00% due 10/1/2011 (Insured: XLCA) | Aaa/NR | 2,390,000 | 2,557,372 | |||||
Allen County Jail Building Corp. GO, 5.00% due 10/1/2012 (Insured: XLCA) | Aaa/NR | 1,275,000 | 1,365,015 | |||||
Allen County Jail Building Corp. GO, 5.00% due 10/1/2014 (Insured: XLCA) | Aaa/NR | 1,000,000 | 1,071,040 | |||||
Allen County Jail Building Corp. GO, 5.00% due 10/1/2015 (Insured: XLCA) | Aaa/NR | 1,480,000 | 1,581,646 | |||||
Allen County Jail Building Corp. GO, 5.00% due 10/1/2016 (Insured: XLCA) | Aaa/NR | 1,520,000 | 1,622,098 | |||||
Ball State University Revenues Student Fee Series K, 5.75% due 7/1/2012 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,116,340 | |||||
Boone County Hospital Association Lease Revenue, 5.00% due 1/15/2007 (ETM) | Aaa/AAA | 1,085,000 | 1,124,678 | |||||
Boonville Junior High School Building Corp. Revenue, 0% due 7/1/2010 (State Aid Withholding) | NR/A | 850,000 | 678,113 | |||||
Boonville Junior High School Building Corp. Revenue, 0% due 1/1/2011 (State Aid Withholding) | NR/A | 850,000 | 658,096 | |||||
Boonville Junior High School Building Corp. Revenue Refunding, 0% due 7/1/2011 (State Aid Withholding) | NR/A | 950,000 | 717,583 | |||||
Brownsburg 1999 School Building, 5.00% due 2/1/2011 (Insured: FSA) | NR/AAA | 1,720,000 | 1,846,540 | |||||
Brownsburg 1999 School Building, 5.00% due 8/1/2011 (Insured: FSA) | NR/AAA | 1,835,000 | 1,974,075 | |||||
Brownsburg 1999 School Building, 5.25% due 2/1/2012 (Insured: FSA) | NR/AAA | 1,880,000 | 2,021,696 | |||||
Brownsburg 1999 School Building, 5.25% due 8/1/2012 (Insured: FSA) | NR/AAA | 1,755,000 | 1,889,995 | |||||
Center Grove 2000 Building First Mortgage, 5.00% due 7/15/2009 (Insured: AMBAC) | Aaa/AAA | 1,175,000 | 1,252,961 | |||||
Center Grove 2000 Building First Mortgage, 5.00% due 7/15/2010 (Insured: AMBAC) | Aaa/AAA | 1,135,000 | 1,218,025 | |||||
Dekalb County Redevelopment Authority Lease Rental Revenue Refunding, 5.00% due 1/15/2011 (Mini Mill Local Public Improvement Project; Insured: XLCA) | Aaa/AAA | 1,015,000 | 1,081,777 | |||||
Dekalb County Redevelopment Authority Lease Rental Revenue Refunding, 5.00% due 1/15/2012 (Mini Mill Local Public Improvement Project; Insured: XLCA) | Aaa/AAA | 1,000,000 | 1,066,600 | |||||
Dekalb County Redevelopment Authority Lease Rental Revenue Refunding, 5.25% due 1/15/2013 (Mini Mill Local Public Improvement Project; Insured: XLCA) | Aaa/AAA | 1,000,000 | 1,081,070 | |||||
Dekalb County Redevelopment Authority Lease Rental Revenue Refunding, 5.25% due 1/15/2014 (Mini Mill Local Public Improvement Project; Insured: XLCA) | Aaa/AAA | 1,000,000 | 1,074,950 | |||||
Eagle Union Middle School Building Corp., 5.50% due 7/15/2009 (ETM) | Aaa/AAA | 910,000 | 991,873 | |||||
Elberfeld J. H. Castle School Building Corp. Indiana First Mortgage, 0% due 1/15/2006 (State Aid Withholding) | NR/A | 1,860,000 | 1,813,407 | |||||
Elberfeld J. H. Castle School Building Corp. Indiana First Mortgage Refunding, 0% due 7/5/2008 (Insured: MBIA) | NR/AAA | 1,860,000 | 1,669,443 | |||||
Evansville Vanderburgh Refunding, 5.00% due 7/15/2014 (Insured: AMBAC) | NR/AAA | 1,000,000 | 1,076,730 | |||||
Evansville Vanderburgh Refunding, 5.00% due 7/15/2015 (Insured: AMBAC) | NR/AAA | 1,000,000 | 1,074,780 | |||||
Evansville Vanderburgh School Building Corp. First Mortgage, 5.00% due 1/15/2008 (Insured: FSA) | Aaa/AAA | 965,000 | 1,013,182 | |||||
Goshen Multi School Building Corp. 1st Mortgage, 5.20% due 7/15/2007 (Insured: MBIA) | Aaa/AAA | 965,000 | 1,012,603 | |||||
Hammond Multi-School Building Corp. First Mortgage Refunding Bond Series 1997, 6.00% due 7/15/2008 (Lake County Project; State Aid Withholding) | NR/A | 2,305,000 | 2,446,297 | |||||
Huntington Economic Development Revenue, 6.00% due 11/1/2006 (United Methodist Membership Project) | NR/NR | 390,000 | 403,007 | |||||
Huntington Economic Development Revenue, 6.15% due 11/1/2008 (United Methodist Membership Project) | NR/NR | 700,000 | 743,939 | |||||
Huntington Economic Development Revenue, 6.20% due 11/1/2010 (United Methodist Membership Project) | NR/NR | 790,000 | 829,579 |
20 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Indiana Health Facility Financing Authority Hospital Revenue, 5.75% due 11/1/2005 (Daughters of Charity Project) (ETM) | Aaa/AA+ | $ | 85,000 | $ | 86,372 | |||
Indiana Health Facility Financing Authority Hospital Revenue Series D, 5.00% due 11/1/2026 pre-refunded 11/1/2007 | Aaa/NR | 1,230,000 | 1,284,809 | |||||
Indiana Municipal Power Supply Systems Revenue Refunding Series B, 5.80% due 1/1/2008 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,071,960 | |||||
Indiana State Educational Facilities Authority Revenue, 5.75% due 10/1/2009 (University of Indianapolis Project) | NR/A- | 670,000 | 722,139 | |||||
Indiana University Revenues Refunding, 0% due 8/1/2007 (Insured: AMBAC) | Aaa/AAA | 2,500,000 | 2,325,250 | |||||
Indianapolis Airport Authority Revenue Refunding Series A, 5.35% due 7/1/2007 (Insured: FGIC) | Aaa/AAA | 1,100,000 | 1,152,481 | |||||
Indianapolis Local Public Improvement Bond Bank Transportation Revenue, 0% due 7/1/2005 (ETM) | Aa2/AA- | 1,220,000 | 1,212,814 | |||||
Indianapolis Local Public Improvement Bond Bank Transportation Revenue, 0% due 7/1/2006 (ETM) | Aa2/NR | 1,240,000 | 1,200,010 | |||||
Indianapolis Resource Recovery Revenue Refunding, 6.75% due 12/1/2006 (Ogden Martin Systems, Inc. Project; Insured: AMBAC) | Aaa/AAA | 2,000,000 | 2,114,320 | |||||
Knox Middle School Building Corp. First Mortgage, 6.00% due 7/15/2008 (Insured: FGIC) | Aaa/AAA | 855,000 | 930,437 | |||||
Knox Middle School Building Corp. First Mortgage, 6.00% due 7/15/2009 (Insured: FGIC) | Aaa/AAA | 455,000 | 502,848 | |||||
Madison Schools Lydia Middleton Building Corp., 5.00% due 7/15/2014 (Insured: FGIC) | NR/AAA | 1,200,000 | 1,289,184 | |||||
Madison Schools Lydia Middleton Building Corp., 5.00% due 7/15/2015 (Insured: FGIC) | NR/AAA | 1,250,000 | 1,340,225 | |||||
Merrillville Multi School Building Corp. Refunding First Mortgage, 6.55% due 7/1/2005 (Insured: MBIA) | Aaa/AAA | 470,000 | 474,836 | |||||
Monroe County Community School Building Corp. Revenue Refunding, 5.00% due 1/15/2007 (Insured: AMBAC) | Aaa/AAA | 625,000 | 646,106 | |||||
North Adams Community Schools, 4.00% due 7/15/2005 (Insured: FSA) | Aaa/AAA | 475,000 | 477,223 | |||||
North Central Campus School Building Corp. Indiana, 4.50% due 7/10/2005 (Insured: AMBAC) | Aaa/AAA | 1,070,000 | 1,076,334 | |||||
Northwest Allen Building Corp. First Mortgage, 5.30% due 12/1/2005 (Insured: MBIA) | Aaa/AAA | 684,000 | 696,421 | |||||
Northwestern School Building Corp., 5.00% due 7/15/2011 | NR/AA | 1,240,000 | 1,320,761 | |||||
Perry Township Multi School Building Refunding, 5.00% due 1/10/2013 (Insured: FSA) | Aaa/NR | 1,225,000 | 1,313,531 | |||||
Perry Township Multi School Building Refunding, 5.25% due 1/15/2013 (Insured: MBIA) | NR/AAA | 1,235,000 | 1,349,200 | |||||
Perry Township Multi School Building Refunding, 5.00% due 7/10/2013 (Insured: FSA) | Aaa/NR | 2,025,000 | 2,173,433 | |||||
Perry Township Multi School Building Refunding, 5.25% due 7/15/2013 (Insured: MBIA) | NR/AAA | 1,305,000 | 1,428,388 | |||||
Perry Township Multi School Building Refunding, 5.25% due 1/15/2014 (Insured: MBIA) | NR/AAA | 1,335,000 | 1,461,491 | |||||
Perry Township Multi School Building Refunding, 5.00% due 7/10/2014 (Insured: FSA) | Aaa/NR | 2,130,000 | 2,288,280 | |||||
Peru Community School Corp. Refunding First Mortgage, 0% due 7/1/2010 (State Aid Withholding) | NR/A | 835,000 | 666,146 | |||||
Plymouth Multi School Building Corp. Refunding, 5.50% due 7/1/2005 (Plymouth Community School Project; Insured: MBIA) | Aaa/AAA | 835,000 | 841,580 | |||||
Rockport Pollution Control Revenue Series C, 2.625% due 4/1/2025 put 10/1/2006 (Indiana Michigan Power Co. Project) | Baa2/BBB | 4,000,000 | 3,956,880 | |||||
Vigo County Elementary School Building Corp. Refunding & Improvement First Mortgage, 4.00% due 1/10/2008 (Insured: FSA) | Aaa/AAA | 1,635,000 | 1,674,518 | |||||
Warren Township Vision 2005 School Building Corp., 3.00% due 1/10/2006 (Insured: FGIC) | Aaa/AAA | 595,000 | 596,761 | |||||
Wawasee Community School Corp. First Mortgage, 5.50% due 7/15/2010 (State Aid Withholding) | NR/AA- | 995,000 | 1,085,595 | |||||
Wawasee Community School Corp. First Mortgage, 5.50% due 7/15/2011 (State Aid Withholding) | NR/AA- | 1,095,000 | 1,201,149 | |||||
West Clark School Building Corp. First Mortgage, 5.75% due 7/15/2011 (Insured: FGIC) | Aaa/AAA | 2,080,000 | 2,324,088 | |||||
Westfield Elementary School Building Corp. First Mortgage Series 1997, 6.80% due 7/15/2007 (ETM) | Aaa/AAA | 1,820,000 | 1,914,968 | |||||
Whitko Indiana Middle School Building Corp. Refunding, 5.35% due 7/15/2007 (Insured: FSA) | Aaa/AAA | 1,615,000 | 1,669,458 | |||||
IOWA — 2.00% | ||||||||
Ankeny Community School District Sales & Services Tax Revenue, 5.00% due 7/1/2010 | NR/A+ | 2,900,000 | 3,066,895 | |||||
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 | $ | 3,355,000 | $ | 3,358,925 |
Certified Semi-Annual Report | 21 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||
Iowa Finance Authority Commercial Development Revenue Refunding, 5.75% due 4/1/2014 put 4/1/2010 (Governor Square Project; Insured:AXA) | NR/AA- | 6,650,000 | 6,972,059 | |||
Iowa Finance Authority Hospital Facility Revenue, 6.50% due 2/15/2007 (Iowa Health Services Project) | A1/NR | 435,000 | 458,751 | |||
Iowa Finance Authority Hospital Facility Revenue, 6.50% due 2/15/2009 (Iowa Health Services Project) | A1/NR | 1,825,000 | 1,995,273 | |||
Iowa Finance Authority Hospital Facility Revenue, 6.50% due 2/15/2010 (Iowa Health Services Project) | A1/NR | 1,955,000 | 2,168,212 | |||
Iowa Finance Authority Hospital Facility Revenue, 6.00% due 2/15/2011 (Iowa Health Services Project; Insured: AMBAC) | Aaa/AAA | 3,145,000 | 3,485,006 | |||
Iowa Finance Authority Revenue Trinity Health Series B, 5.75% due 12/1/2007 | Aa3/AA- | 1,430,000 | 1,518,546 | |||
Iowa Finance Authority Revenue Trinity Health Series B, 5.75% due 12/1/2010 | Aa3/AA- | 3,295,000 | 3,608,486 | |||
Iowa University of Science & Technology Revenue Refunding Series B, 5.20% due 7/1/2005 (Academic Building Project) | Aa3/A+ | 1,170,000 | 1,178,588 | |||
University of Iowa Facilities Corp. Revenue Series A, 4.875% due 6/1/2005 | NR/AA- | 390,000 | 391,716 | |||
KANSAS — 0.12% | ||||||
Dodge Unified School District 443 Ford County, 8.25% due 9/1/2006 (Insured: FSA) | Aaa/AAA | 500,000 | 537,390 | |||
Wichita Water & Sewer Utility Revenue, 5.50% due 10/1/2011 (Insured: FGIC) | Aaa/AAA | 1,160,000 | 1,214,543 | |||
KENTUCKY — 1.38% | ||||||
Campbell & Kenton Counties Sanitation District 1 Revenue, 6.50% due 8/1/2005 (ETM) | Aaa/AAA | 145,000 | 147,002 | |||
Kentucky Economic Development Finance Authority Refunding & Improvement Series A, 5.00% due 2/1/2009 (Ashland Hospital Project; Insured: FSA) | Aaa/AAA | 1,580,000 | 1,675,084 | |||
Kentucky Economic Development Finance Authority Refunding & Improvement Series A, 5.00% due 2/1/2010 (Ashland Hospital Project; Insured: FSA) | Aaa/AAA | 1,000,000 | 1,064,790 | |||
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 | 7,400,000 | 7,774,070 | |||
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 | 7,830,000 | 8,307,708 | |||
Kentucky State Turnpike Authority Resources Recovery Revenue, 0% due 7/1/2006 (Insured: FGIC) | Aaa/AAA | 390,000 | 370,013 | |||
Louisville Water Revenue Refunding, 6.00% due 11/15/2006 (ETM) | Aaa/AAA | 150,000 | 157,226 | |||
LOUISIANA — 2.89% | ||||||
East Baton Rouge Pollution Control Revenue, 2.19% due 11/1/2019 put 4/1/2005 | ||||||
(Exxon Project) (daily demand notes) | P1/A-1+ | 4,000,000 | 4,000,000 | |||
Jefferson Parish Hospital District 2, 5.25% due 12/1/2015 crossover-refunded 12/1/2005 (Insured: FGIC) | Aaa/AAA | 4,125,000 | 4,190,876 | |||
Jefferson Sales Tax District Special Sales Tax Revenue Refunding, 5.25% due 12/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,440,000 | 1,498,133 | |||
Jefferson Sales Tax District Special Sales Tax Revenue Refunding, 5.25% due 12/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,515,000 | 1,603,794 | |||
Louisiana Local Govt. Environmental Facilities & Community Dev. Auth. Multi Family Revenue Series A, 5.00% due 9/1/2012 (Bellemont Apartments Project) | Baa1/NR | 1,000,000 | 1,005,500 | |||
Louisiana PFA Revenue, 5.375% due 12/1/2008 (Wynhoven Health Care Center Project; Guaranty: Archdiocese of New Orleans) | NR/NR | 1,850,000 | 1,912,808 | |||
Louisiana Public Facilities Authority Revenue, 5.75% due 10/1/2008 (Loyola University Project) | A1/A+ | 1,000,000 | 1,080,360 | |||
Louisiana Public Facilities Authority Revenue Refunding, 5.50% due 10/1/2006 (Loyola University Project) | A1/A+ | 1,280,000 | 1,329,075 | |||
Louisiana State Correctional Facility Lease, 5.00% due 12/15/2008 (Insured: Radian) | NR/AA | 7,135,000 | 7,507,090 | |||
Louisiana State Offshore Terminal Authority Deepwater Port Revenue, 4.375% due 10/1/2020 put 6/1/2007 (Loop LLC Project) | A3/A | 2,350,000 | 2,397,376 |
22 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Louisiana State Offshore Terminal Refunding Series D, 4.00% due 9/1/2023 put 9/1/2008 (Loop LLC Project) | A3/A | $ | 5,000,000 | $ | 5,044,900 | |||
New Orleans Parish School Board, 0% due 2/1/2008 (ETM) | NR/AAA | 6,050,000 | 5,151,757 | |||||
New Orleans Refunding, 0% due 9/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 960,920 | |||||
St. Charles Parish Pollution Control Revenue Variable Refunding Series A, 4.90% due 6/1/2030 put 6/1/2005 (Entergy Louisiana Inc. Project) | Baa3/BBB- | 3,000,000 | 3,009,090 | |||||
MAINE — 0.07% | ||||||||
Regional Waste Systems Inc. Solid Waste Resources Recovery Revenue Series P, 6.25% due 7/1/2010 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,029,150 | |||||
MARYLAND — 0.60% | ||||||||
Baltimore Maryland, 7.00% due 10/15/2009 (Insured: MBIA) | Aaa/AAA | 580,000 | 669,419 | |||||
Howard County Retirement Community Revenue Series A, 7.25% due 5/15/2015 pre-refunded 5/15/2010 | NR/AAA | 1,000,000 | 1,183,940 | |||||
Howard County Retirement Community Revenue Series A, 7.875% due 5/15/2021 pre-refunded 5/15/2010 | NR/AAA | 2,500,000 | 3,028,675 | |||||
Maryland State Health High Educational Facilities Refunding, 6.00% due 7/1/2009 (John Hopkins University Project) | Aa2/AA | 3,230,000 | 3,583,814 | |||||
MASSACHUSETTS — 2.09% | ||||||||
Boston Economic Development & Industrial Corp., 5.15% due 7/1/2025 put 7/1/2005 (LOC: Fleet National Bank) | Aa1/NR | 2,000,000 | 2,013,360 | |||||
Massachusetts Development Finance Agency Resource Recovery Revenue Series A, 5.50% due 1/1/2011 (Insured: MBIA) | Aaa/AAA | 3,470,000 | 3,788,754 | |||||
Massachusetts Industrial Finance Agency Revenue, 8.375% due 2/15/2018 pre-refunded 2/15/2006 (Glenmeadow Retirement Project) | NR/NR | 1,000,000 | 1,064,840 | |||||
Massachusetts Municipal Wholesale Electric Co. Power Supply Systems Revenue, 5.00% due 7/1/2005 (Stony Brook Intermediate Project A; Insured: MBIA) | Aaa/AAA | 900,000 | 905,904 | |||||
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 | 1,000,000 | 1,006,560 | |||||
Massachusetts State Federal Highway Grant Anticipation Notes Series A, 5.25% due 6/15/2009 | Aa3/NR | 2,000,000 | 2,149,180 | |||||
Massachusetts State Health & Educational Series H, 5.375% due 5/15/2012 (New England Medical Center Hospital Project; Insured: FGIC) | Aaa/AAA | 3,415,000 | 3,726,106 | |||||
Massachusetts State Industrial Finance Agency, 5.90% due 7/1/2027 pre-refunded 7/1/2007 (Dana Hall School Project) | Baa2/BBB | 1,220,000 | 1,317,222 | |||||
Massachusetts State Industrial Finance Agency Capital Appreciation Biomedical A, 0% due 8/1/2010 | Aa3/A+ | 10,000,000 | 8,088,700 | |||||
Massachusetts State Refunding GO Series A, 6.00% due 11/1/2008 | Aaa/AA | 1,000,000 | 1,094,510 | |||||
Massachusetts State Refunding Series A, 5.375% due 8/1/2008 | Aa2/AA | 1,000,000 | 1,069,610 | |||||
Massachusetts State Refunding Series A, 5.50% due 1/1/2010 | Aa2/AA | 1,500,000 | 1,634,265 | |||||
Taunton GO, 8.00% due 2/1/2006 (Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,566,030 | |||||
MICHIGAN — 2.48% | ||||||||
Dearborn Economic Development Corp. Oakwood Obligation Group Series A, 5.75% due 11/15/2015 (Insured: FGIC) | Aaa/AAA | 2,450,000 | 2,538,788 | |||||
Detroit Convention Facility, 5.25% due 9/30/2007 | NR/A | 1,000,000 | 1,044,490 | |||||
Detroit Michigan Series A, 6.00% due 4/1/2007 (ETM) | Aaa/AAA | 1,405,000 | 1,488,766 | |||||
Dickinson County Healthcare Systems Hospital Revenue Refunding, 5.50% due 11/1/2013 (Insured: ACA) | NR/A | 2,500,000 | 2,655,875 | |||||
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 | 1,670,000 | 1,712,451 | |||||
Kalamazoo Hospital Finance Authority Facility Revenue, 5.50% due 5/15/2005 (Bronson Methodist Hospital Project; Insured: MBIA) | Aaa/NR | $ | 1,000,000 | $ | 1,003,840 |
Certified Semi-Annual Report | 23 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||
Lansing Building Authority, 6.00% due 6/1/2005 (ETM) | Aaa/AAA | 1,000,000 | 1,006,080 | |||
Michigan Hospital Finance Authority Revenue, 5.375% due 7/1/2012 (Insured: FSA) | Aaa/AAA | 2,000,000 | 2,053,040 | |||
Michigan Hospital Finance Authority Revenue Series A, 5.375% due 11/15/2033 put 11/15/2007 (Ascension Health Project) | Aa2/A-1+ | 10,000,000 | 10,535,600 | |||
Michigan State Building Authority Revenue Refunding Facilities Program Series I, 5.00% due 4/15/2005 | Aa3/AA | 1,500,000 | 1,501,605 | |||
Michigan State Building Authority Revenue Refunding Facilities Program Series I, 5.00% due 10/15/2008 (Insured: FSA) | Aaa/AAA | 4,000,000 | 4,249,640 | |||
Michigan State Job Development Authority Pollution Control Revenue, 5.55% due 4/1/2009 (General Motors Corp. Project; Guaranty: GM) | Baa2/BBB- | 1,075,000 | 1,077,688 | |||
Michigan State Strategic Fund Refunding Detroit Educational, 4.85% due 9/1/2030 put 9/1/2011 (Insured: AMBAC) | Aaa/NR | 1,000,000 | 1,047,080 | |||
Missouri State Health & Educational Facilities Authority Revenue Series A, 5.00% due 6/1/2011 | NR/AA- | 1,000,000 | 1,061,580 | |||
Oakland County Economic Development Corp. Limited, 5.50% due 6/1/2014 pre-refunded 6/1/2007 | A1/NR | 1,000,000 | 1,072,310 | |||
Oxford Area Community School District, 5.00% due 5/1/2012 (Guaranty: School Bond Loan Fund) | Aa2/AA+ | 800,000 | 857,688 | |||
MINNESOTA — 0.86% | ||||||
Minneapolis Refunding Series B, 5.15% due 3/1/2009 | Aa1/AAA | 5,000,000 | 5,054,500 | |||
Minneapolis St. Paul Health Care Systems, 5.25% due 12/1/2012 (Healthpartners Obligation Group Project) | Baa1/BBB+ | 1,000,000 | 1,065,800 | |||
Minneapolis St. Paul Health Care Systems, 5.25% due 12/1/2013 (Healthpartners Obligation Group Project) | Baa1/BBB+ | 1,500,000 | 1,589,070 | |||
Osseo Independent School District 279 Crossover Refunding Series B, 5.00% due 2/1/2006 (School District Credit Program) | Aa2/NR | 1,915,000 | 1,953,089 | |||
Southern Minnesota Municipal Power Agency Revenue Refunding Series A, 5.00% due 1/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,017,900 | |||
University of Minnesota Refunding Series A, 5.50% due 7/1/2006 | Aa2/AA | 1,450,000 | 1,499,329 | |||
MISSISSIPPI — 0.49% | ||||||
Gautier Utility District Systems Revenue Refunding, 5.50% due 3/1/2012 (Insured: FGIC) | Aaa/NR | 1,020,000 | 1,128,742 | |||
Hattiesburg Water & Sewer Revenue Refunding Systems, 5.20% due 8/1/2006 (Insured: AMBAC) | Aaa/AAA | 700,000 | 719,509 | |||
Mississippi Hospital Equipment & Facilities Authority Revenue, 6.50% due 5/1/2006 (Refunding Mississippi Baptist Medical Center; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,022,960 | |||
Ridgeland Multi Family Housing Revenue, 4.95% due 10/1/2007 (Collateralized: FNMA) | NR/AAA | 905,000 | 921,716 | |||
Warren County Pollution Control Revenue Series A, 5.625% due 11/15/2006 (International Paper Co. Project) | Baa2/BBB | 3,050,000 | 3,062,200 | |||
MISSOURI — 0.52% | ||||||
Missouri Development Finance Board Healthcare Facilities Revenue Series A, 4.80% due 11/1/2012 (Lutheran Home Aged Project; LOC: Commerce Bank) | Aa3/NR | 1,275,000 | 1,299,671 | |||
Platte County COP, 5.00% due 9/1/2008 | NR/AA- | 1,530,000 | 1,613,859 | |||
Springfield COP, 5.20% due 6/1/2006 (Law Enforcement Communication Project) | Aa3/NR | 840,000 | 862,487 | |||
Springfield COP, 5.25% due 6/1/2007 (Law Enforcement Communication Project) | Aa3/NR | 840,000 | 877,708 | |||
St. Louis County Refunding, 5.00% due 8/15/2007 (Convention & Sports Facility Project B 1; Insured: AMBAC) | Aaa/AAA | 2,495,000 | 2,610,094 | |||
MONTANA — 1.15% | ||||||
Forsyth Pollution Control Revenue Refunding, 5.00% due 10/1/2032 put 12/30/2008 (Insured: AMBAC) | Aaa/AAA | 11,440,000 | 12,078,810 |
24 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Forsyth Pollution Control Revenue Refunding, 5.20% due 5/1/2033 put 5/1/2009 (Portland General Project) | Baa2/BBB+ | $ | 4,000,000 | $ | 4,178,120 | |||
NEBRASKA — 0.95% | ||||||||
Lancaster County School District 1, 4.00% due 7/15/2007 (Lincoln Public School Project) | Aa2/AAA | 1,995,000 | 2,042,621 | |||||
Madison County Hospital Authority Revenue 1, 5.25% due 7/1/2010 (Faith Regional Health Services Project; Insured: Radian) | NR/AA | 1,455,000 | 1,556,617 | |||||
Madison County Hospital Authority Revenue 1, 5.50% due 7/1/2012 (Faith Regional Health Services Project; Insured: Radian) | NR/AA | 1,625,000 | 1,759,842 | |||||
Omaha Public Power District Nebraska Electric Revenue Refunding Systems B, 5.00% due 2/1/2013 | Aa2/AA | 5,000,000 | 5,386,150 | |||||
Omaha Public Power District Nebraska Electric Revenue Series A, 7.50% due 2/1/2006 (ETM) | NR/AA | 1,090,000 | 1,127,093 | |||||
University of Nebraska Facilities Corp., 5.00% due 7/15/2008 | Aa2/AA- | 1,500,000 | 1,588,725 | |||||
NEVADA — 1.19% | ||||||||
Colorado River Commission Power Delivery A, 7.00% due 9/15/2008 | Aa2/AA | 840,000 | 915,491 | |||||
Humboldt County Pollution Control Revenue Refunding, 6.55% due 10/1/2013 (Sierra Pacific Project; Insured: AMBAC) | Aaa/AAA | 5,000,000 | 5,245,500 | |||||
Las Vegas Special Refunding Local Improvement District 707 Series A, 5.125% due 6/1/2011 (Insured: FSA) | Aaa/AAA | 1,750,000 | 1,865,955 | |||||
Nevada Housing Division FNMA Multi Family Certificate A, 4.80% due 4/1/2008 (Collateralized: FNMA) | NR/AAA | 1,430,000 | 1,451,007 | |||||
Sparks Redevelopment Agency Tax Allocation Revenue Refunding Series A, 5.75% due 1/15/2009 (Insured: Radian) | NR/AA | 1,000,000 | 1,073,070 | |||||
Sparks Redevelopment Agency Tax Allocation Revenue Refunding Series A, 5.75% due 1/15/2010 (Insured: Radian) | NR/AA | 1,000,000 | 1,082,180 | |||||
Sparks Redevelopment Agency Tax Allocation Revenue Refunding Series A, 5.75% due 1/15/2011 (Insured: Radian) | NR/AA | 1,285,000 | 1,389,200 | |||||
Washoe County School District, 5.50% due 6/1/2008 (Insured: FSA) | Aaa/AAA | 3,500,000 | 3,752,455 | |||||
NEW HAMPSHIRE — 0.32% | ||||||||
Manchester Housing & Redevelopment Authority Series A, 6.05% due 1/1/2012 (Insured: ACA) | NR/A | 1,500,000 | 1,594,410 | |||||
New Hampshire Industrial Development Authority Revenue, 5.50% due 12/1/2009 (Central Vermont Public Services Project; LOC: Citizens Bank) | Aa2/AA- | 2,880,000 | 2,911,507 | |||||
NEW JERSEY — 1.79% | ||||||||
New Jersey Economic Development Authority Revenue Cigarette Tax, 5.00% due 6/15/2010 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,069,000 | |||||
New Jersey State Transport Trust Fund Authority Series C, 5.00% due 6/15/2007 (Transportation Systems Project) | A1/A+ | 3,000,000 | 3,123,540 | |||||
New Jersey State Transport Trust Fund Authority Series C, 5.00% due 6/15/2008 (Transportation Systems Project) | A1/A+ | 5,000,000 | 5,268,000 | |||||
New Jersey State Transport Trust Fund Authority Series C, 5.00% due 6/15/2009 (Transportation Systems Project) | A1/A+ | 5,000,000 | 5,306,150 | |||||
New Jersey State Transport Trust Fund Authority Series C, 5.25% due 6/15/2013 (Transportation Systems Project; Insured: MBIA) | Aaa/AAA | 5,000,000 | 5,456,600 | |||||
Newark Housing Authority Port Authority Rental Backed, 3.50% due 1/1/2006 (Newark Marine Terminal Redevelopment Project; Insured: MBIA) | Aaa/AAA | 1,780,000 | 1,792,175 | |||||
Newark Housing Authority Port Authority Rental Backed, 5.00% due 1/1/2007 (Newark Marine Terminal Redevelopment Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,036,230 | |||||
Newark Housing Authority Port Authority Rental Backed, 5.00% due 1/1/2010 (Newark Marine Terminal Redevelopment Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,069,580 |
Certified Semi-Annual Report | 25 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Pequannock River Basin Regional Sewage Authority Refunding Series M, 5.00% due 12/1/2006 (Sewer Revenue Project; Insured: MBIA) | Aaa/NR | $ | 1,090,000 | $ | 1,118,961 | |||
NEW MEXICO — 1.36% | ||||||||
Albuquerque Airport Revenue Adjustment Refunding, 2.28% due 7/1/2014 put 4/7/2005 (Insured: AMBAC) (weekly demand notes) | VMIG1/A-1 | 809,000 | 809,000 | |||||
Farmington Pollution Control Revenue, 2.28% due 9/1/2024 put 4/1/2005 (LOC: Barclays Bank) (daily demand notes) | P1/A-1+ | 2,300,000 | 2,300,000 | |||||
New Mexico Highway Commission Revenue Subordinated Lien Tax Series B, 5.00% due 6/15/2011 (Insured: AMBAC) | Aaa/AAA | 4,865,000 | 5,206,718 | |||||
New Mexico State Refunding Series B, 5.00% due 9/1/2005 | Aa1/AA+ | 1,000,000 | 1,010,880 | |||||
New Mexico State Severance Tax, 5.00% due 7/1/2005 | Aa2/AA | 2,650,000 | 2,667,728 | |||||
University of New Mexico Hospital Mortgage Revenue Bonds, 5.00% due 7/1/2009 (Insured: FSA & FHA) | Aaa/AAA | 1,455,000 | 1,539,245 | |||||
University of New Mexico Hospital Mortgage Revenue Bonds, 5.00% due 1/1/2011 (Insured: FSA & FHA) | Aaa/AAA | 1,790,000 | 1,901,803 | |||||
University of New Mexico Hospital Mortgage Revenue Bonds, 5.00% due 7/1/2011 (Insured: FSA & FHA) | Aaa/AAA | 2,065,000 | 2,199,225 | |||||
University of New Mexico Hospital Mortgage Revenue Bonds, 5.00% due 7/1/2012 (Insured: FSA & FHA) | Aaa/AAA | 1,500,000 | 1,597,395 | |||||
NEW YORK — 8.95% | ||||||||
Brookhaven Industrial Development Agency Revenue, 4.375% due 11/1/2031 put 11/1/2006 (Methodist Retirement Community Project; LOC: Northfork Bank) | A1/A- | 1,625,000 | 1,652,397 | |||||
Hempstead Industrial Development Agency Resource Recovery Revenue Refunding, 5.00% due 12/1/2007 (American Ref-Fuel Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,050,510 | |||||
Hempstead Town Industrial Development Agency Refunding, 5.00% due 12/1/2008 (American Fuel Co. Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,047,580 | |||||
Long Island Power Authority Electric Systems Revenue General Series A, 6.00% due 12/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,500,000 | 1,616,310 | |||||
Long Island Power Authority General Series B, 5.00% due 12/1/2006 | A3/A- | 7,000,000 | 7,246,820 | |||||
Metropolitan Transportation Authority New York Revenue Series B, 5.00% due 11/15/2007 | A2/A | 8,000,000 | 8,387,920 | |||||
Metropolitan Transportation Authority New York Service Series B, 5.25% due 7/1/2007 | A2/AA- | 4,535,000 | 4,754,177 | |||||
Monroe County Industrial Development Agency, 5.375% due 6/1/2007 (St. John Fisher College Project; Insured: Radian) | NR/AA | 1,050,000 | 1,099,707 | |||||
New York City, 2.24% due 8/1/2017 put 4/1/2005 (LOC: JPM) (daily demand notes) | VMIG1/A-1+ | 2,000,000 | 2,000,000 | |||||
New York City GO, 2.24% due 8/1/2015 put 4/1/2005 (daily demand notes) | VMIG1/A-1 | 1,465,000 | 1,465,000 | |||||
New York City Housing Development Corp. Multi Family Housing Revenue Refunding Series A, 5.50% due 11/1/2009 | Aa2/AA | 185,000 | 185,261 | |||||
New York City Industrial Development Agency Civic Facility Series A, 5.25% due 6/1/2011 (Lycee Francais De New York Project; Insured: ACA) | NR/A | 2,215,000 | 2,351,555 | |||||
New York City Industrial Development Agency Civic Facility Series A, 5.25% due 6/1/2012 (Lycee Francais De New York Project; Insured: ACA) | NR/A | 2,330,000 | 2,469,264 | |||||
New York City Municipal Water Finance Authority Water & Sewer Systems Revenue Series B, 5.75% due 6/15/2026 Crossover refunded 6/15/2006 (Insured: MBIA) | Aaa/AAA | 5,000,000 | 5,234,700 | |||||
New York City Transitional Recovery Series 3B, 2.32% due 11/1/2022 put 4/1/2005 (daily demand notes) | VMIG1/A-1+ | 1,450,000 | 1,450,000 | |||||
New York City Transitional Refunding Future Tax Series A1, 5.00% due 11/1/2013 | Aa1/AAA | 10,000,000 | 10,813,000 | |||||
New York City Transitional Refunding Future Tax Series A1, 5.00% due 11/1/2012 (Insured: MBIA) | Aa1/AAA | 5,000,000 | 5,407,700 | |||||
New York Dormitory Authority, 6.00% due 7/1/2007 (Champlain Valley Physicians Project; Insured: Connie Lee) | NR/AAA | 1,040,000 | 1,107,569 | |||||
New York Dormitory Authority Revenues, 6.00% due 9/1/2008 pre-refunded 9/1/2005 (Norton Healthcare Project) | NR/AA | 1,370,000 | 1,413,251 |
26 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
New York Dormitory Authority Revenues Mental Health Services Facilities Improvement B, 5.00% due 8/15/2010 (Insured: MBIA) | Aaa/AAA | $ | 1,600,000 | $ | 1,720,608 | |||
New York Dormitory Authority Revenues Series B, 5.25% due 11/15/2026 put 5/15/2012 (Insured: AMBAC) | Aaa/AAA | 4,000,000 | 4,354,880 | |||||
New York Medical Care Facilities Finance Agency Revenue, 6.40% due 11/1/2014 (Insured: FSA) | Aaa/AAA | 560,000 | 563,702 | |||||
New York Series B, 5.50% due 8/1/2011 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,106,220 | |||||
New York Series B-2, Subseries B-4, 2.24% due 8/15/2023 put 4/1/2005 (daily demand notes) | VMIG1/A-1+ | 1,100,000 | 1,100,000 | |||||
New York Series B3, 2.25% due 8/1/2018 put 4/1/2005 (daily demand notes) | VMIG1/A-1+ | 1,100,000 | 1,100,000 | |||||
New York Series H 4, 2.28% due 3/1/2034 put 4/1/2005 (LOC: BONY) (daily demand notes) | VMIG1/A-1+ | 4,500,000 | 4,500,000 | |||||
New York State Dormitory Authority Aids Long Term Health Facilities, 5.00% due 11/1/2013 (Insured: SONYMA) | Aa1/NR | 1,600,000 | 1,670,048 | |||||
New York State Dormitory Authority Aids Long Term Health Facilities, 5.00% due 11/1/2014 (Insured: SONYMA) | Aa1/NR | 1,500,000 | 1,561,965 | |||||
New York State Dormitory Authority Revenue Refunding, 5.00% due 2/15/2010 (Wyckoff Heights Project; Insured: AMBAC) | Aaa/AAA | 4,870,000 | 5,151,778 | |||||
New York State Dormitory Authority Revenues, 5.875% due 7/1/2005 (Teresian House Project; LOC: Fleet Bank) | Aa3/NR | 1,000,000 | 1,008,450 | |||||
New York State Dormitory Authority Revenues, 4.00% due 12/15/2005 | A1/AA | 15,100,000 | 15,257,946 | |||||
New York State Dormitory Authority Revenues, 5.00% due 7/1/2007 (City University Systems Project) | A2/AA- | 3,500,000 | 3,642,520 | |||||
New York State Dormitory Authority Revenues, 5.50% due 7/1/2012 (South Nassau Community Hospital B Project) | Baa1/NR | 1,820,000 | 1,962,906 | |||||
New York State Dormitory Authority Revenues, 5.50% due 7/1/2013 (South Nassau Community Hospital B Project) | Baa1/NR | 1,500,000 | 1,610,865 | |||||
New York State Urban Development Corp. Revenue Refunding Facilities A, 6.50% due 1/1/2011 (Correctional Capital Project; Insured: FSA) | Aaa/AAA | 2,500,000 | 2,877,550 | |||||
New York Thruway Authority General Revenue Special Obligation, 0% due 1/1/2006 | NR/A- | 1,320,000 | 1,291,990 | |||||
New York Urban Development Corp. Revenue University Facilities Grants, 6.00% due 1/1/2006 | A2/AA- | 255,000 | 261,174 | |||||
New York Urban Development Corp. Series 7, 6.00% due 1/1/2006 | A2/AA- | 3,425,000 | 3,507,919 | |||||
Oneida County Industrial Development Agency Series C, 6.00% due 1/1/2009 (Civic Facility Faxton Hospital Project; Insured: Radian) | NR/AA | 710,000 | 772,089 | |||||
Port Authority New York & New Jersey Special Obligation, 2.24% due 5/1/2019 put 4/1/2005 (daily demand notes) | VMIG1/A-1+ | 3,000,000 | 3,000,000 | |||||
Tobacco Settlement Financing Corp. Asset Backed Series B 1C, 5.25% due 6/1/2013 | A2/AA- | 2,000,000 | 2,114,420 | |||||
Tobacco Settlement Financing Corp. New York Revenue Asset Backed Series A-1C, 5.25% due 6/1/2012 (Secured: State Contingency Contract) | A2/AA- | 1,000,000 | 1,027,770 | |||||
Tobacco Settlement Financing Corp. New York Revenue Asset Backed Series B-1C, 5.25% due 6/1/2013 (Insured: XLCA) | Aaa/AAA | 2,000,000 | 2,129,900 | |||||
Yonkers New York Series B, 4.00% due 10/15/2009 (Insured: FSA) | Aaa/AAA | 2,055,000 | 2,116,999 | |||||
NORTH CAROLINA — 2.19% | ||||||||
Cabarrus County COP Installment Financing Contract, 4.50% due 2/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,100,000 | 1,131,559 | |||||
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 | 925,000 | 960,835 | |||||
North Carolina Eastern Municipal Power Agency Power Systems Revenue, 6.125% due 1/1/2009 (Insured: MBIA) | Aaa/AAA | 2,860,000 | 3,146,858 | |||||
North Carolina Eastern Municipal Power Agency Power Systems Revenue Refunding Series D, 5.375% due 1/1/2011 | Baa2/BBB | 3,000,000 | 3,198,720 | |||||
North Carolina Eastern Municipal Power Agency Power Systems Revenue Series C, 5.25% due 1/1/2012 | Baa2/BBB | 650,000 | 690,495 | |||||
North Carolina Eastern Municipal Power Agency Power Systems Series A, 5.50% due 1/1/2012 | Baa2/BBB | 1,000,000 | 1,076,870 | |||||
North Carolina Eastern Municipal Power Agency Power Systems Series C, 5.25% due 1/1/2013 | Baa2/BBB | 1,055,000 | 1,120,389 | |||||
North Carolina Municipal Power Agency 1 Catawba Electric Revenue, 6.00% due 1/1/2010 (Insured: MBIA) | Aaa/AAA | 2,400,000 | 2,669,208 |
Certified Semi-Annual Report | 27 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
North Carolina Municipal Power Agency 1 Catawba Electric Revenue Series A, 5.50% due 1/1/2013 | A3/BBB+ | $ | 2,505,000 | $ | 2,737,414 | |||
North Carolina Municipal Power Agency 1 Catawba Electric Revenue Series B, 6.375% due 1/1/2013 | A3/BBB+ | 1,000,000 | 1,105,910 | |||||
North Carolina Municipal Power Agency Series A, 6.00% due 1/1/2007 (Insured: MBIA) | Aaa/AAA | 3,400,000 | 3,578,398 | |||||
North Carolina Municipal Power Agency Series A, 6.00% due 1/1/2008 (Insured: MBIA) | Aaa/AAA | 3,900,000 | 4,198,935 | |||||
North Carolina State COP Series B, 5.00% due 6/1/2009 (Repair & Renovation Project) | Aa2/AA+ | 2,000,000 | 2,131,500 | |||||
Raleigh Durham Airport Authority Airport Revenue Series A, 5.50% due 11/1/2006 (Insured: FGIC) | Aaa/NR | 2,000,000 | 2,082,800 | |||||
University of North Carolina Systems Pool Revenue Refunding Series B, 5.00% due 4/1/2012 (Insured: AMBAC) | Aaa/AAA | 1,030,000 | 1,117,529 | |||||
NORTH DAKOTA — 0.07% | ||||||||
Grand Forks Health Care Systems Revenue Bond Series 1997, 6.25% due 8/15/2005 (Altru Health System Project; Insured: MBIA) | Aaa/AAA | 910,000 | 922,658 | |||||
OHIO — 2.98% | ||||||||
Bellefontaine Hospital Revenue Refunding, 6.00% due 12/1/2013 (Mary Rutan Health Associates Project) | NR/BBB+ | 1,885,000 | 1,908,977 | |||||
Central Ohio Authority Solid Waste Facility Series B, 5.00% due 12/1/2007 | Aa2/AA+ | 2,025,000 | 2,123,557 | |||||
Cleveland Cuyahoga County Port Authority Revenue GO, 6.00% due 11/15/2010 | NR/NR | 3,775,000 | 4,022,904 | |||||
Columbus GO, 12.375% due 2/15/2009 | Aaa/AAA | 1,050,000 | 1,390,421 | |||||
Cuyahoga County Hospital Revenue Refunding, 5.50% due 1/15/2019 (University Health Systems Project B; Insured: MBIA) | Aaa/AAA | 4,000,000 | 4,152,240 | |||||
Cuyahoga County Hospital Revenue Refunding Series A, 4.75% due 2/15/2008 (Metrohealth Systems Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,046,520 | |||||
Cuyahoga County Hospital Revenue Refunding Series B, 6.00% due 1/15/2006 (University Hospital Health Systems Project) | Baa1/A | 2,705,000 | 2,771,218 | |||||
Hudson City Library Improvement, 6.35% due 12/1/2011 | Aa1/NR | 1,400,000 | 1,602,846 | |||||
Lake County Sewer & Water District Improvement, 5.30% due 12/1/2011 | Aa2/NR | 455,000 | 483,206 | |||||
Lorain County Hospital Revenue Refunding Catholic Healthcare Partners B, 6.00% due 9/1/2008 (Insured: MBIA) | Aaa/AAA | 1,200,000 | 1,295,256 | |||||
Mahoning Valley District Water Refunding, 5.85% due 11/15/2008 (Insured: FSA) | Aaa/AAA | 1,300,000 | 1,421,173 | |||||
Mahoning Valley District Water Refunding, 5.90% due 11/15/2009 (Insured: FSA) | Aaa/AAA | 770,000 | 854,446 | |||||
Montgomery County Revenue, 6.00% due 12/1/2008 (Catholic Health Initiatives Project) | Aa2/AA | 2,250,000 | 2,435,175 | |||||
Montgomery County Revenue, 6.00% due 12/1/2009 (Catholic Health Initiatives Project) | Aa2/AA | 2,385,000 | 2,609,118 | |||||
Montgomery County Revenue, 6.00% due 12/1/2010 (Catholic Health Initiatives Project) | Aa2/AA | 1,530,000 | 1,691,247 | |||||
Montgomery County Solid Waste Revenue, 6.00% due 11/1/2005 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,020,450 | |||||
Ohio State Building Authority Refunding Adult Corrections Facilities, 5.00% due 10/1/2006 (Insured: FSA) | Aaa/AAA | 2,000,000 | 2,066,280 | |||||
Ohio State GO, 6.65% due 9/1/2009 (Infrastructure Improvement Project) | Aa1/AA+ | 1,000,000 | 1,080,810 | |||||
Ohio State Unlimited Tax GO Series A, 5.75% due 6/15/2010 pre-refunded 6/15/2009 | Aa1/AA+ | 5,000,000 | 5,492,550 | |||||
Plain Local School District Capital Appreciation, 0% due 12/1/2006 (Insured: FGIC) | Aaa/NR | 680,000 | 648,808 | |||||
Plain Local School District Capital Appreciation, 0% due 12/1/2007 (Insured: FGIC) | Aaa/NR | 845,000 | 779,741 | |||||
Reading Revenue Development, 6.00% due 2/1/2009 (St. Mary’s Educational Institute Project; Insured: Radian) | NR/AA | 975,000 | 1,058,762 | |||||
OKLAHOMA — 2.36% | ||||||||
Claremore Public Works Authority Revenue Refunding, 6.00% due 6/1/2006 (Insured: FSA) | Aaa/NR | 1,235,000 | 1,282,461 | |||||
Claremore Public Works Authority Revenue Refunding, 6.00% due 6/1/2007 (Insured: FSA) | Aaa/NR | 1,340,000 | 1,426,859 | |||||
Comanche County Oklahoma Hospital Authority Revenue Refunding, 4.00% due 7/1/2007 (Insured: Radian) | Aa3/AA | 1,265,000 | 1,283,444 | |||||
Comanche County Oklahoma Hospital Authority Revenue Refunding, 5.00% due 7/1/2011 (Insured: Radian) | Aa3/AA | 1,000,000 | 1,053,060 | |||||
Grand River Dam Authority Revenue, 5.50% due 6/1/2010 | A2/BBB+ | 1,200,000 | 1,303,020 |
28 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Jenks Aquarium Authority Revenue First Mortgage, 5.50% due 7/1/2010 (Insured: MBIA) | Aaa/NR | $ | 585,000 | $ | 621,007 | |||
Oklahoma Authority Revenue Refunding Health Systems Obligation Group Series A, 5.75% due 8/15/2007 (Insured: MBIA) | Aaa/AAA | 2,380,000 | 2,525,109 | |||||
Oklahoma Authority Revenue Refunding Health Systems Obligation Group Series A, 6.00% due 8/15/2010 (Insured: MBIA) | Aaa/AAA | 2,340,000 | 2,583,220 | |||||
Oklahoma Development Finance Authority Health Facilities Revenue, 5.75% due 6/1/2011 (Insured: AMBAC) | Aaa/AAA | 740,000 | 821,496 | |||||
Oklahoma Development Finance Authority Hospital Revenue Refunding, 5.00% due 10/1/2012 (Unity Health Center Project) | NR/BBB+ | 1,070,000 | 1,097,231 | |||||
Oklahoma Development Finance Authority Hospital Revenue Series A, 5.25% due 12/1/2011 (Duncan Regional Hospital Project) | NR/A- | 1,215,000 | 1,290,111 | |||||
Oklahoma Development Finance Authority Hospital Revenue Series A, 5.25% due 12/1/2012 (Duncan Regional Hospital Project) | NR/A- | 1,330,000 | 1,410,359 | |||||
Oklahoma Development Finance Authority Hospital Revenue Series A, 5.25% due 12/1/2013 (Duncan Regional Hospital Project) | NR/A- | 1,250,000 | 1,316,862 | |||||
Oklahoma Development Finance Authority Revenue Refunding Series A, 5.20% due 8/15/2011 pre-refunded 8/15/2009 (Hillcrest Healthcare System Project) | Aaa/AAA | 2,015,000 | 2,170,417 | |||||
Oklahoma Housing Development Authority Revenue Lease Purchase Program Series A, 5.10% due 11/1/2005 | Aa3/NR | 5,000,000 | 5,070,600 | |||||
Oklahoma State Industrial Authority Revenue Refunding Integris Health System, 5.50% due 8/15/2005 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,011,310 | |||||
Tulsa County Independent School Building, 4.00% due 6/1/2008 | Aa3/NR | 2,750,000 | 2,825,680 | |||||
Tulsa County Independent School District, 4.50% due 8/1/2006 | Aa3/AA- | 2,650,000 | 2,710,579 | |||||
Tulsa County Industrial Authority Capital Series B, 4.00% due 5/15/2005 | NR/AA- | 1,500,000 | 1,503,075 | |||||
OREGON — 0.42% | ||||||||
Clackamas County Hospital Facility Authority Revenue Refunding, 5.00% due 5/1/2008 (Legacy Health Systems Project) | Aa3/AA | 4,000,000 | 4,196,480 | |||||
Medford Hospital Facilities Authority Revenue Series A, 5.25% due 8/15/2006 (Asante Health Systems Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,033,000 | |||||
Salem Oregon Water & Sewer Revenue, 6.00% due 6/1/2005 (Insured: MBIA) | Aaa/AAA | 750,000 | 754,642 | |||||
PENNSYLVANIA — 2.00% | ||||||||
Allegheny County Hospital Development Health Series B, 6.30% due 5/1/2009 (South Hills Health System Project) | Baa1/NR | 1,505,000 | 1,599,424 | |||||
Allegheny County Hospital Development Refunding, 4.40% due 11/1/2005 (Health Center UPMC Health Systems Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,010,930 | |||||
Central Bucks School District Refunding, 5.50% due 11/15/2009 (State Aid Withholding) | A1/NR | 1,325,000 | 1,347,949 | |||||
Delaware County Pennsylvania Authority Revenue, 5.50% due 11/15/2007 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,058,150 | |||||
Geisinger Authority Health Systems Revenue, 5.50% due 8/15/2009 | Aa3/AA- | 1,000,000 | 1,067,200 | |||||
Manheim Township School Authority School Revenue Series 1978, 6.625% due 12/1/2007 pre-refunded 12/1/2005 | NR/AAA | 1,530,000 | 1,572,427 | |||||
Montgomery County Higher Education & Health Authority, 6.25% due 7/1/2006 | Baa2/NR | 730,000 | 746,994 | |||||
Montgomery County Higher Education & Health Authority, 6.375% due 7/1/2007 | Baa3/NR | 550,000 | 571,906 | |||||
Pennsylvania Higher Educational Facilities Authority Health Services Revenue, 5.50% due 1/1/2009 (University of Pennsylvania Health Systems Project) | A3/A | 1,500,000 | 1,546,755 | |||||
Pennsylvania Higher Educational Facilities Series A, 5.00% due 8/15/2008 (University of Pennsylvania Health Systems Project) | A3/A | 1,250,000 | 1,306,675 | |||||
Pennsylvania State Higher Educational Facilities Authority Revenue, 4.00% due 11/1/2032 put 11/1/2005 (LOC: Allied Irish Banks PLC) | VMIG1/NR | 1,500,000 | 1,512,600 | |||||
Pennsylvania State Second Series, 5.25% due 10/1/2008 | Aa2/AA | 900,000 | 964,332 | |||||
Philadelphia Gas Works Revenue Eighteenth Series, 5.00% due 8/1/2009 (Insured: AGC) | Aa1/AAA | 1,240,000 | 1,313,458 | |||||
Philadelphia Gas Works Revenue Eighteenth Series, 5.00% due 8/1/2010 (Insured: AGC) | Aa1/AAA | 1,305,000 | 1,388,507 | |||||
Philadelphia Hospital & Higher Education Facilities Authority Revenue, 5.50% due 5/15/2006 (Jefferson Health Systems Project) | Aa3/AA- | $ | 1,000,000 | $ | 1,027,190 |
Certified Semi-Annual Report | 29 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||
Philadelphia Hospital & Higher Education Health System Series A, 5.25% due 5/15/2007 (Jefferson Health Systems Project; Insured: MBIA) | Aaa/AAA | 2,600,000 | 2,719,054 | |||
Pottsville Hospital Authority Revenue Acsension Health Credit Series A, 5.20% due 11/15/2009 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,072,810 | |||
Sayre Pennsylvania Health Care Facilities Authority Series A, 5.00% due 7/1/2008 (Latrobe Area Hospital Project; Insured: AMBAC) | Aaa/AAA | 1,255,000 | 1,322,946 | |||
Sayre Pennsylvania Health Care Facilities Authority Series A, 5.00% due 7/1/2009 (Latrobe Area Hospital Project; Insured: AMBAC) | Aaa/AAA | 1,320,000 | 1,401,246 | |||
Sayre Pennsylvania Health Care Facilities Authority Series A, 5.25% due 7/1/2011 (Latrobe Area Hospital Project; Insured: AMBAC) | Aaa/AAA | 1,400,000 | 1,516,760 | |||
Sayre Pennsylvania Health Care Facilities Authority Series A, 5.25% due 7/1/2012 (Latrobe Area Hospital Project; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,085,800 | |||
Scranton Lackawanna Health & Welfare Authority, 7.125% due 1/15/2013 pre-refunded 1/15/2007 (Marian Community Hospital Project) | NR/NR | 1,000,000 | 1,085,390 | |||
RHODE ISLAND — 1.24% | ||||||
Providence Public Building Authority Refunding Series B, 5.75% due 12/15/2007 (Insured: FSA) | Aaa/AAA | 1,075,000 | 1,151,572 | |||
Providence Public Building Authority School Project Series B, 5.00% due 12/15/2005 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,017,230 | |||
Providence Public Building Authority School Project Series B, 4.00% due 12/15/2007 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,026,080 | |||
Providence Series C, 5.50% due 1/15/2012 (Insured: FSA) | Aaa/AAA | 1,880,000 | 2,084,507 | |||
Rhode Island Bond Authority Revenue Refunding Series A, 5.00% due 10/1/2005 (State Public Projects; Insured: AMBAC) | Aaa/AAA | 4,455,000 | 4,511,801 | |||
Rhode Island Economic Development Corp. Revenue, 5.75% due 7/1/2010 (Providence Place Mall Project; Insured: Radian) | NR/AA | 2,075,000 | 2,242,121 | |||
Rhode Island State COP Refunding, 5.125% due 10/1/2008 (Insured: MBIA) | Aaa/AAA | 1,660,000 | 1,751,532 | |||
Rhode Island State Health & Education Building, 4.50% due 9/1/2009 (Butler Hospital Project; LOC: Fleet National Bank) | NR/AA | 1,960,000 | 2,030,011 | |||
Rhode Island State Health & Educational Building Corp. Revenue Hospital Financing, 5.25% due 7/1/2014 (Memorial Hospital Project; LOC: Fleet Bank) | NR/AA | 1,565,000 | 1,647,241 | |||
SOUTH CAROLINA — 0.97% | ||||||
Charleston County COP, 6.00% due 12/1/2007 (Insured: MBIA) | Aaa/AAA | 2,050,000 | 2,191,901 | |||
Charleston County COP Refunding, 5.00% due 6/1/2007 (Charleston Public Facilities Corp. Project; Insured: MBIA) | Aaa/AAA | 1,350,000 | 1,403,865 | |||
Medical University of South Carolina Hospital Facilities Revenue, 5.50% due 7/1/2005 (ETM) | NR/NR | 1,000,000 | 1,007,850 | |||
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) | NR/BBB | 1,250,000 | 1,501,275 | |||
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) | NR/BBB | 2,600,000 | 3,155,984 | |||
South Carolina State Public Service Authority Revenue Refunding Series D, 5.00% due 1/1/2006 | Aa2/AA- | 2,000,000 | 2,034,740 | |||
South Carolina State Public Service Authority Revenue Refunding Series D, 5.00% due 1/1/2007 | Aa2/AA- | 2,315,000 | 2,395,655 | |||
SOUTH DAKOTA — 0.32% | ||||||
Rapid City Area School District Refunding Capital Outlay Certificates GO, 5.00% due 1/1/2010 (Insured: FSA) | Aaa/NR | 1,000,000 | 1,070,040 | |||
South Dakota Health & Educational Facilities Authority Revenue, 5.50% due 9/1/2011 (Rapid City Regional Hospital Project; Insured: MBIA) | Aaa/AAA | 1,100,000 | 1,206,414 | |||
South Dakota State Health & Educational Facilities Authority Revenue Refunding, 6.25% due 7/1/2009 (McKennan Hospital Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,106,830 | |||
South Dakota State Health & Educational Facilities Authority Revenue Refunding, 6.00% due 7/1/2014 (McKennan Hospital Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,056,130 |
30 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
TENNESSEE — 0.28% | ||||||||
Franklin Industrial Development Multi Family Refunding Housing Series A, 5.75% due 4/1/2010 (Insured: FSA) | Aaa/AAA | $ | 660,000 | $ | 686,387 | |||
Hamilton County Industrial Development Board, 5.75% due 9/1/2005 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,013,850 | |||||
Metro Government Nashville Water & Sewer, 6.50% due 12/1/2014 (ETM) | Aaa/AAA | 1,240,000 | 1,496,717 | |||||
Shelby County Series A, 0% due 5/1/2011 pre-refunded 5/1/2005 | Aa2/AA+ | 1,050,000 | 728,984 | |||||
TEXAS — 13.12% | ||||||||
Amarillo Health Facilities Corp. Hospital Revenue, 5.50% due 1/1/2011 (Baptist St. Anthony’s Hospital Corp. Project; Insured: FSA) | Aaa/NR | 1,350,000 | 1,469,637 | |||||
Austin Texas Refunding, 5.00% due 3/1/2011 | Aa2/AA+ | 1,000,000 | 1,073,980 | |||||
Bell County Health Facilities Development Corp. Revenue Series A, 6.25% due 8/15/2010 (Scott & White Memorial Hospital Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,123,900 | |||||
Bexar County Housing Finance Corp. Multi Family Housing Revenue, 5.00% due 1/1/2011 (Insured: MBIA) | Aaa/NR | 1,800,000 | 1,888,704 | |||||
Brazos River Authority Texas Special Facilities Revenue Refunding, 5.20% due 8/15/2008 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,009,620 | |||||
Cedar Hill Independent School District Refunding, 0% due 8/15/2010 (Guaranty: PSF) | NR/AAA | 1,250,000 | 998,800 | |||||
Central Regional Mobility Authority Anticipation Notes, 5.00% due 1/1/2008 | Aa3/AA | 7,000,000 | 7,325,080 | |||||
Clint Independent School District Refunding, 5.50% due 2/15/2011 (Guaranty: PSF) | Aaa/AAA | 1,700,000 | 1,870,000 | |||||
Clint Independent School District Refunding, 5.50% due 2/15/2012 (Guaranty: PSF) | Aaa/AAA | 1,425,000 | 1,555,273 | |||||
Coppell Independent School District Refunding, 0% due 8/15/2007 (Guaranty: PSF) | NR/AAA | 3,300,000 | 3,065,964 | |||||
Corpus Christi Business & Job Development Corp. Sales Tax Revenue, 5.00% due 9/1/2012 (Refunding & Improvement Arena Project; Insured: AMBAC) | Aaa/AAA | 1,025,000 | 1,101,967 | |||||
Corpus Christi Utility Systems Revenue Refunding, 5.50% due 7/15/2005 (Insured: FSA) | Aaa/AAA | 2,000,000 | 2,017,940 | |||||
Corpus Christi Utility Systems Revenue Refunding, 5.50% due 7/15/2006 (Insured: FSA) | Aaa/AAA | 4,070,000 | 4,210,863 | |||||
Corpus Christi Utility Systems Revenue Refunding, 5.50% due 7/15/2008 (Insured: FSA) | Aaa/AAA | 2,000,000 | 2,146,740 | |||||
Corpus Christi Utility Systems Revenue Refunding, 5.50% due 7/15/2009 (Insured: FSA) | Aaa/AAA | 4,780,000 | 5,191,893 | |||||
Cypress Fair Independent School District Refunding GO, 5.00% due 2/15/2022 put 8/15/2010 | Aaa/AAA | 2,500,000 | 2,678,300 | |||||
Dallas Tax Increment Financing Reinvestment Zone 2, 5.75% due 8/15/2006 (Insured: Radian) | NR/AA | 450,000 | 466,128 | |||||
Duncanville Independent School District Refunding Series B, 0% due 2/15/2011 (Guaranty: PSF) | Aaa/AAA | 4,945,000 | 3,925,638 | |||||
Duncanville Independent School District Refunding Series B, 0% due 2/15/2012 (Guaranty: PSF) | Aaa/AAA | 1,245,000 | 937,547 | |||||
Fort Worth Water & Sewer Revenue Refunding & Improvement, 5.25% due 2/15/2011 | Aa2/AA | 3,800,000 | 4,031,876 | |||||
Fort Worth Water & Sewer Revenue Series 2001, 5.25% due 2/15/2011 (Tarrant & Denton County Project) | Aa2/AA | 1,390,000 | 1,510,749 | |||||
Grapevine Texas, 5.25% due 2/15/2012 (Insured: FGIC) | Aaa/AAA | 2,005,000 | 2,047,325 | |||||
Gulf Coast Waste Disposal Authority Environmental Facilities Revenue Refunding, 4.20% due 11/2/2006 (Occidental Project) | Baa2/BBB | 4,000,000 | 4,087,200 | |||||
Gulf Coast Waste Disposal Authority Texas Revenue Refunding, 5.00% due 10/1/2010 (Bayport Area Systems Project; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,067,750 | |||||
Gulf Coast Waste Disposal Authority Texas Revenue Refunding, 5.00% due 10/1/2011 (Bayport Area Systems Project; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,068,240 | |||||
Harlingen Consolidated Independent School, 7.50% due 8/15/2006 (Guaranty: PSF) | Aaa/AAA | 1,275,000 | 1,354,879 | |||||
Harlingen Consolidated Independent School, 7.50% due 8/15/2009 (Guaranty: PSF) | Aaa/AAA | 750,000 | 874,410 | |||||
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 | 500,000 | 568,010 | |||||
Harris County Health Facilities Development Corp. Thermal Utility Revenue, 5.45% due 2/15/2011 (Insured: AMBAC) | Aaa/AAA | 4,085,000 | 4,423,156 | |||||
Harris County Health Facilities Hospital Series A, 6.00% due 6/1/2010 (Memorial Hospital Systems Project; Insured: MBIA) | Aaa/AAA | 3,100,000 | 3,446,208 | |||||
Harris County Hospital District Mortgage Revenue, 7.40% due 2/15/2010 (ETM) | Aaa/AAA | 420,000 | 456,191 | |||||
Harris County Hospital District Mortgage Revenue Unrefunded Balance Refunding, 7.40% due 2/15/2010 (Insured: AMBAC) | Aaa/AAA | 1,925,000 | 2,141,543 |
Certified Semi-Annual Report | 31 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Harris County Hospital District Revenue Refunding, 5.75% due 2/15/2011 (Insured: MBIA) | Aaa/AAA | $ | 10,000,000 | $ | 10,979,800 | |||
Harris County Hospital District Revenue Refunding, 5.75% due 2/15/2012 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,186,800 | |||||
Harris County Refunding Toll Road Senior Lien Series B-2, 5.00% due 8/15/2021 put 8/15/2009 (Insured: FGIC) | Aaa/AAA | 5,000,000 | 5,299,350 | |||||
Harris County Sports Authority Revenue Senior Lien Series G, 0% due 11/15/2010 (Insured: MBIA) | Aaa/AAA | 3,260,000 | 2,629,451 | |||||
Houston Community College Systems Refunding Student Fee, 5.25% due 4/15/2010 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,083,120 | |||||
Houston Community College Systems Refunding Student Fee, 5.25% due 4/15/2011 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,088,030 | |||||
Houston Community College Systems Refunding Student Fee, 5.25% due 4/15/2012 (Insured: FSA) | Aaa/AAA | 1,460,000 | 1,593,517 | |||||
Houston Community College Systems Refunding Student Fee, 5.25% due 4/15/2013 (Insured: FSA) | Aaa/AAA | 1,250,000 | 1,367,000 | |||||
Irving Texas Hospital Authority Revenue Series B, 5.75% due 7/1/2005 (Irving Healthcare Systems Project; Insured: FSA) | Aaa/AAA | 500,000 | 504,160 | |||||
Laredo Sports Venue Sales Refunding & Improvement, 5.00% due 3/15/2012 (Insured: AMBAC) | Aaa/AAA | 1,660,000 | 1,782,823 | |||||
Laredo Sports Venue Sales Refunding & Improvement, 5.00% due 3/15/2013 (Insured: AMBAC) | Aaa/AAA | 1,745,000 | 1,874,427 | |||||
Laredo Sports Venue Sales Refunding & Improvement, 5.00% due 3/15/2014 (Insured: AMBAC) | Aaa/AAA | 1,835,000 | 1,972,240 | |||||
Laredo Sports Venue Sales Refunding & Improvement, 5.00% due 3/15/2015 (Insured: AMBAC) | Aaa/AAA | 1,930,000 | 2,069,481 | |||||
Lewisville Combination Contract Revenue, 4.125% due 5/1/2031 pre-refunded 11/1/2006 (Special Assessment Castle Hills Project Number 3; LOC: Wells Fargo Bank) | NR/AA | 1,000,000 | 1,021,300 | |||||
Longview Water & Sewer Revenue Refunding, 5.00% due 3/1/2012 (Insured: MBIA) | Aaa/AAA | 1,150,000 | 1,237,124 | |||||
Lower Colorado River Authority Revenue Refunding & Improvement, 8.00% due 5/15/2010 (Transportation Systems Project; Insured: FSA) | Aaa/AAA | 750,000 | 906,300 | |||||
Mesquite Independent School District Refunding, 0% due 8/15/2011 (Guaranty: PSF) | NR/AAA | 3,065,000 | 2,348,556 | |||||
Midlothian Independent School District Refunding, 0% due 2/15/2008 (Guaranty: PSF) | Aaa/NR | 1,415,000 | 1,288,032 | |||||
Midlothian Independent School District Refunding, 0% due 2/15/2009 (Guaranty: PSF) | Aaa/NR | 1,200,000 | 1,048,332 | |||||
Midtown Redevelopment Authority Texas Tax, 6.00% due 1/1/2010 (Insured: Radian) | NR/AA | 700,000 | 766,304 | |||||
Midtown Redevelopment Authority Texas Tax, 6.00% due 1/1/2011 (Insured: Radian) | NR/AA | 740,000 | 816,102 | |||||
North Texas Health Facilities Development Corp., 5.25% due 9/1/2006 (United Regional Health Care System, Inc. Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,033,250 | |||||
North Texas Thruway Authority Systems Revenue Refunding Series B, 5.00% due 1/1/2038 put 12/1/2008 (Insured: AMBAC) | Aaa/AAA | 5,000,000 | 5,280,200 | |||||
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 | 2,500,000 | 2,414,050 | |||||
Sam Rayburn Municipal Power Agency Refunding, 5.50% due 10/1/2012 | Baa2/BBB- | 6,000,000 | 6,615,000 | |||||
San Antonio Hotel Occupancy Revenue Refunding Series B, 5.00% due 8/15/2034 put 8/1/2008 (Insured: AMBAC) | Aaa/AAA | 5,000,000 | 5,273,550 | |||||
Socorro Independent School District Series A, 5.75% due 2/15/2011 (Guaranty: PSF) | NR/AAA | 1,970,000 | 2,100,020 | |||||
Southlake Tax Increment Certificates of Obligation Series B, 0% due 2/15/2007 (Insured: AMBAC) | Aaa/AAA | 965,000 | 888,254 | |||||
Southlake Tax Increment Certificates of Obligation Series B, 0% due 2/15/2008 pre-refunded 2/15/2006 | Aaa/AAA | 1,120,000 | 976,226 | |||||
Southlake Tax Increment Certificates of Obligation Series B, 0% due 2/15/2009 pre-refunded 2/15/2006 | Aaa/AAA | 1,275,000 | 1,046,010 | |||||
Southlake Tax Increment Certificates of Obligation Series B, 0% due 2/15/2010 pre-refunded 2/15/2006 | Aaa/AAA | 1,440,000 | 1,107,634 | |||||
Spring Branch Independent School District, 7.50% due 2/1/2011 (Guaranty: PSF) | Aaa/AAA | 500,000 | 599,415 | |||||
Springhill Courtland Heights Public Facility Corp. Multi Family Revenue Senior Lien Housing Series A, 5.125% due 12/1/2008 | NR/BBB- | 1,150,000 | 1,168,917 | |||||
Tarrant County Health Facilities, 5.875% due 11/15/2007 (Adventist/Sunbelt Health System Project) | A2/A | 580,000 | 615,444 | |||||
Tarrant County Health Facilities, 6.00% due 11/15/2009 (Adventist/Sunbelt Health System Project) | A2/A | 650,000 | 708,623 | |||||
Tarrant County Health Facilities, 6.10% due 11/15/2011 (Adventist/Sunbelt Health System Project) | A2/A | 730,000 | 806,679 | |||||
Tarrant County Health Facilities Development Corp., 5.75% due 2/15/2011 (Texas Health Resources Project; Insured: MBIA) | Aaa/AAA | 1,400,000 | 1,513,050 | |||||
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 | 3,000,000 | 3,206,520 | |||||
Texarkana Health Facilities Development Corp. Hospital Revenue, 5.75% due 10/1/2008 (Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,620,030 |
32 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Texas Affordable Housing Corp. Portfolio A, 4.85% due 9/1/2012 (Insured: MBIA) | Aaa/AAA | $ | 2,000,000 | $ | 1,999,920 | |||
Texas Affordable Housing Corp. Series A, 4.85% due 9/1/2012 (Insured: MBIA) | Aaa/AAA | 1,945,000 | 1,984,600 | |||||
Texas Public Finance Authority Building Revenue State Preservation Project Series B, 6.00% due 8/1/2011 pre-refunded 8/1/2009 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,108,560 | |||||
Texas State Turnpike Authority Central Texas Turnpike Systems Rev. Bond Anticipation Note 2nd Tier, 5.00% due 6/1/2008 | Aa3/AA | 7,000,000 | 7,393,610 | |||||
Travis County GO, 5.00% due 3/1/2007 | Aaa/AAA | 1,000,000 | 1,038,470 | |||||
Travis County GO, 5.00% due 3/1/2010 | Aaa/AAA | 500,000 | 522,405 | |||||
Travis County Health Facilities Development Corp. Revenue Ascension Health Credit Series A, 5.75% due 11/15/2007 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,066,210 | |||||
Travis County Health Facilities Development Corp. Revenue Ascension Health Credit Series A, 5.75% due 11/15/2008 (Insured: MBIA) | Aaa/AAA | 2,300,000 | 2,490,808 | |||||
Travis County Health Facilities Development Corp. Revenue Series A, 5.75% due 11/15/2009 (Insured: MBIA) | Aaa/AAA | 3,750,000 | 4,105,350 | |||||
Travis County Health Facilities Development Series A, 5.75% due 11/15/2010 (Ascension Health Project; Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,196,680 | |||||
Washington County Health Facilities Development Corp. Revenue, 5.35% due 6/1/2009 (Insured: ACA) | NR/A | 2,020,000 | 2,139,746 | |||||
West Harris County Regional Water, 5.25% due 12/15/2010 (Insured: FSA) | Aaa/AAA | 1,700,000 | 1,852,847 | |||||
West Harris County Regional Water, 5.25% due 12/15/2011 (Insured: FSA) | Aaa/AAA | 2,315,000 | 2,528,235 | |||||
West Harris County Regional Water, 5.25% due 12/15/2012 (Insured: FSA) | Aaa/AAA | 2,435,000 | 2,664,377 | |||||
UTAH — 0.66% | ||||||||
Intermountain Power Agency Power Supply Revenue Series A, 5.00% due 7/1/2012 (ETM) | Aaa/AAA | 4,355,000 | 4,364,146 | |||||
Intermountain Power Agency Utah Power Supply Series E, 6.25% due 7/1/2009 (Insured: FSA) | Aaa/AAA | 500,000 | 557,595 | |||||
Salt Lake County Municipal Building, 5.50% due 10/1/2009 | Aa1/AA+ | 1,500,000 | 1,636,305 | |||||
Snyderville Basin Sewer Improvement, 5.00% due 11/1/2006 (Insured: AMBAC) | Aaa/AAA | 675,000 | 698,996 | |||||
Utah Board Regents Auxiliary Systems & Student Fee Revenue Refunding Series A, 5.00% due 5/1/2010 | NR/AA | 510,000 | 545,501 | |||||
Utah State University Hospital Board of Regents Revenue, 5.50% due 8/1/2005 (Insured: AMBAC) | Aaa/AAA | 500,000 | 505,105 | |||||
Utah State University Hospital Board of Regents Revenue, 5.25% due 8/1/2008 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,060,700 | |||||
VERMONT — 0.03% | ||||||||
Vermont Educational & Health Buildings Financing Agency Revenue, 6.00% due 9/1/2006 (Northwestern Medical Center Project) | NR/BBB | 470,000 | 480,951 | |||||
VIRGINIA — 0.87% | ||||||||
Alexandria Industrial Development Authority Revenue, 5.75% due 10/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,010,000 | 1,077,933 | |||||
Alexandria Industrial Development Authority Revenue, 5.75% due 10/1/2008 (Insured: AMBAC) | Aaa/AAA | 1,070,000 | 1,163,368 | |||||
Alexandria Industrial Development Authority Revenue, 5.75% due 10/1/2009 (Insured: AMBAC) | Aaa/AAA | 1,130,000 | 1,244,401 | |||||
Alexandria Industrial Development Authority Revenue, 5.75% due 10/1/2010 (Insured: AMBAC) | Aaa/AAA | 1,195,000 | 1,332,891 | |||||
Chesterfield County Industrial Development, 5.50% due 10/1/2009 (Vepco Project) | A3/BBB+ | 1,500,000 | 1,569,375 | |||||
Hampton GO Refunding Bond, 5.85% due 3/1/2007 | Aa2/AA | 545,000 | 552,592 | |||||
Hampton Hospital Facilities Revenue Series A, 5.00% due 11/1/2005 | Aa2/AA | 500,000 | 506,950 | |||||
Norton Industrial Development Authority Hospital Revenue Refunding Improvement, 5.75% due 12/1/2012 (Norton Community Hospital Project; Insured: ACA) | NR/A | 1,460,000 | 1,594,700 | |||||
Suffolk Redevelopment Housing Authority Refunding, 4.85% due 7/1/2031 put 7/1/2011 (Windsor at Potomac Project; Collateralized: FNMA) | Aaa/NR | 3,000,000 | 3,156,570 | |||||
WASHINGTON — 3.84% | ||||||||
Conservation & Renewable Energy Systems Revenue Refunding, 5.00% due 10/1/2007 (Washington Conservation Project) | Aaa/AA- | 1,000,000 | 1,048,070 | |||||
Energy Northwest Washington Electric Revenue Refunding Series A, 5.375% due 7/1/2013 (Project Number 1; Insured: FSA) | Aaa/AAA | 2,000,000 | 2,181,960 |
Certified Semi-Annual Report | 33 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Energy Northwest Washington Revenue Series A, 4.75% due 7/1/2007 (Wind Project) | A3/A- | $ | 1,675,000 | $ | 1,709,270 | |||
Energy Northwest Washington Revenue Series A, 4.95% due 7/1/2008 (Wind Project) | A3/A- | 1,760,000 | 1,852,048 | |||||
Energy Northwest Washington Revenue Series B, 4.95% due 7/1/2008 (Wind Project) | A3/A- | 705,000 | 724,966 | |||||
Energy Northwest Washington Revenue Series B, 5.20% due 7/1/2010 (Wind Project) | A3/A- | 785,000 | 836,268 | |||||
Grant County Priest Rapids Hydroelectric, 6.00% due 1/1/2006 (Insured: AMBAC) | Aaa/AAA | �� | 335,000 | 343,388 | ||||
Lewis County Public Utility District Refunding, 5.00% due 10/1/2007 | Aaa/AA- | 1,880,000 | 1,970,842 | |||||
Seattle Municipal Light & Power Revenue Refunding, 4.75% due 7/1/2007 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,038,860 | |||||
Spokane County School District GO, 0% due 6/1/2014 (Insured: MBIA) | Aaa/AAA | 1,600,000 | 1,403,024 | |||||
Spokane County School District Number 354 Mead Refunding, 4.00% due 12/1/2008 (Insured: MBIA) | Aaa/AAA | 1,375,000 | 1,415,466 | |||||
Spokane Regional Solid Waste Refunding, 5.00% due 12/1/2005 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,015,160 | |||||
Spokane Regional Solid Waste Refunding, 5.00% due 12/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,032,850 | |||||
Spokane Regional Solid Waste Refunding, 5.25% due 12/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,053,080 | |||||
Spokane Washington Refunding, 5.00% due 12/15/2009 | A2/AA- | 2,150,000 | 2,231,550 | |||||
Spokane Washington Refunding, 5.00% due 12/15/2010 | A2/AA- | 2,430,000 | 2,513,835 | |||||
University of Washington Alumni Association Lease Revenue Refunding, 4.50% due 8/15/2005 (Medical Center Project; Insured: MBIA) | Aaa/AAA | 900,000 | 906,831 | |||||
University of Washington Alumni Association Lease Revenue Refunding, 5.00% due 8/15/2006 (Medical Center Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,028,970 | |||||
University of Washington Alumni Association Lease Revenue Refunding, 5.00% due 8/15/2007 (Medical Center Project; Insured: MBIA) | Aaa/AAA | 1,100,000 | 1,148,334 | |||||
Washington Health Care Facilities, 5.50% due 12/1/2009 (Providence Services Project; Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,626,510 | |||||
Washington Public Power Supply, 5.40% due 7/1/2012 (Insured: FSA) | Aaa/AAA | 900,000 | 985,671 | |||||
Washington Public Power Supply Refunding Series A, 5.00% due 7/1/2011 (Insured: FSA) | Aaa/AAA | 2,500,000 | 2,652,425 | |||||
Washington Public Power Supply System Refunding Revenue, 0% due 7/1/2008 (Nuclear Project Number 3) | Aaa/AA- | 1,140,000 | 1,019,411 | |||||
Washington Public Power Supply System Series 96-A, 6.00% due 7/1/2006 (Insured: MBIA) | Aaa/AAA | 1,655,000 | 1,720,571 | |||||
Washington Public Power Supply Systems, 6.00% due 7/1/2008 (Nuclear Project Number 1; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,087,650 | |||||
Washington Public Power Supply Systems Revenue Refunding Series A, 5.10% due 7/1/2010 (Nuclear Project Number 2; Insured: FSA) | Aaa/AAA | 1,000,000 | 1,059,950 | |||||
Washington Public Power Supply Systems Revenue Refunding Series B, 0% due 7/1/2008 (Nuclear Project Number 3) | Aaa/AA- | 830,000 | 742,203 | |||||
Washington State Motor Vehicle Fuel Tax Series B, 5.00% due 7/1/2007 (Insured: FGIC) | Aaa/AAA | 5,075,000 | 5,301,903 | |||||
Washington State Public Power Supply Systems Revenue Refunding Series A, 6.00% due 7/1/2007 (Nuclear Project Number 1; Insured: AMBAC) | Aaa/AAA | 5,000,000 | 5,277,500 | |||||
Washington State Series A, 5.00% due 7/1/2008 (Insured: FGIC) | Aaa/AAA | 6,810,000 | 7,208,930 | |||||
WEST VIRGINIA — 0.29% | ||||||||
Harrison County Nursing Facility Revenue Refunding, 5.625% due 9/1/2010 (Salem Health Care Corp. Project; LOC: Fleet Bank) | NR/NR | 455,000 | 465,242 | |||||
Pleasants County Pollution Control Revenue, 4.70% due 11/1/2007 (Monongahela Power Co. Project; Insured: AMBAC) | Aaa/AAA | 1,500,000 | 1,565,445 | |||||
West Virginia Statewide Commission Lottery Revenue Series 1997-A, 5.50% due 7/1/2005 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,015,800 | |||||
WISCONSIN — 1.37% | ||||||||
Bradley Pollution Control Revenue, 6.75% due 7/1/2009 (Owens Illinois Waste Project) (ETM) | Ba1/BB+ | 1,500,000 | 1,699,095 | |||||
Milwaukee Wisconsin Corp. Series R GO, 5.50% due 9/1/2009 | Aa2/AA | 2,200,000 | 2,394,788 | |||||
Wisconsin State Health & Educational Facilities, 5.00% due 8/15/2009 (Aurora Health Care Inc. Project; Insured: MBIA) | Aaa/AAA | 2,835,000 | 2,987,665 | |||||
Wisconsin State Health & Educational Facilities Authority, 5.90% due 8/15/2005 (Wheaton Franciscan Services Inc. Project; Insured: MBIA) | Aaa/AAA | 800,000 | 810,184 | |||||
Wisconsin State Health & Educational Facilities Authority Revenue, 6.00% due 8/15/2008 (Aurora Health Care Inc. Project; Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,159,880 |
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SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | ||||||
Wisconsin State Health & Educational Facilities Authority Revenue Series A, 5.00% due 2/15/2009 (Gundersen Lutheran Hospital Project; Insured: FSA) | Aaa/AAA | $ | 1,860,000 | $ | 1,968,085 | ||||
Wisconsin State Health & Educational Facilities Hospital Sisters Services Inc., 4.50% due 12/1/2023 put 12/1/2007 (Insured: FSA) | Aaa/NR | 5,825,000 | 6,015,652 | ||||||
Wisconsin State Health & Educational Series A, 5.00% due 2/15/2008 (Gundersen Lutheran Hospital Project; Insured: FSA) | Aaa/AAA | 1,250,000 | 1,310,875 | ||||||
WYOMING — 0.27% | |||||||||
West Park Hospital District Revenue, 5.90% due 7/1/2010 (Insured: ACA) | NR/A | 1,615,000 | 1,681,344 | ||||||
Wyoming Farm Loan Board Revenue, 0% due 4/1/2009 | NR/AA | 2,500,000 | 2,143,800 | ||||||
TOTAL INVESTMENTS — 102.77% (COST $ 1,425,197,346) | $ | 1,449,081,023 | |||||||
LIABILITIES NET OF OTHER ASSETS — (2.77)% | (39,051,514 | ) | |||||||
NET ASSETS — 100.00% | $ | 1,410,029,509 | |||||||
Footnote Legend
See notes to financial statements.
† | Credit ratings are unaudited. Rating changes may have occurred prior to or subsequent to the reporting period end. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ACA | Insured by American Capital Access | |
AGC | Insured by Asset Guaranty Corp. | |
AMBAC | Insured by American Municipal Bond Assurance Corp. | |
BONY | Letter of Credit from Bank of New York | |
COP | Certificates of Participation | |
ETM | Escrowed to Maturity | |
FGIC | Insured by Financial Guaranty Insurance Co. | |
FHA | Insured by Federal Housing Administration | |
FNMA | Collateralized by Federal National Mortgage Association | |
FSA | Insured by Financial Security Assurance Co. | |
GO | General Obligation | |
MBIA | Insured by Municipal Bond Investors Assurance | |
PSF | Guaranteed by Permanent School Fund | |
RADIAN | Insured by Radian Asset Assurance | |
SONYMA | State of New York Mortgage Authority | |
XLCA | Insured by XL Capital Assurance |
SUMMARY OF SECURITY CREDIT RATINGS †
Ratings are a blend of Moody’s and Standard & Poor’s, using the higher rating. Some bonds are rated by only one service.
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Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
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 September 30, 2004 and held until March 31, 2005.
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 Account Value 9/30/04 | Ending Account Value 3/31/05 | Expenses Paid During Period† 9/30/04–3/31/05 | |||||||
Class I Shares | |||||||||
Actual | $ | 1,000 | $ | 998.80 | $ | 2.86 | |||
Hypothetical* | $ | 1,000 | $ | 1,022.07 | $ | 2.89 |
† | Expenses are equal to the annualized expense ratio for Class I shares (0.57%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
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Thornburg Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
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 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.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files 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. The Fund’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, or may be reviewed and 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.
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Trustees’ Statement to Shareholders
February 8, 2005
The Trustees are concerned that recent commentaries and opinions reported in the media may confuse investors in general as to the supervisory duties of trustees of mutual funds and, in particular, leave Thornburg Investment Trust shareholders uncertain regarding how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. We decided to spell out clearly three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf.
We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.
Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders’ returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.
Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.
This statement is submitted for the general information of the shareholders of Thornburg Investment Trust. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money.
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Planning Options
Retirement and Education Accounts
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs – Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 701/2, even if you are covered by an employer retirement plan.
Roth IRAs – Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our web site at www.thornburg.com/ira.
SEP IRAs – Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employee’s SEP IRA on a discretionary basis.
SIMPLE IRAs – Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employee’s SIMPLE IRA. Employees may make salary deferral contributions.
403(b)
A special, tax-advantaged savings vehicle available only to employees of 501(c)(3) organizations, such as charitable, educational, scientific and religious organizations. 403(b) plans are also available to employees of public schools and universities.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
• | Thornburg International Value Fund |
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
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The Firm
Thornburg Investment Management is a privately held investment management company based in Santa Fe, New Mexico with assets under management of over $13 billion. Founded in 1982, the firm manages four equity funds, eight bond funds, and separate portfolios for select institutions and individuals.
Investment Philosophy
We seek to preserve and increase the real wealth of the Funds’ shareholders after accounting for inflation, taxes, and investment expenses. We’re committed to disciplined investing and controlling risk in all market environments through laddered bond and focused equity portfolios.
Portfolio Holdings Disclosure
We believe you should know what is in your portfolio. Our web site keeps investors informed of the Funds’ equity holdings. Go to www.thornburg.com/funds for portfolio manager commentary on our equity fund holdings.
Co-Ownership of Funds
We invest side-by-side with the Funds’ shareholders. Our employees have invested over $100 million in Thornburg Funds.
Core Strategies for Building Wealth
We deliver core strategies to help investors meet long-term goals. A core strategy is a consistent, disciplined and proven investment process that represents the foundation of a diversified portfolio.
INVESTMENT MANAGER
Thornburg Investment Management, Inc.
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
PRINCIPAL UNDERWRITER
Thornburg Securities Corporation
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
www.thornburg.com
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Core Strategies for Building Wealth
Thornburg California Limited Term Municipal Fund
Semi-Annual Report – March 31, 2005
This report and the accompanying brochure are submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/ download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money. Performance data quoted represents past performance and does not guarantee future results.
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Thornburg California Limited Term Municipal Fund
Laddering – an All Weather Strategy
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.
The Fund offers California investors double tax-free yields (may be subject to Alternative Minimum Tax) in a laddered municipal bond portfolio with an average maturity of five years or less. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio matures each year; cash from maturing bonds, if not needed for other purposes, is invested in bonds with longer maturities at the far end of the ladder. The strategy is a good compromise for managing different types of risk.
Thornburg Bond Funds
• | Thornburg Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term 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 invests in short- and intermediate-term investment grade bonds. We ladder the maturities of individual bonds in the portfolios to moderate risk. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio will mature each year. We apply this disciplined process in all interest rate environments.
Thornburg Equity Funds
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
Thornburg’s equity research uses a fundamental, yet comprehensive, analytical approach. We invest when and where we perceive the most compelling value. Thornburg equity funds focus on a limited number of securities so that each holding can have a material impact on performance. The equity team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic value.
More information at www.thornburg.com
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Thornburg California Limited Term Municipal Fund
March 31, 2005
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
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Important Information
Performance data represent past performance and do not guarantee future results. Investment return and principal value will fluctuate. Upon redemption, shares may be worth more or less than their original cost. Current returns may be lower or higher than those shown. For performance current to the most recent month end, visit www.thornburg.com.
The maximum sales charge for the Fund’s A shares is 1.50%. C shares include a 0.50% contingent deferred sales charge (CDSC) for the first year only.
Shares in the Fund carry risks, including possible loss of principal. As with direct bond ownership, Funds that invest in bonds are subject to certain risks including interest-rate risk, credit risk, and inflation risk. The principal value of bond funds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Shares in the fund are not deposits or obligations of, or guaranteed or endorsed by, any bank, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any government agency.
The information presented on the following pages was current as of March 31, 2005. 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, sinking funds, 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.
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George Strickland
Portfolio Manager
April 15, 2005
Dear Fellow Shareholder:
I am pleased to present the Semi-Annual Report for the Thornburg California Limited Term Municipal Fund. The net asset value of the class A shares decreased by 21 cents to $12.81 during the six month period ending March 31, 2005. If you were with us for the entire period, you received dividends of 17.2 cents per share. If you reinvested dividends, you received 17.3 cents per share. Investors who owned class C shares received dividends of 15.6 and 15.7 cents per share, respectively.
Over the past six months, the municipal bond yield curve has flattened considerably. In other words, interest rates on short and intermediate bonds have risen, while the interest rates on long-term bonds have remained relatively unchanged. Since bond prices move in the opposite direction of yields, long-term bond prices have been relatively stable while short and intermediate bond prices have fallen. The class A shares of your Fund produced a total return of (0.29)% over the last six months, slightly lagging the (0.28)% return for the Lehman Five-Year Municipal Bond Index. The portion of the Fund’s ladder maturing beyond five years contributed positively to performance, while the bonds maturing in less than five years underperformed the index. Overall, these two factors generally offset each other.
We are not surprised that short and intermediate bond yields have risen. The Federal Reserve has almost tripled the targeted Fed Funds rate in the last year and is expected to keep raising rates gradually. Producer prices are rising at a 4.7% rate (up from 2.1% a year ago). Consumer prices are rising at a 3.0% rate (up from 1.7%), and the U.S. economy is growing at a nominal rate (unadjusted for inflation) of 6.4%. We haven’t seen that kind of growth since the technology stock bubble burst in the first half of 2000.
We are, however, somewhat perplexed by the stability of long-term bond yields. Market participants may be expecting the economy to falter and inflation to subside this year. While that is certainly a possibility, we believe that the more likely scenario is that economic momentum continues and inflation stays in the 3-4% range. Such a scenario should lead to higher yields for long-term bonds.
New issue municipal bond supply unexpectedly surged 10.9% over the first quarter of last year to a record $96.6 billion. The increased supply showed up just as the government bond market weakened and helped create a buyer-friendly municipal bond market. With rates on intermediate municipal bonds rising by about 0.5% over the last couple of months, we have been finding better values in bonds that mature in the five to ten year range. Though we are still conservatively positioned relative to our long-term averages, we have recently extended the duration of the Fund slightly to 3.1 years. If rates continue to rise, we would expect to continue extending duration.
Your Thornburg California Limited Term Municipal Fund is a laddered portfolio of 155 municipal obligations from all over California. Your Fund’s weighted average maturity is 4.17 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
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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 from most bond mutual funds. It will be particularly useful if interest rates continue rising, 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 shown here describes the percentages of your Fund’s bond portfolio maturing in each of the coming years.
% of portfolio maturing | Cumulative % maturing | |||||
1 year = 12.1% | Year 1 = 12.1% | |||||
1 to 2 years = 10.8% | Year 2 = 22.9% | |||||
2 to 3 years = 15.1% | Year 3 = 38.0% | |||||
3 to 4 years = 12.8% | Year 4 = 50.8% | |||||
4 to 5 years = 11.6% | Year 5 = 62.4% | |||||
5 to 6 years = 6.1% | Year 6 = 68.5% | |||||
6 to 7 years = 10.8% | Year 7 = 79.3% | |||||
7 to 8 years = 7.8% | Year 8 = 87.1% | |||||
8 to 9 years = 3.3% | Year 9 = 90.4% | |||||
Over 9 years = 9.6% | Over 9 years = 100.0% |
Percentages can and do vary. Data as of 3/31/05.
Thanks to a strong economy, California state tax revenues are running about $2 billion ahead of earlier projections, but revenues are still down 11% from their peak in 2001. Meanwhile, government spending is growing as fast as revenues, and the state is dealing with a projected $8.6 billion deficit in 2006. Debt levels are only slightly above national averages, but much higher than they were a few years ago. To reduce credit risk, we have kept 94% of the portfolio in bonds rated A or above by at least one rating agency 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 |
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STATEMENT OF ASSETS AND LIABILITIES
Thornburg California Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
ASSETS | ||||
Investments at value (cost $167,516,931) | $ | 169,635,264 | ||
Cash | 58,208 | |||
Receivable for investments sold | 10,000 | |||
Receivable for fund shares sold | 126,094 | |||
Interest receivable | 2,279,494 | |||
Prepaid expenses and other assets | 2,544 | |||
Total Assets | 172,111,604 | |||
LIABILITIES | ||||
Payable for securities purchased | 1,000,000 | |||
Payable for fund shares redeemed | 1,041,253 | |||
Payable to investment advisor and other affiliates (Note 3) | 118,507 | |||
Accounts payable and accrued expenses | 36,680 | |||
Dividends payable | 126,179 | |||
Total Liabilities | 2,322,619 | |||
NET ASSETS | $ | 169,788,985 | ||
NET ASSETS CONSIST OF: | ||||
Net unrealized appreciation on investments | $ | 2,118,333 | ||
Accumulated net realized gain (loss) | (507,427 | ) | ||
Net capital paid in on shares of beneficial interest | 168,178,079 | |||
$ | 169,788,985 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share | $ | 12.81 | ||
Maximum sales charge, 1.50% of offering price | 0.20 | |||
Maximum Offering Price Per Share | $ | 13.01 | ||
Class C Shares: | ||||
Net asset value and offering price per share * | $ | 12.82 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share | $ | 12.82 | ||
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
Certified Semi-Annual Report 7 |
Table of Contents
STATEMENT OF OPERATIONS | ||
Thornburg California Limited Term Municipal Fund | Six Months Ended March 31, 2005 (Unaudited) |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $1,406,831) | $ | 3,238,033 | ||
Total Income | 3,238,033 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 442,404 | |||
Administration fees (Note 3) | ||||
Class A Shares | 79,548 | |||
Class C Shares | 13,649 | |||
Class I Shares | 6,962 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 159,096 | |||
Class C Shares | 109,086 | |||
Transfer agent fees | ||||
Class A Shares | 22,157 | |||
Class C Shares | 9,607 | |||
Class I Shares | 10,644 | |||
Registration and filing fees | ||||
Class A Shares | 203 | |||
Class C Shares | 203 | |||
Class I Shares | 496 | |||
Custodian fees (Note 3) | 50,292 | |||
Professional fees | 12,222 | |||
Accounting fees | 11,635 | |||
Trustee fees | 5,199 | |||
Other expenses | 29,654 | |||
Total Expenses | 963,057 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (42,431 | ) | ||
Distribution and service fees waived (Note 3) | (54,543 | ) | ||
Fees paid indirectly (Note 3) | (4,537 | ) | ||
Net Expenses | 861,546 | |||
Net Investment Income | 2,376,487 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Net realized loss on investments sold | (53,022 | ) | ||
(53,022 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (2,796,551 | ) | ||
(2,796,551 | ) | |||
Net Realized and Unrealized Loss | (2,849,573 | ) | ||
Net Decrease in Net Assets Resulting From Operations | $ | (473,086 | ) | |
See notes to financial statements.
8 Certified Semi-Annual Report |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg California Limited Term Municipal Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Three Months Ended September 30, 2004 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income gain | $ | 2,376,487 | $ | 1,144,598 | ||||
Net realized loss on investments | (53,022 | ) | (33,844 | ) | ||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments | (2,796,551 | ) | 2,023,841 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (473,086 | ) | 3,134,595 | |||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (1,695,536 | ) | (841,492 | ) | ||||
Class C Shares | (263,900 | ) | (127,839 | ) | ||||
Class I Shares | (417,051 | ) | (175,267 | ) | ||||
FUND SHARE TRANSACTIONS - (Note 4) | ||||||||
Class A Shares | (13,108,206 | ) | 1,954,371 | |||||
Class C Shares | (152,287 | ) | (674,119 | ) | ||||
Class I Shares | 3,642,091 | 2,536,234 | ||||||
Net Increase (Decrease) in Net Assets | (12,467,975 | ) | 5,806,483 | |||||
NET ASSETS: | ||||||||
Beginning of period | 182,256,960 | 176,450,477 | ||||||
End of period | $ | 169,788,985 | $ | 182,256,960 | ||||
See notes to financial statements.
Certified Semi-Annual Report 9 |
Table of Contents
Thornburg California Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
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 Fund’s 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.
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.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Trust are as follows:
Valuation of Investments: In determining the net asset value, the Trust 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 Trust to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all taxable (if any) and tax exempt income, of the Fund, to the 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 and or market changes. At the time the Trust 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 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
10 Certified Semi-Annual Report |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg California Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
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.
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 period ended March 31, 2005, these fees were payable at annual rates ranging from .50 of 1% to .225 of 1% per annum of the average daily net assets of the Fund. The Trust 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% per annum of the average daily net assets attributable to each class of shares. For the period ended March 31, 2005, the Advisor voluntarily reimbursed certain class specific expenses and administrative fees of $21,729 for Class A shares, $9,663 for Class C shares, and $11,039 for Class I shares.
The Trust 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 period ended March 31, 2005, the Distributor has advised the Fund that it earned commissions aggregating $1,992 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $1,471 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 Trust also has 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 March 31, 2005, are set forth in the Statement of Operations. Distribution fees in the amount of $54,543 were waived for Class C 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 March 31, 2005, fees paid indirectly were $4,537.
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.
Certified Semi-Annual Report 11 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg California Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2005, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Six Months Ended March 31, 2005 | Three Months Ended September 30, 2004 | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 456,675 | $ | 5,918,123 | 502,652 | $ | 6,531,022 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 85,331 | 1,103,248 | 41,636 | 541,263 | ||||||||||
Shares repurchased | (1,555,305 | ) | (20,129,577 | ) | (394,425 | ) | (5,117,914 | ) | ||||||
Net Increase (Decrease) | (1,013,299 | ) | $ | (13,108,206 | ) | 149,863 | $ | 1,954,371 | ||||||
Class C Shares | ||||||||||||||
Shares sold | 192,332 | $ | 2,493,946 | 81,630 | $ | 1,061,877 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 13,905 | 179,925 | 6,991 | 90,936 | ||||||||||
Shares repurchased | (218,316 | ) | (2,826,158 | ) | (140,412 | ) | (1,826,932 | ) | ||||||
Net Increase (Decrease) | (12,079 | ) | $ | (152,287 | ) | (51,791 | ) | $ | (674,119 | ) | ||||
Class I Shares | ||||||||||||||
Shares sold | 676,286 | $ | 8,775,024 | 296,419 | $ | 3,855,573 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 25,892 | 335,056 | 11,020 | 143,387 | ||||||||||
Shares repurchased | (421,965 | ) | (5,467,989 | ) | (112,491 | ) | (1,462,726 | ) | ||||||
Net Increase (Decrease) | 280,213 | $ | 3,642,091 | 194,948 | $ | 2,536,234 | ||||||||
NOTE 5 – SECURITIES TRANSACTIONS
For the period ended March 31, 2005, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $26,111,192 and $22,991,627, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2005, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 167,516,931 | ||
Gross unrealized appreciation on a tax basis | $ | 2,871,107 | ||
Gross unrealized depreciation on a tax basis | (752,774 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 2,118,333 | ||
At March 31, 2005, 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 | ||
12 Certified Semi-Annual Report |
Table of Contents
FINANCIAL HIGHLIGHTS | ||
Thornburg California Limited Term Municipal Fund | (Unaudited)* |
*6 Months 2005 | 3 Months 2004(c) | Year Ended June 30, | ||||||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||||||
Class A Shares: | ||||||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.02 | $ | 12.87 | $ | 13.20 | $ | 12.96 | $ | 12.79 | $ | 12.59 | $ | 12.75 | ||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||
Net investment income | 0.17 | 0.08 | 0.35 | 0.38 | 0.46 | 0.54 | 0.54 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.21 | ) | 0.15 | (0.33 | ) | 0.24 | 0.17 | 0.20 | (0.16 | ) | ||||||||||||||||||
Total from investment operations | (0.04 | ) | 0.23 | 0.02 | 0.62 | 0.63 | 0.74 | 0.38 | ||||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||||||
Net investment income | (0.17 | ) | (0.08 | ) | (0.35 | ) | (0.38 | ) | (0.46 | ) | (0.54 | ) | (0.54 | ) | ||||||||||||||
Change in net asset value | (0.21 | ) | 0.15 | (0.33 | ) | 0.24 | 0.17 | 0.20 | (0.16 | ) | ||||||||||||||||||
NET ASSET VALUE, end of period | $ | 12.81 | $ | 13.02 | $ | 12.87 | $ | 13.20 | $ | 12.96 | $ | 12.79 | $ | 12.59 | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||
Total return (a) | (0.29 | )% | 1.81 | % | 0.13 | % | 4.83 | % | 5.03 | % | 6.00 | % | 3.10 | % | ||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Net investment income | 2.66 | %(b) | 2.53 | %(b) | 2.66 | % | 2.87 | % | 3.58 | % | 4.26 | % | 4.28 | % | ||||||||||||||
Expenses, after expense reductions | 1.00 | %(b) | 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 | %(b) | 0.99 | % | 0.99 | % | 0.99 | % | — | — | ||||||||||||||||
Expenses, before expense reductions | 1.03 | %(b) | 1.05 | %(b) | 1.04 | % | 1.02 | % | 1.01 | % | 1.05 | % | 1.01 | % | ||||||||||||||
Portfolio turnover rate | 13.32 | % | 4.18 | % | 23.80 | % | 26.03 | % | 25.16 | % | 15.45 | % | 21.34 | % | ||||||||||||||
Net assets at end of period (000) | $ | 119,448 | $ | 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. |
(c) | The Fund’s fiscal year-end changed to September 30. |
Certified Semi-Annual Report 13 |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg California Limited Term Municipal Fund | (Unaudited)* |
*6 Months 2005 | 3 Months 2004(c) | Year Ended June 30, | ||||||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||||||
Class C Shares: | ||||||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.03 | $ | 12.88 | $ | 13.21 | $ | 12.97 | $ | 12.80 | $ | 12.61 | $ | 12.76 | ||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||
Net investment income | 0.16 | 0.07 | 0.32 | 0.34 | 0.41 | 0.49 | 0.49 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.21 | ) | 0.15 | (0.33 | ) | 0.24 | 0.17 | 0.19 | (0.15 | ) | ||||||||||||||||||
Total from investment operations | (0.05 | ) | 0.22 | (0.01 | ) | 0.58 | 0.58 | 0.68 | 0.34 | |||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||||||
Net investment income | (0.16 | ) | (0.07 | ) | (0.32 | ) | (0.34 | ) | (0.41 | ) | (0.49 | ) | (0.49 | ) | ||||||||||||||
Change in net asset value | (0.21 | ) | 0.15 | (0.33 | ) | 0.24 | 0.17 | 0.19 | (0.15 | ) | ||||||||||||||||||
NET ASSET VALUE, end of period | $ | 12.82 | $ | 13.03 | $ | 12.88 | $ | 13.21 | $ | 12.97 | $ | 12.80 | $ | 12.61 | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||
Total return (a) | (0.42 | )% | 1.75 | % | (0.12 | )% | 4.51 | % | 4.60 | % | 5.49 | % | 2.73 | % | ||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Net investment income | 2.42 | %(b) | 2.28 | %(b) | 2.41 | % | 2.56 | % | 3.15 | % | 3.86 | % | 3.88 | % | ||||||||||||||
Expenses, after expense reductions | 1.25 | %(b) | 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 | %(b) | 1.24 | % | 1.30 | % | 1.37 | % | — | — | ||||||||||||||||
Expenses, before expense reductions | 1.84 | %(b) | 1.87 | %(b) | 1.86 | % | 1.80 | % | 1.86 | % | 2.01 | % | 1.94 | % | ||||||||||||||
Portfolio turnover rate | 13.32 | % | 4.18 | % | 23.80 | % | 26.03 | % | 25.16 | % | 15.45 | % | 21.34 | % | ||||||||||||||
Net assets at end of period (000) | $ | 21,434 | $ | 21,941 | $ | 22,363 | $ | 22,487 | $ | 16,081 | $ | 6,392 | $ | 7,411 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
(c) | The Fund’s fiscal year-end changed to September 30. |
14 Certified Semi-Annual Report |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg California Limited Term Municipal Fund | (Unaudited)* |
*6 Months 2005 | 3 Months 2004(c) | Year Ended June 30, | ||||||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.03 | $ | 12.89 | $ | 13.22 | $ | 12.97 | $ | 12.79 | $ | 12.60 | $ | 12.75 | ||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||
Net investment income | 0.19 | 0.09 | 0.39 | 0.42 | 0.51 | 0.59 | 0.58 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.21 | ) | 0.14 | (0.33 | ) | 0.25 | 0.18 | 0.19 | (0.15 | ) | ||||||||||||||||||
Total from investment operations | (0.02 | ) | 0.23 | 0.06 | 0.67 | 0.69 | 0.78 | 0.43 | ||||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||||||
Net investment income | (0.19 | ) | (0.09 | ) | (0.39 | ) | (0.42 | ) | (0.51 | ) | (0.59 | ) | (0.58 | ) | ||||||||||||||
Change in net asset value | (0.21 | ) | 0.14 | (0.33 | ) | 0.25 | 0.18 | 0.19 | (0.15 | ) | ||||||||||||||||||
NET ASSET VALUE, end of period | $ | 12.82 | $ | 13.03 | $ | 12.89 | $ | 13.22 | $ | 12.97 | $ | 12.79 | $ | 12.60 | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||
Total return (a) | (0.13 | )% | 1.81 | % | 0.46 | % | 5.27 | % | 5.48 | % | 6.28 | % | 3.50 | % | ||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Net investment income | 2.99 | %(b) | 2.85 | %(b) | 2.99 | % | 3.20 | % | 3.92 | % | 4.60 | % | 4.60 | % | ||||||||||||||
Expenses, after expense reductions | 0.67 | %(b) | 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 | %(b) | 0.67 | % | 0.65 | % | 0.65 | % | — | — | ||||||||||||||||
Expenses, before expense reductions | 0.75 | %(b) | 0.77 | %(b) | 0.78 | % | 0.75 | % | 0.84 | % | 0.98 | % | 0.79 | % | ||||||||||||||
Portfolio turnover rate | 13.32 | % | 4.18 | % | 23.80 | % | 26.03 | % | 25.16 | % | 15.45 | % | 21.34 | % | ||||||||||||||
Net assets at end of period (000) | $ | 28,907 | $ | 25,728 | $ | 22,929 | $ | 20,592 | $ | 10,133 | $ | 5,520 | $ | 5,793 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
(c) | The Fund’s fiscal year-end changed to September 30. |
Certified Semi-Annual Report 15 |
Table of Contents
Thornburg California Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
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
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
ABAG Finance Authority, 4.75% due 10/1/2011 (California School of Mechanical Arts Project) | A3/NR | $ | 435,000 | $ | 456,432 | |||
ABAG Finance Authority, 4.75% due 10/1/2012 (California School of Mechanical Arts Project) | A3/NR | 455,000 | 476,026 | |||||
Alameda COP, 4.60% due 5/1/2011 | NR/A+ | 425,000 | 448,736 | |||||
Alum Rock Union Elementary School District GO Refunding Bonds, 8.00% due 9/1/2006 (Insured: FGIC) | Aaa/AAA | 295,000 | 317,063 | |||||
Alum Rock Union Elementary School District GO Refunding Bonds, 8.00% due 9/1/2007 (Insured: FGIC) | Aaa/AAA | 380,000 | 426,105 | |||||
Bay Area Government Associates Lease Series 2002, 5.00% due 7/1/2005 (Insured: AMBAC) | Aaa/AAA | 785,000 | 790,369 | |||||
Bay Area Government Associates Lease Series 2002, 4.00% due 7/1/2006 (Insured: AMBAC) | Aaa/AAA | 765,000 | 778,724 | |||||
Bay Area Government Association Rapid Transit, 4.875% due 6/15/2009 (Insured: AMBAC) | Aaa/AAA | 835,000 | 836,653 | |||||
Bonita Unified School District COP Refunding, 4.50% due 5/1/2009 (Insured: MBIA) | Aaa/AAA | 750,000 | 791,145 | |||||
Bonita Unified School District COP Refunding, 4.50% due 5/1/2010 (Insured: MBIA) | Aaa/AAA | 700,000 | 741,251 | |||||
California Health Facilities Financing, 5.50% due 10/1/2006 (Sisters of Providence Project) | Aa3/AA | 1,235,000 | 1,284,202 | |||||
California Health Facilities Financing Authority Revenue Series B Refunding, 5.25% due 10/1/2013 (Kaiser Permanente Project) (ETM) | A3/AAA | 2,000,000 | 2,144,380 | |||||
California Health Facilities Financing Revenue, 6.40% due 10/1/2005 (Sisters of Providence Project) | Aa3/AA | 700,000 | 702,086 | |||||
California Housing Finance Authority Revenue Series 1985-B, 9.875% due 2/1/2017 | Aa2/AA- | 670,000 | 685,450 | |||||
California Infrastructure & Economic Development Bank Revenue, 5.00% due 7/1/2010 (Bay Area Toll Bridges Project; Insured: FSA) | Aaa/AAA | 1,000,000 | 1,088,320 | |||||
California Mobile Home Park Financing Series A, 4.75% due 11/15/2010 (Rancho Vallecitos Project; Insured: ACA) | NR/A | 500,000 | 521,505 | |||||
California Mobile Home Park Financing Series A, 5.00% due 11/15/2013 (Rancho Vallecitos Project; Insured: ACA) | NR/A | 570,000 | 596,585 | |||||
California Pollution Control Financing Authority Series A, 5.90% due 6/1/2014 (San Diego Gas & Electric Project) | A2/A- | 300,000 | 333,912 | |||||
California Pollution Control Solid Waste Authority, 6.75% due 7/1/2011 (ETM) | Aaa/NR | 2,650,000 | 2,905,460 | |||||
California Pollution Control Solid Waste Authority Series B, 4.45% due 7/1/2027 put 7/1/2005 (Waste Management Inc. Project) | NR/BBB | 1,500,000 | 1,503,840 | |||||
California Rural HMFA Single Family Mortgage Revenue, 5.25% due 6/1/2010 (Collateralized: GNMA/FNMA) | NR/AAA | 45,000 | 45,129 | |||||
California Rural HMFA Single Family Mortgage Revenue, 5.65% due 6/1/2010 (Collateralized: GNMA/FNMA) | NR/AAA | 20,000 | 20,068 | |||||
California State, 6.40% due 2/1/2006 (Insured: MBIA) | Aaa/AAA | 500,000 | 516,070 | |||||
California State, 7.50% due 10/1/2007 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,223,400 | |||||
California State, 6.60% due 2/1/2010 (Insured: MBIA) | Aaa/AAA | 560,000 | 642,281 | |||||
California State, 6.50% due 9/1/2010 (Insured: AMBAC) | Aaa/AAA | 1,250,000 | 1,444,200 | |||||
California State, 5.50% due 3/1/2012 (Insured: FGIC) | Aaa/AAA | 230,000 | 234,929 | |||||
California State Department of Water Resources Power Series A, 5.50% due 5/1/2011 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,226,680 | |||||
California State Department of Water Resources Power Supply Series A, 5.50% due 5/1/2008 | A2/BBB+ | 2,580,000 | 2,756,756 | |||||
California State Department of Water Resources Power Supply Series A, 5.25% due 5/1/2009 (Insured: MBIA) | Aaa/AAA | 800,000 | 865,792 | |||||
California State Economic Recovery Series A, 5.00% due 1/1/2008 | Aa3/AA- | 1,000,000 | 1,052,370 | |||||
California State Public Works Board Lease Revenue, 5.50% due 6/1/2010 (Various Universities Project) | Aa2/AA- | 530,000 | 576,317 | |||||
California State Public Works Lease Series A, 5.50% due 1/1/2017 (Department of Corrections Project) | Aaa/AAA | 3,285,000 | 3,413,805 | |||||
California State Refunding, 5.75% due 10/1/2010 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,122,310 | |||||
California State Veterans Bonds, 9.50% due 2/1/2010 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,272,810 |
16 Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg California Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
California Statewide Community Development Authority, 5.00% due 7/1/2005 (Insured: FSA) | Aaa/AAA | $ | 1,000,000 | $ | 1,006,720 | |||
California Statewide Community Development Authority COP, 5.25% due 7/1/2010 (St Joseph Health Systems Project) | Aa3/AA- | 560,000 | 597,503 | |||||
California Statewide Community Development Authority COP, 5.30% due 12/1/2015 (ETM) | Aaa/AAA | 2,600,000 | 2,731,690 | |||||
California Statewide Community Development Authority Revenue, 5.125% due 6/1/2008 (Louisiana Orthopedic Hospital Foundation Project; Insured: AMBAC) | Aaa/AAA | 595,000 | 627,784 | |||||
California Statewide Community Development Authority Revenue COP, 6.50% due 8/1/2012 (Cedars Sinai Center Hospital Project; Insured: MBIA) | Aaa/AAA | 935,000 | 1,028,210 | |||||
California Statewide Community Development Authority Revenue Series B, 5.00% due 6/1/2008 (Hospital Monterey Peninsula Project; Insured: FSA) | NR/AAA | 1,110,000 | 1,178,964 | |||||
California Statewide Community Development Authority Revenue Series B, 5.00% due 6/1/2009 (Hospital Monterey Peninsula Project; Insured: FSA) | NR/AAA | 1,180,000 | 1,266,954 | |||||
California Statewide Community Development Authority Revenue Series D, 4.35% due 11/1/2036 put 3/1/2007 (Kaiser Permanente Project) | A3/A-1 | 1,000,000 | 1,018,020 | |||||
California Statewide Community Development Authority Series 1996-A, 6.00% due 9/1/2005 (San Gabriel Medical Center Project) (ETM) | NR/NR | 1,000,000 | 1,014,080 | |||||
California Statewide Community Development Authority Series E, 3.875% due 4/1/2032 put 4/1/2010 (Kaiser Permanente Project) | NR/A | 1,000,000 | 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 | 1,000,000 | 981,500 | |||||
California Statewide Community Development Series E, 4.70% due 11/1/2036 put 6/1/2009 (Kaiser Permanente Project) | VMIG2/A-1 | 2,000,000 | 2,078,440 | |||||
Capistrano Unified School District 92-1 Community Facilities District Special Tax, 7.10% due 9/1/2021 pre-refunded 9/1/2007 | NR/NR | 920,000 | 1,013,435 | |||||
Castaic Lake Water Agency COP Refunding Series A, 7.25% due 8/1/2007 (Water Systems Improvement Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,098,780 | |||||
Castaic Lake Water Agency Refunding Water Systems Improvement Project Series A, 7.25% due 8/1/2009 (Insured: MBIA) | Aaa/AAA | 100,000 | 116,383 | |||||
Central Union High School District Imperial County Refunding, 5.00% due 8/1/2011 (Insured: FGIC) | Aaa/AAA | 780,000 | 852,953 | |||||
Central Union High School District Imperial County Refunding, 5.00% due 8/1/2012 (Insured: FGIC) | Aaa/AAA | 830,000 | 906,227 | |||||
Central Valley Financing Authority Revenue, 6.00% due 7/1/2009 (Carson Ice Project) | NR/BBB | 620,000 | 641,080 | |||||
Central Valley School Districts Financing Authority, 0% due 2/1/2007 (Insured: MBIA) | Aaa/AAA | 205,000 | 194,178 | |||||
Coachella Valley California Unified School District COP Refunding, 5.00% due 9/1/2012 (Insured: MBIA) | Aaa/AAA | 800,000 | 869,056 | |||||
East Side Union High School District Santa Clara County Series B, 6.625% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 500,000 | 507,215 | |||||
East Side Union High School District Santa Clara County Series B, 6.625% due 8/1/2006 (Insured: MBIA) | Aaa/AAA | 700,000 | 736,911 | |||||
East Side Union High School District Santa Clara County Series B, 6.625% due 8/1/2007 (Insured: MBIA) | Aaa/AAA | 840,000 | 912,299 | |||||
El Monte COP Senior Department Public Services Facility Phase II, 5.00% due 1/1/2009 (Insured: AMBAC) | Aaa/AAA | 2,730,000 | 2,878,894 | |||||
Emeryville Public Financing Authority Revenue Series A, 5.00% due 9/1/2012 (Emeryville Redevelopment Project; Insured: AMBAC) | Aaa/AAA | 2,295,000 | 2,507,127 | |||||
Escondido Joint Powers Financing Authority Lease Revenue Refunding, 0% due 9/1/2013 (California Center For The Arts Project; Insured: AMBAC) | Aaa/AAA | 500,000 | 300,910 | |||||
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 | 3,015,000 | 3,077,079 | |||||
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 | 400,000 | 411,636 |
Certified Semi-Annual Report 17 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg California Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Hawaiian Gardens Redevelopment Agency Refunding, 5.50% due 12/1/2008 | NR/BBB+ | $ | 575,000 | $ | 613,059 | |||
Imperial Irrigation District COP, 6.50% due 11/1/2007 (Electric Systems Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,071,700 | |||||
Irwindale Community Redevelopment Agency, 6.60% due 8/1/2018 pre-refunded 8/1/2005 | Baa3/NR | 1,000,000 | 1,030,400 | |||||
Julian Union High School District, 4.875% due 11/1/2005 (Insured: MBIA) | Aaa/AAA | 155,000 | 157,148 | |||||
Kern High School District, 7.00% due 8/1/2010 (ETM) | Aaa/NR | 165,000 | 195,065 | |||||
Kern High School District Refunding Series A, 6.30% due 8/1/2011 (Insured: MBIA) | Aaa/AAA | 500,000 | 572,860 | |||||
Kern High School District Series B, 9.00% due 8/1/2006 (ETM) | Aaa/AAA | 680,000 | 736,222 | |||||
Los Angeles Community Redevelopment Agency, 5.00% due 7/1/2009 (Cinerama Dome Public Parking Project; Insured: ACA) | NR/A | 835,000 | 877,618 | |||||
Los Angeles Community Redevelopment Agency, 5.75% due 7/1/2010 (Cinerama Dome Public Parking Project; Insured: ACA) | NR/A | 435,000 | 473,706 | |||||
Los Angeles Convention & Exhibition Center, 9.00% due 12/1/2020 pre-refunded 12/1/2005 | Aaa/AAA | 5,000 | 5,217 | |||||
Los Angeles Convention & Exhibition Center Authority Certificates Refunding, 0% due 8/15/2005 (Insured: AMBAC) | Aaa/AAA | 275,000 | 272,621 | |||||
Los Angeles COP, 5.00% due 2/1/2012 (Insured: MBIA) | Aaa/AAA | 1,400,000 | 1,516,942 | |||||
Los Angeles County Capital Asset, 5.00% due 4/1/2008 (Insured: AMBAC) | Aaa/AAA | 2,000,000 | 2,121,020 | |||||
Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue, 9.00% due 7/1/2007 (Insured: MBIA) | Aaa/AAA | 1,700,000 | 1,928,157 | |||||
Los Angeles County Public Works Refunding Series A, 5.00% due 12/1/2008 (Master Refunding Project) | Aaa/AAA | 2,000,000 | 2,140,200 | |||||
Los Angeles Department Airport Revenue Refunding Series A, 5.50% due 5/15/2010 pre-refunded 5/15/2005 (Insured: FGIC) | Aaa/AAA | 700,000 | 709,800 | |||||
Los Angeles Department of Water & Power Revenue Refunding Series A Subseries A-1, 5.00% due 7/1/2008 (Power Systems Project) | Aa3/AA- | 1,000,000 | 1,066,240 | |||||
Los Angeles Department of Water & Power Revenue Series A, 5.25% due 7/1/2011 (Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,315,300 | |||||
Los Angeles Multi Family Revenue, 5.85% due 12/1/2027 put 12/01/2007 (Collateralized: FNMA) | NR/AAA | 1,935,000 | 1,997,404 | |||||
Los Angeles Regional Airport Lease Refunding, 5.25% due 1/1/2009 (Facilities Laxfuel Corp. LA International Project; Insured: AMBAC) | Aaa/AAA | 1,590,000 | 1,669,770 | |||||
Los Angeles Unified School District Series E, 5.50% due 7/1/2012 (Insured: MBIA) | Aaa/AAA | 2,500,000 | 2,807,375 | |||||
Milpitas California Agency Tax Allocation Redevelopment Project Area No 1, 5.00% due 9/1/2015 | Aaa/AAA | 2,000,000 | 2,139,760 | |||||
Moorpark Mobile Home Park Revenue Series A, 5.80% due 5/15/2010 (Villa Delaware Arroyo Project; Insured: ACA) | NR/A | 1,205,000 | 1,228,522 | |||||
New Haven Unified School District Refunding, 12.00% due 8/1/2006 (Insured: FSA) | Aaa/AAA | 1,400,000 | 1,567,034 | |||||
New Haven Unified School District Refunding, 12.00% due 8/1/2008 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,277,390 | |||||
Northern California Power Agency Public Power Revenue, 5.65% due 7/1/2007 (Geothermal Project 3-A) (ETM) | Baa2/BBB+ | 360,000 | 382,367 | |||||
Northern California Power Agency Public Power Revenue, 5.65% due 7/1/2007 | Baa2/BBB+ | 340,000 | 358,047 | |||||
Northern California Power Agency Public Power Revenue Series A, 5.00% due 7/1/2009 (Geothermal Project Number 3) | Baa2/A- | 4,000,000 | 4,004,720 | |||||
Oakland Redevelopment Agency, 7.40% due 5/1/2007 (Insured: AMBAC) | Aaa/AAA | 40,000 | 40,164 | |||||
Ontario Montclair School District COP Refunding, 3.80% due 9/1/2028 put 8/31/2007 (School Facility Bridge Funding Project; Insured: FSA) | VMIG1/A-1 | 1,705,000 | 1,705,989 | |||||
Orange County Airport Revenue Bond, 6.00% due 7/1/2007 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,061,830 | |||||
Orange County Local Transportation Authority Sales Tax Revenue, 6.00% due 2/15/2006 | Aa2/AA+ | 510,000 | 525,356 | |||||
Orange County Recovery COP Series A, 6.00% due 7/1/2006 (Insured: MBIA) | Aaa/AAA | 600,000 | 625,356 | |||||
Orange County Refunding Recovery, 6.50% due 6/1/2005 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,014,060 | |||||
Oxnard HBR District Revenue Refunding, 5.65% due 8/1/2014 | NR/A | 1,520,000 | 1,587,914 | |||||
Piedmont Unified School District Series B, 0% due 8/1/2013 pre-refunded 8/1/2007 | Aa3/NR | 1,000,000 | 648,150 | |||||
Pittsburg California Redevelopment Agency Tax Allocation Refunding, 5.25% due 8/1/2012 (Los Medanos Community Development Project A; Insured: MBIA) | Aaa/AAA | 3,350,000 | 3,699,908 |
18 Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg California Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Pleasanton Unified School District Series B, 0% due 8/1/2016 pre-refunded 8/1/2005 (Insured: MBIA) | Aaa/AAA | $ | 1,000,000 | $ | 542,620 | |||
Pomona Unified School District GO, 5.40% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 340,000 | 343,580 | |||||
Pomona Unified School District Refunding Series A, 6.10% due 2/1/2010 (Insured: MBIA) | Aaa/AAA | 320,000 | 361,587 | |||||
Porterville COP, 6.10% due 10/1/2005 (Water Systems Refunding Project; Insured: AMBAC) | Aaa/AAA | 295,000 | 300,443 | |||||
Puerto Rico Commonwealth Highway & Transportation Authority, 5.50% due 7/1/2009 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,091,500 | |||||
Puerto Rico Commonwealth Highway & Transportation Authority Highway Revenue Refunding Series A, 5.00% due 7/1/2008 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,061,450 | |||||
Puerto Rico Municipal Finance Agency Series A, 6.00% due 7/1/2011 (Insured: FSA) | Aaa/AAA | 600,000 | 684,234 | |||||
Richmond Joint Powers Financing Authority Revenue Series A, 5.20% due 5/15/2005 | NR/NR | 500,000 | 500,805 | |||||
Sacramento County Sanitation District Financing Authority Revenue Series A, 5.75% due 12/1/2009 | Aa3/AA | 560,000 | 623,140 | |||||
Sacramento County Sanitation District Financing Authority Revenue Series A, 5.875% due 12/1/2027 Crossover refunded 12/1/2005 | Aa3/AA | 2,500,000 | 2,577,800 | |||||
Sacramento Municipal Utility District Electric Revenue Refunding Series C, 5.75% due 11/15/2007 (ETM) | Aaa/AAA | 330,000 | 331,429 | |||||
Sacramento Power Authority Revenue, 5.875% due 7/1/2015 (Cogeneration Project; Insured: MBIA) | Aaa/AAA | 2,500,000 | 2,635,900 | |||||
Salinas Redevelopment Agency Tax Allocation Series A, 0% due 11/1/2022 (Insured: FSA) | Aaa/AAA | 1,450,000 | 550,551 | |||||
San Bernardino County Multi Family Housing Revenue Refunding Series A, 4.75% due 12/15/2031 put 12/15/2011 (Collateralized: FNMA) | Aaa/NR | 3,000,000 | 3,140,730 | |||||
San Bernardino County Special Taxes Community Facilities District 2002-1, 5.10% due 9/1/2011 | NR/NR | 190,000 | 199,382 | |||||
San Bernardino County Special Taxes Community Facilities District 2002-1, 5.20% due 9/1/2012 | NR/NR | 205,000 | 214,879 | |||||
San Bernardino County Special Taxes Community Facilities District 2002-1, 5.30% due 9/1/2013 | NR/NR | 300,000 | 315,084 | |||||
San Bernardino County Transportation Authority Sales Tax Revenue Series A, 6.00% due 3/1/2010 (ETM) | Aaa/AAA | 175,000 | 189,676 | |||||
San Diego County Regional Transportation Commission Sales Tax Revenue Series A, 6.00% due 4/1/2008 (ETM) | Aaa/AA- | 590,000 | 627,967 | |||||
San Diego Public Facilities Financing Authority Lease Revenue, 7.00% due 4/1/2005 (Insured: MBIA) | Aaa/AAA | 430,000 | 430,000 | |||||
San Diego Public Facilities Financing Authority Lease Revenue, 7.00% due 4/1/2006 (Insured: MBIA) | Aaa/AAA | 455,000 | 474,911 | |||||
San Diego Public Facilities Financing Authority Lease Revenue, 7.00% due 4/1/2007 (Insured: MBIA) | Aaa/AAA | 425,000 | 459,829 | |||||
San Francisco Bay Area Transit Bridge Toll Notes, 5.625% due 8/1/2006 (Insured: ACA) | NR/A | 1,400,000 | 1,447,726 | |||||
San Francisco Bay Area Transit Financing Authority Bridge Toll Notes, 5.50% due 8/1/2005 (Insured: ACA) | NR/A | 1,000,000 | 1,009,450 | |||||
San Francisco International Airport Revenue Series Issue 13B, 8.00% due 5/1/2007 (Insured: MBIA) | Aaa/AAA | 1,100,000 | 1,166,847 | |||||
San Jose Evergreen Community College District Series C, 0% due 9/1/2011 (Insured: AMBAC) | Aaa/AAA | 2,200,000 | 1,692,966 | |||||
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 | 2,700,000 | 2,769,012 | |||||
San Marcos Public Facilities Authority Revenue Community Facilities District 88-1, 0% due 3/1/2008 (ETM) | Aaa/NR | 1,900,000 | 1,737,949 | |||||
San Marcos Public Facilities Authority Special Tax Revenue Series A, 6.45% due 9/1/2034 pre-refunded 9/1/2007 | NR/NR | 2,000,000 | 2,191,760 | |||||
Santa Clara County Financing Authority, 5.00% due 8/1/2005 | A2/NR | 1,250,000 | 1,259,625 |
Certified Semi-Annual Report 19 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg California Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Santa Clara County Financing Authority Special Obligation Measure B, 4.00% due 8/1/2006 (Transportation Improvement Program Project) | A2/NR | $ | 1,575,000 | $ | 1,596,767 | |||
Santa Clara Valley Transportation Authority Sales Tax Revenue Measure A, 4.00% due 4/1/2036 put 10/2/2006 (Insured:AMBAC) | Aaa/AAA | 1,000,000 | 1,019,200 | |||||
Santa Clara Valley Transportation Authority Sales Tax Revenue Measure A, 5.50% due 4/1/2036 put 10/2/2006 (Insured:AMBAC) | Aaa/AAA | 1,810,000 | 1,885,296 | |||||
Santa Cruz County Certificates Refunding, 4.00% due 8/1/2005 | A3/NR | 610,000 | 612,855 | |||||
Seal Beach Redevelopment Agency Mobile Home Park Revenue Series A, 5.20% due 12/15/2013 (Insured:ACA) | NR/A | 575,000 | 610,156 | |||||
South Orange County Public Finance Authority Special Tax Revenue, 7.00% due 9/1/2005 (Insured: MBIA) | Aaa/AAA | 1,435,000 | 1,462,179 | |||||
South Orange County Public Financing Authority Special Tax Revenue Series C, 8.00% due 8/15/2008 (Foothill Area Project; Insured: FGIC) | Aaa/AAA | 1,500,000 | 1,737,195 | |||||
Southeast Resources Recovery Facilities Authority Lease Revenue Refunding Series B, 5.375% due 12/1/2013 (Insured:AMBAC) | Aaa/AAA | 1,060,000 | 1,141,260 | |||||
Southern California Revenue, 5.15% due 7/1/2015 (Public Power Project; Insured:AMBAC) | Aaa/AAA | 350,000 | 380,177 | |||||
Southern California Revenue, 5.15% due 7/1/2015 (Public Power Project; Insured:AMBAC) | Aaa/AAA | 250,000 | 271,555 | |||||
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 | 3,225,000 | 3,384,831 | |||||
Ukiah Unified School District COP, 5.00% due 9/1/2008 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,066,580 | |||||
Ventura County Community College Series A, 5.00% due 8/1/2012 (Insured: MBIA) | Aaa/AAA | 500,000 | 545,920 | |||||
Ventura Unified School District Series F, 6.75% due 8/1/2005 (Insured: FSA) | Aaa/AAA | 115,000 | 116,692 | |||||
Victorville Redevelopment Agency Tax Allocation Bear Valley Road Special Escrow Fund A, 5.00% due 12/1/2014 (Insured: FSA) | Aaa/AAA | 455,000 | 462,125 | |||||
Walnut Valley Unified School District, 9.00% due 8/1/2006 (ETM) | Aaa/AAA | 800,000 | 866,144 | |||||
Walnut Valley Unified School District, 8.75% due 8/1/2010 (ETM) | Aaa/AAA | 1,000,000 | 1,267,370 | |||||
Walnut Valley Unified School District Series A, 6.70% due 8/1/2005 | Aaa/AAA | 245,000 | 248,565 | |||||
Walnut Valley Unified School District Series A, 6.80% due 2/1/2007 | Aaa/AAA | 250,000 | 268,248 | |||||
Walnut Valley Unified School District Series A, 6.90% due 2/1/2008 | Aaa/AAA | 250,000 | 277,360 | |||||
Walnut Valley Unified School District Series A, 7.00% due 8/1/2008 | Aaa/AAA | 100,000 | 112,888 | |||||
Washington Township Health Care District Revenue, 5.00% due 7/1/2009 | A2/NR | 450,000 | 473,328 | |||||
West Contra Costa Unified School District Series A, 6.50% due 8/1/2005 | Aaa/AAA | 570,000 | 577,934 | |||||
West Contra Costa Unified School District Series A, 7.00% due 8/1/2006 | Aaa/AAA | 595,000 | 629,361 | |||||
West Contra Costa Unified School District Series A, 7.00% due 8/1/2008 | Aaa/AAA | 655,000 | 739,416 | |||||
Whittier Solid Waste Revenue Refunding Series A, 5.375% due 8/1/2014 | Aaa/AAA | 1,000,000 | 1,009,450 | |||||
TOTAL INVESTMENTS — 99.91%(Cost $ 167,516,931) | $ | 169,635,264 | ||||||
OTHER ASSETS LESS LIABILITIES — 0.09% | 153,721 | |||||||
NET ASSETS — 100.00% | $ | 169,788,985 | ||||||
20 Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg California Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
SUMMARY OF SECURITY CREDIT RATINGS †
Ratings are a blend of Moody’s and Standard & Poor’s, using the higher rating. Some bonds are rated by only one service.
