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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, 2008
Date of reporting period: March 31, 2008
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 New Mexico Intermediate Municipal Fund Class I
Thornburg New York Intermediate Municipal Fund
Thornburg Limited Term Income Funds
Thornburg Limited Term Income Funds Class I
Thornburg Value Fund
Thornburg Value Fund Class I
Thornburg International Value Fund
Thornburg International Value Fund Class I
Thornburg Core Growth Fund
Thornburg Core Growth Fund Class I
Thornburg Investment Income Builder Fund
Thornburg Investment Income Builder Fund Class I
Thornburg Global Opportunities Fund
Thornburg Global Opportunities Fund Class I
Thornburg International Growth Fund
Thornburg International Growth Fund Class I
Thornburg Strategic Income Fund
Thornburg Strategic Income Fund Class I
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Invest in our planet, while you invest with us
You are concerned about the future, so are we. That is why we encourage you to go paperless and cut down on the amount of paper being used for regulatory mailings. Go to www.thornburg.com/edelivery and sign up to receive your shareholder reports, prospectuses, and proxy statements electronically.
Thornburg Limited Term Municipal Fund
Laddering – an All Weather Strategy
The Fund’s primary investment objective is to obtain as high a level of current income exempt from federal individual 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). The secondary goal of the Fund is to reduce expected changes in its share price compared to longer intermediate and long-term bond portfolios.
This Fund is a laddered portfolio of municipal bonds with an average maturity of normally less than five years. 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.
2 This page is not part of the Semi-Annual Report.
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Thornburg Limited Term Municipal Fund
March 31, 2008
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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 Class A shares is 1.50%. Class C shares include a 0.50% contingent deferred sales charge (CDSC) for the first year only.
Performance data given at net asset value (NAV) does not take into account these sales charges. If the sales charges had been included, the performance would have been lower.
Investments 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. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund. Investments 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. There is no guarantee that the Fund will meet its investment objectives. The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
The information presented on the following pages was current as of March 31, 2008. The managers’ views, portfolio holdings, and sector diversification are provided for the general information of the Fund’s shareholders; they 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.
![]() | Lipper’s 2008 Best Fixed-Income Fund Family | |
Thornburg Investment Management ranked #1 out of 41 eligible firms in Lipper Inc.’s fixed income large firm universe for the three-year period ended 12/31/07, based on risk-adjusted returns. Past performance does not guarantee future results. | ||
Lipper’s large firm universe is comprised of fund families with more than $28 billion in total net assets. Only fund families with at least five bond funds were eligible. Risk-adjusted returns were calculated with dividends reinvested and without sales charges. | ||
Ranked #1 by Morningstar | ||
Thornburg Limited Term Municipal Fund, I shares | ||
Class I shares ranked #1 out of 61 funds in Morningstar’s Muni National Short category for the 10-year period ended 12/31/07 and has retained that rank as of 3/31/08. Class I shares ranked #7 out of 106 funds for five years and #29 out of 134 for one year. Class A shares ranked #11 out of 61 for the ten-year period ended 3/31/08; #17 out of 106 for five years; and #43 out of 134 for one year. Ranks are based on total returns without sales charge. Past performance does not guarantee future results. | ||
© 2008 Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. |
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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.
Average Maturity – The average of the maturity dates of the debt securities in the fund. In general, the longer the average maturity, the greater the fund’s sensitivity to interest-rate changes, which means greater price fluctuation. A shorter average maturity usually means a less sensitive/less volatile portfolio.
Consumer Price Index – The Consumer Price Index (CPI) measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living 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.
Fed Funds Rate – The interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.
Real Gross Domestic Product (GDP) – The market value of goods and services produced by labor and property in the United States, regardless of nationality. This inflation-adjusted measure reflects the value of all goods and services produced in a given year, expressed in base-year prices. Often referred to as “constant-price GDP”, “inflation-corrected GDP” or “constant dollar GDP”.
U.S. Treasury Securities – U.S. Treasury securities, such as bills, notes and bonds, are negotiable debt obligations of the U.S.government. These debt obligations are backed by the “full faith and credit” of the government and issued at various schedules and maturities. Income from Treasury securities is exempt from state and local, but not federal income taxes.
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George Strickland Co-Portfolio Manager
Josh Gonze Co-Portfolio Manager
Christopher Ihlefeld Co-Portfolio Manager | April 14, 2008
| |
Dear Fellow Shareholder: | ||
We are pleased to present the Semi-Annual Report for the Thornburg Limited Term Municipal Fund. The net asset value of the Class A shares increased by 6 cents per share to $13.55 dur- ing the six months ended March 31, 2008. If you were with us for the entire period, you re-ceived dividends of 24.0 cents per share. If you reinvested your dividends, you received 24.1 cents per share. Investors who owned Class C shares received dividends of 22.1 and 22.3 cents per share, respectively.
The past six months have been extraordinary in the capital markets. All bonds, including mu-nicipals, have been buffeted by the mortgage storm and its aftermath. In the rubble lies oppor- tunity for unlevered investors like us. We are proud of our performance during this difficult period, and we welcome the accolades we have earned. In April 2008, Thornburg Investment Management received the 2008 Lipper Fund Award for Best Fixed-Income Fund Family. In January 2008, Limited Term Municipal Fund (Class I shares) was ranked #1 by Morningstar in its category for total return performance in the ten years ended December 31, 2007 (among 61 Muni National Short funds).
What makes our recent strong performance remarkable is that it occurred during the collapse of the mortgage market and the subsequent bank liquidity crisis. For years, leveraged inves-tors have distorted prices in the bond market. In contrast with old-fashioned cash investors like ourselves, leveraged players tended to pay more for bonds because their borrowed fund- ing and copious use of hedges allowed them to ignore the rules of fundamental bond invest- ing. But in the last six months, banks curtailed lending, the auction-rate securities market crumpled, and hedges had to unwind.
Mortgage-backed securities began collapsing in August 2007. We were largely unscathed be- cause we had minimal exposure to this sector. Risk models created by rating agencies failed to provide for the possibility of a broad increase in mortgage delinquencies. Banks and investors who held mortgage bonds took unprecedented write-downs, essentially admitting the bonds cannot recover. All of the bond insurers, to varying degrees, had written credit default swaps against mortgages, and now some bond insurers have been stripped of their AAA ratings. Banks have curtailed lending as they struggle to reduce the size of their balance sheets.
Today’s economic picture is one of stagnating economic activity combined with accelerating inflation. Inflation is running around 4%, as measured by the CPI. Home sales and construc- tion starts are depressed. Recent reports for real GDP indicate the economy is nearly flat with a 0.60% growth rate. Recent job reports show three consecutive months of declining payrolls, so we believe there is little question that the U.S. is in a mild recession. We expect the biparti- san $168 billion stimulus package to be ineffective.
The Fed has lowered the Fed Funds Rate by 3% since September 2007 to 2.25%, with fur- ther rate cuts anticipated. Low interest rates ordinarily halt downward economic trends by prompting more lending, borrowing, and spending. However, banks currently are focused on reducing assets, not creating new assets, so low interest rates are failing to translate into eco- nomic activity.
The decline of the dollar is both a signal and a cause of economic weakness. Our currency continues its long-term downward trend as investors, both foreign and domestic, shift their | ||
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portfolios to hold more assets denominated in currencies other than the dollar. Dollar-denominated assets are undermined by accelerating U.S. inflation and negative real interest rates on Treasury bonds.
On the positive side, the yield curve has been steepening, which will support a rebound in bank profits. The municipal yield curve’s newly steep direction has pivoted around the year 2016. Since the beginning of January, bonds maturing prior to 2016 have declined in yield (risen in price), while bonds maturing after 2016 have risen in yield (declined in price). The flight to quality has pushed Treasury yields down sharply, with the result that the ratios of municipal-to-Treasury yields were at an all-time high. In the last six months we have purchased tax-exempt bonds at yields ranging from 120% to 200% of equivalent maturity Treasuries.
% of portfolio maturing | Cumulative % maturing | |||||||||||||
1 years | = | 9.7 | % | Year 1 | = | 9.7 | % | |||||||
1 to 2 years | = | 10.3 | % | Year 2 | = | 20.0 | % | |||||||
2 to 3 years | = | 12.1 | % | Year 3 | = | 32.1 | % | |||||||
3 to 4 years | = | 8.9 | % | Year 4 | = | 41.0 | % | |||||||
4 to 5 years | = | 10.3 | % | Year 5 | = | 51.3 | % | |||||||
5 to 6 years | = | 10.8 | % | Year 6 | = | 62.1 | % | |||||||
6 to 7 years | = | 9.1 | % | Year 7 | = | 71.2 | % | |||||||
7 to 8 years | = | 10.9 | % | Year 8 | = | 82.1 | % | |||||||
8 to 9 years | = | 9.8 | % | Year 9 | = | 91.9 | % | |||||||
Over 9 years | = | 8.1 | % | Over 9 years | = | 100.0 | % |
Percentages can and do vary. Data as of 3/31/08.
Meanwhile, quality spreads (the difference in yield between the Percentages can and do vary. Data as of 3/31/08. highest quality bonds and lower quality bonds) have been wide in the last several months. Some investors, who were previously comfortable taking credit risk at very tight spreads to AAA rated bonds, suddenly became a lot less comfortable. Those who sold typically had to sell their bonds at significantly wider spreads than those that prevailed earlier in the year. This led to an environment where investors could finally be compensated for taking incremental credit risk in bonds rated lower than AAA. We have been a beneficiary of this trend. When the credit-spread widening started, we were underweighted in BBB and A-rated bonds. As spreads doubled and tripled from their levels of mid-2007, we increased the Fund’s allocation to bonds rated below AA.
The Class A shares of your Fund produced a total return of 2.24% over the six-month period ended March 31, 2008, compared to a 3.88% return for the Lehman Five-Year Municipal Bond Index. Over the six-month period, five-year municipal bonds have performed better than longer (6 to 10 year) and shorter maturity (1 to 4 year) bonds. The Fund invests in a laddered portfolio of bonds that mature over the next ten years, with roughly 10% of the portfolio maturing in each year of the ladder, so most of the bonds mature in less than or more than five years. Since those bonds generally underperformed five-year bonds, the Fund underperformed the Index.
Your Thornburg Limited Term Municipal Fund is a laddered portfolio of 469 municipal obligations from 48 states. 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 chart above describes the percentages of your Fund’s bond portfolio maturing in each of the coming years.
We were able to take advantage of this past winter’s weakness to buy good bonds at attractive yields, but we did not modify the portfolio’s key characteristics. At September 30, 2007, the Fund’s ladder had an average maturity of 4.75 years and duration of 3.77 years. As the yield curve steepened, we invested evenly along the ladder. Consequently, at March 31, 2008, the Fund had an average maturity of 4.74 and duration of 3.80 years - nearly identical to how it measured six months earlier.
Looking forward, we do expect to see a weak U.S. economy through 2008. Until the housing and credit markets stabilize, the economy will be on shaky ground. At some point in 2009, we anticipate stabilization. Prior to that point,
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Letter to Shareholders
Continued
bond yields may rise to compensate investors for inflation. Rising bond yields may lead to a lower price for the Fund, but would allow us to take cash from maturing bonds and interest payments, and re-invest it at attractive levels.
State tax revenues have slowed, putting a damper on state budgets. Historically this corresponds with periods of increased municipal bond supply as states and localities borrow to fund expenditures. Other sectors of the municipal bond market are moving sideways, with a mixture of credit rating upgrades and downgrades. While the current trend is positive, we expect the depressed housing market and slower economic growth to create a tougher environment for municipal bonds to show further credit improvement. We did add marginally to the Fund’s exposure to lower investment grade bonds recently, but we do believe it is prudent to keep overall credit quality high in the current environment. Your Fund is broadly diversified and 83% invested in bonds rated A or above by at least one of the major rating agencies.
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 | Josh Gonze | Christopher Ihlefeld | ||
Co-Portfolio Manager | Co-Portfolio Manager | Co-Portfolio Manager |
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STATEMENT OF ASSETS AND LIABILITIES
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
ASSETS | ||||
Investments at value (cost $1,082,102,339) (Note 2) | $ | 1,103,772,992 | ||
Cash | 6,681,970 | |||
Receivable for investments sold | 1,015,000 | |||
Receivable for fund shares sold | 3,022,483 | |||
Interest receivable | 13,905,447 | |||
Prepaid expenses and other assets | 46,429 | |||
Total Assets | 1,128,444,321 | |||
LIABILITIES | ||||
Payable for securities purchased | 2,067,940 | |||
Payable for fund shares redeemed | 1,538,986 | |||
Payable to investment advisor and other affiliates (Note 3) | 692,166 | |||
Accounts payable and accrued expenses | 210,077 | |||
Dividends payable | 919,340 | |||
Total Liabilities | 5,428,509 | |||
NET ASSETS | $ | 1,123,015,812 | ||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment income | $ | (3,894 | ) | |
Net unrealized appreciation on investments | 21,670,653 | |||
Accumulated net realized gain (loss) | (9,160,232 | ) | ||
Net capital paid in on shares of beneficial interest | 1,110,509,285 | |||
$ | 1,123,015,812 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($696,086,103 applicable to 51,364,318 shares of beneficial interest outstanding - Note 4) | $ | 13.55 | ||
Maximum sales charge, 1.50% of offering price | 0.21 | |||
Maximum offering price per share | $ | 13.76 | ||
Class C Shares: | ||||
Net asset value and offering price per share * ($87,956,142 applicable to 6,478,572 shares of beneficial interest outstanding - Note 4) | $ | 13.58 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($338,973,567 applicable to 25,009,897 shares of beneficial interest outstanding - Note 4) | $ | 13.55 | ||
* | 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, 2008 (Unaudited) |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $3,303,274) | $ | 24,314,096 | ||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 2,398,055 | |||
Administration fees (Note 3) | ||||
Class A Shares | 431,889 | |||
Class C Shares | 53,414 | |||
Class I Shares | 80,555 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 863,777 | |||
Class C Shares | 427,317 | |||
Transfer agent fees | ||||
Class A Shares | 146,325 | |||
Class C Shares | 22,111 | |||
Class I Shares | 44,460 | |||
Registration and filing fees | ||||
Class A Shares | 11,494 | |||
Class C Shares | 9,288 | |||
Class I Shares | 16,190 | |||
Custodian fees (Note 3) | 93,254 | |||
Professional fees | 28,191 | |||
Accounting fees | 22,010 | |||
Trustee fees | 7,122 | |||
Other expenses | 62,166 | |||
Total expenses | 4,717,618 | |||
Less: | ||||
Distribution fees waived (Note 3) | (213,659 | ) | ||
Fees paid indirectly (Note 3) | (11,454 | ) | ||
Net Expenses | 4,492,505 | |||
Net Investment Income | 19,821,591 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | 477,123 | |||
Net change in unrealized appreciation (depreciation) of investments | 4,507,836 | |||
Net Realized And Unrealized Gain | 4,984,959 | |||
Net Increase In Net Assets Resulting From Operations | $ | 24,806,550 | ||
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Limited Term Municipal Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, 2007 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 19,821,591 | $ | 40,159,219 | ||||
Net realized gain (loss) on investments | 477,123 | (1,146,124 | ) | |||||
Increase (Decrease) in unrealized appreciation (depreciation) of investments | 4,507,836 | (3,013,630 | ) | |||||
Net Increase (decrease) in Net Assets Resulting from Operations | 24,806,550 | 35,999,465 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (12,201,452 | ) | (26,069,081 | ) | ||||
Class C Shares | (1,390,630 | ) | (2,952,660 | ) | ||||
Class I Shares | (6,229,509 | ) | (11,137,478 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | (3,886,384 | ) | (133,561,208 | ) | ||||
Class C Shares | 1,018,755 | (18,529,049 | ) | |||||
Class I Shares | 33,901,812 | 18,744,294 | ||||||
Net Increase (Decrease) in Net Assets | 36,019,142 | (137,505,717 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 1,086,996,670 | 1,224,502,387 | ||||||
End of period | $ | 1,123,015,812 | $ | 1,086,996,670 | ||||
* | Unaudited. |
See notes to financial statements.
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Thornburg Limited Term Municipal Fund | March 31, 2008 (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 thirteen series of shares of beneficial interest in addition to those of the Fund: Thornburg California Limited Term 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, Thornburg Investment Income Builder Fund, Thornburg Global Opportunities Fund, Thornburg International Growth Fund, and Thornburg Strategic Income 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 primary investment objective is to obtain as high a level of current income exempt from federal individual income taxes as is consistent, in the view of the Fund’s investment advisor, with the preservation of capital. The Fund’s secondary objective is to reduce expected changes in its share price compared to longer intermediate and long-term bond portfolios.
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 may have different reinvestment privileges and conversion rights. 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 Securities: Debt securities have a primary market over the counter and are valued by an independent pricing service approved by the Trustees of the Trust. The pricing service ordinarily values debt securities at quoted bid prices. When quotations are not available, debt securities are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt securities of comparable quality, type of issue, coupon, maturity, and rating; indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
In any case where a pricing service fails to provide a price for a debt security held by the Fund, the valuation and pricing committee determines a fair value for the security using factors approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt security may be unreliable, the valuation and pricing committee decides whether or not to use the pricing service’s valuation or to determine a fair value for the security.
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 Fund’s 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 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 realized 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
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
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.
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities 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 six months ended March 31, 2008, 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 depending on the Fund’s asset size. The Trust also has entered into administrative services agreements 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 the Fund’s shares. For the six months ended March 31, 2008, the Distributor has advised the Fund that it earned commissions aggregating $2,905 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $2,712 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 and distribution 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 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 the Distributor for 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 six months ended March 31, 2008, are set forth in the Statement of Operations. Distribution fees in the amount of $213,659 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 six months ended March 31, 2008, fees paid indirectly were $11,454. This figure may include additional fees waived by the custodian.
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 13
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2008, 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, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 3,909,574 | $ | 53,048,271 | 4,907,768 | $ | 66,014,807 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 628,944 | 8,512,535 | 1,327,844 | 17,870,751 | ||||||||||
Shares repurchased | (4,826,375 | ) | (65,447,190 | ) | (16,162,702 | ) | (217,446,766 | ) | ||||||
Net Increase (Decrease) | (287,857 | ) | $ | (3,886,384 | ) | (9,927,090 | ) | $ | (133,561,208 | ) | ||||
Class C Shares | ||||||||||||||
Shares sold | 702,911 | $ | 9,579,499 | 638,787 | $ | 8,601,275 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 68,227 | 924,955 | 146,274 | 1,972,339 | ||||||||||
Shares repurchased | (698,494 | ) | (9,485,699 | ) | (2,157,502 | ) | (29,102,663 | ) | ||||||
Net Increase (Decrease) | 72,644 | $ | 1,018,755 | (1,372,441 | ) | $ | (18,529,049 | ) | ||||||
Class I Shares | ||||||||||||||
Shares sold | 5,006,655 | $ | 68,014,859 | 7,495,756 | $ | 100,902,857 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 360,945 | 4,885,175 | 632,992 | 8,518,497 | ||||||||||
Shares repurchased | (2,871,428 | ) | (38,998,222 | ) | (6,741,062 | ) | (90,677,060 | ) | ||||||
Net Increase (Decrease) | 2,496,172 | $ | 33,901,812 | 1,387,686 | $ | 18,744,294 | ||||||||
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2008, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $120,247,334 and $107,127,787, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2008, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 1,082,107,146 | ||
Gross unrealized appreciation on a tax basis | $ | 24,801,006 | ||
Gross unrealized depreciation on a tax basis | (3,135,160 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 21,665,846 | ||
At March 31, 2008, the Fund had tax basis capital losses, which may be carried forward 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 carryforwards expire as follows:
2008 | $ | 3,565,103 | |
2013 | 30,614 | ||
2014 | 2,276,013 | ||
2015 | 2,811,143 | ||
$ | 8,682,873 | ||
As of March 31, 2008, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2006 of $949,675. For tax purposes, such losses will be reflected in the year ending September 30, 2008.
14 Certified Semi-Annual Report
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
OTHER NOTES:
FASB Interpretation No. 48:
On July 13, 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes-an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation prescribes a model for how a company, including the Fund, should recognize, measure, present and disclose in its financial statements uncertain tax positions that the company has taken or expects to take on income tax returns, and also revises certain disclosure requirements. The Interpretation became effective for the Fund for the financial statement reporting period ended March 31, 2008. As of the date of this report, management of the Fund has not identified any material effect on the Fund’s financial statements resulting from the implementation of FIN 48.
Statement of Accounting Standards No. 157:
On September 15, 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 defines fair value, provides guidelines for measuring fair value in accordance with generally accepted accounting principles, and addresses disclosures about fair value measurements. FAS 157 establishes a fair value hierarchy that distinguishes between (i) market participant assumptions developed based upon market data obtained from sources independent of the reporting entity (observable inputs) and (ii) the entity’s own assumptions about market participant assumptions developed based upon the best information available under the circumstances (unobservable inputs). FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and is to be applied prospectively as of the beginning of the first fiscal year for which FAS 157 is applied. Management is evaluating FAS 157, and is not in a position at this time to estimate the significance of its impact, if any, on the Fund’s financial statements.
Certified Semi-Annual Report 15
Table of Contents
Thornburg Limited Term Municipal Fund |
Six Months Ended March 31, | Year Ended Sept. 30, | Three Months Ended Sept. 30, | Year Ended June 30, | |||||||||||||||||||||||||
2008* | 2007 | 2006 | 2005 | 2004(a) | 2004 | 2003 | ||||||||||||||||||||||
Class A Shares: | ||||||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||||||
(for a share outstanding throughout the period) + | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.49 | $ | 13.53 | $ | 13.59 | $ | 13.83 | $ | 13.68 | $ | 14.01 | $ | 13.65 | ||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||
Net investment income (loss) | 0.24 | 0.46 | 0.44 | 0.40 | 0.09 | 0.40 | 0.45 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.06 | (0.04 | ) | (0.06 | ) | (0.24 | ) | 0.15 | (0.33 | ) | 0.36 | |||||||||||||||||
Total from investment operations | 0.30 | 0.42 | 0.38 | 0.16 | 0.24 | 0.07 | 0.81 | |||||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||||||
Net investment income | (0.24 | ) | (0.46 | ) | (0.44 | ) | (0.40 | ) | (0.09 | ) | (0.40 | ) | (0.45 | ) | ||||||||||||||
Change in net asset value | 0.06 | (0.04 | ) | (0.06 | ) | (0.24 | ) | 0.15 | (0.33 | ) | 0.36 | |||||||||||||||||
NET ASSET VALUE, end of period | $ | 13.55 | $ | 13.49 | $ | 13.53 | $ | 13.59 | $ | 13.83 | $ | 13.68 | $ | 14.01 | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||
Total return (%)(b) | 2.24 | 3.18 | 2.87 | 1.16 | 1.78 | 0.47 | 5.99 | |||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Net investment income (loss) (%) | 3.53 | (c) | 3.43 | 3.28 | 2.91 | 2.69 | (c) | 2.85 | 3.20 | |||||||||||||||||||
Expenses, after expense reductions (%) | 0.90 | (c) | 0.90 | 0.91 | 0.90 | 0.89 | (c) | 0.91 | 0.93 | |||||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.89 | (c) | 0.90 | 0.90 | 0.90 | 0.89 | (c) | 0.91 | 0.93 | |||||||||||||||||||
Expenses, before expense reductions (%) | 0.90 | (c) | 0.90 | 0.91 | 0.90 | 0.89 | (c) | 0.91 | 0.93 | |||||||||||||||||||
Portfolio turnover rate (%) | 10.13 | 21.35 | 23.02 | 27.80 | 4.57 | 21.37 | 15.81 | |||||||||||||||||||||
Net assets at end of period (thousands) | $ | 696,086 | $ | 696,717 | $ | 833,189 | $ | 967,650 | $ | 1,039,050 | $ | 1,047,482 | $ | 998,878 |
(a) | The Fund’s fiscal year-end changed to September 30. |
(b) | Sales loads are not reflected in computing total return, which is not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
16 Certified Semi-Annual Report
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Limited Term Municipal Fund
Six Months Ended March 31, | Year Ended Sept. 30, | Three Months Ended Sept. 30, | Year Ended June 30, | |||||||||||||||||||||||||
2008* | 2007 | 2006 | 2005 | 2004(a) | 2004 | 2003 | ||||||||||||||||||||||
Class C Shares: | ||||||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.51 | $ | 13.55 | $ | 13.62 | $ | 13.86 | $ | 13.70 | $ | 14.04 | $ | 13.67 | ||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||
Net investment income (loss) | 0.22 | 0.43 | 0.41 | 0.36 | 0.08 | 0.36 | 0.41 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.07 | (0.04 | ) | (0.07 | ) | (0.24 | ) | 0.16 | (0.34 | ) | 0.37 | |||||||||||||||||
Total from investment operations | 0.29 | 0.39 | 0.34 | 0.12 | 0.24 | 0.02 | 0.78 | |||||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||||||
Net investment income | (0.22 | ) | (0.43 | ) | (0.41 | ) | (0.36 | ) | (0.08 | ) | (0.36 | ) | (0.41 | ) | ||||||||||||||
Change in net asset value | 0.07 | (0.04 | ) | (0.07 | ) | (0.24 | ) | 0.16 | (0.34 | ) | 0.37 | |||||||||||||||||
NET ASSET VALUE, end of period | $ | 13.58 | $ | 13.51 | $ | 13.55 | $ | 13.62 | $ | 13.86 | $ | 13.70 | $ | 14.04 | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||
Total return (%)(b) | 2.17 | 2.90 | 2.52 | 0.89 | 1.79 | 0.12 | 5.78 | |||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Net investment income (loss) (%) | 3.25 | (c) | 3.15 | 3.00 | 2.63 | 2.43 | (c) | 2.56 | 2.89 | |||||||||||||||||||
Expenses, after expense reductions (%) | 1.17 | (c) | 1.19 | 1.18 | 1.18 | 1.15 | (c) | 1.19 | 1.18 | |||||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 1.17 | (c) | 1.18 | 1.18 | 1.18 | 1.15 | (c) | 1.19 | 1.18 | |||||||||||||||||||
Expenses, before expense reductions (%) | 1.67 | (c) | 1.68 | 1.68 | 1.68 | 1.65 | (c) | 1.69 | 1.68 | |||||||||||||||||||
Portfolio turnover rate (%) | 10.13 | 21.35 | 23.02 | 27.80 | 4.57 | 21.37 | 15.81 | |||||||||||||||||||||
Net assets at end of period (thousands) | $ | 87,956 | $ | 86,564 | $ | 105,436 | $ | 140,606 | $ | 156,870 | $ | 155,458 | $ | 137,559 |
(a) | The Fund’s fiscal year-end changed to September 30. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report 17
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Limited Term Municipal Fund
Six Months Ended March 31, | Year Ended Sept. 30, | Three Months Ended Sept. 30, | Year Ended June 30, | |||||||||||||||||||||||||
2008* | 2007 | 2006 | 2005 | 2004(a) | 2004 | 2003 | ||||||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.49 | $ | 13.53 | $ | 13.59 | $ | 13.83 | $ | 13.68 | $ | 14.01 | $ | 13.65 | ||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||
Net investment income (loss) | 0.26 | 0.51 | 0.49 | 0.44 | 0.11 | 0.44 | 0.49 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.06 | (0.04 | ) | (0.06 | ) | (0.24 | ) | 0.15 | (0.33 | ) | 0.36 | |||||||||||||||||
Total from investment operations | 0.32 | 0.47 | 0.43 | 0.20 | 0.26 | 0.11 | 0.85 | |||||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||||||
Net investment income | (0.26 | ) | (0.51 | ) | (0.49 | ) | (0.44 | ) | (0.11 | ) | (0.44 | ) | (0.49 | ) | ||||||||||||||
Change in net asset value | 0.06 | (0.04 | ) | (0.06 | ) | (0.24 | ) | 0.15 | (0.33 | ) | 0.36 | |||||||||||||||||
NET ASSET VALUE, end of period | $ | 13.55 | $ | 13.49 | $ | 13.53 | $ | 13.59 | $ | 13.83 | $ | 13.68 | $ | 14.01 | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||
Total return (%)(b) | 2.41 | 3.53 | 3.22 | 1.50 | 1.87 | 0.80 | 6.36 | |||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Net investment income (loss) (%) | 3.87 | (c) | 3.78 | 3.62 | 3.25 | 3.02 | (c) | 3.18 | 3.54 | |||||||||||||||||||
Expenses, after expense reductions (%) | 0.56 | (c) | 0.57 | 0.57 | 0.57 | 0.55 | (c) | 0.57 | 0.58 | |||||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.56 | (c) | 0.57 | 0.57 | 0.57 | 0.55 | (c) | 0.57 | 0.58 | |||||||||||||||||||
Expenses, before expense reductions (%) | 0.56 | (c) | 0.57 | 0.57 | 0.57 | 0.55 | (c) | 0.57 | 0.58 | |||||||||||||||||||
Portfolio turnover rate (%) | 10.13 | 21.35 | 23.02 | 27.80 | 4.57 | 21.37 | 15.81 | |||||||||||||||||||||
Net assets at end of period (thousands) | $ | 338,974 | $ | 303,716 | $ | 285,878 | $ | 290,369 | $ | 238,589 | $ | 222,760 | $ | 197,367 |
(a) | The Fund’s fiscal year-end changed to September 30. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
18 Certified Semi-Annual Report
Table of Contents
Thornburg Limited Term Municipal Fund | March 31, 2008 (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 — 0.79% | |||||||
Mobile GO Warrants, 4.50% due 8/15/2016 | NR/NR $ | 2,745,000 | $ | 2,817,056 | |||
Mobile Industrial Development PCR, 5.00% due 6/1/2034 put 3/19/2015 (Alabama Power Co.) | A2/A | 6,000,000 | 6,059,640 | ||||
ALASKA — 0.81% | |||||||
Alaska Energy Power Authority, 6.00% due 7/1/2011 (Bradley Lake Hydroelectric; Insured: FSA) | Aaa/AAA | 955,000 | 1,052,381 | ||||
Alaska Municipal Bond Bank, 5.00% due 6/1/2014 (Insured: MBIA) | Aaa/AAA | 1,175,000 | 1,268,225 | ||||
Alaska Student Loan Corp., 5 .25% due 1/1/2012 (Insured: FSA) | NR/AAA | 3,000,000 | 3,249,780 | ||||
North Slope Boro GO, 5.00% due 6/30/2015 (Insured: MBIA) | Aaa/AAA | 3,250,000 | 3,514,192 | ||||
ARIZONA — 1.00% | |||||||
Glendale IDA, 5.00% due 5/15/2015 (Midwestern University) | NR/A- | 1,000,000 | 1,038,960 | ||||
Glendale IDA, 5.00% due 5/15/2016 (Midwestern University) | NR/A- | 1,325,000 | 1,371,229 | ||||
Glendale IDA, 5.00% due 5/15/2017 (Midwestern University) | NR/A- | 1,440,000 | 1,487,102 | ||||
Mohave County IDA, 5.00% due 4/1/2014 (Mohave Prison LLC; Insured: XLCA) | NR/A- | 3,135,000 | 3,299,901 | ||||
Pima County IDA, 6.40% due 7/1/2013 (Arizona Charter Schools) | Baa3/NR | 990,000 | 1,039,114 | ||||
Pima County IDA Lease Obligation, 7.25% due 7/15/2010 (Insured: FSA) | Aaa/AAA | 290,000 | 299,231 | ||||
Salt River Agricultural Improvement & Power District, 5.00% due 1/1/2020 | Aa1/AA | 1,205,000 | 1,218,291 | ||||
Show Low IDA Hospital, 5.25% due 12/1/2010 (Navapache Regional Medical Center; Insured: ACA) | NR/BBB | 1,000,000 | 1,015,700 | ||||
Tucson Water, 9.75% due 7/1/2008 | Aa3/A+ | 500,000 | 509,425 | ||||
ARKANSAS — 0.36% | |||||||
Jefferson County Hospital Improvement, 5.50% due 6/1/2010 (Jefferson Hospital Association) | NR/A | 1,000,000 | 1,043,180 | ||||
Jefferson County Hospital Improvement, 5.50% due 6/1/2011 (Jefferson Hospital Association) | NR/A | 1,075,000 | 1,134,233 | ||||
Little Rock Hotel & Restaurant GRT, 7.125% due 8/1/2009 | A3/NR | 1,820,000 | 1,882,917 | ||||
CALIFORNIA — 3.12% | |||||||
California HFA, 5.25% due 10/1/2013 (Kaiser Permanente) (ETM) | NR/AAA | 2,620,000 | 2,681,727 | ||||
California State Department of Transportation COP, 5.25% due 3/1/2016 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,011,920 | ||||
California State Department of Water Resources Power Supply, 5.50% due 5/1/2012 | Aa3/A | 2,600,000 | 2,853,552 | ||||
California State Department of Water Resources Power Supply, 6.00% due 5/1/2013 | Aa3/A | 2,550,000 | 2,835,294 | ||||
California State Public Works Board, 5.00% due 9/1/2016 (Regents University of California; Insured: FGIC) | Aa2/AA- | 3,000,000 | 3,252,000 | ||||
California State Public Works Board, 5.00% due 9/1/2017 (Regents of University of California; Insured: FGIC) | Aa2/AA- | 3,000,000 | 3,238,260 | ||||
California Statewide Community HFA, 4.50% due 11/15/2013 (Los Angeles Jewish Home; Insured: CA Mortgage Insurance) | NR/A+ | 3,000,000 | 3,049,590 | ||||
Escondido USD, 5.60% due 11/1/2009 (Insured: MBIA) (ETM) | Aaa/AAA | 1,250,000 | 1,265,700 | ||||
Los Angeles USD GO, 5.00% due 7/1/2018 (Insured: FSA) | Aaa/AAA | 2,000,000 | 2,170,960 | ||||
Northern California Public Power Agency, 5.00% due 7/1/2009 (Geothermal Number 3) | A2/BBB+ | 11,100,000 | 11,122,311 | ||||
South Orange County Public Financing Authority, 8.00% due 8/15/2008 (Foothill Area; Insured: FGIC) | Baa3/NR | 1,500,000 | 1,530,165 | ||||
COLORADO — 3.83% | |||||||
Adams County Platte Valley Medical Center, 5.00% due 2/1/2015 (Brighton Community Hospital Association; Insured: FHA, MBIA) | NR/AAA | 1,530,000 | 1,653,180 | ||||
Adams County Platte Valley Medical Center, 5.00% due 8/1/2015 (Brighton Community Hospital Association; Insured: FHA, MBIA) | NR/AAA | 1,565,000 | 1,695,067 | ||||
Central Platte Valley Metropolitan District, 5.00% due 12/1/2031 put 12/1/2009 (LOC: US Bank) | NR/AA+ | 12,350,000 | 12,815,842 |
Certified Semi-Annual Report 19
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Colorado Department of Transportation Anticipation Notes, 6.00% due 6/15/2008 (Insured: AMBAC) | Aaa/AAA | $ | 1,500,000 | $ | 1,512,735 | |||
Colorado Educational & Cultural Facilities, 4.90% due 4/1/2008 (Nashville Public Radio) (ETM) | NR/NR | 345,000 | 345,000 | |||||
Colorado HFA, 5.25% due 10/1/2026 pre-refunded 10/1/2008 (Children’s Hospital; Insured: MBIA) | Aaa/AAA | 2,295,000 | 2,313,039 | |||||
Denver City and County Airport System, 5.00% due 11/15/2016 (Insured: MBIA) | Aaa/AAA | 1,515,000 | 1,628,852 | |||||
Denver City and County Airport System, 5.00% due 11/15/2017 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,069,110 | |||||
Denver Convention Center Hotel, 5.25% due 12/1/2014 (Insured: XLCA) | A3/A- | 3,000,000 | 3,160,830 | |||||
E 470 Public Highway Authority Capital Appreciation, 0% due 9/1/2014 (Insured: MBIA) | Aaa/AAA | 2,110,000 | 1,592,565 | |||||
Highlands Ranch Metropolitan District GO, 5.25% due 12/1/2008 (Insured: ACA) | NR/NR | 780,000 | 796,107 | |||||
Highlands Ranch Metropolitan District GO, 5.25% due 12/1/2008 (Insured: ACA) | NR/NR | 905,000 | 923,688 | |||||
Plaza Metropolitan District, 7.125% due 12/1/2010 (Public Improvement Fee/Tax Increment) | NR/NR | 6,025,000 | 6,116,580 | |||||
Plaza Metropolitan District, 7.60% due 12/1/2016 (Public Improvement Fee/Tax Increment) | NR/NR | 6,000,000 | 6,223,200 | |||||
Southlands Metropolitan District GO, 6.75% due 12/1/2016 | NR/AAA | 1,000,000 | 1,143,120 | |||||
CONNECTICUT — 0.15% | ||||||||
Connecticut State Health & Educational Facilities, 4.90% due 7/1/2008 (Insured: FGIC) | Baa3/NR | 1,720,000 | 1,723,681 | |||||
DELAWARE — 0.57% | ||||||||
Delaware EDA, 5.50% due 7/1/2025 put 7/1/2010 (Delmarva Power & Light) | Baa2/BBB- | 2,045,000 | 2,151,217 | |||||
Delaware HFA, 5.25% due 6/1/2011 (Beebe Medical Center) | Baa1/BBB+ | 1,275,000 | 1,310,802 | |||||
Delaware HFA, 5.25% due 5/1/2012 (Nanticoke Memorial Hospital; Insured: Radian) | NR/AA | 1,370,000 | 1,430,732 | |||||
Delaware HFA, 5.25% due 5/1/2013 (Nanticoke Memorial Hospital; Insured: Radian) | NR/AA | 1,445,000 | 1,500,951 | |||||
DISTRICT OF COLUMBIA — 2.63% | ||||||||
District of Columbia, 6.00% due 6/1/2018 (Insured: MBIA) | Aaa/AAA | 5,000,000 | 5,753,850 | |||||
District of Columbia Capital Appreciation, 0% due 4/1/2040 pre-refunded 4/1/2011 (Georgetown University) | Aaa/AAA | 6,685,000 | 1,099,215 | |||||
District of Columbia COP, 5.25% due 1/1/2013 (Insured: AMBAC) | Aaa/AAA | 5,950,000 | 6,265,171 | |||||
District of Columbia COP, 5.25% due 1/1/2015 (Insured: FGIC) | A2/A | 2,875,000 | 3,097,899 | |||||
District of Columbia COP, 5.25% due 1/1/2016 (Insured: FGIC) | A2/A | 4,125,000 | 4,445,471 | |||||
District of Columbia Hospital, 5.10% due 8/15/2008 (Medlantic Healthcare) (ETM) | Aaa/AAA | 1,500,000 | 1,517,055 | |||||
District of Columbia Hospital, 5.70% due 8/15/2008 (Medlantic Healthcare) (ETM) | Aaa/AAA | 2,280,000 | 2,309,480 | |||||
District of Columbia Tax Increment, 0% due 7/1/2009 (Mandarin Oriental; Insured: FSA) | Aaa/AAA | 2,000,000 | 1,934,060 | |||||
District of Columbia Tax Increment, 0% due 7/1/2011 (Mandarin Oriental; Insured: FSA) | Aaa/AAA | 1,990,000 | 1,789,189 | |||||
District of Columbia Tax Increment, 0% due 7/1/2012 (Mandarin Oriental; Insured: FSA) | Aaa/AAA | 1,480,000 | 1,272,830 | |||||
FLORIDA — 8.51% | ||||||||
Broward County Airport Systems, 5.00% due 10/1/2014 (Insured: AMBAC) | Aaa/AAA | 4,000,000 | 4,301,600 | |||||
Broward County Resource Recovery, 5.375% due 12/1/2009 (Wheelabrator South) | A3/AA | 5,000,000 | 5,143,450 | |||||
Broward County School Board COP, 5.25% due 7/1/2016 (Insured: FSA) | Aaa/AAA | 7,630,000 | 8,446,639 | |||||
Broward County School Board COP, 5.00% due 7/1/2017 (Insured: FGIC) | A1/A+ | 1,000,000 | 1,059,950 | |||||
Capital Projects Finance Authority, 5.50% due 10/1/2012 (Insured: MBIA) | Aaa/AAA | 1,820,000 | 1,936,808 | |||||
Capital Projects Finance Authority, 5.50% due 10/1/2015 (Insured: MBIA) | Aaa/AAA | 3,260,000 | 3,430,400 | |||||
Capital Trust Agency Multi Family Housing, 5.15% due 11/1/2030 put 11/1/2010 (Shadow Run; Collateralized: FNMA) | Aaa/NR | 2,190,000 | 2,284,783 | |||||
Crossings at Fleming Island Community Development, 5.45% due 5/1/2010 (Insured: MBIA) | Aaa/AAA | 1,600,000 | 1,642,592 | |||||
Escambia County HFA, 5.125% due 10/1/2014 (Baptist Hospital/Baptist Manor) | Baa1/BBB+ | 2,755,000 | 2,790,154 | |||||
Escambia County HFA, 5.00% due 11/1/2028 pre-refunded 11/1/2010 (Charity Obligated Group) | Aaa/NR | 2,500,000 | 2,561,525 | |||||
Flagler County School Board COP, 5.00% due 8/1/2014 (Insured: FSA) | Aaa/AAA | 1,605,000 | 1,743,191 | |||||
Flagler County School Board COP, 5.00% due 8/1/2015 (Insured: FSA) | Aaa/AAA | 1,500,000 | 1,629,690 | |||||
Florida State Correctional Privatization Commission COP, 5.00% due 8/1/2015 (Insured: AMBAC) | Aaa/AAA | 2,000,000 | 2,143,760 | |||||
Florida State Department of Children & Families COP, 5.00% due 10/1/2012 | NR/AA+ | 770,000 | 828,158 | |||||
Florida State Department of Children & Families COP, 5.00% due 10/1/2014 | NR/AA+ | 905,000 | 977,581 | |||||
Florida State Department of Children & Families COP, 5.00% due 10/1/2015 | NR/AA+ | 925,000 | 997,159 |
20 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Credit Rating† | Principal | |||||||
Issuer-Description | Moody’s/S&P | Amount | Value | |||||
Florida State Department of Transportation, 5.00% due 7/1/2018 | Aa1/AAA | $ | 3,000,000 | $ | 3,272,580 | |||
Highlands County Health Facilities, 7.09% due 11/15/2037 put 4/7/2008 (Adventist Health; Insured: MBIA) (auction rate securities) | Aaa/AAA | 3,750,000 | 3,750,000 | |||||
Hillsborough County Assessment, 5.00% due 3/1/2015 (Insured: FGIC) | A3/A+ | 5,000,000 | 5,352,350 | |||||
Hillsborough County IDA PCR, 5.10% due 10/1/2013 (Tampa Electric Co.) | Baa2/BBB- | 6,410,000 | 6,508,778 | |||||
Hillsborough County IDA PCR, 5.00% due 12/1/2034 put 3/15/2012 (Tampa Electric Co.; Insured: AMBAC) | Aaa/AAA | 3,250,000 | 3,217,565 | |||||
Hollywood Community Redevelopment Agency, 5.00% due 3/1/2016 (Insured: XLCA) | A3/A- | 2,000,000 | 2,148,540 | |||||
Hollywood Community Redevelopment Agency, 5.00% due 3/1/2017 (Insured: XLCA) | A3/A- | 2,000,000 | 2,144,040 | |||||
Jacksonville Electric St. John’s River Park Systems, 5.25% due 10/1/2012 | Aa2/AA- | 5,000,000 | 5,344,900 | |||||
Marion County Hospital District, 5.00% due 10/1/2015 (Munroe Regional Health Systems) | A2/NR | 1,000,000 | 1,043,170 | |||||
Miami Dade County Educational Facilities Authority, 5.00% due 4/1/2016 (University of Miami; Insured: AMBAC) | Aaa/AAA | 3,000,000 | 3,225,990 | |||||
Miami Dade County School Board COP, 5.50% due 5/1/2030 put 5/1/2011 (Insured: MBIA) | Aaa/AAA | 1,010,000 | 1,072,378 | |||||
Miami Dade County Special Housing, 5.80% due 10/1/2012 (HUD Section 8) | Baa3/NR | 2,485,000 | 2,610,468 | |||||
Miami Street Sidewalk Improvement, 5.00% due 1/1/2018 (Insured: MBIA) | Aaa/AAA | 1,970,000 | 2,103,034 | |||||
Orange County HFA, 5.80% due 11/15/2009 (Adventist Health) (ETM) | A1/NR | 1,395,000 | 1,476,887 | |||||
Palm Beach County Public Improvement, 5.00% due 11/1/2030 put 11/1/2011 (Convention Center; Insured: FGIC) | Aa1/AA+ | 3,000,000 | 3,161,610 | |||||
Pelican Marsh Community Development District, 5.00% due 5/1/2011 (Insured: Radian) | NR/AA | 2,115,000 | 2,023,547 | |||||
South Miami HFA, 5.00% due 8/15/2016 (Baptist Health) | Aa3/AA- | 1,560,000 | 1,648,717 | |||||
St. John’s County IDA, 5.50% due 8/1/2014 (Presbyterian Retirement) | NR/NR | 1,755,000 | 1,841,802 | |||||
University of Central Florida Athletics Association Inc. COP, 5.00% due 10/1/2016 (Insured: FGIC) | Baa3/NR | 1,640,000 | 1,722,049 | |||||
GEORGIA — 2.27% | ||||||||
Atlanta Tax Allocation, 5.25% due 12/1/2016 (Atlantic Station; Insured: Assured Guaranty) | Aaa/AAA | 3,850,000 | 4,180,830 | |||||
Burke County PCR, 4.375% due 10/1/2032 put 4/1/2010 (Georgia Power Co.) | A2/A | 5,000,000 | 5,002,000 | |||||
Main Street Natural Gas Inc., 5 .00% due 3/15/2013 | A1/A+ | 1,500,000 | 1,496,055 | |||||
Main Street Natural Gas Inc., 5 .00% due 3/15/2014 | Aa2/AA- | 3,000,000 | 3,054,330 | |||||
Main Street Natural Gas Inc., 5 .00% due 3/15/2014 | A1/A+ | 3,590,000 | 3,546,669 | |||||
Monroe County Development Authority PCR, 6.75% due 1/1/2010 (Oglethorpe Power; Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,142,420 | |||||
Monroe County Development Authority PCR, 6.80% due 1/1/2012 (Oglethorpe Power; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,130,660 | |||||
Monroe County Development Authority PCR, 4.50% due 7/1/2025 put 4/1/2011 (Georgia Power Co.) | A2/A | 5,000,000 | 4,968,850 | |||||
GUAM — 0.09% | ||||||||
Guam Educational Financing Foundation COP, 5.00% due 10/1/2010 (Guam Public Schools) | NR/A- | 1,000,000 | 1,036,340 | |||||
HAWAII — 0.19% | ||||||||
Hawaii State Department of Budget & Finance, 4.95% due 4/1/2012 (Hawaiian Electric Company; Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,115,800 | |||||
IDAHO — 0.27% | ||||||||
Twin Falls Urban Renewal Agency, 4.95% due 8/1/2014 | NR/NR | 1,640,000 | 1,610,037 | |||||
Twin Falls Urban Renewal Agency, 5.15% due 8/1/2017 | NR/NR | 1,455,000 | 1,392,101 | |||||
ILLINOIS — 10.42% | ||||||||
Bolingbrook, 0% due 1/1/2016 (Insured: MBIA) | Aaa/NR | 1,500,000 | 1,064,775 | |||||
Bolingbrook, 0% due 1/1/2017 (Insured: MBIA) | Aaa/NR | 2,000,000 | 1,337,000 | |||||
Broadview Tax Increment Revenue, 5.375% due 7/1/2015 | NR/NR | 3,400,000 | 3,412,954 | |||||
Champaign County Community School District 116, 0% due 1/1/2009 (ETM) | A3/AAA | 1,205,000 | 1,186,359 | |||||
Champaign County Community School District 116, 0% due 1/1/2009 (Insured: FGIC) | A3/AAA | 2,140,000 | 2,103,149 | |||||