Footnote Legend
See notes to financial statements.
† | Credit ratings are unaudited. Rating changes may have occurred prior to or subsequent to the reporting period end. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ACA | Insured by American Capital Access | |
AMBAC | Insured by American Municipal Bond Assurance Corp. | |
COP | Certificates of Participation | |
ETM | Escrowed to Maturity | |
FGIC | Insured by Financial Guaranty Insurance Co. | |
FNMA | Collateralized by Federal National Mortgage Association | |
FSA | Insured by Financial Security Assurance Co. | |
GNMA | Insured by Government National Mortgage Co. | |
GO | General Obligation | |
MBIA | Insured by Municipal Bond Investors Assurance |
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EXPENSE EXAMPLE | ||
Thornburg California Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
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 September 30, 2004 and held until March 31, 2005.
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 Account Value 9/30/04 | Ending Account Value 3/31/05 | Expenses Paid During Period† 9/30/04–3/31/05 | |||||||
Class A Shares | |||||||||
Actual | $ | 1,000 | $ | 997.10 | $ | 4.95 | |||
Hypothetical* | $ | 1,000 | $ | 1,019.97 | $ | 5.01 | |||
Class C Shares | |||||||||
Actual | $ | 1,000 | $ | 995.80 | $ | 6.19 | |||
Hypothetical* | $ | 1,000 | $ | 1,018.73 | $ | 6.26 | |||
Class I Shares | |||||||||
Actual | $ | 1,000 | $ | 998.70 | $ | 3.33 | |||
Hypothetical* | $ | 1,000 | $ | 1,021.60 | $ | 3.37 |
† | 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 182/365 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.
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OTHER INFORMATION | ||
Thornburg California Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
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 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.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files 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. The Fund’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, or may be reviewed and 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.
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Trustees’ Statement to Shareholders
February 8, 2005
The Trustees are concerned that recent commentaries and opinions reported in the media may confuse investors in general as to the supervisory duties of trustees of mutual funds and, in particular, leave Thornburg Investment Trust shareholders uncertain regarding how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. We decided to spell out clearly three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf.
We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.
Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders’ returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.
Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.
This statement is submitted for the general information of the shareholders of Thornburg Investment Trust. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money.
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Planning Options
Retirement and Education Accounts
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs – Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 701/2, even if you are covered by an employer retirement plan.
Roth IRAs – Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our web site at www.thornburg.com/ira.
SEP IRAs – Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employee’s SEP IRA on a discretionary basis.
SIMPLE IRAs – Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employee’s SIMPLE IRA. Employees may make salary deferral contributions.
405(b)
A special, tax-advantaged savings vehicle available only to employees of 501(c)(3) organizations, such as charitable, educational, scientific and religious organizations. 403(b) plans are also available to employees of public schools and universities.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
• | Thornburg International Value Fund |
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
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The Firm
Thornburg Investment Management is a privately held investment management company based in Santa Fe, New Mexico with assets under management of over $13 billion. Founded in 1982, the firm manages four equity funds, eight bond funds, and separate portfolios for select institutions and individuals.
Investment Philosophy
We seek to preserve and increase the real wealth of the Funds’ shareholders after accounting for inflation, taxes, and investment expenses. We’re committed to disciplined investing and controlling risk in all market environments through laddered bond and focused equity portfolios.
Portfolio Holdings Disclosure
We believe you should know what is in your portfolio. Our web site keeps investors informed of the Funds’ equity holdings. Go to www.thornburg.com/funds for portfolio manager commentary on our equity fund holdings.
Co-Ownership of Funds
We invest side-by-side with the Funds’ shareholders. Our employees have invested over $100 million in Thornburg Funds.
Core Strategies for Building Wealth
We deliver core strategies to help investors meet long-term goals. A core strategy is a consistent, disciplined and proven investment process that represents the foundation of a diversified portfolio.
INVESTMENT MANAGER
Thornburg Investment Management, Inc.
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
PRINCIPAL UNDERWRITER
Thornburg Securities Corporation
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
www.thornburg.com
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Core Strategies for Building Wealth
Thornburg California Limited Term Municipal Fund
I Shares
Semi-Annual Report – March 31, 2005
This report and the accompanying brochure are submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/ download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money. Performance data quoted represents past performance and does not guarantee future results.
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Thornburg California Limited Term Municipal Fund
Laddering – an All Weather Strategy
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.
The Fund offers California investors double tax-free yields (may be subject to Alternative Minimum Tax) in a laddered municipal bond portfolio with an average maturity of five years or less. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio matures each year; cash from maturing bonds, if not needed for other purposes, is invested in bonds with longer maturities at the far end of the ladder. The strategy is a good compromise for managing different types of risk.
Thornburg Bond Funds
• | Thornburg Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term 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 invests in short- and intermediate-term investment grade bonds. We ladder the maturities of individual bonds in the portfolios to moderate risk. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio will mature each year. We apply this disciplined process in all interest rate environments.
Thornburg Equity Funds
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
Thornburg’s equity research uses a fundamental, yet comprehensive, analytical approach. We invest when and where we perceive the most compelling value. Thornburg equity funds focus on a limited number of securities so that each holding can have a material impact on performance. The equity team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic value.
More information at www.thornburg.com
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Thornburg California Limited Term Municipal Fund
I Shares – March 31, 2005
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7 | ||
8 | ||
9 | ||
10 | ||
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20 | ||
21 | ||
22 |
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.
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Important Information
Performance data quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate so that upon redemption, investor’s shares may be worth more or less than their original cost. Current performance may be lower or higher than the data quoted. For performance data current to the most recent month end, visit www.thornburg.com.
Minimum investments for class I shares are higher than those for other classes. There is no up front sales charge for this class of shares.
Shares in the Fund carry risks, including possible loss of principal. As with direct bond ownership, Funds that invest in bonds are subject to certain risks including interest-rate risk, credit risk, and inflation risk. The principal value of bond funds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Shares in the fund are not deposits or obligations of, or guaranteed or endorsed by, any bank, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any government agency.
The information presented on the following pages was current as of March 31, 2005. 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, sinking funds, 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.
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George Strickland
Portfolio Manager
April 15, 2005
Dear Fellow Shareholder:
I am pleased to present the Semi-Annual Report for the Thornburg California Limited Term Municipal Fund. The net asset value of the class I shares decreased by 21 cents to $12.82 during the six month period ending March 31, 2005. If you were with us for the entire period, you received dividends of 19.3 cents per share. If you reinvested dividends, you received 19.5 cents per share.
Over the past six months, the municipal bond yield curve has flattened considerably. In other words, interest rates on short and intermediate bonds have risen, while the interest rates on long-term bonds have remained relatively unchanged. Since bond prices move in the opposite direction of yields, long-term bond prices have been relatively stable while short and intermediate bond prices have fallen. The class I shares of your Fund produced a total return of (0.13)% over the last six months, compared to a (0.28)% return for the Lehman Five-Year Municipal Bond Index. The portion of the Fund’s ladder maturing beyond five years contributed positively to performance, while the bonds maturing in less than five years underperformed the index. Overall, these two factors generally offset each other.
We are not surprised that short and intermediate bond yields have risen. The Federal Reserve has almost tripled the targeted Fed Funds rate in the last year and is expected to keep raising rates gradually. Producer prices are rising at a 4.7% rate (up from 2.1% a year ago). Consumer prices are rising at a 3.0% rate (up from 1.7%), and the U.S. economy is growing at a nominal rate (unadjusted for inflation) of 6.4%. We haven’t seen that kind of growth since the technology stock bubble burst in the first half of 2000.
We are, however, somewhat perplexed by the stability of long-term bond yields. Market participants may be expecting the economy to falter and inflation to subside this year. While that is certainly a possibility, we believe that the more likely scenario is that economic momentum continues and inflation stays in the 3-4% range. Such a scenario should lead to higher yields for long-term bonds.
New issue municipal bond supply unexpectedly surged 10.9% over the first quarter of last year to a record $96.6 billion. The increased supply showed up just as the government bond market weakened and helped create a buyer-friendly municipal bond market. With rates on intermediate municipal bonds rising by about 0.5% over the last couple of months, we have been finding better values in bonds that mature in the five to ten year range. Though we are still conservatively positioned relative to our long-term averages, we have recently extended the duration of the Fund slightly to 3.1 years. If rates continue to rise, we would expect to continue extending duration.
Your Thornburg California Limited Term Municipal Fund is a laddered portfolio of 155 municipal obligations from all over California. Your Fund’s weighted average maturity is 4.17 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
Certified Semi-Annual Report 5 |
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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 continue rising, 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 shown here describes the percentages of your Fund’s bond portfolio maturing in each of the coming years.
% of portfolio maturing | Cumulative % maturing | |||||
1 year = 12.1 | % | Year 1 = 12.1 | % | |||
1 to 2 years = 10.8 | % | Year 2 = 22.9 | % | |||
2 to 3 years = 15.1 | % | Year 3 = 38.0 | % | |||
3 to 4 years = 12.8 | % | Year 4 = 50.8 | % | |||
4 to 5 years = 11.6 | % | Year 5 = 62.4 | % | |||
5 to 6 years = 6.1 | % | Year 6 = 68.5 | % | |||
6 to 7 years = 10.8 | % | Year 7 = 79.3 | % | |||
7 to 8 years = 7.8 | % | Year 8 = 87.1 | % | |||
8 to 9 years = 3.3 | % | Year 9 = 90.4 | % | |||
Over 9 years = 9.6 | % | Over 9 years = 100.0 | % |
Percentages can and do vary. Data as of 3/31/05.
Thanks to a strong economy, California state tax revenues are running about $2 billion ahead of earlier projections, but revenues are
still down 11% from their peak in 2001. Meanwhile, government spending is growing as fast as revenues, and the state is dealing with a projected $8.6 billion deficit in 2006. Debt levels are only slightly above national averages, but much higher than they were a few years ago. To reduce credit risk, we have kept 94% of the portfolio in bonds rated A or above by at least one rating agency 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 |
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STATEMENT OF ASSETS AND LIABILITIES
Thornburg California Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
ASSETS | ||||
Investments at value (cost $167,516,931) | $ | 169,635,264 | ||
Cash | 58,208 | |||
Receivable for investments sold | 10,000 | |||
Receivable for fund shares sold | 126,094 | |||
Interest receivable | 2,279,494 | |||
Prepaid expenses and other assets | 2,544 | |||
Total Assets | 172,111,604 | |||
LIABILITIES | ||||
Payable for securities purchased | 1,000,000 | |||
Payable for fund shares redeemed | 1,041,253 | |||
Payable to investment advisor and other affiliates (Note 3) | 118,507 | |||
Accounts payable and accrued expenses | 36,680 | |||
Dividends payable | 126,179 | |||
Total Liabilities | 2,322,619 | |||
NET ASSETS | $ | 169,788,985 | ||
NET ASSETS CONSIST OF: | ||||
Net unrealized appreciation on investments | $ | 2,118,333 | ||
Accumulated net realized gain (loss) | (507,427 | ) | ||
Net capital paid in on shares of beneficial interest | 168,178,079 | |||
$ | 169,788,985 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share | $ | 12.81 | ||
Maximum sales charge, 1.50% of offering price | 0.20 | |||
Maximum Offering Price Per Share | $ | 13.01 | ||
Class C Shares: | ||||
Net asset value and offering price per share * | $ | 12.82 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share | $ | 12.82 | ||
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
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Thornburg California Limited Term Municipal Fund | Six Months Ended March 31, 2005 (Unaudited) |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $1,406,831) | $ | 3,238,033 | ||
Total Income | 3,238,033 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 442,404 | |||
Administration fees (Note 3) | ||||
Class A Shares | 79,548 | |||
Class C Shares | 13,649 | |||
Class I Shares | 6,962 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 159,096 | |||
Class C Shares | 109,086 | |||
Transfer agent fees | ||||
Class A Shares | 22,157 | |||
Class C Shares | 9,607 | |||
Class I Shares | 10,644 | |||
Registration and filing fees | ||||
Class A Shares | 203 | |||
Class C Shares | 203 | |||
Class I Shares | 496 | |||
Custodian fees (Note 3) | 50,292 | |||
Professional fees | 12,222 | |||
Accounting fees | 11,635 | |||
Trustee fees | 5,199 | |||
Other expenses | 29,654 | |||
Total Expenses | 963,057 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (42,431 | ) | ||
Distribution and service fees waived (Note 3) | (54,543 | ) | ||
Fees paid indirectly (Note 3) | (4,537 | ) | ||
Net Expenses | 861,546 | |||
Net Investment Income | 2,376,487 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Net realized loss on investments sold | (53,022 | ) | ||
(53,022 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (2,796,551 | ) | ||
(2,796,551 | ) | |||
Net Realized and Unrealized Loss | (2,849,573 | ) | ||
Net Decrease in Net Assets Resulting From Operations | $ | (473,086 | ) | |
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Thornburg California Limited Term Municipal Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Three Months Ended September 30, 2004 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income gain | $ | 2,376,487 | $ | 1,144,598 | ||||
Net realized loss on investments | (53,022 | ) | (33,844 | ) | ||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments | (2,796,551 | ) | 2,023,841 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (473,086 | ) | 3,134,595 | |||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (1,695,536 | ) | (841,492 | ) | ||||
Class C Shares | (263,900 | ) | (127,839 | ) | ||||
Class I Shares | (417,051 | ) | (175,267 | ) | ||||
FUND SHARE TRANSACTIONS - (Note 4) | ||||||||
Class A Shares | (13,108,206 | ) | 1,954,371 | |||||
Class C Shares | (152,287 | ) | (674,119 | ) | ||||
Class I Shares | 3,642,091 | 2,536,234 | ||||||
Net Increase (Decrease) in Net Assets | (12,467,975 | ) | 5,806,483 | |||||
NET ASSETS: | ||||||||
Beginning of period | 182,256,960 | 176,450,477 | ||||||
End of period | $ | 169,788,985 | $ | 182,256,960 | ||||
See notes to financial statements.
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Thornburg California Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
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 Fund’s 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.
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.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Trust are as follows:
Valuation of Investments: In determining the net asset value, the Trust 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 Trust to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all taxable (if any) and tax exempt income, of the Fund, to the 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 and or market changes. At the time the Trust 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 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
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg California Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
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.
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 period ended March 31, 2005, these fees were payable at annual rates ranging from .50 of 1% to .225 of 1% per annum of the average daily net assets of the Fund. The Trust 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% per annum of the average daily net assets attributable to each class of shares. For the period ended March 31, 2005, the Advisor voluntarily reimbursed certain class specific expenses and administrative fees of $21,729 for Class A shares, $9,663 for Class C shares, and $11,039 for Class I shares.
The Trust 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 period ended March 31, 2005, the Distributor has advised the Fund that it earned commissions aggregating $1,992 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $1,471 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 Trust also has 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 March 31, 2005, are set forth in the Statement of Operations. Distribution fees in the amount of $54,543 were waived for Class C 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 March 31, 2005, fees paid indirectly were $4,537.
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.
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg California Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2005, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Six Months Ended March 31, 2005 | Three Months Ended September 30, 2004 | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 456,675 | $ | 5,918,123 | 502,652 | $ | 6,531,022 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 85,331 | 1,103,248 | 41,636 | 541,263 | ||||||||||
Shares repurchased | (1,555,305 | ) | (20,129,577 | ) | (394,425 | ) | (5,117,914 | ) | ||||||
Net Increase (Decrease) | (1,013,299 | ) | $ | (13,108,206 | ) | 149,863 | $ | 1,954,371 | ||||||
Class C Shares | ||||||||||||||
Shares sold | 192,332 | $ | 2,493,946 | 81,630 | $ | 1,061,877 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 13,905 | 179,925 | 6,991 | 90,936 | ||||||||||
Shares repurchased | (218,316 | ) | (2,826,158 | ) | (140,412 | ) | (1,826,932 | ) | ||||||
Net Increase (Decrease) | (12,079 | ) | $ | (152,287 | ) | (51,791 | ) | $ | (674,119 | ) | ||||
Class I Shares | ||||||||||||||
Shares sold | 676,286 | $ | 8,775,024 | 296,419 | $ | 3,855,573 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 25,892 | 335,056 | 11,020 | 143,387 | ||||||||||
Shares repurchased | (421,965 | ) | (5,467,989 | ) | (112,491 | ) | (1,462,726 | ) | ||||||
Net Increase (Decrease) | 280,213 | $ | 3,642,091 | 194,948 | $ | 2,536,234 | ||||||||
NOTE 5 – SECURITIES TRANSACTIONS
For the period ended March 31, 2005, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $26,111,192 and $22,991,627, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2005, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 167,516,931 | ||
Gross unrealized appreciation on a tax basis | $ | 2,871,107 | ||
Gross unrealized depreciation on a tax basis | (752,774 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 2,118,333 | ||
At March 31, 2005, 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 | ||
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Thornburg California Limited Term Municipal Fund | (Unaudited)* |
*6 Months Ended March 31, 2005 | 3 Months Ended Sept. 30, 2004(c) | Year Ended June 30, | ||||||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||||||
PER SHARE PERFORMANCE (for a share outstanding throughout the period) | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.03 | $ | 12.89 | $ | 13.22 | $ | 12.97 | $ | 12.79 | $ | 12.60 | $ | 12.75 | ||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||
Net investment income | 0.19 | 0.09 | 0.39 | 0.42 | 0.51 | 0.59 | 0.58 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.21 | ) | 0.14 | (0.33 | ) | 0.25 | 0.18 | 0.19 | (0.15 | ) | ||||||||||||||||||
Total from investment operations | (0.02 | ) | 0.23 | 0.06 | 0.67 | 0.69 | 0.78 | 0.43 | ||||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||||||
Net investment income | (0.19 | ) | (0.09 | ) | (0.39 | ) | (0.42 | ) | (0.51 | ) | (0.59 | ) | (0.58 | ) | ||||||||||||||
Change in net asset value | �� | (0.21 | ) | 0.14 | (0.33 | ) | 0.25 | 0.18 | 0.19 | (0.15 | ) | |||||||||||||||||
NET ASSET VALUE, end of period | $ | 12.82 | $ | 13.03 | $ | 12.89 | $ | 13.22 | $ | 12.97 | $ | 12.79 | $ | 12.60 | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||
Total return (a) | (0.13 | )% | 1.81 | % | 0.46 | % | 5.27 | % | 5.48 | % | 6.28 | % | 3.50 | % | ||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Net investment income | 2.99 | %(b) | 2.85 | %(b) | 2.99 | % | 3.20 | % | 3.92 | % | 4.60 | % | 4.60 | % | ||||||||||||||
Expenses, after expense reductions | 0.67 | %(b) | 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 | %(b) | 0.67 | % | 0.65 | % | 0.65 | % | — | — | ||||||||||||||||
Expenses, before expense reductions | 0.75 | %(b) | 0.77 | %(b) | 0.78 | % | 0.75 | % | 0.84 | % | 0.98 | % | 0.79 | % | ||||||||||||||
Portfolio turnover rate | 13.32 | % | 4.18 | % | 23.80 | % | 26.03 | % | 25.16 | % | 15.45 | % | 21.34 | % | ||||||||||||||
Net assets at end of period (000) | $ | 28,907 | $ | 25,728 | $ | 22,929 | $ | 20,592 | $ | 10,133 | $ | 5,520 | $ | 5,793 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
(c) | The Fund’s fiscal year-end changed to September 30. |
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Thornburg California Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
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
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
ABAG Finance Authority, 4.75% due 10/1/2011 (California School of Mechanical Arts Project) | A3/NR | $ | 435,000 | $ | 456,432 | |||
ABAG Finance Authority, 4.75% due 10/1/2012 (California School of Mechanical Arts Project) | A3/NR | 455,000 | 476,026 | |||||
Alameda COP, 4.60% due 5/1/2011 | NR/A+ | 425,000 | 448,736 | |||||
Alum Rock Union Elementary School District GO Refunding Bonds, 8.00% due 9/1/2006 (Insured: FGIC) | Aaa/AAA | 295,000 | 317,063 | |||||
Alum Rock Union Elementary School District GO Refunding Bonds, 8.00% due 9/1/2007 (Insured: FGIC) | Aaa/AAA | 380,000 | 426,105 | |||||
Bay Area Government Associates Lease Series 2002, 5.00% due 7/1/2005 (Insured:AMBAC) | Aaa/AAA | 785,000 | 790,369 | |||||
Bay Area Government Associates Lease Series 2002, 4.00% due 7/1/2006 (Insured:AMBAC) | Aaa/AAA | 765,000 | 778,724 | |||||
Bay Area Government Association Rapid Transit, 4.875% due 6/15/2009 (Insured:AMBAC) | Aaa/AAA | 835,000 | 836,653 | |||||
Bonita Unified School District COP Refunding, 4.50% due 5/1/2009 (Insured: MBIA) | Aaa/AAA | 750,000 | 791,145 | |||||
Bonita Unified School District COP Refunding, 4.50% due 5/1/2010 (Insured: MBIA) | Aaa/AAA | 700,000 | 741,251 | |||||
California Health Facilities Financing, 5.50% due 10/1/2006 (Sisters of Providence Project) | Aa3/AA | 1,235,000 | 1,284,202 | |||||
California Health Facilities Financing Authority Revenue Series B Refunding, 5.25% due 10/1/2013 (Kaiser Permanente Project) (ETM) | A3/AAA | 2,000,000 | 2,144,380 | |||||
California Health Facilities Financing Revenue, 6.40% due 10/1/2005 (Sisters of Providence Project) | Aa3/AA | 700,000 | 702,086 | |||||
California Housing Finance Authority Revenue Series 1985-B, 9.875% due 2/1/2017 | Aa2/AA- | 670,000 | 685,450 | |||||
California Infrastructure & Economic Development Bank Revenue, 5.00% due 7/1/2010 (Bay Area Toll Bridges Project; Insured: FSA) | Aaa/AAA | 1,000,000 | 1,088,320 | |||||
California Mobile Home Park Financing Series A, 4.75% due 11/15/2010 (Rancho Vallecitos Project; Insured:ACA) | NR/A | 500,000 | 521,505 | |||||
California Mobile Home Park Financing Series A, 5.00% due 11/15/2013 (Rancho Vallecitos Project; Insured:ACA) | NR/A | 570,000 | 596,585 | |||||
California Pollution Control Financing Authority Series A, 5.90% due 6/1/2014 (San Diego Gas & Electric Project) | A2/A- | 300,000 | 333,912 | |||||
California Pollution Control Solid Waste Authority, 6.75% due 7/1/2011 (ETM) | Aaa/NR | 2,650,000 | 2,905,460 | |||||
California Pollution Control Solid Waste Authority Series B, 4.45% due 7/1/2027 put 7/1/2005 (Waste Management Inc. Project) | NR/BBB | 1,500,000 | 1,503,840 | |||||
California Rural HMFA Single Family Mortgage Revenue, 5.25% due 6/1/2010 (Collateralized: GNMA/FNMA) | NR/AAA | 45,000 | 45,129 | |||||
California Rural HMFA Single Family Mortgage Revenue, 5.65% due 6/1/2010 (Collateralized: GNMA/FNMA) | NR/AAA | 20,000 | 20,068 | |||||
California State, 6.40% due 2/1/2006 (Insured: MBIA) | Aaa/AAA | 500,000 | 516,070 | |||||
California State, 7.50% due 10/1/2007 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,223,400 | |||||
California State, 6.60% due 2/1/2010 (Insured: MBIA) | Aaa/AAA | 560,000 | 642,281 | |||||
California State, 6.50% due 9/1/2010 (Insured:AMBAC) | Aaa/AAA | 1,250,000 | 1,444,200 | |||||
California State, 5.50% due 3/1/2012 (Insured: FGIC) | Aaa/AAA | 230,000 | 234,929 | |||||
California State Department of Water Resources Power Series A, 5.50% due 5/1/2011 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,226,680 | |||||
California State Department of Water Resources Power Supply Series A, 5.50% due 5/1/2008 | A2/BBB+ | 2,580,000 | 2,756,756 | |||||
California State Department of Water Resources Power Supply Series A, 5.25% due 5/1/2009 (Insured: MBIA) | Aaa/AAA | 800,000 | 865,792 | |||||
California State Economic Recovery Series A, 5.00% due 1/1/2008 | Aa3/AA- | 1,000,000 | 1,052,370 | |||||
California State Public Works Board Lease Revenue, 5.50% due 6/1/2010 (Various Universities Project) | Aa2/AA- | 530,000 | 576,317 | |||||
California State Public Works Lease Series A, 5.50% due 1/1/2017 (Department of Corrections Project) | Aaa/AAA | 3,285,000 | 3,413,805 | |||||
California State Refunding, 5.75% due 10/1/2010 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,122,310 | |||||
California State Veterans Bonds, 9.50% due 2/1/2010 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,272,810 |
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SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg California Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
California Statewide Community Development Authority, 5.00% due 7/1/2005 (Insured: FSA) | Aaa/AAA | $ | 1,000,000 | $ | 1,006,720 | |||
California Statewide Community Development Authority COP, 5.25% due 7/1/2010 (St Joseph Health Systems Project) | Aa3/AA- | 560,000 | 597,503 | |||||
California Statewide Community Development Authority COP, 5.30% due 12/1/2015 (ETM) | Aaa/AAA | 2,600,000 | 2,731,690 | |||||
California Statewide Community Development Authority Revenue, 5.125% due 6/1/2008 (Louisiana Orthopedic Hospital Foundation Project; Insured:AMBAC) | Aaa/AAA | 595,000 | 627,784 | |||||
California Statewide Community Development Authority Revenue COP, 6.50% due 8/1/2012 (Cedars Sinai Center Hospital Project; Insured: MBIA) | Aaa/AAA | 935,000 | 1,028,210 | |||||
California Statewide Community Development Authority Revenue Series B, 5.00% due 6/1/2008 (Hospital Monterey Peninsula Project; Insured: FSA) | NR/AAA | 1,110,000 | 1,178,964 | |||||
California Statewide Community Development Authority Revenue Series B, 5.00% due 6/1/2009 (Hospital Monterey Peninsula Project; Insured: FSA) | NR/AAA | 1,180,000 | 1,266,954 | |||||
California Statewide Community Development Authority Revenue Series D, 4.35% due 11/1/2036 put 3/1/2007 (Kaiser Permanente Project) | A3/A-1 | 1,000,000 | 1,018,020 | |||||
California Statewide Community Development Authority Series 1996-A, 6.00% due 9/1/2005 (San Gabriel Medical Center Project) (ETM) | NR/NR | 1,000,000 | 1,014,080 | |||||
California Statewide Community Development Authority Series E, 3.875% due 4/1/2032 put 4/1/2010 (Kaiser Permanente Project) | NR/A | 1,000,000 | 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 | 1,000,000 | 981,500 | |||||
California Statewide Community Development Series E, 4.70% due 11/1/2036 put 6/1/2009 (Kaiser Permanente Project) | VMIG2/A-1 | 2,000,000 | 2,078,440 | |||||
Capistrano Unified School District 92-1 Community Facilities District Special Tax, 7.10% due 9/1/2021 pre-refunded 9/1/2007 | NR/NR | 920,000 | 1,013,435 | |||||
Castaic Lake Water Agency COP Refunding Series A, 7.25% due 8/1/2007 (Water Systems Improvement Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,098,780 | |||||
Castaic Lake Water Agency Refunding Water Systems Improvement Project Series A, 7.25% due 8/1/2009 (Insured: MBIA) | Aaa/AAA | 100,000 | 116,383 | |||||
Central Union High School District Imperial County Refunding, 5.00% due 8/1/2011 (Insured: FGIC) | Aaa/AAA | 780,000 | 852,953 | |||||
Central Union High School District Imperial County Refunding, 5.00% due 8/1/2012 (Insured: FGIC) | Aaa/AAA | 830,000 | 906,227 | |||||
Central Valley Financing Authority Revenue, 6.00% due 7/1/2009 (Carson Ice Project) | NR/BBB | 620,000 | 641,080 | |||||
Central Valley School Districts Financing Authority, 0% due 2/1/2007 (Insured: MBIA) | Aaa/AAA | 205,000 | 194,178 | |||||
Coachella Valley California Unified School District COP Refunding, 5.00% due 9/1/2012 (Insured: MBIA) | Aaa/AAA | 800,000 | 869,056 | |||||
East Side Union High School District Santa Clara County Series B, 6.625% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 500,000 | 507,215 | |||||
East Side Union High School District Santa Clara County Series B, 6.625% due 8/1/2006 (Insured: MBIA) | Aaa/AAA | 700,000 | 736,911 | |||||
East Side Union High School District Santa Clara County Series B, 6.625% due 8/1/2007 (Insured: MBIA) | Aaa/AAA | 840,000 | 912,299 | |||||
El Monte COP Senior Department Public Services Facility Phase II, 5.00% due 1/1/2009 (Insured:AMBAC) | Aaa/AAA | 2,730,000 | 2,878,894 | |||||
Emeryville Public Financing Authority Revenue Series A, 5.00% due 9/1/2012 (Emeryville Redevelopment Project; Insured:AMBAC) | Aaa/AAA | 2,295,000 | 2,507,127 | |||||
Escondido Joint Powers Financing Authority Lease Revenue Refunding, 0% due 9/1/2013 (California Center For The Arts Project; Insured:AMBAC) | Aaa/AAA | 500,000 | 300,910 | |||||
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 | 3,015,000 | 3,077,079 | |||||
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 | 400,000 | 411,636 |
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SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg California Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Hawaiian Gardens Redevelopment Agency Refunding, 5.50% due 12/1/2008 | NR/BBB+ | $ | 575,000 | $ | 613,059 | |||
Imperial Irrigation District COP, 6.50% due 11/1/2007 (Electric Systems Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,071,700 | |||||
Irwindale Community Redevelopment Agency, 6.60% due 8/1/2018 pre-refunded 8/1/2005 | Baa3/NR | 1,000,000 | 1,030,400 | |||||
Julian Union High School District, 4.875% due 11/1/2005 (Insured: MBIA) | Aaa/AAA | 155,000 | 157,148 | |||||
Kern High School District, 7.00% due 8/1/2010 (ETM) | Aaa/NR | 165,000 | 195,065 | |||||
Kern High School District Refunding Series A, 6.30% due 8/1/2011 (Insured: MBIA) | Aaa/AAA | 500,000 | 572,860 | |||||
Kern High School District Series B, 9.00% due 8/1/2006 (ETM) | Aaa/AAA | 680,000 | 736,222 | |||||
Los Angeles Community Redevelopment Agency, 5.00% due 7/1/2009 (Cinerama Dome Public Parking Project; Insured: ACA) | NR/A | 835,000 | 877,618 | |||||
Los Angeles Community Redevelopment Agency, 5.75% due 7/1/2010 (Cinerama Dome Public Parking Project; Insured: ACA) | NR/A | 435,000 | 473,706 | |||||
Los Angeles Convention & Exhibition Center, 9.00% due 12/1/2020 pre-refunded 12/1/2005 | Aaa/AAA | 5,000 | 5,217 | |||||
Los Angeles Convention & Exhibition Center Authority Certificates Refunding, 0% due 8/15/2005 (Insured: AMBAC) | Aaa/AAA | 275,000 | 272,621 | |||||
Los Angeles COP, 5.00% due 2/1/2012 (Insured: MBIA) | Aaa/AAA | 1,400,000 | 1,516,942 | |||||
Los Angeles County Capital Asset, 5.00% due 4/1/2008 (Insured: AMBAC) | Aaa/AAA | 2,000,000 | 2,121,020 | |||||
Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue, 9.00% due 7/1/2007 (Insured: MBIA) | Aaa/AAA | 1,700,000 | 1,928,157 | |||||
Los Angeles County Public Works Refunding Series A, 5.00% due 12/1/2008 (Master Refunding Project) | Aaa/AAA | 2,000,000 | 2,140,200 | |||||
Los Angeles Department Airport Revenue Refunding Series A, 5.50% due 5/15/2010 pre-refunded 5/15/2005 (Insured: FGIC) | Aaa/AAA | 700,000 | 709,800 | |||||
Los Angeles Department of Water & Power Revenue Refunding Series A Subseries A-1, 5.00% due 7/1/2008 (Power Systems Project) | Aa3/AA- | 1,000,000 | 1,066,240 | |||||
Los Angeles Department of Water & Power Revenue Series A, 5.25% due 7/1/2011 (Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,315,300 | |||||
Los Angeles Multi Family Revenue, 5.85% due 12/1/2027 put 12/01/2007 (Collateralized: FNMA) | NR/AAA | 1,935,000 | 1,997,404 | |||||
Los Angeles Regional Airport Lease Refunding, 5.25% due 1/1/2009 (Facilities Laxfuel Corp. LA International Project; Insured: AMBAC) | Aaa/AAA | 1,590,000 | 1,669,770 | |||||
Los Angeles Unified School District Series E, 5.50% due 7/1/2012 (Insured: MBIA) | Aaa/AAA | 2,500,000 | 2,807,375 | |||||
Milpitas California Agency Tax Allocation Redevelopment Project Area No 1, 5.00% due 9/1/2015 | Aaa/AAA | 2,000,000 | 2,139,760 | |||||
Moorpark Mobile Home Park Revenue Series A, 5.80% due 5/15/2010 (Villa Delaware Arroyo Project; Insured: ACA) | NR/A | 1,205,000 | 1,228,522 | |||||
New Haven Unified School District Refunding, 12.00% due 8/1/2006 (Insured: FSA) | Aaa/AAA | 1,400,000 | 1,567,034 | |||||
New Haven Unified School District Refunding, 12.00% due 8/1/2008 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,277,390 | |||||
Northern California Power Agency Public Power Revenue, 5.65% due 7/1/2007 (Geothermal Project 3-A) (ETM) | Baa2/BBB+ | 360,000 | 382,367 | |||||
Northern California Power Agency Public Power Revenue, 5.65% due 7/1/2007 | Baa2/BBB+ | 340,000 | 358,047 | |||||
Northern California Power Agency Public Power Revenue Series A, 5.00% due 7/1/2009 (Geothermal Project Number 3) | Baa2/A- | 4,000,000 | 4,004,720 | |||||
Oakland Redevelopment Agency, 7.40% due 5/1/2007 (Insured: AMBAC) | Aaa/AAA | 40,000 | 40,164 | |||||
Ontario Montclair School District COP Refunding, 3.80% due 9/1/2028 put 8/31/2007 (School Facility Bridge Funding Project; Insured: FSA) | VMIG1/A-1 | 1,705,000 | 1,705,989 | |||||
Orange County Airport Revenue Bond, 6.00% due 7/1/2007 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,061,830 | |||||
Orange County Local Transportation Authority Sales Tax Revenue, 6.00% due 2/15/2006 | Aa2/AA+ | 510,000 | 525,356 | |||||
Orange County Recovery COP Series A, 6.00% due 7/1/2006 (Insured: MBIA) | Aaa/AAA | 600,000 | 625,356 | |||||
Orange County Refunding Recovery, 6.50% due 6/1/2005 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,014,060 | |||||
Oxnard HBR District Revenue Refunding, 5.65% due 8/1/2014 | NR/A | 1,520,000 | 1,587,914 | |||||
Piedmont Unified School District Series B, 0% due 8/1/2013 pre-refunded 8/1/2007 | Aa3/NR | 1,000,000 | 648,150 | |||||
Pittsburg California Redevelopment Agency Tax Allocation Refunding, 5.25% due 8/1/2012 (Los Medanos Community Development Project A; Insured: MBIA) | Aaa/AAA | 3,350,000 | 3,699,908 |
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SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg California Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Pleasanton Unified School District Series B, 0% due 8/1/2016 pre-refunded 8/1/2005 (Insured: MBIA) | Aaa/AAA | $ | 1,000,000 | $ | 542,620 | |||
Pomona Unified School District GO, 5.40% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 340,000 | 343,580 | |||||
Pomona Unified School District Refunding Series A, 6.10% due 2/1/2010 (Insured: MBIA) | Aaa/AAA | 320,000 | 361,587 | |||||
Porterville COP, 6.10% due 10/1/2005 (Water Systems Refunding Project; Insured: AMBAC) | Aaa/AAA | 295,000 | 300,443 | |||||
Puerto Rico Commonwealth Highway & Transportation Authority, 5.50% due 7/1/2009 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,091,500 | |||||
Puerto Rico Commonwealth Highway & Transportation Authority Highway Revenue Refunding Series A, 5.00% due 7/1/2008 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,061,450 | |||||
Puerto Rico Municipal Finance Agency Series A, 6.00% due 7/1/2011 (Insured: FSA) | Aaa/AAA | 600,000 | 684,234 | |||||
Richmond Joint Powers Financing Authority Revenue Series A, 5.20% due 5/15/2005 | NR/NR | 500,000 | 500,805 | |||||
Sacramento County Sanitation District Financing Authority Revenue Series A, 5.75% due 12/1/2009 | Aa3/AA | 560,000 | 623,140 | |||||
Sacramento County Sanitation District Financing Authority Revenue Series A, 5.875% due 12/1/2027 Crossover refunded 12/1/2005 | Aa3/AA | 2,500,000 | 2,577,800 | |||||
Sacramento Municipal Utility District Electric Revenue Refunding Series C, 5.75% due 11/15/2007 (ETM) | Aaa/AAA | 330,000 | 331,429 | |||||
Sacramento Power Authority Revenue, 5.875% due 7/1/2015 (Cogeneration Project; Insured: MBIA) | Aaa/AAA | 2,500,000 | 2,635,900 | |||||
Salinas Redevelopment Agency Tax Allocation Series A, 0% due 11/1/2022 (Insured: FSA) | Aaa/AAA | 1,450,000 | 550,551 | |||||
San Bernardino County Multi Family Housing Revenue Refunding Series A, 4.75% due 12/15/2031 put 12/15/2011 (Collateralized: FNMA) | Aaa/NR | 3,000,000 | 3,140,730 | |||||
San Bernardino County Special Taxes Community Facilities District 2002-1, 5.10% due 9/1/2011 | NR/NR | 190,000 | 199,382 | |||||
San Bernardino County Special Taxes Community Facilities District 2002-1, 5.20% due 9/1/2012 | NR/NR | 205,000 | 214,879 | |||||
San Bernardino County Special Taxes Community Facilities District 2002-1, 5.30% due 9/1/2013 | NR/NR | 300,000 | 315,084 | |||||
San Bernardino County Transportation Authority Sales Tax Revenue Series A, 6.00% due 3/1/2010 (ETM) | Aaa/AAA | 175,000 | 189,676 | |||||
San Diego County Regional Transportation Commission Sales Tax Revenue Series A, 6.00% due 4/1/2008 (ETM) | Aaa/AA- | 590,000 | 627,967 | |||||
San Diego Public Facilities Financing Authority Lease Revenue, 7.00% due 4/1/2005 (Insured: MBIA) | Aaa/AAA | 430,000 | 430,000 | |||||
San Diego Public Facilities Financing Authority Lease Revenue, 7.00% due 4/1/2006 (Insured: MBIA) | Aaa/AAA | 455,000 | 474,911 | |||||
San Diego Public Facilities Financing Authority Lease Revenue, 7.00% due 4/1/2007 (Insured: MBIA) | Aaa/AAA | 425,000 | 459,829 | |||||
San Francisco Bay Area Transit Bridge Toll Notes, 5.625% due 8/1/2006 (Insured: ACA) | NR/A | 1,400,000 | 1,447,726 | |||||
San Francisco Bay Area Transit Financing Authority Bridge Toll Notes, 5.50% due 8/1/2005 (Insured: ACA) | NR/A | 1,000,000 | 1,009,450 | |||||
San Francisco International Airport Revenue Series Issue 13B, 8.00% due 5/1/2007 (Insured: MBIA) | Aaa/AAA | 1,100,000 | 1,166,847 | |||||
San Jose Evergreen Community College District Series C, 0% due 9/1/2011 (Insured: AMBAC) | Aaa/AAA | 2,200,000 | 1,692,966 | |||||
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 | 2,700,000 | 2,769,012 | |||||
San Marcos Public Facilities Authority Revenue Community Facilities District 88-1, 0% due 3/1/2008 (ETM) | Aaa/NR | 1,900,000 | 1,737,949 | |||||
San Marcos Public Facilities Authority Special Tax Revenue Series A, 6.45% due 9/1/2034 pre-refunded 9/1/2007 | NR/NR | 2,000,000 | 2,191,760 | |||||
Santa Clara County Financing Authority, 5.00% due 8/1/2005 (Measure B Transportation Improvement Program) | A2/NR | 1,250,000 | 1,259,625 |
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SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg California Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Santa Clara County Financing Authority Special Obligation Measure B, 4.00% due 8/1/2006 (Transportation Improvement Program Project) | A2/NR | $ | 1,575,000 | $ | 1,596,767 | |||
Santa Clara Valley Transportation Authority Sales Tax Revenue Measure A, 4.00% due 4/1/2036 put 10/2/2006 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,019,200 | |||||
Santa Clara Valley Transportation Authority Sales Tax Revenue Measure A, 5.50% due 4/1/2036 put 10/2/2006 (Insured: AMBAC) | Aaa/AAA | 1,810,000 | 1,885,296 | |||||
Santa Cruz County Certificates Refunding, 4.00% due 8/1/2005 | A3/NR | 610,000 | 612,855 | |||||
Seal Beach Redevelopment Agency Mobile Home Park Revenue Series A, 5.20% due 12/15/2013 (Insured: ACA) | NR/A | 575,000 | 610,156 | |||||
South Orange County Public Finance Authority Special Tax Revenue, 7.00% due 9/1/2005 (Insured: MBIA) | Aaa/AAA | 1,435,000 | 1,462,179 | |||||
South Orange County Public Financing Authority Special Tax Revenue Series C, 8.00% due 8/15/2008 (Foothill Area Project; Insured: FGIC) | Aaa/AAA | 1,500,000 | 1,737,195 | |||||
Southeast Resources Recovery Facilities Authority Lease Revenue Refunding Series B, 5.375% due 12/1/2013 (Insured: AMBAC) | Aaa/AAA | 1,060,000 | 1,141,260 | |||||
Southern California Revenue, 5.15% due 7/1/2015 (Public Power Project; Insured: AMBAC) | Aaa/AAA | 350,000 | 380,177 | |||||
Southern California Revenue, 5.15% due 7/1/2015 (Public Power Project; Insured: AMBAC) | Aaa/AAA | 250,000 | 271,555 | |||||
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 | 3,225,000 | 3,384,831 | |||||
Ukiah Unified School District COP, 5.00% due 9/1/2008 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,066,580 | |||||
Ventura County Community College Series A, 5.00% due 8/1/2012 (Insured: MBIA) | Aaa/AAA | 500,000 | 545,920 | |||||
Ventura Unified School District Series F, 6.75% due 8/1/2005 (Insured: FSA) | Aaa/AAA | 115,000 | 116,692 | |||||
Victorville Redevelopment Agency Tax Allocation Bear Valley Road Special Escrow Fund A, 5.00% due 12/1/2014 (Insured: FSA) | Aaa/AAA | 455,000 | 462,125 | |||||
Walnut Valley Unified School District, 9.00% due 8/1/2006 (ETM) | Aaa/AAA | 800,000 | 866,144 | |||||
Walnut Valley Unified School District, 8.75% due 8/1/2010 (ETM) | Aaa/AAA | 1,000,000 | 1,267,370 | |||||
Walnut Valley Unified School District Series A, 6.70% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 245,000 | 248,565 | |||||
Walnut Valley Unified School District Series A, 6.80% due 2/1/2007 (Insured: MBIA) | Aaa/AAA | 250,000 | 268,248 | |||||
Walnut Valley Unified School District Series A, 6.90% due 2/1/2008 (Insured: MBIA) | Aaa/AAA | 250,000 | 277,360 | |||||
Walnut Valley Unified School District Series A, 7.00% due 8/1/2008 (Insured: MBIA) | Aaa/AAA | 100,000 | 112,888 | |||||
Washington Township Health Care District Revenue, 5.00% due 7/1/2009 | A2/NR | 450,000 | 473,328 | |||||
West Contra Costa Unified School District Series A, 6.50% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 570,000 | 577,934 | |||||
West Contra Costa Unified School District Series A, 7.00% due 8/1/2006 (Insured: MBIA) | Aaa/AAA | 595,000 | 629,361 | |||||
West Contra Costa Unified School District Series A, 7.00% due 8/1/2008 (Insured: MBIA) | Aaa/AAA | 655,000 | 739,416 | |||||
Whittier Solid Waste Revenue Refunding Series A, 5.375% due 8/1/2014 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,009,450 | |||||
TOTAL INVESTMENTS — 99.91%(Cost $167,516,931) | $ | 169,635,264 | ||||||
OTHER ASSETS LESS LIABILITIES — 0.09% | 153,721 | |||||||
NET ASSETS — 100.00% | $ | 169,788,985 | ||||||
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SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg California Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
SUMMARY OF SECURITY CREDIT RATINGS†
Ratings are a blend of Moody’s and Standard & Poor’s, using the higher rating. Some bonds are rated by only one service.
Footnote Legend
See notes to financial statements.
† | Credit ratings are unaudited. Rating changes may have occurred prior to or subsequent to the reporting period end. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ACA | Insured by American Capital Access | |
AMBAC | Insured by American Municipal Bond Assurance Corp. | |
COP | Certificates of Participation | |
ETM | Escrowed to Maturity | |
FGIC | Insured by Financial Guaranty Insurance Co. | |
FNMA | Collateralized by Federal National Mortgage Association | |
FSA | Insured by Financial Security Assurance Co. | |
GNMA | Insured by Government National Mortgage Co. | |
GO | General Obligation | |
MBIA | Insured by Municipal Bond Investors Assurance |
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Table of Contents
Thornburg California Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
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 September 30, 2004 and held until March 31, 2005.
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 Account Value 9/30/04 | Ending Account Value 3/31/05 | Expenses Paid During Period† 9/30/04–3/31/05 | |||||||
Class I Shares | |||||||||
Actual | $ | 1,000 | $ | 998.70 | $ | 3.33 | |||
Hypothetical* | $ | 1,000 | $ | 1,021.60 | $ | 3.37 |
† | 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 182/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
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Table of Contents
Thornburg California Limited Term Municipal Fund | March 31, 2005 (Unaudited) |
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 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.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files 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. The Fund’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, or may be reviewed and 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.
Certified Semi-Annual Report 21 |
Table of Contents
Trustees’ Statement to Shareholders
February 8, 2005
The Trustees are concerned that recent commentaries and opinions reported in the media may confuse investors in general as to the supervisory duties of trustees of mutual funds and, in particular, leave Thornburg Investment Trust shareholders uncertain regarding how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. We decided to spell out clearly three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf.
We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.
Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders’ returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.
Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.
This statement is submitted for the general information of the shareholders of Thornburg Investment Trust. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money.
22 This page is not part of the Semi-Annual Report. |
Table of Contents
Planning Options
Retirement and Education Accounts
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs – Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 701/2, even if you are covered by an employer retirement plan.
Roth IRAs – Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our web site at www.thornburg.com/ira.
SEP IRAs – Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employee’s SEP IRA on a discretionary basis.
SIMPLE IRAs – Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employee’s SIMPLE IRA. Employees may make salary deferral contributions.
403(b)
A special, tax-advantaged savings vehicle available only to employees of 501(c)(3) organizations, such as charitable, educational, scientific and religious organizations. 403(b) plans are also available to employees of public schools and universities.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
• | Thornburg International Value Fund |
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
This page is not part of the Semi-Annual Report. 23 |
Table of Contents
The Firm
Thornburg Investment Management is a privately held investment management company based in Santa Fe, New Mexico with assets under management of over $13 billion. Founded in 1982, the firm manages four equity funds, eight bond funds, and separate portfolios for select institutions and individuals.
Investment Philosophy
We seek to preserve and increase the real wealth of the Funds’ shareholders after accounting for inflation, taxes, and investment expenses. We’re committed to disciplined investing and controlling risk in all market environments through laddered bond and focused equity portfolios.
Portfolio Holdings Disclosure
We believe you should know what is in your portfolio. Our web site keeps investors informed of the Funds’ equity holdings. Go to www.thornburg.com/funds for portfolio manager commentary on our equity fund holdings.
Co-Ownership of Funds
We invest side-by-side with the Funds’ shareholders. Our employees have invested over $100 million in Thornburg Funds.
Core Strategies for Building Wealth
We deliver core strategies to help investors meet long-term goals. A core strategy is a consistent, disciplined and proven investment process that represents the foundation of a diversified portfolio.
INVESTMENT MANAGER
Thornburg Investment Management, Inc.
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
PRINCIPAL UNDERWRITER
Thornburg Securities Corporation
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
www.thornburg.com
Table of Contents
Core Strategies for Building Wealth
Thornburg Intermediate Municipal Fund
Semi-Annual Report – March 31, 2005
This report and the accompanying brochure are submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/ download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money. Performance data quoted represents past performance and does not guarantee future results.
Table of Contents
Thornburg Intermediate Municipal Fund
Laddering – an All Weather Strategy
The Fund’s investment objective is to obtain as high a level of current income exempt from Federal income taxes as is consistent with preservation of capital (may be subject to Alternative Minimum Tax).
This Fund is a laddered portfolio of municipal bonds with an average maturity of ten years or less. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio matures each year; cash from maturing bonds, if not needed for other purposes, is invested in bonds with longer maturities at the far end of the ladder. We regard the strategy as a good compromise for managing different types of risk.
Thornburg Bond Funds
• | Thornburg Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term 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 invests in short- and intermediate-term investment grade bonds. We ladder the maturities of individual bonds in the portfolios to moderate risk. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio will mature each year. We apply this disciplined process in all interest rate environments.
Thornburg Equity Funds
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
Thornburg’s equity research uses a fundamental, yet comprehensive, analytical approach. We invest when and where we perceive the most compelling value. Thornburg equity funds focus on a limited number of securities so that each holding can have a material impact on performance. The equity team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic value.
More information at www.thornburg.com
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Table of Contents
Thornburg Intermediate Municipal Fund
March 31, 2005
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
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Important Information
Performance data quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate so that upon redemption, investor’s shares may be worth more or less than their original cost. Current performance may be lower or higher than the data quoted. For performance data current to the most recent month end, visit www.thornburg.com.
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.
Shares in the Fund carry risks, including possible loss of principal. As with direct bond ownership, Funds that invest in bonds are subject to certain risks including interest-rate risk, credit risk, and inflation risk. The principal value of bond funds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Shares in the fund are not deposits or obligations of, or guaranteed or endorsed by, any bank, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any government agency.
The information presented on the following pages was current as of March 31, 2005. 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 – Is a widely-accepted unmanaged market-weighted index comprised of fixed-rate, coupon bearing bonds issued within five years of the most recent month-end with greater than $50 million principal amount having a Moody’s investment grade rating and maturities of seven to twelve years.
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, sinking funds, 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.
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Table of Contents
George Strickland
Portfolio Manager
April 15, 2005
Dear Fellow Shareholder:
I am pleased to present the Semi-Annual Report for the Thornburg Intermediate Municipal Fund. The net asset value of the class A shares decreased by 20 cents to $13.28 during the six month period ending March 31, 2005. If you were with us for the entire period, you received dividends of 24.5 cents per share. If you reinvested dividends, you received 24.7 cents per share. Investors who owned class C shares received dividends of 22.8 and 23.0 cents per share, respectively.
Over the past six months, the municipal bond yield curve has flattened considerably. In other words, interest rates on short and intermediate bonds have risen, while the interest rates on long-term bonds have remained relatively unchanged. Since bond prices move in the opposite direction of yields, long-term bond prices have been relatively stable while short and intermediate bond prices have fallen. The class A shares of your Fund produced a total return of 0.33% over the last six months, compared to a 0.16% return for the Merrill Lynch 7-12 Year Municipal Bond Index. We believe that the Fund outperformed the index because the Fund has maintained an average duration less than the index and favored bonds whose prices tend to be less sensitive to interest rate changes.
We are not surprised that short and intermediate bond yields have risen. The Federal Reserve has almost tripled the targeted Fed Funds rate in the last year and is expected to keep raising rates gradually. Producer prices are rising at a 4.7% rate (up from 2.1% a year ago). Consumer prices are rising at a 3.0% rate (up from 1.7%), and the U.S. economy is growing at a nominal rate (unadjusted for inflation) of 6.4%. We haven’t seen that kind of growth since the technology stock bubble burst in the first half of 2000.
We are, however, somewhat perplexed about the stability of long-term bond yields. Market participants may be expecting the economy to falter and inflation to subside this year. While that is certainly a possibility, we believe that the more likely scenario is that economic momentum continues and inflation stays in the 3-4% range. Such a scenario should lead to higher yields for long-term bonds.
New issue municipal bond supply unexpectedly surged 10.9% over the first quarter of last year to a record $96.6 billion. The increased supply showed up just as the government bond market weakened and helped create a buyer-friendly municipal bond market. With rates on intermediate municipal bonds rising by about 0.5% over the last couple of months, we have been finding better values in bonds that mature in the five to ten year range. Though we are still conservatively positioned relative to our long-term averages, we have recently extended the duration of the Fund slightly to 4.5 years. If rates continue to rise, we would expect to continue extending duration.
Your Thornburg Intermediate Municipal Fund is a laddered portfolio of over 310 municipal obligations from 45 states. Your Fund’s weighted average maturity is 7.9 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
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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 continue rising, 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 shown here describes the percentages of your Fund’s bond portfolio maturing in each of the coming years.
% of portfolio | Cumulative % | |||||||||||||
2 years | = | 9.8 | % | Year 2 | = | 9.8 | % | |||||||
2 to 4 years | = | 11.2 | % | Year 4 | = | 21.0 | % | |||||||
4 to 6 years | = | 14.2 | % | Year 6 | = | 35.2 | % | |||||||
6 to 8 years | = | 14.4 | % | Year 8 | = | 49.6 | % | |||||||
8 to 10 years | = | 11.3 | % | Year 10 | = | 60.9 | % | |||||||
10 to 12 years | = | 14.7 | % | Year 12 | = | 75.6 | % | |||||||
12 to 14 years | = | 13.4 | % | Year 14 | = | 89.0 | % | |||||||
14 to 16 years | = | 7.3 | % | Year 16 | = | 96.3 | % | |||||||
16 to 18 years | = | 2.3 | % | Year 18 | = | 98.6 | % | |||||||
Over 18 years | = | 1.4 | % | Over 18 years | = | 100 | % |
Percentages can and do vary. Data as of 3/31/05.
Thanks to a strong economy, state tax revenues were up 7.5% in 2004 – the fastest growth rate since the 2000 fiscal year. Many states are dealing with the fortunate problem of deciding what to do with surplus revenues, while a few states continue grappling with budget deficits. State reserve funds have been drawn down over the last few years 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 by at least one rating agency 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 Intermediate Municipal Fund.
Sincerely, |
![]() |
George Strickland |
Portfolio Manager |
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STATEMENT OF ASSETS AND LIABILITIES
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
ASSETS | ||||
Investments at value (cost $ 436,575,616) | $ | 455,577,512 | ||
Cash | 463,346 | |||
Receivable for investments sold | 2,144,578 | |||
Receivable for fund shares sold | 1,073,537 | |||
Interest receivable | 6,091,787 | |||
Prepaid expenses and other assets | 32,435 | |||
Total Assets | 465,383,195 | |||
LIABILITIES | ||||
Payable for securities purchased | 9,239,333 | |||
Payable for fund shares redeemed | 2,218,710 | |||
Payable to investment advisor and other affiliates (Note 3) | 329,078 | |||
Accounts payable and accrued expenses | 60,812 | |||
Dividends payable | 569,086 | |||
Total Liabilities | 12,417,019 | |||
NET ASSETS | $ | 452,966,176 | ||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment gain (loss) | $ | (2,268 | ) | |
Net unrealized appreciation on investments | 18,998,544 | |||
Accumulated net realized gain (loss) | (9,961,730 | ) | ||
Net capital paid in on shares of beneficial interest | 443,931,630 | |||
$ | 452,966,176 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share | $ | 13.28 | ||
Maximum sales charge, 2.00% of offering price | 0.27 | |||
Maximum Offering Price Per Share | $ | 13.55 | ||
Class C Shares: | ||||
Net asset value and offering price per share * | $ | 13.30 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share | $ | 13.27 | ||
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
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Thornburg Intermediate Municipal Fund | Six Months Ended March 31, 2005 (Unaudited) |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $1,283,124) | $ | 10,641,681 | ||
Total Income | 10,641,681 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 1,145,960 | |||
Administration fees (Note 3) | ||||
Class A Shares | 226,674 | |||
Class C Shares | 35,841 | |||
Class I Shares | 9,590 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 453,348 | |||
Class C Shares | 348,014 | |||
Transfer agent fees | ||||
Class A Shares | 76,755 | |||
Class C Shares | 17,765 | |||
Class I Shares | 17,155 | |||
Registration and filing fees | ||||
Class A Shares | 31,700 | |||
Class C Shares | 11,416 | |||
Class I Shares | 8,516 | |||
Custodian fees (Note 3) | 96,063 | |||
Professional fees | 21,490 | |||
Accounting fees | 22,785 | |||
Trustee fees | 6,975 | |||
Other expenses | 48,849 | |||
Total Expenses | 2,578,896 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (111,376 | ) | ||
Distribution and service fees waived (Note 3) | (174,007 | ) | ||
Fees paid indirectly (Note 3) | (5,653 | ) | ||
Net Expenses | 2,287,860 | |||
Net Investment Income | 8,353,821 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments | 261,688 | |||
261,688 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (7,119,408 | ) | ||
(7,119,408 | ) | |||
Net Realized and Unrealized Loss | (6,857,720 | ) | ||
Net Increase in Net Assets Resulting From Operations | $ | 1,496,101 | ||
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Intermediate Municipal Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income gain | $ | 8,353,821 | $ | 17,327,406 | ||||
Net realized gain (loss) on investments | 261,688 | (454,070 | ) | |||||
Increase (Decrease) in unrealized appreciation on investments | (7,119,408 | ) | (2,505,819 | ) | ||||
Net Increase in Net Assets Resulting from Operations | 1,496,101 | 14,367,517 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (6,616,202 | ) | (14,280,020 | ) | ||||
Class C Shares | (974,276 | ) | (2,139,590 | ) | ||||
Class I Shares | (763,343 | ) | (907,796 | ) | ||||
FUND SHARE TRANSACTIONS - (Note 4) | ||||||||
Class A Shares | (11,271,026 | ) | (17,365,422 | ) | ||||
Class C Shares | (1,140,566 | ) | (2,267,561 | ) | ||||
Class I Shares | 10,951,430 | 13,757,994 | ||||||
Net Decrease in Net Assets | (8,317,882 | ) | (8,834,878 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 461,284,058 | 470,118,936 | ||||||
End of period | $ | 452,966,176 | $ | 461,284,058 | ||||
See notes to financial statements.
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Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
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 Trust are as follows:
Valuation of Investments: In determining the net asset value, the Trust 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 Trust to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all taxable (if any) and tax exempt income, of the Fund, to the 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 and or market changes. At the time the Trust 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 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
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
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 period ended March 31, 2005, these fees were payable at annual rates ranging from .50 of 1% to .275 of 1% per annum 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% per annum of the average daily net assets attributable to each class of shares. For the period ended March 31, 2005, the Advisor voluntarily reimbursed certain class specific expenses and administrative fees of $43,445 for Class A shares, $49,189 for Class C shares, and $18,742 for Class I shares.
The Trust 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 period ended March 31, 2005, the Distributor has advised the Fund that it earned net commissions aggregating $2,853 from the sale of Class A shares and collected contingent deferred sales charges aggregating $7,104 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 Trust 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 period ended March 31, 2005, are set forth in the Statement of Operations. Distribution fees in the amount of $174,007 were waived for Class C 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 March 31, 2005, fees paid indirectly were $5,653.
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.
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2005, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 1,976,390 | $ | 26,577,241 | 4,635,509 | $ | 62,513,224 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 273,005 | 3,663,588 | 621,472 | 8,358,310 | ||||||||||
Shares repurchased | (3,087,197 | ) | (41,511,855 | ) | (6,560,558 | ) | (88,236,956 | ) | ||||||
Net Increase (Decrease) | (837,802 | ) | $ | (11,271,026 | ) | (1,303,577 | ) | $ | (17,365,422 | ) | ||||
Class C Shares | ||||||||||||||
Shares sold | 360,057 | $ | 4,848,475 | 946,921 | $ | 12,804,296 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 47,620 | 639,860 | 111,651 | 1,503,248 | ||||||||||
Shares repurchased | (492,918 | ) | (6,628,901 | ) | (1,234,469 | ) | (16,575,105 | ) | ||||||
Net Increase (Decrease) | (85,241 | ) | $ | (1,140,566 | ) | (175,897 | ) | $ | (2,267,561 | ) | ||||
Class I Shares | ||||||||||||||
Shares sold | 1,218,754 | $ | 16,359,352 | 1,489,564 | $ | 19,943,017 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 28,285 | 378,829 | 46,460 | 623,829 | ||||||||||
Shares repurchased | (432,442 | ) | (5,786,751 | ) | (506,745 | ) | (6,808,852 | ) | ||||||
Net Increase (Decrease) | 814,597 | $ | 10,951,430 | 1,029,279 | $ | 13,757,994 | ||||||||
NOTE 5 – SECURITIES TRANSACTIONS
For the period ended March 31, 2005, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $82,415,447 and $48,124,322, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2005, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 436,575,105 | ||
Gross unrealized appreciation on a tax basis | $ | 19,975,004 | ||
Gross unrealized depreciation on a tax basis | (975,949 | ) | ||
Net unrealized appreciation(depreciation) on investments (tax basis) | $ | 18,999,055 | ||
At March 31, 2005, 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:
Capital loss carryovers expiring in: | |||
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 | ||
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Thornburg Intermediate Municipal Fund | (Unaudited)* |
*Six Months Ended 2005 | Year Ended September 30, | |||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||
Class A Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.48 | $ | 13.56 | $ | 13.67 | $ | 13.28 | $ | 12.78 | $ | 13.00 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.24 | 0.52 | 0.52 | 0.56 | 0.62 | 0.63 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.20 | ) | (0.08 | ) | (0.11 | ) | 0.39 | 0.50 | (0.22 | ) | ||||||||||||||
Total from investment operations | 0.04 | 0.44 | 0.41 | 0.95 | 1.12 | 0.41 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.24 | ) | (0.52 | ) | (0.52 | ) | (0.56 | ) | (0.62 | ) | (0.63 | ) | ||||||||||||
Change in net asset value | (0.20 | ) | (0.08 | ) | (0.11 | ) | 0.39 | 0.50 | (0.22 | ) | ||||||||||||||
NET ASSET VALUE, end of period | $ | 13.28 | $ | 13.48 | $ | 13.56 | $ | 13.67 | $ | 13.28 | $ | 12.78 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | 0.33 | % | 3.29 | % | 3.11 | % | 7.39 | % | 8.94 | % | 3.23 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 3.65 | % (b) | 3.83 | % | 3.87 | % | 4.23 | % | 4.73 | % | 4.89 | % | ||||||||||||
Expenses, after expense reductions | 1.00 | % (b) | 0.98 | % | 0.99 | % | 0.92 | % | 0.82 | % | 0.89 | % | ||||||||||||
Expenses, after expense reductions and net of custody credits | 0.99 | % (b) | 0.98 | % | 0.99 | % | 0.92 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 1.02 | % (b) | 0.98 | % | 1.00 | % | 1.00 | % | 1.02 | % | 1.02 | % | ||||||||||||
Portfolio turnover rate | 10.97 | % | 11.81 | % | 15.13 | % | 16.36 | % | 18.24 | % | 21.97 | % | ||||||||||||
Net assets at end of period (000) | $ | 353,590 | $ | 370,227 | $ | 390,080 | $ | 414,150 | $ | 338,931 | $ | 322,942 |
(a) | Sales loads are not reflected in computing total return, which is not annualized for periods less than one year. |
(b) | Annualized. |
Certified Semi-Annual Report 13 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Income Funds | March 31, 2005 (Unaudited) |
*Six Months Ended 2005 | Year Ended September 30, | |||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||
Class C Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.50 | $ | 13.58 | $ | 13.69 | $ | 13.30 | $ | 12.79 | $ | 13.02 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.23 | 0.48 | 0.47 | 0.51 | 0.57 | 0.57 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.20 | ) | (0.08 | ) | (0.11 | ) | 0.39 | 0.51 | (0.23 | ) | ||||||||||||||
Total from investment operations | 0.03 | 0.40 | 0.36 | 0.90 | 1.08 | 0.34 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.23 | ) | (0.48 | ) | (0.47 | ) | (0.51 | ) | (0.57 | ) | (0.57 | ) | ||||||||||||
Change in net asset value | (0.20 | ) | (0.08 | ) | (0.11 | ) | 0.39 | 0.51 | (0.23 | ) | ||||||||||||||
NET ASSET VALUE, end of period | $ | 13.30 | $ | 13.50 | $ | 13.58 | $ | 13.69 | $ | 13.30 | $ | 12.79 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | 0.20 | % | 3.02 | % | 2.73 | % | 6.97 | % | 8.59 | % | 2.70 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 3.40 | % (b) | 3.57 | % | 3.50 | % | 3.84 | % | 4.33 | % | 4.44 | % | ||||||||||||
Expenses, after expense reductions | 1.25 | % (b) | 1.24 | % | 1.35 | % | 1.30 | % | 1.21 | % | 1.34 | % | ||||||||||||
Expenses, after expense reductions and net of custody credits | 1.24 | % (b) | 1.24 | % | 1.35 | % | 1.30 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 2.03 | % (b) | 1.78 | % | 1.80 | % | 1.80 | % | 1.83 | % | 1.83 | % | ||||||||||||
Portfolio turnover rate | 10.97 | % | 11.81 | % | 15.13 | % | 16.36 | % | 18.24 | % | 21.97 | % | ||||||||||||
Net assets at end of period (000) | $ | 55,982 | $ | 57,979 | $ | 60,707 | $ | 47,155 | $ | 40,002 | $ | 33,353 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
14 Certified Semi-Annual Report |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Income Funds | March 31, 2005 (Unaudited) |
*Six Months Ended 2005 | Year Ended September 30, | |||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.46 | $ | 13.54 | $ | 13.65 | $ | 13.26 | $ | 12.76 | $ | 12.98 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.27 | 0.56 | 0.57 | 0.61 | 0.65 | 0.65 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.20 | ) | (0.08 | ) | (0.11 | ) | 0.39 | 0.50 | (0.22 | ) | ||||||||||||||
Total from investment operations | 0.07 | 0.48 | 0.46 | 1.00 | 1.15 | 0.43 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.27 | ) | (0.56 | ) | (0.57 | ) | (0.61 | ) | (0.65 | ) | (0.65 | ) | ||||||||||||
Change in net asset value | (0.20 | ) | (0.08 | ) | (0.11 | ) | 0.39 | 0.50 | (0.22 | ) | ||||||||||||||
NET ASSET VALUE, end of period | $ | 13.26 | $ | 13.46 | $ | 13.54 | $ | 13.65 | $ | 13.26 | $ | 12.76 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | 0.49 | % | 3.61 | % | 3.49 | % | 7.75 | % | 9.23 | % | 3.45 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 3.97 | % (b) | 4.12 | % | 4.23 | % | 4.57 | % | 4.99 | % | 5.10 | % | ||||||||||||
Expenses, after expense reductions | 0.67 | % (b) | 0.67 | % | 0.62 | % | 0.58 | % | 0.55 | % | 0.68 | % | ||||||||||||
Expenses, after expense reductions and net of custody credits | 0.67 | % (b) | 0.67 | % | 0.62 | % | 0.58 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 0.77 | % (b) | 0.75 | % | 0.80 | % | 0.79 | % | 0.79 | % | 0.80 | % | ||||||||||||
Portfolio turnover rate | 10.97 | % | 11.81 | % | 15.13 | % | 16.36 | % | 18.24 | % | 21.97 | % | ||||||||||||
Net assets at end of period (000) | $ | 43,394 | $ | 33,079 | $ | 19,333 | $ | 18,330 | $ | 17,258 | $ | 17,563 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
Certified Semi-Annual Report 15 |
Table of Contents
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
CUSIP: 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
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
ALABAMA — 1.39% | ||||||||
Alabama Docks Revenue, 6.00% due 10/1/2008 (Insured: MBIA) | Aaa/AAA | $ | 800,000 | $ | 876,112 | |||
Birmingham Carraway Alabama Special, 6.25% due 8/15/2009 (Insured: Connie Lee) | NR/AAA | 2,000,000 | 2,142,300 | |||||
East Alabama Health Care Authority Tax Anticipation Series A, 4.00% due 9/1/2006 (Insured: MBIA) | Aaa/AAA | 1,515,000 | 1,539,694 | |||||
Lauderdale County & Florence Health Group Series A, 5.75% due 7/1/2013 (Insured: MBIA) | Aaa/AAA | 1,600,000 | 1,746,112 | |||||
ALASKA — 1.16% | ||||||||
Alaska Energy Authority Power Revenue Refunding Bradley Lake Fourth Series, 6.00% due 7/1/2011 (Insured: FSA) | Aaa/AAA | 955,000 | 1,077,641 | |||||
Alaska Municipal Bond Bank Series A, 5.00% due 10/1/2017 (Insured: FGIC) | Aaa/AAA | 2,470,000 | 2,627,932 | |||||
Anchorage School Refunding, 6.00% due 10/1/2012 (Insured: FGIC) | Aaa/AAA | 500,000 | 563,125 | |||||
North Slope Borough Alaska, 0% due 6/30/2006 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 966,090 | |||||
ARIZONA — 1.15% | �� | |||||||
Phoenix Street & Highway User Revenue, 6.50% due 7/1/2009 | Aa3/AAA | 1,000,000 | 1,097,110 | |||||
Pima County Industrial Development Authority Series C, 6.70% due 7/1/2021 (Arizona Charter Schools Project) | Baa3/NR | 2,715,000 | 2,849,963 | |||||
Tucson GO Series D, 9.75% due 7/1/2012 (ETM) | NR/AA | 400,000 | 549,912 | |||||
Tucson GO Series D, 9.75% due 7/1/2013 (ETM) | NR/AA | 500,000 | 705,115 | |||||
ARKANSAS — 0.56% | ||||||||
Jefferson County Hospital Revenue Refunding & Improvement, 5.75% due 6/1/2012 (Regional Medical Center Project) | NR/A | 1,135,000 | 1,240,260 | |||||
Jefferson County Hospital Revenue Refunding & Improvement, 5.75% due 6/1/2013 (Regional Medical Center Project) | NR/A | 1,200,000 | 1,301,616 | |||||
CALIFORNIA — 4.19% | ||||||||
California Department of Water Resources Power Series A, 5.75% due 5/1/2017 | A2/BBB+ | 3,000,000 | 3,316,230 | |||||
California Housing Finance Agency Revenue Multi Family Housing Series D, 2.30% due 10/1/2023 put 4/1/2005 (daily demand notes) | VMIG1/A-1+ | 400,000 | 400,000 | |||||
California Housing Finance Authority Revenue Series 1985-B, 9.875% due 2/1/2017 | Aa2/AA- | 675,000 | 690,566 | |||||
California Statewide Community Development Authority COP, 5.50% due 10/1/2007 (Unihealth America Project) (ETM) | Aaa/AAA | 4,500,000 | 4,785,795 | |||||
Camino Hospital District Revenue Series A, 6.25% due 8/15/2017 (ETM) | Aaa/AAA | 1,000,000 | 1,161,500 | |||||
Escondido Joint Powers Financing Authority Lease Revenue, 0% due 9/1/2007 (Center for the Arts Project; Insured: AMBAC) | Aaa/AAA | 1,740,000 | 1,558,066 | |||||
Golden West Schools Financing Authority Capital Appreciation, 0% due 8/1/2018 (Insured: MBIA) | Aaa/AAA | 2,140,000 | 1,041,281 | |||||
Irwindale Community Redevelopment Agency, 6.60% due 8/1/2018 pre-refunded 8/1/2005 | Baa3/NR | 500,000 | 515,200 | |||||
Orange County Refunding Recovery, 6.50% due 6/1/2005 (Insured: MBIA) | Aaa/AAA | 2,280,000 | 2,296,028 | |||||
San Diego County Water Authority Revenue & Refunding Series 1993-A, 8.248% due 4/25/2007 (Insured: FGIC) | Aaa/AAA | 500,000 | 557,930 | |||||
San Marcos COP Series C, 0% due 8/15/2005 (ETM) | NR/AAA | 145,000 | 143,772 | |||||
San Marcos COP Series D, 0% due 9/2/2005 (ETM) | NR/AAA | 740,000 | 732,881 | |||||
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 | 1,470,000 | 1,542,853 | |||||
Sunline Transit Agency COP Series A, 5.75% due 7/1/2005 | A/NR | 215,000 | 216,832 | |||||
COLORADO — 4.74% | ||||||||
Adams County Communication Center Series A, 5.75% due 12/1/2016 | Baa1/NR | 1,265,000 | 1,324,708 | |||||
Arvada Industrial Development Revenue, 5.25% due 12/1/2007 (Wanco Inc. Project; LOC: US Bank, N.A.) | NR/NR | $ | 65,000 | $ | 65,587 |
16 Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||
Arvada Industrial Development Revenue, 5.60% due 12/1/2012 (Wanco Inc. Project; LOC: US Bank, N.A.) | NR/NR | 450,000 | 463,302 | |||
Central Platte Valley Metropolitan District, 5.15% due 12/1/2013 pre-refunded 12/1/2009 | NR/AAA | 1,000,000 | 1,089,170 | |||
Central Platte Valley Metropolitan District Refunding Series A, 5.00% due 12/1/2031 put 12/1/2009 (LOC: US Bank) | NR/A-1 | 2,000,000 | 2,095,800 | |||
Colorado Educational & Cultural Facilities Refunding, 6.00% due 4/1/2021 (Charter School Cherry Creek Project) | Baa2/NR | 500,000 | 514,945 | |||
Colorado Housing Finance Authority Single Family Program Subordinated Series C, 5.75% due 10/1/2007 | A1/A+ | 25,000 | 25,309 | |||
Colorado Student Obligation Bond Student Loan Senior Subordinated Series B, 6.20% due 12/1/2008 | A2/NR | 1,570,000 | 1,605,482 | |||
Denver City & County COP Series B, 5.00% due 12/1/2011 | Aa2/AA | 2,465,000 | 2,646,350 | |||
El Paso County School District 11, 7.10% due 12/1/2013 | Aa3/AA- | 500,000 | 615,595 | |||
Glendale COP, 5.40% due 8/15/2008 (Education Center Project) | NR/BBB | 675,000 | 679,239 | |||
Interstate South Metropolitan District Refunding, 6.00% due 12/1/2020 (LOC: BNP Paribas) | NR/AA | 2,395,000 | 2,421,153 | |||
Larimer County GO, 8.45% due 12/15/2005 (Poudre School District Project) | Aa3/NR | 2,830,000 | 2,945,351 | |||
Northwest Parkway Public Highway Authority Capital Appreciation Senior Convertible C, 0% due 6/15/2014 (Insured: FSA) | Aaa/AAA | 1,005,000 | 799,126 | |||
Plaza Metropolitan District 1 Colorado Revenue Public Improvement Fee/Tax Increment, 7.70% due 12/1/2017 | NR/NR | 2,500,000 | 2,631,000 | |||
Southlands Metropolitan District Number 1 GO, 7.00% due 12/1/2024 | NR/NR | 1,370,000 | 1,495,506 | |||
Thornton County SFMR Series 1992-A, 8.05% due 8/1/2009 | A2/NR | 35,000 | 35,021 | |||
CONNECTICUT — 0.11% | ||||||
Eastern Resource Recovery Authority Series A, 5.25% due 1/1/2006 (Wheelabrator Lisbon Project) | NR/BBB | 500,000 | 500,740 | |||
DELAWARE — 0.35% | ||||||
Delaware State Health Facilities Authority Revenue Series A, 5.25% due 5/1/2016 (Nanticoke Memorial Hospital Project; Insured: Radian) | NR/AA | 1,500,000 | 1,571,235 | |||
DISTRICT OF COLUMBIA — 1.07% | ||||||
District of Columbia Hospital Revenue, 5.375% due 8/15/2015 (ETM) | Aaa/AAA | 600,000 | 641,832 | |||
District of Columbia Refunding Series B, 6.00% due 6/1/2015 (Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,476,040 | |||
District of Columbia Tax Increment Capital Appreciation, 0% due 7/1/2019 (Mandarin Oriental Project; Insured: FSA) | Aaa/AAA | 1,500,000 | 750,405 | |||
FLORIDA — 4.89% | ||||||
Broward County Resource Recovery Revenue, 5.00% due 12/1/2007 | A3/AA | 1,500,000 | 1,566,750 | |||
Deltona Utility Systems Revenue, 5.25% due 10/1/2015 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,093,850 | |||
Duval County Multi Family Housing Revenue Refunding, 5.90% due 9/1/2016 (St. Augustine Apartments Project) | NR/A | 1,000,000 | 1,029,740 | |||
Enterprise Community Development District Assessment Bonds, 6.00% due 5/1/2010 (Insured: MBIA) | Aaa/AAA | 1,605,000 | 1,609,703 | |||
Escambia County Health Facility Revenue, 5.95% due 7/1/2020 (Florida Health Care Facility Loan Project; Insured: AMBAC) | Aaa/NR | 3,000,000 | 3,048,900 | |||
Escambia County Health Facility Series C, 5.00% due 11/1/2028 pre-refunded 11/1/2010 (Charity Obligation Group Project) | Aaa/NR | 2,500,000 | 2,654,750 | |||
Florida Board of Education Capital Outlay Refunding Public Education Series D, 5.75% due 6/1/2018 | Aa1/AAA | 1,460,000 | 1,610,132 | |||
Jacksonville District Water & Sewer COP, 5.00% due 10/1/2020 pre-refunded 10/1/2008 | Aaa/AAA | 1,000,000 | 1,051,280 | |||
Orange County School Board Series A, 6.00% due 8/1/2008 (Insured: MBIA) | Aaa/NR | 1,580,000 | 1,722,405 | |||
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- | 2,000,000 | 2,042,360 |
Certified Semi-Annual Report 17 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Port Everglades Authority Port Improvement Revenue Refunding Series A, 5.00% due 9/1/2016 (Insured: FSA) | Aaa/AAA | $ | 3,635,000 | $ | 3,641,797 | |||
Turtle Run Community Development District Refunding Water Management Benefit Special Assessment, 5.00% due 5/1/2011 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,060,970 | |||||
GEORGIA — 1.00% | ||||||||
Georgia Municipal Electric Authority Power Revenue Unrefunded Series Y, 10.00% due 1/1/2010 | A1/A+ | 235,000 | 300,104 | |||||
Municipal Electric Authority Georgia Subordinated Series B, 5.00% due 1/1/2026 put 1/1/2009 (Project One; Insured: AMBAC) | Aaa/AAA | 4,000,000 | 4,226,240 | |||||
HAWAII — 0.71% | ||||||||
Hawaii Department of Budget & Finance, 6.40% due 7/1/2013 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,348,140 | |||||
Hawaii Housing Finance Development Corp. Series B, 5.85% due 7/1/2017 (Collateralized: FNMA) | Aaa/AAA | 845,000 | 864,663 | |||||
IDAHO — 0.22% | ||||||||
Boise City Industrial Development Corp., 5.40% due 12/15/2009 (Western Trailer Co. Project; LOC: First Security) | A1/NR | 985,000 | 986,064 | |||||
ILLINOIS — 11.35% | ||||||||
Central Lake County Joint Action Water Agency Series 1991, 0% due 5/1/2005 (Insured: MBIA) | Aaa/AAA | 300,000 | 299,400 | |||||
Champaign County Community Unit Series C, 0% due 1/1/2011 pre-refunded 1/1/2010 | Aaa/AAA | 800,000 | 639,304 | |||||
Chicago Housing Authority Capital, 5.00% due 7/1/2008 | Aa3/AA | 3,020,000 | 3,165,443 | |||||
Chicago Midway Airport Revenue Refunding Second Lien Series A, 5.00% due 1/1/2019 (Insured: AMBAC) | Aaa/AAA | 1,210,000 | 1,241,859 | |||||
Chicago Park District Harbor, 5.75% due 1/1/2011 | A2/NR | 600,000 | 669,396 | |||||
Chicago Tax Increment Allocation Lincoln Belmont A, 5.30% due 1/1/2014 (Insured: ACA) | NR/A | 2,285,000 | 2,362,233 | |||||
Chicago Wastewater Transmission Revenue Refunding Second Lien, 5.50% due 1/1/2013 (Insured: MBIA) | Aaa/AAA | 650,000 | 719,855 | |||||
Cook County Capital Improvement, 5.50% due 11/15/2008 (Insured: FGIC) | Aaa/AAA | 500,000 | 524,965 | |||||
Cook County School District Class A, 0% due 1/1/2022 | NR/NR | 2,000,000 | 777,520 | |||||
Du Page County School District Capital Appreciation, 0% due 2/1/2010 (Insured: FGIC) | Aaa/NR | 655,000 | 546,119 | |||||
Freeport Illinois GO, 5.375% due 1/1/2018 (Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,630,740 | |||||
Illinois Development Finance Authority Revenue, 6.00% due 11/15/2012 (Insured: MBIA) | Aaa/AAA | 2,860,000 | 3,209,635 | |||||
Illinois Development Finance Authority Revenue Refunding Community Rehab Providers A, 5.90% due 7/1/2009 | NR/BBB | 820,000 | 849,766 | |||||
Illinois Development Financing Authority Debt Restructuring Revenue Series 1994, 7.25% due 11/15/2009 (East St. Louis Project) | NR/A | 820,000 | 839,418 | |||||
Illinois Educational Facilities Authority Revenues Adjusted, 4.75% due 11/1/2036 put 11/1/2016 (Field Museum Project) | A2/A | 1,160,000 | 1,173,363 | |||||
Illinois Educational Facilities Authority Revenues Capital Appreciation, 0% due 7/1/2014 pre-refunded 7/1/2009 | Aaa/AAA | 475,000 | 230,855 | |||||
Illinois Educational Facilities Authority Revenues Loyola University A, 6.00% due 7/1/2012 (Insured: MBIA) (ETM) | Aaa/AAA | 230,000 | 262,570 | |||||
Illinois Educational Facilities Authority Revenues Midwestern University B, 5.50% due 5/15/2018 (Insured: ACA) | NR/A | 1,500,000 | 1,550,010 | |||||
Illinois Educational Facilities Authority Revenues Unrefunded Balance Loyola A, 5.00% due 7/1/2006 (Insured: MBIA) | Aaa/AAA | 1,540,000 | 1,580,502 | |||||
Illinois Educational Facilities Authority Revenues Unrefunded Balance Loyola A, 6.00% due 7/1/2011 (ETM) | Aaa/AAA | 770,000 | 869,338 | |||||
Illinois Educational Facilities Authority Revenues Unrefunded Balance Loyola A, 6.00% due 7/1/2012 (ETM) | Aaa/AAA | 1,080,000 | 1,219,050 | |||||
Illinois Health Facilities Authority Revenue, 5.50% due 10/1/2009 (Decatur Memorial Hospital Project) | A2/A | 1,055,000 | 1,127,194 |
18 Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Illinois Health Facilities Authority Revenue, 5.70% due 2/20/2021 (Midwest Care Center Project; Collateralized: GNMA) | Aaa/NR | $ | 990,000 | $ | 1,061,864 | |||
Illinois Health Facilities Authority Revenue Healthcare Systems, 6.25% due 11/15/2019 (OSF Healthcare Project) | A2/A | 1,250,000 | 1,340,200 | |||||
Illinois Health Facilities Authority Revenue Series A, 7.60% due 8/15/2010 (Insured: FSA) | Aaa/AAA | 32,000 | 33,637 | |||||
Illinois Health Facilities Authority Revenue Series A, 5.75% due 8/15/2013 pre-refunded 8/15/2009 Children’s Memorial Hospital Project) | Aaa/AAA | 1,900,000 | 2,104,060 | |||||
Illinois University Revenues, 5.25% due 1/15/2018 (UIC South Campus Development Project; Insured: FGIC) | Aaa/AAA | 1,205,000 | 1,298,026 | |||||
Jackson & Williamson Counties, Illinois, 7.50% due 12/1/2009 (Insured:AMBAC) | Aaa/AAA | 680,000 | 798,748 | |||||
Lake County Community High School Capital Appreciation Series B, 0% due 12/1/2012 (Insured: FGIC) | Aaa/NR | 5,550,000 | 4,016,479 | |||||
Marion Refunding, 5.00% due 9/15/2012 (Insured: FGIC) | Aaa/AAA | 755,000 | 812,297 | |||||
McHenry County School District Woodstock GO, 6.80% due 1/1/2006 (Insured: FSA) | Aaa/AAA | 710,000 | 731,648 | |||||
Melrose Park Tax Increment Series B, 6.50% due 12/15/2015 (Insured: FSA) | Aaa/AAA | 1,015,000 | 1,163,840 | |||||
Sangamon County Property Tax Lease Receipts, 7.45% due 11/15/2006 | Aa3/NR | 560,000 | 588,286 | |||||
Sangamon County School District Series A, 5.875% due 8/15/2018 (Hay Edwards Project) | NR/A | 2,400,000 | 2,564,592 | |||||
Sherman Revenue Refunding Mortgage, 6.10% due 10/1/2014 (Collateralized: GNMA) | NR/AAA | 1,170,000 | 1,261,166 | |||||
Sherman Revenue Refunding Mortgage, 6.20% due 10/1/2019 (Collateralized: GNMA) | NR/AAA | 1,600,000 | 1,721,344 | |||||
Southern Illinois University Revenues, 0% due 4/1/2014 (Insured: MBIA) | Aaa/AAA | 1,425,000 | 957,914 | |||||
University of Illinois Revenue Capital Appreciation, 0% due 4/1/2014 (Insured: MBIA) | Aaa/AAA | 1,590,000 | 1,069,021 | |||||
West Chicago Industrial Development Revenue, 6.90% due 9/1/2024 (Leggett & Platt Inc. Project) | NR/A+ | 1,000,000 | 1,023,050 | |||||
Will & Kendall Counties Community Series B, 5.125% due 1/1/2014 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,068,870 | |||||
Will County Community School 365-U Capital Appreciation, 0% due 11/1/2011 (Insured: FSA) | Aaa/AAA | 3,000,000 | 2,304,450 | |||||
INDIANA — 7.40% | ||||||||
Allen County Economic Development, 5.80% due 12/30/2012 (Indiana Institute of Technology Project) | NR/NR | 895,000 | 944,449 | |||||
Allen County Economic Development, 5.75% due 12/30/2015 (Indiana Institute of Technology Project) | NR/NR | 1,355,000 | 1,453,983 | |||||
Allen County Jail Building Corp. GO, 5.00% due 4/1/2018 (Insured: XLCA) | Aaa/AAA | 2,495,000 | 2,635,593 | |||||
Allen County War Memorial Series A, 5.25% due 11/1/2013 (Insured:AMBAC) | Aaa/NR | 1,000,000 | 1,080,780 | |||||
Boone County Hospital Association, 5.625% due 1/15/2015 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,092,990 | |||||
Brownsburg 1999 School Building, 5.00% due 2/1/2010 (Insured: FSA) | NR/AAA | 1,260,000 | 1,347,998 | |||||
Dyer Redevelopment Authority, 6.40% due 7/15/2015 | NR/BBB+ | 1,515,000 | 1,655,137 | |||||
Dyer Redevelopment Authority, 6.50% due 7/15/2016 | NR/BBB+ | 1,910,000 | 2,087,955 | |||||
East Chicago Elementary School Building First Mortgage Series A, 6.25% due 7/5/2008 (State Aid Withholding) | NR/A | 350,000 | 376,232 | |||||
Fishers Redevelopment Authority, 5.25% due 2/1/2018 (Insured: XLCA) | Aaa/AAA | 1,500,000 | 1,623,630 | |||||
Fishers Redevelopment Authority, 5.25% due 2/1/2020 (Insured: XLCA) | Aaa/AAA | 1,025,000 | 1,103,033 | |||||
Gary Building Corp. Lake County First Mortgage Series 1994-B, 8.25% due 7/1/2010 (Sears Building Project) | NR/NR | 935,000 | 953,345 | |||||
Goshen Chandler School Building Capital Appreciation Refunding, 0% due 1/15/2011 (Insured: MBIA) | Aaa/AAA | 1,020,000 | 813,185 | |||||
Hamilton Southeastern Indiana, 6.25% due 7/15/2006 (North Delaware School Building Project; Insured:AMBAC) | Aaa/AAA | �� | 1,980,000 | 2,066,427 | ||||
Huntington Economic Development Revenue, 6.40% due 5/1/2015 (United Methodist Memorial Project) | NR/NR | 1,000,000 | 1,049,110 | |||||
Indiana Bond Bank Special Program Hendrick’s Redevelopment Series B, 6.20% due 2/1/2023 pre-refunded 2/1/2007 | NR/A+ | 1,500,000 | 1,615,950 | |||||
Indiana Health Facility Hospital Revenue, 5.75% due 9/1/2015 (ETM) | NR/AA- | 575,000 | 597,160 | |||||
Indiana Health Facility Hospital Revenue, 5.40% due 2/15/2016 (Clarian Health Obligation Group Project; Insured: MBIA) | Aaa/AAA | $ | 1,000,000 | $ | 1,076,500 |
Certified Semi-Annual Report 19 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||
Indiana State Educational Facilities Authority Revenue, 5.65% due 10/1/2015 (University of Indianapolis Project) | NR/A- | 1,065,000 | 1,145,546 | |||
Indiana State Educational Facilities Authority Revenue, 5.70% due 10/1/2016 (University of Indianapolis Project) | NR/A- | 1,025,000 | 1,104,909 | |||
Indianapolis Economic Development Revenue, 5.50% due 6/1/2014 | Aa3/NR | 500,000 | 539,190 | |||
Indianapolis Local Public Improvement Bond Bank, 0% due 7/1/2009 (ETM) | Aa2/AA- | 740,000 | 640,411 | |||
Portage Township Multi School Building, 5.50% due 7/15/2015 (Insured: FGIC) | Aaa/AAA | 500,000 | 549,300 | |||
Rockport Pollution Control Revenue Series A, 4.90% due 6/1/2025 put 6/1/2007 (Indiana Michigan Power Co. Project) | Baa2/BBB | 2,680,000 | 2,755,094 | |||
Wawasee Community School Corp. First Mortgage, 5.50% due 7/15/2012 | NR/AA- | 1,200,000 | 1,321,200 | |||
West Clark School Building Corp. First Mortgage, 5.75% due 7/15/2017 (Insured: FGIC) | Aaa/AAA | 1,685,000 | 1,869,255 | |||
IOWA — 1.52% | ||||||
Iowa Finance Authority Health Care Facilities, 6.00% due 7/1/2013 (Genesis Medical Center Project) | A1/NR | 1,000,000 | 1,080,520 | |||
Iowa Finance Authority Hospital Facility Revenue, 6.00% due 7/1/2012 (Trinity Regional Hospital Project; Insured: FSA) | Aaa/AAA | 1,000,000 | 1,118,450 | |||
Iowa Finance Authority Hospital Facility Revenue, 6.75% due 2/15/2016 | A1/NR | 1,000,000 | 1,099,460 | |||
Iowa Finance Authority Revenue, 6.00% due 12/1/2018 (Catholic Health Initiatives Project) | Aa2/AA | 2,000,000 | 2,203,940 | |||
Iowa Finance Authority Revenue Refunding Trinity Health Series B, 5.75% due 12/1/2015 | Aa3/AA- | 1,250,000 | 1,364,525 | |||
KANSAS — 1.04% | ||||||
Wichita Hospital Revenue Refunding Improvement Series XI, 6.75% due 11/15/2019 (Christi Health System Project) | NR/A+ | 4,200,000 | 4,689,468 | |||
KENTUCKY — 1.25% | ||||||
Kentucky Economic Development Finance Authority Series C, 0% due 10/1/2015 (Norton Healthcare Project; Insured: MBIA) | Aaa/AAA | 4,000,000 | 4,344,840 | |||
Paintsville First Mortgage Revenue Refunding Series 1991, 8.65% due 9/1/2005 (Paul B. Hall Medical Center Project) | NR/NR | 570,000 | 573,505 | |||
Wilmore Housing Facilities Revenue, 5.55% due 7/1/2013 (LOC:Allied Irish Bank PLC) | NR/NR | 725,000 | 753,493 | |||
LOUISIANA — 1.90% | ||||||
East Baton Rouge Mortgage Financing Authority Purchase Revenue, 8.25% due 2/25/2011 (Collateralized: GNMA) | NR/AAA | 277 | 280 | |||
Jefferson Sales Tax District Revenue Series B, 5.50% due 12/1/2008 (Insured:AMBAC) | Aaa/AAA | 1,595,000 | 1,725,886 | |||
Louisiana Local Govt. Environment Series A, 4.10% due 9/1/2007 (Housing Bellemont Apts. Project) | Baa1/NR | 390,000 | 391,236 | |||
Louisiana State Offshore Terminal Refunding Series D, 4.00% due 9/1/2023 put 9/1/2008 (Loop LLC Project) | A3/A | 3,250,000 | 3,279,185 | |||
Morehouse Parish Pollution Revenue Refunding Series A, 5.25% due 11/15/2013 (International Paper Co. Project) | Baa2/BBB | 3,000,000 | 3,207,840 | |||
MASSACHUSETTS — 0.47% | ||||||
Massachusetts Development Finance Agency Refunding, 6.25% due 1/1/2015 (Odd Fellows Home Project) | NR/NR | 1,125,000 | 1,047,161 | |||
Massachusetts Industrial Financing Agency Revenue Series A, 6.125% due 12/1/2011 (Insured: MBIA) | Aaa/AAA | 1,100,000 | 1,104,224 | |||
MICHIGAN — 1.31% | ||||||
Kalamazoo Hospital Finance Authority Revenue Series 1994-A, 6.25% due 6/1/2014 (Borgess Medical Center Project) (ETM) | Aaa/AAA | 650,000 | 764,712 | |||
Kent Hospital Finance Authority Michigan Hospital, 7.25% due 1/15/2013 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,169,280 |
20 Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Michigan State Building Authority Revenue Refunding Facilities Program Series I, 5.25% due 10/15/2017 (Insured: FSA) | Aaa/AAA | $ | 2,450,000 | $ | 2,644,089 | |||
Southfield Economic Development Corp. Refunding Revenue N.W. 12 Limited Partnership, 7.25% due 12/1/2010 | NR/NR | 1,355,000 | 1,354,905 | |||||
MINNESOTA — 0.40% | ||||||||
Minneapolis St. Paul Health, 6.00% due 12/1/2018 (Healthpartners Obligation Group Project) | Baa1/BBB+ | 1,000,000 | 1,079,110 | |||||
Southern Minnesota Municipal Power Agency Supply, pre-refunded to various dates, Series A, 5.75% due 1/1/2018 (Insured: MBIA) | Aaa/AAA | 700,000 | 752,311 | |||||
MISSISSIPPI — 0.43% | ||||||||
Mississippi Higher Educational Authority Series C, 7.50% due 9/1/2009 | A2/NR | 1,500,000 | 1,502,655 | |||||
Mississippi Hospital Equipment Revenue, 6.40% due 1/1/2007 (Rush Foundation Project; Guaranty: Connie Lee) | NR/AAA | 440,000 | 454,881 | |||||
MISSOURI — 0.75% | ||||||||
Missouri Development Finance Board Healthcare Series A, 5.40% due 11/1/2018 (Lutheran Home Aged Project; LOC: Commerce Bank) | Aa3/NR | 2,025,000 | 2,085,426 | |||||
Platte County COP, 4.00% due 9/1/2006 | NR/AA- | 1,310,000 | 1,330,803 | |||||
NEBRASKA — 0.42% | ||||||||
Madison County Hospital Authority 1 Hospital Revenue, 5.50% due 7/1/2014 (Faith Regional Health Services Project; Insured: Radian) | NR/AA | 845,000 | 904,826 | |||||
University Facilities Corporate Revenue, 5.25% due 7/1/2011 pre-refunded 7/1/2005 | NR/AA- | 1,000,000 | 1,007,280 | |||||
NEVADA — 1.43% | ||||||||
Clark County Pollution Control Revenue Series B, 6.60% due 6/1/2019 (Nevada Power Co. Project; Insured: FGIC) | Aaa/AAA | 640,000 | 642,234 | |||||
Las Vegas Special Improvement District Refunding Senior Local Improvement Series A, 5.375% due 6/1/2013 (Insured: FSA) | Aaa/AAA | 1,205,000 | 1,293,435 | |||||
Washoe County Capital Appreciation Reno Sparks Series B, 0% due 7/1/2011 (Insured: FSA) | Aaa/AAA | 2,600,000 | 2,027,402 | |||||
Washoe County School District Refunding Series B, 5.00% due 6/1/2010 (Insured: FGIC) | Aaa/AAA | 2,350,000 | 2,522,983 | |||||
NEW HAMPSHIRE — 1.96% | ||||||||
Manchester Housing & Redevelopment Authority, 0% due 1/1/2017 (Insured: Radian) | NR/A | 5,140,000 | 2,818,365 | |||||
Manchester Housing & Redevelopment Authority Capital Appreciation Series B, 0% due 1/1/2016 (Insured: Radian) | NR/A | 4,990,000 | 2,900,886 | |||||
New Hampshire Pollution Refunding Central Maine Power Co., 5.375% due 5/1/2014 | A3/BBB+ | 3,000,000 | 3,164,760 | |||||
NEW JERSEY — 1.20% | ||||||||
New Jersey EDA Refunding Revenue, 7.50% due 12/1/2019 (Spectrum for Living Development Project; LOC: PNC Bank) | A3/A | 240,000 | 240,876 | |||||
New Jersey State Transit Corp., 5.00% due 10/1/2009 (Insured: FSA) | Aaa/AAA | 1,700,000 | 1,811,877 | |||||
New Jersey State Transport Trust Fund Authority Series C, 5.50% due 6/15/2017 pre-refunded 6/15/2013 (Transportation Systems Project) | Aaa/AAA | 3,000,000 | 3,368,610 | |||||
NEW MEXICO — 1.01% | ||||||||
Albuquerque Airport Revenue Refunding, 5.00% due 7/1/2008 (Insured:AMBAC) | Aaa/AAA | 2,380,000 | 2,496,120 | |||||
University of New Mexico Hospital Mortgage Revenue Bonds, 5.00% due 1/1/2018 (Insured: FSA & FHA) | Aaa/AAA | 2,000,000 | 2,085,620 | |||||
NEW YORK — 4.07% | ||||||||
Long Island Power Authority General Series B, 5.00% due 12/1/2006 | A3/A- | 2,000,000 | 2,070,520 |
Certified Semi-Annual Report 21 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Metro Transportation Authority New York Service Control Series B, 5.25% due 7/1/2006 | A2/AA- | $ | 1,080,000 | $ | 1,112,098 | |||
Nassau Health Care Corp., 6.00% due 8/1/2011 pre-refunded 8/1/2009 | Aaa/AAA | 1,000,000 | 1,131,140 | |||||
New York City Adjustment Series C GO, 2.25% due 2/1/2031 put 4/1/2005 (LOC: JPM) (daily demand notes) | VMIG1/A-1+ | 2,850,000 | 2,850,000 | |||||
New York City Industrial Development Agency Series A, 5.00% due 6/1/2010 (Lycee Francais De New York Project; Insured:ACA) | NR/A | 1,175,000 | 1,231,412 | |||||
New York City Trust Cultural Resources, 5.75% due 7/1/2015 (Museum of American Folk Art Project; Insured:ACA) | NR/A | 875,000 | 932,076 | |||||
New York Housing Finance Service Series A, 6.375% due 9/15/2015 pre-refunded 9/15/2007 | A2/AAA | 220,000 | 237,519 | |||||
New York Series E, 6.00% due 8/1/2008 pre-refunded 8/1/2006 | Aaa/AAA | 910,000 | 962,907 | |||||
New York Series E, 6.00% due 8/1/2008 pre-refunded 8/1/2006 (Insured: FGIC) | Aaa/AAA | 1,025,000 | 1,079,622 | |||||
New York State Dormitory Authority School Districts Financing Program Series E, 9.00% due 10/1/2007 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,142,180 | |||||
New York State Thruway Authority General Revenue Series F, 5.00% due 1/1/2018 (Insured:AMBAC) | Aaa/AAA | 3,000,000 | 3,200,100 | |||||
Port Authority New York & New Jersey Special Obligation, 6.25% due 12/1/2011 (JFK International Air Terminal 6 Project; Insured: MBIA) | Aaa/AAA | 2,200,000 | 2,467,476 | |||||
NORTH CAROLINA — 0.28% | ||||||||
North Carolina Eastern Municipal Power Refunding Series A, 5.70% due 1/1/2013 (Insured: MBIA) | Aaa/AAA | 1,200,000 | 1,276,068 | |||||
NORTH DAKOTA — 0.08% | ||||||||
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 | 365,000 | 381,243 | |||||
OHIO — 4.26% | ||||||||
Butler County Transportation Improvement, 6.00% due 4/1/2010 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,096,160 | |||||
Central Ohio Solid Waste Authority Series B, 5.00% due 12/1/2008 | Aa2/AA+ | 2,530,000 | 2,680,611 | |||||
Cleveland Cuyahoga County Development Bond Fund A, 6.25% due 5/15/2016 (LOC: FifthThird Bank) | NR/NR | 1,490,000 | 1,544,429 | |||||
Cuyahoga County Hospital Revenue Refunding, 5.50% due 1/15/2019 (University Health Systems Project B; Insured: MBIA) | Aaa/AAA | 3,545,000 | 3,679,923 | |||||
Franklin County Health Care Revenue Series 1995-A, 6.00% due 11/1/2010 (Heinzerling Foundation Project; LOC: Banc One) | Aa2/NR | 1,100,000 | 1,133,990 | |||||
Franklin County Hospital, 5.80% due 12/1/2005 (Doctors Project) (ETM) | A3/NR | 500,000 | 506,340 | |||||
Hamilton Wastewater Systems Revenue Refunding, 5.25% due 10/1/2017 (Insured: FSA) | Aaa/AAA | 1,500,000 | 1,641,960 | |||||
Marysville School District COP, 5.25% due 12/1/2017 (School Facilities Project; Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,175,660 | |||||
North Ridgeville Economic Development, 0% due 2/1/2015 | NR/A | 525,000 | 234,418 | |||||
Ohio Pollution Control Revenue Refunding, 5.625% due 3/1/2015 (General Motors Corp. Project) | Baa2/BBB- | 1,500,000 | 1,477,560 | |||||
Ohio State Higher Educational Facility Revenue, 5.05% due 7/1/2037 put 7/1/2016 (Kenyon College Project) | A2/A | 2,200,000 | 2,305,776 | |||||
Reynoldsburg Health Care Facilities Revenue Bonds Series 1997, 5.70% due 10/20/2012 (Collateralized: GNMA) | Aa3/NR | 760,000 | 805,752 | |||||
OKLAHOMA — 3.12% | ||||||||
Oklahoma City Municipal Improvement Authority, 0% due 7/1/2008 (Insured:AMBAC) | Aaa/AAA | 1,020,000 | 917,949 | |||||
Oklahoma City Municipal Water & Sewer Capital Appreciation Series C, 0% due 7/1/2006 (Insured:AMBAC) | Aaa/AAA | 500,000 | 483,395 | |||||
Oklahoma City Municipal Water & Sewer Series C, 0% due 7/1/2011 (Insured:AMBAC) | Aaa/AAA | 1,125,000 | 883,710 | |||||
Oklahoma City Municipal Water & Sewer Series C, 0% due 7/1/2013 (Insured:AMBAC) | Aaa/AAA | 1,485,000 | 1,050,504 | |||||
Oklahoma Development Finance Authority Hospital Association Pooled Hospital A, 5.40% due 6/1/2013 (Insured:AMBAC) | Aaa/AAA | 825,000 | 896,305 | |||||
Oklahoma Industrial Authority Revenue Refunding, 6.00% due 8/15/2010 (Integris Baptist Project; Insured:AMBAC) | Aaa/AAA | 750,000 | 836,010 | |||||
Tulsa County Independent School District Combined Purpose, 4.50% due 8/1/2007 | Aa3/AA- | 2,800,000 | 2,897,272 |
22 Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Tulsa Industrial Authority Hospital Revenue Refunding, 5.375% due 2/15/2017 (St. John Medical Center Project) | Aa3/AA | $ | 4,000,000 | $ | 4,104,960 | |||
Tulsa Industrial Development Authority Hospital Revenue, 6.10% due 2/15/2009 pre-refunded 2/15/2006 (St. John’s Medical Center Project) | Aa3/AA | 1,485,000 | 1,528,956 | |||||
Tulsa Public Facilities Authority Solid Waste Revenue, 5.65% due 11/1/2006 (Ogden Martin Project; Insured:AMBAC) | Aaa/AAA | 500,000 | 520,270 | |||||
OREGON — 0.27% | ||||||||
Albany Hospital Facility Authority Gross Revenue & Refunding Series 1994, 7.00% due 10/1/2005 (Mennonite Home Project) | NR/NR | 365,000 | 368,212 | |||||
Forest Grove Campus Improvement & Refunding Pacific University, 6.00% due 5/1/2015 (Insured: Radian) | NR/AA | 800,000 | 873,680 | |||||
PENNSYLVANIA — 2.58% | ||||||||
Allegheny County Hospital Development, 7.00% due 8/1/2015 (ETM) | NR/AAA | 500,000 | 610,545 | |||||
Allegheny County Hospital Development Health Series B, 6.50% due 5/1/2012 (South Hills Health Systems Project) | Baa1/NR | 1,400,000 | 1,492,526 | |||||
Carbon County Industrial Development Authority Refunding, 6.65% due 5/1/2010 (Panther Creek Partners Project) | NR/BBB- | 1,580,000 | 1,703,967 | |||||
Lancaster County Capital Appreciation Series B, 0% due 5/1/2014 (Insured: FGIC) | Aaa/NR | 795,000 | 531,744 | |||||
Lancaster County Capital Appreciation Series B, 0% due 5/1/2015 (Insured: FGIC) | Aaa/NR | 800,000 | 502,744 | |||||
Lehigh County General Purpose Shepard Rehab. Hospital, 6.00% due 11/15/2007 (Insured:AMBAC) | Aaa/AAA | 785,000 | 841,465 | |||||
Pennsylvania Higher Education University Series 14, 0% due 7/1/2020 (Insured:AMBAC) | Aaa/AAA | 2,032,839 | 661,404 | |||||
Pennsylvania State Higher Educational Facility Allegheny Delaware Valley Obligation A, 5.60% due 11/15/2009 (Insured: MBIA) | Aaa/AAA | 500,000 | 540,220 | |||||
Pennsylvania State Higher Educational Facility Allegheny Delaware Valley Obligation A, 5.60% due 11/15/2010 (Insured: MBIA) | Aaa/AAA | 480,000 | 523,344 | |||||
Philadelphia Hospital & High Education Health Systems, 5.25% due 5/15/2006 | ||||||||
(Jefferson Health Systems A Project; Insured: MBIA) | Aaa/AAA | 3,025,000 | 3,107,280 | |||||
Philadelphia Hospital Authority Revenue, 9.875% due 7/1/2010 pre-refunded 7/1/2005 (United Hospitals Inc. Project) | Aaa/NR | 1,150,000 | 1,171,321 | |||||
RHODE ISLAND — 1.24% | ||||||||
Providence Series C, 5.50% due 1/15/2011 (Insured: FGIC) | Aaa/AAA | 1,840,000 | 2,025,656 | |||||
Rhode Island Health & Education Building Hospital Financing, 5.25% due 7/1/2015 (Memorial Hospital Project; LOC: Fleet Bank) | NR/AA | 1,325,000 | 1,385,327 | |||||
Rhode Island Health & Education Building Refunding, 6.00% due 8/1/2014 (Credit Support: FHA) | NR/AAA | 1,000,000 | 1,082,540 | |||||
Rhode Island Health & Education Building Refunding Higher Education State University, 5.00% due 3/15/2014 (Insured: Radian) | NR/AA | 1,065,000 | 1,119,017 | |||||
SOUTH CAROLINA — 0.71% | ||||||||
Darlington County Industrial Development, 6.00% due 4/1/2026 (Sonoco Products Co. Project) | A3/A- | 3,100,000 | 3,217,924 | |||||
SOUTH DAKOTA — 0.23% | ||||||||
South Dakota Housing Development Authority Homeownership Series B, 4.85% due 5/1/2009 | Aa1/AAA | 1,000,000 | 1,040,910 | |||||
TENNESSEE — 0.45% | ||||||||
Knox County Health, 4.90% due 6/1/2031 put 6/1/2011 (Collateralized: FNMA) | NR/AAA | 2,000,000 | 2,045,460 | |||||
TEXAS — 15.88% | ||||||||
Bexar County Health Facilities Development Corp., 6.125% due 7/1/2022 (Army Retirement Residence Project) | NR/BBB- | 1,250,000 | 1,318,500 |
Certified Semi-Annual Report 23 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Bexar County Housing Finance Corp., 5.50% due 1/1/2016 (Insured: MBIA) | Aaa/NR | $ | 600,000 | $ | 641,556 | |||
Bexar County Housing Finance Corp., 5.70% due 1/1/2021 (Insured: MBIA) | Aaa/NR | 1,035,000 | 1,104,407 | |||||
Bexar County Housing Finance Corp., 6.50% due 12/1/2021 | A3/NR | 2,000,000 | 2,015,560 | |||||
Bexar County Housing Finance Corp. Multi Family Housing, 5.40% due 8/1/2012 (Dymaxion & Marrach Park Apts.A Project; Insured: MBIA) | Aaa/NR | 1,120,000 | 1,163,154 | |||||
Bexar County Housing Finance Corp. Multi Family Housing, 5.95% due 8/1/2020 (Dymaxion & Marrach Park Apts.A Project; Insured: MBIA) | Aaa/NR | 1,270,000 | 1,371,613 | |||||
Bexar County Housing Finance Corp. Series A, 5.875% due 4/1/2014 (Honey Creek Apartments Project; Insured: MBIA) | Aaa/NR | 975,000 | 1,023,282 | |||||
Bexar County Housing Finance Corp. Series A, 6.125% due 4/1/2020 (Honey Creek Apartments Project; Insured: MBIA) | Aaa/NR | 800,000 | 841,136 | |||||
Birdville Independent School District Refunding, 0% due 2/15/2013 (Guaranty: PSF) | Aaa/AAA | 2,800,000 | 2,108,540 | |||||
Brazos River Authority TXU Energy Pollution Control Revenue, 5.05% due 6/1/2030 put 6/19/2006 | Baa2/BBB | 2,040,000 | 2,076,679 | |||||
Carroll Independent School District Capital Appreciation Refunding, 0% due 2/15/2011 (Guaranty: PSF) | Aaa/AAA | 1,130,000 | 875,388 | |||||
Central Regional Mobility Authority Anticipation Notes, 5.00% due 1/1/2008 | Aa3/AA | 1,100,000 | 1,151,084 | |||||
Coppell Independent School District Capital Appreciation Refunding, 0% due 8/15/2013 (Guaranty: PSF) | NR/AAA | 5,000,000 | 3,309,200 | |||||
De Soto Independent School District Refunding, 5.125% due 8/15/2017 (Guaranty: PSF) | NR/AAA | 1,100,000 | 1,101,793 | |||||
Duncanville Independent School District Capital Appreciation Refunding Series B, 0% due 2/15/2016 (Guaranty: PSF) | Aaa/AAA | 3,000,000 | 1,720,950 | |||||
El Paso Independent School District Capital Appreciation Refunding, 0% due 8/15/2010 (Guaranty: PSF) | Aaa/AAA | 3,750,000 | 2,976,750 | |||||
El Paso Independent School District Capital Appreciation Refunding, 0% due 8/15/2011 (Guaranty: PSF) | Aaa/AAA | 2,500,000 | 1,863,800 | |||||
Ennis Independent School District Refunding, 0% due 8/15/2012 (Guaranty: PSF) | Aaa/NR | 2,460,000 | 1,780,892 | |||||
Ennis Independent School District Refunding, 0% due 8/15/2013 (Guaranty: PSF) | Aaa/NR | 2,490,000 | 1,705,575 | |||||
Ennis Independent School District Refunding, 0% due 8/15/2014 (Guaranty: PSF) | Aaa/NR | 2,525,000 | 1,632,337 | |||||
Fort Worth Water & Sewer Revenue, 5.25% due 2/15/2009 | Aa2/AA | 1,000,000 | 1,072,560 | |||||
Gulf Coast Center Revenue, 6.75% due 9/1/2020 (Mental Health Retardation Center Project) | NR/BBB+ | 1,320,000 | 1,408,084 | |||||
Hays Consolidated Independent School District Capital Appreciation, 0% due 8/15/2013 pre-refunded 8/15/2011 (Guaranty: PSF) | Aaa/AAA | 6,245,000 | 4,398,353 | |||||
Irving Hospital Authority Series B, 5.80% due 7/1/2009 (Irving Healthcare Systems Project; Insured: FSA) | Aaa/AAA | 470,000 | 473,628 | |||||
Irving Waterworks & Sewer Revenue Refunding & Improvement, 5.375% due 8/15/2014 | Aa2/AA | 1,500,000 | 1,625,880 | |||||
Laredo Sports Venue Sales Refunding & Improvement, 5.00% due 3/15/2018 (Insured:AMBAC) | 2,040,000 | 2,156,321 | ||||||
Mesquite Independent School District Refunding, 0% due 8/15/2012 (Guaranty: PSF) | NR/AAA | 1,420,000 | 1,021,647 | |||||
Midlothian Independent School District Capital Appreciation Refunding, 0% due 2/15/2012 (Guaranty: PSF) | Aaa/NR | 1,000,000 | 753,050 | |||||
Midtown Redevelopment Authority Tax, 6.00% due 1/1/2012 (Insured: Radian) | NR/AA | 735,000 | 805,839 | |||||
Midtown Redevelopment Authority Tax, 6.00% due 1/1/2013 (Insured: Radian) | NR/AA | 500,000 | 545,250 | |||||
Pharr San Juan Alamo Independent Building, 5.75% due 2/1/2013 (Guaranty: PSF) | Aaa/AAA | 1,000,000 | 1,092,360 | |||||
Sabine River Authority Texas Pollution Refunding Series A, 5.80% due 7/1/2022 (TXU Energy Co. Project) | Baa2/BBB | 1,000,000 | 1,070,430 | |||||
Sam Rayburn Municipal Power Agency Refunding, 6.00% due 10/1/2016 | Baa2/BBB- | 3,000,000 | 3,267,840 | |||||
San Antonio Hotel Occupancy Revenue Refunding Series B, 5.00% due 8/15/2034 put 8/1/2008 (Insured:AMBAC) | Aaa/AAA | 1,150,000 | 1,212,917 | |||||
Stafford Economic Development, 6.00% due 9/1/2017 (Insured: FGIC) | Aaa/AAA | 1,775,000 | 2,048,741 | |||||
Tarrant County Health Facilities, 6.625% due 11/15/2020 (Adventist/Sunbelt Project) | A2/A | 3,500,000 | 3,843,665 | |||||
Texarkana Health Facilities Hospital Refunding Series A, 5.75% due 10/1/2009 (Wadley Regional Medical Center Project; Insured: MBIA) | Aaa/AAA | 500,000 | 546,250 | |||||
Texarkana Health Facilities Hospital Refunding Series A, 5.75% due 10/1/2011 (Insured: MBIA) | Aaa/AAA | 2,500,000 | 2,782,250 | |||||
Travis County GO, 5.25% due 3/1/2021 | Aaa/AAA | 1,000,000 | 1,082,970 |
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SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Travis County Health Facilities Development Series A, 5.75% due 11/15/2010 (Ascension Health Project; Insured: MBIA) | Aaa/AAA | $ | 2,000,000 | $ | 2,196,680 | |||
Travis County Health Facilities Development Series A, 6.25% due 11/15/2014 pre-refunded 11/15/2009 (Ascension Health Project; Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,391,140 | |||||
Upper Trinity Regional Water District Regional Treated Water Supply Systems Series A, 7.125% due 8/1/2008 (Insured: FGIC) | Aaa/AAA | 600,000 | 664,122 | |||||
Waco Health Facilities Development Corp. Series A, 6.00% due 11/15/2015 pre-refunded 11/15/2009 (Ascension Health Project) | Aa2/AA | 870,000 | 976,584 | |||||
Waco Health Facilities Development Corp. Series A, 6.00% due 11/15/2016 pre-refunded 11/15/2009 (Ascension Health Project) | Aa2/AA | 1,050,000 | 1,178,636 | |||||
West Harris County Municipal Utility Refunding, 6.00% due 3/1/2017 (Insured: Radian) | NR/AA | 500,000 | 531,360 | |||||
UTAH — 1.01% | ||||||||
Salt Lake City Municipal Building Series B, 5.30% due 10/15/2012 (Insured:AMBAC) | Aaa/AAA | 1,085,000 | 1,174,198 | |||||
Utah Board Regents Auxiliary Refunding Series A, 5.25% due 5/1/2013 | NR/AA | 595,000 | 642,862 | |||||
Utah County Municipal Building Authority, 5.50% due 11/1/2016 (Insured:AMBAC) | Aaa/NR | 1,000,000 | 1,098,160 | |||||
Utah Housing Finance Agency, 6.05% due 7/1/2016 (Credit Support: FHA) | NR/AAA | 520,000 | 542,817 | |||||
Utah Housing Finance Agency SFMR D-2 Class I, 5.85% due 7/1/2015 | Aa2/AA | 105,000 | 105,530 | |||||
Utah Water Finance Agency Revenue Pooled Loan Financing Program Series A, 5.00% due 10/1/2012 (Insured:AMBAC) | Aaa/NR | 940,000 | 1,011,741 | |||||
VIRGINIA — 2.91% | ||||||||
Alexandria Industrial Development Authority, 5.90% due 10/1/2020 (Insured:AMBAC) | Aaa/AAA | 2,000,000 | 2,236,680 | |||||
Alexandria Industrial Development Authority Institute For Defense Analyses Series A, 6.00% due 10/1/2014 (Insured:AMBAC) | Aaa/AAA | 1,500,000 | 1,691,310 | |||||
Alexandria Industrial Development Authority Institute For Defense Analyses Series A, 6.00% due 10/1/2015 (Insured:AMBAC) | Aaa/AAA | 1,590,000 | 1,794,490 | |||||
Arlington County Industrial Development, 6.30% due 7/1/2016 pre-refunded 7/1/2005 | NR/A | 500,000 | 514,830 | |||||
Fauquier County Industrial Development Authority, 5.50% due 10/1/2016 (Insured: Radian) | NR/AA | 1,000,000 | 1,086,070 | |||||
Hanover County Industrial Development Authority Medical Facilities Revenue, 6.00% due 10/1/2021 (ETM) | Aaa/AAA | 795,000 | 795,079 | |||||
Norfolk Industrial Development Authority Lease, 5.625% due 9/15/2017 (Norfolk Public Health Center Project) | Aa1/AA+ | 1,000,000 | 1,038,720 | |||||
Norton Industrial Development Authority Hospital Refunding, 6.00% due 12/1/2014 (Norton Community Hospital Project; Insured:ACA) | NR/A | 1,635,000 | 1,787,235 | |||||
Spotsylvania County Industrial Development, 6.00% due 9/1/2019 put 9/1/2008 (Walter Grinders Project; LOC: Deutsche Bank) | NR/NR | 2,210,000 | 2,249,891 | |||||
WASHINGTON — 6.49% | ||||||||
Benton County Public Utility District Refunding Series A, 5.625% due 11/1/2012 (Insured: FSA) | Aaa/AAA | 1,500,000 | 1,660,185 | |||||
Chelan County Public Utility District Refunding Series B, 4.50% due 7/1/2005 (Chelan Hydro Electric Project; Insured: FGIC) | Aaa/AAA | 940,000 | 945,057 | |||||
Energy Northwest Washington Series A, 5.60% due 7/1/2015 pre-refunded 1/1/2007 (Wind Project) | A3/A- | 1,000,000 | 1,072,070 | |||||
Energy Northwest Washington Series B, 5.10% due 7/1/2009 pre-refunded 1/1/2007 (Wind Project) | A3/A- | 745,000 | 792,397 | |||||
Grant County Public Utility District-2 Wanapum Hydro Electric Revenue Series C, 6.00% due 1/1/2006 (Insured:AMBAC) | Aaa/AAA | 145,000 | 148,631 | |||||
Snohomish County Public Utility 001 Systems Notes, 5.00% due 12/1/2005 | A1/SP-1+ | 500,000 | 508,030 | |||||
Spokane County School District GO, 0% due 6/1/2019 (Insured: MBIA) | Aaa/AAA | 1,240,000 | 1,060,336 | |||||
Tacoma Electric Systems Revenue Series A, 5.50% due 1/1/2012 (Insured: FSA) | Aaa/AAA | 750,000 | 822,923 | |||||
University of Washington Revenue Refunding, 5.25% due 8/15/2009 (University of Washington Medical Center Project; Insured: MBIA) | Aaa/AAA | 1,350,000 | 1,446,647 | |||||
Vancouver Downtown Redevelopment Senior Series A, 5.50% due 1/1/2018 (Conference Center Project; Insured:ACA) | NR/A | 3,500,000 | 3,673,110 | |||||
Washington Health Care Facilities, 5.50% due 12/1/2010 (Insured: MBIA) | Aaa/AAA | 2,690,000 | 2,926,397 |
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SCHEDULE OF INVESTMENTS, CONTINUED
March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | ||||||
Washington Health Care Facilities, 6.00% due 12/1/2014 (Insured: MBIA) | Aaa/AAA | $ | 1,735,000 | $ | 1,935,965 | ||||
Washington Health Care Facilities, 6.00% due 12/1/2015 (Insured: MBIA) | Aaa/AAA | 1,945,000 | 2,158,969 | ||||||
Washington Health Care Facilities Refunding, 6.375% due 10/1/2010 (Insured: FGIC) | Aaa/AAA | 1,500,000 | 1,701,225 | ||||||
Washington Health Care Facilities Sea Mar Community Health Center, 5.60% due 1/1/2018 (LOC: U.S. Bancorp) | Aa1/NR | 1,025,000 | 1,086,992 | ||||||
Washington Nonprofit Housing, 5.60% due 7/1/2011 (Kline Galland Center Project; Insured: Radian) | NR/AA | 500,000 | 535,985 | ||||||
Washington Nonprofit Housing, 5.875% due 7/1/2019 (Kline Galland Center Project; Insured: Radian) | NR/AA | 1,000,000 | 1,083,850 | ||||||
Washington Public Power Supply Capital Appreciation Refunding Series B, 0% due 7/1/2011 | Aaa/AA- | 1,000,000 | 771,690 | ||||||
Washington Public Power Supply Refunding Series A, 5.00% due 7/1/2011 (Insured: FSA) | Aaa/AAA | 3,030,000 | 3,214,739 | ||||||
Washington Public Power Supply System, 0% due 7/1/2010 (Project 3) | Aaa/AA- | 960,000 | 779,376 | ||||||
Washington State Multi Family Mortgage Revenue, 6.30% due 1/1/2021 put 1/1/2011 (LOC: US Bank N.A.) | NR/AA- | 1,000,000 | 1,068,810 | ||||||
WEST VIRGINIA — 0.22% | |||||||||
Marshall County Pollution Control, 5.90% due 4/1/2022 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,019,700 | ||||||
WISCONSIN — 1.40% | |||||||||
Bass Lake PCRB, 6.50% due 4/1/2005 (Johnson Timber Corp. Project; Guaranty: SBA) | Aaa/NR | 60,000 | 60,000 | ||||||
Wisconsin Health & Educational Facilities, 5.75% due 8/15/2020 (Eagle River Memorial Hospital Inc. Project; Insured: Radian) | NR/AA | 1,000,000 | 1,079,720 | ||||||
Wisconsin Housing & Economic Development Housing Series A, 5.875% due 11/1/2016 | |||||||||
(Insured:AMBAC) | Aaa/AAA | 1,980,000 | 2,100,087 | ||||||
Wisconsin State Health & Educational Facilities Hospital Sisters Services Inc., 4.50% due 12/1/2023 put 12/1/2007 (Insured: FSA) | Aaa/NR | 3,000,000 | 3,098,190 | ||||||
TOTAL INVESTMENTS — 100.58% (COST $ 436,575,616) | $ | 455,577,512 | |||||||
LIABILITIES NET OF OTHER ASSETS — (0.58)% | (2,611,336 | ) | |||||||
NET ASSETS — 100.00% | $ | 452,966,176 | |||||||
SUMMARY OF SECURITY CREDIT RATINGS†
Ratings are a blend of Moody’s and Standard & Poor’s, using the higher rating. Some bonds are rated by only one service.
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SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Footnote Legend
See notes to financial statements.
† | Credit ratings are unaudited. Rating changes may have occurred prior to or subsequent to the reporting period end. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below: ACA Insured by American Capital Access
ACA | Insured by American Capital Access | |
AMBAC | Insured by American Municipal Bond Assurance Corp. | |
COP | Certificates of Participation | |
ETM | Escrowed to Maturity | |
FGIC | Insured by Financial Guaranty Insurance Co. | |
FHA | Insured by Federal Housing Administration | |
FNMA | Collateralized by Federal National Mortgage Association | |
FSA | Insured by Financial Security Assurance Co. | |
GNMA | Insured by Government National Mortgage Co. | |
GO | General Obligation | |
MBIA | Insured by Municipal Bond Investors Assurance | |
PCRB | Pollution Control Revenue Bond | |
PSF | Guaranteed by Permanent School Fund | |
RADIAN | Insured by Radian Asset Assurance | |
SBA | Small Business Administration | |
SFMR | Single Family Mortgage Revenue Bond | |
XLCA | Insured by XL Capital Assurance |
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Table of Contents
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
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 September 30, 2004 and held until March 31, 2005.
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 Account Value 9/30/04 | Ending Account Value 3/31/05 | Expenses Paid During Period† 9/30/04–3/31/05 | |||||||
Class A Shares | |||||||||
Actual | $ | 1,000 | $ | 1,003.30 | $ | 4.96 | |||
Hypothetical* | $ | 1,000 | $ | 1,019.97 | $ | 5.01 | |||
Class C Shares | |||||||||
Actual | $ | 1,000 | $ | 1,002.00 | $ | 6.21 | |||
Hypothetical* | $ | 1,000 | $ | 1,018.72 | $ | 6.27 | |||
Class I Shares | |||||||||
Actual | $ | 1,000 | $ | 1,004.90 | $ | 3.34 | |||
Hypothetical* | $ | 1,000 | $ | 1,021.60 | $ | 3.37 |
† | 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 182/365 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.
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Thornburg Intermediate Municipal Fund
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 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.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files 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. The Fund’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, or may be reviewed and 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.
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Table of Contents
Trustees’ Statement to Shareholders
February 8, 2005
The Trustees are concerned that recent commentaries and opinions reported in the media may confuse investors in general as to the supervisory duties of trustees of mutual funds and, in particular, leave Thornburg Investment Trust shareholders uncertain regarding how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. We decided to spell out clearly three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf.
We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.
Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders’ returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.
Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.
This statement is submitted for the general information of the shareholders of Thornburg Investment Trust. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money.
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Planning Options
Retirement and Education Accounts
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs – Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 70 1/2, even if you are covered by an employer retirement plan.
Roth IRAs – Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our web site at www.thornburg.com/ira.
SEP IRAs – Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employee’s SEP IRA on a discretionary basis.
SIMPLE IRAs – Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employee’s SIMPLE IRA. Employees may make salary deferral contributions.
403(b)
A special, tax-advantaged savings vehicle available only to employees of 501(c)(3) organizations, such as charitable, educational, scientific and religious organizations. 403(b) plans are also available to employees of public schools and universities.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
• | Thornburg International Value Fund |
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
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The Firm
Thornburg Investment Management is a privately held investment management company based in Santa Fe, New Mexico with assets under management of over $13 billion. Founded in 1982, the firm manages four equity funds, eight bond funds, and separate portfolios for select institutions and individuals.
Investment Philosophy
We seek to preserve and increase the real wealth of the Funds’ shareholders after accounting for inflation, taxes, and investment expenses. We’re committed to disciplined investing and controlling risk in all market environments through laddered bond and focused equity portfolios.
Portfolio Holdings Disclosure
We believe you should know what is in your portfolio. Our web site keeps investors informed of the Funds’ equity holdings. Go to www.thornburg.com/funds for portfolio manager commentary on our equity fund holdings.
Co-Ownership of Funds
We invest side-by-side with the Funds’ shareholders. Our employees have invested over $100 million in Thornburg Funds.
Core Strategies for Building Wealth
We deliver core strategies to help investors meet long-term goals. A core strategy is a consistent, disciplined and proven investment process that represents the foundation of a diversified portfolio.
INVESTMENT MANAGER
Thornburg Investment Management, Inc.
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
PRINCIPAL UNDERWRITER
Thornburg Securities Corporation
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
www.thornburg.com
Table of Contents
Core Strategies for Building Wealth
Thornburg Intermediate Municipal Fund
I Shares
Semi-Annual Report - March 31, 2005
This report and the accompanying brochure are submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/ download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money. Performance data quoted represents past performance and does not guarantee future results.
Table of Contents
Thornburg Intermediate Municipal Fund
Laddering – an All Weather Strategy
The Fund’s investment objective is to obtain as high a level of current income exempt from Federal income taxes as is consistent with preservation of capital (may be subject to Alternative Minimum Tax).
This Fund is a laddered portfolio of municipal bonds with an average maturity of ten years or less. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio matures each year; cash from maturing bonds, if not needed for other purposes, is invested in bonds with longer maturities at the far end of the ladder. We regard the strategy as a good compromise for managing different types of risk.
Thornburg Bond Funds
• | Thornburg Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term 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 invests in short- and intermediate-term investment grade bonds. We ladder the maturities of individual bonds in the portfolios to moderate risk. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio will mature each year. We apply this disciplined process in all interest rate environments.
Thornburg Equity Funds
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
Thornburg’s equity research uses a fundamental, yet comprehensive, analytical approach. We invest when and where we perceive the most compelling value. Thornburg equity funds focus on a limited number of securities so that each holding can have a material impact on performance. The equity team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic value.
More information at www.thornburg.com
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2005
Certified Semi-Annual Report
Thornburg Intermediate Municipal Fund
I Shares – March 31, 2005
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
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Important Information
Performance data quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate so that upon redemption, investor’s shares may be worth more or less than their original cost. Current performance may be lower or higher than the data quoted. For performance data current to the most recent month end, visit www.thornburg.com.
Minimum investments for class I shares are higher than those for other classes. There is no up front sales charge for this class of shares.
Shares in the Fund carry risks, including possible loss of principal. As with direct bond ownership, Funds that invest in bonds are subject to certain risks including interest-rate risk, credit risk, and inflation risk. The principal value of bond funds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Shares in the fund are not deposits or obligations of, or guaranteed or endorsed by, any bank, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any government agency.
The information presented on the following pages was current as of March 31, 2005. 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 – Is a widely-accepted unmanaged market-weighted index comprised of fixed-rate, coupon bearing bonds issued within five years of the most recent month-end with greater than $50 million principal amount having a Moody’s investment grade rating and maturities of seven to twelve years.
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, sinking funds, 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.
4 Certified Semi-Annual Report
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George Strickland
Portfolio Manager
April 15, 2005
Dear Fellow Shareholder:
I am pleased to present the Semi-Annual Report for the Thornburg Intermediate Municipal Fund. The net asset value of the class I shares decreased by 19 cents to $13.27 during the six month period ending March 31, 2005. If you were with us for the entire period, you received dividends of 26.6 cents per share. If you reinvested dividends, you received 26.8 cents per share.
Over the past six months, the municipal bond yield curve has flattened considerably. In other words, interest rates on short and intermediate bonds have risen, while the interest rates on long-term bonds have remained relatively unchanged. Since bond prices move in the opposite direction of yields, long-term bond prices have been relatively stable while short and intermediate bond prices have fallen. The class I shares of your Fund produced a total return of 0.49% over the last six months, compared to a 0.16% return for the Merrill Lynch 7-12 Year Municipal Bond Index. We believe that the Fund outperformed the index because the Fund has maintained an average duration less than the index and favored bonds whose prices tend to be less sensitive to interest rate changes.
We are not surprised that short and intermediate bond yields have risen. The Federal Reserve has almost tripled the targeted Fed Funds rate in the last year and is expected to keep raising rates gradually. Producer prices are rising at a 4.7% rate (up from 2.1% a year ago). Consumer prices are rising at a 3.0% rate (up from 1.7%), and the U.S. economy is growing at a nominal rate (unadjusted for inflation) of 6.4%. We haven’t seen that kind of growth since the technology stock bubble burst in the first half of 2000.
We are, however, somewhat perplexed about the stability of long-term bond yields. Market participants may be expecting the economy to falter and inflation to subside this year. While that is certainly a possibility, we believe that the more likely scenario is that economic momentum continues and inflation stays in the 3-4% range. Such a scenario should lead to higher yields for long-term bonds.
New issue municipal bond supply unexpectedly surged 10.9% over the first quarter of last year to a record $96.6 billion. The increased supply showed up just as the government bond market weakened and helped create a buyer-friendly municipal bond market. With rates on intermediate municipal bonds rising by about 0.5% over the last couple of months, we have been finding better values in bonds that mature in the five to ten year range. Though we are still conservatively positioned relative to our long-term averages, we have recently extended the duration of the Fund slightly to 4.5 years. If rates continue to rise, we would expect to continue extending duration.
Your Thornburg Intermediate Municipal Fund is a laddered portfolio of over 310 municipal obligations from 45 states. Your Fund’s weighted average maturity is 7.9 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
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from most bond mutual funds. It will be particularly useful if interest rates continue rising, 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 shown here describes the percentages of your Fund’s bond portfolio maturing in each of the coming years.
% of portfolio maturing | Cumulative % maturing | |||||||||||
2 years | = | 9.8% | Year 2 | = | 9.8% | |||||||
2 to 4 years | = | 11.2% | Year 4 | = | 21.0% | |||||||
4 to 6 years | = | 14.2% | Year 6 | = | 35.2% | |||||||
6 to 8 years | = | 14.4% | Year 8 | = | 49.6% | |||||||
8 to 10 years | = | 11.3% | Year 10 | = | 60.9% | |||||||
10 to 12 years | = | 14.7% | Year 12 | = | 75.6% | |||||||
12 to 14 years | = | 13.4% | Year 14 | = | 89.0% | |||||||
14 to 16 years | = | 7.3% | Year 16 | = | 96.3% | |||||||
16 to 18 years | = | 2.3% | Year 18 | = | 98.6% | |||||||
Over 18 years | = | 1.4% | Over 18 years | = | 100% |
Percentages can and do vary. Data as of 3/31/05.
Thanks to a strong economy, state tax revenues were up 7.5% in 2004 – the fastest growth rate since the 2000 fiscal year. Many states are dealing with the fortunate problem of deciding what to do with surplus revenues, while a few states continue grappling with budget deficits. State reserve funds have been drawn down over the last few years 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 by at least one rating agency 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 Intermediate Municipal Fund.
Sincerely,
George Strickland
Portfolio Manager
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STATEMENT OF ASSETS AND LIABILITIES
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
ASSETS | ||||
Investments at value (cost $436,575,616) | $ | 455,577,512 | ||
Cash | 463,346 | |||
Receivable for investments sold | 2,144,578 | |||
Receivable for fund shares sold | 1,073,537 | |||
Interest receivable | 6,091,787 | |||
Prepaid expenses and other assets | 32,435 | |||
Total Assets | 465,383,195 | |||
LIABILITIES | ||||
Payable for securities purchased | 9,239,333 | |||
Payable for fund shares redeemed | 2,218,710 | |||
Payable to investment advisor and other affiliates (Note 3) | 329,078 | |||
Accounts payable and accrued expenses | 60,812 | |||
Dividends payable | 569,086 | |||
Total Liabilities | 12,417,019 | |||
NET ASSETS | $ | 452,966,176 | ||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment gain (loss) | $ | (2,268 | ) | |
Net unrealized appreciation on investments | 18,998,544 | |||
Accumulated net realized gain (loss) | (9,961,730 | ) | ||
Net capital paid in on shares of beneficial interest | 443,931,630 | |||
$ | 452,966,176 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($353,589,896 applicable to 26,617,179 shares of beneficial interest outstanding - Note 4) | $ | 13.28 | ||
Maximum sales charge, 2.00% of offering price | 0.27 | |||
Maximum Offering Price Per Share | $ | 13.55 | ||
Class C Shares: | ||||
Net asset value and offering price per share * ($55,982,249 applicable to 4,208,945 shares of beneficial interest outstanding - Note 4) | $ | 13.30 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($43,394,031 applicable to 3,271,308 shares of beneficial interest outstanding - Note 4) | $ | 13.27 | ||
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
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STATEMENT OF OPERATIONS | ||
Thornburg Intermediate Municipal Fund | Six Months Ended March 31, 2005 (Unaudited) |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $1,283,124) | $ | 10,641,681 | ||
Total Income | 10,641,681 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 1,145,960 | |||
Administration fees (Note 3) | ||||
Class A Shares | 226,674 | |||
Class C Shares | 35,841 | |||
Class I Shares | 9,590 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 453,348 | |||
Class C Shares | 348,014 | |||
Transfer agent fees | ||||
Class A Shares | 76,755 | |||
Class C Shares | 17,765 | |||
Class I Shares | 17,155 | |||
Registration and filing fees | ||||
Class A Shares | 31,700 | |||
Class C Shares | 11,416 | |||
Class I Shares | 8,516 | |||
Custodian fees (Note 3) | 96,063 | |||
Professional fees | 21,490 | |||
Accounting fees | 22,785 | |||
Trustee fees | 6,975 | |||
Other expenses | 48,849 | |||
Total Expenses | 2,578,896 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (111,376 | ) | ||
Distribution and service fees waived (Note 3) | (174,007 | ) | ||
Fees paid indirectly (Note 3) | (5,653 | ) | ||
Net Expenses | 2,287,860 | |||
Net Investment Income | 8,353,821 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments | 261,688 | |||
261,688 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (7,119,408 | ) | ||
(7,119,408 | ) | |||
Net Realized and Unrealized Loss | (6,857,720 | ) | ||
Net Increase in Net Assets Resulting From Operations | $ | 1,496,101 | ||
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg Intermediate Municipal Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income gain | $ | 8,353,821 | $ | 17,327,406 | ||||
Net realized gain (loss) on investments | 261,688 | (454,070 | ) | |||||
Increase (Decrease) in unrealized appreciation on investments | (7,119,408 | ) | (2,505,819 | ) | ||||
Net Increase in Net Assets Resulting from Operations | 1,496,101 | 14,367,517 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (6,616,202 | ) | (14,280,020 | ) | ||||
Class C Shares | (974,276 | ) | (2,139,590 | ) | ||||
Class I Shares | (763,343 | ) | (907,796 | ) | ||||
FUND SHARE TRANSACTIONS - (Note 4) | ||||||||
Class A Shares | (11,271,026 | ) | (17,365,422 | ) | ||||
Class C Shares | (1,140,566 | ) | (2,267,561 | ) | ||||
Class I Shares | 10,951,430 | 13,757,994 | ||||||
Net Decrease in Net Assets | (8,317,882 | ) | (8,834,878 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 461,284,058 | 470,118,936 | ||||||
End of period | $ | 452,966,176 | $ | 461,284,058 | ||||
See notes to financial statements.
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NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
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 Trust are as follows:
Valuation of Investments: In determining the net asset value, the Trust 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 Trust to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all taxable (if any) and tax exempt income, of the Fund, to the 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 and or market changes. At the time the Trust 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 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.
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
| ||
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
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 period ended March 31, 2005, these fees were payable at annual rates ranging from .50 of 1% to .275 of 1% per annum 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% per annum of the average daily net assets attributable to each class of shares. For the period ended March 31, 2005, the Advisor voluntarily reimbursed certain class specific expenses and administrative fees of $43,445 for Class A shares, $49,189 for Class C shares, and $18,742 for Class I shares.
The Trust 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 period ended March 31, 2005, the Distributor has advised the Fund that it earned net commissions aggregating $2,853 from the sale of Class A shares and collected contingent deferred sales charges aggregating $7,104 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 Trust 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 period ended March 31, 2005, are set forth in the Statement of Operations. Distribution fees in the amount of $174,007 were waived for Class C 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 March 31, 2005, fees paid indirectly were $5,653.
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.
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
| ||
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2005, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 1,976,390 | $ | 26,577,241 | 4,635,509 | $ | 62,513,224 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 273,005 | 3,663,588 | 621,472 | 8,358,310 | ||||||||||
Shares repurchased | (3,087,197 | ) | (41,511,855 | ) | (6,560,558 | ) | (88,236,956 | ) | ||||||
Net Increase (Decrease) | (837,802 | ) | $ | (11,271,026 | ) | (1,303,577 | ) | $ | (17,365,422 | ) | ||||
Class C Shares | ||||||||||||||
Shares sold | 360,057 | $ | 4,848,475 | 946,921 | $ | 12,804,296 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 47,620 | 639,860 | 111,651 | 1,503,248 | ||||||||||
Shares repurchased | (492,918 | ) | (6,628,901 | ) | (1,234,469 | ) | (16,575,105 | ) | ||||||
Net Increase (Decrease) | (85,241 | ) | $ | (1,140,566 | ) | (175,897 | ) | $ | (2,267,561 | ) | ||||
Class I Shares | ||||||||||||||
Shares sold | 1,218,754 | $ | 16,359,352 | 1,489,564 | $ | 19,943,017 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 28,285 | 378,829 | 46,460 | 623,829 | ||||||||||
Shares repurchased | (432,442 | ) | (5,786,751 | ) | (506,745 | ) | (6,808,852 | ) | ||||||
Net Increase (Decrease) | 814,597 | $ | 10,951,430 | 1,029,279 | $ | 13,757,994 | ||||||||
NOTE 5 – SECURITIES TRANSACTIONS
For the period ended March 31, 2005, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $82,415,447 and $48,124,322, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2005, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 436,575,105 | ||
Gross unrealized appreciation on a tax basis | $ | 19,975,004 | ||
Gross unrealized depreciation on a tax basis | (975,949 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 18,999,055 | ||
At March 31, 2005, 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:
Capital loss carryovers expiring in: | |||
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 | ||
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| ||
Thornburg Intermediate Municipal Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Year Ended September 30, | |||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE (for a share outstanding throughout the period) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.46 | $ | 13.54 | $ | 13.65 | $ | 13.26 | $ | 12.76 | $ | 12.98 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.27 | 0.56 | 0.57 | 0.61 | 0.65 | 0.65 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.20 | ) | (0.08 | ) | (0.11 | ) | 0.39 | 0.50 | (0.22 | ) | ||||||||||||||
Total from investment operations | 0.07 | 0.48 | 0.46 | 1.00 | 1.15 | 0.43 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.27 | ) | (0.56 | ) | (0.57 | ) | (0.61 | ) | (0.65 | ) | (0.65 | ) | ||||||||||||
Change in net asset value | (0.20 | ) | (0.08 | ) | (0.11 | ) | 0.39 | 0.50 | (0.22 | ) | ||||||||||||||
NET ASSET VALUE, end of period | $ | 13.26 | $ | 13.46 | $ | 13.54 | $ | 13.65 | $ | 13.26 | $ | 12.76 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | 0.49 | % | 3.61 | % | 3.49 | % | 7.75 | % | 9.23 | % | 3.45 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 3.97 | %(b) | 4.12 | % | 4.23 | % | 4.57 | % | 4.99 | % | 5.10 | % | ||||||||||||
Expenses, after expense reductions | 0.67 | %(b) | 0.67 | % | 0.62 | % | 0.58 | % | 0.55 | % | 0.68 | % | ||||||||||||
Expenses, after expense reductions and net of custody credits | 0.67 | %(b) | 0.67 | % | 0.62 | % | 0.58 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 0.77 | %(b) | 0.75 | % | 0.80 | % | 0.79 | % | 0.79 | % | 0.80 | % | ||||||||||||
Portfolio turnover rate | 10.97 | % | 11.81 | % | 15.13 | % | 16.36 | % | 18.24 | % | 21.97 | % | ||||||||||||
Net assets at end of period (000) | $ | 43,394 | $ | 33,079 | $ | 19,333 | $ | 18,330 | $ | 17,258 | $ | 17,563 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
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Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
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
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
ALABAMA — 1.39% | ||||||||
Alabama Docks Revenue, 6.00% due 10/1/2008 (Insured: MBIA) | Aaa/AAA | $ | 800,000 | $ | 876,112 | |||
Birmingham Carraway Alabama Special, 6.25% due 8/15/2009 (Insured: Connie Lee) | NR/AAA | 2,000,000 | 2,142,300 | |||||
East Alabama Health Care Authority Tax Anticipation Series A, 4.00% due 9/1/2006 (Insured: MBIA) | Aaa/AAA | 1,515,000 | 1,539,694 | |||||
Lauderdale County & Florence Health Group Series A, 5.75% due 7/1/2013 (Insured: MBIA) | Aaa/AAA | 1,600,000 | 1,746,112 | |||||
ALASKA — 1.16% | ||||||||
Alaska Energy Authority Power Revenue Refunding Bradley Lake Fourth Series, 6.00% due 7/1/2011 (Insured: FSA) | Aaa/AAA | 955,000 | 1,077,641 | |||||
Alaska Municipal Bond Bank Series A, 5.00% due 10/1/2017 (Insured: FGIC) | Aaa/AAA | 2,470,000 | 2,627,932 | |||||
Anchorage School Refunding, 6.00% due 10/1/2012 (Insured: FGIC) | Aaa/AAA | 500,000 | 563,125 | |||||
North Slope Borough Alaska, 0% due 6/30/2006 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 966,090 | |||||
ARIZONA — 1.15% | ||||||||
Phoenix Street & Highway User Revenue, 6.50% due 7/1/2009 | Aa3/AAA | 1,000,000 | 1,097,110 | |||||
Pima County Industrial Development Authority Series C, 6.70% due 7/1/2021 (Arizona Charter Schools Project) | Baa3/NR | 2,715,000 | 2,849,963 | |||||
Tucson GO Series D, 9.75% due 7/1/2012 (ETM) | NR/AA | 400,000 | 549,912 | |||||
Tucson GO Series D, 9.75% due 7/1/2013 (ETM) | NR/AA | 500,000 | 705,115 | |||||
ARKANSAS — 0.56% | ||||||||
Jefferson County Hospital Revenue Refunding & Improvement, 5.75% due 6/1/2012 (Regional Medical Center Project) | NR/A | 1,135,000 | 1,240,260 | |||||
Jefferson County Hospital Revenue Refunding & Improvement, 5.75% due 6/1/2013 (Regional Medical Center Project) | NR/A | 1,200,000 | 1,301,616 | |||||
CALIFORNIA — 4.19% | ||||||||
California Department of Water Resources Power Series A, 5.75% due 5/1/2017 | A2/BBB+ | 3,000,000 | 3,316,230 | |||||
California Housing Finance Agency Revenue Multi Family Housing Series D, 2.30% due 10/1/2023 put 4/1/2005 (daily demand notes) | VMIG1/A-1+ | 400,000 | 400,000 | |||||
California Housing Finance Authority Revenue Series 1985-B, 9.875% due 2/1/2017 | Aa2/AA- | 675,000 | 690,566 | |||||
California Statewide Community Development Authority COP, 5.50% due 10/1/2007 (Unihealth America Project) (ETM) | Aaa/AAA | 4,500,000 | 4,785,795 | |||||
Camino Hospital District Revenue Series A, 6.25% due 8/15/2017 (ETM) | Aaa/AAA | 1,000,000 | 1,161,500 | |||||
Escondido Joint Powers Financing Authority Lease Revenue, 0% due 9/1/2007 (Center for the Arts Project; Insured:AMBAC) | Aaa/AAA | 1,740,000 | 1,558,066 | |||||
Golden West Schools Financing Authority Capital Appreciation, 0% due 8/1/2018 (Insured: MBIA) | Aaa/AAA | 2,140,000 | 1,041,281 | |||||
Irwindale Community Redevelopment Agency, 6.60% due 8/1/2018 pre-refunded 8/1/2005 | Baa3/NR | 500,000 | 515,200 | |||||
Orange County Refunding Recovery, 6.50% due 6/1/2005 (Insured: MBIA) | Aaa/AAA | 2,280,000 | 2,296,028 | |||||
San Diego County Water Authority Revenue & Refunding Series 1993-A, 8.248% due 4/25/2007 (Insured: FGIC) | Aaa/AAA | 500,000 | 557,930 | |||||
San Marcos COP Series C, 0% due 8/15/2005 (ETM) | NR/AAA | 145,000 | 143,772 | |||||
San Marcos COP Series D, 0% due 9/2/2005 (ETM) | NR/AAA | 740,000 | 732,881 | |||||
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 | 1,470,000 | 1,542,853 | |||||
Sunline Transit Agency COP Series A, 5.75% due 7/1/2005 | A/NR | 215,000 | 216,832 | |||||
COLORADO — 4.74% | ||||||||
Adams County Communication Center Series A, 5.75% due 12/1/2016 | Baa1/NR | 1,265,000 | 1,324,708 | |||||
14 Certified Semi-Annual Report
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SCHEDULE OF INVESTMENTS, CONTINUED
| ||
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Arvada Industrial Development Revenue, 5.25% due 12/1/2007 (Wanco Inc. Project; LOC: US Bank, N.A.) | NR/NR | $ | 65,000 | $ | 65,587 | |||
Arvada Industrial Development Revenue, 5.60% due 12/1/2012 (Wanco Inc. Project; LOC: US Bank, N.A.) | NR/NR | 450,000 | 463,302 | |||||
Central Platte Valley Metropolitan District, 5.15% due 12/1/2013 pre-refunded 12/1/2009 | NR/AAA | 1,000,000 | 1,089,170 | |||||
Central Platte Valley Metropolitan District Refunding Series A, 5.00% due 12/1/2031 put 12/1/2009 (LOC: US Bank) | NR/A-1 | 2,000,000 | 2,095,800 | |||||
Colorado Educational & Cultural Facilities Refunding, 6.00% due 4/1/2021 (Charter School Cherry Creek Project) | Baa2/NR | 500,000 | 514,945 | |||||
Colorado Housing Finance Authority Single Family Program Subordinated Series C, 5.75% due 10/1/2007 | A1/A+ | 25,000 | 25,309 | |||||
Colorado Student Obligation Bond Student Loan Senior Subordinated Series B, 6.20% due 12/1/2008 | A2/NR | 1,570,000 | 1,605,482 | |||||
Denver City & County COP Series B, 5.00% due 12/1/2011 | Aa2/AA | 2,465,000 | 2,646,350 | |||||
El Paso County School District 11, 7.10% due 12/1/2013 | Aa3/AA- | 500,000 | 615,595 | |||||
Glendale COP, 5.40% due 8/15/2008 (Education Center Project) | NR/BBB | 675,000 | 679,239 | |||||
Interstate South Metropolitan District Refunding, 6.00% due 12/1/2020 (LOC: BNP Paribas) | NR/AA | 2,395,000 | 2,421,153 | |||||
Larimer County GO, 8.45% due 12/15/2005 (Poudre School District Project) | Aa3/NR | 2,830,000 | 2,945,351 | |||||
Northwest Parkway Public Highway Authority Capital Appreciation Senior Convertible C, 0% due 6/15/2014 (Insured: FSA) | Aaa/AAA | 1,005,000 | 799,126 | |||||
Plaza Metropolitan District 1 Colorado Revenue Public Improvement Fee/Tax Increment, 7.70% due 12/1/2017 | NR/NR | 2,500,000 | 2,631,000 | |||||
Southlands Metropolitan District Number 1 GO, 7.00% due 12/1/2024 | NR/NR | 1,370,000 | 1,495,506 | |||||
Thornton County SFMR Series 1992-A, 8.05% due 8/1/2009 | A2/NR | 35,000 | 35,021 | |||||
CONNECTICUT — 0.11% | ||||||||
Eastern Resource Recovery Authority Series A, 5.25% due 1/1/2006 (Wheelabrator Lisbon Project) | NR/BBB | 500,000 | 500,740 | |||||
DELAWARE — 0.35% | ||||||||
Delaware State Health Facilities Authority Revenue Series A, 5.25% due 5/1/2016 (Nanticoke Memorial Hospital Project; Insured: Radian) | NR/AA | 1,500,000 | 1,571,235 | |||||
DISTRICT OF COLUMBIA — 1.07% | ||||||||
District of Columbia Hospital Revenue, 5.375% due 8/15/2015 (ETM) | Aaa/AAA | 600,000 | 641,832 | |||||
District of Columbia Refunding Series B, 6.00% due 6/1/2015 (Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,476,040 | |||||
District of Columbia Tax Increment Capital Appreciation, 0% due 7/1/2019 (Mandarin Oriental Project; Insured: FSA) | Aaa/AAA | 1,500,000 | 750,405 | |||||
FLORIDA — 4.89% | ||||||||
Broward County Resource Recovery Revenue, 5.00% due 12/1/2007 | A3/AA | 1,500,000 | 1,566,750 | |||||
Deltona Utility Systems Revenue, 5.25% due 10/1/2015 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,093,850 | |||||
Duval County Multi Family Housing Revenue Refunding, 5.90% due 9/1/2016 (St.Augustine Apartments Project) | NR/A | 1,000,000 | 1,029,740 | |||||
Enterprise Community Development District Assessment Bonds, 6.00% due 5/1/2010 (Insured: MBIA) | Aaa/AAA | 1,605,000 | 1,609,703 | |||||
Escambia County Health Facility Revenue, 5.95% due 7/1/2020 (Florida Health Care Facility Loan Project; Insured:AMBAC) | Aaa/NR | 3,000,000 | 3,048,900 | |||||
Escambia County Health Facility Series C, 5.00% due 11/1/2028 pre-refunded 11/1/2010 (Charity Obligation Group Project) | Aaa/NR | 2,500,000 | 2,654,750 | |||||
Florida Board of Education Capital Outlay Refunding Public Education Series D, 5.75% due 6/1/2018 | Aa1/AAA | 1,460,000 | 1,610,132 | |||||
Jacksonville District Water & Sewer COP, 5.00% due 10/1/2020 pre-refunded 10/1/2008 | Aaa/AAA | 1,000,000 | 1,051,280 | |||||
Orange County School Board Series A, 6.00% due 8/1/2008 (Insured: MBIA) | Aaa/NR | 1,580,000 | 1,722,405 | |||||
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- | 2,000,000 | 2,042,360 |
Certified Semi-Annual Report 15
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Port Everglades Authority Port Improvement Revenue Refunding Series A, 5.00% due 9/1/2016 (Insured: FSA) | Aaa/AAA | $ | 3,635,000 | $ | 3,641,797 | |||
Turtle Run Community Development District Refunding Water Management Benefit Special Assessment, 5.00% due 5/1/2011 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,060,970 | |||||
GEORGIA — 1.00% | ||||||||
Georgia Municipal Electric Authority Power Revenue Unrefunded Series Y, 10.00% due 1/1/2010 | A1/A+ | 235,000 | 300,104 | |||||
Municipal Electric Authority Georgia Subordinated Series B, 5.00% due 1/1/2026 put 1/1/2009 (Project One; Insured:AMBAC) | Aaa/AAA | 4,000,000 | 4,226,240 | |||||
HAWAII — 0.71% | ||||||||
Hawaii Department of Budget & Finance, 6.40% due 7/1/2013 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,348,140 | |||||
Hawaii Housing Finance Development Corp. Series B, 5.85% due 7/1/2017 (Collateralized: FNMA) | Aaa/AAA | 845,000 | 864,663 | |||||
IDAHO — 0.22% | ||||||||
Boise City Industrial Development Corp., 5.40% due 12/15/2009 (Western Trailer Co. Project; LOC: First Security) | A1/NR | 985,000 | 986,064 | |||||
ILLINOIS — 11.35% | ||||||||
Central Lake County Joint Action Water Agency Series 1991, 0% due 5/1/2005 (Insured: MBIA) | Aaa/AAA | 300,000 | 299,400 | |||||
Champaign County Community Unit Series C, 0% due 1/1/2011 pre-refunded 1/1/2010 | Aaa/AAA | 800,000 | 639,304 | |||||
Chicago Housing Authority Capital, 5.00% due 7/1/2008 | Aa3/AA | 3,020,000 | 3,165,443 | |||||
Chicago Midway Airport Revenue Refunding Second Lien Series A, 5.00% due 1/1/2019 (Insured:AMBAC) | Aaa/AAA | 1,210,000 | 1,241,859 | |||||
Chicago Park District Harbor, 5.75% due 1/1/2011 | A2/NR | 600,000 | 669,396 | |||||
Chicago Tax Increment Allocation Lincoln Belmont A, 5.30% due 1/1/2014 (Insured:ACA) | NR/A | 2,285,000 | 2,362,233 | |||||
Chicago Wastewater Transmission Revenue Refunding Second Lien, 5.50% due 1/1/2013 (Insured: MBIA) | Aaa/AAA | 650,000 | 719,855 | |||||
Cook County Capital Improvement, 5.50% due 11/15/2008 (Insured: FGIC) | Aaa/AAA | 500,000 | 524,965 | |||||
Cook County School District Class A, 0% due 1/1/2022 | NR/NR | 2,000,000 | 777,520 | |||||
Du Page County School District Capital Appreciation, 0% due 2/1/2010 (Insured: FGIC) | Aaa/NR | 655,000 | 546,119 | |||||
Freeport Illinois GO, 5.375% due 1/1/2018 (Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,630,740 | |||||
Illinois Development Finance Authority Revenue, 6.00% due 11/15/2012 (Insured: MBIA) | Aaa/AAA | 2,860,000 | 3,209,635 | |||||
Illinois Development Finance Authority Revenue Refunding Community Rehab Providers A, 5.90% due 7/1/2009 | NR/BBB | 820,000 | 849,766 | |||||
Illinois Development Financing Authority Debt Restructuring Revenue Series 1994, 7.25% due 11/15/2009 (East St. Louis Project) | NR/A | 820,000 | 839,418 | |||||
Illinois Educational Facilities Authority Revenues Adjusted, 4.75% due 11/1/2036 put 11/1/2016 (Field Museum Project) | A2/A | 1,160,000 | 1,173,363 | |||||
Illinois Educational Facilities Authority Revenues Capital Appreciation, 0% due 7/1/2014 pre-refunded 7/1/2009 | Aaa/AAA | 475,000 | 230,855 | |||||
Illinois Educational Facilities Authority Revenues Loyola University A, 6.00% due 7/1/2012 (Insured: MBIA) (ETM) | Aaa/AAA | 230,000 | 262,570 | |||||
Illinois Educational Facilities Authority Revenues Midwestern University B, 5.50% due 5/15/2018 (Insured:ACA) | NR/A | 1,500,000 | 1,550,010 | |||||
Illinois Educational Facilities Authority Revenues Unrefunded Balance Loyola A, 5.00% due 7/1/2006 (Insured: MBIA) | Aaa/AAA | 1,540,000 | 1,580,502 | |||||
Illinois Educational Facilities Authority Revenues Unrefunded Balance Loyola A, 6.00% due 7/1/2011 (ETM) | Aaa/AAA | 770,000 | 869,338 | |||||
Illinois Educational Facilities Authority Revenues Unrefunded Balance Loyola A, 6.00% due 7/1/2012 (ETM) | Aaa/AAA | 1,080,000 | 1,219,050 | |||||
Illinois Health Facilities Authority Revenue, 5.50% due 10/1/2009 (Decatur Memorial Hospital Project) | A2/A | 1,055,000 | 1,127,194 |
16 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Illinois Health Facilities Authority Revenue, 5.70% due 2/20/2021 (Midwest Care Center Project; Collateralized: GNMA) | Aaa/NR | $ | 990,000 | $ | 1,061,864 | |||
Illinois Health Facilities Authority Revenue Healthcare Systems, 6.25% due 11/15/2019 (OSF Healthcare Project) | A2/A | 1,250,000 | 1,340,200 | |||||
Illinois Health Facilities Authority Revenue Series A, 7.60% due 8/15/2010 (Insured: FSA) | Aaa/AAA | 32,000 | 33,637 | |||||
Illinois Health Facilities Authority Revenue Series A, 5.75% due 8/15/2013 pre-refunded 8/15/2009 Children’s Memorial Hospital Project) | Aaa/AAA | 1,900,000 | 2,104,060 | |||||
Illinois University Revenues, 5.25% due 1/15/2018 (UIC South Campus Development Project; Insured: FGIC) | Aaa/AAA | 1,205,000 | 1,298,026 | |||||
Jackson & Williamson Counties, Illinois, 7.50% due 12/1/2009 (Insured:AMBAC) | Aaa/AAA | 680,000 | 798,748 | |||||
Lake County Community High School Capital Appreciation Series B, 0% due 12/1/2012 (Insured: FGIC) | Aaa/NR | 5,550,000 | 4,016,479 | |||||
Marion Refunding, 5.00% due 9/15/2012 (Insured: FGIC) | Aaa/AAA | 755,000 | 812,297 | |||||
McHenry County School District Woodstock GO, 6.80% due 1/1/2006 (Insured: FSA) | Aaa/AAA | 710,000 | 731,648 | |||||
Melrose Park Tax Increment Series B, 6.50% due 12/15/2015 (Insured: FSA) | Aaa/AAA | 1,015,000 | 1,163,840 | |||||
Sangamon County Property Tax Lease Receipts, 7.45% due 11/15/2006 | Aa3/NR | 560,000 | 588,286 | |||||
Sangamon County School District Series A, 5.875% due 8/15/2018 (Hay Edwards Project) | NR/A | 2,400,000 | 2,564,592 | |||||
Sherman Revenue Refunding Mortgage, 6.10% due 10/1/2014 (Collateralized: GNMA) | NR/AAA | 1,170,000 | 1,261,166 | |||||
Sherman Revenue Refunding Mortgage, 6.20% due 10/1/2019 (Collateralized: GNMA) | NR/AAA | 1,600,000 | 1,721,344 | |||||
Southern Illinois University Revenues, 0% due 4/1/2014 (Insured: MBIA) | Aaa/AAA | 1,425,000 | 957,914 | |||||
University of Illinois Revenue Capital Appreciation, 0% due 4/1/2014 (Insured: MBIA) | Aaa/AAA | 1,590,000 | 1,069,021 | |||||
West Chicago Industrial Development Revenue, 6.90% due 9/1/2024 (Leggett & Platt Inc. Project) | NR/A+ | 1,000,000 | 1,023,050 | |||||
Will & Kendall Counties Community Series B, 5.125% due 1/1/2014 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,068,870 | |||||
Will County Community School 365-U Capital Appreciation, 0% due 11/1/2011 (Insured: FSA) | Aaa/AAA | 3,000,000 | 2,304,450 | |||||
INDIANA — 7.40% | ||||||||
Allen County Economic Development, 5.80% due 12/30/2012 (Indiana Institute of Technology Project) | NR/NR | 895,000 | 944,449 | |||||
Allen County Economic Development, 5.75% due 12/30/2015 (Indiana Institute of Technology Project) | NR/NR | 1,355,000 | 1,453,983 | |||||
Allen County Jail Building Corp. GO, 5.00% due 4/1/2018 (Insured: XLCA) | Aaa/AAA | 2,495,000 | 2,635,593 | |||||
Allen County War Memorial Series A, 5.25% due 11/1/2013 (Insured:AMBAC) | Aaa/NR | 1,000,000 | 1,080,780 | |||||
Boone County Hospital Association, 5.625% due 1/15/2015 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,092,990 | |||||
Brownsburg 1999 School Building, 5.00% due 2/1/2010 (Insured: FSA) | NR/AAA | 1,260,000 | 1,347,998 | |||||
Dyer Redevelopment Authority, 6.40% due 7/15/2015 | NR/BBB+ | 1,515,000 | 1,655,137 | |||||
Dyer Redevelopment Authority, 6.50% due 7/15/2016 | NR/BBB+ | 1,910,000 | 2,087,955 | |||||
East Chicago Elementary School Building First Mortgage Series A, 6.25% due 7/5/2008 (State Aid Withholding) | NR/A | 350,000 | 376,232 | |||||
Fishers Redevelopment Authority, 5.25% due 2/1/2018 (Insured: XLCA) | Aaa/AAA | 1,500,000 | 1,623,630 | |||||
Fishers Redevelopment Authority, 5.25% due 2/1/2020 (Insured: XLCA) | Aaa/AAA | 1,025,000 | 1,103,033 | |||||
Gary Building Corp. Lake County First Mortgage Series 1994-B, 8.25% due 7/1/2010 (Sears Building Project) | NR/NR | 935,000 | 953,345 | |||||
Goshen Chandler School Building Capital Appreciation Refunding, 0% due 1/15/2011 (Insured: MBIA) | Aaa/AAA | 1,020,000 | 813,185 | |||||
Hamilton Southeastern Indiana, 6.25% due 7/15/2006 (North Delaware School Building Project; Insured:AMBAC) | Aaa/AAA | 1,980,000 | 2,066,427 | |||||
Huntington Economic Development Revenue, 6.40% due 5/1/2015 (United Methodist Memorial Project) | NR/NR | 1,000,000 | 1,049,110 | |||||
Indiana Bond Bank Special Program Hendrick’s Redevelopment Series B, 6.20% due 2/1/2023 pre-refunded 2/1/2007 | NR/A+ | 1,500,000 | 1,615,950 | |||||
Indiana Health Facility Hospital Revenue, 5.75% due 9/1/2015 (ETM) | NR/AA- | 575,000 | 597,160 |
Certified Semi-Annual Report 17
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Indiana Health Facility Hospital Revenue, 5.40% due 2/15/2016 (Clarian Health Obligation Group Project; Insured: MBIA) | Aaa/AAA | $ | 1,000,000 | $ | 1,076,500 | |||
Indiana State Educational Facilities Authority Revenue, 5.65% due 10/1/2015 (University of Indianapolis Project) | NR/A- | 1,065,000 | 1,145,546 | |||||
Indiana State Educational Facilities Authority Revenue, 5.70% due 10/1/2016 (University of Indianapolis Project) | NR/A- | 1,025,000 | 1,104,909 | |||||
Indianapolis Economic Development Revenue, 5.50% due 6/1/2014 | Aa3/NR | 500,000 | 539,190 | |||||
Indianapolis Local Public Improvement Bond Bank, 0% due 7/1/2009 (ETM) | Aa2/AA- | 740,000 | 640,411 | |||||
Portage Township Multi School Building, 5.50% due 7/15/2015 (Insured: FGIC) | Aaa/AAA | 500,000 | 549,300 | |||||
Rockport Pollution Control Revenue Series A, 4.90% due 6/1/2025 put 6/1/2007 (Indiana Michigan Power Co. Project) | Baa2/BBB | 2,680,000 | 2,755,094 | |||||
Wawasee Community School Corp. First Mortgage, 5.50% due 7/15/2012 | NR/AA- | 1,200,000 | 1,321,200 | |||||
West Clark School Building Corp. First Mortgage, 5.75% due 7/15/2017 (Insured: FGIC) | Aaa/AAA | 1,685,000 | 1,869,255 | |||||
IOWA — 1.52% | ||||||||
Iowa Finance Authority Health Care Facilities, 6.00% due 7/1/2013 (Genesis Medical Center Project) | A1/NR | 1,000,000 | 1,080,520 | |||||
Iowa Finance Authority Hospital Facility Revenue, 6.00% due 7/1/2012 (Trinity Regional Hospital Project; Insured: FSA) | Aaa/AAA | 1,000,000 | 1,118,450 | |||||
Iowa Finance Authority Hospital Facility Revenue, 6.75% due 2/15/2016 | A1/NR | 1,000,000 | 1,099,460 | |||||
Iowa Finance Authority Revenue, 6.00% due 12/1/2018 (Catholic Health Initiatives Project) | Aa2/AA | 2,000,000 | 2,203,940 | |||||
Iowa Finance Authority Revenue Refunding Trinity Health Series B, 5.75% due 12/1/2015 | Aa3/AA- | 1,250,000 | 1,364,525 | |||||
KANSAS — 1.04% | ||||||||
Wichita Hospital Revenue Refunding Improvement Series XI, 6.75% due 11/15/2019 (Christi Health System Project) | NR/A+ | 4,200,000 | 4,689,468 | |||||
KENTUCKY — 1.25% | ||||||||
Kentucky Economic Development Finance Authority Series C, 0% due 10/1/2015 (Norton Healthcare Project; Insured: MBIA) | Aaa/AAA | 4,000,000 | 4,344,840 | |||||
Paintsville First Mortgage Revenue Refunding Series 1991, 8.65% due 9/1/2005 (Paul B. Hall Medical Center Project) | NR/NR | 570,000 | 573,505 | |||||
Wilmore Housing Facilities Revenue, 5.55% due 7/1/2013 (LOC:Allied Irish Bank PLC) | NR/NR | 725,000 | 753,493 | |||||
LOUISIANA — 1.90% | ||||||||
East Baton Rouge Mortgage Financing Authority Purchase Revenue, 8.25% due 2/25/2011 (Collateralized: GNMA) | NR/AAA | 277 | 280 | |||||
Jefferson Sales Tax District Revenue Series B, 5.50% due 12/1/2008 (Insured:AMBAC) | Aaa/AAA | 1,595,000 | 1,725,886 | |||||
Louisiana Local Govt. Environment Series A, 4.10% due 9/1/2007 (Housing Bellemont Apts. Project) | Baa1/NR | 390,000 | 391,236 | |||||
Louisiana State Offshore Terminal Refunding Series D, 4.00% due 9/1/2023 put 9/1/2008 (Loop LLC Project) | A3/A | 3,250,000 | 3,279,185 | |||||
Morehouse Parish Pollution Revenue Refunding Series A, 5.25% due 11/15/2013 (International Paper Co. Project) | Baa2/BBB | 3,000,000 | 3,207,840 | |||||
MASSACHUSETTS — 0.47% | ||||||||
Massachusetts Development Finance Agency Refunding, 6.25% due 1/1/2015 (Odd Fellows Home Project) | NR/NR | 1,125,000 | 1,047,161 | |||||
Massachusetts Industrial Financing Agency Revenue Series A, 6.125% due 12/1/2011 (Insured: MBIA) | Aaa/AAA | 1,100,000 | 1,104,224 | |||||
MICHIGAN — 1.31% | ||||||||
Kalamazoo Hospital Finance Authority Revenue Series 1994-A, 6.25% due 6/1/2014 (Borgess Medical Center Project) (ETM) | Aaa/AAA | 650,000 | 764,712 | |||||
Kent Hospital Finance Authority Michigan Hospital, 7.25% due 1/15/2013 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,169,280 |
18 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Michigan State Building Authority Revenue Refunding Facilities Program Series I, 5.25% due 10/15/2017 (Insured: FSA) | Aaa/AAA | $ | 2,450,000 | $ | 2,644,089 | |||
Southfield Economic Development Corp. Refunding Revenue N.W. 12 Limited Partnership, 7.25% due 12/1/2010 | NR/NR | 1,355,000 | 1,354,905 | |||||
MINNESOTA — 0.40% | ||||||||
Minneapolis St. Paul Health, 6.00% due 12/1/2018 (Healthpartners Obligation Group Project) | Baa1/BBB+ | 1,000,000 | 1,079,110 | |||||
Southern Minnesota Municipal Power Agency Supply, pre-refunded to various dates, Series A, 5.75% due 1/1/2018 (Insured: MBIA) | Aaa/AAA | 700,000 | 752,311 | |||||
MISSISSIPPI — 0.43% | ||||||||
Mississippi Higher Educational Authority Series C, 7.50% due 9/1/2009 | A2/NR | 1,500,000 | 1,502,655 | |||||
Mississippi Hospital Equipment Revenue, 6.40% due 1/1/2007 (Rush Foundation Project; Guaranty: Connie Lee) | NR/AAA | 440,000 | 454,881 | |||||
MISSOURI — 0.75% | ||||||||
Missouri Development Finance Board Healthcare Series A, 5.40% due 11/1/2018 (Lutheran Home Aged Project; LOC: Commerce Bank) | Aa3/NR | 2,025,000 | 2,085,426 | |||||
Platte County COP, 4.00% due 9/1/2006 | NR/AA- | 1,310,000 | 1,330,803 | |||||
NEBRASKA — 0.42% | ||||||||
Madison County Hospital Authority 1 Hospital Revenue, 5.50% due 7/1/2014 (Faith Regional Health Services Project; Insured: Radian) | NR/AA | 845,000 | 904,826 | |||||
University Facilities Corporate Revenue, 5.25% due 7/1/2011 pre-refunded 7/1/2005 | NR/AA- | 1,000,000 | 1,007,280 | |||||
NEVADA — 1.43% | ||||||||
Clark County Pollution Control Revenue Series B, 6.60% due 6/1/2019 (Nevada Power Co. Project; Insured: FGIC) | Aaa/AAA | 640,000 | 642,234 | |||||
Las Vegas Special Improvement District Refunding Senior Local Improvement Series A, 5.375% due 6/1/2013 (Insured: FSA) | Aaa/AAA | 1,205,000 | 1,293,435 | |||||
Washoe County Capital Appreciation Reno Sparks Series B, 0% due 7/1/2011 (Insured: FSA) | Aaa/AAA | 2,600,000 | 2,027,402 | |||||
Washoe County School District Refunding Series B, 5.00% due 6/1/2010 (Insured: FGIC) | Aaa/AAA | 2,350,000 | 2,522,983 | |||||
NEW HAMPSHIRE — 1.96% | ||||||||
Manchester Housing & Redevelopment Authority, 0% due 1/1/2017 (Insured: Radian) | NR/A | 5,140,000 | 2,818,365 | |||||
Manchester Housing & Redevelopment Authority Capital Appreciation Series B, 0% due 1/1/2016 (Insured: Radian) | NR/A | 4,990,000 | 2,900,886 | |||||
New Hampshire Pollution Refunding Central Maine Power Co., 5.375% due 5/1/2014 | A3/BBB+ | 3,000,000 | 3,164,760 | |||||
NEW JERSEY — 1.20% | ||||||||
New Jersey EDA Refunding Revenue, 7.50% due 12/1/2019 (Spectrum for Living Development Project; LOC: PNC Bank) | A3/A | 240,000 | 240,876 | |||||
New Jersey State Transit Corp., 5.00% due 10/1/2009 (Insured: FSA) | Aaa/AAA | 1,700,000 | 1,811,877 | |||||
New Jersey State Transport Trust Fund Authority Series C, 5.50% due 6/15/2017 pre-refunded 6/15/2013 (Transportation Systems Project) | Aaa/AAA | 3,000,000 | 3,368,610 | |||||
NEW MEXICO — 1.01% | ||||||||
Albuquerque Airport Revenue Refunding, 5.00% due 7/1/2008 (Insured:AMBAC) | Aaa/AAA | 2,380,000 | 2,496,120 | |||||
University of New Mexico Hospital Mortgage Revenue Bonds, 5.00% due 1/1/2018 (Insured: FSA & FHA) | Aaa/AAA | 2,000,000 | 2,085,620 | |||||
NEW YORK — 4.07% | ||||||||
Long Island Power Authority General Series B, 5.00% due 12/1/2006 | A3/A- | 2,000,000 | 2,070,520 |
Certified Semi-Annual Report 19
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Metro Transportation Authority New York Service Control Series B, 5.25% due 7/1/2006 | A2/AA- | $ | 1,080,000 | $ | 1,112,098 | |||
Nassau Health Care Corp., 6.00% due 8/1/2011 pre-refunded 8/1/2009 | Aaa/AAA | 1,000,000 | 1,131,140 | |||||
New York City Adjustment Series C GO, 2.25% due 2/1/2031 put 4/1/2005 (LOC: JPM) (daily demand notes) | VMIG1/A-1+ | 2,850,000 | 2,850,000 | |||||
New York City Industrial Development Agency Series A, 5.00% due 6/1/2010 (Lycee Francais De New York Project; Insured: ACA) | NR/A | 1,175,000 | 1,231,412 | |||||
New York City Trust Cultural Resources, 5.75% due 7/1/2015 (Museum of American Folk Art Project; Insured: ACA) | NR/A | 875,000 | 932,076 | |||||
New York Housing Finance Service Series A, 6.375% due 9/15/2015 pre-refunded 9/15/2007 | A2/AAA | 220,000 | 237,519 | |||||
New York Series E, 6.00% due 8/1/2008 pre-refunded 8/1/2006 | Aaa/AAA | 910,000 | 962,907 | |||||
New York Series E, 6.00% due 8/1/2008 pre-refunded 8/1/2006 (Insured: FGIC) | Aaa/AAA | 1,025,000 | 1,079,622 | |||||
New York State Dormitory Authority School Districts Financing Program Series E, 9.00% due 10/1/2007 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,142,180 | |||||
New York State Thruway Authority General Revenue Series F, 5.00% due 1/1/2018 (Insured: AMBAC) | Aaa/AAA | 3,000,000 | 3,200,100 | |||||
Port Authority New York & New Jersey Special Obligation, 6.25% due 12/1/2011 (JFK International Air Terminal 6 Project; Insured: MBIA) | Aaa/AAA | 2,200,000 | 2,467,476 | |||||
NORTH CAROLINA — 0.28% | ||||||||
North Carolina Eastern Municipal Power Refunding Series A, 5.70% due 1/1/2013 (Insured: MBIA) | Aaa/AAA | 1,200,000 | 1,276,068 | |||||
NORTH DAKOTA — 0.08% | ||||||||
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 | 365,000 | 381,243 | |||||
OHIO — 4.26% | ||||||||
Butler County Transportation Improvement, 6.00% due 4/1/2010 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,096,160 | |||||
Central Ohio Solid Waste Authority Series B, 5.00% due 12/1/2008 | Aa2/AA+ | 2,530,000 | 2,680,611 | |||||
Cleveland Cuyahoga County Development Bond Fund A, 6.25% due 5/15/2016 (LOC: Fifth Third Bank) | NR/NR | 1,490,000 | 1,544,429 | |||||
Cuyahoga County Hospital Revenue Refunding, 5.50% due 1/15/2019 (University Health Systems Project B; Insured: MBIA) | Aaa/AAA | 3,545,000 | 3,679,923 | |||||
Franklin County Health Care Revenue Series 1995-A, 6.00% due 11/1/2010 (Heinzerling Foundation Project; LOC: Banc One) | Aa2/NR | 1,100,000 | 1,133,990 | |||||
Franklin County Hospital, 5.80% due 12/1/2005 (Doctors Project) (ETM) | A3/NR | 500,000 | 506,340 | |||||
Hamilton Wastewater Systems Revenue Refunding, 5.25% due 10/1/2017 (Insured: FSA) | Aaa/AAA | 1,500,000 | 1,641,960 | |||||
Marysville School District COP, 5.25% due 12/1/2017 (School Facilities Project; Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,175,660 | |||||
North Ridgeville Economic Development, 0% due 2/1/2015 | NR/A | 525,000 | 234,418 | |||||
Ohio Pollution Control Revenue Refunding, 5.625% due 3/1/2015 (General Motors Corp. Project) | Baa2/BBB- | 1,500,000 | 1,477,560 | |||||
Ohio State Higher Educational Facility Revenue, 5.05% due 7/1/2037 put 7/1/2016 (Kenyon College Project) | A2/A | 2,200,000 | 2,305,776 | |||||
Reynoldsburg Health Care Facilities Revenue Bonds Series 1997, 5.70% due 10/20/2012 (Collateralized: GNMA) | Aa3/NR | 760,000 | 805,752 | |||||
OKLAHOMA — 3.12% | ||||||||
Oklahoma City Municipal Improvement Authority, 0% due 7/1/2008 (Insured: AMBAC) | Aaa/AAA | 1,020,000 | 917,949 | |||||
Oklahoma City Municipal Water & Sewer Capital Appreciation Series C, 0% due 7/1/2006 (Insured: AMBAC) | Aaa/AAA | 500,000 | 483,395 | |||||
Oklahoma City Municipal Water & Sewer Series C, 0% due 7/1/2011 (Insured: AMBAC) | Aaa/AAA | 1,125,000 | 883,710 | |||||
Oklahoma City Municipal Water & Sewer Series C, 0% due 7/1/2013 (Insured: AMBAC) | Aaa/AAA | 1,485,000 | 1,050,504 | |||||
Oklahoma Development Finance Authority Hospital Association Pooled Hospital A, 5.40% due 6/1/2013 (Insured: AMBAC) | Aaa/AAA | 825,000 | 896,305 | |||||
Oklahoma Industrial Authority Revenue Refunding, 6.00% due 8/15/2010 (Integris Baptist Project; Insured: AMBAC) | Aaa/AAA | 750,000 | 836,010 | |||||
Tulsa County Independent School District Combined Purpose, 4.50% due 8/1/2007 | Aa3/AA- | 2,800,000 | 2,897,272 |
20 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Tulsa Industrial Authority Hospital Revenue Refunding, 5.375% due 2/15/2017 | Aa3/AA | $ | 4,000,000 | $ | 4,104,960 | |||
Tulsa Industrial Development Authority Hospital Revenue, 6.10% due 2/15/2009 pre-refunded 2/15/2006 (St. John’s Medical Center Project) | Aa3/AA | 1,485,000 | 1,528,956 | |||||
Tulsa Public Facilities Authority Solid Waste Revenue, 5.65% due 11/1/2006 | Aaa/AAA | 500,000 | 520,270 | |||||
OREGON — 0.27% | ||||||||
Albany Hospital Facility Authority Gross Revenue & Refunding Series 1994, 7.00% due 10/1/2005 (Mennonite Home Project) | NR/NR | 365,000 | 368,212 | |||||
Forest Grove Campus Improvement & Refunding Pacific University, 6.00% due 5/1/2015 (Insured: Radian) | NR/AA | 800,000 | 873,680 | |||||
PENNSYLVANIA — 2.58% | ||||||||
Allegheny County Hospital Development, 7.00% due 8/1/2015 (ETM) | NR/AAA | 500,000 | 610,545 | |||||
Allegheny County Hospital Development Health Series B, 6.50% due 5/1/2012 (South Hills Health Systems Project) | Baa1/NR | 1,400,000 | 1,492,526 | |||||
Carbon County Industrial Development Authority Refunding, 6.65% due 5/1/2010 (Panther Creek Partners Project) | NR/BBB- | 1,580,000 | 1,703,967 | |||||
Lancaster County Capital Appreciation Series B, 0% due 5/1/2014 (Insured: FGIC) | Aaa/NR | 795,000 | 531,744 | |||||
Lancaster County Capital Appreciation Series B, 0% due 5/1/2015 (Insured: FGIC) | Aaa/NR | 800,000 | 502,744 | |||||
Lehigh County General Purpose Shepard Rehab. Hospital, 6.00% due 11/15/2007 (Insured: AMBAC) | Aaa/AAA | 785,000 | 841,465 | |||||
Pennsylvania Higher Education University Series 14, 0% due 7/1/2020 (Insured: AMBAC) | Aaa/AAA | 2,032,839 | 661,404 | |||||
Pennsylvania State Higher Educational Facility Allegheny Delaware Valley Obligation A, 5.60% due 11/15/2009 (Insured: MBIA) | Aaa/AAA | 500,000 | 540,220 | |||||
Pennsylvania State Higher Educational Facility Allegheny Delaware Valley Obligation A, 5.60% due 11/15/2010 (Insured: MBIA) | Aaa/AAA | 480,000 | 523,344 | |||||
Philadelphia Hospital & High Education Health Systems, 5.25% due 5/15/2006 | Aaa/AAA | 3,025,000 | 3,107,280 | |||||
Philadelphia Hospital Authority Revenue, 9.875% due 7/1/2010 pre-refunded 7/1/2005 (United Hospitals Inc. Project) | Aaa/NR | 1,150,000 | 1,171,321 | |||||
RHODE ISLAND — 1.24% | ||||||||
Providence Series C, 5.50% due 1/15/2011 (Insured: FGIC) | Aaa/AAA | 1,840,000 | 2,025,656 | |||||
Rhode Island Health & Education Building Hospital Financing, 5.25% due 7/1/2015 (Memorial Hospital Project; LOC: Fleet Bank) | NR/AA | 1,325,000 | 1,385,327 | |||||
Rhode Island Health & Education Building Refunding, 6.00% due 8/1/2014 (Credit Support: FHA) | NR/AAA | 1,000,000 | 1,082,540 | |||||
Rhode Island Health & Education Building Refunding Higher Education State University, 5.00% due 3/15/2014 (Insured: Radian) | NR/AA | 1,065,000 | 1,119,017 | |||||
SOUTH CAROLINA — 0.71% | ||||||||
Darlington County Industrial Development, 6.00% due 4/1/2026 (Sonoco Products Co. Project) | A3/A- | 3,100,000 | 3,217,924 | |||||
SOUTH DAKOTA — 0.23% | ||||||||
South Dakota Housing Development Authority Homeownership Series B, 4.85% due 5/1/2009 | Aa1/AAA | 1,000,000 | 1,040,910 | |||||
TENNESSEE — 0.45% | ||||||||
Knox County Health, 4.90% due 6/1/2031 put 6/1/2011 (Collateralized: FNMA) | NR/AAA | 2,000,000 | 2,045,460 | |||||
TEXAS — 15.88% | ||||||||
Bexar County Health Facilities Development Corp., 6.125% due 7/1/2022 (Army Retirement Residence Project) | NR/BBB- | 1,250,000 | 1,318,500 |
Certified Semi-Annual Report 21
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’ s/S&P | Principal Amount | Value | |||||
Bexar County Housing Finance Corp., 5.50% due 1/1/2016 (Insured: MBIA) | Aaa/NR | $ | 600,000 | $ | 641,556 | |||
Bexar County Housing Finance Corp., 5.70% due 1/1/2021 (Insured: MBIA) | Aaa/NR | 1,035,000 | 1,104,407 | |||||
Bexar County Housing Finance Corp., 6.50% due 12/1/2021 | A3/NR | 2,000,000 | 2,015,560 | |||||
Bexar County Housing Finance Corp. Multi Family Housing, 5.40% due 8/1/2012 | Aaa/NR | 1,120,000 | 1,163,154 | |||||
Bexar County Housing Finance Corp. Multi Family Housing, 5.95% due 8/1/2020 | Aaa/NR | 1,270,000 | 1,371,613 | |||||
Bexar County Housing Finance Corp. Series A, 5.875% due 4/1/2014 | Aaa/NR | 975,000 | 1,023,282 | |||||
Bexar County Housing Finance Corp. Series A, 6.125% due 4/1/2020 | Aaa/NR | 800,000 | 841,136 | |||||
Birdville Independent School District Refunding, 0% due 2/15/2013 (Guaranty: PSF) | Aaa/AAA | 2,800,000 | 2,108,540 | |||||
Brazos River Authority TXU Energy Pollution Control Revenue, 5.05% due 6/1/2030 put 6/19/2006 | Baa2/BBB | 2,040,000 | 2,076,679 | |||||
Carroll Independent School District Capital Appreciation Refunding, 0% due 2/15/2011 (Guaranty: PSF) | Aaa/AAA | 1,130,000 | 875,388 | |||||
Central Regional Mobility Authority Anticipation Notes, 5.00% due 1/1/2008 | Aa3/AA | 1,100,000 | 1,151,084 | |||||
Coppell Independent School District Capital Appreciation Refunding, 0% due 8/15/2013 (Guaranty: PSF) | NR/AAA | 5,000,000 | 3,309,200 | |||||
De Soto Independent School District Refunding, 5.125% due 8/15/2017 (Guaranty: PSF) | NR/AAA | 1,100,000 | 1,101,793 | |||||
Duncanville Independent School District Capital Appreciation Refunding Series B, 0% due 2/15/2016 (Guaranty: PSF) | Aaa/AAA | 3,000,000 | 1,720,950 | |||||
El Paso Independent School District Capital Appreciation Refunding, 0% due 8/15/2010 (Guaranty: PSF) | Aaa/AAA | 3,750,000 | 2,976,750 | |||||
El Paso Independent School District Capital Appreciation Refunding, 0% due 8/15/2011 (Guaranty: PSF) | Aaa/AAA | 2,500,000 | 1,863,800 | |||||
Ennis Independent School District Refunding, 0% due 8/15/2012 (Guaranty: PSF) | Aaa/NR | 2,460,000 | 1,780,892 | |||||
Ennis Independent School District Refunding, 0% due 8/15/2013 (Guaranty: PSF) | Aaa/NR | 2,490,000 | 1,705,575 | |||||
Ennis Independent School District Refunding, 0% due 8/15/2014 (Guaranty: PSF) | Aaa/NR | 2,525,000 | 1,632,337 | |||||
Fort Worth Water & Sewer Revenue, 5.25% due 2/15/2009 | Aa2/AA | 1,000,000 | 1,072,560 | |||||
Gulf Coast Center Revenue, 6.75% due 9/1/2020 (Mental Health Retardation Center Project) | NR/BBB+ | 1,320,000 | 1,408,084 | |||||
Hays Consolidated Independent School District Capital Appreciation, 0% due 8/15/2013 pre-refunded 8/15/2011 (Guaranty: PSF) | Aaa/AAA | 6,245,000 | 4,398,353 | |||||
Irving Hospital Authority Series B, 5.80% due 7/1/2009 (Irving Healthcare Systems Project; Insured: FSA) | Aaa/AAA | 470,000 | 473,628 | |||||
Irving Waterworks & Sewer Revenue Refunding & Improvement, 5.375% due 8/15/2014 | Aa2/AA | 1,500,000 | 1,625,880 | |||||
Laredo Sports Venue Sales Refunding & Improvement, 5.00% due 3/15/2018 (Insured: AMBAC) | 2,040,000 | 2,156,321 | ||||||
Mesquite Independent School District Refunding, 0% due 8/15/2012 (Guaranty: PSF) | NR/AAA | 1,420,000 | 1,021,647 | |||||
Midlothian Independent School District Capital Appreciation Refunding, 0% due 2/15/2012 (Guaranty: PSF) | Aaa/NR | 1,000,000 | 753,050 | |||||
Midtown Redevelopment Authority Tax, 6.00% due 1/1/2012 (Insured: Radian) | NR/AA | 735,000 | 805,839 | |||||
Midtown Redevelopment Authority Tax, 6.00% due 1/1/2013 (Insured: Radian) | NR/AA | 500,000 | 545,250 | |||||
Pharr San Juan Alamo Independent Building, 5.75% due 2/1/2013 (Guaranty: PSF) | Aaa/AAA | 1,000,000 | 1,092,360 | |||||
Sabine River Authority Texas Pollution Refunding Series A, 5.80% due 7/1/2022 (TXU Energy Co. Project) | Baa2/BBB | 1,000,000 | 1,070,430 | |||||
Sam Rayburn Municipal Power Agency Refunding, 6.00% due 10/1/2016 | Baa2/BBB- | 3,000,000 | 3,267,840 | |||||
San Antonio Hotel Occupancy Revenue Refunding Series B, 5.00% due 8/15/2034 put 8/1/2008 (Insured: AMBAC) | Aaa/AAA | 1,150,000 | 1,212,917 | |||||
Stafford Economic Development, 6.00% due 9/1/2017 (Insured: FGIC) | Aaa/AAA | 1,775,000 | 2,048,741 | |||||
Tarrant County Health Facilities, 6.625% due 11/15/2020 (Adventist/Sunbelt Project) | A2/A | 3,500,000 | 3,843,665 | |||||
Texarkana Health Facilities Hospital Refunding Series A, 5.75% due 10/1/2009 (Wadley Regional Medical Center Project; Insured: MBIA) | Aaa/AAA | 500,000 | 546,250 | |||||
Texarkana Health Facilities Hospital Refunding Series A, 5.75% due 10/1/2011 (Insured: MBIA) | Aaa/AAA | 2,500,000 | 2,782,250 | |||||
Travis County GO, 5.25% due 3/1/2021 | Aaa/AAA | 1,000,000 | 1,082,970 |
22 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Travis County Health Facilities Development Series A, 5.75% due 11/15/2010 (Ascension Health Project; Insured: MBIA) | Aaa/AAA | $ | 2,000,000 | $ | 2,196,680 | |||
Travis County Health Facilities Development Series A, 6.25% due 11/15/2014 pre-refunded 11/15/2009 (Ascension Health Project; Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,391,140 | |||||
Upper Trinity Regional Water District Regional Treated Water Supply Systems Series A, 7.125% due 8/1/2008 (Insured: FGIC) | Aaa/AAA | 600,000 | 664,122 | |||||
Waco Health Facilities Development Corp. Series A, 6.00% due 11/15/2015 pre-refunded 11/15/2009 (Ascension Health Project) | Aa2/AA | 870,000 | 976,584 | |||||
Waco Health Facilities Development Corp. Series A, 6.00% due 11/15/2016 pre-refunded 11/15/2009 (Ascension Health Project) | Aa2/AA | 1,050,000 | 1,178,636 | |||||
West Harris County Municipal Utility Refunding, 6.00% due 3/1/2017 (Insured: Radian) | NR/AA | 500,000 | 531,360 | |||||
UTAH — 1.01% | ||||||||
Salt Lake City Municipal Building Series B, 5.30% due 10/15/2012 (Insured: AMBAC) | Aaa/AAA | 1,085,000 | 1,174,198 | |||||
Utah Board Regents Auxiliary Refunding Series A, 5.25% due 5/1/2013 | NR/AA | 595,000 | 642,862 | |||||
Utah County Municipal Building Authority, 5.50% due 11/1/2016 (Insured: AMBAC) | Aaa/NR | 1,000,000 | 1,098,160 | |||||
Utah Housing Finance Agency, 6.05% due 7/1/2016 (Credit Support: FHA) | NR/AAA | 520,000 | 542,817 | |||||
Utah Housing Finance Agency SFMR D-2 Class I, 5.85% due 7/1/2015 | Aa2/AA | 105,000 | 105,530 | |||||
Utah Water Finance Agency Revenue Pooled Loan Financing Program Series A, 5.00% due 10/1/2012 (Insured: AMBAC) | Aaa/NR | 940,000 | 1,011,741 | |||||
VIRGINIA — 2.91% | ||||||||
Alexandria Industrial Development Authority, 5.90% due 10/1/2020 (Insured: AMBAC) | Aaa/AAA | 2,000,000 | 2,236,680 | |||||
Alexandria Industrial Development Authority Institute For Defense Analyses Series A, 6.00% due 10/1/2014 (Insured: AMBAC) | Aaa/AAA | 1,500,000 | 1,691,310 | |||||
Alexandria Industrial Development Authority Institute For Defense Analyses Series A, 6.00% due 10/1/2015 (Insured: AMBAC) | Aaa/AAA | 1,590,000 | 1,794,490 | |||||
Arlington County Industrial Development, 6.30% due 7/1/2016 pre-refunded 7/1/2005 | NR/A | 500,000 | 514,830 | |||||
Fauquier County Industrial Development Authority, 5.50% due 10/1/2016 (Insured: Radian) | NR/AA | 1,000,000 | 1,086,070 | |||||
Hanover County Industrial Development Authority Medical Facilities Revenue, 6.00% due 10/1/2021 (ETM) | Aaa/AAA | 795,000 | 795,079 | |||||
Norfolk Industrial Development Authority Lease, 5.625% due 9/15/2017 (Norfolk Public Health Center Project) | Aa1/AA+ | 1,000,000 | 1,038,720 | |||||
Norton Industrial Development Authority Hospital Refunding, 6.00% due 12/1/2014 (Norton Community Hospital Project; Insured: ACA) | NR/A | 1,635,000 | 1,787,235 | |||||
Spotsylvania County Industrial Development, 6.00% due 9/1/2019 put 9/1/2008 (Walter Grinders Project; LOC: Deutsche Bank) | NR/NR | 2,210,000 | 2,249,891 | |||||
WASHINGTON — 6.49% | ||||||||
Benton County Public Utility District Refunding Series A, 5.625% due 11/1/2012 (Insured: FSA) | Aaa/AAA | 1,500,000 | 1,660,185 | |||||
Chelan County Public Utility District Refunding Series B, 4.50% due 7/1/2005 (Chelan Hydro Electric Project; Insured: FGIC) | Aaa/AAA | 940,000 | 945,057 | |||||
Energy Northwest Washington Series A, 5.60% due 7/1/2015 pre-refunded 1/1/2007 (Wind Project) | A3/A- | 1,000,000 | 1,072,070 | |||||
Energy Northwest Washington Series B, 5.10% due 7/1/2009 pre-refunded 1/1/2007 (Wind Project) | A3/A- | 745,000 | 792,397 | |||||
Grant County Public Utility District-2 Wanapum Hydro Electric Revenue Series C, 6.00% due 1/1/2006 (Insured: AMBAC) | Aaa/AAA | 145,000 | 148,631 | |||||
Snohomish County Public Utility 001 Systems Notes, 5.00% due 12/1/2005 | A1/SP-1+ | 500,000 | 508,030 | |||||
Spokane County School District GO, 0% due 6/1/2019 (Insured: MBIA) | Aaa/AAA | 1,240,000 | 1,060,336 | |||||
Tacoma Electric Systems Revenue Series A, 5.50% due 1/1/2012 (Insured: FSA) | Aaa/AAA | 750,000 | 822,923 | |||||
University of Washington Revenue Refunding, 5.25% due 8/15/2009 (University of Washington Medical Center Project; Insured: MBIA) | Aaa/AAA | 1,350,000 | 1,446,647 | |||||
Vancouver Downtown Redevelopment Senior Series A, 5.50% due 1/1/2018 (Conference Center Project; Insured: ACA) | NR/A | 3,500,000 | 3,673,110 | |||||
Washington Health Care Facilities, 5.50% due 12/1/2010 (Insured: MBIA) | Aaa/AAA | 2,690,000 | 2,926,397 |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | ||||||
Washington Health Care Facilities, 6.00% due 12/1/2014 (Insured: MBIA) | Aaa/AAA | $ | 1,735,000 | $ | 1,935,965 | ||||
Washington Health Care Facilities, 6.00% due 12/1/2015 (Insured: MBIA) | Aaa/AAA | 1,945,000 | 2,158,969 | ||||||
Washington Health Care Facilities Refunding, 6.375% due 10/1/2010 (Insured: FGIC) | Aaa/AAA | 1,500,000 | 1,701,225 | ||||||
Washington Health Care Facilities Sea Mar Community Health Center, 5.60% due 1/1/2018 (LOC: U.S. Bancorp) | Aa1/NR | 1,025,000 | 1,086,992 | ||||||
Washington Nonprofit Housing, 5.60% due 7/1/2011 (Kline Galland Center Project; Insured: Radian) | NR/AA | 500,000 | 535,985 | ||||||
Washington Nonprofit Housing, 5.875% due 7/1/2019 (Kline Galland Center Project; Insured: Radian) | NR/AA | 1,000,000 | 1,083,850 | ||||||
Washington Public Power Supply Capital Appreciation Refunding Series B, 0% due 7/1/2011 | Aaa/AA- | 1,000,000 | 771,690 | ||||||
Washington Public Power Supply Refunding Series A, 5.00% due 7/1/2011 (Insured: FSA) | Aaa/AAA | 3,030,000 | 3,214,739 | ||||||
Washington Public Power Supply System, 0% due 7/1/2010 (Project 3) | Aaa/AA- | 960,000 | 779,376 | ||||||
Washington State Multi Family Mortgage Revenue, 6.30% due 1/1/2021 put 1/1/2011 (LOC: US Bank N.A.) | NR/AA- | 1,000,000 | 1,068,810 | ||||||
WEST VIRGINIA — 0.22% | |||||||||
Marshall County Pollution Control, 5.90% due 4/1/2022 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,019,700 | ||||||
WISCONSIN — 1.40% | |||||||||
Bass Lake PCRB, 6.50% due 4/1/2005 (Johnson Timber Corp. Project; Guaranty: SBA) | Aaa/NR | 60,000 | 60,000 | ||||||
Wisconsin Health & Educational Facilities, 5.75% due 8/15/2020 (Eagle River Memorial Hospital Inc. Project; Insured: Radian) | NR/AA | 1,000,000 | 1,079,720 | ||||||
Wisconsin Housing & Economic Development Housing Series A, 5.875% due 11/1/2016 (Insured: AMBAC) | Aaa/AAA | 1,980,000 | 2,100,087 | ||||||
Wisconsin State Health & Educational Facilities Hospital Sisters Services Inc., 4.50% due 12/1/2023 put 12/1/2007 (Insured: FSA) | Aaa/NR | 3,000,000 | 3,098,190 | ||||||
TOTAL INVESTMENTS — 100.58% (COST $436,575,616) | $ | 455,577,512 | |||||||
LIABILITIES NET OF OTHER ASSETS — (0.58)% | (2,611,336 | ) | |||||||
NET ASSETS — 100.00% | $ | 452,966,176 | |||||||
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Footnote Legend
See notes to financial statements.
† | Credit ratings are unaudited. Rating changes may have occurred prior to or subsequent to the reporting period end. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ACA | Insured by American Capital Access | |
AMBAC | Insured by American Municipal Bond Assurance Corp. | |
COP | Certificates of Participation | |
ETM | Escrowed to Maturity | |
FGIC | Insured by Financial Guaranty Insurance Co. | |
FHA | Insured by Federal Housing Administration | |
FNMA | Collateralized by Federal National Mortgage Association | |
FSA | Insured by Financial Security Assurance Co. | |
GNMA | Insured by Government National Mortgage Co. | |
GO | General Obligation | |
MBIA | Insured by Municipal Bond Investors Assurance | |
PCRB | Pollution Control Revenue Bond | |
PSF | Guaranteed by Permanent School Fund | |
RADIAN | Insured by Radian Asset Assurance | |
SBA | Small Business Administration | |
SFMR | Single Family Mortgage Revenue Bond | |
XLCA | Insured by XL Capital Assurance |
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EXPENSE EXAMPLE | ||
Thornburg Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
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 September 30, 2004 and held until March 31, 2005.
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 Account Value | Ending Account Value 3/31/05 | Expenses Paid During Period† 9/30/04-3/31/05 | |||||||
Class I Shares | |||||||||
Actual | $ | 1,000 | $ | 1,004.90 | $ | 3.34 | |||
Hypothetical* | $ | 1,000 | $ | 1,021.60 | $ | 3.37 |
† | 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 182/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
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Thornburg Intermediate Municipal Fund
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 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.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files 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. The Fund’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, or may be reviewed and 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.
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Trustees’ Statement to Shareholders
February 8, 2005
The Trustees are concerned that recent commentaries and opinions reported in the media may confuse investors in general as to the supervisory duties of trustees of mutual funds and, in particular, leave Thornburg Investment Trust shareholders uncertain regarding how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. We decided to spell out clearly three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf.
We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.
Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders’ returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.
Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.
This statement is submitted for the general information of the shareholders of Thornburg Investment Trust. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money.
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Planning Options
Retirement and Education Accounts
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs – Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 70 1/2, even if you are covered by an employer retirement plan.
Roth IRAs – Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our web site at www.thornburg.com/ira.
SEP IRAs – Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employee’s SEP IRA on a discretionary basis.
SIMPLE IRAs – Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employee’s SIMPLE IRA. Employees may make salary deferral contributions.
403(b)
A special, tax-advantaged savings vehicle available only to employees of 501(c)(3) organizations, such as charitable, educational, scientific and religious organizations. 403(b) plans are also available to employees of public schools and universities.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
• | Thornburg International Value Fund |
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
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The Firm
Thornburg Investment Management is a privately held investment management company based in Santa Fe, New Mexico with assets under management of over $13 billion. Founded in 1982, the firm manages four equity funds, eight bond funds, and separate portfolios for select institutions and individuals.
Investment Philosophy
We seek to preserve and increase the real wealth of the Funds’ shareholders after accounting for inflation, taxes, and investment expenses. We’re committed to disciplined investing and controlling risk in all market environments through laddered bond and focused equity portfolios.
Portfolio Holdings Disclosure
We believe you should know what is in your portfolio. Our web site keeps investors informed of the Funds’ equity holdings. Go to www.thornburg.com/funds for portfolio manager commentary on our equity fund holdings.
Co-Ownership of Funds
We invest side-by-side with the Funds’ shareholders. Our employees have invested over $100 million in Thornburg Funds.
Core Strategies for Building Wealth
We deliver core strategies to help investors meet long-term goals. A core strategy is a consistent, disciplined and proven investment process that represents the foundation of a diversified portfolio.
INVESTMENT MANAGER
Thornburg Investment Management, Inc.
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
PRINCIPAL UNDERWRITER
Thornburg Securities Corporation
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
www.thornburg.com
Table of Contents
This report and the accompanying brochure are submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/ download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money. Performance data quoted represents past performance and does not guarantee future results.
Core Strategies for Building Wealth
Thornburg New Mexico Intermediate Municipal Fund
Semi-Annual Report – March 31, 2005
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Thornburg New Mexico Intermediate Municipal Fund
Laddering – an All Weather Strategy
The Fund’s investment objective is to obtain as high a level of current income exempt from Federal income tax as is consistent with preservation of capital.
This Fund offers New Mexico investors double tax-free yields (may be subject to Alternative Minimum Tax) in a laddered municipal bond portfolio with an average maturity of ten years or less. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio matures each year; cash from maturing bonds, if not needed for other purposes, is invested in bonds with longer maturities at the far end of the ladder. The strategy is a good compromise for managing different types of risk.
Thornburg Bond Funds
• | Thornburg Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term 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 invests in short- and intermediate-term investment grade bonds. We ladder the maturities of individual bonds in the portfolios to moderate risk. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio will mature each year. We apply this disciplined process in all interest rate environments.
Thornburg Equity Funds
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
Thornburg’s equity research uses a fundamental, yet comprehensive, analytical approach. We invest when and where we perceive the most compelling value. Thornburg equity funds focus on a limited number of securities so that each holding can have a material impact on performance. The equity team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic value.
More information at www.thornburg.com
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Thornburg New Mexico Intermediate Municipal Fund
March 31, 2005
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
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Important Information
Performance data quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate so that upon redemption, investor’s shares may be worth more or less than their original cost. Current performance may be lower or higher than the data quoted. For performance data current to the most recent month end, visit www.thornburg.com.
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).
Shares in the Fund carry risks, including possible loss of principal. As with direct bond ownership, Funds that invest in bonds are subject to certain risks including interest-rate risk, credit risk, and inflation risk. The principal value of bond funds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Shares in the fund are not deposits or obligations of, or guaranteed or endorsed by, any bank, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any government agency.
The information presented on the following pages was current as of March 31, 2005. 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 – Is a widely-accepted unmanaged market-weighted index comprised of fixed-rate, coupon bearing bonds issued within five years of the most recent month-end with greater than $50 million principal amount having a Moody’s investment grade rating and maturities of seven to twelve years.
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, sinking funds, 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.
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George Strickland
Portfolio Manager
April 15, 2005
Dear Fellow Shareholder:
I am pleased to present the Semi-Annual Report for the Thornburg New Mexico Intermediate Municipal Fund. The net asset value of the class A shares decreased by 22 cents to $13.18 during the six month period ending March 31, 2005. If you were with us for the entire period, you received dividends of 21.3 cents per share. If you reinvested dividends, you received 21.4 cents per share. Investors who owned class D shares received dividends of 19.6 and 19.8 cents per share, respectively.
Over the past six months, the municipal bond yield curve has flattened considerably. In other words, interest rates on short and intermediate bonds have risen, while the interest rates on long-term bonds have remained relatively unchanged. Since bond prices move in the opposite direction of yields, long-term bond prices have been relatively stable while short and intermediate bond prices have fallen. The class A shares of your Fund produced a total return of (0.06)% over the last six months, compared to a 0.16% return for the Merrill Lynch 7-12 Year Municipal Bond Index. We believe that the Fund underperformed the index because the Fund has a higher concentration of bonds that mature in less than seven years than the index. Over the last six months, longer-term bonds have generally enjoyed better performance than short-term bonds.
We are not surprised that short and intermediate bond yields have risen. The Federal Reserve has almost tripled the targeted Fed Funds rate in the last year and is expected to keep raising rates gradually. Producer prices are rising at a 4.7% rate (up from 2.1% a year ago). Consumer prices are rising at a 3.0% rate (up from 1.7%), and the U.S. economy is growing at a nominal rate (unadjusted for inflation) of 6.4%. We haven’t seen that kind of growth since the technology stock bubble burst in the first half of 2000.
We are, however, somewhat perplexed by the stability of long-term bond yields. Market participants may be expecting the economy to falter and inflation to subside this year. While that is certainly a possibility, we believe that the more likely scenario is that economic momentum continues and inflation stays in the 3-4% range. Such a scenario should lead to higher yields for long-term bonds.
New issue municipal bond supply unexpectedly surged 10.9% over the first quarter of last year to a record $96.6 billion. The increased supply showed up just as the government bond market weakened and helped create a buyer-friendly municipal bond market. With rates on intermediate municipal bonds rising by about 0.5% over the last couple of months, we have been finding better values in bonds that mature in the five to ten year range. Though we are still conservatively positioned relative to our long-term averages, we have recently extended the duration of the Fund slightly to 4.2 years. If rates continue to rise, we would expect to continue extending duration.
Your Thornburg New Mexico Intermediate Municipal Fund is a laddered portfolio of over 170 municipal obligations from all over New Mexico. Your Fund’s weighted average maturity is 7.12 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
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Letter to Shareholders
Continued |
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 from most bond mutual funds. It will be particularly useful if interest rates continue rising, 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 shown here describes the percentages of your Fund’s bond portfolio maturing in each of the coming years.
% of portfolio maturing | Cumulative % maturing | |||||||||||||||
2 years | = | 14.8 | % | Year 2 | = | 14.8 | % | |||||||||
2 to 4 years | = | 12.0 | % | Year 4 | = | 26.8 | % | |||||||||
4 to 6 years | = | 14.5 | % | Year 6 | = | 41.3 | % | |||||||||
6 to 8 years | = | 16.8 | % | Year 8 | = | 58.1 | % | |||||||||
8 to 10 years | = | 8.2 | % | Year 10 | = | 66.3 | % | |||||||||
10 to 12 years | = | 10.4 | % | Year 12 | = | 76.7 | % | |||||||||
12 to 14 years | = | 10.9 | % | Year 14 | = | 87.6 | % | |||||||||
14 to 16 years | = | 3.0 | % | Year 16 | = | 90.6 | % | |||||||||
16 to 18 years | = | 5.7 | % | Year 18 | = | 96.3 | % | |||||||||
Over 18 years | = | 3.7 | % | Over 18 years | = | 100 | % |
Percentages can and do vary. Data as of 3/31/05.
Thanks to a strong economy and high oil and gas prices, New Mexico state tax revenues were up 10% in 2004, despite a reduction in the state income tax rate. Total reserves are approximately $503 million, or about 12% of annual spending. Though personal income has been growing at twice the national rate, income per capita is still only 81% of the national average. New Mexico has recently increased the state debt load significantly, mostly to fund a transportation initiative. Tax supported debt levels are now approximately 70% above national averages when measured against personal income. To reduce credit risk, we have kept 93% of the portfolio in bonds rated A or above by at least one rating agency 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 |
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STATEMENT OF ASSETS AND LIABILITIES
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
ASSETS | ||||
Investments at value (cost $ 227,853,913) | $ | 233,158,544 | ||
Cash | 474,004 | |||
Receivable for fund shares sold | 278,031 | |||
Interest receivable | 2,837,245 | |||
Prepaid expenses and other assets | 3,149 | |||
Total Assets | 236,750,973 | |||
LIABILITIES | ||||
Payable for securities purchased | 5,052,968 | |||
Payable for fund shares redeemed | 1,632,764 | |||
Payable to investment advisor and other affiliates (Note 3) | 174,681 | |||
Accounts payable and accrued expenses | 43,933 | |||
Dividends payable | 225,754 | |||
Total Liabilities | 7,130,100 | |||
NET ASSETS | $ | 229,620,873 | ||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment gain (loss) | $ | (4,717 | ) | |
Net unrealized appreciation on investments | 5,304,631 | |||
Accumulated net realized gain (loss) | (1,058,367 | ) | ||
Net capital paid in on shares of beneficial interest | 225,379,326 | |||
$ | 229,620,873 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($213,319,371 applicable to 16,190,263 shares of beneficial interest outstanding - Note 4) | $ | 13.18 | ||
Maximum sales charge, 2.00% of offering price | 0.27 | |||
Maximum Offering Price Per Share | $ | 13.45 | ||
Class D Shares: | ||||
Net asset value, offering and redemption price per share * ($16,301,502 applicable to 1,236,624 shares of beneficial interest outstanding - Note 4) | $ | 13.18 | ||
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
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Thornburg New Mexico Intermediate Municipal Fund | Six Months Ended March 31, 2005 (Unaudited) |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $ 704,858) | $ | 4,762,589 | ||
Total Income | 4,762,589 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 568,115 | |||
Administration fees (Note 3) | ||||
Class A Shares | 132,267 | |||
Class D Shares | 9,761 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 264,535 | |||
Class D Shares | 78,289 | |||
Transfer agent fees | ||||
Class A Shares | 35,840 | |||
Class D Shares | 9,743 | |||
Registration and filing fees | ||||
Class A Shares | 345 | |||
Class D Shares | 354 | |||
Custodian fees (Note 3) | 54,687 | |||
Professional fees | 13,348 | |||
Accounting fees | 10,824 | |||
Trustee fees | 4,436 | |||
Other expenses | 32,327 | |||
Total Expenses | 1,214,871 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (19,931 | ) | ||
Distribution and service fees waived (Note 3) | (39,145 | ) | ||
Fees paid indirectly (Note 3) | (8,597 | ) | ||
Net Expenses | 1,147,198 | |||
Net Investment Income | 3,615,391 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments | 45,562 | |||
45,562 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (3,967,644 | ) | ||
(3,967,644 | ) | |||
Net Realized and Unrealized Loss | (3,922,082 | ) | ||
Net Decrease in Net Assets Resulting From Operations | $ | (306,691 | ) | |
See notes to financial statements.
8 Certified Semi-Annual Report |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg New Mexico Intermediate Municipal Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income gain | $ | 3,615,391 | $ | 7,737,512 | ||||
Net realized gain on investments | 45,562 | 75,537 | ||||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments | (3,967,644 | ) | (1,318,602 | ) | ||||
Net Increase (Decrease) in Net Assets | ||||||||
Resulting from Operations | (306,691 | ) | 6,494,447 | |||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (3,385,318 | ) | (7,294,556 | ) | ||||
Class D Shares | (230,073 | ) | (442,956 | ) | ||||
FUND SHARE TRANSACTIONS - (Note 4) | ||||||||
Class A Shares | 8,526,266 | (7,201,734 | ) | |||||
Class D Shares | 2,530,102 | (492,776 | ) | |||||
Net Increase (Decrease) in Net Assets | 7,134,286 | (8,937,575 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 222,486,587 | 231,424,162 | ||||||
End of period | $ | 229,620,873 | $ | 222,486,587 | ||||
See notes to financial statements.
Certified Semi-Annual Report 9 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
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, in the view of the Fund’s investment advisor, 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, 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 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, administration fees, and certain registration and transfer agent expenses.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Trust are as follows:
Valuation of Investments: In determining the net asset value, the Trust 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 Trust to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all taxable (if any) and tax exempt income, of the Fund, to the 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 and or market changes. At the time the Trust 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 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.
10 Certified Semi-Annual Report
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
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 period ended March 31, 2005, these fees were payable at annual rates ranging from .50 of 1% to .275 of 1% per annum of the average daily net assets of the Fund. The Trust 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% per annum of the average daily net assets attributable to each class of shares. For the period ended March 31, 2005, the Advisor voluntarily reimbursed certain class specific expenses and administrative fees of $11,769 for Class A and $8,162 for Class D shares.
The Trust 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 period ended March 31, 2005, the Distributor has advised the Fund that it refunded net commissions aggregating $529 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 Trust 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% per annum 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 period ended March 31, 2005, are set forth in the Statement of Operations. Distribution fees in the amount of $39,145 were waived for Class D 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 March 31, 2005, fees paid indirectly were $8,597.
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.
Certified Semi-Annual Report 11 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
NOTE 4 - SHARES OF BENEFICIAL INTEREST
At March 31, 2005, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 1,851,702 | $ | 24,735,223 | 4,003,342 | $ | 53,491,206 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 153,028 | 2,039,422 | 325,601 | 4,347,760 | ||||||||||
Shares repurchased | (1,368,140 | ) | (18,248,379 | ) | (4,879,544 | ) | (65,040,700 | ) | ||||||
Net Increase (Decrease) | 636,590 | $ | 8,526,266 | (550,601 | ) | $ | (7,201,734 | ) | ||||||
Class D Shares | ||||||||||||||
Shares sold | 356,954 | $ | 4,774,398 | 486,049 | $ | 6,512,327 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 12,857 | 171,407 | 26,023 | 347,627 | ||||||||||
Shares repurchased | (181,180 | ) | (2,415,703 | ) | (552,559 | ) | (7,352,730 | ) | ||||||
Net Increase (Decrease) | 188,631 | $ | 2,530,102 | (40,487 | ) | $ | (492,776 | ) | ||||||
NOTE 5 – SECURITIES TRANSACTIONS
For the period ended March 31, 2005, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $24,879,585 and $3,821,443, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2005, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 227,855,246 | ||
Gross unrealized appreciation on a tax basis | $ | 5,915,837 | ||
Gross unrealized depreciation on a tax basis | (612,539 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 5,303,298 | ||
At March 31, 2005, 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: | |||
2006 | $ | 7,178 | |
2007 | 33,677 | ||
2008 | 595,638 | ||
2009 | 320,666 | ||
2011 | 145,437 | ||
$ | 1,102,596 | ||
12 Certified Semi-Annual Report |
Table of Contents
Thornburg New Mexico Intermediate Municipal Fund | (Unaudited)* |
* Six Months Ended 2005 | Year Ended September 30, | |||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||
Class A Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.40 | $ | 13.46 | $ | 13.42 | $ | 13.16 | $ | 12.85 | $ | 12.92 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.21 | 0.45 | 0.48 | 0.53 | 0.59 | 0.62 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.22 | ) | (0.06 | ) | 0.04 | 0.26 | 0.31 | (0.07 | ) | |||||||||||||||
Total from investment operations | (0.01 | ) | 0.39 | 0.52 | 0.79 | 0.90 | 0.55 | |||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.21 | ) | (0.45 | ) | (0.48 | ) | (0.53 | ) | (0.59 | ) | (0.62 | ) | ||||||||||||
Change in net asset value | (0.22 | ) | (0.06 | ) | 0.04 | 0.26 | 0.31 | (0.07 | ) | |||||||||||||||
NET ASSET VALUE, end of period | $ | 13.18 | $ | 13.40 | $ | 13.46 | $ | 13.42 | $ | 13.16 | $ | 12.85 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | (0.06 | )% | 3.00 | % | 3.93 | % | 6.16 | % | 7.12 | % | 4.36 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 3.20 | % (b) | 3.40 | % | 3.55 | % | 4.01 | % | 4.49 | % | 4.81 | % | ||||||||||||
Expenses, after expense reductions | 1.00 | % (b) | 0.96 | % | 0.97 | % | 0.98 | % | 1.01 | % | 0.99 | % | ||||||||||||
Expenses, after expense reductions and net of custody credits | 0.99 | % (b) | 0.96 | % | 0.97 | % | 0.98 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 1.01 | % (b) | 0.96 | % | 0.97 | % | 1.00 | % | 1.01 | % | 1.03 | % | ||||||||||||
Portfolio turnover rate | 1.76 | % | 14.66 | % | 16.53 | % | 21.35 | % | 18.77 | % | 30.23 | % | ||||||||||||
Net assets at end of period (000) | $ | 213,319 | $ | 208,435 | $ | 216,766 | $ | 192,749 | $ | 158,645 | $ | 147,279 |
(a) | Sales loads are not reflected in computing total return, which is not annualized for periods less than one year. |
(b) | Annualized. |
Certified Semi-Annual Report 13 |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg New Mexico Intermediate Municipal Fund | (Unaudited)* |
* Six Months Ended 2005 | Year Ended September 30, | |||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||
Class D Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.41 | $ | 13.47 | $ | 13.43 | $ | 13.16 | $ | 12.85 | $ | 12.93 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.20 | 0.42 | 0.44 | 0.49 | 0.55 | 0.58 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.23 | ) | (0.06 | ) | 0.04 | 0.27 | 0.31 | (0.08 | ) | |||||||||||||||
Total from investment operations | (0.03 | ) | 0.36 | 0.48 | 0.76 | 0.86 | 0.50 | |||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.20 | ) | (0.42 | ) | (0.44 | ) | (0.49 | ) | (0.55 | ) | (0.58 | ) | ||||||||||||
Change in net asset value | (0.23 | ) | (0.06 | ) | 0.04 | 0.27 | 0.31 | (0.08 | ) | |||||||||||||||
NET ASSET VALUE, end of period | $ | 13.18 | $ | 13.41 | $ | 13.47 | $ | 13.43 | $ | 13.16 | $ | 12.85 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA
Total return (a) | (0.26 | )% | 2.70 | % | 3.63 | % | 5.94 | % | 6.84 | % | 4.00 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 2.95 | % (b) | 3.11 | % | 3.24 | % | 3.64 | % | 4.23 | % | 4.55 | % | ||||||||||||
Expenses, after expense reductions | 1.25 | % (b) | 1.25 | % | 1.25 | % | 1.25 | % | 1.27 | % | 1.25 | % | ||||||||||||
Expenses, after expense reductions and net of custody credits | 1.24 | % (b) | 1.24 | % | 1.25 | % | 1.25 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 1.86 | % (b) | 1.83 | % | 1.88 | % | 2.00 | % | 2.40 | % | 2.73 | % | ||||||||||||
Portfolio turnover rate | 1.76 | % | 14.66 | % | 16.53 | % | 21.35 | % | 18.77 | % | 30.23 | % | ||||||||||||
Net assets at end of period (000) | $ | 16,302 | $ | 14,051 | $ | 14,658 | $ | 9,719 | $ | 2,831 | $ | 2,151 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
14 Certified Semi-Annual Report |
Table of Contents
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
CUSIPS: CLASS A - 885-215-301, CLASS D - 885-215-624
NASDAQ SYMBOLS: CLASS A - THNMX, CLASS D - THNDX
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Alamogordo Hospital Revenue, 5.30% due 1/1/2013 (Insured: Radian) | NR/AA | $ | 3,000,000 | $ | 3,087,810 | |||
Albuquerque Airport Revenue, 5.00% due 7/1/2007 (Insured:AMBAC) | Aaa/AAA | 1,000,000 | 1,039,390 | |||||
Albuquerque Airport Revenue Refunding, 4.20% due 7/1/2009 (Insured:AMBAC) | Aaa/AAA | 610,000 | 623,792 | |||||
Albuquerque Airport Revenue Senior Lien Improvement Series B, 5.00% due 7/1/2012 (Insured: MBIA) | Aaa/AAA | 1,670,000 | 1,760,130 | |||||
Albuquerque Airport Revenue Sub Lien, 2.28% due 7/1/2014 put 4/1/2005 (daily demand notes) | VMIG1/A-1 | 3,300,000 | 3,300,000 | |||||
Albuquerque Collateralized Mortgage Municipal Class B-2, 0% due 5/15/2011 (Insured: FGIC) | Aaa/AAA | 173,000 | 110,166 | |||||
Albuquerque Gross Receipts & Lodgers Tax, 2.30% due 7/1/2023 put 4/7/2005 (weekly demand notes) | VMIG1/A-1+ | 200,000 | 200,000 | |||||
Albuquerque Gross Receipts Series B, 0% due 7/1/2005 (ETM) | Aaa/AAA | 2,035,000 | 2,023,055 | |||||
Albuquerque Gross Receipts Series B, 0% due 7/1/2012 pre-refunded 7/1/2011 | Aaa/AAA | 1,775,000 | 1,346,426 | |||||
Albuquerque Gross Receipts Tax Revenue, 6.20% due 7/1/2005 | A1/AA | 50,000 | 50,157 | |||||
Albuquerque Gross Receipts Unrefunded Balance Series B, 0% due 7/1/2012 (Insured: FSA) | Aaa/AAA | 225,000 | 166,934 | |||||
Albuquerque Industrial Revenue Refunding, 5.15% due 4/1/2016 (MCT Industries Inc. Project; LOC: Bank of the West) | Aa3/NR | 1,170,000 | 1,207,136 | |||||
Albuquerque Industrial Revenue Refunding, 5.25% due 4/1/2017 (MCT Industries Inc. Project; LOC: Bank of the West) | Aa3/NR | 2,140,000 | 2,210,534 | |||||
Albuquerque Joint Water & Sewage Revenue Series A, 0% due 7/1/2008 (Insured: FGIC) | Aaa/AAA | 1,600,000 | 1,437,168 | |||||
Albuquerque Joint Water & Sewage Systems Revenue, 6.00% due 7/1/2006 | Aa3/AA | 1,500,000 | 1,559,805 | |||||
Albuquerque Joint Water & Sewage Systems Revenue, 4.75% due 7/1/2008 | Aa3/AA | 100,000 | 100,534 | |||||
Albuquerque Joint Water & Sewage Systems Revenue Refunding & Improvement Series A, 5.25% due 7/1/2011 | Aa3/AA | 1,135,000 | 1,242,235 | |||||
Albuquerque Municipal School District Number 12 Refunding, 5.00% due 8/1/2009 | Aa2/AA | 2,240,000 | 2,395,949 | |||||
Albuquerque Municipal School District Number 12 Refunding, 5.10% due 8/1/2014 | Aa2/AA | 760,000 | 800,918 | |||||
Albuquerque Municipal School District Number 12 Refunding, 5.00% due 8/1/2015 | Aa2/AA | 1,175,000 | 1,241,846 | |||||
Albuquerque Refuse Removal & Disposal Revenue Refunding Series B, 5.00% due 7/1/2010 (Insured: FSA) | Aaa/AAA | 415,000 | 446,245 | |||||
Albuquerque Refuse Removal & Disposal Revenue Refunding Series B, 5.00% due 7/1/2011 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,078,260 | |||||
Albuquerque Series B, 5.00% due 7/1/2006 | Aa3/AA | 2,200,000 | 2,261,974 | |||||
Albuquerque Special Assessment District Series A, 6.45% due 1/1/2015 (Cottonwood Mall Project; LOC: Bank of America) | NR/AA | 40,000 | 40,215 | |||||
Artesia Hospital District, 4.50% due 2/1/2008 | Aaa/NR | 810,000 | 845,437 | |||||
Belen Consolidated School District No 2 Ref Series A, 4.00% due 8/1/2007 (Insured: MBIA) | Aaa/NR | 1,000,000 | 1,024,000 | |||||
Belen Consolidated School District No 2 Ref Series A, 4.00% due 8/1/2008 (Insured: MBIA) | Aaa/NR | 1,000,000 | 1,028,680 | |||||
Belen Gasoline Tax Revenue Refunding & Improvement, 5.40% due 1/1/2011 | NR/NR | 585,000 | 609,512 | |||||
Bernalillo County GO, 7.00% due 2/1/2006 | Aa1/AA+ | 400,000 | 414,300 | |||||
Bernalillo County GO, 7.00% due 2/1/2007 | Aa1/AA+ | 410,000 | 439,758 | |||||
Bernalillo County Gross Receipts, 5.10% due 10/1/2010 | Aa3/AA | 525,000 | 561,272 | |||||
Bernalillo County Gross Receipts Series B, 5.00% due 4/1/2021 (Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,237,510 | |||||
Bernalillo County Gross Receipts Tax Revenue, 5.50% due 10/1/2011 | Aa3/AA | 495,000 | 536,105 | |||||
Bernalillo County Gross Receipts Tax Revenue, 5.25% due 10/1/2012 | Aa3/AA | 1,000,000 | 1,098,300 | |||||
Bernalillo County Gross Receipts Tax Revenue, 5.75% due 10/1/2015 | Aa3/AA | 2,000,000 | 2,183,260 | |||||
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- | 2,300,000 | 2,303,381 | |||||
Chaves County Gross Receipts Tax Revenue, 5.00% due 7/1/2017 (Insured: FGIC) | Aaa/NR | 1,000,000 | 1,053,370 | |||||
Chaves County Gross Receipts Tax Revenue, 5.05% due 7/1/2019 (Insured: FGIC) | Aaa/NR | 1,030,000 | 1,083,498 | |||||
Chaves County Gross Receipts Tax Revenue, 5.00% due 7/1/2021 (Insured; FGIC) | Aaa/NR | 2,170,000 | 2,258,319 | |||||
Cibola County Gross Receipts Tax Revenue, 5.875% due 11/1/2008 (Insured:AMBAC) | Aaa/AAA | 495,000 | 540,758 | |||||
Cibola County Gross Receipts Tax Revenue, 6.00% due 11/1/2010 (Insured:AMBAC) | Aaa/AAA | 555,000 | 625,185 | |||||
Eastern New Mexico University Revenues Refunding & Improvement, 4.95% due 4/1/2006 (Insured:AMBAC) | Aaa/AAA | 500,000 | 501,005 |
Certified Semi-Annual Report 15 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Farmington Hospital Revenue Series A, 5.125% due 6/1/2018 | A3/NR | $ | 570,000 | $ | 588,092 | |||
Farmington Hospital Revenue Series A, 5.125% due 6/1/2019 | A3/NR | 645,000 | 662,763 | |||||
Farmington Municipal School District 5 Refunding, 5.00% due 9/1/2011 (Insured: FSA) | Aaa/NR | 1,000,000 | 1,051,730 | |||||
Farmington Pollution Control Revenue, 5.875% due 6/1/2023 (Insured: MBIA) | Aaa/AAA | 1,740,000 | 1,750,318 | |||||
Farmington Pollution Control Revenue Refunding Series A, 3.55% due 4/1/2029 put 4/1/2010 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 992,980 | |||||
Farmington Pollution Control Revenue Refunding Series B, 2.28% due 9/1/2024 put 4/1/2005 (LOC: Barclays Bank) (daily demand notes) | P1/A-1+ | 1,250,000 | 1,250,000 | |||||
Farmington Pollution Control Revenue Series B, 2.28% due 9/1/2024 put 4/1/2005 (LOC: Barclays Bank) (daily demand notes) | P1/A-1+ | 1,400,000 | 1,400,000 | |||||
Farmington Utility Systems Revenue Refunding Series A, 5.00% due 5/15/2011 (Insured: FSA) | Aaa/AAA | 3,000,000 | 3,236,670 | |||||
Farmington Utility Systems Revenue Refunding Series A, 5.00% due 5/15/2012 (Insured: FSA) | Aaa/AAA | 6,095,000 | 6,526,343 | |||||
Gallup Pollution Control Revenue Refunding, 6.65% due 8/15/2017 (Plains Electric Generation Project; Insured: MBIA) | Aaa/AAA | 7,975,000 | 8,002,753 | |||||
Gallup Pollution Control Revenue Refunding Series 1992, 6.45% due 8/15/2006 (Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,504,740 | |||||
Grant County Hospital Facility Revenue, 5.50% due 8/1/2009 (Gila Regional Medical Center Project; Insured: Radian) | NR/AA | 1,310,000 | 1,404,464 | |||||
Grant County Hospital Facility Revenue, 5.50% due 8/1/2010 (Gila Regional Medical Center Project; Insured: Radian) | NR/AA | 1,385,000 | 1,497,143 | |||||
Las Cruces Gross Receipts Tax Revenue Refunding & Improvement, 5.00% due 6/1/2009 (Insured: MBIA) | Aaa/NR | 1,115,000 | 1,190,106 | |||||
Las Cruces Joint Utility Refunding & Improvement Revenue, 6.50% due 7/1/2007 (ETM) | A1/NR | 330,000 | 332,600 | |||||
Las Cruces School District 2, 5.50% due 8/1/2010 | Aa3/NR | 1,000,000 | 1,084,320 | |||||
Las Cruces School District 2 Refunding, 4.00% due 8/1/2007 | Aa3/NR | 2,600,000 | 2,662,400 | |||||
Los Alamos County Inc. Utility Systems Revenue Refunding Series A, 5.00% due 7/1/2006 (Insured: FSA) | Aaa/AAA | 1,425,000 | 1,464,786 | |||||
New Mexico Educational Assistance Foundation Revenue, 6.65% due 3/1/2007 | NR/NR | 975,000 | 977,935 | |||||
New Mexico Educational Assistance Foundation Series A 3, 4.95% due 3/1/2009 | NR/NR | 2,000,000 | 2,097,080 | |||||
New Mexico Educational Assistance Student Loan Series 2-B, 5.75% due 12/1/2008 | A/NR | 50,000 | 50,079 | |||||
New Mexico Finance Authority Revenue Court Facilities Fee, 5.00% due 6/15/2014 (Insured: MBIA) | Aaa/AAA | 1,295,000 | 1,375,989 | |||||
New Mexico Finance Authority Revenue Court Facilities Fee Revenue Series A, 5.50% due 6/15/2020 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,172,440 | |||||
New Mexico Finance Authority Revenue Federal Highway Grant Anticipation Series A, 4.10% due 9/1/2005 (Insured:AMBAC) | Aaa/AAA | 425,000 | 427,967 | |||||
New Mexico Finance Authority Revenue Refunding, 5.00% due 6/1/2014 (Public Project Revolving Fund B; Insured: MBIA) | Aaa/AAA | 2,660,000 | 2,857,611 | |||||
New Mexico Finance Authority Revenue Series A, 4.00% due 4/1/2010 (Cigarette Tax UNM Health Project; Insured: MBIA) | Aaa/AAA | 2,300,000 | 2,363,503 | |||||
New Mexico Finance Authority Revenue Series B-1, 5.25% due 6/1/2015 (Public Project; Insured:AMBAC) | Aaa/AAA | 1,000,000 | 1,092,910 | |||||
New Mexico Finance Authority Revenue Series C, 5.15% due 6/1/2012 (Insured: MBIA) | Aaa/AAA | 670,000 | 712,351 | |||||
New Mexico Finance Authority Revenue Series C, 5.25% due 6/1/2013 (Insured: MBIA) | Aaa/AAA | 130,000 | 138,758 | |||||
New Mexico Finance Authority Revenue Series C, 5.35% due 6/1/2014 (Insured: MBIA) | Aaa/AAA | 130,000 | 139,467 | |||||
New Mexico Finance Authority Revenue Series C, 5.45% due 6/1/2015 (Insured: MBIA) | Aaa/AAA | 145,000 | 155,634 | |||||
New Mexico Finance Authority Revenue State Office Building Tax Series A, 5.00% due 6/1/2012 | Aa1/AAA | 1,725,000 | 1,849,321 | |||||
New Mexico Finance Authority Revenue State Office Building Tax Series A, 5.00% due 6/1/2013 | Aa1/AAA | 1,325,000 | 1,415,418 |
16 Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
New Mexico Finance Authority Revenue State Office Building Tax Series A, 5.00% due 6/1/2014 | Aa1/AAA | $ | 1,875,000 | $ | 1,992,150 | |||
New Mexico Finance Authority State Transportation Series A, 5.00% due 6/15/2014 (Insured: MBIA) | Aaa/AAA | 2,100,000 | 2,279,130 | |||||
New Mexico Financial Authority Revenue Refunding Series C, 5.00% due 6/15/2013 (Insured: AMBAC) | Aaa/NR | 2,280,000 | 2,463,517 | |||||
New Mexico Financial Authority Revenue Refunding Series C, 5.00% due 6/15/2015 (Insured: AMBAC) | Aaa/NR | 2,360,000 | 2,550,263 | |||||
New Mexico Highway Commission Revenue Senior Subordinated Lien Tax Series A, 5.50% due 6/15/2013 pre-refunded 6/15/2011 | Aa2/AA+ | 2,000,000 | 2,195,420 | |||||
New Mexico Highway Commission Revenue Senior Subordinated Lien Tax Series A, 5.50% due 6/15/2014 | Aa2/AA+ | 2,000,000 | 2,192,520 | |||||
New Mexico Highway Commission Tax Revenue, 5.125% due 6/15/2010 | Aa2/AA+ | 4,355,000 | 4,586,120 | |||||
New Mexico Highway Commission Tax Senior Subordinated Lien, 6.00% due 6/15/2011 pre-refunded 6/15/2009 | Aa2/AA+ | 5,000,000 | 5,539,250 | |||||
New Mexico Hospital Equipment Loan, 5.20% due 12/1/2010 pre-refunded 12/1/2007 (Catholic Health Initiatives Project) | NR/AA | 1,140,000 | 1,214,510 | |||||
New Mexico Hospital Equipment Loan Series A, 5.75% due 8/1/2016 (Presbyterian Healthcare Project) | Aa3/A+ | 5,205,000 | 5,643,886 | |||||
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 | 1,160,000 | 1,203,836 | |||||
New Mexico MFA Forward Mortgage Series C, 6.50% due 7/1/2025 (Collateralized: FNMA/GNMA) | NR/NR | 395,000 | 397,895 | |||||
New Mexico MFA General, 5.80% due 9/1/2019 | NR/A+ | 775,000 | 817,579 | |||||
New Mexico MFA SFMR, 5.70% due 9/1/2014 (Collateralized: FNMA/GNMA) | NR/AAA | 135,000 | 136,187 | |||||
New Mexico MFA SFMR, 5.75% due 3/1/2017 (Collateralized: FNMA/GNMA) | NR/AAA | 365,000 | 368,267 | |||||
New Mexico MFA SFMR, 0% due 9/1/2019 (GIC: Bayerisch Landesbank) | NR/AAA | 455,000 | 346,282 | |||||
New Mexico MFA SFMR Series 1992 A1, 6.90% due 7/1/2008 (Collateralized: FNMA/GNMA) | NR/AAA | 150,000 | 153,276 | |||||
New Mexico MFA SFMR Series A3, 6.15% due 9/1/2017 (Collateralized: FNMA/GNMA) | NR/AAA | 130,000 | 131,334 | |||||
New Mexico MFA SFMR Series B2, 5.80% due 1/1/2009 (Collateralized: FNMA/GNMA) | NR/AAA | 45,000 | 45,381 | |||||
New Mexico MFA SFMR Series B2, 5.80% due 7/1/2009 (Collateralized: FNMA/GNMA) | NR/AAA | 30,000 | 30,280 | |||||
New Mexico MFA SFMR Series B3, 5.80% due 9/1/2016 (Collateralized: FNMA/GNMA) | NR/AAA | 350,000 | 372,302 | |||||
New Mexico MFA SFMR Series C2, 6.05% due 9/1/2021 (Collateralized: FNMA/GNMA) | NR/AAA | 535,000 | 560,883 | |||||
New Mexico MFA SFMR Series D2, 5.875% due 9/1/2021 (Collateralized: FNMA/GNMA) | NR/AAA | 790,000 | 821,158 | |||||
New Mexico MFA SFMR Series H, 5.45% due 1/1/2006 (Collateralized: FNMA/GNMA) | NR/AAA | 170,000 | 172,735 | |||||
New Mexico MFA SFMR Series H, 5.45% due 7/1/2006 (Collateralized: FNMA/GNMA) | NR/AAA | 175,000 | 179,508 | |||||
New Mexico MFA Single Family Series E2, 5.875% due 9/1/2020 | NR/AAA | 420,000 | 450,248 | |||||
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 | 1,000,000 | 1,039,050 | |||||
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 | 1,910,000 | 1,984,586 | |||||
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 | 2,785,000 | 2,893,754 | |||||
New Mexico Mortgage Finance Multi Family Series A, 6.05% due 7/1/2028 (Sandpiper Apartments Project; Insured: FHA) | NR/AAA | 2,335,000 | 2,457,074 | |||||
New Mexico State, 4.00% due 9/1/2005 | Aa1/AA+ | 8,000,000 | 8,054,080 | |||||
New Mexico State Highway Commission Revenue Infrastructure Senior Subordinated Lien C, 5.00% due 6/15/2012 | Aa2/AA+ | 1,000,000 | 1,073,270 | |||||
New Mexico State Highway Commission Tax Revenue Senior Subordinated Lien, 5.75% due 6/15/2009 | Aa2/AA+ | 1,095,000 | 1,202,058 | |||||
New Mexico State Highway Commission Tax Series A, 5.00% due 6/15/2010 (ETM) | Aa2/AA+ | 255,000 | 274,390 | |||||
New Mexico State Highway Commission Tax Series A, 5.00% due 6/15/2010 | Aa2/AA+ | 245,000 | 263,110 | |||||
New Mexico State Hospital Equipment Loan Council Hospital Revenue Series A, 4.80% due 8/1/2010 (Presbyterian Healthcare Project) | Aa3/A+ | 500,000 | 521,995 | |||||
New Mexico State Refunding Series B, 5.00% due 9/1/2006 | Aa1/AA+ | 650,000 | 670,534 |
Certified Semi-Annual Report 17 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
New Mexico State Severance Tax, 5.00% due 7/1/2007 | Aa2/AA | $ | 1,475,000 | $ | 1,540,947 | |||
New Mexico State Severance Tax Refunding Series A, 5.00% due 7/1/2007 | Aa2/AA | 1,645,000 | 1,718,548 | |||||
New Mexico State Severance Tax Refunding Series A, 5.00% due 7/1/2008 | Aa2/AA | 675,000 | 702,783 | |||||
New Mexico State Severance Tax Refunding Series A, 5.00% due 7/1/2009 | Aa2/AA | 2,500,000 | 2,669,175 | |||||
New Mexico State Supplemental Severance Series A, 5.00% due 7/1/2011 | Aa3/A+ | 1,000,000 | 1,038,730 | |||||
New Mexico State University Revenues Refunding & Improvement, 4.00% due 4/1/2006 (Insured: FSA) | Aaa/AAA | 1,260,000 | 1,276,556 | |||||
New Mexico State University Revenues Refunding & Improvement, 5.00% due 4/1/2013 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,081,400 | |||||
New Mexico Supplemental Severance Series A, 5.00% due 7/1/2008 | Aa3/A+ | 5,000,000 | 5,196,950 | |||||
Otero County Refunding, 4.00% due 8/1/2005 (Insured: MBIA) | Aaa/NR | 570,000 | 573,072 | |||||
Puerto Rico Commonwealth Refunding Series B, 1.70% due 7/1/2029 put 4/1/2005 (Insured: FGIC) (daily demand notes) | Aaa/AAA | 1,800,000 | 1,800,000 | |||||
Puerto Rico Public Buildings Authority Revenue Refunding Government Facilities Series F, 5.25% due 7/1/2019 (Insured: XLCA) | Aaa/AAA | 1,000,000 | 1,112,810 | |||||
Rio Rancho Water & Wastewater System, 6.50% due 5/15/2006 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,041,420 | |||||
Rio Rancho Water & Wastewater System, 5.25% due 5/15/2007 (Insured:AMBAC) | NR/AAA | 1,695,000 | 1,776,174 | |||||
Ruidoso Municipal School District 3, 6.35% due 8/1/2006 (Insured: FSA) | Aaa/AAA | 250,000 | 262,018 | |||||
San Juan County Gasoline Tax/Motor Vehicle Revenue Refunding & Improvement, 5.25% due 5/15/2014 | A1/NR | 400,000 | 431,476 | |||||
San Juan County Gasoline Tax/Motor Vehicle Revenue Refunding & Improvement, 5.25% due 5/15/2022 | A1/NR | 1,725,000 | 1,816,908 | |||||
San Juan County Gross Receipts, 5.30% due 9/15/2009 | A1/NR | 500,000 | 524,830 | |||||
San Juan County Gross Receipts Tax Revenue Senior Series B, 5.50% due 9/15/2016 (Insured: AMBAC) | Aaa/AAA | 1,180,000 | 1,298,696 | |||||
San Juan County Gross Receipts Tax Revenue Subordinated Series A, 5.75% due 9/15/2021 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,113,200 | |||||
Sandoval County Incentive Payment, 4.25% due 12/1/2006 | NR/SP-1+ | 2,000,000 | 2,045,660 | |||||
Sandoval County Landfill Revenue, 5.70% due 7/15/2013 pre-refunded 7/15/2005 | NR/NR | 400,000 | 405,080 | |||||
Sandoval County Landfill Revenue Refunding & Improvement, 5.50% due 8/15/2015 | Baa2/NR | 1,420,000 | 1,472,313 | |||||
Sandoval County Landfill Revenue Refunding & Improvement, 5.75% due 8/15/2018 | Baa2/NR | 1,335,000 | 1,393,874 | |||||
Sandoval County Revenue Refunding Series B, 5.75% due 2/1/2010 (Intel Project) | NR/A+ | 840,000 | 861,210 | |||||
Santa Fe County, 5.00% due 7/1/2007 (Insured: MBIA) | Aaa/NR | 640,000 | 656,832 | |||||
Santa Fe County, 5.00% due 7/1/2008 (Insured: MBIA) | Aaa/NR | 785,000 | 805,646 | |||||
Santa Fe County, 7.25% due 7/1/2029 (Rancho Viejo Improvement District Project) | NR/NR | 1,875,000 | 1,980,600 | |||||
Santa Fe County Correctional Systems Revenue, 5.20% due 2/1/2012 (Insured: FSA) | Aaa/AAA | 515,000 | 560,299 | |||||
Santa Fe County Correctional Systems Revenue, 5.00% due 2/1/2018 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,071,500 | |||||
Santa Fe County Revenue Series 1990, 9.00% due 1/1/2008 (Office & Training Facilities Project) (ETM) | Aaa/NR | 626,000 | 723,130 | |||||
Santa Fe County Revenue Series A, 5.50% due 5/15/2015 (El Castillo Retirement Project) | NR/BBB- | 1,250,000 | 1,257,050 | |||||
Santa Fe County Revenue Series A, 5.80% due 5/15/2018 (El Castillo Retirement Project) | NR/BBB- | 1,835,000 | 1,835,128 | |||||
Santa Fe Educational Facilities Revenue, 5.00% due 3/1/2007 (St. John’s College Project) | NR/BBB | 200,000 | 206,296 | |||||
Santa Fe Educational Facilities Revenue, 5.10% due 3/1/2008 (St. John’s College Project) | NR/BBB | 210,000 | 218,700 | |||||
Santa Fe Educational Facilities Revenue, 5.40% due 3/1/2017 (St. John’s College Project) | NR/BBB | 1,215,000 | 1,227,199 | |||||
Santa Fe Gross Receipts Tax Series B, 3.00% due 6/1/2006 | A1/AA | 1,125,000 | 1,125,630 | |||||
Santa Fe SFMR, 5.25% due 11/1/2005 (Collateralized: FNMA/GNMA) | Aaa/NR | 40,000 | 40,530 | |||||
Santa Fe SFMR, 6.00% due 11/1/2010 (Collateralized: FNMA/GNMA) | Aaa/NR | 105,000 | 108,184 | |||||
Santa Fe SFMR, 6.10% due 11/1/2011 (Collateralized: FNMA/GNMA) | Aaa/NR | 150,000 | 153,921 | |||||
Santa Fe SFMR, 6.20% due 11/1/2016 (Collateralized: FNMA/GNMA) | Aaa/NR | 175,000 | 175,348 | |||||
Santa Fe Solid Waste Management Agency Facility Revenue, 5.90% due 6/1/2005 | NR/NR | 760,000 | 763,952 | |||||
Santa Fe Solid Waste Management Agency Facility Revenue, 6.00% due 6/1/2006 | NR/NR | 775,000 | 800,428 | |||||
Santa Fe Solid Waste Management Agency Facility Revenue, 6.10% due 6/1/2007 | NR/NR | 875,000 | 924,088 | |||||
Santa Fe Utility Revenue Refunding Series A, 5.35% due 6/1/2011 (Insured:AMBAC) | Aaa/AAA | 1,230,000 | 1,277,220 | |||||
Taos County Gross Receipts County Education Improvement, 4.75% due 10/1/2012 | Baa1/NR | 1,500,000 | 1,498,590 | |||||
Taos County Gross Receipts Tax Revenue Refunding & Improvement, 4.00% due 10/1/2006 (County Education Project; Insured: MBIA) | Aaa/NR | 1,000,000 | 1,018,390 | |||||
Taos Municipal School District 1 Refunding, 5.00% due 9/1/2008 (Insured: FSA) | Aaa/NR | 450,000 | 478,454 | |||||
University of New Mexico Hospital Mortgage Revenue Bonds, 5.00% due 1/1/2010 (Insured: FSA) | Aaa/AAA | 500,000 | 530,060 | |||||
University of New Mexico Hospital Mortgage Revenue Bonds, 5.00% due 7/1/2010 (Insured: FSA & FHA) | Aaa/AAA | 1,855,000 | 1,971,735 |
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Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | ||||||
University of New Mexico Hospital Mortgage Revenue Bonds, 5.00% due 1/1/2012 (Insured: FSA) | Aaa/AAA | $ | 500,000 | $ | 532,335 | ||||
University of New Mexico Revenue Hospital Mortgage, 5.00% due 1/1/2019 (Insured: FSA) | Aaa/AAA | 3,000,000 | 3,116,880 | ||||||
University of New Mexico Revenue Refunding & Improvement Subordinated Lien Systems Series A, 5.25% due 6/1/2017 | Aa3/AA | 1,730,000 | 1,863,487 | ||||||
University of New Mexico Revenue Refunding & Improvement Subordinated Lien Systems Series A, 5.25% due 6/1/2021 | Aa3/AA | 1,000,000 | 1,069,950 | ||||||
University of New Mexico Revenue Refunding Subordinated Lien, 5.25% due 6/1/2016 | Aa3/AA | 645,000 | 695,607 | ||||||
University of New Mexico Revenue Refunding Subordinated Lien A, 5.25% due 6/1/2018 | Aa3/AA | 1,825,000 | 1,961,638 | ||||||
University of New Mexico Revenue Refunding Subordinated Lien Systems Series A, 5.25% due 6/1/2015 | Aa3/AA | 1,195,000 | 1,303,351 | ||||||
University of New Mexico Revenue Refunding Subordinated Lien Systems Series A, 5.25% due 6/1/2018 | Aa3/AA | 1,200,000 | 1,297,296 | ||||||
University of New Mexico Revenue Series A, 5.25% due 6/1/2013 | Aa3/AA | 665,000 | 720,581 | ||||||
University of New Mexico Revenue Series A, 5.25% due 6/1/2014 | Aa3/AA | 335,000 | 362,520 | ||||||
University of New Mexico Revenue Series A, 6.00% due 6/1/2021 | Aa3/AA | 610,000 | 711,461 | ||||||
Ventana West Public Improvement District Special Tax, 6.625% due 8/1/2023 | NR/NR | 2,000,000 | 2,027,520 | ||||||
Villa Hermosa Multi Family Housing Revenue, 5.85% due 11/20/2016 (Collateralized: GNMA) | NR/AAA | 1,105,000 | 1,152,360 | ||||||
TOTAL INVESTMENTS —101.54% (Cost $ 227,853,913) | $ | 233,158,544 | |||||||
LIABILITIES NET OF OTHER ASSETS — (1.54)% | (3,537,671 | ) | |||||||
NET ASSETS — 100.00% | $ | 229,620,873 | |||||||
Footnote Legend
See notes to financial statements.
† | Credit ratings are unaudited. Rating changes may have occurred prior to or subsequent to the reporting period end. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
AMBAC | Insured by American Municipal Bond Assurance Corp. | |
ETM | Escrowed to Maturity | |
FGIC | Insured by Financial Guaranty Insurance Co. | |
FHA | Insured by Federal Housing Administration | |
FNMA | Collateralized by Federal National Mortgage Association | |
FSA | Insured by Financial Security Assurance Co. | |
GNMA | Insured by Government National Mortgage Co. | |
GO | General Obligation | |
MBIA | Insured by Municipal Bond Investors Assurance | |
RADIAN | Insured by Radian Asset Assurance | |
SFMR | Single Family Mortgage Revenue Bond | |
XLCA | Insured by XL Capital Assurance |
SUMMARY OF SECURITY CREDIT RATINGS†
Ratings are a blend of Moody’s and Standard & Poor’s, using the higher rating. Some bonds are rated by only one service.
Certified Semi-Annual Report 19 |
Table of Contents
EXPENSE EXAMPLE | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
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 September 30, 2004 and held until March 31, 2005.
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 Account Value 9/30/04 | Ending Account Value 3/31/05 | Expenses Paid During Period† 9/30/04–3/31/05 | |||||||
Class A Shares | |||||||||
Actual | $ | 1,000 | $ | 999.40 | $ | 4.95 | |||
Hypothetical* | $ | 1,000 | $ | 1,019.98 | $ | 5.00 | |||
Class D Shares | |||||||||
Actual | $ | 1,000 | $ | 997.40 | $ | 6.20 | |||
Hypothetical* | $ | 1,000 | $ | 1,018.73 | $ | 6.26 |
† | Expenses are equal to the annualized expense ratio for each class (A: 0.99% and D: 1.24%) multiplied by the average account value over the period, multiplied by 182/365 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.
20 Certified Semi-Annual Report
Table of Contents
OTHER INFORMATION | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
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 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.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files 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. The Fund’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, or may be reviewed and 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.
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Trustees’ Statement to Shareholders
February 8, 2005
The Trustees are concerned that recent commentaries and opinions reported in the media may confuse investors in general as to the supervisory duties of trustees of mutual funds and, in particular, leave Thornburg Investment Trust shareholders uncertain regarding how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. We decided to spell out clearly three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf.
We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.
Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders’ returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.
Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.
This statement is submitted for the general information of the shareholders of Thornburg Investment Trust. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money.
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Planning Options
Retirement and Education Accounts
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs – Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 70 1/2, even if you are covered by an employer retirement plan.
Roth IRAs – Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our web site at www.thornburg.com/ira.
SEP IRAs – Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employee’s SEP IRA on a discretionary basis.
SIMPLE IRAs – Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employee’s SIMPLE IRA. Employees may make salary deferral contributions.
403(b)
A special, tax-advantaged savings vehicle available only to employees of 501(c)(3) organizations, such as charitable, educational, scientific and religious organizations. 403(b) plans are also available to employees of public schools and universities.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
• | Thornburg International Value Fund |
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
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The Firm
Thornburg Investment Management is a privately held investment management company based in Santa Fe, New Mexico with assets under management of over $13 billion. Founded in 1982, the firm manages four equity funds, eight bond funds, and separate portfolios for select institutions and individuals.
Investment Philosophy
We seek to preserve and increase the real wealth of the Funds’ shareholders after accounting for inflation, taxes, and investment expenses. We’re committed to disciplined investing and controlling risk in all market environments through laddered bond and focused equity portfolios.
Portfolio Holdings Disclosure
We believe you should know what is in your portfolio. Our web site keeps investors informed of the Funds’ equity holdings. Go to www.thornburg.com/funds for portfolio manager commentary on our equity fund holdings.
Co-Ownership of Funds
We invest side-by-side with the Funds’ shareholders. Our employees have invested over $100 million in Thornburg Funds.
Core Strategies for Building Wealth
We deliver core strategies to help investors meet long-term goals. A core strategy is a consistent, disciplined and proven investment process that represents the foundation of a diversified portfolio.
INVESTMENT MANAGER
Thornburg Investment Management, Inc.
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
PRINCIPAL UNDERWRITER
Thornburg Securities Corporation
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
www.thornburg.com
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Core Strategies for Building Wealth
Thornburg Florida Intermediate Municipal Fund
Semi-Annual Report – March 31, 2005
This report and the accompanying brochure are submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/ download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money. Performance data quoted represents past performance and does not guarantee future results.
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Thornburg Florida Intermediate Municipal Fund
Laddering – an All Weather Strategy
The Fund’s investment objective is to obtain as high a level of current income exempt from Federal income tax as is consistent with preservation of capital.
The Fund offers Florida investors double tax-free yields (may be subject to Alternative Minimum Tax) in a laddered municipal bond portfolio with an average maturity of ten years or less. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio matures each year; cash from maturing bonds, if not needed for other purposes, is invested in bonds with longer maturities at the far end of the ladder. The strategy is a good compromise for managing different types of risk.
Thornburg Bond Funds
• | Thornburg Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term 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 invests in short- and intermediate-term investment grade bonds. We ladder the maturities of individual bonds in the portfolios to moderate risk. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio will mature each year. We apply this disciplined process in all interest rate environments.
Thornburg Equity Funds
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
Thornburg’s equity research uses a fundamental, yet comprehensive, analytical approach. We invest when and where we perceive the most compelling value. Thornburg equity funds focus on a limited number of securities so that each holding can have a material impact on performance. The equity team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic value.
More information at www.thornburg.com
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2 This page is not part of the Semi-Annual Report.
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Thornburg Florida Intermediate Municipal Fund
March 31, 2005
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
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Important Information
Performance data quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate so that upon redemption, investor’s shares may be worth more or less than their original cost. Current performance may be lower or higher than the data quoted. For performance data current to the most recent month end, visit www.thornburg.com.
The maximum sales charge for Class A Shares is 2.00%.
Shares in the Fund carry risks, including possible loss of principal. As with direct bond ownership, Funds that invest in bonds are subject to certain risks including interest-rate risk, credit risk, and inflation risk. The principal value of bond funds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Shares in the fund are not deposits or obligations of, or guaranteed or endorsed by, any bank, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any government agency.
The information presented on the following pages was current as of March 31, 2005. 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 – Is a widely-accepted unmanaged market-weighted index comprised of fixed-rate, coupon bearing bonds issued within five years of the most recent month-end with greater than $50 million principal amount having a Moody’s investment grade rating and maturities of seven to twelve years.
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, sinking funds, 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.
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George Strickland
Portfolio Manager
April 15, 2005
Dear Fellow Shareholder:
I am pleased to present the Semi-Annual Report for the Thornburg Florida Intermediate Municipal Fund. The net asset value of the Fund decreased by 21 cents to $12.19 during the six month period ending March 31, 2005. If you were with us for the entire period, you received dividends of 18.9 cents per share. If you reinvested dividends, you received 19.0 cents per share.
Over the past six months, the municipal bond yield curve has flattened considerably. In other words, interest rates on short and intermediate bonds have risen, while the interest rates on long-term bonds have remained relatively unchanged. Since bond prices move in the opposite direction of yields, long-term bond prices have been relatively stable while short and intermediate bond prices have fallen. The A shares of your Fund produced a total return of (0.18)% over the last six months, compared to a 0.16% return for the Merrill Lynch 7-12 Year Municipal Bond Index. We believe that the Fund underperformed the index because the Fund has a higher concentration of bonds that mature in less than seven years than the index. Over the last six months, longer-term bonds have generally enjoyed better performance than short-term bonds.
We are not surprised that short and intermediate bond yields have risen. The Federal Reserve has almost tripled the targeted Fed Funds rate in the last year and is expected to keep raising rates gradually. Producer prices are rising at a 4.7% rate (up from 2.1% a year ago). Consumer prices are rising at a 3.0% rate (up from 1.7%), and the U.S. economy is growing at a nominal rate (unadjusted for inflation) of 6.4%. We haven’t seen that kind of growth since the technology stock bubble burst in the first half of 2000.
We are, however, somewhat perplexed by the stability of long-term bond yields. Market participants may be expecting the economy to falter and inflation to subside this year. While that is certainly a possibility, we believe that the more likely scenario is that economic momentum continues and inflation stays in the 3-4% range. Such a scenario should lead to higher yields for long-term bonds.
New issue municipal bond supply unexpectedly surged 10.9% over the first quarter of last year to a record $96.6 billion. The increased supply showed up just as the government bond market weakened and helped create a buyer-friendly municipal bond market. With rates on intermediate municipal bonds rising by about 0.5% over the last couple of months, we have been finding better values in bonds that mature in the five to ten year range. Though we are still conservatively positioned relative to our long-term averages, we have recently extended the duration of the Fund slightly to 4.41 years. If rates continue to rise, we would expect to continue extending duration.
Your Thornburg Florida Intermediate Municipal Fund is a laddered portfolio of 65 municipal obligations from all over Florida. Your Fund’s weighted average maturity is 6.89 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
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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 continue rising, 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 shown here describes the percentages of your Fund’s bond portfolio maturing in each of the coming years.
% of portfolio maturing | Cumulative % | |||||||||||||
2 years | = | 5.8% | Year 2 | = | 5.8% | |||||||||
2 to 4 years | = | 16.0% | Year 4 | = | 21.8% | |||||||||
4 to 6 years | = | 14.0% | Year 6 | = | 35.8% | |||||||||
6 to 8 years | = | 17.7% | Year 8 | = | 53.5% | |||||||||
8 to 10 years | = | 21.8% | Year 10 | = | 75.3% | |||||||||
10 to 12 years | = | 15.3% | Year 12 | = | 90.6% | |||||||||
12 to 14 years | = | 3.7% | Year 14 | = | 94.3% | |||||||||
14 to 16 years | = | 4.7% | Year 16 | = | 99.0% | |||||||||
16 to 18 years | = | 0.0% | Year 18 | = | 99.0% | |||||||||
Over 18 years | = | 1.0% | Over 18 years | = | 100.0% |
Percentages can and do vary. Data as of 3/31/05.
Thanks to a strong and resilient economy, Florida state tax revenues continue coming in well ahead of projections. Total reserves are approximately $3 billion, or about 13% of revenues. Moody’s and Standard and Poor’s both raised their ratings on Florida’s general obligation debt recently – to Aa1 and AAA respectively. Florida’s debt burden continues to grow and the constitutionally approved class size initiative is estimated to cost $20-$27 billion over the next eight years. To reduce credit risk, we have kept 92% of the portfolio in bonds rated A or above by at least one rating agency 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 Florida Intermediate Municipal Fund.