Chicago Board of Education GO, 6.00% due 12/1/2009 (Insured: FGIC) | A1/AA- | 2,000,000 | 2,116,960 |
Certified Semi-Annual Report 21
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Chicago Board of Education GO, 7.00% due 3/1/2014 put 4/1/2008 (auction rate security) | A1/AA- | $ | 5,375,000 | $ | 5,375,000 | |||
Chicago Capital Appreciation, 0% due 1/1/2016 (City Colleges; Insured: FGIC) | Aa3/AA- | 2,670,000 | 1,891,161 | |||||
Chicago Gas Supply, 4.75% due 3/1/2030 put 6/30/2014 (Peoples Gas Light & Coke) | A1/A- | 1,500,000 | 1,535,265 | |||||
Chicago GO, 6.125% due 1/1/2012 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,111,130 | |||||
Chicago GO, 5.375% due 1/1/2013 (Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,198,180 | |||||
Chicago Housing Authority Capital Program, 5.25% due 7/1/2010 (ETM) | Aaa/NR | 2,300,000 | 2,445,774 | |||||
Chicago Housing Authority Capital Program, 5.00% due 7/1/2015 (Insured: FSA) | Aaa/AAA | 8,460,000 | 9,231,975 | |||||
Chicago Housing Authority Capital Program, 5.00% due 7/1/2016 (Insured: FSA) (1) | Aaa/AAA | 2,000,000 | 2,178,840 | |||||
Chicago Metropolitan Water Reclamation District, 7.00% due 1/1/2011 (ETM) | Aaa/NR | 1,070,000 | 1,144,258 | |||||
Chicago Midway Airport, 5.40% due 1/1/2009 (Insured: MBIA) | Aaa/AAA | 1,340,000 | 1,349,822 | |||||
Chicago Midway Airport, 5.50% due 1/1/2013 (Insured: MBIA) | Aaa/AAA | 1,180,000 | 1,284,005 | |||||
Chicago Park District Parking Facility, 5.75% due 1/1/2010 (ETM) | Baa1/NR | 1,000,000 | 1,058,630 | |||||
Cook County, 6.25% due 11/15/2013 (Insured: MBIA) | Aaa/AAA | 3,995,000 | 4,627,249 | |||||
Cook County Community Consolidated School District GO, 0% due 12/1/2010 (Insured: FSA) | Aaa/NR | 2,000,000 | 1,863,280 | |||||
Cook County Community Consolidated School District GO, 9.00% due 12/1/2016 (Tinley Park; Insured: FGIC) | Baa3/NR | 2,500,000 | 3,348,950 | |||||
Cook County Community School District GO, 9.00% due 12/1/2013 (Oak Park; Insured: FGIC) | Aa3/NR | 2,250,000 | 2,877,592 | |||||
Du Page County Forest Preservation District, 0% due 11/1/2009 (Partial ETM) | Aaa/AAA | 5,000,000 | 4,801,650 | |||||
Illinois DFA, 6.00% due 11/15/2009 (Adventist Health; Insured: MBIA) | Aaa/AAA | 3,635,000 | 3,822,893 | |||||
Illinois DFA, 6.00% due 11/15/2010 (Adventist Health; Insured: MBIA) | Aaa/AAA | 3,860,000 | 4,153,823 | |||||
Illinois DFA Community Rehab Providers, 6.00% due 7/1/2015 | NR/BBB | 1,450,000 | 1,461,499 | |||||
Illinois DFA Multi Family Housing, 5.55% due 7/20/2008 (Collateralized: GNMA) | NR/AAA | 190,000 | 191,520 | |||||
Illinois DFA PCR, 5.70% due 1/15/2009 (Commonwealth Edison Co.; Insured: MBIA) | NR/AAA | 3,000,000 | 3,069,300 | |||||
Illinois Educational Facilities, 4.75% due 3/1/2030 put 3/1/2017 (Art Institute of Chicago) | A1/A+ | 2,300,000 | 2,311,546 | |||||
Illinois Financing Authority Student Housing, 5.00% due 5/1/2014 | Baa3/NR | 3,895,000 | 3,864,658 | |||||
Illinois HFA, 6.50% due 2/15/2009 (Iowa Health System) | Aa3/NR | 1,375,000 | 1,412,703 | |||||
Illinois HFA, 6.50% due 2/15/2010 (Iowa Health System) (ETM) | Aa3/NR | 1,465,000 | 1,542,000 | |||||
Illinois HFA, 6.00% due 2/15/2011 (Iowa Health System; Insured: AMBAC) (ETM) | Aaa/AAA | 1,560,000 | 1,672,757 | |||||
Illinois HFA, 5.50% due 11/15/2011 (Methodist Medical Center; Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,078,420 | |||||
Illinois HFA, 6.00% due 7/1/2017 (Lake Forest Hospital) | A3/A- | 1,500,000 | 1,582,470 | |||||
Illinois Hospital District, 5.50% due 1/1/2010 (Insured: FGIC) | Baa3/A | 1,040,000 | 1,087,403 | |||||
Illinois State GO, 5.00% due 10/1/2017 | Aa3/AA | 2,000,000 | 2,153,020 | |||||
Kane County Forest Preservation District, 5.00% due 12/15/2015 (Insured: FGIC) | Baa3/AA | 2,780,000 | 3,042,265 | |||||
Kane County Waubonsee Community College District GO, 0% due 12/15/2013 (Insured: FGIC) | Aa3/AA- | 3,000,000 | 2,341,830 | |||||
Lake County Community High School District, 0% due 12/1/2011 (Insured: FGIC) | Baa3/AA | 3,235,000 | 2,869,477 | |||||
McHenry & Kane Counties Community Consolidated School District, 0% due 1/1/2010 (Insured: FGIC) | Baa3/NR | 1,000,000 | 948,730 | |||||
McHenry & Kane Counties Community Consolidated School District, 0% due 1/1/2012 (Insured: FGIC) | Baa3/NR | 2,200,000 | 1,917,410 | |||||
Metropolitan Pier & Exposition Authority Dedicated State Tax, 0% due 6/15/2013 (McCormick; Insured: MBIA) | Aaa/AAA | 1,045,000 | 863,975 | |||||
Metropolitan Pier & Exposition Authority Dedicated State Tax, 0% due 6/15/2016 (McCormick; Insured: FGIC) | A1/NR | 11,295,000 | 7,925,137 | |||||
Naperville City, Du Page & Will Counties Economic Development, 6.10% due 5/1/2008 (Hospital & Health System Association; LOC: Bank One N.A.) | NR/AA | 675,000 | 676,546 | |||||
Quincy Illinois, 5.00% due 11/15/2014 (Blessing Hospital) | A3/A- | 1,000,000 | 1,046,370 | |||||
Quincy Illinois, 5.00% due 11/15/2016 (Blessing Hospital) | A3/A- | 1,000,000 | 1,033,690 | |||||
Southwestern Illinois Development Authority, 5.125% due 8/15/2016 (Anderson Hospital) | Baa2/BBB | 2,375,000 | 2,413,166 | |||||
INDIANA — 5.14% | ||||||||
Allen County Economic Development, 5.60% due 12/30/2009 (Indiana Institute of Technology) | NR/NR | 760,000 | 780,794 | |||||
Allen County Economic Development, 5.00% due 12/30/2012 (Indiana Institute of Technology) | NR/NR | 1,370,000 | 1,410,716 | |||||
Allen County Jail Building Corp. First Mortgage, 5.75% due 10/1/2010 (ETM) | Aa3/NR | 1,115,000 | 1,204,824 | |||||
Allen County Jail Building Corp. First Mortgage, 5.00% due 10/1/2014 (Insured: XLCA) | Aa3/NR | 1,000,000 | 1,073,600 | |||||
Allen County Jail Building Corp. First Mortgage, 5.00% due 10/1/2015 (Insured: XLCA) | Aa3/NR | 1,480,000 | 1,588,469 | |||||
Allen County Jail Building Corp. First Mortgage, 5.00% due 10/1/2016 (Insured: XLCA) | Aa3/NR | 1,520,000 | 1,621,582 |
22 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Allen County Redevelopment District, 5.00% due 11/15/2016 | A3/NR | $ | 1,000,000 | $ | 1,038,980 | |||
Ball State University Student Fee, 5.75% due 7/1/2012 (Insured: FGIC) | A1/A+ | 1,000,000 | 1,082,390 | |||||
Boonville Junior High School Building Corp., 0% due 7/1/2010 (State Aid Withholding) | NR/A | 850,000 | 788,256 | |||||
Boonville Junior High School Building Corp., 0% due 1/1/2011 (State Aid Withholding) | NR/A | 850,000 | 768,689 | |||||
Boonville Junior High School Building Corp., 0% due 7/1/2011 (State Aid Withholding) | NR/A | 950,000 | 841,140 | |||||
Carmel Redevelopment Authority Lease Performing Arts, 0% due 2/1/2015 | Aa2/AA | 1,575,000 | 1,179,171 | |||||
Center Grove Building Corp., 5 .00% due 7/15/2010 (Insured: AMBAC) (ETM) | Aaa/AAA | 1,135,000 | 1,201,579 | |||||
Dekalb County Redevelopment Authority Lease Rental, 5.25% due 1/15/2014 (Mini Mill Local Public Improvement; Insured: XLCA) | A3/A- | 1,000,000 | 1,050,210 | |||||
Eagle Union Middle School Building Corp., 5.50% due 7/15/2009 (ETM) | Aaa/AAA | 910,000 | 953,161 | |||||
Elberfeld J. H. Castle School Building Corp., 0% due 7/5/2008 (Insured: MBIA) | NR/AAA | 1,860,000 | 1,848,617 | |||||
Evansville Vanderburgh, 5.00% due 7/15/2014 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,081,500 | |||||
Evansville Vanderburgh, 5.00% due 7/15/2015 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,082,870 | |||||
Huntington Economic Development, 6.15% due 11/1/2008 (United Methodist Membership) | NR/NR | 365,000 | 366,938 | |||||
Huntington Economic Development, 6.20% due 11/1/2010 (United Methodist Membership) | NR/NR | 790,000 | 801,676 | |||||
Indiana Bond Bank, 5.25% due 10/15/2016 (Special Gas Program) | Aa2/NR | 1,500,000 | 1,521,705 | |||||
Indiana Multi School Building Corp. First Mortgage, 5.00% due 7/15/2016 (Insured: MBIA) | Aaa/AAA | 5,000,000 | 5,447,800 | |||||
Indiana State Educational Facilities Authority, 5.75% due 10/1/2009 (University of Indianapolis) | NR/A- | 670,000 | 694,428 | |||||
Indiana State Finance Authority, 5.00% due 11/1/2018 | Aa3/AA | 2,000,000 | 2,100,580 | |||||
Indiana State Finance Authority, Forensic & Health Science, 5.00% due 7/1/2016 (Insured: MBIA) | Aaa/AAA | 1,030,000 | 1,122,103 | |||||
Indianapolis Local Public Improvement Bond, 5.00% due 1/1/2015 (Waterworks; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,088,180 | |||||
Indianapolis Local Public Improvement Bond, 5.00% due 7/1/2015 (Waterworks; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,091,250 | |||||
Indianapolis Local Public Improvement Bond, 5.00% due 7/1/2016 (Insured: FGIC) | Aa2/AA | 1,030,000 | 1,106,951 | |||||
Knox Middle School Building Corp. First Mortgage, 6.00% due 7/15/2008 (Insured: FGIC) | Baa3/NR | 440,000 | 444,532 | |||||
Knox Middle School Building Corp. First Mortgage, 6.00% due 7/15/2009 (Insured: FGIC) | Baa3/NR | 455,000 | 474,497 | |||||
Madison Schools Lydia Middleton Building Corp., 5.00% due 7/15/2014 (Insured: FGIC) | Baa3/AA | 1,200,000 | 1,307,688 | |||||
Madison Schools Lydia Middleton Building Corp., 5.00% due 7/15/2015 (Insured: FGIC) | Baa3/AA | 1,250,000 | 1,362,762 | |||||
Mount Vernon of Hancock County First Mortgage, 5.00% due 7/15/2013 (Insured: MBIA) | Aaa/AAA | 1,055,000 | 1,136,457 | |||||
Mount Vernon of Hancock County First Mortgage, 5.00% due 7/15/2014 (Insured: MBIA) | Aaa/AAA | 1,135,000 | 1,226,175 | |||||
Mount Vernon of Hancock County First Mortgage, 5.00% due 7/15/2015 (Insured: MBIA) | Aaa/AAA | 1,140,000 | 1,232,956 | |||||
Noblesville Redevelopment Authority, 5.00% due 8/1/2016 (146th Street Extension A) | NR/A+ | 1,660,000 | 1,704,272 | |||||
Perry Township Multi School Building, 5.00% due 7/10/2014 (Insured: FSA) | Aaa/NR | 2,130,000 | 2,330,965 | |||||
Peru Community School Corp. First Mortgage, 0% due 7/1/2010 (State Aid Withholding) | NR/A | 835,000 | 774,346 | |||||
Plainfield Community High School Building Corp. First Mortgage, 5.00% due 1/15/2015 (Insured: FGIC) | Baa3/A | 1,445,000 | 1,547,638 | |||||
Warren Township Vision 2005, 5.00% due 7/10/2015 (Insured: FGIC) | Baa3/AA | 2,095,000 | 2,272,321 | |||||
Wawasee Community School Corp. First Mortgage, 5.50% due 7/15/2010 (State Aid Withholding) (ETM) | NR/AA | 995,000 | 1,064,381 | |||||
Wawasee Community School Corp. First Mortgage, 5.50% due 7/15/2011 (State Aid Withholding) (ETM) | NR/AA | 1,095,000 | 1,193,605 | |||||
West Clark 2000 School Building Corp., 5.25% due 1/15/2014 (Insured: MBIA) | Aaa/AAA | 1,335,000 | 1,467,258 | |||||
West Clark School Building Corp. First Mortgage, 5.75% due 7/15/2011 (State Aid Withholding) | Baa3/AA | 2,080,000 | 2,267,866 | |||||
IOWA — 1.87% | ||||||||
Ankeny Community School District Sales & Services Tax, 5.00% due 7/1/2010 | NR/AA- | 2,900,000 | 3,054,947 | |||||
Des Moines Limited Obligation, 4.40% due 12/1/2015 put 12/1/2011 (Des Moines Parking Associates; LOC: Wells Fargo Bank) | NR/NR | 2,770,000 | 2,770,970 | |||||
Dubuque Community School District, 5.00% due 1/1/2013 | NR/NR | 1,600,000 | 1,633,312 | |||||
Dubuque Community School District, 5.00% due 7/1/2013 | NR/NR | 1,640,000 | 1,673,440 | |||||
Iowa Finance Authority, 6.50% due 2/15/2009 (Iowa Health Services) | Aa3/NR | 1,825,000 | 1,878,217 | |||||
Iowa Finance Authority, 6.50% due 2/15/2010 (Iowa Health Services) | Aa3/NR | 2,955,000 | 3,122,962 | |||||
Iowa Finance Authority, 5.75% due 12/1/2010 (Trinity Health) | Aa2/AA | 3,295,000 | 3,457,443 | |||||
Iowa Finance Authority, 6.00% due 2/15/2011 pre-refunded 2/15/2010 (Iowa Health Services; Insured:AMBAC) | Aaa/AAA | 3,145,000 | 3,377,730 |
Certified Semi-Annual Report 23
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s /S&P | Principal Amount | Value | |||||
KANSAS — 0.89% | ||||||||
Burlington Environmental Improvement, 5.374% due 9/1/2035 put 4/1/2013 (Kansas City Power & Light; Insured: FGIC) | A3/A | $ | 10,000,000 | $ | 9,989,200 | |||
KENTUCKY — 1.43% | ||||||||
Kentucky Economic DFA, 5.35% due 10/1/2009 (Norton Healthcare; Insured: MBIA) (ETM) | Aaa/AAA | 2,835,000 | 2,976,381 | |||||
Kentucky Economic DFA, 5.35% due 10/1/2009 (Norton Healthcare; Insured: MBIA) | Aaa/AAA | 4,565,000 | 4,758,830 | |||||
Kentucky Economic DFA, 5.40% due 10/1/2010 (Norton Healthcare; Insured: MBIA) (ETM) | Aaa/AAA | 3,775,000 | 4,044,422 | |||||
Kentucky Economic DFA, 5.40% due 10/1/2010 (Norton Healthcare; Insured MBIA) | Aaa/AAA | 4,055,000 | 4,328,104 | |||||
LOUISIANA — 2.93% | ||||||||
East Baton Rouge Sewer, 5.00% due 2/1/2018 (Insured: FSA) | Aaa/AAA | 3,000,000 | 3,209,670 | |||||
Louisiana Environmental Facilities & Community Development Authority Multi Family, 5.00% due 9/1/2012 (Bellemont Apartments) | Baa3/NR | 910,000 | 909,963 | |||||
Louisiana Public Facilities Authority, 5.75% due 10/1/2008(Loyola University) | A1/A+ | 1,000,000 | 1,013,450 | |||||
Louisiana Public Facilities Authority, 5.375% due 12/1/2008 (Wynhoven) Health Care Center; Guaranty: Archdiocese of New Orleans) | NR/NR | 500,000 | 497,075 | |||||
Louisiana Public Facilities Authority Revenue, 5.00% due 5/15/2014 (Ochsner Clinic Foundation) | A3/NR | 1,000,000 | 1,037,280 | |||||
Louisiana Public Facilities Authority Revenue, 5.00% due 5/15/2015 (Ochsner Clinic Foundation) | A3/NR | 1,825,000 | 1,883,363 | |||||
Louisiana Public Facilities Authority Revenue, 5.00% due 5/15/2016 (Ochsner Clinic Foundation) | A3/NR | 1,000,000 | 1,023,400 | |||||
Louisiana Public Facilities Authority Revenue, 5.00% due 5/15/2017 (Ochsner Clinic Foundation) | A3/NR | 1,035,000 | 1,054,686 | |||||
Louisiana Public Facilities Authority Revenue, 5.00% due 5/15/2018 (Ochsner Clinic Foundation) | A3/NR | 1,000,000 | 1,006,500 | |||||
Louisiana State Citizens Property Insurance Corp., 5 .00% due 6/1/2015 (Insured: AMBAC) | Aaa/AAA | 5,000,000 | 5,234,050 | |||||
Louisiana State GO, 5.50% due 11/15/2008 (Insured: FGIC) | A2/A | 1,980,000 | 2,019,105 | |||||
Louisiana State GO, 5.00% due 8/1/2017 (Insured: MBIA) | Aaa/AAA | 4,000,000 | 4,245,320 | |||||
Louisiana State Offshore Terminal Authority, 4.25% due 10/1/2037 put 10/1/2010 (Deepwater Port Loop LLC) | A3/A | 4,200,000 | 4,312,182 | |||||
Monroe Sales Tax Increment Garrett Road Economic Development Area, 5.00% due 3/1/2017 (Insured: Radian) | Aa3/AA | 1,505,000 | 1,529,291 | |||||
Morehouse Parish PCR, 5.25% due 11/15/2013 (International Paper Co.) | Baa3/BBB | 2,400,000 | 2,439,528 | |||||
Regional Transportation Authority, 8.00% due 12/1/2011 (Insured: FGIC) | Baa3/NR | 1,250,000 | 1,440,450 | |||||
MARYLAND — 0.17% | ||||||||
Maryland Health & Higher Educational Facilities, 5.00% due 1/1/2017 (Washington County Hospital) | NR/BBB- | 1,000,000 | 992,240 | |||||
Maryland Health & Higher Educational Facilities, 5.00% due 1/1/2018 (Washington County Hospital) | NR/BBB- | 1,000,000 | 976,560 | |||||
MASSACHUSETTS — 3.66% | ||||||||
Massachusetts DFA Resource Recovery, 5.50% due 1/1/2011 (Seamass Partnership; Insured: MBIA) | Aaa/AAA | 3,470,000 | 3,674,557 | |||||
Massachusetts GO, 6.00% due 11/1/2008 | Aa2/AA | 1,000,000 | 1,024,240 | |||||
Massachusetts GO Construction Loan, 5.00% due 9/1/2015 | Aa2/AA | 10,000,000 | 10,965,300 | |||||
Massachusetts Health & Educational Facilities Authority, 5.00% due 10/1/2011 (Berkshire Health Systems; Insured: Assured Guaranty) | NR/AAA | 2,345,000 | 2,506,969 | |||||
Massachusetts Health & Educational Facilities Authority, 5.375% due 5/15/2012 (New England Medical Center Hospital; Insured: FGIC) (ETM) | Baa3/NR | 3,415,000 | 3,743,147 | |||||
Massachusetts Health & Educational Facilities Authority, 5.00% due 10/1/2012 (Berkshire Health Systems; Insured: Assured Guaranty) | NR/AAA | 2,330,000 | 2,510,039 | |||||
Massachusetts Health & Educational Facilities Authority, 5.00% due 10/1/2013 (Berkshire Health Systems; Insured: Assured Guaranty) | NR/AAA | 3,215,000 | 3,476,926 | |||||
Massachusetts Industrial Finance Agency Biomedical, 0% due 8/1/2008 | Aa2/AA- | 1,000,000 | 992,430 | |||||
Massachusetts Industrial Finance Agency Biomedical, 0% due 8/1/2010 | Aa2/AA- | 13,000,000 | 12,163,710 |
24 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/ S&P | Principal Amount | Value | |||||
MICHIGAN — 4.48% | ||||||||
Dickinson County Economic Development Corp. Environmental Impact, 5.75% due 6/1/2016 (International Paper Co.) | Baa3/BBB | $ | 3,715,000 | $ | 3,768,161 | |||
Dickinson County Healthcare Systems, 5.50% due 11/1/2013 (Insured: ACA) | NR/NR | 2,205,000 | 2,250,313 | |||||
Grand Valley Michigan State University, 8.00% due 12/1/2033 put 4/7/2008 (Insured: AMBAC) (weekly demand notes) | Aaa/A-1+ | 10,000,000 | 10,000,000 | |||||
Gull Lake Community School District GO, 0% due 5/1/2013 (Insured: FGIC) | Baa3/NR | 3,000,000 | 2,321,070 | |||||
Kent Hospital Finance Authority, 5.25% due 1/15/2047 put 1/15/2014 (Spectrum Health) (2) | Aa3/AA | 2,000,000 | 2,067,320 | |||||
Michigan HFA, 5.375% due 7/1/2012 (Port Huron Hospital; Insured: FSA) | Aaa/AAA | 1,710,000 | 1,713,608 | |||||
Michigan State Building Authority, 5.00% due 10/15/2015 (Insured: AMBAC) | Aaa/AAA | 6,000,000 | 6,497,880 | |||||
Michigan State COP, 5.00% due 9/1/2031 put 9/1/2011 (Insured: MBIA) | Aaa/AAA | 6,000,000 | 6,307,020 | |||||
Michigan State HFA, 5.00% due 11/15/2017 (Sparrow Memorial Hospital) | A1/A+ | 1,000,000 | 1,044,210 | |||||
Michigan State Strategic Fund, 5.00% due 10/15/2017 (Insured: Assured Guaranty) | Aaa/AAA | 2,000,000 | 2,134,540 | |||||
Michigan State Strategic Fund, 4.85% due 9/1/2030 put 9/1/2011 (Detroit Edison Co.; Insured: AMBAC) | Aaa/NR | 2,075,000 | 2,164,412 | |||||
Northern Michigan University, 8.50% due 6/1/2031 put 4/1/2008 (Insured: FGIC) (daily demand notes) | A2/AAA | 10,000,000 | 10,000,000 | |||||
MINNESOTA — 1.09% | ||||||||
Dakota County Community Development Agency Multi Family Housing, 5.00% due 11/1/2017 (Commons on Marice) | NR/NR | 1,150,000 | 1,077,401 | |||||
Minneapolis St. Paul Health Care Systems, 5.25% due 12/1/2012 (Healthpartners Obligated Group) | Baa1/BBB | 1,000,000 | 1,047,470 | |||||
Minneapolis St. Paul Health Care Systems, 5.25% due 12/1/2013 (Healthpartners Obligated Group) | Baa1/BBB | 1,500,000 | 1,570,125 | |||||
Minneapolis St. Paul Metropolitan Airports, 5.00% due 1/1/2017 (Insured: AMBAC) | Aaa/AAA | 8,005,000 | 8,547,979 | |||||
MISSISSIPPI — 0.23% | ||||||||
Gautier Utility District Systems, 5.50% due 3/1/2012 (Insured: FGIC) | Baa3/NR | 1,020,000 | 1,096,235 | |||||
Mississippi Development Bank Public Improvement GO, 4.75% due 7/1/2017 | NR/NR | 1,565,000 | 1,517,033 | |||||
MISSOURI — 0.21% | ||||||||
Missouri Development Finance Board Healthcare Facilities, 4.80% due 11/1/2012 (Lutheran Home Aged; LOC: Commerce Bank) | Aa2/NR | 1,275,000 | 1,313,849 | |||||
Missouri State Health & Educational Facilities Authority, 5.00% due 6/1/2011 (SSM Healthcare Corp.) | NR/AA- | 1,000,000 | 1,056,130 | |||||
MONTANA — 1.62% | ||||||||
Forsyth PCR, 5.00% due 10/1/2032 put 12/30/2008 (Avista Corp.; Insured: AMBAC) | Aaa/AAA | 11,440,000 | 11,543,303 | |||||
Forsyth PCR, 5.20% due 5/1/2033 put 5/1/2009 (Portland General) | Baa1/A | 4,385,000 | 4,448,013 | |||||
Montana Facilities Finance Authority, 5.00% due 1/1/2015 (Benefis Health Systems; Insured: Assured Guaranty) | NR/AAA | 1,000,000 | 1,076,970 | |||||
Montana Facilities Finance Authority, 5.00% due 1/1/2016 (Benefis Health Systems; Insured: Assured Guaranty) | NR/AAA | 1,000,000 | 1,073,600 | |||||
NEBRASKA — 0.77% | ||||||||
Madison County Hospital Authority, 5.25% due 7/1/2010 (Faith Regional Health Services; Insured: Radian) | NR/AA | 1,455,000 | 1,510,479 | |||||
Madison County Hospital Authority, 5.50% due 7/1/2012 (Faith Regional Health Services; Insured: Radian) | NR/AA | 1,625,000 | 1,705,535 | |||||
Omaha Public Power District Electric Systems B, 5.00% due 2/1/2013 | Aa1/AA | 5,000,000 | 5,404,400 | |||||
NEVADA — 0.97% | ||||||||
Clark County District 121, 5.00% due 12/1/2015 (Insured: AMBAC) | Aaa/AAA | 1,945,000 | 2,088,833 | |||||
Clark County School District GO, 5.00% due 6/15/2015 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,078,210 | |||||
Las Vegas Special Local Improvement District 707, 5.125% due 6/1/2011 (Insured: FSA) | Aaa/AAA | 1,630,000 | 1,669,006 | |||||
Nevada Housing Division Multi Family Housing, 4.80% due 4/1/2008 (Collateralized: FNMA) | NR/AAA | 205,000 | 205,000 | |||||
Sparks Redevelopment Agency Tax Allocation, 5.75% due 1/15/2010 (Insured: Radian) | NR/AA | 1,000,000 | 1,034,250 | |||||
Sparks Redevelopment Agency Tax Allocation, 5.75% due 1/15/2011 (Insured: Radian) | NR/AA | 1,285,000 | 1,335,873 |
Certified Semi-Annual Report 25
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Washoe County School District, 5.50% due 6/1/2008 (Insured: FSA) | Aaa/AAA | $ | 3,500,000 | $ | 3,521,385 | |||
NEW HAMPSHIRE — 0.94% | ||||||||
Manchester Housing & Redevelopment Authority, 6.05% due 1/1/2012 (Insured: ACA) | Baa3/NR | 1,500,000 | 1,536,765 | |||||
New Hampshire Health & Educational Facilities Medical Centers, 5.00% due 10/1/2016 (Southern NH Health Systems) | NR/A- | 1,260,000 | 1,288,451 | |||||
New Hampshire Health & Educational Facilities Medical Centers, 5.00% due 10/1/2017 (Southern NH Health Systems) | NR/A- | 1,000,000 | 1,018,170 | |||||
New Hampshire Municipal Bond Bank, 5.00% due 8/15/2016 (Insured: MBIA) | Aaa/AAA | 2,985,000 | 3,271,082 | |||||
New Hampshire Municipal Bond Bank, 5.00% due 8/15/2017 (Insured: MBIA) | Aaa/AAA | 3,130,000 | 3,426,036 | |||||
NEW JERSEY — 2.41% | ||||||||
Hudson County COP, 7.00% due 12/1/2012 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,167,850 | |||||
Hudson County COP, 6.25% due 12/1/2014 (Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,747,665 | |||||
New Jersey EDA, 5.00% due 11/15/2011 (Seabrook Village) | NR/NR | 1,000,000 | 991,790 | |||||
New Jersey EDA, 5.00% due 11/15/2014 (Seabrook Village) | NR/NR | 1,000,000 | 977,910 | |||||
New Jersey EDA Cigarette Tax Revenue, 5.00% due 6/15/2012 (Insured: FGIC) | Baa2/BBB | 7,375,000 | 7,819,786 | |||||
New Jersey State Transit Corp. COP, 5.25% due 9/15/2013 (Insured: AMBAC) | Aaa/AAA | 5,000,000 | 5,443,500 | |||||
New Jersey State Transit Corp. COP, 5.50% due 9/15/2013 (Insured: AMBAC) | Aaa/AAA | 7,650,000 | 8,422,880 | |||||
Tobacco Settlement Financing Corp, 6.125% due 6/1/2024 refunded to various dates | Aaa/AAA | 500,000 | 533,025 | |||||
NEW MEXICO — 0.68% | ||||||||
Belen Consolidated School District GO, 4.00% due 8/1/2008 (Insured: MBIA) | Aaa/NR | 1,000,000 | 1,007,250 | |||||
New Mexico Finance Authority State Office Building Tax, 5.00% due 6/1/2013 pre-refunded 6/1/2011 | Aa1/AAA | 1,325,000 | 1,420,480 | |||||
New Mexico Highway Commission Tax, 5.00% due 6/15/2011 (Insured: AMBAC) (ETM) | Aaa/AAA | 4,865,000 | 5,209,928 | |||||
NEW YORK — 4.73% | ||||||||
Hempstead Town IDA Resource Recovery, 5.00% due 12/1/2008 (American Ref-Fuel; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,012,600 | |||||
Monroe County IDA, 5.375% due 6/1/2017 (St. John Fisher College; Insured: Radian) | NR/AA | 3,705,000 | 3,789,770 | |||||
New York City Housing Development Corp. Multi Family Housing, 5.50% due 11/1/2009 (Insured: FHA) | Aa2/AA | 185,000 | 185,363 | |||||
New York City IDA, 5.25% due 6/1/2011 (Lycee Francais de New York; Insured: ACA) | Baa1/NR | 2,215,000 | 2,263,376 | |||||
New York City IDA, 5.25% due 6/1/2012 (Lycee Francais de New York; Insured: ACA) | Baa1/NR | 2,330,000 | 2,384,009 | |||||
New York City Transitional Finance Authority Facilities, 5.00% due 11/1/2012 | Aa1/AAA | 5,000,000 | 5,453,550 | |||||
New York City Transitional Finance Authority Facilities, 5.00% due 11/1/2014 | Aa1/AAA | 2,000,000 | 2,203,400 | |||||
New York City Transitional Finance Authority Facilities, 5.00% due 11/1/2015 | Aa1/AAA | 1,500,000 | 1,656,045 | |||||
New York Dormitory Authority Mental Health Services Facilities Improvement, 5.00% due 8/15/2010 (Insured: MBIA) | Aaa/AAA | 1,600,000 | 1,683,248 | |||||
New York State Dormitory Authority, 5.50% due 7/1/2012 (South Nassau Community Hospital) | Baa1/NR | 1,820,000 | 1,928,527 | |||||
New York State Dormitory Authority, 5.50% due 7/1/2013 (South Nassau Community Hospital) | Baa1/NR | 1,500,000 | 1,595,280 | |||||
New York State Dormitory Authority, 5.25% due 11/15/2026 put 5/15/2012 (Insured: AMBAC) | Aaa/AAA | 4,000,000 | 4,258,160 | |||||
New York State Dormitory Authority Aids Long Term Health Facilities, 5.00% due 11/1/2012 (Insured: SONYMA) | Aa1/NR | 2,000,000 | 2,091,060 | |||||
New York State Dormitory Authority Aids Long Term Health Facilities, 5.00% due 11/1/2013 (Insured: SONYMA) | Aa1/NR | 4,600,000 | 4,809,438 | |||||
New York State Dormitory Authority Aids Long Term Health Facilities, 5.00% due 11/1/2014 (Insured: | ||||||||
SONYMA) | Aa1/NR | 1,500,000 | 1,568,295 | |||||
New York State Dormitory Authority Hospital, 5.25% due 8/15/2013 (Presbyterian Hospital; Insured: FHA & FSA) | Aaa/AAA | 3,650,000 | 4,025,037 | |||||
New York State Thruway Authority Service Contract, 5.50% due 4/1/2013 (Local Highway & Bridge; Insured: XLCA) | A1/A- | 1,000,000 | 1,088,970 | |||||
Oneida County IDA, 6.00% due 1/1/2009 (Faxton Hospital; Insured: Radian) | NR/AA | 710,000 | 723,668 | |||||
Port Authority 148th, 5.00% due 8/15/2017 (Insured: FSA) | Aaa/AAA | 4,725,000 | 5,203,217 |
26 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Tobacco Settlement Financing Corp. Asset Backed, 5.25% due 6/1/2012 (Secured: State Contingency Contract) | A1/AA- | $ | 40,000 | $ | 40,057 | |||
Tobacco Settlement Financing Corp. Asset Backed, 5.25% due 6/1/2013 | A1/AA- | 3,160,000 | 3,168,026 | |||||
Tobacco Settlement Financing Corp. Asset Backed, 5.25% due 6/1/2013 (Insured: XLCA) | A1/AA- | 2,000,000 | 2,003,540 | |||||
NORTH CAROLINA — 2.40% | ||||||||
Charlotte Mecklenberg Hospital Authority Health Care Systems, 5.00% due 1/15/2016 | Aa3/AA- | 3,420,000 | 3,615,761 | |||||
Charlotte Mecklenberg Hospital Authority Health Care Systems, 5.00% due 1/15/2017 | Aa3/AA- | 2,000,000 | 2,102,640 | |||||
North Carolina Eastern Municipal Power Agency Power Systems, 5.375% due 1/1/2011 | Baa1/BBB | 3,000,000 | 3,099,120 | |||||
North Carolina Eastern Municipal Power Agency Power Systems, 5.25% due 1/1/2012 | Baa1/BBB | 650,000 | 672,724 | |||||
North Carolina Eastern Municipal Power Agency Power Systems, 5.50% due 1/1/2012 | Baa1/BBB | 1,100,000 | 1,147,894 | |||||
North Carolina Eastern Municipal Power Agency Power Systems, 5.25% due 1/1/2013 | Baa1/BBB | 1,055,000 | 1,093,908 | |||||
North Carolina Infrastructure Finance Corp. COP, 5.00% due 2/1/2017 (Correctional Facilities) | Aa1/AA+ | 2,400,000 | 2,544,912 | |||||
North Carolina Municipal Power Agency, 6.00% due 1/1/2010 (Catawba Electric; Insured: MBIA) | Aaa/AAA | 2,400,000 | 2,530,560 | |||||
North Carolina Municipal Power Agency, 5.50% due 1/1/2013 (Catawba Electric) | A3/A- | 2,505,000 | 2,664,819 | |||||
North Carolina Municipal Power Agency, 6.375% due 1/1/2013 (Catawba Electric) | A3/A- | 1,000,000 | 1,063,630 | |||||
North Carolina State Infrastructure Finance Corp. COP, 5.00% due 2/1/2016 (Correctional Facilities) | Aa1/AA+ | 5,000,000 | 5,339,350 | |||||
University of North Carolina Systems Pool, 5.00% due 4/1/2012 (Insured: AMBAC) | Aaa/AAA | 1,030,000 | 1,113,358 | |||||
NORTH DAKOTA — 0.14% | ||||||||
Ward County Health Care Facilities, 5.00% due 7/1/2013 (Trinity Obligated Group) | NR/BBB+ | 1,560,000 | 1,601,870 | |||||
OHIO — 2.34% | ||||||||
Akron COP, 5.00% due 12/1/2013 (Insured: Assured Guaranty) | NR/AAA | 3,000,000 | 3,265,200 | |||||
Akron COP, 5.00% due 12/1/2014 (Insured: Assured Guaranty) | NR/AAA | 2,000,000 | 2,180,020 | |||||
Cleveland Cuyahoga County Port Authority, 6.00% due 11/15/2010 | NR/NR | 2,015,000 | 2,079,843 | |||||
Greater Cleveland Regional Transportation Authority GO, 5.00% due 12/1/2015 (Insured: MBIA) | Aaa/NR | 1,000,000 | 1,102,530 | |||||
Hudson City Library Improvement, 6.35% due 12/1/2011 | Aa1/NR | 1,400,000 | 1,548,036 | |||||
Lorain County Hospital, 6.00% due 9/1/2008 (Catholic Healthcare Partners; Insured: MBIA) | Aaa/AAA | 1,200,000 | 1,218,372 | |||||
Mahoning Valley Sanitary District, 5.85% due 11/15/2008 (Insured: FSA) | Aaa/AAA | 1,300,000 | 1,332,734 | |||||
Mahoning Valley Sanitary District, 5.90% due 11/15/2009 (Insured: FSA) | Aaa/AAA | 770,000 | 814,768 | |||||
Montgomery County, 6.00% due 12/1/2008 (Catholic Health Initiatives) | Aa2/AA | 2,250,000 | 2,305,597 | |||||
Montgomery County, 6.00% due 12/1/2009 (Catholic Health Initiatives) | Aa2/AA | 2,385,000 | 2,515,126 | |||||
Montgomery County, 6.00% due 12/1/2010 (Catholic Health Initiatives) | Aa2/AA | 1,530,000 | 1,645,224 | |||||
Ohio State Unlimited Tax GO, 5.75% due 6/15/2010 pre-refunded 6/15/2009 | Aa1/AA+ | 5,000,000 | 5,239,300 | |||||
Reading Development, 6.00% due 2/1/2009 (St. Mary’s Educational Institute; Insured: Radian) | NR/AA | 975,000 | 995,358 | |||||
OKLAHOMA — 1.01% | ||||||||
Comanche County Hospital Authority, 5.00% due 7/1/2011 (Insured: Radian) | Aa3/AA | 1,000,000 | 1,032,290 | |||||
Comanche County Hospital Authority, 5.25% due 7/1/2015 (Insured: Radian) | Aa3/AA | 1,340,000 | 1,400,648 | |||||
Jenks Aquarium Authority First Mortgage, 5.50% due 7/1/2010 (ETM) | Aaa/NR | 325,000 | 336,785 | |||||
Oklahoma DFA Health Facilities, 5.75% due 6/1/2011 (Insured: AMBAC) | Aaa/AAA | 740,000 | 808,827 | |||||
Oklahoma DFA Hospital, 5.25% due 12/1/2011 (Duncan Regional Hospital) | NR/A | 1,215,000 | 1,273,855 | |||||
Oklahoma DFA Hospital, 5.00% due 10/1/2012 (Unity Health Center) | NR/A- | 1,070,000 | 1,123,104 | |||||
Oklahoma DFA Hospital, 5.25% due 12/1/2012 (Duncan Regional Hospital) | NR/A | 1,330,000 | 1,405,278 | |||||
Oklahoma DFA Hospital, 5.25% due 12/1/2013 (Duncan Regional Hospital) | NR/A | 1,350,000 | 1,428,422 | |||||
Oklahoma State Industrial Health Authority, 6.00% due 8/15/2010 pre-refunded 8/15/2009 (Integris Health Systems; Insured: MBIA) | Aaa/AAA | 190,000 | 202,462 | |||||
Oklahoma State Industrial Health Authority, 6.00% due 8/15/2010 pre-refunded 8/15/2009 (Integris Health Systems; Insured: MBIA) | Aaa/AAA | 2,150,000 | 2,291,018 |
Certified Semi-Annual Report 27
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
OREGON — 0.55% | ||||||||
Clackamas County HFA, 5.00% due 5/1/2008 (Legacy Health Systems) | A1/AA- | $ | 4,000,000 | $ | 4,009,080 | |||
Oregon State Department Administrative Services COP, 5.00% due 11/1/2014 (Insured: FGIC) | Aa3/AA- | 1,000,000 | 1,083,210 | |||||
Oregon State Department Administrative Services COP, 5.00% due 11/1/2015 (Insured: FGIC) | Aa3/AA- | 1,000,000 | 1,081,810 | |||||
PENNSYLVANIA — 1.80% | ||||||||
Allegheny County Hospital Development, 6.30% due 5/1/2009 (South Hills Health System) (ETM) | Baa1/NR | 795,000 | 813,818 | |||||
Chester County School Authority, 5.00% due 4/1/2016 (Intermediate School; Insured: AMBAC) | NR/AAA | 1,915,000 | 2,057,936 | |||||
Geisinger Authority Health Systems, 5.50% due 8/15/2009 | Aa2/AA | 1,000,000 | 1,020,340 | |||||
Northampton County IDA, 5.35% due 7/1/2010 (Moravian Hall Square; Insured: Radian) | NR/AA | 1,200,000 | 1,201,560 | |||||
Philadelphia Gas Works, 5.00% due 9/1/2014 (Insured: FSA) | Aaa/AAA | 3,000,000 | 3,265,530 | |||||
Philadelphia Gas Works, 5.00% due 9/1/2015 (Insured: FSA) | Aaa/AAA | 3,315,000 | 3,572,774 | |||||
Pittsburgh, 5.00% due 9/1/2012 (Insured: MBIA) | Aaa/AAA | 3,415,000 | 3,636,804 | |||||
Pittsburgh, 5.50% due 9/1/2014 (Insured: AMBAC) | Aaa/AAA | 2,000,000 | 2,115,340 | |||||
Sayre HFA, 5.25% due 7/1/2011 (Latrobe Area Hospital; Insured: AMBAC) (ETM) | Aaa/AAA | 1,400,000 | 1,496,334 | |||||
Sayre HFA, 5.25% due 7/1/2012 (Latrobe Area Hospital; Insured: AMBAC) (ETM) | Aaa/AAA | 1,000,000 | 1,078,330 | |||||
PUERTO RICO — 0.09% | ||||||||
Puerto Rico Commonwealth Highway & Transportation Authority, 5.00% due 7/1/2008 (Insured: FGIC) | Baa2/A- | 1,000,000 | 1,005,680 | |||||
RHODE ISLAND — 0.75% | ||||||||
Providence GO, 5.50% due 1/15/2012 (Insured: FGIC) | A3/A | 1,880,000 | 2,023,783 | |||||
Rhode Island COP, 5.00% due 10/1/2014 (Providence Plantations; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,083,810 | |||||
Rhode Island State Economic Development Corp., 5 .75% due 7/1/2010 (Providence Place Mall; Insured: | ||||||||
Radian) | NR/AA | 1,560,000 | 1,610,700 | |||||
Rhode Island State Health & Education Building Corp., 4 .50% due 9/1/2009 (Butler Hospital; LOC: Bankof America) | NR/AA+ | 1,960,000 | 2,031,011 | |||||
Rhode Island State Health & Education Building Corp., 5 .25% due 7/1/2014 (Memorial Hospital; LOC: Fleet Bank) | NR/AA+ | 1,565,000 | 1,671,983 | |||||
SOUTH CAROLINA — 1.22% | ||||||||
Georgetown County Environmental Improvement, 5.70% due 4/1/2014 (International Paper Co.) | Baa3/BBB | 7,975,000 | 8,242,960 | |||||
Greenville County School District Building Equity Sooner Tomorrow, 5.25% due 12/1/2015 | Aa3/AA- | 1,000,000 | 1,072,980 | |||||
Greenwood County Hospital Facilities, 5.00% due 10/1/2013 (Self Regional Healthcare; Insured: FSA) | Aaa/AAA | 2,000,000 | 2,165,040 | |||||
Greenwood Fifty Facilities School District, 5.00% due 12/1/2015 (Insured: Assured Guaranty) | Aaa/AAA | 1,000,000 | 1,095,480 | |||||
Greenwood Fifty Facilities School District, 5.00% due 12/1/2016 (Insured: Assured Guaranty) | Aaa/AAA | 1,000,000 | 1,092,250 | |||||
SOUTH DAKOTA — 0.11% | ||||||||
South Dakota State Health & Educational Facilities Authority, 5.50% due 9/1/2011 (Rapid City Regional Hospital; Insured: MBIA) | Aaa/AAA | 1,100,000 | 1,186,042 | |||||
TENNESSEE — 1.94% | ||||||||
Knox County Health, Educational, & Housing Facilities, 5.00% due 4/1/2017 (University Health Systems) | NR/BBB+ | 3,130,000 | 3,100,954 | |||||
Metro Government Nashville Multi Family, 7.50% due 11/15/2010 pre-refunded 5/15/2010 | Aaa/AAA | 2,000,000 | 2,211,720 | |||||
Metro Government Nashville Water & Sewer, 6.50% due 12/1/2014 (ETM) | Aaa/AAA | 1,240,000 | 1,479,828 | |||||
Tennessee Energy Acquisition Corp., 5 .00% due 9/1/2014 | Aa3/AA- | 975,000 | 971,422 | |||||
Tennessee Energy Acquisition Corp., 5 .00% due 9/1/2015 | Aa3/AA- | 3,000,000 | 2,959,170 | |||||
Tennessee Energy Acquisition Corp., 5 .00% due 2/1/2017 | Aa3/AA- | 5,000,000 | 4,828,900 | |||||
Tennessee Energy Acquisition Corp., 5 .25% due 9/1/2018 | Aa3/AA- | 5,000,000 | 4,879,600 | |||||
Tennessee Energy Acquisition Corp., 5 .25% due 9/1/2020 | Aa3/AA- | 1,450,000 | 1,402,048 |
28 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
TEXAS — 11.82% | ||||||||
Amarillo Health Facilities Corp., 5 .50% due 1/1/2011 (St. Anthony’s Hospital Corp.; Insured: FSA) | Aaa/NR | $ | 1,350,000 | $ | 1,444,662 | |||
Austin Water & Wastewater, 5.00% due 5/15/2014 (Insured: AMBAC) | Aaa/AAA | 2,890,000 | 3,118,339 | |||||
Austin Water & Wastewater, 5.00% due 5/15/2015 (Insured: AMBAC) | Aaa/AAA | 1,520,000 | 1,642,466 | |||||
Bell County Health Facilities Development Corp., 6 .25% due 8/15/2010 pre-refunded 2/15/2010 (Scott & White Memorial Hospital; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,079,700 | |||||
Bexar County Housing Finance Corp. Multi Family Housing, 5.00% due 1/1/2011 (American Opportunity Housing; Insured: MBIA) | Aaa/NR | 1,800,000 | 1,863,414 | |||||
Brazos River Authority, 4.90% due 10/1/2015 (Center Point Energy; Insured: MBIA) | AAA/AAA | 2,475,000 | 2,542,988 | |||||
Cedar Hill ISD GO, 0% due 8/15/2010 (Guaranty: PSF) | NR/AAA | 440,000 | 399,960 | |||||
Clint ISD GO, 5.50% due 2/15/2011 (Guaranty: PSF) | Aaa/AAA | 1,700,000 | 1,832,838 | |||||
Clint ISD GO, 5.50% due 2/15/2012 (Guaranty: PSF) | Aaa/AAA | 1,155,000 | 1,234,383 | |||||
Collin County Limited Tax Improvement GO, 5.00% due 2/15/2016 | Aaa/AAA | 1,465,000 | 1,609,713 | |||||
Corpus Christi Business & Job Development Corp., 5 .00% due 9/1/2012 (Arena Project; Insured: AMBAC) | Aaa/AAA | 1,025,000 | 1,098,523 | |||||
Corpus Christi Utility Systems, 5.50% due 7/15/2008 (Insured: FSA) | Aaa/AAA | 2,000,000 | 2,021,260 | |||||
Corpus Christi Utility Systems, 5.50% due 7/15/2009 (Insured: FSA) | Aaa/AAA | 4,780,000 | 4,980,234 | |||||
Duncanville ISD GO, 0% due 2/15/2011 (Guaranty: PSF) | Aaa/AAA | 4,945,000 | 4,531,944 | |||||
Duncanville ISD GO, 0% due 2/15/2012 (Guaranty: PSF) | Aaa/AAA | 1,245,000 | 1,093,247 | |||||
Fort Worth Water & Sewer, 5.25% due 2/15/2011 (Tarrant & Denton County) | Aa2/AA | 1,390,000 | 1,488,273 | |||||
Grapevine Colleyville ISD GO, 0% due 8/15/2011 (Guaranty: PSF) | Aaa/AAA | 7,350,000 | 6,616,984 | |||||
Grapevine GO, 5.25% due 2/15/2012 (Insured: FGIC) | Baa3/AA- | 2,005,000 | 2,008,930 | |||||
Harris County Health Facilities Development Corp. Thermal Utility, 5.45% due 2/15/2011 (Teco; Insured: AMBAC) | Aaa/AAA | 3,000,000 | 3,087,870 | |||||
Harris County Health Facilities Development Corp. Thermal Utility, 5.00% due 11/15/2015 (Teco; Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,591,695 | |||||
Harris County Hospital District, 5.75% due 2/15/2011 pre-refunded 8/15/2010 (Insured: MBIA) | Aaa/AAA | 10,000,000 | 10,749,900 | |||||
Harris County Hospital District, 5.75% due 2/15/2012 pre-refunded 8/15/2010 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,149,980 | |||||
Harris County Hospital District Mortgage, 7.40% due 2/15/2010 (Insured: AMBAC) | Aaa/AAA | 895,000 | 946,803 | |||||
Harris County Hospital District Senior Lien, 5.00% due 2/15/2014 (Insured: MBIA) | Aaa/AAA | 1,275,000 | 1,361,917 | |||||
Harris County Hospital District Senior Lien, 5.00% due 2/15/2017 (Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,596,390 | |||||
Harris County Sports Authority Senior Lien, 0% due 11/15/2010 (Insured: MBIA) | Aaa/AAA | 3,260,000 | 2,997,277 | |||||
Houston ISD Public West Side, 0% due 9/15/2014 (Insured: AMBAC) | Aaa/AAA | 6,190,000 | 4,762,091 | |||||
Hutto ISD GO, 0% due 8/1/2017 (Guaranty: PSF) | NR/AAA | 2,170,000 | 1,408,330 | |||||
Irving ISD GO, 0% due 2/15/2017 (Guaranty: PSF) | Aaa/AAA | 1,000,000 | 662,970 | |||||
Keller ISD GO, 0% due 8/15/2012 (Guaranty: PSF) | Aaa/AAA | 1,250,000 | 1,077,750 | |||||
Laredo GO, 5.00% due 2/15/2018 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,125,460 | |||||
Laredo Sports Venue Sales Refunding & Improvement, 5.00% due 3/15/2012 (Insured: AMBAC) | Aaa/AAA | 1,660,000 | 1,766,605 | |||||
Laredo Sports Venue Sales Refunding & Improvement, 5.00% due 3/15/2013 (Insured: AMBAC) | Aaa/AAA | 1,745,000 | 1,869,506 | |||||
Laredo Sports Venue Sales Refunding & Improvement, 5.00% due 3/15/2014 (Insured: AMBAC) | Aaa/AAA | 1,835,000 | 1,972,386 | |||||
Laredo Sports Venue Sales Refunding & Improvement, 5.00% due 3/15/2015 (Insured: AMBAC) | Aaa/AAA | 1,930,000 | 2,079,903 | |||||
Mesquite ISD GO, 0% due 8/15/2011 pre-refunded 8/15/2010 (Guaranty: PSF) | NR/AAA | 1,865,000 | 1,661,323 | |||||
Mesquite ISD GO, 0% due 8/15/2011 (Guaranty: PSF) | NR/AAA | 1,200,000 | 1,058,508 | |||||
Midlothian ISD GO, 0% due 2/15/2009 (Guaranty: PSF) (ETM) | Aaa/NR | 570,000 | 559,734 | |||||
Midlothian ISD GO, 0% due 2/15/2009 (Guaranty: PSF) | Aaa/NR | 630,000 | 617,929 | |||||
Midtown Redevelopment Authority, 6.00% due 1/1/2010 (Insured: Radian) | Aa3/AA | 700,000 | 726,271 | |||||
Midtown Redevelopment Authority, 6.00% due 1/1/2011 (Insured: Radian) | Aa3/AA | 740,000 | 779,901 | |||||
North Central Health Facility Development Hospital, 5.00% due 5/15/2017 (Baylor Health Care System) | Aa2/AA- | 5,000,000 | 5,092,900 | |||||
North East ISD GO, 5.00% due 8/1/2016 | Aaa/AAA | 2,000,000 | 2,189,840 | |||||
Red River Authority PCR, 5.20% due 7/1/2011 (Southwestern Public Service; Insured: AMBAC) | Aaa/AAA | 1,050,000 | 1,055,082 | |||||
Richardson Refunding & Improvement GO, 5.00% due 2/15/2014 (Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,273,960 | |||||
Sam Rayburn Municipal Power Agency, 5.50% due 10/1/2012 | Baa2/BBB- | 6,000,000 | 6,241,980 | |||||
Spring Branch ISD GO, 7.50% due 2/1/2011 (Guaranty: PSF) | Aaa/AAA | 500,000 | 564,795 |
Certified Semi-Annual Report 29
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Credit Rating† | Principal | |||||||
Issuer-Description | Moody’s/S&P | Amount | Value | |||||
Tarrant County Health Facilities Development Corp., 6 .00% due 11/15/2009 (Adventist/Sunbelt Health System) (ETM) | A1/NR | $ | 650,000 | $ | 690,216 | |||
Tarrant County Health Facilities Development Corp., 6 .10% due 11/15/2011 pre-refunded 11/15/2010 (Adventist/Sunbelt Health System) | A1/NR | 730,000 | 802,825 | |||||
Texarkana Health Facilities Development Corp., 5 .75% due 10/1/2008 (Wadley Regional Medical Center; Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,526,565 | |||||
Texas Municipal Power Agency, 0% due 9/1/2013 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 816,970 | |||||
Texas State Affordable Housing Corp., 4 .85% due 9/1/2012 (Insured: MBIA) | Aaa/AAA | 1,775,000 | 1,789,307 | |||||
Texas State Public Finance Authority, 6.00% due 8/1/2011 pre-refunded 8/1/2009 (State Preservation; Insured: FSA) | Aaa/AAA | 1,000,000 | 1,055,100 | |||||
Texas State Public Finance Authority, 5.00% due 10/15/2014 (Stephen F. Austin University Financing; Insured: MBIA) | Aaa/NR | 1,305,000 | 1,430,724 | |||||
Texas State Public Finance Authority, 5.00% due 10/15/2015 (Stephen F. Austin University Financing; Insured: MBIA) | Aaa/NR | 1,450,000 | 1,589,287 | |||||
Tomball Hospital Authority, 5.00% due 7/1/2013 | Baa3/NR | 1,460,000 | 1,486,178 | |||||
Travis County Health Facilities Development Corp., 5 .75% due 11/15/2008 (Ascension Health; Insured: MBIA) | Aaa/AAA | 2,300,000 | 2,351,842 | |||||
Travis County Health Facilities Development Corp., 5 .75% due 11/15/2010 (Ascension Health; Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,116,420 | |||||
Washington County Health Facilities Development Corp., 5 .35% due 6/1/2009 (Trinity Medical Center; Insured: ACA) | NR/NR | 870,000 | 867,007 | |||||
Washington County Health Facilities Development Corp., 5 .75% due 6/1/2019 (Trinity Medical Center; Insured: ACA) | NR/NR | 3,840,000 | 3,836,506 | |||||
Weslaco GO Waterworks & Sewer System, 5.25% due 2/15/2019 (Insured: MBIA) | Aaa/AAA | 2,835,000 | 3,035,009 | |||||
West Harris County Regional Water, 5.25% due 12/15/2012 (Insured: FSA) | Aaa/AAA | 2,435,000 | 2,680,740 | |||||
UTAH — 0.58% | ||||||||
Intermountain Power Agency Supply, 5.00% due 7/1/2012 (ETM) | Aaa/AAA | 4,355,000 | 4,362,708 | |||||
Salt Lake County Municipal Building Authority, 5.50% due 10/1/2009 | Aa1/AA+ | 1,500,000 | 1,571,055 | |||||
Utah State Board of Regents Auxiliary Systems & Student Fee, 5.00% due 5/1/2010 | NR/AA | 510,000 | 535,153 | |||||
VIRGINIA — 0.87% | ||||||||
Alexandria IDA, 5.75% due 10/1/2008 (Institute for Defense; Insured: AMBAC) (ETM) | Aaa/AAA | 1,070,000 | 1,091,432 | |||||
Alexandria IDA, 5.75% due 10/1/2009 (Institute for Defense; Insured: AMBAC) (ETM) | Aaa/AAA | 1,130,000 | 1,193,868 | |||||
Alexandria IDA, 5.75% due 10/1/2010 (Institute for Defense; Insured: AMBAC) (ETM) | Aaa/AAA | 1,195,000 | 1,291,879 | |||||
Chesterfield County IDA PCR, 5.50% due 10/1/2009 (VEPCO) | Baa1/A- | 1,500,000 | 1,510,695 | |||||
Norton IDA Hospital Improvement, 5.75% due 12/1/2012 (Norton Community Hospital; Insured: ACA) | NR/NR | 1,460,000 | 1,533,350 | |||||
Suffolk Redevelopment Housing Authority, 4.85% due 7/1/2031 put 7/1/2011 (Windsor at Potomac; Collateralized: FNMA) | Aaa/NR | 3,000,000 | 3,145,350 | |||||
WASHINGTON — 2.61% | ||||||||
Chelan County Public Utilities, 0% due 6/1/2014 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 1,551,720 | |||||
Energy Northwest Washington Electric, 4.95% due 7/1/2008 (Wind) | A3/A- | 1,760,000 | 1,768,272 | |||||
Energy Northwest Washington Electric, 4.95% due 7/1/2008 (Wind) | A3/A- | 705,000 | 708,314 | |||||
Energy Northwest Washington Electric, 5.375% due 7/1/2013 (Number 1; Insured: FSA) | Aaa/AAA | 2,000,000 | 2,154,420 | |||||
Energy Northwest Washington Electric, 5.00% due 7/1/2017 (Number 3) | Aaa/AA- | 5,470,000 | 5,957,541 | |||||
Snohomish County Public Utilities District 1 Electric, 5.00% due 12/1/2015 (Insured: FSA) | Aaa/AAA | 5,015,000 | 5,427,333 | |||||
Washington State HFA, 5.50% due 12/1/2009 (Providence Services; Insured: MBIA) (ETM) | Aaa/AAA | 1,500,000 | 1,583,205 | |||||
Washington State HFA, 5.00% due 7/1/2013 (Overlake Hospital; Credit Support: Assured Guaranty) | Aaa/AAA | 1,000,000 | 1,073,800 | |||||
Washington State Public Power Supply Systems, 0% due 7/1/2008 (Nuclear Number 3) | Aaa/AA- | 830,000 | 825,518 | |||||
Washington State Public Power Supply Systems, 0% due 7/1/2008 (Nuclear Number 3) | Aaa/AA- | 1,140,000 | 1,133,787 | |||||
Washington State Public Power Supply Systems, 6.00% due 7/1/2008 (Nuclear Number 1; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,009,190 |
30 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Washington State Public Power Supply Systems, 5.00% due 7/1/2011 (Nuclear Number 2; Insured: FSA) | Aaa/AAA | $ | 1,000,000 | $ | 1,025,600 | |||
Washington State Public Power Supply Systems, 5.40% due 7/1/2012 (Nuclear Number 2; Insured: FSA) | Aaa/AAA | 1,300,000 | 1,426,282 | |||||
Washington State Public Power Supply Systems, 0% due 7/1/2013 (Nuclear Number 3; Insured: MBIA- IBC) | Aaa/AAA | 1,760,000 | 1,447,371 | |||||
Washington State Public Power Supply Systems, 0% due 7/1/2015 (Nuclear Number 3; Insured: MBIA- IBC) | Aaa/AAA | 3,000,000 | 2,218,680 | |||||
WEST VIRGINIA — 0.17% | ||||||||
Harrison County Nursing Facility, 5.625% due 9/1/2010 (Salem Health Care Corp.; LOC: Fleet Bank) | NR/NR | 245,000 | 245,029 | |||||
Kanawha, Mercer, Nicholas, Counties Single Family Mortgage, 0% due 2/1/2015 pre-refunded 2/1/2014 | Aaa/NR | 2,260,000 | 1,628,127 | |||||
WISCONSIN — 0.32% | ||||||||
Bradley PCR, 6.75% due 7/1/2009 (Owens Illinois Solid Waste) (ETM) | NR/B | 1,500,000 | 1,591,320 | |||||
Wisconsin State Health & Educational Facilities Authority, 6.00% due 8/15/2008 (Aurora Health Care Inc.; Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,028,080 | |||||
WYOMING — 0.34% | ||||||||
West Park Hospital District, 5.90% due 7/1/2010 (Insured: ACA) | NR/NR | 1,400,000 | 1,400,966 | |||||
Wyoming Farm Loan Board, 0% due 4/1/2009 | NR/AA+ | 2,500,000 | 2,446,626 | |||||
TOTAL INVESTMENTS — 98.29% (Cost $1,082,102,339) | $ | 1,103,772,992 | ||||||
OTHER ASSETS LESS LIABILITIES - 1.71% | 19,242,820 | |||||||
NET ASSETS — 100.00% | $ | 1,123,015,812 | ||||||
Footnote Legend
† | Credit ratings are unaudited. Rating changes may have occurred prior to or subsequent to the reporting period end. |
(1) | Segregated as collateral for a when-issued security. |
(2) | When-issued security. |
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 | |
DFA | Development Finance Authority | |
EDA | Economic Development Authority | |
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 | |
GRT | Gross Receipts Tax | |
HFA | Health Facilities Authority | |
HUD | Department of Housing and Urban Development | |
IDA | Industrial Development Authority |
Certified Semi-Annual Report 31
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Portfolio Abbreviations (continued)
ISD | Independent School District | |
LOC | Letter of Credit | |
MBIA | Insured by Municipal Bond Investors Assurance | |
MBIA-IBC | Insured by Municipal Bond Investors Assurance - Insured Bond Certificates | |
PCR | Pollution Control Revenue Bond | |
PSF | Guaranteed by Permanent School Fund | |
RADIAN | Insured by Radian Asset Assurance | |
SONYMA | State of New York Mortgage Authority | |
USD | Unified School District | |
XLCA | Insured by XL Capital Assurance |
See notes to financial statements.
32 Certified Semi-Annual Report
Table of Contents
Thornburg Limited Term Municipal Fund | March 31, 2008 (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 or all of a purchase of $1 million of Class A shares within 12 months of purchase;
(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;
(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, 2007 and held until March 31, 2008.
Actual Expenses
For each class of shares, 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 for your class of shares 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
For each class of shares, 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 9/30/07 | Ending Account Value 3/31/08 | Expenses Paid During Period† 9/30/07–3/31/08 | |||||||
Class A Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,022.40 | $ | 4.52 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.53 | $ | 4.52 | |||
Class C Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,021.70 | $ | 5.92 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,019.14 | $ | 5.91 | |||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,024.10 | $ | 2.84 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,022.20 | $ | 2.83 |
† | Expenses are equal to the annualized expense ratio for each class (A: 0.89%; C: 1.17%; and I: 0.56%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares 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 33
Table of Contents
Thornburg Limited Term Municipal Fund | March 31, 2008 (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.
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 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.
34 Certified Semi-Annual Report
Table of Contents
Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
February 8, 2005, as readopted July 18, 2007
The Trustees are concerned that ongoing 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.
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36 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 and are under 701/ compensation 2, even if you are covered by an employer retirement plan. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
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.
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 Global Opportunities Fund |
• | Thornburg International Growth Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
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Thornburg Equity Funds
Thornburg’s equity research uses a fundamental and comprehensive analytical approach. Thornburg equity funds focus on a limited number of securities so that each holding can impact 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.
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
• | Thornburg International Growth Fund |
Thornburg Bond Funds
The majority of Thornburg bond funds are laddered portfolios of 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 Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term Municipal Fund |
• | Thornburg New Mexico Intermediate Municipal Fund |
• | Thornburg New York Intermediate Municipal Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund* |
Carefully consider each fund’s investment objectives, risks, sales charges, and expenses; this information can be found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. There is no guarantee that any of these funds will meet their investment objectives.
For additional information, please visit www.thornburg.com
Thornburg Investment Management, 119 East Marcy Street, Santa Fe, NM 87501
* | This fund does not use the laddering strategy. |
This page is not part of the Semi-Annual Report. 39
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This Semi-Annual Report is 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.
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![]() | Investment Advisor: | Distributor: | ||
Thornburg Investment Management® 800.847.0200 | Thornburg Securities Corporation® 800.847.0200 | |||
TH1072 |
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Invest in our planet, while you invest with us
You are concerned about the future, so are we. That is why we encourage you to go paperless and cut down on the amount of paper being used for regulatory mailings. Go to www.thornburg.com/edelivery and sign up to receive your shareholder reports, prospectuses, and proxy statements electronically.
Thornburg Limited Term Municipal Fund
Laddering – an All Weather Strategy
The Fund’s primary investment objective is to obtain as high a level of current income exempt from federal individual 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). The secondary goal of the Fund is to reduce expected changes in its share price compared to longer intermediate and long-term bond portfolios.
This Fund is a laddered portfolio of municipal bonds with an average maturity of normally less than five years. 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.
2 This page is not part of the Semi-Annual Report.
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Thornburg Limited Term Municipal Fund
I Shares – March 31, 2008
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9 | ||
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32 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
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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, an 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. Returns reflect the reinvestment of dividends and capital gains. There is no up front sales charge for this class of shares.
Investments 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. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund. Investments 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. There is no guarantee that the Fund will meet its investment objectives. The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
The information presented on the following pages was current as of March 31, 2008. The managers’ views, portfolio holdings, and sector diversification are provided for the general information of the Fund’s shareholders; they 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.
![]() | Lipper’s 2008 Best Fixed-Income Fund Family
Thornburg Investment Management ranked #1 out of 41 eligible firms in Lipper Inc.’s fixed income large firm universe for the three-year period ended 12/31/07, based on risk-adjusted returns. Past performance does not guarantee future results.
Lipper’s large firm universe is comprised of fund families with more than $28 billion in total net assets. Only fund families with at least five bond funds were eligible. Risk-adjusted returns were calculated with dividends reinvested and without sales charges.
Ranked #1 by Morningstar Thornburg Limited Term Municipal Fund, I shares
Class I shares ranked #1 out of 61 funds in Morningstar’s Muni National Short category for the 10-year period ended 12/31/07 and has retained that rank as of 3/31/08. Class I shares ranked #7 out of 106 funds for five years ended 3/31/08 and #29 out of 134 for one year. Ranks are based on total returns . Past performance does not guarantee future results.
© 2008 Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. |
4 Certified Semi-Annual Report
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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.
Average Maturity – The average of the maturity dates of the debt securities in the fund. In general, the longer the average maturity, the greater the fund’s sensitivity to interest-rate changes, which means greater price fluctuation. A shorter average maturity usually means a less sensitive/less volatile portfolio.
Consumer Price Index – The Consumer Price Index (CPI) measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living 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.
Fed Funds Rate – The interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.
Real Gross Domestic Product (GDP) – The market value of goods and services produced by labor and property in the United States, regardless of nationality. This inflation-adjusted measure reflects the value of all goods and services produced in a given year, expressed in base-year prices. Often referred to as “constant-price GDP”, “inflation-corrected GDP” or “constant dollar GDP”.
U.S. Treasury Securities – U.S.Treasury securities, such as bills, notes and bonds, are negotiable debt obligations of the U.S.government. These debt obligations are backed by the “full faith and credit” of the government and issued at various schedules and maturities. Income from Treasury securities is exempt from state and local, but not federal income taxes.
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George Strickland Co-Portfolio Manager
Josh Gonze Co-Portfolio Manager
Christopher Ihlefeld Co-Portfolio Manager | April 14, 2008
Dear Fellow Shareholder:
We are pleased to present the Semi-Annual Report for the Thornburg Limited Term Municipal Fund. The net asset value of the Class I shares increased by 6 cents per share to $13.55 during the six months ended March 31, 2008. If you were with us for the entire period, you received dividends of 26.2 cents per share. If you reinvested your dividends, you received 26.4 cents per share.
The past six months have been extraordinary in the capital markets. All bonds, including municipals, have been buffeted by the mortgage storm and its aftermath. In the rubble lies opportunity for unlvered investors like us. We are proud of our performance during this difficult period, and we welcome the accolades we have earned. In April 2008, Thornburg Investment Management received the 2008 Lipper Fund Award for Best Fixed-Income Fund Family. In January 2008, Limited Term Municipal Fund (Class I shares) was ranked #1 by Morningstar in its category for total return performance in the ten years ended December 31, 2007 (among 61 Muni National Short funds).
What makes our recent strong performance remarkable is that it occurred during the collapse of the mortgage market and the subsequent bank liquidity crisis. For years, leveraged investors have distorted prices in the bond market. In contrast with old-fashioned cash investors like ourselves, leveraged players tended to pay more for bonds because their borrowed funding and copious use of hedges allowed them to ignore the rules of fundamental bond investing. But in the last six months, banks curtailed lending, the auction-rate securities market crumpled, and hedges had to unwind.
Mortgage-backed securities began collapsing in August 2007. We were largely unscathed because we had minimal exposure to this sector. Risk models created by rating agencies failed to provide for the possibility of a broad increase in mortgage delinquencies. Banks and investors who held mortgage bonds took unprecedented write-downs, essentially admitting the bonds cannot recover. All of the bond insurers, to varying degrees, had written credit default swaps against mortgages, and now some bond insurers have been stripped of their AAA ratings. Banks have curtailed lending as they struggle to reduce the size of their balance sheets.
Today’s economic picture is one of stagnating economic activity combined with accelerating inflation. Inflation is running around 4%, as measured by the CPI. Home sales and construction starts are depressed. Recent reports for real GDP indicate the economy is nearly flat with a 0.60% growth rate. Recent job reports show three consecutive months of declining payrolls, so we believe there is little question that the U.S. is in a mild recession. We expect the bipartisan $168 billion stimulus package to be ineffective.
The Fed has lowered the Fed Funds Rate by 3% since September 2007 to 2.25%, with further rate cuts anticipated. Low interest rates ordinarily halt downward economic trends by prompting more lending, borrowing, and spending. However, banks currently are focused on reducing assets, not creating new assets, so low interest rates are failing to translate into economic activity.
The decline of the dollar is both a signal and a cause of economic weakness. Our currency continues its long-term downward trend as investors, both foreign and domestic, shift their |
6 Certified Semi-Annual Report
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portfolios to hold more assets denominated in currencies other than the dollar. Dollar-denominated assets are undermined by accelerating U.S. inflation and negative real interest rates on Treasury bonds.
On the positive side, the yield curve has been steepening, which will support a rebound in bank profits. The municipal yield curve’s newly steep direction has pivoted around the year 2016. Since the beginning of January, bonds maturing prior to 2016 have declined in yield (risen in price), while bonds maturing after 2016 have risen in yield (declined in price). The flight to quality has pushed Treasury yields down sharply, with the result that the ratios of municipal-to-Treasury yields were at an all-time high. In the last six months we have purchased tax-exempt bonds at yields ranging from 120% to 200% of equivalent maturity Treasuries.
% of portfolio maturing | Cumulative % maturing | |||||||||||
1 years | = | 9.7 | % | Year 1 | = | 9.7 | % | |||||
1 to 2 years | = | 10.3 | % | Year 2 | = | 20.0 | % | |||||
2 to 3 years | = | 12.1 | % | Year 3 | = | 32.1 | % | |||||
3 to 4 years | = | 8.9 | % | Year 4 | = | 41.0 | % | |||||
4 to 5 years | = | 10.3 | % | Year 5 | = | 51.3 | % | |||||
5 to 6 years | = | 10.8 | % | Year 6 | = | 62.1 | % | |||||
6 to 7 years | = | 9.1 | % | Year 7 | = | 71.2 | % | |||||
7 to 8 years | = | 10.9 | % | Year 8 | = | 82.1 | % | |||||
8 to 9 years | = | 9.8 | % | Year 9 | = | 91.9 | % | |||||
Over 9 years | = | 8.1 | % | Over 9 years | = | 100.0 | % |
Percentages can and do vary. Data as of 3/31/08.
Meanwhile, quality spreads (the difference in yield between the highest quality bonds and lower quality bonds) have been wide in the last several months. Some investors, who were previously comfortable taking credit risk at very tight spreads to AAA rated bonds, suddenly became a lot less comfortable. Those who sold typically had to sell their bonds at significantly wider spreads than those that prevailed earlier in the year. This led to an environment where investors could finally be compensated for taking incremental credit risk in bonds rated lower than AAA. We have been a beneficiary of this trend. When the credit-spread widening started, we were underweighted in BBB and A-rated bonds. As spreads doubled and tripled from their levels of mid-2007, we increased the Fund’s allocation to bonds rated below AA.
The Class I shares of your Fund produced a total return of 2.41% over the six-month period ended March 31, 2008, compared to a 3.88% return for the Lehman Five-Year Municipal Bond Index. Over the six-month period, five-year municipal bonds have performed better than longer (6 to 10 year) and shorter maturity (1 to 4 year) bonds. The Fund invests in a laddered portfolio of bonds that mature over the next ten years, with roughly 10% of the portfolio maturing in each year of the ladder, so most of the bonds mature in less than or more than five years. Since those bonds generally underperformed five-year bonds, the Fund underperformed the Index.
Your Thornburg Limited Term Municipal Fund is a laddered portfolio of 469 municipal obligations from 48 states. 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 chart above describes the percentages of your Fund’s bond portfolio maturing in each of the coming years.
We were able to take advantage of this past winter’s weakness to buy good bonds at attractive yields, but we did not modify the portfolio’s key characteristics. At September 30, 2007, the Fund’s ladder had an average maturity of 4.75 years and duration of 3.77 years. As the yield curve steepened, we invested evenly along the ladder. Consequently, at March 31, 2008, the Fund had an average maturity of 4.74 and duration of 3.80 years – nearly identical to how it measured six months earlier.
Looking forward, we do expect to see a weak U.S. economy through 2008. Until the housing and credit markets stabilize, the economy will be on shaky ground. At some point in 2009, we anticipate stabilization. Prior to that point,
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Letter to Shareholders
Continued
bond yields may rise to compensate investors for inflation. Rising bond yields may lead to a lower price for the Fund, but would allow us to take cash from maturing bonds and interest payments, and re-invest it at attractive levels.
State tax revenues have slowed, putting a damper on state budgets. Historically this corresponds with periods of increased municipal bond supply as states and localities borrow to fund expenditures. Other sectors of the municipal bond market are moving sideways, with a mixture of credit rating upgrades and downgrades. While the current trend is positive, we expect the depressed housing market and slower economic growth to create a tougher environment for municipal bonds to show further credit improvement. We did add marginally to the Fund’s exposure to lower investment grade bonds recently, but we do believe it is prudent to keep overall credit quality high in the current environment. Your Fund is broadly diversified and 83% invested in bonds rated A or above by at least one of the major rating agencies.
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 | Josh Gonze | Christopher Ihlefeld | ||
Co-Portfolio Manager | Co-Portfolio Manager | Co-Portfolio Manager |
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STATEMENT OF ASSETS AND LIABILITIES
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
ASSETS | ||||
Investments at value (cost $1,082,102,339) (Note 2) | $ | 1,103,772,992 | ||
Cash | 6,681,970 | |||
Receivable for investments sold | 1,015,000 | |||
Receivable for fund shares sold | 3,022,483 | |||
Interest receivable | 13,905,447 | |||
Prepaid expenses and other assets | 46,429 | |||
Total Assets | 1,128,444,321 | |||
LIABILITIES | ||||
Payable for securities purchased | 2,067,940 | |||
Payable for fund shares redeemed | 1,538,986 | |||
Payable to investment advisor and other affiliates (Note 3) | 692,166 | |||
Accounts payable and accrued expenses | 210,077 | |||
Dividends payable | 919,340 | |||
Total Liabilities | 5,428,509 | |||
NET ASSETS | $ | 1,123,015,812 | ||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment income | $ | (3,894 | ) | |
Net unrealized appreciation on investments | 21,670,653 | |||
Accumulated net realized gain (loss) | (9,160,232 | ) | ||
Net capital paid in on shares of beneficial interest | 1,110,509,285 | |||
$ | 1,123,015,812 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share | $ | 13.55 | ||
Maximum sales charge, 1.50% of offering price | 0.21 | |||
Maximum offering price per share | $ | 13.76 | ||
Class C Shares: | ||||
Net asset value and offering price per share * | $ | 13.58 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share | $ | 13.55 | ||
* | 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, 2008 (Unaudited) |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $3,303,274) | $ | 24,314,096 | ||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 2,398,055 | |||
Administration fees (Note 3) | ||||
Class A Shares | 431,889 | |||
Class C Shares | 53,414 | |||
Class I Shares | 80,555 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 863,777 | |||
Class C Shares | 427,317 | |||
Transfer agent fees | ||||
Class A Shares | 146,325 | |||
Class C Shares | 22,111 | |||
Class I Shares | 44,460 | |||
Registration and filing fees | ||||
Class A Shares | 11,494 | |||
Class C Shares | 9,288 | |||
Class I Shares | 16,190 | |||
Custodian fees (Note 3) | 93,254 | |||
Professional fees | 28,191 | |||
Accounting fees | 22,010 | |||
Trustee fees | 7,122 | |||
Other expenses | 62,166 | |||
Total Expenses | 4,717,618 | |||
Less: | ||||
Distribution fees waived (Note 3) | (213,659 | ) | ||
Fees paid indirectly (Note 3) | (11,454 | ) | ||
Net Expenses | 4,492,505 | |||
Net Investment Income | 19,821,591 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | 477,123 | |||
Net change in unrealized appreciation (depreciation) of investments | 4,507,836 | |||
Net Realized and Unrealized Gain | 4,984,959 | |||
Net Increase in Net Assets Resulting From Operations | $ | 24,806,550 | ||
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Limited Term Municipal Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, 2007 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 19,821,591 | $ | 40,159,219 | ||||
Net realized gain (loss) on investments | 477,123 | (1,146,124 | ) | |||||
Increase (Decrease) in unrealized appreciation (depreciation) of investments | 4,507,836 | (3,013,630 | ) | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 24,806,550 | 35,999,465 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (12,201,452 | ) | (26,069,081 | ) | ||||
Class C Shares | (1,390,630 | ) | (2,952,660 | ) | ||||
Class I Shares | (6,229,509 | ) | (11,137,478 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | (3,886,384 | ) | (133,561,208 | ) | ||||
Class C Shares | 1,018,755 | (18,529,049 | ) | |||||
Class I Shares | 33,901,812 | 18,744,294 | ||||||
Net Increase (Decrease) in Net Assets | 36,019,142 | (137,505,717 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 1,086,996,670 | 1,224,502,387 | ||||||
End of period | $ | 1,123,015,812 | $ | 1,086,996,670 | ||||
* | Unaudited. |
See notes to financial statements.
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Thornburg Limited Term Municipal Fund | March 31, 2008 (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 thirteen series of shares of beneficial interest in addition to those of the Fund: Thornburg California Limited Term 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, Thornburg Investment Income Builder Fund, Thornburg Global Opportunities Fund, Thornburg International Growth Fund, and Thornburg Strategic Income 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 primary investment objective is to obtain as high a level of current income exempt from federal individual income taxes as is consistent, in the view of the Fund’s investment advisor, with the preservation of capital. The Fund’s secondary objective is to reduce expected changes in its share price compared to longer intermediate and long-term bond portfolios.
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 may have different reinvestment privileges and conversion rights. 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 Securities: Debt securities have a primary market over the counter and are valued by an independent pricing service approved by the Trustees of the Trust. The pricing service ordinarily values debt securities at quoted bid prices. When quotations are not available, debt securities are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt securities of comparable quality, type of issue, coupon, maturity, and rating; indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
In any case where a pricing service fails to provide a price for a debt security held by the Fund, the valuation and pricing committee determines a fair value for the security using factors approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt security may be unreliable, the valuation and pricing committee decides whether or not to use the pricing service’s valuation or to determine a fair value for the security.
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 Fund’s 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 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 realized 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
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
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.
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities 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 six months ended March 31, 2008, 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 depending on the Fund’s asset size. The Trust also has entered into administrative services agreements 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 the Fund’s shares. For the six months ended March 31, 2008, the Distributor has advised the Fund that it earned commissions aggregating $2,905 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $2,712 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 and distribution 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 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 the Distributor for 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 six months ended March 31, 2008, are set forth in the Statement of Operations. Distribution fees in the amount of $213,659 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 six months ended March 31, 2008, fees paid indirectly were $11,454. This figure may include additional fees waived by the custodian.
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, 2008 (Unaudited) |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2008, 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, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 3,909,574 | $ | 53,048,271 | 4,907,768 | $ | 66,014,807 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 628,944 | 8,512,535 | 1,327,844 | 17,870,751 | ||||||||||
Shares repurchased | (4,826,375 | ) | (65,447,190 | ) | (16,162,702 | ) | (217,446,766 | ) | ||||||
Net Increase (Decrease) | (287,857 | ) | $ | (3,886,384 | ) | (9,927,090 | ) | $ | (133,561,208 | ) | ||||
Class C Shares | ||||||||||||||
Shares sold | 702,911 | $ | 9,579,499 | 638,787 | $ | 8,601,275 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 68,227 | 924,955 | 146,274 | 1,972,339 | ||||||||||
Shares repurchased | (698,494 | ) | (9,485,699 | ) | (2,157,502 | ) | (29,102,663 | ) | ||||||
Net Increase (Decrease) | 72,644 | $ | 1,018,755 | (1,372,441 | ) | $ | (18,529,049 | ) | ||||||
Class I Shares | ||||||||||||||
Shares sold | 5,006,655 | $ | 68,014,859 | 7,495,756 | $ | 100,902,857 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 360,945 | 4,885,175 | 632,992 | 8,518,497 | ||||||||||
Shares repurchased | (2,871,428 | ) | (38,998,222 | ) | (6,741,062 | ) | (90,677,060 | ) | ||||||
Net Increase (Decrease) | 2,496,172 | $ | 33,901,812 | 1,387,686 | $ | 18,744,294 | ||||||||
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2008, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $120,247,334 and $107,127,787, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2008, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 1,082,107,146 | ||
Gross unrealized appreciation on a tax basis | $ | 24,801,006 | ||
Gross unrealized depreciation on a tax basis | (3,135,160 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 21,665,846 | ||
At March 31, 2008, the Fund had tax basis capital losses, which may be carried forward 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 carryforwards expire as follows:
2008 | $ | 3,565,103 | |
2013 | 30,614 | ||
2014 | 2,276,013 | ||
2015 | 2,811,143 | ||
$ | 8,682,873 | ||
As of March 31, 2008, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2006 of $949,675. For tax purposes, such losses will be reflected in the year ending September 30, 2008.
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
OTHER NOTES:
FASB Interpretation No. 48:
On July 13, 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes - an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation prescribes a model for how a company, including the Fund, should recognize, measure, present and disclose in its financial statements uncertain tax positions that the company has taken or expects to take on income tax returns, and also revises certain disclosure requirements. The Interpretation became effective for the Fund for the financial statement reporting period ended March 31, 2008. As of the date of this report, management of the Fund has not identified any material effect on the Fund’s financial statements resulting from the implementation of FIN 48.
Statement of Accounting Standards No. 157:
On September 15, 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 defines fair value, provides guidelines for measuring fair value in accordance with generally accepted accounting principles, and addresses disclosures about fair value measurements. FAS 157 establishes a fair value hierarchy that distinguishes between (i) market participant assumptions developed based upon market data obtained from sources independent of the reporting entity (observable inputs) and (ii) the entity’s own assumptions about market participant assumptions developed based upon the best information available under the circumstances (unobservable inputs). FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and is to be applied prospectively as of the beginning of the first fiscal year for which FAS 157 is applied. Management is evaluating FAS 157, and is not in a position at this time to estimate the significance of its impact, if any, on the Fund’s financial statements.
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Thornburg Limited Term Municipal Fund
Six Months Ended March 31, 2008* | Year Ended Sept. 30, | Three Months Ended Sept. 30, 2004(a) | Year Ended June 30, | |||||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.49 | $ | 13.53 | $ | 13.59 | $ | 13.83 | $ | 13.68 | $ | 14.01 | $ | 13.65 | ||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||
Net investment income (loss) | 0.26 | 0.51 | 0.49 | 0.44 | 0.11 | 0.44 | 0.49 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.06 | (0.04 | ) | (0.06 | ) | (0.24 | ) | 0.15 | (0.33 | ) | 0.36 | |||||||||||||||||
Total from investment operations | 0.32 | 0.47 | 0.43 | 0.20 | 0.26 | 0.11 | 0.85 | |||||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||||||
Net investment income | (0.26 | ) | (0.51 | ) | (0.49 | ) | (0.44 | ) | (0.11 | ) | (0.44 | ) | (0.49 | ) | ||||||||||||||
Change in net asset value | 0.06 | (0.04 | ) | (0.06 | ) | (0.24 | ) | 0.15 | (0.33 | ) | 0.36 | |||||||||||||||||
NET ASSET VALUE, end of period | $ | 13.55 | $ | 13.49 | $ | 13.53 | $ | 13.59 | $ | 13.83 | $ | 13.68 | $ | 14.01 | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA |
| |||||||||||||||||||||||||||
Total return (%)(b) | 2.41 | 3.53 | 3.22 | 1.50 | 1.87 | 0.80 | 6.36 | |||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Net investment income (loss) (%) | 3.87 | (c) | 3.78 | 3.62 | 3.25 | 3.02 | (c) | 3.18 | 3.54 | |||||||||||||||||||
Expenses, after expense reductions (%) | 0.56 | (c) | 0.57 | 0.57 | 0.57 | 0.55 | (c) | 0.57 | 0.58 | |||||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.56 | (c) | 0.57 | 0.57 | 0.57 | 0.55 | (c) | 0.57 | 0.58 | |||||||||||||||||||
Expenses, before expense reductions (%) | 0.56 | (c) | 0.57 | 0.57 | 0.57 | 0.55 | (c) | 0.57 | 0.58 | |||||||||||||||||||
Portfolio turnover rate (%) | 10.13 | 21.35 | 23.02 | 27.80 | 4.57 | 21.37 | 15.81 | |||||||||||||||||||||
Net assets at end of period (thousands) | $ | 338,974 | $ | 303,716 | $ | 285,878 | $ | 290,369 | $ | 238,589 | $ | 222,760 | $ | 197,367 |
(a) | The Fund’s fiscal year-end changed to September 30. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
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Thornburg Limited Term Municipal Fund | March 31, 2008 (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 — 0.79% | ||||||||
Mobile GO Warrants, 4.50% due 8/15/2016 | NR/NR | $ | 2,745,000 | $ | 2,817,056 | |||
Mobile Industrial Development PCR, 5.00% due 6/1/2034 put 3/19/2015 (Alabama Power Co.) | A2/A | 6,000,000 | 6,059,640 | |||||
ALASKA — 0.81% | ||||||||
Alaska Energy Power Authority, 6.00% due 7/1/2011 (Bradley Lake Hydroelectric; Insured: FSA) | Aaa/AAA | 955,000 | 1,052,381 | |||||
Alaska Municipal Bond Bank, 5.00% due 6/1/2014 (Insured: MBIA) | Aaa/AAA | 1,175,000 | 1,268,225 | |||||
Alaska Student Loan Corp., 5 .25% due 1/1/2012 (Insured: FSA) | NR/AAA | 3,000,000 | 3,249,780 | |||||
North Slope Boro GO, 5.00% due 6/30/2015 (Insured: MBIA) | Aaa/AAA | 3,250,000 | 3,514,192 | |||||
ARIZONA — 1.00% | ||||||||
Glendale IDA, 5.00% due 5/15/2015 (Midwestern University) | NR/A- | 1,000,000 | 1,038,960 | |||||
Glendale IDA, 5.00% due 5/15/2016 (Midwestern University) | NR/A- | 1,325,000 | 1,371,229 | |||||
Glendale IDA, 5.00% due 5/15/2017 (Midwestern University) | NR/A- | 1,440,000 | 1,487,102 | |||||
Mohave County IDA, 5.00% due 4/1/2014 (Mohave Prison LLC; Insured: XLCA) | NR/A- | 3,135,000 | 3,299,901 | |||||
Pima County IDA, 6.40% due 7/1/2013 (Arizona Charter Schools) | Baa3/NR | 990,000 | 1,039,114 | |||||
Pima County IDA Lease Obligation, 7.25% due 7/15/2010 (Insured: FSA) | Aaa/AAA | 290,000 | 299,231 | |||||
Salt River Agricultural Improvement & Power District, 5.00% due 1/1/2020 | Aa1/AA | 1,205,000 | 1,218,291 | |||||
Show Low IDA Hospital, 5.25% due 12/1/2010 (Navapache Regional Medical Center; Insured: ACA) | NR/BBB | 1,000,000 | 1,015,700 | |||||
Tucson Water, 9.75% due 7/1/2008 | Aa3/A+ | 500,000 | 509,425 | |||||
ARKANSAS — 0.36% | ||||||||
Jefferson County Hospital Improvement, 5.50% due 6/1/2010 (Jefferson Hospital Association) | NR/A | 1,000,000 | 1,043,180 | |||||
Jefferson County Hospital Improvement, 5.50% due 6/1/2011 (Jefferson Hospital Association) | NR/A | 1,075,000 | 1,134,233 | |||||
Little Rock Hotel & Restaurant GRT, 7.125% due 8/1/2009 | A3/NR | 1,820,000 | 1,882,917 | |||||
CALIFORNIA — 3.12% | ||||||||
California HFA, 5.25% due 10/1/2013 (Kaiser Permanente) (ETM) | NR/AAA | 2,620,000 | 2,681,727 | |||||
California State Department of Transportation COP, 5.25% due 3/1/2016 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,011,920 | |||||
California State Department of Water Resources Power Supply, 5.50% due 5/1/2012 | Aa3/A | 2,600,000 | 2,853,552 | |||||
California State Department of Water Resources Power Supply, 6.00% due 5/1/2013 | Aa3/A | 2,550,000 | 2,835,294 | |||||
California State Public Works Board, 5.00% due 9/1/2016 (Regents University of California; Insured: FGIC) | Aa2/AA- | 3,000,000 | 3,252,000 | |||||
California State Public Works Board, 5.00% due 9/1/2017 (Regents of University of California; Insured: FGIC) | Aa2/AA- | 3,000,000 | 3,238,260 | |||||
California Statewide Community HFA, 4.50% due 11/15/2013 (Los Angeles Jewish Home; Insured: CA Mortgage Insurance) | NR/A+ | 3,000,000 | 3,049,590 | |||||
Escondido USD, 5.60% due 11/1/2009 (Insured: MBIA) (ETM) | Aaa/AAA | 1,250,000 | 1,265,700 | |||||
Los Angeles USD GO, 5.00% due 7/1/2018 (Insured: FSA) | Aaa/AAA | 2,000,000 | 2,170,960 | |||||
Northern California Public Power Agency, 5.00% due 7/1/2009 (Geothermal Number 3) | A2/BBB+ | 11,100,000 | 11,122,311 | |||||
South Orange County Public Financing Authority, 8.00% due 8/15/2008 (Foothill Area; Insured: FGIC) | Baa3/NR | 1,500,000 | 1,530,165 | |||||
COLORADO — 3.83% | ||||||||
Adams County Platte Valley Medical Center, 5.00% due 2/1/2015 (Brighton Community Hospital Association; Insured: FHA, MBIA) | NR/AAA | 1,530,000 | 1,653,180 | |||||
Adams County Platte Valley Medical Center, 5.00% due 8/1/2015 (Brighton Community Hospital Association; Insured: FHA, MBIA) | NR/AAA | 1,565,000 | 1,695,067 | |||||
Central Platte Valley Metropolitan District, 5.00% due 12/1/2031 put 12/1/2009 (LOC: US Bank) | NR/AA+ | 12,350,000 | 12,815,842 |
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Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Colorado Department of Transportation Anticipation Notes, 6.00% due 6/15/2008 (Insured: AMBAC) | Aaa/AAA | $ | 1,500,000 | $ | 1,512,735 | |||
Colorado Educational & Cultural Facilities, 4.90% due 4/1/2008 (Nashville Public Radio) (ETM) | NR/NR | 345,000 | 345,000 | |||||
Colorado HFA, 5.25% due 10/1/2026 pre-refunded 10/1/2008 (Children’s Hospital; Insured: MBIA) | Aaa/AAA | 2,295,000 | 2,313,039 | |||||
Denver City and County Airport System, 5.00% due 11/15/2016 (Insured: MBIA) | Aaa/AAA | 1,515,000 | 1,628,852 | |||||
Denver City and County Airport System, 5.00% due 11/15/2017 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,069,110 | |||||
Denver Convention Center Hotel, 5.25% due 12/1/2014 (Insured: XLCA) | A3/A- | 3,000,000 | 3,160,830 | |||||
E 470 Public Highway Authority Capital Appreciation, 0% due 9/1/2014 (Insured: MBIA) | Aaa/AAA | 2,110,000 | 1,592,565 | |||||
Highlands Ranch Metropolitan District GO, 5.25% due 12/1/2008 (Insured: ACA) | NR/NR | 780,000 | 796,107 | |||||
Highlands Ranch Metropolitan District GO, 5.25% due 12/1/2008 (Insured: ACA) | NR/NR | 905,000 | 923,688 | |||||
Plaza Metropolitan District, 7.125% due 12/1/2010 (Public Improvement Fee/Tax Increment) | NR/NR | 6,025,000 | 6,116,580 | |||||
Plaza Metropolitan District, 7.60% due 12/1/2016 (Public Improvement Fee/Tax Increment) | NR/NR | 6,000,000 | 6,223,200 | |||||
Southlands Metropolitan District GO, 6.75% due 12/1/2016 | NR/AAA | 1,000,000 | 1,143,120 | |||||
CONNECTICUT — 0.15% | ||||||||
Connecticut State Health & Educational Facilities, 4.90% due 7/1/2008 (Insured:FGIC) | Baa3/NR | 1,720,000 | 1,723,681 | |||||
DELAWARE — 0.57% | ||||||||
Delaware EDA, 5.50% due 7/1/2025 put 7/1/2010 (Delmarva Power & Light) | Baa2/BBB- | 2,045,000 | 2,151,217 | |||||
Delaware HFA, 5.25% due 6/1/2011 (Beebe Medical Center) | Baa1/BBB+ | 1,275,000 | 1,310,802 | |||||
Delaware HFA, 5.25% due 5/1/2012 (Nanticoke Memorial Hospital; Insured: Radian) | NR/AA | 1,370,000 | 1,430,732 | |||||
Delaware HFA, 5.25% due 5/1/2013 (Nanticoke Memorial Hospital; Insured: Radian) | NR/AA | 1,445,000 | 1,500,951 | |||||
DISTRICT OF COLUMBIA — 2.63% | ||||||||
District of Columbia, 6.00% due 6/1/2018 (Insured: MBIA) | Aaa/AAA | 5,000,000 | 5,753,850 | |||||
District of Columbia Capital Appreciation, 0% due 4/1/2040 pre-refunded 4/1/2011 (Georgetown University) | Aaa/AAA | 6,685,000 | 1,099,215 | |||||
District of Columbia COP, 5.25% due 1/1/2013 (Insured: AMBAC) | Aaa/AAA | 5,950,000 | 6,265,171 | |||||
District of Columbia COP, 5.25% due 1/1/2015 (Insured: FGIC) | A2/A | 2,875,000 | 3,097,899 | |||||
District of Columbia COP, 5.25% due 1/1/2016 (Insured: FGIC) | A2/A | 4,125,000 | 4,445,471 | |||||
District of Columbia Hospital, 5.10% due 8/15/2008 (Medlantic Healthcare) (ETM) | Aaa/AAA | 1,500,000 | 1,517,055 | |||||
District of Columbia Hospital, 5.70% due 8/15/2008 (Medlantic Healthcare) (ETM) | Aaa/AAA | 2,280,000 | 2,309,480 | |||||
District of Columbia Tax Increment, 0% due 7/1/2009 (Mandarin Oriental; Insured: FSA) | Aaa/AAA | 2,000,000 | 1,934,060 | |||||
District of Columbia Tax Increment, 0% due 7/1/2011 (Mandarin Oriental; Insured: FSA) | Aaa/AAA | 1,990,000 | 1,789,189 | |||||
District of Columbia Tax Increment, 0% due 7/1/2012 (Mandarin Oriental; Insured: FSA) | Aaa/AAA | 1,480,000 | 1,272,830 | |||||
FLORIDA — 8.51% | ||||||||
Broward County Airport Systems, 5.00% due 10/1/2014 (Insured: AMBAC) | Aaa/AAA | 4,000,000 | 4,301,600 | |||||
Broward County Resource Recovery, 5.375% due 12/1/2009 (Wheelabrator South) | A3/AA | 5,000,000 | 5,143,450 | |||||
Broward County School Board COP, 5.25% due 7/1/2016 (Insured: FSA) | Aaa/AAA | 7,630,000 | 8,446,639 | |||||
Broward County School Board COP, 5.00% due 7/1/2017 (Insured: FGIC) | A1/A+ | 1,000,000 | 1,059,950 | |||||
Capital Projects Finance Authority, 5.50% due 10/1/2012 (Insured: MBIA) | Aaa/AAA | 1,820,000 | 1,936,808 | |||||
Capital Projects Finance Authority, 5.50% due 10/1/2015 (Insured: MBIA) | Aaa/AAA | 3,260,000 | 3,430,400 | |||||
Capital Trust Agency Multi Family Housing, 5.15% due 11/1/2030 put 11/1/2010 (Shadow Run; Collateralized: FNMA) | Aaa/NR | 2,190,000 | 2,284,783 | |||||
Crossings at Fleming Island Community Development, 5.45% due 5/1/2010 (Insured: MBIA) | Aaa/AAA | 1,600,000 | 1,642,592 | |||||
Escambia County HFA, 5.125% due 10/1/2014 (Baptist Hospital/Baptist Manor) | Baa1/BBB+ | 2,755,000 | 2,790,154 | |||||
Escambia County HFA, 5.00% due 11/1/2028 pre-refunded 11/1/2010 (Charity Obligated Group) | Aaa/NR | 2,500,000 | 2,561,525 | |||||
Flagler County School Board COP, 5.00% due 8/1/2014 (Insured: FSA) | Aaa/AAA | 1,605,000 | 1,743,191 | |||||
Flagler County School Board COP, 5.00% due 8/1/2015 (Insured: FSA) | Aaa/AAA | 1,500,000 | 1,629,690 | |||||
Florida State Correctional Privatization Commission COP, 5.00% due 8/1/2015 (Insured: AMBAC) | Aaa/AAA | 2,000,000 | 2,143,760 | |||||
Florida State Department of Children & Families COP, 5.00% due 10/1/2012 | NR/AA+ | 770,000 | 828,158 | |||||
Florida State Department of Children & Families COP, 5.00% due 10/1/2014 | NR/AA+ | 905,000 | 977,581 | |||||
Florida State Department of Children & Families COP, 5.00% due 10/1/2015 | NR/AA+ | 925,000 | 997,159 |
18 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Florida State Department of Transportation, 5.00% due 7/1/2018 | Aa1/AAA | $ | 3,000,000 | $ | 3,272,580 | |||
Highlands County Health Facilities, 7.09% due 11/15/2037 put 4/7/2008 (Adventist Health; Insured: MBIA) (auction rate securities) | Aaa/AAA | 3,750,000 | 3,750,000 | |||||
Hillsborough County Assessment, 5.00% due 3/1/2015 (Insured: FGIC) | A3/A+ | 5,000,000 | 5,352,350 | |||||
Hillsborough County IDA PCR, 5.10% due 10/1/2013 (Tampa Electric Co.) | Baa2/BBB- | 6,410,000 | 6,508,778 | |||||
Hillsborough County IDA PCR, 5.00% due 12/1/2034 put 3/15/2012 (Tampa Electric Co.; Insured: AMBAC) | Aaa/AAA | 3,250,000 | 3,217,565 | |||||
Hollywood Community Redevelopment Agency, 5.00% due 3/1/2016 (Insured: XLCA) | A3/A- | 2,000,000 | 2,148,540 | |||||
Hollywood Community Redevelopment Agency, 5.00% due 3/1/2017 (Insured: XLCA) | A3/A- | 2,000,000 | 2,144,040 | |||||
Jacksonville Electric St. John’s River Park Systems, 5.25% due 10/1/2012 | Aa2/AA- | 5,000,000 | 5,344,900 | |||||
Marion County Hospital District, 5.00% due 10/1/2015 (Munroe Regional Health Systems) | A2/NR | 1,000,000 | 1,043,170 | |||||
Miami Dade County Educational Facilities Authority, 5.00% due 4/1/2016 (University of Miami; Insured: AMBAC) | Aaa/AAA | 3,000,000 | 3,225,990 | |||||
Miami Dade County School Board COP, 5.50% due 5/1/2030 put 5/1/2011 (Insured: MBIA) | Aaa/AAA | 1,010,000 | 1,072,378 | |||||
Miami Dade County Special Housing, 5.80% due 10/1/2012 (HUD Section 8) | Baa3/NR | 2,485,000 | 2,610,468 | |||||
Miami Street Sidewalk Improvement, 5.00% due 1/1/2018 (Insured: MBIA) | Aaa/AAA | 1,970,000 | 2,103,034 | |||||
Orange County HFA, 5.80% due 11/15/2009 (Adventist Health) (ETM) | A1/NR | 1,395,000 | 1,476,887 | |||||
Palm Beach County Public Improvement, 5.00% due 11/1/2030 put 11/1/2011 (Convention Center; Insured: FGIC) | Aa1/AA+ | 3,000,000 | 3,161,610 | |||||
Pelican Marsh Community Development District, 5.00% due 5/1/2011 (Insured: Radian) | NR/AA | 2,115,000 | 2,023,547 | |||||
South Miami HFA, 5.00% due 8/15/2016 (Baptist Health) | Aa3/AA- | 1,560,000 | 1,648,717 | |||||
St. John’s County IDA, 5.50% due 8/1/2014 (Presbyterian Retirement) | NR/NR | 1,755,000 | 1,841,802 | |||||
University of Central Florida Athletics Association Inc. COP, 5.00% due 10/1/2016 (Insured: FGIC) | Baa3/NR | 1,640,000 | 1,722,049 | |||||
GEORGIA — 2.27% | ||||||||
Atlanta Tax Allocation, 5.25% due 12/1/2016 (Atlantic Station; Insured: Assured Guaranty) | Aaa/AAA | 3,850,000 | 4,180,830 | |||||
Burke County PCR, 4.375% due 10/1/2032 put 4/1/2010 (Georgia Power Co.) | A2/A | 5,000,000 | 5,002,000 | |||||
Main Street Natural Gas Inc., 5 .00% due 3/15/2013 | A1/A+ | 1,500,000 | 1,496,055 | |||||
Main Street Natural Gas Inc., 5 .00% due 3/15/2014 | Aa2/AA- | 3,000,000 | 3,054,330 | |||||
Main Street Natural Gas Inc., 5 .00% due 3/15/2014 | A1/A+ | 3,590,000 | 3,546,669 | |||||
Monroe County Development Authority PCR, 6.75% due 1/1/2010 (Oglethorpe Power; Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,142,420 | |||||
Monroe County Development Authority PCR, 6.80% due 1/1/2012 (Oglethorpe Power; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,130,660 | |||||
Monroe County Development Authority PCR, 4.50% due 7/1/2025 put 4/1/2011 (Georgia Power Co.) | A2/A | 5,000,000 | 4,968,850 | |||||
GUAM — 0.09% | ||||||||
Guam Educational Financing Foundation COP, 5.00% due 10/1/2010 (Guam Public Schools) | NR/A- | 1,000,000 | 1,036,340 | |||||
HAWAII — 0.19% | ||||||||
Hawaii State Department of Budget & Finance, 4.95% due 4/1/2012 (Hawaiian Electric Company; Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,115,800 | |||||
IDAHO — 0.27% | ||||||||
Twin Falls Urban Renewal Agency, 4.95% due 8/1/2014 | NR/NR | 1,640,000 | 1,610,037 | |||||
Twin Falls Urban Renewal Agency, 5.15% due 8/1/2017 | NR/NR | 1,455,000 | 1,392,101 | |||||
ILLINOIS — 10.42% | ||||||||
Bolingbrook, 0% due 1/1/2016 (Insured: MBIA) | Aaa/NR | 1,500,000 | 1,064,775 | |||||
Bolingbrook, 0% due 1/1/2017 (Insured: MBIA) | Aaa/NR | 2,000,000 | 1,337,000 | |||||
Broadview Tax Increment Revenue, 5.375% due 7/1/2015 | NR/NR | 3,400,000 | 3,412,954 | |||||
Champaign County Community School District 116, 0% due 1/1/2009 (ETM) | A3/AAA | 1,205,000 | 1,186,359 | |||||
Champaign County Community School District 116, 0% due 1/1/2009 (Insured: FGIC) | A3/AAA | 2,140,000 | 2,103,149 | |||||
Chicago Board of Education GO, 6.00% due 12/1/2009 (Insured: FGIC) | A1/AA- | 2,000,000 | 2,116,960 |
Certified Semi-Annual Report 19
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Chicago Board of Education GO, 7.00% due 3/1/2014 put 4/1/2008 (auction rate security) | A1/AA- | $ | 5,375,000 | $ | 5,375,000 | |||
Chicago Capital Appreciation, 0% due 1/1/2016 (City Colleges; Insured: FGIC) | Aa3/AA- | 2,670,000 | 1,891,161 | |||||
Chicago Gas Supply, 4.75% due 3/1/2030 put 6/30/2014 (Peoples Gas Light & Coke) | A1/A- | 1,500,000 | 1,535,265 | |||||
Chicago GO, 6.125% due 1/1/2012 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,111,130 | |||||
Chicago GO, 5.375% due 1/1/2013 (Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,198,180 | |||||
Chicago Housing Authority Capital Program, 5.25% due 7/1/2010 (ETM) | Aaa/NR | 2,300,000 | 2,445,774 | |||||
Chicago Housing Authority Capital Program, 5.00% due 7/1/2015 (Insured: FSA) | Aaa/AAA | 8,460,000 | 9,231,975 | |||||
Chicago Housing Authority Capital Program, 5.00% due 7/1/2016 (Insured: FSA) (1) | Aaa/AAA | 2,000,000 | 2,178,840 | |||||