Sincerely, |
![]() |
George Strickland |
Portfolio Manager |
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STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Florida Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
ASSETS | ||||
Investments at value (cost $ 51,023,875) | $ | 51,964,006 | ||
Cash | 171,149 | |||
Receivable for investments sold | 55,000 | |||
Receivable for fund shares sold | 5,020 | |||
Interest receivable | 876,036 | |||
Prepaid expenses and other assets | 1,499 | |||
Total Assets | 53,072,710 | |||
LIABILITIES | ||||
Payable for securities purchased | 1,025,200 | |||
Payable for fund shares redeemed | 13,430 | |||
Payable to investment advisor and other affiliates (Note 3) | 34,269 | |||
Accounts payable and accrued expenses | 12,526 | |||
Dividends payable | 81,633 | |||
Total Liabilities | 1,167,058 | |||
NET ASSETS | $ | 51,905,652 | ||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment gain (loss) | $ | (388 | ) | |
Net unrealized appreciation on investments | 940,131 | |||
Accumulated net realized gain (loss) | (550,613 | ) | ||
Net capital paid in on shares of beneficial interest | 51,516,522 | |||
$ | 51,905,652 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($51,905,652 applicable to 4,256,945 shares of beneficial interest outstanding - Note 4) | $ | 12.19 | ||
Maximum sales charge, 2.00% of offering price | 0.25 | |||
Maximum Offering Price Per Share | $ | 12.44 | ||
See notes to financial statements.
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STATEMENT OF OPERATIONS | ||
Thornburg Florida Intermediate Municipal Fund | Six Months Ended March 31, 2005 (Unaudited) |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $ 296,634) | $ | 1,168,283 | ||
Total Income | 1,168,283 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 144,134 | |||
Administration fees (Note 3) | ||||
Class A Shares | 36,033 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 72,067 | |||
Transfer agent fees | ||||
Class A Shares | 13,565 | |||
Custodian fees (Note 3) | 20,042 | |||
Professional fees | 8,478 | |||
Accounting fees | 2,849 | |||
Trustee fees | 2,012 | |||
Other expenses | 12,480 | |||
Total Expenses | 311,660 | |||
Less: | ||||
Management fees waived by investment advisor (Note 3) | (25,024 | ) | ||
Fees paid indirectly (Note 3) | (1,252 | ) | ||
Net Expenses | 285,384 | |||
Net Investment Income | 882,899 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Net realized loss on Investments sold | (37,783 | ) | ||
(37,783 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (918,386 | ) | ||
(918,386 | ) | |||
NET REALIZED AND UNREALIZED LOSS | (956,169 | ) | ||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (73,270 | ) | |
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg Florida Intermediate Municipal Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income gain | $ | 882,899 | $ | 1,834,787 | ||||
Net realized gain (loss) on investments | (37,783 | ) | 154,900 | |||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments | (918,386 | ) | (446,787 | ) | ||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (73,270 | ) | 1,542,900 | |||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (882,899 | ) | (1,834,787 | ) | ||||
FUND SHARE TRANSACTIONS - (Note 4) | ||||||||
Class A Shares | (4,827,769 | ) | 4,069,773 | |||||
Net Increase (Decrease) in Net Assets | (5,783,938 | ) | 3,777,886 | |||||
NET ASSETS: | ||||||||
Beginning of period | 57,689,590 | 53,911,704 | ||||||
End of period | $ | 51,905,652 | $ | 57,689,590 | ||||
See notes to financial statements.
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NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Florida Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
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 Limited Term Municipal Fund, Thornburg New Mexico 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, 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 Florida, with the objective of having interest dividends paid to its shareholders exempt from any individual income taxes. 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 Trust are as follows:
Valuation of Investments: In determining the net asset value, the Trust 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 Trust to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all taxable (if any) and tax exempt income, of the Fund, to the 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 and or market changes. At the time the Trust 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 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.
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Florida Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
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 March 31, 2005, these fees were payable at annual rates ranging from .50 of 1% to .275 of 1% per annum of the average daily net assets of the Fund. For the period ended March 31, 2005, the Advisor voluntarily waived investment advisory fees of $25,024. 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% per annum of the average daily net assets attributable to each class of shares.
The Trust 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 period ended March 31, 2005, the Distributor has advised the Fund that it earned net commissions aggregating $76.
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 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 March 31, 2005, fees paid indirectly were $1,252.
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.
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Florida Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2005, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 945,250 | $ | 11,707,344 | 2,536,845 | $ | 31,559,903 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 29,355 | 362,096 | 61,460 | 761,112 | ||||||||||
Shares repurchased | (1,369,163 | ) | (16,897,209 | ) | (2,273,113 | ) | (28,251,242 | ) | ||||||
Net Increase (Decrease) | (394,558 | ) | $ | (4,827,769 | ) | 325,192 | $ | 4,069,773 | ||||||
NOTE 5 – SECURITIES TRANSACTIONS
For the period ended March 31, 2005, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $12,160,263 and $12,710,157, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2005, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 51,023,487 | ||
Gross unrealized appreciation on a tax basis | $ | 1,216,503 | ||
Gross unrealized depreciation on a tax basis | (275,984 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 940,519 | ||
At March 31, 2005, 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 | ||
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FINANCIAL HIGHLIGHTS | ||
Thornburg Florida Intermediate Municipal Fund | March 31, 2005 (Unaudited)* |
*Six Months Ended March 31, 2005 | Year Ended September 30, | |||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||
Class A Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.40 | $ | 12.46 | $ | 12.57 | $ | 12.24 | $ | 11.73 | $ | 11.79 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.19 | 0.40 | 0.45 | 0.52 | 0.55 | 0.54 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.21 | ) | (0.06 | ) | (0.11 | ) | 0.33 | 0.51 | (0.06 | ) | ||||||||||||||
Total from investment operations | (0.02 | ) | 0.34 | 0.34 | 0.85 | 1.06 | 0.48 | |||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.19 | ) | (0.40 | ) | (0.45 | ) | (0.52 | ) | (0.55 | ) | (0.54 | ) | ||||||||||||
Change in net asset value | (0.21 | ) | (0.06 | ) | (0.11 | ) | 0.33 | 0.51 | (0.06 | ) | ||||||||||||||
NET ASSET VALUE, end of period | $ | 12.19 | $ | 12.40 | $ | 12.46 | $ | 12.57 | $ | 12.24 | $ | 11.73 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | (0.18 | )% | 2.76 | % | 2.77 | % | 7.10 | % | 9.20 | % | 4.19 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 3.06 | %(b) | 3.20 | % | 3.60 | % | 4.18 | % | 4.55 | % | 4.60 | % | ||||||||||||
Expenses, after expense reductions | 0.99 | %(b) | 0.89 | % | 0.91 | % | 0.85 | % | 0.89 | % | 0.98 | % | ||||||||||||
Expenses, after expense reductions and net of custody credits | 0.99 | %(b) | 0.89 | % | 0.91 | % | 0.84 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 1.08 | %(b) | 1.03 | % | 1.01 | % | 1.06 | % | 1.10 | % | 1.10 | % | ||||||||||||
Portfolio turnover rate | 21.73 | % | 36.69 | % | 30.98 | % | 30.28 | % | 22.99 | % | 40.70 | % | ||||||||||||
Net assets at end of period (000) | $ | 51,906 | $ | 57,690 | $ | 53,912 | $ | 41,860 | $ | 28,934 | $ | 25,876 |
(a) | Sales loads are not reflected in computing total return, which is not annualized for periods less than one year. |
(b) | Annualized. |
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SCHEDULE OF INVESTMENTS | ||
Thornburg Florida Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
CUSIPS: CLASS A - 885-215-707
NASDAQ SYMBOLS: CLASS A - THFLX
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Broward County Multi Family Housing, 5.40% due 10/1/2011 (Pembroke Park Apts Project; Guaranty: Florida Housing Finance Corp.) | NR/NR | $ | 730,000 | $ | 748,505 | |||
Broward County Resource Recovery Revenue Refunding, 5.375% due 12/1/2009 (Wheelabrator South Project) | A3/AA | 1,240,000 | 1,325,213 | |||||
Capital Projects Finance Authority Student Housing, 5.50% due 10/1/2012 (Capital Projects Student Housing; Insured: MBIA) | Aaa/AAA | 820,000 | 888,527 | |||||
Capital Trust Agency Multi Family Housing Revenue Series A, 5.15% due 11/1/2030 put 11/1/2010 (Shadow Run Project; Collateralized: FNMA) | Aaa/NR | 1,000,000 | 1,052,550 | |||||
Collier County Housing Finance Authority Multi Family Revenue A-1, 4.90% due 2/15/2032 put 2/15/2012 (Goodlette Arms Project; Collateralized: FNMA) | Aaa/NR | 800,000 | 815,616 | |||||
Cooper City Utility Systems Capital Appreciation Refunding Series A, 0% due 10/1/2013 (Insured: AMBAC) | Aaa/AAA | 3,000,000 | 1,745,010 | |||||
Crossings at Fleming Island Community Development Refunding Series A, 5.60% due 5/1/2012 (Insured: MBIA) | Aaa/AAA | 350,000 | 386,949 | |||||
Crossings at Fleming Island Community Development Refunding Series B, 5.45% due 5/1/2010 (Insured: MBIA) | Aaa/AAA | 714,000 | 764,137 | |||||
Dade County Seaport Revenue Refunding Series E, 8.00% due 10/1/2008 (Insured: MBIA) | Aaa/AAA | 655,000 | 759,027 | |||||
Deltona Utility Systems Revenue, 5.25% due 10/1/2015 (Insured: MBIA) | Aaa/AAA | 1,185,000 | 1,296,212 | |||||
Duval County HFA Multi Family Housing Revenue Series 1996, 5.35% due 9/1/2006 (St. Augustine Apartments Project) | NR/A | 385,000 | 394,806 | |||||
Duval County Multi Family Housing Revenue Refunding, 5.90% due 9/1/2016 (St. Augustine Apartments Project) | NR/A | 700,000 | 720,818 | |||||
Enterprise Community Development District Florida Water & Sewer Revenue, 6.125% due 5/1/2024 (Insured: MBIA) | Aaa/AAA | 230,000 | 230,642 | |||||
Escambia County Health Facilities Revenue Baptist Hospital Baptist Manor, 5.125% due 10/1/2014 | A3/BBB+ | 1,000,000 | 1,025,980 | |||||
Escambia County Health Facility Revenue, 5.95% due 7/1/2020 (Florida Health Care Facility Loan Project; Insured: AMBAC) | Aaa/NR | 1,000,000 | 1,016,300 | |||||
First Florida Govt. Financing Commission Revenue Refunding Series B, 5.50% due 7/1/2016 (Insured: AMBAC) | Aaa/NR | 300,000 | 336,666 | |||||
Florida Board of Education Capital Outlay, 9.125% due 6/1/2014 (ETM) | Aaa/AAA | 155,000 | 201,602 | |||||
Florida Board of Education Capital Outlay, 9.125% due 6/1/2014 | Aa1/AAA | 905,000 | 1,182,763 | |||||
Florida Board of Education Capital Outlay Public Education Series C, 5.50% due 6/1/2013 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,107,900 | |||||
Florida Finance Corp. Revenue Homeowner Mortgage Series 1, 4.80% due 1/1/2016 | Aa2/AA | 585,000 | 602,796 | |||||
Florida Housing Finance Agency, 3.90% due 12/1/2007 (Multi Family Guaranteed Mortgage; LOC: Wachovia Bank) | NR/A+ | 1,000,000 | 1,005,120 | |||||
Florida Housing Finance Corp. Revenue Housing D 1, 5.10% due 10/1/2011 (Augustine Club Apartments Project; Insured: MBIA) | Aaa/NR | 200,000 | 205,744 | |||||
Florida Housing Finance Corp. Revenue Housing D 1, 5.40% due 4/1/2014 (Augustine Club Apartments Project; Insured: MBIA) | Aaa/NR | 415,000 | 428,575 | |||||
Florida State Board of Education Series C, 6.00% due 5/1/2007 (ETM) | Aaa/NR | 300,000 | 300,000 | |||||
Florida State Board of Education Series D, 6.20% due 5/1/2007 (Insured: MBIA) (ETM) | Aaa/AAA | 220,000 | 220,631 | |||||
Florida State Department of Environmental Protection Revenue Series A, 5.00% due 7/1/2017 (Florida Forever Project; Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,067,850 | |||||
Grand Haven Community Development District Florida Special Assessment Series A, 6.90% due 5/1/2019 | NR/NR | 285,000 | 287,631 | |||||
Gulf Breeze Florida Revenue Local Government Series E, 4.00% due 12/1/2020 put 12/1/2007 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,014,420 | |||||
Gulf Breeze Revenue, 4.50% due 12/1/2015 put 12/1/2007 (Insured: FGIC) | Aaa/AAA | 250,000 | 257,215 | |||||
Gulf Breeze Revenue, 4.70% due 12/1/2015 put 12/1/2010 (Insured: FGIC) | Aaa/AAA | 375,000 | 393,210 |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Florida Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Hillsborough County Aviation Authority Revenue Tampa International Airport Series A, 5.25% due 10/1/2009 (Insured: MBIA) | Aaa/AAA | $ | 1,000,000 | $ | 1,068,410 | |||
Hillsborough County Industrial Development Authority, 5.10% due 10/1/2013 (Tampa Electric Co. Project) | Baa2/BBB- | 1,000,000 | 1,057,850 | |||||
Jacksonville Electric St. John’s River Park Systems Revenue Refunding Issue-2 17th Series, 5.25% due 10/1/2012 | Aa2/AA- | 1,000,000 | 1,082,800 | |||||
Jacksonville Health Facilities Authority Hospital Revenue, 5.75% due 8/15/2014 pre-refunded 8/15/2011 | Aa2/NR | 1,000,000 | 1,107,620 | |||||
Lee County COP, 4.90% due 10/1/2006 (Master Lease Project; Insured: AMBAC) | Aaa/AAA | 500,000 | 505,560 | |||||
Miami Dade County Health Facilities Authority Hospital Revenue Refunding Series A, 5.50% due 8/15/2008 (Insured: AMBAC) Miami Children’s Hospital Project | Aaa/AAA | 1,000,000 | 1,071,770 | |||||
Miami Dade County School Board Series B, 5.00% due 5/1/2031 put 5/1/2011 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,061,640 | |||||
Miami Dade County Special Housing Revenue Refunding, 5.80% due 10/1/2012 (HUD Section 8) | Baa3/NR | 960,000 | 928,877 | |||||
Miami Dade County Special Obligation Capital Asset Acquisition Series A-2, 5.00% due 4/1/2011 (Insured: AMBAC) | Aaa/AAA | 825,000 | 890,521 | |||||
Miami Refunding, 5.375% due 9/1/2015 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,089,470 | |||||
North Miami Health Facilities Authority Revenue, 6.00% due 8/15/2024 (Catholic Health Services Obligation Group Project; LOC: Suntrust Bank) | Aa3/NR | 300,000 | 312,408 | |||||
Okeechobee County Florida Solid Waste Revenue, 4.20% due 7/1/2039 put 7/1/2009 (Waste Management Landfill A Project) | NR/BBB | 1,000,000 | 1,005,360 | |||||
Orange County Health Facilities Authority Revenue Refunding, 6.25% due 11/15/2008 (Adventist Health Systems Project; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,040,850 | |||||
Orange County Health Facilities Authority Revenue Refunding, 5.125% due 6/1/2014 (Mayflower Retirement Project; Insured: Radian) | NR/AA | 1,000,000 | 1,041,110 | |||||
Orange County Health Facilities Authority Revenue Refunding, 6.375% due 11/15/2020 (Adventist Health Systems Project) | A2/A | 1,000,000 | 1,098,440 | |||||
Orange County Health Facilities Authority Revenue Unrefunded Balance Series A, 6.25% due 10/1/2013 (Orlando Regional Hospital Project; Insured: MBIA) | Aaa/AAA | 440,000 | 510,057 | |||||
Orange County Health Facilities Authority Revenue Unrefunded Balance Series A, 6.25% due 10/1/2016 (Insured: MBIA) | Aaa/AAA | 300,000 | 353,175 | |||||
Orange County Housing Finance Authority, 6.10% due 10/1/2005 (Collateralized: FNMA/GNMA) | NR/AAA | 20,000 | 20,285 | |||||
Orange County Housing Finance Authority Multi Family, 5.50% due 7/1/2010 (Insured: MBIA) | Aaa/NR | 425,000 | 443,636 | |||||
Orange County School Board COP Series A, 5.50% due 8/1/2017 (Insured: MBIA) | Aaa/AAA | 735,000 | 804,921 | |||||
Orange County Solid Waste Facility Revenue Refunding, 5.00% due 10/1/2011 (Insured: MBIA) | Aaa/AAA | 500,000 | 535,015 | |||||
Orlando & Orange County Expressway Revenue, 8.25% due 7/1/2014 (Insured: FGIC) | Aaa/AAA | 500,000 | 666,205 | |||||
Palm Beach County Industrial Development Revenue Series 1996, 6.10% due 12/1/2007 pre-refunded 12/1/2006 (Lourdes-Noreen McKeen-Geriatric Care Project; LOC: Allied Irish Bank) | NR/A | 515,000 | 552,322 | |||||
Palm Beach County Industrial Development Revenue Series 1996, 6.20% due 12/1/2008 pre-refunded 12/1/2006 (Lourdes-Noreen McKeen-Geriatric Care Project; LOC: Allied Irish Bank) | NR/A | 270,000 | 290,004 | |||||
Palm Beach County School Board COP Series D, 5.00% due 8/1/2012 (Insured: FSA) | Aaa/AAA | 400,000 | 431,644 | |||||
Palm Beach County Solid Waste Authority Revenue Refunding Series A, 6.00% due 10/1/2008 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,092,020 | |||||
Palm Beach County Solid Waste Revenue Refunding Series A, 6.00% due 10/1/2010 put 7/1/2010 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,117,360 | |||||
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- | 1,020,000 | 1,041,604 | |||||
Pensacola Airport Revenue, 6.25% due 10/1/2005 (Insured: MBIA) | Aaa/AAA | 690,000 | 702,468 | |||||
Pensacola Airport Revenue Series B, 5.40% due 10/1/2007 (Insured: MBIA) | Aaa/AAA | 405,000 | 419,507 | |||||
Pinellas County Educational Facility Authority Revenue, 8.00% due 2/1/2011 pre-refunded 2/1/2006 (Clearwater Christian College Project) | NR/NR | 515,000 | 546,091 | |||||
Port Everglades Authority Port Improvement Revenue Refunding Series A, 5.00% due 9/1/2016 (Insured: FSA) | Aaa/AAA | 2,000,000 | 2,003,740 |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Florida Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | ||||||
Sarasota County Public Hospital Series A, 2.33% due 7/1/2037 put 4/1/2005 | VMIG1/NR | $ | 600,000 | $ | 600,000 | ||||
St. John’s County Florida Industrial Development Authority Series A, 5.50% due 8/1/2014 (Presbyterian Retirement Project) | NR/NR | 1,000,000 | 1,062,690 | ||||||
Tampa Revenue, 5.50% due 11/15/2013 | Aaa/AAA | 1,050,000 | 1,163,043 | ||||||
Tohopekaliga Water Authority Utility Series A, 5.25% due 10/1/2016 | Aaa/AAA | 1,345,000 | 1,463,118 | ||||||
TOTAL INVESTMENTS —100.11% (Cost $ 51,023,875) | $ | 51,964,006 | |||||||
LIABILITIES NET OF OTHER ASSETS — (0.11)% | (58,354 | ) | |||||||
NET ASSETS — 100.00% | $ | 51,905,652 | |||||||
SUMMARY OF SECURITY CREDIT RATINGS†
Ratings are a blend of Moody’s and Standard & Poor’s, using the higher rating. Some bonds are rated by only one service.
Footnote Legend
See notes to financial statements.
† | Credit ratings are unaudited. Rating changes may have occurred prior to or subsequent to the reporting period end. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
AMBAC | Insured by American Municipal Bond Assurance Corp. | |
COP | Certificates of Participation | |
ETM | Escrowed to Maturity | |
FGIC | Insured by Financial Guaranty Insurance Co. | |
FNMA | Collateralized by Federal National Mortgage Association | |
FSA | Insured by Financial Security Assurance Co. | |
GNMA | Insured by Government National Mortgage Co. | |
MBIA | Insured by Municipal Bond Investors Assurance | |
RADIAN | Insured by Radian Asset Assurance |
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EXPENSE EXAMPLE | ||
Thornburg Florida Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
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 September 30, 2004 and held until March 31, 2005.
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 Account Value 9/30/04 | Ending Account Value 3/31/05 | Expenses Paid During Period† 9/30/04–3/31/05 | |||||||
Class A Shares | |||||||||
Actual | $ | 1,000 | $ | 998.20 | $ | 4.93 | |||
Hypothetical* | $ | 1,000 | $ | 1,019.99 | $ | 4.99 |
† | 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 182/365 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.
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OTHER INFORMATION | ||
Thornburg Florida Intermediate Municipal Fund |
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 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.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files 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. The Fund’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, or may be reviewed and 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.
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Trustees’ Statement to Shareholders
February 8, 2005
The Trustees are concerned that recent commentaries and opinions reported in the media may confuse investors in general as to the supervisory duties of trustees of mutual funds and, in particular, leave Thornburg Investment Trust shareholders uncertain regarding how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. We decided to spell out clearly three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf.
We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.
Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders’ returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.
Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.
This statement is submitted for the general information of the shareholders of Thornburg Investment Trust. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money.
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Planning Options
Retirement and Education Accounts
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs – Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 70 1/2, even if you are covered by an employer retirement plan.
Roth IRAs – Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our web site at www.thornburg.com/ira.
SEP IRAs – Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employee’s SEP IRA on a discretionary basis.
SIMPLE IRAs – Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employee’s SIMPLE IRA. Employees may make salary deferral contributions.
403(b)
A special, tax-advantaged savings vehicle available only to employees of 501(c)(3) organizations, such as charitable, educational, scientific and religious organizations. 403(b) plans are also available to employees of public schools and universities.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
• | Thornburg International Value Fund |
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
This page is not part of the Semi-Annual Report. 23
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The Firm
Thornburg Investment Management is a privately held investment management company based in Santa Fe, New Mexico with assets under management of over $13 billion. Founded in 1982, the firm manages four equity funds, eight bond funds, and separate portfolios for select institutions and individuals.
Investment Philosophy
We seek to preserve and increase the real wealth of the Funds’ shareholders after accounting for inflation, taxes, and investment expenses. We’re committed to disciplined investing and controlling risk in all market environments through laddered bond and focused equity portfolios.
Portfolio Holdings Disclosure
We believe you should know what is in your portfolio. Our web site keeps investors informed of the Funds’ equity holdings. Go to www.thornburg.com/funds for portfolio manager commentary on our equity fund holdings.
Co-Ownership of Funds
We invest side-by-side with the Funds’ shareholders. Our employees have invested over $100 million in Thornburg Funds.
Core Strategies for Building Wealth
We deliver core strategies to help investors meet long-term goals. A core strategy is a consistent, disciplined and proven investment process that represents the foundation of a diversified portfolio.
INVESTMENT MANAGER
Thornburg Investment Management, Inc.
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
PRINCIPAL UNDERWRITER
Thornburg Securities Corporation
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
www.thornburg.com
Table of Contents
Core Strategies for Building Wealth
This report and the accompanying brochure are submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/ download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money. Performance data quoted represents past performance and does not guarantee future results.
Thornburg New York Intermediate Municipal Fund
Semi-Annual Report – March 31, 2005
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Thornburg New York Intermediate Municipal Fund
Laddering – an All Weather Strategy
The Fund’s investment objective is to obtain as high a level of current income exempt from Federal, New York State and New York City individual income taxes as is consistent with preservation of capital.
The Fund offers New York investors double (or for New York City residents triple) tax-free yields (may be subject to Alternative Minimum Tax) from a laddered portfolio with an average maturity of ten years or less. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio matures each year; cash from maturing bonds, if not needed for other purposes, is invested in bonds with longer maturities at the far end of the ladder. The strategy is a good compromise for managing different types of risk.
Thornburg Bond Funds
• | Thornburg Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term 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 invests in short- and intermediate-term investment grade bonds. We ladder the maturities of individual bonds in the portfolios to moderate risk. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio will mature each year. We apply this disciplined process in all interest rate environments.
Thornburg Equity Funds
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
Thornburg’s equity research uses a fundamental, yet comprehensive, analytical approach. We invest when and where we perceive the most compelling value. Thornburg equity funds focus on a limited number of securities so that each holding can have a material impact on performance. The equity team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic value.
More information at www.thornburg.com
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Receive your shareholder reports and prospectus online instead of through traditional mail.
Sign up at
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2 This page is not part of the Semi-Annual Report. |
Table of Contents
Thornburg New York Intermediate Municipal Fund
March 31, 2005
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
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Important Information
Performance data quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate so that upon redemption, investor’s shares may be worth more or less than their original cost. Current performance may be lower or higher than the data quoted. For performance data current to the most recent month end, visit www.thornburg.com.
The maximum sales charge for Class A Shares is 2.00%.
Shares in the Fund carry risks, including possible loss of principal. As with direct bond ownership, Funds that invest in bonds are subject to certain risks including interest-rate risk, credit risk, and inflation risk. The principal value of bond funds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Shares in the fund are not deposits or obligations of, or guaranteed or endorsed by, any bank, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any government agency.
The information presented on the following pages was current as of March 31, 2005. 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 – Is a widely-accepted unmanaged market-weighted index comprised of fixed-rate, coupon bearing bonds issued within five years of the most recent month-end with greater than $50 million principal amount having a Moody’s investment grade rating and maturities of seven to twelve years.
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, sinking funds, 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.
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George Strickland
Portfolio Manager
April 15, 2005
Dear Fellow Shareholder:
I am pleased to present the Semi-Annual Report for the Thornburg New York Intermediate Municipal Fund. The net asset value of the class A shares decreased by 21 cents to $12.43 during the six month period ending March 31, 2005. If you were with us for the entire period, you received dividends of 20.0 cents per share. If you reinvested dividends, you received 20.1 cents per share.
Over the past six months, the municipal bond yield curve has flattened considerably. In other words, interest rates on short and intermediate bonds have risen, while the interest rates on long-term bonds have remained relatively unchanged. Since bond prices move in the opposite direction of yields, long-term bond prices have been relatively stable while short and intermediate bond prices have fallen. Your Fund produced a total return of (0.09)% over the last six months, compared to a 0.16% return for the Merrill Lynch 7-12 Year Municipal Bond Index. We believe that the Fund underperformed the index because the Fund has a higher concentration of bonds that mature in less than seven years than the index. Over the last six months, longer-term bonds have generally enjoyed better performance than short-term bonds.
We are not surprised that short and intermediate bond yields have risen. The Federal Reserve has almost tripled the targeted Fed Funds rate in the last year and is expected to keep raising rates gradually. Producer prices are rising at a 4.7% rate (up from 2.1% a year ago). Consumer prices are rising at a 3.0% rate (up from 1.7%), and the U.S. economy is growing at a nominal rate (unadjusted for inflation) of 6.4%. We haven’t seen that kind of growth since the technology stock bubble burst in the first half of 2000.
We are, however, somewhat perplexed by the stability of long-term bond yields. Market participants may be expecting the economy to falter and inflation to subside this year. While that is certainly a possibility, we believe that the more likely scenario is that economic momentum continues and inflation stays in the 3-4% range. Such a scenario should lead to higher yields for long-term bonds.
New issue municipal bond supply unexpectedly surged 10.9% over the first quarter of last year to a record $96.6 billion. The increased supply showed up just as the government bond market weakened and helped create a buyer-friendly municipal bond market. With rates on intermediate municipal bonds rising by about 0.5% over the last couple of months, we have been finding better values in bonds that mature in the five to ten year range. Though we are still conservatively positioned relative to our long-term averages, we have recently extended the duration of the Fund slightly to 4.2 years. If rates continue to rise, we would expect to continue extending duration.
Your Thornburg New York Intermediate Municipal Fund is a laddered portfolio of 55 municipal obligations from all over New York. Your Fund’s weighted average maturity is 6.65 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
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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 continue rising, 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 shown here describes the percentages of your Fund’s bond portfolio maturing in each of the coming years.
% of portfolio maturing | Cumulative % maturing | |||||||||
2 years | = | 16.1% | Year 2 | = | 16.1% | |||||
2 to 4 years | = | 15.0% | Year 4 | = | 31.1% | |||||
4 to 6 years | = | 11.8% | Year 6 | = | 42.9% | |||||
6 to 8 years | = | 13.4% | Year 8 | = | 56.3% | |||||
8 to 10 years | = | 19.6% | Year 10 | = | 75.9% | |||||
10 to 12 years | = | 5.0% | Year 12 | = | 80.9% | |||||
12 to 14 years | = | 10.9% | Year 14 | = | 91.8% | |||||
14 to 16 years | = | 3.6% | Year 16 | = | 95.4% | |||||
16 to 18 years | = | 0.0% | Year 18 | = | 95.4% | |||||
Over 18 years | = | 4.6% | Over 18 years | = | 100.0% |
Percentages can and do vary. Data as of 3/31/05.
Thanks to a strong and resilient economy, New York state tax revenues are up about 10% versus projections of 8.5% growth. Total reserves are approximately $1.5 billion, which is relatively low but up from previous levels. Both the city and the state of New York have been upgraded by rating agencies recently, but budget gaps in 2006 and 2007 are still creating formidable challenges. Capital spending will likely remain high, particularly for school and transportation projects, while debt levels are well above national averages. To reduce credit risk, we have kept 98% of the portfolio in bonds rated A or above by at least one rating agency 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 York Intermediate Municipal Fund.
Sincerely, |
![]() |
George Strickland Portfolio Manager |
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STATEMENT OF ASSETS AND LIABILITIES
| ||
Thornburg New York Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
ASSETS | ||||
Investments at value (cost $43,636,543) | $ | 44,733,901 | ||
Cash | 300,199 | |||
Receivable for investments sold | 368,077 | |||
Receivable for fund shares sold | 48,308 | |||
Interest receivable | 513,600 | |||
Prepaid expenses and other assets | 1,497 | |||
Total Assets | 45,965,582 | |||
LIABILITIES | ||||
Payable for securities purchased | 1,939,496 | |||
Payable for fund shares redeemed | 220,974 | |||
Payable to investment advisor and other affiliates (Note 3) | 25,922 | |||
Accounts payable and accrued expenses | 16,507 | |||
Dividends payable | 44,368 | |||
Total Liabilities | 2,247,267 | |||
NET ASSETS | $ | 43,718,315 | ||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment gain (loss) | $ | (5,952 | ) | |
Net unrealized appreciation on investments | 1,097,358 | |||
Accumulated net realized gain (loss) | (44,118 | ) | ||
Net capital paid in on shares of beneficial interest | 42,671,027 | |||
$ | 43,718,315 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($43,718,315 applicable to 3,518,542 shares of beneficial interest outstanding - Note 4) | $ | 12.43 | ||
Maximum sales charge, 2.00% of offering price | 0.25 | |||
Maximum offering price per share | $ | 12.68 | ||
See notes to financial statements.
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| ||
Thornburg New York Intermediate Municipal Fund | Six Months Ended March 31, 2005 (Unaudited) |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $208,974) | $ | 932,575 | ||
Total Income | 932,575 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 111,791 | |||
Administration fees (Note 3) | ||||
Class A Shares | 27,948 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 55,896 | |||
Transfer agent fees | ||||
Class A Shares | 13,625 | |||
Registration and filing fees | ||||
Class A Shares | 298 | |||
Custodian fees (Note 3) | 19,020 | |||
Professional fees | 7,752 | |||
Accounting fees | 4,270 | |||
Trustee fees | 1,083 | |||
Other expenses | 14,748 | |||
Total Expenses | 256,431 | |||
Less: | ||||
Management fees waived by investment advisor (Note 3) | (32,724 | ) | ||
Fees paid indirectly (Note 3) | (2,360 | ) | ||
Net Expenses | 221,347 | |||
Net Investment Income | 711,228 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Net realized loss on Investments sold | (24,501 | ) | ||
(24,501 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (743,031 | ) | ||
(743,031 | ) | |||
NET REALIZED AND UNREALIZED LOSS | (767,532 | ) | ||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (56,304 | ) | |
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Thornburg New York Intermediate Municipal Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Three Months Ended September 30, 2004 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income gain | $ | 711,228 | $ | 356,933 | ||||
Net realized gain (loss) on investments | (24,501 | ) | 11,068 | |||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments | (743,031 | ) | 629,517 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (56,304 | ) | 997,518 | |||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (711,228 | ) | (356,933 | ) | ||||
FUND SHARE TRANSACTIONS - (Note 4) | ||||||||
Class A Shares | (1,056,718 | ) | 2,350,704 | |||||
Net Increase (Decrease) in Net Assets | (1,824,250 | ) | 2,991,289 | |||||
NET ASSETS: | ||||||||
Beginning of period | 45,542,565 | 42,551,276 | ||||||
End of period | $ | 43,718,315 | $ | 45,542,565 | ||||
See notes to financial statements.
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Thornburg New York Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
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 currently offers only one class of shares of beneficial interest, Class A shares.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Trust are as follows:
Valuation of Investments: In determining the net asset value, the Trust 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 Trust to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all taxable (if any) and tax exempt income, of the Fund, to the 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 and or market changes. At the time the Trust 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 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.
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg New York Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
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 March 31, 2005, these fees were payable at annual rates ranging from .50 of 1% to .275 of 1% per annum of the average daily net assets of the Fund. For the period ended March 31, 2005, the Advisor voluntarily waived investment advisory fees of $32,724. 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% per annum of the average daily net assets.
The Trust 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 period ended March 31, 2005, the Distributor has advised the Fund that it earned commissions aggregating $82 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 March 31, 2005, fees paid indirectly were $2,360.
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 March 31, 2005, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Six Months Ended March 31, 2005 | Three Months Ended September 30, 2004 | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 223,926 | $ | 2,816,572 | 289,811 | $ | 3,647,279 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 35,349 | 444,071 | 18,199 | 229,327 | ||||||||||
Shares repurchased | (343,865 | ) | (4,317,361 | ) | (121,053 | ) | (1,525,902 | ) | ||||||
Net Increase (Decrease) | (84,590 | ) | $ | (1,056,718 | ) | 186,957 | $ | 2,350,704 | ||||||
NOTE 5 – SECURITIES TRANSACTIONS
For the period ended March 31, 2005, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $10,454,056 and $6,914,876, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2005, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 43,635,776 | ||
Gross unrealized appreciation on a tax basis | $ | 1,179,819 | ||
Gross unrealized depreciation on a tax basis | (81,694 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 1,098,125 | ||
At March 31, 2005, the Fund had tax basis capital losses of $20,384, which may be carried over to offset future capital gains. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryovers expire September 30, 2011.
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Thornburg New York Intermediate Municipal Fund | (Unaudited)* |
*6 Months 2005 | 3 Months Ended 2004 | Year Ended June 30, | ||||||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||||||
Class A Shares: | ||||||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.64 | $ | 12.46 | $ | 12.86 | $ | 12.63 | $ | 12.55 | $ | 12.16 | $ | 12.36 | ||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||
Net investment income | 0.20 | 0.10 | 0.45 | 0.51 | 0.54 | 0.62 | 0.64 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.21 | ) | 0.18 | (0.40 | ) | 0.25 | 0.08 | 0.39 | (0.20 | ) | ||||||||||||||||||
Total from investment operations | (0.01 | ) | 0.28 | 0.05 | 0.76 | 0.62 | 1.01 | 0.44 | ||||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||||||
Net investment income | (0.20 | ) | (0.10 | ) | (0.45 | ) | (0.51 | ) | (0.54 | ) | (0.62 | ) | (0.64 | ) | ||||||||||||||
Realized capital gains | — | — | — | (0.02 | ) | — | — | — | ||||||||||||||||||||
Total distributions | (0.20 | ) | (0.10 | ) | (0.45 | ) | (0.53 | ) | (0.54 | ) | (0.62 | ) | (0.64 | ) | ||||||||||||||
Change in net asset value | (0.21 | ) | 0.18 | (0.40 | ) | 0.23 | 0.08 | 0.39 | (0.20 | ) | ||||||||||||||||||
NET ASSET VALUE, end of period | $ | 12.43 | $ | 12.64 | $ | 12.46 | $ | 12.86 | $ | 12.63 | $ | 12.55 | $ | 12.16 | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||
Total return (a) | (0.09 | )% | 2.26 | % | 0.36 | % | 6.16 | % | 5.05 | % | 8.44 | % | 3.65 | % | ||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Net investment income | 3.18 | % (b) | 3.19 | % (b) | 3.51 | % | 4.02 | % | 4.29 | % | 4.95 | % | 5.23 | % | ||||||||||||||
Expenses, after expense reductions | 1.00 | % (b) | 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 | % (b) | 0.99 | % | 0.93 | % | 0.87 | % | — | — | ||||||||||||||||
Expenses, before expense reductions | 1.15 | % (b) | 1.18 | % (b) | 1.11 | % | 1.10 | % | 1.09 | % | 1.13 | % | 1.15 | % | ||||||||||||||
Portfolio turnover rate | 16.15 | % | 4.27 | % | 13.46 | % | 15.57 | % | 17.66 | % | 21.96 | % | 19.02 | % | ||||||||||||||
Net assets at end of period (000) | $ | 43,718 | $ | 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. |
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Thornburg New York Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
CUSIPS: CLASS A - 885-215-665
NASDAQ SYMBOLS: CLASS A - THNYX
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Amherst Industrial Development Agency Civic Facility Revenue, 5.75% due 4/1/2015 (Insured:ACA) | NR/A | $ | 465,000 | $ | 497,987 | |||
Bethlehem Central School District GO, 7.10% due 11/1/2006 (Insured:AMBAC) | Aaa/AAA | 700,000 | 746,319 | |||||
Brookhaven Industrial Development Agency Revenue, 4.375% due 11/1/2031 put 11/1/2006 (Methodist Retirement Community Project; LOC: Northfork Bank) | A1/A- | 1,075,000 | 1,093,124 | |||||
Canastota Central School District GO, 7.10% due 6/15/2007 (ETM) | A2/NR | 215,000 | 234,406 | |||||
Canastota Central School District GO, 7.10% due 6/15/2008 (ETM) | A2/NR | 205,000 | 230,660 | |||||
Hempstead Industrial Development Agency Resource Recovery Revenue, 5.00% due 12/1/2010 put 6/1/2010 (American Ref-Fuel Project) | A3/BBB | 1,000,000 | 1,034,640 | |||||
Long Island Power Authority Electric Systems Revenue General Series A, 6.00% due 12/1/2007 (Insured:AMBAC) | Aaa/AAA | 785,000 | 845,869 | |||||
Long Island Power Authority General Series B, 5.00% due 12/1/2006 | A3/A- | 1,000,000 | 1,035,260 | |||||
Monroe County Industrial Development Agency Revenue, 6.45% due 2/1/2014 (Civic Facility - DePaul Community Facility Project; Insured: Sonyma) | Aa1/NR | 880,000 | 899,378 | |||||
Nassau Health Care Corp., 6.00% due 8/1/2011 pre-refunded 8/1/2009 | Aaa/AAA | 530,000 | 599,504 | |||||
New York City Industrial Development Agency Civic Facility Revenue Refunding, 6.00% due 8/1/2006 (YMCA Greater New York Project) | Baa1/NR | 580,000 | 602,701 | |||||
New York City Municipal Water Finance Authority Series B, 5.75% due 6/15/2013 (ETM) | Aaa/AAA | 1,000,000 | 1,046,160 | |||||
New York City Municipal Water Finance Authority Water & Sewer Systems Revenue Series B, 5.75% due 6/15/2026 Crossover refunded 6/15/2006 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,093,880 | |||||
New York City Transitional Refunding Future Tax Secured C, 5.25% due 8/1/2016 (Insured:AMBAC) | Aaa/AAA | 1,365,000 | 1,477,735 | |||||
New York City Trust Cultural Resources Revenue, 5.75% due 7/1/2014 (Museum of American Folk Art Project; Insured:ACA) | NR/A | 920,000 | 984,014 | |||||
New York Dormitory Authority Lease Revenue Series A, 5.25% due 8/15/2013 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,076,640 | |||||
New York Dormitory Authority Revenue, 5.25% due 7/1/2010 (Insured: Radian) | NR/AA | 350,000 | 377,555 | |||||
New York Dormitory Authority Revenue, 5.25% due 7/1/2011 (Insured: Radian) | NR/AA | 370,000 | 400,647 | |||||
New York Dormitory Authority Revenue, 7.35% due 8/1/2029 (Jewish Geriatric Project; Insured: FHA) | NR/AAA | 500,000 | 511,680 | |||||
New York Dormitory Authority Revenue AIDS Long Term Health Care Facility, 5.00% due 11/1/2012 | NR/NR | 1,500,000 | 1,570,440 | |||||
New York Dormitory Authority Revenue Capital Appreciation, 0% due 7/1/2005 (Insured: FSA) | NR/NR | 110,000 | 109,365 | |||||
New York Dormitory Authority Revenue Mental Health Services A, 5.50% due 2/15/2019 pre-refunded 8/15/2011 (Insured: MBIA) | Aaa/AAA | 1,085,000 | 1,202,061 | |||||
New York Dormitory Authority Revenue Mental Health Services Facilities Improvement A, 5.00% due 2/15/2015 (Insured:AMBAC) | Aaa/AAA | 1,900,000 | 2,049,606 | |||||
New York Dormitory Authority Revenue Refunding, 6.10% due 7/1/2019 (Ryan Clinton Community Health Center Project; Insured: Sonyma) | Aa1/NR | 1,000,000 | 1,092,340 | |||||
New York Dormitory Authority Revenue Unrefunded Mental Health Services A, 5.50% due 2/15/2019 (Insured: MBIA) | Aaa/AAA | 30,000 | 32,808 | |||||
New York Dormitory Authority School District Bond Financing Program Series A, 5.50% due 7/1/2009 (State Aid Withholding) | NR/A+ | 575,000 | 621,667 | |||||
New York Environmental Facilities Corp. PCR Water Revolving Fund Series E, 6.875% due 6/15/2014 | Aaa/AAA | 400,000 | 407,448 | |||||
New York Housing Finance Service Series A, 6.375% due 9/15/2015 pre-refunded 9/15/2007 | A2/AAA | 665,000 | 717,954 | |||||
New York Medical Care Facilities Finance Agency Revenue, 6.125% due 2/15/2014 (Insured: FHA) | Aa2/AA | 10,000 | 10,219 | |||||
New York Mortgage Agency Revenue, 5.85% due 10/1/2017 | Aaa/NR | 665,000 | 695,317 | |||||
New York Refunding Series A, 5.50% due 8/1/2014 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,108,120 | |||||
New York Refunding Series H, 5.00% due 8/1/2018 | A2/A | 1,000,000 | 1,039,250 | |||||
New York Series A, 7.00% due 8/1/2007 (Insured: FSA) | Aaa/AAA | 750,000 | 799,725 |
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SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg New York Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | ||||||
New York Series F, 5.50% due 8/1/2006 (ETM) | Aaa/AAA | $ | 5,000 | $ | 5,186 | ||||
New York Series G, 6.75% due 2/1/2009 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,124,210 | ||||||
New York State Dormitory Authority Revenue Personal Income Tax, 5.50% due 3/15/2012 | A1/AA | 1,000,000 | 1,103,930 | ||||||
New York State Dormitory Authority Revenue Refunding, 5.00% due 2/15/2010 (Wyckoff Heights Project; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,057,860 | ||||||
New York State GO, 9.875% due 11/15/2005 | A1/AA | 500,000 | 521,845 | ||||||
New York State Housing Finance Service Contract Series A 2003, 6.375% due 9/15/2015 pre-refunded 9/15/2005 | A2/AA- | 80,000 | 83,018 | ||||||
New York State Housing Finance Service Contract Unrefunded Balance Series A 2003, 6.375% due 9/15/2015 | A2/AA- | 5,000 | 5,171 | ||||||
New York State Mortgage Agency Revenue Series 70, 5.375% due 10/1/2017 | Aa1/NR | 300,000 | 312,060 | ||||||
New York State Thruway Authority General Revenue Series F, 5.00% due 1/1/2018 (Insured: AMBAC) | Aaa/AAA | 2,000,000 | 2,133,400 | ||||||
New York State Thruway Authority Service Contract Revenue Refunding, 5.50% due 4/1/2013 (Local Highway & Bridge Project; Insured: XLCA) | Aaa/AAA | 1,000,000 | 1,097,190 | ||||||
New York State Urban Development Corp. Revenue Refunding Facilities A, 6.50% due 1/1/2011 (Correctional Capital Project; Insured: FSA) | Aaa/AAA | 1,000,000 | 1,151,020 | ||||||
New York Unrefunded Balance Series F, 5.50% due 8/1/2006 (Insured: MBIA) | Aaa/AAA | 345,000 | 357,613 | ||||||
New York Urban Development Corp. Correctional Facilities Revenue, 0% due 1/1/2008 | A2/AA- | 2,000,000 | 1,821,920 | ||||||
Newark Wayne Community Hospital Revenue Series B, 5.875% due 1/15/2033 (Insured: AMBAC) | Aaa/AAA | 1,505,000 | 1,508,778 | ||||||
Oneida County Industrial Development Agency Revenue, 6.00% due 1/1/2010 (Insured: Radian) | NR/AA | 375,000 | 413,089 | ||||||
Oneida County Industrial Development Agency Revenue, 6.10% due 6/1/2020 (Civic Facility Presbyterian Home Project; LOC: HSBC Bank USA) | Aa2/NR | 450,000 | 485,973 | ||||||
Port Chester Industrial Development Agency Refunding, 4.75% due 7/1/2031 put 7/1/2011 (American Foundation Project; Collateralized: FNMA) | NR/AAA | 750,000 | 787,988 | ||||||
Puerto Rico Electric Power Authority Power Revenue Refunding Series J, 5.375% due 7/1/2017 (Insured: XLCA) | Aaa/AAA | 560,000 | 629,334 | ||||||
Puerto Rico Public Bldgs Authority Revenue Guaranteed Refunding Government Facilities Series K, 4.00% due 7/1/2026 put 7/1/2007 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,021,450 | ||||||
Tobacco Settlement Financing Corp. New York Revenue Asset Backed Series A-1C, 5.00% due 6/1/2012 (Secured: State Contingency Contract) | A2/AA- | 850,000 | 871,182 | ||||||
Utica Industrial Development Agency Civic Facility Revenue, 5.25% due 7/15/2016 (Munson Williams Proctor Institute Project) | A1/NR | 210,000 | 226,855 | ||||||
Valley Central School District Montgomery, 7.15% due 6/15/2007 (Insured:AMBAC) | Aaa/AAA | 625,000 | 680,350 | ||||||
Westchester County IDA Civic Facility Revenue, 6.25% due 4/1/2005 (Julia Dyckman Project) | NR/NR | 90,000 | 90,000 | ||||||
TOTAL INVESTMENTS — 102.32% (Cost $ 43,636,543) | $ | 44,733,901 | |||||||
LIABILITIES NET OF OTHER ASSETS — (2.32)% | (1,015,586 | ) | |||||||
NET ASSETS — 100.00% | $ | 43,718,315 | |||||||
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SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg New York Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
Footnote Legend
See notes to financial statements.
† | Credit ratings are unaudited. Rating changes may have occurred prior to or subsequent to the reporting period end. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ACA | Insured by American Capital Access | |
AMBAC | Insured by American Municipal Bond Assurance Corp. | |
ETM | Escrowed to Maturity | |
FHA | Insured by Federal Housing Administration | |
FNMA | Collateralized by Federal National Mortgage Association | |
FSA | Insured by Financial Security Assurance Co. | |
GO | General Obligation | |
IDA | Industrial Development Authority | |
MBIA | Insured by Municipal Bond Investors Assurance | |
RADIAN | Insured by Radian Asset Assurance | |
SONYMA | State of New York Mortgage Authority | |
XLCA | Insured by XL Capital Assurance |
SUMMARY OF SECURITY CREDIT RATINGS†
Ratings are a blend of Moody’s and Standard & Poor’s, using the higher rating. Some bonds are rated by only one service.
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Table of Contents
Thornburg New York Intermediate Municipal Fund | March 31, 2005 (Unaudited) |
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 September 30, 2004 and held until March 31, 2005.
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 Account Value 9/30/04 | Ending Account Value 3/31/05 | Expenses Paid During Period† | |||||||
Class A Shares | |||||||||
Actual | $ | 1,000 | $ | 999.10 | $ | 4.93 | |||
Hypothetical* | $ | 1,000 | $ | 1,019.99 | $ | 4.99 |
† | 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 182/365 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.
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Thornburg New York Intermediate Municipal Fund
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 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.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files 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. The Fund’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, or may be reviewed and 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.
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Trustees’ Statement to Shareholders
February 8, 2005
The Trustees are concerned that recent commentaries and opinions reported in the media may confuse investors in general as to the supervisory duties of trustees of mutual funds and, in particular, leave Thornburg Investment Trust shareholders uncertain regarding how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. We decided to spell out clearly three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf.
We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.
Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders’ returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.
Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.
This statement is submitted for the general information of the shareholders of Thornburg Investment Trust. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money.
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Planning Options
Retirement and Education Accounts
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs – Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 701/2, even if you are covered by an employer retirement plan.
Roth IRAs – Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our web site at www.thornburg.com/ira.
SEP IRAs – Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employee’s SEP IRA on a discretionary basis.
SIMPLE IRAs – Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employee’s SIMPLE IRA. Employees may make salary deferral contributions.
403(b)
A special, tax-advantaged savings vehicle available only to employees of 501(c)(3) organizations, such as charitable, educational, scientific and religious organizations. 403(b) plans are also available to employees of public schools and universities.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
• | Thornburg International Value Fund |
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
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Table of Contents
The Firm
Thornburg Investment Management is a privately held investment management company based in Santa Fe, New Mexico with assets under management of over $13 billion. Founded in 1982, the firm manages four equity funds, eight bond funds, and separate portfolios for select institutions and individuals.
Investment Philosophy
We seek to preserve and increase the real wealth of the Funds’ shareholders after accounting for inflation, taxes, and investment expenses. We’re committed to disciplined investing and controlling risk in all market environments through laddered bond and focused equity portfolios.
Portfolio Holdings Disclosure
We believe you should know what is in your portfolio. Our web site keeps investors informed of the Funds’ equity holdings. Go to www.thornburg.com/funds for portfolio manager commentary on our equity fund holdings.
Co-Ownership of Funds
We invest side-by-side with the Funds’ shareholders. Our employees have invested over $100 million in Thornburg Funds.
Core Strategies for Building Wealth
We deliver core strategies to help investors meet long-term goals. A core strategy is a consistent, disciplined and proven investment process that represents the foundation of a diversified portfolio.
INVESTMENT MANAGER
Thornburg Investment Management, Inc.
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
PRINCIPAL UNDERWRITER
Thornburg Securities Corporation
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
www.thornburg.com
Table of Contents
Core Strategies for Building Wealth
Thornburg Limited Term Income Funds
Semi-Annual Report – March 31, 2005
This report and the accompanying brochure are submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/ download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money. Performance data quoted represents past performance and does not guarantee future results.
Table of Contents
Thornburg Limited Term Income Funds
Laddering – an All Weather Strategy
The Funds’ objectives are to obtain as high a level of current income as is consistent with the preservation of capital.
Thornburg Limited Term U.S. Government Fund – The Fund is a laddered portfolio of short/ intermediate obligations issued by the U.S. Government, its agencies or instrumentalities with an average maturity of five years or less.
Thornburg Limited Term Income Fund – This Fund is a laddered portfolio of short/intermediate investment grade obligations with an average maturity of five years or less.
Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio matures each year; cash from maturing bonds, if not needed for other purposes, is invested in bonds with longer maturities at the far end of the ladder. The strategy is a good compromise for managing different types of risk.
Thornburg Bond Funds
• | Thornburg Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term Municipal Fund |
• | Thornburg New Mexico Intermediate Municipal Fund |
• | Thornburg Limited Term Income Funds |
• | Thornburg New York Intermediate Municipal Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
Thornburg invests in short- and intermediate-term investment grade bonds. We ladder the maturities of individual bonds in the portfolios to moderate risk. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio will mature each year. We apply this disciplined process in all interest rate environments.
Thornburg Equity Funds
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
Thornburg’s equity research uses a fundamental, yet comprehensive, analytical approach. We invest when and where we perceive the most compelling value. Thornburg equity funds focus on a limited number of securities so that each holding can have a material impact on performance. The equity team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic value.
More information at www.thornburg.com
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2005
Certified Semi-Annual Report
Thornburg Limited Term Income Funds
March 31, 2005
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8 | ||
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Statements of Changes in Net Assets, | ||
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13 | ||
14 | ||
Financial Highlights, | ||
19 | ||
24 | ||
Schedule of Investments, | ||
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42 | ||
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position
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Important Information
Performance data quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate so that upon redemption, investor’s shares may be worth more or less than their original cost. Current performance may be lower or higher than the data quoted. For performance data current to the most recent month end, visit www.thornburg.com.
For the Thornburg Limited Term U.S. Government Fund, the maximum sales charge for Class A Shares is 1.50%. 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. C shares include a 0.50% CDSC for the first year only. There is no up-front sales charge for R1 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% CDSC for the first year only. There is no up-front sales charge for R1 shares.
Shares in the Fund carry risks, including possible loss of principal. As with direct bond ownership, Funds that invest in bonds are subject to certain risks including interest-rate risk, credit risk, and inflation risk. The principal value of bond funds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Shares in the fund are not deposits or obligations of, or guaranteed or endorsed by, any bank, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any government agency.
The information presented on the following pages was current as of March 31, 2005. 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.
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Steve Bohlin
Portfolio Manager
April 15, 2005
Dear Fellow Shareholder,
I am pleased to present the Semi-Annual Report for the Thornburg Limited Term Income Fund and the Thornburg Limited Term U.S. Government Fund for the six months ended March 31, 2005. The net asset value of a Class A share of the Thornburg Limited Term Income Fund decreased 22 cents in the period to $12.58. If you were invested for the entire period, you received dividends of 22.4 cents per share. If you reinvested your dividends, you received 22.6 cents per share. Investors who owned Class C shares received 20.8 and 20.9 cents per share, respectively. The net asset value of a Class A share of the Thornburg Limited Term U.S. Government Fund decreased 23 cents in the period to $12.78. If you were invested for the entire period, you received dividends of 16.5 cents per share. If you reinvested your dividends, you received 16.6 cents per share. Investors who owned Class C shares received 15.0 and 15.0 cents per share, respectively. Please read the accompanying exhibits for more detailed information and history.
Interest rates on U.S. Treasuries were higher from short term to approximately 15 years out the yield curve on March 31, 2005 than at September 30, 2004. Most of this rise in interest rates has happened since February 9, 2005. For example, the yield on a 5-year U.S. Treasury ranged between a low of 3.25% and a high of 4.33% over the period and the yield on a 10-year U.S. Treasury ranged between a low of 3.97% and a high of 4.64%. While the front end of the yield curve has been steadily rising over the last 6 months, the 10-year and longer segment traded in a narrow range until February 9, 2005 before starting to move upward since. Quality spreads (the additional yield on a corporate bond) contracted through January before starting to rise in the last two months.
Putting income and the change in price together, the Class A shares of the Thornburg Limited Term Income Fund produced a total return of 0.03% over the six-month period, assuming a beginning-of-the-period investment at the net asset value. The Lehman Intermediate Government/Credit Index produced a (0.47)% total return over the same time period. The Class A shares of the Thornburg Limited Term U.S. Government Fund produced a total return of (0.50)% over the six-month period, assuming a beginning-of-the-period investment at the net asset value. The Lehman Intermediate Government Index produced a (0.50)% total return over the same time period. The Funds kept their duration shorter than the Indices during the fourth quarter of 2004, during which time longer-term interest rates stayed fairly steady and longer duration bonds tended to outperform. Because the Funds kept their durations shorter and allocated a larger portion of their portfolios to short-term bonds, their returns fell short of the Indices in the fourth quarter of 2004 and outperformed the Indices in the first quarter of 2005 when interest rates rose across the yield curve. We have kept our durations shorter than the Indices thus far in 2005, because we believe doing so will improve the Funds’ return relative to the Indices if interest rates rise further.
Interest rates have risen since the Chairman of the Federal Reserve Board called the level of long-term interest rates a “conundrum” in Congressional testimony. In past cycles, the yield on the 10-year Treasury has always been higher 12 months after the Federal Open Market Committee (FOMC) started raising the Fed Funds Rate. While the recent upward movements in long-term rates have closed the gap, the yield on the 10-year Treasury is still below the level on June 30, 2004, when the FOMC started the current rate hikes.
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While the FOMC has increased rates seven times to 2.75%, the increase in inflation has kept short-term real (after inflation) rates at approximately the same level as in June 2004; and, longer-term real rates have actually fallen. While it is difficult to pinpoint all of the reasons for this “conundrum”, the huge influx of foreign investments has helped keep interest rates down. Almost 50% of all marketable U.S. Treasuries are now held offshore, up from 35% five years ago, 40% three years ago, and 43% one year ago. Foreign holders held $390 billion more U.S. Treasuries in January 2005 than they did at January 2004. That is only $10 billion less than the U.S. Budget Deficit for 2004.
While foreigners are funding the nation’s debt, the U.S. economy continues to grow. This cyclical expansion has been sustained by steady consumer spending, a boom in housing and, more recently, strength in business spending. If high fuel prices and rising interest rates were affecting economic growth, those effects would appear first in the spending data. That has not shown up in the data yet. The consensus forecast is for steady U.S. economic growth, as measured by 3% to 4% growth in real GDP. If strong GDP growth continues and employment is rising, the last ingredient for the Fed is low inflation. In order for the Fed to keep its “measured pace” of tightening, inflation has to remain contained. The members of the FOMC have stated that they do not believe that long-term inflation is much of a problem. However, the large increases in prices for energy and commodities have helped fuel speculation that inflation is on the rise in the near term.
It appears evident that the FOMC intends to keep increasing the Fed Funds rate at a “measured pace” until a neutral policy stance, which would be at least the rate of inflation, is achieved. The bond market tries to be proactive, however. If it is believed that the FOMC will have to accelerate their “pace”, the bond market may start increasing yields in the marketplace faster as well. Remember that the yield on the 10-year Treasury is still below the level when the Fed started raising rates. We are cognizant of this as we manage the portfolios for the future.
Regardless of the direction of interest rates, we believe your Funds are well positioned. The Thornburg Limited Term Income Fund and the Thornburg Limited Term U.S. Government Fund are laddered portfolios of short-to-intermediate bonds. We keep the portfolios laddered over a time period ranging from one day to approximately ten years, with the average maturity of the portfolios always no more than five years. Some of the bonds are always coming close to maturity, but never too many at one time. We feel a laddered maturity portfolio of short-to-intermediate bonds is a sensible strategy over time. Intermediate bonds have proven to be a sensible part of a portfolio. They can provide stability to the underlying principal, they can provide income for the portfolio, and, over the years, they have provided an attractive return versus money market instruments.
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, |
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Steven J. Bohlin |
Managing Director |
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STATEMENTS OF ASSETS AND LIABILITIES | ||
Thornburg Limited Term Income Funds | March 31, 2005 (Unaudited) |
Limited Term U.S. Government Fund | Limited Term Income Fund | |||||||
ASSETS | ||||||||
Investments at value (cost $208,679,525 and $385,242,957, respectively) | $ | 205,310,699 | $ | 387,413,158 | ||||
Cash | 1,215,684 | 1,146,710 | ||||||
Principal receivable | 11,963 | 0 | ||||||
Receivable for fund shares sold | 254,645 | 1,570,577 | ||||||
Interest receivable | 1,983,249 | 3,734,092 | ||||||
Prepaid expenses and other assets | 41,809 | 49,562 | ||||||
Total Assets | 208,818,049 | 393,914,099 | ||||||
LIABILITIES | ||||||||
Payable for securities purchased | 0 | 5,000,000 | ||||||
Payable for fund shares redeemed | 830,301 | 1,713,413 | ||||||
Payable to investment advisor and other affiliates (Note 3) | 133,221 | 249,279 | ||||||
Accounts payable and accrued expenses | 37,402 | 126,857 | ||||||
Dividends payable | 92,117 | 270,309 | ||||||
Total Liabilities | 1,093,041 | 7,359,858 | ||||||
NET ASSETS | $ | 207,725,008 | $ | 386,554,241 | ||||
NET ASSETS CONSIST OF: | ||||||||
Distribution in excess of net investment gain (loss) | $ | (13,850 | ) | $ | (13,235 | ) | ||
Net unrealized appreciation (depreciation) on investments | (3,368,826 | ) | 2,170,728 | |||||
Accumulated net realized gain (loss) | (742,028 | ) | (3,713,956 | ) | ||||
Net capital paid in on shares of beneficial interest | 211,849,712 | 388,110,704 | ||||||
$ | 207,725,008 | $ | 386,554,241 | |||||
NET ASSET VALUE: | ||||||||
Class A Shares: | ||||||||
Net asset value and redemption price per share ($152,665,364 and $231,567,917 applicable to 11,949,811 and 18,402,304 shares of beneficial interest outstanding - Note 4) | $ | 12.78 | $ | 12.58 | ||||
Maximum sales charge, 1.50% of offering price | 0.19 | 0.19 | ||||||
Maximum Offering Price Per Share | $ | 12.97 | $ | 12.77 | ||||
Class B Shares: | ||||||||
Net asset value and offering price per share * ($2,191,173 applicable to 171,899 shares of beneficial interest outstanding - Note 4) | $ | 12.75 | $ | 0 | ||||
Class C Shares: | ||||||||
Net asset value and offering price per share * ($37,921,873 and $62,570,537 applicable to 2,950,335 and 4,981,611 shares of beneficial interest outstanding - Note 4) | $ | 12.85 | $ | 12.56 | ||||
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STATEMENTS OF ASSETS AND LIABILITIES, CONTINUED
Thornburg Limited Term Income Funds | March 31, 2005 (Unaudited) |
Limited Term U.S. Government Fund | Limited Term Income Fund | |||||
Class I Shares: | ||||||
Net asset value, offering and redemption price per share ($14,278,602 and $91,362,863 applicable to 1,117,705 and 7,261,403 shares of beneficial interest outstanding - Note 4) | $ | 12.77 | $ | 12.58 | ||
Class R1 Shares: | ||||||
Net asset value, offering and redemption price per share ($667,996 and $1,052,924 applicable to 52,253 and 83,632 shares of beneficial interest outstanding - Note 4) | $ | 12.78 | $ | 12.59 | ||
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
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Thornburg Limited Term Income Funds | Six Months Ended March 31, 2005 (Unaudited) |
Limited Term U.S. Government Fund | Limited Term Income Fund | |||||||
INVESTMENT INCOME: | ||||||||
Interest income (net of premium amortized of $990,581 and $613,254, respectively) | $ | 3,658,694 | $ | 8,583,928 | ||||
Total Income | 3,658,694 | 8,583,928 | ||||||
EXPENSES: | ||||||||
Investment advisory fees (Note 3) | 407,170 | 972,223 | ||||||
Administration fees (Note 3) | ||||||||
Class A Shares | 98,844 | 144,969 | ||||||
Class B Shares | 1,488 | 0 | ||||||
Class C Shares | 25,726 | 40,375 | ||||||
Class I Shares | 3,755 | 22,839 | ||||||
Class R1 Shares | 279 | 615 | ||||||
Distribution and service fees (Note 3) | ||||||||
Class A Shares | 197,688 | 289,938 | ||||||
Class B Shares | 11,887 | 0 | ||||||
Class C Shares | 205,070 | 322,515 | ||||||
Class R1 Shares | 1,118 | 2,470 | ||||||
Transfer agent fees | ||||||||
Class A Shares | 79,205 | 108,990 | ||||||
Class B Shares | 7,954 | 0 | ||||||
Class C Shares | 25,810 | 43,840 | ||||||
Class I Shares | 11,531 | 27,610 | ||||||
Class R1 Shares | 2,362 | 3,042 | ||||||
Registration and filing fees | ||||||||
Class A Shares | 17,070 | 23,638 | ||||||
Class B Shares | 4,967 | 0 | ||||||
Class C Shares | 15,076 | 13,300 | ||||||
Class I Shares | 10,736 | 12,539 | ||||||
Class R1 Shares | 11,893 | 11,627 | ||||||
Custodian fees (Note 3) | 59,855 | 87,340 | ||||||
Professional fees | 15,445 | 19,555 | ||||||
Accounting fees | 11,820 | 22,960 | ||||||
Trustee fees | 6,373 | 6,670 | ||||||
Other expenses | 39,260 | 66,801 | ||||||
Total Expenses | 1,272,382 | 2,243,856 | ||||||
Less: | ||||||||
Expenses reimbursed by investment advisor (Note 3) | (47,401 | ) | (212,168 | ) | ||||
Distribution and service fees waived (Note 3) | (102,535 | ) | (161,257 | ) | ||||
Fees paid indirectly (Note 3) | (4,136 | ) | (5,530 | ) | ||||
Net Expenses | 1,118,310 | 1,864,901 | ||||||
Net Investment Income | $ | 2,540,384 | $ | 6,719,027 | ||||
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STATEMENTS OF OPERATIONS, CONTINUED
Thornburg Limited Term Income Funds | Six Months Ended March 31, 2005 (Unaudited) |
Limited Term U.S. Government Fund | Limited Term Income Fund | |||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||
Net realized gain (loss) on: | ||||||||
Investments | $ | 918 | $ | (635,765 | ) | |||
918 | (635,765 | ) | ||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investments | (3,761,871 | ) | (5,985,293 | ) | ||||
Foreign currency translation | 0 | 266 | ||||||
(3,761,871 | ) | (5,985,027 | ) | |||||
Net Realized and Unrealized Loss | (3,760,953 | ) | (6,620,792 | ) | ||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | (1,220,569 | ) | $ | 98,235 | |||
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Limited Term U.S. Government Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income gain | $ | 2,540,384 | $ | 6,108,467 | ||||
Net realized gain on investments | 918 | 2,572,794 | ||||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments | (3,761,871 | ) | (6,634,413 | ) | ||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,220,569 | ) | 2,046,848 | |||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (2,026,466 | ) | (4,505,818 | ) | ||||
Class B Shares | (13,495 | ) | (42,140 | ) | ||||
Class C Shares | (475,252 | ) | (1,193,563 | ) | ||||
Class I Shares | (214,397 | ) | (363,591 | ) | ||||
Class R1 Shares | (5,881 | ) | (3,340 | ) | ||||
FUND SHARE TRANSACTIONS—(Note 4): | ||||||||
Class A Shares | (7,980,201 | ) | (10,449,346 | ) | ||||
Class B Shares | (161,506 | ) | (628,485 | ) | ||||
Class C Shares | (4,739,070 | ) | (11,845,239 | ) | ||||
Class I Shares | 1,650,954 | 19,693 | ||||||
Class R1 Shares | 254,014 | 421,885 | ||||||
Net Decrease in Net Assets | (14,931,869 | ) | (26,543,096 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 222,656,877 | 249,199,973 | ||||||
End of period | $ | 207,725,008 | $ | 222,656,877 | ||||
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg Limited Term Income Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income gain | $ | 6,719,027 | $ | 11,970,046 | ||||
Net realized loss on investments and foreign currency | (635,765 | ) | (1,197,633 | ) | ||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments and foreign currency translation | (5,985,027 | ) | (3,681,220 | ) | ||||
Net Increase in Net Assets Resulting from Operations | 98,235 | 7,091,193 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (4,092,826 | ) | (7,103,088 | ) | ||||
Class C Shares | (1,059,197 | ) | (1,897,482 | ) | ||||
Class I Shares | (1,758,313 | ) | (3,012,694 | ) | ||||
Class R1 Shares | (17,215 | ) | (8,104 | ) | ||||
FUND SHARE TRANSACTIONS - (Note 4): | ||||||||
Class A Shares | 5,387,221 | 48,582,688 | ||||||
Class C Shares | (1,704,954 | ) | 11,375,293 | |||||
Class I Shares | 2,951,970 | 31,761,582 | ||||||
Class R1 Shares | 159,527 | 903,829 | ||||||
Net Increase (Decrease) in Net Assets | (35,552 | ) | 87,693,217 | |||||
NET ASSETS: | ||||||||
Beginning of period | 386,589,793 | 298,896,576 | ||||||
End of period | $ | 386,554,241 | $ | 386,589,793 | ||||
See notes to financial statements.
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NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Limited Term Income Funds | March 31, 2005 (Unaudited) |
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, in the view of the Funds’ investment advisor, 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 R1) 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 R1) shares. Each class of shares of a 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 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 R1 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 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 Funds are limited to service and distribution fees, administrative fees, and certain registration and transfer agent expenses. Class B shares of the Government Fund outstanding for eight years will convert to Class A shares of the Government Fund.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Trust are as follows:
Valuation of Investments: In determining net asset value, the Trust 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 Board of 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 Trust to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all taxable income, including any net realized gain on investments, of the Fund, to the shareholders. Therefore, no provision for Federal income taxes 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 Funds’ investment objectives and not for the purpose of investment leverage or to speculate on interest rate and/or market changes. At the time the Trust makes a commitment to purchase a security on a when-issued basis, the Funds will record the transaction and reflect the value in determining each fund’s net asset value. When effecting such transactions, assets of an amount sufficient to make payment for the portfolio securities to be purchased will be segregated on the each fund’s records at the trade date. Securities purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.
Dividends: Net investment income of the Funds are declared daily as a dividend on shares for which the Funds have received payment. Dividends are paid monthly and are reinvested in additional shares of the Funds at net asset value per share at the close of business on the dividend payment date, or at the shareholder’s option, paid in cash. Net capital gains, to the extent available, will be distributed at least annually.
General: Securities transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Income Funds | March 31, 2005 (Unaudited) |
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 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 Funds for which the fees are payable at the end of each month. For the period ended March 31, 2005, these fees were payable at annual rates ranging from .375 of 1% to ..275 of 1% per annum of the average daily net assets of the Government Fund and .50 of 1% to .275 of 1% per annum of the average daily net assets of the Income Fund depending on each fund’s asset size. The Trust also have an Administrative Services Agreement with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Funds’ shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to Class A, Class B, Class C, and Class R1 shares, and up to .05 of 1% per annum of the average daily net assets attributable to Class I shares. For the period ended March 31, 2005, the Advisor voluntarily reimbursed certain class specific expenses and administrative fees of $1,571, $3,463, $14,815, $12,853, and $14,699 for the Class A, B, C, I, and R1 shares, respectively, of the Government Fund and $112,519, $51,559, $32,251, and $15,839 for the Class A, C, I, and R1 shares, respectively, of the Income Fund.
The Trust has an 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 period ended March 31, 2005, the Distributor has advised the Funds that it earned net commissions aggregating $611 and $(661) from the sales of Class A shares of the Government Fund and Income Fund, respectively, and collected contingent deferred sales charges aggregating $2,530 and $7,147 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 R1 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 Trust have also adopted Distribution Plans pursuant to Rule 12b-1, applicable to each fund’s Class B, Class C, and Class R1 shares under which the Funds compensate the Distributor for services in promoting the sale of Class B, C, and R1 shares of the Funds at an annual rate of up to .75 of 1% per annum of the average daily net assets attributable to these
Certified Semi-Annual Report 15 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Income Funds | March 31, 2005 (Unaudited) |
classes. Total fees incurred by each class of shares of the Funds under their respective service and distribution plans for the period ended March 31, 2005, are set forth in the Statements of Operations. Distribution fees of $102,535 and $161,257 respectively for Class C shares of the Government Fund and Income Fund were waived.
The Trust has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Funds’ 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 March 31, 2005, fees paid indirectly were $4,136 and $5,530 for the Government 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 independent Trustees is borne by the Trust.
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2005, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
GOVERNMENT FUND
Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 1,393,750 | $ | 18,007,048 | 3,221,701 | $ | 42,079,302 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 117,733 | 1,518,468 | 258,973 | 3,377,519 | ||||||||||
Shares repurchased | (2,130,118 | ) | (27,505,717 | ) | (4,285,525 | ) | (55,906,167 | ) | ||||||
Net Increase (Decrease) | (618,635 | ) | $ | (7,980,201 | ) | (804,851 | ) | $ | (10,449,346 | ) | ||||
Class B Shares | ||||||||||||||
Shares sold | 25,912 | $ | 335,123 | 78,261 | $ | 1,011,694 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 752 | 9,691 | 1,992 | 25,958 | ||||||||||
Shares repurchased | (39,341 | ) | (506,320 | ) | (128,014 | ) | (1,666,137 | ) | ||||||
Net Increase (Decrease) | (12,677 | ) | $ | (161,506 | ) | (47,761 | ) | $ | (628,485 | ) | ||||
Class C Shares | ||||||||||||||
Shares sold | 241,056 | $ | 3,128,398 | 728,926 | $ | 9,584,018 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 27,104 | 351,595 | 67,056 | 880,006 | ||||||||||
Shares repurchased | (633,484 | ) | (8,219,063 | ) | (1,700,988 | ) | (22,309,263 | ) | ||||||
Net Increase (Decrease) | (365,324 | ) | $ | (4,739,070 | ) | (905,006 | ) | $ | (11,845,239 | ) | ||||
Class I Shares | ||||||||||||||
Shares sold | 327,727 | $ | 4,256,656 | 415,995 | $ | 5,417,464 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 14,470 | 186,539 | 23,453 | 305,738 | ||||||||||
Shares repurchased | (216,550 | ) | (2,792,241 | ) | (436,875 | ) | (5,703,509 | ) | ||||||
Net Increase (Decrease) | 125,647 | $ | 1,650,954 | 2,573 | $ | 19,693 | ||||||||
16 Certified Semi-Annual Report |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Income Funds | March 31, 2005 (Unaudited) |
GOVERNMENT FUND (cont.)
Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||||||||
Class R1 Shares | ||||||||||||||
Shares sold | 28,054 | $ | 359,884 | 33,177 | $ | 432,173 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 378 | 4,876 | 186 | 2,416 | ||||||||||
Shares repurchased | (8,576 | ) | (110,746 | ) | (972 | ) | (12,704 | ) | ||||||
Net Increase (Decrease) | 19,856 | $ | 254,014 | 32,391 | $ | 421,885 | ||||||||
INCOME FUND
Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 2,542,786 | $ | 32,376,672 | 7,793,807 | $ | 99,954,867 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 237,696 | 3,020,847 | 403,134 | 5,160,648 | ||||||||||
Shares repurchased | (2,361,929 | ) | (30,010,298 | ) | (4,413,893 | ) | (56,532,827 | ) | ||||||
Net Increase (Decrease) | 418,553 | $ | 5,387,221 | 3,783,048 | $ | 48,582,688 | ||||||||
Class C Shares | ||||||||||||||
Shares sold | 553,804 | $ | 7,036,535 | 2,147,268 | $ | 27,537,572 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 57,066 | 724,103 | 100,334 | 1,282,321 | ||||||||||
Shares repurchased | (745,312 | ) | (9,465,592 | ) | (1,365,887 | ) | (17,444,600 | ) | ||||||
Net Increase (Decrease) | (134,442 | ) | $ | (1,704,954 | ) | 881,715 | $ | 11,375,293 | ||||||
Class I Shares | ||||||||||||||
Shares sold | 1,255,895 | $ | 15,994,255 | 4,876,662 | $ | 62,615,919 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 124,564 | 1,583,259 | 214,441 | 2,744,433 | ||||||||||
Shares repurchased | (1,149,986 | ) | (14,625,544 | ) | (2,637,669 | ) | (33,598,770 | ) | ||||||
Net Increase (Decrease) | 230,473 | $ | 2,951,970 | 2,453,434 | $ | 31,761,582 | ||||||||
Class R1 Shares | ||||||||||||||
Shares sold | 19,984 | $ | 255,222 | 71,754 | $ | 911,924 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 687 | 8,724 | 223 | 2,855 | ||||||||||
Shares repurchased | (8,159 | ) | (104,419 | ) | (863 | ) | (10,950 | ) | ||||||
Net Increase (Decrease) | 12,512 | $ | 159,527 | 71,114 | $ | 903,829 | ||||||||
Certified Semi-Annual Report 17 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Income Funds | March 31, 2005 (Unaudited) |
NOTE 5 – SECURITIES TRANSACTIONS
For the period ended March 31, 2005, the Funds had purchase and sale transactions of investment securities (excluding short-term investments) of $39,516,822 and $18,198,208, for the Government Fund and $68,940,289 and $57,532,897 for the Income Fund, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2005, information on the tax components of capital is as follows:
Government Fund | Income Fund | |||||||
Cost of investments for tax purpose | $ | 208,679,525 | $ | 385,250,944 | ||||
Gross unrealized appreciation on a tax basis | $ | 859,198 | $ | 5,383,630 | ||||
Gross unrealized depreciation on a tax basis | (4,228,024 | ) | (3,221,416 | ) | ||||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | (3,368,826 | ) | $ | 2,162,214 | |||
At March 31, 2005, the Government Fund had tax basis capital losses, which may be carried over to offset future capital gains. Such losses expire as follows:
Capital loss carryovers expiring in:
2009 | $ | 729,335 | |
2010 | 13,611 | ||
$ | 742,946 | ||
At March 31, 2005, the Income Fund had tax basis capital losses, which may be carried over to offset future capital gains. Such losses expire as follows:
Capital loss carryovers expiring in:
2008 | $ | 497,824 | |
2009 | 650,941 | ||
2010 | 308,333 | ||
$ | 1,457,098 | ||
As of March 31, 2005, 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.
18 Certified Semi-Annual Report |
Table of Contents
FINANCIAL HIGHLIGHTS | ||
Thornburg Limited Term U.S. Government Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Year Ended September 30, | |||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||
Class A Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.01 | $ | 13.23 | $ | 13.27 | $ | 12.77 | $ | 12.03 | $ | 12.06 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.17 | 0.35 | 0.47 | 0.58 | 0.67 | 0.68 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.23 | ) | (0.22 | ) | (0.04 | ) | 0.50 | 0.74 | (0.03 | ) | ||||||||||||||
Total from investment operations | (0.06 | ) | 0.13 | 0.43 | 1.08 | 1.41 | 0.65 | |||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.17 | ) | (0.35 | ) | (0.47 | ) | (0.58 | ) | (0.67 | ) | (0.68 | ) | ||||||||||||
Change in net asset value | (0.23 | ) | (0.22 | ) | (0.04 | ) | 0.50 | 0.74 | (0.03 | ) | ||||||||||||||
NET ASSET VALUE, end of period | $ | 12.78 | $ | 13.01 | $ | 13.23 | $ | 13.27 | $ | 12.77 | $ | 12.03 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | (0.50 | )% | 1.04 | % | 3.29 | % | 8.75 | % | 12.02 | % | 5.58 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 2.38 | %(b) | 2.72 | % | 3.53 | % | 4.53 | % | 5.39 | % | 5.69 | % | ||||||||||||
Expenses, after expense reductions | 0.99 | %(b) | 0.92 | % | 0.92 | % | 0.93 | % | 0.99 | % | 0.98 | % | ||||||||||||
Expenses, after expense reductions and net of custody credits | 0.99 | %(b) | 0.91 | % | 0.90 | % | 0.92 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 0.99 | %(b) | 0.92 | % | 0.92 | % | 0.93 | % | 0.99 | % | 0.99 | % | ||||||||||||
Portfolio turnover rate | 9.12 | % | 12.39 | % | 35.06 | % | 4.34 | % | 15.23 | % | 19.66 | % | ||||||||||||
Net assets at end of period (000) | $ | 152,665 | $ | 163,530 | $ | 176,876 | $ | 155,864 | $ | 105,348 | $ | 87,616 |
(a) | Sales loads are not reflected in computing total return, which is not annualized for periods less than one year. |
(b) | Annualized. |
Certified Semi-Annual Report 19
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Limited Term U.S. Government Fund | (Unaudited)* |
*Six Months Ended 2005 | Year Ended September 30, 2004 | Period Ended September 30, 2003(c) | ||||||||||
Class B Shares: | ||||||||||||
PER SHARE PERFORMANCE | ||||||||||||
(for a share outstanding throughout the period) | ||||||||||||
Net asset value, beginning of period | $ | 12.98 | $ | 13.22 | $ | 13.12 | ||||||
Income from investment operations | ||||||||||||
Net investment income | 0.07 | 0.21 | 0.37 | |||||||||
Net realized and unrealized gain (loss) on investments | (0.23 | ) | (0.24 | ) | 0.10 | |||||||
Total from investment operations | (0.16 | ) | (0.03 | ) | 0.47 | |||||||
Less dividends from: | ||||||||||||
Net investment income | (0.07 | ) | (0.21 | ) | (0.37 | ) | ||||||
Change in net asset value | (0.23 | ) | (0.24 | ) | 0.10 | |||||||
NET ASSET VALUE, end of period | $ | 12.75 | $ | 12.98 | $ | 13.22 | ||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||
Total return (a) | (1.22 | )% | (0.24 | )% | 3.60 | % | ||||||
Ratios to average net assets: | �� | |||||||||||
Net investment income | 0.96 | %(b) | 1.65 | % | 2.93 | %(b) | ||||||
Expenses, after expense reductions | 2.42 | %(b) | 1.99 | % | 1.35 | %(b) | ||||||
Expenses, after expense reductions and net of custody credits | 2.41 | %(b) | 1.99 | % | 1.33 | %(b) | ||||||
Expenses, before expense reductions | 2.71 | %(b) | 2.74 | % | 3.32 | %(b) | ||||||
Portfolio turnover rate | 9.12 | % | 12.39 | % | 35.06 | % | ||||||
Net assets at end of period (000) | $ | 2,191 | $ | 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. |
20 Certified Semi-Annual Report |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Limited Term U.S. Government Fund | (Unaudited)* |
*Six Months Ended 2005 | Year Ended September 30, | |||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||
Class C Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.09 | $ | 13.31 | $ | 13.35 | $ | 12.85 | $ | 12.10 | $ | 12.12 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.15 | 0.31 | 0.43 | 0.54 | 0.62 | 0.63 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.24 | ) | (0.22 | ) | (0.04 | ) | 0.50 | 0.75 | (0.02 | ) | ||||||||||||||
Total from investment operations | (0.09 | ) | 0.09 | 0.39 | 1.04 | 1.37 | 0.61 | |||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.15 | ) | (0.31 | ) | (0.43 | ) | (0.54 | ) | (0.62 | ) | (0.63 | ) | ||||||||||||
Change in net asset value | (0.24 | ) | (0.22 | ) | (0.04 | ) | 0.50 | 0.75 | (0.02 | ) | ||||||||||||||
NET ASSET VALUE, end of period | $ | 12.85 | $ | 13.09 | $ | 13.31 | $ | 13.35 | $ | 12.85 | $ | 12.10 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | (0.69 | )% | 0.73 | % | 2.96 | % | 8.33 | % | 11.60 | % | 5.23 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 2.12 | %(b) | 2.40 | % | 3.14 | % | 4.13 | % | 4.89 | % | 5.26 | % | ||||||||||||
Expenses, after expense reductions | 1.25 | %(b) | 1.24 | % | 1.24 | % | 1.28 | % | 1.41 | % | 1.40 | % | ||||||||||||
Expenses, after expense reductions and net of custody credits | 1.24 | %(b) | 1.24 | % | 1.22 | % | 1.27 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 1.82 | %(b) | 1.76 | % | 1.76 | % | 1.78 | % | 2.01 | % | 2.11 | % | ||||||||||||
Portfolio turnover rate | 9.12 | % | 12.39 | % | 35.06 | % | 4.34 | % | 15.23 | % | 19.66 | % | ||||||||||||
Net assets at end of period (000) | $ | 37,922 | $ | 43,404 | $ | 56,166 | $ | 30,587 | $ | 12,704 | $ | 5,098 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
Certified Semi-Annual Report 21 |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Limited Term U.S. Government Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Year Ended September 30, | |||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.01 | $ | 13.22 | $ | 13.27 | $ | 12.77 | $ | 12.03 | $ | 12.05 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.18 | 0.39 | 0.51 | 0.62 | 0.72 | 0.72 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.24 | ) | (0.21 | ) | (0.05 | ) | 0.50 | 0.74 | (0.02 | ) | ||||||||||||||
Total from investment operations | (0.06 | ) | 0.18 | 0.46 | 1.12 | 1.46 | 0.70 | |||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.18 | ) | (0.39 | ) | (0.51 | ) | (0.62 | ) | (0.72 | ) | (0.72 | ) | ||||||||||||
Change in net asset value | (0.24 | ) | (0.21 | ) | (0.05 | ) | 0.50 | 0.74 | (0.02 | ) | ||||||||||||||
NET ASSET VALUE, end of period | $ | 12.77 | $ | 13.01 | $ | 13.22 | $ | 13.27 | $ | 12.77 | $ | 12.03 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | (0.44 | )% | 1.37 | % | 3.51 | % | 9.11 | % | 12.45 | % | 6.07 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 2.70 | %(b) | 2.95 | % | 3.77 | % | 4.86 | % | 5.79 | % | 6.06 | % | ||||||||||||
Expenses, after expense reductions | 0.67 | %(b) | 0.67 | % | 0.64 | % | 0.61 | % | 0.61 | % | 0.60 | % | ||||||||||||
Expenses, after expense reductions and net of custody credits | 0.67 | %(b) | 0.67 | % | 0.62 | % | 0.60 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 0.84 | %(b) | 0.77 | % | 0.82 | % | 1.04 | % | 1.21 | % | 1.08 | % | ||||||||||||
Portfolio turnover rate | 9.12 | % | 12.39 | % | 35.06 | % | 4.34 | % | 15.23 | % | 19.66 | % | ||||||||||||
Net assets at end of period (000) | $ | 14,279 | $ | 12,905 | $ | 13,085 | $ | 6,960 | $ | 3,992 | $ | 3,819 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
22 Certified Semi-Annual Report |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Limited Term U.S. Government Fund | (Unaudited)* |
*Six Months Ended March 31, | Year Ended September 30, | Period Ended September 30, | ||||||||||
Class R1 Shares: | ||||||||||||
PER SHARE PERFORMANCE | ||||||||||||
(for a share outstanding throughout the period) | ||||||||||||
Net asset value, beginning of period | $ | 13.02 | $ | 13.23 | $ | 13.38 | ||||||
Income from investment operations: | ||||||||||||
Net investment income | 0.17 | 0.37 | 0.17 | |||||||||
Net realized and unrealized gain (loss) on investments | (0.24 | ) | (0.21 | ) | (0.15 | ) | ||||||
Total from investment operations | (0.07 | ) | 0.16 | 0.02 | ||||||||
Less dividends from: | ||||||||||||
Net investment income | (0.17 | ) | (0.37 | ) | (0.17 | ) | ||||||
Change in net asset value | (0.24 | ) | (0.21 | ) | (0.15 | ) | ||||||
NET ASSET VALUE, end of period | $ | 12.78 | $ | 13.02 | $ | 13.23 | ||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||
Total return (a) | (0.54 | )% | 1.26 | % | 0.19 | % | ||||||
Ratios to average net assets: | ||||||||||||
Net investment income | 2.46 | %(b) | 2.62 | % | 5.07 | %(b) | ||||||
Expenses, after expense reductions | 0.93 | %(b) | 0.91 | % | 1.15 | %(b) | ||||||
Expenses, after expense reductions and net of custody credits | 0.92 | %(b) | 0.91 | % | 1.15 | %(b) | ||||||
Expenses, before expense reductions | 7.51 | %(b) | 13.56 | % | 41,652.81 | %(b)* | ||||||
Portfolio turnover rate | 9.12 | % | 12.39 | % | 35.06 | % | ||||||
Net assets at end of period (000) | $ | 668 | $ | 422 | $ | — | (d) |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
(c) | Effective date of Class R1 Shares was July 1, 2003. |
(d) | Net assets at end of period were less than $1,000. |
* | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
Certified Semi-Annual Report 23 |
Table of Contents
Thornburg Limited Term Income Fund | (Unaudited)* |
*Six Months Ended 2005 | Year Ended September 30, | |||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||
Class A Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.80 | $ | 12.99 | $ | 12.79 | $ | 12.55 | $ | 11.89 | $ | 11.93 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.22 | 0.43 | 0.51 | 0.61 | 0.73 | 0.73 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.22 | ) | (0.19 | ) | 0.20 | 0.24 | 0.66 | (0.04 | ) | |||||||||||||||
Total from investment operations | 0.00 | 0.24 | 0.71 | 0.85 | 1.39 | 0.69 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.22 | ) | (0.43 | ) | (0.51 | ) | (0.61 | ) | (0.73 | ) | (0.73 | ) | ||||||||||||
Change in net asset value | (0.22 | ) | (0.19 | ) | 0.20 | 0.24 | 0.66 | (0.04 | ) | |||||||||||||||
NET ASSET VALUE, end of period | $ | 12.58 | $ | 12.80 | $ | 12.99 | $ | 12.79 | $ | 12.55 | $ | 11.89 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | 0.03 | % | 1.96 | % | 5.56 | % | 7.05 | % | 12.05 | % | 6.05 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 3.42 | %(b) | 3.33 | % | 3.91 | % | 4.88 | % | 5.94 | % | 6.21 | % | ||||||||||||
Expenses, after expense reductions | 1.00 | %(b) | 0.99 | % | 0.99 | % | 0.99 | % | 1.00 | % | 0.99 | % | ||||||||||||
Expenses, after expense reductions and net of custody credits | 0.99 | %(b) | 0.99 | % | 0.99 | % | 0.99 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 1.09 | %(b) | 1.07 | % | 1.04 | % | 1.10 | % | 1.16 | % | 1.21 | % | ||||||||||||
Portfolio turnover rate | 15.55 | % | 22.73 | % | 18.86 | % | 21.63 | % | 20.54 | % | 59.46 | % | ||||||||||||
Net assets at end of period (000) | $ | 231,568 | $ | 230,256 | $ | 184,497 | $ | 104,710 | $ | 56,036 | $ | 31,520 |
(a) | Sales loads are not reflected in computing total return, which is not annualized for periods less than one year. |
(b) | Annualized. |
24 Certified Semi-Annual Report
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Limited Term Income Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Year Ended September 30, | |||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||
Class C Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.78 | $ | 12.97 | $ | 12.77 | $ | 12.53 | $ | 11.87 | $ | 11.91 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.21 | 0.40 | 0.46 | 0.56 | 0.68 | 0.68 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.22 | ) | (0.19 | ) | 0.20 | 0.24 | 0.66 | (0.04 | ) | |||||||||||||||
Total from investment operations | (0.01 | ) | 0.21 | 0.66 | 0.80 | 1.34 | 0.64 | |||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.21 | ) | (0.40 | ) | (0.46 | ) | (0.56 | ) | (0.68 | ) | (0.68 | ) | ||||||||||||
Change in net asset value | (0.22 | ) | (0.19 | ) | 0.20 | 0.24 | 0.66 | (0.04 | ) | |||||||||||||||
NET ASSET VALUE, end of period | $ | 12.56 | $ | 12.78 | $ | 12.97 | $ | 12.77 | $ | 12.53 | $ | 11.87 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | (0.10 | )% | 1.70 | % | 5.20 | % | 6.63 | % | 11.61 | % | 5.62 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 3.17 | % (b) | 3.07 | % | 3.56 | % | 4.45 | % | 5.52 | % | 5.81 | % | ||||||||||||
Expenses, after expense reductions | 1.25 | % (b) | 1.25 | % | 1.33 | % | 1.39 | % | 1.41 | % | 1.40 | % | ||||||||||||
Expenses, after expense reductions and net of custody credits | 1.24 | % (b) | 1.24 | % | 1.33 | % | 1.39 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 1.91 | % (b) | 1.87 | % | 1.92 | % | 1.93 | % | 2.13 | % | 2.26 | % | ||||||||||||
Portfolio turnover rate | 15.55 | % | 22.73 | % | 18.86 | % | 21.63 | % | 20.54 | % | 59.46 | % | ||||||||||||
Net assets at end of period (000) | $ | 62,571 | $ | 65,398 | $ | 54,926 | $ | 30,258 | $ | 15,219 | $ | 7,272 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
Certified Semi-Annual Report 25 |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Limited Term Income Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Year Ended September 30, | |||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.80 | $ | 12.99 | $ | 12.79 | $ | 12.55 | $ | 11.90 | $ | 11.93 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.24 | 0.47 | 0.55 | 0.65 | 0.77 | 0.77 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.22 | ) | (0.19 | ) | 0.20 | 0.24 | 0.65 | (0.03 | ) | |||||||||||||||
Total from investment operations | 0.02 | 0.28 | 0.75 | 0.89 | 1.42 | 0.74 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.24 | ) | (0.47 | ) | (0.55 | ) | (0.65 | ) | (0.77 | ) | (0.77 | ) | ||||||||||||
Change in net asset value | (0.22 | ) | (0.19 | ) | 0.20 | 0.24 | 0.65 | (0.03 | ) | |||||||||||||||
NET ASSET VALUE, end of period | $ | 12.58 | $ | 12.80 | $ | 12.99 | $ | 12.79 | $ | 12.55 | $ | 11.90 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | 0.19 | % | 2.29 | % | 5.89 | % | 7.38 | % | 12.29 | % | 6.46 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 3.75 | %(b) | 3.64 | % | 4.23 | % | 5.19 | % | 6.24 | % | 6.54 | % | ||||||||||||
Expenses, after expense reductions | 0.67 | %(b) | 0.67 | % | 0.69 | % | 0.69 | % | 0.70 | % | 0.69 | % | ||||||||||||
Expenses, after expense reductions and net of custody credits | 0.67 | %(b) | 0.67 | % | 0.69 | % | 0.69 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 0.74 | %(b) | 0.72 | % | 0.76 | % | 0.78 | % | 0.89 | % | 1.00 | % | ||||||||||||
Portfolio turnover rate | 15.55 | % | 22.73 | % | 18.86 | % | 21.63 | % | 20.54 | % | 59.46 | % | ||||||||||||
Net assets at end of period (000) | $ | 91,363 | $ | 90,025 | $ | 59,473 | $ | 39,281 | $ | 24,298 | $ | 12,094 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
26 Certified Semi-Annual Report |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Limited Term Income Fund | (Unaudited)* |
*Six Months Ended 2005 | Year Ended September 30, 2004 | Period Ended September 30, 2003(c) | ||||||||||
Class R1 Shares: | ||||||||||||
PER SHARE PERFORMANCE | ||||||||||||
(for a share outstanding throughout the period) | ||||||||||||
Net asset value, beginning of period | $ | 12.81 | $ | 12.99 | $ | 13.10 | ||||||
Income from investment operations: | ||||||||||||
Net investment income | 0.22 | 0.45 | 0.17 | |||||||||
Net realized and unrealized gain (loss) on investments | (0.22 | ) | (0.18 | ) | (0.11 | ) | ||||||
Total from investment operations | 0.00 | 0.27 | 0.06 | |||||||||
Less dividends from: | ||||||||||||
Net investment income | (0.22 | ) | (0.45 | ) | (0.17 | ) | ||||||
Change in net asset value | (0.22 | ) | (0.18 | ) | (0.11 | ) | ||||||
NET ASSET VALUE, end of period | $ | 12.59 | $ | 12.81 | $ | 12.99 | ||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||
Total return (a) | 0.01 | % | 2.14 | % | 0.48 | % | ||||||
Ratios to average net assets: | ||||||||||||
Net investment income | 3.43 | %(b) | 3.41 | % | 5.19 | %(b) | ||||||
Expenses, after expense reductions | 0.99 | %(b) | 0.98 | % | 1.25 | %(b) | ||||||
Expenses, after expense reductions and net of custody credits | 0.99 | %(b) | 0.98 | % | 1.25 | %(b) | ||||||
Expenses, before expense reductions | 4.21 | %(b) | 7.63 | % | 41,534.94 | %(b)* | ||||||
Portfolio turnover rate | 15.55 | % | 22.73 | % | 18.86 | % | ||||||
Net assets at end of period (000) | $ | 1,053 | $ | 911 | $ | — | (d) |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
(c) | Effective date of Class R1 Shares was July 1, 2003. |
(d) | Net assets at end of period were less than $1,000. |
* | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
�� | Certified Semi-Annual Report 27 |
Table of Contents
Thornburg Limited Term U.S. Government Fund | March 31, 2005 (Unaudited) |
CUSIPS: Class A - 885-215-103, CLASS B - 885-215-848, CLASS C - 885-215-830, CLASS I - 885-215-699, CLASS R1 - 885-215-491 NASDAQ SYMBOLS: CLASS A - LTUSX, CLASS B - LTUBX, CLASS C - LTUCX, CLASS I - LTUIX, CLASS R1 - LTURX
Issuer-Description | Principal Amount | Value | ||||
U.S. Treasury Securities — 48.52% | ||||||
United States Treasury Notes, 6.50% due 5/15/2005 | $ | 4,900,000 | $ | 4,922,203 | ||
United States Treasury Notes, 6.50% due 8/15/2005 | 4,500,000 | 4,558,711 | ||||
United States Treasury Notes, 5.75% due 11/15/2005 | 7,000,000 | 7,107,187 | ||||
United States Treasury Notes, 5.625% due 2/15/2006 | 3,000,000 | 3,059,297 | ||||
United States Treasury Notes, 4.625% due 5/15/2006 | 5,500,000 | 5,566,171 | ||||
United States Treasury Notes, 7.00% due 7/15/2006 | 2,000,000 | 2,084,844 | ||||
United States Treasury Notes, 2.375% due 8/15/2006 | 2,890,000 | 2,841,683 | ||||
United States Treasury Notes, 4.375% due 5/15/2007 | 9,000,000 | 9,100,547 | ||||
United States Treasury Notes, 6.125% due 8/15/2007 | 4,000,000 | 4,205,625 | ||||
United States Treasury Notes, 2.625% due 5/15/2008 | 10,000,000 | 9,606,250 | ||||
United States Treasury Notes, 5.50% due 5/15/2009 | 10,000,000 | 10,535,938 | ||||
United States Treasury Notes, 6.50% due 2/15/2010 | 15,000,000 | 16,518,750 | ||||
United States Treasury Notes, 5.75% due 8/15/2010 | 6,000,000 | 6,439,687 | ||||
United States Treasury Notes, 3.625% due 5/15/2013 | 15,000,000 | 14,240,625 | ||||
TOTAL U.S. TREASURY SECURITIES (Cost $103,790,896) | 100,787,518 | |||||
U.S. Government Agencies — 45.51% | ||||||
Federal Agricultural Mortgage Corp., 5.86% due 3/3/2006 | 900,000 | 917,917 | ||||
Federal Agricultural Mortgage Corp., 8.07% due 7/17/2006 | 1,000,000 | 1,052,588 | ||||
Federal Agricultural Mortgage Corp., 6.71% due 7/28/2014 | 200,000 | 226,333 | ||||
Federal Farm Credit Bank, 1.875% due 1/16/2007 | 4,650,000 | 4,487,126 | ||||
Federal Farm Credit Bank, 6.75% due 7/7/2009 | 350,000 | 380,676 | ||||
Federal Farm Credit Bank Consolidated MTN, 5.875% due 7/28/2008 | 1,900,000 | 1,989,909 | ||||
Federal Farm Credit Bank Consolidated MTN, 5.87% due 9/2/2008 | 1,300,000 | 1,361,679 | ||||
Federal Farm Credit Bank Consolidated MTN, 5.35% due 12/11/2008 | 200,000 | 206,408 | ||||
Federal Farm Credit Bank Consolidated MTN, 5.80% due 3/19/2009 | 300,000 | 314,809 | ||||
Federal Farm Credit Bank Consolidated MTN, 6.06% due 5/28/2013 | 240,000 | 258,838 | ||||
Federal Home Loan Bank, 6.345% due 11/1/2005 | 100,000 | 101,640 | ||||
Federal Home Loan Bank, 5.24% due 12/7/2005 | 225,000 | 227,576 | ||||
Federal Home Loan Bank, 5.37% due 1/20/2006 | 100,000 | 101,385 | ||||
Federal Home Loan Bank, 2.25% due 5/15/2006 | 3,000,000 | 2,951,455 | ||||
Federal Home Loan Bank, 2.25% due 10/12/2006 | 3,975,000 | 3,920,130 | ||||
Federal Home Loan Bank, 7.76% due 11/21/2006 | 200,000 | 211,707 | ||||
Federal Home Loan Bank, 3.09% due 2/22/2007 | 5,000,000 | 4,985,520 | ||||
Federal Home Loan Bank, 7.00% due 2/15/2008 | 150,000 | 160,900 | ||||
Federal Home Loan Bank, 5.48% due 1/8/2009 | 1,250,000 | 1,295,149 | ||||
Federal Home Loan Bank, 5.985% due 4/9/2009 | 1,000,000 | 1,055,610 | ||||
Federal Home Loan Bank, 5.79% due 4/27/2009 | 200,000 | 209,753 | ||||
Federal Home Loan Bank, 3.00% due 4/29/2009 | 1,750,000 | 1,726,565 | ||||
Federal Home Loan Bank, 3.40% due 11/12/2010 | 2,750,000 | 2,670,375 | ||||
Federal Home Loan Mortgage Corp., 5.98% due 12/8/2005 | 75,000 | 76,244 | ||||
Federal Home Loan Mortgage Corp., 6.80% due 3/19/2007 | 300,000 | 315,099 | ||||
Federal Home Loan Mortgage Corp., 2.00% due 4/27/2007 | 5,000,000 | 4,994,450 | ||||
Federal Home Loan Mortgage Corp., 3.42% due 6/2/2009 | 5,000,000 | 4,999,040 | ||||
Federal Home Loan Mortgage Corp. CMO Series 2137 Class TM, 6.50% due 1/15/2028 | 58,272 | 58,582 | ||||
Federal Home Loan Mortgage Corp. CMO Series 2603 Class TN, 4.00% due 10/15/2011 | 270,041 | 269,686 | ||||
Federal Home Loan Mortgage Corp. CMO Series 2821 Class YI, 5.50% due 9/15/2014 | 2,877,111 | 2,935,272 |
28 Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term U.S. Government Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Principal Amount | Value | ||||
Federal Home Loan Mortgage Corp. Preassign 00483 Series 2592, 5.00% due 7/15/2014 | $ | 1,000,000 | $ | 1,007,272 | ||
Federal Home Loan Mortgage Corp., CMO Series 2814 Class GB, 5.00% due 6/15/2019 | 2,282,459 | 2,260,809 | ||||
Federal Home Loan Mortgage Corp., Pool # 141016, 9.25% due 11/1/2016 | 99,496 | 108,831 | ||||
Federal Home Loan Mortgage Corp., Pool # 141412, 8.50% due 4/1/2017 | 170,068 | 181,815 | ||||
Federal Home Loan Mortgage Corp., Pool # 160043, 8.75% due 4/1/2008 | 16,894 | 17,445 | ||||
Federal Home Loan Mortgage Corp., Pool # 181730, 8.50% due 5/1/2008 | 17,458 | 17,935 | ||||
Federal Home Loan Mortgage Corp., Pool # 252986, 10.75% due 4/1/2010 | 40,516 | 44,024 | ||||
Federal Home Loan Mortgage Corp., Pool # 256764, 8.75% due 10/1/2014 | 9,979 | 10,263 | ||||
Federal Home Loan Mortgage Corp., Pool # 260486, 9.00% due 1/1/2010 | 4,583 | 4,672 | ||||
Federal Home Loan Mortgage Corp., Pool # 273822, 8.50% due 4/1/2009 | 79,467 | 81,420 | ||||
Federal Home Loan Mortgage Corp., Pool # 291880, 8.25% due 5/1/2017 | 2,321 | 2,365 | ||||
Federal Home Loan Mortgage Corp., Pool # 294817, 9.75% due 1/1/2017 | 65,678 | 72,681 | ||||
Federal Home Loan Mortgage Corp., Pool # 298107, 10.25% due 8/1/2017 | 28,206 | 31,696 | ||||
Federal Home Loan Mortgage Corp., Pool # C90041, 6.50% due 11/1/2013 | 63,040 | 65,265 | ||||
Federal Home Loan Mortgage Corp., Pool # D06908, 9.50% due 9/1/2017 | 8,921 | 9,492 | ||||
Federal Home Loan Mortgage Corp., Pool # D37120, 7.00% due 7/1/2023 | 72,831 | 77,016 | ||||
Federal Home Loan Mortgage Corp., Pool # E00170, 8.00% due 7/1/2007 | 56,072 | 57,869 | ||||
Federal Home Loan Mortgage Corp., Pool # E49074, 6.50% due 7/1/2008 | 36,612 | 38,289 | ||||
Federal Home Loan Mortgage Corp., Pool # E61778, 6.50% due 4/1/2008 | 53,053 | 55,481 | ||||
Federal Home Loan Mortgage Corp., Pool # E65962, 7.00% due 5/1/2008 | 4,568 | 4,807 | ||||
Federal National Mortgage Association, 2.15% due 7/21/2006 | 750,000 | 733,808 | ||||
Federal National Mortgage Association, 3.193% due 1/23/2009 | 2,000,000 | 1,999,864 | ||||
Federal National Mortgage Association CMO Series 1992-22 Class HC, 7.00% due 3/25/2007 | 153,722 | 156,548 | ||||
Federal National Mortgage Association CMO Series 1993-101 Class PJ, 7.00% due 6/25/2008 | 674,296 | 693,153 | ||||
Federal National Mortgage Association CMO Series 1993-122 Class D, 6.50% due 6/25/2023 | 202,071 | 206,351 | ||||
Federal National Mortgage Association CMO Series 1993-32 Class H, 6.00% due 3/25/2023 | 217,377 | 222,622 | ||||
Federal National Mortgage Association CMO Series G1993-35 Class JD, 6.50% due 11/25/2006 | 630,783 | 641,356 | ||||
Federal National Mortgage Association CPI Floating Rate, 3.00% due 2/17/2009 | 3,000,000 | 3,000,150 | ||||
Federal National Mortgage Association, Pool # 008307, 8.00% due 5/1/2008 | 84,291 | 86,927 | ||||
Federal National Mortgage Association, Pool # 019535, 10.25% due 7/1/2008 | 9,845 | 10,415 | ||||
Federal National Mortgage Association, Pool # 033356, 9.25% due 8/1/2016 | 87,507 | 95,241 | ||||
Federal National Mortgage Association, Pool # 040526, 9.25% due 1/1/2017 | 5,536 | 5,732 | ||||
Federal National Mortgage Association, Pool # 044003, 8.00% due 6/1/2017 | 75,059 | 80,674 | ||||
Federal National Mortgage Association, Pool # 050811, 7.50% due 12/1/2012 | 69,190 | 72,460 | ||||
Federal National Mortgage Association, Pool # 050832, 7.50% due 6/1/2013 | 86,802 | 90,872 | ||||
Federal National Mortgage Association, Pool # 076388, 9.25% due 9/1/2018 | 79,816 | 87,839 | ||||
Federal National Mortgage Association, Pool # 077725, 9.75% due 10/1/2018 | 43,161 | 46,041 | ||||
Federal National Mortgage Association, Pool # 100286, 7.50% due 8/1/2009 | 202,436 | 209,249 | ||||
Federal National Mortgage Association, Pool # 112067, 9.50% due 10/1/2016 | 57,690 | 63,468 | ||||
Federal National Mortgage Association, Pool # 156156, 8.50% due 4/1/2021 | 70,184 | 73,701 | ||||
Federal National Mortgage Association, Pool # 190555, 7.00% due 1/1/2014 | 51,773 | 53,929 | ||||
Federal National Mortgage Association, Pool # 190703, 7.00% due 3/1/2009 | 46,818 | 49,324 | ||||
Federal National Mortgage Association, Pool # 190836, 7.00% due 6/1/2009 | 114,205 | 120,317 | ||||
Federal National Mortgage Association, Pool # 250387, 7.00% due 11/1/2010 | 87,650 | 92,341 | ||||
Federal National Mortgage Association, Pool # 250481, 6.50% due 11/1/2015 | 35,970 | 37,242 | ||||
Federal National Mortgage Association, Pool # 251258, 7.00% due 9/1/2007 | 49,528 | 50,859 | ||||
Federal National Mortgage Association, Pool # 251759, 6.00% due 5/1/2013 | 129,130 | 133,578 | ||||
Federal National Mortgage Association, Pool # 252648, 6.50% due 5/1/2022 | 342,012 | 356,160 | ||||
Federal National Mortgage Association, Pool # 252787, 7.00% due 8/1/2006 | 23,066 | 23,232 | ||||
Federal National Mortgage Association, Pool # 303383, 7.00% due 12/1/2009 | 83,097 | 87,544 | ||||
Federal National Mortgage Association, Pool # 312663, 7.50% due 6/1/2010 | 115,875 | 122,411 | ||||
Federal National Mortgage Association, Pool # 323706, 7.00% due 2/1/2009 | 142,356 | 149,974 | ||||
Federal National Mortgage Association, Pool # 323735, 5.50% due 5/1/2006 | 2,269,919 | 2,293,238 |
Certified Semi-Annual Report 29 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term U.S. Government Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Principal Amount | Value | ||||
Federal National Mortgage Association, Pool # 334996, 7.00% due 2/1/2011 | $ | 88,947 | $ | 93,707 | ||
Federal National Mortgage Association, Pool # 342947, 7.25% due 4/1/2024 | 599,619 | 639,414 | ||||
Federal National Mortgage Association, Pool # 345775, 8.50% due 12/1/2024 | 52,494 | 55,064 | ||||
Federal National Mortgage Association, Pool # 373942, 6.50% due 12/1/2008 | 67,502 | 70,677 | ||||
Federal National Mortgage Association, Pool # 382889, 7.35% due 12/1/2010 | 304,113 | 326,919 | ||||
Federal National Mortgage Association, Pool # 382926, 7.37% due 12/1/2010 | 338,241 | 363,824 | ||||
Federal National Mortgage Association, Pool # 384243, 6.10% due 10/1/2011 | 620,543 | 647,861 | ||||
Federal National Mortgage Association, Pool # 384746, 5.86% due 2/1/2009 | 1,062,539 | 1,108,512 | ||||
Federal National Mortgage Association, Pool # 385714, 4.70% due 1/1/2010 | 3,195,272 | 3,203,022 | ||||
Federal National Mortgage Association, Pool # 406384, 8.25% due 12/1/2024 | 244,031 | 260,079 | ||||
Federal National Mortgage Association, Pool # 443909, 6.50% due 9/1/2018 | 246,824 | 255,940 | ||||
Federal National Mortgage Association, Pool # 460568, 5.20% due 12/1/2006 | 3,500,000 | 3,547,111 | ||||
Federal National Mortgage Association, Pool # 516363, 5.00% due 3/1/2014 | 280,647 | 281,579 | ||||
Federal National Mortgage Association, Pool # 555207, 7.00% due 11/1/2017 | 173,352 | 182,629 | ||||
Federal National Mortgage Association, Preassign 00478, 3.125% due 12/8/2008 | 3,665,000 | 3,614,436 | ||||
Federal National Mortgage Association, Preassign 00494, 2.62% due 12/5/2007 | 1,000,000 | 989,738 | ||||
Federal National Mortgage Association, Preassign 00603, 3.25% due 6/16/2009 | 4,000,000 | 3,962,167 | ||||
Government National Mortgage Association CMO Series 2001-65 Class PG, 6.00% due 7/20/2028 | 1,830,548 | 1,858,673 | ||||
Government National Mortgage Association CMO Series 2002-67 Class VA, 6.00% due 3/20/2013 | 448,483 | 459,086 | ||||
Government National Mortgage Association CMO Series 2003-67 Class PN, 4.00% due 11/20/2020 | 795,784 | 794,745 | ||||
Government National Mortgage Association, Pool # 000623, 8.00% due 9/20/2016 | 74,121 | 79,669 | ||||
Government National Mortgage Association, Pool # 016944, 7.50% due 5/15/2007 | 77,709 | 83,504 | ||||
Government National Mortgage Association, Pool # 296697, 9.50% due 10/15/2005 | 8,570 | 8,700 | ||||
Government National Mortgage Association, Pool # 306636, 8.25% due 12/15/2006 | 33,427 | 34,332 | ||||
Government National Mortgage Association, Pool # 369693, 7.00% due 1/15/2009 | 132,778 | 140,630 | ||||
Government National Mortgage Association, Pool # 409921, 7.50% due 8/15/2010 | 98,287 | 104,258 | ||||
Government National Mortgage Association, Pool # 410240, 7.00% due 12/15/2010 | 61,530 | 65,130 | ||||
Government National Mortgage Association, Pool # 410271, 7.50% due 8/15/2010 | 58,368 | 61,913 | ||||
Government National Mortgage Association, Pool # 410846, 7.00% due 12/15/2010 | 87,602 | 92,728 | ||||
Government National Mortgage Association, Pool # 430150, 7.25% due 12/15/2026 | 72,882 | 78,234 | ||||
Government National Mortgage Association, Pool # 447040, 7.75% due 5/15/2027 | 52,835 | 57,269 | ||||
Government National Mortgage Association, Pool # 453928, 7.00% due 7/15/2017 | 132,224 | 140,958 | ||||
Government National Mortgage Association, Pool # 780063, 7.00% due 9/15/2008 | 34,568 | 36,613 | ||||
Government National Mortgage Association, Pool # 780448, 6.50% due 8/15/2011 | 180,918 | 190,671 | ||||
Overseas Private Investment Corp., 4.10% due 11/15/2014 | 2,500,800 | 2,430,202 | ||||
Private Export Funding Corp., 4.974% due 8/15/2013 | 2,700,000 | 2,747,766 | ||||
Tennessee Valley Authority, 4.75% due 8/1/2013 | 3,000,000 | 3,012,918 | ||||
United States Government General Services, 7.62% due 9/15/2010 | 1,568,579 | 1,686,223 | ||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $94,890,838) | 94,525,389 | |||||
Short Term Investments — 4.81% | ||||||
Federal Home Loan Bank Discount Notes, 2.65% due 4/4/2005 | 10,000,000 | 9,997,792 | ||||
TOTAL SHORT TERM INVESTMENTS (Cost $ 9,997,791) | 9,997,792 | |||||
TOTAL INVESTMENTS — 98.84% (Cost $ 208,679,525) | $ | 205,310,699 | ||||
OTHER ASSETS LESS LIABILITIES — 1.16% | 2,414,309 | |||||
NET ASSETS — 100.00% | $ | 207,725,008 | ||||
30 Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term U.S. Government Fund | March 31, 2005 (Unaudited) |
SUMMARY OF TYPES OF HOLDINGS
Footnote Legend
See notes to financial statements.