Chicago Metropolitan Water Reclamation District, 7.00% due 1/1/2011 (ETM) | Aaa/NR | 1,070,000 | 1,144,258 | |||||
Chicago Midway Airport, 5.40% due 1/1/2009 (Insured: MBIA) | Aaa/AAA | 1,340,000 | 1,349,822 | |||||
Chicago Midway Airport, 5.50% due 1/1/2013 (Insured: MBIA) | Aaa/AAA | 1,180,000 | 1,284,005 | |||||
Chicago Park District Parking Facility, 5.75% due 1/1/2010 (ETM) | Baa1/NR | 1,000,000 | 1,058,630 | |||||
Cook County, 6.25% due 11/15/2013 (Insured: MBIA) | Aaa/AAA | 3,995,000 | 4,627,249 | |||||
Cook County Community Consolidated School District GO, 0% due 12/1/2010 (Insured: FSA) | Aaa/NR | 2,000,000 | 1,863,280 | |||||
Cook County Community Consolidated School District GO, 9.00% due 12/1/2016 (Tinley Park; Insured: FGIC) | Baa3/NR | 2,500,000 | 3,348,950 | |||||
Cook County Community School District GO, 9.00% due 12/1/2013 (Oak Park; Insured: FGIC) | Aa3/NR | 2,250,000 | 2,877,592 | |||||
Du Page County Forest Preservation District, 0% due 11/1/2009 (Partial ETM) | Aaa/AAA | 5,000,000 | 4,801,650 | |||||
Illinois DFA, 6.00% due 11/15/2009 (Adventist Health; Insured: MBIA) | Aaa/AAA | 3,635,000 | 3,822,893 | |||||
Illinois DFA, 6.00% due 11/15/2010 (Adventist Health; Insured: MBIA) | Aaa/AAA | 3,860,000 | 4,153,823 | |||||
Illinois DFA Community Rehab Providers, 6.00% due 7/1/2015 | NR/BBB | 1,450,000 | 1,461,499 | |||||
Illinois DFA Multi Family Housing, 5.55% due 7/20/2008 (Collateralized: GNMA) | NR/AAA | 190,000 | 191,520 | |||||
Illinois DFA PCR, 5.70% due 1/15/2009 (Commonwealth Edison Co.; Insured: MBIA) | NR/AAA | 3,000,000 | 3,069,300 | |||||
Illinois Educational Facilities, 4.75% due 3/1/2030 put 3/1/2017 (Art Institute of Chicago) | A1/A+ | 2,300,000 | 2,311,546 | |||||
Illinois Financing Authority Student Housing, 5.00% due 5/1/2014 | Baa3/NR | 3,895,000 | 3,864,658 | |||||
Illinois HFA, 6.50% due 2/15/2009 (Iowa Health System) | Aa3/NR | 1,375,000 | 1,412,703 | |||||
Illinois HFA, 6.50% due 2/15/2010 (Iowa Health System) (ETM) | Aa3/NR | 1,465,000 | 1,542,000 | |||||
Illinois HFA, 6.00% due 2/15/2011 (Iowa Health System; Insured: AMBAC) (ETM) | Aaa/AAA | 1,560,000 | 1,672,757 | |||||
Illinois HFA, 5.50% due 11/15/2011 (Methodist Medical Center; Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,078,420 | |||||
Illinois HFA, 6.00% due 7/1/2017 (Lake Forest Hospital) | A3/A- | 1,500,000 | 1,582,470 | |||||
Illinois Hospital District, 5.50% due 1/1/2010 (Insured: FGIC) | Baa3/A | 1,040,000 | 1,087,403 | |||||
Illinois State GO, 5.00% due 10/1/2017 | Aa3/AA | 2,000,000 | 2,153,020 | |||||
Kane County Forest Preservation District, 5.00% due 12/15/2015 (Insured: FGIC) | Baa3/AA | 2,780,000 | 3,042,265 | |||||
Kane County Waubonsee Community College District GO, 0% due 12/15/2013 (Insured: FGIC) | Aa3/AA- | 3,000,000 | 2,341,830 | |||||
Lake County Community High School District, 0% due 12/1/2011 (Insured: FGIC) | Baa3/AA | 3,235,000 | 2,869,477 | |||||
McHenry & Kane Counties Community Consolidated School District, 0% due 1/1/2010 (Insured: FGIC) | Baa3/NR | 1,000,000 | 948,730 | |||||
McHenry & Kane Counties Community Consolidated School District, 0% due 1/1/2012 (Insured: FGIC) | Baa3/NR | 2,200,000 | 1,917,410 | |||||
Metropolitan Pier & Exposition Authority Dedicated State Tax, 0% due 6/15/2013 (McCormick; Insured: MBIA) | Aaa/AAA | 1,045,000 | 863,975 | |||||
Metropolitan Pier & Exposition Authority Dedicated State Tax, 0% due 6/15/2016 (McCormick; Insured: FGIC) | A1/NR | 11,295,000 | 7,925,137 | |||||
Naperville City, Du Page & Will Counties Economic Development, 6.10% due 5/1/2008 (Hospital & Health System Association; LOC: Bank One N.A.) | NR/AA | 675,000 | 676,546 | |||||
Quincy Illinois, 5.00% due 11/15/2014 (Blessing Hospital) | A3/A- | 1,000,000 | 1,046,370 | |||||
Quincy Illinois, 5.00% due 11/15/2016 (Blessing Hospital) | A3/A- | 1,000,000 | 1,033,690 | |||||
Southwestern Illinois Development Authority, 5.125% due 8/15/2016 (Anderson Hospital) | Baa2/BBB | 2,375,000 | 2,413,166 | |||||
INDIANA — 5.14% | ||||||||
Allen County Economic Development, 5.60% due 12/30/2009 (Indiana Institute of Technology) | NR/NR | 760,000 | 780,794 | |||||
Allen County Economic Development, 5.00% due 12/30/2012 (Indiana Institute of Technology) | NR/NR | 1,370,000 | 1,410,716 | |||||
Allen County Jail Building Corp. First Mortgage, 5.75% due 10/1/2010 (ETM) | Aa3/NR | 1,115,000 | 1,204,824 | |||||
Allen County Jail Building Corp. First Mortgage, 5.00% due 10/1/2014 (Insured: XLCA) | Aa3/NR | 1,000,000 | 1,073,600 | |||||
Allen County Jail Building Corp. First Mortgage, 5.00% due 10/1/2015 (Insured: XLCA) | Aa3/NR | 1,480,000 | 1,588,469 | |||||
Allen County Jail Building Corp. First Mortgage, 5.00% due 10/1/2016 (Insured: XLCA) | Aa3/NR | 1,520,000 | 1,621,582 |
20 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Allen County Redevelopment District, 5.00% due 11/15/2016 | A3/NR | $ | 1,000,000 | $ | 1,038,980 | |||
Ball State University Student Fee, 5.75% due 7/1/2012 (Insured: FGIC) | A1/A+ | 1,000,000 | 1,082,390 | |||||
Boonville Junior High School Building Corp., 0% due 7/1/2010 (State Aid Withholding) | NR/A | 850,000 | 788,256 | |||||
Boonville Junior High School Building Corp., 0% due 1/1/2011 (State Aid Withholding) | NR/A | 850,000 | 768,689 | |||||
Boonville Junior High School Building Corp., 0% due 7/1/2011 (State Aid Withholding) | NR/A | 950,000 | 841,140 | |||||
Carmel Redevelopment Authority Lease Performing Arts, 0% due 2/1/2015 | Aa2/AA | 1,575,000 | 1,179,171 | |||||
Center Grove Building Corp., 5.00% due 7/15/2010 (Insured: AMBAC) (ETM) | Aaa/AAA | 1,135,000 | 1,201,579 | |||||
Dekalb County Redevelopment Authority Lease Rental, 5.25% due 1/15/2014 (Mini Mill Local Public Improvement; Insured: XLCA) | A3/A- | 1,000,000 | 1,050,210 | |||||
Eagle Union Middle School Building Corp., 5.50% due 7/15/2009 (ETM) | Aaa/AAA | 910,000 | 953,161 | |||||
Elberfeld J.H. Castle School Building Corp., 0% due 7/5/2008 (Insured: MBIA) | NR/AAA | 1,860,000 | 1,848,617 | |||||
Evansville Vanderburgh, 5.00% due 7/15/2014 (Insured:AMBAC) | Aaa/AAA | 1,000,000 | 1,081,500 | |||||
Evansville Vanderburgh, 5.00% due 7/15/2015 (Insured:AMBAC) | Aaa/AAA | 1,000,000 | 1,082,870 | |||||
Huntington Economic Development, 6.15% due 11/1/2008 (United Methodist Membership) | NR/NR | 365,000 | 366,938 | |||||
Huntington Economic Development, 6.20% due 11/1/2010 (United Methodist Membership) | NR/NR | 790,000 | 801,676 | |||||
Indiana Bond Bank, 5.25% due 10/15/2016 (Special Gas Program) | Aa2/NR | 1,500,000 | 1,521,705 | |||||
Indiana Multi School Building Corp. First Mortgage, 5.00% due 7/15/2016 (Insured: MBIA) | Aaa/AAA | 5,000,000 | 5,447,800 | |||||
Indiana State Educational Facilities Authority, 5.75% due 10/1/2009 (University of Indianapolis) | NR/A- | 670,000 | 694,428 | |||||
Indiana State Finance Authority, 5.00% due 11/1/2018 | Aa3/AA | 2,000,000 | 2,100,580 | |||||
Indiana State Finance Authority, Forensic & Health Science, 5.00% due 7/1/2016 (Insured: MBIA) | Aaa/AAA | 1,030,000 | 1,122,103 | |||||
Indianapolis Local Public Improvement Bond, 5.00% due 1/1/2015 (Waterworks; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,088,180 | |||||
Indianapolis Local Public Improvement Bond, 5.00% due 7/1/2015 (Waterworks; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,091,250 | |||||
Indianapolis Local Public Improvement Bond, 5.00% due 7/1/2016 (Insured: FGIC) | Aa2/AA | 1,030,000 | 1,106,951 | |||||
Knox Middle School Building Corp. First Mortgage, 6.00% due 7/15/2008 (Insured: FGIC) | Baa3/NR | 440,000 | 444,532 | |||||
Knox Middle School Building Corp. First Mortgage, 6.00% due 7/15/2009 (Insured: FGIC) | Baa3/NR | 455,000 | 474,497 | |||||
Madison Schools Lydia Middleton Building Corp., 5.00% due 7/15/2014 (Insured: FGIC) | Baa3/AA | 1,200,000 | 1,307,688 | |||||
Madison Schools Lydia Middleton Building Corp., 5.00% due 7/15/2015 (Insured: FGIC) | Baa3/AA | 1,250,000 | 1,362,762 | |||||
Mount Vernon of Hancock County First Mortgage, 5.00% due 7/15/2013 (Insured: MBIA) | Aaa/AAA | 1,055,000 | 1,136,457 | |||||
Mount Vernon of Hancock County First Mortgage, 5.00% due 7/15/2014 (Insured: MBIA) | Aaa/AAA | 1,135,000 | 1,226,175 | |||||
Mount Vernon of Hancock County First Mortgage, 5.00% due 7/15/2015 (Insured: MBIA) | Aaa/AAA | 1,140,000 | 1,232,956 | |||||
Noblesville Redevelopment Authority, 5.00% due 8/1/2016 (146th Street Extension A) | NR/A+ | 1,660,000 | 1,704,272 | |||||
Perry Township Multi School Building, 5.00% due 7/10/2014 (Insured: FSA) | Aaa/NR | 2,130,000 | 2,330,965 | |||||
Peru Community School Corp. First Mortgage, 0% due 7/1/2010 (State Aid Withholding) | NR/A | 835,000 | 774,346 | |||||
Plainfield Community High School Building Corp. First Mortgage, 5.00% due 1/15/2015 (Insured: FGIC) | Baa3/A | 1,445,000 | 1,547,638 | |||||
Warren Township Vision 2005, 5.00% due 7/10/2015 (Insured: FGIC) | Baa3/AA | 2,095,000 | 2,272,321 | |||||
Wawasee Community School Corp. First Mortgage, 5.50% due 7/15/2010 (State Aid Withholding) (ETM) | NR/AA | 995,000 | 1,064,381 | |||||
Wawasee Community School Corp. First Mortgage, 5.50% due 7/15/2011 (State Aid Withholding) (ETM) | NR/AA | 1,095,000 | 1,193,605 | |||||
West Clark 2000 School Building Corp., 5.25% due 1/15/2014 (Insured: MBIA) | Aaa/AAA | 1,335,000 | 1,467,258 | |||||
West Clark School Building Corp. First Mortgage, 5.75% due 7/15/2011 (State Aid Withholding) | Baa3/AA | 2,080,000 | 2,267,866 | |||||
IOWA — 1.87% | ||||||||
Ankeny Community School District Sales & Services Tax, 5.00% due 7/1/2010 | NR/AA- | 2,900,000 | 3,054,947 | |||||
Des Moines Limited Obligation, 4.40% due 12/1/2015 put 12/1/2011 (Des Moines Parking Associates; LOC: Wells Fargo Bank) | NR/NR | 2,770,000 | 2,770,970 | |||||
Dubuque Community School District, 5.00% due 1/1/2013 | NR/NR | 1,600,000 | 1,633,312 | |||||
Dubuque Community School District, 5.00% due 7/1/2013 | NR/NR | 1,640,000 | 1,673,440 | |||||
Iowa Finance Authority, 6.50% due 2/15/2009 (Iowa Health Services) | Aa3/NR | 1,825,000 | 1,878,217 | |||||
Iowa Finance Authority, 6.50% due 2/15/2010 (Iowa Health Services) | Aa3/NR | 2,955,000 | 3,122,962 | |||||
Iowa Finance Authority, 5.75% due 12/1/2010 (Trinity Health) | Aa2/AA | 3,295,000 | 3,457,443 | |||||
Iowa Finance Authority, 6.00% due 2/15/2011 pre-refunded 2/15/2010 (Iowa Health Services; Insured: AMBAC) | Aaa/AAA | 3,145,000 | 3,377,730 |
Certified Semi-Annual Report 21
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
KANSAS — 0.89% | ||||||||
Burlington Environmental Improvement, 5.374% due 9/1/2035 put 4/1/2013 (Kansas City Power & Light; Insured: FGIC) | A3/A | $ | 10,000,000 | $ | 9,989,200 | |||
KENTUCKY — 1.43% | ||||||||
Kentucky Economic DFA, 5.35% due 10/1/2009 (Norton Healthcare; Insured: MBIA) (ETM) | Aaa/AAA | 2,835,000 | 2,976,381 | |||||
Kentucky Economic DFA, 5.35% due 10/1/2009 (Norton Healthcare; Insured: MBIA) | Aaa/AAA | 4,565,000 | 4,758,830 | |||||
Kentucky Economic DFA, 5.40% due 10/1/2010 (Norton Healthcare; Insured: MBIA) (ETM) | Aaa/AAA | 3,775,000 | 4,044,422 | |||||
Kentucky Economic DFA, 5.40% due 10/1/2010 (Norton Healthcare; Insured MBIA) | Aaa/AAA | 4,055,000 | 4,328,104 | |||||
LOUISIANA — 2.93% | ||||||||
East Baton Rouge Sewer, 5.00% due 2/1/2018 (Insured: FSA) | Aaa/AAA | 3,000,000 | 3,209,670 | |||||
Louisiana Environmental Facilities & Community Development Authority Multi Family, 5.00% due 9/1/2012 (Bellemont Apartments) | Baa3/NR | 910,000 | 909,963 | |||||
Louisiana Public Facilities Authority, 5.75% due 10/1/2008 (Loyola University) | A1/A+ | 1,000,000 | 1,013,450 | |||||
Louisiana Public Facilities Authority, 5.375% due 12/1/2008 (Wynhoven Health Care Center; Guaranty: Archdiocese of New Orleans) | NR/NR | 500,000 | 497,075 | |||||
Louisiana Public Facilities Authority Revenue, 5.00% due 5/15/2014 (Ochsner Clinic Foundation) | A3/NR | 1,000,000 | 1,037,280 | |||||
Louisiana Public Facilities Authority Revenue, 5.00% due 5/15/2015 (Ochsner Clinic Foundation) | A3/NR | 1,825,000 | 1,883,363 | |||||
Louisiana Public Facilities Authority Revenue, 5.00% due 5/15/2016 (Ochsner Clinic Foundation) | A3/NR | 1,000,000 | 1,023,400 | |||||
Louisiana Public Facilities Authority Revenue, 5.00% due 5/15/2017 (Ochsner Clinic Foundation) | A3/NR | 1,035,000 | 1,054,686 | |||||
Louisiana Public Facilities Authority Revenue, 5.00% due 5/15/2018 (Ochsner Clinic Foundation) | A3/NR | 1,000,000 | 1,006,500 | |||||
Louisiana State Citizens Property Insurance Corp., 5 .00% due 6/1/2015 (Insured: AMBAC) | Aaa/AAA | 5,000,000 | 5,234,050 | |||||
Louisiana State GO, 5.50% due 11/15/2008 (Insured: FGIC) | A2/A | 1,980,000 | 2,019,105 | |||||
Louisiana State GO, 5.00% due 8/1/2017 (Insured: MBIA) | Aaa/AAA | 4,000,000 | 4,245,320 | |||||
Louisiana State Offshore Terminal Authority, 4.25% due 10/1/2037 put 10/1/2010 (Deepwater Port Loop LLC) | A3/A | 4,200,000 | 4,312,182 | |||||
Monroe Sales Tax Increment Garrett Road Economic Development Area, 5.00% due 3/1/2017 (Insured: Radian) | Aa3/AA | 1,505,000 | 1,529,291 | |||||
Morehouse Parish PCR, 5.25% due 11/15/2013 (International Paper Co.) | Baa3/BBB | 2,400,000 | 2,439,528 | |||||
Regional Transportation Authority, 8.00% due 12/1/2011 (Insured: FGIC) | Baa3/NR | 1,250,000 | 1,440,450 | |||||
MARYLAND — 0.17% | ||||||||
Maryland Health & Higher Educational Facilities, 5.00% due 1/1/2017 (Washington County Hospital) | NR/BBB- | 1,000,000 | 992,240 | |||||
Maryland Health & Higher Educational Facilities, 5.00% due 1/1/2018 (Washington County Hospital) | NR/BBB- | 1,000,000 | 976,560 | |||||
MASSACHUSETTS — 3.66% | ||||||||
Massachusetts DFA Resource Recovery, 5.50% due 1/1/2011 (Seamass Partnership; Insured: MBIA) | Aaa/AAA | 3,470,000 | 3,674,557 | |||||
Massachusetts GO, 6.00% due 11/1/2008 | Aa2/AA | 1,000,000 | 1,024,240 | |||||
Massachusetts GO Construction Loan, 5.00% due 9/1/2015 | Aa2/AA | 10,000,000 | 10,965,300 | |||||
Massachusetts Health & Educational Facilities Authority, 5.00% due 10/1/2011 (Berkshire Health Systems; Insured: Assured Guaranty) | NR/AAA | 2,345,000 | 2,506,969 | |||||
Massachusetts Health & Educational Facilities Authority, 5.375% due 5/15/2012 (New England Medical Center Hospital; Insured: FGIC) (ETM) | Baa3/NR | 3,415,000 | 3,743,147 | |||||
Massachusetts Health & Educational Facilities Authority, 5.00% due 10/1/2012 (Berkshire Health Systems; Insured: Assured Guaranty) | NR/AAA | 2,330,000 | 2,510,039 | |||||
Massachusetts Health & Educational Facilities Authority, 5.00% due 10/1/2013 (Berkshire Health Systems; Insured: Assured Guaranty) | NR/AAA | 3,215,000 | 3,476,926 | |||||
Massachusetts Industrial Finance Agency Biomedical, 0% due 8/1/2008 | Aa2/AA- | 1,000,000 | 992,430 | |||||
Massachusetts Industrial Finance Agency Biomedical, 0% due 8/1/2010 | Aa2/AA- | 13,000,000 | 12,163,710 |
22 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
MICHIGAN — 4.48% | ||||||||
Dickinson County Economic Development Corp. Environmental Impact, 5.75% due 6/1/2016 (International Paper Co.) | Baa3/BBB | $ | 3,715,000 | $ | 3,768,161 | |||
Dickinson County Healthcare Systems, 5.50% due 11/1/2013 (Insured: ACA) | NR/NR | 2,205,000 | 2,250,313 | |||||
Grand Valley Michigan State University, 8.00% due 12/1/2033 put 4/7/2008 (Insured: AMBAC) (weekly demand notes) | Aaa/A-1+ | 10,000,000 | 10,000,000 | |||||
Gull Lake Community School District GO, 0% due 5/1/2013 (Insured: FGIC) | Baa3/NR | 3,000,000 | 2,321,070 | |||||
Kent Hospital Finance Authority, 5.25% due 1/15/2047 put 1/15/2014 (Spectrum Health) (2) | Aa3/AA | 2,000,000 | 2,067,320 | |||||
Michigan HFA, 5.375% due 7/1/2012 (Port Huron Hospital; Insured: FSA) | Aaa/AAA | 1,710,000 | 1,713,608 | |||||
Michigan State Building Authority, 5.00% due 10/15/2015 (Insured: AMBAC) | Aaa/AAA | 6,000,000 | 6,497,880 | |||||
Michigan State COP, 5.00% due 9/1/2031 put 9/1/2011 (Insured: MBIA) | Aaa/AAA | 6,000,000 | 6,307,020 | |||||
Michigan State HFA, 5.00% due 11/15/2017 (Sparrow Memorial Hospital) | A1/A+ | 1,000,000 | 1,044,210 | |||||
Michigan State Strategic Fund, 5.00% due 10/15/2017 (Insured: Assured Guaranty) | Aaa/AAA | 2,000,000 | 2,134,540 | |||||
Michigan State Strategic Fund, 4.85% due 9/1/2030 put 9/1/2011 (Detroit Edison Co.; Insured: AMBAC) | Aaa/NR | 2,075,000 | 2,164,412 | |||||
Northern Michigan University, 8.50% due 6/1/2031 put 4/1/2008 (Insured: FGIC) (daily demand notes) | A2/AAA | 10,000,000 | 10,000,000 | |||||
MINNESOTA — 1.09% | ||||||||
Dakota County Community Development Agency Multi Family Housing, 5.00% due 11/1/2017 (Commons on Marice) | NR/NR | 1,150,000 | 1,077,401 | |||||
Minneapolis St. Paul Health Care Systems, 5.25% due 12/1/2012 (Healthpartners Obligated Group) | Baa1/BBB | 1,000,000 | 1,047,470 | |||||
Minneapolis St. Paul Health Care Systems, 5.25% due 12/1/2013 (Healthpartners Obligated Group) | Baa1/BBB | 1,500,000 | 1,570,125 | |||||
Minneapolis St. Paul Metropolitan Airports, 5.00% due 1/1/2017 (Insured: AMBAC) | Aaa/AAA | 8,005,000 | 8,547,979 | |||||
MISSISSIPPI — 0.23% | ||||||||
Gautier Utility District Systems, 5.50% due 3/1/2012 (Insured: FGIC) | Baa3/NR | 1,020,000 | 1,096,235 | |||||
Mississippi Development Bank Public Improvement GO, 4.75% due 7/1/2017 | NR/NR | 1,565,000 | 1,517,033 | |||||
MISSOURI — 0.21% | ||||||||
Missouri Development Finance Board Healthcare Facilities, 4.80% due 11/1/2012 (Lutheran Home Aged; LOC: Commerce Bank) | Aa2/NR | 1,275,000 | 1,313,849 | |||||
Missouri State Health & Educational Facilities Authority, 5.00% due 6/1/2011 (SSM Healthcare Corp.) | NR/AA- | 1,000,000 | 1,056,130 | |||||
MONTANA — 1.62% | ||||||||
Forsyth PCR, 5.00% due 10/1/2032 put 12/30/2008 (Avista Corp.; Insured: AMBAC) | Aaa/AAA | 11,440,000 | 11,543,303 | |||||
Forsyth PCR, 5.20% due 5/1/2033 put 5/1/2009 (Portland General) | Baa1/A | 4,385,000 | 4,448,013 | |||||
Montana Facilities Finance Authority, 5.00% due 1/1/2015 (Benefis Health Systems; Insured: Assured Guaranty) | NR/AAA | 1,000,000 | 1,076,970 | |||||
Montana Facilities Finance Authority, 5.00% due 1/1/2016 (Benefis Health Systems; Insured: Assured Guaranty) | NR/AAA | 1,000,000 | 1,073,600 | |||||
NEBRASKA — 0.77% | ||||||||
Madison County Hospital Authority, 5.25% due 7/1/2010 (Faith Regional Health Services; Insured: Radian) | NR/AA | 1,455,000 | 1,510,479 | |||||
Madison County Hospital Authority, 5.50% due 7/1/2012 (Faith Regional Health Services; Insured: Radian) | NR/AA | 1,625,000 | 1,705,535 | |||||
Omaha Public Power District Electric Systems B, 5.00% due 2/1/2013 | Aa1/AA | 5,000,000 | 5,404,400 | |||||
NEVADA — 0.97% | ||||||||
Clark County District 121, 5.00% due 12/1/2015 (Insured: AMBAC) | Aaa/AAA | 1,945,000 | 2,088,833 | |||||
Clark County School District GO, 5.00% due 6/15/2015 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,078,210 | |||||
Las Vegas Special Local Improvement District 707, 5.125% due 6/1/2011 (Insured: FSA) | Aaa/AAA | 1,630,000 | 1,669,006 | |||||
Nevada Housing Division Multi Family Housing, 4.80% due 4/1/2008 (Collateralized: FNMA) | NR/AAA | 205,000 | 205,000 | |||||
Sparks Redevelopment Agency Tax Allocation, 5.75% due 1/15/2010 (Insured: Radian) | NR/AA | 1,000,000 | 1,034,250 | |||||
Sparks Redevelopment Agency Tax Allocation, 5.75% due 1/15/2011 (Insured: Radian) | NR/AA | 1,285,000 | 1,335,873 |
Certified Semi-Annual Report 23
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Washoe County School District, 5.50% due 6/1/2008 (Insured: FSA) | Aaa/AAA | $ | 3,500,000 | $ | 3,521,385 | |||
NEW HAMPSHIRE — 0.94% | ||||||||
Manchester Housing & Redevelopment Authority, 6.05% due 1/1/2012 (Insured: ACA) | Baa3/NR | 1,500,000 | 1,536,765 | |||||
New Hampshire Health & Educational Facilities Medical Centers, 5.00% due 10/1/2016 (Southern NH Health Systems) | NR/A- | 1,260,000 | 1,288,451 | |||||
New Hampshire Health & Educational Facilities Medical Centers, 5.00% due 10/1/2017 (Southern NH Health Systems) | NR/A- | 1,000,000 | 1,018,170 | |||||
New Hampshire Municipal Bond Bank, 5.00% due 8/15/2016 (Insured: MBIA) | Aaa/AAA | 2,985,000 | 3,271,082 | |||||
New Hampshire Municipal Bond Bank, 5.00% due 8/15/2017 (Insured: MBIA) | Aaa/AAA | 3,130,000 | 3,426,036 | |||||
NEW JERSEY — 2.41% | ||||||||
Hudson County COP, 7.00% due 12/1/2012 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,167,850 | |||||
Hudson County COP, 6.25% due 12/1/2014 (Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,747,665 | |||||
New Jersey EDA, 5.00% due 11/15/2011 (Seabrook Village) | NR/NR | 1,000,000 | 991,790 | |||||
New Jersey EDA, 5.00% due 11/15/2014 (Seabrook Village) | NR/NR | 1,000,000 | 977,910 | |||||
New Jersey EDA Cigarette Tax Revenue, 5.00% due 6/15/2012 (Insured: FGIC) | Baa2/BBB | 7,375,000 | 7,819,786 | |||||
New Jersey State Transit Corp. COP, 5.25% due 9/15/2013 (Insured: AMBAC) | Aaa/AAA | 5,000,000 | 5,443,500 | |||||
New Jersey State Transit Corp. COP, 5.50% due 9/15/2013 (Insured: AMBAC) | Aaa/AAA | 7,650,000 | 8,422,880 | |||||
Tobacco Settlement Financing Corp, 6.125% due 6/1/2024 refunded to various dates | Aaa/AAA | 500,000 | 533,025 | |||||
NEW MEXICO — 0.68% | ||||||||
Belen Consolidated School District GO, 4.00% due 8/1/2008 (Insured: MBIA) | Aaa/NR | 1,000,000 | 1,007,250 | |||||
New Mexico Finance Authority State Office Building Tax, 5.00% due 6/1/2013 pre-refunded 6/1/2011 | Aa1/AAA | 1,325,000 | 1,420,480 | |||||
New Mexico Highway Commission Tax, 5.00% due 6/15/2011 (Insured: AMBAC) (ETM) | Aaa/AAA | 4,865,000 | 5,209,928 | |||||
NEW YORK — 4.73% | ||||||||
Hempstead Town IDA Resource Recovery, 5.00% due 12/1/2008 (American Ref-Fuel; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,012,600 | |||||
Monroe County IDA, 5.375% due 6/1/2017 (St. John Fisher College; Insured: Radian) | NR/AA | 3,705,000 | 3,789,770 | |||||
New York City Housing Development Corp. Multi Family Housing, 5.50% due 11/1/2009 (Insured: FHA) | Aa2/AA | 185,000 | 185,363 | |||||
New York City IDA, 5.25% due 6/1/2011 (Lycee Francais de New York; Insured: ACA) | Baa1/NR | 2,215,000 | 2,263,376 | |||||
New York City IDA, 5.25% due 6/1/2012 (Lycee Francais de New York; Insured: ACA) | Baa1/NR | 2,330,000 | 2,384,009 | |||||
New York City Transitional Finance Authority Facilities, 5.00% due 11/1/2012 | Aa1/AAA | 5,000,000 | 5,453,550 | |||||
New York City Transitional Finance Authority Facilities, 5.00% due 11/1/2014 | Aa1/AAA | 2,000,000 | 2,203,400 | |||||
New York City Transitional Finance Authority Facilities, 5.00% due 11/1/2015 | Aa1/AAA | 1,500,000 | 1,656,045 | |||||
New York Dormitory Authority Mental Health Services Facilities Improvement, 5.00% due 8/15/2010 (Insured: MBIA) | Aaa/AAA | 1,600,000 | 1,683,248 | |||||
New York State Dormitory Authority, 5.50% due 7/1/2012 (South Nassau Community Hospital) | Baa1/NR | 1,820,000 | 1,928,527 | |||||
New York State Dormitory Authority, 5.50% due 7/1/2013 (South Nassau Community Hospital) | Baa1/NR | 1,500,000 | 1,595,280 | |||||
New York State Dormitory Authority, 5.25% due 11/15/2026 put 5/15/2012 (Insured: AMBAC) | Aaa/AAA | 4,000,000 | 4,258,160 | |||||
New York State Dormitory Authority Aids Long Term Health Facilities, 5.00% due 11/1/2012 (Insured: SONYMA) | Aa1/NR | 2,000,000 | 2,091,060 | |||||
New York State Dormitory Authority Aids Long Term Health Facilities, 5.00% due 11/1/2013 (Insured: SONYMA) | Aa1/NR | 4,600,000 | 4,809,438 | |||||
New York State Dormitory Authority Aids Long Term Health Facilities, 5.00% due 11/1/2014 (Insured: SONYMA) | Aa1/NR | 1,500,000 | 1,568,295 | |||||
New York State Dormitory Authority Hospital, 5.25% due 8/15/2013 (Presbyterian Hospital; Insured: FHA & FSA) | Aaa/AAA | 3,650,000 | 4,025,037 | |||||
New York State Thruway Authority Service Contract, 5.50% due 4/1/2013 (Local Highway & Bridge; Insured: XLCA) | A1/A- | 1,000,000 | 1,088,970 | |||||
Oneida County IDA, 6.00% due 1/1/2009 (Faxton Hospital; Insured: Radian) | NR/AA | 710,000 | 723,668 | |||||
Port Authority 148th, 5.00% due 8/15/2017 (Insured: FSA) | Aaa/AAA | 4,725,000 | 5,203,217 |
24 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Tobacco Settlement Financing Corp. Asset Backed, 5.25% due 6/1/2012 (Secured: State Contingency Contract) | A1/AA- | $ | 40,000 | $ | 40,057 | |||
Tobacco Settlement Financing Corp. Asset Backed, 5.25% due 6/1/2013 | A1/AA- | 3,160,000 | 3,168,026 | |||||
Tobacco Settlement Financing Corp. Asset Backed, 5.25% due 6/1/2013 (Insured: XLCA) | A1/AA- | 2,000,000 | 2,003,540 | |||||
NORTH CAROLINA — 2.40% | ||||||||
Charlotte Mecklenberg Hospital Authority Health Care Systems, 5.00% due 1/15/2016 | Aa3/AA- | 3,420,000 | 3,615,761 | |||||
Charlotte Mecklenberg Hospital Authority Health Care Systems, 5.00% due 1/15/2017 | Aa3/AA- | 2,000,000 | 2,102,640 | |||||
North Carolina Eastern Municipal Power Agency Power Systems, 5.375% due 1/1/2011 | Baa1/BBB | 3,000,000 | 3,099,120 | |||||
North Carolina Eastern Municipal Power Agency Power Systems, 5.25% due 1/1/2012 | Baa1/BBB | 650,000 | 672,724 | |||||
North Carolina Eastern Municipal Power Agency Power Systems, 5.50% due 1/1/2012 | Baa1/BBB | 1,100,000 | 1,147,894 | |||||
North Carolina Eastern Municipal Power Agency Power Systems, 5.25% due 1/1/2013 | Baa1/BBB | 1,055,000 | 1,093,908 | |||||
North Carolina Infrastructure Finance Corp. COP, 5.00% due 2/1/2017 (Correctional Facilities) | Aa1/AA+ | 2,400,000 | 2,544,912 | |||||
North Carolina Municipal Power Agency, 6.00% due 1/1/2010 (Catawba Electric; Insured: MBIA) | Aaa/AAA | 2,400,000 | 2,530,560 | |||||
North Carolina Municipal Power Agency, 5.50% due 1/1/2013 (Catawba Electric) | A3/A- | 2,505,000 | 2,664,819 | |||||
North Carolina Municipal Power Agency, 6.375% due 1/1/2013 (Catawba Electric) | A3/A- | 1,000,000 | 1,063,630 | |||||
North Carolina State Infrastructure Finance Corp. COP, 5.00% due 2/1/2016 (Correctional Facilities) | Aa1/AA+ | 5,000,000 | 5,339,350 | |||||
University of North Carolina Systems Pool, 5.00% due 4/1/2012 (Insured: AMBAC) | Aaa/AAA | 1,030,000 | 1,113,358 | |||||
NORTH DAKOTA — 0.14% | ||||||||
Ward County Health Care Facilities, 5.00% due 7/1/2013 (Trinity Obligated Group) | NR/BBB+ | 1,560,000 | 1,601,870 | |||||
OHIO — 2.34% | ||||||||
Akron COP, 5.00% due 12/1/2013 (Insured: Assured Guaranty) | NR/AAA | 3,000,000 | 3,265,200 | |||||
Akron COP, 5.00% due 12/1/2014 (Insured: Assured Guaranty) | NR/AAA | 2,000,000 | 2,180,020 | |||||
Cleveland Cuyahoga County Port Authority, 6.00% due 11/15/2010 | NR/NR | 2,015,000 | 2,079,843 | |||||
Greater Cleveland Regional Transportation Authority GO, 5.00% due 12/1/2015 (Insured: MBIA) | Aaa/NR | 1,000,000 | 1,102,530 | |||||
Hudson City Library Improvement, 6.35% due 12/1/2011 | Aa1/NR | 1,400,000 | 1,548,036 | |||||
Lorain County Hospital, 6.00% due 9/1/2008 (Catholic Healthcare Partners; Insured: MBIA) | Aaa/AAA | 1,200,000 | 1,218,372 | |||||
Mahoning Valley Sanitary District, 5.85% due 11/15/2008 (Insured: FSA) | Aaa/AAA | 1,300,000 | 1,332,734 | |||||
Mahoning Valley Sanitary District, 5.90% due 11/15/2009 (Insured: FSA) | Aaa/AAA | 770,000 | 814,768 | |||||
Montgomery County, 6.00% due 12/1/2008 (Catholic Health Initiatives) | Aa2/AA | 2,250,000 | 2,305,597 | |||||
Montgomery County, 6.00% due 12/1/2009 (Catholic Health Initiatives) | Aa2/AA | 2,385,000 | 2,515,126 | |||||
Montgomery County, 6.00% due 12/1/2010 (Catholic Health Initiatives) | Aa2/AA | 1,530,000 | 1,645,224 | |||||
Ohio State Unlimited Tax GO, 5.75% due 6/15/2010 pre-refunded 6/15/2009 | Aa1/AA+ | 5,000,000 | 5,239,300 | |||||
Reading Development, 6.00% due 2/1/2009 (St. Mary’s Educational Institute; Insured: Radian) | NR/AA | 975,000 | 995,358 | |||||
OKLAHOMA — 1.01% | ||||||||
Comanche County Hospital Authority, 5.00% due 7/1/2011 (Insured: Radian) | Aa3/AA | 1,000,000 | 1,032,290 | |||||
Comanche County Hospital Authority, 5.25% due 7/1/2015 (Insured: Radian) | Aa3/AA | 1,340,000 | 1,400,648 | |||||
Jenks Aquarium Authority First Mortgage, 5.50% due 7/1/2010 (ETM) | Aaa/NR | 325,000 | 336,785 | |||||
Oklahoma DFA Health Facilities, 5.75% due 6/1/2011 (Insured: AMBAC) | Aaa/AAA | 740,000 | 808,827 | |||||
Oklahoma DFA Hospital, 5.25% due 12/1/2011 (Duncan Regional Hospital) | NR/A | 1,215,000 | 1,273,855 | |||||
Oklahoma DFA Hospital, 5.00% due 10/1/2012 (Unity Health Center) | NR/A- | 1,070,000 | 1,123,104 | |||||
Oklahoma DFA Hospital, 5.25% due 12/1/2012 (Duncan Regional Hospital) | NR/A | 1,330,000 | 1,405,278 | |||||
Oklahoma DFA Hospital, 5.25% due 12/1/2013 (Duncan Regional Hospital) | NR/A | 1,350,000 | 1,428,422 | |||||
Oklahoma State Industrial Health Authority, 6.00% due 8/15/2010 pre-refunded 8/15/2009 (Integris Health Systems; Insured: MBIA) | Aaa/AAA | 190,000 | 202,462 | |||||
Oklahoma State Industrial Health Authority, 6.00% due 8/15/2010 pre-refunded 8/15/2009 (Integris Health Systems; Insured: MBIA) | Aaa/AAA | 2,150,000 | 2,291,018 |
Certified Semi-Annual Report 25
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
OREGON — 0.55% | ||||||||
Clackamas County HFA, 5.00% due 5/1/2008 (Legacy Health Systems) | A1/AA- | $ | 4,000,000 | $ | 4,009,080 | |||
Oregon State Department Administrative Services COP, 5.00% due 11/1/2014 (Insured: FGIC) | Aa3/AA- | 1,000,000 | 1,083,210 | |||||
Oregon State Department Administrative Services COP, 5.00% due 11/1/2015 (Insured: FGIC) | Aa3/AA- | 1,000,000 | 1,081,810 | |||||
PENNSYLVANIA — 1.80% | ||||||||
Allegheny County Hospital Development, 6.30% due 5/1/2009 (South Hills Health System) (ETM) | Baa1/NR | 795,000 | 813,818 | |||||
Chester County School Authority, 5.00% due 4/1/2016 (Intermediate School; Insured: AMBAC) | NR/AAA | 1,915,000 | 2,057,936 | |||||
Geisinger Authority Health Systems, 5.50% due 8/15/2009 | Aa2/AA | 1,000,000 | 1,020,340 | |||||
Northampton County IDA, 5.35% due 7/1/2010 (Moravian Hall Square; Insured: Radian) | NR/AA | 1,200,000 | 1,201,560 | |||||
Philadelphia Gas Works, 5.00% due 9/1/2014 (Insured: FSA) | Aaa/AAA | 3,000,000 | 3,265,530 | |||||
Philadelphia Gas Works, 5.00% due 9/1/2015 (Insured: FSA) | Aaa/AAA | 3,315,000 | 3,572,774 | |||||
Pittsburgh, 5.00% due 9/1/2012 (Insured: MBIA) | Aaa/AAA | 3,415,000 | 3,636,804 | |||||
Pittsburgh, 5.50% due 9/1/2014 (Insured: AMBAC) | Aaa/AAA | 2,000,000 | 2,115,340 | |||||
Sayre HFA, 5.25% due 7/1/2011 (Latrobe Area Hospital; Insured: AMBAC) (ETM) | Aaa/AAA | 1,400,000 | 1,496,334 | |||||
Sayre HFA, 5.25% due 7/1/2012 (Latrobe Area Hospital; Insured: AMBAC) (ETM) | Aaa/AAA | 1,000,000 | 1,078,330 | |||||
PUERTO RICO — 0.09% | ||||||||
Puerto Rico Commonwealth Highway & Transportation Authority, 5.00% due 7/1/2008 (Insured: FGIC) | Baa2/A- | 1,000,000 | 1,005,680 | |||||
RHODE ISLAND — 0.75% | ||||||||
Providence GO, 5.50% due 1/15/2012 (Insured: FGIC) | A3/A | 1,880,000 | 2,023,783 | |||||
Rhode Island COP, 5.00% due 10/1/2014 (Providence Plantations; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,083,810 | |||||
Rhode Island State Economic Development Corp., 5 .75% due 7/1/2010 (Providence Place Mall; Insured: Radian) | NR/AA | 1,560,000 | 1,610,700 | |||||
Rhode Island State Health & Education Building Corp., 4 .50% due 9/1/2009 (Butler Hospital; LOC: Bank of America) | NR/AA+ | 1,960,000 | 2,031,011 | |||||
Rhode Island State Health & Education Building Corp., 5 .25% due 7/1/2014 (Memorial Hospital; LOC: Fleet Bank) | NR/AA+ | 1,565,000 | 1,671,983 | |||||
SOUTH CAROLINA — 1.22% | ||||||||
Georgetown County Environmental Improvement, 5.70% due 4/1/2014 (International Paper Co.) | Baa3/BBB | 7,975,000 | 8,242,960 | |||||
Greenville County School District Building Equity Sooner Tomorrow, 5.25% due 12/1/2015 | Aa3/AA- | 1,000,000 | 1,072,980 | |||||
Greenwood County Hospital Facilities, 5.00% due 10/1/2013 (Self Regional Healthcare; Insured: FSA) | Aaa/AAA | 2,000,000 | 2,165,040 | |||||
Greenwood Fifty Facilities School District, 5.00% due 12/1/2015 (Insured: Assured Guaranty) | Aaa/AAA | 1,000,000 | 1,095,480 | |||||
Greenwood Fifty Facilities School District, 5.00% due 12/1/2016 (Insured: Assured Guaranty) | Aaa/AAA | 1,000,000 | 1,092,250 | |||||
SOUTH DAKOTA — 0.11% | ||||||||
South Dakota State Health & Educational Facilities Authority, 5.50% due 9/1/2011 (Rapid City Regional Hospital; Insured: MBIA) | Aaa/AAA | 1,100,000 | 1,186,042 | |||||
TENNESSEE — 1.94% | ||||||||
Knox County Health, Educational, & Housing Facilities, 5.00% due 4/1/2017 (University Health Systems) | NR/BBB+ | 3,130,000 | 3,100,954 | |||||
Metro Government Nashville Multi Family, 7.50% due 11/15/2010 pre-refunded 5/15/2010 | Aaa/AAA | 2,000,000 | 2,211,720 | |||||
Metro Government Nashville Water & Sewer, 6.50% due 12/1/2014 (ETM) | Aaa/AAA | 1,240,000 | 1,479,828 | |||||
Tennessee Energy Acquisition Corp., 5 .00% due 9/1/2014 | Aa3/AA- | 975,000 | 971,422 | |||||
Tennessee Energy Acquisition Corp., 5 .00% due 9/1/2015 | Aa3/AA- | 3,000,000 | 2,959,170 | |||||
Tennessee Energy Acquisition Corp., 5 .00% due 2/1/2017 | Aa3/AA- | 5,000,000 | 4,828,900 | |||||
Tennessee Energy Acquisition Corp., 5 .25% due 9/1/2018 | Aa3/AA- | 5,000,000 | 4,879,600 | |||||
Tennessee Energy Acquisition Corp., 5 .25% due 9/1/2020 | Aa3/AA- | 1,450,000 | 1,402,048 |
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SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
TEXAS — 11.82% | ||||||||
Amarillo Health Facilities Corp., 5 .50% due 1/1/2011 (St. Anthony’s Hospital Corp.; Insured: FSA) | Aaa/NR | $ | 1,350,000 | $ | 1,444,662 | |||
Austin Water & Wastewater, 5.00% due 5/15/2014 (Insured: AMBAC) | Aaa/AAA | 2,890,000 | 3,118,339 | |||||
Austin Water & Wastewater, 5.00% due 5/15/2015 (Insured: AMBAC) | Aaa/AAA | 1,520,000 | 1,642,466 | |||||
Bell County Health Facilities Development Corp., 6 .25% due 8/15/2010 pre-refunded 2/15/2010 (Scott & White Memorial Hospital; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,079,700 | |||||
Bexar County Housing Finance Corp. Multi Family Housing, 5.00% due 1/1/2011 (American Opportunity Housing; Insured: MBIA) | Aaa/NR | 1,800,000 | 1,863,414 | |||||
Brazos River Authority, 4.90% due 10/1/2015 (Center Point Energy; Insured: MBIA) | AAA/AAA | 2,475,000 | 2,542,988 | |||||
Cedar Hill ISD GO, 0% due 8/15/2010 (Guaranty: PSF) | NR/AAA | 440,000 | 399,960 | |||||
Clint ISD GO, 5.50% due 2/15/2011 (Guaranty: PSF) | Aaa/AAA | 1,700,000 | 1,832,838 | |||||
Clint ISD GO, 5.50% due 2/15/2012 (Guaranty: PSF) | Aaa/AAA | 1,155,000 | 1,234,383 | |||||
Collin County Limited Tax Improvement GO, 5.00% due 2/15/2016 | Aaa/AAA | 1,465,000 | 1,609,713 | |||||
Corpus Christi Business & Job Development Corp., 5 .00% due 9/1/2012 (Arena Project; Insured: AMBAC) | Aaa/AAA | 1,025,000 | 1,098,523 | |||||
Corpus Christi Utility Systems, 5.50% due 7/15/2008 (Insured: FSA) | Aaa/AAA | 2,000,000 | 2,021,260 | |||||
Corpus Christi Utility Systems, 5.50% due 7/15/2009 (Insured: FSA) | Aaa/AAA | 4,780,000 | 4,980,234 | |||||
Duncanville ISD GO, 0% due 2/15/2011 (Guaranty: PSF) | Aaa/AAA | 4,945,000 | 4,531,944 | |||||
Duncanville ISD GO, 0% due 2/15/2012 (Guaranty: PSF) | Aaa/AAA | 1,245,000 | 1,093,247 | |||||
Fort Worth Water & Sewer, 5.25% due 2/15/2011 (Tarrant & Denton County) | Aa2/AA | 1,390,000 | 1,488,273 | |||||
Grapevine Colleyville ISD GO, 0% due 8/15/2011 (Guaranty: PSF) | Aaa/AAA | 7,350,000 | 6,616,984 | |||||
Grapevine GO, 5.25% due 2/15/2012 (Insured: FGIC) | Baa3/AA- | 2,005,000 | 2,008,930 | |||||
Harris County Health Facilities Development Corp. Thermal Utility, 5.45% due 2/15/2011 (Teco; Insured: AMBAC) | Aaa/AAA | 3,000,000 | 3,087,870 | |||||
Harris County Health Facilities Development Corp. Thermal Utility, 5.00% due 11/15/2015 (Teco; Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,591,695 | |||||
Harris County Hospital District, 5.75% due 2/15/2011 pre-refunded 8/15/2010 (Insured: MBIA) | Aaa/AAA | 10,000,000 | 10,749,900 | |||||
Harris County Hospital District, 5.75% due 2/15/2012 pre-refunded 8/15/2010 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,149,980 | |||||
Harris County Hospital District Mortgage, 7.40% due 2/15/2010 (Insured: AMBAC) | Aaa/AAA | 895,000 | 946,803 | |||||
Harris County Hospital District Senior Lien, 5.00% due 2/15/2014 (Insured: MBIA) | Aaa/AAA | 1,275,000 | 1,361,917 | |||||
Harris County Hospital District Senior Lien, 5.00% due 2/15/2017 (Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,596,390 | |||||
Harris County Sports Authority Senior Lien, 0% due 11/15/2010 (Insured: MBIA) | Aaa/AAA | 3,260,000 | 2,997,277 | |||||
Houston ISD Public West Side, 0% due 9/15/2014 (Insured: AMBAC) | Aaa/AAA | 6,190,000 | 4,762,091 | |||||
Hutto ISD GO, 0% due 8/1/2017 (Guaranty: PSF) | NR/AAA | 2,170,000 | 1,408,330 | |||||
Irving ISD GO, 0% due 2/15/2017 (Guaranty: PSF) | Aaa/AAA | 1,000,000 | 662,970 | |||||
Keller ISD GO, 0% due 8/15/2012 (Guaranty: PSF) | Aaa/AAA | 1,250,000 | 1,077,750 | |||||
Laredo GO, 5.00% due 2/15/2018 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,125,460 | |||||
Laredo Sports Venue Sales Refunding & Improvement, 5.00% due 3/15/2012 (Insured: AMBAC) | Aaa/AAA | 1,660,000 | 1,766,605 | |||||
Laredo Sports Venue Sales Refunding & Improvement, 5.00% due 3/15/2013 (Insured: AMBAC) | Aaa/AAA | 1,745,000 | 1,869,506 | |||||
Laredo Sports Venue Sales Refunding & Improvement, 5.00% due 3/15/2014 (Insured: AMBAC) | Aaa/AAA | 1,835,000 | 1,972,386 | |||||
Laredo Sports Venue Sales Refunding & Improvement, 5.00% due 3/15/2015 (Insured: AMBAC) | Aaa/AAA | 1,930,000 | 2,079,903 | |||||
Mesquite ISD GO, 0% due 8/15/2011 pre-refunded 8/15/2010 (Guaranty: PSF) | NR/AAA | 1,865,000 | 1,661,323 | |||||
Mesquite ISD GO, 0% due 8/15/2011 (Guaranty: PSF) | NR/AAA | 1,200,000 | 1,058,508 | |||||
Midlothian ISD GO, 0% due 2/15/2009 (Guaranty: PSF) (ETM) | Aaa/NR | 570,000 | 559,734 | |||||
Midlothian ISD GO, 0% due 2/15/2009 (Guaranty: PSF) | Aaa/NR | 630,000 | 617,929 | |||||
Midtown Redevelopment Authority, 6.00% due 1/1/2010 (Insured: Radian) | Aa3/AA | 700,000 | 726,271 | |||||
Midtown Redevelopment Authority, 6.00% due 1/1/2011 (Insured: Radian) | Aa3/AA | 740,000 | 779,901 | |||||
North Central Health Facility Development Hospital, 5.00% due 5/15/2017 (Baylor Health Care System) | Aa2/AA- | 5,000,000 | 5,092,900 | |||||
North East ISD GO, 5.00% due 8/1/2016 | Aaa/AAA | 2,000,000 | 2,189,840 | |||||
Red River Authority PCR, 5.20% due 7/1/2011 (Southwestern Public Service; Insured: AMBAC) | Aaa/AAA | 1,050,000 | 1,055,082 | |||||
Richardson Refunding & Improvement GO, 5.00% due 2/15/2014 (Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,273,960 | |||||
Sam Rayburn Municipal Power Agency, 5.50% due 10/1/2012 | Baa2/BBB- | 6,000,000 | 6,241,980 | |||||
Spring Branch ISD GO, 7.50% due 2/1/2011 (Guaranty: PSF) | Aaa/AAA | 500,000 | 564,795 |
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SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Tarrant County Health Facilities Development Corp., 6 .00% due 11/15/2009 (Adventist/Sunbelt Health System) (ETM) | A1/NR | $ | 650,000 | $ | 690,216 | |||
Tarrant County Health Facilities Development Corp., 6 .10% due 11/15/2011 pre-refunded 11/15/2010 (Adventist/Sunbelt Health System) | A1/NR | 730,000 | 802,825 | |||||
Texarkana Health Facilities Development Corp., 5 .75% due 10/1/2008 (Wadley Regional Medical Center; Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,526,565 | |||||
Texas Municipal Power Agency, 0% due 9/1/2013 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 816,970 | |||||
Texas State Affordable Housing Corp., 4 .85% due 9/1/2012 (Insured: MBIA) | Aaa/AAA | 1,775,000 | 1,789,307 | |||||
Texas State Public Finance Authority, 6.00% due 8/1/2011 pre-refunded 8/1/2009 (State Preservation; Insured: FSA) | Aaa/AAA | 1,000,000 | 1,055,100 | |||||
Texas State Public Finance Authority, 5.00% due 10/15/2014 (Stephen F. Austin University Financing; Insured: MBIA) | Aaa/NR | 1,305,000 | 1,430,724 | |||||
Texas State Public Finance Authority, 5.00% due 10/15/2015 (Stephen F. Austin University Financing; Insured: MBIA) | Aaa/NR | 1,450,000 | 1,589,287 | |||||
Tomball Hospital Authority, 5.00% due 7/1/2013 | Baa3/NR | 1,460,000 | 1,486,178 | |||||
Travis County Health Facilities Development Corp., 5.75% due 11/15/2008 (Ascension Health; Insured: MBIA) | Aaa/AAA | 2,300,000 | 2,351,842 | |||||
Travis County Health Facilities Development Corp., 5 .75% due 11/15/2010 (Ascension Health; Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,116,420 | |||||
Washington County Health Facilities Development Corp., 5 .35% due 6/1/2009 (Trinity Medical Center; Insured: ACA) | NR/NR | 870,000 | 867,007 | |||||
Washington County Health Facilities Development Corp., 5 .75% due 6/1/2019 (Trinity Medical Center; Insured: ACA) | NR/NR | 3,840,000 | 3,836,506 | |||||
Weslaco GO Waterworks & Sewer System, 5.25% due 2/15/2019 (Insured: MBIA) | Aaa/AAA | 2,835,000 | 3,035,009 | |||||
West Harris County Regional Water, 5.25% due 12/15/2012 (Insured: FSA) | Aaa/AAA | 2,435,000 | 2,680,740 | |||||
UTAH — 0.58% | ||||||||
Intermountain Power Agency Supply, 5.00% due 7/1/2012 (ETM) | Aaa/AAA | 4,355,000 | 4,362,708 | |||||
Salt Lake County Municipal Building Authority, 5.50% due 10/1/2009 | Aa1/AA+ | �� | 1,500,000 | 1,571,055 | ||||
Utah State Board of Regents Auxiliary Systems & Student Fee, 5.00% due 5/1/2010 | NR/AA | 510,000 | 535,153 | |||||
VIRGINIA — 0.87% | ||||||||
Alexandria IDA, 5.75% due 10/1/2008 (Institute for Defense; Insured: AMBAC) (ETM) | Aaa/AAA | 1,070,000 | 1,091,432 | |||||
Alexandria IDA, 5.75% due 10/1/2009 (Institute for Defense; Insured: AMBAC) (ETM) | Aaa/AAA | 1,130,000 | 1,193,868 | |||||
Alexandria IDA, 5.75% due 10/1/2010 (Institute for Defense; Insured: AMBAC) (ETM) | Aaa/AAA | 1,195,000 | 1,291,879 | |||||
Chesterfield County IDA PCR, 5.50% due 10/1/2009 (VEPCO) | Baa1/A- | 1,500,000 | 1,510,695 | |||||
Norton IDA Hospital Improvement, 5.75% due 12/1/2012 (Norton Community Hospital; Insured: ACA) | NR/NR | 1,460,000 | 1,533,350 | |||||
Suffolk Redevelopment Housing Authority, 4.85% due 7/1/2031 put 7/1/2011 (Windsor at Potomac; Collateralized: FNMA) | Aaa/NR | 3,000,000 | 3,145,350 | |||||
WASHINGTON — 2.61% | ||||||||
Chelan County Public Utilities, 0% due 6/1/2014 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 1,551,720 | |||||
Energy Northwest Washington Electric, 4.95% due 7/1/2008 (Wind) | A3/A- | 1,760,000 | 1,768,272 | |||||
Energy Northwest Washington Electric, 4.95% due 7/1/2008 (Wind) | A3/A- | 705,000 | 708,314 | |||||
Energy Northwest Washington Electric, 5.375% due 7/1/2013 (Number 1; Insured: FSA) | Aaa/AAA | 2,000,000 | 2,154,420 | |||||
Energy Northwest Washington Electric, 5.00% due 7/1/2017 (Number 3) | Aaa/AA- | 5,470,000 | 5,957,541 | |||||
Snohomish County Public Utilities District 1 Electric, 5.00% due 12/1/2015 (Insured: FSA) | Aaa/AAA | 5,015,000 | 5,427,333 | |||||
Washington State HFA, 5.50% due 12/1/2009 (Providence Services; Insured: MBIA) (ETM) | Aaa/AAA | 1,500,000 | 1,583,205 | |||||
Washington State HFA, 5.00% due 7/1/2013 (Overlake Hospital; Credit Support: Assured Guaranty) | Aaa/AAA | 1,000,000 | 1,073,800 | |||||
Washington State Public Power Supply Systems, 0% due 7/1/2008 (Nuclear Number 3) | Aaa/AA- | 830,000 | 825,518 | |||||
Washington State Public Power Supply Systems, 0% due 7/1/2008 (Nuclear Number 3) | Aaa/AA- | 1,140,000 | 1,133,787 | |||||
Washington State Public Power Supply Systems, 6.00% due 7/1/2008 (Nuclear Number 1; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,009,190 |
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SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | ||||
Washington State Public Power Supply Systems, 5.00% due 7/1/2011 (Nuclear Number 2; Insured: FSA) | Aaa/AAA $ | 1,000,000 | $ | 1,025,600 | |||
Washington State Public Power Supply Systems, 5.40% due 7/1/2012 (Nuclear Number 2; Insured: FSA) | Aaa/AAA | 1,300,000 | 1,426,282 | ||||
Washington State Public Power Supply Systems, 0% due 7/1/2013 (Nuclear Number 3; Insured: MBIA- IBC) | Aaa/AAA | 1,760,000 | 1,447,371 | ||||
Washington State Public Power Supply Systems, 0% due 7/1/2015 (Nuclear Number 3; Insured: MBIA- IBC) | Aaa/AAA | 3,000,000 | 2,218,680 | ||||
WEST VIRGINIA — 0.17% | |||||||
Harrison County Nursing Facility, 5.625% due 9/1/2010 (Salem Health Care Corp.; LOC: Fleet Bank) | NR/NR | 245,000 | 245,029 | ||||
Kanawha, Mercer, Nicholas, Counties Single Family Mortgage, 0% due 2/1/2015 pre-refunded 2/1/2014 | Aaa/NR | 2,260,000 | 1,628,127 | ||||
WISCONSIN — 0.32% | |||||||
Bradley PCR, 6.75% due 7/1/2009 (Owens Illinois Solid Waste) (ETM) | NR/B | 1,500,000 | 1,591,320 | ||||
Wisconsin State Health & Educational Facilities Authority, 6.00% due 8/15/2008 (Aurora Health Care Inc.; Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,028,080 | ||||
WYOMING — 0.34% | |||||||
West Park Hospital District, 5.90% due 7/1/2010 (Insured: ACA) | NR/NR | 1,400,000 | 1,400,966 | ||||
Wyoming Farm Loan Board, 0% due 4/1/2009 | NR/AA+ | 2,500,000 | 2,446,626 | ||||
TOTAL INVESTMENTS — 98.29% (Cost $1,082,102,339) | $ | 1,103,772,992 | |||||
OTHER ASSETS LESS LIABILITIES — 1.71% | 19,242,820 | ||||||
NET ASSETS — 100.00% | $ | 1,123,015,812 | |||||
Footnote Legend
† | Credit ratings are unaudited. Rating changes may have occurred prior to or subsequent to the reporting period end. |
(1) | Segregated as collateral for a when-issued security. |
(2) | When-issued security. |
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 | |
DFA | Development Finance Authority | |
EDA | Economic Development Authority | |
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 | |
GRT | Gross Receipts Tax | |
HFA | Health Facilities Authority | |
HUD | Department of Housing and Urban Development | |
IDA | Industrial Development Authority |
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SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Portfolio Abbreviations (continued) | ||
ISD | Independent School District | |
LOC | Letter of Credit | |
MBIA | Insured by Municipal Bond Investors Assurance | |
MBIA-IBC | Insured by Municipal Bond Investors Assurance - Insured Bond Certificates | |
PCR | Pollution Control Revenue Bond | |
PSF | Guaranteed by Permanent School Fund | |
RADIAN | Insured by Radian Asset Assurance | |
SONYMA | State of New York Mortgage Authority | |
USD | Unified School District | |
XLCA | Insured by XL Capital Assurance |
See notes to financial statements.
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Thornburg Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
As a shareholder of the Fund, you incur ongoing costs, including management and administration fees and other Fund expenses.
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested on September 30, 2007 and held until March 31, 2008.
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 for your class of shares 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 9/30/07 | Ending Account Value 3/31/08 | Expenses Paid During Period† 9/30/07–3/31/08 | |||||||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,024.10 | $ | 2.84 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,022.20 | $ | 2.83 |
† | Expenses are equal to the annualized expense ratio for Class I shares (0.56%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the onehalf 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 for each class of shares 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 Limited Term Municipal Fund | March 31, 2008 (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.
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 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
Not part of the Certified Semi-Annual Report
February 8, 2005, as readopted July 18, 2007
The Trustees are concerned that ongoing 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.
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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. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
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.
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 Global Opportunities Fund |
• | Thornburg International Growth Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
This page is not part of the Semi-Annual Report. 37
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Thornburg Equity Funds
Thornburg’s equity research uses a fundamental and comprehensive analytical approach. Thornburg equity funds focus on a limited number of securities so that each holding can impact 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.
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
• | Thornburg International Growth Fund |
Thornburg Bond Funds
The majority of Thornburg bond funds are laddered portfolios of 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 Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term Municipal Fund |
• | Thornburg New Mexico Intermediate Municipal Fund |
• | Thornburg New York Intermediate Municipal Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund* |
Carefully consider each fund’s investment objectives, risks, sales charges, and expenses; this information can be found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. There is no guarantee that any of these funds will meet their investment objectives.
For additional information, please visit www.thornburg.com
Thornburg Investment Management, 119 East Marcy Street, Santa Fe, NM 87501
* | This fund does not use the laddering strategy. |
This page is not part of the Semi-Annual Report. 39
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This Semi-Annual Report is 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.
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![]() | Investment Advisor: Thornburg Investment Management® 800.847.0200
TH1073 | Distributor: Thornburg Securities Corporation® 800.847.0200 |
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Thornburg California Limited Term Municipal Fund
March 31, 2008
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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 Class A shares is 1.50%. Class C shares include a 0.50% contingent deferred sales charge (CDSC) for the first year only.
Performance data given at net asset value (NAV) does not take into account these sales charges. If the sales charges had been included, the performance would have been lower.
Investments 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. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund. Investments 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. There is no guarantee that the Fund will meet its investment objectives. The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
The information presented on the following pages was current as of March 31, 2008. The managers’ views, portfolio holdings, and sector diversification are provided for the general information of the Fund’s shareholders, they 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.
![]() | Lipper’s 2008 Best Fixed-Income Fund Family
Thornburg Investment Management ranked #1 out of 41 eligible firms in Lipper, Inc.’s fixed income large firm universe for the three-year period ended 12/31/07, based on risk-adjusted returns. Past performance does not guarantee future results.
Lipper’s large firm universe is comprised of fund families with more than $28 billion in total net assets. Only fund families with at least five bond funds were eligible. Risk-adjusted returns were calculated with dividends reinvested and without sales charges. |
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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.
Average Maturity – The average of the maturity dates of the debt securities in the fund. In general, the longer the average maturity, the greater the fund’s sensitivity to interest-rate changes, which means greater price fluctuation. A shorter average maturity usually means a less sensitive/less volatile portfolio.
Consumer Price Index – The Consumer Price Index (CPI) measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living 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.
Fed Funds Rate – The interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.
Real Gross Domestic Product (GDP) – The market value of goods and services produced by labor and property in the United States, regardless of nationality. This inflation-adjusted measure reflects the value of all goods and services produced in a given year, expressed in base-year prices. Often referred to as “constant-price GDP”, “inflation-corrected GDP” or “constant dollar GDP”.
U.S. Treasury Securities – U.S. Treasury securities, such as bills, notes and bonds, are negotiable debt obligations of the U.S. government. These debt obligations are backed by the “full faith and credit” of the government and issued at various schedules and maturities. Income from Treasury securities is exempt from state and local, but not federal income taxes.
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George Strickland Co-Portfolio Manager
Josh Gonze Co-Portfolio Manager
Christopher Ihlefeld Co-Portfolio Manager |
April 14, 2008
Dear Fellow Shareholder:
We are pleased to present the Semi-Annual Report for the Thornburg California Limited Term Municipal Fund. The net asset value of the Class A shares increased by 3 cents per share to $12.76 during the six months ended March 31, 2008. If you were with us for the entire period, you received dividends of 21.2 cents per share. If you reinvested your dividends, you received 21.4 cents per share. Investors who owned Class C shares received dividends of 19.6 and 19.7 cents per share, respectively.
The past six months have been extraordinary in the capital markets. All bonds, including municipals, have been buffeted by the mortgage storm and its aftermath. In the rubble lies opportunity for unlevered investors like us. We are proud of our performance during this difficult period, and we welcome the accolades we have earned. In April 2008, Thornburg Investment Management received the 2008 Lipper Fund Award for Best Fixed-Income Fund Family.
What makes our recent strong performance remarkable is that it occurred during the collapse of the mortgage market and the subsequent bank liquidity crisis. For years, leveraged investors have distorted prices in the bond market. In contrast with old-fashioned cash investors like ourselves, leveraged players tended to pay more for bonds because their borrowed funding and copious use of hedges allowed them to ignore the rules of fundamental bond investing. But in the last six months, banks curtailed lending, the auction-rate securities market crumpled, and hedges had to unwind.
Mortgage-backed securities began collapsing in August 2007. We were largely unscathed because we had minimal exposure to this sector. Risk models created by rating agencies failed to provide for the possibility of a broad increase in mortgage delinquencies. Banks and investors who held mortgage bonds took unprecedented write-downs, essentially admitting the bonds cannot recover. All of the bond insurers, to varying degrees, had written credit default swaps against mortgages, and now some bond insurers have been stripped of their AAA ratings. Banks have curtailed lending as they struggle to reduce the size of their balance sheets.
Today’s economic picture is one of stagnating economic activity combined with accelerating inflation. Inflation is running around 4%, as measured by the CPI. Home sales and construction starts are depressed. Recent reports for real GDP indicate the economy is nearly flat with a 0.60% growth rate. Recent job reports show three consecutive months of declining payrolls, so we believe there is little question that the U.S. is in a mild recession. We expect the bipartisan $168 billion stimulus package to be ineffective.
The Fed has lowered the Fed Funds Rate by 3% since September 2007 to 2.25%, with further rate cuts anticipated. Low interest rates ordinarily halt downward economic trends by prompting more lending, borrowing, and spending. However, banks currently are focused on reducing assets, not creating new assets, so low interest rates are failing to translate into economic activity.
The decline of the dollar is both a signal and a cause of economic weakness. Our currency continues its long-term downward trend as investors, both foreign and domestic, shift their portfolios to hold more assets denominated in currencies other than the dollar. Dollar-denominated assets are undermined by accelerating U.S. inflation and negative real interest rates on Treasury bonds. |
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On the positive side, the yield curve has been steepening, which will support a rebound in bank profits. The municipal yield curve’s newly steep direction has pivoted around the year 2016. Since the beginning of January, bonds maturing prior to 2016 have declined in yield (risen in price), while bonds maturing after 2016 have risen in yield (declined in price). The flight to quality has pushed Treasury yields down sharply, with the result that the ratios of municipal-to-Treasury yields were at an all-time high. In the last six months we have purchased tax-exempt bonds at yields ranging from 120% to 200% of equivalent maturity Treasuries.
% of portfolio maturing | Cumulative % maturing | |||||||||||||
1 years | = | 3.2 | % | Year 1 | = | 3.2 | % | |||||||
1 to 2 years | = | 14.4 | % | Year 2 | = | 17.6 | % | |||||||
2 to 3 years | = | 7.7 | % | Year 3 | = | 25.3 | % | |||||||
3 to 4 years | = | 14.0 | % | Year 4 | = | 39.3 | % | |||||||
4 to 5 years | = | 8.6 | % | Year 5 | = | 47.9 | % | |||||||
5 to 6 years | = | 11.9 | % | Year 6 | = | 59.8 | % | |||||||
6 to 7 years | = | 11.0 | % | Year 7 | = | 70.8 | % | |||||||
7 to 8 years | = | 8.3 | % | Year 8 | = | 79.1 | % | |||||||
8 to 9 years | = | 7.4 | % | Year 9 | = | 86.5 | % | |||||||
Over 9 years | = | 13.5 | % | Over 9 years | = | 100.0 | % |
Percentages can and do vary. Data as of 3/31/08.
Meanwhile, quality spreads (the difference in yield between the highest quality bonds and lower quality bonds) have been wide in the last several months. Some investors, who were previously comfortable taking credit risk at very tight spreads to AAA rated bonds, suddenly became a lot less comfortable. Those who soldtypically had to sell their bonds at significantly wider spreads than those that prevailed earlier in the year. This led to an environment where investors could finally be compensated for taking incremental credit risk in bonds rated lower than AAA. We have been a beneficiary of this trend. When the credit-spread widening started, we were underweighted in BBB and A-rated bonds. As spreads doubled and tripled from their levels of mid-2007, we increased the Fund’s allocation to bonds rated below AA.
The Class A shares of your Fund produced a total return of 1.91% over the six-month period ended March 31, 2008, compared to a 3.88% return for the Lehman Five-Year Municipal Bond Index. Over the six-month period, five-year municipal bonds have performed better than longer (6 to 10 year) and shorter maturity (1 to 4 year) bonds. The Fund invests in a laddered portfolio of bonds that mature over the next ten years, with roughly 10% of the portfolio maturing in each year of the ladder, so most of the bonds mature in less than or more than five years. Since those bonds generally underperformed five-year bonds, the Fund underperformed the Index.
Your Thornburg California Limited Term Municipal Fund is a laddered portfolio of more than 80 municipal obligations. 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 chart above describes the percentages of your Fund’s bond portfolio maturing in each of the coming years.
We were able to take advantage of this past winter’s weakness to buy good bonds at attractive yields, but we did not modify the portfolio’s key characteristics. At September 30, 2007, the Fund’s ladder had an average maturity of 4.82 years and duration of 3.69 years. As the yield curve steepened, we invested evenly along the ladder. Consequently, at March 31, 2008, the Fund had an average maturity of 4.95 and duration of 3.91 years — nearly identical to how it measured six months earlier.
Looking forward, we do expect to see a weak U.S. economy through 2008. Until the housing and credit markets stabilize, the economy will be on shaky ground. At some point in 2009, we anticipate stabilization. Prior to that point, bond yields may rise to compensate investors for inflation. Rising bond yields may lead to a lower price for the Fund, but would allow us to take cash from maturing bonds and interest payments, and re-invest it at attractive levels.
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Letter to Shareholders | ||
Continued |
California state tax revenues have slowed, putting the state into a budget deficit. Through the end of March, the state’s actual revenues for fiscal 2008, which began July 1, 2007, are $818 million below the most recent budget projections made by the Department of Finance. This year, the deficit will be covered by issuing deficit bonds. We do not see an immediate crisis, but we realize that the state now faces a $16 billion cumulative deficit, which will force the governor and legislature to make wrenching choices in how the state reduces spending.
We expect an increase in the supply of California municipals as the state and its localities borrow to fund expenditures. We also expect the depressed housing market and slower economic growth to create a tougher environment for municipal bonds to show credit improvement. We did add marginally to the Fund’s exposure to lower investment grade bonds recently, but we do believe it is prudent to keep overall credit quality high in the current environment. Your Fund is broadly diversified and 86% invested in bonds rated A or above by at least one of the major rating agencies.
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 | Josh Gonze | Christopher Ihlefeld | ||
Co-Portfolio Manager | Co-Portfolio Manager | Co-Portfolio Manager |
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STATEMENT OF ASSETS AND LIABILITIES
Thornburg California Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
ASSETS | ||||
Investments at value (cost $106,604,302) (Note 2) | $ | 108,516,029 | ||
Cash | 748,741 | |||
Receivable for fund shares sold | 78,144 | |||
Interest receivable | 1,381,714 | |||
Prepaid expenses and other assets | 368 | |||
Total Assets | 110,724,996 | |||
LIABILITIES | ||||
Payable for fund shares redeemed | 306,432 | |||
Payable to investment advisor and other affiliates (Note 3) | 75,106 | |||
Accounts payable and accrued expenses | 38,578 | |||
Dividends payable | 95,986 | |||
Total Liabilities | 516,102 | |||
NET ASSETS | $ | 110,208,894 | ||
NET ASSETS CONSIST OF: | ||||
Net unrealized appreciation on investments | $ | 1,911,727 | ||
Accumulated net realized gain (loss) | (945,572 | ) | ||
Net capital paid in on shares of beneficial interest | 109,242,739 | |||
$ | 110,208,894 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($65,232,689 applicable to 5,111,795 shares of beneficial interest outstanding – Note 4) | $ | 12.76 | ||
Maximum sales charge, 1.50% of offering price | 0.19 | |||
Maximum offering price per share | $ | 12.95 | ||
Class C Shares: | ||||
Net asset value and offering price per share * ($13,947,221 applicable to 1,092,054 shares of beneficial interest outstanding – Note 4) | $ | 12.77 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($31,028,984 applicable to 2,429,186 shares of beneficial interest outstanding – Note 4) | $ | 12.77 | ||
* | 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, 2008 (Unaudited) |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $364,948) | $ | 2,394,292 | ||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 278,112 | |||
Administration fees (Note 3) | ||||
Class A Shares | 41,583 | |||
Class C Shares | 8,885 | |||
Class I Shares | 7,624 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 83,166 | |||
Class C Shares | 74,453 | |||
Transfer agent fees | ||||
Class A Shares | 12,194 | |||
Class C Shares | 3,990 | |||
Class I Shares | 3,411 | |||
Registration and filing fees | ||||
Class A Shares | 28 | |||
Class C Shares | 28 | |||
Class I Shares | 28 | |||
Custodian fees (Note 3) | 25,949 | |||
Professional fees | 13,912 | |||
Accounting fees | 2,139 | |||
Trustee fees | 732 | |||
Other expenses | 6,409 | |||
Total Expenses | 562,643 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (4,376 | ) | ||
Distribution fees waived (Note 3) | (37,227 | ) | ||
Fees paid indirectly (Note 3) | (5,794 | ) | ||
Net Expenses | 515,246 | |||
Net Investment Income | 1,879,046 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | 86,825 | |||
Net change in unrealized appreciation (depreciation) of investments | 211,375 | |||
Net Realized and Unrealized Gain | 298,200 | |||
Net Increase in Net Assets Resulting From Operations | $ | 2,177,246 | ||
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Thornburg California Limited Term Municipal Fund
Six Months Ended March 31, 2008* | Year Ended September 30, 2007 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 1,879,046 | $ | 3,986,590 | ||||
Net realized gain (loss) on investments | 86,825 | (164,310 | ) | |||||
Increase (Decrease) in unrealized appreciation (depreciation) of investments | 211,375 | (238,410 | ) | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,177,246 | 3,583,870 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (1,104,043 | ) | (2,494,459 | ) | ||||
Class C Shares | (217,849 | ) | (471,252 | ) | ||||
Class I Shares | (557,154 | ) | (1,020,879 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | (2,124,228 | ) | (13,105,346 | ) | ||||
Class C Shares | (537,732 | ) | (2,300,630 | ) | ||||
Class I Shares | (977,796 | ) | 3,635,455 | |||||
Net Decrease in Net Assets | (3,341,556 | ) | (12,173,241 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 113,550,450 | 125,723,691 | ||||||
End of period | $ | 110,208,894 | $ | 113,550,450 | ||||
* | Unaudited. |
See notes to financial statements.
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NOTES TO FINANCIAL STATEMENTS | ||
Thornburg California Limited Term Municipal Fund | March 31, 2008 (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 thirteen series of shares of beneficial interest in addition to those of the Fund: Thornburg Limited Term 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, Thornburg Investment Income Builder Fund, Thornburg Global Opportunities Fund, Thornburg International Growth Fund, and Thornburg Strategic Income 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 primary investment objective is to obtain as high a level of current income exempt from federal and California state individual income tax as is consistent, in the view of the Fund’s investment advisor, with the preservation of capital. The Fund’s secondary objective is to reduce expected changes in its share price compared to longer intermediate and long-term bond portfolios.
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 may have different reinvestment privileges and conversion rights. 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 Securities: Debt securities have a primary market over the counter and are valued by an independent pricing service approved by the Trustees of the Trust. The pricing service ordinarily values debt securities at quoted bid prices. When quotations are not available, debt securities are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt securities of comparable quality, type of issue, coupon, maturity, and rating; indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
In any case where a pricing service fails to provide a price for a debt security held by the Fund, the valuation and pricing committee determines a fair value for the security using factors approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt security may be unreliable, the valuation and pricing committee decides whether or not to use the pricing service’s valuation or to determine a fair value for the security.
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 Fund’s 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 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 realized 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
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
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.
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities 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 six months ended March 31, 2008, 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 depending on the Fund’s asset size. The Trust also has entered into administrative services agreements 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 six months ended March 31, 2008, the Advisor voluntarily reimbursed certain class specific expenses and administrative fees of $1,282 for Class A shares, $3,076 for Class C shares, and $18 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’s shares. For the six months ended March 31, 2008, the Distributor has advised the Fund that it earned no commissions from the sale of Class A shares, and collected contingent deferred sales charges aggregating $25 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 and distribution 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 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 the Distributor for 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 six months ended March 31, 2008, are set forth in the Statement of Operations. Distribution fees in the amount of $37,227 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 six months ended March 31, 2008, fees paid indirectly were $5,794. This figure may include additional fees waived by the custodian.
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 13
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2008, 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, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 401,495 | $ | 5,130,589 | 414,862 | $ | 5,274,076 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 56,534 | 720,827 | 131,772 | 1,673,749 | ||||||||||
Shares repurchased | (625,042 | ) | (7,975,644 | ) | (1,579,257 | ) | (20,053,171 | ) | ||||||
Net Increase (Decrease) | (167,013 | ) | $ | (2,124,228 | ) | (1,032,623 | ) | $ | (13,105,346 | ) | ||||
Class C Shares | ||||||||||||||
Shares sold | 75,881 | $ | 972,633 | 86,180 | $ | 1,093,229 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 13,108 | 167,257 | 28,501 | 362,296 | ||||||||||
Shares repurchased | (131,342 | ) | (1,677,622 | ) | (295,057 | ) | (3,756,155 | ) | ||||||
Net Increase (Decrease) | (42,353 | ) | $ | (537,732 | ) | (180,376 | ) | $ | (2,300,630 | ) | ||||
Class I Shares | ||||||||||||||
Shares sold | 445,008 | $ | 5,692,063 | 1,133,498 | $ | 14,373,498 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 33,696 | 429,980 | 66,177 | 841,375 | ||||||||||
Shares repurchased | (555,089 | ) | (7,099,839 | ) | (910,981 | ) | (11,579,418 | ) | ||||||
Net Increase (Decrease) | (76,385 | ) | $ | (977,796 | ) | 288,694 | $ | 3,635,455 | ||||||
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2008, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $12,026,660 and $15,475,154, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2008, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 106,604,302 | ||
Gross unrealized appreciation on a tax basis | $ | 2,373,351 | ||
Gross unrealized depreciation on a tax basis | (461,624 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 1,911,727 | ||
At March 31, 2008, the Fund had tax basis capital losses, which may be carried forward 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 carryforwards expire as follows:
2008 | $ | 214,571 | |
2012 | 33,844 | ||
2014 | 148,124 | ||
2015 | 471,548 | ||
$ | 868,087 | ||
At March 31, 2008, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2006 of $164,310. For tax purposes, such losses will be reflected in the year ending September 30, 2008.
14 Certified Semi-Annual Report
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
OTHER NOTES:
FASB Interpretation No. 48:
On July 13, 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes—an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation prescribes a model for how a company, including the Fund, should recognize, measure, present and disclose in its financial statements uncertain tax positions that the company has taken or expects to take on income tax returns, and also revises certain disclosure requirements. The Interpretation became effective for the Fund for the financial statement reporting period ended March 31, 2008. As of the date of this report, management of the Fund has not identified any material effect on the Fund’s financial statements resulting from the implementation of FIN 48.
Statement of Accounting Standards No. 157:
On September 15, 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 defines fair value, provides guidelines for measuring fair value in accordance with generally accepted accounting principles, and addresses disclosures about fair value measurements. FAS 157 establishes a fair value hierarchy that distinguishes between (i) market participant assumptions developed based upon market data obtained from sources independent of the reporting entity (observable inputs) and (ii) the entity’s own assumptions about market participant assumptions developed based upon the best information available under the circumstances (unobservable inputs). FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and is to be applied prospectively as of the beginning of the first fiscal year for which FAS 157 is applied. Management is evaluating FAS 157, and is not in a position at this time to estimate the significance of its impact, if any, on the Fund’s financial statements.
Certified Semi-Annual Report 15
Table of Contents
Thornburg California Limited Term Municipal Fund
Six Months Ended March 31, 2008* | Year Ended Sept. 30, | Three Months Ended Sept. 30, 2004(a) | Year Ended June 30, | |||||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||||||
Class A Shares: | ||||||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.73 | $ | 12.77 | $ | 12.79 | $ | 13.02 | $ | 12.87 | $ | 13.20 | $ | 12.96 | ||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||
Net investment income (loss) | 0.21 | 0.43 | 0.40 | 0.36 | 0.08 | 0.35 | 0.38 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.03 | (0.04 | ) | (0.02 | ) | (0.23 | ) | 0.15 | (0.33 | ) | 0.24 | |||||||||||||||||
Total from investment operations | 0.24 | 0.39 | 0.38 | 0.13 | 0.23 | 0.02 | 0.62 | |||||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||||||
Net investment income | (0.21 | ) | (0.43 | ) | (0.40 | ) | (0.36 | ) | (0.08 | ) | (0.35 | ) | (0.38 | ) | ||||||||||||||
Change in net asset value | 0.03 | (0.04 | ) | (0.02 | ) | (0.23 | ) | 0.15 | (0.33 | ) | 0.24 | |||||||||||||||||
NET ASSET VALUE, end of period | $ | 12.76 | $ | 12.73 | $ | 12.77 | $ | 12.79 | $ | 13.02 | $ | 12.87 | $ | 13.20 | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||
Total return (%)(b) | 1.91 | 3.10 | 3.06 | 0.98 | 1.81 | 0.13 | 4.83 | |||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Net investment income (loss) (%) | 3.32 | (c) | 3.37 | 3.17 | 2.75 | 2.53 | (c) | 2.66 | 2.87 | |||||||||||||||||||
Expenses, after expense reductions (%) | 1.00 | (c) | 0.99 | 0.92 | 1.00 | 0.99 | (c) | 0.99 | 0.99 | |||||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.99 | (c) | 0.99 | 0.87 | 0.99 | 0.99 | (c) | 0.99 | 0.99 | |||||||||||||||||||
Expenses, before expense reductions (%) | 1.00 | (c) | 1.01 | 1.01 | 1.02 | 1.05 | (c) | 1.04 | 1.02 | |||||||||||||||||||
Portfolio turnover rate (%) | 11.26 | 22.71 | 25.77 | 26.33 | 4.18 | 23.80 | 26.03 | |||||||||||||||||||||
Net assets at end of period (thousands) | $ | 65,233 | $ | 67,183 | $ | 80,589 | $ | 111,102 | $ | 134,588 | $ | 131,158 | $ | 149,269 |
(a) | The Fund’s fiscal year-end changed to September 30. |
(b) | Sales loads are not reflected in computing total return, which is not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
16 Certified Semi-Annual Report
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FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund |
Six Months Ended March 31, 2008* | Year Ended Sept. 30, | Three Months Ended Sept. 30, 2004(a) | Year Ended June 30, | |||||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||||||
Class C Shares: | ||||||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.74 | $ | 12.78 | $ | 12.80 | $ | 13.03 | $ | 12.88 | $ | 13.21 | $ | 12.97 | ||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||
Net investment income (loss) | 0.20 | 0.40 | 0.37 | 0.32 | 0.07 | 0.32 | 0.34 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.03 | (0.04 | ) | (0.02 | ) | (0.23 | ) | 0.15 | (0.33 | ) | 0.24 | |||||||||||||||||
Total from investment operations | 0.23 | 0.36 | 0.35 | 0.09 | 0.22 | (0.01 | ) | 0.58 | ||||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||||||
Net investment income | (0.20 | ) | (0.40 | ) | (0.37 | ) | (0.32 | ) | (0.07 | ) | (0.32 | ) | (0.34 | ) | ||||||||||||||
Change in net asset value | 0.03 | (0.04 | ) | (0.02 | ) | (0.23 | ) | 0.15 | (0.33 | ) | 0.24 | |||||||||||||||||
NET ASSET VALUE, end of period | $ | 12.77 | $ | 12.74 | $ | 12.78 | $ | 12.80 | $ | 13.03 | $ | 12.88 | $ | 13.21 | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||
Total return (%)(b) | 1.78 | 2.85 | 2.80 | 0.73 | 1.75 | (0.12 | ) | 4.51 | ||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Net investment income (loss) (%) | 3.06 | (c) | 3.13 | 2.92 | 2.50 | 2.28 | (c) | 2.41 | 2.56 | |||||||||||||||||||
Expenses, after expense reductions (%) | 1.25 | (c) | 1.24 | 1.18 | 1.25 | 1.24 | (c) | 1.24 | 1.30 | |||||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 1.24 | (c) | 1.23 | 1.13 | 1.24 | 1.24 | (c) | 1.24 | 1.30 | |||||||||||||||||||
Expenses, before expense reductions (%) | 1.82 | (c) | 1.79 | 1.83 | 1.82 | 1.87 | (c) | 1.86 | 1.80 | |||||||||||||||||||
Portfolio turnover rate (%) | 11.26 | 22.71 | 25.77 | 26.33 | 4.18 | 23.80 | 26.03 | |||||||||||||||||||||
Net assets at end of period (thousands) | $ | 13,947 | $ | 14,449 | $ | 16,801 | $ | 20,021 | $ | 21,941 | $ | 22,363 | $ | 22,487 |
(a) | The Fund’s fiscal year-end changed to September 30. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report 17
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund |
Six Months Ended March 31, 2008* | Year Ended Sept. 30, | Three Months Ended Sept. 30, 2004(a) | Year Ended June 30, | |||||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.74 | $ | 12.78 | $ | 12.80 | $ | 13.03 | $ | 12.89 | $ | 13.22 | $ | 12.97 | ||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||
Net investment income (loss) | 0.23 | 0.47 | 0.44 | 0.40 | 0.09 | 0.39 | 0.42 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.03 | (0.04 | ) | (0.02 | ) | (0.23 | ) | 0.14 | (0.33 | ) | 0.25 | |||||||||||||||||
Total from investment operations | 0.26 | 0.43 | 0.42 | 0.17 | 0.23 | 0.06 | 0.67 | |||||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||||||
Net investment income | (0.23 | ) | (0.47 | ) | (0.44 | ) | (0.40 | ) | (0.09 | ) | (0.39 | ) | (0.42 | ) | ||||||||||||||
Change in net asset value | 0.03 | (0.04 | ) | (0.02 | ) | (0.23 | ) | 0.14 | (0.33 | ) | 0.25 | |||||||||||||||||
NET ASSET VALUE, end of period | $ | 12.77 | $ | 12.74 | $ | 12.78 | $ | 12.80 | $ | 13.03 | $ | 12.89 | $ | 13.22 | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||
Total return (%)(b) | 2.08 | 3.44 | 3.39 | 1.31 | 1.81 | 0.46 | 5.27 | |||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Net investment income (loss) (%) | 3.65 | (c) | 3.71 | 3.50 | 3.09 | 2.85 | (c) | 2.99 | 3.20 | |||||||||||||||||||
Expenses, after expense reductions (%) | 0.66 | (c) | 0.66 | 0.66 | 0.68 | 0.67 | (c) | 0.67 | 0.65 | |||||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.65 | (c) | 0.65 | 0.55 | 0.67 | 0.67 | (c) | 0.67 | 0.65 | |||||||||||||||||||
Expenses, before expense reductions (%) | 0.66 | (c) | 0.68 | 0.71 | 0.73 | 0.77 | (c) | 0.78 | 0.75 | |||||||||||||||||||
Portfolio turnover rate (%) | 11.26 | 22.71 | 25.77 | 26.33 | 4.18 | 23.80 | 26.03 | |||||||||||||||||||||
Net assets at end of period (thousands) | $ | 31,029 | $ | 31,918 | $ | 28,334 | $ | 30,843 | $ | 25,728 | $ | 22,929 | $ | 20,592 |
(a) | The Fund’s fiscal year-end changed to September 30. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
18 Certified Semi-Annual Report
Table of Contents
Thornburg California Limited Term Municipal Fund | March 31, 2008 (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) | A3/NR | $ | 435,000 | $ | 447,850 | |||
ABAG Finance Authority, 4.75% due 10/1/2012 (California School of Mechanical Arts) | A3/NR | 455,000 | 469,305 | |||||
Alameda County COP, 5.625% due 12/1/2016 (Santa Rita Jail; Insured: AMBAC) | Aaa/AAA | 1,830,000 | 2,099,870 | |||||
Bay Area Toll Bridge Revenue, 5.00% due 4/1/2016 | Aa3/AA | 2,075,000 | 2,281,130 | |||||
California HFA, 5.00% due 11/15/2011 (Cedars Sinai Medical Center) | A2/NR | 1,000,000 | 1,049,190 | |||||
California HFA, 5.25% due 10/1/2013 (Kaiser Permanente) (ETM) | NR/AAA | 2,000,000 | 2,047,120 | |||||
California HFA, 9.875% due 2/1/2017 | Aa2/AA- | 670,000 | 689,249 | |||||
California Mobile Home Park Financing Authority, 4.75% due 11/15/2010 (Rancho Vallecitos; Insured: ACA) | NR/NR | 500,000 | 509,100 | |||||
California Mobile Home Park Financing Authority, 5.00% due 11/15/2013 (Rancho Vallecitos; Insured: ACA) | NR/NR | 570,000 | 580,585 | |||||
California PCR Authority Solid Waste Disposal, 6.75% due 7/1/2011 (ETM) | Aaa/NR | 1,890,000 | 2,014,872 | |||||
California PCR Authority Solid Waste Disposal, 5.00% due 6/1/2018 put 6/1/2008 | NR/BBB | 1,100,000 | 1,100,121 | |||||
California PCR Authority Solid Waste Disposal, 5.25% due 6/1/2023 (AMT) | Baa1/BBB+ | 2,000,000 | 1,892,400 | |||||
California State Department of Transportation COP, 5.25% due 3/1/2016 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,023,840 | |||||
California State GO, 6.60% due 2/1/2010 (Insured: MBIA) | Aaa/AAA | 560,000 | 601,149 | |||||
California State GO, 5.75% due 10/1/2010 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,079,680 | |||||
California State GO, 5.50% due 3/1/2012 (Insured: FGIC) | A1/A+ | 230,000 | 232,806 | |||||
California State GO, 6.25% due 9/1/2012 | A1/A+ | 3,000,000 | 3,311,220 | |||||
California State GO, 5.00% due 3/1/2018 | A1/A+ | 1,000,000 | 1,057,980 | |||||
California State GO Economic Recovery, 5.25% due 7/1/2013 | Aa3/AA+ | 2,500,000 | 2,744,475 | |||||
California State GO Veterans Bonds, 9.50% due 2/1/2010 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,124,820 | |||||
California State Public Works Board Lease, 5.50% due 6/1/2010 (Various Universities) | Aa2/AA- | 780,000 | 813,704 | |||||
California State Public Works Board Lease, 5.00% due 1/1/2015 (Department of Corrections; Insured: AMBAC) | Aaa/AAA | 2,000,000 | 2,158,900 | |||||
California State Public Works Board Lease, 5.00% due 11/1/2015 (Various Universities) | Aa2/AA- | 1,000,000 | 1,088,720 | |||||
California State Public Works Board Lease, 5.00% due 9/1/2017 (Regents of University of California; Insured: FGIC) | Aa2/AA- | 1,235,000 | 1,333,084 | |||||
California Statewide Community Development Authority, 5.125% due 6/1/2008 (Louisiana Orthopedic Hospital Foundation; Insured: AMBAC) | Aaa/AAA | 595,000 | 597,642 | |||||
California Statewide Community Development Authority, 5.25% due 8/1/2014 (EAH-East Campus Apartments; Insured: ACA) | NR/NR | 1,215,000 | 1,223,323 | |||||
California Statewide Community Development Authority, 4.70% due 11/1/2036 put 6/1/2009 (Kaiser Permanente) | NR/A+ | 2,000,000 | 2,056,600 | |||||
California Statewide Community Development Authority COP, 6.50% due 8/1/2012 (Cedars Sinai Center Hospital; Insured: MBIA) | Aaa/AAA | 660,000 | 707,758 | |||||
California Statewide Community Development Authority COP, 5.30% due 12/1/2015 (Kaiser Permanente) (ETM) | Aaa/AAA | 2,785,000 | 2,927,341 | |||||
California Statewide Community HFA, 4.50% due 11/15/2013 (Los Angeles Jewish Home; Insured: CA Mortgage Insurance) | NR/A+ | 2,000,000 | 2,033,060 | |||||
Central Union High School District Imperial County, 5.00% due 8/1/2012 (Insured: FGIC) | Baa3/A- | 830,000 | 888,341 | |||||
Cerritos California Public Financing Authority, 5.00% due 11/1/2014 (Tax Allocation Redevelopment; Insured: AMBAC) | Aaa/AAA | 1,260,000 | 1,351,854 | |||||
Corona Norco USD GO, 0% due 9/1/2017 (Insured: FSA) | Aaa/AAA | 1,595,000 | 1,052,174 | |||||
Daly City Housing Development Financing Agency, 5.00% due 12/15/2019 (Franciscan Mobile Home Park) | NR/A- | 1,815,000 | 1,808,502 | |||||
El Monte COP Department of Public Services, 5.00% due 1/1/2009 (Insured: AMBAC) | Aaa/AAA | 955,000 | 968,236 | |||||
Escondido USD GO, 6.10% due 11/1/2011 (Insured: MBIA) | Aaa/AAA | 500,000 | 506,445 | |||||
Fillmore Public Financing Authority, 5.00% due 5/1/2016 (Water Recycling; Insured: CIFG) | A1/A+ | 735,000 | 774,925 | |||||
Fresno USD GO, 5.00% due 8/1/2009 (Insured: FSA) (ETM) | Aaa/AAA | 545,000 | 549,632 | |||||
Hawaiian Gardens Redevelopment Agency, 5.50% due 12/1/2008 | NR/BBB+ | 575,000 | 583,705 |
Certified Semi-Annual Report 19
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
High Desert California Memorial Health Care, 5.40% due 10/1/2011 | NR/NR | $ | 2,500,000 | $ | 2,509,600 | |||
Kern High School District GO, 7.00% due 8/1/2010 (ETM) | A1/NR | 165,000 | 182,338 | |||||
Los Angeles Community Redevelopment Agency, 5.00% due 7/1/2009 (Cinerama Dome Public Parking; Insured: ACA) | NR/NR | 835,000 | 826,091 | |||||
Los Angeles Community Redevelopment Agency, 5.75% due 7/1/2010 (Cinerama Dome Public Parking; Insured: ACA) | NR/NR | 435,000 | 431,437 | |||||
Los Angeles COP, 5.00% due 2/1/2012 (Insured: MBIA) | Aaa/AAA | 1,400,000 | 1,507,996 | |||||
Los Angeles County Capital Asset Leasing Corp., 5.00% due 4/1/2008 (Insured: AMBAC) | Aaa/AAA | 2,000,000 | 2,000,000 | |||||
Los Angeles County Schools, 5.00% due 6/1/2016 (Pooled Financing; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,067,240 | |||||
Los Angeles County Schools, 5.00% due 6/1/2017 (Pooled Financing; Insured: MBIA) | Aaa/AAA | 1,010,000 | 1,071,287 | |||||
Los Angeles Department of Water & Power Series A, 5.25% due 7/1/2011 (Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,239,280 | |||||
Los Angeles USD GO, 5.50% due 7/1/2012 (Insured: MBIA) | Aaa/AAA | 2,500,000 | 2,762,250 | |||||
Los Angeles USD GO, 5.00% due 7/1/2018 (Insured: FSA) | Aaa/AAA | 2,000,000 | 2,170,960 | |||||
Milpitas California Redevelopment Agency Tax Allocation Area No 1, 5.00% due 9/1/2015 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,123,480 | |||||
Moorpark Mobile Home Park, 5.80% due 5/15/2010 (Villa Del Arroyo; Insured: ACA) | NR/NR | 765,000 | 785,341 | |||||
Northern California Public Power Agency, 5.00% due 7/1/2009 (Geothermal Number 3) | A2/BBB+ | 4,000,000 | 4,008,040 | |||||
Norwalk California Redevelopment Agency Tax Allocation, 5.00% due 10/1/2014 (Insured: MBIA) | Aaa/AAA | 625,000 | 668,769 | |||||
Oxnard Financing Authority Solid Waste, 5.00% due 5/1/2013 (Insured: AMBAC) (AMT) | Aaa/AAA | 2,115,000 | 2,221,279 | |||||
Pomona USD GO, 6.10% due 2/1/2010 (Insured: MBIA) | Aaa/AAA | 320,000 | 336,291 | |||||
Richmond Joint Powers Financing Authority Lease & Gas Tax, 5.25% due 5/15/2013 partially pre-refunded 11/15/2007 | NR/A- | 555,000 | 555,943 | |||||
Roseville Natural Gas Financing Authority, 5.00% due 2/15/2017 | A1/A+ | 1,000,000 | 967,590 | |||||
Sacramento City Financing Authority, 0% due 11/1/2014 (Insured: MBIA) | Aaa/AAA | 3,310,000 | 2,476,277 | |||||
Sacramento County Sanitation District Financing Authority, 5.75% due 12/1/2009 | Aa3/AA | 560,000 | 592,273 | |||||
San Bernardino County Community Facilities District, 5.10% due 9/1/2011 | NR/NR | 190,000 | 196,471 | |||||
San Bernardino County Community Facilities District, 5.20% due 9/1/2012 | NR/NR | 205,000 | 213,085 | |||||
San Bernardino County Community Facilities District, 5.30% due 9/1/2013 | NR/NR | 300,000 | 311,703 | |||||
San Bernardino County Multi Family Housing, 4.75% due 12/15/2031 put 12/15/2011 (Rolling Ridge LLC; Collateralized: FNMA) | Aaa/NR | 3,100,000 | 3,260,952 | |||||
San Bernardino County Transportation Authority Sales Tax, 6.00% due 3/1/2010 (Insured: FGIC) (ETM) | Baa3/NR | 380,000 | 399,171 | |||||
San Diego County COP, 5.625% due 9/1/2012 (Insured: AMBAC) | Aaa/AAA | 750,000 | 788,692 | |||||
San Diego County COP Developmental Services Foundation, 5.50% due 9/1/2017 | Baa1/BB | 2,000,000 | 2,047,040 | |||||
San Francisco, 5.00% due 6/15/2014 (Laguna Honda Hospital; Insured: FSA) | Aaa/AAA | 2,320,000 | 2,521,956 | |||||
San Francisco City & County Redevelopment Agency, 0% due 7/1/2010 (George R Moscone Convention Center) | A1/AA- | 1,380,000 | 1,293,143 | |||||
San Jose Evergreen Community College District GO, 0% due 9/1/2011 crossover refunded 9/1/2010 (Insured: AMBAC) | Aaa/AAA | 2,200,000 | 1,938,376 | |||||
San Mateo USD GO, 0% due 9/1/2019 (Insured: FGIC) | Aa3/AA- | 2,000,000 | 1,140,600 | |||||
Seal Beach Redevelopment Agency Mobile Home Park, 5.20% due 12/15/2013 (Insured: ACA) | NR/NR | 575,000 | 584,539 | |||||
Southeast Resource Recovery Facilities Authority, 5.375% due 12/1/2013 (Insured: AMBAC) (AMT) | Aaa/AAA | 1,060,000 | 1,136,235 | |||||
Southern California Public Power Authority, 5.15% due 7/1/2015 (Insured: AMBAC) | Aaa/AAA | 350,000 | 388,332 | |||||
Southern California Public Power Authority, 5.15% due 7/1/2015 (Insured: AMBAC) | Aaa/AAA | 250,000 | 277,380 | |||||
Stanton Multi Family Housing, 5.625% due 8/1/2029 put 8/1/2009 (Continental Gardens; Collateralized: FNMA) | NR/AAA | 4,335,000 | 4,407,048 | |||||
Val Verde USD COP, 5.00% due 1/1/2014 (Insured: FGIC) (ETM) | Baa3/NR | 445,000 | 490,675 | |||||
Victorville Redevelopment Agency, 5.00% due 12/1/2014 (Bear Valley Road Special Escrow Fund; Insured: FSA) | Aaa/AAA | 340,000 | 358,986 | |||||
Walnut Valley USD GO, 7.00% due 8/1/2008 (Insured: MBIA) | Aaa/AAA | 100,000 | 101,634 | |||||
Walnut Valley USD GO, 8.75% due 8/1/2010 (Insured: MBIA) (ETM) | Aaa/AAA | 1,000,000 | 1,143,770 |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Washington Township Health Care District, 5.00% due 7/1/2009 | A3/NR | $ | 450,000 | $ | 460,607 | |||
Washington USD COP, 5.00% due 8/1/2017 (New High School; Insured: AMBAC) | Aaa/AAA | 725,000 | 769,074 | |||||
Whittier Solid Waste, 5.375% due 8/1/2014 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,002,090 | |||||
TOTAL INVESTMENTS — 98.46% (Cost $ 106,604,302) | $ | 108,516,029 | ||||||
OTHER ASSETS LESS LIABILITIES — 1.54% | 1,692,865 | |||||||
NET ASSETS — 100.00% | $ | 110,208,894 | ||||||
Footnote Legend
† 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. | |
AMT | Alternative Minimum Tax | |
CIFG | CIFG Assurance North America Inc. | |
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. | |
GO | General Obligation | |
HFA | Health Facilities Authority | |
MBIA | Insured by Municipal Bond Investors Assurance | |
PCR | Pollution Control Revenue Bond | |
USD | Unified School District |
See notes to financial statements.