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
MTN | Medium-Term Note |
Certified Semi-Annual Report 31 |
Table of Contents
Thornburg Limited Term Income Fund | March 31, 2005 (Unaudited) |
CUSIPS: Class A - 885-215-509, CLASS C - 885-215-764, CLASS I - 885-215-681, CLASS R1 - 885-215-483
NASDAQ SYMBOLS: CLASS A - THIFX, CLASS C - THICX, CLASS I - THIIX, CLASS R1 - THIRX
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
U.S. Treasury Securities — 3.78% | ||||||||
United States Treasury Notes, 6.50% due 5/15/2005 | Aaa/AAA | $ | 1,100,000 | $ | 1,104,984 | |||
United States Treasury Notes, 4.625% due 5/15/2006 | Aaa/AAA | 4,500,000 | 4,554,140 | |||||
United States Treasury Notes, 4.75% due 11/15/2008 | Aaa/AAA | 1,500,000 | 1,536,211 | |||||
United States Treasury Notes, 5.75% due 8/15/2010 | Aaa/AAA | 2,500,000 | 2,683,203 | |||||
United States Treasury Notes, 3.625% due 5/15/2013 | Aaa/AAA | 5,000,000 | 4,746,875 | |||||
TOTAL U.S. TREASURY SECURITIES (Cost $ 14,700,772) | 14,625,413 | |||||||
U.S. Government Agencies — 9.61% | ||||||||
Federal Home Loan Bank, 6.00% due 8/25/2005 | Aaa/AAA | 50,000 | 50,533 | |||||
Federal Home Loan Bank, 2.25% due 5/15/2006 | Aaa/AAA | 2,000,000 | 1,967,637 | |||||
Federal Home Loan Bank, 3.09% due 2/22/2007 | Aaa/AAA | 1,370,000 | 1,366,032 | |||||
Federal Home Loan Bank, 4.875% due 5/15/2007 | Aaa/AAA | 150,000 | 152,131 | |||||
Federal Home Loan Bank, 2.25% due 9/24/2007 | Aaa/AAA | 1,000,000 | 993,544 | |||||
Federal Home Loan Bank, 5.833% due 1/23/2008 | Aaa/AAA | 500,000 | 520,462 | |||||
Federal Home Loan Bank, 5.785% due 4/14/2008 | Aaa/AAA | 75,000 | 78,128 | |||||
Federal Home Loan Bank, 5.835% due 7/15/2008 | Aaa/AAA | 300,000 | 313,546 | |||||
Federal Home Loan Bank, 5.085% due 10/7/2008 | Aaa/AAA | 250,000 | 255,610 | |||||
Federal Home Loan Bank, 5.038% due 10/14/2008 | Aaa/AAA | 200,000 | 204,187 | |||||
Federal Home Loan Bank, 5.365% due 12/11/2008 | Aaa/AAA | 75,000 | 77,388 | |||||
Federal Home Loan Bank, 3.00% due 12/15/2008 | Aaa/AAA | 3,000,000 | 2,961,569 | |||||
Federal Home Loan Bank, 5.985% due 4/9/2009 | Aaa/AAA | 85,000 | 89,727 | |||||
Federal Home Loan Bank, 3.00% due 9/22/2009 | Aaa/AAA | 1,500,000 | 1,483,426 | |||||
Federal Home Loan Mortgage Corp., 9.00% due 10/1/2005 | Aaa/AAA | 1,931 | 1,953 | |||||
Federal Home Loan Mortgage Corp., 3.42% due 6/2/2009 | Aaa/AAA | 5,000,000 | 4,999,040 | |||||
Federal Home Loan Mortgage Corp. CMO Series 2821 Class YI, 5.50% due 9/15/2014 | Aaa/AAA | 2,878,061 | 2,936,242 | |||||
Federal Home Loan Mortgage Corp., CMO Series 2814 Class GB, 5.00% due 6/15/2019 | Aaa/AAA | 2,282,459 | 2,260,809 | |||||
Federal National Mortgage Association, 3.25% due 3/29/2007 | Aaa/AAA | 4,550,000 | 4,479,813 | |||||
Federal National Mortgage Association, 5.185% due 11/1/2008 | Aaa/AAA | 467,973 | 476,272 | |||||
Federal National Mortgage Association, 6.00% due 12/1/2008 | Aaa/AAA | 106,928 | 110,545 | |||||
Federal National Mortgage Association, 8.00% due 12/1/2009 | Aaa/AAA | 34,083 | 35,741 | |||||
Federal National Mortgage Association, 7.00% due 3/1/2011 | Aaa/AAA | 59,991 | 63,202 | |||||
Federal National Mortgage Association, 6.42% due 4/1/2011 | Aaa/AAA | 2,396,032 | 2,512,662 | |||||
Federal National Mortgage Association, 8.266% due 5/1/2011 | Aaa/AAA | 579,544 | 637,014 | |||||
Federal National Mortgage Association, 5.095% due 12/1/2011 | Aaa/AAA | 127,695 | 129,594 | |||||
Federal National Mortgage Association, 7.491% due 8/1/2014 | Aaa/AAA | 38,411 | 39,263 | |||||
Federal National Mortgage Association CMO Series 2003-64 Class Ec, 5.50% due 5/25/2030 | Aaa/AAA | 1,248,989 | 1,263,298 | |||||
Federal National Mortgage Association CPI Floating Rate, 4.396% due 2/17/2009 | Aaa/AAA | 5,000,000 | 5,000,250 | |||||
Federal National Mortgage Association, Pool # 460568, 5.20% due 12/1/2006 | Aaa/AAA | 800,000 | 810,768 | |||||
Government National Mortgage Association, Pool # 003007, 8.50% due 11/20/2015 | Aaa/AAA | 29,129 | 31,127 | |||||
Government National Mortgage Association, Pool # 827148, 3.375% due 2/20/2024 | Aaa/AAA | 41,125 | 41,446 | |||||
Government National Mortgage Association CMO Series 2003-67 Class PN, 4.00% due 11/20/2020 | Aaa/AAA | 808,519 | 807,462 | |||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $ 37,169,800) | 37,150,421 | |||||||
32 Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Asset Back Securities — 2.00% | ||||||||
Associates Manufactured Housing Trust 1996-1 A5, 7.60% due 3/15/2027 | Aaa/AAA | $ | 441,809 | $ | 450,153 | |||
Small Business Administration, 4.638% due 2/1/2015 | 3,325,000 | 3,262,906 | ||||||
Washington Mutual Series 02-AR10, Class-A6, 4.816% due 10/25/2032 | Aaa/AAA | 70,476 | 70,134 | |||||
Washington Mutual Series 03-AR10, Class-A4, 4.075% due 10/25/2033 | Aaa/AAA | 2,000,000 | 1,985,417 | |||||
Washington Mutual Series 03-AR12, Class-A4, 3.743% due 2/25/2034 | Aaa/AAA | 2,000,000 | 1,959,028 | |||||
TOTAL ASSET BACK SECURITIES (Cost $ 7,856,565) | 7,727,638 | |||||||
Corporate Bonds — 65.63% | ||||||||
BANKS — 3.01% | ||||||||
COMMERCIAL BANKS — 3.01% | ||||||||
Bank of America Corp., 4.375% due 12/1/2010 | Aa2/AA- | 1,675,000 | 1,649,173 | |||||
Capital One Bank, 6.70% due 5/15/2008 | Baa2/BBB | 1,665,000 | 1,764,059 | |||||
Fifth Third Bank, Cincinnati Ohio, 3.375% due 8/15/2008 | Aa1/AA- | 2,500,000 | 2,413,445 | |||||
HSBC USA Inc., 8.375% due 2/15/2007 | A1/A+ | 700,000 | 750,476 | |||||
Mercantile Bancorp, 7.30% due 6/15/2007 | Aa3/A | 1,000,000 | 1,061,517 | |||||
Nations Bank Corp., 7.23% due 8/15/2012 | Aa2/A+ | 250,000 | 278,890 | |||||
Northern Trust Co., 6.25% due 6/2/2008 | A1/A+ | 500,000 | 530,677 | |||||
PNC Funding Corp., 6.875% due 7/15/2007 | A3/BBB+ | 95,000 | 100,219 | |||||
Suntrust Bank Atlanta Georgia, 2.50% due 5/4/2006 | Aa2/AA- | 2,200,000 | 2,161,311 | |||||
Union Planters Corp., 6.75% due 11/1/2005 | A2/A- | 120,000 | 121,854 | |||||
US Bank, 5.625% due 11/30/2005 | Aa1/AA- | 385,000 | 390,037 | |||||
US Bank, 6.30% due 7/15/2008 | Aa2/A+ | 400,000 | 422,892 | |||||
11,644,550 | ||||||||
CAPITAL GOODS — 3.24% | ||||||||
MACHINERY — 3.24% | ||||||||
Caterpillar Financial Services Corp., 6.40% due 2/15/2008 | A2/A | 250,000 | 258,088 | |||||
Emerson Electric Co., 5.75% due 11/1/2011 | A2/A | 800,000 | 838,837 | |||||
General American Railcar Corp., 6.69% due 9/20/2016 | A3/AA- | 220,184 | 217,306 | |||||
Hubbell Inc., 6.375% due 5/15/2012 | A3/A+ | 1,000,000 | 1,081,306 | |||||
Illinois Tool Works Inc., 5.75% due 3/1/2009 | Aa3/AA | 3,715,000 | 3,891,139 | |||||
John Deere Capital Corp., 5.125% due 10/19/2006 | A3/A- | 450,000 | 457,087 | |||||
Johnson Controls Inc., 5.00% due 11/15/2006 | A2/A | 1,000,000 | 1,012,442 | |||||
Pentair Inc., 7.85% due 10/15/2009 | Baa3/BBB | 1,000,000 | 1,111,621 | |||||
Pitney Bowes Inc., 5.875% due 5/1/2006 | Aa3/A+ | 900,000 | 917,970 | |||||
Pitney Bowes Inc., 4.625% due 10/1/2012 | Aa3/A+ | 900,000 | 890,978 | |||||
Pitney Bowes Inc., 3.875% due 6/15/2013 | Aa3/A+ | 2,000,000 | 1,850,120 | |||||
12,526,894 | ||||||||
COMMERCIAL SERVICES & SUPPLIES — 1.91% | ||||||||
COMMERCIAL SERVICES & SUPPLIES — 1.91% | ||||||||
Aramark Services Inc., 7.00% due 7/15/2006 | Baa3/BBB- | 250,000 | 257,443 | |||||
Science Applications International Corp., 6.75% due 2/1/2008 | A3/A- | 250,000 | 265,593 | |||||
Science Applications International Corp., 6.25% due 7/1/2012 | A3/A- | 1,000,000 | 1,064,721 | |||||
Valassis Communications, 6.625% due 1/15/2009 | Baa3/BBB- | 1,700,000 | 1,798,998 | |||||
Waste Management Inc., 6.875% due 5/15/2009 | Baa3/BBB | 725,000 | 780,195 |
Certified Semi-Annual Report 33 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Waste Management Inc., 7.375% due 8/1/2010 | Baa3/BBB | $ | 500,000 | $ | 557,224 | |||
Waste Management Inc., 6.50% due 11/15/2008 | Baa3/BBB | 1,000,000 | 1,060,075 | |||||
WMX Technologies Inc., 7.00% due 5/15/2005 | Baa3/BBB | 1,010,000 | 1,012,854 | |||||
WMX Technologies Inc., 7.00% due 10/15/2006 | Baa3/BBB | 550,000 | 572,274 | |||||
7,369,377 | ||||||||
DIVERSIFIED FINANCIALS — 24.82% | ||||||||
DIVERSIFIED FINANCIAL SERVICES — 24.82% | ||||||||
American General Finance Corp., 4.625% due 9/1/2010 | A1/A+ | 200,000 | 197,751 | |||||
Bear Stearns Co. Inc., 4.50% due 10/28/2010 | A1/A | 1,500,000 | 1,474,427 | |||||
Beneficial Corp., 6.80% due 7/22/2005 | A1/A | 1,000,000 | 1,009,439 | |||||
Berkshire Hathaway Finance Corp. Senior Note, 4.625% due 10/15/2013 | Aaa/AAA | 1,000,000 | 973,164 | |||||
Dun & Bradstreet Corp., 6.625% due 3/15/2006 | NR/A- | 75,000 | 76,715 | |||||
General Electric Capital Corp., 7.75% due 6/9/2009 | Aaa/AAA | 200,000 | 222,827 | |||||
General Electric Capital Corp., 3.372% due 5/30/2008 | Aaa/AAA | 494,000 | 492,436 | |||||
General Electric Capital Corp., 4.25% due 12/1/2010 | Aaa/AAA | 2,000,000 | 1,952,670 | |||||
General Electric Capital Corp., 2.749% due 3/2/2009 | Aaa/AAA | 5,000,000 | 4,910,000 | |||||
General Electric Capital Corp., 4.375% due 11/21/2011 | Aaa/AAA | 1,500,000 | 1,464,579 | |||||
General Electric Capital Corp., 7.375% due 1/19/2010 | Aaa/AAA | 400,000 | 445,019 | |||||
General Electric Capital Corp., 5.00% due 2/15/2007 | Aaa/AAA | 2,900,000 | 2,944,121 | |||||
General Electric Capital Corp. Floating Rate Note, 3.13% due 12/15/2009 | Aaa/AAA | 1,000,000 | 1,001,088 | |||||
Hartford Financial Services Group Inc. Senior Note, 4.625% due 7/15/2013 | A3/A- | 1,000,000 | 959,864 | |||||
Household Finance Corp., 7.20% due 7/15/2006 | A1/A | 550,000 | 571,293 | |||||
Household Finance Corp., 5.75% due 1/30/2007 | A1/A | 400,000 | 410,556 | |||||
Household Finance Corp., 5.90% due 5/15/2006 | A1/A | 100,000 | 101,182 | |||||
Household Finance Corp., 5.20% due 8/15/2005 | A1/A | 400,000 | 401,804 | |||||
Household Finance Corp., 6.40% due 9/15/2009 | A1/A | 400,000 | 411,563 | |||||
Household Finance Corp. CPI Floating Rate Note, 4.34% due 8/10/2009 | A1/A | 5,000,000 | 4,910,350 | |||||
International Lease Finance Corp., 5.95% due 6/6/2005 | A1/AA- | 950,000 | 954,337 | |||||
International Lease Finance Corp., 4.55% due 10/15/2009 | A1/AA- | 2,500,000 | 2,477,578 | |||||
International Lease Finance Corp. Floating Rate Note, 3.06% due 1/15/2010 | A1/AA- | 4,050,000 | 4,048,817 | |||||
Jefferies Group Inc. Senior Note Series B, 7.50% due 8/15/2007 | Baa1/BBB | 2,600,000 | 2,782,767 | |||||
JP Morgan Chase Co., Tranche Senior 00046, 4.00% due 6/28/2009 | Aa3/A+ | 5,000,000 | 5,094,950 | |||||
JP Morgan Chase Co., 4.50% due 11/15/2010 | Aa3/A+ | 1,465,000 | 1,442,558 | |||||
Legg Mason Mortgage Capital Corp., 3.283% due 6/1/2009 | 1,714,286 | 1,712,756 | ||||||
Lehman Brothers Holdings Inc., 3.50% due 8/7/2008 | A1/A | 700,000 | 681,923 | |||||
Lehman Brothers Holdings Inc. CPI Floating Rate Note, 4.97% due 5/12/2014 | A1/A | 5,190,000 | 5,144,795 | |||||
Merrill Lynch & Co., 4.056% due 3/12/2007 | Aa3/A+ | 5,000,000 | 4,957,000 | |||||
Merrill Lynch & Co., 3.756% due 4/5/2006 | Aa3/A+ | 5,000,000 | 5,000,000 | |||||
Merrill Lynch & Co., 5.04% due 5/5/2014 | Aa3/A+ | 1,000,000 | 990,570 | |||||
Merrill Lynch & Co., CPI Floating Rate, 4.42% due 3/2/2009 | Aa3/A+ | 3,000,000 | 2,979,330 | |||||
Morgan Stanley Group, Inc., 2.79% due 1/18/2008 | Aa3/A+ | 5,000,000 | 5,007,040 | |||||
National Westminster Bank, 7.375% due 10/1/2009 | Aa2/AA- | 715,000 | 792,494 | |||||
Principal Financial Group Australia, 8.20% due 8/15/2009 | A2/A | 700,000 | 785,569 | |||||
Schwab Charles Corp., 6.30% due 4/28/2006 | A2/A- | 800,000 | 817,859 | |||||
SLM Corp. CPI Floating Rate, 5.38% due 1/31/2014 | A2/A | 9,500,000 | 9,510,830 | |||||
SLM Corp. CPI Floating Rate, 4.46% due 3/2/2009 | A2/A | 3,000,000 | 2,977,170 | |||||
SLM Corp. Floating Rate, 2.91% due 7/25/2008 | A2/A | 3,000,000 | 3,006,561 | |||||
SLM Corp. Floating Rate, 3.439% due 9/15/2008 | A2/A | 1,675,000 | 1,675,323 | |||||
Toyota Motor Credit Corp., 2.875% due 8/1/2008 | Aaa/AAA | 800,000 | 765,046 | |||||
Toyota Motor Credit Corp., 4.35% due 12/15/2010 | Aaa/AAA | 800,000 | 793,059 |
34 Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Toyota Motor Credit Corp., 4.25% due 3/15/2010 | Aaa/AAA | $ | 3,450,000 | $ | 3,401,738 | |||
Toyota Motor Credit Corp., 2.70% due 1/30/2007 | Aaa/AAA | 3,300,000 | 3,220,259 | |||||
95,951,177 | ||||||||
ENERGY — 3.79% | ||||||||
ENERGY EQUIPMENT & SERVICES — 3.34% | ||||||||
Amerenenergy Generating Co., 7.75% due 11/1/2005 | A3/A- | 850,000 | 870,119 | |||||
Ashland Inc., 7.83% due 8/15/2005 | Baa2/BBB | 1,150,000 | 1,167,137 | |||||
BJ Services Co. Note Series B, 7.00% due 2/1/2006 | Baa2/BBB+ | 75,000 | 76,517 | |||||
Central Power & Light Co., 7.125% due 2/1/2008 | Baa1/BBB | 2,000,000 | 2,135,820 | |||||
Commonwealth Edison Co., 4.74% due 8/15/2010 | A3/A- | 975,000 | 975,586 | |||||
El Paso Corp., 7.00% due 5/15/2011 | Caa1/CCC+ | 700,000 | 672,000 | |||||
Enterprise Products Participating LP, 7.50% due 2/1/2011 | Baa3/BB+ | 250,000 | 276,181 | |||||
EOG Resources Inc., 6.00% due 12/15/2008 | Baa1/BBB+ | 450,000 | 469,932 | |||||
Louis Dreyfus Natural Gas Corp., 6.875% due 12/1/2007 | A3/BBB+ | 290,000 | 305,196 | |||||
Murphy Oil Corp., 6.375% due 5/1/2012 | Baa1/A- | 750,000 | 814,737 | |||||
Panenergy Corp., 7.00% due 10/15/2006 | Baa3/BBB- | 1,100,000 | 1,139,762 | |||||
Phillips Petroleum Co., 9.375% due 2/15/2011 | A3/A- | 900,000 | 1,103,382 | |||||
Phillips Petroleum Co., 8.75% due 5/25/2010 | A3/A- | 250,000 | 295,844 | |||||
Questar Pipeline Co., 6.05% due 12/1/2008 | A2/A+ | 425,000 | 446,046 | |||||
Rio Tinto Finance, 5.75% due 7/3/2006 | Aa3/A+ | 925,000 | 946,661 | |||||
Smith International Inc. Senior Note, 7.00% due 9/15/2007 | Baa1/BBB+ | 600,000 | 630,752 | |||||
Sonat Inc., 7.625% due 7/15/2011 | Caa1/CCC+ | 500,000 | 493,750 | |||||
Transocean SedCo. Forex Inc., 6.625% due 4/15/2011 | Baa2/A- | 85,000 | 92,823 | |||||
OIL & GAS — 0.45% | ||||||||
Occidental Petroleum Corp., 10.125% due 9/15/2009 | Baa1/BBB+ | 315,000 | 376,372 | |||||
Occidental Petroleum Corp., 7.375% due 11/15/2008 | Baa1/BBB+ | 300,000 | 327,980 | |||||
Occidental Petroleum Corp., 5.875% due 1/15/2007 | Baa1/BBB+ | 800,000 | 822,393 | |||||
Union Oil Co. California, 7.90% due 4/18/2008 | Baa2/BBB+ | 200,000 | 216,712 | |||||
14,655,702 | ||||||||
FOOD & DRUG RETAILING — 0.08% | ||||||||
FOOD & STAPLES RETAILING — 0.08% | ||||||||
General Mills, 5.50% due 1/12/2009 | Baa2/BBB+ | 300,000 | 307,986 | |||||
307,986 | ||||||||
FOOD BEVERAGE & TOBACCO — 1.85% | ||||||||
BEVERAGES — 1.05% | ||||||||
Anheuser Busch Co. Inc., 4.375% due 1/15/2013 | A1/A+ | 2,000,000 | 1,944,594 | |||||
Anheuser Busch Co. Inc., 5.625% due 10/1/2010 | A1/A+ | 1,150,000 | 1,196,121 | |||||
Coca Cola Co., 5.75% due 3/15/2011 | Aa3/A+ | 200,000 | 210,068 | |||||
Coca Cola Co., 4.00% due 6/1/2005 | Aa3/A+ | 515,000 | 515,657 | |||||
Conagra Inc., 7.875% due 9/15/2010 | Baa1/BBB+ | 150,000 | 171,461 | |||||
FOOD PRODUCTS — 0.80% | ||||||||
Diageo Finance BV, 3.00% due 12/15/2006 | A2/A | 925,000 | 907,177 | |||||
Kellogg Co., 4.875% due 10/15/2005 | Baa1/BBB+ | 186,000 | 186,936 | |||||
Sara Lee Corp., 6.00% due 1/15/2008 | A3/A+ | 900,000 | 938,207 | |||||
Sysco International Co., 6.10% due 6/1/2012 | A1/A+ | 1,000,000 | 1,072,717 | |||||
7,142,938 | ||||||||
Certified Semi-Annual Report 35 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
HEALTH CARE EQUIPMENT & SERVICES — 0.13% | ||||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.13% | ||||||||
Baxter International Inc., 5.25% due 5/1/2007 | Baa1/A- | $ | 500,000 | $ | 506,582 | |||
506,582 | ||||||||
HOTELS RESTAURANTS & LEISURE — 0.19% | ||||||||
HOTELS RESTAURANTS & LEISURE — 0.19% | ||||||||
Hyatt Equities LLC, 9.25% due 5/15/2005 | Baa3/BBB | 225,000 | 226,062 | |||||
Wendy’s International Inc., 6.35% due 12/15/2005 | Baa1/BBB+ | 500,000 | 507,619 | |||||
733,681 | ||||||||
HOUSEHOLD & PERSONAL PRODUCTS — 1.37% | ||||||||
PERSONAL PRODUCTS — 1.37% | ||||||||
Gillette Co., 4.00% due 6/30/2005 | Aa3/AA- | 2,000,000 | 2,003,454 | |||||
Nike Inc., 5.50% due 8/15/2006 | A2/A | 900,000 | 917,998 | |||||
Procter & Gamble Co., 4.75% due 6/15/2007 | Aa3/AA- | 350,000 | 354,845 | |||||
Procter & Gamble Co., 4.30% due 8/15/2008 | Aa3/AA- | 2,000,000 | 2,004,084 | |||||
5,280,381 | ||||||||
INSURANCE — 8.44% | ||||||||
INSURANCE — 8.44% | ||||||||
AIG Sunamerica Global Financing, 5.10% due 1/17/2007 | Aaa/AAA | 800,000 | 812,472 | |||||
Allstate Corp., 5.375% due 12/1/2006 | A1/A+ | 900,000 | 915,812 | |||||
Allstate Life Global Funding, 4.00% due 4/2/2007 | Aa2/AA | 5,000,000 | 4,998,150 | |||||
Hartford Life Inc., 7.10% due 6/15/2007 | A3/A- | 300,000 | 316,719 | |||||
Liberty Mutual Group Inc., 5.75% due 3/15/2014 | Baa3/BBB | 1,000,000 | 982,847 | |||||
Lincoln National Corp., 4.75% due 2/15/2014 | A3/A- | 1,000,000 | 962,377 | |||||
Manufacturers Life Insurance Co., 7.875% due 4/15/2005 | A1/AA- | 855,000 | 855,513 | |||||
Metlife Inc., 5.25% due 12/1/2006 | A2/A | 450,000 | 458,548 | |||||
Old Republic International Corp., 7.00% due 6/15/2007 | Aa3/A+ | 1,800,000 | 1,892,595 | |||||
Principal Life Global Funding, 4.40% due 10/1/2010 | Aa2/AA | 4,000,000 | 3,907,492 | |||||
Pacific Life Global Funding CPI Floating Rate, 5.44% due 2/6/2016 | Aa3/AA | 8,000,000 | 8,074,400 | |||||
Principal Life Income Funding Tranche Trust 00006, 3.806% due 4/1/2016 | Aa2/AA | 5,000,000 | 4,900,350 | |||||
Unumprovident Corp., 7.625% due 3/1/2011 | Ba1/BB+ | 2,450,000 | 2,633,750 | |||||
USF&G Corp., 7.125% due 6/1/2005 | A3/BBB+ | 900,000 | 904,835 | |||||
32,615,860 | ||||||||
MATERIALS — 1.76% | ||||||||
CHEMICALS — 1.24% | ||||||||
Chevron Phillips Chemical, 7.00% due 3/15/2011 | Baa1/BBB+ | 500,000 | 548,255 | |||||
Chevron Phillips Chemical, 5.375% due 6/15/2007 | Baa1/BBB+ | 75,000 | 76,403 | |||||
Chevrontexaco Capital Co., 3.50% due 9/17/2007 | Aa2/AA | 1,400,000 | 1,378,005 | |||||
Dow Chemical Co., 5.75% due 12/15/2008 | A3/A- | 350,000 | 363,540 | |||||
E.I. du Pont de Nemours & Co., 8.25% due 9/15/2006 | Aa3/AA- | 200,000 | 211,378 | |||||
E.I. du Pont de Nemours & Co., 4.75% due 11/15/2012 | Aa3/AA- | 1,000,000 | 997,003 | |||||
E.I. du Pont de Nemours & Co., 4.125% due 3/6/2013 | Aa3/AA- | 325,000 | 309,680 | |||||
Hoechst Celanese Corp., 7.125% due 3/15/2009 | B2/NR | 200,000 | 206,065 |
36 Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Lafarge Corp., 6.375% due 7/15/2005 | Baa1/BBB | $ | 75,000 | $ | 75,571 | |||
Lubrizol Corp. Senior Note, 5.875% due 12/1/2008 | Baa3/BB+ | 635,000 | 652,775 | |||||
METALS & MINING — 0.52% | ||||||||
Minnesota Mining & Manufacturing Co., 4.15% due 6/30/2005 | Aa1/AA | 2,000,000 | 2,003,566 | |||||
6,822,241 | ||||||||
MEDIA — 1.21% | ||||||||
MEDIA — 1.21% | ||||||||
AOL Time Warner Inc., 6.75% due 4/15/2011 | Baa1/BBB+ | 750,000 | 810,446 | |||||
E W Scripps Co. Ohio, 5.75% due 7/15/2012 | A2/A | 80,000 | 84,167 | |||||
New York Times Co., 4.625% due 6/25/2007 | A1/A+ | 300,000 | 302,215 | |||||
Scholastic Corp., 5.75% due 1/15/2007 | Baa2/BBB- | 255,000 | 260,351 | |||||
Thomson Corp., 4.25% due 8/15/2009 | A3/A- | 2,900,000 | 2,840,437 | |||||
Time Warner Inc., 8.05% due 1/15/2016 | Baa1/BBB+ | 200,000 | 234,152 | |||||
Tribune Co., 6.875% due 11/1/2006 | A3/NR | 125,000 | 130,131 | |||||
4,661,899 | ||||||||
MISCELLANEOUS — 0.47% | ||||||||
MISCELLANEOUS — 0.14% | ||||||||
Stanford University, 5.85% due 3/15/2009 | Aaa/NA | 500,000 | 523,839 | |||||
YANKEE — 0.33% | ||||||||
Kreditanstalt Fur Wiederaufbau Nt, 3.25% due 7/16/2007 | Aaa/AAA | 435,000 | 427,614 | |||||
Nova Scotia Province Canada, 5.75% due 2/27/2012 | A2/A | 500,000 | 529,198 | |||||
Ontario Province Canada, 3.282% due 3/28/2008 | Aa2/AA | 335,000 | 325,087 | |||||
1,805,738 | ||||||||
PHARMACEUTICALS & BIOTECHNOLOGY — 2.95% | ||||||||
BIOTECHNOLOGY — 2.42% | ||||||||
Abbott Labs, 6.40% due 12/1/2006 | A1/AA | 1,000,000 | 1,037,125 | |||||
Abbott Labs, 3.75% due 3/15/2011 | A1/AA | 500,000 | 473,938 | |||||
Bristol Myers Squibb Co., 4.75% due 10/1/2006 | A1/A+ | 500,000 | 506,514 | |||||
Eli Lilly & Co., 5.50% due 7/15/2006 | Aa3/AA | 1,850,000 | 1,883,624 | |||||
Tiers Inflation Linked Trust Series Wyeth 2004 21 Trust Certificate CPI Floating Rate, 5.106% due 2/1/2014 | Baa1/A | 5,450,000 | 5,472,236 | |||||
PHARMACEUTICALS — 0.53% | ||||||||
Pharmacia Corp., 5.75% due 12/1/2005 | A1/AAA | 2,000,000 | 2,029,148 | |||||
11,402,585 | ||||||||
RETAILING — 1.56% | ||||||||
DISTRIBUTORS — 0.03% | ||||||||
Dayton Hudson Corp., 9.625% due 2/1/2008 | A2/A+ | 100,000 | 112,838 | |||||
MULTILINE RETAIL — 1.53% | ||||||||
Costco Wholesale Corp., 5.50% due 3/15/2007 | A2/A | 500,000 | 512,795 | |||||
Dillard’s Inc., 7.375% due 6/1/2006 | B2/BB | 150,000 | 156,000 | |||||
Wal Mart Stores Inc., 4.125% due 2/15/2011 | Aa2/AA | 3,735,000 | 3,618,001 | |||||
Wal-Mart Stores Inc., 6.875% due 8/10/2009 | Aa2/AA | 900,000 | 980,464 |
Certified Semi-Annual Report 37 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Wal-Mart Stores Inc., 8.57% due 1/2/2010 | Aa2/AA | $ | 363,177 | $ | 394,461 | |||
Wal-Mart Stores Inc., 1992-A1 Pass Through Certificate, 7.49% due 6/21/2007 | Aa2/AA | 241,957 | 253,094 | |||||
6,027,653 | ||||||||
SOFTWARE & SERVICES — 1.17% | ||||||||
INTERNET SOFTWARE & SERVICES — 1.17% | ||||||||
Electronic Data Systems Corp., 7.125% due 10/15/2009 | Ba1/BBB- | 2,500,000 | 2,687,093 | |||||
Electronic Data Systems Corp., 6.00% due 8/1/2013 | Ba1/BBB- | 1,000,000 | 1,022,683 | |||||
Reynolds & Reynolds, 7.00% due 12/15/2006 | Baa2/BBB | 800,000 | 821,200 | |||||
4,530,976 | ||||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 2.80% | ||||||||
COMPUTERS & PERIPHERALS — 2.80% | ||||||||
Computer Sciences Corp., 6.25% due 3/15/2009 | A3/A | 300,000 | 316,158 | |||||
Computer Sciences Corp., 7.375% due 6/15/2011 | A3/A | 1,317,000 | 1,488,718 | |||||
Computer Sciences Corp., 3.50% due 4/15/2008 | A3/A | 2,000,000 | 1,947,768 | |||||
First Data Corp., 5.625% due 11/1/2011 | A1/A+ | 900,000 | 942,319 | |||||
First Data Corp., 6.375% due 12/15/2007 | A1/A+ | 110,000 | 115,783 | |||||
International Business Machines, 4.875% due 10/1/2006 | A1/A+ | 500,000 | 506,687 | |||||
International Business Machines, 4.25% due 9/15/2009 | A1/A+ | 1,000,000 | 990,801 | |||||
International Business Machines, 2.375% due 11/1/2006 | A1/A+ | 2,825,000 | 2,764,285 | |||||
Jabil Circuit Inc., 5.875% due 7/15/2010 | Baa3/BB+ | 500,000 | 516,282 | |||||
Oracle Corp., 6.91% due 2/15/2007 | A3/A- | 1,200,000 | 1,251,405 | |||||
10,840,206 | ||||||||
TELECOMMUNICATION SERVICES — 1.05% | ||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 1.05% | ||||||||
Cingular Wireless, 5.625% due 12/15/2006 | Baa2/A | 900,000 | 919,421 | |||||
GTE Hawaiian Telephone Inc., 7.375% due 9/1/2006 (Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,560,715 | |||||
TCI Communications Inc., 8.00% due 8/1/2005 | Baa3/BBB | 50,000 | 50,702 | |||||
Verizon Wireless Capital LLC, 5.375% due 12/15/2006 | A3/A+ | 1,500,000 | 1,528,119 | |||||
4,058,957 | ||||||||
TRANSPORTATION — 0.59% | ||||||||
AIRLINES — 0.53% | ||||||||
Continental Airlines Pass Through Certificate Series 1997 4 Class-4A, 6.90% due 1/2/2018 | Baa3/A- | 202,765 | 198,959 | |||||
Delta Air Lines Inc. EETC Series 2001-1 Class-A, 6.619% due 3/18/2011 | Ba1/BBB- | 279,327 | 268,364 | |||||
Northwest Airlines 1999-2 Class-A, 7.575% due 3/1/2019 | Baa2/A- | 125,909 | 127,305 | |||||
Southwest Airlines Co., 7.875% due 9/1/2007 | Baa1/A | 1,012,000 | 1,087,416 | |||||
Southwest Airlines Co., 5.10% due 5/1/2006 | Aa2/AA+ | 366,212 | 370,451 | |||||
ROAD & RAIL — 0.06% | ||||||||
CSX Corp., 7.45% due 5/1/2007 | Baa2/BBB | 225,000 | 239,105 | |||||
2,291,600 | ||||||||
UTILITIES — 3.24% | ||||||||
ELECTRIC UTILITIES — 2.23% | ||||||||
Appalachian Power Co., 6.60% due 5/1/2009 (Insured: MBIA) | Aaa/AAA | 175,000 | 187,681 | |||||
Gulf Power Co., 4.35% due 7/15/2013 | A2/A | 925,000 | 878,805 |
38 Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Minnesota Power & Light Co., 7.00% due 2/15/2007 | Baa1/A | $ | 900,000 | $ | 944,003 | |||
Northern Border Pipeline Co., 6.25% due 5/1/2007 | A3/BBB+ | 120,000 | 124,262 | |||||
Northern States Power Co., 4.75% due 8/1/2010 | A2/A- | 2,825,000 | 2,820,353 | |||||
Pacificorp, 6.75% due 4/1/2005 | A3/A- | 250,000 | 250,000 | |||||
Pennsylvania Power & Light Co., 6.55% due 3/1/2006 (Insured: MBIA) | Aaa/AAA | 210,000 | 215,250 | |||||
PSI Energy Inc., 7.85% due 10/15/2007 | Baa1/BBB | 500,000 | 538,686 | |||||
PSI Energy Inc., 6.65% due 6/15/2006 | A3/A- | 245,000 | 252,067 | |||||
Public Service Electric & Gas Co., 6.75% due 3/1/2006 (Insured: MBIA) | Aaa/AAA | 275,000 | 282,608 | |||||
Texas Eastern Transmission Corp. Senior Note, 5.25% due 7/15/2007 | Baa2/BBB | 525,000 | 533,147 | |||||
Wisconsin Energy Corp., 5.50% due 12/1/2008 | A3/BBB+ | 350,000 | 361,285 | |||||
Wisconsin Public Service Corp., 6.125% due 8/1/2011 | Aa2/A+ | 1,150,000 | 1,242,167 | |||||
GAS UTILITIES — 0.75% | ||||||||
Southern California Gas Co., 4.375% due 1/15/2011 | A1/A+ | 225,000 | 219,922 | |||||
Texas Municipal Gas Corp., 2.60% due 7/1/2007 (Insured: FSA) | Aaa/AAA | 2,700,000 | 2,673,810 | |||||
MULTI-UTILITIES & UNREGULATED POWER — 0.26% | ||||||||
Madison Gas & Electric Co., 6.02% due 9/15/2008 | Aa3/AA- | 950,000 | 990,752 | |||||
12,514,798 | ||||||||
TOTAL CORPORATE BONDS (Cost $252,188,238) | 253,691,781 | |||||||
Taxable Municipal Bonds — 13.61% | ||||||||
American Campus Properties Student Housing, 7.38% due 9/1/2012 (Insured: MBIA) | Aaa/AAA | 4,250,000 | 4,662,462 | |||||
American Fork City Utah Sales, 4.89% due 3/1/2012 (Insured: FSA) | Aaa/AAA | 300,000 | 299,499 | |||||
American Fork City Utah Sales, 5.07% due 3/1/2013 (Insured: FSA) | Aaa/AAA | 120,000 | 120,577 | |||||
Arkansas Electric Coop Corp., 7.33% due 6/30/2008 | A2/AA- | 148,000 | 155,674 | |||||
Arkansas State Taxable Water Waste Disposal Series A, 5.50% due 7/1/2005 | Aa2/AA | 300,000 | 301,755 | |||||
Bessemer Alabama Water Revenue Taxable Warrants Series B, 7.375% due 7/1/2008 (Insured: FSA) | Aaa/AAA | 900,000 | 941,625 | |||||
Brockton MA Taxable Economic Development Series A, 6.45% due 5/1/2017 (Insured: FGIC) | Aaa/AAA | 150,000 | 163,650 | |||||
Burbank California Waste Disposal Revenue, 5.29% due 5/1/2007 (Insured: FSA) | Aaa/AAA | 370,000 | 376,693 | |||||
Burbank California Waste Disposal Revenue, 5.48% due 5/1/2008 (Insured: FSA) | Aaa/AAA | 310,000 | 318,463 | |||||
Chicago Illinois Taxable Neighborhoods Alive Series B, 5.20% due 1/1/2006 (Insured: FGIC) | Aaa/AAA | 200,000 | 203,440 | |||||
Cleveland Cuyahoga County Ohio, 6.10% due 5/15/2013 | NR/BBB+ | 2,035,000 | 1,986,974 | |||||
Connecticut State Housing Finance Authority, 3.10% due 6/15/2032 put 12/1/2005 (Insured: AMBAC) | Aaa/AAA | 1,870,000 | 1,859,696 | |||||
Cook County Illinois Community College District 508, 6.90% due 5/1/2010 (Insured: AMBAC) | Aaa/AAA | 600,000 | 627,642 | |||||
Cook County Illinois School District 083, 4.625% due 12/1/2010 (Insured: FSA) | Aaa/NR | 250,000 | 247,372 | |||||
Cook County Illinois School District 083, 4.875% due 12/1/2011 (Insured: FSA) | Aaa/NR | 150,000 | 149,223 | |||||
Denver City & County Special Facilities Taxable Refunding & Improvement Series B, 7.15% due 1/1/2008 (Insured: MBIA) | Aaa/AAA | 900,000 | 962,163 | |||||
Elkhart Indiana Redevelopment District Revenue, 4.80% due 6/15/2011 | NR/NR | 240,000 | 228,907 | |||||
Elkhart Indiana Redevelopment District Revenue, 4.80% due 12/15/2011 | NR/NR | 245,000 | 232,598 | |||||
Elkhart Indiana Redevelopment District Revenue, 5.05% due 12/15/2012 | NR/NR | 515,000 | 490,980 | |||||
Elkhart Indiana Redevelopment District Revenue, 5.25% due 12/15/2013 | NR/NR | 540,000 | 511,812 | |||||
Green Bay Wisconsin Series B, 4.875% due 4/1/2011 (Insured: MBIA) | Aaa/NR | 365,000 | 364,869 | |||||
Hancock County Mississippi, 4.20% due 8/1/2008 (Insured: MBIA) | Aaa/NR | 305,000 | 301,715 | |||||
Hancock County Mississippi, 4.80% due 8/1/2010 (Insured: MBIA) | Aaa/NR | 245,000 | 245,108 | |||||
Hancock County Mississippi, 4.90% due 8/1/2011 (Insured: MBIA) | Aaa/NR | 315,000 | 315,331 | |||||
Hanover Pennsylvania Area School District Taxable Notes Series B, 4.47% due 3/15/2013 (Insured: FSA) | Aaa/AAA | 1,385,000 | 1,346,829 | |||||
Jefferson County Texas Navigation Taxable Refunding, 5.50% due 5/1/2010 (Insured: FSA) | Aaa/NR | 500,000 | 511,770 | |||||
Jefferson Franklin, Etc. Counties Illinois Community College District 521, 3.00% due 1/1/2006 (Insured: FSA) | Aaa/NR | 200,000 | 199,070 |
Certified Semi-Annual Report 39 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Jefferson Franklin, Etc. Counties Illinois Community College District 521, 3.625% due 1/1/2007 (Insured: FSA) | Aaa/NR | $ | 300,000 | $ | 297,753 | |||
Jersey City New Jersey Municipal Utilities Authority, 3.72% due 5/15/2009 (Insured: MBIA) | Aaa/AAA | 575,000 | 555,921 | |||||
Kendall Kane County Illinois School 308, 5.50% due 10/1/2011 (Insured: FGIC) | Aaa/NR | 365,000 | 377,928 | |||||
King County Washington GO, 7.55% due 12/1/2005 | Aa1/AA+ | 405,000 | 415,591 | |||||
Los Angeles County California Metropolitan Transport, 4.56% due 7/1/2010 (Insured: AMBAC) | Aaa/AAA | 2,775,000 | 2,753,744 | |||||
Maryland State Economic Development Corp., 7.25% due 6/1/2008 (Maryland Tech. Development Center Project) | NR/NR | 365,000 | 379,056 | |||||
McKeesport Pennsylvania Taxable Series B, 6.60% due 3/1/2006 (Insured: MBIA) | Aaa/AAA | 240,000 | 246,139 | |||||
Mississippi State Taxable Business Series V, 7.125% due 9/1/2006 | NR/AA | 140,000 | 145,888 | |||||
Montgomery County Maryland Revenue Authority, 5.00% due 2/15/2012 | Aa2/AA+ | 100,000 | 100,190 | |||||
Multnomah County Oregon School District 1J Refunding Taxable, 4.191% due 6/15/2008 | A2/A- | 650,000 | 639,561 | |||||
Muskegon County Michigan Taxable Notes, 3.00% due 6/1/2005 | A3/A+ | 4,000,000 | 3,999,400 | |||||
New Jersey Health Care Facilities Financing, 10.75% due 7/1/2010 (ETM) | NR/NR | 420,000 | 493,143 | |||||
New Jersey Health Care Facilities Financing, 7.70% due 7/1/2011 (Insured: Connie Lee) | NR/AAA | 150,000 | 161,645 | |||||
New Rochelle New York Industrial Development Agency, 7.15% due 10/1/2014 | Aa3/A+ | 150,000 | 157,331 | |||||
New York Environmental Facilities, 5.85% due 3/15/2011 | NR/AA- | 3,500,000 | 3,692,010 | |||||
New York State Housing Finance, 4.46% due 8/15/2009 | Aa1/NR | 520,000 | 514,998 | |||||
New York State Thruway Authority Service Contract, 2.59% due 3/15/2006 | A2/AA- | 1,000,000 | 987,810 | |||||
New York State Urban Development Corp., 4.75% due 12/15/2011 | NR/AA | 1,400,000 | 1,398,474 | |||||
Newark New Jersey, 4.70% due 4/1/2011 (Insured: MBIA) | Aaa/NR | 845,000 | 837,082 | |||||
Newark New Jersey, 4.90% due 4/1/2012 (Insured: MBIA) | Aaa/NR | 1,225,000 | 1,219,843 | |||||
Niagara Falls New York Public Water, 4.30% due 7/15/2010 (Insured: MBIA) | Aaa/AAA | 360,000 | 353,700 | |||||
Northwest Open Access Network Washington Revenue, 6.18% due 12/1/2008 (Insured: AMBAC) | Aaa/AAA | 1,600,000 | 1,682,080 | |||||
Ohio State Petroleum Underground Storage, 6.75% due 8/15/2008 (Insured: MBIA) | Aaa/AAA | 835,000 | 843,818 | |||||
Oregon State Department Administrative Lottery Revenue Taxable B, 4.90% due 4/1/2005 (Insured: FSA) | Aaa/AAA | 205,000 | 205,000 | |||||
Passaic County New Jersey Multi Modal Taxable Refunding Series B, 6.23% due 9/1/2005 (Insured: FSA) | Aaa/AAA | 250,000 | 252,983 | |||||
Pima County Arizona Industrial Development Authority Series E, 9.05% due 7/1/2008 | Baa3/NR | 245,000 | 251,816 | |||||
Providence Rhode Island, 5.59% due 1/15/2008 (Insured: FGIC) | Aaa/AAA | 340,000 | 351,261 | |||||
Short Pump Town Center Community Development, 6.26% due 2/1/2009 | NR/NR | 1,000,000 | 970,910 | |||||
Sisters Providence Obligation Group Direct Obligation Notes Series 1997, 7.47% due 10/1/2007 | Aa3/AA | 2,005,000 | 2,134,984 | |||||
South Dakota State Building Authority Revenue, 7.00% due 9/1/2005 (ETM) | Aaa/AAA | 400,000 | 405,868 | |||||
St. Louis Missouri Municipal Finance Corp. Firemans Retirement System, 6.35% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 1,155,000 | 1,166,134 | |||||
Tazewell County Illinois Community High School, 5.20% due 12/1/2011 (Insured: FSA) | Aaa/NR | 355,000 | 361,656 | |||||
Tennessee State Taxable Series B, 6.00% due 2/1/2013 | Aa2/AA | 500,000 | 527,065 | |||||
Texas State Public Finance Authority Revenue, 3.125% due 6/15/2007 | Aa2/AA | 400,000 | 391,512 | |||||
Texas Tech University Revenue, 6.00% due 8/15/2011 (Insured: MBIA) | Aaa/AAA | 245,000 | 260,256 | |||||
University Illinois Revenue, 6.35% due 4/1/2011 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,078,250 | |||||
Victor New York Taxable-Tax Increment, 9.20% due 5/1/2014 | NR/NR | 1,000,000 | 1,042,080 | |||||
Virginia Housing Development Authority Taxable Rental Housing Series I, 7.30% due 2/1/2008 | Aa1/AA+ | 505,000 | 538,305 | |||||
Washington Pennsylvania, 4.30% due 9/1/2005 (Insured: FGIC) | Aaa/AAA | 285,000 | 286,029 | |||||
Waterloo Iowa Sewer Revenue Refunding Taxable Series B, 3.00% due 5/1/2005 (Insured: FSA) | Aaa/NR | 245,000 | 244,998 | |||||
West Valley City Utah Municipal Building Lease Refunding Taxable, 7.67% due 5/1/2006 | Aa2/NR | 1,500,000 | 1,556,580 | |||||
Wisconsin State General Revenue, 4.80% due 5/1/2013 (Insured: FSA) | Aaa/AAA | 200,000 | 198,934 | |||||
TOTAL TAXABLE MUNICIPAL BONDS (Cost $52,460,064) | 52,603,623 | |||||||
40 Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | ||||||
Foreign Securities — 0.68% | |||||||||
Federal Republic of Germany, 5.00% due 8/19/2005 (EURO) | Aaa/AAA | $ | 2,000,000 | $ | 2,620,225 | ||||
TOTAL FOREIGN SECURITIES (Cost $1,873,461) | 2,620,225 | ||||||||
Short Term Investments — 4.91% | |||||||||
American General Finance Corp., 2.60% due 4/1/2005 | A1+/P1 | 5,000,000 | 5,000,000 | ||||||
American General Finance Corp., 2.82% due 4/8/2005 | A1+/P1 | 4,000,000 | 3,997,807 | ||||||
Morgan Stanley Dean Witter, 2.70% due 4/6/2005 | A1+/P1 | 10,000,000 | 9,996,250 | ||||||
TOTAL SHORT TERM INVESTMENTS (Cost $18,994,057) | 18,994,057 | ||||||||
TOTAL INVESTMENTS — 100.22% (Cost $385,242,957) | $ | 387,413,158 | |||||||
LIABILITIES NET OF OTHER ASSETS — (0.22)% | (858,917 | ) | |||||||
NET ASSETS — 100.00% | $ | 386,554,241 | |||||||
SUMMARY OF SECURITY CREDIT RATINGS†
Ratings are a blend of Moody’s and Standard & Poor’s, using the higher rating. Some bonds are rated by only one service.
Footnote Legend
See notes to financial statements.
† | Credit ratings are unaudited. Rating changes may have occurred prior to or subsequent to the reporting period end. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
AMBAC | Insured by American Municipal Bond Assurance Corp. | |
ETM | Escrowed to Maturity | |
FGIC | Insured by Financial Guaranty Insurance Co. | |
FSA | Insured by Financial Security Assurance Co. | |
GO | General Obligation | |
MBIA | Insured by Municipal Bond Investors Assurance |
Certified Semi-Annual Report 41 |
Table of Contents
Thornburg Limited Term Income Funds | March 31, 2005 (Unaudited) |
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 September 30, 2004 and held until March 31, 2005.
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 Account Value 9/30/04 | Ending Account Value 3/31/05 | Expenses Paid During Period† 9/30/04–3/31/05 | |||||||
U.S. Government Fund | |||||||||
Class A Shares | |||||||||
Actual | $ | 1,000 | $ | 995.00 | $ | 4.92 | |||
Hypothetical* | $ | 1,000 | $ | 1,020.00 | $ | 4.98 | |||
Class B Shares | |||||||||
Actual | $ | 1,000 | $ | 987.80 | $ | 11.95 | |||
Hypothetical* | $ | 1,000 | $ | 1,012.90 | $ | 12.10 | |||
Class C Shares | |||||||||
Actual | $ | 1,000 | $ | 993.10 | $ | 6.18 | |||
Hypothetical* | $ | 1,000 | $ | 1,018.73 | $ | 6.26 | |||
Class I Shares | |||||||||
Actual | $ | 1,000 | $ | 995.60 | $ | 3.33 | |||
Hypothetical* | $ | 1,000 | $ | 1,021.60 | $ | 3.37 | |||
Class R1 Shares | |||||||||
Actual | $ | 1,000 | $ | 994.60 | $ | 4.58 | |||
Hypothetical* | $ | 1,000 | $ | 1,020.34 | $ | 4.64 | |||
Income Fund | |||||||||
Class A Shares | |||||||||
Actual | $ | 1,000 | $ | 1,000.30 | $ | 4.96 | |||
Hypothetical* | $ | 1,000 | $ | 1,019.98 | $ | 5.00 | |||
Class C Shares | |||||||||
Actual | $ | 1,000 | $ | 999.00 | $ | 6.20 | |||
Hypothetical* | $ | 1,000 | $ | 1,018.73 | $ | 6.26 | |||
Class I Shares | |||||||||
Actual | $ | 1,000 | $ | 1,001.90 | $ | 3.34 | |||
Hypothetical* | $ | 1,000 | $ | 1,021.60 | $ | 3.37 | |||
Class R1 Shares | |||||||||
Actual | $ | 1,000 | $ | 1,000.10 | $ | 4.94 | |||
Hypothetical* | $ | 1,000 | $ | 1,020.00 | $ | 4.99 |
† | Thornburg Limited Term U.S. Government Fund expenses are equal to the annualized expense ratio for each class (A: 0.99%; B: 2.41%; C: 1.24%; I: 0.67%; and R1: 0.92%) multiplied by the average account value over the period, multiplied by 182/365 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 R1: 0.99%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
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Thornburg Limited Term Income Funds
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 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.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files 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. The Fund’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, or may be reviewed and 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.
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Trustees’ Statement to Shareholders
February 8, 2005
The Trustees are concerned that recent commentaries and opinions reported in the media may confuse investors in general as to the supervisory duties of trustees of mutual funds and, in particular, leave Thornburg Investment Trust shareholders uncertain regarding how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. We decided to spell out clearly three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf.
We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.
Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders’ returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.
Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.
This statement is submitted for the general information of the shareholders of Thornburg Investment Trust. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money.
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Planning Options
Retirement and Education Accounts
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs – Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 70 1/2, even if you are covered by an employer retirement plan.
Roth IRAs – Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our web site at www.thornburg.com/ira.
SEP IRAs – Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employee’s SEP IRA on a discretionary basis.
SIMPLE IRAs – Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employee’s SIMPLE IRA. Employees may make salary deferral contributions.
405(b)
A special, tax-advantaged savings vehicle available only to employees of 501(c)(3) organizations, such as charitable, educational, scientific and religious organizations. 403(b) plans are also available to employees of public schools and universities.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
• | Thornburg International Value Fund |
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
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The Firm
Thornburg Investment Management is a privately held investment management company based in Santa Fe, New Mexico with assets under management of over $13 billion. Founded in 1982, the firm manages four equity funds, eight bond funds, and separate portfolios for select institutions and individuals.
Investment Philosophy
We seek to preserve and increase the real wealth of the Funds’ shareholders after accounting for inflation, taxes, and investment expenses. We’re committed to disciplined investing and controlling risk in all market environments through laddered bond and focused equity portfolios.
Portfolio Holdings Disclosure
We believe you should know what is in your portfolio. Our web site keeps investors informed of the Funds’ equity holdings. Go to www.thornburg.com/funds for portfolio manager commentary on our equity fund holdings.
Co-Ownership of Funds
We invest side-by-side with the Funds’ shareholders. Our employees have invested over $100 million in Thornburg Funds.
Core Strategies for Building Wealth
We deliver core strategies to help investors meet long-term goals. A core strategy is a consistent, disciplined and proven investment process that represents the foundation of a diversified portfolio.
INVESTMENT MANAGER
Thornburg Investment Management, Inc.
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
PRINCIPAL UNDERWRITER
Thornburg Securities Corporation
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
www.thornburg.com
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Core Strategies for Building Wealth
Thornburg Limited Term Income Funds
I Shares
Semi-Annual Report – March 31, 2005
This report and the accompanying brochure are submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/ download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money. Performance data quoted represents past performance and does not guarantee future results.
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Thornburg Limited Term Income Funds
Laddering – an All Weather Strategy
The Funds’ objectives are to obtain as high a level of current income as is consistent with the preservation of capital.
Thornburg Limited Term U.S. Government Fund – The Fund is a laddered portfolio of short/ intermediate obligations issued by the U.S. Government, its agencies or instrumentalities with an average maturity of five years or less.
Thornburg Limited Term Income Fund – This Fund is a laddered portfolio of short/intermediate investment grade obligations with an average maturity of five years or less.
Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio matures each year; cash from maturing bonds, if not needed for other purposes, is invested in bonds with longer maturities at the far end of the ladder. The strategy is a good compromise for managing different types of risk.
Thornburg Bond Funds
• | Thornburg Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term Municipal Fund |
• | Thornburg New Mexico Intermediate Municipal Fund |
• | Thornburg Limited Term Income Funds |
• | Thornburg New York Intermediate Municipal Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
Thornburg invests in short- and intermediate-term investment grade bonds. We ladder the maturities of individual bonds in the portfolios to moderate risk. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio will mature each year. We apply this disciplined process in all interest rate environments.
Thornburg Equity Funds
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
Thornburg’s equity research uses a fundamental, yet comprehensive, analytical approach. We invest when and where we perceive the most compelling value. Thornburg equity funds focus on a limited number of securities so that each holding can have a material impact on performance. The equity team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic value.
More information at www.thornburg.com
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www.thornburg.com/edelivery |
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Thornburg Limited Term Income Funds
I Shares – March 31, 2005
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Statements of Changes in Net Assets, | ||
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Financial Highlights, | ||
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Schedule of Investments, | ||
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
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Important Information
Performance data quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate so that upon redemption, investor’s shares may be worth more or less than their original cost. Current performance may be lower or higher than the data quoted. For performance data current to the most recent month end, visit www.thornburg.com.
Minimum investments for Class I shares are higher than those for other classes.
There is no up-front sales charge for Class I shares.
Shares in the Fund carry risks, including possible loss of principal. As with direct bond ownership, Funds that invest in bonds are subject to certain risks including interest-rate risk, credit risk, and inflation risk. The principal value of bond funds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Shares in the fund are not deposits or obligations of, or guaranteed or endorsed by, any bank, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any government agency.
The information presented on the following pages was current as of March 31, 2005. 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.
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Steve Bohlin
Portfolio Manager
April 15, 2005
Dear Fellow Shareholder,
I am pleased to present the Semi-Annual Report for the Thornburg Limited Term Income Fund and the Thornburg Limited Term U.S. Government Fund for the six months ended March 31, 2005. The net asset value of a Class I share of the Thornburg Limited Term Income Fund decreased 22 cents in the period to $12.58. If you were invested for the entire period, you received dividends of 24.4 cents per share. If you reinvested your dividends, you received 24.6 cents per share. The net asset value of a Class I share of the Thornburg Limited Term U.S. Government Fund decreased 24 cents in the period to $12.77. If you were invested for the entire period, you received dividends of 18.3 cents per share. If you reinvested your dividends, you received 18.5 cents per share. Please read the accompanying exhibits for more detailed information and history.
Interest rates on U.S. Treasuries were higher from short term to approximately 15 years out the yield curve on March 31, 2005 than at September 30, 2004. Most of this rise in interest rates has happened since February 9, 2005. For example, the yield on a 5-year U.S. Treasury ranged between a low of 3.25% and a high of 4.33% over the period and the yield on a 10-year U.S. Treasury ranged between a low of 3.97% and a high of 4.64%. While the front end of the yield curve has been steadily rising over the last 6 months, the 10-year and longer segment traded in a narrow range until February 9, 2005 before starting to move upward since. Quality spreads (the additional yield on a corporate bond) contracted through January before starting to rise in the last two months.
Putting income and the change in price together, the Class I shares of the Thornburg Limited Term Income Fund produced a total return of 0.19% over the six-month period, assuming a beginning-of-the-period investment at the net asset value. The Lehman Intermediate Government/Credit Index produced a (0.47)% total return over the same time period. The Class I shares of the Thornburg Limited Term U.S. Government Fund produced a total return of (0.44)% over the six-month period, assuming a beginning-of-the-period investment at the net asset value. The Lehman Intermediate Government Index produced a (0.50)% total return over the same time period. The Funds kept their duration shorter than the Indices during the fourth quarter of 2004, during which time longer-term interest rates stayed fairly steady and longer duration bonds tended to outperform. Because the Funds kept their durations shorter and allocated a larger portion of their portfolios to short-term bonds, their returns fell short of the Indices in the fourth quarter of 2004 and outperformed the Indices in the first quarter of 2005 when interest rates rose across the yield curve. We have kept our durations shorter than the Indices thus far in 2005, because we believe doing so will improve the Funds’ return relative to the Indices if interest rates rise further.
Interest rates have risen since the Chairman of the Federal Reserve Board called the level of long-term interest rates a “conundrum” in Congressional testimony. In past cycles, the yield on the 10-year Treasury has always been higher 12 months after the Federal Open Market Committee (FOMC) started raising the Fed Funds Rate. While the recent upward movements in long-term rates have closed the gap, the yield on the 10-year Treasury is still below the level on June 30, 2004, when the FOMC started the current rate hikes. While the FOMC has increased rates seven times to 2.75%, the increase in inflation has kept short-term real (after inflation) rates at approximately the same level as in June
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2004; and, longer-term real rates have actually fallen. While it is difficult to pinpoint all of the reasons for this “conundrum”, the huge influx of foreign investments has helped keep interest rates down. Almost 50% of all marketable U.S. Treasuries are now held offshore, up from 35% five years ago, 40% three years ago, and 43% one year ago. Foreign holders held $390 billion more U.S. Treasuries in January 2005 than they did at January 2004. That is only $10 billion less than the U.S. Budget Deficit for 2004.
While foreigners are funding the nation’s debt, the U.S. economy continues to grow. This cyclical expansion has been sustained by steady consumer spending, a boom in housing and, more recently, strength in business spending. If high fuel prices and rising interest rates were affecting economic growth, those effects would appear first in the spending data. That has not shown up in the data yet. The consensus forecast is for steady U.S. economic growth, as measured by 3% to 4% growth in real GDP. If strong GDP growth continues and employment is rising, the last ingredient for the Fed is low inflation. In order for the Fed to keep its “measured pace” of tightening, inflation has to remain contained. The members of the FOMC have stated that they do not believe that long-term inflation is much of a problem. However, the large increases in prices for energy and commodities have helped fuel speculation that inflation is on the rise in the near term.
It appears evident that the FOMC intends to keep increasing the Fed Funds rate at a “measured pace” until a neutral policy stance, which would be at least the rate of inflation, is achieved. The bond market tries to be proactive, however. If it is believed that the FOMC will have to accelerate their “pace”, the bond market may start increasing yields in the marketplace faster as well. Remember that the yield on the 10-year Treasury is still below the level when the Fed started raising rates. We are cognizant of this as we manage the portfolios for the future.
Regardless of the direction of interest rates, we believe your Funds are well positioned. The Thornburg Limited Term Income Fund and the Thornburg Limited Term U.S. Government Fund are laddered portfolios of short-to-intermediate bonds. We keep the portfolios laddered over a time period ranging from one day to approximately ten years, with the average maturity of the portfolios always no more than five years. Some of the bonds are always coming close to maturity, but never too many at one time. We feel a laddered maturity portfolio of short-to-intermediate bonds is a sensible strategy over time. Intermediate bonds have proven to be a sensible part of a portfolio. They can provide stability to the underlying principal, they can provide income for the portfolio, and, over the years, they have provided an attractive return versus money market instruments.
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, |
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Steven J. Bohlin |
Managing Director |
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STATEMENTS OF ASSETS AND LIABILITIES
Thornburg Limited Term Income Funds | March 31, 2005 (Unaudited) |
Limited Term U.S. Government Fund | Limited Term Income Fund | |||||||
ASSETS | ||||||||
Investments at value (cost $208,679,525 and $385,242,957, respectively) | $ | 205,310,699 | $ | 387,413,158 | ||||
Cash | 1,215,684 | 1,146,710 | ||||||
Principal receivable | 11,963 | 0 | ||||||
Receivable for fund shares sold | 254,645 | 1,570,577 | ||||||
Interest receivable | 1,983,249 | 3,734,092 | ||||||
Prepaid expenses and other assets | 41,809 | 49,562 | ||||||
Total Assets | 208,818,049 | 393,914,099 | ||||||
LIABILITIES | ||||||||
Payable for securities purchased | 0 | 5,000,000 | ||||||
Payable for fund shares redeemed | 830,301 | 1,713,413 | ||||||
Payable to investment advisor and other affiliates (Note 3) | 133,221 | 249,279 | ||||||
Accounts payable and accrued expenses | 37,402 | 126,857 | ||||||
Dividends payable | 92,117 | 270,309 | ||||||
Total Liabilities | 1,093,041 | 7,359,858 | ||||||
NET ASSETS | $ | 207,725,008 | $ | 386,554,241 | ||||
NET ASSETS CONSIST OF: | ||||||||
Distribution in excess of net investment gain (loss) | $ | (13,850 | ) | $ | (13,235 | ) | ||
Net unrealized appreciation (depreciation) on investments | (3,368,826 | ) | 2,170,728 | |||||
Accumulated net realized gain (loss) | (742,028 | ) | (3,713,956 | ) | ||||
Net capital paid in on shares of beneficial interest | 211,849,712 | 388,110,704 | ||||||
$ | 207,725,008 | $ | 386,554,241 | |||||
NET ASSET VALUE: | ||||||||
Class A Shares: | ||||||||
Net asset value and redemption price per share | $ | 12.78 | $ | 12.58 | ||||
Maximum sales charge, 1.50% of offering price | 0.19 | 0.19 | ||||||
Maximum Offering Price Per Share | $ | 12.97 | $ | 12.77 | ||||
Class B Shares: | ||||||||
Net asset value and offering price per share * | $ | 12.75 | $ | 0 | ||||
Class C Shares: | ||||||||
Net asset value and offering price per share * | $ | 12.85 | $ | 12.56 | ||||
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STATEMENTS OF ASSETS AND LIABILITIES, CONTINUED
Thornburg Limited Term Income Funds | March 31, 2005 (Unaudited) |
Limited Term U.S. Government Fund | Limited Term Income Fund | |||||
Class I Shares: | ||||||
Net asset value, offering and redemption price per share | $ | 12.77 | $ | 12.58 | ||
Class R1 Shares: | ||||||
Net asset value, offering and redemption price per share | $ | 12.78 | $ | 12.59 | ||
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
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Thornburg Limited Term Income Funds | Six Months Ended March 31, 2005 (Unaudited) |
Limited Term U.S. Government Fund | Limited Term Income Fund | |||||||
INVESTMENT INCOME: | ||||||||
Interest income (net of premium amortized of $990,581 and $613,254, respectively) | $ | 3,658,694 | $ | 8,583,928 | ||||
Total Income | 3,658,694 | 8,583,928 | ||||||
EXPENSES: | ||||||||
Investment advisory fees (Note 3) | 407,170 | 972,223 | ||||||
Administration fees (Note 3) | ||||||||
Class A Shares | 98,844 | 144,969 | ||||||
Class B Shares | 1,488 | 0 | ||||||
Class C Shares | 25,726 | 40,375 | ||||||
Class I Shares | 3,755 | 22,839 | ||||||
Class R1 Shares | 279 | 615 | ||||||
Distribution and service fees (Note 3) | ||||||||
Class A Shares | 197,688 | 289,938 | ||||||
Class B Shares | 11,887 | 0 | ||||||
Class C Shares | 205,070 | 322,515 | ||||||
Class R1 Shares | 1,118 | 2,470 | ||||||
Transfer agent fees | ||||||||
Class A Shares | 79,205 | 108,990 | ||||||
Class B Shares | 7,954 | 0 | ||||||
Class C Shares | 25,810 | 43,840 | ||||||
Class I Shares | 11,531 | 27,610 | ||||||
Class R1 Shares | 2,362 | 3,042 | ||||||
Registration and filing fees | ||||||||
Class A Shares | 17,070 | 23,638 | ||||||
Class B Shares | 4,967 | 0 | ||||||
Class C Shares | 15,076 | 13,300 | ||||||
Class I Shares | 10,736 | 12,539 | ||||||
Class R1 Shares | 11,893 | 11,627 | ||||||
Custodian fees (Note 3) | 59,855 | 87,340 | ||||||
Professional fees | 15,445 | 19,555 | ||||||
Accounting fees | 11,820 | 22,960 | ||||||
Trustee fees | 6,373 | 6,670 | ||||||
Other expenses | 39,260 | 66,801 | ||||||
Total Expenses | 1,272,382 | 2,243,856 | ||||||
Less: | ||||||||
Expenses reimbursed by investment advisor (Note 3) | (47,401 | ) | (212,168 | ) | ||||
Distribution and service fees waived (Note 3) | (102,535 | ) | (161,257 | ) | ||||
Fees paid indirectly (Note 3) | (4,136 | ) | (5,530 | ) | ||||
Net Expenses | 1,118,310 | 1,864,901 | ||||||
Net Investment Income | $ | 2,540,384 | $ | 6,719,027 | ||||
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STATEMENTS OF OPERATIONS, CONTINUED
Thornburg Limited Term Income Funds | Six Months Ended March 31, 2005 (Unaudited) |
Limited Term U.S. Government Fund | Limited Term Income Fund | |||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||
Net realized gain (loss) on: | ||||||||
Investments | $ | 918 | $ | (635,765 | ) | |||
918 | (635,765 | ) | ||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investments | (3,761,871 | ) | (5,985,293 | ) | ||||
Foreign currency translation | 0 | 266 | ||||||
(3,761,871 | ) | (5,985,027 | ) | |||||
Net Realized and Unrealized Loss | (3,760,953 | ) | (6,620,792 | ) | ||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | (1,220,569 | ) | $ | 98,235 | |||
See notes to financial statements.
Certified Semi-Annual Report 11 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Limited Term U.S. Government Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income gain | $ | 2,540,384 | $ | 6,108,467 | ||||
Net realized gain on investments | 918 | 2,572,794 | ||||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments | (3,761,871 | ) | (6,634,413 | ) | ||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,220,569 | ) | 2,046,848 | |||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (2,026,466 | ) | (4,505,818 | ) | ||||
Class B Shares | (13,495 | ) | (42,140 | ) | ||||
Class C Shares | (475,252 | ) | (1,193,563 | ) | ||||
Class I Shares | (214,397 | ) | (363,591 | ) | ||||
Class R1 Shares | (5,881 | ) | (3,340 | ) | ||||
FUND SHARE TRANSACTIONS - (Note 4): | ||||||||
Class A Shares | (7,980,201 | ) | (10,449,346 | ) | ||||
Class B Shares | (161,506 | ) | (628,485 | ) | ||||
Class C Shares | (4,739,070 | ) | (11,845,239 | ) | ||||
Class I Shares | 1,650,954 | 19,693 | ||||||
Class R1 Shares | 254,014 | 421,885 | ||||||
Net Decrease in Net Assets | (14,931,869 | ) | (26,543,096 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 222,656,877 | 249,199,973 | ||||||
End of period | $ | 207,725,008 | $ | 222,656,877 | ||||
See notes to financial statements.
12 Certified Semi-Annual Report |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Limited Term Income Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income gain | $ | 6,719,027 | $ | 11,970,046 | ||||
Net realized loss on investments and foreign currency | (635,765 | ) | (1,197,633 | ) | ||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments and foreign currency translation | (5,985,027 | ) | (3,681,220 | ) | ||||
Net Increase in Net Assets Resulting from Operations | 98,235 | 7,091,193 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (4,092,826 | ) | (7,103,088 | ) | ||||
Class C Shares | (1,059,197 | ) | (1,897,482 | ) | ||||
Class I Shares | (1,758,313 | ) | (3,012,694 | ) | ||||
Class R1 Shares | (17,215 | ) | (8,104 | ) | ||||
FUND SHARE TRANSACTIONS - (Note 4): | ||||||||
Class A Shares | 5,387,221 | 48,582,688 | ||||||
Class C Shares | (1,704,954 | ) | 11,375,293 | |||||
Class I Shares | 2,951,970 | 31,761,582 | ||||||
Class R1 Shares | 159,527 | 903,829 | ||||||
Net Increase (Decrease) in Net Assets | (35,552 | ) | 87,693,217 | |||||
NET ASSETS: | ||||||||
Beginning of period | 386,589,793 | 298,896,576 | ||||||
End of period | $ | 386,554,241 | $ | 386,589,793 | ||||
See notes to financial statements.
Certified Semi-Annual Report 13 |
Table of Contents
Thornburg Limited Term Income Funds | March 31, 2005 (Unaudited) |
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, in the view of the Funds’ investment advisor, 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 R1) 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 R1) shares. Each class of shares of a 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 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 R1 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 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 Funds are limited to service and distribution fees, administrative fees, and certain registration and transfer agent expenses. Class B shares of the Government Fund outstanding for eight years will convert to Class A shares of the Government Fund.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Trust are as follows:
Valuation of Investments: In determining net asset value, the Trust 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 Board of 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 Trust to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all taxable income, including any net realized gain on investments, of the Fund, to the shareholders. Therefore, no provision for Federal income taxes 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 Funds’ investment objectives and not for the purpose of investment leverage or to speculate on interest rate and/or market changes. At the time the Trust makes a commitment to purchase a security on a when-issued basis, the Funds will record the transaction and reflect the value in determining each fund’s net asset value. When effecting such transactions, assets of an amount sufficient to make payment for the portfolio securities to be purchased will be segregated on the each fund’s records at the trade date. Securities purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.
Dividends: Net investment income of the Funds are declared daily as a dividend on shares for which the Funds have received payment. Dividends are paid monthly and are reinvested in additional shares of the Funds at net asset value per share at the close of business on the dividend payment date, or at the shareholder’s option, paid in cash. Net capital gains, to the extent available, will be distributed at least annually.
General: Securities transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums
14 Certified Semi-Annual Report |
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Income Funds | March 31, 2005 (Unaudited) |
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 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 Funds for which the fees are payable at the end of each month. For the period ended March 31, 2005, these fees were payable at annual rates ranging from .375 of 1% to ..275 of 1% per annum of the average daily net assets of the Government Fund and .50 of 1% to .275 of 1% per annum of the average daily net assets of the Income Fund depending on each fund’s asset size. The Trust also have an Administrative Services Agreement with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Funds’ shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to Class A, Class B, Class C, and Class R1 shares, and up to .05 of 1% per annum of the average daily net assets attributable to Class I shares. For the period ended March 31, 2005, the Advisor voluntarily reimbursed certain class specific expenses and administrative fees of $1,571, $3,463, $14,815, $12,853, and $14,699 for the Class A, B, C, I, and R1 shares, respectively, of the Government Fund and $112,519, $51,559, $32,251, and $15,839 for the Class A, C, I, and R1 shares, respectively, of the Income Fund.
The Trust has an 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 period ended March 31, 2005, the Distributor has advised the Funds that it earned net commissions aggregating $611 and $(661) from the sales of Class A shares of the Government Fund and Income Fund, respectively, and collected contingent deferred sales charges aggregating $2,530 and $7,147 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 R1 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 Trust have also adopted Distribution Plans pursuant to Rule 12b-1, applicable to each fund’s Class B, Class C, and Class R1 shares under which the Funds compensate the Distributor for services in promoting the sale of Class B, C, and R1 shares of the Funds at an annual rate of up to .75 of 1% per annum of the average daily net assets attributable to these
Certified Semi-Annual Report 15 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Income Funds | March 31, 2005 (Unaudited) |
classes. Total fees incurred by each class of shares of the Funds under their respective service and distribution plans for the period ended March 31, 2005, are set forth in the Statements of Operations. Distribution fees of $102,535 and $161,257 respectively for Class C shares of the Government Fund and Income Fund were waived.
The Trust has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Funds’ 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 March 31, 2005, fees paid indirectly were $4,136 and $5,530 for the Government 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 independent Trustees is borne by the Trust.
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2005, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
GOVERNMENT FUND
Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 1,393,750 | $ | 18,007,048 | 3,221,701 | $ | 42,079,302 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 117,733 | 1,518,468 | 258,973 | 3,377,519 | ||||||||||
Shares repurchased | (2,130,118 | ) | (27,505,717 | ) | (4,285,525 | ) | (55,906,167 | ) | ||||||
Net Increase (Decrease) | (618,635 | ) | $ | (7,980,201 | ) | (804,851 | ) | $ | (10,449,346 | ) | ||||
Class B Shares | ||||||||||||||
Shares sold | 25,912 | $ | 335,123 | 78,261 | $ | 1,011,694 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 752 | 9,691 | 1,992 | 25,958 | ||||||||||
Shares repurchased | (39,341 | ) | (506,320 | ) | (128,014 | ) | (1,666,137 | ) | ||||||
Net Increase (Decrease) | (12,677 | ) | $ | (161,506 | ) | (47,761 | ) | $ | (628,485 | ) | ||||
Class C Shares | ||||||||||||||
Shares sold | 241,056 | $ | 3,128,398 | 728,926 | $ | 9,584,018 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 27,104 | 351,595 | 67,056 | 880,006 | ||||||||||
Shares repurchased | (633,484 | ) | (8,219,063 | ) | (1,700,988 | ) | (22,309,263 | ) | ||||||
Net Increase (Decrease) | (365,324 | ) | $ | (4,739,070 | ) | (905,006 | ) | $ | (11,845,239 | ) | ||||
Class I Shares | ||||||||||||||
Shares sold | 327,727 | $ | 4,256,656 | 415,995 | $ | 5,417,464 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 14,470 | 186,539 | 23,453 | 305,738 | ||||||||||
Shares repurchased | (216,550 | ) | (2,792,241 | ) | (436,875 | ) | (5,703,509 | ) | ||||||
Net Increase (Decrease) | 125,647 | $ | 1,650,954 | 2,573 | $ | 19,693 | ||||||||
16 Certified Semi-Annual Report |
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Income Funds | March 31, 2005 (Unaudited) |
GOVERNMENT FUND (cont.)
Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||||||||
Class R1 Shares | ||||||||||||||
Shares sold | 28,054 | $ | 359,884 | 33,177 | $ | 432,173 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 378 | 4,876 | 186 | 2,416 | ||||||||||
Shares repurchased | (8,576 | ) | (110,746 | ) | (972 | ) | (12,704 | ) | ||||||
Net Increase (Decrease) | 19,856 | $ | 254,014 | 32,391 | $ | 421,885 | ||||||||
INCOME FUND
Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 2,542,786 | $ | 32,376,672 | 7,793,807 | $ | 99,954,867 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 237,696 | 3,020,847 | 403,134 | 5,160,648 | ||||||||||
Shares repurchased | (2,361,929 | ) | (30,010,298 | ) | (4,413,893 | ) | (56,532,827 | ) | ||||||
Net Increase (Decrease) | 418,553 | $ | 5,387,221 | 3,783,048 | $ | 48,582,688 | ||||||||
Class C Shares | ||||||||||||||
Shares sold | 553,804 | $ | 7,036,535 | 2,147,268 | $ | 27,537,572 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 57,066 | 724,103 | 100,334 | 1,282,321 | ||||||||||
Shares repurchased | (745,312 | ) | (9,465,592 | ) | (1,365,887 | ) | (17,444,600 | ) | ||||||
Net Increase (Decrease) | (134,442 | ) | $ | (1,704,954 | ) | 881,715 | $ | 11,375,293 | ||||||
Class I Shares | ||||||||||||||
Shares sold | 1,255,895 | $ | 15,994,255 | 4,876,662 | $ | 62,615,919 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 124,564 | 1,583,259 | 214,441 | 2,744,433 | ||||||||||
Shares repurchased | (1,149,986 | ) | (14,625,544 | ) | (2,637,669 | ) | (33,598,770 | ) | ||||||
Net Increase (Decrease) | 230,473 | $ | 2,951,970 | 2,453,434 | $ | 31,761,582 | ||||||||
Class R1 Shares | ||||||||||||||
Shares sold | 19,984 | $ | 255,222 | 71,754 | $ | 911,924 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 687 | 8,724 | 223 | 2,855 | ||||||||||
Shares repurchased | (8,159 | ) | (104,419 | ) | (863 | ) | (10,950 | ) | ||||||
Net Increase (Decrease) | 12,512 | $ | 159,527 | 71,114 | $ | 903,829 | ||||||||
Certified Semi-Annual Report 17 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Income Funds | March 31, 2005 (Unaudited) |
NOTE 5 – SECURITIES TRANSACTIONS
For the period ended March 31, 2005, the Funds had purchase and sale transactions of investment securities (excluding short-term investments) of $39,516,822 and $18,198,208, for the Government Fund and $68,940,289 and $57,532,897 for the Income Fund, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2005, information on the tax components of capital is as follows:
Government Fund | Income Fund | |||||||
Cost of investments for tax purpose | $ | 208,679,525 | $ | 385,250,944 | ||||
Gross unrealized appreciation on a tax basis | $ | 859,198 | $ | 5,383,630 | ||||
Gross unrealized depreciation on a tax basis | (4,228,024 | ) | (3,221,416 | ) | ||||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | (3,368,826 | ) | $ | 2,162,214 | |||
At March 31, 2005, the Government Fund had tax basis capital losses, which may be carried over to offset future capital gains. Such losses expire as follows:
Capital loss carryovers expiring in:
2009 | $ | 729,335 | |
2010 | 13,611 | ||
$ | 742,946 | ||
At March 31, 2005, the Income Fund had tax basis capital losses, which may be carried over to offset future capital gains. Such losses expire as follows:
Capital loss carryovers expiring in:
2008 | $ | 497,824 | |
2009 | 650,941 | ||
2010 | 308,333 | ||
$ | 1,457,098 | ||
As of March 31, 2005, 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.
18 Certified Semi-Annual Report |
Table of Contents
FINANCIAL HIGHLIGHTS | ||
Thornburg Limited Term U.S. Government Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Year Ended September 30, | |||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.01 | $ | 13.22 | $ | 13.27 | $ | 12.77 | $ | 12.03 | $ | 12.05 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.18 | 0.39 | 0.51 | 0.62 | 0.72 | 0.72 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.24 | ) | (0.21 | ) | (0.05 | ) | 0.50 | 0.74 | (0.02 | ) | ||||||||||||||
Total from investment operations | (0.06 | ) | 0.18 | 0.46 | 1.12 | 1.46 | 0.70 | |||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.18 | ) | (0.39 | ) | (0.51 | ) | (0.62 | ) | (0.72 | ) | (0.72 | ) | ||||||||||||
Change in net asset value | (0.24 | ) | (0.21 | ) | (0.05 | ) | 0.50 | 0.74 | (0.02 | ) | ||||||||||||||
NET ASSET VALUE, end of period | $ | 12.77 | $ | 13.01 | $ | 13.22 | $ | 13.27 | $ | 12.77 | $ | 12.03 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | (0.44 | )% | 1.37 | % | 3.51 | % | 9.11 | % | 12.45 | % | 6.07 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 2.70 | % (b) | 2.95 | % | 3.77 | % | 4.86 | % | 5.79 | % | 6.06 | % | ||||||||||||
Expenses, after expense reductions | 0.67 | % (b) | 0.67 | % | 0.64 | % | 0.61 | % | 0.61 | % | 0.60 | % | ||||||||||||
Expenses, after expense reductions | ||||||||||||||||||||||||
and net of custody credits | 0.67 | % (b) | 0.67 | % | 0.62 | % | 0.60 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 0.84 | % (b) | 0.77 | % | 0.82 | % | 1.04 | % | 1.21 | % | 1.08 | % | ||||||||||||
Portfolio turnover rate | 9.12 | % | 12.39 | % | 35.06 | % | 4.34 | % | 15.23 | % | 19.66 | % | ||||||||||||
Net assets at end of period (000) | $ | 14,279 | $ | 12,905 | $ | 13,085 | $ | 6,960 | $ | 3,992 | $ | 3,819 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
Certified Semi-Annual Report 19
Table of Contents
FINANCIAL HIGHLIGHTS | ||
Thornburg Limited Term Income Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Year Ended September 30, | |||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.80 | $ | 12.99 | $ | 12.79 | $ | 12.55 | $ | 11.90 | $ | 11.93 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.24 | 0.47 | 0.55 | 0.65 | 0.77 | 0.77 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.22 | ) | (0.19 | ) | 0.20 | 0.24 | 0.65 | (0.03 | ) | |||||||||||||||
Total from investment operations | 0.02 | 0.28 | 0.75 | 0.89 | 1.42 | 0.74 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.24 | ) | (0.47 | ) | (0.55 | ) | (0.65 | ) | (0.77 | ) | (0.77 | ) | ||||||||||||
Change in net asset value | (0.22 | ) | (0.19 | ) | 0.20 | 0.24 | 0.65 | (0.03 | ) | |||||||||||||||
NET ASSET VALUE, end of period | $ | 12.58 | $ | 12.80 | $ | 12.99 | $ | 12.79 | $ | 12.55 | $ | 11.90 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | 0.19 | % | 2.29 | % | 5.89 | % | 7.38 | % | 12.29 | % | 6.46 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 3.75 | % (b) | 3.64 | % | 4.23 | % | 5.19 | % | 6.24 | % | 6.54 | % | ||||||||||||
Expenses, after expense reductions | 0.67 | % (b) | 0.67 | % | 0.69 | % | 0.69 | % | 0.70 | % | 0.69 | % | ||||||||||||
Expenses, after expense reductions | ||||||||||||||||||||||||
and net of custody credits | 0.67 | % (b) | 0.67 | % | 0.69 | % | 0.69 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 0.74 | % (b) | 0.72 | % | 0.76 | % | 0.78 | % | 0.89 | % | 1.00 | % | ||||||||||||
Portfolio turnover rate | 15.55 | % | 22.73 | % | 18.86 | % | 21.63 | % | 20.54 | % | 59.46 | % | ||||||||||||
Net assets at end of period (000) | $ | 91,363 | $ | 90,025 | $ | 59,473 | $ | 39,281 | $ | 24,298 | $ | 12,094 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
20 Certified Semi-Annual Report
Table of Contents
Thornburg Limited Term U.S. Government Fund | March 31, 2005 (Unaudited) |
CUSIPS: Class A - 885-215-103, CLASS B - 885-215-848, CLASS C - 885-215-830, CLASS I - 885-215-699, CLASS R1 - 885-215-491 NASDAQ SYMBOLS: CLASS A - LTUSX, CLASS B - LTUBX, CLASS C - LTUCX, CLASS I - LTUIX, CLASS R1 - LTURX
Issuer-Description | Principal Amount | Value | ||||
U.S. Treasury Securities — 48.52% | ||||||
United States Treasury Notes, 6.50% due 5/15/2005 | $ | 4,900,000 | $ | 4,922,203 | ||
United States Treasury Notes, 6.50% due 8/15/2005 | 4,500,000 | 4,558,711 | ||||
United States Treasury Notes, 5.75% due 11/15/2005 | 7,000,000 | 7,107,187 | ||||
United States Treasury Notes, 5.625% due 2/15/2006 | 3,000,000 | 3,059,297 | ||||
United States Treasury Notes, 4.625% due 5/15/2006 | 5,500,000 | 5,566,171 | ||||
United States Treasury Notes, 7.00% due 7/15/2006 | 2,000,000 | 2,084,844 | ||||
United States Treasury Notes, 2.375% due 8/15/2006 | 2,890,000 | 2,841,683 | ||||
United States Treasury Notes, 4.375% due 5/15/2007 | 9,000,000 | 9,100,547 | ||||
United States Treasury Notes, 6.125% due 8/15/2007 | 4,000,000 | 4,205,625 | ||||
United States Treasury Notes, 2.625% due 5/15/2008 | 10,000,000 | 9,606,250 | ||||
United States Treasury Notes, 5.50% due 5/15/2009 | 10,000,000 | 10,535,938 | ||||
United States Treasury Notes, 6.50% due 2/15/2010 | 15,000,000 | 16,518,750 | ||||
United States Treasury Notes, 5.75% due 8/15/2010 | 6,000,000 | 6,439,687 | ||||
United States Treasury Notes, 3.625% due 5/15/2013 | 15,000,000 | 14,240,625 | ||||
TOTAL U.S. TREASURY SECURITIES (Cost $ 103,790,896) | 100,787,518 | |||||
U.S. Government Agencies — 45.51% | ||||||
Federal Agricultural Mortgage Corp., 5.86% due 3/3/2006 | 900,000 | 917,917 | ||||
Federal Agricultural Mortgage Corp., 8.07% due 7/17/2006 | 1,000,000 | 1,052,588 | ||||
Federal Agricultural Mortgage Corp., 6.71% due 7/28/2014 | 200,000 | 226,333 | ||||
Federal Farm Credit Bank, 1.875% due 1/16/2007 | 4,650,000 | 4,487,126 | ||||
Federal Farm Credit Bank, 6.75% due 7/7/2009 | 350,000 | 380,676 | ||||
Federal Farm Credit Bank Consolidated MTN, 5.875% due 7/28/2008 | 1,900,000 | 1,989,909 | ||||
Federal Farm Credit Bank Consolidated MTN, 5.87% due 9/2/2008 | 1,300,000 | 1,361,679 | ||||
Federal Farm Credit Bank Consolidated MTN, 5.35% due 12/11/2008 | 200,000 | 206,408 | ||||
Federal Farm Credit Bank Consolidated MTN, 5.80% due 3/19/2009 | 300,000 | 314,809 | ||||
Federal Farm Credit Bank Consolidated MTN, 6.06% due 5/28/2013 | 240,000 | 258,838 | ||||
Federal Home Loan Bank, 6.345% due 11/1/2005 | 100,000 | 101,640 | ||||
Federal Home Loan Bank, 5.24% due 12/7/2005 | 225,000 | 227,576 | ||||
Federal Home Loan Bank, 5.37% due 1/20/2006 | 100,000 | 101,385 | ||||
Federal Home Loan Bank, 2.25% due 5/15/2006 | 3,000,000 | 2,951,455 | ||||
Federal Home Loan Bank, 2.25% due 10/12/2006 | 3,975,000 | 3,920,130 | ||||
Federal Home Loan Bank, 7.76% due 11/21/2006 | 200,000 | 211,707 | ||||
Federal Home Loan Bank, 3.09% due 2/22/2007 | 5,000,000 | 4,985,520 | ||||
Federal Home Loan Bank, 7.00% due 2/15/2008 | 150,000 | 160,900 | ||||
Federal Home Loan Bank, 5.48% due 1/8/2009 | 1,250,000 | 1,295,149 | ||||
Federal Home Loan Bank, 5.985% due 4/9/2009 | 1,000,000 | 1,055,610 | ||||
Federal Home Loan Bank, 5.79% due 4/27/2009 | 200,000 | 209,753 | ||||
Federal Home Loan Bank, 3.00% due 4/29/2009 | 1,750,000 | 1,726,565 | ||||
Federal Home Loan Bank, 3.40% due 11/12/2010 | 2,750,000 | 2,670,375 | ||||
Federal Home Loan Mortgage Corp., 5.98% due 12/8/2005 | 75,000 | 76,244 | ||||
Federal Home Loan Mortgage Corp., 6.80% due 3/19/2007 | 300,000 | 315,099 | ||||
Federal Home Loan Mortgage Corp., 2.00% due 4/27/2007 | 5,000,000 | 4,994,450 | ||||
Federal Home Loan Mortgage Corp., 3.42% due 6/2/2009 | 5,000,000 | 4,999,040 | ||||
Federal Home Loan Mortgage Corp. CMO Series 2137 Class TM, 6.50% due 1/15/2028 | 58,272 | 58,582 | ||||
Federal Home Loan Mortgage Corp. CMO Series 2603 Class TN, 4.00% due 10/15/2011 | 270,041 | 269,686 | ||||
Federal Home Loan Mortgage Corp. CMO Series 2821 Class YI, 5.50% due 9/15/2014 | 2,877,111 | 2,935,272 |
Certified Semi-Annual Report 21 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term U.S. Government Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Principal Amount | Value | ||||
Federal Home Loan Mortgage Corp. Preassign 00483 Series 2592, 5.00% due 7/15/2014 | $ | 1,000,000 | $ | 1,007,272 | ||
Federal Home Loan Mortgage Corp., CMO Series 2814 Class GB, 5.00% due 6/15/2019 | 2,282,459 | 2,260,809 | ||||
Federal Home Loan Mortgage Corp., Pool # 141016, 9.25% due 11/1/2016 | 99,496 | 108,831 | ||||
Federal Home Loan Mortgage Corp., Pool # 141412, 8.50% due 4/1/2017 | 170,068 | 181,815 | ||||
Federal Home Loan Mortgage Corp., Pool # 160043, 8.75% due 4/1/2008 | 16,894 | 17,445 | ||||
Federal Home Loan Mortgage Corp., Pool # 181730, 8.50% due 5/1/2008 | 17,458 | 17,935 | ||||
Federal Home Loan Mortgage Corp., Pool # 252986, 10.75% due 4/1/2010 | 40,516 | 44,024 | ||||
Federal Home Loan Mortgage Corp., Pool # 256764, 8.75% due 10/1/2014 | 9,979 | 10,263 | ||||
Federal Home Loan Mortgage Corp., Pool # 260486, 9.00% due 1/1/2010 | 4,583 | 4,672 | ||||
Federal Home Loan Mortgage Corp., Pool # 273822, 8.50% due 4/1/2009 | 79,467 | 81,420 | ||||
Federal Home Loan Mortgage Corp., Pool # 291880, 8.25% due 5/1/2017 | 2,321 | 2,365 | ||||
Federal Home Loan Mortgage Corp., Pool # 294817, 9.75% due 1/1/2017 | 65,678 | 72,681 | ||||
Federal Home Loan Mortgage Corp., Pool # 298107, 10.25% due 8/1/2017 | 28,206 | 31,696 | ||||
Federal Home Loan Mortgage Corp., Pool # C90041, 6.50% due 11/1/2013 | 63,040 | 65,265 | ||||
Federal Home Loan Mortgage Corp., Pool # D06908, 9.50% due 9/1/2017 | 8,921 | 9,492 | ||||
Federal Home Loan Mortgage Corp., Pool # D37120, 7.00% due 7/1/2023 | 72,831 | 77,016 | ||||
Federal Home Loan Mortgage Corp., Pool # E00170, 8.00% due 7/1/2007 | 56,072 | 57,869 | ||||
Federal Home Loan Mortgage Corp., Pool # E49074, 6.50% due 7/1/2008 | 36,612 | 38,289 | ||||
Federal Home Loan Mortgage Corp., Pool # E61778, 6.50% due 4/1/2008 | 53,053 | 55,481 | ||||
Federal Home Loan Mortgage Corp., Pool # E65962, 7.00% due 5/1/2008 | 4,568 | 4,807 | ||||
Federal National Mortgage Association, 2.15% due 7/21/2006 | 750,000 | 733,808 | ||||
Federal National Mortgage Association, 3.193% due 1/23/2009 | 2,000,000 | 1,999,864 | ||||
Federal National Mortgage Association CMO Series 1992-22 Class HC, 7.00% due 3/25/2007 | 153,722 | 156,548 | ||||
Federal National Mortgage Association CMO Series 1993-101 Class PJ, 7.00% due 6/25/2008 | 674,296 | 693,153 | ||||
Federal National Mortgage Association CMO Series 1993-122 Class D, 6.50% due 6/25/2023 | 202,071 | 206,351 | ||||
Federal National Mortgage Association CMO Series 1993-32 Class H, 6.00% due 3/25/2023 | 217,377 | 222,622 | ||||
Federal National Mortgage Association CMO Series G1993-35 Class JD, 6.50% due 11/25/2006 | 630,783 | 641,356 | ||||
Federal National Mortgage Association CPI Floating Rate, 3.00% due 2/17/2009 | 3,000,000 | 3,000,150 | ||||
Federal National Mortgage Association, Pool # 008307, 8.00% due 5/1/2008 | 84,291 | 86,927 | ||||
Federal National Mortgage Association, Pool # 019535, 10.25% due 7/1/2008 | 9,845 | 10,415 | ||||
Federal National Mortgage Association, Pool # 033356, 9.25% due 8/1/2016 | 87,507 | 95,241 | ||||
Federal National Mortgage Association, Pool # 040526, 9.25% due 1/1/2017 | 5,536 | 5,732 | ||||
Federal National Mortgage Association, Pool # 044003, 8.00% due 6/1/2017 | 75,059 | 80,674 | ||||
Federal National Mortgage Association, Pool # 050811, 7.50% due 12/1/2012 | 69,190 | 72,460 | ||||
Federal National Mortgage Association, Pool # 050832, 7.50% due 6/1/2013 | 86,802 | 90,872 | ||||
Federal National Mortgage Association, Pool # 076388, 9.25% due 9/1/2018 | 79,816 | 87,839 | ||||
Federal National Mortgage Association, Pool # 077725, 9.75% due 10/1/2018 | 43,161 | 46,041 | ||||
Federal National Mortgage Association, Pool # 100286, 7.50% due 8/1/2009 | 202,436 | 209,249 | ||||
Federal National Mortgage Association, Pool # 112067, 9.50% due 10/1/2016 | 57,690 | 63,468 | ||||
Federal National Mortgage Association, Pool # 156156, 8.50% due 4/1/2021 | 70,184 | 73,701 | ||||
Federal National Mortgage Association, Pool # 190555, 7.00% due 1/1/2014 | 51,773 | 53,929 | ||||
Federal National Mortgage Association, Pool # 190703, 7.00% due 3/1/2009 | 46,818 | 49,324 | ||||
Federal National Mortgage Association, Pool # 190836, 7.00% due 6/1/2009 | 114,205 | 120,317 | ||||
Federal National Mortgage Association, Pool # 250387, 7.00% due 11/1/2010 | 87,650 | 92,341 | ||||
Federal National Mortgage Association, Pool # 250481, 6.50% due 11/1/2015 | 35,970 | 37,242 | ||||
Federal National Mortgage Association, Pool # 251258, 7.00% due 9/1/2007 | 49,528 | 50,859 | ||||
Federal National Mortgage Association, Pool # 251759, 6.00% due 5/1/2013 | 129,130 | 133,578 | ||||
Federal National Mortgage Association, Pool # 252648, 6.50% due 5/1/2022 | 342,012 | 356,160 | ||||
Federal National Mortgage Association, Pool # 252787, 7.00% due 8/1/2006 | 23,066 | 23,232 | ||||
Federal National Mortgage Association, Pool # 303383, 7.00% due 12/1/2009 | 83,097 | 87,544 | ||||
Federal National Mortgage Association, Pool # 312663, 7.50% due 6/1/2010 | 115,875 | 122,411 | ||||
Federal National Mortgage Association, Pool # 323706, 7.00% due 2/1/2009 | 142,356 | 149,974 | ||||
Federal National Mortgage Association, Pool # 323735, 5.50% due 5/1/2006 | 2,269,919 | 2,293,238 |
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Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term U.S. Government Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Principal Amount | Value | ||||
Federal National Mortgage Association, Pool # 334996, 7.00% due 2/1/2011 | $ | 88,947 | $ | 93,707 | ||
Federal National Mortgage Association, Pool # 342947, 7.25% due 4/1/2024 | 599,619 | 639,414 | ||||
Federal National Mortgage Association, Pool # 345775, 8.50% due 12/1/2024 | 52,494 | 55,064 | ||||
Federal National Mortgage Association, Pool # 373942, 6.50% due 12/1/2008 | 67,502 | 70,677 | ||||
Federal National Mortgage Association, Pool # 382889, 7.35% due 12/1/2010 | 304,113 | 326,919 | ||||
Federal National Mortgage Association, Pool # 382926, 7.37% due 12/1/2010 | 338,241 | 363,824 | ||||
Federal National Mortgage Association, Pool # 384243, 6.10% due 10/1/2011 | 620,543 | 647,861 | ||||
Federal National Mortgage Association, Pool # 384746, 5.86% due 2/1/2009 | 1,062,539 | 1,108,512 | ||||
Federal National Mortgage Association, Pool # 385714, 4.70% due 1/1/2010 | 3,195,272 | 3,203,022 | ||||
Federal National Mortgage Association, Pool # 406384, 8.25% due 12/1/2024 | 244,031 | 260,079 | ||||
Federal National Mortgage Association, Pool # 443909, 6.50% due 9/1/2018 | 246,824 | 255,940 | ||||
Federal National Mortgage Association, Pool # 460568, 5.20% due 12/1/2006 | 3,500,000 | 3,547,111 | ||||
Federal National Mortgage Association, Pool # 516363, 5.00% due 3/1/2014 | 280,647 | 281,579 | ||||
Federal National Mortgage Association, Pool # 555207, 7.00% due 11/1/2017 | 173,352 | 182,629 | ||||
Federal National Mortgage Association, Preassign 00478, 3.125% due 12/8/2008 | 3,665,000 | 3,614,436 | ||||
Federal National Mortgage Association, Preassign 00494, 2.62% due 12/5/2007 | 1,000,000 | 989,738 | ||||
Federal National Mortgage Association, Preassign 00603, 3.25% due 6/16/2009 | 4,000,000 | 3,962,167 | ||||
Government National Mortgage Association CMO Series 2001-65 Class PG, 6.00% due 7/20/2028 | 1,830,548 | 1,858,673 | ||||
Government National Mortgage Association CMO Series 2002-67 Class VA, 6.00% due 3/20/2013 | 448,483 | 459,086 | ||||
Government National Mortgage Association CMO Series 2003-67 Class PN, 4.00% due 11/20/2020 | 795,784 | 794,745 | ||||
Government National Mortgage Association, Pool # 000623, 8.00% due 9/20/2016 | 74,121 | 79,669 | ||||
Government National Mortgage Association, Pool # 016944, 7.50% due 5/15/2007 | 77,709 | 83,504 | ||||
Government National Mortgage Association, Pool # 296697, 9.50% due 10/15/2005 | 8,570 | 8,700 | ||||
Government National Mortgage Association, Pool # 306636, 8.25% due 12/15/2006 | 33,427 | 34,332 | ||||
Government National Mortgage Association, Pool # 369693, 7.00% due 1/15/2009 | 132,778 | 140,630 | ||||
Government National Mortgage Association, Pool # 409921, 7.50% due 8/15/2010 | 98,287 | 104,258 | ||||
Government National Mortgage Association, Pool # 410240, 7.00% due 12/15/2010 | 61,530 | 65,130 | ||||
Government National Mortgage Association, Pool # 410271, 7.50% due 8/15/2010 | 58,368 | 61,913 | ||||
Government National Mortgage Association, Pool # 410846, 7.00% due 12/15/2010 | 87,602 | 92,728 | ||||
Government National Mortgage Association, Pool # 430150, 7.25% due 12/15/2026 | 72,882 | 78,234 | ||||
Government National Mortgage Association, Pool # 447040, 7.75% due 5/15/2027 | 52,835 | 57,269 | ||||
Government National Mortgage Association, Pool # 453928, 7.00% due 7/15/2017 | 132,224 | 140,958 | ||||
Government National Mortgage Association, Pool # 780063, 7.00% due 9/15/2008 | 34,568 | 36,613 | ||||
Government National Mortgage Association, Pool # 780448, 6.50% due 8/15/2011 | 180,918 | 190,671 | ||||
Overseas Private Investment Corp., 4.10% due 11/15/2014 | 2,500,800 | 2,430,202 | ||||
Private Export Funding Corp., 4.974% due 8/15/2013 | 2,700,000 | 2,747,766 | ||||
Tennessee Valley Authority, 4.75% due 8/1/2013 | 3,000,000 | 3,012,918 | ||||
United States Government General Services, 7.62% due 9/15/2010 | 1,568,579 | 1,686,223 | ||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $94,890,838) | 94,525,389 | |||||
Short Term Investments — 4.81% | ||||||
Federal Home Loan Bank Discount Notes, 2.65% due 4/4/2005 | 10,000,000 | 9,997,792 | ||||
TOTAL SHORT TERM INVESTMENTS (Cost $9,997,791) | 9,997,792 | |||||
TOTAL INVESTMENTS — 98.84% (Cost $208,679,525) | $ | 205,310,699 | ||||
OTHER ASSETS LESS LIABILITIES — 1.16% | 2,414,309 | |||||
NET ASSETS — 100.00% | $ | 207,725,008 | ||||
Certified Semi-Annual Report 23 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term U.S. Government Fund | March 31, 2005 (Unaudited) |
SUMMARY OF TYPES OF HOLDINGS
Footnote Legend
See notes to financial statements.
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
MTN Medium-Term Note
24 Certified Semi-Annual Report |
Table of Contents
Thornburg Limited Term Income Fund | March 31, 2005 (Unaudited) |
CUSIPS: Class A - 885-215-509, CLASS C - 885-215-764, CLASS I - 885-215-681, CLASS R1 - 885-215-483
NASDAQ SYMBOLS: CLASS A - THIFX, CLASS C - THICX, CLASS I - THIIX, CLASS R1 - THIRX
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
U.S.Treasury Securities — 3.78% | ||||||||
United States Treasury Notes, 6.50% due 5/15/2005 | Aaa/AAA | $ | 1,100,000 | $ | 1,104,984 | |||
United States Treasury Notes, 4.625% due 5/15/2006 | Aaa/AAA | 4,500,000 | 4,554,140 | |||||
United States Treasury Notes, 4.75% due 11/15/2008 | Aaa/AAA | 1,500,000 | 1,536,211 | |||||
United States Treasury Notes, 5.75% due 8/15/2010 | Aaa/AAA | 2,500,000 | 2,683,203 | |||||
United States Treasury Notes, 3.625% due 5/15/2013 | Aaa/AAA | 5,000,000 | 4,746,875 | |||||
TOTAL U.S.TREASURY SECURITIES (Cost $14,700,772) | 14,625,413 | |||||||
U.S. Government Agencies — 9.61% | ||||||||
Federal Home Loan Bank, 6.00% due 8/25/2005 | Aaa/AAA | 50,000 | 50,533 | |||||
Federal Home Loan Bank, 2.25% due 5/15/2006 | Aaa/AAA | 2,000,000 | 1,967,637 | |||||
Federal Home Loan Bank, 3.09% due 2/22/2007 | Aaa/AAA | 1,370,000 | 1,366,032 | |||||
Federal Home Loan Bank, 4.875% due 5/15/2007 | Aaa/AAA | 150,000 | 152,131 | |||||
Federal Home Loan Bank, 2.25% due 9/24/2007 | Aaa/AAA | 1,000,000 | 993,544 | |||||
Federal Home Loan Bank, 5.833% due 1/23/2008 | Aaa/AAA | 500,000 | 520,462 | |||||
Federal Home Loan Bank, 5.785% due 4/14/2008 | Aaa/AAA | 75,000 | 78,128 | |||||
Federal Home Loan Bank, 5.835% due 7/15/2008 | Aaa/AAA | 300,000 | 313,546 | |||||
Federal Home Loan Bank, 5.085% due 10/7/2008 | Aaa/AAA | 250,000 | 255,610 | |||||
Federal Home Loan Bank, 5.038% due 10/14/2008 | Aaa/AAA | 200,000 | 204,187 | |||||
Federal Home Loan Bank, 5.365% due 12/11/2008 | Aaa/AAA | 75,000 | 77,388 | |||||
Federal Home Loan Bank, 3.00% due 12/15/2008 | Aaa/AAA | 3,000,000 | 2,961,569 | |||||
Federal Home Loan Bank, 5.985% due 4/9/2009 | Aaa/AAA | 85,000 | 89,727 | |||||
Federal Home Loan Bank, 3.00% due 9/22/2009 | Aaa/AAA | 1,500,000 | 1,483,426 | |||||
Federal Home Loan Mortgage Corp., 9.00% due 10/1/2005 | Aaa/AAA | 1,931 | 1,953 | |||||
Federal Home Loan Mortgage Corp., 3.42% due 6/2/2009 | Aaa/AAA | 5,000,000 | 4,999,040 | |||||
Federal Home Loan Mortgage Corp. CMO Series 2821 Class YI, 5.50% due 9/15/2014 | Aaa/AAA | 2,878,061 | 2,936,242 | |||||
Federal Home Loan Mortgage Corp., CMO Series 2814 Class GB, 5.00% due 6/15/2019 | Aaa/AAA | 2,282,459 | 2,260,809 | |||||
Federal National Mortgage Association, 3.25% due 3/29/2007 | Aaa/AAA | 4,550,000 | 4,479,813 | |||||
Federal National Mortgage Association, 5.185% due 11/1/2008 | Aaa/AAA | 467,973 | 476,272 | |||||
Federal National Mortgage Association, 6.00% due 12/1/2008 | Aaa/AAA | 106,928 | 110,545 | |||||
Federal National Mortgage Association, 8.00% due 12/1/2009 | Aaa/AAA | 34,083 | 35,741 | |||||
Federal National Mortgage Association, 7.00% due 3/1/2011 | Aaa/AAA | 59,991 | 63,202 | |||||
Federal National Mortgage Association, 6.42% due 4/1/2011 | Aaa/AAA | 2,396,032 | 2,512,662 | |||||
Federal National Mortgage Association, 8.266% due 5/1/2011 | Aaa/AAA | 579,544 | 637,014 | |||||
Federal National Mortgage Association, 5.095% due 12/1/2011 | Aaa/AAA | 127,695 | 129,594 | |||||
Federal National Mortgage Association, 7.491% due 8/1/2014 | Aaa/AAA | 38,411 | 39,263 | |||||
Federal National Mortgage Association CMO Series 2003-64 Class Ec, 5.50% due 5/25/2030 | Aaa/AAA | 1,248,989 | 1,263,298 | |||||
Federal National Mortgage Association CPI Floating Rate, 4.396% due 2/17/2009 | Aaa/AAA | 5,000,000 | 5,000,250 | |||||
Federal National Mortgage Association, Pool # 460568, 5.20% due 12/1/2006 | Aaa/AAA | 800,000 | 810,768 | |||||
Government National Mortgage Association, Pool # 003007, 8.50% due 11/20/2015 | Aaa/AAA | 29,129 | 31,127 | |||||
Government National Mortgage Association, Pool # 827148, 3.375% due 2/20/2024 | Aaa/AAA | 41,125 | 41,446 | |||||
Government National Mortgage Association CMO Series 2003-67 Class PN, 4.00% due 11/20/2020 | Aaa/AAA | 808,519 | 807,462 | |||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $37,169,800) | 37,150,421 | |||||||
Certified Semi-Annual Report 25 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Asset Back Securities — 2.00% | ||||||||
Associates Manufactured Housing Trust 1996-1 A5, 7.60% due 3/15/2027 | Aaa/AAA | $ | 441,809 | $ | 450,153 | |||
Small Business Administration, 4.638% due 2/1/2015 | 3,325,000 | 3,262,906 | ||||||
Washington Mutual Series 02-AR10, Class-A6, 4.816% due 10/25/2032 | Aaa/AAA | 70,476 | 70,134 | |||||
Washington Mutual Series 03-AR10, Class-A4, 4.075% due 10/25/2033 | Aaa/AAA | 2,000,000 | 1,985,417 | |||||
Washington Mutual Series 03-AR12, Class-A4, 3.743% due 2/25/2034 | Aaa/AAA | 2,000,000 | 1,959,028 | |||||
TOTAL ASSET BACK SECURITIES (Cost $7,856,565) | 7,727,638 | |||||||
Corporate Bonds — 65.63% | ||||||||
BANKS — 3.01% | ||||||||
COMMERCIAL BANKS — 3.01% | ||||||||
Bank of America Corp., 4.375% due 12/1/2010 | Aa2/AA- | 1,675,000 | 1,649,173 | |||||
Capital One Bank, 6.70% due 5/15/2008 | Baa2/BBB | 1,665,000 | 1,764,059 | |||||
Fifth Third Bank, Cincinnati Ohio, 3.375% due 8/15/2008 | Aa1/AA- | 2,500,000 | 2,413,445 | |||||
HSBC USA Inc., 8.375% due 2/15/2007 | A1/A+ | 700,000 | 750,476 | |||||
Mercantile Bancorp, 7.30% due 6/15/2007 | Aa3/A | 1,000,000 | 1,061,517 | |||||
Nations Bank Corp., 7.23% due 8/15/2012 | Aa2/A+ | 250,000 | 278,890 | |||||
Northern Trust Co., 6.25% due 6/2/2008 | A1/A+ | 500,000 | 530,677 | |||||
PNC Funding Corp., 6.875% due 7/15/2007 | A3/BBB+ | 95,000 | 100,219 | |||||
Suntrust Bank Atlanta Georgia, 2.50% due 5/4/2006 | Aa2/AA- | 2,200,000 | 2,161,311 | |||||
Union Planters Corp., 6.75% due 11/1/2005 | A2/A- | 120,000 | 121,854 | |||||
US Bank, 5.625% due 11/30/2005 | Aa1/AA- | 385,000 | 390,037 | |||||
US Bank, 6.30% due 7/15/2008 | Aa2/A+ | 400,000 | 422,892 | |||||
11,644,550 | ||||||||
CAPITAL GOODS — 3.24% | ||||||||
MACHINERY — 3.24% | ||||||||
Caterpillar Financial Services Corp., 6.40% due 2/15/2008 | A2/A | 250,000 | 258,088 | |||||
Emerson Electric Co., 5.75% due 11/1/2011 | A2/A | 800,000 | 838,837 | |||||
General American Railcar Corp., 6.69% due 9/20/2016 | A3/AA- | 220,184 | 217,306 | |||||
Hubbell Inc., 6.375% due 5/15/2012 | A3/A+ | 1,000,000 | 1,081,306 | |||||
Illinois Tool Works Inc., 5.75% due 3/1/2009 | Aa3/AA | 3,715,000 | 3,891,139 | |||||
John Deere Capital Corp., 5.125% due 10/19/2006 | A3/A- | 450,000 | 457,087 | |||||
Johnson Controls Inc., 5.00% due 11/15/2006 | A2/A | 1,000,000 | 1,012,442 | |||||
Pentair Inc., 7.85% due 10/15/2009 | Baa3/BBB | 1,000,000 | 1,111,621 | |||||
Pitney Bowes Inc., 5.875% due 5/1/2006 | Aa3/A+ | 900,000 | 917,970 | |||||
Pitney Bowes Inc., 4.625% due 10/1/2012 | Aa3/A+ | 900,000 | 890,978 | |||||
Pitney Bowes Inc., 3.875% due 6/15/2013 | Aa3/A+ | 2,000,000 | 1,850,120 | |||||
12,526,894 | ||||||||
COMMERCIAL SERVICES & SUPPLIES — 1.91% | ||||||||
COMMERCIAL SERVICES & SUPPLIES — 1.91% | ||||||||
Aramark Services Inc., 7.00% due 7/15/2006 | Baa3/BBB- | 250,000 | 257,443 | |||||
Science Applications International Corp., 6.75% due 2/1/2008 | A3/A- | 250,000 | 265,593 | |||||
Science Applications International Corp., 6.25% due 7/1/2012 | A3/A- | 1,000,000 | 1,064,721 | |||||
Valassis Communications, 6.625% due 1/15/2009 | Baa3/BBB- | 1,700,000 | 1,798,998 | |||||
Waste Management Inc., 6.875% due 5/15/2009 | Baa3/BBB | 725,000 | 780,195 |
26 Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Waste Management Inc., 7.375% due 8/1/2010 | Baa3/BBB | $ | 500,000 | $ | 557,224 | |||
Waste Management Inc., 6.50% due 11/15/2008 | Baa3/BBB | 1,000,000 | 1,060,075 | |||||
WMX Technologies Inc., 7.00% due 5/15/2005 | Baa3/BBB | 1,010,000 | 1,012,854 | |||||
WMX Technologies Inc., 7.00% due 10/15/2006 | Baa3/BBB | 550,000 | 572,274 | |||||
7,369,377 | ||||||||
DIVERSIFIED FINANCIALS — 24.82% | ||||||||
DIVERSIFIED FINANCIAL SERVICES — 24.82% | ||||||||
American General Finance Corp., 4.625% due 9/1/2010 | A1/A+ | 200,000 | 197,751 | |||||
Bear Stearns Co. Inc., 4.50% due 10/28/2010 | A1/A | 1,500,000 | 1,474,427 | |||||
Beneficial Corp., 6.80% due 7/22/2005 | A1/A | 1,000,000 | 1,009,439 | |||||
Berkshire Hathaway Finance Corp. Senior Note, 4.625% due 10/15/2013 | Aaa/AAA | 1,000,000 | 973,164 | |||||
Dun & Bradstreet Corp., 6.625% due 3/15/2006 | NR/A- | 75,000 | 76,715 | |||||
General Electric Capital Corp., 7.75% due 6/9/2009 | Aaa/AAA | 200,000 | 222,827 | |||||
General Electric Capital Corp., 3.372% due 5/30/2008 | Aaa/AAA | 494,000 | 492,436 | |||||
General Electric Capital Corp., 4.25% due 12/1/2010 | Aaa/AAA | 2,000,000 | 1,952,670 | |||||
General Electric Capital Corp., 2.749% due 3/2/2009 | Aaa/AAA | 5,000,000 | 4,910,000 | |||||
General Electric Capital Corp., 4.375% due 11/21/2011 | Aaa/AAA | 1,500,000 | 1,464,579 | |||||
General Electric Capital Corp., 7.375% due 1/19/2010 | Aaa/AAA | 400,000 | 445,019 | |||||
General Electric Capital Corp., 5.00% due 2/15/2007 | Aaa/AAA | 2,900,000 | 2,944,121 | |||||
General Electric Capital Corp. Floating Rate Note, 3.13% due 12/15/2009 | Aaa/AAA | 1,000,000 | 1,001,088 | |||||
Hartford Financial Services Group Inc. Senior Note, 4.625% due 7/15/2013 | A3/A- | 1,000,000 | 959,864 | |||||
Household Finance Corp., 7.20% due 7/15/2006 | A1/A | 550,000 | 571,293 | |||||
Household Finance Corp., 5.75% due 1/30/2007 | A1/A | 400,000 | 410,556 | |||||
Household Finance Corp., 5.90% due 5/15/2006 | A1/A | 100,000 | 101,182 | |||||
Household Finance Corp., 5.20% due 8/15/2005 | A1/A | 400,000 | 401,804 | |||||
Household Finance Corp., 6.40% due 9/15/2009 | A1/A | 400,000 | 411,563 | |||||
Household Finance Corp. CPI Floating Rate Note, 4.34% due 8/10/2009 | A1/A | 5,000,000 | 4,910,350 | |||||
International Lease Finance Corp., 5.95% due 6/6/2005 | A1/AA- | 950,000 | 954,337 | |||||
International Lease Finance Corp., 4.55% due 10/15/2009 | A1/AA- | 2,500,000 | 2,477,578 | |||||
International Lease Finance Corp. Floating Rate Note, 3.06% due 1/15/2010 | A1/AA- | 4,050,000 | 4,048,817 | |||||
Jefferies Group Inc. Senior Note Series B, 7.50% due 8/15/2007 | Baa1/BBB | 2,600,000 | 2,782,767 | |||||
JP Morgan Chase Co., Tranche Senior 00046, 4.00% due 6/28/2009 | Aa3/A+ | 5,000,000 | 5,094,950 | |||||
JP Morgan Chase Co., 4.50% due 11/15/2010 | Aa3/A+ | 1,465,000 | 1,442,558 | |||||
Legg Mason Mortgage Capital Corp., 3.283% due 6/1/2009 | 1,714,286 | 1,712,756 | ||||||
Lehman Brothers Holdings Inc., 3.50% due 8/7/2008 | A1/A | 700,000 | 681,923 | |||||
Lehman Brothers Holdings Inc. CPI Floating Rate Note, 4.97% due 5/12/2014 | A1/A | 5,190,000 | 5,144,795 | |||||
Merrill Lynch & Co., 4.056% due 3/12/2007 | Aa3/A+ | 5,000,000 | 4,957,000 | |||||
Merrill Lynch & Co., 3.756% due 4/5/2006 | Aa3/A+ | 5,000,000 | 5,000,000 | |||||
Merrill Lynch & Co., 5.04% due 5/5/2014 | Aa3/A+ | 1,000,000 | 990,570 | |||||
Merrill Lynch & Co., CPI Floating Rate, 4.42% due 3/2/2009 | Aa3/A+ | 3,000,000 | 2,979,330 | |||||
Morgan Stanley Group, Inc., 2.79% due 1/18/2008 | Aa3/A+ | 5,000,000 | 5,007,040 | |||||
National Westminster Bank, 7.375% due 10/1/2009 | Aa2/AA- | 715,000 | 792,494 | |||||
Principal Financial Group Australia, 8.20% due 8/15/2009 | A2/A | 700,000 | 785,569 | |||||
Schwab Charles Corp., 6.30% due 4/28/2006 | A2/A- | 800,000 | 817,859 | |||||
SLM Corp. CPI Floating Rate, 5.38% due 1/31/2014 | A2/A | 9,500,000 | 9,510,830 | |||||
SLM Corp. CPI Floating Rate, 4.46% due 3/2/2009 | A2/A | 3,000,000 | 2,977,170 | |||||
SLM Corp. Floating Rate, 2.91% due 7/25/2008 | A2/A | 3,000,000 | 3,006,561 | |||||
SLM Corp. Floating Rate, 3.439% due 9/15/2008 | A2/A | 1,675,000 | 1,675,323 | |||||
Toyota Motor Credit Corp., 2.875% due 8/1/2008 | Aaa/AAA | 800,000 | 765,046 | |||||
Toyota Motor Credit Corp., 4.35% due 12/15/2010 | Aaa/AAA | 800,000 | 793,059 | |||||
Toyota Motor Credit Corp., 4.25% due 3/15/2010 | Aaa/AAA | $ | 3,450,000 | $ | 3,401,738 |
Certified Semi-Annual Report 27 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Toyota Motor Credit Corp., 2.70% due 1/30/2007 | Aaa/AAA | $ | 3,300,000 | $ | 3,220,259 | |||
95,951,177 | ||||||||
ENERGY — 3.79% | ||||||||
ENERGY EQUIPMENT & SERVICES — 3.34% | ||||||||
Amerenenergy Generating Co., 7.75% due 11/1/2005 | A3/A- | 850,000 | 870,119 | |||||
Ashland Inc., 7.83% due 8/15/2005 | Baa2/BBB | 1,150,000 | 1,167,137 | |||||
BJ Services Co. Note Series B, 7.00% due 2/1/2006 | Baa2/BBB+ | 75,000 | 76,517 | |||||
Central Power & Light Co., 7.125% due 2/1/2008 | Baa1/BBB | 2,000,000 | 2,135,820 | |||||
Commonwealth Edison Co., 4.74% due 8/15/2010 | A3/A- | 975,000 | 975,586 | |||||
El Paso Corp., 7.00% due 5/15/2011 | Caa1/CCC+ | 700,000 | 672,000 | |||||
Enterprise Products Participating LP, 7.50% due 2/1/2011 | Baa3/BB+ | 250,000 | 276,181 | |||||
EOG Resources Inc., 6.00% due 12/15/2008 | Baa1/BBB+ | 450,000 | 469,932 | |||||
Louis Dreyfus Natural Gas Corp., 6.875% due 12/1/2007 | A3/BBB+ | 290,000 | 305,196 | |||||
Murphy Oil Corp., 6.375% due 5/1/2012 | Baa1/A- | 750,000 | 814,737 | |||||
Panenergy Corp., 7.00% due 10/15/2006 | Baa3/BBB- | 1,100,000 | 1,139,762 | |||||
Phillips Petroleum Co., 9.375% due 2/15/2011 | A3/A- | 900,000 | 1,103,382 | |||||
Phillips Petroleum Co., 8.75% due 5/25/2010 | A3/A- | 250,000 | 295,844 | |||||
Questar Pipeline Co., 6.05% due 12/1/2008 | A2/A+ | 425,000 | 446,046 | |||||
Rio Tinto Finance, 5.75% due 7/3/2006 | Aa3/A+ | 925,000 | 946,661 | |||||
Smith International Inc. Senior Note, 7.00% due 9/15/2007 | Baa1/BBB+ | 600,000 | 630,752 | |||||
Sonat Inc., 7.625% due 7/15/2011 | Caa1/CCC+ | 500,000 | 493,750 | |||||
Transocean SedCo. Forex Inc., 6.625% due 4/15/2011 | Baa2/A- | 85,000 | 92,823 | |||||
OIL & GAS — 0.45% | ||||||||
Occidental Petroleum Corp., 10.125% due 9/15/2009 | Baa1/BBB+ | 315,000 | 376,372 | |||||
Occidental Petroleum Corp., 7.375% due 11/15/2008 | Baa1/BBB+ | 300,000 | 327,980 | |||||
Occidental Petroleum Corp., 5.875% due 1/15/2007 | Baa1/BBB+ | 800,000 | 822,393 | |||||
Union Oil Co. California, 7.90% due 4/18/2008 | Baa2/BBB+ | 200,000 | 216,712 | |||||
14,655,702 | ||||||||
FOOD & DRUG RETAILING — 0.08% | ||||||||
FOOD & STAPLES RETAILING — 0.08% | ||||||||
General Mills, 5.50% due 1/12/2009 | Baa2/BBB+ | 300,000 | 307,986 | |||||
307,986 | ||||||||
FOOD BEVERAGE & TOBACCO — 1.85% | ||||||||
BEVERAGES — 1.05% | ||||||||
Anheuser Busch Co. Inc., 4.375% due 1/15/2013 | A1/A+ | 2,000,000 | 1,944,594 | |||||
Anheuser Busch Co. Inc., 5.625% due 10/1/2010 | A1/A+ | 1,150,000 | 1,196,121 | |||||
Coca Cola Co., 5.75% due 3/15/2011 | Aa3/A+ | 200,000 | 210,068 | |||||
Coca Cola Co., 4.00% due 6/1/2005 | Aa3/A+ | 515,000 | 515,657 | |||||
Conagra Inc., 7.875% due 9/15/2010 | Baa1/BBB+ | 150,000 | 171,461 | |||||
FOOD PRODUCTS — 0.80% | ||||||||
Diageo Finance BV, 3.00% due 12/15/2006 | A2/A | 925,000 | 907,177 | |||||
Kellogg Co., 4.875% due 10/15/2005 | Baa1/BBB+ | 186,000 | 186,936 | |||||
Sara Lee Corp., 6.00% due 1/15/2008 | A3/A+ | 900,000 | 938,207 | |||||
Sysco International Co., 6.10% due 6/1/2012 | A1/A+ | 1,000,000 | 1,072,717 | |||||
7,142,938 | ||||||||
28 Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
HEALTH CARE EQUIPMENT & SERVICES — 0.13% | ||||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.13% | ||||||||
Baxter International Inc., 5.25% due 5/1/2007 | Baa1/A- | $ | 500,000 | $ | 506,582 | |||
506,582 | ||||||||
HOTELS RESTAURANTS & LEISURE — 0.19% | ||||||||
HOTELS RESTAURANTS & LEISURE — 0.19% | ||||||||
Hyatt Equities LLC, 9.25% due 5/15/2005 | Baa3/BBB | 225,000 | 226,062 | |||||
Wendy’s International Inc., 6.35% due 12/15/2005 | Baa1/BBB+ | 500,000 | 507,619 | |||||
733,681 | ||||||||
HOUSEHOLD & PERSONAL PRODUCTS — 1.37% | ||||||||
PERSONAL PRODUCTS — 1.37% | ||||||||
Gillette Co., 4.00% due 6/30/2005 | Aa3/AA- | 2,000,000 | 2,003,454 | |||||
Nike Inc., 5.50% due 8/15/2006 | A2/A | 900,000 | 917,998 | |||||
Procter & Gamble Co., 4.75% due 6/15/2007 | Aa3/AA- | 350,000 | 354,845 | |||||
Procter & Gamble Co., 4.30% due 8/15/2008 | Aa3/AA- | 2,000,000 | 2,004,084 | |||||
5,280,381 | ||||||||
INSURANCE — 8.44% | ||||||||
INSURANCE — 8.44% | ||||||||
AIG Sunamerica Global Financing, 5.10% due 1/17/2007 | Aaa/AAA | 800,000 | 812,472 | |||||
Allstate Corp., 5.375% due 12/1/2006 | A1/A+ | 900,000 | 915,812 | |||||
Allstate Life Global Funding, 4.00% due 4/2/2007 | Aa2/AA | 5,000,000 | 4,998,150 | |||||
Hartford Life Inc., 7.10% due 6/15/2007 | A3/A- | 300,000 | 316,719 | |||||
Liberty Mutual Group Inc., 5.75% due 3/15/2014 | Baa3/BBB | 1,000,000 | 982,847 | |||||
Lincoln National Corp., 4.75% due 2/15/2014 | A3/A- | 1,000,000 | 962,377 | |||||
Manufacturers Life Insurance Co., 7.875% due 4/15/2005 | A1/AA- | 855,000 | 855,513 | |||||
Metlife Inc., 5.25% due 12/1/2006 | A2/A | 450,000 | 458,548 | |||||
Old Republic International Corp., 7.00% due 6/15/2007 | Aa3/A+ | 1,800,000 | 1,892,595 | |||||
Principal Life Global Funding, 4.40% due 10/1/2010 | Aa2/AA | 4,000,000 | 3,907,492 | |||||
Pacific Life Global Funding CPI Floating Rate, 5.44% due 2/6/2016 | Aa3/AA | 8,000,000 | 8,074,400 | |||||
Principal Life Income Funding Tranche Trust 00006, 3.806% due 4/1/2016 | Aa2/AA | 5,000,000 | 4,900,350 | |||||
Unumprovident Corp., 7.625% due 3/1/2011 | Ba1/BB+ | 2,450,000 | 2,633,750 | |||||
USF&G Corp., 7.125% due 6/1/2005 | A3/BBB+ | 900,000 | 904,835 | |||||
32,615,860 | ||||||||
MATERIALS — 1.76% | ||||||||
CHEMICALS — 1.24% | ||||||||
Chevron Phillips Chemical, 7.00% due 3/15/2011 | Baa1/BBB+ | 500,000 | 548,255 | |||||
Chevron Phillips Chemical, 5.375% due 6/15/2007 | Baa1/BBB+ | 75,000 | 76,403 | |||||
Chevrontexaco Capital Co., 3.50% due 9/17/2007 | Aa2/AA | 1,400,000 | 1,378,005 | |||||
Dow Chemical Co., 5.75% due 12/15/2008 | A3/A- | 350,000 | 363,540 | |||||
E.I. du Pont de Nemours & Co., 8.25% due 9/15/2006 | Aa3/AA- | 200,000 | 211,378 | |||||
E.I. du Pont de Nemours & Co., 4.75% due 11/15/2012 | Aa3/AA- | 1,000,000 | 997,003 | |||||
E.I. du Pont de Nemours & Co., 4.125% due 3/6/2013 | Aa3/AA- | 325,000 | 309,680 | |||||
Hoechst Celanese Corp., 7.125% due 3/15/2009 | B2/NR | 200,000 | 206,065 | |||||
Lafarge Corp., 6.375% due 7/15/2005 | Baa1/BBB | 75,000 | 75,571 |
Certified Semi-Annual Report 29 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Lubrizol Corp. Senior Note, 5.875% due 12/1/2008 | Baa3/BB+ | $ | 635,000 | $ | 652,775 | |||
METALS & MINING — 0.52% | ||||||||
Minnesota Mining & Manufacturing Co., 4.15% due 6/30/2005 | Aa1/AA | 2,000,000 | 2,003,566 | |||||
6,822,241 | ||||||||
MEDIA — 1.21% | ||||||||
MEDIA — 1.21% | ||||||||
AOL Time Warner Inc., 6.75% due 4/15/2011 | Baa1/BBB+ | 750,000 | 810,446 | |||||
E W Scripps Co. Ohio, 5.75% due 7/15/2012 | A2/A | 80,000 | 84,167 | |||||
New York Times Co., 4.625% due 6/25/2007 | A1/A+ | 300,000 | 302,215 | |||||
Scholastic Corp., 5.75% due 1/15/2007 | Baa2/BBB- | 255,000 | 260,351 | |||||
Thomson Corp., 4.25% due 8/15/2009 | A3/A- | 2,900,000 | 2,840,437 | |||||
Time Warner Inc., 8.05% due 1/15/2016 | Baa1/BBB+ | 200,000 | 234,152 | |||||
Tribune Co., 6.875% due 11/1/2006 | A3/NR | 125,000 | 130,131 | |||||
4,661,899 | ||||||||
MISCELLANEOUS — 0.47% | ||||||||
MISCELLANEOUS — 0.14% | ||||||||
Stanford University, 5.85% due 3/15/2009 | Aaa/NA | 500,000 | 523,839 | |||||
YANKEE — 0.33% | ||||||||
Kreditanstalt Fur Wiederaufbau Nt, 3.25% due 7/16/2007 | Aaa/AAA | 435,000 | 427,614 | |||||
Nova Scotia Province Canada, 5.75% due 2/27/2012 | A2/A | 500,000 | 529,198 | |||||
Ontario Province Canada, 3.282% due 3/28/2008 | Aa2/AA | 335,000 | 325,087 | |||||
1,805,738 | ||||||||
PHARMACEUTICALS & BIOTECHNOLOGY — 2.95% | ||||||||
BIOTECHNOLOGY — 2.42% | ||||||||
Abbott Labs, 6.40% due 12/1/2006 | A1/AA | 1,000,000 | 1,037,125 | |||||
Abbott Labs, 3.75% due 3/15/2011 | A1/AA | 500,000 | 473,938 | |||||
Bristol Myers Squibb Co., 4.75% due 10/1/2006 | A1/A+ | 500,000 | 506,514 | |||||
Eli Lilly & Co., 5.50% due 7/15/2006 | Aa3/AA | 1,850,000 | 1,883,624 | |||||
Tiers Inflation Linked Trust Series Wyeth 2004 21 Trust Certificate CPI Floating Rate, 5.106% due 2/1/2014 | Baa1/A | 5,450,000 | 5,472,236 | |||||
PHARMACEUTICALS — 0.53% | ||||||||
Pharmacia Corp., 5.75% due 12/1/2005 | A1/AAA | 2,000,000 | 2,029,148 | |||||
11,402,585 | ||||||||
RETAILING — 1.56% | ||||||||
DISTRIBUTORS — 0.03% | ||||||||
Dayton Hudson Corp., 9.625% due 2/1/2008 | A2/A+ | 100,000 | 112,838 | |||||
MULTILINE RETAIL — 1.53% | ||||||||
Costco Wholesale Corp., 5.50% due 3/15/2007 | A2/A | 500,000 | 512,795 | |||||
Dillard’s Inc., 7.375% due 6/1/2006 | B2/BB | 150,000 | 156,000 | |||||
Wal Mart Stores Inc., 4.125% due 2/15/2011 | Aa2/AA | 3,735,000 | 3,618,001 | |||||
Wal-Mart Stores Inc., 6.875% due 8/10/2009 | Aa2/AA | 900,000 | 980,464 |
30 Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Wal-Mart Stores Inc., 8.57% due 1/2/2010 | Aa2/AA | $ | 363,177 | $ | 394,461 | |||
Wal-Mart Stores Inc., 1992-A1 Pass Through Certificate, 7.49% due 6/21/2007 | Aa2/AA | 241,957 | 253,094 | |||||
6,027,653 | ||||||||
SOFTWARE & SERVICES — 1.17% | ||||||||
INTERNET SOFTWARE & SERVICES — 1.17% | ||||||||
Electronic Data Systems Corp., 7.125% due 10/15/2009 | Ba1/BBB- | 2,500,000 | 2,687,093 | |||||
Electronic Data Systems Corp., 6.00% due 8/1/2013 | Ba1/BBB- | 1,000,000 | 1,022,683 | |||||
Reynolds & Reynolds, 7.00% due 12/15/2006 | Baa2/BBB | 800,000 | 821,200 | |||||
4,530,976 | ||||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 2.80% | ||||||||
COMPUTERS & PERIPHERALS — 2.80% | ||||||||
Computer Sciences Corp., 6.25% due 3/15/2009 | A3/A | 300,000 | 316,158 | |||||
Computer Sciences Corp., 7.375% due 6/15/2011 | A3/A | 1,317,000 | 1,488,718 | |||||
Computer Sciences Corp., 3.50% due 4/15/2008 | A3/A | 2,000,000 | 1,947,768 | |||||
First Data Corp., 5.625% due 11/1/2011 | A1/A+ | 900,000 | 942,319 | |||||
First Data Corp., 6.375% due 12/15/2007 | A1/A+ | 110,000 | 115,783 | |||||
International Business Machines, 4.875% due 10/1/2006 | A1/A+ | 500,000 | 506,687 | |||||
International Business Machines, 4.25% due 9/15/2009 | A1/A+ | 1,000,000 | 990,801 | |||||
International Business Machines, 2.375% due 11/1/2006 | A1/A+ | 2,825,000 | 2,764,285 | |||||
Jabil Circuit Inc., 5.875% due 7/15/2010 | Baa3/BB+ | 500,000 | 516,282 | |||||
Oracle Corp., 6.91% due 2/15/2007 | A3/A- | 1,200,000 | 1,251,405 | |||||
10,840,206 | ||||||||
TELECOMMUNICATION SERVICES — 1.05% | ||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 1.05% | ||||||||
Cingular Wireless, 5.625% due 12/15/2006 | Baa2/A | 900,000 | 919,421 | |||||
GTE Hawaiian Telephone Inc., 7.375% due 9/1/2006 (Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,560,715 | |||||
TCI Communications Inc., 8.00% due 8/1/2005 | Baa3/BBB | 50,000 | 50,702 | |||||
Verizon Wireless Capital LLC, 5.375% due 12/15/2006 | A3/A+ | 1,500,000 | 1,528,119 | |||||
4,058,957 | ||||||||
TRANSPORTATION — 0.59% | ||||||||
AIRLINES — 0.53% | ||||||||
Continental Airlines Pass Through Certificate Series 1997 4 Class-4A, 6.90% due 1/2/2018 | Baa3/A- | 202,765 | 198,959 | |||||
Delta Air Lines Inc. EETC Series 2001-1 Class-A, 6.619% due 3/18/2011 | Ba1/BBB- | 279,327 | 268,364 | |||||
Northwest Airlines 1999-2 Class-A, 7.575% due 3/1/2019 | Baa2/A- | 125,909 | 127,305 | |||||
Southwest Airlines Co., 7.875% due 9/1/2007 | Baa1/A | 1,012,000 | 1,087,416 | |||||
Southwest Airlines Co., 5.10% due 5/1/2006 | Aa2/AA+ | 366,212 | 370,451 | |||||
ROAD & RAIL — 0.06% | ||||||||
CSX Corp., 7.45% due 5/1/2007 | Baa2/BBB | 225,000 | 239,105 | |||||
2,291,600 | ||||||||
UTILITIES — 3.24% | ||||||||
ELECTRIC UTILITIES — 2.23% | ||||||||
Appalachian Power Co., 6.60% due 5/1/2009 (Insured: MBIA) | Aaa/AAA | 175,000 | 187,681 | |||||
Gulf Power Co., 4.35% due 7/15/2013 | A2/A | 925,000 | 878,805 |
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Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Minnesota Power & Light Co., 7.00% due 2/15/2007 | Baa1/A | $ | 900,000 | $ | 944,003 | |||
Northern Border Pipeline Co., 6.25% due 5/1/2007 | A3/BBB+ | 120,000 | 124,262 | |||||
Northern States Power Co., 4.75% due 8/1/2010 | A2/A- | 2,825,000 | 2,820,353 | |||||
Pacificorp, 6.75% due 4/1/2005 | A3/A- | 250,000 | 250,000 | |||||
Pennsylvania Power & Light Co., 6.55% due 3/1/2006 (Insured: MBIA) | Aaa/AAA | 210,000 | 215,250 | |||||
PSI Energy Inc., 7.85% due 10/15/2007 | Baa1/BBB | 500,000 | 538,686 | |||||
PSI Energy Inc., 6.65% due 6/15/2006 | A3/A- | 245,000 | 252,067 | |||||
Public Service Electric & Gas Co., 6.75% due 3/1/2006 (Insured: MBIA) | Aaa/AAA | 275,000 | 282,608 | |||||
Texas Eastern Transmission Corp. Senior Note, 5.25% due 7/15/2007 | Baa2/BBB | 525,000 | 533,147 | |||||
Wisconsin Energy Corp., 5.50% due 12/1/2008 | A3/BBB+ | 350,000 | 361,285 | |||||
Wisconsin Public Service Corp., 6.125% due 8/1/2011 | Aa2/A+ | 1,150,000 | 1,242,167 | |||||
GAS UTILITIES — 0.75% | ||||||||
Southern California Gas Co., 4.375% due 1/15/2011 | A1/A+ | 225,000 | 219,922 | |||||
Texas Municipal Gas Corp., 2.60% due 7/1/2007 (Insured: FSA) | Aaa/AAA | 2,700,000 | 2,673,810 | |||||
MULTI-UTILITIES & UNREGULATED POWER — 0.26% | ||||||||
Madison Gas & Electric Co., 6.02% due 9/15/2008 | Aa3/AA- | 950,000 | 990,752 | |||||
12,514,798 | ||||||||
TOTAL CORPORATE BONDS (Cost $252,188,238) | 253,691,781 | |||||||
Taxable Municipal Bonds — 13.61% | ||||||||
American Campus Properties Student Housing, 7.38% due 9/1/2012 (Insured: MBIA) | Aaa/AAA | 4,250,000 | 4,662,462 | |||||
American Fork City Utah Sales, 4.89% due 3/1/2012 (Insured: FSA) | Aaa/AAA | 300,000 | 299,499 | |||||
American Fork City Utah Sales, 5.07% due 3/1/2013 (Insured: FSA) | Aaa/AAA | 120,000 | 120,577 | |||||
Arkansas Electric Coop Corp., 7.33% due 6/30/2008 | A2/AA- | 148,000 | 155,674 | |||||
Arkansas State Taxable Water Waste Disposal Series A, 5.50% due 7/1/2005 | Aa2/AA | 300,000 | 301,755 | |||||
Bessemer Alabama Water Revenue Taxable Warrants Series B, 7.375% due 7/1/2008 (Insured: FSA) | Aaa/AAA | 900,000 | 941,625 | |||||
Brockton MA Taxable Economic Development Series A, 6.45% due 5/1/2017 (Insured: FGIC) | Aaa/AAA | 150,000 | 163,650 | |||||
Burbank California Waste Disposal Revenue, 5.29% due 5/1/2007 (Insured: FSA) | Aaa/AAA | 370,000 | 376,693 | |||||
Burbank California Waste Disposal Revenue, 5.48% due 5/1/2008 (Insured: FSA) | Aaa/AAA | 310,000 | 318,463 | |||||
Chicago Illinois Taxable Neighborhoods Alive Series B, 5.20% due 1/1/2006 (Insured: FGIC) | Aaa/AAA | 200,000 | 203,440 | |||||
Cleveland Cuyahoga County Ohio, 6.10% due 5/15/2013 | NR/BBB+ | 2,035,000 | 1,986,974 | |||||
Connecticut State Housing Finance Authority, 3.10% due 6/15/2032 put 12/1/2005 | ||||||||
(Insured:AMBAC) | Aaa/AAA | 1,870,000 | 1,859,696 | |||||
Cook County Illinois Community College District 508, 6.90% due 5/1/2010 (Insured:AMBAC) | Aaa/AAA | 600,000 | 627,642 | |||||
Cook County Illinois School District 083, 4.625% due 12/1/2010 (Insured: FSA) | Aaa/NR | 250,000 | 247,372 | |||||
Cook County Illinois School District 083, 4.875% due 12/1/2011 (Insured: FSA) | Aaa/NR | 150,000 | 149,223 | |||||
Denver City & County Special Facilities Taxable Refunding & Improvement Series B, 7.15% due 1/1/2008 (Insured: MBIA) | Aaa/AAA | 900,000 | 962,163 | |||||
Elkhart Indiana Redevelopment District Revenue, 4.80% due 6/15/2011 | NR/NR | 240,000 | 228,907 | |||||
Elkhart Indiana Redevelopment District Revenue, 4.80% due 12/15/2011 | NR/NR | 245,000 | 232,598 | |||||
Elkhart Indiana Redevelopment District Revenue, 5.05% due 12/15/2012 | NR/NR | 515,000 | 490,980 | |||||
Elkhart Indiana Redevelopment District Revenue, 5.25% due 12/15/2013 | NR/NR | 540,000 | 511,812 | |||||
Green Bay Wisconsin Series B, 4.875% due 4/1/2011 (Insured: MBIA) | Aaa/NR | 365,000 | 364,869 | |||||
Hancock County Mississippi, 4.20% due 8/1/2008 (Insured: MBIA) | Aaa/NR | 305,000 | 301,715 | |||||
Hancock County Mississippi, 4.80% due 8/1/2010 (Insured: MBIA) | Aaa/NR | 245,000 | 245,108 | |||||
Hancock County Mississippi, 4.90% due 8/1/2011 (Insured: MBIA) | Aaa/NR | 315,000 | 315,331 | |||||
Hanover Pennsylvania Area School District Taxable Notes Series B, 4.47% due 3/15/2013 (Insured: FSA) | Aaa/AAA | 1,385,000 | 1,346,829 | |||||
Jefferson County Texas Navigation Taxable Refunding, 5.50% due 5/1/2010 (Insured: FSA) | Aaa/NR | 500,000 | 511,770 | |||||
Jefferson Franklin, Etc. Counties Illinois Community College District 521, 3.00% due 1/1/2006 (Insured: FSA) | Aaa/NR | 200,000 | 199,070 |
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SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Jefferson Franklin, Etc. Counties Illinois Community College District 521, 3.625% due 1/1/2007 (Insured: FSA) | Aaa/NR | $ | 300,000 | $ | 297,753 | |||
Jersey City New Jersey Municipal Utilities Authority, 3.72% due 5/15/2009 (Insured: MBIA) | Aaa/AAA | 575,000 | 555,921 | |||||
Kendall Kane County Illinois School 308, 5.50% due 10/1/2011 (Insured: FGIC) | Aaa/NR | 365,000 | 377,928 | |||||
King County Washington GO, 7.55% due 12/1/2005 | Aa1/AA+ | 405,000 | 415,591 | |||||
Los Angeles County California Metropolitan Transport, 4.56% due 7/1/2010 (Insured: AMBAC) | Aaa/AAA | 2,775,000 | 2,753,744 | |||||
Maryland State Economic Development Corp., 7.25% due 6/1/2008 (Maryland Tech. Development Center Project) | NR/NR | 365,000 | 379,056 | |||||
McKeesport Pennsylvania Taxable Series B, 6.60% due 3/1/2006 (Insured: MBIA) | Aaa/AAA | 240,000 | 246,139 | |||||
Mississippi State Taxable Business Series V, 7.125% due 9/1/2006 | NR/AA | 140,000 | 145,888 | |||||
Montgomery County Maryland Revenue Authority, 5.00% due 2/15/2012 | Aa2/AA+ | 100,000 | 100,190 | |||||
Multnomah County Oregon School District 1J Refunding Taxable, 4.191% due 6/15/2008 | A2/A- | 650,000 | 639,561 | |||||
Muskegon County Michigan Taxable Notes, 3.00% due 6/1/2005 | A3/A+ | 4,000,000 | 3,999,400 | |||||
New Jersey Health Care Facilities Financing, 10.75% due 7/1/2010 (ETM) | NR/NR | 420,000 | 493,143 | |||||
New Jersey Health Care Facilities Financing, 7.70% due 7/1/2011 (Insured: Connie Lee) | NR/AAA | 150,000 | 161,645 | |||||
New Rochelle New York Industrial Development Agency, 7.15% due 10/1/2014 | Aa3/A+ | 150,000 | 157,331 | |||||
New York Environmental Facilities, 5.85% due 3/15/2011 | NR/AA- | 3,500,000 | 3,692,010 | |||||
New York State Housing Finance, 4.46% due 8/15/2009 | Aa1/NR | 520,000 | 514,998 | |||||
New York State Thruway Authority Service Contract, 2.59% due 3/15/2006 | A2/AA- | 1,000,000 | 987,810 | |||||
New York State Urban Development Corp., 4.75% due 12/15/2011 | NR/AA | 1,400,000 | 1,398,474 | |||||
Newark New Jersey, 4.70% due 4/1/2011 (Insured: MBIA) | Aaa/NR | 845,000 | 837,082 | |||||
Newark New Jersey, 4.90% due 4/1/2012 (Insured: MBIA) | Aaa/NR | 1,225,000 | 1,219,843 | |||||
Niagara Falls New York Public Water, 4.30% due 7/15/2010 (Insured: MBIA) | Aaa/AAA | 360,000 | 353,700 | |||||
Northwest Open Access Network Washington Revenue, 6.18% due 12/1/2008 (Insured:AMBAC) | Aaa/AAA | 1,600,000 | 1,682,080 | |||||
Ohio State Petroleum Underground Storage, 6.75% due 8/15/2008 (Insured: MBIA) | Aaa/AAA | 835,000 | 843,818 | |||||
Oregon State Department Administrative Lottery Revenue Taxable B, 4.90% due 4/1/2005 (Insured: FSA) | Aaa/AAA | 205,000 | 205,000 | |||||
Passaic County New Jersey Multi Modal Taxable Refunding Series B, 6.23% due 9/1/2005 (Insured: FSA) | Aaa/AAA | 250,000 | 252,983 | |||||
Pima County Arizona Industrial Development Authority Series E, 9.05% due 7/1/2008 | Baa3/NR | 245,000 | 251,816 | |||||
Providence Rhode Island, 5.59% due 1/15/2008 (Insured: FGIC) | Aaa/AAA | 340,000 | 351,261 | |||||
Short Pump Town Center Community Development, 6.26% due 2/1/2009 | NR/NR | 1,000,000 | 970,910 | |||||
Sisters Providence Obligation Group Direct Obligation Notes Series 1997, 7.47% due 10/1/2007 | Aa3/AA | 2,005,000 | 2,134,984 | |||||
South Dakota State Building Authority Revenue, 7.00% due 9/1/2005 (ETM) | Aaa/AAA | 400,000 | 405,868 | |||||
St. Louis Missouri Municipal Finance Corp. Firemans Retirement System, 6.35% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 1,155,000 | 1,166,134 | |||||
Tazewell County Illinois Community High School, 5.20% due 12/1/2011 (Insured: FSA) | Aaa/NR | 355,000 | 361,656 | |||||
Tennessee State Taxable Series B, 6.00% due 2/1/2013 | Aa2/AA | 500,000 | 527,065 | |||||
Texas State Public Finance Authority Revenue, 3.125% due 6/15/2007 | Aa2/AA | 400,000 | 391,512 | |||||
Texas Tech University Revenue, 6.00% due 8/15/2011 (Insured: MBIA) | Aaa/AAA | 245,000 | 260,256 | |||||
University Illinois Revenue, 6.35% due 4/1/2011 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,078,250 | |||||
Victor New York Taxable-Tax Increment, 9.20% due 5/1/2014 | NR/NR | 1,000,000 | 1,042,080 | |||||
Virginia Housing Development Authority Taxable Rental Housing Series I, 7.30% due 2/1/2008 | Aa1/AA+ | 505,000 | 538,305 | |||||
Washington Pennsylvania, 4.30% due 9/1/2005 (Insured: FGIC) | Aaa/AAA | 285,000 | 286,029 | |||||
Waterloo Iowa Sewer Revenue Refunding Taxable Series B, 3.00% due 5/1/2005 (Insured: FSA) | Aaa/NR | 245,000 | 244,998 | |||||
West Valley City Utah Municipal Building Lease Refunding Taxable, 7.67% due 5/1/2006 | Aa2/NR | 1,500,000 | 1,556,580 | |||||
Wisconsin State General Revenue, 4.80% due 5/1/2013 (Insured: FSA) | Aaa/AAA | 200,000 | 198,934 | |||||
TOTAL TAXABLE MUNICIPAL BONDS (Cost $52,460,064) | 52,603,623 | |||||||
Certified Semi-Annual Report 33 |
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SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Income Fund | March 31, 2005 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | ||||||
Foreign Securities — 0.68% | |||||||||
Federal Republic of Germany, 5.00% due 8/19/2005 (EURO) | Aaa/AAA | $ | 2,000,000 | $ | 2,620,225 | ||||
TOTAL FOREIGN SECURITIES (Cost $1,873,461) | 2,620,225 | ||||||||
Short Term Investments — 4.91% | |||||||||
American General Finance Corp., 2.60% due 4/1/2005 | A1+/P1 | 5,000,000 | 5,000,000 | ||||||
American General Finance Corp., 2.82% due 4/8/2005 | A1+/P1 | 4,000,000 | 3,997,807 | ||||||
Morgan Stanley Dean Witter, 2.70% due 4/6/2005 | A1+/P1 | 10,000,000 | 9,996,250 | ||||||
TOTAL SHORT TERM INVESTMENTS (Cost $18,994,057) | 18,994,057 | ||||||||
TOTAL INVESTMENTS — 100.22% (Cost $385,242,957) | $ | 387,413,158 | |||||||
LIABILITIES NET OF OTHER ASSETS — (0.22)% | (858,917 | ) | |||||||
NET ASSETS — 100.00% | $ | 386,554,241 | |||||||
SUMMARY OF SECURITIY CREDIT RATINGS†
Ratings are a blend of Moody’s and Standard & Poor’s, using the higher rating. Some bonds are rated by only one service.