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Thornburg California Limited Term Municipal Fund | March 31, 2008 (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 or all of a purchase of $1 million of Class A shares within 12 months of purchase;
(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;
(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, 2007 and held until March 31, 2008.
Actual Expenses
For each class of shares, 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 for your class of shares 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
For each class of shares, 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 9/30/07 | Ending Account Value 3/31/08 | Expenses Paid During Period† 9/30/07–3/31/08 | |||||||
Class A Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,019.10 | $ | 4.98 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.07 | $ | 4.98 | |||
Class C Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,017.80 | $ | 6.26 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,018.80 | $ | 6.26 | |||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,020.80 | $ | 3.29 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,021.75 | $ | 3.29 |
† | Expenses are equal to the annualized expense ratio for each class (A: 0.99%; C: 1.24%; and I: 0.65%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares 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 California Limited Term Municipal Fund | March 31, 2008 (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.
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 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
Not part of the Certified Semi-Annual Report
February 8, 2005, as readopted July 18, 2007
The Trustees are concerned that ongoing 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.
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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 and are under 70 1/2, even if you are covered by an employer retirement plan. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
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.
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 Global Opportunities Fund |
• | Thornburg International Growth Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
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Thornburg Equity Funds
Thornburg’s equity research uses a fundamental and comprehensive analytical approach. Thornburg equity funds focus on a limited number of securities so that each holding can impact 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.
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
• | Thornburg International Growth Fund |
Thornburg Bond Funds
The majority of Thornburg bond funds are laddered portfolios of 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 Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term Municipal Fund |
• | Thornburg New Mexico Intermediate Municipal Fund |
• | Thornburg New York Intermediate Municipal Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund* |
Carefully consider each fund’s investment objectives, risks, sales charges, and expenses; this information can be found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. There is no guarantee that any of these funds will meet their investment objectives.
For additional information, please visit www.thornburg.com
Thornburg Investment Management, 119 East Marcy Street, Santa Fe, NM 87501
* | This fund does not use the laddering strategy. |
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Invest in our planet, while you invest with us
You are concerned about the future, so are we. That is why we encourage you to go paperless and cut down on the amount of paper being used for regulatory mailings. Go to www.thornburg.com/edelivery and sign up to receive your shareholder reports, prospectuses, and proxy statements electronically.
Thornburg California Limited Term Municipal Fund
Laddering – an All Weather Strategy
The Fund’s primary investment objective is to obtain as high a level of current income exempt from federal and California state individual income taxes as is consistent, in the view of the Fund’s investment advisor, with preservation of capital. The secondary goal of the Fund is to reduce expected changes in its share price compared to longer intermediate and long-term bond portfolios.
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 normally less than five years. 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.
2 This page is not part of the Semi-Annual Report.
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Thornburg California Limited Term Municipal Fund I Shares – March 31, 2008 | ||
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| 6 | |
| 9 | |
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| 16 | |
| 17 | |
| 20 | |
| 21 | |
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, an investor’s 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.
Minimum investments for Class I shares are higher than those for other classes. Returns reflect the reinvestment of dividends and capital gains. There is no up front sales charge for this class of shares.
Investments 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. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund. Investments 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. There is no guarantee that the Fund will meet its investment objectives. The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
The information presented on the following pages was current as of March 31, 2008. The managers’ views, portfolio holdings, and sector diversification are provided for the general information of the Fund’s shareholders, they 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.
Lipper’s 2008 Best Fixed-Income Fund Family
Thornburg Investment Management ranked #1 out of 41 eligible firms in Lipper, Inc.’s fixed income large firm universe for the three-year period ended 12/31/07, based on risk-adjusted returns. Past performance does not guarantee future results.
Lipper’s large firm universe is comprised of fund families with more than $28 billion in total net assets. Only fund families with at least five bond funds were eligible. Risk-adjusted returns were calculated with dividends reinvested and without sales charges.
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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.
Average Maturity – The average of the maturity dates of the debt securities in the fund. In general, the longer the average maturity, the greater the fund’s sensitivity to interest-rate changes, which means greater price fluctuation. A shorter average maturity usually means a less sensitive/less volatile portfolio.
Consumer Price Index – The Consumer Price Index (CPI) measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living 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.
Fed Funds Rate – The interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.
Real Gross Domestic Product (GDP) – The market value of goods and services produced by labor and property in the United States, regardless of nationality. This inflation-adjusted measure reflects the value of all goods and services produced in a given year, expressed in base-year prices. Often referred to as “constant-price GDP”, “inflation-corrected GDP” or “constant dollar GDP”.
U.S. Treasury Securities – U.S. Treasury securities, such as bills, notes and bonds, are negotiable debt obligations of the U.S. government. These debt obligations are backed by the “full faith and credit” of the government and issued at various schedules and maturities. Income from Treasury securities is exempt from state and local, but not federal income taxes.
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George Strickland Co-Portfolio Manager
Josh Gonze Co-Portfolio Manager
Christopher Ihlefeld Co-Portfolio Manager |
April 14, 2008
Dear Fellow Shareholder:
We are pleased to present the Semi-Annual Report for the Thornburg California Limited Term Municipal Fund. The net asset value of the Class I shares increased by 3 cents per share to $12.77 during the six months ended March 31, 2008. If you were with us for the entire period, you received dividends of 23.4 cents per share. If you reinvested your dividends, you received 23.6 cents per share.
The past six months have been extraordinary in the capital markets. All bonds, including municipals, have been buffeted by the mortgage storm and its aftermath. In the rubble lies opportunity for unlevered investors like us. We are proud of our performance during this difficult period, and we welcome the accolades we have earned. In April 2008, Thornburg Investment Management received the 2008 Lipper Fund Award for Best Fixed-Income Fund Family.
What makes our recent strong performance remarkable is that it occurred during the collapse of the mortgage market and the subsequent bank liquidity crisis. For years, leveraged investors have distorted prices in the bond market. In contrast with old-fashioned cash investors like ourselves, leveraged players tended to pay more for bonds because their borrowed funding and copious use of hedges allowed them to ignore the rules of fundamental bond investing. But in the last six months, banks curtailed lending, the auction-rate securities market crumpled, and hedges had to unwind.
Mortgage-backed securities began collapsing in August 2007. We were largely unscathed because we had minimal exposure to this sector. Risk models created by rating agencies failed to provide for the possibility of a broad increase in mortgage delinquencies. Banks and investors who held mortgage bonds took unprecedented write-downs, essentially admitting the bonds cannot recover. All of the bond insurers, to varying degrees, had written credit default swaps against mortgages, and now some bond insurers have been stripped of their AAA ratings. Banks have curtailed lending as they struggle to reduce the size of their balance sheets.
Today’s economic picture is one of stagnating economic activity combined with accelerating inflation. Inflation is running around 4%, as measured by the CPI. Home sales and construction starts are depressed. Recent reports for real GDP indicate the economy is nearly flat with a 0.60% growth rate. Recent job reports show three consecutive months of declining payrolls, so we believe there is little question that the U.S. is in a mild recession. We expect the bipartisan $168 billion stimulus package to be ineffective.
The Fed has lowered the Fed Funds Rate by 3% since September 2007 to 2.25%, with further rate cuts anticipated. Low interest rates ordinarily halt downward economic trends by prompting more lending, borrowing, and spending. However, banks currently are focused on reducing assets, not creating new assets, so low interest rates are failing to translate into economic activity.
The decline of the dollar is both a signal and a cause of economic weakness. Our currency continues its long-term downward trend as investors, both foreign and domestic, shift their portfolios to hold more assets denominated in currencies other than the dollar. Dollar-denominated assets are undermined by accelerating U.S. inflation and negative real interest rates on Treasury bonds. |
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On the positive side, the yield curve has been steepening, which will support a rebound in bank profits. The municipal yield curve’s newly steep direction has pivoted around the year 2016. Since the beginning of January, bonds maturing prior to 2016 have declined in yield (risen in price), while bonds maturing after 2016 have risen in yield (declined in price). The flight to quality has pushed Treasury yields down sharply, with the result that the ratios of municipal-to-Treasury yields were at an all-time high. In the last six months we have purchased tax-exempt bonds at yields ranging from 120% to 200% of equivalent maturity Treasuries.
Meanwhile, quality spreads (the difference in yield between the highest quality bonds and lower quality bonds) have been wide in the last several months. Some investors, who were previously comfortable taking credit risk at very tight spreads to AAA rated bonds, suddenly became a lot less comfortable. Those who sold typically had to sell their bonds at significantly wider spreads than those that prevailed earlier in the year. This led to an environment where investors could finally be compensated for taking incremental credit risk in bonds rated lower than AAA. We have been a beneficiary of this trend. When the credit-spread widening started, we were underweighted in BBB and A-rated bonds. As spreads doubled and tripled from their levels of mid-2007, we increased the Fund’s allocation to bonds rated below AA.
% of portfolio maturing | Cumulative % maturing | |
1 years = 3.2% | Year 1 = 3.2% | |
1 to 2 years = 14.4% | Year 2 = 17.6% | |
2 to 3 years = 7.7% | Year 3 = 25.3% | |
3 to 4 years = 14.0% | Year 4 = 39.3% | |
4 to 5 years = 8.6% | Year 5 = 47.9% | |
5 to 6 years = 11.9% | Year 6 = 59.8% | |
6 to 7 years = 11.0% | Year 7 = 70.8% | |
7 to 8 years = 8.3% | Year 8 = 79.1% | |
8 to 9 years = 7.4% | Year 9 = 86.5% | |
Over 9 years = 13.5% | Over 9 years = 100.0% |
Percentages can and do vary. Data as of 3/31/08.
The Class I shares of your Fund produced a total return of 2.08% over the six-month period ended March 31, 2008, compared to a 3.88% return for the Lehman Five-Year Municipal Bond Index. Over the six-month period, five-year municipal bonds have performed better than longer (6 to 10 year) and shorter maturity (1 to 4 year) bonds. The Fund invests in a laddered portfolio of bonds that mature over the next ten years, with roughly 10% of the portfolio maturing in each year of the ladder, so most of the bonds mature in less than or more than five years. Since those bonds generally underperformed five-year bonds, the Fund underperformed the Index.
Your Thornburg California Limited Term Municipal Fund is a laddered portfolio of more than 80 municipal obligations. 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 chart above describes the percentages of your Fund’s bond portfolio maturing in each of the coming years.
We were able to take advantage of this past winter’s weakness to buy good bonds at attractive yields, but we did not modify the portfolio’s key characteristics. At September 30, 2007, the Fund’s ladder had an average maturity of 4.82 years and duration of 3.69 years. As the yield curve steepened, we invested evenly along the ladder. Consequently, at March 31, 2008, the Fund had an average maturity of 4.95 and duration of 3.91 years – nearly identical to how it measured six months earlier.
Looking forward, we do expect to see a weak U.S. economy through 2008. Until the housing and credit markets stabilize, the economy will be on shaky ground. At some point in 2009, we anticipate stabilization. Prior to that point, bond yields may rise to compensate investors for inflation. Rising bond yields may lead to a lower price for the Fund, but would allow us to take cash from maturing bonds and interest payments, and re-invest it at attractive levels.
Certified Semi-Annual Report 7
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Letter to Shareholders
Continued
California state tax revenues have slowed, putting the state into a budget deficit. Through the end of March, the state’s actual revenues for fiscal 2008, which began July 1, 2007, are $818 million below the most recent budget projections made by the Department of Finance. This year, the deficit will be covered by issuing deficit bonds. We do not see an immediate crisis, but we realize that the state now faces a $16 billion cumulative deficit, which will force the governor and legislature to make wrenching choices in how the state reduces spending.
We expect an increase in the supply of California municipals as the state and its localities borrow to fund expenditures. We also expect the depressed housing market and slower economic growth to create a tougher environment for municipal bonds to show credit improvement. We did add marginally to the Fund’s exposure to lower investment grade bonds recently, but we do believe it is prudent to keep overall credit quality high in the current environment. Your Fund is broadly diversified and 86% invested in bonds rated A or above by at least one of the major rating agencies.
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 | Josh Gonze | Christopher Ihlefeld | ||
Co-Portfolio Manager | Co-Portfolio Manager | Co-Portfolio Manager |
8 Certified Semi-Annual Report
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STATEMENT OF ASSETS AND LIABILITIES
Thornburg California Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
ASSETS | ||||
Investments at value (cost $106,604,302) (Note 2) | $ | 108,516,029 | ||
Cash | 748,741 | |||
Receivable for fund shares sold | 78,144 | |||
Interest receivable | 1,381,714 | |||
Prepaid expenses and other assets | 368 | |||
Total Assets | 110,724,996 | |||
LIABILITIES | ||||
Payable for fund shares redeemed | 306,432 | |||
Payable to investment advisor and other affiliates (Note 3) | 75,106 | |||
Accounts payable and accrued expenses | 38,578 | |||
Dividends payable | 95,986 | |||
Total Liabilities | 516,102 | |||
NET ASSETS | $ | 110,208,894 | ||
NET ASSETS CONSIST OF: | ||||
Net unrealized appreciation on investments | $ | 1,911,727 | ||
Accumulated net realized gain (loss) | (945,572 | ) | ||
Net capital paid in on shares of beneficial interest | 109,242,739 | |||
$ | 110,208,894 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($65,232,689 applicable to 5,111,795 shares of beneficial interest outstanding – Note 4) | $ | 12.76 | ||
Maximum sales charge, 1.50% of offering price | 0.19 | |||
Maximum offering price per share | $ | 12.95 | ||
Class C Shares: | ||||
Net asset value and offering price per share * ($13,947,221 applicable to 1,092,054 shares of beneficial interest outstanding – Note 4) | $ | 12.77 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($31,028,984 applicable to 2,429,186 shares of beneficial interest outstanding – Note 4) | $ | 12.77 | ||
* | 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, 2008 (Unaudited) |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $364,948) | $ | 2,394,292 | ||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 278,112 | |||
Administration fees (Note 3) | ||||
Class A Shares | 41,583 | |||
Class C Shares | 8,885 | |||
Class I Shares | 7,624 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 83,166 | |||
Class C Shares | 74,453 | |||
Transfer agent fees | ||||
Class A Shares | 12,194 | |||
Class C Shares | 3,990 | |||
Class I Shares | 3,411 | |||
Registration and filing fees | ||||
Class A Shares | 28 | |||
Class C Shares | 28 | |||
Class I Shares | 28 | |||
Custodian fees (Note 3) | 25,949 | |||
Professional fees | 13,912 | |||
Accounting fees | 2,139 | |||
Trustee fees | 732 | |||
Other expenses | 6,409 | |||
Total expenses | 562,643 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (4,376 | ) | ||
Distribution fees waived (Note 3) | (37,227 | ) | ||
Fees paid indirectly (Note 3) | (5,794 | ) | ||
Net Expenses | 515,246 | |||
Net Investment Income | 1,879,046 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | 86,825 | |||
Net change in unrealized appreciation (depreciation) of investments | 211,375 | |||
Net Realized and Unrealized Gain | 298,200 | |||
Net Increase in Net Assets Resulting From Operations | $ | 2,177,246 | ||
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Thornburg California Limited Term Municipal Fund
Six Months Ended March 31, 2008* | Year Ended September 30, 2007 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 1,879,046 | $ | 3,986,590 | ||||
Net realized gain (loss) on investments | 86,825 | (164,310 | ) | |||||
Increase (Decrease) in unrealized appreciation (depreciation) of investments | 211,375 | (238,410 | ) | |||||
Net Increase (Decrease) in Net Assets Resulting from operations | 2,177,246 | 3,583,870 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (1,104,043 | ) | (2,494,459 | ) | ||||
Class C Shares | (217,849 | ) | (471,252 | ) | ||||
Class I Shares | (557,154 | ) | (1,020,879 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | (2,124,228 | ) | (13,105,346 | ) | ||||
Class C Shares | (537,732 | ) | (2,300,630 | ) | ||||
Class I Shares | (977,796 | ) | 3,635,455 | |||||
Net Decrease in Net Assets | (3,341,556 | ) | (12,173,241 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 113,550,450 | 125,723,691 | ||||||
End of period | $ | 110,208,894 | $ | 113,550,450 | ||||
* | Unaudited. |
See notes to financial statements.
Certified Semi-Annual Report 11
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Thornburg California Limited Term Municipal Fund | March 31, 2008 (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 thirteen series of shares of beneficial interest in addition to those of the Fund: Thornburg Limited Term 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, Thornburg Investment Income Builder Fund, Thornburg Global Opportunities Fund, Thornburg International Growth Fund, and Thornburg Strategic Income 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 primary investment objective is to obtain as high a level of current income exempt from federal and California state individual income tax as is consistent, in the view of the Fund’s investment advisor, with the preservation of capital. The Fund’s secondary objective is to reduce expected changes in its share price compared to longer intermediate and long-term bond portfolios.
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 may have different reinvestment privileges and conversion rights. 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 Securities: Debt securities have a primary market over the counter and are valued by an independent pricing service approved by the Trustees of the Trust. The pricing service ordinarily values debt securities at quoted bid prices. When quotations are not available, debt securities are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt securities of comparable quality, type of issue, coupon, maturity, and rating; indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
In any case where a pricing service fails to provide a price for a debt security held by the Fund, the valuation and pricing committee determines a fair value for the security using factors approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt security may be unreliable, the valuation and pricing committee decides whether or not to use the pricing service’s valuation or to determine a fair value for the security.
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 Fund’s 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 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 realized 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
12 Certified Semi-Annual Report
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg California Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
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.
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities 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 six months ended March 31, 2008, 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 depending on the Fund’s asset size. The Trust also has entered into administrative services agreements 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 six months ended March 31, 2008, the Advisor voluntarily reimbursed certain class specific expenses and administrative fees of $1,282 for Class A shares, $3,076 for Class C shares, and $18 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’s shares. For the six months ended March 31, 2008, the Distributor has advised the Fund that it earned no commissions from the sale of Class A shares, and collected contingent deferred sales charges aggregating $25 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 and distribution 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 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 the Distributor for 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 six months ended March 31, 2008, are set forth in the Statement of Operations. Distribution fees in the amount of $37,227 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 six months ended March 31, 2008, fees paid indirectly were $5,794. This figure may include additional fees waived by the custodian.
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 13
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg California Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2008, 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, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 401,495 | $ | 5,130,589 | 414,862 | $ | 5,274,076 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 56,534 | 720,827 | 131,772 | 1,673,749 | ||||||||||
Shares repurchased | (625,042 | ) | (7,975,644 | ) | (1,579,257 | ) | (20,053,171 | ) | ||||||
Net Increase (Decrease) | (167,013 | ) | $ | (2,124,228 | ) | (1,032,623 | ) | $ | (13,105,346 | ) | ||||
Class C Shares | ||||||||||||||
Shares sold | 75,881 | $ | 972,633 | 86,180 | $ | 1,093,229 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 13,108 | 167,257 | 28,501 | 362,296 | ||||||||||
Shares repurchased | (131,342 | ) | (1,677,622 | ) | (295,057 | ) | (3,756,155 | ) | ||||||
Net Increase (Decrease) | (42,353 | ) | $ | (537,732 | ) | (180,376 | ) | $ | (2,300,630 | ) | ||||
Class I Shares | ||||||||||||||
Shares sold | 445,008 | $ | 5,692,063 | 1,133,498 | $ | 14,373,498 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 33,696 | 429,980 | 66,177 | 841,375 | ||||||||||
Shares repurchased | (555,089 | ) | (7,099,839 | ) | (910,981 | ) | (11,579,418 | ) | ||||||
Net Increase (Decrease) | (76,385 | ) | $ | (977,796 | ) | 288,694 | $ | 3,635,455 | ||||||
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2008, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $12,026,660 and $15,475,154, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2008, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 106,604,302 | ||
Gross unrealized appreciation on a tax basis | $ | 2,373,351 | ||
Gross unrealized depreciation on a tax basis | (461,624 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 1,911,727 | ||
At March 31, 2008, the Fund had tax basis capital losses, which may be carried forward 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 carryforwards expire as follows:
2008 | $ | 214,571 | |
2012 | 33,844 | ||
2014 | 148,124 | ||
2015 | 471,548 | ||
$ | 868,087 | ||
At March 31, 2008, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2006 of $164,310. For tax purposes, such losses will be reflected in the year ending September 30, 2008.
14 Certified Semi-Annual Report
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg California Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
OTHER NOTES:
FASB Interpretation No. 48:
On July 13, 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation prescribes a model for how a company, including the Fund, should recognize, measure, present and disclose in its financial statements uncertain tax positions that the company has taken or expects to take on income tax returns, and also revises certain disclosure requirements. The Interpretation became effective for the Fund for the financial statement reporting period ended March 31, 2008. As of the date of this report, management of the Fund has not identified any material effect on the Fund’s financial statements resulting from the implementation of FIN 48.
Statement of Accounting Standards No. 157:
On September 15, 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 defines fair value, provides guidelines for measuring fair value in accordance with generally accepted accounting principles, and addresses disclosures about fair value measurements. FAS 157 establishes a fair value hierarchy that distinguishes between (i) market participant assumptions developed based upon market data obtained from sources independent of the reporting entity (observable inputs) and (ii) the entity’s own assumptions about market participant assumptions developed based upon the best information available under the circumstances (unobservable inputs). FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and is to be applied prospectively as of the beginning of the first fiscal year for which FAS 157 is applied. Management is evaluating FAS 157, and is not in a position at this time to estimate the significance of its impact, if any, on the Fund’s financial statements.
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Thornburg California Limited Term Municipal Fund
Six Months Ended March 31, 2008* | Year Ended Sept. 30, | Three Months Ended Sept. 30, 2004(a) | Year Ended June 30, | |||||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.74 | $ | 12.78 | $ | 12.80 | $ | 13.03 | $ | 12.89 | $ | 13.22 | $ | 12.97 | ||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||
Net investment income (loss) | 0.23 | 0.47 | 0.44 | 0.40 | 0.09 | 0.39 | 0.42 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.03 | (0.04 | ) | (0.02 | ) | (0.23 | ) | 0.14 | (0.33 | ) | 0.25 | |||||||||||||||||
Total from investment operations | 0.26 | 0.43 | 0.42 | 0.17 | 0.23 | 0.06 | 0.67 | |||||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||||||
Net investment income | (0.23 | ) | (0.47 | ) | (0.44 | ) | (0.40 | ) | (0.09 | ) | (0.39 | ) | (0.42 | ) | ||||||||||||||
Change in net asset value | 0.03 | (0.04 | ) | (0.02 | ) | (0.23 | ) | 0.14 | (0.33 | ) | 0.25 | |||||||||||||||||
NET ASSET VALUE, end of period | $ | 12.77 | $ | 12.74 | $ | 12.78 | $ | 12.80 | $ | 13.03 | $ | 12.89 | $ | 13.22 | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||
Total return (%)(b) | 2.08 | 3.44 | 3.39 | 1.31 | 1.81 | 0.46 | 5.27 | |||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Net investment income (loss) (%) | 3.65 | (c) | 3.71 | 3.50 | 3.09 | 2.85 | (c) | 2.99 | 3.20 | |||||||||||||||||||
Expenses, after expense reductions (%) | 0.66 | (c) | 0.66 | 0.66 | 0.68 | 0.67 | (c) | 0.67 | 0.65 | |||||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.65 | (c) | 0.65 | 0.55 | 0.67 | 0.67 | (c) | 0.67 | 0.65 | |||||||||||||||||||
Expenses, before expense reductions (%) | 0.66 | (c) | 0.68 | 0.71 | 0.73 | 0.77 | (c) | 0.78 | 0.75 | |||||||||||||||||||
Portfolio turnover rate (%) | 11.26 | 22.71 | 25.77 | 26.33 | 4.18 | 23.80 | 26.03 | |||||||||||||||||||||
Net assets at end of period (thousands) | $ | 31,029 | $ | 31,918 | $ | 28,334 | $ | 30,843 | $ | 25,728 | $ | 22,929 | $ | 20,592 |
(a) | The Fund’s fiscal year-end changed to September 30. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
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Thornburg California Limited Term Municipal Fund | March 31, 2008 (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) | A3/NR | $ | 435,000 | $ | 447,850 | |||
ABAG Finance Authority, 4.75% due 10/1/2012 (California School of Mechanical Arts) | A3/NR | 455,000 | 469,305 | |||||
Alameda County COP, 5.625% due 12/1/2016 (Santa Rita Jail; Insured: AMBAC) | Aaa/AAA | 1,830,000 | 2,099,870 | |||||
Bay Area Toll Bridge Revenue, 5.00% due 4/1/2016 | Aa3/AA | 2,075,000 | 2,281,130 | |||||
California HFA, 5.00% due 11/15/2011 (Cedars Sinai Medical Center) | A2/NR | 1,000,000 | 1,049,190 | |||||
California HFA, 5.25% due 10/1/2013 (Kaiser Permanente) (ETM) | NR/AAA | 2,000,000 | 2,047,120 | |||||
California HFA, 9.875% due 2/1/2017 | Aa2/AA- | 670,000 | 689,249 | |||||
California Mobile Home Park Financing Authority, 4.75% due 11/15/2010 (Rancho Vallecitos; Insured: ACA) | NR/NR | 500,000 | 509,100 | |||||
California Mobile Home Park Financing Authority, 5.00% due 11/15/2013 (Rancho Vallecitos; Insured: ACA) | NR/NR | 570,000 | 580,585 | |||||
California PCR Authority Solid Waste Disposal, 6.75% due 7/1/2011 (ETM) | Aaa/NR | 1,890,000 | 2,014,872 | |||||
California PCR Authority Solid Waste Disposal, 5.00% due 6/1/2018 put 6/1/2008 | NR/BBB | 1,100,000 | 1,100,121 | |||||
California PCR Authority Solid Waste Disposal, 5.25% due 6/1/2023 (AMT) | Baa1/BBB+ | 2,000,000 | 1,892,400 | |||||
California State Department of Transportation COP, 5.25% due 3/1/2016 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,023,840 | |||||
California State GO, 6.60% due 2/1/2010 (Insured: MBIA) | Aaa/AAA | 560,000 | 601,149 | |||||
California State GO, 5.75% due 10/1/2010 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,079,680 | |||||
California State GO, 5.50% due 3/1/2012 (Insured: FGIC) | A1/A+ | 230,000 | 232,806 | |||||
California State GO, 6.25% due 9/1/2012 | A1/A+ | 3,000,000 | 3,311,220 | |||||
California State GO, 5.00% due 3/1/2018 | A1/A+ | 1,000,000 | 1,057,980 | |||||
California State GO Economic Recovery, 5.25% due 7/1/2013 | Aa3/AA+ | 2,500,000 | 2,744,475 | |||||
California State GO Veterans Bonds, 9.50% due 2/1/2010 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,124,820 | |||||
California State Public Works Board Lease, 5.50% due 6/1/2010 (Various Universities) | Aa2/AA- | 780,000 | 813,704 | |||||
California State Public Works Board Lease, 5.00% due 1/1/2015 (Department of Corrections; Insured: AMBAC) | Aaa/AAA | 2,000,000 | 2,158,900 | |||||
California State Public Works Board Lease, 5.00% due 11/1/2015 (Various Universities) | Aa2/AA- | 1,000,000 | 1,088,720 | |||||
California State Public Works Board Lease, 5.00% due 9/1/2017 (Regents of University of California; Insured: FGIC) | Aa2/AA- | 1,235,000 | 1,333,084 | |||||
California Statewide Community Development Authority, 5.125% due 6/1/2008 (Louisiana Orthopedic Hospital Foundation; Insured: AMBAC) | Aaa/AAA | 595,000 | 597,642 | |||||
California Statewide Community Development Authority, 5.25% due 8/1/2014 (EAH-East Campus Apartments; Insured: ACA) | NR/NR | 1,215,000 | 1,223,323 | |||||
California Statewide Community Development Authority, 4.70% due 11/1/2036 put 6/1/2009 (Kaiser Permanente) | NR/A+ | 2,000,000 | 2,056,600 | |||||
California Statewide Community Development Authority COP, 6.50% due 8/1/2012 (Cedars Sinai Center Hospital; Insured: MBIA) | Aaa/AAA | 660,000 | 707,758 | |||||
California Statewide Community Development Authority COP, 5.30% due 12/1/2015 (Kaiser Permanente) (ETM) | Aaa/AAA | 2,785,000 | 2,927,341 | |||||
California Statewide Community HFA, 4.50% due 11/15/2013 (Los Angeles Jewish Home; Insured: CA Mortgage Insurance) | NR/A+ | 2,000,000 | 2,033,060 | |||||
Central Union High School District Imperial County, 5.00% due 8/1/2012 (Insured: FGIC) | Baa3/A- | 830,000 | 888,341 | |||||
Cerritos California Public Financing Authority, 5.00% due 11/1/2014 (Tax Allocation Redevelopment; Insured: AMBAC) | Aaa/AAA | 1,260,000 | 1,351,854 | |||||
Corona Norco USD GO, 0% due 9/1/2017 (Insured: FSA) | Aaa/AAA | 1,595,000 | 1,052,174 | |||||
Daly City Housing Development Financing Agency, 5.00% due 12/15/2019 (Franciscan Mobile Home Park) | NR/A- | 1,815,000 | 1,808,502 | |||||
El Monte COP Department of Public Services, 5.00% due 1/1/2009 (Insured: AMBAC) | Aaa/AAA | 955,000 | 968,236 | |||||
Escondido USD GO, 6.10% due 11/1/2011 (Insured: MBIA) | Aaa/AAA | 500,000 | 506,445 | |||||
Fillmore Public Financing Authority, 5.00% due 5/1/2016 (Water Recycling; Insured: CIFG) | A1/A+ | 735,000 | 774,925 | |||||
Fresno USD GO, 5.00% due 8/1/2009 (Insured: FSA) (ETM) | Aaa/AAA | 545,000 | 549,632 | |||||
Hawaiian Gardens Redevelopment Agency, 5.50% due 12/1/2008 | NR/BBB+ | 575,000 | 583,705 |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
High Desert California Memorial Health Care, 5.40% due 10/1/2011 | NR/NR | $ | 2,500,000 | $ | 2,509,600 | |||
Kern High School District GO, 7.00% due 8/1/2010 (ETM) | A1/NR | 165,000 | 182,338 | |||||
Los Angeles Community Redevelopment Agency, 5.00% due 7/1/2009 (Cinerama Dome Public Parking; Insured: ACA) | NR/NR | 835,000 | 826,091 | |||||
Los Angeles Community Redevelopment Agency, 5.75% due 7/1/2010 (Cinerama Dome Public Parking; Insured: ACA) | NR/NR | 435,000 | 431,437 | |||||
Los Angeles COP, 5.00% due 2/1/2012 (Insured: MBIA) | Aaa/AAA | 1,400,000 | 1,507,996 | |||||
Los Angeles County Capital Asset Leasing Corp., 5.00% due 4/1/2008 (Insured: AMBAC) | Aaa/AAA | 2,000,000 | 2,000,000 | |||||
Los Angeles County Schools, 5.00% due 6/1/2016 (Pooled Financing; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,067,240 | |||||
Los Angeles County Schools, 5.00% due 6/1/2017 (Pooled Financing; Insured: MBIA) | Aaa/AAA | 1,010,000 | 1,071,287 | |||||
Los Angeles Department of Water & Power Series A, 5.25% due 7/1/2011 (Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,239,280 | |||||
Los Angeles USD GO, 5.50% due 7/1/2012 (Insured: MBIA) | Aaa/AAA | 2,500,000 | 2,762,250 | |||||
Los Angeles USD GO, 5.00% due 7/1/2018 (Insured: FSA) | Aaa/AAA | 2,000,000 | 2,170,960 | |||||
Milpitas California Redevelopment Agency Tax Allocation Area No 1, 5.00% due 9/1/2015 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,123,480 | |||||
Moorpark Mobile Home Park, 5.80% due 5/15/2010 (Villa Del Arroyo; Insured: ACA) | NR/NR | 765,000 | 785,341 | |||||
Northern California Public Power Agency, 5.00% due 7/1/2009 (Geothermal Number 3) | A2/BBB+ | 4,000,000 | 4,008,040 | |||||
Norwalk California Redevelopment Agency Tax Allocation, 5.00% due 10/1/2014 (Insured: MBIA) | Aaa/AAA | 625,000 | 668,769 | |||||
Oxnard Financing Authority Solid Waste, 5.00% due 5/1/2013 (Insured: AMBAC) (AMT) | Aaa/AAA | 2,115,000 | 2,221,279 | |||||
Pomona USD GO, 6.10% due 2/1/2010 (Insured: MBIA) | Aaa/AAA | 320,000 | 336,291 | |||||
Richmond Joint Powers Financing Authority Lease & Gas Tax, 5.25% due 5/15/2013 partially pre-refunded 11/15/2007 | NR/A- | 555,000 | 555,943 | |||||
Roseville Natural Gas Financing Authority, 5.00% due 2/15/2017 | A1/A+ | 1,000,000 | 967,590 | |||||
Sacramento City Financing Authority, 0% due 11/1/2014 (Insured: MBIA) | Aaa/AAA | 3,310,000 | 2,476,277 | |||||
Sacramento County Sanitation District Financing Authority, 5.75% due 12/1/2009 | Aa3/AA | 560,000 | 592,273 | |||||
San Bernardino County Community Facilities District, 5.10% due 9/1/2011 | NR/NR | 190,000 | 196,471 | |||||
San Bernardino County Community Facilities District, 5.20% due 9/1/2012 | NR/NR | 205,000 | 213,085 | |||||
San Bernardino County Community Facilities District, 5.30% due 9/1/2013 | NR/NR | 300,000 | 311,703 | |||||
San Bernardino County Multi Family Housing, 4.75% due 12/15/2031 put 12/15/2011 (Rolling Ridge LLC; Collateralized: FNMA) | Aaa/NR | 3,100,000 | 3,260,952 | |||||
San Bernardino County Transportation Authority Sales Tax, 6.00% due 3/1/2010 (Insured: FGIC) (ETM) | Baa3/NR | 380,000 | 399,171 | |||||
San Diego County COP, 5.625% due 9/1/2012 (Insured: AMBAC) | Aaa/AAA | 750,000 | 788,692 | |||||
San Diego County COP Developmental Services Foundation, 5.50% due 9/1/2017 | Baa1/BB | 2,000,000 | 2,047,040 | |||||
San Francisco, 5.00% due 6/15/2014 (Laguna Honda Hospital; Insured: FSA) | Aaa/AAA | 2,320,000 | 2,521,956 | |||||
San Francisco City & County Redevelopment Agency, 0% due 7/1/2010 (George R Moscone Convention Center) | A1/AA- | 1,380,000 | 1,293,143 | |||||
San Jose Evergreen Community College District GO, 0% due 9/1/2011 crossover refunded 9/1/2010 (Insured: AMBAC) | Aaa/AAA | 2,200,000 | 1,938,376 | |||||
San Mateo USD GO, 0% due 9/1/2019 (Insured: FGIC) | Aa3/AA- | 2,000,000 | 1,140,600 | |||||
Seal Beach Redevelopment Agency Mobile Home Park, 5.20% due 12/15/2013 (Insured: ACA) | NR/NR | 575,000 | 584,539 | |||||
Southeast Resource Recovery Facilities Authority, 5.375% due 12/1/2013 (Insured: AMBAC) (AMT) | Aaa/AAA | 1,060,000 | 1,136,235 | |||||
Southern California Public Power Authority, 5.15% due 7/1/2015 (Insured: AMBAC) | Aaa/AAA | 350,000 | 388,332 | |||||
Southern California Public Power Authority, 5.15% due 7/1/2015 (Insured: AMBAC) | Aaa/AAA | 250,000 | 277,380 | |||||
Stanton Multi Family Housing, 5.625% due 8/1/2029 put 8/1/2009 (Continental Gardens; Collateralized: FNMA) | NR/AAA | 4,335,000 | 4,407,048 | |||||
Val Verde USD COP, 5.00% due 1/1/2014 (Insured: FGIC) (ETM) | Baa3/NR | 445,000 | 490,675 | |||||
Victorville Redevelopment Agency, 5.00% due 12/1/2014 (Bear Valley Road Special Escrow Fund; Insured: FSA) | Aaa/AAA | 340,000 | 358,986 | |||||
Walnut Valley USD GO, 7.00% due 8/1/2008 (Insured: MBIA) | Aaa/AAA | 100,000 | 101,634 | |||||
Walnut Valley USD GO, 8.75% due 8/1/2010 (Insured: MBIA) (ETM) | Aaa/AAA | 1,000,000 | 1,143,770 |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Washington Township Health Care District, 5.00% due 7/1/2009 | A3/NR | $ | 450,000 | $ | 460,607 | |||
Washington USD COP, 5.00% due 8/1/2017 (New High School; Insured: AMBAC) | Aaa/AAA | 725,000 | 769,074 | |||||
Whittier Solid Waste, 5.375% due 8/1/2014 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,002,090 | |||||
TOTAL INVESTMENTS — 98.46% (Cost $106,604,302) | $ | 108,516,029 | ||||||
OTHER ASSETS LESS LIABILITIES — 1.54% | 1,692,865 | |||||||
NET ASSETS — 100.00% | $ | 110,208,894 | ||||||
Footnote Legend
† 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. | |
AMT | Alternative Minimum Tax | |
CIFG | CIFG Assurance North America Inc. | |
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. | |
GO | General Obligation | |
HFA | Health Facilities Authority | |
MBIA | Insured by Municipal Bond Investors Assurance | |
PCR | Pollution Control Revenue Bond | |
USD | Unified School District |
See notes to financial statements.
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EXPENSE EXAMPLE | ||
Thornburg California Limited Term Municipal Fund | March 31, 2008 (Unaudited) |
As a shareholder of the Fund, you incur ongoing costs, including management and administration fees and other Fund expenses.
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested on September 30, 2007 and held until March 31, 2008.
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 for your class of shares 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 for each class of shares 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 9/30/07 | Ending Account Value 3/31/08 | Expenses Paid During Period† 9/30/07–3/31/08 | |||||||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,020.80 | $ | 3.29 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,021.75 | $ | 3.29 |
† | Expenses are equal to the annualized expense ratio for Class I shares (0.65%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one- half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
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Thornburg California Limited Term Municipal Fund | March 31, 2008 (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.
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 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
Not part of the Certified Semi-Annual Report
February 8, 2005, as readopted July 18, 2007
The Trustees are concerned that ongoing 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.
22 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. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
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.
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 Global Opportunities Fund |
• | Thornburg International Growth Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
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Thornburg Equity Funds
Thornburg’s equity research uses a fundamental and comprehensive analytical approach. Thornburg equity funds focus on a limited number of securities so that each holding can impact 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.
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
• | Thornburg International Growth Fund |
Thornburg Bond Funds
The majority of Thornburg bond funds are laddered portfolios of 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 Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term Municipal Fund |
• | Thornburg New Mexico Intermediate Municipal Fund |
• | Thornburg New York Intermediate Municipal Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund* |
Carefully consider each fund’s investment objectives, risks, sales charges, and expenses; this information can be found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. There is no guarantee that any of these funds will meet their investment objectives.
For additional information, please visit www.thornburg.com
Thornburg Investment Management, 119 East Marcy Street, Santa Fe, NM 87501
* | This fund does not use the laddering strategy. |
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This Semi-Annual Report is 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.
![]() | Investment Advisor: Thornburg Investment Management® 800.847.0200
Distributor: Thornburg Securities Corporation® 800.847.0200
TH1071 |
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Thornburg Intermediate Municipal Fund
Laddering – an All Weather Strategy
The Fund’s primary investment goal is to obtain as high a level of current income exempt from federal individual 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). The secondary goal of the Fund is to reduce expected changes in its share price compared to long-term bond portfolios.
This Fund is a laddered portfolio of municipal bonds with an average maturity of normally three to ten years. 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.
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Thornburg Intermediate Municipal Fund
March 31, 2008
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
Certified Semi-Annual Report 3
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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%. Class C shares assume deduction of a 0.60% contingent deferred sales charge (CDSC) for the first year only.
Performance data given at net asset value (NAV) does not take into account these sales charges. If the sales charges had been included, the performance would have been lower.
Investments 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. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund. Investments 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. There is no guarantee that the Fund will meet its investment objectives. The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
The information presented on the following pages was current as of March 31, 2008. The managers’ views, portfolio holdings, and sector diversification are provided for the general information of the Fund’s shareholders; they 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.
Lipper’s 2008 Best Fixed-Income Fund Family | ||
Thornburg Investment Management ranked #1 out of 41 eligible firms in Lipper Inc.’s fixed income large firm universe for the three-year period ended 12/31/07, based on risk-adjusted returns. Past performance does not guarantee future results. | ||
Lipper’s large firm universe is comprised of fund families with more than $28 billion in total net assets. Only fund families with at least five bond funds were eligible. Risk-adjusted returns were calculated with dividends reinvested and without sales charges. |
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Glossary
The Merrill Lynch 7-12 Year Municipal Bond Index – The Merrill Lynch 7-12 Year Municipal Bond Index represents a broad measure of market performance. It is a model portfolio of municipal obligations throughout the U.S., with an average maturity which ranges from seven to twelve years.
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.
Average Maturity – The average of the maturity dates of the debt securities in the fund. In general, the longer the average maturity, the greater the fund’s sensitivity to interest-rate changes, which means greater price fluctuation. A shorter average maturity usually means a less sensitive/less volatile portfolio.
Consumer Price Index – The Consumer Price Index (CPI) measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living 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.
Fed Funds Rate – The interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.
Real Gross Domestic Product (GDP) – The market value of goods and services produced by labor and property in the United States, regardless of nationality. This inflation-adjusted measure reflects the value of all goods and services produced in a given year, expressed in base-year prices. Often referred to as “constant-price GDP”, “inflation-corrected GDP” or “constant dollar GDP”.
U.S. Treasury Securities – U .S. Treasury securities, such as bills, notes and bonds, are negotiable debt obligations of the U.S. government. These debt obligations are backed by the “full faith and credit” of the government and issued at various schedules and maturities. Income from Treasury securities is exempt from state and local, but not federal income taxes.
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George Strickland Co-Portfolio Manager | April 14, 2008
Dear Fellow Shareholder:
We are pleased to present the Semi-Annual Report for the Thornburg Intermediate Municipal Fund. The net asset value of the Class A shares decreased by 14 cents per share to $13.01 during the six months ended March 31, 2008. If you were with us for the entire period, you received dividends of 25.7 cents per share. If you reinvested your dividends, you received 25.9 cents per share. Investors who owned Class C shares received dividends of 23.9 and 24.0 cents per share, respectively.
The past six months have been extraordinary in the capital markets. All bonds, including municipals, have been buffeted by the mortgage storm and its aftermath. In the rubble lies opportunity for unlevered investors like us. We are proud of our performance during this difficult period, and we welcome the accolades we have earned. In April 2008, Thornburg Investment Management received the 2008 Lipper Fund Award for Best Fixed-Income Fund Family. | |
Josh Gonze Co-Portfolio Manager | What makes our recent strong performance remarkable is that it occurred during the collapse of the mortgage market and the subsequent bank liquidity crisis. For years, leveraged investors have distorted prices in the bond market. In contrast with old-fashioned cash investors like ourselves, leveraged players tended to pay more for bonds because their borrowed funding and copious use of hedges allowed them to ignore the rules of fundamental bond investing. But in the last six months, banks curtailed lending, the auction-rate securities market crumpled, and hedges had to unwind.
Mortgage-backed securities began collapsing in August 2007. We were largely unscathed because we had minimal exposure to this sector. Risk models created by rating agencies failed to provide for the possibility of a broad increase in mortgage delinquencies. Banks and investors who held mortgage bonds took unprecedented write-downs, essentially admitting the bonds cannot recover. All of the bond insurers, to varying degrees, had written credit default swaps against mortgages, and now some bond insurers have been stripped of their AAA ratings. Banks have curtailed lending as they struggle to reduce the size of their balance sheets. | |
Christopher Ihlefeld Co-Portfolio Manager | Today’s economic picture is one of stagnating economic activity combined with accelerating inflation. Inflation is running around 4%, as measured by the CPI. Home sales and construction starts are depressed. Recent reports for real GDP indicate the economy is nearly flat with a 0.60% growth rate. Recent job reports show three consecutive months of declining payrolls, so we believe there is little question that the U.S. is in a mild recession. We expect the bipartisan $168 billion stimulus package to be ineffective.
The Fed has lowered the Fed Funds Rate by 3% since September 2007 to 2.25%, with further rate cuts anticipated. Low interest rates ordinarily halt downward economic trends by prompting more lending, borrowing, and spending. However, banks currently are focused on reducing assets, not creating new assets, so low interest rates are failing to translate into economic activity.
The decline of the dollar is both a signal and a cause of economic weakness. Our currency continues its long-term downward trend as investors, both foreign and domestic, shift their portfolios to hold more assets denominated in currencies other than the dollar. Dollar-denominated assets are undermined by accelerating U.S. inflation and negative real interest rates on Treasury bonds. |
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Letter to Shareholders | ||
Continued |
On the positive side, the yield curve has been steepening, which will support a rebound in bank profits. The municipal yield curve’s newly steep direction has pivoted around the year 2016. Since the beginning of January, bonds maturing prior to 2016 have declined in yield (risen in price), while bonds maturing after 2016 have risen in yield (declined in price). The flight to quality has pushed Treasury yields down sharply, with the result that the ratios of municipal-to-Treasury yields were at an all-time high. In the last six months we have purchased tax-exempt bonds at yields ranging from 120% to 200% of equivalent maturity Treasuries.
Meanwhile, quality spreads (the difference in yield between the highest quality bonds and lower quality bonds) have been wide in the last several months. Some investors, who were previously comfortable taking credit risk at very tight spreads to AAA rated bonds, suddenly became a lot less comfortable. Those who sold typically had to sell their bonds at significantly wider spreads than those that prevailed earlier in the year. This led to an environment where investors could finally be compensated for taking incremental credit risk in bonds rated lower than AAA. We have been a beneficiary of this trend. When the credit-spread widening started, we were under-weighted in BBB and A-rated bonds. As spreads doubled and tripled from their levels of mid-2007, we increased the Fund’s allocation to bonds rated below AA.
% of portfolio maturing | Cumulative % maturing | |
2 years = 12.4% | Year 2 = 12.4% | |
2 to 4 years = 13.7% | Year 4 =�� 26.1% | |
4 to 6 years = 10.0% | Year 6 = 36.1% | |
6 to 8 years = 11.0% | Year 8 = 47.1% | |
8 to 10 years = 12.7% | Year 10 = 59.8% | |
10 to 12 years = 12.0% | Year 12 = 71.8% | |
12 to 14 years = 11.5% | Year 14 = 83.3% | |
14 to 16 years = 9.2% | Year 16 = 92.5% | |
16 to 18 years = 1.8% | Year 18 = 94.3% | |
Over 18 years = 5.7% | Over 18 years = 100.0% |
Percentages can and do vary. Data as of 3/31/08.