Footnote Legend
See notes to financial statements.
† | Credit ratings are unaudited. Rating changes may have occurred prior to or subsequent to the reporting period end. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
AMBAC | Insured by American Municipal Bond Assurance Corp. | |
ETM | Escrowed to Maturity | |
FGIC | Insured by Financial Guaranty Insurance Co. | |
FSA | Insured by Financial Security Assurance Co. | |
GO | General Obligation | |
MBIA | Insured by Municipal Bond Investors Assurance |
34 Certified Semi-Annual Report |
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EXPENSE EXAMPLE | ||
Thornburg Limited Term Income Funds | March 31, 2005 (Unaudited) |
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 September 30, 2004 and held until March 31, 2005.
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 Account Value 9/30/04 | Ending Account Value 3/31/05 | Expenses Paid During Period† 9/30/04–3/31/05 | |||||||
U.S. Government Fund | |||||||||
Class I Shares | |||||||||
Actual | $ | 1,000 | $ | 995.60 | $ | 3.33 | |||
Hypothetical* | $ | 1,000 | $ | 1,021.60 | $ | 3.37 | |||
Income Fund | |||||||||
Class I Shares | |||||||||
Actual | $ | 1,000 | $ | 1,001.90 | $ | 3.34 | |||
Hypothetical* | $ | 1,000 | $ | 1,021.60 | $ | 3.37 |
† | Thornburg Limited Term U.S. Government Fund expenses are equal to the annualized expense ratio for I Shares (0.67%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period. |
† | Thornburg Limited Term Income Fund expenses are equal to the annualized expense ratio for I Shares (0.67%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
Certified Semi-Annual Report 35
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Thornburg Limited Term Income Funds
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 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.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files 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. The Fund’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, or may be reviewed and 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.
36 Certified Semi-Annual Report
Table of Contents
Trustees’ Statement to Shareholders
February 8, 2005
The Trustees are concerned that recent commentaries and opinions reported in the media may confuse investors in general as to the supervisory duties of trustees of mutual funds and, in particular, leave Thornburg Investment Trust shareholders uncertain regarding how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. We decided to spell out clearly three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf.
We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.
Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders’ returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.
Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.
This statement is submitted for the general information of the shareholders of Thornburg Investment Trust. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money.
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38 This page is not part of the Semi-Annual Report.
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Planning Options
Retirement and Education Accounts
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs – Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 701/2, even if you are covered by an employer retirement plan.
Roth IRAs – Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our web site at www.thornburg.com/ira.
SEP IRAs – Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employee’s SEP IRA on a discretionary basis.
SIMPLE IRAs – Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employee’s SIMPLE IRA. Employees may make salary deferral contributions.
403(b)
A special, tax-advantaged savings vehicle available only to employees of 501(c)(3) organizations, such as charitable, educational, scientific and religious organizations. 403(b) plans are also available to employees of public schools and universities.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
• | Thornburg International Value Fund |
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
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The Firm
Thornburg Investment Management is a privately held investment management company based in Santa Fe, New Mexico with assets under management of over $13 billion. Founded in 1982, the firm manages four equity funds, eight bond funds, and separate portfolios for select institutions and individuals.
Investment Philosophy
We seek to preserve and increase the real wealth of the Funds’ shareholders after accounting for inflation, taxes, and investment expenses. We’re committed to disciplined investing and controlling risk in all market environments through laddered bond and focused equity portfolios.
Portfolio Holdings Disclosure
We believe you should know what is in your portfolio. Our web site keeps investors informed of the Funds’ equity holdings. Go to www.thornburg.com/funds for portfolio manager commentary on our equity fund holdings.
Co-Ownership of Funds
We invest side-by-side with the Funds’ shareholders. Our employees have invested over $100 million in Thornburg Funds.
Core Strategies for Building Wealth
We deliver core strategies to help investors meet long-term goals. A core strategy is a consistent, disciplined and proven investment process that represents the foundation of a diversified portfolio.
INVESTMENT MANAGER
Thornburg Investment Management, Inc.
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
PRINCIPAL UNDERWRITER
Thornburg Securities Corporation
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
www.thornburg.com
Table of Contents
Core Strategies for Building Wealth
Thornburg Value Fund
Informational Brochure and Semi-Annual Report – March 31, 2005
This report and the accompanying brochure are submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/ download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money. Performance data quoted represents past performance and does not guarantee future results.
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Thornburg Value Fund
Finding Promising Companies at a Discount
The Fund seeks long-term capital appreciation by investing in a portfolio of a limited number of holdings selected on a value basis using fundamental research. As a secondary consideration, the fund also seeks some current income.
The portfolio is diversified to include basic value stocks, but also includes stocks of companies with consistent earnings characteristics and those of emerging franchises, when, in our opinion, these issues are value priced.
Thornburg Bond Funds
• | Thornburg Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term 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 invests in short- and intermediate-term investment grade bonds. We ladder the maturities of individual bonds in the portfolios to moderate risk. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio will mature each year. We apply this disciplined process in all interest rate environments.
Thornburg Equity Funds
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
Thornburg’s equity research uses a fundamental, yet comprehensive, analytical approach. We invest when and where we perceive the most compelling value. Thornburg equity funds focus on a limited number of securities so that each holding can have a material impact on performance. The equity team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic value.
More information at www.thornburg.com
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Important Information
The information presented on the following pages was current as of March 31, 2005. 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.
Shares in the Fund carry risks including possible loss of principal. There are special risks associated with international investing, including currency fluctuations, government regulation, political developments, and differences in liquidity. Additionally, the Fund invests a portion of the assets in small capitalization companies which may increase the risk of greater price fluctuations. Shares in the fund are not deposits or obligations of, or guaranteed or endorsed by, any bank, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any government agency.
Glossary
Standard & Poor’s 500 Stock Index (S&P 500) – 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.
Beta – Beta is a measure of market-related risk. Less than one means the portfolio is less volatile than the index, while greater than one indicates more volatility than the index.
Median Market Capitalization – Market capitalization (market cap) is the total value of a company’s stock, calculated by multiplying the number of outstanding common shares by the current share price. The company whose market cap is in the middle of the portfolio is the median market cap. Half the companies in the portfolio have values greater than the median, and half have values that are less. If there is an even number of companies, then the median is the average of the two companies in the middle.
Price to Book Value (P/B) – A ratio used to compare a stock’s market value to its book value. It is calculated by dividing the current closing price of the stock by the latest quarter’s book value (book value is simply assets minus liabilities).
Price to Cash Flow Ratio – A measure of the market’s expectations of a firm’s future financial health. It is calculated by dividing the price per share by cash flow per share.
Price to Earnings Ratio (P/E) – A valuation ratio of a company’s current share price compared to its per-share earnings. P/E equals a company’s market value per share divided by earnings per share.
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Portfolio Overview
Thornburg Value Fund
IMPORTANT PERFORMANCE INFORMATION
Performance data quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate so that upon redemption, investor’s shares may be worth more or less than their original cost. Current performance may be lower or higher than the data quoted. For performance data current to the most recent month end, visit www.thornburg.com.
The maximum sales charge for Class A shares is 4.50%.
MANAGEMENT TEAM
Front row, L to R: Wendy Trevisani, Bill Fries, Brad Kinkelaar, and Brian McMahon. Back row, L to R: Lei Wang, Connor Browne, Ed Maran, Vin Walden, Thomas Garcia, and Lewis Kaufman.
KEY PORTFOLIO ATTRIBUTES
Portfolio P/E* | 22.7 | x | ||
Portfolio Price to Cash Flow* | 13.5 | |||
Portfolio Price to Book Value* | 2.6 | |||
Median Market Cap* | $ | 25.56 | B | |
3-Year Beta (Thornburg vs. S&P 500 Index) | 0.95 | |||
Holdings | 48 |
* | Source: Russell Mellon Analytical Services. |
During the fiscal semi-annual period ended March 31, 2005 the Thornburg Value Fund provided a positive return of 8.46%, compared to 6.88% for the S&P 500 Index. The bottom-up investment style of the Fund was evident as strong individual stock performance was the primary reason the Fund outperformed the benchmark.
Positive Fund performance was driven by health care, energy and telecommunication service holdings. This was somewhat different from the index, which was driven by energy, industrial, and consumer staple stocks. In fact, telecommunication services was the worst performing segment of the index. The fact that it was one of the strongest segments of the Fund is a clear indication of strong stock picking during the period.
Health care holdings performed very well for the portfolio. Especially service companies such as WellPoint Inc. and UnitedHealth Group Inc. WellPoint, which is the nation’s largest health benefits company, was able to overcome regulatory concerns and complete a merger with Anthem during the period. UnitedHealth Group, which provides managed care products, appreciated as it continued to post strong earnings results. Health care equipment and services was the largest weight in the portfolio and the largest source of relative outperformance versus the benchmark.
The portfolio also experienced very good performance from telecommunication services stocks, primarily companies providing wireless services. A good example is NII Holdings Inc., formerly Nextel International. Although headquartered in Reston Virginia, NII Holdings’ primary business is providing digital wireless communication services in the quickly expanding Latin American markets.
Banks and diversified financials represented a significant portion of the portfolio during the period and were also strong contributors to
AVERAGE ANNUAL TOTAL RETURNS*
FOR PERIODS ENDED MARCH 31, 2005
1Q ‘05 | 1 Yr | 3 Yrs | 5 Yrs | Since Inception | |||||||||||
A Shares (Incep: 10/2/95) | |||||||||||||||
Without Sales Charge | (1.65 | )% | 3.14 | % | 2.81 | % | (1.00 | )% | 12.82 | % | |||||
With Sales Charge | (6.09 | )% | (1.51 | )% | 1.25 | % | (1.90 | )% | 12.28 | % | |||||
S&P 500 Index (Since: 10/2/95) | (2.15 | )% | 6.68 | % | 2.73 | % | (3.16 | )% | 9.50 | % |
* | Periods under one year are not annualized. |
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performance. Most notably is Lloyds TSB Group plc, one of England’s largest financial organizations offering retail and corporate banking products through a large number of branches. Lloyds continues to execute well in its core banking business after having sold off non-core assets over the last couple of years.
Energy stocks were once again strong performers in the portfolio and the index. Unocal Corp. and Exxon Mobil Corp. led the way as oil prices stayed high and Unocal was acquired by Chevron Texaco Corp.
During the period, insurance stocks Aon Corp. and American International Group were drags on the portfolio, although decisive action by the investment management team helped limit losses as they quickly evaluated changing fundamentals of each stock as new information became available. Media stock DIRECTV Group Inc. was also a poor performer during the period, as investors seemed focused on the rising cost of each additional subscriber, even though return on investment per subscriber was still quite positive.
The portfolio had insignificant exposure to material and utility stocks, which were a drag on performance relative to the S&P 500 since those were strong performing segments for the index.
This period was a great example of how a portfolio constructed from the bottom up can outperform even when it is not participating to the same extent as the benchmark in some of the better performing areas of the market. In our view, trying to anticipate which segments of the market will outperform is not as prudent a strategy as simply owning the best companies that we can identify through our rigorous research process.
PERFORMANCE IMPACT FOR SIX MONTHS ENDED 3/31/05
Top Contributors | Top Detractors | |
Unocal Corp. | DIRECTV Group Inc. | |
NII Holdings Inc. | Aon Corp. | |
WellPoint Inc. | Ditech Communications | |
UnitedHealth Group Inc. | Pfizer Inc. | |
Health Management Associates Inc. | Boston Scientific Corp. |
Source: Thompson Portfolio Analytics
MARKET CAPITALIZATION EXPOSURE
As of 3/31/05
TOP TEN EQUITY HOLDINGS
General Electric Co. | 3.4 | % | |
Cardinal Health Inc. | 3.1 | % | |
Citigroup Inc. | 3.1 | % | |
The Bank of New York Co. Inc. | 3.1 | % | |
Union Pacific Corp. | 3.0 | % | |
Lloyds TSB Group plc | 2.8 | % | |
Health Management Associates Inc. | 2.8 | % | |
DIRECTV Group Inc. | 2.8 | % | |
NII Holdings Inc. | 2.7 | % | |
Goldman Sachs Group | 2.7 | % |
TOP TEN INDUSTRIES
Health Care Equipment & Services | 14.0 | % | |
Telecommunication Services | 10.1 | % | |
Diversified Financials | 9.9 | % | |
Media | 8.2 | % | |
Energy | 7.4 | % | |
Banks | 7.0 | % | |
Pharmaceuticals & Biotechnology | 6.4 | % | |
Retailing | 5.7 | % | |
Transportation | 5.6 | % | |
Insurance | 4.9 | % |
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Thornburg Value Fund
March 31, 2005
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semi-annual shareholder reports fully and fairly represents their financial position.
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William V. Fries, CFA
Portfolio Manager
April 20, 2005
Dear Fellow Shareholder:
Results for the six month period ended March 31 were gratifying. At the beginning of the period net asset value (NAV) per Class A share was $28.11. At the end of the period NAV per Class A share was $30.32. Total return of the Fund for the period was 8.46% compared to 6.88% for the S&P 500 Index. The outperformance was primarily attributable to strong performance from individual holdings such as Unocal Corp., NII Holdings Inc., WellPoint Inc., and UnitedHealth Group Inc. For details by share class please refer to the performance summary on page 31.
With the economy and corporate earnings expanding through the period, stocks advanced on the prospects of improving profits, even as interest rates moved higher. Diminished uncertainties following the U.S. election and the successful election in Iraq also gave a lift to equities. Health care service issues were market leaders in the post election period in part because of a perception of less onerous government involvement in health care. Among Fund holdings, UnitedHealth Group and WellPoint were notable beneficiaries. Energy stocks had significant gains as oil prices moved higher during the period. Both Exxon Mobil Corp. and Unocal reached record levels. Subsequent to the end of the quarter, Unocal agreed to be acquired by ChevronTexaco Corp. Other acquisition activity during the period had a positive impact on performance. Transactions involved Nextel Communications Inc. merging with Sprint Corp., Guidant being acquired by Johnson & Johnson, and the publicly traded minority interest of Fox Entertainment Group bought by News Corporation. Telecommunication issue NII Holdings did well as its cell phone offering in Mexico continued to gain market penetration.
In January, OPEC abandoned the objective of establishing an oil price band below current levels. Since, oil prices have moved to new record levels. To date, this has not had much of an impact on economic activity, but at some point it could begin to bite, influencing consumer sentiment and spending. Coupled with deceleration in corporate earnings and rising interest rates, investor enthusiasm for equities has diminished. In this environment, investor caution is pervasive. Additions to the portfolio have been made with this in mind.
Boston Scientific Corp. is focused on medical products, especially related to less-invasive surgery. The increasingly competitive nature of its position in the cardiovascular stent business is widely recognized. The company’s market share leadership is being challenged. Accordingly, the stock is priced at a healthy discount to intrinsic value. What is not priced in the current valuation is its more competitive new product that is expected to be approved by the FDA late this year.
Leap Wireless International Inc. is a cellular phone service provider focused on price sensitive users. The company’s offering under the “Cricket” brand name requires a phone purchase but does not require a contract and minutes of use is not constrained for local calls. Roaming service and other features are about to be offered to its 1.5 million current subscribers. Without the burden of debt service, negotiated away in its recent reorganization, the company’s business model is now uniquely attractive.
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ChevronTexaco is a replacement for Unocal, which was sold on the run up on the rumored merger of the two companies. The company’s reserve and production potential will be improved with the addition of the Unocal assets. Our website at www.thornburg.com/funds has summary descriptions of these and the other portfolio holdings. The website also has other commentary you may find useful in tracking your investments.
Included in recent portfolio activity was the elimination of five positions; two were related to acquisitions (Guidant Corp. and Fox), one achieved target price (T. Rowe Price Group Inc.) and two were due to judgments about corporate developments (Affiliated Computer Services Inc. and AIG Inc.).
Company earnings in the current reporting season have thus far been mostly positive. Disappointing results at U.S. auto and some technology companies have increased concern that an economic slowdown could be more serious than expected. Should this occur at a time when inflationary pressure continues to build, managing the economy could become more challenging. While a retreat in oil prices would likely ease the challenge and go a long way toward improving sentiment among consumers and investors alike, a material decline does not seem likely. Our comprehensive approach to value investing can be productive when optimism is diminished.
Thank | you for your continued trust and confidence. |
Sincerely, |
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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.
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STATEMENT OF ASSETS AND LIABILITIES
Thornburg Value Fund | March 31, 2005 (Unaudited) |
ASSETS | ||||
Investments at value (cost $ 1,919,601,131) | $ | 2,044,022,766 | ||
Cash | 1,005,865 | |||
Receivable for investments sold | 8,727,483 | |||
Receivable for fund shares sold | 4,858,410 | |||
Dividends receivable | 4,698,817 | |||
Interest receivable | 727,313 | |||
Prepaid expenses and other assets | 124,914 | |||
Total Assets | 2,064,165,568 | |||
LIABILITIES | ||||
Payable for securities purchased | 15,143,059 | |||
Payable for fund shares redeemed | 4,512,031 | |||
Payable to investment advisor and other affiliates (Note 3) | 2,287,935 | |||
Accounts payable and accrued expenses | 953,620 | |||
Dividends payable | 344,984 | |||
Total Liabilities | 23,241,629 | |||
NET ASSETS | $ | 2,040,923,939 | ||
NET ASSETS CONSIST OF: | ||||
Undistributed net investment gain (loss) | $ | 1,344,984 | ||
Net unrealized appreciation on investments | 124,375,628 | |||
Accumulated net realized gain (loss) | (122,000,557 | ) | ||
Net capital paid in on shares of beneficial interest | 2,037,203,884 | |||
$ | 2,040,923,939 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share | $ | 30.32 | ||
Maximum sales charge, 4.50% of offering price | 1.43 | |||
Maximum offering price per share | $ | 31.75 | ||
Class B Shares: | ||||
Net asset value and offering price per share * | $ | 29.24 | ||
Class C Shares: | ||||
Net asset value and offering price per share * | $ | 29.53 | ||
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STATEMENT OF ASSETS AND LIABILITIES, CONTINUED
Thornburg Value Fund | March 31, 2005 (Unaudited) |
Class I Shares: | |||
Net asset value, offering and redemption price per share | $ | 30.74 | |
Class R1 Shares: | |||
Net asset value, offering and redemption price per share | $ | 30.25 | |
Class R5 Shares: | |||
Net asset value, offering and redemption price per share | $ | 30.74 | |
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
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Thornburg Value Fund | Six Months Ended March 31, 2005 (Unaudited) |
INVESTMENT INCOME: | ||||
Dividend income (net of foreign taxes withheld of $ 393,637) | $ | 21,412,858 | ||
Interest income | 6,117,873 | |||
Total Income | 27,530,731 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 8,277,621 | |||
Administration fees (Note 3) | ||||
Class A Shares | 688,428 | |||
Class B Shares | 59,510 | |||
Class C Shares | 296,828 | |||
Class I Shares | 101,378 | |||
Class R1 Shares | 3,839 | |||
Class R5 Shares | 1 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 1,375,812 | |||
Class B Shares | 475,458 | |||
Class C Shares | 2,371,507 | |||
Class R1 Shares | 15,365 | |||
Transfer agent fees | ||||
Class A Shares | 813,950 | |||
Class B Shares | 78,165 | |||
Class C Shares | 352,090 | |||
Class I Shares | 147,510 | |||
Class R1 Shares | 7,300 | |||
Class R5 Shares | 1,947 | |||
Registration and filing fees | ||||
Class A Shares | 34,376 | |||
Class B Shares | 100 | |||
Class C Shares | 7,667 | |||
Class I Shares | 29,930 | |||
Class R1 Shares | 12,377 | |||
Class R5 Shares | 3,633 | |||
Custodian fees (Note 3) | 249,808 | |||
Professional fees | 58,865 | |||
Accounting fees | 117,900 | |||
Trustee fees | 10,005 | |||
Other expenses | 459,000 | |||
Total Expenses | 16,050,370 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (88,644 | ) | ||
Fees paid indirectly (Note 3) | (7,688 | ) | ||
Net Expenses | 15,954,038 | |||
Net Investment Income | $ | 11,576,693 | ||
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STATEMENT OF OPERATIONS, CONTINUED
Thornburg Value Fund | Six Months Ended March 31, 2005 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments | $ | 151,406,930 | ||
Foreign currency transactions | 488,815 | |||
151,895,745 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 4,346,090 | |||
Foreign currency translation | (43,021 | ) | ||
4,303,069 | ||||
Net Realized and Unrealized Gain | 156,198,814 | |||
Net Increase in Net Assets Resulting From Operations | $ | 167,775,507 | ||
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Value Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income gain | $ | 11,576,693 | $ | 10,860,838 | ||||
Net realized gain on investments and foreign currency transactions | 151,895,745 | 143,972,530 | ||||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments and foreign currency translation | 4,303,069 | (29,911,224 | ) | |||||
Net Increase in Net Assets Resulting from Operations | 167,775,507 | 124,922,144 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (6,152,655 | ) | (7,240,069 | ) | ||||
Class B Shares | (243,645 | ) | (165,223 | ) | ||||
Class C Shares | (1,171,455 | ) | (881,785 | ) | ||||
Class I Shares | (3,033,601 | ) | (3,723,901 | ) | ||||
Class R1 Shares | (36,331 | ) | (41,476 | ) | ||||
Class R5 Shares | (71 | ) | 0 | |||||
FUND SHARE TRANSACTIONS - (Note 4) | ||||||||
Class A Shares | (97,909,955 | ) | 28,336,374 | |||||
Class B Shares | (8,278,010 | ) | (1,996,877 | ) | ||||
Class C Shares | (58,942,686 | ) | 6,280,617 | |||||
Class I Shares | 9,595,009 | 102,430,454 | ||||||
Class R1 Shares | (47,038 | ) | 5,988,945 | |||||
Class R5 Shares | 28,923 | 0 | ||||||
Net Increase in Net Assets | 1,583,992 | 253,909,203 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 2,039,339,947 | 1,785,430,744 | ||||||
End of period | $ | 2,040,923,939 | $ | 2,039,339,947 | ||||
See notes to financial statements.
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Thornburg Value Fund | March 31, 2005 (Unaudited) |
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 Limited Term Municipal Fund, Thornburg California 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 six classes of shares of beneficial interest, Class A, Class B, Class C, Institutional Class (Class I), and Retirement Class (Class R1) and (Class R5) 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 R1 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, (vi) Class R5 shares are sold at net asset value without a sales charge at the time of purchase, and (vii) 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 Trust 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 Trust to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all taxable income, including any net realized gain on investments, of the Fund, to the shareholders. Therefore, no provision for Federal income taxes 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 and or market changes. At the time the Trust 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 an amount sufficient to make payment for the portfolio securities to be purchased will be segregated on the Fund’s records on
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Value Fund | March 31, 2005 (Unaudited) |
the trade date. Securities purchased on a when-issued or delayed delivery basis do not earn interest until the settlement 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 period ended March 31, 2005, these fees were payable at annual rates ranging from .875 of 1% to .675 of 1% per annum 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% per annum of the average daily net assets attributable to each class of shares. For the period ended March 31, 2005, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $58,629 for Class I shares, $24,437 for Class R1 shares and, $5,578 for Class R5 shares.
The Trust 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 period ended March 31, 2005, the Distributor has advised the Fund that it earned net commissions aggregating $28,129 from the sale of Class A shares of the Fund, and collected contingent deferred sales charges aggregating $17,651 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 Trust has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Fund’s Class B, Class C, and Class R1 shares under which the Fund compensates the Distributor for services in promoting the sale of Class B, Class C, and Class R1 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 B, Class C, and Class R1 shares. Total fees incurred by the Distributor for each class of shares of the Fund under its respective service and distribution plans for the period ended March 31, 2005, are set forth in the Statement of Operations.
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 March 31, 2005, fees paid indirectly were $7,688.
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.
16 Certified Semi-Annual Report |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Value Fund | March 31, 2005 (Unaudited) |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2005, there were an unlimited number of shares of beneficial interest authorized. Sale of Class R5 shares commenced February 1, 2005. Transactions in shares of beneficial interest were as follows:
Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 2,873,492 | $ | 86,002,953 | 11,405,873 | $ | 327,555,712 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 181,821 | 5,584,846 | 228,437 | 6,559,600 | ||||||||||
Shares repurchased ** | (6,342,546 | ) | (189,497,754 | ) | (10,795,871 | ) | (305,778,938 | ) | ||||||
Net Increase (Decrease) | (3,287,233 | ) | $ | (97,909,955 | ) | 838,439 | $ | 28,336,374 | ||||||
** 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 period ended March 31, 2005 and year ended September 30, 2004, $35,543 and $63,006, respectively, were netted in the amount reported for shares repurchased. |
| |||||||||||||
Class B Shares | ||||||||||||||
Shares sold | 52,162 | $ | 1,511,806 | 380,476 | $ | 10,548,934 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 7,267 | 216,134 | 5,415 | 146,992 | ||||||||||
Shares repurchased | (346,130 | ) | (10,005,950 | ) | (460,576 | ) | (12,692,803 | ) | ||||||
Net Increase (Decrease) | (286,701 | ) | $ | (8,278,010 | ) | (74,685 | ) | $ | (1,996,877 | ) | ||||
Class C Shares | ||||||||||||||
Shares sold | 560,563 | $ | 16,329,639 | 3,239,399 | $ | 90,745,058 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 33,298 | 1,000,090 | 27,090 | 746,516 | ||||||||||
Shares repurchased | (2,617,030 | ) | (76,272,415 | ) | (3,079,437 | ) | (85,210,957 | ) | ||||||
Net Increase (Decrease) | (2,023,169 | ) | $ | (58,942,686 | ) | 187,052 | $ | 6,280,617 | ||||||
Class I Shares | ||||||||||||||
Shares sold | 2,014,506 | $ | 61,145,107 | 5,766,851 | $ | 167,750,890 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 81,478 | 2,535,475 | 106,031 | 3,088,228 | ||||||||||
Shares repurchased ** | (1,780,385 | ) | (54,085,573 | ) | (2,376,801 | ) | (68,408,664 | ) | ||||||
Net Increase (Decrease) | 315,599 | $ | 9,595,009 | 3,496,081 | $ | 102,430,454 | ||||||||
** 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 period ended March 31, 2005 and year ended September 30, 2004, $11,050 and $12,511, respectively, were netted in the amount reported for shares repurchased. |
| |||||||||||||
Class R1 Shares | ||||||||||||||
Shares sold | 61,749 | $ | 1,840,679 | 218,435 | $ | 6,370,169 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 993 | 30,436 | 1,357 | 38,681 | ||||||||||
Shares repurchased | (63,874 | ) | (1,918,153 | ) | (14,704 | ) | (419,905 | ) | ||||||
Net Increase (Decrease) | (1,132 | ) | $ | (47,038 | ) | 205,088 | $ | 5,988,945 | ||||||
Certified Semi-Annual Report 17 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Value Fund | March 31, 2005 (Unaudited) |
Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||||
Shares | Amount | Shares | Amount | |||||||
Class R5 Shares* | ||||||||||
Shares sold | 928 | $ | 28,852 | — | $ | — | ||||
Shares issued to shareholders in reinvestment of dividends | 2 | 71 | — | — | ||||||
Shares repurchased | — | — | — | — | ||||||
Net Increase (Decrease) | 930 | $ | 28,923 | — | $ | — | ||||
* | Effective date of Class R5 shares was February 1, 2005. |
NOTE 5 – SECURITIES TRANSACTIONS
For the period ended March 31, 2005, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $585,610,060 and $738,050,088, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2005, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 1,919,601,131 | ||
Gross unrealized appreciation on a tax basis | $ | 247,026,719 | ||
Gross unrealized depreciation on a tax basis | (122,605,084 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 124,421,635 | ||
At March 31, 2005, 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:
2010 | $ | 98,702,605 | |
2011 | 174,912,875 | ||
$ | 273,615,480 | ||
18 Certified Semi-Annual Report |
Table of Contents
FINANCIAL HIGHLIGHTS | ||
Thornburg Value Fund | (Unaudited)* |
*Six Months 2005 | Year Ended September 30, | |||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||
Class A Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 28.11 | $ | 26.29 | $ | 20.73 | $ | 26.04 | $ | 32.98 | $ | 26.20 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.35 | 0.20 | 0.15 | — | (c) | 0.02 | 0.74 | |||||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.03 | 1.81 | 5.45 | (5.31 | ) | (6.38 | ) | 7.29 | ||||||||||||||||
Total from investment operations | 2.38 | 2.01 | 5.60 | (5.31 | ) | (6.36 | ) | 8.03 | ||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.17 | ) | (0.19 | ) | (0.02 | ) | — | (0.25 | ) | (0.86 | ) | |||||||||||||
Net realized gains | — | — | — | — | (0.25 | ) | (0.39 | ) | ||||||||||||||||
Return of capital | — | — | (0.02 | ) | — | (0.08 | ) | — | ||||||||||||||||
Total dividends | (0.17 | ) | (0.19 | ) | (0.04 | ) | — | (0.58 | ) | (1.25 | ) | |||||||||||||
Change in net asset value | 2.21 | 1.82 | 5.56 | (5.31 | ) | (6.94 | ) | 6.78 | ||||||||||||||||
NET ASSET VALUE, end of period | $ | 30.32 | $ | 28.11 | $ | 26.29 | $ | 20.73 | $ | 26.04 | $ | 32.98 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | 8.46 | % | 7.61 | % | 27.02 | % | (20.39 | )% | (19.59 | )% | 30.68 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 1.23 | %(d) | 0.69 | % | 0.66 | % | — | (b) | 0.07 | % | 2.31 | % | ||||||||||||
Expenses, after expense reductions | 1.41 | %(d) | 1.37 | % | 1.43 | % | 1.40 | % | 1.37 | % | 1.38 | % | ||||||||||||
Expenses, after expense reductions and net of custody credits | 1.41 | %(d) | 1.37 | % | 1.43 | % | 1.40 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 1.41 | %(d) | 1.37 | % | 1.43 | % | 1.40 | % | 1.38 | % | 1.38 | % | ||||||||||||
Portfolio turnover rate | 28.48 | % | 68.74 | % | 82.89 | % | 76.37 | % | 71.81 | % | 72.35 | % | ||||||||||||
Net assets at end of period (000) | $ | 1,072,003 | $ | 1,086,448 | $ | 994,043 | $ | 809,229 | $ | 1,078,582 | $ | 873,433 |
(a) | Sales loads are not reflected in computing total return, which is not annualized for periods less than one year. |
(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. |
(d) | Annualized. |
+ | Based on weighted average shares outstanding. |
Certified Semi-Annual Report 19 |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Value Fund | (Unaudited)* |
*Six Months 2005 | Year Ended September 30, | Period Ended Sept. 30, 2000 (a) | ||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | |||||||||||||||||||||
Class B Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 27.13 | $ | 25.47 | $ | 20.22 | $ | 25.61 | $ | 32.63 | $ | 33.22 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.07 | (0.03 | ) | (0.05 | ) | (0.22 | ) | (0.24 | ) | — | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.11 | 1.74 | 5.30 | (5.17 | ) | (6.31 | ) | 0.09 | ||||||||||||||||
Total from investment operations | 2.18 | 1.71 | 5.25 | (5.39 | ) | (6.55 | ) | 0.09 | ||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.07 | ) | (0.05 | ) | — | — | (0.19 | ) | (0.68 | ) | ||||||||||||||
Net realized gains | — | — | — | — | (0.25 | ) | — | |||||||||||||||||
Return of capital | — | — | — | — | (0.03 | ) | — | |||||||||||||||||
Total dividends | (0.07 | ) | (0.05 | ) | — | — | (0.47 | ) | (0.68 | ) | ||||||||||||||
Change in net asset value | 2.11 | 1.66 | 5.25 | (5.39 | ) | (7.02 | ) | (0.59 | ) | |||||||||||||||
NET ASSET VALUE, end of period | $ | 29.24 | $ | 27.13 | $ | 25.47 | $ | 20.22 | $ | 25.61 | $ | 32.63 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (c) | 8.05 | % | 6.71 | % | 25.96 | % | (21.05 | )% | (20.35 | )% | 0.25 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.48 | %(b) | (0.12 | )% | (0.22 | )% | (0.85 | )% | (0.83 | )% | 0.02 | %(b) | ||||||||||||
Expenses, after expense reductions | 2.17 | %(b) | 2.18 | % | 2.31 | % | 2.25 | % | 2.27 | % | 2.38 | %(b) | ||||||||||||
Expenses, after expense reductions and net of custody credits | 2.17 | %(b) | 2.18 | % | 2.31 | % | 2.25 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 2.18 | %(b) | 2.20 | % | 2.32 | % | 2.25 | % | 2.30 | % | 2.43 | %(b) | ||||||||||||
Portfolio turnover rate | 28.48 | % | 68.74 | % | 82.89 | % | 76.37 | % | 71.81 | % | 72.35 | % | ||||||||||||
Net assets at end of period (000) | $ | 92,377 | $ | 93,508 | $ | 89,661 | $ | 70,682 | $ | 68,740 | $ | 17,945 |
(a) | Effective date of Class B Shares was April 3, 2000. |
(b) | Annualized. |
(c) | Not annualized for periods less than one year. |
+ | Based on weighted average shares outstanding |
20 Certified Semi-Annual Report |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Value Fund | (Unaudited)* |
*Six Months Ended 2005 | Year Ended September 30, | |||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||
Class C Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 27.40 | $ | 25.70 | $ | 20.40 | $ | 25.82 | $ | 32.80 | $ | 26.08 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.07 | (0.02 | ) | (0.04 | ) | (0.20 | ) | (0.22 | ) | 0.49 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.13 | 1.77 | 5.34 | (5.22 | ) | (6.34 | ) | 7.23 | ||||||||||||||||
Total from investment operations | 2.20 | 1.75 | 5.30 | (5.42 | ) | (6.56 | ) | 7.72 | ||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.07 | ) | (0.05 | ) | — | — | (0.16 | ) | (0.61 | ) | ||||||||||||||
Net realized gains | — | — | — | — | (0.25 | ) | (0.39 | ) | ||||||||||||||||
Return of capital | — | — | — | — | (0.01 | ) | — | |||||||||||||||||
Total dividends | (0.07 | ) | (0.05 | ) | — | — | (0.42 | ) | (1.00 | ) | ||||||||||||||
Change in net asset value | 2.13 | 1.70 | 5.30 | (5.42 | ) | (6.98 | ) | 6.72 | ||||||||||||||||
NET ASSET VALUE, end of period | $ | 29.53 | $ | 27.40 | $ | 25.70 | $ | 20.40 | $ | 25.82 | $ | 32.80 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | 8.03 | % | 6.81 | % | 25.98 | % | (20.99 | )% | (20.24 | )% | 29.90 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.49 | %(b) | (0.07 | )% | (0.16 | )% | (0.77 | )% | (0.74 | )% | 1.53 | % | ||||||||||||
Expenses, after expense reductions | 2.16 | %(b) | 2.14 | % | 2.25 | % | 2.17 | % | 2.18 | % | 2.16 | % | ||||||||||||
Expenses, after expense reductions and net of custody credits | 2.16 | %(b) | 2.14 | % | 2.25 | % | 2.17 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 2.16 | %(b) | 2.15 | % | 2.25 | % | 2.17 | % | 2.19 | % | 2.17 | % | ||||||||||||
Portfolio turnover rate | 28.48 | % | 68.74 | % | 82.89 | % | 76.37 | % | 71.81 | % | 72.35 | % | ||||||||||||
Net assets at end of period (000) | $ | 452,495 | $ | 475,296 | $ | 441,103 | $ | 368,038 | $ | 437,199 | $ | 361,447 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
+ | Based on weighted average shares outstanding. |
Certified Semi-Annual Report 21 |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Value Fund | (Unaudited)* |
*Six Months Ended 2005 | Year Ended September 30, | |||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 28.49 | $ | 26.64 | $ | 20.95 | $ | 26.18 | $ | 33.09 | $ | 26.26 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.25 | 0.31 | 0.26 | 0.11 | 0.14 | 0.91 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.23 | 1.84 | 5.51 | (5.34 | ) | (6.42 | ) | 7.25 | ||||||||||||||||
Total from investment operations | 2.48 | 2.15 | 5.77 | (5.23 | ) | (6.28 | ) | 8.16 | ||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.23 | ) | (0.30 | ) | (0.03 | ) | — | (0.28 | ) | (0.94 | ) | |||||||||||||
Net realized gains | — | — | — | — | (0.25 | ) | (0.39 | ) | ||||||||||||||||
Return of capital | — | — | (0.05 | ) | — | (0.10 | ) | — | ||||||||||||||||
Total dividends | (0.23 | ) | (0.30 | ) | (0.08 | ) | — | (0.63 | ) | (1.33 | ) | |||||||||||||
Change in net asset value | 2.25 | 1.85 | 5.69 | (5.23 | ) | (6.91 | ) | 6.83 | ||||||||||||||||
NET ASSET VALUE, end of period | $ | 30.74 | $ | 28.49 | $ | 26.64 | $ | 20.95 | $ | 26.18 | $ | 33.09 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | 8.68 | % | 8.04 | % | 27.55 | % | (19.98 | )% | (19.29 | )% | 31.44 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 1.65 | %(b) | 1.07 | % | 1.10 | % | 0.42 | % | 0.45 | % | 2.82 | % | ||||||||||||
Expenses, after expense reductions | 0.99 | %(b) | 0.99 | % | 0.99 | % | 0.98 | % | 0.99 | % | 0.99 | % | ||||||||||||
Expenses, after expense reductions and net of custody credits | 0.99 | %(b) | 0.99 | % | 0.99 | % | 0.98 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 1.02 | %(b) | 0.99 | % | 1.03 | % | 0.99 | % | 1.01 | % | 1.00 | % | ||||||||||||
Portfolio turnover rate | 28.48 | % | 68.74 | % | 82.89 | % | 76.37 | % | 71.81 | % | 72.35 | % | ||||||||||||
Net assets at end of period (000) | $ | 417,850 | $ | 378,334 | $ | 260,624 | $ | 207,613 | $ | 293,784 | $ | 242,974 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
+ | Based on weighted average shares outstanding. |
22 Certified Semi-Annual Report |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Value Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | Period Ended September 30, 2003(c) | ||||||||||
Class R1 Shares: | ||||||||||||
PER SHARE PERFORMANCE | ||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||
Net asset value, beginning of period | $ | 28.06 | $ | 26.27 | $ | 25.83 | ||||||
Income from investment operations: | ||||||||||||
Net investment income | 0.20 | 0.17 | 0.03 | |||||||||
Net realized and unrealized gain (loss) on investments | 2.17 | 1.85 | 0.41 | |||||||||
Total from investment operations | 2.37 | 2.02 | 0.44 | |||||||||
Less dividends from: | ||||||||||||
Net investment income | (0.18 | ) | (0.23 | ) | — | |||||||
Change in net asset value | 2.19 | 1.79 | 0.44 | |||||||||
NET ASSET VALUE, end of period | $ | 30.25 | $ | 28.06 | $ | 26.27 | ||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||
Total return (a) | 8.44 | % | 7.68 | % | 1.70 | % | ||||||
Ratios to average net assets: | ||||||||||||
Net investment income | 1.32 | %(b) | 0.61 | % | 0.48 | %(b) | ||||||
Expenses, after expense reductions | 1.35 | %(b) | 1.34 | % | 1.45 | %(b) | ||||||
Expenses, after expense reductions and net of custody credits | 1.35 | %(b) | 1.34 | % | 1.45 | %(b) | ||||||
Expenses, before expense reductions | 2.15 | %(b) | 2.22 | % | 44,445.63 | %(b)† | ||||||
Portfolio turnover rate | 28.48 | % | 68.74 | % | 82.89 | % | ||||||
Net assets at end of period (000) | $ | 6,170 | $ | 5,754 | $ | — | (d) |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
(c) | Effective date of Class R1 Shares was July 1, 2003. |
(d) | Net assets at end of period 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 Semi-Annual Report 23 |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Value Fund | (Unaudited)* |
*Period Ended March 31, 2005 (c) | ||||
Class R5 Shares: | ||||
PER SHARE PERFORMANCE | ||||
(for a share outstanding throughout the period)+ | ||||
Net asset value, beginning of period | $ | 30.75 | ||
Income from investment operations: | ||||
Net investment income | 0.09 | |||
Net realized and unrealized gain (loss) on investments | (0.02 | ) | ||
Total from investment operations | 0.07 | |||
Less dividends from: | ||||
Net investment income | (0.08 | ) | ||
Change in net asset value | (0.01 | ) | ||
NET ASSET VALUE, end of period | $ | 30.74 | ||
RATIOS/SUPPLEMENTAL DATA | ||||
Total return (a) | 0.22 | % | ||
Ratios to average net assets: | ||||
Net investment income | 1.80 | %(b) | ||
Expenses, after expense reductions | 0.99 | %(b) | ||
Expenses, after expense reductions and net of custody credits | 0.98 | %(b) | ||
Expenses, before expense reductions | 229.39 | %(b)† | ||
Portfolio turnover rate | 28.48 | % | ||
Net assets at end of period (000) | $ | 29 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
(c) | Effective date of Class R5 Shares was February 1, 2005. |
† | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
+ | Based on weighted average shares outstanding. |
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Table of Contents
Thornburg Value Fund | March 31, 2005 (Unaudited) |
CUSIPS: CLASS A - 885-215-731, CLASS B - 885-215-590, CLASS C - 885-215-715, CLASS I - 885-215-632, CLASS R1 - 885-215-533, CLASS R5 - 885-215-376
NASDAQ SYMBOLS: CLASS A - TVAFX, CLASS B - TVBFX, CLASS C - TVCFX, CLASS I - TVIFX, CLASS R1 - TVRFX, CLASS R5 - TVRRX
Shares/ Principal Amount | Value | ||||
COMMON STOCK — 96.24% | |||||
BANKS — 6.95% | |||||
COMMERCIAL BANKS — 6.95% | |||||
Bank of America Corp. | 1,158,900 | $ | 51,107,490 | ||
Lloyds TSB Group plc | 6,383,200 | 57,621,314 | |||
Wells Fargo & Co. | 553,800 | 33,117,240 | |||
TOTAL BANKS | 141,846,044 | ||||
CAPITAL GOODS — 3.38% | |||||
INDUSTRIAL CONGLOMERATES — 3.38% | |||||
General Electric Co. | 1,916,100 | 69,094,566 | |||
TOTAL CAPITAL GOODS | 69,094,566 | ||||
COMMERCIAL SERVICES & SUPPLIES — 1.25% | |||||
COMMERCIAL SERVICES & SUPPLIES — 1.25% | |||||
FTI Consulting Inc.+ | 1,237,600 | 25,544,064 | |||
TOTAL COMMERCIAL SERVICES & SUPPLIES | 25,544,064 | ||||
DIVERSIFIED FINANCIALS — 9.93% | |||||
CAPITAL MARKETS — 6.81% | |||||
E-Trade Financial Corp.+ | 1,793,677 | 21,524,124 | |||
Goldman Sachs Group Inc. | 493,500 | 54,280,065 | |||
The Bank of New York Co. Inc. | 2,176,600 | 63,230,230 | |||
DIVERSIFIED FINANCIAL SERVICES — 3.12% | |||||
Citigroup Inc. | 1,416,800 | 63,670,992 | |||
TOTAL DIVERSIFIED FINANCIALS | 202,705,411 | ||||
ENERGY — 7.42% | |||||
OIL & GAS — 7.42% | |||||
ChevronTexaco Corp. | 691,000 | 40,292,210 | |||
Exxon Mobil Corp. | 848,600 | 50,576,560 | |||
Petroleo Brasileiro SA ADR | 1,154,300 | 50,996,974 | |||
Unocal Corp. | 154,200 | 9,512,598 | |||
TOTAL ENERGY | 151,378,342 | ||||
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Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Value Fund | March 31, 2005 (Unaudited) |
Shares/ Principal Amount | Value | ||||
FOOD BEVERAGE & TOBACCO — 1.06% | |||||
BEVERAGES — 1.06% | |||||
Molson Coors Brewing Co. | 280,100 | $ | 21,615,317 | ||
TOTAL FOOD BEVERAGE & TOBACCO | 21,615,317 | ||||
HEALTH CARE EQUIPMENT & SERVICES — 13.99% | |||||
HEALTH CARE EQUIPMENT & SUPPLIES — 1.75% | |||||
Boston Scientific Corp.+ | 1,224,300 | 35,859,747 | |||
HEALTH CARE PROVIDERS & SERVICES — 12.24% | |||||
Cardinal Health Inc. | 1,149,700 | 64,153,260 | |||
Eclipsys Corp.+ | 1,866,440 | 28,892,491 | |||
Health Management Associates | 2,190,255 | 57,340,876 | |||
UnitedHealth Group Inc. | 533,900 | 50,923,382 | |||
WellPoint Inc.+ | 386,700 | 48,472,845 | |||
TOTAL HEALTH CARE EQUIPMENT & SERVICES | 285,642,601 | ||||
HOUSEHOLD & PERSONAL PRODUCTS — 4.24% | |||||
HOUSEHOLD PRODUCTS — 4.24% | |||||
American Greetings Corp. | 1,778,100 | 45,305,988 | |||
Colgate Palmolive Co. | 789,300 | 41,177,781 | |||
TOTAL HOUSEHOLD & PERSONAL PRODUCTS | 86,483,769 | ||||
INSURANCE — 4.94% | |||||
INSURANCE — 4.94% | |||||
Marsh & McLennan Cos. Inc. | 1,603,500 | 48,778,470 | |||
The St. Paul Travelers Cos. Inc. | 1,415,100 | 51,976,623 | |||
TOTAL INSURANCE | 100,755,093 | ||||
MEDIA — 8.17% | |||||
MEDIA — 8.17% | |||||
Comcast Corp.+ | 1,430,200 | 47,768,680 | |||
DIRECTV Group Inc.+ | 3,892,685 | 56,132,518 | |||
Sirius Satellite Radio Inc.+ | 1,681,355 | 9,449,215 | |||
Time Warner Inc.+ | 2,533,755 | 44,467,400 | |||
XM Satellite Radio Holdings Inc.+ | 282,905 | 8,911,508 | |||
TOTAL MEDIA | 166,729,321 | ||||
PHARMACEUTICALS & BIOTECHNOLOGY — 6.43% | |||||
BIOTECHNOLOGY — 1.73% | |||||
Amgen Inc.+ | 604,500 | 35,187,945 |
26 Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Value Fund | March 31, 2005 (Unaudited) |
Shares/ Principal Amount | Value | ||||
PHARMACEUTICALS — 4.70% | |||||
Pfizer Inc. | 1,989,300 | $ | 52,258,911 | ||
Sanofi-Aventis | 518,400 | 43,728,881 | |||
TOTAL PHARMACEUTICALS & BIOTECHNOLOGY | 131,175,737 | ||||
RETAILING — 5.67% | |||||
MULTILINE RETAIL — 1.77% | |||||
Target Corp. | 720,000 | 36,014,400 | |||
SPECIALTY RETAIL — 3.90% | |||||
Autozone Inc.+ | 487,140 | 41,747,898 | |||
Linens N Things Inc.+ | 1,526,077 | 37,892,492 | |||
TOTAL RETAILING | 115,654,790 | ||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 4.73% | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 4.73% | |||||
Samsung Electronics Co. Ltd. | 91,800 | 45,380,207 | |||
Texas Instruments Inc. | 2,010,075 | 51,236,811 | |||
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT | 96,617,018 | ||||
SOFTWARE & SERVICES — 2.89% | |||||
SOFTWARE — 2.89% | |||||
Microsoft Corp. | 1,788,900 | 43,237,713 | |||
Shanda Interactive Entertainment Ltd.+ | 518,500 | 15,658,700 | |||
TOTAL SOFTWARE & SERVICES | 58,896,413 | ||||
TECHNOLOGY HARDWARE & EQUIPMENT — 2.44% | |||||
COMMUNICATIONS EQUIPMENT — 2.44% | |||||
Cisco Systems Inc.+ | 2,196,000 | 39,286,440 | |||
Ditech Communications Corp.+ | 839,600 | 10,469,812 | |||
TOTAL TECHNOLOGY HARDWARE & EQUIPMENT | 49,756,252 | ||||
TELECOMMUNICATION SERVICES — 7.19% | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 2.54% | |||||
Alltel Corp. | 945,100 | 51,838,735 | |||
WIRELESS TELECOMMUNICATION SERVICES — 4.65% | |||||
Crown Castle International Corp.+ | 1,310,100 | 21,040,206 | |||
Leap Wireless International, Inc.+ | 728,000 | 18,964,400 | |||
NII Holdings Inc.+ | 955,604 | 54,947,230 | |||
TOTAL TELECOMMUNICATION SERVICES | 146,790,571 | ||||
Certified Semi-Annual Report 27 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Value Fund | March 31, 2005 (Unaudited) |
Shares/ Principal Amount | Value | ||||||
TRANSPORTATION — 5.56% | |||||||
AIRLINES — 2.56% | |||||||
Southwest Airlines Co. | 3,672,453 | $ | 52,295,731 | ||||
ROAD & RAIL — 3.00% | |||||||
Union Pacific Corp. | 879,100 | 61,273,270 | |||||
TOTAL TRANSPORTATION | 113,569,001 | ||||||
TOTAL COMMON STOCK (Cost $ 1,829,160,337) | 1,964,254,310 | ||||||
CORPORATE BONDS — 0.53% | |||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.53% | |||||||
Level 3 Communications Inc., 9.125%, 5/1/2008 | $ | 7,000,000 | 5,827,500 | ||||
Level 3 Communications Inc., 10.50%, 12/1/2008 | 5,900,000 | 5,029,750 | |||||
TOTAL CORPORATE BONDS (Cost $ 9,859,318) | 10,857,250 | ||||||
CONVERTIBLE BONDS — 2.40% | |||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 2.40% | |||||||
Level 3 Communications Inc., 6.00%, 9/15/2009 | 18,700,000 | 9,653,875 | |||||
Level 3 Communications Inc., 6.00%, 3/15/2010 | 76,800,000 | 39,264,000 | |||||
TOTAL CONVERTIBLE BONDS (Cost $ 60,588,145) | 48,917,875 | ||||||
SHORT TERM INVESTMENTS — 0.98% | |||||||
American General Finance Corp., 2.82%, 4/4/2005 | 4,000,000 | 3,999,060 | |||||
Toyota, 2.75%, 4/5/2005 | 5,000,000 | 4,998,472 | |||||
Toyota, 2.75%, 4/6/2005 | 11,000,000 | 10,995,799 | |||||
TOTAL SHORT TERM INVESTMENTS (Cost $ 19,993,331) | 19,993,331 | ||||||
TOTAL INVESTMENTS — 100.15% (COST $ 1,919,601,131) | $ | 2,044,022,766 | |||||
LIABILITIES NET OF OTHER ASSETS — (0.15)% | (3,098,827 | ) | |||||
NET ASSETS — 100.00% | $ | 2,040,923,939 | |||||
Footnote Legend
See notes to financial statements.
+ | Non-income producing. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR American Depository Receipt
28 Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Value Fund | March 31, 2005 (Unaudited) |
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/05
Health Care Equipment & Services | 13.99 | % | |
Telecommunication Services | 10.12 | % | |
Diversified Financials | 9.93 | % | |
Media | 8.17 | % | |
Energy | 7.42 | % | |
Banks | 6.95 | % | |
Pharmaceuticals & Biotechnology | 6.43 | % | |
Retailing | 5.67 | % | |
Transportation | 5.56 | % | |
Insurance | 4.94 | % | |
Semiconductors & Semiconductor Equip | 4.73 | % | |
Household & Personal Products | 4.24 | % | |
Capital Goods | 3.38 | % | |
Software & Services | 2.89 | % | |
Technology Hardware & Equipment | 2.44 | % | |
Commercial Services & Supplies | 1.25 | % | |
Food Beverage & Tobacco | 1.06 | % | |
Other Assets & Cash Equivalents | 0.83 | % |
Certified Semi-Annual Report 29 |
Table of Contents
Thornburg Value Fund | March 31, 2005 (Unaudited) |
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
(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 September 30, 2004 and held until March 31, 2005.
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 Account Value 9/30/04 | Ending Account Value 3/31/05 | Expenses Paid During Period† | |||||||
Class A Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,084.60 | $ | 7.32 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,017.91 | $ | 7.09 | |||
Class B Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,080.50 | $ | 11.25 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,014.12 | $ | 10.89 | |||
Class C Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,080.30 | $ | 11.18 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,014.18 | $ | 10.82 | |||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,086.80 | $ | 5.14 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.01 | $ | 4.97 | |||
Class R1 Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,084.40 | $ | 7.01 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,018.20 | $ | 6.79 | |||
Class R5 Shares** | |||||||||
Actual | $ | 1,000.00 | $ | 1,002.20 | $ | 4.91 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.02 | $ | 4.96 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.41%; B: 2.17%; C: 2.16%; I: 0.99%; R1: 1.35%; and R5: 0.98%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
** | Effective date of Class R5 was February 1, 2005. |
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 Semi-Annual Report |
Table of Contents
Thornburg Value Fund | March 31, 2005 (Unaudited) |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Value Fund versus S&P 500 Index (October 2, 1995 to March 31, 2005)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2005 (with sales charge)
1 Yr | 3 Yrs | Since Inception | |||||||
A Shares (Incep: 10/02/95) | (1.51 | )% | (1.90 | )% | 12.28 | % | |||
B Shares (Incep: 4/03/00) | (3.07 | )% | — | (2.45 | )% | ||||
C Shares (Incep: 10/02/95) | 1.35 | % | (1.77 | )% | 11.95 | % | |||
R1 Shares (Incep: 7/01/03) | 3.17 | % | — | 10.32 | % | ||||
R5 Shares (Incep: 2/01/05) | — | — | 0.22 | % | |||||
S&P 500 (Since: 10/02/95) | 6.68 | % | (3.16 | )% | 9.50 | % |
Performance data reflects 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 R1 and R5 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 Semi-Annual Report 31 |
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| ||
Thornburg Value Fund | March 31, 2005 (Unaudited) |
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 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.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files 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. The Fund’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, or may be reviewed and 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.
32 Certified Semi-Annual Report |
Table of Contents
Trustees’ Statement to Shareholders
February 8, 2005
The Trustees are concerned that recent commentaries and opinions reported in the media may confuse investors in general as to the supervisory duties of trustees of mutual funds and, in particular, leave Thornburg Investment Trust shareholders uncertain regarding how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. We decided to spell out clearly three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf.
We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.
Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders’ returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.
Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.
This statement is submitted for the general information of the shareholders of Thornburg Investment Trust. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money.
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34 This page is not part of the Semi-Annual Report. |
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Planning Options
Retirement and Education Accounts
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs – Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 70 1/2, even if you are covered by an employer retirement plan.
Roth IRAs – Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our web site at www.thornburg.com/ira.
SEP IRAs – Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employee’s SEP IRA on a discretionary basis.
SIMPLE IRAs – Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employee’s SIMPLE IRA. Employees may make salary deferral contributions.
403(b)
A special, tax-advantaged savings vehicle available only to employees of 501(c)(3) organizations, such as charitable, educational, scientific and religious organizations. 403(b) plans are also available to employees of public schools and universities.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
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Table of Contents
The Firm
Thornburg Investment Management is a privately held investment management company based in Santa Fe, New Mexico with assets under management of over $13 billion. Founded in 1982, the firm manages four equity funds, eight bond funds, and separate portfolios for select institutions and individuals.
Investment Philosophy
We seek to preserve and increase the real wealth of the Funds’ shareholders after accounting for inflation, taxes, and investment expenses. We’re committed to disciplined investing and controlling risk in all market environments through laddered bond and focused equity portfolios.
Portfolio Holdings Disclosure
We believe you should know what is in your portfolio. Our web site keeps investors informed of the Funds’ equity holdings. Go to www.thornburg.com/funds for portfolio manager commentary on our equity fund holdings.
Co-Ownership of Funds
We invest side-by-side with the Funds’ shareholders. Our employees have invested over $100 million in Thornburg Funds.
Core Strategies for Building Wealth
We deliver core strategies to help investors meet long-term goals. A core strategy is a consistent, disciplined and proven investment process that represents the foundation of a diversified portfolio.
INVESTMENT MANAGER
Thornburg Investment Management, Inc.
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
PRINCIPAL UNDERWRITER
Thornburg Securities Corporation
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
www.thornburg.com
Table of Contents
Core Strategies for Building Wealth
Thornburg Value Fund
I Shares
Informational Brochure and Semi-Annual Report – March 31, 2005
This report and the accompanying brochure are submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/ download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money. Performance data quoted represents past performance and does not guarantee future results.
Table of Contents
Thornburg Value Fund
Finding Promising Companies at a Discount
The Fund seeks long-term capital appreciation by investing in a portfolio of a limited number of holdings selected on a value basis using fundamental research. As a secondary consideration, the fund also seeks some current income.
The portfolio is diversified to include basic value stocks, but also includes stocks of companies with consistent earnings characteristics and those of emerging franchises, when, in our opinion, these issues are value priced.
Thornburg Bond Funds
• | Thornburg Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term 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 invests in short- and intermediate-term investment grade bonds. We ladder the maturities of individual bonds in the portfolios to moderate risk. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio will mature each year. We apply this disciplined process in all interest rate environments.
Thornburg Equity Funds
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
Thornburg’s equity research uses a fundamental, yet comprehensive, analytical approach. We invest when and where we perceive the most compelling value. Thornburg equity funds focus on a limited number of securities so that each holding can have a material impact on performance. The equity team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic value.
More information at www.thornburg.com
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Important Information
The information presented on the following pages was current as of March 31, 2005. 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.
Shares in the Fund carry risks including possible loss of principal. There are special risks associated with international investing, including currency fluctuations, government regulation, political developments, and differences in liquidity. Additionally, the Fund invests a portion of the assets in small capitalization companies which may increase the risk of greater price fluctuations. Shares in the fund are not deposits or obligations of, or guaranteed or endorsed by, any bank, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any government agency.
Minimum investments for Class I shares are higher than those for other classes.
Glossary
Standard & Poor’s 500 Stock Index (S&P 500) – 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.
Beta – Beta is a measure of market-related risk. Less than one means the portfolio is less volatile than the index, while greater than one indicates more volatility than the index.
Median Market Capitalization – Market capitalization (market cap) is the total value of a company’s stock, calculated by multiplying the number of outstanding common shares by the current share price. The company whose market cap is in the middle of the portfolio is the median market cap. Half the companies in the portfolio have values greater than the median, and half have values that are less. If there is an even number of companies, then the median is the average of the two companies in the middle.
Price to Book Value (P/B) – A ratio used to compare a stock’s market value to its book value. It is calculated by dividing the current closing price of the stock by the latest quarter’s book value (book value is simply assets minus liabilities).
Price to Cash Flow Ratio – A measure of the market’s expectations of a firm’s future financial health. It is calculated by dividing the price per share by cash flow per share.
Price to Earnings Ratio (P/E) – A valuation ratio of a company’s current share price compared to its per-share earnings. P/E equals a company’s market value per share divided by earnings per share.
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Portfolio Overview
Thornburg Value Fund
IMPORTANT PERFORMANCE INFORMATION
Performance data quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate so that upon redemption, investor’s shares may be worth more or less than their original cost. Current performance may be lower or higher than the data quoted. For performance data current to the most recent month end, visit www.thornburg.com.
There is no up-front sales charge for class I shares.
MANAGEMENT TEAM
Front row, L to R:Wendy Trevisani, Bill Fries, Brad Kinkelaar, and Brian McMahon. Back row, L to R: LeiWang, Connor Browne, Ed Maran, Vin Walden, Thomas Garcia, and Lewis Kaufman.
KEY PORTFOLIO ATTRIBUTES
Portfolio P/E* | 22.7x | ||
Portfolio Price to Cash Flow* | 13.5 | ||
Portfolio Price to Book Value* | 2.6 | ||
Median Market Cap* | $ | 25.56 B | |
3-Year Beta (Thornburg vs. S&P 500 Index) | 0.95 | ||
Holdings | 48 |
* | Source: Russell Mellon Analytical Services. |
During the fiscal semi-annual period ended March 31, 2005 the Thornburg Value Fund I shares provided a positive return of 8.68%, compared to 6.88% for the S&P 500 Index. The bottom-up investment style of the Fund was evident as strong individual stock performance was the primary reason the Fund outperformed the benchmark.
Positive Fund performance was driven by health care, energy and telecommunication service holdings. This was somewhat different from the index, which was driven by energy, industrial, and consumer staple stocks. In fact, telecommunication services was the worst performing segment of the index. The fact that it was one of the strongest segments of the Fund is a clear indication of strong stock picking during the period.
Health care holdings performed very well for the portfolio. Especially service companies such as WellPoint Inc. and UnitedHealth Group Inc. WellPoint, which is the nation’s largest health benefits company, was able to overcome regulatory concerns and complete a merger with Anthem during the period. UnitedHealth Group, which provides managed care products, appreciated as it continued to post strong earnings results. Health care equipment and services was the largest weight in the portfolio and the largest source of relative out-performance versus the benchmark.
The portfolio also experienced very good performance from telecommunication services stocks, primarily companies providing wireless services. A good example is NII Holdings Inc., formerly Nextel International. Although headquartered in Reston Virginia, NII Holdings’ primary business is providing digital wireless communication services in the quickly expanding Latin American markets.
Banks and diversified financials represented a significant portion of the portfolio during the period and were also strong contributors to
AVERAGE ANNUAL TOTAL RETURNS*
FOR PERIODS ENDED MARCH 31, 2005
1Q’05 | 1Yr | 3Yrs | 5Yrs | Since Inception | |||||||||||
I Shares (Incep: 11/2/98) | (1.56 | )% | 3.53 | % | 3.27 | % | (0.58 | )% | 7.04 | % | |||||
S&P 500 Index (Since: 11/2/98) | (2.15 | )% | 6.68 | % | 2.73 | % | (3.16 | )% | 2.65 | % |
* | Periods under one year are not annualized. |
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performance. Most notably is Lloyds TSB Group plc, one of England’s largest financial organizations offering retail and corporate banking products through a large number of branches. Lloyds continues to execute well in its core banking business after having sold off non-core assets over the last couple of years.
Energy stocks were once again strong performers in the portfolio and the index. Unocal Corp. and Exxon Mobil Corp. led the way as oil prices stayed high and Unocal was acquired by Chevron Texaco Corp.
During the period, insurance stocks Aon Corp. and American International Group were drags on the portfolio, although decisive action by the investment management team helped limit losses as they quickly evaluated changing fundamentals of each stock as new information became available. Media stock DIRECTV Group Inc. was also a poor performer during the period, as investors seemed focused on the rising cost of each additional subscriber, even though return on investment per subscriber was still quite positive.
The portfolio had insignificant exposure to material and utility stocks, which were a drag on performance relative to the S&P 500 since those were strong performing segments for the index.
This period was a great example of how a portfolio constructed from the bottom up can outperform even when it is not participating to the same extent as the benchmark in some of the better performing areas of the market. In our view, trying to anticipate which segments of the market will outperform is not as prudent a strategy as simply owning the best companies that we can identify through our rigorous research process.
PERFORMANCE IMPACT FOR SIX MONTHS ENDED 3/31/05
Top Contributors | Top Detractors | |
Unocal Corp. | DIRECTV Group Inc. | |
NII Holdings Inc. | Aon Corp. | |
WellPoint Inc. | Ditech Communications | |
UnitedHealth Group Inc. | Pfizer Inc. | |
Health Management Associates Inc. | Boston Scientific Corp. |
Source: Thompson Portfolio Analytics
MARKET CAPITALIZATION EXPOSURE
As of 3/31/05
TOP TEN EQUITY HOLDINGS | |||
General Electric Co. | 3.4 | % | |
Cardinal Health Inc. | 3.1 | % | |
Citigroup Inc. | 3.1 | % | |
The Bank of New York Co. Inc. | 3.1 | % | |
Union Pacific Corp. | 3.0 | % | |
Lloyds TSB Group plc | 2.8 | % | |
Health Management Associates Inc. | 2.8 | % | |
DIRECTV Group Inc. | 2.8 | % | |
NII Holdings Inc. | 2.7 | % | |
Goldman Sachs Group | 2.7 | % | |
TOP TEN INDUSTRIES | |||
Health Care Equipment & Services | 14.0 | % | |
Telecommunication Services | 10.1 | % | |
Diversified Financials | 9.9 | % | |
Media | 8.2 | % | |
Energy | 7.4 | % | |
Banks | 7.0 | % | |
Pharmaceuticals & Biotechnology | 6.4 | % | |
Retailing | 5.7 | % | |
Transportation | 5.6 | % | |
Insurance | 4.9 | % |
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2005
Certified Semi-Annual Report
I Shares – March 31, 2005
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semi-annual shareholder reports fully and fairly represents their financial position.
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William V. Fries, CFA
Portfolio Manager
April 20, 2005 |
Dear Fellow Shareholder: |
Results for the six month period ended March 31 were gratifying. At the beginning of the period net asset value (NAV) per Class I share was $28.49. At the end of the period NAV per Class I share was $30.74. Total return of the Fund’s I shares for the period was 8.68% compared to 6.88% for the S&P 500 Index. The outperformance was primarily attributable to strong performance from individual holdings such as Unocal Corp., NII Holdings Inc., WellPoint Inc., and UnitedHealth Group Inc. |
With the economy and corporate earnings expanding through the period, stocks advanced on the prospects of improving profits, even as interest rates moved higher. Diminished uncertainties following the U.S. election and the successful election in Iraq also gave a lift to equities. Health care service issues were market leaders in the post election period in part because of a perception of less onerous government involvement in health care. Among Fund holdings, UnitedHealth Group and WellPoint were notable beneficiaries. Energy stocks had significant gains as oil prices moved higher during the period. Both Exxon Mobil Corp. and Unocal reached record levels. Subsequent to the end of the quarter, Unocal agreed to be acquired by ChevronTexaco Corp. Other acquisition activity during the period had a positive impact on performance. Transactions involved Nextel Communications Inc. merging with Sprint Corp., Guidant being acquired by Johnson & Johnson, and the publicly traded minority interest of Fox Entertainment Group bought by News Corporation. Telecommunication issue NII Holdings did well as its cell phone offering in Mexico continued to gain market penetration. |
In January, OPEC abandoned the objective of establishing an oil price band below current levels. Since, oil prices have moved to new record levels. To date, this has not had much of an impact on economic activity, but at some point it could begin to bite, influencing consumer sentiment and spending. Coupled with deceleration in corporate earnings and rising interest rates, investor enthusiasm for equities has diminished. In this environment, investor caution is pervasive. Additions to the portfolio have been made with this in mind. |
Boston Scientific Corp. is focused on medical products, especially related to less-invasive surgery. The increasingly competitive nature of its position in the cardiovascular stent business is widely recognized. The company’s market share leadership is being challenged. Accordingly, the stock is priced at a healthy discount to intrinsic value. What is not priced in the current valuation is its more competitive new product that is expected to be approved by the FDA late this year. |
Leap Wireless International Inc. is a cellular phone service provider focused on price sensitive users. The company’s offering under the “Cricket” brand name requires a phone purchase but does not require a contract and minutes of use is not constrained for local calls. Roaming service and other features are about to be offered to its 1.5 million current subscribers. Without the burden of debt service, negotiated away in its recent reorganization, the company’s business model is now uniquely attractive. |
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ChevronTexaco is a replacement for Unocal, which was sold on the run up on the rumored merger of the two companies. The company’s reserve and production potential will be improved with the addition of the Unocal assets. Our website at www.thornburg.com/funds has summary descriptions of these and the other portfolio holdings. The website also has other commentary you may find useful in tracking your investments.
Included in recent portfolio activity was the elimination of five positions; two were related to acquisitions (Guidant Corp. and Fox), one achieved target price (T. Rowe Price Group Inc.) and two were due to judgments about corporate developments (Affiliated Computer Services Inc. and AIG Inc.).
Company earnings in the current reporting season have thus far been mostly positive. Disappointing results at U.S. auto and some technology companies have increased concern that an economic slowdown could be more serious than expected. Should this occur at a time when inflationary pressure continues to build, managing the economy could become more challenging. While a retreat in oil prices would likely ease the challenge and go a long way toward improving sentiment among consumers and investors alike, a material decline does not seem likely. Our comprehensive approach to value investing can be productive when optimism is diminished.
Thank you for your continued trust and confidence.
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.
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STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Value Fund | March 31, 2005 (Unaudited) |
ASSETS | ||||
Investments at value (cost $1,919,601,131) | $ | 2,044,022,766 | ||
Cash | 1,005,865 | |||
Receivable for investments sold | 8,727,483 | |||
Receivable for fund shares sold | 4,858,410 | |||
Dividends receivable | 4,698,817 | |||
Interest receivable | 727,313 | |||
Prepaid expenses and other assets | 124,914 | |||
Total Assets | 2,064,165,568 | |||
LIABILITIES | ||||
Payable for securities purchased | 15,143,059 | |||
Payable for fund shares redeemed | 4,512,031 | |||
Payable to investment advisor and other affiliates (Note 3) | 2,287,935 | |||
Accounts payable and accrued expenses | 953,620 | |||
Dividends payable | 344,984 | |||
Total Liabilities | 23,241,629 | |||
NET ASSETS | $ | 2,040,923,939 | ||
NET ASSETS CONSIST OF: | ||||
Undistributed net investment gain (loss) | $ | 1,344,984 | ||
Net unrealized appreciation on investments | 124,375,628 | |||
Accumulated net realized gain (loss) | (122,000,557 | ) | ||
Net capital paid in on shares of beneficial interest | 2,037,203,884 | |||
$ | 2,040,923,939 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($1,072,003,174 applicable to 35,360,179 shares of beneficial interest outstanding - Note 4) | $ | 30.32 | ||
Maximum sales charge, 4.50% of offering price | 1.43 | |||
Maximum offering price per share | $ | 31.75 | ||
Class B Shares: | ||||
Net asset value and offering price per share * ($92,376,982 applicable to 3,159,428 shares of beneficial interest outstanding - Note 4) | $ | 29.24 | ||
Class C Shares: | ||||
Net asset value and offering price per share * ($452,495,198 applicable to 15,324,656 shares of beneficial interest outstanding - Note 4) | $ | 29.53 | ||
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STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Value Fund | March 31, 2005 (Unaudited) |
Class I Shares: | |||
Net asset value, offering and redemption price per share ($417,849,731 applicable to 13,593,398 shares of beneficial interest outstanding - Note 4) | $ | 30.74 | |
Class R1 Shares: | |||
Net asset value, offering and redemption price per share ($6,170,286 applicable to 203,959 shares of beneficial interest outstanding - Note 4) | $ | 30.25 | |
Class R5 Shares: | |||
Net asset value, offering and redemption price per share ($28,568 applicable to 930 shares of beneficial interest outstanding Note 4) | $ | 30.74 | |
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
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STATEMENT OF OPERATIONS | ||
Thornburg Value Fund | Six Months Ended March 31, 2005 (Unaudited) |
INVESTMENT INCOME: | ||||
Dividend income (net of foreign taxes withheld of $393,637) | $ | 21,412,858 | ||
Interest income | 6,117,873 | |||
Total Income | 27,530,731 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 8,277,621 | |||
Administration fees (Note 3) | ||||
Class A Shares | 688,428 | |||
Class B Shares | 59,510 | |||
Class C Shares | 296,828 | |||
Class I Shares | 101,378 | |||
Class R1 Shares | 3,839 | |||
Class R5 Shares | 1 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 1,375,812 | |||
Class B Shares | 475,458 | |||
Class C Shares | 2,371,507 | |||
Class R1 Shares | 15,365 | |||
Transfer agent fees | ||||
Class A Shares | 813,950 | |||
Class B Shares | 78,165 | |||
Class C Shares | 352,090 | |||
Class I Shares | 147,510 | |||
Class R1 Shares | 7,300 | |||
Class R5 Shares | 1,947 | |||
Registration and filing fees | ||||
Class A Shares | 34,376 | |||
Class B Shares | 100 | |||
Class C Shares | 7,667 | |||
Class I Shares | 29,930 | |||
Class R1 Shares | 12,377 | |||
Class R5 Shares | 3,633 | |||
Custodian fees (Note 3) | 249,808 | |||
Professional fees | 58,865 | |||
Accounting fees | 117,900 | |||
Trustee fees | 10,005 | |||
Other expenses | 459,000 | |||
Total Expenses | 16,050,370 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (88,644 | ) | ||
Fees paid indirectly (Note 3) | (7,688 | ) | ||
Net Expenses | 15,954,038 | |||
Net Investment Income | $ | 11,576,693 | ||
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STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Value Fund | Six Months Ended March 31, 2005 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments | $ | 151,406,930 | ||
Foreign currency transactions | 488,815 | |||
151,895,745 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 4,346,090 | |||
Foreign currency translation | (43,021 | ) | ||
4,303,069 | ||||
Net Realized and Unrealized Gain | 156,198,814 | |||
Net Increase in Net Assets Resulting From Operations | $ | 167,775,507 | ||
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg Value Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income gain | $ | 11,576,693 | $ | 10,860,838 | ||||
Net realized gain on investments and foreign currency transactions | 151,895,745 | 143,972,530 | ||||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments and foreign currency translation | 4,303,069 | (29,911,224 | ) | |||||
Net Increase in Net Assets Resulting from Operations | 167,775,507 | 124,922,144 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (6,152,655 | ) | (7,240,069 | ) | ||||
Class B Shares | (243,645 | ) | (165,223 | ) | ||||
Class C Shares | (1,171,455 | ) | (881,785 | ) | ||||
Class I Shares | (3,033,601 | ) | (3,723,901 | ) | ||||
Class R1 Shares | (36,331 | ) | (41,476 | ) | ||||
Class R5 Shares | (71 | ) | 0 | |||||
FUND SHARE TRANSACTIONS - (Note 4) | ||||||||
Class A Shares | (97,909,955 | ) | 28,336,374 | |||||
Class B Shares | (8,278,010 | ) | (1,996,877 | ) | ||||
Class C Shares | (58,942,686 | ) | 6,280,617 | |||||
Class I Shares | 9,595,009 | 102,430,454 | ||||||
Class R1 Shares | (47,038 | ) | 5,988,945 | |||||
Class R5 Shares | 28,923 | 0 | ||||||
Net Increase in Net Assets | 1,583,992 | 253,909,203 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 2,039,339,947 | 1,785,430,744 | ||||||
End of period | $ | 2,040,923,939 | $ | 2,039,339,947 | ||||
See notes to financial statements.
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Thornburg Value Fund | March 31, 2005 (Unaudited) |
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 Limited Term Municipal Fund, Thornburg California 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 six classes of shares of beneficial interest, Class A, Class B, Class C, Institutional Class (Class I), and Retirement Class (Class R1) and (Class R5) 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 R1 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, (vi) Class R5 shares are sold at net asset value without a sales charge at the time of purchase, and (vii) 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 Trust 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 Trust to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all taxable income, including any net realized gain on investments, of the Fund, to the shareholders. Therefore, no provision for Federal income taxes 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 and or market changes. At the time the Trust 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 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.
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Value Fund | March 31, 2005 (Unaudited) |
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 period ended March 31, 2005, these fees were payable at annual rates ranging from .875 of 1% to ..675 of 1% per annum 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% per annum of the average daily net assets attributable to each class of shares. For the period ended March 31, 2005, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $58,629 for Class I shares, $24,437 for Class R1 shares and, $5,578 for Class R5 shares.
The Trust 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 period ended March 31, 2005, the Distributor has advised the Fund that it earned net commissions aggregating $28,129 from the sale of Class A shares of the Fund, and collected contingent deferred sales charges aggregating $17,651 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 Trust has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Fund’s Class B, Class C, and Class R1 shares under which the Fund compensates the Distributor for services in promoting the sale of Class B, Class C, and Class R1 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 B, Class C, and Class R1 shares. Total fees incurred by the Distributor for each class of shares of the Fund under its respective service and distribution plans for the period ended March 31, 2005, are set forth in the Statement of Operations.
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 March 31, 2005, fees paid indirectly were $7,688.
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.
16 Certified Semi-Annual Report |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Value Fund | March 31, 2005 (Unaudited) |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2005, there were an unlimited number of shares of beneficial interest authorized. Sale of Class R5 shares commenced February 1, 2005. Transactions in shares of beneficial interest were as follows:
Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 2,873,492 | $ | 86,002,953 | 11,405,873 | $ | 327,555,712 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 181,821 | 5,584,846 | 228,437 | 6,559,600 | ||||||||||
Shares repurchased ** | (6,342,546 | ) | (189,497,754 | ) | (10,795,871 | ) | (305,778,938 | ) | ||||||
Net Increase (Decrease) | (3,287,233 | ) | $ | (97,909,955 | ) | 838,439 | $ | 28,336,374 | ||||||
** 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 period ended March 31, 2005 and year ended September 30, 2004, $35,543 and $63,006, respectively, were netted in the amount reported for shares repurchased.
|
| |||||||||||||
Class B Shares | ||||||||||||||
Shares sold | 52,162 | $ | 1,511,806 | 380,476 | $ | 10,548,934 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 7,267 | 216,134 | 5,415 | 146,992 | ||||||||||
Shares repurchased | (346,130 | ) | (10,005,950 | ) | (460,576 | ) | (12,692,803 | ) | ||||||
Net Increase (Decrease) | (286,701 | ) | $ | (8,278,010 | ) | (74,685 | ) | $ | (1,996,877 | ) | ||||
Class C Shares | ||||||||||||||
Shares sold | 560,563 | $ | 16,329,639 | 3,239,399 | $ | 90,745,058 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 33,298 | 1,000,090 | 27,090 | 746,516 | ||||||||||
Shares repurchased | (2,617,030 | ) | (76,272,415 | ) | (3,079,437 | ) | (85,210,957 | ) | ||||||
Net Increase (Decrease) | (2,023,169 | ) | $ | (58,942,686 | ) | 187,052 | $ | 6,280,617 | ||||||
Class I Shares | ||||||||||||||
Shares sold | 2,014,506 | $ | 61,145,107 | 5,766,851 | $ | 167,750,890 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 81,478 | 2,535,475 | 106,031 | 3,088,228 | ||||||||||
Shares repurchased ** | (1,780,385 | ) | (54,085,573 | ) | (2,376,801 | ) | (68,408,664 | ) | ||||||
Net Increase (Decrease) | 315,599 | $ | 9,595,009 | 3,496,081 | $ | 102,430,454 | ||||||||
** 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 period ended March 31, 2005 and year ended September 30, 2004, $11,050 and $12,511, respectively, were netted in the amount reported for shares repurchased.
|
| |||||||||||||
Class R1 Shares | ||||||||||||||
Shares sold | 61,749 | $ | 1,840,679 | 218,435 | $ | 6,370,169 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 993 | 30,436 | 1,357 | 38,681 | ||||||||||
Shares repurchased | (63,874 | ) | (1,918,153 | ) | (14,704 | ) | (419,905 | ) | ||||||
Net Increase (Decrease) | (1,132 | ) | $ | (47,038 | ) | 205,088 | $ | 5,988,945 | ||||||
Certified Semi-Annual Report 17 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Value Fund | March 31, 2005 (Unaudited) |
Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||||
Shares | Amount | Shares | Amount | |||||||
Class R5 Shares* | ||||||||||
Shares sold | 928 | $ | 28,852 | — | $ | — | ||||
Shares issued to shareholders in reinvestment of dividends | 2 | 71 | — | — | ||||||
Shares repurchased | — | — | — | — | ||||||
Net Increase (Decrease) | 930 | $ | 28,923 | — | $ | — | ||||
* | Effective date of Class R5 shares was February 1, 2005. |
NOTE 5 – SECURITIES TRANSACTIONS
For the period ended March 31, 2005, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $585,610,060 and $738,050,088, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2005, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 1,919,601,131 | ||
Gross unrealized appreciation on a tax basis | $ | 247,026,719 | ||
Gross unrealized depreciation on a tax basis | (122,605,084 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 124,421,635 | ||
At March 31, 2005, 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:
2010 | $ | 98,702,605 | |
2011 | 174,912,875 | ||
$ | 273,615,480 | ||
18 Certified Semi-Annual Report |
Table of Contents
Thornburg Value Fund | (Unaudited)* |
*Six Months Ended 2005 | Year Ended September 30, | |||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE (for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 28.49 | $ | 26.64 | $ | 20.95 | $ | 26.18 | $ | 33.09 | $ | 26.26 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.25 | 0.31 | 0.26 | 0.11 | 0.14 | 0.91 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.23 | 1.84 | 5.51 | (5.34 | ) | (6.42 | ) | 7.25 | ||||||||||||||||
Total from investment operations | 2.48 | 2.15 | 5.77 | (5.23 | ) | (6.28 | ) | 8.16 | ||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.23 | ) | (0.30 | ) | (0.03 | ) | — | (0.28 | ) | (0.94 | ) | |||||||||||||
Net realized gains | — | — | — | — | (0.25 | ) | (0.39 | ) | ||||||||||||||||
Return of capital | — | — | (0.05 | ) | — | (0.10 | ) | — | ||||||||||||||||
Total dividends | (0.23 | ) | (0.30 | ) | (0.08 | ) | — | (0.63 | ) | (1.33 | ) | |||||||||||||
Change in net asset value | 2.25 | 1.85 | 5.69 | (5.23 | ) | (6.91 | ) | 6.83 | ||||||||||||||||
NET ASSET VALUE, end of period | $ | 30.74 | $ | 28.49 | $ | 26.64 | $ | 20.95 | $ | 26.18 | $ | 33.09 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | 8.68 | % | 8.04 | % | 27.55 | % | (19.98 | )% | (19.29 | )% | 31.44 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 1.65 | %(b) | 1.07 | % | 1.10 | % | 0.42 | % | 0.45 | % | 2.82 | % | ||||||||||||
Expenses, after expense reductions | 0.99 | %(b) | 0.99 | % | 0.99 | % | 0.98 | % | 0.99 | % | 0.99 | % | ||||||||||||
Expenses, after expense reductions and net of custody credits | 0.99 | %(b) | 0.99 | % | 0.99 | % | 0.98 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 1.02 | %(b) | 0.99 | % | 1.03 | % | 0.99 | % | 1.01 | % | 1.00 | % | ||||||||||||
Portfolio turnover rate | 28.48 | % | 68.74 | % | 82.89 | % | 76.37 | % | 71.81 | % | 72.35 | % | ||||||||||||
Net assets at end of period (000) | $ | 417,850 | $ | 378,334 | $ | 260,624 | $ | 207,613 | $ | 293,784 | $ | 242,974 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
+ | Based on weighted average shares outstanding. |
Certified Semi-Annual Report 19 |
Table of Contents
Thornburg Value Fund | March 31, 2005 (Unaudited) |
CUSIPS: CLASS A - 885-215-731, CLASS B - 885-215-590, CLASS C - 885-215-715, CLASS I - 885-215-632,
CLASS R1 - 885-215-533, CLASS R5 - 885-215-376
NASDAQ SYMBOLS: CLASS A - TVAFX, CLASS B - TVBFX, CLASS C - TVCFX, CLASS I - TVIFX,
CLASS R1 - TVRFX, CLASS R5 - TVRRX
Shares/ Principal Amount | Value | ||||
COMMON STOCK — 96.24% | |||||
BANKS — 6.95% | |||||
COMMERCIAL BANKS — 6.95% | |||||
Bank of America Corp. | 1,158,900 | $ | 51,107,490 | ||
Lloyds TSB Group plc | 6,383,200 | 57,621,314 | |||
Wells Fargo & Co. | 553,800 | 33,117,240 | |||
TOTAL BANKS | 141,846,044 | ||||
CAPITAL GOODS — 3.38% | |||||
INDUSTRIAL CONGLOMERATES — 3.38% | |||||
General Electric Co. | 1,916,100 | 69,094,566 | |||
TOTAL CAPITAL GOODS | 69,094,566 | ||||
COMMERCIAL SERVICES & SUPPLIES — 1.25% | |||||
COMMERCIAL SERVICES & SUPPLIES — 1.25% | |||||
FTI Consulting Inc.+ | 1,237,600 | 25,544,064 | |||
TOTAL COMMERCIAL SERVICES & SUPPLIES | 25,544,064 | ||||
DIVERSIFIED FINANCIALS — 9.93% | |||||
CAPITAL MARKETS — 6.81% | |||||
E-Trade Financial Corp.+ | 1,793,677 | 21,524,124 | |||
Goldman Sachs Group Inc. | 493,500 | 54,280,065 | |||
The Bank of New York Co. Inc. | 2,176,600 | 63,230,230 | |||
DIVERSIFIED FINANCIAL SERVICES — 3.12% | |||||
Citigroup Inc. | 1,416,800 | 63,670,992 | |||
TOTAL DIVERSIFIED FINANCIALS | 202,705,411 | ||||
ENERGY — 7.42% | |||||
OIL & GAS — 7.42% | |||||
ChevronTexaco Corp. | 691,000 | 40,292,210 | |||
Exxon Mobil Corp. | 848,600 | 50,576,560 | |||
Petroleo Brasileiro SA ADR | 1,154,300 | 50,996,974 | |||
Unocal Corp. | 154,200 | 9,512,598 | |||
TOTAL ENERGY | 151,378,342 | ||||
20 Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Value Fund | March 31, 2005 (Unaudited) |
Shares/ Principal Amount | Value | ||||
FOOD BEVERAGE & TOBACCO — 1.06% | |||||
BEVERAGES — 1.06% | |||||
Molson Coors Brewing Co. | 280,100 | $ | 21,615,317 | ||
TOTAL FOOD BEVERAGE & TOBACCO | 21,615,317 | ||||
HEALTH CARE EQUIPMENT & SERVICES — 13.99% | |||||
HEALTH CARE EQUIPMENT & SUPPLIES — 1.75% | |||||
Boston Scientific Corp.+ | 1,224,300 | 35,859,747 | |||
HEALTH CARE PROVIDERS & SERVICES — 12.24% | |||||
Cardinal Health Inc. | 1,149,700 | 64,153,260 | |||
Eclipsys Corp.+ | 1,866,440 | 28,892,491 | |||
Health Management Associates | 2,190,255 | 57,340,876 | |||
UnitedHealth Group Inc. | 533,900 | 50,923,382 | |||
WellPoint Inc.+ | 386,700 | 48,472,845 | |||
TOTAL HEALTH CARE EQUIPMENT & SERVICES | 285,642,601 | ||||
HOUSEHOLD & PERSONAL PRODUCTS — 4.24% | |||||
HOUSEHOLD PRODUCTS — 4.24% | |||||
American Greetings Corp. | 1,778,100 | 45,305,988 | |||
Colgate Palmolive Co. | 789,300 | 41,177,781 | |||
TOTAL HOUSEHOLD & PERSONAL PRODUCTS | 86,483,769 | ||||
INSURANCE — 4.94% | |||||
INSURANCE — 4.94% | |||||
Marsh & McLennan Cos. Inc. | 1,603,500 | 48,778,470 | |||
The St. Paul Travelers Cos. Inc. | 1,415,100 | 51,976,623 | |||
TOTAL INSURANCE | 100,755,093 | ||||
MEDIA — 8.17% | |||||
MEDIA — 8.17% | |||||
Comcast Corp.+ | 1,430,200 | 47,768,680 | |||
DIRECTV Group Inc.+ | 3,892,685 | 56,132,518 | |||
Sirius Satellite Radio Inc.+ | 1,681,355 | 9,449,215 | |||
Time Warner Inc.+ | 2,533,755 | 44,467,400 | |||
XM Satellite Radio Holdings Inc.+ | 282,905 | 8,911,508 | |||
TOTAL MEDIA | 166,729,321 | ||||
PHARMACEUTICALS & BIOTECHNOLOGY — 6.43% | |||||
BIOTECHNOLOGY — 1.73% | |||||
Amgen Inc.+ | 604,500 | 35,187,945 |
Certified Semi-Annual Report 21 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Value Fund | March 31, 2005 (Unaudited) |
Shares/ Principal Amount | Value | ||||
PHARMACEUTICALS — 4.70% | |||||
Pfizer Inc. | 1,989,300 | $ | 52,258,911 | ||
Sanofi-Aventis | 518,400 | 43,728,881 | |||
TOTAL PHARMACEUTICALS & BIOTECHNOLOGY | 131,175,737 | ||||
RETAILING — 5.67% | |||||
MULTILINE RETAIL — 1.77% | |||||
Target Corp. | 720,000 | 36,014,400 | |||
SPECIALTY RETAIL — 3.90% | |||||
Autozone Inc.+ | 487,140 | 41,747,898 | |||
Linens N Things Inc.+ | 1,526,077 | 37,892,492 | |||
TOTAL RETAILING | 115,654,790 | ||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 4.73% | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 4.73% | |||||
Samsung Electronics Co. Ltd. | 91,800 | 45,380,207 | |||
Texas Instruments Inc. | 2,010,075 | 51,236,811 | |||
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT | 96,617,018 | ||||
SOFTWARE & SERVICES — 2.89% | |||||
SOFTWARE — 2.89% | |||||
Microsoft Corp. | 1,788,900 | 43,237,713 | |||
Shanda Interactive Entertainment Ltd.+ | 518,500 | 15,658,700 | |||
TOTAL SOFTWARE & SERVICES | 58,896,413 | ||||
TECHNOLOGY HARDWARE & EQUIPMENT — 2.44% | |||||
COMMUNICATIONS EQUIPMENT — 2.44% | |||||
Cisco Systems Inc.+ | 2,196,000 | 39,286,440 | |||
Ditech Communications Corp.+ | 839,600 | 10,469,812 | |||
TOTAL TECHNOLOGY HARDWARE & EQUIPMENT | 49,756,252 | ||||
TELECOMMUNICATION SERVICES — 7.19% | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 2.54% | |||||
Alltel Corp. | 945,100 | 51,838,735 | |||
WIRELESS TELECOMMUNICATION SERVICES — 4.65% | |||||
Crown Castle International Corp.+ | 1,310,100 | 21,040,206 | |||
Leap Wireless International, Inc.+ | 728,000 | 18,964,400 | |||
NII Holdings Inc.+ | 955,604 | 54,947,230 | |||
TOTAL TELECOMMUNICATION SERVICES | 146,790,571 | ||||
22 Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Value Fund | March 31, 2005 (Unaudited) |
Shares/ Principal Amount | Value | ||||||
TRANSPORTATION — 5.56% | |||||||
AIRLINES — 2.56% | |||||||
Southwest Airlines Co. | 3,672,453 | $ | 52,295,731 | ||||
ROAD & RAIL — 3.00% | |||||||
Union Pacific Corp. | 879,100 | 61,273,270 | |||||
TOTAL TRANSPORTATION | 113,569,001 | ||||||
TOTAL COMMON STOCK (Cost $1,829,160,337) | 1,964,254,310 | ||||||
CORPORATE BONDS — 0.53% | |||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.53% | |||||||
Level 3 Communications Inc., 9.125%, 5/1/2008 | $ | 7,000,000 | 5,827,500 | ||||
Level 3 Communications Inc., 10.50%, 12/1/2008 | 5,900,000 | 5,029,750 | |||||
TOTAL CORPORATE BONDS (Cost $9,859,318) | 10,857,250 | ||||||
CONVERTIBLE BONDS — 2.40% | |||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 2.40% | |||||||
Level 3 Communications Inc., 6.00%, 9/15/2009 | 18,700,000 | 9,653,875 | |||||
Level 3 Communications Inc., 6.00%, 3/15/2010 | 76,800,000 | 39,264,000 | |||||
TOTAL CONVERTIBLE BONDS (Cost $60,588,145) | 48,917,875 | ||||||
SHORT TERM INVESTMENTS — 0.98% | |||||||
American General Finance Corp., 2.82%, 4/4/2005 | 4,000,000 | 3,999,060 | |||||
Toyota, 2.75%, 4/5/2005 | 5,000,000 | 4,998,472 | |||||
Toyota, 2.75%, 4/6/2005 | 11,000,000 | 10,995,799 | |||||
TOTAL SHORT TERM INVESTMENTS (Cost $19,993,331) | 19,993,331 | ||||||
TOTAL INVESTMENTS — 100.15% (COST $1,919,601,131) | $ | 2,044,022,766 | |||||
LIABILITIES NET OF OTHER ASSETS — (0.15)% | (3,098,827 | ) | |||||
NET ASSETS — 100.00% | $ | 2,040,923,939 | |||||
Footnote Legend
See notes to financial statements.
+ | Non-income producing. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR American Depository Receipt
Certified Semi-Annual Report 23 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Value Fund | March 31, 2005 (Unaudited) |
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/05
Health Care Equipment & Services | 13.99 | % | |
Telecommunication Services | 10.12 | % | |
Diversified Financials | 9.93 | % | |
Media | 8.17 | % | |
Energy | 7.42 | % | |
Banks | 6.95 | % | |
Pharmaceuticals & Biotechnology | 6.43 | % | |
Retailing | 5.67 | % | |
Transportation | 5.56 | % | |
Insurance | 4.94 | % | |
Semiconductors & Semiconductor Equip | 4.73 | % | |
Household & Personal Products | 4.24 | % | |
Capital Goods | 3.38 | % | |
Software & Services | 2.89 | % | |
Technology Hardware & Equipment | 2.44 | % | |
Commercial Services & Supplies | 1.25 | % | |
Food Beverage & Tobacco | 1.06 | % | |
Other Assets & Cash Equivalents | 0.83 | % |
24 Certified Semi-Annual Report |
Table of Contents
EXPENSE EXAMPLE | ||
Thornburg Value Fund | March 31, 2005 (Unaudited) |
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 September 30, 2004 and held until March 31, 2005.
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 Account Value 9/30/04 | Ending Account Value 3/31/05 | Expenses Paid During Period† 9/30/04–3/31/05 | |||||||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,086.80 | $ | 5.14 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.01 | $ | 4.97 |
† | 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 182/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
Certified Semi-Annual Report 25 |
Table of Contents
INDEX COMPARISON | ||
Thornburg Value Fund | March 31, 2005 (Unaudited) |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Value Fund versus S&P 500 Index (November 2, 1998 to March 31, 2005)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2005
1 Yr | 5 Yrs | Since Inception | |||||||
I Shares (Incep: 11/02/98) | 3.53 | % | (0.58 | )% | 7.04 | % | |||
S&P 500 (Since: 11/02/98) | 6.68 | % | (3.16 | )% | 2.65 | % |
Performance data reflects 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.
26 Certified Semi-Annual Report |
Table of Contents
OTHER INFORMATION | ||
Thornburg Value Fund | March 31, 2005 (Unaudited) |
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 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.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files 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. The Fund’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, or may be reviewed and 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.
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Trustees’ Statement to Shareholders
February 8, 2005
The Trustees are concerned that recent commentaries and opinions reported in the media may confuse investors in general as to the supervisory duties of trustees of mutual funds and, in particular, leave Thornburg Investment Trust shareholders uncertain regarding how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. We decided to spell out clearly three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf.
We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.
Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders’ returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.
Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.
This statement is submitted for the general information of the shareholders of Thornburg Investment Trust. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money.
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Planning Options
Retirement and Education Accounts
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs – Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 70 1/2, even if you are covered by an employer retirement plan.
Roth IRAs – Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our web site at www.thornburg.com/ira.
SEP IRAs – Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employee’s SEP IRA on a discretionary basis.
SIMPLE IRAs – Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employee’s SIMPLE IRA. Employees may make salary deferral contributions.
405(b)
A special, tax-advantaged savings vehicle available only to employees of 501(c)(3) organizations, such as charitable, educational, scientific and religious organizations. 403(b) plans are also available to employees of public schools and universities.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
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The Firm
Thornburg Investment Management is a privately held investment management company based in Santa Fe, New Mexico with assets under management of over $13 billion. Founded in 1982, the firm manages four equity funds, eight bond funds, and separate portfolios for select institutions and individuals.
Investment Philosophy
We seek to preserve and increase the real wealth of the Funds’ shareholders after accounting for inflation, taxes, and investment expenses. We’ re committed to disciplined investing and controlling risk in all market environments through laddered bond and focused equity portfolios.
Portfolio Holdings Disclosure
We believe you should know what is in your portfolio. Our web site keeps investors informed of the Funds’ equity holdings. Go to www.thornburg.com/funds for portfolio manager commentary on our equity fund holdings.
Co-Ownership of Funds
We invest side-by-side with the Funds’ shareholders. Our employees have invested over $100 million in Thornburg Funds.
Core Strategies for Building Wealth
We deliver core strategies to help investors meet long-term goals. A core strategy is a consistent, disciplined and proven investment process that represents the foundation of a diversified portfolio.
INVESTMENT MANAGER
Thornburg Investment Management, Inc.
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
PRINCIPAL UNDERWRITER
Thornburg Securities Corporation
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
www.thornburg.com
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Core Strategies for Building Wealth
Thornburg International Value Fund
Informational Brochure and
Semi-Annual Report – March 31, 2005
This report and the accompanying brochure are submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/ download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money. Performance data quoted represents past performance and does not guarantee future results.
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Thornburg International Value Fund
Finding Promising Companies at a Discount
The Fund seeks long-term capital appreciation by investing in a portfolio of a limited number of holdings selected on a value basis using fundamental research. As a secondary consideration, the fund also seeks some current income.
The portfolio is diversified to include basic value stocks, but also includes stocks of companies with consistent earnings characteristics and those of emerging franchises, when, in our opinion, these issues are value priced.
Thornburg Bond Funds
• | Thornburg Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term 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 invests in short- and intermediate-term investment grade bonds. We ladder the maturities of individual bonds in the portfolios to moderate risk. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio will mature each year. We apply this disciplined process in all interest rate environments.
Thornburg Equity Funds
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
Thornburg’s equity research uses a fundamental, yet comprehensive, analytical approach. We invest when and where we perceive the most compelling value. Thornburg equity funds focus on a limited number of securities so that each holding can have a material impact on performance. The equity team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic value.
More information at www.thornburg.com
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Important Information
The information presented on the following pages was current as of March 31, 2005. 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.
Shares in the Fund carry risks including possible loss of principal. There are special risks associated with international investing, including currency fluctuations, government regulation, political developments, and differences in liquidity. Risks may be associated with investments in emerging markets including illiquidity and volatility. Additionally, the Fund invests a portion of the assets in small capitalization companies which may increase the risk of greater price fluctuations. Shares in the fund are not deposits or obligations of, or guaranteed or endorsed by, any bank, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any government agency.
Morningstar Award
Established in 1988, the Morningstar Fund Manager of the Year Award recognizes portfolio managers who demonstrate excellent investment skill and the courage to differ from the consensus. To qualify for the award, managers must have not only a great year, but also must have a record of delivering outstanding long-term performance and of aligning their interests with shareholders’. The Fund Manager of the Year Award winners are chosen based upon Morningstar’s proprietary research and in-depth evaluation by its senior analysts.
Glossary
The Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East Index (EAFE) – The MSCI EAFE is an unmanaged index. It 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 with gross dividends reinvested in U.S. dollars. 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.
Beta – Beta is a measure of market-related risk. Less than one means the portfolio is less volatile than the index, while greater than one indicates more volatility than the index.
Median Market Capitalization – Market capitalization (market cap) is the total value of a company’s stock, calculated by multiplying the number of outstanding common shares by the current share price. The company whose market cap is in the middle of the portfolio is the median market cap. Half the companies in the portfolio have values greater than the median, and half have values that are less. If there is an even number of companies, then the median is the average of the two companies in the middle.
Price to Book Value (P/B) – A ratio used to compare a stock’s market value to its book value. It is calculated by dividing the current closing price of the stock by the latest quarter’s book value (book value is simply assets minus liabilities).
Price to Cash Flow Ratio – A measure of the market’s expectations of a firm’s future financial health. It is calculated by dividing the price per share by cash flow per share.
Price to Earnings Ratio (P/E) – A valuation ratio of a company’s current share price compared to its per-share earnings. P/E equals a company’s market value per share divided by earnings per share.
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Portfolio Overview
Thornburg International Value Fund
IMPORTANT PERFORMANCE
INFORMATION
Performance data quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate so that upon redemption, investor’s shares may be worth more or less than their original cost. Current performance may be lower or higher than the data quoted. For performance data current to the most recent month end, visit www.thornburg.com.
The maximum sales charge for Class A shares is 4.50%.
MANAGEMENT TEAM
Front row, L to R: Wendy Trevisani, Bill Fries, Brad Kinkelaar, and Brian McMahon. Back row, L to R: Thomas Garcia, Ed Maran, Lei Wang, Lewis Kaufman, and Vin Walden.
KEY PORTFOLIO ATTRIBUTES
Portfolio P/E* | 19.2x | |||
Portfolio Price to Cash Flow* | 8.7 | |||
Portfolio Price to Book Value* | 2.4 | |||
Median Market Cap* | $ | 12.33 B | ||
3-Year Beta (Thornburg vs. MSCI EAFE) | 0.92 | |||
Holdings | 52 | |||
Emerging Markets Exposure | 22.0 | % |
* | Source: Russell Mellon Analytical Services. |
During the fiscal six month period ended March 31, 2005, international stocks continued to perform well as the Thornburg International Value Fund posted a positive total return of 12.60% and the MSCI EAFE Index returned 15.13%. Positive performance was primarily derived from the first half of the period when stocks rallied during the last calendar quarter of 2004. The Fund found the most success in financial and technology stocks as well as individual holdings from a diverse group of countries.
Financial stocks, including diversified financials and banks, remained the largest weighting in the portfolio during the period. In particular, the banks industry group presented diverse opportunity from a regional and business standpoint. During the period we owned eight different banking stocks from five different countries (from Asia to Europe), that included small regional banks and very large global commercial banks. Banks represented our largest positive contributor to relative and absolute performance, primarily because of strong returns from Bank of Fukuoka Ltd., a regional bank serving the city of Fukuoka, Japan, and Lloyds TSB Group plc, an English bank offering retail and corporate banking services. Diversified financials, although not as large a weight in the portfolio, had just as much impact on positive performance as the bank holdings, particularly due to the performance of long time holdings Deutsche Börse AG and Euronext NV. Deutsche Börse operates the Frankfurt stock exchange, and Euronext is the largest pan European securities trading exchange. Both stocks benefited from increased market volatility and derivative trading. In addition, the battle for the London Stock Exchange has highlighted the low valuations of both Deutsche Börse and Euronext, renewing investor interest in the companies.
AVERAGE ANNUAL TOTAL RETURNS*
FOR PERIODS ENDED MARCH 31, 2005
1 Q ‘05 | 1 Yr | 3 Yrs | 5 Yrs | Since Inception | |||||||||||
A Shares (Incep: 5/28/98) | |||||||||||||||
Without Sales Charge | 0.00 | % | 12.17 | % | 11.42 | % | 4.49 | % | 10.04 | % | |||||
With Sales Charge | (4.49 | )% | 7.12 | % | 9.72 | % | 3.53 | % | 9.31 | % | |||||
MSCI EAFE Index (Since: 5/28/98) | (0.17 | )% | 15.06 | % | 11.64 | % | (1.15 | )% | 3.22 | % |
* | Periods under one year are not annualized. |
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Another area of relative strength for the portfolio was technology. Software and services holdings Amdocs and Infosys Technologies performed well. Amdocs provides customer care and billing software to telecommunications companies around the world, and Infosys Technologies provides IT consulting and software services. Infosys was sold from the portfolio in November, when it reached the target price.
Consumer discretionary stocks represented a large portion of the portfolio and included a diverse group of stocks from several industries including automobiles and components, media, retailing, and consumer durables. Because of the larger weighting than the index and the slight underperformance as a group, consumer discretionary stocks were a drag on relative portfolio performance. There were some strong individual performances, including auto makers Hero Honda Motors Ltd. in China and Hyundai Motor Co. in South Korea, which both posted significant gains during the period. Media holding Rogers Communications Inc. of Canada also had strong performance. The main detractor in the sector was apparel company Puma AG.
The Fund remains concentrated with 52 total holdings, yet diversified, as those holdings represent exposure to 19 different industry groups, and 19 different countries. Market cap exposure is spread across small, mid, and large cap stocks with a bias towards large cap (stocks with market caps above $8 billion), and emerging market exposure is currently a modest 22%.
The focus of the portfolio continues to remain on utilizing the same disciplined bottom-up strategy of seeking promising companies at a discount.
PERFORMANCE IMPACT FOR SIX MONTHS ENDED 3/31/05
Top Contributors | Top Detractors | |
Deutsche Börse AG | Toyota Motor Corp. | |
Rogers Communications Inc. | Datang Intl Power Generation Co. | |
Petroleo Brasileiro SA | Puma AG | |
Euronext NV | Tandberg ASA | |
Bank of Fukuoka Ltd. | Kingfisher plc |
Source: Thompson Portfolio Analytics
TOP TEN HOLDINGS
Deutsche Börse AG | 3.2 | % | |
Sanofi-Aventis | 3.1 | % | |
BP Amoco ADR | 2.8 | % | |
UBS AG | 2.7 | % | |
Petroleo Brasileiro SA | 2.7 | % | |
Tesco plc | 2.6 | % | |
Shaw Communications Inc. | 2.5 | % | |
GlaxoSmithKline plc | 2.5 | % | |
Lloyds TSB Group plc | 2.4 | % | |
Euronext NV | 2.4 | % |
TOP TEN COUNTRIES
U.K. | 21.7 | % | |
Germany | 11.0 | % | |
Japan | 9.4 | % | |
France | 7.3 | % | |
South Korea | 7.2 | % | |
Switzerland | 6.3 | % | |
China | 5.7 | % | |
Canada | 4.8 | % | |
Brazil | 4.7 | % | |
Mexico | 3.2 | % |
TOP TEN INDUSTRIES
Banks | 13.6 | % | |
Pharmaceuticals & Biotechnology | 9.6 | % | |
Diversified Financials | 8.3 | % | |
Food & Staples Retailing | 7.9 | % | |
Energy | 7.7 | % | |
Telecommunication Services | 7.0 | % | |
Media | 6.7 | % | |
Automobiles & Components | 6.2 | % | |
Consumer Durables & Apparel | 5.6 | % | |
Transportation | 3.6 | % |
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Thornburg International Value Fund
Finding Promising Companies at a Discount
Investing is an art. It is also a science. It requires vision and precision – the vision to recognize opportunity and the precision to use that opportunity to achieve a specific goal.
The greatest success comes to those who strike a balance between the two.
Thornburg International Value Fund strikes such a balance.
The Fund seeks to find bargains in overseas markets. It differs from other international equity funds in two key ways. First, it focuses on a limited number of stocks; and second, it takes a more inclusive approach to value investing. This unique strategy has provided shareholders with superior returns since the Fund’s inception in 1998, and has earned portfolio manager Bill Fries the distinction of Morningstar’s 2003 International Fund Manager of the Year.
Fries’ unassuming and quiet demeanor belies his fierce determination to recognize value and harness it for his shareholders. He brings more than thirty years of investment experience to the process. He also brings a commitment to fundamental, hands-on research. He and his team of associate portfolio managers are dedicated to a collaborative approach in identifying and analyzing investment ideas. They scour the globe to find the world’s most profitable companies. The investment committee is, in Fries’ words, “in continuous session.” Everybody’s idea is important. “Combining promise and discount valuation” is the team’s mantra.
In managing Thornburg International Value Fund, Fries takes a conservative, bottom-up approach to stock selection. The Fund is not predisposed to a geographical region or industry type. And it recognizes no “false gods.” Fries and his associates use a combination of traditional value screens, financial analysis, collaborative research, and on-site company visits to gauge the intrinsic value of a company and to estimate its potential for significant future earnings growth. Their goal is to maintain a portfolio of 45–55 companies diversified by sector, country, region, and economic sensitivity, with no one industry accounting for more than 25% of the Fund’s portfolio, and no one stock comprising more than 5.0%.
Because of the limited number of stocks in the portfolio, every holding counts. Once a company has survived the team’s initial screens, the managers then expand their analysis of what is behind its revenue and cash-generating model. And they take the time to get to know the company, its people and its corporate culture. At the time of purchase, the managers set 12–18 month price targets for each stock. They review those targets as the fundamentals of the stocks change during the course of ownership.
The bottom line? By engendering a wide-open, collegial environment, Fries ensures that information flows freely and that the Fund benefits from the best of the team’s thinking. And because the Fund’s advisor, Thornburg Investment Management, is located in Santa Fe, New Mexico, the portfolio team avoids the tendency to be trapped by Wall Street’s “pack” instinct. While they have access to the best of Wall Street’s analysis, they are not ruled by it. Their distance from the pack serves to fortify independent and objective thinking.
Foreign markets now account for 49% of world market capitalization. Some markets do not move in sync. When one is up, often another is down. Losses in one may be offset by gains in another. Limiting the number of companies in the portfolio and employing a rigorous sell discipline has enabled the Thornburg team to strike a balance between risk and reward and allow shareholders in Thornburg International Value Fund to enjoy reasonable rates of growth and still sleep at night.
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Thornburg International Value Fund
March 31, 2005
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semi-annual shareholder reports fully and fairly represents their financial position.
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William V. Fries, CFA
Portfolio Manager
April 25, 2005
Results for the six month period ended March 31 were gratifying. At the beginning of the period NAV per share was $18.18. At the end of the period NAV per share was $20.40. Total return for Class A shares was 12.60% compared with 15.13% for the MSCI EAFE benchmark. The Fund trailed the benchmark primarily as a result of weakness in a handful of consumer discretionary holdings such as Toyota and Puma, and from having very little exposure to the materials sector which helped drive index performance during the period. For details by share class please refer to the performance summary on page 31.
Global markets recorded healthy gains since the Fund’s September fiscal year end, capped off with a relief rally in February following the successful Iraqi elections. European stock markets rose steadily through much of the period, but lost momentum in March as the biggest economies on the continent experienced slowing economic growth. The strength in European stock markets did not completely translate into gains for U.S. investors. A decline in currency values since December offset some of the gains recorded in local markets. Japan and Australia recorded market advances as well, with the latter reflecting its strength as a natural resource exporter. Among Asia’s emerging markets, South Korea was a standout, especially in the New Year, advancing while most other emerging country markets in the region declined. Valuation was more a factor here than a material change in business fundamentals.
Oil price increases continued to impact both markets and company earnings. Good for producers, bad for users. Industrial manufacturers and commodity processors such as steel and chemical companies enjoyed strong performance as well, although near the end of the period, concern with the potential impact of a global economic slowdown began to be reflected in these economically sensitive issues. The technology sector showed few signs of a rebound, although internet and mobile communications related businesses around the world continued to experience robust activity.
The International Value Fund performance benefited from good performance of stocks in several different sectors and industries. Exceptional returns were registered from our two European securities exchange holdings, Deutsche Börse AG and Euronext NV. Both companies indicated a desire to acquire the London Stock Exchange (LSE), but have demonstrated the discipline to avoid overpaying. Recognition of the valuation discount for these unique cash generating franchises became apparent to investors as the negotiations to acquire the LSE became public. Several other financial service sector stocks also did well. UBS AG in Switzerland, Bank of Fukuoka Ltd. in Japan and two South Korean Banks, Shinhan Financial Group Co. and Kookmin Bank, were prominent gainers. Among energy holdings, Petroleo Brasileiro SA ADR (Petrobras) was the standout performer. Media/communications holdings Shaw Communications Inc. and Rogers Communications Inc., both Canadian and American Movil SA de C.V., the leading Mexican cellular phone service provider, continue to do well, both in stock performance and in business execution. Amdocs Ltd., a provider of software service to the communications industry, continued to benefit from its industry leading position. In the consumer products area, Cadbury Schweppes plc was the best performer on the strength of its non-carbonated beverage business. Pharmaceutical holdings Sanofi-Aventis and GlaxoSmithKline plc performed better than industry peers in part because of low valuation. Issues that declined during the period were off only modestly. Prominent decliners included Toyota Motor Corp., Beijing Datang International Power Generation Co. Ltd., Puma, and Tandberg ASA (Norwegian, leader in business video conferencing technology).
The value of currencies can have an impact on portfolio performance as stock prices in local currencies are translated into dollars. A recent example is the impact of the dollar rally since the end of 2004. Rising local markets in Europe did not completely flow through to the benefit of U.S. based investors. As an example, the German market since the end of December 2004 recorded a gain of 2.27% through March 31, 2005. For U.S. investors, however, when adjusted for the 4% decline in the value of the Euro through March 31, 2005, the gain was diminished to a loss of (2.21)%. It is possible to neutralize some of this exogenous volatility effect through currency hedging (buying dollars at today’s rate for delivery in the future). Where and when it seems appropriate to
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modify the impact of currency fluctuations on the effectiveness of individual stock selection, we can and have used currency hedging effectively. At March 31, 2005, we were approximately 50% hedged on the three principal European currencies and near fully hedged on the Mexican Peso and Indian Rupee.
During the six months since September 30, 2004, twelve names were sold from the portfolio and twelve new holdings were added. A broad spectrum of economic activity and geography was represented in this activity, with pharmaceutical issues being a noteworthy area of some focus. Following are brief comments on our most recent purchases.
Singapore Telecommunications Ltd. provides full service communications in its home market, including cellular and broadband. It is growing slowly there, but pays a good dividend and has made material mobile communications investments in Australia (Optus), India (Bharti), Indonesia (Telkomsel) and other emerging markets where cellular penetration is lower and growth faster. Carrefour SA is the leading French-based supermarket chain. The domestic business has been losing ground in a very competitive environment in France, which has eliminated the stock’s long held premium reputation and valuation. New management from one of the company’s acquired entities is attempting to rationalize the business and regain past stature. A successful effort will be rewarding to shareholders. Promotora de Informaciones (commonly known as Prisa), is the leading media company in Spain, publishing El Pais, owning radio and TV stations and holding a 20% + stake in Sogecable, the nation’s leading pay per view cable TV company. Operating earnings and cash flow enhancement opportunities include both cost cutting and revenue generation. A radio JV with Televisa in Mexico and other Latin American countries and a bigger stake in Sogecable hold interesting promise. Novo Nordisk is an established Danish biotechnology company with a franchise among diabetics. In addition to insulin, the company’s clotting product, NovoSeven, could get a growth spurt if approved by the FDA for treatment of trauma and intercerebral hemorrhage in addition to its current indication for hemophelia. The company is not subject to patent expiration issues.
Our website at www.thornburg.com/funds has summary descriptions of these and the other portfolio holdings. The website also has other commentary you may find useful in tracking your investments.
Investor confidence has diminished due to a number of factors including high oil prices, slow economic growth in major economies on the European continent, and concern that the U.S. economy may slow. Despite the legitimacy of these concerns, sentiment regarding the sustainability of global economic expansion would likely improve materially with any decline in oil prices and revaluation upward of Asian currencies. Both are possible, although the success of our investments does not depend on this eventuality.
Thank you for your trust and confidence.
Sincerely, |
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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.
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STATEMENT OF ASSETS AND LIABILITIES
Thornburg International Value Fund | March 31, 2005 (Unaudited) |
ASSETS | |||
Investments at value (cost $ 2,309,096,082) | $ | 2,616,513,418 | |
Cash | 1,522,592 | ||
Cash denominated in foreign currency (cost $ 4,922,219) | 4,911,922 | ||
Receivable for fund shares sold | 26,212,213 | ||
Dividends receivable | 13,920,456 | ||
Prepaid expenses and other assets | 179,954 | ||
Total Assets | 2,663,260,555 | ||
LIABILITIES | |||
Payable for securities purchased | 1,490,325 | ||
Payable for fund shares redeemed | 2,449,584 | ||
Unrealized loss on forward exchange contracts (Note 6) | 13,280,313 | ||
Payable to investment advisor and other affiliates (Note 3) | 2,665,959 | ||
Deferred tax payable | 202,278 | ||
Accounts payable and accrued expenses | 1,803,765 | ||
Total Liabilities | 21,892,224 | ||
NET ASSETS | $ | 2,641,368,331 | |
NET ASSETS CONSIST OF: | |||
Undistributed net investment gain (loss) | $ | 3,169,201 | |
Net unrealized appreciation on investments, net of deferred taxes payable of $ 202,278 | 293,131,693 | ||
Accumulated net realized gain (loss) | 6,541,921 | ||
Net capital paid in on shares of beneficial interest | 2,338,525,516 | ||
$ | 2,641,368,331 | ||
NET ASSET VALUE: | |||
Class A Shares: | |||
Net asset value and redemption price per share | $ | 20.40 | |
Maximum sales charge, 4.50% of offering price | 0.96 | ||
Maximum offering price per share | $ | 21.36 | |
Class B Shares: | |||
Net asset value and offering price per share * | $ | 19.50 | |
Class C Shares: | |||
Net asset value and offering price per share * | $ | 19.58 | |
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Table of Contents
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg International Value Fund | March 31, 2005 (Unaudited) |
Class I Shares: | |||
Net asset value, offering and redemption price per share ($548,726,629 applicable to 26,452,168 shares of beneficial interest outstanding - Note 4) | $ | 20.74 | |
Class R1 Shares: | |||
Net asset value, offering and redemption price per share ($49,639,486 applicable to 2,423,593 shares of beneficial interest outstanding - Note 4) | $ | 20.48 | |
Class R5 Shares: | |||
Net asset value, offering and redemption price per share ($29,290 applicable to 1,412 shares of beneficial interest outstanding Note 4) | $ | 20.74 | |
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
Certified Semi-Annual Report | 11 |
Table of Contents
Thornburg International Value Fund | Six Months Ended March 31, 2005 (Unaudited) |
INVESTMENT INCOME: | ||||
Dividend income (net of foreign taxes withheld of $ 2,187,062) | $ | 17,895,563 | ||
Interest income | 1,208,512 | |||
Total Income | 19,104,075 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 8,270,224 | |||
Administration fees (Note 3) | ||||
Class A Shares | 791,310 | |||
Class B Shares | 17,899 | |||
Class C Shares | 209,670 | |||
Class I Shares | 107,526 | |||
Class R1 Shares | 18,157 | |||
Class R5 Shares | 1 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 1,588,876 | |||
Class B Shares | 143,575 | |||
Class C Shares | 1,682,192 | |||
Class R1 Shares | 73,332 | |||
Transfer agent fees | ||||
Class A Shares | 836,350 | |||
Class B Shares | 31,050 | |||
Class C Shares | 206,305 | |||
Class I Shares | 107,325 | |||
Class R1 Shares | 23,790 | |||
Class R5 Shares | 1,947 | |||
Registration and filing fees | ||||
Class A Shares | 46,924 | |||
Class B Shares | 7,784 | |||
Class C Shares | 18,592 | |||
Class I Shares | 33,626 | |||
Class R1 Shares | 12,524 | |||
Class R5 Shares | 3,633 | |||
Custodian fees (Note 3) | 662,999 | |||
Professional fees | 64,955 | |||
Accounting fees | 95,020 | |||
Trustee fees | 23,320 | |||
Other expenses | 369,983 | |||
Total Expenses | 15,448,889 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (129,453 | ) | ||
Fees paid indirectly (Note 3) | (3,549 | ) | ||
Net Expenses | 15,315,887 | |||
Net Investment Income | $ | 3,788,188 | ||
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Table of Contents
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg International Value Fund | Six Months Ended March 31, 2005 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments | $ | 17,353,009 | ||
Foreign currency transactions | (7,547,690 | ) | ||
9,805,319 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments, net of change in deferred taxes payable of $ (293,440) | 214,244,337 | |||
Foreign currency translation | (10,805,966 | ) | ||
203,438,371 | ||||
Net Realized and Unrealized Gain | 213,243,690 | |||
Net Increase in Net Assets Resulting From Operations | $ | 217,031,878 | ||
See notes to financial statements.
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Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg International Value Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | ||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | |||||||
OPERATIONS: | |||||||
Net investment income gain | $ | 3,788,188 | $ | 6,816,361 | |||
Net realized gain on investments and foreign currency transactions | 9,805,319 | 21,723,437 | |||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments, foreign currency translation, and deferred taxes | 203,438,371 | 61,424,573 | |||||
Net Increase in Net Assets Resulting from Operations | 217,031,878 | 89,964,371 | |||||
DIVIDENDS TO SHAREHOLDERS: | |||||||
From net investment income | |||||||
Class A Shares | (4,434,070 | ) | 0 | ||||
Class C Shares | (122,294 | ) | 0 | ||||
Class I Shares | (2,356,216 | ) | 0 | ||||
Class R1 Shares | (123,918 | ) | 0 | ||||
FUND SHARE TRANSACTIONS - (Note 4) | |||||||
Class A Shares | 503,619,080 | 797,028,763 | |||||
Class B Shares | 9,870,931 | 14,140,582 | |||||
Class C Shares | 149,390,435 | 172,158,420 | |||||
Class I Shares | 212,777,422 | 242,069,929 | |||||
Class R1 Shares | 36,127,986 | 10,904,969 | |||||
Class R5 Shares | 29,965 | 0 | |||||
Net Increase in Net Assets | 1,121,811,199 | 1,326,267,034 | |||||
NET ASSETS: | |||||||
Beginning of period | 1,519,557,132 | 193,290,098 | |||||
End of period | $ | 2,641,368,331 | $ | 1,519,557,132 | |||
See notes to financial statements.
14 | Certified Semi-Annual Report |
Table of Contents
Thornburg International Value Fund | March 31, 2005 (Unaudited) |
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 Limited Term Municipal Fund, Thornburg California 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 primarily in both foreign and domestic equity securities selected on a value basis.
The Fund currently offers six classes of shares of beneficial interest, Class A, Class B, Class C, Institutional Class (Class I), and Retirement Class (Class R1) and (Class R5) 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 R1 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, (vi) Class R5 shares are sold at net asset value without a sales charge at the time of purchase, and (vii) 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 Trust 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.
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 Trust to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all taxable income, including any net realized gain on investments, of the Fund, to the shareholders. Therefore, no provision for Federal income taxes 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 and or market changes. At the time the Trust makes a commitment
Certified Semi-Annual Report | 15 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2005 (Unaudited) |
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 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: 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 period ended March 31, 2005, these fees were payable at annual rates ranging from .875 of 1% to ..675 of 1% per annum 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% per annum of the average daily net assets attributable to each class of shares. For the period ended March 31, 2005, the Advisor voluntarily reimbursed certain class specific expenses and administrative fees of $4,496 for Class B shares, $71,238 for Class I shares, $48,140 for Class R1 shares, and $5,579 for Class R5 shares.
The Trust 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 period ended March 31, 2005, the Distributor has advised the Fund that it earned net commissions aggregating $176,041 from the sale of Class A shares of the Fund, and collected contingent deferred sales charges aggregating $28,164 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 Trust has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Fund’s Class B, Class C, and Class R1, shares under which the Fund compensates the Distributor for services in promoting the sale of Class B, Class C, and Class R1 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 B, Class C, and Class R1 shares. Total fees incurred by the Distributor for each class of shares of the Fund under their respective service and distribution plans for the period ended March 31, 2005, are set forth in the Statement of Operations.
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 March 31, 2005, fees paid indirectly were $3,549.
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.
16 | Certified Semi-Annual Report |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2005 (Unaudited) |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2005, there were an unlimited number of shares of beneficial interest authorized. Sale of Class R5 shares commenced February 1, 2005. Transactions in shares of beneficial interest were as follows:
Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 32,237,667 | $ | 641,401,402 | 51,167,423 | $ | 894,268,597 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 151,574 | 3,092,104 | — | — | ||||||||||
Shares repurchased** | (7,073,240 | ) | (140,874,426 | ) | (5,531,059 | ) | (97,239,834 | ) | ||||||
Net Increase (Decrease) | 25,316,001 | $ | 503,619,080 | 45,636,364 | $ | 797,028,763 | ||||||||
** The Fund charges a redemption fee of 1% of the Class A shares exchanged within 90 days of purchase. For the period ended March 31, 2005 and year ended September 30, 2004, $47,597 and $51,074, respectively, were netted in the amount reported for shares repurchased.
|
| |||||||||||||
Class B Shares | ||||||||||||||
Shares sold | 555,626 | $ | 10,557,089 | 897,624 | $ | 15,193,868 | ||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||
Shares repurchased | (36,563 | ) | (686,158 | ) | (62,324 | ) | (1,053,286 | ) | ||||||
Net Increase (Decrease) | 519,063 | $ | 9,870,931 | 835,300 | $ | 14,140,582 | ||||||||
�� | ||||||||||||||
Class C Shares | ||||||||||||||
Shares sold | 8,543,119 | $ | 162,774,590 | 10,858,583 | $ | 184,217,626 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 3,755 | 73,670 | — | — | ||||||||||
Shares repurchased | (703,519 | ) | (13,457,825 | ) | (716,792 | ) | (12,059,206 | ) | ||||||
Net Increase (Decrease) | 7,843,355 | $ | 149,390,435 | 10,141,791 | $ | 172,158,420 | ||||||||
Class I Shares | ||||||||||||||
Shares sold | 11,830,521 | $ | 238,377,324 | 14,591,120 | $ | 258,463,205 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 89,135 | 1,847,766 | — | — | ||||||||||
Shares repurchased** | (1,351,996 | ) | (27,447,668 | ) | (921,861 | ) | (16,393,276 | ) | ||||||
Net Increase (Decrease) | 10,567,660 | $ | 212,777,422 | 13,669,259 | $ | 242,069,929 | ||||||||
** The Fund charges a redemption fee of 1% of the Class I shares exchanged within 90 days of purchase. For the period ended March 31, 2005 and year ended September 30, 2004, $14,820 and $18,249, respectively, were netted in the amount reported for shares repurchased.
|
| |||||||||||||
Class R1 Shares | ||||||||||||||
Shares sold | 1,989,529 | $ | 39,762,145 | 686,300 | $ | 12,209,648 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 2,555 | 52,352 | — | — | ||||||||||
Shares repurchased | (181,568 | ) | (3,686,511 | ) | (73,228 | ) | (1,304,679 | ) | ||||||
Net Increase (Decrease) | 1,810,516 | $ | 36,127,986 | 613,072 | $ | 10,904,969 | ||||||||
Certified Semi-Annual Report | 17 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2005 (Unaudited) |
Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||||||
Shares | Amount | Shares | Amount | |||||||||
Class R5 Shares* | ||||||||||||
Shares sold | 1,414 | $ | 29,996 | — | $ | — | ||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||
Shares repurchased | (2 | ) | (31 | ) | — | — | ||||||
Net Increase (Decrease) | 1,412 | $ | 29,965 | — | $ | — | ||||||
* | Effective date of Class R5 was February 1, 2005. |
NOTE 5 – SECURITIES TRANSACTIONS
For the period ended March 31, 2005, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $1,148,741,865 and $272,757,499, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2005, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 2,309,295,626 | ||
Gross unrealized appreciation on a tax basis | $ | 321,521,827 | ||
Gross unrealized depreciation on a tax basis | (14,304,035 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 307,217,792 | ||
At March 31, 2005, 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.