The Class A shares of your Fund produced a total return of 0.89% over the six-months ended March 31, 2008, compared to a 2.25% return for the Merrill Lynch 7-12 Year Municipal Bond Index. Over the six-month period, shorter bonds have outperformed longer bonds. The Fund invests in a laddered portfolio of bonds that mature over the next eighteen years, with roughly 10% of the portfolio maturing in each two year period of the ladder, so a significant portion of the ladder extends past the 12-year maximum in the Index. Since longer bonds generally underperformed compared to bonds in the range of 7 to 12 years, the Fund underperformed the Index.
Your Thornburg Intermediate Municipal Fund is a laddered portfolio of 353 municipal obligations from 45 states. 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 chart above describes the percentages of your Fund’s bond portfolio maturing in each of the coming years.
We were able to take advantage of this past winter’s weakness to buy good bonds at attractive yields. We also slightly extended the portfolio’s sensitivity to interest rates. At September 30, 2007, the Fund’s ladder had an average maturity of 8.12 years and duration of 4.68 years. As the yield curve steepened, we invested further out on the ladder. Consequently, at March 31, 2008, the Fund had an average maturity of 8.13 and duration of 4.85 years.
Looking forward, we do expect to see a weak U.S. economy through 2008. Until the housing and credit markets stabilize, the economy will be on shaky ground. At some point in 2009, we anticipate stabilization. Prior to that point, bond yields may rise to compensate investors for inflation. Rising bond yields may lead to a lower price for the Fund, but would allow us to take cash from maturing bonds and interest payments, and re-invest it at attractive levels.
State tax revenues have slowed, putting a damper on state budgets. Historically this corresponds with periods of increased municipal bond supply as states and localities borrow to fund expenditures. Other sectors of the municipal
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Letter to Shareholders | ||
Continued |
bond market are moving sideways, with a mixture of credit rating upgrades and downgrades. While the current trend is positive, we expect the depressed housing market and slower economic growth to create a tougher environment for municipal bonds to show further credit improvement. We did add marginally to the Fund’s exposure to lower investment grade bonds recently, but we do believe it is prudent to keep overall credit quality high in the current environment. Your Fund is broadly diversified and 82% invested in bonds rated A or above by at least one of the major rating agencies.
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 | Josh Gonze | Christopher Ihlefeld | ||
Co-Portfolio Manager | Co-Portfolio Manager | Co-Portfolio Manager |
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STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
ASSETS | ||||
Investments at value (cost $525,094,233) (Note 2) | $ | 532,276,988 | ||
Cash | 4,051,550 | |||
Receivable for investments sold | 3,540,000 | |||
Receivable for fund shares sold | 1,750,114 | |||
Interest receivable | 7,531,026 | |||
Prepaid expenses and other assets | 26,146 | |||
Total Assets | 549,175,824 | |||
LIABILITIES | ||||
Payable for securities purchased | 3,238,424 | |||
Payable for fund shares redeemed | 749,126 | |||
Payable to investment advisor and other affiliates (Note 3) | 367,118 | |||
Accounts payable and accrued expenses | 126,237 | |||
Dividends payable | 613,126 | |||
Total Liabilities | 5,094,031 | |||
NET ASSETS | $ | 544,081,793 | ||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment income | $ | (4,864 | ) | |
Net unrealized appreciation on investments | 7,182,755 | |||
Accumulated net realized gain (loss) | (8,710,306 | ) | ||
Net capital paid in on shares of beneficial interest | 545,614,208 | |||
$ | 544,081,793 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($329,086,508 applicable to 25,300,566 shares of beneficial interest outstanding – Note 4) | $ | 13.01 | ||
Maximum sales charge, 2.00% of offering price | 0.27 | |||
Maximum offering price per share | $ | 13.28 | ||
Class C Shares: | ||||
Net asset value and offering price per share * ($55,677,336 applicable to 4,275,152 shares of beneficial interest outstanding – Note 4) | $ | 13.02 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($159,317,949 applicable to 12,265,217 shares of beneficial interest outstanding – Note 4) | $ | 12.99 | ||
* | 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, 2008 (Unaudited) |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $726,336) | $ | 12,988,565 | ||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 1,325,594 | |||
Administration fees (Note 3) | ||||
Class A Shares | 208,047 | |||
Class C Shares | 34,043 | |||
Class I Shares | 36,563 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 416,095 | |||
Class C Shares | 273,023 | |||
Transfer agent fees | ||||
Class A Shares | 62,450 | |||
Class C Shares | 12,987 | |||
Class I Shares | 35,425 | |||
Registration and filing fees | ||||
Class A Shares | 11,878 | |||
Class C Shares | 9,817 | |||
Class I Shares | 9,108 | |||
Custodian fees (Note 3) | 69,635 | |||
Professional fees | 22,536 | |||
Accounting fees | 8,880 | |||
Trustee fees | 3,660 | |||
Other expenses | 31,252 | |||
Total Expenses | 2,570,993 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (35,377 | ) | ||
Distribution fees waived (Note 3) | (109,209 | ) | ||
Fees paid indirectly (Note 3) | (10,415 | ) | ||
Net Expenses | 2,415,992 | |||
Net Investment Income | 10,572,573 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | 255,431 | |||
Net change in unrealized appreciation (depreciation) of investments | (6,113,970 | ) | ||
Net Realized and Unrealized Loss | (5,858,539 | ) | ||
Net Increase in Net Assets Resulting From Operations | $ | 4,714,034 | ||
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg Intermediate Municipal Fund |
Six Months ended March 31, 2008* | Year ended September 30, 2007 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 10,572,573 | $ | 19,690,998 | ||||
Net realized gain on investments | 255,431 | 563,541 | ||||||
Increase (Decrease) in unrealized appreciation (depreciation) of investments | (6,113,970 | ) | (6,072,467 | ) | ||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,714,034 | 14,182,072 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (6,497,528 | ) | (13,591,786 | ) | ||||
Class C Shares | (988,034 | ) | (1,928,153 | ) | ||||
Class I Shares | (3,087,011 | ) | (4,171,059 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | (1,070,342 | ) | (28,841,157 | ) | ||||
Class C Shares | 2,376,900 | (1,015,192 | ) | |||||
Class I Shares | 35,053,982 | 37,157,553 | ||||||
Net Increase in Net Assets | 30,502,001 | 1,792,278 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 513,579,792 | 511,787,514 | ||||||
End of period | $ | 544,081,793 | $ | 513,579,792 | ||||
* | Unaudited. |
See notes to financial statements.
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NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (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 thirteen 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 New York Intermediate Municipal 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, Thornburg Investment Income Builder Fund, Thornburg Global Opportunities Fund, Thornburg International Growth Fund, and Thornburg Strategic Income 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 primary investment objective is to obtain as high a level of current income exempt from federal individual income taxes as is consistent, in the view of the Fund’s investment advisor, with the preservation of capital. The Fund’s secondary objective is to reduce expected changes in its share price compared to long-term bond portfolios.
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 may have different reinvestment privileges and conversion rights. 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 Securities: Debt securities have a primary market over the counter and are valued by an independent pricing service approved by the Trustees of the Trust. The pricing service ordinarily values debt securities at quoted bid prices. When quotations are not available, debt securities are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt securities of comparable quality, type of issue, coupon, maturity, and rating; indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
In any case where a pricing service fails to provide a price for a debt security held by the Fund, the valuation and pricing committee determines a fair value for the security using factors approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt security may be unreliable, the valuation and pricing committee decides whether or not to use the pricing service’s valuation or to determine a fair value for the security.
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 Fund’s 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 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 realized 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
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
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.
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities 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 six months ended March 31, 2008, 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 depending on the Fund’s asset size. The Trust also has entered into administrative services agreements 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 six months ended March 31, 2008, the Advisor voluntarily reimbursed certain class specific expenses and administrative fees of $31,102 for Class C shares and $4,275 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’s shares. For the six months ended March 31, 2008, the Distributor has advised the Fund that it earned net commissions aggregating $1,547 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $716 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 and distribution 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 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 the Distributor for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2008, are set forth in the Statement of Operations. Distribution fees in the amount of $109,209 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 six months ended March 31, 2008, fees paid indirectly were $10,415. This figure may include additional fees waived by the custodian.
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, 2008 (Unaudited) |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2008, 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, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 2,056,413 | $ | 27,074,342 | 2,977,070 | $ | 39,306,041 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 307,447 | 4,019,269 | 616,657 | 8,138,336 | ||||||||||
Shares repurchased | (2,450,492 | ) | (32,163,953 | ) | (5,785,000 | ) | (76,285,534 | ) | ||||||
Net Increase (Decrease) | (86,632 | ) | $ | (1,070,342 | ) | (2,191,273 | ) | $ | (28,841,157 | ) | ||||
Class C Shares | ||||||||||||||
Shares sold | 460,476 | $ | 6,046,770 | 698,647 | $ | 9,209,025 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 49,137 | 643,108 | 96,425 | 1,274,036 | ||||||||||
Shares repurchased | (327,916 | ) | (4,312,978 | ) | (870,144 | ) | (11,498,253 | ) | ||||||
Net Increase (Decrease) | 181,697 | $ | 2,376,900 | (75,072 | ) | $ | (1,015,192 | ) | ||||||
Class I Shares | ||||||||||||||
Shares sold | 4,154,455 | $ | 54,605,753 | 4,284,001 | $ | 56,206,181 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 153,321 | 2,000,810 | 217,243 | 2,861,145 | ||||||||||
Shares repurchased | (1,630,533 | ) | (21,552,581 | ) | (1,660,657 | ) | (21,909,773 | ) | ||||||
Net Increase (Decrease) | 2,677,243 | $ | 35,053,982 | 2,840,587 | $ | 37,157,553 | ||||||||
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2008, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $60,779,363 and $34,946,420, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2008, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 525,091,762 | ||
Gross unrealized appreciation on a tax basis | $ | 13,893,541 | ||
Gross unrealized depreciation on a tax basis | (6,708,315 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 7,185,226 | ||
At March 31, 2008, the Fund had tax basis capital losses, which may be carried forward to offset future capital gains. Such losses include losses from the merger of the Thornburg Florida Intermediate Municipal Fund. Utilization of these losses may be subject to limitations from the IRS regulations. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations.
Such capital loss carryforwards expire as follows:
2008 | $ | 2,244,545 | |
2009 | 2,374,508 | ||
2011 | 11,597 | ||
2012 | 4,297,982 | ||
2013 | 39,577 | ||
$ | 8,968,209 | ||
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
OTHER NOTES:
FASB Interpretation No. 48:
On July 13, 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation prescribes a model for how a company, including the Fund, should recognize, measure, present and disclose in its financial statements uncertain tax positions that the company has taken or expects to take on income tax returns, and also revises certain disclosure requirements. The Interpretation became effective for the Fund for the financial statement reporting period ended March 31, 2008. As of the date of this report, management of the Fund has not identified any material effect on the Fund’s financial statements resulting from the implementation of FIN 48.
Statement of Accounting Standards No. 157:
On September 15, 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 defines fair value, provides guidelines for measuring fair value in accordance with generally accepted accounting principles, and addresses disclosures about fair value measurements. FAS 157 establishes a fair value hierarchy that distinguishes between (i) market participant assumptions developed based upon market data obtained from sources independent of the reporting entity (observable inputs) and (ii) the entity’s own assumptions about market participant assumptions developed based upon the best information available under the circumstances (unobservable inputs). FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and is to be applied prospectively as of the beginning of the first fiscal year for which FAS 157 is applied. Management is evaluating FAS 157, and is not in a position at this time to estimate the significance of its impact, if any, on the Fund’s financial statements.
Certified Semi-Annual Report 15
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Thornburg Intermediate Municipal Fund
Six Months Ended March 31, 2008* | Year Ended September 30, | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Class A Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.15 | $ | 13.30 | $ | 13.33 | $ | 13.48 | $ | 13.56 | $ | 13.67 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.26 | 0.51 | 0.49 | 0.49 | 0.52 | 0.52 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.14 | ) | (0.15 | ) | (0.03 | ) | (0.15 | ) | (0.08 | ) | (0.11 | ) | ||||||||||||
Total from investment operations | 0.12 | 0.36 | 0.46 | 0.34 | 0.44 | 0.41 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.26 | ) | (0.51 | ) | (0.49 | ) | (0.49 | ) | (0.52 | ) | (0.52 | ) | ||||||||||||
Change in net asset value | (0.14 | ) | (0.15 | ) | (0.03 | ) | (0.15 | ) | (0.08 | ) | (0.11 | ) | ||||||||||||
NET ASSET VALUE, end of period | $ | 13.01 | $ | 13.15 | $ | 13.30 | $ | 13.33 | $ | 13.48 | $ | 13.56 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (%)(a) | 0.89 | 2.74 | 3.57 | 2.57 | 3.29 | 3.11 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | 3.90 | (b) | 3.84 | 3.74 | 3.66 | 3.83 | 3.87 | |||||||||||||||||
Expenses, after expense reductions (%) | 0.97 | (b) | 0.99 | 0.99 | 0.99 | 0.98 | 0.99 | |||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.96 | (b) | 0.98 | 0.99 | 0.99 | 0.98 | 0.99 | |||||||||||||||||
Expenses, before expense reductions (%) | 0.97 | (b) | 0.99 | 1.00 | 1.01 | 0.98 | 1.00 | |||||||||||||||||
Portfolio turnover rate (%) | 6.87 | 22.55 | 18.95 | 20.06 | 11.81 | 15.13 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 329,087 | $ | 333,800 | $ | 366,702 | $ | 362,783 | $ | 370,227 | $ | 390,080 |
(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. |
* | Unaudited. |
See notes to the financial statements.
16 Certified Semi-Annual Report
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Class C Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.16 | $ | 13.31 | $ | 13.34 | $ | 13.50 | $ | 13.58 | $ | 13.69 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.24 | 0.47 | 0.46 | 0.46 | 0.48 | 0.47 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.14 | ) | (0.15 | ) | (0.03 | ) | (0.16 | ) | (0.08 | ) | (0.11 | ) | ||||||||||||
Total from investment operations | 0.10 | 0.32 | 0.43 | 0.30 | 0.40 | 0.36 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.24 | ) | (0.47 | ) | (0.46 | ) | (0.46 | ) | (0.48 | ) | (0.47 | ) | ||||||||||||
Change in net asset value | (0.14 | ) | (0.15 | ) | (0.03 | ) | (0.16 | ) | (0.08 | ) | (0.11 | ) | ||||||||||||
NET ASSET VALUE, end of period | $ | 13.02 | $ | 13.16 | $ | 13.31 | $ | 13.34 | $ | 13.50 | $ | 13.58 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (%)(a) | 0.75 | 2.48 | 3.31 | 2.24 | 3.02 | 2.73 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | 3.63 | (b) | 3.59 | 3.49 | 3.41 | 3.57 | 3.50 | |||||||||||||||||
Expenses, after expense reductions (%) | 1.24 | (b) | 1.24 | 1.24 | 1.25 | 1.24 | 1.35 | |||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 1.24 | (b) | 1.24 | 1.24 | 1.24 | 1.24 | 1.35 | |||||||||||||||||
Expenses, before expense reductions (%) | 1.76 | (b) | 1.78 | 1.78 | 1.80 | 1.78 | 1.80 | |||||||||||||||||
Portfolio turnover rate (%) | 6.87 | 22.55 | 18.95 | 20.06 | 11.81 | 15.13 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 55,677 | $ | 53,890 | $ | 55,497 | $ | 55,382 | $ | 57,979 | $ | 60,707 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report 17
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.13 | $ | 13.28 | $ | 13.31 | $ | 13.46 | $ | 13.54 | $ | 13.65 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.28 | 0.55 | 0.54 | 0.53 | 0.56 | 0.57 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.14 | ) | (0.15 | ) | (0.03 | ) | (0.15 | ) | (0.08 | ) | (0.11 | ) | ||||||||||||
Total from investment operations | 0.14 | 0.40 | 0.51 | 0.38 | 0.48 | 0.46 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.28 | ) | (0.55 | ) | (0.54 | ) | (0.53 | ) | (0.56 | ) | (0.57 | ) | ||||||||||||
Change in net asset value | (0.14 | ) | (0.15 | ) | (0.03 | ) | (0.15 | ) | (0.08 | ) | (0.11 | ) | ||||||||||||
NET ASSET VALUE, end of period | $ | 12.99 | $ | 13.13 | $ | 13.28 | $ | 13.31 | $ | 13.46 | $ | 13.54 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (%)(a) | 1.05 | 3.06 | 3.90 | 2.90 | 3.61 | 3.49 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | 4.22 | (b) | 4.16 | 4.07 | 3.98 | 4.12 | 4.23 | |||||||||||||||||
Expenses, after expense reductions (%) | 0.65 | (b) | 0.67 | 0.67 | 0.67 | 0.67 | 0.62 | |||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.65 | (b) | 0.67 | 0.67 | 0.67 | 0.67 | 0.62 | |||||||||||||||||
Expenses, before expense reductions (%) | 0.66 | (b) | 0.73 | 0.75 | 0.77 | 0.75 | 0.80 | |||||||||||||||||
Portfolio turnover rate (%) | 6.87 | 22.55 | 18.95 | 20.06 | 11.81 | 15.13 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 159,318 | $ | 125,890 | $ | 89,589 | $ | 52,037 | $ | 33,079 | $ | 19,333 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
18 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (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 — 0.46% | ||||||||
Alabama Docks Revenue, 6.00% due 10/1/2008 (Insured: MBIA) (ETM) | Aaa/AAA | $ | 800,000 | $ | 816,936 | |||
Lauderdale County & Florence City Health Care Authority, 5.75% due 7/1/2013 (Coffee Health; Insured: MBIA) | Aaa/AAA | 1,600,000 | 1,667,312 | |||||
ALASKA — 0.58% | ||||||||
Alaska Municipal Bond Bank, 5.00% due 10/1/2017 (Insured: FGIC) | A1/A+ | 2,470,000 | 2,592,586 | |||||
Anchorage GO, 6.00% due 10/1/2012 (Insured: FGIC) | Aa3/AA | 500,000 | 541,240 | |||||
ARIZONA — 1.00% | ||||||||
Phoenix Civic Improvement Corp., 5 .00% due 7/1/2017 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,089,130 | |||||
Pima County IDA, 6.70% due 7/1/2021 (Arizona Charter Schools) | Baa3/NR | 2,675,000 | 2,730,158 | |||||
Salt Verde Financial Corp. Gas Revenue, 5.25% due 12/1/2028 | Aa3/AA- | 500,000 | 456,980 | |||||
Tucson GO, 9.75% due 7/1/2012 (ETM) | NR/AA | 400,000 | 507,224 | |||||
Tucson GO, 9.75% due 7/1/2013 (ETM) | NR/AA | 500,000 | 660,625 | |||||
ARKANSAS — 0.45% | ||||||||
Jefferson County Hospital Improvement, 5.75% due 6/1/2012 (Jefferson Hospital Association) | NR/A | 1,135,000 | 1,202,578 | |||||
Jefferson County Hospital Improvement, 5.75% due 6/1/2013 (Jefferson Hospital Association) | NR/A | 1,200,000 | 1,264,728 | |||||
CALIFORNIA — 3.17% | ||||||||
California HFA, 9.875% due 2/1/2017 | Aa2/AA- | 675,000 | 694,393 | |||||
California State GO, 5.50% due 3/1/2027 | A1/A+ | 2,000,000 | 2,075,760 | |||||
California State Public Works Board Lease, 5.00% due 6/1/2017 (Regents of University of California; Insured: FGIC) | Aa2/AA- | 2,000,000 | 2,157,680 | |||||
Castaic Lake Water Agency COP, 5.00% due 8/1/2025 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,014,780 | |||||
El Camino Hospital District, 6.25% due 8/15/2017 (ETM) | Aaa/AAA | 1,000,000 | 1,129,800 | |||||
Golden West Schools Financing Authority, 0% due 8/1/2018 (Insured: MBIA) | Aaa/AAA | 2,140,000 | 1,219,201 | |||||
Los Angeles Regional Airport Improvement Corp., 5 .00% due 1/1/2017 (LAX Fuel Corp.; Insured: FSA) (AMT) | Aaa/AAA | 1,120,000 | 1,155,504 | |||||
Redwood City Redevelopment Project, 0% due 7/15/2023 (Insured: AMBAC) | Aaa/AAA | 2,060,000 | 890,703 | |||||
San Jose USD COP, 5.00% due 6/1/2021 (Insured: FGIC) | Baa3/A+ | 1,580,000 | 1,601,298 | |||||
San Mateo USD GO, 0% due 9/1/2019 (Insured: FGIC) | Aa3/AA- | 3,000,000 | 1,710,900 | |||||
Victor Elementary School District GO, 0% due 8/1/2025 (Insured: FGIC) | A2/A | 1,535,000 | 574,596 | |||||
Washington USD, 5.00% due 8/1/2022 (New High School; Insured: AMBAC) | Aaa/AAA | 2,010,000 | 2,041,336 | |||||
COLORADO — 4.24% | ||||||||
Adams County, 5.00% due 8/1/2014 (Platte Valley Medical Center; Insured: FHA 242; MBIA) | NR/AAA | 1,000,000 | 1,084,200 | |||||
Adams County Communication Center COP, 5.75% due 12/1/2016 | Baa1/NR | 1,265,000 | 1,325,062 | |||||
Arvada IDRB, 5.60% due 12/1/2012 (Wanco Inc .; LOC: US Bank N .A.) (AMT) | NR/NR | 450,000 | 450,567 | |||||
Central Platte Valley Metropolitan District, 5.15% due 12/1/2013 pre-refunded 12/1/2009 | NR/AAA | 1,000,000 | 1,059,940 | |||||
Central Platte Valley Metropolitan District, 5.00% due 12/1/2031 put 12/1/2009 (LOC: US Bank) | NR/AA+ | 3,995,000 | 4,145,691 | |||||
Colorado Educational & Cultural Facilities, 5.25% due 8/15/2019 (Peak to Peak Charter School; Insured: XLCA) | A3/A | 1,475,000 | 1,537,688 | |||||
Colorado Educational & Cultural Facilities, 6.00% due 4/1/2021 (Cherry Creek Charter School) | Baa2/NR | 500,000 | 501,085 | |||||
Denver City & County Housing Authority, 5.20% due 11/1/2027 (Three Towers Rehabilitation; Insured: FSA) (AMT) | Aaa/NR | 2,555,000 | 2,409,033 | |||||
El Paso County School District GO, 7.10% due 12/1/2013 (State Aid Withholding) | Aa3/AA- | 500,000 | 596,355 |
Certified Semi-Annual Report 19
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Madre Metropolitan District GO, 5.375% due 12/1/2026 | NR/NR | $ | 2,220,000 | $ | 1,793,693 | |||
Murphy Creek Metropolitan District GO, 6.00% due 12/1/2026 | NR/NR | 2,000,000 | 1,630,480 | |||||
North Range Metropolitan District GO, 5.00% due 12/15/2021 | NR/NR | 1,500,000 | 1,337,820 | |||||
Northwest Parkway Public Highway Authority Senior Convertible C, 0% due 6/15/2014 (Insured: FSA) (ETM) | Aaa/AAA | 1,005,000 | 939,896 | |||||
Plaza Metropolitan District Public Improvement Fee/Tax Increment, 7.70% due 12/1/2017 | NR/NR | 2,500,000 | 2,599,800 | |||||
Southlands Metropolitan District GO, 7.00% due 12/1/2024 pre-refunded 12/1/2014 | NR/AAA | 1,370,000 | 1,660,180 | |||||
DELAWARE — 0.28% | ||||||||
Delaware State HFA, 5.25% due 5/1/2016 (Nanticoke Memorial Hospital; Insured: Radian) | NR/AA | 1,500,000 | 1,535,295 | |||||
DISTRICT OF COLUMBIA — 2.25% | ||||||||
District of Columbia Association of American Medical Colleges, 5.00% due 2/15/2017 (Insured: AMBAC) Aaa/AAA | 1,000,000 | 1,080,460 | ||||||
District of Columbia COP, 5.25% due 1/1/2014 (Insured: FGIC) | A2/A | 2,000,000 | 2,148,400 | |||||
District of Columbia COP, 5.00% due 1/1/2020 (Insured: FGIC) | A2/A | 3,900,000 | 3,985,137 | |||||
District of Columbia COP, 5.00% due 1/1/2023 (Insured: FGIC) | A2/A | 1,000,000 | 1,003,110 | |||||
District of Columbia GO, 6.00% due 6/1/2015 (Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,429,690 | |||||
District of Columbia Hospital, 5.375% due 8/15/2015 (Medlantic Healthcare) (ETM) | Aaa/AAA | 600,000 | �� | 613,320 | ||||
FLORIDA — 11.25% | ||||||||
Broward County HFA Multi Family Housing, 5.40% due 10/1/2011 (Pembroke Park Apartments; Guaranty: Florida Housing Finance Corp.) (AMT) | NR/NR | 385,000 | 394,687 | |||||
Broward County Resource Recovery, 5.50% due 12/1/2008 (Wheelabrator South) | A3/AA | 500,000 | 511,080 | |||||
Broward County School Board COP, 5.00% due 7/1/2020 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,049,890 | |||||
Capital Trust Agency Multi Family Housing, 5.15% due 11/1/2030 put 11/1/2010 (Shadow Run; Collateralized: FNMA) | Aaa/NR | 1,000,000 | 1,043,280 | |||||
Collier County HFA Multi Family A-1, 4.90% due 2/15/2032 put 2/15/2012 (Goodlette Arms; Collateralized: FNMA) | Aaa/NR | 1,000,000 | 1,050,910 | |||||
Crossings at Fleming Island Community Development, 5.60% due 5/1/2012 (Insured: MBIA) | Aaa/AAA | 220,000 | 232,659 | |||||
Enterprise Community Development District Assessment Bonds, 6.00% due 5/1/2010 (Insured: MBIA) | Aaa/AAA | 870,000 | 872,366 | |||||
Escambia County HFA, 5.125% due 10/1/2014 (Baptist Hospital/Baptist Manor) | Baa1/BBB+ | 1,000,000 | 1,012,760 | |||||
Escambia County HFA, 5.95% due 7/1/2020 (Florida Health Care Facility Loan; Insured: AMBAC) | Aaa/NR | 560,000 | 589,361 | |||||
Flagler County School Board COP, 5.00% due 8/1/2020 (Insured: FSA) | Aaa/AAA | 2,560,000 | 2,664,013 | |||||
Florida Board of Education GO Capital Outlay, 9.125% due 6/1/2014 | Aa1/AAA | 905,000 | 1,063,637 | |||||
Florida Board of Education GO Capital Outlay, 5.75% due 6/1/2018 | Aa1/AAA | 1,460,000 | 1,542,067 | |||||
Florida Housing Finance Corp., 5 .40% due 4/1/2014 pre-refunded 10/1/2010 (Augustine Club Apartments; Insured: MBIA) | Aaa/NR | 415,000 | 452,429 | |||||
Florida Housing Finance Corp. Homeowner Mortgage, 4.80% due 1/1/2016 | Aa1/AA+ | 275,000 | 283,222 | |||||
Florida Municipal Loan Council, 5.00% due 10/1/2024 (Insured: MBIA) (1) | Aaa/AAA | 2,235,000 | 2,268,793 | |||||
Florida State Board of Education Series B, 4.75% due 6/1/2021 | Aa1/AAA | 1,000,000 | 1,000,560 | |||||
Florida State Department of Children & Families COP, 5.00% due 10/1/2018 (South Florida Evaluation Treatment) | NR/AA+ | 2,090,000 | 2,186,621 | |||||
Florida State Department of Children & Families COP, 5.00% due 10/1/2019 (South Florida Evaluation Treatment) | NR/AA+ | 2,255,000 | 2,341,366 | |||||
Florida State Department of Environmental Protection, 5.00% due 7/1/2017 (Florida Forever; Insured: FGIC) | A1/AA- | 1,000,000 | 1,062,940 | |||||
Grand Haven Community Development District Florida Special Assessment, 6.90% due 5/1/2019 | NR/NR | 270,000 | 271,102 | |||||
Greater Orlando Aviation Authority, 5.25% due 10/1/2017 (Insured: FSA) (AMT) | Aaa/AAA | 5,000,000 | 5,145,050 | |||||
Highlands County HFA, 5.00% due 11/15/2019 (Adventist Health Hospital) | A1/A+ | 1,100,000 | 1,106,171 | |||||
Highlands County HFA, 5.00% due 11/15/2019 (Adventist Health Hospital) | A1/A+ | 1,000,000 | 1,005,610 | |||||
Hillsborough County Assessment Capacity, 5.00% due 3/1/2017 (Insured: FGIC) | A3/A+ | 1,000,000 | 1,057,510 | |||||
Hillsborough County IDA PCR, 5.10% due 10/1/2013 (Tampa Electric Co.) | Baa2/BBB- | 1,000,000 | 1,015,410 |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Hillsborough County IDA PCR, 5.65% due 5/15/2018 (Tampa Electric) | Baa2/BBB- | $ | 2,000,000 | $ | 1,999,540 | |||
Hollywood Community Redevelopment Agency, 5.00% due 3/1/2021 (Insured: XLCA) | A3/A- | 3,000,000 | 3,086,400 | |||||
Jacksonville HFA Hospital, 5.75% due 8/15/2014 pre-refunded 8/15/2011 | NR/NR | 1,000,000 | 1,050,070 | |||||
Jacksonville Water & Sewer District COP, 5.00% due 10/1/2020 pre-refunded 10/1/2008 | Aaa/AAA | 1,000,000 | 1,012,350 | |||||
Manatee County Florida, 5.00% due 10/1/2016 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,071,810 | |||||
Marion County Hospital District, 5.00% due 10/1/2022 (Munroe Regional Health) | A2/NR | 1,000,000 | 985,810 | |||||
Miami Dade County School Board COP, 5.00% due 10/1/2021 (Insured: AMBAC) | Aaa/AAA | 3,035,000 | 3,157,007 | |||||
Miami Dade County Special Housing, 5.80% due 10/1/2012 (HUD Section 8) | Baa3/NR | 645,000 | 677,566 | |||||
Miami GO, 5.375% due 9/1/2015 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,080,330 | |||||
Orange County HFA, 6.25% due 10/1/2013 (Orlando Regional Hospital; Insured: MBIA) | Aaa/AAA | 440,000 | 498,533 | |||||
Orange County HFA, 5.125% due 6/1/2014 (Mayflower Retirement; Insured: Radian) | NR/AA | 1,000,000 | 1,017,140 | |||||
Orange County HFA, 6.25% due 10/1/2016 (Orlando Regional Hospital; Insured: MBIA) | Aaa/AAA | 280,000 | 310,509 | |||||
Orange County HFA, 6.375% due 11/15/2020 pre-refunded 11/15/2010 (Adventist Health Systems) | A1/NR | 1,000,000 | 1,104,270 | |||||
Orange County School Board COP, 6.00% due 8/1/2008 (Insured: MBIA) | Aaa/NR | 1,580,000 | 1,597,838 | |||||
Orange County School Board COP, 5.50% due 8/1/2017 pre-refunded 8/01/2012 (Insured: MBIA) | Aaa/AAA | 735,000 | 812,829 | |||||
Port Everglades Authority, 5.00% due 9/1/2016 (Insured: FSA) | Aaa/AAA | 5,635,000 | 5,668,021 | |||||
South Miami HFA, 5.00% due 8/15/2022 (Baptist Health Group) | Aa3/AA- | 1,500,000 | 1,503,255 | |||||
St. John’s County IDA, 5.50% due 8/1/2014 (Presbyterian Retirement) | NR/NR | 1,000,000 | 1,049,460 | |||||
Tampa Health Systems, 5.50% due 11/15/2013 (Baycare Health Group; Insured: MBIA) | Aaa/AAA | 1,050,000 | 1,156,176 | |||||
University of Central Florida COP Convocation Corp., 5 .00% due 10/1/2019 (Insured: FGIC) | Baa3/NR | 1,135,000 | 1,161,355 | |||||
GEORGIA — 1.22% | ||||||||
Atlanta Airport Revenue Series B, 6.00% due 1/1/2018 (Insured: FGIC) (AMT) | A1/A+ | 1,000,000 | 1,026,990 | |||||
Atlanta Tax Allocation, 5.00% due 12/1/2015 (Atlantic Station; Insured: Assured Guaranty) | Aaa/AAA | 4,120,000 | 4,419,030 | |||||
Georgia Municipal Electric Power Authority, 10.00% due 1/1/2010 | A1/A+ | 230,000 | 258,789 | |||||
Main Street Natural Gas Inc., 5 .50% due 9/15/2022 | A1/A+ | 1,000,000 | 938,310 | |||||
HAWAII — 0.40% | ||||||||
Hawaii Department of Budget & Finance, 6.40% due 7/1/2013 (Kapiolani Health Care; Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,166,720 | |||||
IDAHO — 0.38% | ||||||||
Boise City IDRB Corp., 5 .00% due 5/15/2020 (Western Trailer Co.; LOC: Wells Fargo) | Aaa/NR | 2,000,000 | 2,042,060 | |||||
ILLINOIS — 9.03% | ||||||||
Champaign County Community School District GO, 0% due 1/1/2011 pre-refunded 1/1/2010 (Insured: FGIC) | Baa3/AA- | 800,000 | 724,272 | |||||
Chicago Board of Education Series D3, 9.00% due 3/1/2034 put 4/25/2008 (Auction Rate Bond) | A1/AA- | 5,000,000 | 5,000,000 | |||||
Chicago Housing Authority, 5.00% due 7/1/2008 (ETM) | Aaa/NR | 3,020,000 | 3,044,341 | |||||
Chicago Midway Airport Second Lien, 5.00% due 1/1/2019 (Insured: AMBAC) | Aaa/AAA | 1,210,000 | 1,214,029 | |||||
Chicago Tax Increment, 6.25% due 11/15/2013 (Near South Redevelopment; Insured: ACA) | NR/NR | 1,500,000 | 1,567,875 | |||||
Chicago Tax Increment Allocation, 6.50% due 12/1/2008 (Sub Central Loop Redevelopment; Insured: ACA) | NR/NR | 1,500,000 | 1,528,800 | |||||
Chicago Tax Increment Allocation, 5.30% due 1/1/2014 (Lincoln Belmont; Insured: ACA) | NR/NR | 2,285,000 | 2,294,643 | |||||
Cook County Capital Improvement GO, 5.50% due 11/15/2008 (Insured: FGIC) | Aa2/AA | 500,000 | 503,855 | |||||
Cook County School District GO, 0% due 12/1/2022 (ETM) | NR/NR | 2,000,000 | 998,900 | |||||
Illinois DFA, 6.00% due 11/15/2012 (Adventist Health Group; Insured: MBIA) | Aaa/AAA | 2,860,000 | 3,088,943 | |||||
Illinois DFA Community Rehab Providers, 5.90% due 7/1/2009 | NR/BBB | 325,000 | 328,413 | |||||
Illinois Educational Facilities Authority, 5.50% due 5/15/2018 (Midwestern State University; Insured: ACA) NR/NR | 1,500,000 | 1,454,640 | ||||||
Illinois Educational Facilities Authority, 4.75% due 11/1/2036 put 11/1/2016 (Field Museum) | A2/A | 1,160,000 | 1,188,722 | |||||
Illinois Finance Authority, 5.00% due 8/1/2022 (Bradley University; Insured: XLCA) | A3/A | 1,000,000 | 1,012,590 | |||||
Illinois Finance Authority, 5.00% due 2/1/2027 (Newman Foundation; Insured: Radian) | NR/AA | 1,220,000 | 1,142,127 | |||||
Illinois HFA, 6.00% due 7/1/2011 (Loyola University Health Systems; Insured: MBIA) | Aaa/AAA | 1,370,000 | 1,494,067 |
Certified Semi Annual Report 21
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Illinois HFA, 6.00% due 7/1/2012 (Loyola University Health Systems; Insured: MBIA) (ETM) | Aaa/AAA | $ | 230,000 | $ | 258,304 | |||
Illinois HFA, 6.00% due 7/1/2012 (Loyola University Health Systems; Insured: MBIA) | Aaa/AAA | 1,080,000 | 1,194,685 | |||||
Illinois HFA, 6.25% due 11/15/2019 pre-refunded 11/15/2009 (OSF Healthcare) | A2/A | 1,250,000 | 1,339,787 | |||||
Illinois HFA, 5.70% due 2/20/2021 (Midwest Care Center; Collateralized: GNMA) | Aaa/NR | 905,000 | 941,969 | |||||
Illinois HFA Series A, 5.75% due 8/15/2013 pre-refunded 8/15/2009 (Children’s Memorial Hospital; Insured: AMBAC) | Aaa/AAA | 1,900,000 | 2,018,218 | |||||
Melrose Park Tax Increment, 6.50% due 12/15/2015 (Insured: FSA) | Aaa/AAA | 1,015,000 | 1,111,121 | |||||
Sangamon County School District COP, 5.875% due 8/15/2018 (Hay Edwards; Insured: ACA) | NR/NR | 2,400,000 | 2,420,472 | |||||
Sherman Mortgage, 6.10% due 10/1/2014 (Villa Vianney Health Care; Collateralized: FHA/GNMA) | NR/AAA | 1,170,000 | 1,223,633 | |||||
Sherman Mortgage, 6.20% due 10/1/2019 (Villa Vianney Health Care; Collateralized: FHA/GNMA) | NR/AAA | 1,600,000 | 1,662,704 | |||||
Southern Illinois University, 0% due 4/1/2014 (Insured: MBIA) | Aaa/AAA | 1,425,000 | 1,121,945 | |||||
Southwestern Illinois Development Authority, 0% due 12/1/2024 (Insured: FSA) | NR/AAA | 2,975,000 | 1,205,351 | |||||
Tazewell County School District GO, 9.00% due 12/1/2024 (Insured: FGIC) | A3/NR | 1,205,000 | 1,757,854 | |||||
University of Illinois, 0% due 4/1/2014 (Insured: MBIA) | Aaa/AAA | 1,590,000 | 1,255,544 | |||||
University of Illinois, 5.25% due 1/15/2018 (UIC South Campus Development; Insured: FGIC) | A1/AA- | 1,205,000 | 1,284,638 | |||||
Will & Kendall Counties Community School District GO, 5.125% due 1/1/2014 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,053,210 | |||||
Will County Community School District GO, 0% due 11/1/2011 (Insured: FSA) | Aaa/AAA | 3,000,000 | 2,681,850 | |||||
INDIANA — 5.93% | ||||||||
Allen County Economic Development, 5.80% due 12/30/2012 (Indiana Institute of Technology) | NR/NR | 895,000 | 922,772 | |||||
Allen County Economic Development, 5.75% due 12/30/2015 (Indiana Institute of Technology) | NR/NR | 1,355,000 | 1,418,211 | |||||
Allen County Jail Building Corp., 5 .00% due 4/1/2018 (Insured: XLCA) | Aa3/NR | 2,495,000 | 2,611,317 | |||||
Allen County Redevelopment District Tax, 5.00% due 11/15/2018 | A3/NR | 1,560,000 | 1,616,285 | |||||
Boone County Hospital Association, 5.625% due 1/15/2015 pre-refunded 7/15/2011 (Insured: FGIC) | Baa3/A+ | 1,000,000 | 1,093,300 | |||||
Carmel Redevelopment Authority Lease, 0% due 2/1/2016 (Performing Arts Center) | Aa2/AA | 1,730,000 | 1,225,411 | |||||
Carmel Redevelopment Authority Lease, 0% due 2/1/2021 (Performing Arts Center) | Aa2/AA | 2,000,000 | 1,028,480 | |||||
Dyer Redevelopment Authority, 6.40% due 7/15/2015 pre-refunded 7/15/2009 | NR/A- | 1,515,000 | 1,618,353 | |||||
Dyer Redevelopment Authority, 6.50% due 7/15/2016 pre-refunded 7/15/2009 | NR/A- | 1,910,000 | 2,042,726 | |||||
East Chicago Elementary School Building First Mortgage, 6.25% due 7/5/2008 (State Aid Withholding) | NR/A | 95,000 | 95,794 | |||||
Fishers Redevelopment Authority, 5.25% due 2/1/2020 (Insured: XLCA) | A3/AA | 1,025,000 | 1,080,678 | |||||
Fort Wayne Redevelopment Authority, 5.00% due 8/1/2023 (Harrison Square; Insured: Assured Guaranty) | Aaa/NR | 2,290,000 | 2,334,082 | |||||
Goshen Chandler School Building, 0% due 1/15/2011 (Insured: MBIA) | Aaa/AAA | 1,020,000 | 937,268 | |||||
Huntington Economic Development, 6.40% due 5/1/2015 (United Methodist Memorial) | NR/NR | 1,000,000 | 1,011,540 | |||||
Indiana Bond Bank, 5.25% due 4/1/2023 (Hendricks Regional; Insured: AMBAC) | Aaa/AAA | 2,000,000 | 2,093,280 | |||||
Indiana HFA, 5.75% due 9/1/2015 (Methodist Hospital) (ETM) | A3/AAA | 575,000 | 585,086 | |||||
Indiana State Educational Facilities Authority, 5.65% due 10/1/2015 pre-refunded 10/01/2009 (University of Indianapolis) | NR/A- | 1,065,000 | 1,101,167 | |||||
Indiana State Educational Facilities Authority, 5.70% due 10/1/2016 pre-refunded 10/01/2009 (University of Indianapolis) | NR/A- | 1,025,000 | 1,059,963 | |||||
Indianapolis Local Public Improvement Bond Bank, 0% due 7/1/2009 (ETM) | Aa2/NR | 740,000 | 717,992 | |||||
Lawrence Multifamily Redevelopment Authority, 5.40% due 6/1/2024 put 1/1/2018 (Pinnacle Apartments; Collateralized: FNMA) | NR/AAA | 1,500,000 | 1,500,540 | |||||
Noblesville Redevelopment Authority, 5.00% due 8/1/2017 (146th Street Extension) | NR/A+ | 1,000,000 | 1,021,670 | |||||
Noblesville Redevelopment Authority, 5.00% due 8/1/2020 (146th Street Extension) | NR/A+ | 1,000,000 | 997,200 | |||||
Vanderburgh County Redevelopment District Tax Increment, 5.00% due 2/1/2020 | NR/A- | 1,000,000 | 963,590 | |||||
Wawasee Community School Corp. First Mortgage, 5.50% due 7/15/2012 pre-refunded 1/15/2012 (1) | NR/AA | 1,200,000 | 1,323,624 | |||||
West Clark School Building Corp. First Mortgage, 5.75% due 7/15/2017 (Insured: FGIC) | Baa3/AA | 1,685,000 | 1,858,471 | |||||
IOWA — 1.77% | ||||||||
Coralville COP, 5.25% due 6/1/2022 | A2/NR | 2,980,000 | 3,029,230 | |||||
Iowa Finance Authority, 6.00% due 7/1/2012 (Trinity Regional Hospital; Insured: FSA) | Aaa/AAA | 1,000,000 | 1,071,720 | |||||
Iowa Finance Authority, 6.00% due 7/1/2013 (Genesis Medical Center) | A1/NR | 1,000,000 | 1,037,530 | |||||
Iowa Finance Authority, 5.75% due 12/1/2015 (Trinity Health) | Aa2/AA | 1,250,000 | 1,314,037 |
22 Certified Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Iowa Finance Authority, 6.75% due 2/15/2016 pre-refunded 2/15/2010 (Iowa Health Services) | Aa3/NR | $ | 1,000,000 | $ | 1,087,640 | |||
Iowa Finance Authority, 6.00% due 12/1/2018 (Catholic Health Initiatives) | Aa2/AA | 2,000,000 | 2,099,180 | |||||
KANSAS — 1.65% | ||||||||
Burlington Environmental Improvement, 5.375% due 9/1/2035 put 4/1/2013 (Kansas City Power & Light; Insured: FGIC) | A3/A | 2,400,000 | 2,397,408 | |||||
Olathe Tax Increment Special Obligation, 5.45% due 9/1/2022 (West Village Center) | NR/NR | 1,155,000 | 1,053,637 | |||||
Wichita Hospital Revenue, 6.75% due 11/15/2019 (Via Christi Health System) | NR/A+ | 4,200,000 | 4,408,656 | |||||
Wyandotte County School District GO, 5.00% due 9/1/2014 (Insured: FGIC) | A3/NR | 1,030,000 | 1,107,044 | |||||
KENTUCKY — 1.15% | ||||||||
Kentucky EDA Series B, 0% due 10/1/2024 (Norton Healthcare; Insured: MBIA) | Aaa/AAA | 3,000,000 | 1,188,720 | |||||
Kentucky Finance EDA, 5.85% due 10/1/2015 pre-refunded 10/1/2013 (Norton Healthcare; Insured: MBIA) | Aaa/AAA | 1,335,000 | 1,535,357 | |||||
Kentucky Finance EDA, 5.85% due 10/1/2015 (Norton Healthcare; Insured: MBIA) | Aaa/AAA | 2,665,000 | 2,959,029 | |||||
Wilmore Housing Facilities, 5.55% due 7/1/2013 (Wesley Methodist Village; LOC: Allied Irish Bank plc) | NR/NR | 530,000 | 542,646 | |||||
LOUISIANA — 2.51% | ||||||||
Jefferson Sales Tax District, 5.50% due 12/1/2008 (Insured: AMBAC) | Aaa/AAA | 1,595,000 | 1,629,691 | |||||
Louisiana Public Facilities Authority, 5.00% due 7/1/2021 (Archdiocese of New Orleans; Insured: CIFG) | A1/A+ | 980,000 | 979,922 | |||||
Louisiana Public Facilities Authority, 5.00% due 7/1/2022 (Black & Gold Facilities; Insured: CIFG) | A1/A+ | 1,500,000 | 1,471,425 | |||||
Louisiana Public Facilities Authority, 5.00% due 7/1/2023 (Archdiocese of New Orleans; Insured: CIFG) | A1/A+ | 1,000,000 | 983,170 | |||||
Morehouse Parish PCR, 5.25% due 11/15/2013 (International Paper Co.) | Baa3/BBB | 3,000,000 | 3,049,410 | |||||
New Orleans Aviation Board, 5.25% due 1/1/2018 (Insured: FSA) | NR/AAA | 1,000,000 | 1,040,170 | |||||
New Orleans Aviation Board, 5.25% due 1/1/2020 (Insured: FSA) | NR/AAA | 2,000,000 | 2,107,500 | |||||
St. Tammany Parish Sales Tax District No. 03 Sales & Use Tax, 5.00% due 6/1/2019 (Insured: CIFG) | NR/A+ | 1,300,000 | 1,359,605 | |||||
St. Tammany Parish Sales Tax District No. 03 Sales & Use Tax, 5.00% due 6/1/2020 (Insured: CIFG) | NR/A+ | 1,000,000 | 1,034,840 | |||||
MASSACHUSETTS — 0.28% | ||||||||
Massachusetts Housing Finance Agency, 5.05% due 6/1/2010 (Insured: MBIA) (AMT) | Aaa/AAA | 515,000 | 521,422 | |||||
Massachusetts Housing Finance Agency, 6.125% due 12/1/2011 (Insured: MBIA) (AMT) | Aaa/AAA | 950,000 | 975,650 | |||||
MICHIGAN — 4.05% | ||||||||
Grand Valley Michigan State University, 8.00% due 12/1/2033 put 4/7/2008 (Insured: AMBAC) (weekly demand notes) | Aaa/AAA | 5,000,000 | 5,000,000 | |||||
Kalamazoo Hospital Finance Authority, 6.25% due 6/1/2014 (Borgess Medical Center) (ETM) | Aaa/AAA | 650,000 | 760,234 | |||||
Kent Hospital Finance Authority, 7.25% due 1/15/2013 (Butterworth Hospital; Insured: MBIA) | Aaa/AAA | 840,000 | 929,048 | |||||
Michigan Public Educational Facilities Authority, 5.50% due 9/1/2022 (Black River School) | NR/NR | 1,110,000 | 1,014,829 | |||||
Michigan State Building Authority, 5.25% due 10/15/2017 (Insured: FSA) | Aaa/AAA | 2,450,000 | 2,675,228 | |||||
Michigan State Building Authority, 0% due 10/15/2025 (Insured: FGIC) | A1/A+ | 6,000,000 | 2,201,520 | |||||
Michigan State Hospital Finance Authority, 5.00% due 11/15/2024 (Sparrow Obligated Group) | A1/A+ | 2,140,000 | 2,120,804 | |||||
Michigan State Hospital Finance Authority, 5.00% due 7/15/2025 (Oakwood Obligated Group) | A2/A | 3,650,000 | 3,538,784 | |||||
Michigan Strategic Fund, 5.25% due 10/15/2023 (Michigan House of Representatives Facilities; Insured: Assured Guaranty) | Aaa/AAA | 1,000,000 | 1,030,180 | |||||
Northern Michigan University, 8.50% due 6/1/2031 put 4/1/2008 (Insured: FGIC) (daily demand notes) | A2/AAA | 2,020,000 | 2,020,000 | |||||
Southfield Economic Development Corp., 7 .25% due 12/1/2010 (N.W. 12 LP Transcon Builders) | NR/NR | 750,000 | 738,578 | |||||
MINNESOTA — 0.69% | ||||||||
Minneapolis St. Paul Health, 6.00% due 12/1/2018 (Healthpartners Obligated Group) | Baa1/BBB | 1,000,000 | 1,044,730 | |||||
Southern Minnesota Municipal Power Agency, 5.75% due 1/1/2018 pre-refunded to various dates | ||||||||
(Insured: MBIA) | Aaa/AAA | 700,000 | 758,632 | |||||
St. Paul Housing & Redevelopment Authority, 5.25% due 5/15/2020 (Healthpartners Obligated Group) | Baa1/BBB | 1,965,000 | 1,930,337 |
Certified Semi Annual Report 23
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
MISSISSIPPI — 1.79% | ||||||||
Mississippi Development Bank Special Obligation, 5.00% due 7/1/2022 (Canton Public Improvement) | NR/NR | $ | 1,935,000 | $ | 1,794,964 | |||
Mississippi Development Bank Special Obligation, 5.00% due 7/1/2027 (Lowndes County Industrial Development; Insured: FSA) | Aaa/AAA | 2,500,000 | 2,525,650 | |||||
Mississippi Development Bank Special Obligation Municipal Energy Agency Power Supply, 5.00% due 3/1/2018 (Insured: XLCA) | A3/A- | 920,000 | 928,344 | |||||
Mississippi Development Bank Special Obligation Municipal Energy Agency Power Supply, 5.00% due 3/1/2020 (Insured: XLCA) | A3/A- | 1,000,000 | 988,740 | |||||
Mississippi Higher Educational Authority, 7.50% due 9/1/2009 (Guaranty: Student Loans) (AMT) | A2/NR | 1,500,000 | 1,504,560 | |||||
Mississippi Hospital Equipment & Facilities, 5.25% due 8/1/2026 (Delta Regional Medical Center; Insured: MBIA/FHA) | Aaa/AAA | 2,000,000 | 2,013,900 | |||||
MISSOURI — 1.80% | ||||||||
Kansas City Tax Increment Financing Commission, 5.00% due 3/1/2012 (Maincor) | NR/NR | 600,000 | 605,280 | |||||
Missouri Development Finance Board, 5.40% due 11/1/2018 (Lutheran Home for the Aged; LOC: Commerce Bank) | Aa2/NR | 2,025,000 | 2,058,473 | |||||
Missouri Development Finance Board, 5.00% due 4/1/2019 (Eastland Center) | NR/A+ | 1,000,000 | 1,014,480 | |||||
Missouri Development Finance Board, 5.00% due 4/1/2021 (Eastland Center) | NR/A+ | 2,000,000 | 2,002,880 | |||||
Missouri Development Finance Board, 5.125% due 4/1/2022 (Eastland Center) | NR/A+ | 2,000,000 | 1,933,120 | |||||
Springfield Public Utilities, 5.00% due 12/1/2013 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,188,720 | |||||
MONTANA — 0.25% | ||||||||
Montana Facilities Financing Authority, 5.00% due 1/1/2022 (St. Luke Community Healthcare) | Aa3/NR | 1,345,000 | 1,347,730 | |||||
NEBRASKA — 0.39% | ||||||||
Madison County Hospital Authority, 5.50% due 7/1/2014 (Faith Regional Health Services; Insured: Radian) | NR/AA | 845,000 | 877,634 | |||||
University of Nebraska, 5.00% due 5/15/2022 (Omaha Health) (2) | Aa2/AA- | 1,200,000 | 1,249,284 | |||||
NEVADA — 0.82% | ||||||||
Las Vegas Special Improvement District, 5.375% due 6/1/2013 (Insured: FSA) | Aaa/AAA | 1,125,000 | 1,152,146 | |||||
Reno Sparks Indian Colony, 5.00% due 6/1/2021 (LOC: U.S . Bank NA) | NR/NR | 1,000,000 | 976,380 | |||||
Washoe County Reno Sparks GO, 0% due 7/1/2011 (Insured: FSA) | Aaa/AAA | 2,600,000 | 2,352,636 | |||||
NEW HAMPSHIRE — 1.65% | ||||||||
Manchester Housing & Redevelopment Authority, 0% due 1/1/2016 (Insured: Radian ACA) | Baa3/AA | 4,990,000 | 3,287,462 | |||||
New Hampshire Health & Education Facilities, 5.25% due 10/1/2023 (Southern New Hampshire Medical Center) | NR/A- | 1,000,000 | 988,520 | |||||
New Hampshire IDA PCR, 5.90% due 8/1/2018 (CT Light & Power) (AMT) | Baa1/BBB- | 1,000,000 | 1,014,210 | |||||
New Hampshire PCR, 5.375% due 5/1/2014 (Central Maine Power Co.) | A3/BBB+ | 3,500,000 | 3,678,360 | |||||
NEW JERSEY — 0.28% | ||||||||
New Jersey EDA, 7.50% due 12/1/2019 (Spectrum for Living Development) | NR/NR | 180,000 | 180,591 | |||||
New Jersey EDA School Facilities Construction, 5.00% due 3/1/2019 | A1/AA- | 1,280,000 | 1,350,067 | |||||
NEW MEXICO — 0.83% | ||||||||
Albuquerque Airport, 5.00% due 7/1/2008 (Insured: AMBAC) (AMT) | Aaa/AAA | 1,000,000 | 1,004,950 | |||||
Sandoval County Incentive Payment, 5.00% due 6/1/2020 (Intel Corp .) | NR/A+ | 2,000,000 | 2,063,780 | |||||
Santa Fe County Charter School Foundation, 6.50% due 1/15/2026 (ATC Foundation) | NR/NR | 1,515,000 | 1,431,054 | |||||
NEW YORK — 0.77% | ||||||||
Nassau Health Care Corp., 6 .00% due 8/1/2011 pre-refunded 8/1/2009 | Aaa/AAA | 1,130,000 | 1,213,236 |