NOTE 7 – FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK
During the period ended March 31, 2005, 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:
103,000,000 | Swiss Franc for 85,134,521 USD, August 10, 2005 | $ | (1,801,371 | ) | ||
55,000,000 | Euro Dollar for 67,551,000 USD, April 6, 2005 | (3,779,103 | ) | |||
41,000,000 | Euro Dollar for 50,250,010 USD, April 15, 2005 | (2,933,276 | ) | |||
50,000,000 | Pound Sterling for 92,776,250 USD, July 11, 2005 | (1,186,438 | ) | |||
65,000,000 | Pound Sterling for 121,600,700 USD July 29, 2005 | (472,119 | ) | |||
1,900,000,000 | Indian Rupee for 40,921,818 USD April 6, 2005 | (2,572,368 | ) | |||
450,000,000 | Mexican Peso for 38,409,013 USD April 6, 2005 | (1,801,691 | ) | |||
250,000,000 | Mexican Peso for 21,321,052 June 14, 2005 | (717,761 | ) | |||
70,000,000 | Mexican Peso for 5,964,045 July 11, 2005 | (177,536 | ) | |||
210,000,000 | Mexican Peso for 18,112,817 August 10, 2005 | (216,905 | ) | |||
Unrealized loss from forward Sell contracts: | (15,658,568 | ) | ||||
77,000,000 | Euro Dollar for 101,843,280 USD, July 11, 2005 | 1,713,642 | ||||
100,000,000 | Euro Dollar for 130,790,000 USD, July 29, 2005 | 664,612 | ||||
Unrealized gain from forward Sell contracts: | 2,378,254 | |||||
Net unrealized gain (loss) from forward Sell contracts: | $ | (13,280,314 | ) | |||
CONTRACTS TO BUY: | ||||||
55,000,000 | Euro Dollar for 71,739,250 USD, April 6, 2005 | $ | (409,147 | ) | ||
41,000,000 | Euro Dollar for 53,482,450 USD, April 15, 2005 | (299,164 | ) | |||
800,000,000 | Indian Rupee for 18,371,799 USD, April 6, 2005 | (58,458 | ) | |||
Net unrealized loss from forward Buy contracts: | $ | (766,769 | ) | |||
Net unrealized gain (loss) from forward Exchange contracts: | $ | (14,047,083 | ) | |||
18 | Certified Semi-Annual Report |
Table of Contents
Thornburg International Value Fund | (Unaudited)* |
*Six Months Ended March 31, | Year Ended September 30, | |||||||||||||||||||||||
2005 | 2004 | 2003 | 2002 | 2001 | 2000 | |||||||||||||||||||
Class A Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 18.18 | $ | 14.95 | $ | 11.88 | $ | 12.37 | $ | 16.64 | $ | 12.95 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.04 | 0.15 | 0.06 | 0.03 | 0.03 | 0.44 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.25 | 3.08 | 3.00 | (0.54 | ) | (3.39 | ) | 4.03 | ||||||||||||||||
Total from investment operations | 2.29 | 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 | (0.07 | ) | — | — | — | (0.86 | ) | (0.78 | ) | |||||||||||||||
Return of capital | — | — | — | — | (0.05 | ) | — | |||||||||||||||||
Total dividends | (0.07 | ) | — | — | — | (0.91 | ) | (0.78 | ) | |||||||||||||||
Change in net asset value | 2.22 | 3.23 | 3.07 | (0.49 | ) | (4.27 | ) | 3.69 | ||||||||||||||||
NET ASSET VALUE, end of period | $ | 20.40 | $ | 18.18 | $ | 14.95 | $ | 11.88 | $ | 12.37 | $ | 16.64 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | 12.60 | % | 21.61 | % | 25.84 | % | (3.96 | )% | (21.28 | )% | 34.42 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 0.39 | %(b) | 0.88 | % | 0.44 | % | 0.19 | % | 0.22 | % | 2.61 | % | ||||||||||||
Expenses, after expense reductions | 1.42 | %(b) | 1.49 | % | 1.59 | % | 1.57 | % | 1.54 | % | 1.53 | % | ||||||||||||
Expenses, after expense reductions and net of custody credits | 1.42 | %(b) | 1.49 | % | 1.59 | % | 1.57 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 1.42 | %(b) | 1.51 | % | 1.67 | % | 1.60 | % | 1.56 | % | 1.55 | % | ||||||||||||
Portfolio turnover rate | 13.73 | % | 35.84 | % | 58.35 | % | 28.39 | % | 61.05 | % | 86.13 | % | ||||||||||||
Net assets at end of period (000) | $ | 1,580,850 | $ | 948,631 | $ | 97,991 | $ | 69,490 | $ | 56,507 | $ | 76,070 |
(a) | Sales loads are not reflected in computing total return, which is not annualized for periods less than one year. |
(b) | Annualized. |
+ | Based on weighted average shares outstanding. |
Certified Semi-Annual Report | 19 |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg International Value Fund | (Unaudited)* |
*Six Months Ended 2005 | Year Ended September 30, | Period Ended 2000 (b) | ||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | |||||||||||||||||||||
Class B Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.39 | $ | 14.43 | $ | 11.57 | $ | 12.16 | $ | 16.44 | $ | 17.62 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | (0.05 | ) | (0.02 | ) | (0.04 | ) | (0.08 | ) | (0.06 | ) | 0.14 | |||||||||||||
Net realized and unrealized gain (loss) on investments | 2.16 | 2.98 | 2.90 | (0.51 | ) | (3.36 | ) | (0.79 | ) | |||||||||||||||
Total from investment operations | 2.11 | 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 | 2.11 | 2.96 | 2.86 | (0.59 | ) | (4.28 | ) | (1.18 | ) | |||||||||||||||
NET ASSET VALUE, end of period | $ | 19.50 | $ | 17.39 | $ | 14.43 | $ | 11.57 | $ | 12.16 | $ | 16.44 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (c) | 12.13 | % | 20.51 | % | 24.72 | % | (4.85 | )% | (21.86 | )% | (3.73 | )% | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.48 | )%(a) | (0.12 | )% | (0.32 | )% | (0.58 | )% | (0.39 | )% | 1.63 | %(a) | ||||||||||||
Expenses, after expense reductions | 2.27 | %(a) | 2.36 | % | 2.38 | % | 2.39 | % | 2.40 | % | 2.38 | %(a) | ||||||||||||
Expenses, after expense reductions and net of custody credits | 2.27 | %(a) | 2.36 | % | 2.38 | % | 2.39 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 2.30 | %(a) | 2.42 | % | 2.84 | % | 2.88 | % | 3.62 | % | 6.08 | %(a) | ||||||||||||
Portfolio turnover rate | 13.73 | % | 35.84 | % | 58.35 | % | 28.39 | % | 61.05 | % | 86.13 | % | ||||||||||||
Net assets at end of period (000) | $ | 34,996 | $ | 22,181 | $ | 6,346 | $ | 4,672 | $ | 2,570 | $ | 1,270 |
(a) | Annualized. |
(b) | Effective date of Class B Shares was April 3, 2000. |
(c) | Not annualized for periods less than one year. |
+ | Based on weighted average shares outstanding. |
20 | Certified Semi-Annual Report |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg International Value Fund | (Unaudited)* |
*Six Months Ended 2005 | Year Ended September 30, | |||||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | 2000 | ||||||||||||||||||||
Class C Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.46 | $ | 14.47 | $ | 11.60 | $ | 12.19 | $ | 16.49 | $ | 12.88 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | (0.03 | ) | 0.01 | (0.04 | ) | (0.08 | ) | (0.08 | ) | 0.38 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.16 | 2.98 | 2.91 | (0.51 | ) | (3.37 | ) | 3.91 | ||||||||||||||||
Total from investment operations | 2.13 | 2.99 | 2.87 | (0.59 | ) | (3.45 | ) | 4.29 | ||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.01 | ) | — | — | — | (0.81 | ) | (0.68 | ) | |||||||||||||||
Return of capital | — | — | — | — | (0.04 | ) | — | |||||||||||||||||
Total dividends | (0.01 | ) | — | — | — | (0.85 | ) | (0.68 | ) | |||||||||||||||
Change in net asset value | 2.12 | 2.99 | 2.87 | (0.59 | ) | (4.30 | ) | 3.61 | ||||||||||||||||
NET ASSET VALUE, end of period | $ | 19.58 | $ | 17.46 | $ | 14.47 | $ | 11.60 | $ | 12.19 | $ | 16.49 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (a) | 12.18 | % | 20.66 | % | 24.74 | % | (4.84 | )% | (21.96 | )% | 33.20 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.34 | )%(b) | 0.04 | % | (0.31 | )% | (0.62 | )% | (0.51 | )% | 2.25 | % | ||||||||||||
Expenses, after expense reductions | 2.17 | %(b) | 2.26 | % | 2.37 | % | 2.36 | % | 2.37 | % | 2.37 | % | ||||||||||||
Expenses, after expense reductions and net of custody credits | 2.17 | %(b) | 2.26 | % | 2.37 | % | 2.36 | % | — | — | ||||||||||||||
Expenses, before expense reductions | 2.17 | %(b) | 2.26 | % | 2.45 | % | 2.36 | % | 2.39 | % | 2.43 | % | ||||||||||||
Portfolio turnover rate | 13.73 | % | 35.84 | % | 58.35 | % | 28.39 | % | 61.05 | % | 86.13 | % | ||||||||||||
Net assets at end of period (000) | $ | 427,127 | $ | 243,955 | $ | 55,443 | $ | 39,995 | $ | 26,426 | $ | 26,120 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
+ | Based on weighted average shares outstanding. |
Certified Semi-Annual Report | 21 |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg International Value Fund | (Unaudited)* |
*Six Months Ended 2005 | Year Ended September 30, | Period Ended 2001(b) | ||||||||||||||||||
2004 | 2003 | 2002 | ||||||||||||||||||
Class I Shares: | ||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||
Net asset value, beginning of period | $ | 18.48 | $ | 15.13 | $ | 11.96 | $ | 12.40 | $ | 14.63 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.09 | 0.24 | 0.14 | 0.10 | 0.11 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.28 | 3.11 | 3.03 | (0.54 | ) | (2.21 | ) | |||||||||||||
Total from investment operations | 2.37 | 3.35 | 3.17 | (0.44 | ) | (2.10 | ) | |||||||||||||
Less dividends from: | ||||||||||||||||||||
Net investment income | (0.11 | ) | — | — | — | (0.08 | ) | |||||||||||||
Return of capital | — | — | — | — | (0.05 | ) | ||||||||||||||
Total dividends | (0.11 | ) | — | — | — | (0.13 | ) | |||||||||||||
Change in net asset value | 2.26 | 3.35 | 3.17 | (0.44 | ) | (2.23 | ) | |||||||||||||
NET ASSET VALUE, end of period | $ | 20.74 | $ | 18.48 | $ | 15.13 | $ | 11.96 | $ | 12.40 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Total return (c) | 12.84 | % | 22.14 | % | 26.51 | % | (3.55 | )% | (14.50 | )% | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 0.85 | %(a) | 1.35 | % | 1.07 | % | 0.71 | % | 1.57 | %(a) | ||||||||||
Expenses, after expense reductions | 0.99 | %(a) | 0.99 | % | 0.99 | % | 0.99 | % | 0.97 | %(a) | ||||||||||
Expenses, after expense reductions and net of custody credits | 0.99 | %(a) | 0.99 | % | 0.99 | % | 0.99 | % | — | |||||||||||
Expenses, before expense reductions | 1.02 | %(a) | 1.11 | % | 1.25 | % | 1.28 | % | 1.38 | %(a) | ||||||||||
Portfolio turnover rate | 13.73 | % | 35.84 | % | 58.35 | % | 28.39 | % | 61.05 | % | ||||||||||
Net assets at end of period (000) | $ | 548,727 | $ | 293,583 | $ | 33,511 | $ | 19,187 | $ | 11,249 |
(a) | Annualized. |
(b) | Effective date of Class I Shares was March 30, 2001. |
(c) | Not annualized for periods less than one year. |
+ | Based on weighted average shares outstanding. |
22 | Certified Semi-Annual Report |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg International Value Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | Period Ended September 30, 2003(c) | ||||||||||
Class R1 Shares: | ||||||||||||
PER SHARE PERFORMANCE | ||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||
Net asset value, beginning of period | $ | 18.28 | $ | 15.01 | $ | 13.59 | ||||||
Income from investment operations: | ||||||||||||
Net investment income | 0.07 | 0.19 | 0.02 | |||||||||
Net realized and unrealized gain (loss) on investments | 2.23 | 3.08 | 1.40 | |||||||||
Total from investment operations | 2.30 | 3.27 | 1.42 | |||||||||
Less dividends from: | ||||||||||||
Net investment income | (0.10 | ) | — | — | ||||||||
Change in net asset value | 2.20 | 3.27 | 1.42 | |||||||||
NET ASSET VALUE, end of period | $ | 20.48 | $ | 18.28 | $ | 15.01 | ||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||
Total return (a) | 12.59 | % | 21.79 | % | 10.45 | % | ||||||
Ratios to average net assets: | ||||||||||||
Net investment income | 0.71 | %(b) | 1.08 | % | 0.65 | %(b) | ||||||
Expenses, after expense reductions | 1.45 | %(b) | 1.45 | % | 1.60 | %(b) | ||||||
Expenses, after expense reductions and net of custody credits | 1.45 | %(b) | 1.45 | % | 1.60 | %(b) | ||||||
Expenses, before expense reductions | 1.78 | %(b) | 2.42 | % | 30,451.98 | %(b)† | ||||||
Portfolio turnover rate | 13.73 | % | 35.84 | % | 58.35 | % | ||||||
Net assets at end of period (000) | $ | 49,639 | $ | 11,207 | $ | — | (d) |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
(c) | Effective date of Class R1 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 Semi-Annual Report | 23 |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg International Value Fund | (Unaudited)* |
*Period Ended March 31, 2005 (c) | ||||
Class R5 Shares: | ||||
PER SHARE PERFORMANCE | ||||
(for a share outstanding throughout the period)+ | ||||
Net asset value, beginning of period | $ | 20.37 | ||
Income from investment operations: | ||||
Net investment income | 0.10 | |||
Net realized and unrealized gain (loss) on investments | 0.27 | |||
Total from investment operations | 0.37 | |||
Less dividends from: | ||||
Net investment income | — | |||
Change in net asset value | 0.37 | |||
NET ASSET VALUE, end of period | $ | 20.74 | ||
RATIOS/SUPPLEMENTAL DATA | ||||
Total return (a) | 1.82 | % | ||
Ratios to average net assets: | ||||
Net investment income | 3.01 | %(b) | ||
Expenses, after expense reductions | 0.99 | %(b) | ||
Expenses, after expense reductions and net of custody credits | 0.98 | %(b) | ||
Expenses, before expense reductions | 251.56 | %(b)† | ||
Portfolio turnover rate | 13.73 | % | ||
Net assets at end of period (000) | $ | 29 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
(c) | Effective date of Class R5 Shares was February 1, 2005. |
† | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
+ | Based on weighted average shares outstanding. |
24 | Certified Semi-Annual Report |
Table of Contents
Thornburg International Value Fund | March 31, 2005 (Unaudited) |
CUSIPS: CLASS A - 885-215-657, CLASS B - 885-215-616, CLASS C - 885-215-640, CLASS I - 885-215-566, CLASS R1 - 885-215-525, CLASS R5 - 885-215-368
NASDAQ SYMBOLS: CLASS A - TGVAX, CLASS B - THGBX, CLASS C - THGCX, CLASS I - TGVIX, CLASS R1 - TGVRX, CLASS R5 - TIVRX
Shares/ Principal Amount | Value | ||||
COMMON STOCK — 95.46% | |||||
AUTOMOBILES & COMPONENTS — 6.19% | |||||
AUTOMOBILES — 6.19% | |||||
Bayerische Motoren Werke AG | 1,134,276 | $ | 51,554,055 | ||
Hero Honda Motors Ltd. | 1,536,700 | 19,288,805 | |||
Hyundai Motor Co. | 788,900 | 42,727,228 | |||
Toyota Motor Corp. | 1,343,600 | 49,997,333 | |||
TOTAL AUTOMOBILES & COMPONENTS | 163,567,421 | ||||
BANKS — 13.58% | |||||
COMMERCIAL BANKS — 13.58% | |||||
Bank of Fukuoka Ltd. | 8,584,300 | 53,879,542 | |||
Bank of Ireland Group | 2,830,300 | 44,702,913 | |||
Barclays plc | 5,772,100 | 58,972,281 | |||
ICICI Bank Ltd. | 832,737 | 7,494,061 | |||
ICICI Bank Ltd. Sponsored ADR | 269,000 | 5,573,680 | |||
Kookmin Bank | 1,090,800 | 48,712,733 | |||
Lloyds TSB Group plc | 6,987,400 | 63,075,444 | |||
Mitsubishi Tokyo Financial Group | 5,035 | 43,670,319 | |||
Shinhan Financial Group Co. | 1,221,200 | 32,709,640 | |||
TOTAL BANKS | 358,790,613 | ||||
CAPITAL GOODS — 2.00% | |||||
AEROSPACE & DEFENSE — 2.00% | |||||
Embraer Brasileira de Aeronaut ADR | 1,685,028 | 52,741,376 | |||
TOTAL CAPITAL GOODS | 52,741,376 | ||||
CONSUMER DURABLES & APPAREL — 5.62% | |||||
TEXTILES,APPAREL & LUXURY GOODS — 5.62% | |||||
Adidas-Salomon AG | 371,821 | 59,025,865 | |||
Burberry Group plc | 5,607,946 | 43,368,514 | |||
Puma AG | 183,471 | 45,948,701 | |||
TOTAL CONSUMER DURABLES & APPAREL | 148,343,080 | ||||
DIVERSIFIED FINANCIALS — 8.28% | |||||
CAPITAL MARKETS — 2.72% | |||||
UBS AG | 848,580 | 71,690,991 |
Certified Semi-Annual | 25 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2005 (Unaudited) |
Shares/ Principal Amount | Value | ||||
DIVERSIFIED FINANCIAL SERVICES — 5.56% | |||||
Deutsche Börse AG | 1,128,609 | $ | 84,884,339 | ||
Euronext NV | 1,743,897 | 62,075,360 | |||
TOTAL DIVERSIFIED FINANCIALS | 218,650,690 | ||||
ENERGY — 7.72% | |||||
OIL & GAS — 7.72% | |||||
BP Amoco ADR | 1,172,900 | 73,188,960 | |||
China Petroleum & Chemical Corp. | 145,812,000 | 59,358,669 | |||
Petroleo Brasileiro SA ADR | 1,614,700 | 71,337,446 | |||
TOTAL ENERGY | 203,885,075 | ||||
FOOD & STAPLES RETAILING — 7.93% | |||||
FOOD & STAPLES RETAILING — 7.93% | |||||
Carrefour SA | 909,300 | 48,273,757 | |||
FamilyMart Co. Ltd. | 1,560,600 | 45,992,035 | |||
Tesco plc | 11,563,053 | 69,113,525 | |||
Wal Mart De Mexico | 13,113,400 | 45,988,261 | |||
TOTAL FOOD & STAPLES RETAILING | 209,367,578 | ||||
FOOD BEVERAGE & TOBACCO — 1.94% | |||||
FOOD PRODUCTS — 1.94% | |||||
Cadbury Schweppes plc | 5,118,141 | 51,276,036 | |||
TOTAL FOOD BEVERAGE & TOBACCO | 51,276,036 | ||||
INSURANCE — 3.25% | |||||
INSURANCE — 3.25% | |||||
ACE Ltd. | 996,600 | 41,129,682 | |||
Willis Group Holdings Ltd. | 1,214,388 | 44,774,486 | |||
TOTAL INSURANCE | 85,904,168 | ||||
MATERIALS — 1.51% | |||||
CHEMICALS — 1.51% | |||||
Givaudan AG | 62,060 | 39,867,905 | |||
TOTAL MATERIALS | 39,867,905 | ||||
MEDIA — 6.70% | |||||
MEDIA — 6.70% | |||||
Promotora de Informaciones SA | 2,512,700 | 50,797,557 | |||
Rogers Communications Inc. | 2,238,900 | 60,949,016 | |||
Shaw Communications | 3,217,600 | 65,275,000 | |||
TOTAL MEDIA | 177,021,573 | ||||
26 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2005 (Unaudited) |
Shares/ Principal Amount | Value | ||||
PHARMACEUTICALS & BIOTECHNOLOGY — 9.55% | |||||
PHARMACEUTICALS — 9.55% | |||||
GlaxoSmithKline plc | 2,824,935 | $ | 64,712,186 | ||
Novartis AG ADR | 1,168,600 | 54,667,108 | |||
Novo Nordisk A/S | 907,600 | 50,551,673 | |||
Sanofi-Aventis | 975,600 | 82,295,325 | |||
TOTAL PHARMACEUTICALS & BIOTECHNOLOGY | 252,226,292 | ||||
RETAILING — 2.12% | |||||
SPECIALTY RETAIL — 2.12% | |||||
Kingfisher plc | 10,272,675 | 56,017,323 | |||
TOTAL RETAILING | 56,017,323 | ||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 1.44% | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 1.44% | |||||
Samsung Electronics Co. Ltd. | 77,200 | 38,162,875 | |||
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT | 38,162,875 | ||||
SOFTWARE & SERVICES — 3.08% | |||||
COMMUNICATIONS EQUIPMENT — 1.81% | |||||
Amdocs Ltd.+ | 1,684,400 | 47,836,960 | |||
INTERNET SOFTWARE & SERVICES — 0.50% | |||||
Netease.com Inc.+ | 273,200 | 13,170,972 | |||
SOFTWARE — 0.77% | |||||
Shanda Interactive Entertainment Ltd.+ | 675,900 | 20,412,180 | |||
TOTAL SOFTWARE & SERVICES | 81,420,112 | ||||
TECHNOLOGY HARDWARE & EQUIPMENT — 3.49% | |||||
ELECTRONIC EQUIPMENT & INSTRUMENTS — 1.39% | |||||
Tandberg ASA | 3,507,400 | 36,613,133 | |||
OFFICE ELECTRONICS — 2.10% | |||||
Canon Inc. | 1,036,800 | 55,598,974 | |||
TOTAL TECHNOLOGY HARDWARE & EQUIPMENT | 92,212,107 | ||||
TELECOMMUNICATION SERVICES — 7.01% | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 2.63% | |||||
Portugal Telecom SGPS SA | 2,746,500 | 32,196,162 | |||
Singapore Telecommunications Ltd. | 23,905,000 | 37,356,087 | |||
WIRELESS TELECOMMUNICATION SERVICES — 4.38% | |||||
America Movil S.A. de C.V. | 742,100 | 38,292,360 | |||
SK Telecom Co. Ltd. | 164,134 | 27,638,517 | |||
Vodafone Group plc ADR | 1,871,200 | 49,699,072 | |||
TOTAL TELECOMMUNICATION SERVICES | 185,182,198 | ||||
Certified Semi-Annual Report | 27 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2005 (Unaudited) |
Shares/ Principal Amount | Value | |||||
TRANSPORTATION — 3.55% | ||||||
TRANSPORTATION INFRASTRUCTURE — 3.55% | ||||||
China Merchants Hldgs Intl. Co. Ltd. | 22,725,000 | $ | 44,580,248 | |||
Fraport AG | �� | 1,195,033 | 49,093,177 | |||
TOTAL TRANSPORTATION | 93,673,425 | |||||
UTILITIES — 0.50% | ||||||
ELECTRIC UTILITIES — 0.50% | ||||||
Datang International Power Generation Co. Ltd. | 18,292,500 | 13,251,611 | ||||
TOTAL UTILITIES | 13,251,611 | |||||
TOTAL COMMON STOCK (Cost $ 2,214,144,122) | 2,521,561,458 | |||||
SHORT TERM INVESTMENTS — 3.60% | ||||||
American General Finance Corp., 2.69%, 4/6/2005 | $ | 20,000,000 | 19,992,528 | |||
American General Finance Corp., 2.77%, 4/13/2005 | 6,000,000 | 5,994,460 | ||||
American General Finance Corp., 2.79%, 4/4/2005 | 15,000,000 | 14,996,512 | ||||
American General Finance Corp., 2.79%, 4/8/2005 | 25,000,000 | 24,986,438 | ||||
American General Finance Corp., 2.82%, 4/11/2005 | 13,000,000 | 12,989,817 | ||||
American General Finance Corp., 2.82%, 4/21/2005 | 4,000,000 | 3,993,733 | ||||
Toyota, 2.60%, 4/1/2005 | 7,000,000 | 7,000,000 | ||||
Toyota, 2.75%, 4/5/2005 | 5,000,000 | 4,998,472 | ||||
TOTAL SHORT TERM INVESTMENTS (Cost $ 94,951,960) | 94,951,960 | |||||
TOTAL INVESTMENTS — 99.06% (COST $ 2,309,096,082) | $ | 2,616,513,418 | ||||
OTHER ASSETS LESS LIABILITIES — 0.94% | 24,854,913 | |||||
NET ASSETS — 100.00% | $ | 2,641,368,331 | ||||
Footnote Legend
See notes to financial statements.
+ | Non-income producing. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR | American Depository Receipt |
28 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2005 (Unaudited) |
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/05
Banks | 13.58 | % | |
Pharmaceuticals & Biotechnology | 9.55 | % | |
Diversified Financials | 8.28 | % | |
Food & Staples Retailing | 7.93 | % | |
Energy | 7.72 | % | |
Telecommunication Services | 7.01 | % | |
Media | 6.70 | % | |
Automobiles & Components | 6.19 | % | |
Consumer Durables & Apparel | 5.62 | % | |
Transportation | 3.55 | % | |
Technology Hardware & Equipment | 3.49 | % | |
Insurance | 3.25 | % | |
Software & Services | 3.08 | % | |
Retailing | 2.12 | % | |
Capital Goods | 2.00 | % | |
Food, Beverage & Tobacco | 1.94 | % | |
Materials | 1.51 | % | |
Semiconductors & Semiconductor Equip. | 1.44 | % | |
Utilities | 0.50 | % | |
Other Assets and Cash Equivalents | 4.54 | % |
SUMMARY OF COUNTRY EXPOSURE
As of 3/31/05
U.K | 21.76 | % | |
Germany | 10.99 | % | |
Japan | 9.43 | % | |
France | 7.29 | % | |
South Korea | 7.19 | % | |
Switzerland | 6.29 | % | |
China | 5.71 | % | |
Canada | 4.78 | % | |
Brazil | 4.70 | % | |
Mexico | 3.19 | % | |
Spain | 1.92 | % | |
Denmark | 1.91 | % | |
U.S. | 1.81 | % | |
Ireland | 1.69 | % | |
Bermuda | 1.56 | % | |
Singapore | 1.41 | % | |
Norway | 1.39 | % | |
Portugal | 1.22 | % | |
India | 1.22 | % | |
Other Assets and Cash Equivalents | 4.54 | % |
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Table of Contents
Thornburg International Value Fund | March 31, 2005 (Unaudited) |
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
(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 September 30, 2004 and held until March 31, 2005.
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 Account Value 9/30/04 | Ending Account Value 3/31/05 | Expenses Paid During Period† 9/30/04–3/31/05 | |||||||
Class A Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,126.00 | $ | 7.53 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,017.85 | $ | 7.15 | |||
Class B Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,121.30 | $ | 12.02 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,013.60 | $ | 11.41 | |||
Class C Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,121.80 | $ | 11.46 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,014.13 | $ | 10.88 | |||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,128.40 | $ | 5.24 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.01 | $ | 4.98 | |||
Class R1 Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,125.90 | $ | 7.67 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,017.72 | $ | 7.28 | |||
Class R5 Shares** | |||||||||
Actual | $ | 1,000.00 | $ | 1,018.20 | $ | 4.95 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.02 | $ | 4.96 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.42%; B: 2.27%; C: 2.17%; I: 0.99%; R1: 1.45%; and R5: 0.98%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
** | Effective date of Class R5 was February 1, 2005. |
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.
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Thornburg International Value Fund | March 31, 2005 (Unaudited) |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg International Value Fund versus MSCI EAFE Index (May 28, 1998 to March 31, 2005)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2005 (with sales charge)
1 Yr | 3 Yrs | Since Inception | |||||||
A Shares (Incep: 05/28/98) | 7.12 | % | 3.53 | % | 9.31 | % | |||
B Shares (Incep: 4/03/00) | 6.17 | % | — | 3.22 | % | ||||
C Shares (Incep: 5/28/98) | 10.29 | % | 3.61 | % | 9.08 | % | |||
R1 Shares (Incep: 7/01/03) | 12.16 | % | — | 26.75 | % | ||||
R5 Shares (Incep: 2/01/05) | — | — | 1.82 | % | |||||
MSCI EAFE Index (Since: 05/28/98) | 15.06 | % | (1.15 | )% | 3.22 | % |
Performance data reflects 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 R1 and R5 shares.
The Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East Index (EAFE) is an unmanaged index. It 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 with gross dividends reinvested in U.S. dollars. 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.
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Thornburg International Value Fund | March 31, 2005 (Unaudited) |
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 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.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files 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. The Fund’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, or may be reviewed and 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.
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Trustees’ Statement to Shareholders
February 8, 2005
The Trustees are concerned that recent commentaries and opinions reported in the media may confuse investors in general as to the supervisory duties of trustees of mutual funds and, in particular, leave Thornburg Investment Trust shareholders uncertain regarding how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. We decided to spell out clearly three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf.
We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.
Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders’ returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.
Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.
This statement is submitted for the general information of the shareholders of Thornburg Investment Trust. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money.
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Planning Options
Retirement and Education Accounts
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs – Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 701/2, even if you are covered by an employer retirement plan.
Roth IRAs – Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our web site at www.thornburg.com/ira.
SEP IRAs – Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employee’s SEP IRA on a discretionary basis.
SIMPLE IRAs – Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employee’s SIMPLE IRA. Employees may make salary deferral contributions.
403(b)
A special, tax-advantaged savings vehicle available only to employees of 501(c)(3) organizations, such as charitable, educational, scientific and religious organizations. 403(b) plans are also available to employees of public schools and universities.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
• | Thornburg International Value Fund |
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
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The Firm
Thornburg Investment Management is a privately held investment management company based in Santa Fe, New Mexico with assets under management of over $13 billion. Founded in 1982, the firm manages four equity funds, eight bond funds, and separate portfolios for select institutions and individuals.
Investment Philosophy
We seek to preserve and increase the real wealth of the Funds’ shareholders after accounting for inflation, taxes, and investment expenses. We’re committed to disciplined investing and controlling risk in all market environments through laddered bond and focused equity portfolios.
Portfolio Holdings Disclosure
We believe you should know what is in your portfolio. Our web site keeps investors informed of the Funds’ equity holdings. Go to www.thornburg.com/funds for portfolio manager commentary on our equity fund holdings.
Co-Ownership of Funds
We invest side-by-side with the Funds’ shareholders. Our employees have invested over $100 million in Thornburg Funds.
Core Strategies for Building Wealth
We deliver core strategies to help investors meet long-term goals. A core strategy is a consistent, disciplined and proven investment process that represents the foundation of a diversified portfolio.
INVESTMENT MANAGER
Thornburg Investment Management, Inc.
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
PRINCIPAL UNDERWRITER
Thornburg Securities Corporation
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
www.thornburg.com
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Core Strategies for Building Wealth
Thornburg International Value Fund
I Shares
Informational Brochure and Semi-Annual Report – March 31, 2005
This report and the accompanying brochure are submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/ download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money. Performance data quoted represents past performance and does not guarantee future results.
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Thornburg International Value Fund
Finding Promising Companies at a Discount
The Fund seeks long-term capital appreciation by investing in a portfolio of a limited number of holdings selected on a value basis using fundamental research. As a secondary consideration, the fund also seeks some current income.
The portfolio is diversified to include basic value stocks, but also includes stocks of companies with consistent earnings characteristics and those of emerging franchises, when, in our opinion, these issues are value priced.
Thornburg Bond Funds
• | Thornburg Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term 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 invests in short- and intermediate-term investment grade bonds. We ladder the maturities of individual bonds in the portfolios to moderate risk. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio will mature each year. We apply this disciplined process in all interest rate environments.
Thornburg Equity Funds
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
Thornburg’s equity research uses a fundamental, yet comprehensive, analytical approach. We invest when and where we perceive the most compelling value. Thornburg equity funds focus on a limited number of securities so that each holding can have a material impact on performance. The equity team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic value.
More information at www.thornburg.com
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Important Information
The information presented on the following pages was current as of March 31, 2005. 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.
Shares in the Fund carry risks including possible loss of principal. There are special risks associated with international investing, including currency fluctuations, government regulation, political developments, and differences in liquidity. Risks may be associated with investments in emerging markets including illiquidity and volatility. Additionally, the Fund invests a portion of the assets in small capitalization companies which may increase the risk of greater price fluctuations. Shares in the fund are not deposits or obligations of, or guaranteed or endorsed by, any bank, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any government agency.
Minimum investments for Class I shares are higher than those for other classes.
Morningstar Award
Established in 1988, the Morningstar Fund Manager of the Year Award recognizes portfolio managers who demonstrate excellent investment skill and the courage to differ from the consensus. To qualify for the award, managers must have not only a great year, but also must have a record of delivering outstanding long-term performance and of aligning their interests with shareholders’. The Fund Manager of the Year Award winners are chosen based upon Morningstar’s proprietary research and in-depth evaluation by its senior analysts.
Glossary
The Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East Index (EAFE) – The MSCI EAFE is an unmanaged index. It 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 with gross dividends reinvested in U.S. dollars. 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.
Beta – Beta is a measure of market-related risk. Less than one means the portfolio is less volatile than the index, while greater than one indicates more volatility than the index.
Median Market Capitalization – Market capitalization (market cap) is the total value of a company’s stock, calculated by multiplying the number of outstanding common shares by the current share price. The company whose market cap is in the middle of the portfolio is the median market cap. Half the companies in the portfolio have values greater than the median, and half have values that are less. If there is an even number of companies, then the median is the average of the two companies in the middle.
Price to Book Value (P/B) – A ratio used to compare a stock’s market value to its book value. It is calculated by dividing the current closing price of the stock by the latest quarter’s book value (book value is simply assets minus liabilities).
Price to Cash Flow Ratio – A measure of the market’s expectations of a firm’s future financial health. It is calculated by dividing the price per share by cash flow per share.
Price to Earnings Ratio (P/E) – A valuation ratio of a company’s current share price compared to its per-share earnings. P/E equals a company’s market value per share divided by earnings per share.
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Portfolio Overview
Thornburg International Value Fund
IMPORTANT PERFORMANCE INFORMATION
Performance data quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate so that upon redemption, investor’s shares may be worth more or less than their original cost. Current performance may be lower or higher than the data quoted. For performance data current to the most recent month end, visit www.thornburg.com.
There is no up-front sales charge for class I shares.
MANAGEMENT TEAM
Front row, L to R: Wendy Trevisani, Bill Fries, Brad Kinkelaar, and Brian McMahon. Back row, L to R: Thomas Garcia, Ed Maran, Lei Wang, Lewis Kaufman, and Vin Walden.
KEY PORTFOLIO ATTRIBUTES
Portfolio P/E* | 19.2x | |||
Portfolio Price to Cash Flow* | 8.7 | |||
Portfolio Price to Book Value* | 2.4 | |||
Median Market Cap* | $ | 12.33 B | ||
3-Year Beta (Thornburg vs. MSCI EAFE) | 0.92 | |||
Holdings | 52 | |||
Emerging Markets Exposure | 22.0 | % |
* | Source: Russell Mellon Analytical Services. |
During the fiscal six month period ended March 31, 2005, international stocks continued to perform well as the Thornburg International Value Fund I shares posted a positive total return of 12.84% and the MSCI EAFE Index returned 15.13%. Positive performance was primarily derived from the first half of the period when stocks rallied during the last calendar quarter of 2004. The Fund found the most success in financial and technology stocks as well as individual holdings from a diverse group of countries.
Financial stocks, including diversified financials and banks, remained the largest weighting in the portfolio during the period. In particular, the banks industry group presented diverse opportunity from a regional and business standpoint. During the period we owned eight different banking stocks from five different countries (from Asia to Europe), that included small regional banks and very large global commercial banks. Banks represented our largest positive contributor to relative and absolute performance, primarily because of strong returns from Bank of Fukuoka Ltd., a regional bank serving the city of Fukuoka, Japan, and Lloyds TSB Group plc, an English bank offering retail and corporate banking services. Diversified financials, although not as large a weight in the portfolio, had just as much impact on positive performance as the bank holdings, particularly due to the performance of long time holdings Deutsche Börse AG and Euronext NV. Deutsche Börse operates the Frankfurt stock exchange, and Euronext is the largest pan European securities trading exchange. Both stocks benefited from increased market volatility and derivative trading. In addition, the battle for the London Stock Exchange has highlighted the low valuations of both Deutsche Börse and Euronext, renewing investor interest in the companies.
AVERAGE ANNUAL TOTAL RETURNS*
FOR PERIODS ENDED MARCH 31, 2005
1Q ‘05 | 1 Yr | 3 Yrs | Since Inception | |||||||||
I Shares (Incep: 3/30/01) | 0.05 | % | 12.65 | % | 11.96 | % | 9.49 | % | ||||
MSCI EAFE Index (Since: 3/30/01) | (0.17 | )% | 15.06 | % | 11.64 | % | 6.21 | % |
* | Periods under one year are not annualized. |
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Another area of relative strength for the portfolio was technology. Software and services holdings Amdocs and Infosys Technologies performed well. Amdocs provides customer care and billing software to telecommunications companies around the world, and Infosys Technologies provides IT consulting and software services. Infosys was sold from the portfolio in November, when it reached the target price.
Consumer discretionary stocks represented a large portion of the portfolio and included a diverse group of stocks from several industries including automobiles and components, media, retailing, and consumer durables. Because of the larger weighting than the index and the slight underperformance as a group, consumer discretionary stocks were a drag on relative portfolio performance. There were some strong individual performances, including auto makers Hero Honda Motors Ltd. in China and Hyundai Motor Co. in South Korea, which both posted significant gains during the period. Media holding Rogers Communications Inc. of Canada also had strong performance. The main detractor in the sector was apparel company Puma AG.
The Fund remains concentrated with 52 total holdings, yet diversified, as those holdings represent exposure to 19 different industry groups, and 19 different countries. Market cap exposure is spread across small, mid, and large cap stocks with a bias towards large cap (stocks with market caps above $8 billion), and emerging market exposure is currently a modest 22%.
The focus of the portfolio continues to remain on utilizing the same disciplined bottom-up strategy of seeking promising companies at a discount.
PERFORMANCE IMPACT FOR SIX MONTHS ENDED 3/31/05
Top Contributors | Top Detractors | |
Deutsche Börse AG | Toyota Motor Corp. | |
Rogers Communications Inc. | Datang Intl Power Generation Co. | |
Petroleo Brasileiro SA | Puma AG | |
Euronext NV | Tandberg ASA | |
Bank of Fukuoka Ltd. | Kingfisher plc |
Source: Thompson Portfolio Analytics
TOP TEN HOLDINGS
Deutsche Börse AG | 3.2 | % | |
Sanofi-Aventis | 3.1 | % | |
BP Amoco ADR | 2.8 | % | |
UBS AG | 2.7 | % | |
Petroleo Brasileiro SA | 2.7 | % | |
Tesco plc | 2.6 | % | |
Shaw Communications Inc. | 2.5 | % | |
GlaxoSmithKline plc | 2.5 | % | |
Lloyds TSB Group plc | 2.4 | % | |
Euronext NV | 2.4 | % |
TOP TEN COUNTRIES
U.K. | 21.7 | % | |
Germany | 11.0 | % | |
Japan | 9.4 | % | |
France | 7.3 | % | |
South Korea | 7.2 | % | |
Switzerland | 6.3 | % | |
China | 5.7 | % | |
Canada | 4.8 | % | |
Brazil | 4.7 | % | |
Mexico | 3.2 | % |
TOP TEN INDUSTRIES
Banks | 13.6 | % | |
Pharmaceuticals & Biotechnology | 9.6 | % | |
Diversified Financials | 8.3 | % | |
Food & Staples Retailing | 7.9 | % | |
Energy | 7.7 | % | |
Telecommunication Services | 7.0 | % | |
Media | 6.7 | % | |
Automobiles & Components | 6.2 | % | |
Consumer Durables & Apparel | 5.6 | % | |
Transportation | 3.6 | % |
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Thornburg International Value Fund
Finding Promising Companies at a Discount
Investing is an art. It is also a science. It requires vision and precision – the vision to recognize opportunity and the precision to use that opportunity to achieve a specific goal.
The greatest success comes to those who strike a balance between the two.
Thornburg International Value Fund strikes such a balance.
The Fund seeks to find bargains in overseas markets. It differs from other international equity funds in two key ways. First, it focuses on a limited number of stocks; and second, it takes a more inclusive approach to value investing. This unique strategy has provided shareholders with superior returns since the Fund’s inception in 1998, and has earned portfolio manager Bill Fries the distinction of Morningstar’s 2003 International Fund Manager of the Year.
Fries’ unassuming and quiet demeanor belies his fierce determination to recognize value and harness it for his shareholders. He brings more than thirty years of investment experience to the process. He also brings a commitment to fundamental, hands-on research. He and his team of associate portfolio managers are dedicated to a collaborative approach in identifying and analyzing investment ideas. They scour the globe to find the world’s most profitable companies. The investment committee is, in Fries’ words, “in continuous session.” Everybody’s idea is important. “Combining promise and discount valuation” is the team’s mantra.
In managing Thornburg International Value Fund, Fries takes a conservative, bottom-up approach to stock selection. The Fund is not predisposed to a geographical region or industry type. And it recognizes no “false gods.” Fries and his associates use a combination of traditional value screens, financial analysis, collaborative research, and on-site company visits to gauge the intrinsic value of a company and to estimate its potential for significant future earnings growth. Their goal is to maintain a portfolio of 45–55 companies diversified by sector, country, region, and economic sensitivity, with no one industry accounting for more than 25% of the Fund’s portfolio, and no one stock comprising more than 5.0%.
Because of the limited number of stocks in the portfolio, every holding counts. Once a company has survived the team’s initial screens, the managers then expand their analysis of what is behind its revenue and cash-generating model. And they take the time to get to know the company, its people and its corporate culture. At the time of purchase, the managers set 12–18 month price targets for each stock. They review those targets as the fundamentals of the stocks change during the course of ownership.
The bottom line? By engendering a wide-open, collegial environment, Fries ensures that information flows freely and that the Fund benefits from the best of the team’s thinking. And because the Fund’s advisor, Thornburg Investment Management, is located in Santa Fe, New Mexico, the portfolio team avoids the tendency to be trapped by Wall Street’s “pack” instinct. While they have access to the best of Wall Street’s analysis, they are not ruled by it. Their distance from the pack serves to fortify independent and objective thinking.
Foreign markets now account for 49% of world market capitalization. Some markets do not move in sync. When one is up, often another is down. Losses in one may be offset by gains in another. Limiting the number of companies in the portfolio and employing a rigorous sell discipline has enabled the Thornburg team to strike a balance between risk and reward and allow shareholders in Thornburg International Value Fund to enjoy reasonable rates of growth and still sleep at night.
6 This page is not part of the Semi-Annual Report.
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Certified Semi-Annual Report
Thornburg International Value Fund
I Shares – March 31, 2005
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semi-annual shareholder reports fully and fairly represents their financial position.
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William V. Fries, CFA
Portfolio Manager
April 25, 2005
Results for the six month period ended March 31 were gratifying. At the beginning of the period NAV per I share was $18.48. At the end of the period NAV per share was $20.74. Total return for Class I shares was 12.84% compared with 15.13% for the MSCI EAFE benchmark. The Fund trailed the benchmark primarily as a result of weakness in a handful of consumer discretionary holdings such as Toyota and Puma, and from having very little exposure to the materials sector which helped drive index performance during the period.
Global markets recorded healthy gains since the Fund’s September fiscal year end, capped off with a relief rally in February following the successful Iraqi elections. European stock markets rose steadily through much of the period, but lost momentum in March as the biggest economies on the continent experienced slowing economic growth. The strength in European stock markets did not completely translate into gains for U.S. investors. A decline in currency values since December offset some of the gains recorded in local markets. Japan and Australia recorded market advances as well, with the latter reflecting its strength as a natural resource exporter. Among Asia’s emerging markets, South Korea was a standout, especially in the New Year, advancing while most other emerging country markets in the region declined. Valuation was more a factor here than a material change in business fundamentals.
Oil price increases continued to impact both markets and company earnings. Good for producers, bad for users. Industrial manufacturers and commodity processors such as steel and chemical companies enjoyed strong performance as well, although near the end of the period, concern with the potential impact of a global economic slowdown began to be reflected in these economically sensitive issues. The technology sector showed few signs of a rebound, although internet and mobile communications related businesses around the world continued to experience robust activity.
The International Value Fund performance benefited from good performance of stocks in several different sectors and industries. Exceptional returns were registered from our two European securities exchange holdings, Deutsche Börse AG and Euronext NV. Both companies indicated a desire to acquire the London Stock Exchange (LSE), but have demonstrated the discipline to avoid overpaying. Recognition of the valuation discount for these unique cash generating franchises became apparent to investors as the negotiations to acquire the LSE became public. Several other financial service sector stocks also did well. UBS AG in Switzerland, Bank of Fukuoka Ltd. in Japan and two South Korean Banks, Shinhan Financial Group Co. and Kookmin Bank, were prominent gainers. Among energy holdings, Petroleo Brasileiro SA ADR (Petrobras) was the standout performer. Media/communications holdings Shaw Communications Inc. and Rogers Communications Inc., both Canadian and American Movil SA de C.V., the leading Mexican cellular phone service provider, continue to do well, both in stock performance and in business execution. Amdocs Ltd., a provider of software service to the communications industry, continued to benefit from its industry leading position. In the consumer products area, Cadbury Schweppes plc was the best performer on the strength of its non-carbonated beverage business. Pharmaceutical holdings Sanofi-Aventis and GlaxoSmithKline plc performed better than industry peers in part because of low valuation. Issues that declined during the period were off only modestly. Prominent decliners included Toyota Motor Corp., Beijing Datang International Power Generation Co. Ltd., Puma, and Tandberg ASA (Norwegian, leader in business video conferencing technology).
The value of currencies can have an impact on portfolio performance as stock prices in local currencies are translated into dollars. A recent example is the impact of the dollar rally since the end of 2004. Rising local markets in Europe did not completely flow through to the benefit of U.S. based investors. As an example, the German market since the end of December 2004 recorded a gain of 2.27% through March 31, 2005. For U.S. investors, however, when adjusted for the 4% decline in the value of the Euro through March 31, 2005, the gain was diminished to a loss of (2.21)%. It is possible to neutralize some of this exogenous volatility effect through currency hedging (buying dollars at today’s rate for delivery in the future). Where and when it seems appropriate to
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modify the impact of currency fluctuations on the effectiveness of individual stock selection, we can and have used currency hedging effectively. At March 31, 2005, we were approximately 50% hedged on the three principal European currencies and near fully hedged on the Mexican Peso and Indian Rupee.
During the six months since September 30, 2004, twelve names were sold from the portfolio and twelve new holdings were added. A broad spectrum of economic activity and geography was represented in this activity, with pharmaceutical issues being a noteworthy area of some focus. Following are brief comments on our most recent purchases.
Singapore Telecommunications Ltd. provides full service communications in its home market, including cellular and broadband. It is growing slowly there, but pays a good dividend and has made material mobile communications investments in Australia (Optus), India (Bharti), Indonesia (Telkomsel) and other emerging markets where cellular penetration is lower and growth faster. Carrefour SA is the leading French-based supermarket chain. The domestic business has been losing ground in a very competitive environment in France, which has eliminated the stock’s long held premium reputation and valuation. New management from one of the company’s acquired entities is attempting to rationalize the business and regain past stature. A successful effort will be rewarding to shareholders. Promotora de Informaciones (commonly known as Prisa), is the leading media company in Spain, publishing El Pais, owning radio and TV stations and holding a 20% + stake in Sogecable, the nation’s leading pay per view cable TV company. Operating earnings and cash flow enhancement opportunities include both cost cutting and revenue generation. A radio JV with Televisa in Mexico and other Latin American countries and a bigger stake in Sogecable hold interesting promise. Novo Nordisk is an established Danish biotechnology company with a franchise among diabetics. In addition to insulin, the company’s clotting product, NovoSeven, could get a growth spurt if approved by the FDA for treatment of trauma and intercerebral hemorrhage in addition to its current indication for hemophelia. The company is not subject to patent expiration issues.
Our website at www.thornburg.com/funds has summary descriptions of these and the other portfolio holdings. The website also has other commentary you may find useful in tracking your investments.
Investor confidence has diminished due to a number of factors including high oil prices, slow economic growth in major economies on the European continent, and concern that the U.S. economy may slow. Despite the legitimacy of these concerns, sentiment regarding the sustainability of global economic expansion would likely improve materially with any decline in oil prices and revaluation upward of Asian currencies. Both are possible, although the success of our investments does not depend on this eventuality.
Thank you for your trust and confidence.
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.
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STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg International Value Fund | March 31, 2005 (Unaudited) |
ASSETS | |||
Investments at value (cost $2,309,096,082) | $ | 2,616,513,418 | |
Cash | 1,522,592 | ||
Cash denominated in foreign currency (cost $4,922,219) | 4,911,922 | ||
Receivable for fund shares sold | 26,212,213 | ||
Dividends receivable | 13,920,456 | ||
Prepaid expenses and other assets | 179,954 | ||
Total Assets | 2,663,260,555 | ||
LIABILITIES | |||
Payable for securities purchased | 1,490,325 | ||
Payable for fund shares redeemed | 2,449,584 | ||
Unrealized loss on forward exchange contracts (Note 6) | 13,280,313 | ||
Payable to investment advisor and other affiliates (Note 3) | 2,665,959 | ||
Deferred tax payable | 202,278 | ||
Accounts payable and accrued expenses | 1,803,765 | ||
Total Liabilities | 21,892,224 | ||
NET ASSETS | $ | 2,641,368,331 | |
NET ASSETS CONSIST OF: | |||
Undistributed net investment gain (loss) | $ | 3,169,201 | |
Net unrealized appreciation on investments, net of deferred taxes payable of $202,278 | 293,131,693 | ||
Accumulated net realized gain (loss) | 6,541,921 | ||
Net capital paid in on shares of beneficial interest | 2,338,525,516 | ||
$ | 2,641,368,331 | ||
NET ASSET VALUE: | |||
Class A Shares: | |||
Net asset value and redemption price per share ($1,580,850,030 applicable to 77,507,198 shares of beneficial interest outstanding - Note 4) | $ | 20.40 | |
Maximum sales charge, 4.50% of offering price | 0.96 | ||
Maximum offering price per share | $ | 21.36 | |
Class B Shares: | |||
Net asset value and offering price per share * ($34,996,223 applicable to 1,794,233 shares of beneficial interest outstanding - Note 4) | $ | 19.50 | |
Class C Shares: | |||
Net asset value and offering price per share * ($427,126,673 applicable to 21,817,513 shares of beneficial interest outstanding - Note 4) | $ | 19.58 | |
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STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg International Value Fund | March 31, 2005 (Unaudited) |
Class I Shares: | |||
Net asset value, offering and redemption price per share ($548,726,629 applicable to 26,452,168 shares of beneficial interest outstanding - Note 4) | $ | 20.74 | |
Class R1 Shares: | |||
Net asset value, offering and redemption price per share ($49,639,486 applicable to 2,423,593 shares of beneficial interest outstanding - Note 4) | $ | 20.48 | |
Class R5 Shares: | |||
Net asset value, offering and redemption price per share ($29,290 applicable to 1,412 shares of beneficial interest outstanding Note 4) | $ | 20.74 | |
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
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STATEMENT OF OPERATIONS | ||
Thornburg International Value Fund | Six Months Ended March 31, 2005 (Unaudited) |
INVESTMENT INCOME: | ||||
Dividend income (net of foreign taxes withheld of $2,187,062) | $ | 17,895,563 | ||
Interest income | 1,208,512 | |||
Total Income | 19,104,075 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 8,270,224 | |||
Administration fees (Note 3) | ||||
Class A Shares | 791,310 | |||
Class B Shares | 17,899 | |||
Class C Shares | 209,670 | |||
Class I Shares | 107,526 | |||
Class R1 Shares | 18,157 | |||
Class R5 Shares | 1 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 1,588,876 | |||
Class B Shares | 143,575 | |||
Class C Shares | 1,682,192 | |||
Class R1 Shares | 73,332 | |||
Transfer agent fees | ||||
Class A Shares | 836,350 | |||
Class B Shares | 31,050 | |||
Class C Shares | 206,305 | |||
Class I Shares | 107,325 | |||
Class R1 Shares | 23,790 | |||
Class R5 Shares | 1,947 | |||
Registration and filing fees | ||||
Class A Shares | 46,924 | |||
Class B Shares | 7,784 | |||
Class C Shares | 18,592 | |||
Class I Shares | 33,626 | |||
Class R1 Shares | 12,524 | |||
Class R5 Shares | 3,633 | |||
Custodian fees (Note 3) | 662,999 | |||
Professional fees | 64,955 | |||
Accounting fees | 95,020 | |||
Trustee fees | 23,320 | |||
Other expenses | 369,983 | |||
Total Expenses | 15,448,889 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (129,453 | ) | ||
Fees paid indirectly (Note 3) | (3,549 | ) | ||
Net Expenses | 15,315,887 | |||
Net Investment Income | $ | 3,788,188 | ||
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STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg International Value Fund | Six Months Ended March 31, 2005 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments | $ | 17,353,009 | ||
Foreign currency transactions | (7,547,690 | ) | ||
9,805,319 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments, net of change in deferred taxes payable of $(293,440) | 214,244,337 | |||
Foreign currency translation | (10,805,966 | ) | ||
203,438,371 | ||||
Net Realized and Unrealized Gain | 213,243,690 | |||
Net Increase in Net Assets Resulting From Operations | $ | 217,031,878 | ||
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg International Value Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | ||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | |||||||
OPERATIONS: | |||||||
Net investment income gain | $ | 3,788,188 | $ | 6,816,361 | |||
Net realized gain on investments and foreign currency transactions | 9,805,319 | 21,723,437 | |||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments, foreign currency translation, and deferred taxes | 203,438,371 | 61,424,573 | |||||
Net Increase in Net Assets Resulting from Operations | 217,031,878 | 89,964,371 | |||||
DIVIDENDS TO SHAREHOLDERS: | |||||||
From net investment income | |||||||
Class A Shares | (4,434,070 | ) | 0 | ||||
Class C Shares | (122,294 | ) | 0 | ||||
Class I Shares | (2,356,216 | ) | 0 | ||||
Class R1 Shares | (123,918 | ) | 0 | ||||
FUND SHARE TRANSACTIONS - (Note 4) | |||||||
Class A Shares | 503,619,080 | 797,028,763 | |||||
Class B Shares | 9,870,931 | 14,140,582 | |||||
Class C Shares | 149,390,435 | 172,158,420 | |||||
Class I Shares | 212,777,422 | 242,069,929 | |||||
Class R1 Shares | 36,127,986 | 10,904,969 | |||||
Class R5 Shares | 29,965 | 0 | |||||
Net Increase in Net Assets | 1,121,811,199 | 1,326,267,034 | |||||
NET ASSETS: | |||||||
Beginning of period | 1,519,557,132 | 193,290,098 | |||||
End of period | $ | 2,641,368,331 | $ | 1,519,557,132 | |||
See notes to financial statements.
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NOTES TO FINANCIAL STATEMENTS | ||
Thornburg International Value Fund | March 31, 2005 (Unaudited) |
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 Limited Term Municipal Fund, Thornburg California 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 primarily in both foreign and domestic equity securities selected on a value basis.
The Fund currently offers six classes of shares of beneficial interest, Class A, Class B, Class C, Institutional Class (Class I), and Retirement Class (Class R1) and (Class R5) 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 R1 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, (vi) Class R5 shares are sold at net asset value without a sales charge at the time of purchase, and (vii) 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 Trust 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.
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 Trust to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all taxable income, including any net realized gain on investments, of the Fund, to the shareholders. Therefore, no provision for Federal income taxes 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 and or market changes. At the time the Trust makes a commitment
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2005 (Unaudited) |
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 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: 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 period ended March 31, 2005, these fees were payable at annual rates ranging from .875 of 1% to .675 of 1% per annum 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% per annum of the average daily net assets attributable to each class of shares. For the period ended March 31, 2005, the Advisor voluntarily reimbursed certain class specific expenses and administrative fees of $4,496 for Class B shares, $71,238 for Class I shares, $48,140 for Class R1 shares, and $5,579 for Class R5 shares.
The Trust 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 period ended March 31, 2005, the Distributor has advised the Fund that it earned net commissions aggregating $176,041 from the sale of Class A shares of the Fund, and collected contingent deferred sales charges aggregating $28,164 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 Trust has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Fund’s Class B, Class C, and Class R1, shares under which the Fund compensates the Distributor for services in promoting the sale of Class B, Class C, and Class R1 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 B, Class C, and Class R1 shares. Total fees incurred by the Distributor for each class of shares of the Fund under their respective service and distribution plans for the period ended March 31, 2005, are set forth in the Statement of Operations.
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 March 31, 2005, fees paid indirectly were $3,549.
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.
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2005 (Unaudited) |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2005, there were an unlimited number of shares of beneficial interest authorized. Sale of Class R5 shares commenced February 1, 2005. Transactions in shares of beneficial interest were as follows:
Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 32,237,667 | $ | 641,401,402 | 51,167,423 | $ | 894,268,597 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 151,574 | 3,092,104 | — | — | ||||||||||
Shares repurchased** | (7,073,240 | ) | (140,874,426 | ) | (5,531,059 | ) | (97,239,834 | ) | ||||||
Net Increase (Decrease) | 25,316,001 | $ | 503,619,080 | 45,636,364 | $ | 797,028,763 | ||||||||
** The Fund charges a redemption fee of 1% of the Class A shares exchanged within 90 days of purchase. For the period ended March 31, 2005 and year ended September 30, 2004, $47,597 and $51,074, respectively, were netted in the amount reported for shares repurchased.
|
| |||||||||||||
Class B Shares | ||||||||||||||
Shares sold | 555,626 | $ | 10,557,089 | 897,624 | $ | 15,193,868 | ||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||
Shares repurchased | (36,563 | ) | (686,158 | ) | (62,324 | ) | (1,053,286 | ) | ||||||
Net Increase (Decrease) | 519,063 | $ | 9,870,931 | 835,300 | $ | 14,140,582 | ||||||||
Class C Shares | ||||||||||||||
Shares sold | 8,543,119 | $ | 162,774,590 | 10,858,583 | $ | 184,217,626 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 3,755 | 73,670 | — | — | ||||||||||
Shares repurchased | (703,519 | ) | (13,457,825 | ) | (716,792 | ) | (12,059,206 | ) | ||||||
Net Increase (Decrease) | 7,843,355 | $ | 149,390,435 | 10,141,791 | $ | 172,158,420 | ||||||||
Class I Shares | ||||||||||||||
Shares sold | 11,830,521 | $ | 238,377,324 | 14,591,120 | $ | 258,463,205 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 89,135 | 1,847,766 | — | — | ||||||||||
Shares repurchased** | (1,351,996 | ) | (27,447,668 | ) | (921,861 | ) | (16,393,276 | ) | ||||||
Net Increase (Decrease) | 10,567,660 | $ | 212,777,422 | 13,669,259 | $ | 242,069,929 | ||||||||
** The Fund charges a redemption fee of 1% of the Class I shares exchanged within 90 days of purchase. For the period ended March 31, 2005 and year ended September 30, 2004, $14,820 and $18,249, respectively, were netted in the amount reported for shares repurchased.
|
| |||||||||||||
Class R1 Shares | ||||||||||||||
Shares sold | 1,989,529 | $ | 39,762,145 | 686,300 | $ | 12,209,648 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 2,555 | 52,352 | — | — | ||||||||||
Shares repurchased | (181,568 | ) | (3,686,511 | ) | (73,228 | ) | (1,304,679 | ) | ||||||
Net Increase (Decrease) | 1,810,516 | $ | 36,127,986 | 613,072 | $ | 10,904,969 | ||||||||
Certified Semi-Annual Report 17
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2005 (Unaudited) |
Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||||||
Shares | Amount | Shares | Amount | |||||||||
Class R5 Shares* | ||||||||||||
Shares sold | 1,414 | $ | 29,996 | — | $ | — | ||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||
Shares repurchased | (2 | ) | (31 | ) | — | — | ||||||
Net Increase (Decrease) | 1,412 | $ | 29,965 | — | $ | — | ||||||
* | Effective date of Class R5 was February 1, 2005. |
NOTE 5 – SECURITIES TRANSACTIONS
For the period ended March 31, 2005, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $1,148,741,865 and $272,757,499, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2005, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 2,309,295,626 | ||
Gross unrealized appreciation on a tax basis | $ | 321,521,827 | ||
Gross unrealized depreciation on a tax basis | (14,304,035 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 307,217,792 | ||
At March 31, 2005, 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.
NOTE 7 – FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK
During the period ended March 31, 2005, 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: | ||||||
103,000,000 | Swiss Franc for 85,134,521 USD, August 10, 2005 | $ | (1,801,371 | ) | ||
55,000,000 | Euro Dollar for 67,551,000 USD, April 6, 2005 | (3,779,103 | ) | |||
41,000,000 | Euro Dollar for 50,250,010 USD, April 15, 2005 | (2,933,276 | ) | |||
50,000,000 | Pound Sterling for 92,776,250 USD, July 11, 2005 | (1,186,438 | ) | |||
65,000,000 | Pound Sterling for 121,600,700 USD July 29, 2005 | (472,119 | ) | |||
1,900,000,000 | Indian Rupee for 40,921,818 USD April 6, 2005 | (2,572,368 | ) | |||
450,000,000 | Mexican Peso for 38,409,013 USD April 6, 2005 | (1,801,691 | ) | |||
250,000,000 | Mexican Peso for 21,321,052 June 14, 2005 | (717,761 | ) | |||
70,000,000 | Mexican Peso for 5,964,045 July 11, 2005 | (177,536 | ) | |||
210,000,000 | Mexican Peso for 18,112,817 August 10, 2005 | (216,905 | ) | |||
Unrealized loss from forward Sell contracts: | (15,658,568 | ) | ||||
77,000,000 | Euro Dollar for 101,843,280 USD, July 11, 2005 | 1,713,642 | ||||
100,000,000 | Euro Dollar for 130,790,000 USD, July 29, 2005 | 664,612 | ||||
Unrealized gain from forward Sell contracts: | 2,378,254 | |||||
Net unrealized gain (loss) from forward Sell contracts: | $ | (13,280,314 | ) | |||
CONTRACTS TO BUY: | ||||||
55,000,000 | Euro Dollar for 71,739,250 USD, April 6, 2005 | $ | (409,147 | ) | ||
41,000,000 | Euro Dollar for 53,482,450 USD, April 15, 2005 | (299,164 | ) | |||
800,000,000 | Indian Rupee for 18,371,799 USD, April 6, 2005 | (58,458 | ) | |||
Net unrealized loss from forward Buy contracts: | $ | (766,769 | ) | |||
Net unrealized gain (loss) from forward Exchange contracts: | $ | (14,047,083 | ) | |||
18 Certified Semi-Annual Report
Table of Contents
FINANCIAL HIGHLIGHTS | ||
Thornburg International Value Fund | (Unaudited)* |
*Six Months Ended 2005 | Year Ended September 30, | Period Ended September 30, 2001(b) | ||||||||||||||||||
2004 | 2003 | 2002 | ||||||||||||||||||
Class I Shares: | ||||||||||||||||||||
PER SHARE PERFORMANCE (for a share outstanding throughout the period)+ | ||||||||||||||||||||
Net asset value, beginning of period | $ | 18.48 | $ | 15.13 | $ | 11.96 | $ | 12.40 | $ | 14.63 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.09 | 0.24 | 0.14 | 0.10 | 0.11 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.28 | 3.11 | 3.03 | (0.54 | ) | (2.21 | ) | |||||||||||||
Total from investment operations | 2.37 | 3.35 | 3.17 | (0.44 | ) | (2.10 | ) | |||||||||||||
Less dividends from: | ||||||||||||||||||||
Net investment income | (0.11 | ) | — | — | — | (0.08 | ) | |||||||||||||
Return of capital | — | — | — | — | (0.05 | ) | ||||||||||||||
Total dividends | (0.11 | ) | — | — | — | (0.13 | ) | |||||||||||||
Change in net asset value | 2.26 | 3.35 | 3.17 | (0.44 | ) | (2.23 | ) | |||||||||||||
NET ASSET VALUE, end of period | $ | 20.74 | $ | 18.48 | $ | 15.13 | $ | 11.96 | $ | 12.40 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Total return (c) | 12.84 | % | 22.14 | % | 26.51 | % | (3.55 | )% | (14.50 | )% | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 0.85 | %(a) | 1.35 | % | 1.07 | % | 0.71 | % | 1.57 | %(a) | ||||||||||
Expenses, after expense reductions | 0.99 | %(a) | 0.99 | % | 0.99 | % | 0.99 | % | 0.97 | %(a) | ||||||||||
Expenses, after expense reductions and net of custody credits | 0.99 | %(a) | 0.99 | % | 0.99 | % | 0.99 | % | — | |||||||||||
Expenses, before expense reductions | 1.02 | %(a) | 1.11 | % | 1.25 | % | 1.28 | % | 1.38 | %(a) | ||||||||||
Portfolio turnover rate | 13.73 | % | 35.84 | % | 58.35 | % | 28.39 | % | 61.05 | % | ||||||||||
Net assets at end of period (000) | $ | 548,727 | $ | 293,583 | $ | 33,511 | $ | 19,187 | $ | 11,249 |
(a) | Annualized. |
(b) | Effective date of Class I Shares was March 30, 2001. |
(c) | Not annualized for periods less than one year. |
+ | Based on weighted average shares outstanding. |
Certified Semi-Annual Report 19
Table of Contents
SCHEDULE OF INVESTMENTS | ||
Thornburg International Value Fund | March 31, 2005 (Unaudited) |
CUSIPS: CLASS A - 885-215-657, CLASS B - 885-215-616, CLASS C - 885-215-640, CLASS I - 885-215-566, CLASS R1 - 885-215-525, CLASS R5 - 885-215-368
NASDAQ SYMBOLS: CLASS A - TGVAX, CLASS B - THGBX, CLASS C - THGCX, CLASS I - TGVIX, CLASS R1 - TGVRX, CLASS R5 - TIVRX
Shares/ Principal Amount | Value | ||||
COMMON STOCK — 95.46% | |||||
AUTOMOBILES & COMPONENTS — 6.19% | |||||
AUTOMOBILES — 6.19% | |||||
Bayerische Motoren Werke AG | 1,134,276 | $ | 51,554,055 | ||
Hero Honda Motors Ltd. | 1,536,700 | 19,288,805 | |||
Hyundai Motor Co. | 788,900 | 42,727,228 | |||
Toyota Motor Corp. | 1,343,600 | 49,997,333 | |||
TOTAL AUTOMOBILES & COMPONENTS | 163,567,421 | ||||
BANKS — 13.58% | |||||
COMMERCIAL BANKS — 13.58% | |||||
Bank of Fukuoka Ltd. | 8,584,300 | 53,879,542 | |||
Bank of Ireland Group | 2,830,300 | 44,702,913 | |||
Barclays plc | 5,772,100 | 58,972,281 | |||
ICICI Bank Ltd. | 832,737 | 7,494,061 | |||
ICICI Bank Ltd. Sponsored ADR | 269,000 | 5,573,680 | |||
Kookmin Bank | 1,090,800 | 48,712,733 | |||
Lloyds TSB Group plc | 6,987,400 | 63,075,444 | |||
Mitsubishi Tokyo Financial Group | 5,035 | 43,670,319 | |||
Shinhan Financial Group Co. | 1,221,200 | 32,709,640 | |||
TOTAL BANKS | 358,790,613 | ||||
CAPITAL GOODS — 2.00% | |||||
AEROSPACE & DEFENSE — 2.00% | |||||
Embraer Brasileira de Aeronaut ADR | 1,685,028 | 52,741,376 | |||
TOTAL CAPITAL GOODS | 52,741,376 | ||||
CONSUMER DURABLES & APPAREL — 5.62% | |||||
TEXTILES,APPAREL & LUXURY GOODS — 5.62% | |||||
Adidas-Salomon AG | 371,821 | 59,025,865 | |||
Burberry Group plc | 5,607,946 | 43,368,514 | |||
Puma AG | 183,471 | 45,948,701 | |||
TOTAL CONSUMER DURABLES & APPAREL | 148,343,080 | ||||
DIVERSIFIED FINANCIALS — 8.28% | |||||
CAPITAL MARKETS — 2.72% | |||||
UBS AG | 848,580 | 71,690,991 |
20 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2005 (Unaudited) |
Shares/ Principal Amount | Value | ||||
DIVERSIFIED FINANCIAL SERVICES — 5.56% | |||||
Deutsche Börse AG | 1,128,609 | $ | 84,884,339 | ||
Euronext NV | 1,743,897 | 62,075,360 | |||
TOTAL DIVERSIFIED FINANCIALS | 218,650,690 | ||||
ENERGY — 7.72% | |||||
OIL & GAS — 7.72% | |||||
BP Amoco ADR | 1,172,900 | 73,188,960 | |||
China Petroleum & Chemical Corp. | 145,812,000 | 59,358,669 | |||
Petroleo Brasileiro SA ADR | 1,614,700 | 71,337,446 | |||
TOTAL ENERGY | 203,885,075 | ||||
FOOD & STAPLES RETAILING — 7.93% | |||||
FOOD & STAPLES RETAILING — 7.93% | |||||
Carrefour SA | 909,300 | 48,273,757 | |||
FamilyMart Co. Ltd. | 1,560,600 | 45,992,035 | |||
Tesco plc | 11,563,053 | 69,113,525 | |||
Wal Mart De Mexico | 13,113,400 | 45,988,261 | |||
TOTAL FOOD & STAPLES RETAILING | 209,367,578 | ||||
FOOD BEVERAGE & TOBACCO — 1.94% | |||||
FOOD PRODUCTS — 1.94% | |||||
Cadbury Schweppes plc | 5,118,141 | 51,276,036 | |||
TOTAL FOOD BEVERAGE & TOBACCO | 51,276,036 | ||||
INSURANCE — 3.25% | |||||
INSURANCE — 3.25% | |||||
ACE Ltd. | 996,600 | 41,129,682 | |||
Willis Group Holdings Ltd. | 1,214,388 | 44,774,486 | |||
TOTAL INSURANCE | 85,904,168 | ||||
MATERIALS — 1.51% | |||||
CHEMICALS — 1.51% | |||||
Givaudan AG | 62,060 | 39,867,905 | |||
TOTAL MATERIALS | 39,867,905 | ||||
MEDIA — 6.70% | |||||
MEDIA — 6.70% | |||||
Promotora de Informaciones SA | 2,512,700 | 50,797,557 | |||
Rogers Communications Inc. | 2,238,900 | 60,949,016 | |||
Shaw Communications | 3,217,600 | 65,275,000 | |||
TOTAL MEDIA | 177,021,573 | ||||
Certified Semi-Annual Report 21
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2005 (Unaudited) |
Shares/ Principal Amount | Value | ||||
PHARMACEUTICALS & BIOTECHNOLOGY — 9.55% | |||||
PHARMACEUTICALS — 9.55% | |||||
GlaxoSmithKline plc | 2,824,935 | $ | 64,712,186 | ||
Novartis AG ADR | 1,168,600 | 54,667,108 | |||
Novo Nordisk A/S | 907,600 | 50,551,673 | |||
Sanofi-Aventis | 975,600 | 82,295,325 | |||
TOTAL PHARMACEUTICALS & BIOTECHNOLOGY | 252,226,292 | ||||
RETAILING — 2.12% | |||||
SPECIALTY RETAIL — 2.12% | |||||
Kingfisher plc | 10,272,675 | 56,017,323 | |||
TOTAL RETAILING | 56,017,323 | ||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 1.44% | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 1.44% | |||||
Samsung Electronics Co. Ltd. | 77,200 | 38,162,875 | |||
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT | 38,162,875 | ||||
SOFTWARE & SERVICES — 3.08% | |||||
COMMUNICATIONS EQUIPMENT — 1.81% | |||||
Amdocs Ltd.+ | 1,684,400 | 47,836,960 | |||
INTERNET SOFTWARE & SERVICES — 0.50% | |||||
Netease.com Inc.+ | 273,200 | 13,170,972 | |||
SOFTWARE — 0.77% | |||||
Shanda Interactive Entertainment Ltd.+ | 675,900 | 20,412,180 | |||
TOTAL SOFTWARE & SERVICES | 81,420,112 | ||||
TECHNOLOGY HARDWARE & EQUIPMENT — 3.49% | |||||
ELECTRONIC EQUIPMENT & INSTRUMENTS — 1.39% | |||||
Tandberg ASA | 3,507,400 | 36,613,133 | |||
OFFICE ELECTRONICS — 2.10% | |||||
Canon Inc. | 1,036,800 | 55,598,974 | |||
TOTAL TECHNOLOGY HARDWARE & EQUIPMENT | 92,212,107 | ||||
TELECOMMUNICATION SERVICES — 7.01% | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 2.63% | |||||
Portugal Telecom SGPS SA | 2,746,500 | 32,196,162 | |||
Singapore Telecommunications Ltd. | 23,905,000 | 37,356,087 | |||
WIRELESS TELECOMMUNICATION SERVICES — 4.38% | |||||
America Movil S.A. de C.V. | 742,100 | 38,292,360 | |||
SK Telecom Co. Ltd. | 164,134 | 27,638,517 | |||
Vodafone Group plc ADR | 1,871,200 | 49,699,072 | |||
TOTAL TELECOMMUNICATION SERVICES | 185,182,198 | ||||
22 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2005 (Unaudited) |
Shares/ Principal Amount | Value | |||||
TRANSPORTATION — 3.55% | ||||||
TRANSPORTATION INFRASTRUCTURE — 3.55% | ||||||
China Merchants Hldgs Intl. Co. Ltd. | 22,725,000 | $ | 44,580,248 | |||
Fraport AG | 1,195,033 | 49,093,177 | ||||
TOTAL TRANSPORTATION | 93,673,425 | |||||
UTILITIES — 0.50% | ||||||
ELECTRIC UTILITIES — 0.50% | ||||||
Datang International Power Generation Co. Ltd. | 18,292,500 | 13,251,611 | ||||
TOTAL UTILITIES | 13,251,611 | |||||
TOTAL COMMON STOCK (Cost $2,214,144,122) | 2,521,561,458 | |||||
SHORT TERM INVESTMENTS — 3.60% | ||||||
American General Finance Corp., 2.69%, 4/6/2005 | $ | 20,000,000 | 19,992,528 | |||
American General Finance Corp., 2.77%, 4/13/2005 | 6,000,000 | 5,994,460 | ||||
American General Finance Corp., 2.79%, 4/4/2005 | 15,000,000 | 14,996,512 | ||||
American General Finance Corp., 2.79%, 4/8/2005 | 25,000,000 | 24,986,438 | ||||
American General Finance Corp., 2.82%, 4/11/2005 | 13,000,000 | 12,989,817 | ||||
American General Finance Corp., 2.82%, 4/21/2005 | 4,000,000 | 3,993,733 | ||||
Toyota, 2.60%, 4/1/2005 | 7,000,000 | 7,000,000 | ||||
Toyota, 2.75%, 4/5/2005 | 5,000,000 | 4,998,472 | ||||
TOTAL SHORT TERM INVESTMENTS (Cost $94,951,960) | 94,951,960 | |||||
TOTAL INVESTMENTS — 99.06% (COST $2,309,096,082) | $ | 2,616,513,418 | ||||
OTHER ASSETS LESS LIABILITIES — 0.94% | 24,854,913 | |||||
NET ASSETS — 100.00% | $ | 2,641,368,331 | ||||
Footnote Legend
See notes to financial statements.
+ | Non-income producing. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR American Depository Receipt
Certified Semi-Annual Report 23
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2005 (Unaudited) |
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/05
Banks | 13.58 | % | Technology Hardware & Equipment | 3.49 | % | |||
Pharmaceuticals & Biotechnology | 9.55 | % | Insurance | 3.25 | % | |||
Diversified Financials | 8.28 | % | Software & Services | 3.08 | % | |||
Food & Staples Retailing | 7.93 | % | Retailing | 2.12 | % | |||
Energy | 7.72 | % | Capital Goods | 2.00 | % | |||
Telecommunication Services | 7.01 | % | Food, Beverage & Tobacco | 1.94 | % | |||
Media | 6.70 | % | Materials | 1.51 | % | |||
Automobiles & Components | 6.19 | % | Semiconductors & Semiconductor Equip. | 1.44 | % | |||
Consumer Durables & Apparel | 5.62 | % | Utilities | 0.50 | % | |||
Transportation | 3.55 | % | Other Assets and Cash Equivalents | 4.54 | % |
SUMMARY OF COUNTRY EXPOSURE
As of 3/31/05
U.K | 21.76 | % | Canada | 4.78 | % | Bermuda | 1.56 | % | |||||
Germany | 10.99 | % | Brazil | 4.70 | % | Singapore | 1.41 | % | |||||
Japan | 9.43 | % | Mexico | 3.19 | % | Norway | 1.39 | % | |||||
France | 7.29 | % | Spain | 1.92 | % | Portugal | 1.22 | % | |||||
South Korea | 7.19 | % | Denmark | 1.91 | % | India | 1.22 | % | |||||
Switzerland | 6.29 | % | U.S. | 1.81 | % | Other Assets and Cash Equivalents | 4.54 | % | |||||
China | 5.71 | % | Ireland | 1.69 | % |
24 Certified Semi-Annual Report
Table of Contents
EXPENSE EXAMPLE | ||
Thornburg International Value Fund | March 31, 2005 (Unaudited) |
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 September 30, 2004 and held until March 31, 2005.
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 Account Value | Ending Account Value 3/31/05 | Expenses Paid During Period† 9/30/04–3/31/05 | |||||||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,128.40 | $ | 5.24 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.01 | $ | 4.98 |
† | 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 182/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
Certified Semi-Annual Report 25
Table of Contents
INDEX COMPARISON | ||
Thornburg International Value Fund | March 31, 2005 (Unaudited) |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg International Value Fund versus MSCI EAFE Index (March 30, 2001 to March 31, 2005)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2005
1 Yr | Since Inception | |||||
I Shares (Incep: 3/30/01) | 12.65 | % | 9.49 | % | ||
MSCI EAFE Index (Since: 3/30/01) | 15.06 | % | 6.21 | % |
Performance data reflects 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. It 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 with gross dividends reinvested in U.S. dollars. 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.
26 Certified Semi-Annual Report
Table of Contents
OTHER INFORMATION | ||
Thornburg International Value Fund | March 31, 2005 (Unaudited) |
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 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.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files 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. The Fund’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, or may be reviewed and 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.
Certified Semi-Annual Report 27
Table of Contents
Trustees’ Statement to Shareholders
February 8, 2005
The Trustees are concerned that recent commentaries and opinions reported in the media may confuse investors in general as to the supervisory duties of trustees of mutual funds and, in particular, leave Thornburg Investment Trust shareholders uncertain regarding how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. We decided to spell out clearly three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf.
We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.
Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders’ returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.
Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.
This statement is submitted for the general information of the shareholders of Thornburg Investment Trust. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money.
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Planning Options
Retirement and Education Accounts
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs – Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 70 1/2, even if you are covered by an employer retirement plan.
Roth IRAs – Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our web site at www.thornburg.com/ira.
SEP IRAs – Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employee’s SEP IRA on a discretionary basis.
SIMPLE IRAs – Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employee’s SIMPLE IRA. Employees may make salary deferral contributions.
403(b)
A special, tax-advantaged savings vehicle available only to employees of 501(c)(3) organizations, such as charitable, educational, scientific and religious organizations. 403(b) plans are also available to employees of public schools and universities.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
Thornburg International Value Fund
Thornburg Value Fund
Thornburg Core Growth Fund
Thornburg Investment Income Builder Fund
Thornburg Limited Term U.S. Government Fund
Thornburg Limited Term Income Fund
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The Firm
Thornburg Investment Management is a privately held investment management company based in Santa Fe, New Mexico with assets under management of over $13 billion. Founded in 1982, the firm manages four equity funds, eight bond funds, and separate portfolios for select institutions and individuals.
Investment Philosophy
We seek to preserve and increase the real wealth of the Funds’ shareholders after accounting for inflation, taxes, and investment expenses. We’re committed to disciplined investing and controlling risk in all market environments through laddered bond and focused equity portfolios.
Portfolio Holdings Disclosure
We believe you should know what is in your portfolio. Our web site keeps investors informed of the Funds’ equity holdings. Go to www.thornburg.com/funds for portfolio manager commentary on our equity fund holdings.
Co-Ownership of Funds
We invest side-by-side with the Funds’ shareholders. Our employees have invested over $100 million in Thornburg Funds.
Core Strategies for Building Wealth
We deliver core strategies to help investors meet long-term goals. A core strategy is a consistent, disciplined and proven investment process that represents the foundation of a diversified portfolio.
INVESTMENT MANAGER
Thornburg Investment Management, Inc.
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
PRINCIPAL UNDERWRITER
Thornburg Securities Corporation
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
www.thornburg.com
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Core Strategies for Building Wealth
Thornburg Core Growth Fund
Informational Brochure and Semi-Annual Report - March 31, 2005
This report and the accompanying brochure are submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/ download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money. Performance data quoted represents past performance and does not guarantee future results.
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Thornburg Core Growth Fund
The Fund seeks long-term growth of capital by investing in a selection of quality growth stocks that management believes will have growing revenues and earnings.
The Fund can invest in companies of any size, from large, well-established firms to small, emerging growth franchises. Management uses traditional fundamental research to evaluate securities and make buy/sell decisions.
Thornburg Bond Funds
• | Thornburg Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term 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 invests in short- and intermediate-term investment grade bonds. We ladder the maturities of individual bonds in the portfolios to moderate risk. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio will mature each year. We apply this disciplined process in all interest rate environments.
Thornburg Equity Funds
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
Thornburg’s equity research uses a fundamental, yet comprehensive, analytical approach. We invest when and where we perceive the most compelling value. Thornburg equity funds focus on a limited number of securities so that each holding can have a material impact on performance. The equity team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic value.
More information at www.thornburg.com
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Important Information
The information presented on the following pages was current as of March 31, 2005. 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.
Shares in the Fund carry risks including possible loss of principal. There are special risks associated with international investing, including currency fluctuations, government regulation, political developments, and differences in liquidity. Additionally, the Fund invests a portion of the assets in small capitalization companies which may increase the risk of greater price fluctuations. Shares in the Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any government agency.
Glossary
NASDAQ Composite Index – The NASDAQ Composite Index is a market-value weighted, technology-oriented index comprised of approximately 5,000 domestic and non-U.S.-based securities.
Russell 1000 Growth Index – Russell 1000 Growth Index measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.
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.
Beta – Beta is a measure of market-related risk. Less than one means the portfolio is less volatile than the index, while greater than one indicates more volatility than the index.
Median Market Capitalization – Market capitalization (market cap) is the total value of a company’s stock, calculated by multiplying the number of outstanding common shares by the current share price.The company whose market cap is in the middle of the portfolio is the median market cap. Half the companies in the portfolio have values greater than the median, and half have values that are less. If there is an even number of companies, then the median is the average of the two companies in the middle.
Price to Book Value (P/B) – A ratio used to compare a stock’s market value to its book value. It is calculated by dividing the current closing price of the stock by the latest quarter’s book value (book value is simply assets minus liabilities).
Price to Cash Flow Ratio – A measure of the market’s expectations of a firm’s future financial health. It is calculated by dividing the price per share by cash flow per share.
Price to Earnings Ratio (P/E) – A valuation ratio of a company’s current share price compared to its per-share earnings. P/E equals a company’s market value per share divided by earnings per share.
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Portfolio Overview
Thornburg Core Growth Fund
IMPORTANT PERFORMANCE INFORMATION
Performance data quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate so that upon redemption, investor’s shares may be worth more or less than their original cost. Current performance may be lower or higher than the data quoted. For performance data current to the most recent month end, visit www.thornburg.com.
The maximum sales charge for Class A shares is 4.50%.
MANAGEMENT TEAM
Left to Right: Connor Browne, Brian Summers, Alex Motola, and Lei Wang
KEY PORTFOLIO ATTRIBUTES
Portfolio P/E* | 39.2x | ||
Portfolio Price to Cash Flow* | 24.9 | ||
Portfolio Price to Book Value* | 4.7 | ||
Median Market Cap* | $ | 2.71 B | |
3-Year Beta (Thornburg vs. NASDAQ) | 0.82 | ||
Holdings | 39 |
* | Source: Russell Mellon Analytical Services. |
The class A shares of the Thornburg Core Growth Fund posted a positive return of 12.33% for the six month period ended March 31, 2005. The Fund outperformed both the Russell 1000 Growth Index, which returned 4.64% during the period, and the Nasdaq Composite Index, which returned 5.73%.
Strong performance came from a variety of areas, and was driven by the bottom-up research process employed by the team, as individual stock selection was clearly responsible for the Fund’s outperformance. The best performing stocks came from a range of industry classifications including media (IMAX Corp.), software and services (DATATRAK International Inc.), retailing (CJ Home Shopping Co. Ltd.), health care equipment and services (WellPoint Inc.), consumer durables and apparel (Tempur-Pedic International Inc.), and transportation (Shenzen Chiwan Wharf Holdings Ltd.). Positive index performance was not as diversified as it was more concentrated in technology and health care stocks. Further description of most of these stocks can be found in Portfolio Manager Alex Motola’s letter to shareholders in the certified section of the semi-annual report.
One notable area of the portfolio was telecommunications services, which as a group was the greatest source of relative outperformance verses the Russell 1000 Growth Index, even though none of the holdings were among the top performers in the portfolio individually. Portfolio holdings NII Holdings Inc. (formerly Nextel International), Nextel Communications Inc., and SBA Communications Inc. delivered solid results during the period that helped the Fund distance itself from the index.
During the period the selective nature of the process resulted in the portfolio having no weighting to some of the worst performing
AVERAGE ANNUAL TOTAL RETURNS*
FOR PERIODS ENDED MARCH 31, 2005
1Q ‘05 | 1 Yr | 3 Yrs | Since Inception | |||||||||
A Shares (Incep: 12/27/00) | ||||||||||||
Without Sales Charge | (3.10 | )% | 11.10 | % | 8.27 | % | 0.53 | % | ||||
With Sales Charge | (7.43 | )% | 6.08 | % | 6.63 | % | (0.55 | )% | ||||
NASDAQ (Since: 12/27/00) | (7.95 | )% | 0.82 | % | 3.22 | % | (5.03 | )% | ||||
Russell 1000 Growth (Since: 12/27/00) | (4.09 | )% | 1.16 | % | (0.69 | )% | (6.37 | )% |
* | Periods under one year are not annualized. |
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industries, simply because the team did not find any individual stocks worth owning through their bottom-up research process. Some of those poor performing industries included insurance, banks, and automobiles and components. This highlights one of the primary characteristics of the Fund that has allowed it to outperform in varying market conditions. There are no active biases or bets being made at the sector or industry level, just fundamental bottom-up research being conducted in order to identify opportunity on an individual stock basis. The presence or lack of opportunity at the company level is oftentimes the best indicator of opportunity (or lack of) at the industry and sector level.
During the period, health care holdings Boston Scientific Corp. and Pfizer Inc. and technology holdings Ditech Communications Corp., Network Appliance Inc., and Microsoft Corp. were among the poor performers. Although technology and health care holdings represented the largest weights in the portfolio during the period, poor performance from these holdings was not significant enough to cause the portfolio to underperform as a whole due to its overall diversification.
The Fund remains focused, with holdings currently numbering 39. The largest positions in the Fund are each 4% or less. Market cap exposure continues to be broad with the portfolio having a slight bias toward large cap stocks (greater than $12 billion market capitalization). The Fund’s largest exposure continues to be to the health care and technology sectors. The focus of the Fund remains on maximizing long-term after tax returns while controlling risk.
PERFORMANCE IMPACT FOR SIX MONTHS ENDED 3/31/05
Top Contributors | Top Detractors | |
IMAX Corp. | Boston Scientific Corp. | |
DATATRAK International Inc. | DIRECTV Group Inc. | |
CJ Home Shopping Co. Ltd. | Ditech Communications | |
Amdocs Ltd. | Pfizer Inc. | |
WellPoint Inc. | Network Appliance Inc. |
Source: Thompson Portfolio Analytics
MARKET CAPITALIZATION EXPOSURE
As of 3/31/05
TOP TEN HOLDINGS
Comcast Corp. | 4.0 | % | |
WellPoint Inc. | 4.0 | % | |
Sanofi-Aventis | 3.9 | % | |
CJ Home Shopping Co. | 3.8 | % | |
Amgen Inc. | 3.8 | % | |
Life Time Fitness Inc. | 3.6 | % | |
Apple Computer Inc. | 3.4 | % | |
Caremark Rx Inc. | 3.3 | % | |
Network Appliance Inc. | 3.3 | % | |
Gilead Sciences Inc. | 3.3 | % | |
TOP TEN INDUSTRIES | |||
Software & Services | 17.4 | % | |
Health Care Equipment & Services | 17.4 | % | |
Pharmaceutical & Biotechnology | 10.9 | % | |
Technology Hardware & Equipment | 9.7 | % | |
Telecommunication Services | 8.3 | % | |
Media | 7.9 | % | |
Hotels, Restaurants & Leisure | 5.3 | % | |
Diversified Financials | 5.0 | % | |
Retailing | 3.8 | % | |
Consumer Durables & Apparel | 2.7 | % |
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Thornburg Core Growth Fund
Continually Evaluating the Risk Equation
Growth stocks are often referred to as “glamour” stocks . . . and it is easy to understand why. Growth stocks generate excitement. These are stocks where rapid earnings growth is expected to be followed by rapid price appreciation. Growth stocks capture the imagination, and investing in them can offer considerable opportunities for reward.
But growth stocks can also be volatile. Identifying which companies will succeed takes work. It takes digging down to the nuts and bolts of companies. The managers of Thornburg Core Growth Fund understand this. They know that it is grit, not glamour, that creates a successful growth fund.
Portfolio Manager Alex Motola and his team apply a rigorous stock selection process to investments for Thornburg Core Growth Fund. This is a portfolio run on common sense, not on abstract theory. Motola’s overarching philosophy is to create a fund that generates good performance over the long term, while reducing volatility in the interim. Intensive, hands-on, independent research is the central theme. While other growth funds rely on broad portfolio diversification to temper volatility, Thornburg Core Growth Fund concentrates on a limited number of stocks and diversifies those investments among three segments of the growth fund universe: consistent growth companies, growth industry leaders, and emerging growth companies. By limiting the number of securities, Thornburg’s managers can cover each stock in greater depth. Diversifying among three growth baskets further mitigates risk because each of these segments reacts differently than the equity markets as a whole.
How does the stock selection process work? Before adding a stock to the Fund’s portfolio, Motola and his team drill down into the company and its business. Their research goes well beyond the standard Wall Street analysis, and eschews today’s common growth investing mantra of buy growth at any price. Instead, the Thornburg team zeros in on the risk equation.
Companies are initially screened using a variety of quantitative measures and parameters. Most are rejected and logged onto a screening rejection spreadsheet. Only those with the most appealing opportunities to expand margins and grow earnings move on to the next step – the construction of a company-specific model. The goal is to cut to the quick and get at the underlying business. The team uses SEC filings to construct proprietary income statement, balance sheet and cash flow statement models for each remaining company. From these they analyze historical data, monitor current conditions, identify red-flags and estimate future growth potential.
Motola, a former historian who has been at the Fund’s helm since its inception, is not one to go along with the crowd. He and his team are not tied to “mainstream thinking.” While they have access to the best of Wall Street’s analysis, they are not ruled by it.
They test the strength of a company’s underlying business model against a variety of what-if screens. They conduct site visits and interview company management. And they complete the picture by checking in with a company’s major customers, suppliers and distributors. Revenue and cost of goods sold are given particular attention, with each broken down in as many ways as the data will allow.
With growth stocks beginning to return to favor, this team is positioned to demonstrate the strength of its grit over glamour strategy . . . and eager to continue providing its shareholders with steady, consistent performance through a variety of market cycles.
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Certified Semi-Annual Report
March 31, 2005
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semi-annual shareholder reports fully and fairly represents their financial position.
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Alexander M.V.
Motola, CFA
Portfolio Manager
April 19, 2005
Dear Fellow Shareholder:
The first six months of your Fund’s fiscal year have proved prosperous. On September 30, 2004, the net asset value (NAV) for the class A shares was $10.87. Six months later, the Fund’s NAV was $12.21. The Fund’s class A shares outperformed its benchmarks with a total return of 12.33% during the six month period. The NASDAQ Composite Index returned 5.73% and the Russell 1000 Growth returned 4.64% over the six month period.
Our exposure to health care & pharmaceuticals has declined over the past six months, from 33.9% of the portfolio to 28.3%. We continue to find many interesting opportunities in the sector, but we will likely continue to work our exposure a little bit lower over the next several quarters. Technology & software as a percentage of the portfolio has declined by 3.0% to 27.2%. Consumer discretionary exposure has increased.
With regards to our baskets and capitalization ranges, the most material change has been a reduction of Emerging Growth Companies to 32%. This change was accompanied by a reversal in our capitalization exposure – on September 30, 2004, the Fund was most exposed to smaller capitalization equities. As of March 31, 2005, our largest market cap exposure is to companies over $12 billion in market value.
There was not a lot of commonality among our five best performing stocks: IMAX Corporation, DATATRAK International Inc., CJ Home Shopping Co. Ltd., WellPoint Inc., and Amdocs Ltd. IMAX benefited from the success of The Polar Express in 3D – for the IMAX format, it was a fairly easy technological process to transfer the computer animated 2D film into 3D. The IMAX version of the film grossed $45 million at the box office. The success of the film has helped the company to sell more IMAX theater equipment. IMAX recently released Robots concurrently with the traditional theater opening. This will be followed by Batman Begins and Willy Wonka. CJ Home Shopping continues to generate a lot of cash flow. Amdocs’ business continues to improve as management leverages their best of breed billing software from the wireless phone industry into the wireline, cable, and financial verticals.
Two long time holdings, Boston Scientific Corp. and DIRECTV Group Inc., were among our worst performing stocks. Other stocks that performed poorly include Ditech Communications, Network Appliance Inc., and Pfizer.
Pfizer remains a cheap stock. Several issues surround the stock today, even though the FDA has allowed the Cox-II inhibitors (Pfizer’s Celebrex and Merck’s Vioxx, primarily) to remain on the market. It is not unusual for pharmaceutical or biotechnology companies to face concerns about future growth based on developments in the pipeline. Although Pfizer spends around $2 billion a quarter on research and development, the most among pharmaceutical companies, it isn’t clear the company will be a growing concern in the last half of this decade.
In Boston Scientific’s case, recent news flow on the Taxus stent has been negative, culminating in data that was released at a cardiologist conference during the first week of March. While Taxus clearly is the largest single factor in Boston’s revenue line, it is not the entire company. At the low point, Boston Scientific was trading at an 18.5x P/E on their businesses excluding stents, what we would view as a fair valuation. At the low point, we think we were getting the leading drug eluting stent franchise more or less for free. We are quite optimistic about Boston Scientific’s prospects from here.
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Investors have focused on DIRECTV’s rising costs to acquire each additional customer. While it is true that these costs have been rising over the last several quarters, the financial return on each subscriber remains high – meaning each new subscriber is a good investment and a good use of DIRECTV’s capital. DIRECTV grew revenues 27% in 2004, and cash flow generation should accelerate from current levels over the next several years.
It is important to understand our focus on risk control. Although we hope our statistical risk is low (standard deviation of returns), our focus is on appropriate diversification and stock specific risk control. “Knowing what you own” is our mantra. Our approach is a balance between diversifying our portfolio and maximizing the impact of individual stock selections.
We seek to control risk by consciously diversifying our portfolio by capitalization range, by sector and within sectors, and by basket (Growth Industry Leaders, Consistent Growth Companies, and Emerging Growth Companies). Moreover, since we focus our research efforts on identifying stock specific risks – knowing the business model, the accounting issues, the competitive, regulatory, and legal risks, and the quality of earnings being generated – we feel we are controlling our risks at the most basic and important level, the individual securities.
The outlook for equities is good. The Fed Stock Valuation Model, which compares the earnings yield of the Standard & Poors’ 500 Index to the 10 year U.S. Treasury bond yield, suggests that stocks are materially undervalued relative to bonds. Over the life of the Fund (inception was December of 2000), the returns on Growth Equity asset classes (small, mid-cap, and large) have been negative. History suggests that, at some future point, growth stocks will outperform value stocks. After five years of value outperformance, it is likely that the shift will occur within the next year or two.
Initial public offerings contributed 1.53% of total return to the Fund during the first six month’s of the Fund’s fiscal year. The effects of offerings in prior periods are disclosed in prior quarterly reports.
Our motto is “Core strategies for building wealth.” 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 maximizing long term after-tax returns while controlling risk. We encourage you to learn more about your portfolio. Descriptions of each holding 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.
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STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Core Growth Fund | March 31, 2005 (Unaudited) |
ASSETS | ||||
Investments at value (cost $84,434,155) | $ | 97,963,090 | ||
Cash | 1,794,646 | |||
Receivable for fund shares sold | 345,647 | |||
Dividends receivable | 10,911 | |||
Interest receivable | 8,800 | |||
Prepaid expenses and other assets | 41,360 | |||
Total Assets | 100,164,454 | |||
LIABILITIES | ||||
Payable for securities purchased | 403,230 | |||
Payable for fund shares redeemed | 176,921 | |||
Payable to investment advisor and other affiliates (Note 3) | 102,602 | |||
Accounts payable and accrued expenses | 29,183 | |||
Total Liabilities | 711,936 | |||
NET ASSETS | $ | 99,452,518 | ||
NET ASSETS CONSIST OF: | ||||
Undistributed net investment gain (loss) | $ | (581,908 | ) | |
Net unrealized appreciation on investments | 13,520,895 | |||
Accumulated net realized gain (loss) | 1,830,966 | |||
Net capital paid in on shares of beneficial interest | 84,682,565 | |||
$ | 99,452,518 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($54,848,646 applicable to 4,491,251 shares of beneficial interest outstanding - Note 4) | $ | 12.21 | ||
Maximum sales charge, 4.50% of offering price | 0.58 | |||
Maximum offering price per share | $ | 12.79 | ||
Class C Shares: | ||||
Net asset value and offering price per share * ($18,441,851 applicable to 1,568,073 shares of beneficial interest outstanding - Note 4) | $ | 11.76 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($25,482,367 applicable to 2,068,794 shares of beneficial interest outstanding - Note 4) | $ | 12.32 | ||
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STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2005 (Unaudited) |
Class R1 Shares: | |||
Net asset value, offering and redemption price per share ($679,654 applicable to 55,491 shares of beneficial interest outstanding - Note 4) | $ | 12.25 | |
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
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Thornburg Core Growth Fund | Six Months Ended March 31, 2005 (Unaudited) |
INVESTMENT INCOME: | ||||
Dividend income (net of foreign currency loss) | $ | 11,481 | ||
Interest income | 128,711 | |||
Total Income | 140,192 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 398,291 | |||
Administration fees (Note 3) | ||||
Class A Shares | 30,960 | |||
Class C Shares | 10,566 | |||
Class I Shares | 6,101 | |||
Class R1 Shares | 170 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 61,982 | |||
Class C Shares | 84,559 | |||
Class R1 Shares | 711 | |||
Transfer agent fees | ||||
Class A Shares | 41,805 | |||
Class C Shares | 15,505 | |||
Class I Shares | 8,813 | |||
Class R1 Shares | 1,223 | |||
Registration and filing fees | ||||
Class A Shares | 9,117 | |||
Class C Shares | 6,711 | |||
Class I Shares | 862 | |||
Class R1 Shares | 14,024 | |||
Custodian fees (Note 3) | 39,854 | |||
Professional fees | 11,968 | |||
Accounting fees | 5,622 | |||
Trustee fees | 1,779 | |||
Other expenses | 27,292 | |||
Total Expenses | 777,915 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (31,597 | ) | ||
Management fees waived by investment advisor (Note 3) | (21,859 | ) | ||
Fees paid indirectly (Note 3) | (9,905 | ) | ||
Net Expenses | 714,554 | |||
Net Investment Income (Loss) | $ | (574,362 | ) | |
12 Certified Semi-Annual Report
Table of Contents
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Core Growth Fund | Six Months Ended March 31, 2005 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments | $ | 4,119,568 | ||
Foreign currency transactions | (684 | ) | ||
4,118,884 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 6,314,863 | |||
6,314,863 | ||||
Net Realized and Unrealized Gain | 10,433,747 | |||
Net Increase in Net Assets Resulting From Operations | $ | 9,859,385 | ||
See notes to financial statements.
Certified Semi-Annual Report 13
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Thornburg Core Growth Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income (loss) | $ | (574,362 | ) | $ | (907,261 | ) | ||
Net realized gain (loss) on investments and foreign currency | 4,118,884 | (69,166 | ) | |||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments and foreign currency translation | 6,314,863 | 3,816,240 | ||||||
Net Increase in Net Assets Resulting from Operations | 9,859,385 | 2,839,813 | ||||||
FUND SHARE TRANSACTIONS - (Note 4) | ||||||||
Class A Shares | 8,620,593 | 2,225,643 | ||||||
Class C Shares | 1,973,775 | 7,120,528 | ||||||
Class I Shares | 1,151,289 | 21,612,285 | ||||||
Class R1 Shares | 661,558 | 14,604 | ||||||
Net Increase in Net Assets | 22,266,600 | 33,812,873 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 77,185,918 | 43,373,045 | ||||||
End of period | $ | 99,452,518 | $ | 77,185,918 | ||||
See notes to financial statements.
14 Certified Semi-Annual Report
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Thornburg Core Growth Fund | March 31, 2005 (Unaudited) |
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 Limited Term Municipal Fund, Thornburg California 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 R1) 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 R1 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 Trust 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.
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
Certified Semi-Annual Report 15
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2005 (Unaudited) |
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 Trust to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all taxable income, including any net realized gain on investments, of the Fund, to the shareholders. Therefore, no provision for Federal income taxes 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 and or market changes. At the time the Trust 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 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: 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 period ended March 31, 2005, these fees were payable at annual rates ranging from .875 of 1% to ..675 of 1% per annum of the average daily net assets of the Fund depending on the Fund’s asset size. For the period ended March 31, 2005, the Advisor voluntarily waived investment advisory fees of $21,859. 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% per annum of the average daily net assets attributable to each class of shares. For the period ended March 31, 2005, the Advisor voluntarily reimbursed certain class specific expenses and administrative fees and distribution fees of $421 for Class C shares, $15,776 for Class I shares, and $15,400 for Class R1 shares.
The Trust 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 period ended March 31, 2005, the Distributor has advised the Fund that it earned commissions aggregating $12,556 from the sale of Class A shares of the Fund and collected contingent deferred sales charges aggregating $2,369 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 Trust has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Fund’s Class C and Class R1
16 Certified Semi-Annual Report
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2005 (Unaudited) |
shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C and Class R1 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 R1 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 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 March 31, 2005, fees paid indirectly were $9,905.
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 March 31, 2005, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 1,070,459 | $ | 12,676,341 | 2,600,930 | $ | 28,184,218 | ||||||||
Shares repurchased** | (341,314 | ) | (4,055,748 | ) | (2,423,327 | ) | (25,958,575 | ) | ||||||
Net Increase (Decrease) | 729,145 | $ | 8,620,593 | 177,603 | $ | 2,225,643 | ||||||||
** The Fund charges a redemption fee of 1% of the Class A shares exchanged within 90 days of purchase. For the period ended March 31, 2005 and year ended September 30, 2004, $2,478 and $19,941, respectively, were netted in the amount reported for shares repurchased.
|
| |||||||||||||
Class C Shares | ||||||||||||||
Shares sold | 302,288 | $ | 3,495,041 | 872,281 | $ | 9,164,316 | ||||||||
Shares repurchased | (131,896 | ) | (1,521,266 | ) | (199,986 | ) | (2,043,788 | ) | ||||||
Net Increase (Decrease) | 170,392 | $ | 1,973,775 | 672,295 | $ | 7,120,528 | ||||||||
Class I Shares* | ||||||||||||||
Shares sold | 145,041 | $ | 1,763,599 | 2,027,702 | $ | 22,189,316 | ||||||||
Shares repurchased ** | (49,934 | ) | (612,310 | ) | (54,015 | ) | (577,031 | ) | ||||||
Net Increase (Decrease) | 95,107 | $ | 1,151,289 | 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 March 31, 2005 and the year ended September 30, 2004, $151 and $474, respectively, were netted in the amount reported for shares repurchased.
|
| |||||||||||||
Class R1 Shares | ||||||||||||||
Shares sold | 54,676 | $ | 669,298 | 1,444 | $ | 14,629 | ||||||||
Shares repurchased | (635 | ) | (7,740 | ) | (2 | ) | (25 | ) | ||||||
Net Increase (Decrease) | 54,041 | $ | 661,558 | 1,442 | $ | 14,604 | ||||||||
Certified Semi-Annual Report 17
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2005 (Unaudited) |
NOTE 5 – SECURITIES TRANSACTIONS
For the period ended March 31, 2005, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $56,018,298 and $44,639,893, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2005, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 84,575,631 | ||
Gross unrealized appreciation on a tax basis | $ | 15,846,648 | ||
Gross unrealized depreciation on a tax basis | (2,467,229 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 13,379,419 | ||
At March 31, 2005, the Fund has 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 March 31, 2005, 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.
18 Certified Semi-Annual Report
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FINANCIAL HIGHLIGHTS | ||
Thornburg Core Growth Fund | (Unaudited)* |
Class A Shares: | *Six Months Ended 2005 | Year Ended September 30, | Period Ended 2001(c) | |||||||||||||||||
2004 | 2003 | 2002 | ||||||||||||||||||
PER SHARE PERFORMANCE (for a share outstanding throughout the period)+ | ||||||||||||||||||||
Net asset value, beginning of period | $ | 10.87 | $ | 10.11 | $ | 6.45 | $ | 7.80 | $ | 11.94 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss) | (0.08 | ) | (0.15 | ) | (0.13 | ) | (0.12 | ) | (0.08 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | 1.42 | 0.90 | 3.77 | (1.23 | ) | (4.06 | ) | |||||||||||||
Total from investment operations | 1.34 | 0.75 | 3.64 | (1.35 | ) | (4.14 | ) | |||||||||||||
Redemption fees added to paid in capital | — | 0.01 | 0.02 | — | — | |||||||||||||||
Change in net asset value | 1.34 | 0.76 | 3.66 | (1.35 | ) | (4.14 | ) | |||||||||||||
NET ASSET VALUE, end of period | $ | 12.21 | $ | 10.87 | $ | 10.11 | $ | 6.45 | $ | 7.80 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Total return (a) | 12.33 | % | 7.52 | % | 56.74 | % | (17.31 | )% | (34.67 | )% | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.27 | %(b) | (1.37 | )% | (1.43 | )% | (1.44 | )% | (1.02 | )%(b) | ||||||||||
Expenses, after expense reductions | 1.60 | %(b) | 1.62 | % | 1.65 | % | 1.64 | % | 1.71 | %(b) | ||||||||||
Expenses, after expense reductions and net of custody credits | 1.58 | %(b) | 1.61 | % | 1.63 | % | 1.63 | % | — | |||||||||||
Expenses, before expense reductions | 1.64 | %(b) | 1.70 | % | 2.03 | % | 2.39 | % | 2.80 | %(b) | ||||||||||
Portfolio turnover rate | 50.92 | % | 108.50 | % | 102.91 | % | 212.17 | % | 126.15 | % | ||||||||||
Net assets at end of period (000) | $ | 54,849 | $ | 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. |
Certified Semi-Annual Report 19
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Core Growth Fund | (Unaudited)* |
Class C Shares: | *Six Months Ended 2005 | Year Ended September 30, | Period Ended 2001(b) | |||||||||||||||||
2004 | 2003 | 2002 | ||||||||||||||||||
PER SHARE PERFORMANCE (for a share outstanding throughout the period)+ | ||||||||||||||||||||
Net asset value, beginning of period | $ | 10.51 | $ | 9.85 | $ | 6.38 | $ | 7.76 | $ | 11.94 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss) | (0.12 | ) | (0.22 | ) | (0.18 | ) | (0.18 | ) | (0.13 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | 1.37 | 0.88 | 3.65 | (1.20 | ) | (4.05 | ) | |||||||||||||
Total from investment operations | 1.25 | 0.66 | 3.47 | (1.38 | ) | (4.18 | ) | |||||||||||||
Change in net asset value | 1.25 | 0.66 | 3.47 | (1.38 | ) | (4.18 | ) | |||||||||||||
NET ASSET VALUE, end of period | $ | 11.76 | $ | 10.51 | $ | 9.85 | $ | 6.38 | $ | 7.76 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Total return (c) | 11.89 | % | 6.70 | % | 54.39 | % | (17.78 | )% | (35.01 | )% | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 2.06 | %(a) | (2.13 | )% | (2.19 | )% | (2.19 | )% | (1.78 | )%(a) | ||||||||||
Expenses, after expense reductions | 2.39 | %(a) | 2.38 | % | 2.40 | % | 2.39 | % | 2.49 | %(a) | ||||||||||
Expenses, after expense reductions and net of custody credits | 2.37 | %(a) | 2.37 | % | 2.38 | % | 2.38 | % | — | |||||||||||
Expenses, before expense reductions | 2.45 | %(a) | 2.52 | % | 3.35 | % | 3.45 | % | 4.43 | %(a) | ||||||||||
Portfolio turnover rate | 50.92 | % | 108.50 | % | 102.91 | % | 212.17 | % | 126.15 | % | ||||||||||
Net assets at end of period (000) | $ | 18,442 | $ | 14,693 | $ | 7,146 | $ | 1,892 | $ | 2,216 |
(a) | Annualized. |
(b) | Fund commenced operations on December 27, 2000. |
(c) | Not annualized for periods less than one year. |
+ | Based on weighted average shares outstanding. |
20 Certified Semi-Annual Report
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FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Core Growth Fund | (Unaudited)* |
Class I Shares: | *Six Months Ended 2005 | Period Ended September 30, 2004(c) | ||||||
PER SHARE PERFORMANCE (for a share outstanding throughout the period) | ||||||||
Net asset value, beginning of period | $ | 10.93 | $ | 10.87 | ||||
Income from investment operations: | ||||||||
Net investment income (loss) | (0.04 | ) | (0.08 | ) | ||||
Net realized and unrealized gain (loss) on investments | 1.43 | 0.14 | ||||||
Total from investment operations | 1.39 | 0.06 | ||||||
Change in net asset value | 1.39 | 0.06 | ||||||
NET ASSET VALUE, end of period | $ | 12.32 | $ | 10.93 | ||||
RATIOS/SUPPLEMENTAL DATA | ||||||||
Total return (a) | 12.72 | % | 0.55 | % | ||||
Ratios to average net assets: | ||||||||
Net investment income (loss) | 0.69 | %(b) | (0.74 | )%(b) | ||||
Expenses, after expense reductions | 1.01 | %(b) | 1.00 | %(b) | ||||
Expenses, after expense reductions and net of custody credits | 0.99 | %(b) | 0.99 | %(b) | ||||
Expenses, before expense reductions | 1.19 | %(b) | 1.31 | %(b) | ||||
Portfolio turnover rate | 50.92 | % | 108.50 | % | ||||
Net assets at end of period (000) | $ | 25,482 | $ | 21,578 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
(c) | Effective date of Class I Shares was November 1, 2003. |
Certified Semi-Annual Report 21
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Core Growth Fund | (Unaudited)* |
Class R1 Shares: | *Six Months Ended 2005 | Year Ended September 30, 2004 | Period Ended September 30, 2003(c) | |||||||||
PER SHARE PERFORMANCE (for a share outstanding throughout the period) | ||||||||||||
Net asset value, beginning of period | $ | 10.90 | $ | 10.11 | $ | 9.59 | ||||||
Income from investment operations: | ||||||||||||
Net investment income (loss) | (0.05 | ) | (0.12 | ) | (0.03 | ) | ||||||
Net realized and unrealized gain (loss) on investments | 1.40 | 0.91 | 0.55 | |||||||||
Total from investment operations | 1.35 | 0.79 | 0.52 | |||||||||
Change in net asset value | 1.35 | 0.79 | 0.52 | |||||||||
NET ASSET VALUE, end of period | $ | 12.25 | $ | 10.90 | $ | 10.11 | ||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||
Total return (a) | 12.39 | % | 7.81 | % | 5.42 | % | ||||||
Ratios to average net assets: | ||||||||||||
Net investment income (loss) | 0.84 | %(b) | (1.17 | )% | (1.06 | )%(b) | ||||||
Expenses, after expense reductions | 1.53 | %(b) | 1.50 | % | 1.65 | %(b) | ||||||
Expenses, after expense reductions and net of custody credits | 1.50 | %(b) | 1.49 | % | 1.65 | %(b) | ||||||
Expenses, before expense reductions | 12.73 | %(b) | 722.79 | %† | 22,219.77 | %(b)† | ||||||
Portfolio turnover rate | 50.92 | % | 108.50 | % | 102.91 | % | ||||||
Net assets at end of period (000) | $ | 680 | $ | 16 | $ | — | (d) |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
(c) | Effective date of Class R1 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. |
22 Certified Semi-Annual Report
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SCHEDULE OF INVESTMENTS | ||
Thornburg Core Growth Fund | March 31, 2005 (Unaudited) |
CUSIPS: CLASS A - 885-215-582, CLASS C - 885-215-574, CLASS I - 885-215-475, CLASS R1 - 885-215-517
NASDAQ SYMBOLS: CLASS A - THCGX, CLASS C - TCGCX, CLASS I - THIGX, CLASS R1 - THCRX
Shares/ Principal Amount | Value | ||||
COMMON STOCK — 96.80% | |||||
BANKS — 2.08% | |||||
COMMERCIAL BANKS — 2.08% | |||||
Commerce Bancorp, Inc. | 63,800 | $ | 2,071,586 | ||
TOTAL BANKS | 2,071,586 | ||||
COMMERCIAL SERVICES & SUPPLIES — 2.02% | |||||
COMMERCIAL SERVICES & SUPPLIES — 2.02% | |||||
Gevity HR, Inc. | 104,900 | 2,005,688 | |||
TOTAL COMMERCIAL SERVICES & SUPPLIES | 2,005,688 | ||||
CONSUMER DURABLES & APPAREL — 2.69% | |||||
HOUSEHOLD DURABLES — 2.69% | |||||
Tempur-Pedic International Inc.+ | 143,575 | 2,679,109 | |||
TOTAL CONSUMER DURABLES & APPAREL | 2,679,109 | ||||
DIVERSIFIED FINANCIALS — 4.99% | |||||
CAPITAL MARKETS — 4.99% | |||||
Affiliated Managers Group Inc.+ | 35,375 | 2,194,311 | |||
Investors Financial Services Corp. | 56,505 | 2,763,660 | |||
TOTAL DIVERSIFIED FINANCIALS | 4,957,971 | ||||
ENERGY — 2.11% | |||||
OIL & GAS — 2.11% | |||||
ATP Oil & Gas Corp.+ | 96,800 | 2,094,752 | |||
TOTAL ENERGY | 2,094,752 | ||||
HEALTH CARE EQUIPMENT & SERVICES — 17.37% | |||||
HEALTH CARE EQUIPMENT & SUPPLIES — 6.51% | |||||
Boston Scientific Corp.+ | 94,220 | 2,759,704 | |||
Cytyc Corp.+ | 95,800 | 2,204,358 | |||
Golden Meditech Co. Ltd | 7,246,241 | 1,505,133 |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2005 (Unaudited) |
Shares/ Principal Amount | Value | ||||
HEALTH CARE PROVIDERS & SERVICES — 10.86% | |||||
Caremark Rx Inc.+ | 82,575 | $ | 3,284,833 | ||
Eclipsys Corp.+ | 94,439 | 1,461,916 | |||
UnitedHealth Group Inc. | 22,375 | 2,134,128 | |||
WellPoint Inc.+ | 31,300 | 3,923,455 | |||
TOTAL HEALTH CARE EQUIPMENT & SERVICES | 17,273,527 | ||||
HOTELS RESTAURANTS & LEISURE — 5.34% | |||||
HOTELS RESTAURANTS & LEISURE — 5.34% | |||||
Life Time Fitness Inc.+ | 130,900 | 3,531,682 | |||
Sportingbet plc+ | 353,000 | 1,783,263 | |||
TOTAL HOTELS RESTAURANTS & LEISURE | 5,314,945 | ||||
MEDIA — 7.85% | |||||
MEDIA — 7.85% | |||||
Comcast Corp.+ | 117,600 | 3,927,840 | |||
DIRECTV Group Inc.+ | 158,200 | 2,281,244 | |||
Imax Corp.+ | 172,890 | 1,597,503 | |||
TOTAL MEDIA | 7,806,587 | ||||
PHARMACEUTICALS & BIOTECHNOLOGY — 10.89% | |||||
BIOTECHNOLOGY — 7.02% | |||||
Amgen Inc.+ | 64,000 | 3,725,440 | |||
Gilead Sciences Inc.+ | 91,100 | 3,261,380 | |||
PHARMACEUTICALS — 3.87% | |||||
Sanofi-Aventis | 45,600 | 3,846,522 | |||
TOTAL PHARMACEUTICALS & BIOTECHNOLOGY | 10,833,342 | ||||
RETAILING — 3.81% | |||||
INTERNET & CATALOG RETAIL — 3.81% | |||||
CJ Home Shopping Co. Ltd. | 52,200 | 3,793,560 | |||
TOTAL RETAILING | 3,793,560 | ||||
SOFTWARE & SERVICES — 17.43% | |||||
COMMUNICATIONS EQUIPMENT — 3.13% | |||||
Amdocs Ltd.+ | 109,725 | 3,116,190 | |||
INTERNET SOFTWARE & SERVICES — 5.94% | |||||
Google Inc.+ | 17,100 | 3,086,721 | |||
Netease.com Inc.+ | 58,380 | 2,814,500 |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2005 (Unaudited) |
Shares/ Principal Amount | Value | ||||
SOFTWARE — 8.36% | |||||
DATATRAK International Inc.+ | 68,367 | $ | 1,148,565 | ||
Microsoft Corp. | 121,400 | 2,934,238 | |||
Shanda Interactive Entertainment Ltd.+ | 81,200 | 2,452,240 | |||
The9 Ltd.ADR+ | 103,605 | 1,778,898 | |||
TOTAL SOFTWARE & SERVICES | 17,331,352 | ||||
TECHNOLOGY HARDWARE & EQUIPMENT — 9.73% | |||||
COMPUTERS & PERIPHERALS — 9.73% | |||||
Apple Computer, Inc.+ | 80,900 | 3,371,103 | |||
Dell Inc.+ | 79,000 | 3,035,180 | |||
Network Appliance, Inc.+ | 118,300 | 3,272,178 | |||
TOTAL TECHNOLOGY HARDWARE & EQUIPMENT | 9,678,461 | ||||
TELECOMMUNICATION SERVICES — 6.62% | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.33% | |||||
Arbinet-thexchange, Inc.+ | 17,496 | 333,299 | |||
WIRELESS TELECOMMUNICATION SERVICES — 6.29% | |||||
Leap Wireless International, Inc.+ | 75,500 | 1,966,775 | |||
NII Holdings Inc.+ | 38,945 | 2,239,337 | |||
SBA Communications Corp.+ | 223,600 | 2,048,176 | |||
TOTAL TELECOMMUNICATION SERVICES | 6,587,587 | ||||
TRANSPORTATION — 2.18% | |||||
TRANSPORTATION INFRASTRUCTURE — 2.18% | |||||
Shenzhen Chiwan Wharf Holdings Ltd. | 859,988 | 2,165,614 | |||
TOTAL TRANSPORTATION | 2,165,614 | ||||
UTILITIES — 1.69% | |||||
MULTI-UTILITIES & UNREGULATED POWER — 1.69% | |||||
Ormat Technologies Inc. | 107,400 | 1,681,884 | |||
TOTAL UTILITIES | 1,681,884 | ||||
TOTAL COMMON STOCK (Cost $ 82,405,303) | 96,275,965 | ||||
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2005 (Unaudited) |
Shares/ Principal Amount | Value | |||||
CONVERTIBLE BONDS — 1.70% | ||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 1.70% | ||||||
Level 3 Communications Inc., 6.00%, 3/15/2010 | $ | 3,300,000 | $ | 1,687,125 | ||
TOTAL CONVERTIBLE BONDS (Cost $2,028,852) | 1,687,125 | |||||
TOTAL INVESTMENTS — 98.50% (COST $84,434,155) | $ | 97,963,090 | ||||
OTHER ASSETS LESS LIABILITIES — 1.50% | 1,489,428 | |||||
NET ASSETS — 100.00% | $ | 99,452,518 | ||||
Footnote Legend
See notes to financial statements.
+ | Non-income producing. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR American Depository Receipt
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/05
Software & Services | 17.43 | % | |
Health Care Equipment & Services | 17.37 | % | |
Pharmaceutical & Biotechnology | 10.89 | % | |
Technology Hardware & Equipment | 9.73 | % | |
Telecommunication Services | 8.32 | % | |
Media | 7.85 | % | |
Hotels, Restaurants & Leisure | 5.34 | % | |
Diversified Financials | 4.99 | % | |
Retailing | 3.81 | % | |
Consumer Durables & Apparel | 2.69 | % | |
Transportation | 2.18 | % | |
Energy | 2.11 | % | |
Banks | 2.08 | % | |
Commercial Services & Supplies | 2.02 | % | |
Utilities | 1.69 | % | |
Other Assets & Cash Equivalents | 1.50 | % |
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EXPENSE EXAMPLE | ||
Thornburg Core Growth Fund | March 31, 2005 (Unaudited) |
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
(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 September 30, 2004 and held until March 31, 2005.
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 Account Value 9/30/04 | Ending Account Value | Expenses Paid During Period† 9/30/04–3/31/05 | |||||||
Class A Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,123.30 | $ | 8.36 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,017.06 | $ | 7.94 | |||
Class C Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,118.90 | $ | 12.53 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,013.11 | $ | 11.90 | |||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,127.20 | $ | 5.24 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.00 | $ | 4.98 | |||
Class R1 Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,123.90 | $ | 7.93 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,017.46 | $ | 7.53 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.58%; C: 2.37%; I: 0.99%; and R1: 1.50%) multiplied by the average account value over the period, multiplied by 182/365 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.
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INDEX COMPARISON | ||
Thornburg Core Growth Fund | March 31, 2005 (Unaudited) |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Core Growth Fund versus NASDAQ Composite Index (December 27, 2000 to March 31, 2005)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2005 (with sales charge)
1 Yr | 3 Yrs | Since Inception | |||||||
A Shares (Incep: 12/27/00) | 6.08 | % | 6.63 | % | (0.55 | )% | |||
C Shares (Incep: 12/27/00) | 9.22 | % | 7.22 | % | (0.36 | )% | |||
R1 Shares (Incep: 7/01/03) | 11.36 | % | — | 15.01 | % | ||||
NASDAQ Composite Index | 0.82 | % | 3.22 | % | (5.03 | )% |
Performance data reflects 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 R1 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.
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OTHER INFORMATION | ||
Thornburg Core Growth Fund | March 31, 2005 (Unaudited) |
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 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.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files 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. The Fund’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, or may be reviewed and 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.
Certified Semi-Annual Report 29
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Trustees’ Statement to Shareholders
February 8, 2005
The Trustees are concerned that recent commentaries and opinions reported in the media may confuse investors in general as to the supervisory duties of trustees of mutual funds and, in particular, leave Thornburg Investment Trust shareholders uncertain regarding how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. We decided to spell out clearly three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf.
We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.
Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders’ returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.
Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.
This statement is submitted for the general information of the shareholders of Thornburg Investment Trust. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money.
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Planning Options
Retirement and Education Accounts
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs – Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 70 1/2, even if you are covered by an employer retirement plan.
Roth IRAs – Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our web site at www.thornburg.com/ira.
SEP IRAs – Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employee’s SEP IRA on a discretionary basis.
SIMPLE IRAs – Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employee’s SIMPLE IRA. Employees may make salary deferral contributions.
405(b)
A special, tax-advantaged savings vehicle available only to employees of 501(c)(3) organizations, such as charitable, educational, scientific and religious organizations. 403(b) plans are also available to employees of public schools and universities.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
Thornburg International Value Fund
Thornburg Value Fund
Thornburg Core Growth Fund
Thornburg Investment Income Builder Fund
Thornburg Limited Term U.S. Government Fund
Thornburg Limited Term Income Fund
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The Firm
Thornburg Investment Management is a privately held investment management company based in Santa Fe, New Mexico with assets under management of over $13 billion. Founded in 1982, the firm manages four equity funds, eight bond funds, and separate portfolios for select institutions and individuals.
Investment Philosophy
We seek to preserve and increase the real wealth of the Funds’ shareholders after accounting for inflation, taxes, and investment expenses. We’re committed to disciplined investing and controlling risk in all market environments through laddered bond and focused equity portfolios.
Portfolio Holdings Disclosure
We believe you should know what is in your portfolio. Our web site keeps investors informed of the Funds’ equity holdings. Go to www.thornburg.com/funds for portfolio manager commentary on our equity fund holdings.
Co-Ownership of Funds
We invest side-by-side with the Funds’ shareholders. Our employees have invested over $100 million in Thornburg Funds.
Core Strategies for Building Wealth
We deliver core strategies to help investors meet long-term goals. A core strategy is a consistent, disciplined and proven investment process that represents the foundation of a diversified portfolio.
INVESTMENT MANAGER
Thornburg Investment Management, Inc.
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
PRINCIPAL UNDERWRITER
Thornburg Securities Corporation
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
www.thornburg.com
Table of Contents
Core Strategies for Building Wealth
Thornburg Core Growth Fund
I Shares
Informational Brochure and Semi-Annual Report – March 31, 2005
This report and the accompanying brochure are submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/ download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money. Performance data quoted represents past performance and does not guarantee future results.
Table of Contents
Thornburg Core Growth Fund
The Fund seeks long-term growth of capital by investing in a selection of quality growth stocks that management believes will have growing revenues and earnings.
The Fund can invest in companies of any size, from large, well-established firms to small, emerging growth franchises. Management uses traditional fundamental research to evaluate securities and make buy/sell decisions.
Thornburg Bond Funds
• | Thornburg Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term 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 invests in short- and intermediate-term investment grade bonds. We ladder the maturities of individual bonds in the portfolios to moderate risk. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio will mature each year. We apply this disciplined process in all interest rate environments.
Thornburg Equity Funds
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
Thornburg’s equity research uses a fundamental, yet comprehensive, analytical approach. We invest when and where we perceive the most compelling value. Thornburg equity funds focus on a limited number of securities so that each holding can have a material impact on performance. The equity team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic value.
More information at www.thornburg.com
Reduce paper clutter. Receive your shareholder reports and prospectus online instead of through traditional mail.
Sign up at www.thornburg.com/edelivery |
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Important Information
The information presented on the following pages was current as of March 31, 2005. 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.
Shares in the Fund carry risks including possible loss of principal. There are special risks associated with international investing, including currency fluctuations, government regulation, political developments, and differences in liquidity. Additionally, the Fund invests a portion of the assets in small capitalization companies which may increase the risk of greater price fluctuations. Shares in the Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any government agency.
Minimum investments for Class I shares are higher than those for other classes.
Glossary
NASDAQ Composite Index – The NASDAQ Composite Index is a market-value weighted, technology-oriented index comprised of approximately 5,000 domestic and non-U.S.-based securities.
Russell 1000 Growth Index – Russell 1000 Growth Index measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.
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.
Beta – Beta is a measure of market-related risk. Less than one means the portfolio is less volatile than the index, while greater than one indicates more volatility than the index.
Median Market Capitalization – Market capitalization (market cap) is the total value of a company’s stock, calculated by multiplying the number of outstanding common shares by the current share price. The company whose market cap is in the middle of the portfolio is the median market cap. Half the companies in the portfolio have values greater than the median, and half have values that are less. If there is an even number of companies, then the median is the average of the two companies in the middle.
Price to Book Value (P/B) – A ratio used to compare a stock’s market value to its book value. It is calculated by dividing the current closing price of the stock by the latest quarter’s book value (book value is simply assets minus liabilities).
Price to Cash Flow Ratio – A measure of the market’s expectations of a firm’s future financial health. It is calculated by dividing the price per share by cash flow per share.
Price to Earnings Ratio (P/E) – A valuation ratio of a company’s current share price compared to its per-share earnings. P/E equals a company’s market value per share divided by earnings per share.
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Portfolio Overview
Thornburg Core Growth Fund
IMPORTANT PERFORMANCE INFORMATION
Performance data quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate so that upon redemption, investor’s shares may be worth more or less than their original cost. Current performance may be lower or higher than the data quoted. For performance data current to the most recent month end, visit www.thornburg.com.
There is no up-front sales charge for class I shares.
MANAGEMENT TEAM
Left to Right: Connor Browne, Brian Summers, Alex Motola, and Lei Wang
KEY PORTFOLIO ATTRIBUTES
Portfolio P/E* | 39.2 | x | ||
Portfolio Price to Cash Flow* | 24.9 | |||
Portfolio Price to Book Value* | 4.7 | |||
Median Market Cap* | $ | 2.71 B | ||
3-Year Beta (Thornburg vs. NASDAQ) | 0.82 | |||
Holdings | 39 |
* | Source: Russell Mellon Analytical Services. |
The class I shares of the Thornburg Core Growth Fund posted a positive return of 12.72% for the six month period ending March 31, 2005. The Fund outperformed both the Russell 1000 Growth Index, which returned 4.64% during the period, and the Nasdaq Composite Index, which returned 5.73%.
Strong performance came from a variety of areas, and was driven by the bottom-up research process employed by the team, as individual stock selection was clearly responsible for the Fund’s outperformance. The best performing stocks came from a range of industry classifications including media (IMAX Corp.), software and services (DATATRAK International Inc.), retailing (CJ Home Shopping Co. Ltd.), health care equipment and services (WellPoint Inc.), consumer durables and apparel (Tempur-Pedic International Inc.), and transportation (Shenzen Chiwan Wharf Holdings Ltd.). Positive index performance was not as diversified as it was more concentrated in technology and health care stocks. Further description of most of these stocks can be found in Portfolio Manager Alex Motola’s letter to shareholders in the certified section of the semi-annual report.
One notable area of the portfolio was telecommunications services, which as a group was the greatest source of relative outperformance verses the Russell 1000 Growth Index, even though none of the holdings were among the top performers in the portfolio individually. Portfolio holdings NII Holdings Inc. (formerly Nextel International), Nextel Communications Inc., and SBA Communications Inc. delivered solid results during the period that helped the Fund distance itself from the index.
During the period the selective nature of the process resulted in the portfolio having no weighting to some of the worst performing industries,
AVERAGE ANNUAL TOTAL RETURNS*
FOR PERIODS ENDED MARCH 31, 2005
1Q ‘05 | 1 Yr | Since Inception | |||||||
I Shares (Incep: 11/3/03) | (2.92 | )% | 11.80 | % | 9.30 | % | |||
NASDAQ (Since: 11/3/03) | (7.95 | )% | 0.82 | % | 2.99 | % | |||
Russell 1000 Growth (Since: 11/3/03) | (4.09 | )% | 1.16 | % | 4.63 | % |
* | Periods under one year are not annualized. |
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simply because the team did not find any individual stocks worth owning through their bottom-up research process. Some of those poor performing industries included insurance, banks, and automobiles and components. This highlights one of the primary characteristics of the Fund that has allowed it to outperform in varying market conditions. There are no active biases or bets being made at the sector or industry level, just fundamental bottom-up research being conducted in order to identify opportunity on an individual stock basis. The presence or lack of opportunity at the company level is oftentimes the best indicator of opportunity (or lack of) at the industry and sector level.
During the period, health care holdings Boston Scientific Corp. and Pfizer Inc. and technology holdings Ditech Communications Corp., Network Appliance Inc., and Microsoft Corp. were among the poor performers. Although technology and health care holdings represented the largest weights in the portfolio during the period, poor performance from these holdings was not significant enough to cause the portfolio to underperform as a whole due to its overall diversification.
The Fund remains focused, with holdings currently numbering 39. The largest positions in the Fund are each 4% or less. Market cap exposure continues to be broad with the portfolio having a slight bias toward large cap stocks (greater than $12 billion market capitalization). The Fund’s largest exposure continues to be to the health care and technology sectors. The focus of the Fund remains on maximizing long-term after tax returns while controlling risk.
PERFORMANCE IMPACT FOR SIX MONTHS ENDED 3/31/05
Top Contributors | Top Detractors | |
IMAX Corp. | Boston Scientific Corp. | |
DATATRAK International Inc. | DIRECTV Group Inc. | |
CJ Home Shopping Co. Ltd. | Ditech Communications | |
Amdocs Ltd. | Pfizer Inc. | |
WellPoint Inc. | Network Appliance Inc. |
Source: Thompson Portfolio Analytics
MARKET CAPITALIZATION EXPOSURE
As of 3/31/05
TOP TEN HOLDINGS
Comcast Corp. | 4.0 | % | |
WellPoint Inc. | 4.0 | % | |
Sanofi-Aventis | 3.9 | % | |
CJ Home Shopping Co. | 3.8 | % | |
Amgen Inc. | 3.8 | % | |
Life Time Fitness Inc. | 3.6 | % | |
Apple Computer Inc. | 3.4 | % | |
Caremark Rx Inc. | 3.3 | % | |
Network Appliance Inc. | 3.3 | % | |
Gilead Sciences Inc. | 3.3 | % |
TOP TEN INDUSTRIES
Software & Services | 17.4 | % | |
Health Care Equipment & Services | 17.4 | % | |
Pharmaceutical & Biotechnology | 10.9 | % | |
Technology Hardware & Equipment | 9.7 | % | |
Telecommunication Services | 8.3 | % | |
Media | 7.9 | % | |
Hotels, Restaurants & Leisure | 5.3 | % | |
Diversified Financials | 5.0 | % | |
Retailing | 3.8 | % | |
Consumer Durables & Apparel | 2.7 | % |
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Thornburg Core Growth Fund
Continually Evaluating the Risk Equation
Growth stocks are often referred to as “glamour” stocks . . . and it is easy to understand why. Growth stocks generate excitement. These are stocks where rapid earnings growth is expected to be followed by rapid price appreciation. Growth stocks capture the imagination, and investing in them can offer considerable opportunities for reward.
But growth stocks can also be volatile. Identifying which companies will succeed takes work. It takes digging down to the nuts and bolts of companies. The managers of Thornburg Core Growth Fund understand this. They know that it is grit, not glamour, that creates a successful growth fund.
Portfolio Manager Alex Motola and his team apply a rigorous stock selection process to investments for Thornburg Core Growth Fund. This is a portfolio run on common sense, not on abstract theory. Motola’s overarching philosophy is to create a fund that generates good performance over the long term, while reducing volatility in the interim. Intensive, hands-on, independent research is the central theme. While other growth funds rely on broad portfolio diversification to temper volatility, Thornburg Core Growth Fund concentrates on a limited number of stocks and diversifies those investments among three segments of the growth fund universe: consistent growth companies, growth industry leaders, and emerging growth companies. By limiting the number of securities, Thornburg’s managers can cover each stock in greater depth. Diversifying among three growth baskets further mitigates risk because each of these segments reacts differently than the equity markets as a whole.
How does the stock selection process work? Before adding a stock to the Fund’s portfolio, Motola and his team drill down into the company and its business. Their research goes well beyond the standard Wall Street analysis, and eschews today’s common growth investing mantra of buy growth at any price. Instead, the Thornburg team zeros in on the risk equation.
Companies are initially screened using a variety of quantitative measures and parameters. Most are rejected and logged onto a screening rejection spreadsheet. Only those with the most appealing opportunities to expand margins and grow earnings move on to the next step – the construction of a company-specific model. The goal is to cut to the quick and get at the underlying business. The team uses SEC filings to construct proprietary income statement, balance sheet and cash flow statement models for each remaining company. From these they analyze historical data, monitor current conditions, identify red-flags and estimate future growth potential.
Motola, a former historian who has been at the Fund’s helm since its inception, is not one to go along with the crowd. He and his team are not tied to “mainstream thinking.” While they have access to the best of Wall Street’s analysis, they are not ruled by it.
They test the strength of a company’s underlying business model against a variety of what-if screens. They conduct site visits and interview company management. And they complete the picture by checking in with a company’s major customers, suppliers and distributors. Revenue and cost of goods sold are given particular attention, with each broken down in as many ways as the data will allow.
With growth stocks beginning to return to favor, this team is positioned to demonstrate the strength of its grit over glamour strategy . . . and eager to continue providing its shareholders with steady, consistent performance through a variety of market cycles.
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Thornburg Core Growth Fund
I Shares – March 31, 2005
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semi-annual shareholder reports fully and fairly represents their financial position.
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Alexander M.V.
Motola,CFA
Portfolio Manager
April 19, 2005
Dear Fellow Shareholder:
The first six months of your Fund’s fiscal year have proved prosperous. On September 30, 2004, the net asset value (NAV) for the class I shares was $10.93. Six months later, the Fund’s NAV was $12.32. The Fund’s Class I shares outperformed its benchmarks with a total return of 12.72% during the six month period. The NASDAQ Composite Index returned 5.73% and the Russell 1000 Growth returned 4.64% over the six month period.
Our exposure to health care & pharmaceuticals has declined over the past six months, from 33.9% of the portfolio to 28.3%. We continue to find many interesting opportunities in the sector, but we will likely continue to work our exposure a little bit lower over the next several quarters. Technology & software as a percentage of the portfolio has declined by 3.0% to 27.2%. Consumer discretionary exposure has increased.
With regards to our baskets and capitalization ranges, the most material change has been a reduction of Emerging Growth Companies to 32%. This change was accompanied by a reversal in our capitalization exposure – on September 30, 2004, the Fund was most exposed to smaller capitalization equities. As of March 31, 2005, our largest market cap exposure is to companies over $12 billion in market value.
There was not a lot of commonality among our five best performing stocks: IMAX Corporation, DATATRAK International Inc., CJ Home Shopping Co. Ltd., WellPoint Inc., and Amdocs Ltd. IMAX benefited from the success of The Polar Express in 3D – for the IMAX format, it was a fairly easy technological process to transfer the computer animated 2D film into 3D. The IMAX version of the film grossed $45 million at the box office. The success of the film has helped the company to sell more IMAX theater equipment. IMAX recently released Robots concurrently with the traditional theater opening. This will be followed by Batman Begins and Willy Wonka. CJ Home Shopping continues to generate a lot of cash flow. Amdocs’ business continues to improve as management leverages their best of breed billing software from the wireless phone industry into the wireline, cable, and financial verticals.
Two long time holdings, Boston Scientific Corp. and DIRECTV Group Inc., were among our worst performing stocks. Other stocks that performed poorly include Ditech Communications, Network Appliance Inc., and Pfizer.
Pfizer remains a cheap stock. Several issues surround the stock today, even though the FDA has allowed the Cox-II inhibitors (Pfizer’s Celebrex and Merck’s Vioxx, primarily) to remain on the market. It is not unusual for pharmaceutical or biotechnology companies to face concerns about future growth based on developments in the pipeline. Although Pfizer spends around $2 billion a quarter on research and development, the most among pharmaceutical companies, it isn’t clear the company will be a growing concern in the last half of this decade.
In Boston Scientific’s case, recent news flow on the Taxus stent has been negative, culminating in data that was released at a cardiologist conference during the first week of March. While Taxus clearly is the largest single factor in Boston’s revenue line, it is not the entire company. At the low point, Boston Scientific was trading at an 18.5x P/E on their businesses excluding stents, what we would view as a fair valuation. At the low
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point, we think we were getting the leading drug eluting stent franchise more or less for free. We are quite optimistic about Boston Scientific’s prospects from here.
Investors have focused on DIRECTV’s rising costs to acquire each additional customer. While it is true that these costs have been rising over the last several quarters, the financial return on each subscriber remains high – meaning each new subscriber is a good investment and a good use of DIRECTV’s capital. DIRECTV grew revenues 27% in 2004, and cash flow generation should accelerate from current levels over the next several years.
It is important to understand our focus on risk control. Although we hope our statistical risk is low (standard deviation of returns), our focus is on appropriate diversification and stock specific risk control. “Knowing what you own” is our mantra. Our approach is a balance between diversifying our portfolio and maximizing the impact of individual stock selections.
We seek to control risk by consciously diversifying our portfolio by capitalization range, by sector and within sectors, and by basket (Growth Industry Leaders, Consistent Growth Companies, and Emerging Growth Companies). Moreover, since we focus our research efforts on identifying stock specific risks – knowing the business model, the accounting issues, the competitive, regulatory, and legal risks, and the quality of earnings being generated – we feel we are controlling our risks at the most basic and important level, the individual securities.
The outlook for equities is good. The Fed Stock Valuation Model, which compares the earnings yield of the Standard & Poors’ 500 Index to the 10 year U.S. Treasury bond yield, suggests that stocks are materially undervalued relative to bonds. Over the life of the Fund (inception was December of 2000), the returns on Growth Equity asset classes (small, mid-cap, and large) have been negative. History suggests that, at some future point, growth stocks will outperform value stocks. After five years of value outperformance, it is likely that the shift will occur within the next year or two.
Initial public offerings contributed 1.53% of total return to the Fund during the first six month’s of the Fund’s fiscal year. The effects of offerings in prior periods are disclosed in prior quarterly reports.
Our motto is “Core strategies for building wealth.” 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 maximizing long term after-tax returns while controlling risk. We encourage you to learn more about your portfolio. Descriptions of each holding 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.
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STATEMENT OF ASSETS AND LIABILITIES
Thornburg Core Growth Fund | March 31, 2005 (Unaudited) |
ASSETS | ||||
Investments at value (cost $ 84,434,155) | $ | 97,963,090 | ||
Cash | 1,794,646 | |||
Receivable for fund shares sold | 345,647 | |||
Dividends receivable | 10,911 | |||
Interest receivable | 8,800 | |||
Prepaid expenses and other assets | 41,360 | |||
Total Assets | 100,164,454 | |||
LIABILITIES | ||||
Payable for securities purchased | 403,230 | |||
Payable for fund shares redeemed | 176,921 | |||
Payable to investment advisor and other affiliates (Note 3) | 102,602 | |||
Accounts payable and accrued expenses | 29,183 | |||
Total Liabilities | 711,936 | |||
NET ASSETS | $ | 99,452,518 | ||
NET ASSETS CONSIST OF: | ||||
Undistributed net investment gain (loss) | $ | (581,908 | ) | |
Net unrealized appreciation on investments | 13,520,895 | |||
Accumulated net realized gain (loss) | 1,830,966 | |||
Net capital paid in on shares of beneficial interest | 84,682,565 | |||
$ | 99,452,518 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($54,848,646 applicable to 4,491,251 shares of beneficial interest outstanding - Note 4) | $ | 12.21 | ||
Maximum sales charge, 4.50% of offering price | 0.58 | �� | ||
Maximum offering price per share | $ | 12.79 | ||
Class C Shares: | ||||
Net asset value and offering price per share * ($18,441,851 applicable to 1,568,073 shares of beneficial interest outstanding - Note 4) | $ | 11.76 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($25,482,367 applicable to 2,068,794 shares of beneficial interest outstanding - Note 4) | $ | 12.32 | ||
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STATEMENTS OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2005 (Unaudited) |
Class R1 Shares: | |||
Net asset value, offering and redemption price per share ($679,654 applicable to 55,491 shares of beneficial interest outstanding - Note 4) | $ | 12.25 | |
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
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Thornburg Core Growth Fund | Six Months Ended March 31, 2005 (Unaudited) |
INVESTMENT INCOME: | ||||
Dividend income (net of foreign currency loss) | $ | 11,481 | ||
Interest income | 128,711 | |||
Total Income | 140,192 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 398,291 | |||
Administration fees (Note 3) | ||||
Class A Shares | 30,960 | |||
Class C Shares | 10,566 | |||
Class I Shares | 6,101 | |||
Class R1 Shares | 170 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 61,982 | |||
Class C Shares | 84,559 | |||
Class R1 Shares | 711 | |||
Transfer agent fees | ||||
Class A Shares | 41,805 | |||
Class C Shares | 15,505 | |||
Class I Shares | 8,813 | |||
Class R1 Shares | 1,223 | |||
Registration and filing fees | ||||
Class A Shares | 9,117 | |||
Class C Shares | 6,711 | |||
Class I Shares | 862 | |||
Class R1 Shares | 14,024 | |||
Custodian fees (Note 3) | 39,854 | |||
Professional fees | 11,968 | |||
Accounting fees | 5,622 | |||
Trustee fees | 1,779 | |||
Other expenses | 27,292 | |||
Total Expenses | 777,915 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (31,597 | ) | ||
Management fees waived by investment advisor (Note 3) | (21,859 | ) | ||
Fees paid indirectly (Note 3) | (9,905 | ) | ||
Net Expenses | 714,554 | |||
Net Investment Income (Loss) | $ | (574,362 | ) | |
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STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Core Growth Fund | Six Months Ended March 31, 2005 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments | $ | 4,119,568 | ||
Foreign currency transactions | (684 | ) | ||
4,118,884 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 6,314,863 | |||
6,314,863 | ||||
Net Realized and Unrealized Gain | 10,433,747 | |||
Net Increase in Net Assets Resulting From Operations | $ | 9,859,385 | ||
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Core Growth Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income (loss) | $ | (574,362 | ) | $ | (907,261 | ) | ||
Net realized gain (loss) on investments and foreign currency | 4,118,884 | (69,166 | ) | |||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments and foreign currency translation | 6,314,863 | 3,816,240 | ||||||
Net Increase in Net Assets Resulting from Operations | 9,859,385 | 2,839,813 | ||||||
FUND SHARE TRANSACTIONS - (Note 4) | ||||||||
Class A Shares | 8,620,593 | 2,225,643 | ||||||
Class C Shares | 1,973,775 | 7,120,528 | ||||||
Class I Shares | 1,151,289 | 21,612,285 | ||||||
Class R1 Shares | 661,558 | 14,604 | ||||||
Net Increase in Net Assets | 22,266,600 | 33,812,873 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 77,185,918 | 43,373,045 | ||||||
End of period | $ | 99,452,518 | $ | 77,185,918 | ||||
See notes to financial statements.
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Thornburg Core Growth Fund | March 31, 2005 (Unaudited) |
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 Limited Term Municipal Fund, Thornburg California 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 R1) 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 R1 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 Trust 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.
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
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2005 (Unaudited) |
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 Trust to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all taxable income, including any net realized gain on investments, of the Fund, to the shareholders. Therefore, no provision for Federal income taxes 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 and or market changes. At the time the Trust 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 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: 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 period ended March 31, 2005, these fees were payable at annual rates ranging from .875 of 1% to .675 of 1% per annum of the average daily net assets of the Fund depending on the Fund’s asset size. For the period ended March 31, 2005, the Advisor voluntarily waived investment advisory fees of $21,859. 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% per annum of the average daily net assets attributable to each class of shares. For the period ended March 31, 2005, the Advisor voluntarily reimbursed certain class specific expenses and administrative fees and distribution fees of $421 for Class C shares, $15,776 for Class I shares, and $15,400 for Class R1 shares.
The Trust 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 period ended March 31, 2005, the Distributor has advised the Fund that it earned commissions aggregating $12,356 from the sale of Class A shares of the Fund and collected contingent deferred sales charges aggregating $2,369 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 Trust has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Fund’s Class C and Class R1
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2005 (Unaudited) |
shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C and Class R1 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 R1 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 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 March 31, 2005, fees paid indirectly were $9,905.
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 March 31, 2005, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 1,070,459 | $ | 12,676,341 | 2,600,930 | $ | 28,184,218 | ||||||||
Shares repurchased** | (341,314 | ) | (4,055,748 | ) | (2,423,327 | ) | (25,958,575 | ) | ||||||
Net Increase (Decrease) | 729,145 | $ | 8,620,593 | 177,603 | $ | 2,225,643 | ||||||||
** The Fund charges a redemption fee of 1% of the Class A shares exchanged within 90 days of purchase. For the period ended March 31, 2005 and year ended September 30, 2004, $2,478 and $19,941, respectively, were netted in the amount reported for shares repurchased. |
| |||||||||||||
Class C Shares | ||||||||||||||
Shares sold | 302,288 | $ | 3,495,041 | 872,281 | $ | 9,164,316 | ||||||||
Shares repurchased | (131,896 | ) | (1,521,266 | ) | (199,986 | ) | (2,043,788 | ) | ||||||
Net Increase (Decrease) | 170,392 | $ | 1,973,775 | 672,295 | $ | 7,120,528 | ||||||||
Class I Shares* | ||||||||||||||
Shares sold | 145,041 | $ | 1,763,599 | 2,027,702 | $ | 22,189,316 | ||||||||
Shares repurchased ** | (49,934 | ) | (612,310 | ) | (54,015 | ) | (577,031 | ) | ||||||
Net Increase (Decrease) | 95,107 | $ | 1,151,289 | 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 March 31, 2005 and the year ended September 30, 2004, $151 and $474, respectively, were netted in the amount reported for shares repurchased. |
| |||||||||||||
Class R1 Shares | ||||||||||||||
Shares sold | 54,676 | $ | 669,298 | 1,444 | $ | 14,629 | ||||||||
Shares repurchased | (635 | ) | (7,740 | ) | (2 | ) | (25 | ) | ||||||
Net Increase (Decrease) | 54,041 | $ | 661,558 | 1,442 | $ | 14,604 | ||||||||
Certified Semi-Annual Report | 17 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2005 (Unaudited) |
NOTE 5 – SECURITIES TRANSACTIONS
For the period ended March 31, 2005, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $56,018,298 and $44,639,893, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2005, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 84,575,631 | ||
Gross unrealized appreciation on a tax basis | $ | 15,846,648 | ||
Gross unrealized depreciation on a tax basis | (2,467,229 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 13,379,419 | ||
At March 31, 2005, the Fund has 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 March 31, 2005, 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.
18 | Certified Semi-Annual Report |
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Thornburg Core Growth Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | 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 | $ | 10.93 | $ | 10.87 | ||||
Income from investment operations: | ||||||||
Net investment income (loss) | (0.04 | ) | (0.08 | ) | ||||
Net realized and unrealized gain (loss) on investments | 1.43 | 0.14 | ||||||
Total from investment operations | 1.39 | 0.06 | ||||||
Change in net asset value | 1.39 | 0.06 | ||||||
NET ASSET VALUE, end of period | $ | 12.32 | $ | 10.93 | ||||
RATIOS/SUPPLEMENTAL DATA | ||||||||
Total return (a) | 12.72 | % | 0.55 | % | ||||
Ratios to average net assets: | ||||||||
Net investment income (loss) | 0.69 | %(b) | (0.74 | )%(b) | ||||
Expenses, after expense reductions | 1.01 | %(b) | 1.00 | %(b) | ||||
Expenses, after expense reductions and net of custody credits | 0.99 | %(b) | 0.99 | %(b) | ||||
Expenses, before expense reductions | 1.19 | %(b) | 1.31 | %(b) | ||||
Portfolio turnover rate | 50.92 | % | 108.50 | % | ||||
Net assets at end of period (000) | $ | 25,482 | $ | 21,578 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
(c) | Effective date of Class I Shares was November 1, 2003. |
Certified Semi-Annual Report | 19 |
Table of Contents
Thornburg Core Growth Fund | March 31, 2005 (Unaudited) |
CUSIPS: CLASS A - 885-215-582, CLASS C - 885-215-574, CLASS I - 885-215-475, CLASS R1 - 885-215-517
NASDAQ SYMBOLS: CLASS A - THCGX, CLASS C - TCGCX, CLASS I - THIGX, CLASS R1 - THCRX
Shares/ Principal Amount | Value | ||||
COMMON STOCK — 96.80% | |||||
BANKS — 2.08% | |||||
COMMERCIAL BANKS — 2.08% | |||||
Commerce Bancorp, Inc. | 63,800 | $ | 2,071,586 | ||
TOTAL BANKS | 2,071,586 | ||||
COMMERCIAL SERVICES & SUPPLIES — 2.02% | |||||
COMMERCIAL SERVICES & SUPPLIES — 2.02% | |||||
Gevity HR, Inc. | 104,900 | 2,005,688 | |||
TOTAL COMMERCIAL SERVICES & SUPPLIES | 2,005,688 | ||||
CONSUMER DURABLES & APPAREL — 2.69% | |||||
HOUSEHOLD DURABLES — 2.69% | |||||
Tempur-Pedic International Inc.+ | 143,575 | 2,679,109 | |||
TOTAL CONSUMER DURABLES & APPAREL | 2,679,109 | ||||
DIVERSIFIED FINANCIALS — 4.99% | |||||
CAPITAL MARKETS — 4.99% | |||||
Affiliated Managers Group Inc.+ | 35,375 | 2,194,311 | |||
Investors Financial Services Corp. | 56,505 | 2,763,660 | |||
TOTAL DIVERSIFIED FINANCIALS | 4,957,971 | ||||
ENERGY — 2.11% | |||||
OIL & GAS — 2.11% | |||||
ATP Oil & Gas Corp.+ | 96,800 | 2,094,752 | |||
TOTAL ENERGY | 2,094,752 | ||||
HEALTH CARE EQUIPMENT & SERVICES — 17.37% | |||||
HEALTH CARE EQUIPMENT & SUPPLIES — 6.51% | |||||
Boston Scientific Corp.+ | 94,220 | 2,759,704 | |||
Cytyc Corp.+ | 95,800 | 2,204,358 | |||
Golden Meditech Co. Ltd | 7,246,241 | 1,505,133 |
20 | Certified Semi-Annual Report |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2005 (Unaudited) |
Shares/ Principal Amount | Value | ||||
HEALTH CARE PROVIDERS & SERVICES — 10.86% | |||||
Caremark Rx Inc.+ | 82,575 | $ | 3,284,833 | ||
Eclipsys Corp.+ | 94,439 | 1,461,916 | |||
UnitedHealth Group Inc. | 22,375 | 2,134,128 | |||
WellPoint Inc.+ | 31,300 | 3,923,455 | |||
TOTAL HEALTH CARE EQUIPMENT & SERVICES | 17,273,527 | ||||
HOTELS RESTAURANTS & LEISURE — 5.34% | |||||
HOTELS RESTAURANTS & LEISURE — 5.34% | |||||
Life Time Fitness Inc.+ | 130,900 | 3,531,682 | |||
Sportingbet plc+ | 353,000 | 1,783,263 | |||
TOTAL HOTELS RESTAURANTS & LEISURE | 5,314,945 | ||||
MEDIA — 7.85% | |||||
MEDIA — 7.85% | |||||
Comcast Corp.+ | 117,600 | 3,927,840 | |||
DIRECTV Group Inc.+ | 158,200 | 2,281,244 | |||
Imax Corp.+ | 172,890 | 1,597,503 | |||
TOTAL MEDIA | 7,806,587 | ||||
PHARMACEUTICALS & BIOTECHNOLOGY — 10.89% | |||||
BIOTECHNOLOGY — 7.02% | |||||
Amgen Inc.+ | 64,000 | 3,725,440 | |||
Gilead Sciences Inc.+ | 91,100 | 3,261,380 | |||
PHARMACEUTICALS — 3.87% | |||||
Sanofi-Aventis | 45,600 | 3,846,522 | |||
TOTAL PHARMACEUTICALS & BIOTECHNOLOGY | 10,833,342 | ||||
RETAILING — 3.81% | |||||
INTERNET & CATALOG RETAIL — 3.81% | |||||
CJ Home Shopping Co. Ltd. | 52,200 | 3,793,560 | |||
TOTAL RETAILING | 3,793,560 | ||||
SOFTWARE & SERVICES — 17.43% | |||||
COMMUNICATIONS EQUIPMENT — 3.13% | |||||
Amdocs Ltd.+ | 109,725 | 3,116,190 | |||
INTERNET SOFTWARE & SERVICES — 5.94% | |||||
Google Inc.+ | 17,100 | 3,086,721 | |||
Netease.com Inc.+ | 58,380 | 2,814,500 |
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Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2005 (Unaudited) |
Shares/ Principal Amount | Value | ||||
SOFTWARE — 8.36% | |||||
DATATRAK International Inc.+ | 68,367 | $ | 1,148,565 | ||
Microsoft Corp. | 121,400 | 2,934,238 | |||
Shanda Interactive Entertainment Ltd.+ | 81,200 | 2,452,240 | |||
The9 Ltd.ADR+ | 103,605 | 1,778,898 | |||
TOTAL SOFTWARE & SERVICES | 17,331,352 | ||||
TECHNOLOGY HARDWARE & EQUIPMENT — 9.73% | |||||
COMPUTERS & PERIPHERALS — 9.73% | |||||
Apple Computer, Inc.+ | 80,900 | 3,371,103 | |||
Dell Inc.+ | 79,000 | 3,035,180 | |||
Network Appliance, Inc.+ | 118,300 | 3,272,178 | |||
TOTAL TECHNOLOGY HARDWARE & EQUIPMENT | 9,678,461 | ||||
TELECOMMUNICATION SERVICES — 6.62% | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.33% | |||||
Arbinet-thexchange, Inc.+ | 17,496 | 333,299 | |||
WIRELESS TELECOMMUNICATION SERVICES — 6.29% | |||||
Leap Wireless International, Inc.+ | 75,500 | 1,966,775 | |||
NII Holdings Inc.+ | 38,945 | 2,239,337 | |||
SBA Communications Corp.+ | 223,600 | 2,048,176 | |||
TOTAL TELECOMMUNICATION SERVICES | 6,587,587 | ||||
TRANSPORTATION — 2.18% | |||||
TRANSPORTATION INFRASTRUCTURE — 2.18% | |||||
Shenzhen Chiwan Wharf Holdings Ltd. | 859,988 | 2,165,614 | |||
TOTAL TRANSPORTATION | 2,165,614 | ||||
UTILITIES — 1.69% | |||||
MULTI-UTILITIES & UNREGULATED POWER — 1.69% | |||||
Ormat Technologies Inc. | 107,400 | 1,681,884 | |||
TOTAL UTILITIES | 1,681,884 | ||||
TOTAL COMMON STOCK (Cost $ 82,405,303) | 96,275,965 | ||||
22 | Certified Semi-Annual Report |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2005 (Unaudited) |
Shares/ Principal Amount | Value | |||||
CONVERTIBLE BONDS — 1.70% | ||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 1.70% | ||||||
Level 3 Communications Inc., 6.00%, 3/15/2010 | $ | 3,300,000 | $ | 1,687,125 | ||
TOTAL CONVERTIBLE BONDS (Cost $ 2,028,852) | 1,687,125 | |||||
TOTAL INVESTMENTS — 98.50% (COST $ 84,434,155) | $ | 97,963,090 | ||||
OTHER ASSETS LESS LIABILITIES — 1.50% | 1,489,428 | |||||
NET ASSETS — 100.00% | $ | 99,452,518 | ||||
Footnote Legend
See notes to financial statements.
+ Non-income producing.
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR American Depository Receipt
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/05
Software & Services | 17.43 | % | |
Health Care Equipment & Services | 17.37 | % | |
Pharmaceutical & Biotechnology | 10.89 | % | |
Technology Hardware & Equipment | 9.73 | % | |
Telecommunication Services | 8.32 | % | |
Media | 7.85 | % | |
Hotels, Restaurants & Leisure | 5.34 | % | |
Diversified Financials | 4.99 | % | |
Retailing | 3.81 | % | |
Consumer Durables & Apparel | 2.69 | % | |
Transportation | 2.18 | % | |
Energy | 2.11 | % | |
Banks | 2.08 | % | |
Commercial Services & Supplies | 2.02 | % | |
Utilities | 1.69 | % | |
Other Assets & Cash Equivalents | 1.50 | % |
Certified Semi-Annual Report | 23 |
Table of Contents
Thornburg Core Growth Fund | March 31, 2005 (Unaudited) |
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 September 30, 2004 and held until March 31, 2005.
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 Account Value 9/30/04 | Ending Account Value 3/31/05 | Expenses Paid During Period† 9/30/04–3/31/05 | |||||||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,127.20 | $ | 5.24 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.00 | $ | 4.98 |
† | 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 182/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
24 | Certified Semi-Annual Report |
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Thornburg Core Growth Fund | March 31, 2005 (Unaudited) |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Core Growth Fund versus NASDAQ Composite Index (November 3, 2003 to March 31, 2005)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2005
1Yr | Since Inception | |||||
I Shares (Incep: 11/3/03) | 11.80 | % | 9.30 | % | ||
NASDAQ Composite Index (Since: 11/3/03) | 0.82 | % | 2.99 | % |
Performance data reflects 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 Semi-Annual Report | 25 |
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Thornburg Core Growth Fund | March 31, 2005 (Unaudited) |
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 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.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files 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. The Fund’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, or may be reviewed and 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.
26 | Certified Semi-Annual Report |
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Trustees’ Statement to Shareholders
February 8, 2005
The Trustees are concerned that recent commentaries and opinions reported in the media may confuse investors in general as to the supervisory duties of trustees of mutual funds and, in particular, leave Thornburg Investment Trust shareholders uncertain regarding how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. We decided to spell out clearly three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf.
We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.
Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders’ returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.
Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.
This statement is submitted for the general information of the shareholders of Thornburg Investment Trust. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money.
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Planning Options
Retirement and Education Accounts
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs – Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 701/2, even if you are covered by an employer retirement plan.
Roth IRAs – Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our web site at www.thornburg.com/ira.
SEP IRAs – Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employee’s SEP IRA on a discretionary basis.
SIMPLE IRAs – Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employee’s SIMPLE IRA. Employees may make salary deferral contributions.
403(b)
A special, tax-advantaged savings vehicle available only to employees of 501(c)(3) organizations, such as charitable, educational, scientific and religious organizations. 403(b) plans are also available to employees of public schools and universities.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
• | Thornburg International Value Fund |
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
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The Firm
Thornburg Investment Management is a privately held investment management company based in Santa Fe, New Mexico with assets under management of over $13 billion. Founded in 1982, the firm manages four equity funds, eight bond funds, and separate portfolios for select institutions and individuals.
Investment Philosophy
We seek to preserve and increase the real wealth of the Funds’ shareholders after accounting for inflation, taxes, and investment expenses.We’re committed to disciplined investing and controlling risk in all market environments through laddered bond and focused equity portfolios.
Portfolio Holdings Disclosure
We believe you should know what is in your portfolio. Our web site keeps investors informed of the Funds’ equity holdings. Go to www.thornburg.com/funds for portfolio manager commentary on our equity fund holdings.
Co-Ownership of Funds
We invest side-by-side with the Funds’ shareholders. Our employees have invested over $100 million in Thornburg Funds.
Core Strategies for Building Wealth
We deliver core strategies to help investors meet long-term goals. A core strategy is a consistent, disciplined and proven investment process that represents the foundation of a diversified portfolio.
INVESTMENT MANAGER
Thornburg Investment Management, Inc.
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
PRINCIPAL UNDERWRITER
Thornburg Securities Corporation
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
www.thornburg.com
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Core Strategies for Building Wealth
Thornburg Investment Income Builder Fund
Informational Brochure and Semi-Annual Report – March 31, 2005
This report and the accompanying brochure are submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/ download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money. Performance data quoted represents past performance and does not guarantee future results.
Table of Contents
Thornburg Investment Income Builder Fund
The Fund seeks to provide a level of current income which exceeds the average yield on U.S. stocks generally, and which will generally grow, subject to periodic fluctuations, over the years on a per share basis. The Fund’s secondary investment objective is long-term capital appreciation.
The Fund invests in companies (both in the U.S. and abroad) with histories of paying dividends and, in the opinion of Thornburg Investment Management, that show the capacity to increase them. To provide additional income, the Fund also invests in fixed income securities, with a focus on the corporate sector.
Thornburg Bond Funds
• | Thornburg Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term 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 invests in short- and intermediate-term investment grade bonds. We ladder the maturities of individual bonds in the portfolios to moderate risk. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio will mature each year. We apply this disciplined process in all interest rate environments.
Thornburg Equity Funds
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
Thornburg’s equity research uses a fundamental, yet comprehensive, analytical approach. We invest when and where we perceive the most compelling value. Thornburg equity funds focus on a limited number of securities so that each holding can have a material impact on performance. The equity team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic value.
More information at www.thornburg.com
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2 This page is not part of the Semi-Annual Report. |
Table of Contents
The Dividend Landscape
To appreciate the investment environment that Thornburg Investment Income Builder Fund operates in, you may wish to review these highlights of the “dividend landscape.”
The S&P 500 Index Payout Ratio – A Historical Perspective
S&P 500 Index Payout Ratio (January 1940 to December 2004)
The dividend payout ratio is a fraction that expresses dividend payments as a percentage of per-share earnings. By long-term historical standards, the dividend payout ratio of the S&P 500 Index is relatively low at this time.
Corporate Willingness to Pay Dividends is Improving
Percentage of Companies Paying Dividends in Russell 1000 Index (December 1979 to December 2004)
The Russell 1000 Index includes 1000 public companies that are supposed to be generally representative of corporate America. Between 1980 and 1993, at least 75% of these firms paid some dividend. Between 1994 and 2001, the percentage of Russell 1000 companies paying dividends sank to just over 50%, indicating investor and management preference for reinvesting retained earnings in growth initiatives. Now the pendulum appears to be swinging back, and the percentage of dividend payers is increasing. Long-term academic studies have shown that subsequent earnings-per-share growth of dividend-paying firms actually exceeds that of non-payers.
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The Dividend Landscape
Continued
Rising Dividend Payments Despite Decreasing Dividend Yields
Over time, the dollar dividend per unit of the S&P 500 Index has increased. Because the price of the index itself has increased even more, the yield on the S&P 500 Index, as a percentage of the current index price, has generally decreased in recent decades. You should note, however, that the yield on the original investment made at a fixed point in time (say, 1970 or 1989) has increased, even without reinvestment of dividends.
S&P 500 Index Average Yield vs. Annual Dividends from a One-
Time $10,000 Investment in the Index (Dividends not Reinvested)
A Truly Diversified Dividend-Paying Portfolio Must Look Beyond the Obvious High Yield Stocks!
In the (large cap) Russell 1000 Index, 73% of the top 100 dividend payers are either real estate investment trusts (REITs) or utilities. In the (small cap) Russell 2000 Index, 78% of the top 100 dividend-yielding stocks are either REITs or utilities. In order to construct a diversified portfolio of attractive yielding stocks, one must look beyond these two sectors. We do!
The Top 100 Dividend Yields | ||||||
Russell 1000 Index | Russell 2000 Index | |||||
REITs | 45 | % | 69 | % | ||
Utilities | 28 | % | 9 | % | ||
Banks | 7 | % | 1 | % | ||
Other Financials | 4 | % | 5 | % | ||
Consumer Staples | 5 | % | 3 | % | ||
Telecom | 4 | % | 0 | % | ||
Materials | 2 | % | 5 | % | ||
Health Care | 1 | % | 1 | % | ||
Consumer Discretionary | 4 | % | 6 | % | ||
Industrials | 0 | % | 0 | % | ||
Energy | 0 | % | 1 | % | ||
Technology | 0 | % | 0 | % | ||
Source: Baseline, as of December 31, 2004; (Numbers may not add to 100% due to rounding.) |
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Table of Contents
Global Diversification Can Improve the Portfolio Yield
Average Dividend Yields and Payout Ratios
of Markets Around the Globe
Since firms outside the U.S. tend to pay higher dividends than U.S. firms, particularly outside the REIT and utility sectors, we diversify the Thornburg Investment Income Builder Fund into some foreign dividend-paying stocks to try to take advantage of these opportunities.
Corporate Willingness to Pay Dividends May Come from Unlikely Sources
Potential Increases in S&P 500 Index Sector Dividends if All Share
Repurchases Were Converted to Dividend Payments
Since the passage of the 2003 tax bill, which lowered maximum tax rates on dividends to 15%, Citigroup and several other leading U.S. firms have redirected funds previously allocated to share buybacks to increased dividend payments. This graph shows the potential for dividend increases, by S&P sector, if all funds used to repurchase shares were to be redirected to dividend payments. We do not expect this outcome, but we are seeing some movement in this direction.
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Table of Contents
Important Information
The information presented on the following pages was current as of March 31, 2005. 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.
Shares in the Fund carry risks including possible loss of principal. There are special risks associated with international investing, including currency fluctuations, government regulation, political developments, and differences in liquidity. Additionally, the Fund invests a portion of the assets in small capitalization companies which may increase the risk of greater price fluctuations.
As with direct bond ownership, Funds that invest in bonds are subject to certain risks including interest-rate risk, credit risk, and inflation risk. The value of a bond will fluctuate relative to changes in interest rates; as interest rates rise, the overall price of bonds fall. Shares in the fund are not deposits or obligations of, or guaranteed or endorsed by, any bank, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any government agency.
Glossary
Blended Index – 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 1,600 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.
Russell 1000 Index – Consists of the 1,000 largest securities in the Russell 3000 Index, which represents approximately 90% of the total market capitalization of the Russell 3000 Index. It is a large-cap, market-oriented index and is highly correlated with the S&P 500 Index.
Russell 2000 Index – An unmanaged index generally representative of the 2,000 smallest companies in the Russell 3000 Index, representing approximately 10% of the total market capitalization of the Russell 3000 Index.
Standard & Poor’s 500 Stock Index (S&P 500) – An unmanaged index generally representative of the U.S. stock market, without regard to company size.
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.
Median Market Capitalization – Market capitalization (market cap) is the total value of a company’s stock, calculated by multiplying the number of outstanding common shares by the current share price. The company whose market cap is in the middle of the portfolio is the median market cap. Half the companies in the portfolio have values greater than the median, and half have values that are less. If there is an even number of companies, then the median is the average of the two companies in the middle.
Price to Book Value (P/B) – A ratio used to compare a stock’s market value to its book value. It is calculated by dividing the current closing price of the stock by the latest quarter’s book value (book value is simply assets minus liabilities).
Price to Cash Flow Ratio – A measure of the market’s expectations of a firm’s future financial health. It is calculated by dividing the price per share by cash flow per share.
Price to Earnings Ratio (P/E) – A valuation ratio of a company’s current share price compared to its per-share earnings. P/E equals a company’s market value per share divided by earnings per share.
Weighted Average Coupon – Coupon refers to the rate of interest paid on a bond, usually expressed as a percent of its par value. A fund’s weighted average coupon is calculated by weighting each bond’s coupon by its relative size in the portfolio and taking the average.
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Table of Contents
Portfolio Overview
Thornburg Investment Income Builder Fund
IMPORTANT PERFORMANCE INFORMATION
Performance data quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate so that upon redemption, investor’s shares may be worth more or less than their original cost. Current performance may be lower or higher than the data quoted. For performance data current to the most recent month end, visit www.thornburg.com.
The maximum sales charge for Class A shares is 4.50%.
MANAGEMENT TEAM
Front row, L to R: Steven Bohlin, Brad Kinkelaar, and Brian McMahon. Back row, L to R: Wendy Trevisani, Lewis Kaufman, Ed Maran, Vin Walden, and Lei Wang.
PORTFOLIO COMPOSITION
As of 3/31/05
We do not expect each sequential quarter’s dividend to increase over that of the prior quarter, since dividend payments outside the U.S. tend to be seasonal. Rather, the Fund aspires to increase the dividend paid on an annual basis.
100% of 2004 and 2003’s dividend payments qualified for the lower 15% tax rate on stock dividends.
QUARTERLY DIVIDEND HISTORY
Q1 | Q2 | Q3 | Q4 | Total | |||||||||||
Class A Shares | |||||||||||||||
2005 | 11.0 | ¢ | N/A | N/A | N/A | N/A | |||||||||
2004 | 10.2 | ¢ | 12.5 | ¢ | 15.0 | ¢ | 21.8 | ¢ | 59.5 | ¢ | |||||
2003 | 9.2 | ¢ | 11.2 | ¢ | 12.4 | ¢ | 17.5 | ¢ | 50.3 | ¢ | |||||
Class C Shares | |||||||||||||||
2005 | 9.1 | ¢ | N/A | N/A | N/A | N/A | |||||||||
2004 | 8.4 | ¢ | 10.9 | ¢ | 13.7 | ¢ | 20.2 | ¢ | 53.2 | ¢ | |||||
2003 | 8.3 | ¢ | 9.5 | ¢ | 10.4 | ¢ | 15.9 | ¢ | 44.1 | ¢ |
KEY PORTFOLIO ATTRIBUTES
Equity Statistics | ||||
Equity Portfolio P/E | 15.4 | x | ||
Median Market Cap | $ | 16.20B | ||
Equity Holdings | 46 | |||
Fixed Income Statistics | ||||
Weighted Average Coupon | 5.12 | % | ||
Average Credit Quality | BBB+ | |||
Average Maturity | 4.5 yrs | |||
Duration | 1.53 yrs | |||
Bond Holdings | 22 |
TOP TEN HOLDINGS
Lloyds TSB Group plc | 3.7 | % | |
Marathon Oil Corp. | 3.6 | % | |
TXU Corp. | 3.4 | % | |
Altria Group Inc. | 3.4 | % | |
Barclays plc | 3.1 | % | |
General Electric Co. | 3.0 | % | |
Citigroup Inc. | 3.0 | % | |
Tesco plc | 3.0 | % | |
Bank of America Corp. | 2.9 | % | |
Dominion Resources Inc. | 2.8 | % |
AVERAGE ANNUAL TOTAL RETURNS*
For periods ending March 31, 2005
1Q ‘05 | 1 Yr | Since Inception | |||||||
A Shares (Incep: 12/24/02) | |||||||||
Without Sales Charge | 1.29 | % | 14.36 | % | 21.72 | % | |||
With Sales Charge | (3.29 | )% | 9.19 | % | 19.28 | % | |||
Blended Index** (Since: 12/31/02) | (1.09 | )% | 8.06 | % | 15.80 | % |
* | Periods under one year are not annualized. |
** | Blended Index: 75% MSCI World/25% Lehman Brothers Aggregate |
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Table of Contents
Portfolio Overview
Continued
The investment objective of Thornburg Investment Income Builder Fund is to provide a level of current income which exceeds the average yield on U.S. stocks, and which will grow, subject to periodic fluctuations, over the years. This objective remains constant over time. However, the specific investments we have used to try to reach our objective have changed occasionally. There is no guarantee the Fund will meet its investment objectives.
Business conditions for various industries and operating effectiveness at individual firms, change over time. Investor preferences, expressed as both absolute and relative prices, also change over time. In the view of your portfolio management team, “some doors close and others open.” As shown in the tables below, the percentage industry allocations of your Fund evolve to reflect these changing conditions.
TOP TEN INDUSTRIES
As of 3/31/05
Diversified Financials | 14.8 | % | |
Banks | 14.8 | % | |
Energy | 11.8 | % | |
Telecommunication Services | 9.0 | % | |
Utilities | 7.8 | % | |
Pharmaceuticals & Biotechnology | 7.1 | % | |
Transportation | 5.8 | % | |
Food & Staples Retailing | 4.8 | % | |
Materials | 3.8 | % | |
Food Beverage & Tobacco | 3.4 | % |
TOP TEN INDUSTRIES
As of 12/31/04
Banks | 15.0 | % | |
Diversified Financials | 11.6 | % | |
Pharmaceuticals & Biotechnology | 8.9 | % | |
Energy | 7.3 | % | |
Transportation | 7.0 | % | |
Telecommunication Services | 6.5 | % | |
Food Beverage & Tobacco | 6.1 | % | |
Utilities | 5.6 | % | |
Insurance | 4.5 | % | |
Food & Staples Retailing | 3.9 | % |
TOP TEN INDUSTRIES
As of 9/30/04
Banks | 18.7 | % | |
Diversified Financials | 12.8 | % | |
Telecommunication Services | 9.8 | % | |
Energy | 8.7 | % | |
Pharmaceuticals & Biotech | 4.4 | % | |
Capital Goods | 4.1 | % | |
Utilities | 3.8 | % | |
Software & Services | 3.4 | % | |
Food & Staples Retailing | 3.3 | % | |
Transportation | 3.2 | % |
TOP TEN INDUSTRIES
As of 6/30/2004
Banks | 16.4 | % | |
Energy | 10.5 | % | |
Diversified Financials | 10.4 | % | |
Telecommunication Services | 6.7 | % | |
Utilities | 6.6 | % | |
Food Beverage & Tobacco | 5.6 | % | |
Technology Hardware & Equipment | 5.1 | % | |
Pharmaceuticals & Biotechnology | 4.1 | % | |
Insurance | 3.4 | % | |
Capital Goods | 3.0 | % |
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Thornburg Investment Income Builder Fund
March 31, 2005
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12 | ||
14 | ||
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17 | ||
21 | ||
25 | ||
31 | ||
32 | ||
33 | ||
34 |
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 semi-annual shareholder reports fully and fairly represents their financial position.
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Table of Contents
April 21, 2005
Dear Fellow Shareholder:
This report for Thornburg Investment Income Builder Fund covers the semi-annual period beginning October 1, 2004 and ending March 31, 2005. Your Fund has a fiscal year that begins October 1. Thornburg Investment Income Builder paid dividends of 32.8¢ per Class A share in the period, up 18.4% from the 27.7¢ paid in the comparable period of 2004. The dividends per share on the Class C shares were 29.4¢ (fiscal 2005) and 24.4¢ (fiscal 2004), respectively. The net asset value per share for each class increased by $1.62 during the period under review. The total return for the six-month period was 12.51% for class A shares and 12.27% for class C shares, compared to 7.95% for the Blended Index*.
The median percentage increase of the most recent dividend paid by our portfolio firms was more than 11% over the year-earlier level. This reflects improving ability and willingness to pay dividends by most of the firms we own. Under the surface of the dividend landscape, there is a more complicated dynamic. Many firms in certain U.S. industries that traditionally have the highest yields, utilities and REITS, appear relatively unattractive at this time, due to prior price appreciation. Broadly speaking, utilities are squeezed between higher fuel costs and political/regulatory pressures to restrain, or even roll back rates. We hope that Texas Utilities Corp. (with its relatively modest mix of costly gas-fired power generation) and Dominion Resources Inc. (with its owned natural gas properties and coal and nuclear generating plants) will be somewhat insulated from the squeeze. Each of these performed well for Thornburg Investment Income Builder Fund in this fiscal period.
Each REIT is somewhat unique, so we hesitate to generalize. We can say that capital flows to purchase or build rent-producing structures of almost every description have been enormous . . . so there is too little scarcity value in most sectors to hold out the prospect of interesting future reward for incoming investors at this time. It has been a challenge to make your equity portfolio produce more dividend income with a lower allocation to REITS and utilities than we had in the past. We have depended on the improved ability and willingness to pay higher dividends from firms in other industries.
Oil & gas producers and refiners are one such group, and Marathon Oil Corp. and Petroleo Brasileiro SA (Petrobras) were among your Fund’s best performers in this period. Cash flows generated by these firms are enormous, given today’s prices for their hydrocarbon output. So far, they are not overspending to increase supply enough to lower visible future returns. Consumers around the globe, and there are ever more of these, do not appear to be altering their consumption patterns to reduce demand. One indication: there are around 220 million automobiles in the USA, and rising. There are around 30 million in China, and rising. Still, we know that these cash flows are cyclical, so we remain guarded about our investment exposure to this area. Another group with attractive cash flows and modest valuations is the telecommunication services industry. Here, we are particularly interested in those firms that obtain a majority of revenues from mobile telephony and broadband services. Today, most of these are located abroad. Alltel Corp. in the U.S. was a slight negative contributor to portfolio performance in the fiscal period, as was Copenhagen-based TDC A/S. We remain optimistic that decent business results, modest valuations, and good cash generation will lead to improved stock price performance from these. Outside the U.S., your portfolio got a strong performance contribution from Italy’s Telecom Italia Mobile, and a smaller one from global operator wireless Vodaphone Group.
Most of our bank and diversified financial services holdings were under pressure during the first three months of 2005 on interest rate anxiety, although Lloyds TSB Group, Alliance Capital Management Holdings LP, and our Irish bank holdings all contributed solidly to performance for the fiscal period as a whole. Our other banking holdings were either up or down marginally, while insurance firms Arthur J. Gallagher & Co. and Lincoln National Corp. were negative contributors for the period. We sold both of these latter stocks during the period. We have decreased the percentage exposure of your equity portfolio to financials modestly. We believe that your current holdings will derive more benefit than harm from gradually rising interest rates.
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Stock prices of two of your portfolio’s pharmaceutical holdings, Pfizer Inc. and Novartis AG, performed poorly, while Sanofi-Aventis did well. Two December 2004 IPOs, Macquarie Infrastructure Co. and Advance America, Cash Advance Centers, Inc., performed well. Together, these added around 0.78% to portfolio performance for the fiscal period. Other positive contributors to performance included a diverse collection: Tesco plc and Kingfisher plc (U.K.-based retailers of food/general merchandise and building products, respectively), Altria Group Inc. (consumer goods/tobacco), and China Merchants Holdings International Co. Ltd. and Shenzen Chiwan Wharf Holdings Ltd. (both are Chinese port operators).
Bond yields, while improved from their lows of last year, are not yet interesting. The reward for taking corporate credit risk is meager, as yield reach by hungry investors intersects with low net issuance of bonds by corporate borrowers. The percentage of Thornburg Investment Income Builder assets invested in bonds has gradually declined over several quarters, in recognition of the lack of perceived opportunity to further the mission of the Fund in this asset class, given recent prices. We believe both government bond yields and credit spreads will improve in the quarters to come. Steve Bohlin guided the duration of the cash/bond component of the Thornburg Investment Income Builder Fund, now around 9% of Fund assets, to less than two years. Domestic stocks, including preferred stocks, comprise around 43% of the portfolio, foreign stocks around 48%.
We look forward to the coming quarters, recognizing that they will present challenges. Consensus operating earnings per unit of the S&P 500 Index, around $67 for 2004, are forecast to be $73 for 2005. Exchange rate cross currents and varying abilities to pass through volatile costs will create winners and losers among businesses in 2005. Dividend payouts on both U.S. and European corporate earnings are modest. We believe that dividend growth will exceed earnings growth in future years. Highly paid corporate chiefs should be able to dividend out more than $22 to $23, out of operating earnings of $73. Cash is piling up on business balance sheets, with Federal Reserve data showing an incremental accumulation by American businesses of more than $1 trillion in the last five years. Stay tuned to see if willingness to pay catches up to the improved ability to pay better dividends. Also, remember that our dividends may be volatile, quarter to quarter.
Thank you for investing in the Thornburg Investment Income Builder Fund, and best wishes for a wonderful summer.
Sincerely, | ||||||||
![]() | ![]() | ![]() | ||||||
Brian McMahon | Brad Kinkelaar | Steven J. Bohlin | ||||||
President & Chief Investment Officer | Managing Director | Managing Director |
* | 75% MSCI World and 25% Lehman Brothers Aggregate, see page 32 for complete description of index. |
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.
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Table of Contents
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
ASSETS | |||
Investments at value (cost $595,041,876) | $ | 653,181,519 | |
Cash | 2,115,485 | ||
Receivable for investments sold | 3,328,530 | ||
Receivable for fund shares sold | 9,008,355 | ||
Unrealized gain on forward exchange contracts (Note 6) | 213,990 | ||
Dividends receivable | 4,432,953 | ||
Interest receivable | 712,604 | ||
Prepaid expenses and other assets | 86,798 | ||
Total Assets | 673,080,234 | ||
LIABILITIES | |||
Payable for securities purchased | 10,125,300 | ||
Payable for fund shares redeemed | 757,183 | ||
Payable to investment advisor and other affiliates (Note 3) | 718,840 | ||
Deferred tax payable | 76,881 | ||
Accounts payable and accrued expenses | 366,613 | ||
Dividends payable | 892,932 | ||
Total Liabilities | 12,937,749 | ||
NET ASSETS | $ | 660,142,485 | |
NET ASSETS CONSIST OF: | |||
Undistributed net investment gain (loss) | $ | 1,927,878 | |
Net unrealized appreciation on investments, net of deferred taxes payable of $76,881 | 58,257,046 | ||
Accumulated net realized gain (loss) | 10,948,673 | ||
Net capital paid in on shares of beneficial interest | 589,008,888 | ||
$ | 660,142,485 | ||
NET ASSET VALUE: | |||
Class A Shares: | |||
Net asset value and redemption price per share | $ | 17.22 | |
Maximum sales charge, 4.50% of offering price | 0.81 | ||
Maximum offering price per share | $ | 18.03 | |
Class C Shares: | |||
Net asset value and offering price per share * | $ | 17.24 | |
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STATEMENT OF ASSETS AND LIABILITIES, CONTINUED
Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
Class I Shares: | |||
Net asset value, offering and redemption price per share | $ | 17.29 | |
Class R1 Shares: | |||
Net asset value, offering and redemption price per share | $ | 17.23 | |
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
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Thornburg Investment Income Builder Fund | Six Months Ended March 31, 2005 (Unaudited) |
INVESTMENT INCOME: | ||||
Dividend income (net of foreign taxes withheld of $537,828) | $ | 10,514,520 | ||
Interest income (net of premium amortized of $54,370) | 1,833,069 | |||
Total Income | 12,347,589 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 2,230,593 | |||
Administration fees (Note 3) | ||||
Class A Shares | 177,504 | |||
Class C Shares | 111,756 | |||
Class I Shares | 12,332 | |||
Class R1 Shares | 1 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 357,861 | |||
Class C Shares | 900,411 | |||
Class R1 Shares | 4 | |||
Transfer agent fees | ||||
Class A Shares | 134,140 | |||
Class C Shares | 88,850 | |||
Class I Shares | 14,815 | |||
Class R1 Shares | 1,947 | |||
Registration and filing fees | ||||
Class A Shares | 29,697 | |||
Class C Shares | 22,773 | |||
Class I Shares | 4,299 | |||
Class R1 Shares | 3,746 | |||
Custodian fees (Note 3) | 136,355 | |||
Professional fees | 24,230 | |||
Accounting fees | 22,550 | |||
Trustee fees | 6,360 | |||
Other expenses | 77,381 | |||
Total Expenses | 4,357,605 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (321,564 | ) | ||
Fees paid indirectly (Note 3) | (10,905 | ) | ||
Net Expenses | 4,025,136 | |||
Net Investment Income | $ | 8,322,453 | ||
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STATEMENT OF OPERATIONS, CONTINUED
Thornburg Investment Income Builder Fund | Six Months Ended March 31, 2005 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments | $ | 18,208,506 | ||
Foreign currency transactions | (4,352,791 | ) | ||
13,855,715 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments, net of change in deferred taxes payable of $26,584 | 32,224,851 | |||
Foreign currency translation | 1,144,956 | |||
33,369,807 | ||||
Net Realized and Unrealized Gain | 47,225,522 | |||
Net Increase in Net Assets Resulting From Operations | $ | 55,547,975 | ||
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Investment Income Builder Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income gain | $ | 8,322,453 | $ | 12,099,404 | ||||
Net realized gain (loss) on investments and foreign currency | 13,855,715 | (3,417,913 | ) | |||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments, foreign currency translation, and deferred taxes | 33,369,807 | 21,451,937 | ||||||
Net Increase in Net Assets Resulting from Operations | 55,547,975 | 30,133,428 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (5,423,728 | ) | (5,486,221 | ) | ||||
Class C Shares | (3,055,578 | ) | (2,936,820 | ) | ||||
Class I Shares | (953,537 | ) | (641,652 | ) | ||||
Class R1 Shares | (22 | ) | 0 | |||||
From realized gains | ||||||||
Class A Shares | (11,306 | ) | 0 | |||||
Class C Shares | (7,266 | ) | 0 | |||||
Class I Shares | (1,756 | ) | 0 | |||||
FUND SHARE TRANSACTIONS - (Note 4) | ||||||||
Class A Shares | 110,373,651 | 138,687,397 | ||||||
Class C Shares | 65,131,143 | 96,221,064 | ||||||
Class I Shares | 37,642,505 | 32,217,399 | ||||||
Class R1 Shares | 10,044 | 0 | ||||||
Net Increase in Net Assets | 259,252,125 | 288,194,595 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 400,890,360 | 112,695,765 | ||||||
End of period | $ | 660,142,485 | $ | 400,890,360 | ||||
See notes to financial statements.
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Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
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 Limited Term Municipal Fund, Thornburg California 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 four classes of shares of beneficial interest, Class A, Class C, Institutional Class (Class I), and Retirement Class (Class R1) 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 R1 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 (v) 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 Trust 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.
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 Trust to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all taxable income, including any net realized gain on investments, of the Fund, to the shareholders. Therefore, no provision for Federal income taxes 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 and or market changes. At the time the Trust 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 an amount sufficient to make payment for the portfolio securities
Certified Semi-Annual Report 17 |
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
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 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 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 period ended March 31, 2005, these fees were payable at annual rates ranging from .875 of 1% to .675 of 1% per annum 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% per annum of the average daily net assets attributable to each class of shares. For the period ended March 31, 2005, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $289,078 for Class C shares, $26,792 for Class I shares, and $5,694 for Class R1 shares.
The Trust 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 period ended March 31, 2005, the Distributor has advised the Fund that it earned commissions aggregating $165,413 from the sale of Class A shares of the Fund and collected contingent deferred sales charges aggregating $11,118 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 Trust has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Fund’s Class C and Class R1 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C and Class R1 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 R1 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 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 March 31, 2005, fees paid indirectly were $10,905.
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.
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2005, there were an unlimited number of shares of beneficial interest authorized. Sales of Class R1 shares of the Thornburg Investment Income Builder Fund commenced February 1, 2005. Transactions in shares of beneficial interest were as follows:
Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 7,175,053 | $ | 120,894,739 | 10,579,300 | $ | 160,956,212 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 248,552 | 4,262,068 | 283,535 | 4,388,856 | ||||||||||
Shares repurchased** | (881,756 | ) | (14,783,156 | ) | (1,780,207 | ) | (26,657,671 | ) | ||||||
Net Increase (Decrease) | 6,541,849 | $ | 110,373,651 | 9,082,628 | $ | 138,687,397 | ||||||||
** The Fund charges a redemption fee of 1% of the Class A shares exchanged within 90 days of purchase. For the period ended March 31, 2005 and year ended September 30, 2004, $12,897 and $33,971, respectively, were netted in the amount reported for shares repurchased.
|
| |||||||||||||
Class C Shares | ||||||||||||||
Shares sold | 4,132,653 | $ | 69,608,781 | 6,542,027 | $ | 100,023,227 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 114,549 | 1,966,339 | 120,816 | 1,873,063 | ||||||||||
Shares repurchased | (383,384 | ) | (6,443,977 | ) | (372,748 | ) | (5,675,226 | ) | ||||||
Net Increase (Decrease) | 3,863,818 | $ | 65,131,143 | 6,290,095 | $ | 96,221,064 | ||||||||
Class I Shares | ||||||||||||||
Shares sold | 2,208,798 | $ | 37,436,726 | 2,128,882 | $ | 32,252,605 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 47,395 | 815,789 | 36,925 | 573,313 | ||||||||||
Shares repurchased ** | (36,055 | ) | (610,010 | ) | (39,757 | ) | (608,519 | ) | ||||||
Net Increase (Decrease) | 2,220,138 | $ | 37,642,505 | 2,126,050 | $ | 32,217,399 | ||||||||
** The Fund charges a redemption fee of 1% of the Class I shares exchanged within 90 days of purchase. For the period ended March 31, 2005 and year ended September 30, 2004, $185 and $1,717, respectively, were netted in the amount reported for shares repurchased.
|
| |||||||||||||
Class R1 Shares | ||||||||||||||
Shares sold | 574 | $ | 10,022 | — | $ | — | ||||||||
Shares issued to shareholders in reinvestment of dividends | 1 | 22 | — | — | ||||||||||
Shares repurchased | 0 | 0 | — | — | ||||||||||
Net Increase (Decrease) | 575 | $ | 10,044 | — | $ | — | ||||||||
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
NOTE 5 – SECURITIES TRANSACTIONS
For the period ended March 31, 2005, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $392,022,761 and $161,362,936, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2005, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 597,610,128 | ||
Gross unrealized appreciation on a tax basis | $ | 60,003,946 | ||
Gross unrealized depreciation on a tax basis | (4,432,555 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 55,571,391 | ||
At March 31, 2005, 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.
NOTE 7 – FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK
During the period ended March 31, 2005, 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 counter-parties 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:
23,700,000 | Euro Dollar for 30,807,156 USD, September 30, 2005 | $ | (104,859 | ) | ||
20,000,000 | Greater British Pound for 37,180,000 USD, July 11, 2005 | (405,075 | ) | |||
Unrealized loss from forward exchange contracts: | (509,934 | ) | ||||
15,000,000 | Euro Dollar for 19,857,000 USD, July 11, 2005 | 351,226 | ||||
22,000,000 | Greater British Pound for 41,630,600 USD, September 7, 2005 | 372,698 | ||||
Unrealized gain from forward exchange contracts: | 723,924 | |||||
Net unrealized gain (loss) from forward Exchange contracts | $ | 213,990 | ||||
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Thornburg Investment Income Builder Fund | (Unaudited)* |
*Six Months Ended 2005 | Year Ended September 30, 2004 | Period Ended September 30, 2003(c) | ||||||||||
Class A Shares: | ||||||||||||
PER SHARE PERFORMANCE | ||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||
Net asset value, beginning of period | $ | 15.60 | $ | 13.77 | $ | 11.94 | ||||||
Income from investment operations: | ||||||||||||
Net investment income | 0.28 | 0.72 | 0.56 | |||||||||
Net realized and unrealized gain (loss) on investments | 1.67 | 1.66 | 1.60 | |||||||||
Total from investment operations | 1.95 | 2.38 | 2.16 | |||||||||
Less dividends from: | ||||||||||||
Net investment income | (0.33 | ) | (0.55 | ) | (0.33 | ) | ||||||
Change in net asset value | 1.62 | 1.83 | 1.83 | |||||||||
NET ASSET VALUE, end of period | $ | 17.22 | $ | 15.60 | $ | 13.77 | ||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||
Total return (a) | 12.51 | % | 17.40 | % | 18.25 | % | ||||||
Ratios to average net assets: | ||||||||||||
Net investment income | 3.34 | %(b) | 4.72 | % | 5.65 | %(b) | ||||||
Expenses, after expense reductions | 1.47 | %(b) | 1.50 | % | 1.61 | %(b) | ||||||
Expenses, after expense reductions and net of custody credits | 1.46 | %(b) | 1.49 | % | 1.60 | %(b) | ||||||
Expenses, before expense reductions | 1.47 | %(b) | 1.50 | % | 1.74 | %(b) | ||||||
Portfolio turnover rate | 32.28 | % | 109.21 | % | 52.10 | % | ||||||
Net assets at end of period (000) | $ | 360,467 | $ | 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. |
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Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Investment Income Builder Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | Period Ended September 30, 2003(c) | ||||||||||
Class C Shares: | ||||||||||||
PER SHARE PERFORMANCE | ||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||
Net asset value, beginning of period | $ | 15.62 | $ | 13.79 | $ | 11.94 | ||||||
Income from investment operations: | ||||||||||||
Net investment income | 0.24 | 0.66 | 0.51 | |||||||||
Net realized and unrealized gain (loss) on investments | 1.67 | 1.66 | 1.62 | |||||||||
Total from investment operations | 1.91 | 2.32 | 2.13 | |||||||||
Less dividends from: | ||||||||||||
Net investment income | (0.29 | ) | (0.49 | ) | (0.28 | ) | ||||||
Change in net asset value | 1.62 | 1.83 | 1.85 | |||||||||
NET ASSET VALUE, end of period | $ | 17.24 | $ | 15.62 | $ | 13.79 | ||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||
Total return (a) | 12.27 | % | 16.89 | % | 18.01 | % | ||||||
Ratios to average net assets: | ||||||||||||
Net investment income | 2.90 | %(b) | 4.33 | % | 5.10 | %(b) | ||||||
Expenses, after expense reductions | 1.91 | %(b) | 1.89 | % | 1.91 | %(b) | ||||||
Expenses, after expense reductions and net of custody credits | 1.90 | %(b) | 1.89 | % | 1.90 | %(b) | ||||||
Expenses, before expense reductions | 2.23 | %(b) | 2.25 | % | 2.55 | %(b) | ||||||
Portfolio turnover rate | 32.28 | % | 109.21 | % | 52.10 | % | ||||||
Net assets at end of period (000) | $ | 224,538 | $ | 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. |
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FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Investment Income Builder Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | 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 | $ | 15.64 | $ | 14.45 | ||||
Income from investment operations: | ||||||||
Net investment income | 0.33 | 0.74 | ||||||
Net realized and unrealized gain (loss) on investments | 1.66 | 1.01 | ||||||
Total from investment operations | 1.99 | 1.75 | ||||||
Less dividends from: | ||||||||
Net investment income | (0.34 | ) | (0.56 | ) | ||||
Change in net asset value | 1.65 | 1.19 | ||||||
NET ASSET VALUE, end of period | $ | 17.29 | $ | 15.64 | ||||
RATIOS/SUPPLEMENTAL DATA | ||||||||
Total return (a) | 12.77 | % | 12.19 | % | ||||
Ratios to average net assets: | ||||||||
Net investment income | 3.94 | %(b) | 5.33 | %(b) | ||||
Expenses, after expense reductions | 0.99 | %(b) | 0.99 | %(b) | ||||
Expenses, after expense reductions and net of custody credits | 0.99 | %(b) | 0.99 | %(b) | ||||
Expenses, before expense reductions | 1.10 | %(b) | 1.21 | %(b) | ||||
Portfolio turnover rate | 32.28 | % | 109.21 | % | ||||
Net assets at end of period (000) | $ | 75,127 | $ | 33,247 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
(c) | Effective date of Class I Shares was November 1, 2003. |
+ | Based on weighted average shares outstanding. |
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Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Investment Income Builder Fund | (Unaudited)* |
*Period Ended March 31, 2005 (c) | ||||
Class R1 Shares: | ||||
PER SHARE PERFORMANCE | ||||
(for a share outstanding throughout the period)+ | ||||
Net asset value, beginning of period | $ | 16.98 | ||
Income from investment operations: | ||||
Net investment income | 0.18 | |||
Net realized and unrealized gain (loss) on investments | 0.11 | |||
Total from investment operations | 0.29 | |||
Less dividends from: | ||||
Net investment income | (0.04 | ) | ||
Change in net asset value | 0.25 | |||
NET ASSET VALUE, end of period | $ | 17.23 | ||
RATIOS/SUPPLEMENTAL DATA | ||||
Total return (a) | 1.70 | % | ||
Ratios to average net assets: | ||||
Net investment income | 6.23 | %(b) | ||
Expenses, after expense reductions | 1.48 | %(b) | ||
Expenses, after expense reductions and net of custody credits | 1.48 | %(b) | ||
Expenses, before expense reductions | 670.19 | %(b)† | ||
Portfolio turnover rate | 32.28 | % | ||
Net assets at end of period (000) | $ | 10 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
(c) | Effective date of Class R1 Shares was February 1, 2005. |
† | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
+ | Based on weighted average shares outstanding. |
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SCHEDULE OF INVESTMENTS | ||
Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
CUSIPS: CLASS A - 885-215-558, CLASS C - 885-215-541, CLASS I - 885-215-467, CLASS R1 - 885-215-384 NASDAQ SYMBOLS: CLASS A - TIBAX, CLASS C - TIBCX, CLASS I - TIBIX, CLASS R1 - TIBRX
Shares/ Principal Amount | Value | ||||
COMMON STOCK — 87.78% | |||||
AUTOMOBILES & COMPONENTS — 0.95% | |||||
AUTOMOBILES — 0.95% | |||||
Hero Honda Motors Ltd. | 500,000 | $ | 6,276,048 | ||
TOTAL AUTOMOBILES & COMPONENTS | 6,276,048 | ||||
BANKS — 13.73% | |||||
COMMERCIAL BANKS — 13.73% | |||||
Allied Irish Banks | 875,000 | 18,324,690 | |||
Bank of America Corp. | 440,000 | 19,404,000 | |||
Bank of Ireland Group | 325,000 | 5,133,183 | |||
Barclays plc | 2,000,000 | 20,433,562 | |||
Liechtenstein Landesbank | 5,300 | 2,992,472 | |||
Lloyds TSB Group plc | 2,700,000 | 24,372,971 | |||
TOTAL BANKS | 90,660,878 | ||||
CAPITAL GOODS — 3.00% | |||||
INDUSTRIAL CONGLOMERATES — 3.00% | |||||
General Electric Co. | 550,000 | 19,833,000 | |||
TOTAL CAPITAL GOODS | 19,833,000 | ||||
DIVERSIFIED FINANCIALS — 11.36% | |||||
CAPITAL MARKETS — 3.59% | |||||
The Bank of New York Co. Inc. | 400,000 | 11,620,000 | |||
WP Stewart & Co. Ltd. | 532,000 | 12,055,120 | |||
DIVERSIFIED FINANCIAL SERVICES — 7.77% | |||||
Alliance Capital Management Holdings LP | 325,000 | 15,323,750 | |||
Citigroup Inc. | 440,000 | 19,773,600 | |||
Hong Kong Exchanges & Clearing Ltd. | 3,750,000 | 9,712,472 | |||
JPMorgan Chase & Co. | 188,000 | 6,504,800 | |||
TOTAL DIVERSIFIED FINANCIALS | 74,989,742 | ||||
ENERGY — 11.70% | |||||
OIL & GAS — 11.70% | |||||
BP Amoco ADR | 275,000 | 17,160,000 | |||
China Petroleum & Chemical Corp. | 24,000,000 | 9,770,170 | |||
Marathon Oil Corp. | 500,000 | 23,460,000 | |||
Petroleo Brasileiro SA ADR | 350,000 | 15,463,000 | |||
Shell Transport & Trading Co. plc | 1,270,000 | 11,392,372 | |||
TOTAL ENERGY | 77,245,542 | ||||
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Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
Shares/ Principal Amount | Value | ||||
FOOD & STAPLES RETAILING — 4.76% | |||||
FOOD & STAPLES RETAILING — 4.76% | |||||
Carrefour SA | 220,000 | $ | 11,679,563 | ||
Tesco plc | 3,300,000 | 19,724,430 | |||
TOTAL FOOD & STAPLES RETAILING | 31,403,993 | ||||
FOOD BEVERAGE & TOBACCO — 3.37% | |||||
TOBACCO — 3.37% | |||||
Altria Group Inc. | 340,000 | 22,232,600 | |||
TOTAL FOOD BEVERAGE & TOBACCO | 22,232,600 | ||||
HOUSEHOLD & PERSONAL PRODUCTS — 0.58% | |||||
HOUSEHOLD PRODUCTS — 0.58% | |||||
Kimberly Clark de Mexico | 1,280,000 | 3,835,047 | |||
TOTAL HOUSEHOLD & PERSONAL PRODUCTS | 3,835,047 | ||||
INSURANCE — 0.70% | |||||
INSURANCE — 0.70% | |||||
Arthur J. Gallagher & Co. | 160,600 | 4,625,280 | |||
TOTAL INSURANCE | 4,625,280 | ||||
MATERIALS — 3.76% | |||||
CHEMICALS — 1.84% | |||||
PPG Industries Inc. | 170,000 | 12,158,400 | |||
PAPER & FOREST PRODUCTS — 1.92% | |||||
UPM Kymmene Oyj | 570,000 | 12,639,417 | |||
TOTAL MATERIALS | 24,797,817 | ||||
MEDIA — 1.65% | |||||
MEDIA — 1.65% | |||||
APN News & Media | 1,500,000 | 5,911,535 | |||
Independent News & Media plc | 1,510,000 | 4,973,553 | |||
TOTAL MEDIA | 10,885,088 | ||||
PHARMACEUTICALS & BIOTECHNOLOGY — 6.33% | |||||
PHARMACEUTICALS — 6.33% | |||||
GlaxoSmithKline plc | 550,000 | 12,599,123 | |||
Novartis Ag | 300,000 | 14,002,509 | |||
Sanofi-Aventis | 180,000 | 15,183,639 | |||
TOTAL PHARMACEUTICALS & BIOTECHNOLOGY | 41,785,271 | ||||
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SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
Shares/ Principal Amount | Value | ||||
REAL ESTATE — 2.72% | |||||
REAL ESTATE — 2.72% | |||||
Equity Inns Inc. | 300,000 | $ | 3,309,000 | ||
Highland Hospitality Corp. | 136,500 | 1,412,775 | |||
Host Marriott Corp. | 800,000 | 13,248,000 | |||
TOTAL REAL ESTATE | 17,969,775 | ||||
RETAILING — 1.45% | |||||
SPECIALTY RETAIL — 1.45% | |||||
Kingfisher plc | 1,750,000 | 9,542,823 | |||
TOTAL RETAILING | 9,542,823 | ||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 1.12% | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 1.12% | |||||
Samsung Electronics Co. Ltd. | 15,000 | 7,415,067 | |||
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT | 7,415,067 | ||||
TELECOMMUNICATION SERVICES — 7.27% | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 4.86% | |||||
Alltel Corp. | 315,000 | 17,277,750 | |||
TDC A/S | 350,000 | 14,757,843 | |||
WIRELESS TELECOMMUNICATION SERVICES — 2.41% | |||||
Vodafone Group plc | 6,000,000 | 15,920,049 | |||
TOTAL TELECOMMUNICATION SERVICES | 47,955,642 | ||||
TRANSPORTATION — 5.78% | |||||
TRANSPORTATION INFRASTRUCTURE — 5.78% | |||||
China Merchants Hldgs Intl. Co. Ltd. | 4,500,000 | 8,827,772 | |||
Hopewell Highway | 8,500,000 | 5,994,166 | |||
Macquarie Infrastructure Co.+ | 600,000 | 16,800,000 | |||
Shenzhen Chiwan Wharf Holdings Ltd. | 2,599,963 | 6,547,203 | |||
TOTAL TRANSPORTATION | 38,169,141 | ||||
UTILITIES — 7.55% | |||||
ELECTRIC UTILITIES — 4.73% | |||||
Datang International Power Generation Co. Ltd. | 11,799,900 | 8,548,185 | |||
TXU Corp. | 285,000 | 22,694,550 | |||
MULTI-UTILITIES & UNREGULATED POWER — 2.82% | |||||
Dominion Resources, Inc. | 250,000 | 18,607,500 | |||
TOTAL UTILITIES | 49,850,235 | ||||
TOTAL COMMON STOCK (Cost $ 522,095,332) | 579,472,989 | ||||
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Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
Shares/ Principal Amount | Value | |||||
PREFERRED STOCK — 3.65% | ||||||
COMMERCIAL BANKS — 1.06% | ||||||
First Tennessee Bank | 7,000 | $ | 7,003,937 | |||
DIVERSIFIED FINANCIAL SERVICES — 2.51% | ||||||
JPMorgan Chase & Co. | 50,000 | 2,576,565 | ||||
Lehman Brothers Holdings Inc. | 140,000 | 3,535,000 | ||||
Merrill Lynch & Co. Inc. | 420,000 | 10,445,400 | ||||
OIL & GAS — 0.08% | ||||||
El Paso Tennessee Pipeline Co. | 10,000 | 507,813 | ||||
TOTAL PREFERRED STOCK (Cost $ 24,019,500) | 24,068,715 | |||||
CORPORATE BONDS — 4.56% | ||||||
BIOTECHNOLOGY — 0.76% | ||||||
Tiers Inflation Linked Trust Series Wyeth 2004 21 Trust Certificate CPI Floating Rate, 5.106%, 2/1/2014 | $ | 5,000,000 | 5,020,400 | |||
COMMERCIAL SERVICES & SUPPLIES — 0.10% | ||||||
Allied Waste North America Inc., 6.375%, 4/15/2011 | 500,000 | 465,000 | ||||
Waste Management Inc., 7.375%, 8/1/2010 | 175,000 | 195,028 | ||||
COMPUTERS & PERIPHERALS — 0.08% | ||||||
Jabil Circuit Inc., 5.875%, 7/15/2010 | 500,000 | 516,282 | ||||
DIVERSIFIED FINANCIAL SERVICES — 0.95% | ||||||
Capital One Bank, 6.70%, 5/15/2008 | 655,000 | 693,969 | ||||
Capital One Bank, 6.50%, 6/13/2013 | 1,500,000 | 1,610,723 | ||||
SLM Corp. Floating Rate, 5.38%, 1/31/2014 | 2,000,000 | 2,002,280 | ||||
SLM Corp. Floating Rate, 4.46%, 3/2/2009 | 2,000,000 | 1,984,780 | ||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 1.24% | ||||||
Level 3 Communications Inc., 9.125%, 5/1/2008 | 2,500,000 | 2,081,250 | ||||
Level 3 Communications Inc., 10.50%, 12/1/2008 | 4,000,000 | 3,410,000 | ||||
TCI Communications Inc., 7.875%, 8/1/2013 | 2,285,000 | 2,665,389 | ||||
GAS UTILITIES — 0.21% | ||||||
Sonat Inc., 7.625%, 7/15/2011 | 1,400,000 | 1,382,500 | ||||
INSURANCE — 0.78% | ||||||
AAG Holding Co. Inc., 6.875%, 6/1/2008 | 335,000 | 347,356 | ||||
Hartford Life Inc., 7.10%, 6/15/2007 | 400,000 | 422,292 | ||||
Liberty Mutual Group Inc., 5.75%, 3/15/2014 | 1,000,000 | 982,847 | ||||
Old Republic International Corp., 7.00%, 6/15/2007 | 1,000,000 | 1,051,442 | ||||
Pacific Life Global Funding CPI Floating Rate, 5.44%, 2/6/2016 | 2,000,000 | 2,018,600 | ||||
Provident Cos Inc., 6.375%, 7/15/2005 | 353,000 | 355,470 | ||||
MEDIA — 0.19% | ||||||
AOL Time Warner Inc., 6.875%, 5/1/2012 | 425,000 | 464,136 | ||||
Independent News & Media plc, 5.75%, 5/17/2009 | 600,000 | 793,610 |
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Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
Shares/ Principal Amount | Value | |||||
REAL ESTATE — 0.25% | ||||||
MDC Holdings Inc., 7.00%, 12/1/2012 | $ | 1,500,000 | $ | 1,629,714 | ||
TOTAL CORPORATE BONDS (Cost $28,957,792) | 30,093,068 | |||||
CONVERTIBLE BONDS — 0.53% | ||||||
CAPITAL MARKETS — 0.02% | ||||||
E-Trade Financial Corp., 6.00%, 2/1/2007 | 132,000 | 133,650 | ||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.51% | ||||||
Level 3 Communications Inc., 6.00%, 3/15/2010 | 6,575,000 | 3,361,469 | ||||
TOTAL CONVERTIBLE BONDS (Cost $3,861,049) | 3,495,119 | |||||
MUNICIPAL BONDS — 0.61% | ||||||
NEW YORK — 0.32% | ||||||
Victor New York, 9.05%, 5/1/2008 | 2,050,000 | 2,112,033 | ||||
VIRGINIA — 0.29% | ||||||
Short Pump Town Center Community Development, 6.26%, 2/1/2009 | 2,000,000 | 1,941,820 | ||||
TOTAL MUNICIPAL BONDS (Cost $4,110,528) | 4,053,853 | |||||
U.S. GOVERNMENT AGENCIES — 0.30% | ||||||
Federal National Mortgage Association CPI Floating Rate, 4.396%, 2/17/2009 | 2,000,000 | 2,000,100 | ||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $2,000,000) | 2,000,100 | |||||
SHORT TERM INVESTMENTS — 1.52% | ||||||
American General Finance Corp., 2.79%, 4/4/2005 | 10,000,000 | 9,997,675 | ||||
TOTAL SHORT TERM INVESTMENTS (Cost $9,997,675) | 9,997,675 | |||||
TOTAL INVESTMENTS — 98.95% (COST $595,041,876) | $ | 653,181,519 | ||||
OTHER ASSETS LESS LIABILITIES — 1.05% | 6,960,966 | |||||
NET ASSETS — 100.00% | $ | 660,142,485 | ||||
Footnote Legend
See notes to financial statements.
+ | Non-income producing. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR American Depository Receipt
Certified Semi-Annual Report 29 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/05
Diversified Financials | 14.84 | % | |
Banks | 14.79 | % | |
Energy | 11.78 | % | |
Telecommunication Services | 9.02 | % | |
Utilities | 7.76 | % | |
Pharmaceuticals & Biotechnology | 7.09 | % | |
Transportation | 5.78 | % | |
Food & Staples Retailing | 4.76 | % | |
Materials | 3.76 | % | |
Food Beverage & Tobacco | 3.37 | % | |
Capital Goods | 3.00 | % | |
Real Estate | 2.97 | % | |
Media | 1.84 | % | |
Insurance | 1.48 | % | |
Retailing | 1.45 | % | |
Semiconductors & Semiconductor Equip. | 1.12 | % | |
Automobiles & Components | 0.95 | % | |
Household & Personal Products | 0.58 | % | |
Commercial Services & Supplies | 0.10 | % | |
Technology Hardware & Equipment | 0.08 | % | |
Municipal Bonds | 0.61 | % | |
U.S. Government Agencies | 0.30 | % | |
Other Assets & Cash Equivalents | 2.57 | % |
SUMMARY OF COUNTRY EXPOSURE
As of 3/31/05
U.S. | 48.98 | % | |
U.K. | 19.86 | % | |
China | 6.01 | % | |
Ireland | 4.43 | % | |
France | 4.07 | % | |
Switzerland | 2.57 | % | |
Brazil | 2.34 | % | |
Denmark | 2.24 | % | |
Finland | 1.91 | % | |
Hong Kong | 1.47 | % | |
South Korea | 1.12 | % | |
India | 0.95 | % | |
Australia | 0.90 | % | |
Mexico | 0.58 | % | |
Other Assets and Cash Equivalents | 2.57 | % |
30 Certified Semi-Annual Report |
Table of Contents
Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
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
(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 September 30, 2004 and held until March 31, 2005.
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 Account Value 9/30/04 | Ending Account Value 3/31/05 | Expenses Paid During Period† 9/30/04–3/31/05 | |||||||
Class A Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,125.10 | $ | 7.74 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,017.64 | $ | 7.35 | |||
Class C Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,122.70 | $ | 10.07 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,015.45 | $ | 9.56 | |||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,127.70 | $ | 5.24 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.01 | $ | 4.97 | |||
Class R1 Shares** | |||||||||
Actual | $ | 1,000.00 | $ | 1,017.00 | $ | 7.43 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,017.56 | $ | 7.44 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.46%; C: 1.90%; I: 0.99%; and R1: 1.48%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
** | Effective date of Class R1 was February 1, 2005. |
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 Semi-Annual Report 31 |
Table of Contents
INDEX COMPARISON | ||
Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Investment Income Builder Fund versus Blended Index (December 31, 2002 to March 31, 2005)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2005 (with sales charge)
1Yr | Since Inception | |||||
A Shares (Incep: 12/24/02) | 9.19 | % | 19.28 | % | ||
C Shares (Incep: 12/24/02) | 12.97 | % | 21.27 | % | ||
R1 Shares (Incep: 2/01/05) | — | 1.70 | % | |||
Blended Index (Since: 12/24/02) | 8.06 | % | 15.80 | % |
Performance data reflects 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 R1 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. 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.
32 Certified Semi-Annual Report |
Table of Contents
OTHER INFORMATION | ||
Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
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 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.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files 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. The Fund’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, or may be reviewed and 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.
Certified Semi-Annual Report 33 |
Table of Contents
Trustees’ Statement to Shareholders
February 8, 2005
The Trustees are concerned that recent commentaries and opinions reported in the media may confuse investors in general as to the supervisory duties of trustees of mutual funds and, in particular, leave Thornburg Investment Trust shareholders uncertain regarding how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. We decided to spell out clearly three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf.
We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.
Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders’ returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.
Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.
This statement is submitted for the general information of the shareholders of Thornburg Investment Trust. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money.
34 This page is not part of the Semi-Annual Report. |
Table of Contents
Planning Options
Retirement and Education Accounts
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs – Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 70 1/2, even if you are covered by an employer retirement plan.
Roth IRAs – Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our web site at www.thornburg.com/ira.
SEP IRAs – Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employee’s SEP IRA on a discretionary basis.
SIMPLE IRAs – Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employee’s SIMPLE IRA. Employees may make salary deferral contributions.
405(b)
A special, tax-advantaged savings vehicle available only to employees of 501(c)(3) organizations, such as charitable, educational, scientific and religious organizations. 403(b) plans are also available to employees of public schools and universities.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
• | Thornburg International Value Fund |
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
This page is not part of the Semi-Annual Report. 35 |
Table of Contents
The Firm
Thornburg Investment Management is a privately held investment management company based in Santa Fe, New Mexico with assets under management of over $13 billion. Founded in 1982, the firm manages four equity funds, eight bond funds, and separate portfolios for select institutions and individuals.
Investment Philosophy
We seek to preserve and increase the real wealth of the Funds’ shareholders after accounting for inflation, taxes, and investment expenses. We’re committed to disciplined investing and controlling risk in all market environments through laddered bond and focused equity portfolios.
Portfolio Holdings Disclosure
We believe you should know what is in your portfolio. Our web site keeps investors informed of the Funds’ equity holdings. Go to www.thornburg.com/funds for portfolio manager commentary on our equity fund holdings.
Co-Ownership of Funds
We invest side-by-side with the Funds’ shareholders. Our employees have invested over $100 million in Thornburg Funds.
Core Strategies for Building Wealth
We deliver core strategies to help investors meet long-term goals. A core strategy is a consistent, disciplined and proven investment process that represents the foundation of a diversified portfolio.
INVESTMENT MANAGER
Thornburg Investment Management, Inc.
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
PRINCIPAL UNDERWRITER
Thornburg Securities Corporation
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
www.thornburg.com
Table of Contents
This report and the accompanying brochure are submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/ download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money. Performance data quoted represents past performance and does not guarantee future results.
Core Strategies for Building Wealth
Thornburg
Investment Income
Builder Fund
I Shares
Informational Brochure and
Semi-Annual Report – March 31, 2005
Table of Contents
Thornburg Investment Income Builder Fund
The Fund seeks to provide a level of current income which exceeds the average yield on U.S. stocks generally, and which will generally grow, subject to periodic fluctuations, over the years on a per share basis. The Fund’s secondary investment objective is long-term capital appreciation.
The Fund invests in companies (both in the U.S. and abroad) with histories of paying dividends and, in the opinion of Thornburg Investment Management, that show the capacity to increase them. To provide additional income, the Fund also invests in fixed income securities, with a focus on the corporate sector.
Thornburg Bond Funds
• | Thornburg Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term 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 invests in short- and intermediate-term investment grade bonds. We ladder the maturities of individual bonds in the portfolios to moderate risk. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio will mature each year. We apply this disciplined process in all interest rate environments.
Thornburg Equity Funds
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
Thornburg’s equity research uses a fundamental, yet comprehensive, analytical approach. We invest when and where we perceive the most compelling value. Thornburg equity funds focus on a limited number of securities so that each holding can have a material impact on performance. The equity team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic value.
More information at www.thornburg.com
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2 | This page is not part of the Semi-Annual Report. |
Table of Contents
The Dividend Landscape
To appreciate the investment environment that Thornburg Investment Income Builder Fund operates in, you may wish to review these highlights of the “dividend landscape.”
The S&P 500 Index Payout Ratio — A Historical Perspective
S&P 500 Index Payout Ratio (January 1940 to December 2004)
The dividend payout ratio is a fraction that expresses dividend payments as a percentage of per-share earnings. By long-term historical standards, the dividend payout ratio of the S&P 500 Index is relatively low at this time.
Corporate Willingness to Pay Dividends is Improving
Percentage of Companies Paying Dividends in Russell 1000 Index (December 1979 to December 2004)
The Russell 1000 Index includes 1000 public companies that are supposed to be generally representative of corporate America. Between 1980 and 1993, at least 75% of these firms paid some dividend. Between 1994 and 2001, the percentage of Russell 1000 companies paying dividends sank to just over 50%, indicating investor and management preference for reinvesting retained earnings in growth initiatives. Now the pendulum appears to be swinging back, and the percentage of dividend payers is increasing. Long-term academic studies have shown that subsequent earnings-per-share growth of dividend-paying firms actually exceeds that of non-payers.
This page is not part of the Semi-Annual Report. | 3 |
Table of Contents
The Dividend Landscape
Continued
Rising Dividend Payments Despite Decreasing Dividend Yields
Over time, the dollar dividend per unit of the S&P 500 Index has increased. Because the price of the index itself has increased even more, the yield on the S&P 500 Index, as a percentage of the current index price, has generally decreased in recent decades. You should note, however, that the yield on the original investment made at a fixed point in time (say, 1970 or 1989) has increased, even without reinvestment of dividends.
S&P 500 Index Average Yield vs. Annual Dividends from a One-
Time $10,000 Investment in the Index (Dividends not Reinvested)
A Truly Diversified Dividend-Paying Portfolio Must Look Beyond the Obvious High Yield Stocks!
In the (large cap) Russell 1000 Index, 73% of the top 100 dividend payers are either real estate investment trusts (REITs) or utilities. In the (small cap) Russell 2000 Index, 78% of the top 100 dividend-yielding stocks are either REITs or utilities. In order to construct a diversified portfolio of attractive yielding stocks, one must look beyond these two sectors. We do!
The Top 100 Dividend Yields
Russell 1000 Index | Russell 2000 Index | |||
REITs | 45% | 69% | ||
Utilities | 28% | 9% | ||
Banks | 7% | 1% | ||
Other Financials | 4% | 5% | ||
Consumer Staples | 5% | 3% | ||
Telecom | 4% | 0% | ||
Materials | 2% | 5% | ||
Health Care | 1% | 1% | ||
Consumer Discretionary | 4% | 6% | ||
Industrials | 0% | 0% | ||
Energy | 0% | 1% | ||
Technology | 0% | 0% |
Source: Baseline, as of December 31, 2004; (Numbers may not add to 100% due to rounding.)
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Global Diversification Can Improve the Portfolio Yield
Average Dividend Yields and Payout Ratios
of Markets Around the Globe
Since firms outside the U.S. tend to pay higher dividends than U.S. firms, particularly outside the REIT and utility sectors, we diversify the Thornburg Investment Income Builder portfolio into some foreign dividend-paying stocks to try to take advantage of these opportunities.
Corporate Willingness to Pay Dividends May Come from Unlikely Sources
Potential Increases in S&P 500 Index Sector Dividends if All Share
Repurchases Were Converted to Dividend Payments
Since the passage of the 2003 tax bill, which lowered maximum tax rates on dividends to 15%, Citigroup and several other leading U.S. firms have redirected funds previously allocated to share buybacks to increased dividend payments. This graph shows the potential for dividend increases, by S&P sector, if all funds used to repurchase shares were to be redirected to dividend payments. We do not expect this outcome, but we are seeing some movement in this direction.
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Important Information
The information presented on the following pages was current as of March 31, 2005. 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.
Shares in the Fund carry risks including possible loss of principal. There are special risks associated with international investing, including currency fluctuations, government regulation, political developments, and differences in liquidity. Additionally, the Fund invests a portion of the assets in small capitalization companies which may increase the risk of greater price fluctuations.
As with direct bond ownership, Funds that invest in bonds are subject to certain risks including interest-rate risk, credit risk, and inflation risk. The value of a bond will fluctuate relative to changes in interest rates; as interest rates rise, the overall price of bonds fall. Shares in the fund are not deposits or obligations of, or guaranteed or endorsed by, any bank, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any government agency.
Minimum investments for Class I shares are higher than those for other classes.
Glossary
Blended Index – 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 1,600 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.
Russell 1000 Index – Consists of the 1,000 largest securities in the Russell 3000 Index, which represents approximately 90% of the total market capitalization of the Russell 3000 Index. It is a large-cap, market-oriented index and is highly correlated with the S&P 500 Index.
Russell 2000 Index – An unmanaged index generally representative of the 2,000 smallest companies in the Russell 3000 Index, representing approximately 10% of the total market capitalization of the Russell 3000 Index.
Standard & Poor’s 500 Stock Index (S&P 500) – An unmanaged index generally representative of the U.S. stock market, without regard to company size.
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.
Median Market Capitalization – Market capitalization (market cap) is the total value of a company’s stock, calculated by multiplying the number of outstanding common shares by the current share price. The company whose market cap is in the middle of the portfolio is the median market cap. Half the companies in the portfolio have values greater than the median, and half have values that are less. If there is an even number of companies, then the median is the average of the two companies in the middle.
Price to Book Value (P/B) – A ratio used to compare a stock’s market value to its book value. It is calculated by dividing the current closing price of the stock by the latest quarter’s book value (book value is simply assets minus liabilities).
Price to Cash Flow Ratio – A measure of the market’s expectations of a firm’s future financial health. It is calculated by dividing the price per share by cash flow per share.
Price to Earnings Ratio (P/E) – A valuation ratio of a company’s current share price compared to its per-share earnings. P/E equals a company’s market value per share divided by earnings per share.
Weighted Average Coupon – Coupon refers to the rate of interest paid on a bond, usually expressed as a percent of its par value. A fund’s weighted average coupon is calculated by weighting each bond’s coupon by its relative size in the portfolio and taking the average.
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Portfolio Overview
Thornburg Investment Income Builder Fund
IMPORTANT PERFORMANCE INFORMATION
Performance data quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate so that upon redemption, investor’s shares may be worth more or less than their original cost. Current performance may be lower or higher than the data quoted. For performance data current to the most recent month end, visit www.thornburg.com.
There is no up-front sales charge for class I shares.
MANAGEMENT TEAM
Front row, L to R: Steven Bohlin, Brad Kinkelaar, and Brian McMahon. Back row, L to R: Wendy Trevisani, Lewis Kaufman, Ed Maran, Vin Walden, and Lei Wang.
PORTFOLIO COMPOSITION
As of 3/31/05
We do not expect each sequential quarter’s dividend to increase over that of the prior quarter, since dividend payments outside the U.S. tend to be seasonal. Rather, the Fund aspires to increase the dividend paid on an annual basis.
100% of 2004 and 2003’s dividend payments qualified for the lower 15% tax rate on stock dividends.
QUARTERLY DIVIDEND HISTORY
Q1 | Q2 | Q3 | Q4 | Total | |||||||||||
Class I Shares | |||||||||||||||
2005 | 11.6 | ¢ | N/A | N/A | N/A | N/A | |||||||||
2004 | 11.7 | ¢ | 13.6 | ¢ | 16.0 | ¢ | 22.7 | ¢ | 64.0 | ¢ | |||||
Class A Shares | |||||||||||||||
2005 | 11.0 | ¢ | N/A | N/A | N/A | N/A | |||||||||
2004 | 10.2 | ¢ | 12.5 | ¢ | 15.0 | ¢ | 21.8 | ¢ | 59.5 | ¢ | |||||
2003 | 9.2 | ¢ | 11.2 | ¢ | 12.4 | ¢ | 17.5 | ¢ | 50.3 | ¢ |
KEY PORTFOLIO ATTRIBUTES
Equity Statistics | ||||
Equity Portfolio P/E | 15.4 | x | ||
Median Market Cap | $ | 16.20B | ||
Equity Holdings | 46 | |||
Fixed Income Statistics | ||||
Weighted Average Coupon | 5.12 | % | ||
Average Credit Quality | BBB | + | ||
Average Maturity | 4.5 yrs | |||
Duration | 1.53 yrs | |||
Bond Holdings | 22 |
TOP TEN HOLDINGS
Lloyds TSB Group plc | 3.7 | % | |
Marathon Oil Corp. | 3.6 | % | |
TXU Corp. | 3.4 | % | |
Altria Group Inc. | 3.4 | % | |
Barclays plc | 3.1 | % | |
General Electric Co. | 3.0 | % | |
Citigroup Inc. | 3.0 | % | |
Tesco plc | 3.0 | % | |
Bank of America Corp. | 2.9 | % | |
Dominion Resources Inc. | 2.8 | % |
AVERAGE ANNUAL TOTAL RETURNS*
For periods ending March 31, 2005
1Q ‘05 | 1 Yr | Since Inception | |||||||
I Shares (Incep: 11/01/03) | 1.43 | % | 15.00 | % | 18.17 | % | |||
Blended Index** (Since: 11/01/03) | (1.09 | )% | 8.06 | % | 12.25 | % |
* | Periods under one year are not annualized. |
** | Blended Index: 75% MSCI World/25% Lehman Brothers Aggregate |
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Portfolio Overview
Continued
The investment objective of Thornburg Investment Income Builder Fund is to provide a level of current income which exceeds the average yield on U.S. stocks, and which will grow, subject to periodic fluctuations, over the years. This objective remains constant over time. However, the specific investments we have used to try to reach our objective have changed occasionally. There is no guarantee the Fund will meet its investment objectives.
Business conditions for various industries and operating effectiveness at individual firms, change over time. Investor preferences, expressed as both absolute and relative prices, also change over time. In the view of your portfolio management team, “some doors close and others open.” As shown in the tables below, the percentage industry allocations of your Fund evolve to reflect these changing conditions.
TOP TEN INDUSTRIES
As of 3/31/05
Diversified Financials | 14.8 | % | |
Banks | 14.8 | % | |
Energy | 11.8 | % | |
Telecommunication Services | 9.0 | % | |
Utilities | 7.8 | % | |
Pharmaceuticals & Biotechnology | 7.1 | % | |
Transportation | 5.8 | % | |
Food & Staples Retailing | 4.8 | % | |
Materials | 3.8 | % | |
Food Beverage & Tobacco | 3.4 | % |
TOP TEN INDUSTRIES
As of 12/31/04
Banks | 15.0 | % | |
Diversified Financials | 11.6 | % | |
Pharmaceuticals & Biotechnology | 8.9 | % | |
Energy | 7.3 | % | |
Transportation | 7.0 | % | |
Telecommunication Services | 6.5 | % | |
Food Beverage & Tobacco | 6.1 | % | |
Utilities | 5.6 | % | |
Insurance | 4.5 | % | |
Food & Staples Retailing | 3.9 | % |
TOP TEN INDUSTRIES
As of 9/30/04
Banks | 18.7 | % | |
Diversified Financials | 12.8 | % | |
Telecommunication Services | 9.8 | % | |
Energy | 8.7 | % | |
Pharmaceuticals & Biotech | 4.4 | % | |
Capital Goods | 4.1 | % | |
Utilities | 3.8 | % | |
Software & Services | 3.4 | % | |
Food & Staples Retailing | 3.3 | % | |
Transportation | 3.2 | % |
TOP TEN INDUSTRIES
As of 6/30/2004
Banks | 16.4 | % | |
Energy | 10.5 | % | |
Diversified Financials | 10.4 | % | |
Telecommunication Services | 6.7 | % | |
Utilities | 6.6 | % | |
Food Beverage & Tobacco | 5.6 | % | |
Technology Hardware & Equipment | 5.1 | % | |
Pharmaceuticals & Biotechnology | 4.1 | % | |
Insurance | 3.4 | % | |
Capital Goods | 3.0 | % |
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Thornburg Investment Income Builder Fund
I Shares – March 31, 2005
10 | ||
12 | ||
14 | ||
16 | ||
17 | ||
21 | ||
22 | ||
28 | ||
29 | ||
30 | ||
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.
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April 21, 2005
Dear Fellow Shareholder:
This report for Thornburg Investment Income Builder Fund covers the semi-annual period beginning October 1, 2004 and ending March 31, 2005. Your Fund has a fiscal year that begins October 1. Thornburg Investment Income Builder paid dividends of 34.3¢ per Class I share in the period. The net asset value per I share increased by $1.65 during the period under review. The total return for the six-month period was 12.77% for Class I shares, compared to 7.95% for the Blended Index*.
The median percentage increase of the most recent dividend paid by our portfolio firms was more than 11% over the year-earlier level. This reflects improving ability and willingness to pay dividends by most of the firms we own. Under the surface of the dividend landscape, there is a more complicated dynamic. Many firms in certain U.S. industries that traditionally have the highest yields, utilities and REITS, appear relatively unattractive at this time, due to prior price appreciation. Broadly speaking, utilities are squeezed between higher fuel costs and political/regulatory pressures to restrain, or even roll back rates. We hope that Texas Utilities Corp. (with its relatively modest mix of costly gas-fired power generation) and Dominion Resources Inc. (with its owned natural gas properties and coal and nuclear generating plants) will be somewhat insulated from the squeeze. Each of these performed well for Thornburg Investment Income Builder Fund in this fiscal period.
Each REIT is somewhat unique, so we hesitate to generalize. We can say that capital flows to purchase or build rent-producing structures of almost every description have been enormous . . . so there is too little scarcity value in most sectors to hold out the prospect of interesting future reward for incoming investors at this time. It has been a challenge to make your equity portfolio produce more dividend income with a lower allocation to REITS and utilities than we had in the past. We have depended on the improved ability and willingness to pay higher dividends from firms in other industries.
Oil & gas producers and refiners are one such group, and Marathon Oil Corp. and Petroleo Brasileiro SA (Petrobras) were among your Fund’s best performers in this period. Cash flows generated by these firms are enormous, given today’s prices for their hydrocarbon output. So far, they are not overspending to increase supply enough to lower visible future returns. Consumers around the globe, and there are ever more of these, do not appear to be altering their consumption patterns to reduce demand. One indication: there are around 220 million automobiles in the USA, and rising. There are around 30 million in China, and rising. Still, we know that these cash flows are cyclical, so we remain guarded about our investment exposure to this area. Another group with attractive cash flows and modest valuations is the telecommunication services industry. Here, we are particularly interested in those firms that obtain a majority of revenues from mobile telephony and broadband services. Today, most of these are located abroad. Alltel Corp. in the U.S. was a slight negative contributor to portfolio performance in the fiscal period, as was Copenhagen-based TDC A/S. We remain optimistic that decent business results, modest valuations, and good cash generation will lead to improved stock price performance from these. Outside the U.S., your portfolio got a strong performance contribution from Italy’s Telecom Italia Mobile, and a smaller one from global operator wireless Vodaphone Group.
Most of our bank and diversified financial services holdings were under pressure during the first three months of 2005 on interest rate anxiety, although Lloyds TSB Group, Alliance Capital Management Holdings LP, and our Irish bank holdings all contributed solidly to performance for the fiscal period as a whole. Our other banking holdings were either up or down marginally, while insurance firms Arthur J. Gallagher & Co. and Lincoln National Corp. were negative contributors for the period. We sold both of these latter stocks during the period. We have decreased the percentage exposure of your equity portfolio to financials modestly. We believe that your current holdings will derive more benefit than harm from gradually rising interest rates.
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Stock prices of two of your portfolio’s pharmaceutical holdings, Pfizer Inc. and Novartis AG, performed poorly, while Sanofi-Aventis did well. Two December 2004 IPOs, Macquarie Infrastructure Co. and Advance America, Cash Advance Centers, Inc., performed well. Together, these added around 0.78% to portfolio performance for the fiscal period. Other positive contributors to performance included a diverse collection: Tesco plc and Kingfisher plc (U.K.-based retailers of food/general merchandise and building products, respectively), Altria Group Inc. (consumer goods/tobacco), and China Merchants Holdings International Co. Ltd. and Shenzen Chiwan Wharf Holdings Ltd. (both are Chinese port operators).
Bond yields, while improved from their lows of last year, are not yet interesting. The reward for taking corporate credit risk is meager, as yield reach by hungry investors intersects with low net issuance of bonds by corporate borrowers. The percentage of Thornburg Investment Income Builder assets invested in bonds has gradually declined over several quarters, in recognition of the lack of perceived opportunity to further the mission of the Fund in this asset class, given recent prices. We believe both government bond yields and credit spreads will improve in the quarters to come. Steve Bohlin guided the duration of the cash/bond component of the Thornburg Investment Income Builder Fund, now around 9% of Fund assets, to less than two years. Domestic stocks, including preferred stocks, comprise around 43% of the portfolio, foreign stocks around 48%.
We look forward to the coming quarters, recognizing that they will present challenges. Consensus operating earnings per unit of the S&P 500 Index, around $67 for 2004, are forecast to be $73 for 2005. Exchange rate cross currents and varying abilities to pass through volatile costs will create winners and losers among businesses in 2005. Dividend payouts on both U.S. and European corporate earnings are modest. We believe that dividend growth will exceed earnings growth in future years. Highly paid corporate chiefs should be able to dividend out more than $22 to $23, out of operating earnings of $73. Cash is piling up on business balance sheets, with Federal Reserve data showing an incremental accumulation by American businesses of more than $1 trillion in the last five years. Stay tuned to see if willingness to pay catches up to the improved ability to pay better dividends. Also, remember that our dividends may be volatile, quarter to quarter.
Thank you for investing in the Thornburg Investment Income Builder Fund, and best wishes for a wonderful summer.
Sincerely,
![]() | ![]() | ![]() | ||||||
Brian McMahon | Brad Kinkelaar | Steven J. Bohlin | ||||||
President & Chief Investment Officer | Managing Director | Managing Director |
* | 75% MSCI World and 25% Lehman Brothers Aggregate, see page 29 for complete description of index. |
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.
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STATEMENT OF ASSETS AND LIABILITIES
Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
ASSETS | |||
Investments at value (cost $595,041,876) | $ | 653,181,519 | |
Cash | 2,115,485 | ||
Receivable for investments sold | 3,328,530 | ||
Receivable for fund shares sold | 9,008,355 | ||
Unrealized gain on forward exchange contracts (Note 6) | 213,990 | ||
Dividends receivable | 4,432,953 | ||
Interest receivable | 712,604 | ||
Prepaid expenses and other assets | 86,798 | ||
Total Assets | 673,080,234 | ||
LIABILITIES | |||
Payable for securities purchased | 10,125,300 | ||
Payable for fund shares redeemed | 757,183 | ||
Payable to investment advisor and other affiliates (Note 3) | 718,840 | ||
Deferred tax payable | 76,881 | ||
Accounts payable and accrued expenses | 366,613 | ||
Dividends payable | 892,932 | ||
Total Liabilities | 12,937,749 | ||
NET ASSETS | $ | 660,142,485 | |
NET ASSETS CONSIST OF: | |||
Undistributed net investment gain (loss) | $ | 1,927,878 | |
Net unrealized appreciation on investments, net of deferred taxes payable of $76,881 | 58,257,046 | ||
Accumulated net realized gain (loss) | 10,948,673 | ||
Net capital paid in on shares of beneficial interest | 589,008,888 | ||
$ | 660,142,485 | ||
NET ASSET VALUE: | |||
Class A Shares: | |||
Net asset value and redemption price per share ($360,467,282 applicable to 20,931,307 shares of beneficial interest outstanding - Note 4) | $ | 17.22 | |
Maximum sales charge, 4.50% of offering price | 0.81 | ||
Maximum offering price per share | $ | 18.03 | |
Class C Shares: | |||
Net asset value and offering price per share * ($224,538,420 applicable to 13,026,086 shares of beneficial interest outstanding - Note 4) | $ | 17.24 | |
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STATEMENT OF ASSETS AND LIABILITIES, CONTINUED
Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
Class I Shares: | |||
Net asset value, offering and redemption price per share ($75,126,884 applicable to 4,346,188 shares of beneficial interest outstanding - Note 4) | $ | 17.29 | |
Class R1 Shares: | |||
Net asset value, offering and redemption price per share ($9,899 applicable to 575 shares of beneficial interest outstanding - Note 4) | $ | 17.23 | |
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
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Thornburg Investment Income Builder Fund | Six Months Ended March 31, 2005 (Unaudited) |
INVESTMENT INCOME: | ||||
Dividend income (net of foreign taxes withheld of $537,828) | $ | 10,514,520 | ||
Interest income (net of premium amortized of $54,370) | 1,833,069 | |||
Total Income | 12,347,589 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 2,230,593 | |||
Administration fees (Note 3) | ||||
Class A Shares | 177,504 | |||
Class C Shares | 111,756 | |||
Class I Shares | 12,332 | |||
Class R1 Shares | 1 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 357,861 | |||
Class C Shares | 900,411 | |||
Class R1 Shares | 4 | |||
Transfer agent fees | ||||
Class A Shares | 134,140 | |||
Class C Shares | 88,850 | |||
Class I Shares | 14,815 | |||
Class R1 Shares | 1,947 | |||
Registration and filing fees | ||||
Class A Shares | 29,697 | |||
Class C Shares | 22,773 | |||
Class I Shares | 4,299 | |||
Class R1 Shares | 3,746 | |||
Custodian fees (Note 3) | 136,355 | |||
Professional fees | 24,230 | |||
Accounting fees | 22,550 | |||
Trustee fees | 6,360 | |||
Other expenses | 77,381 | |||
Total Expenses | 4,357,605 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (321,564 | ) | ||
Fees paid indirectly (Note 3) | (10,905 | ) | ||
Net Expenses | 4,025,136 | |||
Net Investment Income | $ | 8,322,453 | ||
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STATEMENT OF OPERATIONS, CONTINUED
Thornburg Investment Income Builder Fund | Six Months Ended March 31, 2005 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments | $ | 18,208,506 | ||
Foreign currency transactions | (4,352,791 | ) | ||
13,855,715 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments, net of change in deferred taxes payable of $ 26,584 | 32,224,851 | |||
Foreign currency translation | 1,144,956 | |||
33,369,807 | ||||
Net Realized and Unrealized Gain | 47,225,522 | |||
Net Increase in Net Assets Resulting From Operations | $ | 55,547,975 | ||
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Investment Income Builder Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income gain | $ | 8,322,453 | $ | 12,099,404 | ||||
Net realized gain (loss) on investments and foreign currency | 13,855,715 | (3,417,913 | ) | |||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments, foreign currency translation, and deferred taxes | 33,369,807 | 21,451,937 | ||||||
Net Increase in Net Assets Resulting from Operations | 55,547,975 | 30,133,428 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (5,423,728 | ) | (5,486,221 | ) | ||||
Class C Shares | (3,055,578 | ) | (2,936,820 | ) | ||||
Class I Shares | (953,537 | ) | (641,652 | ) | ||||
Class R1 Shares | (22 | ) | 0 | |||||
From realized gains | ||||||||
Class A Shares | (11,306 | ) | 0 | |||||
Class C Shares | (7,266 | ) | 0 | |||||
Class I Shares | (1,756 | ) | 0 | |||||
FUND SHARE TRANSACTIONS - (Note 4) | ||||||||
Class A Shares | 110,373,651 | 138,687,397 | ||||||
Class C Shares | 65,131,143 | 96,221,064 | ||||||
Class I Shares | 37,642,505 | 32,217,399 | ||||||
Class R1 Shares | 10,044 | 0 | ||||||
Net Increase in Net Assets | 259,252,125 | 288,194,595 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 400,890,360 | 112,695,765 | ||||||
End of period | $ | 660,142,485 | $ | 400,890,360 | ||||
See notes to financial statements.
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Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
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 Limited Term Municipal Fund, Thornburg California 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 four classes of shares of beneficial interest, Class A, Class C, Institutional Class (Class I), and Retirement Class (Class R1) 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 R1 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 (v) 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 Trust 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.
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 Trust to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute all taxable income, including any net realized gain on investments, of the Fund, to the shareholders. Therefore, no provision for Federal income taxes 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 and or market changes. At the time the Trust 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 an amount sufficient to make payment for the portfolio securities
Certified Semi-Annual Report | 17 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
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 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 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 period ended March 31, 2005, these fees were payable at annual rates ranging from .875 of 1% to .675 of 1% per annum 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% per annum of the average daily net assets attributable to each class of shares. For the period ended March 31, 2005, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $289,078 for Class C shares, $26,792 for Class I shares, and $5,694 for Class R1 shares.
The Trust 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 period ended March 31, 2005, the Distributor has advised the Fund that it earned commissions aggregating $165,413 from the sale of Class A shares of the Fund and collected contingent deferred sales charges aggregating $11,118 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 Trust has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Fund’s Class C and Class R1 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C and Class R1 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 R1 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 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 March 31, 2005, fees paid indirectly were $10,905.
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.
18 Certified Semi-Annual Report |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2005, there were an unlimited number of shares of beneficial interest authorized. Sales of Class R1 shares of the Thornburg Investment Income Builder Fund commenced February 1, 2005. Transactions in shares of beneficial interest were as follows:
Six Months Ended March 31, 2005 | Year Ended September 30, 2004 | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 7,175,053 | $ | 120,894,739 | 10,579,300 | $ | 160,956,212 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 248,552 | 4,262,068 | 283,535 | 4,388,856 | ||||||||||
Shares repurchased** | (881,756 | ) | (14,783,156 | ) | (1,780,207 | ) | (26,657,671 | ) | ||||||
Net Increase (Decrease) | 6,541,849 | $ | 110,373,651 | 9,082,628 | $ | 138,687,397 | ||||||||
** The Fund charges a redemption fee of 1% of the Class A shares exchanged within 90 days of purchase. For the period ended March 31, 2005 and year ended September 30, 2004, $12,897 and $33,971, respectively, were netted in the amount reported for shares repurchased.
|
| |||||||||||||
Class C Shares | ||||||||||||||
Shares sold | 4,132,653 | $ | 69,608,781 | 6,542,027 | $ | 100,023,227 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 114,549 | 1,966,339 | 120,816 | 1,873,063 | ||||||||||
Shares repurchased | (383,384 | ) | (6,443,977 | ) | (372,748 | ) | (5,675,226 | ) | ||||||
Net Increase (Decrease) | 3,863,818 | $ | 65,131,143 | 6,290,095 | $ | 96,221,064 | ||||||||
Class I Shares | ||||||||||||||
Shares sold | 2,208,798 | $ | 37,436,726 | 2,128,882 | $ | 32,252,605 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 47,395 | 815,789 | 36,925 | 573,313 | ||||||||||
Shares repurchased ** | (36,055 | ) | (610,010 | ) | (39,757 | ) | (608,519 | ) | ||||||
Net Increase (Decrease) | 2,220,138 | $ | 37,642,505 | 2,126,050 | $ | 32,217,399 | ||||||||
** The Fund charges a redemption fee of 1% of the Class I shares exchanged within 90 days of purchase. For the period ended March 31, 2005 and year ended September 30, 2004, $185 and $1,717, respectively, were netted in the amount reported for shares repurchased.
|
| |||||||||||||
Class R1 Shares | ||||||||||||||
Shares sold | 574 | $ | 10,022 | — | $ | — | ||||||||
Shares issued to shareholders in reinvestment of dividends | 1 | 22 | — | — | ||||||||||
Shares repurchased | 0 | 0 | — | — | ||||||||||
Net Increase (Decrease) | 575 | $ | 10,044 | — | $ | — | ||||||||
Certified Semi-Annual Report 19 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
NOTE 5 – SECURITIES TRANSACTIONS
For the period ended March 31, 2005, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $392,022,761 and $161,362,936, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2005, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 597,610,128 | ||
Gross unrealized appreciation on a tax basis | $ | 60,003,946 | ||
Gross unrealized depreciation on a tax basis | (4,432,555 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 55,571,391 | ||
At March 31, 2005, 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.
NOTE 7 – FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK
During the period ended March 31, 2005, 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 counter-parties 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:
23,700,000 | Euro Dollar for 30,807,156 USD, September 30, 2005 | $ | (104,859 | ) | ||
20,000,000 | Greater British Pound for 37,180,000 USD, July 11, 2005 | (405,075 | ) | |||
Unrealized loss from forward exchange contracts: | (509,934 | ) | ||||
15,000,000 | Euro Dollar for 19,857,000 USD, July 11, 2005 | 351,226 | ||||
22,000,000 | Greater British Pound for 41,630,600 USD, September 7, 2005 | 372,698 | ||||
Unrealized gain from forward exchange contracts: | 723,924 | |||||
Net unrealized gain (loss) from forward Exchange contracts | $ | 213,990 | ||||
20 Certified Semi-Annual Report |
Table of Contents
Thornburg Investment Income Builder Fund | (Unaudited)* |
*Six Months Ended March 31, 2005 | 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 | $ | 15.64 | $ | 14.45 | ||||
Income from investment operations: | ||||||||
Net investment income | 0.33 | 0.74 | ||||||
Net realized and unrealized gain (loss) on investments | 1.66 | 1.01 | ||||||
Total from investment operations | 1.99 | 1.75 | ||||||
Less dividends from: | ||||||||
Net investment income | (0.34 | ) | (0.56 | ) | ||||
Change in net asset value | 1.65 | 1.19 | ||||||
NET ASSET VALUE, end of period | $ | 17.29 | $ | 15.64 | ||||
RATIOS/SUPPLEMENTAL DATA | ||||||||
Total return (a) | 12.77 | % | 12.19 | % | ||||
Ratios to average net assets: | ||||||||
Net investment income | 3.94 | %(b) | 5.33 | %(b) | ||||
Expenses, after expense reductions | 0.99 | %(b) | 0.99 | %(b) | ||||
Expenses, after expense reductions and net of custody credits | 0.99 | %(b) | 0.99 | %(b) | ||||
Expenses, before expense reductions | 1.10 | %(b) | 1.21 | %(b) | ||||
Portfolio turnover rate | 32.28 | % | 109.21 | % | ||||
Net assets at end of period (000) | $ | 75,127 | $ | 33,247 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
(c) | Effective date of Class I Shares was November 1, 2003. |
+ | Based on weighted average shares outstanding. |
Certified Semi-Annual Report | 21 |
Table of Contents
Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
CUSIPS: CLASS A - 885-215-558, CLASS C - 885-215-541, CLASS I - 885-215-467, CLASS R1 - 885-215-384 NASDAQ SYMBOLS: CLASS A - TIBAX, CLASS C - TIBCX, CLASS I - TIBIX, CLASS R1 - TIBRX
Shares/ Principal Amount | Value | ||||
COMMON STOCK — 87.78% | |||||
AUTOMOBILES & COMPONENTS — 0.95% | |||||
AUTOMOBILES — 0.95% | |||||
Hero Honda Motors Ltd. | 500,000 | $ | 6,276,048 | ||
TOTAL AUTOMOBILES & COMPONENTS | 6,276,048 | ||||
BANKS — 13.73% | |||||
COMMERCIAL BANKS — 13.73% | |||||
Allied Irish Banks | 875,000 | 18,324,690 | |||
Bank of America Corp. | 440,000 | 19,404,000 | |||
Bank of Ireland Group | 325,000 | 5,133,183 | |||
Barclays plc | 2,000,000 | 20,433,562 | |||
Liechtenstein Landesbank | 5,300 | 2,992,472 | |||
Lloyds TSB Group plc | 2,700,000 | 24,372,971 | |||
TOTAL BANKS | 90,660,878 | ||||
CAPITAL GOODS — 3.00% | |||||
INDUSTRIAL CONGLOMERATES — 3.00% | |||||
General Electric Co. | 550,000 | 19,833,000 | |||
TOTAL CAPITAL GOODS | 19,833,000 | ||||
DIVERSIFIED FINANCIALS — 11.36% | |||||
CAPITAL MARKETS — 3.59% | |||||
The Bank of New York Co. Inc. | 400,000 | 11,620,000 | |||
WP Stewart & Co. Ltd. | 532,000 | 12,055,120 | |||
DIVERSIFIED FINANCIAL SERVICES — 7.77% | |||||
Alliance Capital Management Holdings LP | 325,000 | 15,323,750 | |||
Citigroup Inc. | 440,000 | 19,773,600 | |||
Hong Kong Exchanges & Clearing Ltd. | 3,750,000 | 9,712,472 | |||
JPMorgan Chase & Co. | 188,000 | 6,504,800 | |||
TOTAL DIVERSIFIED FINANCIALS | 74,989,742 | ||||
ENERGY — 11.70% | |||||
OIL & GAS — 11.70% | |||||
BP Amoco ADR | 275,000 | 17,160,000 | |||
China Petroleum & Chemical Corp. | 24,000,000 | 9,770,170 | |||
Marathon Oil Corp. | 500,000 | 23,460,000 | |||
Petroleo Brasileiro SA ADR | 350,000 | 15,463,000 | |||
Shell Transport & Trading Co. plc | 1,270,000 | 11,392,372 | |||
TOTAL ENERGY | 77,245,542 | ||||
22 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
Shares/ Principal Amount | Value | ||||
FOOD & STAPLES RETAILING — 4.76% | |||||
FOOD & STAPLES RETAILING — 4.76% | |||||
Carrefour SA | 220,000 | $ | 11,679,563 | ||
Tesco plc | 3,300,000 | 19,724,430 | |||
TOTAL FOOD & STAPLES RETAILING | 31,403,993 | ||||
FOOD BEVERAGE & TOBACCO — 3.37% | |||||
TOBACCO — 3.37% | |||||
Altria Group Inc. | 340,000 | 22,232,600 | |||
TOTAL FOOD BEVERAGE & TOBACCO | 22,232,600 | ||||
HOUSEHOLD & PERSONAL PRODUCTS — 0.58% | |||||
HOUSEHOLD PRODUCTS — 0.58% | |||||
Kimberly Clark de Mexico | 1,280,000 | 3,835,047 | |||
TOTAL HOUSEHOLD & PERSONAL PRODUCTS | 3,835,047 | ||||
INSURANCE — 0.70% | |||||
INSURANCE — 0.70% | |||||
Arthur J. Gallagher & Co. | 160,600 | 4,625,280 | |||
TOTAL INSURANCE | 4,625,280 | ||||
MATERIALS — 3.76% | |||||
CHEMICALS — 1.84% | |||||
PPG Industries Inc. | 170,000 | 12,158,400 | |||
PAPER & FOREST PRODUCTS — 1.92% | |||||
UPM Kymmene Oyj | 570,000 | 12,639,417 | |||
TOTAL MATERIALS | 24,797,817 | ||||
MEDIA — 1.65% | |||||
MEDIA — 1.65% | |||||
APN News & Media | 1,500,000 | 5,911,535 | |||
Independent News & Media plc | 1,510,000 | 4,973,553 | |||
TOTAL MEDIA | 10,885,088 | ||||
PHARMACEUTICALS & BIOTECHNOLOGY — 6.33% | |||||
PHARMACEUTICALS — 6.33% | |||||
GlaxoSmithKline plc | 550,000 | 12,599,123 | |||
Novartis Ag | 300,000 | 14,002,509 | |||
Sanofi-Aventis | 180,000 | 15,183,639 | |||
TOTAL PHARMACEUTICALS & BIOTECHNOLOGY | 41,785,271 | ||||
Certified Semi-Annual Report | 23 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
Shares/ Principal Amount | Value | ||||
REAL ESTATE — 2.72% | |||||
REAL ESTATE — 2.72% | |||||
Equity Inns Inc. | 300,000 | $ | 3,309,000 | ||
Highland Hospitality Corp. | 136,500 | 1,412,775 | |||
Host Marriott Corp. | 800,000 | 13,248,000 | |||
TOTAL REAL ESTATE | 17,969,775 | ||||
RETAILING — 1.45% | |||||
SPECIALTY RETAIL — 1.45% | |||||
Kingfisher plc | 1,750,000 | 9,542,823 | |||
TOTAL RETAILING | 9,542,823 | ||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 1.12% | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 1.12% | |||||
Samsung Electronics Co. Ltd. | 15,000 | 7,415,067 | |||
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT | 7,415,067 | ||||
TELECOMMUNICATION SERVICES — 7.27% | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 4.86% | |||||
Alltel Corp. | 315,000 | 17,277,750 | |||
TDC A/S | 350,000 | 14,757,843 | |||
WIRELESS TELECOMMUNICATION SERVICES — 2.41% | |||||
Vodafone Group plc | 6,000,000 | 15,920,049 | |||
TOTAL TELECOMMUNICATION SERVICES | 47,955,642 | ||||
TRANSPORTATION — 5.78% | |||||
TRANSPORTATION INFRASTRUCTURE — 5.78% | |||||
China Merchants Hldgs Intl. Co. Ltd. | 4,500,000 | 8,827,772 | |||
Hopewell Highway | 8,500,000 | 5,994,166 | |||
Macquarie Infrastructure Co.+ | 600,000 | 16,800,000 | |||
Shenzhen Chiwan Wharf Holdings Ltd. | 2,599,963 | 6,547,203 | |||
TOTAL TRANSPORTATION | 38,169,141 | ||||
UTILITIES — 7.55% | |||||
ELECTRIC UTILITIES — 4.73% | |||||
Datang International Power Generation Co. Ltd. | 11,799,900 | 8,548,185 | |||
TXU Corp. | 285,000 | 22,694,550 | |||
MULTI-UTILITIES & UNREGULATED POWER — 2.82% | |||||
Dominion Resources, Inc. | 250,000 | 18,607,500 | |||
TOTAL UTILITIES | 49,850,235 | ||||
TOTAL COMMON STOCK (Cost $522,095,332) | 579,472,989 | ||||
24 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
Shares/ Principal Amount | Value | |||||
PREFERRED STOCK — 3.65% | ||||||
COMMERCIAL BANKS — 1.06% | ||||||
First Tennessee Bank | 7,000 | $ | 7,003,937 | |||
DIVERSIFIED FINANCIAL SERVICES — 2.51% | ||||||
JPMorgan Chase & Co. | 50,000 | 2,576,565 | ||||
Lehman Brothers Holdings Inc. | 140,000 | 3,535,000 | ||||
Merrill Lynch & Co. Inc. | 420,000 | 10,445,400 | ||||
OIL & GAS — 0.08% | ||||||
El Paso Tennessee Pipeline Co. | 10,000 | 507,813 | ||||
TOTAL PREFERRED STOCK (Cost $24,019,500) | 24,068,715 | |||||
CORPORATE BONDS — 4.56% | ||||||
BIOTECHNOLOGY — 0.76% | ||||||
Tiers Inflation Linked Trust Series Wyeth 2004 21 Trust Certificate CPI Floating Rate, 5.106%, 2/1/2014 | $ | 5,000,000 | 5,020,400 | |||
COMMERCIAL SERVICES & SUPPLIES — 0.10% | ||||||
Allied Waste North America Inc., 6.375%, 4/15/2011 | 500,000 | 465,000 | ||||
Waste Management Inc., 7.375%, 8/1/2010 | 175,000 | 195,028 | ||||
COMPUTERS & PERIPHERALS — 0.08% | ||||||
Jabil Circuit Inc., 5.875%, 7/15/2010 | 500,000 | 516,282 | ||||
DIVERSIFIED FINANCIAL SERVICES — 0.95% | ||||||
Capital One Bank, 6.70%, 5/15/2008 | 655,000 | 693,969 | ||||
Capital One Bank, 6.50%, 6/13/2013 | 1,500,000 | 1,610,723 | ||||
SLM Corp. Floating Rate, 5.38%, 1/31/2014 | 2,000,000 | 2,002,280 | ||||
SLM Corp. Floating Rate, 4.46%, 3/2/2009 | 2,000,000 | 1,984,780 | ||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 1.24% | ||||||
Level 3 Communications Inc., 9.125%, 5/1/2008 | 2,500,000 | 2,081,250 | ||||
Level 3 Communications Inc., 10.50%, 12/1/2008 | 4,000,000 | 3,410,000 | ||||
TCI Communications Inc., 7.875%, 8/1/2013 | 2,285,000 | 2,665,389 | ||||
GAS UTILITIES — 0.21% | ||||||
Sonat Inc., 7.625%, 7/15/2011 | 1,400,000 | 1,382,500 | ||||
INSURANCE — 0.78% | ||||||
AAG Holding Co. Inc., 6.875%, 6/1/2008 | 335,000 | 347,356 | ||||
Hartford Life Inc., 7.10%, 6/15/2007 | 400,000 | 422,292 | ||||
Liberty Mutual Group Inc., 5.75%, 3/15/2014 | 1,000,000 | 982,847 | ||||
Old Republic International Corp., 7.00%, 6/15/2007 | 1,000,000 | 1,051,442 | ||||
Pacific Life Global Funding CPI Floating Rate, 5.44%, 2/6/2016 | 2,000,000 | 2,018,600 | ||||
Provident Cos Inc., 6.375%, 7/15/2005 | 353,000 | 355,470 | ||||
MEDIA — 0.19% | ||||||
AOL Time Warner Inc., 6.875%, 5/1/2012 | 425,000 | 464,136 | ||||
Independent News & Media plc, 5.75%, 5/17/2009 | 600,000 | 793,610 |
Certified Semi-Annual Report | 25 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
Shares/ Principal Amount | Value | |||||
REAL ESTATE — 0.25% | ||||||
MDC Holdings Inc., 7.00%, 12/1/2012 | $ | 1,500,000 | $ | 1,629,714 | ||
TOTAL CORPORATE BONDS (Cost $28,957,792) | 30,093,068 | |||||
CONVERTIBLE BONDS — 0.53% | ||||||
CAPITAL MARKETS — 0.02% | ||||||
E-Trade Financial Corp., 6.00%, 2/1/2007 | 132,000 | 133,650 | ||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.51% | ||||||
Level 3 Communications Inc., 6.00%, 3/15/2010 | 6,575,000 | 3,361,469 | ||||
TOTAL CONVERTIBLE BONDS (Cost $3,861,049) | 3,495,119 | |||||
MUNICIPAL BONDS — 0.61% | ||||||
NEW YORK — 0.32% | ||||||
Victor New York, 9.05%, 5/1/2008 | 2,050,000 | 2,112,033 | ||||
VIRGINIA — 0.29% | ||||||
Short Pump Town Center Community Development, 6.26%, 2/1/2009 | 2,000,000 | 1,941,820 | ||||
TOTAL MUNICIPAL BONDS (Cost $4,110,528) | 4,053,853 | |||||
U.S. GOVERNMENT AGENCIES — 0.30% | ||||||
Federal National Mortgage Association CPI Floating Rate, 4.396%, 2/17/2009 | 2,000,000 | 2,000,100 | ||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $2,000,000) | 2,000,100 | |||||
SHORT TERM INVESTMENTS — 1.52% | ||||||
American General Finance Corp., 2.79%, 4/4/2005 | 10,000,000 | 9,997,675 | ||||
TOTAL SHORT TERM INVESTMENTS (Cost $9,997,675) | 9,997,675 | |||||
TOTAL INVESTMENTS — 98.95% (COST $595,041,876) | $ | 653,181,519 | ||||
OTHER ASSETS LESS LIABILITIES — 1.05% | 6,960,966 | |||||
NET ASSETS — 100.00% | $ | 660,142,485 | ||||
Footnote Legend
See notes to financial statements.
+ | Non-income producing. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR American Depository Receipt
26 Certified Semi-Annual Report |
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SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/05
Diversified Financials | 14.84 | % | |
Banks | 14.79 | % | |
Energy | 11.78 | % | |
Telecommunication Services | 9.02 | % | |
Utilities | 7.76 | % | |
Pharmaceuticals & Biotechnology | 7.09 | % | |
Transportation | 5.78 | % | |
Food & Staples Retailing | 4.76 | % | |
Materials | 3.76 | % | |
Food Beverage & Tobacco | 3.37 | % | |
Capital Goods | 3.00 | % | |
Real Estate | 2.97 | % | |
Media | 1.84 | % | |
Insurance | 1.48 | % | |
Retailing | 1.45 | % | |
Semiconductors & Semiconductor Equip. | 1.12 | % | |
Automobiles & Components | 0.95 | % | |
Household & Personal Products | 0.58 | % | |
Commercial Services & Supplies | 0.10 | % | |
Technology Hardware & Equipment | 0.08 | % | |
Municipal Bonds | 0.61 | % | |
U.S. Government Agencies | 0.30 | % | |
Other Assets & Cash Equivalents | 2.57 | % |
SUMMARY OF COUNTRY EXPOSURE
As of 3/31/05
U.S. | 48.98 | % | |
U.K. | 19.86 | % | |
China | 6.01 | % | |
Ireland | 4.43 | % | |
France | 4.07 | % | |
Switzerland | 2.57 | % | |
Brazil | 2.34 | % | |
Denmark | 2.24 | % | |
Finland | 1.91 | % | |
Hong Kong | 1.47 | % | |
South Korea | 1.12 | % | |
India | 0.95 | % | |
Australia | 0.90 | % | |
Mexico | 0.58 | % | |
Other Assets and Cash Equivalents | 2.57 | % |
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EXPENSE EXAMPLE
Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
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 September 30, 2004 and held until March 31, 2005.
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 Account Value 9/30/04 | Ending Account Value 3/31/05 | Expenses Paid During Period† 9/30/04–3/31/05 | |||||||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,127.70 | $ | 5.24 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.01 | $ | 4.97 |
† | 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 182/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
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Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Investment Income Builder Fund versus Blended Index (November 3, 2003 to March 31, 2005)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2005
1 Yr | Since Inception | |||||
I Shares (Incep: 11/3/03) | 15.00 | % | 18.17 | % | ||
Blended Index (Since: 11/3/03) | 8.06 | % | 12.25 | % |
Performance data reflects 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. 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.
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Thornburg Investment Income Builder Fund | March 31, 2005 (Unaudited) |
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 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.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files 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. The Fund’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, or may be reviewed and 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.
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Trustees’ Statement to Shareholders
February 8, 2005
The Trustees are concerned that recent commentaries and opinions reported in the media may confuse investors in general as to the supervisory duties of trustees of mutual funds and, in particular, leave Thornburg Investment Trust shareholders uncertain regarding how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. We decided to spell out clearly three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf.
We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.
Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders’ returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.
Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.
This statement is submitted for the general information of the shareholders of Thornburg Investment Trust. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. If you have not received a prospectus, one can be obtained from your financial advisor, online at www.thornburg.com/download, or by calling 800-847-0200. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Read it carefully before you invest or send money.
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Planning Options
Retirement and Education Accounts
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs – Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 701/2, even if you are covered by an employer retirement plan.
Roth IRAs – Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our web site at www.thornburg.com/ira.
SEP IRAs – Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employee’s SEP IRA on a discretionary basis.
SIMPLE IRAs – Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employee’s SIMPLE IRA. Employees may make salary deferral contributions.
403(b)
A special, tax-advantaged savings vehicle available only to employees of 501(c)(3) organizations, such as charitable, educational, scientific and religious organizations. 403(b) plans are also available to employees of public schools and universities.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
• | Thornburg International Value Fund |
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
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The Firm
Thornburg Investment Management is a privately held investment management company based in Santa Fe, New Mexico with assets under management of over $13 billion. Founded in 1982, the firm manages four equity funds, eight bond funds, and separate portfolios for select institutions and individuals.
Investment Philosophy
We seek to preserve and increase the real wealth of the Funds’ shareholders after accounting for inflation, taxes, and investment expenses. We’re committed to disciplined investing and controlling risk in all market environments through laddered bond and focused equity portfolios.
Portfolio Holdings Disclosure
We believe you should know what is in your portfolio. Our web site keeps investors informed of the Funds’ equity holdings. Go to www.thornburg.com/funds for portfolio manager commentary on our equity fund holdings.
Co-Ownership of Funds
We invest side-by-side with the Funds’ shareholders. Our employees have invested over $100 million in Thornburg Funds.
Core Strategies for Building Wealth
We deliver core strategies to help investors meet long-term goals. A core strategy is a consistent, disciplined and proven investment process that represents the foundation of a diversified portfolio.
INVESTMENT MANAGER
Thornburg Investment Management, Inc.
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
PRINCIPAL UNDERWRITER
Thornburg Securities Corporation
119 East Marcy Street
Santa Fe, New Mexico 87501
800.847.0200
www.thornburg.com
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Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
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
On December 5, 2004, the Nominating Committee was reconstituted as the Trust’s Governance and Nominating Committee, and the April 8, 2004 Nominating Committee Charter was replaced by the Governance and Nominating Committee Charter. As a result of these changes, the authority to consider candidates recommended by the shareholders in accordance with the Trust’s Procedure for Shareholder Communications was committed to the Governance and Nominating Committee.
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) | Not Applicable | |
(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. | |
(a) (3) | Not Applicable | |
(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. |
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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: May 20, 2005
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: | May 20, 2005 | |
By: | /s/ Steven J. Bohlin | |
Steven J. Bohlin | ||
Treasurer and principal financial officer | ||
Date: | May 20, 2005 |