24 Certified Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
New York City IDA, 5.00% due 6/1/2010 (Lycee Francais De New York; Insured: ACA) | Baa1/BBB | $ | 1,175,000 | $ | 1,192,919 | |||
New York City Trust Cultural Resources, 5.75% due 7/1/2015 (Museum of American Folk Art; Insured: ACA) | NR/NR | 875,000 | 881,090 | |||||
New York State Dormitory Authority, 5.00% due 7/1/2017 (Bishop Henry B. Hucles Nursing; Insured: SONYMA) | Aa1/NR | 850,000 | 918,170 | |||||
NORTH CAROLINA — 1.00% | ||||||||
Charlotte-Mecklenberg Hospital Authority, 5.00% due 1/15/2022 | Aa3/AA- | 2,000,000 | 2,006,900 | |||||
Franklin County COP, 5.00% due 9/1/2022 (Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,541,910 | |||||
North Carolina Housing Finance Agency SFMR, 6.50% due 9/1/2026 | Aa2/AA | 800,000 | 824,856 | |||||
North Carolina Medical Care, 5.00% due 9/1/2013 (Rowan Regional Medical Center; Insured: FSA & FHA 242) | Aaa/AAA | 1,000,000 | 1,081,600 | |||||
NORTH DAKOTA — 0.39% | ||||||||
North Dakota State Housing Finance Agency, 5.20% due 7/1/2022 (AMT) | Aa1/NR | 1,000,000 | 993,950 | |||||
North Dakota State Housing Finance Agency, 5.70% due 7/1/2030 (AMT) | Aa1/NR | 170,000 | 171,656 | |||||
Ward County Health Care Facilities, 5.125% due 7/1/2021 (Trinity Obligated Group) | NR/BBB+ | 1,000,000 | 966,780 | |||||
OHIO — 2.75% | ||||||||
Butler County Transportation Improvement, 6.00% due 4/1/2010 pre-refunded 4/1/2008 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,020,000 | |||||
Central Ohio Solid Waste Authority GO, 5.00% due 12/1/2008 | Aa2/AA+ | 2,530,000 | 2,579,614 | |||||
Cleveland Cuyahoga County Port Authority, 6.25% due 5/15/2016 (LOC: FifthThird Bank) | NR/NR | 1,160,000 | 1,216,086 | |||||
Deerfield Township Tax Increment, 5.00% due 12/1/2025 | A3/NR | 1,000,000 | 943,870 | |||||
Franklin County Health Care, 6.00% due 11/1/2010 (Heinzerling Foundation; LOC: Banc One) | Aaa/NR | 605,000 | 606,543 | |||||
Hamilton Wastewater Systems, 5.25% due 10/1/2017 (Insured: FSA) | Aaa/NR | 1,500,000 | 1,651,590 | |||||
Lorain County Hospital Revenue, 5.625% due 10/1/2016 (Catholic Healthcare) | A1/AA- | 1,435,000 | 1,513,566 | |||||
Marysville School District COP, 5.25% due 12/1/2017 pre-refunded 6/1/2015 (School Facilities; Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,241,860 | |||||
North Ridgeville Economic Development, 0% due 2/1/2015 (Lake Ridge Nursing Home; Collateralized: FHA) | NR/AAA | 265,000 | 154,455 | |||||
Ohio State Higher Educational Facilities, 5.05% due 7/1/2037 put 7/1/2016 (Kenyon College) | A1/A+ | 2,200,000 | 2,336,994 | |||||
Reynoldsburg Health Care Facilities Bonds, 5.70% due 10/20/2012 (Collateralized: GNMA) | Aaa/NR | 695,000 | 710,547 | |||||
OKLAHOMA — 2.27% | ||||||||
Alva Hospital Authority Hospital Sales Tax, 5.25% due 6/1/2025 (Insured: Radian) | Aa3/AA | 1,505,000 | 1,516,498 | |||||
Comanche County Hospital Authority, 5.25% due 7/1/2019 (Insured: Radian) | Aa3/AA | 3,345,000 | 3,401,162 | |||||
Oklahoma City Municipal Water & Sewer, 0% due 7/1/2008 (Insured: AMBAC) | Aaa/AAA | 1,020,000 | 1,014,441 | |||||
Oklahoma City Municipal Water & Sewer, 0% due 7/1/2011 (Insured: AMBAC) | Aaa/AAA | 1,125,000 | 1,014,390 | |||||
Oklahoma City Municipal Water & Sewer, 0% due 7/1/2013 (Insured: AMBAC) | Aaa/AAA | 1,485,000 | 1,218,695 | |||||
Oklahoma DFA Hospital Association Pooled Hospital, 5.40% due 6/1/2013 pre-refunded 12/1/2010 (Integris Health; Insured: AMBAC) | Aaa/AAA | 825,000 | 894,333 | |||||
Tulsa IDA, 5.00% due 12/15/2015 (St. Francis Health Systems) | Aa2/AA | 750,000 | 799,425 | |||||
Tulsa IDA, 6.00% due 10/1/2016 (University of Tulsa; Insured: MBIA) | Aaa/AAA | 1,250,000 | 1,394,350 | |||||
Tulsa IDA, 5.00% due 12/15/2024 (St. Francis Health Systems) | Aa2/AA | 1,130,000 | 1,119,819 | |||||
OREGON — 0.43% | ||||||||
Forest Grove Campus Improvement, 6.00% due 5/1/2015 pre-refunded 5/1/2010 (Pacific University; Insured: Radian) | NR/AA | 800,000 | 859,688 | |||||
Oregon State Housing & Community Services Department Single Family Mortgage Program, 5.35% due 7/1/2018 (AMT) | Aa2/NR | 525,000 | 535,815 | |||||
Portland Housing Authority, 4.75% due 5/1/2022 (Yards Union Station) (AMT) | Aa2/NR | 1,000,000 | 945,190 |
Certified Semi Annual Report 25
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
PENNSYLVANIA — 1.68% | ||||||||
Allegheny County Hospital Development, 6.50% due 5/1/2012 pre-refunded 5/1/2010 (South Hills Health Systems) | Baa1/NR | $ | 1,400,000 | $ | 1,513,554 | |||
Carbon County IDA, 6.65% due 5/1/2010 (Panther Creek Partners) | NR/BBB- | 4,230,000 | 4,296,919 | |||||
Chartiers Valley Industrial & Community Development Authority, 5.75% due 12/1/2022 (Asbury Health Center) | NR/NR | 900,000 | 829,512 | |||||
Lancaster County, 0% due 5/1/2014 (Insured: FGIC) | Aa3/NR | 795,000 | 611,999 | |||||
Lancaster County, 0% due 5/1/2015 (Insured: FGIC) | Aa3/NR | 800,000 | 577,680 | |||||
Pennsylvania Higher Education Facilities Authority, 5.60% due 11/15/2009 (Allegheny United Hospitals; Insured: MBIA) | Aaa/AAA | 500,000 | 499,965 | |||||
Pennsylvania Higher Education Facilities Authority, 0% due 7/1/2020 (Insured: AMBAC) | Aaa/AAA | 2,032,839 | 825,170 | |||||
RHODE ISLAND — 0.66% | ||||||||
Rhode Island Health & Education Building Corp., 5 .00% due 3/15/2014 (Salve Regina University; Insured: Radian) | NR/AA | 1,065,000 | 1,121,616 | |||||
Rhode Island Health & Education Building Corp., 6 .00% due 8/1/2014 (Roger Williams Realty; Credit Support: FHA) | NR/AA | 1,000,000 | 1,050,520 | |||||
Rhode Island Health & Education Building Corp. Hospital Financing, 5.25% due 7/1/2015 (Memorial Hospital; LOC: Fleet Bank) | NR/AA+ | 1,325,000 | 1,403,294 | |||||
SOUTH CAROLINA — 3.33% | ||||||||
Berkeley County School District Installment Lease, 5.00% due 12/1/2019 | A3/A- | 2,000,000 | 2,011,040 | |||||
Charleston Educational Excellence Financing Corp., 5 .25% due 12/1/2020 (Charleston County School District) | A1/AA- | 1,855,000 | 1,921,242 | |||||
Greenwood School Facilities, Inc., 5 .00% due 12/1/2025 (Greenwood School District 50; Insured: Assured Guaranty) | Aaa/AAA | 2,400,000 | 2,444,064 | |||||
Lexington One School Facilities Corp. School District 1, 5.00% due 12/1/2019 | A1/NR | 1,000,000 | 1,035,640 | |||||
Lexington One School Facilities Corp. School District 1, 5.25% due 12/1/2021 | A1/NR | 1,700,000 | 1,733,167 | |||||
Scago Educational Facilities Corp., 5 .00% due 12/1/2017 (Colleton School District; Insured: Assured Guaranty) | Aaa/AAA | 1,000,000 | 1,075,160 | |||||
Scago Educational Facilities Corp. Spartanburg County, 5.00% due 4/1/2019 (Insured: FSA) | Aaa/AAA | 2,740,000 | 2,900,564 | |||||
Scago Educational Facilities Corp. Spartanburg County, 5.00% due 4/1/2021 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,041,740 | |||||
South Carolina Housing Finance & Development Authority, 5.30% due 7/1/2023 | Aa1/NR | 1,000,000 | 993,710 | |||||
Sumter School Facilities Inc. School District 2, 5.00% due 12/1/2021 (Insured: Assured Guaranty) | Aaa/AAA | 2,855,000 | 2,965,945 | |||||
TENNESSEE — 2.02% | ||||||||
Knox County Health, 4.90% due 6/1/2031 put 6/1/2011 (Eastowne Partners II Ltd.; Collateralized: FNMA) | NR/AAA | 1,975,000 | 2,070,768 | |||||
Tennessee Energy Acquisition Corp., 5 .00% due 2/1/2023 | Aa3/AA- | 2,500,000 | 2,300,300 | |||||
Tennessee Energy Acquisition Corp., 5 .25% due 9/1/2023 | Aa3/AA- | 7,000,000 | 6,603,940 | |||||
TEXAS — 14.90% | ||||||||
Bexar County Health Facilities Development Corp., 6 .125% due 7/1/2022 pre-refunded 7/1/2012 (Army Retirement Residence) | NR/BBB | 1,250,000 | 1,419,475 | |||||
Bexar County Health Facilities Development Corp., 5 .00% due 7/1/2027 (Army Retirement Residence) | NR/BBB | 1,000,000 | 908,940 | |||||
Bexar County Housing Finance Corp., 5 .40% due 8/1/2012 (Dymaxion & Marrach Park Apartments; Insured: MBIA) | Aaa/NR | 755,000 | 785,895 | |||||
Bexar County Housing Finance Corp., 5 .875% due 4/1/2014 (Honey Creek Apartments; Insured: MBIA) | Aaa/NR | 975,000 | 1,019,411 | |||||
Bexar County Housing Finance Corp., 5 .50% due 1/1/2016 (American Opportunity Housing & Colinas; Insured: MBIA) | Aaa/NR | 600,000 | 619,920 | |||||
Bexar County Housing Finance Corp., 6 .125% due 4/1/2020 (Honey Creek Apartments; Insured: MBIA) | Aaa/NR | 1,000,000 | 1,023,970 |
26 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Bexar County Housing Finance Corp., 5 .95% due 8/1/2020 (Dymaxion & Marrach Park Apartments; Insured: MBIA) | Aaa/NR | $ | 1,270,000 | $ | 1,326,185 | |||
Bexar County Housing Finance Corp., 5 .70% due 1/1/2021 (American Opportunity Housing & Colinas; Insured: MBIA) | Aaa/NR | 1,035,000 | 1,052,440 | |||||
Bexar County Housing Finance Corp., 6 .50% due 12/1/2021 (American Opportunity Housing- Waterford) | Baa2/NR | 2,000,000 | 2,048,200 | |||||
Bexar Metropolitan Water District Waterworks, 5.00% due 5/1/2021 (Insured: XLCA) | A3/A | 1,300,000 | 1,327,261 | |||||
Bexar Metropolitan Water District Waterworks, 5.00% due 5/1/2022 (Insured: XLCA) | A3/A | 2,300,000 | 2,336,846 | |||||
Birdville ISD GO, 0% due 2/15/2012 (Guaranty: PSF) | Aaa/AAA | 2,800,000 | 2,458,708 | |||||
Carroll ISD GO, 0% due 2/15/2011 (Guaranty: PSF) | Aaa/AAA | 345,000 | 303,014 | |||||
Cedar Park Improvement District GO, 5.00% due 2/15/2016 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,060,580 | |||||
Coppell ISD GO, 0% due 8/15/2013 (Insured: PSF-GTD) | NR/AAA | 1,495,000 | 1,148,040 | |||||
Coppell ISD GO, 0% due 8/15/2013 pre-refunded 8/15/2009 (Insured: PSF-GTD) | NR/AAA | 3,505,000 | 2,713,150 | |||||
Duncanville ISD GO, 0% due 2/15/2016 pre-refunded 2/15/2012 (Insured: PSF) | Aaa/AAA | 2,985,000 | 2,102,067 | |||||
Duncanville ISD GO, 0% due 2/15/2016 (Insured: PSF) | Aaa/AAA | 15,000 | 10,396 | |||||
El Paso ISD GO, 0% due 8/15/2010 (Guaranty: PSF) | Aaa/AAA | 3,750,000 | 3,346,200 | |||||
El Paso ISD GO, 0% due 8/15/2011 (Guaranty: PSF) | Aaa/AAA | 2,500,000 | 2,107,350 | |||||
Ennis ISD GO, 0% due 8/15/2012 pre-refunded 8/15/2010 (Guaranty: PSF) | Aaa/NR | 1,625,000 | 1,383,493 | |||||
Ennis ISD GO, 0% due 8/15/2012 (Guaranty: PSF) | Aaa/NR | 835,000 | 702,202 | |||||
Ennis ISD GO, 0% due 8/15/2013 pre-refunded 8/15/2010 (Guaranty: PSF) | Aaa/NR | 1,645,000 | 1,314,388 | |||||
Ennis ISD GO, 0% due 8/15/2013 (Guaranty: PSF) | Aaa/NR | 845,000 | 666,899 | |||||
Ennis ISD GO, 0% due 8/15/2014 pre-refunded 8/15/2010 (Guaranty: PSF) | Aaa/NR | 1,670,000 | 1,251,064 | |||||
Ennis ISD GO, 0% due 8/15/2014 (Guaranty: PSF) | Aaa/NR | 855,000 | 632,674 | |||||
Gulf Coast Center, 6.75% due 9/1/2020 (Mental Health Retardation Center) | NR/BBB | 1,320,000 | 1,387,531 | |||||
Hays Consolidated ISD GO, 0% due 8/15/2013 pre-refunded 8/15/2011 (Guaranty: PSF) | Aaa/AAA | 6,245,000 | 5,082,493 | |||||
Laredo Sports Venue Sales Tax, 5.00% due 3/15/2018 (Insured: AMBAC) | Aaa/AAA | 2,040,000 | 2,139,776 | |||||
Lewisville Combination Contract Special Assessment District, 4.75% due 9/1/2012 (Insured: ACA) | NR/NR | 2,055,000 | 2,057,363 | |||||
Mesquite ISD GO, 0% due 8/15/2012 pre-refunded 8/15/2010 (Guaranty: PSF) | NR/AAA | 1,100,000 | 928,576 | |||||
Mesquite ISD GO, 0% due 8/15/2012 (Guaranty: PSF) | NR/AAA | 320,000 | 265,747 | |||||
Midlothian ISD GO, 0% due 2/15/2012 (ETM) | Aaa/NR | 500,000 | 442,755 | |||||
Midlothian ISD GO, 0% due 2/15/2012 (Guaranty: PSF) | Aaa/NR | 500,000 | 439,055 | |||||
Midtown Redevelopment Authority Tax, 6.00% due 1/1/2012 (Insured: Radian) | Aa3/AA | 735,000 | 771,302 | |||||
Midtown Redevelopment Authority Tax, 6.00% due 1/1/2013 (Insured: Radian) | Aa3/AA | 500,000 | 522,975 | |||||
Richardson Improvement GO, 5.00% due 2/15/2019 (Insured: MBIA) | Aaa/AAA | 2,145,000 | 2,273,378 | |||||
Sam Rayburn Municipal Power Agency, 6.00% due 10/1/2016 | Baa2/BBB- | 3,000,000 | 3,102,480 | |||||
Sam Rayburn Municipal Power Agency, 6.00% due 10/1/2021 | Baa2/BBB- | 675,000 | 686,144 | |||||
San Antonio Hotel Occupancy, 5.00% due 8/15/2034 put 8/1/2008 (Insured: AMBAC) | Aaa/AAA | 1,650,000 | 1,667,655 | |||||
Stafford Economic Development, 6.00% due 9/1/2017 (Insured: FGIC) | A2/A | 1,775,000 | 2,016,294 | |||||
Tarrant County Health Facilities, 6.625% due 11/15/2020 pre-refunded 11/15/2010 (Adventist/Sunbelt) | A1/NR | 3,500,000 | 3,895,465 | |||||
Tarrant County Limited Tax GO, 5.00% due 7/15/2023 | Aaa/AAA | 1,000,000 | 1,039,090 | |||||
Texarkana Health Facilities, 5.75% due 10/1/2011 (Wadely Regional Medical Center; Insured: MBIA) | Aaa/AAA | 2,500,000 | 2,722,475 | |||||
Texas City Industrial Development Corp., 7 .375% due 10/1/2020 (Arco Pipe Line Company) | Aa1/AA+ | 2,450,000 | 3,084,721 | |||||
Texas State Public Finance Authority, 5.00% due 8/15/2023 (Idea Charter School; Insured: ACA) | NR/BBB- | 3,100,000 | 2,676,385 | |||||
Travis County GO, 5.25% due 3/1/2021 | Aaa/AAA | 1,000,000 | 1,074,920 | |||||
Travis County Health Facilities Development Corp., 5 .75% due 11/15/2010 (Ascension Health; Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,116,420 | |||||
Travis County Health Facilities Development Corp., 6 .25% due 11/15/2014 pre-refunded 11/15/2009 (Ascension Health; Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,226,500 | |||||
Upper Trinity Regional Water District Treated Water Supply Systems, 7.125% due 8/1/2008 (Insured: FGIC) | A3/A | 305,000 | 309,840 | |||||
Waco Health Facilities Development Corp., 6 .00% due 11/15/2015 pre-refunded 11/15/2009 (Ascension Health) | Aa1/AAA | 870,000 | 933,258 | |||||
Waco Health Facilities Development Corp., 6 .00% due 11/15/2016 pre-refunded 11/15/2009 (Ascension Health) | Aa1/AAA | 1,050,000 | 1,126,346 |
Certified Semi-Annual Report 27
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
UTAH — 0.40% | ||||||||
Utah County Municipal Building Authority, 5.50% due 11/1/2016 pre-refunded 11/1/2011 (Insured: AMBAC) | Aaa/NR | $ | 1,000,000 | $ | 1,096,430 | |||
Utah Housing Finance Authority, 6.05% due 7/1/2016 (Credit Support: FHA) | NR/AAA | 405,000 | 409,613 | |||||
Utah Housing Finance Authority SFMR, 5.85% due 7/1/2015 (Credit Support: FHA) | Aaa/AA | 40,000 | 41,033 | |||||
Utah State Board of Regents Auxiliary, 5.25% due 5/1/2013 | NR/AA | 595,000 | 640,077 | |||||
VIRGINIA — 2.45% | ||||||||
Alexandria IDRB Institute for Defense Analysis, 6.00% due 10/1/2014 pre-refunded 10/1/2010 (Insured: AMBAC) | Aaa/AAA | 1,500,000 | 1,644,795 | |||||
Alexandria IDRB Institute for Defense Analysis, 6.00% due 10/1/2015 pre-refunded 10/1/2010 (Insured: AMBAC) | Aaa/AAA | 1,590,000 | 1,743,483 | |||||
Alexandria IDRB Institute for Defense Analysis, 5.90% due 10/1/2020 pre-refunded 10/1/2010 (Insured: AMBAC) | Aaa/AAA | 2,000,000 | 2,188,220 | |||||
Amelia County IDA, 4.90% due 4/1/2027 put 4/1/2010 (Waste Management) (AMT) (2) | NR/BBB | 2,000,000 | 1,996,240 | |||||
Fauquier County IDRB, 5.50% due 10/1/2016 (Insured: Radian) | NR/AA | 1,000,000 | 1,050,650 | |||||
Hanover County IDRB Medical Facilities, 6.00% due 10/1/2021 (ETM) | Aaa/AAA | 795,000 | 796,590 | |||||
Norton IDA, 6.00% due 12/1/2014 (Norton Community Hospital; Insured: ACA) | NR/NR | 1,635,000 | 1,716,112 | |||||
Spotsylvania County IDRB, 6.00% due 9/1/2019 put 9/1/2008 (Walter Grinders; LOC: Deutsche Bank) (AMT) | NR/NR | 2,210,000 | 2,214,199 | |||||
WASHINGTON — 3.37% | ||||||||
Port Longview Industrial Development Corp. Solid Waste Disposal, 6.875% due 10/1/2008 (Weyerhaeuser Co.) (AMT) | NR/BBB | 1,500,000 | 1,521,210 | |||||
Skagit County Public Hospital District GO, 5.125% due 12/1/2015 (Insured: MBIA) | Aaa/NR | 1,900,000 | 2,048,295 | |||||
Vancouver Downtown Redevelopment Authority, 5.50% due 1/1/2018 (Conference Center; Insured: ACA) | NR/NR | 3,500,000 | 3,427,375 | |||||
Washington Health Care Facilities, 4.50% due 12/1/2008 (Kadlec Medical Center; Insured: Assured Guaranty) | Aaa/AAA | 1,200,000 | 1,218,780 | |||||
Washington Health Care Facilities, 5.50% due 12/1/2010 pre-refunded 12/1/2009 (Providence Services; Insured: MBIA) | Aaa/AAA | 2,690,000 | 2,865,200 | |||||
Washington Health Care Facilities, 6.00% due 12/1/2014 (Catholic Health Services; Insured: MBIA) | Aaa/AAA | 1,735,000 | 1,854,472 | |||||
Washington Health Care Facilities, 6.00% due 12/1/2015 (Catholic Health Services; Insured: MBIA) | Aaa/AAA | 1,945,000 | 2,075,548 | |||||
Washington Housing Finance Commission, 5.60% due 7/1/2011 (Kline Galland Center; Insured: Radian) | NR/AA | 500,000 | 514,940 | |||||
Washington Housing Finance Commission, 5.875% due 7/1/2019 (Kline Galland Center; Insured: Radian) | NR/AA | 1,000,000 | 1,020,760 | |||||
Washington Public Power Supply, 0% due 7/1/2010 | Aaa/AA- | 960,000 | 902,179 | |||||
Washington Public Power Supply, 0% due 7/1/2011 | Aaa/AA- | 1,000,000 | 902,540 | |||||
WEST VIRGINIA — 0.29% | ||||||||
West Virginia Hospital Finance Authority, 5.00% due 6/1/2020 (United Hospital Center; Insured: AMBAC) | Aaa/AAA | 1,530,000 | 1,575,701 | |||||
WISCONSIN — 0.57% | ||||||||
Wisconsin Health & Educational Facilities, 5.75% due 8/15/2020 (Eagle River Memorial Hospital Inc.; Insured: Radian) | NR/AA | 1,000,000 | 1,025,640 | |||||
Wisconsin Housing & Economic Development, 5.875% due 11/1/2016 (Insured: AMBAC) | Aaa/AAA | 1,980,000 | 2,043,915 | |||||
TOTAL INVESTMENTS — 97.83% (COST $525,094,233) | $ | 532,276,988 | ||||||
OTHER ASSETS LESS LIABILITIES — 2.17% | 11,804,805 | |||||||
NET ASSETS — 100.00% | $ | 544,081,793 | ||||||
28 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
Footnote Legend
† Credit ratings are unaudited. Rating changes may have occurred prior to or subsequent to the reporting period end.
(1) Segregated as collateral for a when-issued security.
(2) When-issued security.
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. | |
AMT | Alternative Minimum Tax | |
CIFG | CIFG Assurance North America Inc. | |
COP | Certificates of Participation | |
DFA | Development Finance Authority | |
EDA | Economic Development Authority | |
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 | |
GTD | Guaranteed | |
HFA | Health Facilities Authority | |
HUD | Department of Housing and Urban Development | |
IDA | Industrial Development Authority | |
IDRB | Industrial Development Revenue Bond | |
ISD | Independent School District | |
LOC | Letter of Credit | |
MBIA | Insured by Municipal Bond Investors Assurance | |
PCR | Pollution Control Revenue Bond | |
PSF | Guaranteed by Permanent School Fund | |
RADIAN | Insured by Radian Asset Assurance | |
SFMR | Single Family Mortgage Revenue Bond | |
SONYMA | State of New York Mortgage Authority | |
USD | Unified School District | |
XLCA | Insured by XL Capital Assurance |
See notes to financial statements.
Certified Semi-Annual Report 29
Table of Contents
Thornburg Intermediate Municipal Fund | March 31, 2008 (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 or all of a purchase of $1 million of Class A shares within 12 months of purchase;
(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;
(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, 2007 and held until March 31, 2008.
Actual Expenses
For each class of shares, 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 for your class of shares 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
For each class of shares, 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 9/30/07 | Ending Account Value 3/31/08 | Expenses Paid During Period† 9/30/07–3/31/08 | |||||||
Class A Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,008.90 | $ | 4.84 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.18 | $ | 4.87 | |||
Class C Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,007.50 | $ | 6.22 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,018.80 | $ | 6.26 | |||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,010.50 | $ | 3.26 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,021.76 | $ | 3.28 |
† | Expenses are equal to the annualized expense ratio for each class (A: 0.96%; C: 1.24%; and I: 0.65%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares 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 Intermediate Municipal Fund | March 31, 2008 (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.
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 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 31
Table of Contents
Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
February 8, 2005, as readopted July 18, 2007
The Trustees are concerned that ongoing 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.
32 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. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
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.
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 Global Opportunities Fund |
• | Thornburg International Growth Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
This page is not part of this Semi-Annual Report 33
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Thornburg Equity Funds
Thornburg’s equity research uses a fundamental and comprehensive analytical approach. Thornburg equity funds focus on a limited number of securities so that each holding can impact 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 .
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
• | Thornburg International Growth Fund |
Thornburg Bond Funds
The majority of Thornburg bond funds are laddered portfolios of 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 Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term Municipal Fund |
• | Thornburg New Mexico Intermediate Municipal Fund |
• | Thornburg New York Intermediate Municipal Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund* |
Carefully consider each fund’s investment objectives, risks, sales charges, and expenses; this information can be found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. There is no guarantee that any of these funds will meet their investment objectives.
For additional information, please visit www.thornburg.com
Thornburg Investment Management, 119 East Marcy Street, Santa Fe, NM 87501
* | This fund does not use the laddering strategy. |
This page is not part of this Semi-Annual Report 35
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This Semi-Annual Report is 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.
Investment Advisor: | ||
Thornburg Investment Management® 800.847.0200
| ||
Distributor: Thornburg Securities Corporation® 800.847.0200 | ||
TH172 |
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Table of Contents
Table of Contents
Table of Contents
Thornburg Intermediate Municipal Fund
I Shares – March 31, 2008
Table of Contents
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9 | ||
10 | ||
11 | ||
12 | ||
16 | ||
17 | ||
28 | ||
29 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
Certified Semi-Annual Report 3
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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, an 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. Returns reflect the reinvestment of dividends and capital gains. There is no up front sales charge for this class of shares.
Investments 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. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund. Investments 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. There is no guarantee that the Fund will meet its investment objectives. The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
The information presented on the following pages was current as of March 31, 2008. The managers’ views, portfolio holdings, and sector diversification are provided for the general information of the Fund’s shareholders; they 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.
![]() | Lipper’s 2008 Best Fixed-Income Fund Family
Thornburg Investment Management ranked #1 out of 41 eligible firms in Lipper Inc.’s fixed income large firm universe for the three-year period ended 12/31/07, based on risk-adjusted returns. Past performance does not guarantee future results. | |
Lipper’s large firm universe is comprised of fund families with more than $28 billion in total net assets. Only fund families with at least five bond funds were eligible. Risk-adjusted returns were calculated with dividends reinvested and without sales charges. |
4 Certified Semi-Annual Report
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Glossary
The Merrill Lynch 7-12 Year Municipal Bond Index – The Merrill Lynch 7-12 Year Municipal Bond Index represents a broad measure of market performance. It is a model portfolio of municipal obligations throughout the U.S., with an average maturity which ranges from seven to twelve years.
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.
Average Maturity – The average of the maturity dates of the debt securities in the fund. In general, the longer the average maturity, the greater the fund’s sensitivity to interest-rate changes, which means greater price fluctuation. A shorter average maturity usually means a less sensitive/less volatile portfolio.
Consumer Price Index – The Consumer Price Index (CPI) measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living 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.
Fed Funds Rate – The interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.
Real Gross Domestic Product (GDP) – The market value of goods and services produced by labor and property in the United States, regardless of nationality. This inflation-adjusted measure reflects the value of all goods and services produced in a given year, expressed in base-year prices. Often referred to as “constant-price GDP”, “inflation-corrected GDP” or “constant dollar GDP”.
U.S. Treasury Securities – U.S. Treasury securities, such as bills, notes and bonds, are negotiable debt obligations of the U.S. government. These debt obligations are backed by the “full faith and credit” of the government and issued at various schedules and maturities. Income from Treasury securities is exempt from state and local, but not federal income taxes.
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George Strickland Co-Portfolio Manager
Josh Gonze Co-Portfolio Manager
Christopher Ihlefeld Co-Portfolio Manager | April 14, 2008
Dear Fellow Shareholder:
We are pleased to present the Semi-Annual Report for the Thornburg Intermediate Municipal Fund. The net asset value of the Class I shares decreased by 14 cents per share to $12.99 during the six months ended March 31, 2008. If you were with us for the entire period, you received dividends of 27.7 cents per share. If you reinvested your dividends, you received 27.9 cents per share.
The past six months have been extraordinary in the capital markets. All bonds, including municipals, have been buffeted by the mortgage storm and its aftermath. In the rubble lies opportunity for unlevered investors like us. We are proud of our performance during this difficult period, and we welcome the accolades we have earned. In April 2008, Thornburg Investment Management received the 2008 Lipper Fund Award for Best Fixed-Income Fund Family.
What makes our recent strong performance remarkable is that it occurred during the collapse of the mortgage market and the subsequent bank liquidity crisis. For years, leveraged investors have distorted prices in the bond market. In contrast with old-fashioned cash investors like ourselves, leveraged players tended to pay more for bonds because their borrowed funding and copious use of hedges allowed them to ignore the rules of fundamental bond investing. But in the last six months, banks curtailed lending, the auction-rate securities market crumpled, and hedges had to unwind.
Mortgage-backed securities began collapsing in August 2007. We were largely unscathed because we had minimal exposure to this sector. Risk models created by rating agencies failed to provide for the possibility of a broad increase in mortgage delinquencies. Banks and investors who held mortgage bonds took unprecedented write-downs, essentially admitting the bonds cannot recover. All of the bond insurers, to varying degrees, had written credit default swaps against mortgages, and now some bond insurers have been stripped of their AAA ratings. Banks have curtailed lending as they struggle to reduce the size of their balance sheets.
Today’s economic picture is one of stagnating economic activity combined with accelerating inflation. Inflation is running around 4%, as measured by the CPI. Home sales and construction starts are depressed. Recent reports for real GDP indicate the economy is nearly flat with a 0.60% growth rate. Recent job reports show three consecutive months of declining payrolls, so we believe there is little question that the U.S. is in a mild recession. We expect the bipartisan $168 billion stimulus package to be ineffective.
The Fed has lowered the Fed Funds Rate by 3% since September 2007 to 2.25%, with further rate cuts anticipated. Low interest rates ordinarily halt downward economic trends by prompting more lending, borrowing, and spending. However, banks currently are focused on reducing assets, not creating new assets, so low interest rates are failing to translate into economic activity.
The decline of the dollar is both a signal and a cause of economic weakness. Our currency continues its long-term downward trend as investors, both foreign and domestic, shift their portfolios to hold more assets denominated in currencies other than the dollar. Dollar-denominated assets are undermined by accelerating U.S. inflation and negative real interest rates on Treasury bonds. |
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On the positive side, the yield curve has been steepening, which will support a rebound in bank profits. The municipal yield curve’s newly steep direction has pivoted around the year 2016. Since the beginning of January, bonds maturing prior to 2016 have declined in yield (risen in price), while bonds maturing after 2016 have risen in yield (declined in price). The flight to quality has pushed Treasury yields down sharply, with the result that the ratios of municipal-to-Treasury yields were at an all-time high. In the last six months we have purchased tax-exempt bonds at yields ranging from 120% to 200% of equivalent maturity Treasuries.
Meanwhile, quality spreads (the difference in yield between the highest quality bonds and lower quality bonds) have been wide in the last several months. Some investors, who were previously comfortable taking credit risk at very tight spreads to AAA rated bonds, suddenly became a lot less comfortable. Those who sold typically had to sell their bonds at significantly wider spreads than those that prevailed earlier in the year. This led to an environment where investors could finally be compensated for taking incremental credit risk in bonds rated lower than AAA. We have been a beneficiary of this trend. When the credit-spread widening started, we were underweighted in BBB and A-rated bonds. As spreads doubled and tripled from their levels of mid-2007, we increased the Fund’s allocation to bonds rated below AA.
% of portfolio maturing | Cumulative % maturing | |||||||||||||
2 years | = | 12.4 | % | Year 2 | = | 12.4 | % | |||||||
2 to 4 years | = | 13.7 | % | Year 4 | = | 26.1 | % | |||||||
4 to 6 years | = | 10.0 | % | Year 6 | = | 36.1 | % | |||||||
6 to 8 years | = | 11.0 | % | Year 8 | = | 47.1 | % | |||||||
8 to 10 years | = | 12.7 | % | Year 10 | = | 59.8 | % | |||||||
10 to 12 years | = | 12.0 | % | Year 12 | = | 71.8 | % | |||||||
12 to 14 years | = | 11.5 | % | Year 14 | = | 83.3 | % | |||||||
14 to 16 years | = | 9.2 | % | Year 16 | = | 92.5 | % | |||||||
16 to 18 years | = | 1.8 | % | Year 18 | = | 94.3 | % | |||||||
Over 18 years | = | 5.7 | % | Over 18 years | = | 100.0 | % | |||||||
Percentages can and do vary. Data as of 3/31/08. |
The Class I shares of your Fund produced a total return of 1.05% over the six-months ended March 31, 2008, compared to a 2.25% return for the Merrill Lynch 7-12 Year Municipal Bond Index. Over the six-month period, shorter bonds have outperformed longer bonds. The Fund invests in a laddered portfolio of bonds that mature over the next eighteen years, with roughly 10% of the portfolio maturing in each two year period of the ladder, so a significant portion of the ladder extends past the 12-year maximum in the Index. Since longer bonds generally underperformed compared to bonds in the range of 7 to 12 years, the Fund underperformed the Index.
Your Thornburg Intermediate Municipal Fund is a laddered portfolio of 353 municipal obligations from 45 states. 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 chart above describes the percentages of your Fund’s bond portfolio maturing in each of the coming years.
We were able to take advantage of this past winter’s weakness to buy good bonds at attractive yields. We also slightly extended the portfolio’s sensitivity to interest rates. At September 30, 2007, the Fund’s ladder had an average maturity of 8.12 years and duration of 4.68 years. As the yield curve steepened, we invested further out on the ladder. Consequently, at March 31, 2008, the Fund had an average maturity of 8.13 and duration of 4.85 years.
Looking forward, we do expect to see a weak U.S. economy through 2008. Until the housing and credit markets stabilize, the economy will be on shaky ground. At some point in 2009, we anticipate stabilization. Prior to that point, bond yields may rise to compensate investors for inflation. Rising bond yields may lead to a lower price for the Fund, but would allow us to take cash from maturing bonds and interest payments, and re-invest it at attractive levels.
State tax revenues have slowed, putting a damper on state budgets. Historically this corresponds with periods of increased municipal bond supply as states and localities borrow to fund expenditures. Other sectors of the municipal
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Letter to Shareholders
Continued
bond market are moving sideways, with a mixture of credit rating upgrades and downgrades. While the current trend is positive, we expect the depressed housing market and slower economic growth to create a tougher environment for municipal bonds to show further credit improvement. We did add marginally to the Fund’s exposure to lower investment grade bonds recently, but we do believe it is prudent to keep overall credit quality high in the current environment. Your Fund is broadly diversified and 82% invested in bonds rated A or above by at least one of the major rating agencies.
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 | Josh Gonze | Christopher Ihlefeld | ||||||
Co-Portfolio Manager | Co-Portfolio Manager | Co-Portfolio Manager |
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STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
ASSETS | ||||
Investments at value (cost $525,094,233) (Note 2) | $ | 532,276,988 | ||
Cash | 4,051,550 | |||
Receivable for investments sold | 3,540,000 | |||
Receivable for fund shares sold | 1,750,114 | |||
Interest receivable | 7,531,026 | |||
Prepaid expenses and other assets | 26,146 | |||
Total Assets | 549,175,824 | |||
LIABILITIES | ||||
Payable for securities purchased | 3,238,424 | |||
Payable for fund shares redeemed | 749,126 | |||
Payable to investment advisor and other affiliates (Note 3) | 367,118 | |||
Accounts payable and accrued expenses | 126,237 | |||
Dividends payable | 613,126 | |||
Total Liabilities | 5,094,031 | |||
NET ASSETS | $ | 544,081,793 | ||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment income | $ | (4,864 | ) | |
Net unrealized appreciation on investments | 7,182,755 | |||
Accumulated net realized gain (loss) | (8,710,306 | ) | ||
Net capital paid in on shares of beneficial interest | 545,614,208 | |||
$ | 544,081,793 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($329,086,508 applicable to 25,300,566 shares of beneficial interest outstanding – Note 4) | $ | 13.01 | ||
Maximum sales charge, 2.00% of offering price | 0.27 | |||
Maximum offering price per share | $ | 13.28 | ||
Class C Shares: | ||||
Net asset value and offering price per share * ($55,677,336 applicable to 4,275,152 shares of beneficial interest outstanding – Note 4) | $ | 13.02 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($159,317,949 applicable to 12,265,217 shares of beneficial interest outstanding – Note 4) | $ | 12.99 | ||
* | 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, 2008 (Unaudited) |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $726,336) | $ | 12,988,565 | ||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 1,325,594 | |||
Administration fees (Note 3) | ||||
Class A Shares | 208,047 | |||
Class C Shares | 34,043 | |||
Class I Shares | 36,563 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 416,095 | |||
Class C Shares | 273,023 | |||
Transfer agent fees | ||||
Class A Shares | 62,450 | |||
Class C Shares | 12,987 | |||
Class I Shares | 35,425 | |||
Registration and filing fees | ||||
Class A Shares | 11,878 | |||
Class C Shares | 9,817 | |||
Class I Shares | 9,108 | |||
Custodian fees (Note 3) | 69,635 | |||
Professional fees | 22,536 | |||
Accounting fees | 8,880 | |||
Trustee fees | 3,660 | |||
Other expenses | 31,252 | |||
Total Expenses | 2,570,993 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (35,377 | ) | ||
Distribution fees waived (Note 3) | (109,209 | ) | ||
Fees paid indirectly (Note 3) | (10,415 | ) | ||
Net Expenses | 2,415,992 | |||
Net Investment Income | 10,572,573 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | 255,431 | |||
Net change in unrealized appreciation (depreciation) of investments | (6,113,970 | ) | ||
Net Realized and Unrealized Loss | (5,858,539 | ) | ||
Net Increase in Net Assets Resulting From Operations | $ | 4,714,034 | ||
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Intermediate Municipal Fund
Six Months Ended March 31, 2008* | Year Ended September 30, 2007 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 10,572,573 | $ | 19,690,998 | ||||
Net realized gain on investments | 255,431 | 563,541 | ||||||
Increase (Decrease) in unrealized appreciation (depreciation) of investments | (6,113,970 | ) | (6,072,467 | ) | ||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,714,034 | 14,182,072 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (6,497,528 | ) | (13,591,786 | ) | ||||
Class C Shares | (988,034 | ) | (1,928,153 | ) | ||||
Class I Shares | (3,087,011 | ) | (4,171,059 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | (1,070,342 | ) | (28,841,157 | ) | ||||
Class C Shares | 2,376,900 | (1,015,192 | ) | |||||
Class I Shares | 35,053,982 | 37,157,553 | ||||||
Net Increase in Net Assets | 30,502,001 | 1,792,278 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 513,579,792 | 511,787,514 | ||||||
End of period | $ | 544,081,793 | $ | 513,579,792 | ||||
* | Unaudited. |
See notes to financial statements.
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NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (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 thirteen 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 New York Intermediate Municipal 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, Thornburg Investment Income Builder Fund, Thornburg Global Opportunities Fund, Thornburg International Growth Fund, and Thornburg Strategic Income 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 primary investment objective is to obtain as high a level of current income exempt from federal individual income taxes as is consistent, in the view of the Fund’s investment advisor, with the preservation of capital. The Fund’s secondary objective is to reduce expected changes in its share price compared to long-term bond portfolios.
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 may have different reinvestment privileges and conversion rights. 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 Securities: Debt securities have a primary market over the counter and are valued by an independent pricing service approved by the Trustees of the Trust. The pricing service ordinarily values debt securities at quoted bid prices. When quotations are not available, debt securities are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt securities of comparable quality, type of issue, coupon, maturity, and rating; indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
In any case where a pricing service fails to provide a price for a debt security held by the Fund, the valuation and pricing committee determines a fair value for the security using factors approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt security may be unreliable, the valuation and pricing committee decides whether or not to use the pricing service’s valuation or to determine a fair value for the security.
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 Fund’s 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 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 realized 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
12 Certified Semi-Annual Report
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
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.
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities 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 six months ended March 31, 2008, 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 depending on the Fund’s asset size. The Trust also has entered into administrative services agreements 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 six months ended March 31, 2008, the Advisor voluntarily reimbursed certain class specific expenses and administrative fees of $31,102 for Class C shares and $4,275 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’s shares. For the six months ended March 31, 2008, the Distributor has advised the Fund that it earned net commissions aggregating $1,547 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $716 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 and distribution 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 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 the Distributor for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2008, are set forth in the Statement of Operations. Distribution fees in the amount of $109,209 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 six months ended March 31, 2008, fees paid indirectly were $10,415. This figure may include additional fees waived by the custodian.
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 13
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2008, 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, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 2,056,413 | $ | 27,074,342 | 2,977,070 | $ | 39,306,041 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 307,447 | 4,019,269 | 616,657 | 8,138,336 | ||||||||||
Shares repurchased | (2,450,492 | ) | (32,163,953 | ) | (5,785,000 | ) | (76,285,534 | ) | ||||||
Net Increase (Decrease) | (86,632 | ) | $ | (1,070,342 | ) | (2,191,273 | ) | $ | (28,841,157 | ) | ||||
Class C Shares | ||||||||||||||
Shares sold | 460,476 | $ | 6,046,770 | 698,647 | $ | 9,209,025 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 49,137 | 643,108 | 96,425 | 1,274,036 | ||||||||||
Shares repurchased | (327,916 | ) | (4,312,978 | ) | (870,144 | ) | (11,498,253 | ) | ||||||
Net Increase (Decrease) | 181,697 | $ | 2,376,900 | (75,072 | ) | $ | (1,015,192 | ) | ||||||
Class I Shares | ||||||||||||||
Shares sold | 4,154,455 | $ | 54,605,753 | 4,284,001 | $ | 56,206,181 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 153,321 | 2,000,810 | 217,243 | 2,861,145 | ||||||||||
Shares repurchased | (1,630,533 | ) | (21,552,581 | ) | (1,660,657 | ) | (21,909,773 | ) | ||||||
Net Increase (Decrease) | 2,677,243 | $ | 35,053,982 | 2,840,587 | $ | 37,157,553 | ||||||||
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2008, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $60,779,363 and $34,946,420, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2008, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 525,091,762 | ||
Gross unrealized appreciation on a tax basis | $ | 13,893,541 | ||
Gross unrealized depreciation on a tax basis | (6,708,315 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 7,185,226 | ||
At March 31, 2008, the Fund had tax basis capital losses, which may be carried forward to offset future capital gains. Such losses include losses from the merger of the Thornburg Florida Intermediate Municipal Fund. Utilization of these losses may be subject to limitations from the IRS regulations. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations.
Such capital loss carryforwards expire as follows:
2008 | $ | 2,244,545 | |
2009 | 2,374,508 | ||
2011 | 11,597 | ||
2012 | 4,297,982 | ||
2013 | 39,577 | ||
$ | 8,968,209 | ||
14 Certified Semi-Annual Report
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
OTHER NOTES:
FASB Interpretation No. 48:
On July 13, 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes—an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation prescribes a model for how a company, including the Fund, should recognize, measure, present and disclose in its financial statements uncertain tax positions that the company has taken or expects to take on income tax returns, and also revises certain disclosure requirements. The Interpretation became effective for the Fund for the financial statement reporting period ended March 31, 2008. As of the date of this report, management of the Fund has not identified any material effect on the Fund’s financial statements resulting from the implementation of FIN 48.
Statement of Accounting Standards No. 157:
On September 15, 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 defines fair value, provides guidelines for measuring fair value in accordance with generally accepted accounting principles, and addresses disclosures about fair value measurements. FAS 157 establishes a fair value hierarchy that distinguishes between (i) market participant assumptions developed based upon market data obtained from sources independent of the reporting entity (observable inputs) and (ii) the entity’s own assumptions about market participant assumptions developed based upon the best information available under the circumstances (unobservable inputs). FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and is to be applied prospectively as of the beginning of the first fiscal year for which FAS 157 is applied. Management is evaluating FAS 157, and is not in a position at this time to estimate the significance of its impact, if any, on the Fund’s financial statements.
Certified Semi-Annual Report 15
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Thornburg Intermediate Municipal Fund
Six Months Ended March 31, 2008* | Year Ended September 30, | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.13 | $ | 13.28 | $ | 13.31 | $ | 13.46 | $ | 13.54 | $ | 13.65 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.28 | 0.55 | 0.54 | 0.53 | 0.56 | 0.57 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.14 | ) | (0.15 | ) | (0.03 | ) | (0.15 | ) | (0.08 | ) | (0.11 | ) | ||||||||||||
Total from investment operations | 0.14 | 0.40 | 0.51 | 0.38 | 0.48 | 0.46 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.28 | ) | (0.55 | ) | (0.54 | ) | (0.53 | ) | (0.56 | ) | (0.57 | ) | ||||||||||||
Change in net asset value | (0.14 | ) | (0.15 | ) | (0.03 | ) | (0.15 | ) | (0.08 | ) | (0.11 | ) | ||||||||||||
NET ASSET VALUE, end of period | $ | 12.99 | $ | 13.13 | $ | 13.28 | $ | 13.31 | $ | 13.46 | $ | 13.54 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (%)(a) | 1.05 | 3.06 | 3.90 | 2.90 | 3.61 | 3.49 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | 4.22 | (b) | 4.16 | 4.07 | 3.98 | 4.12 | 4.23 | |||||||||||||||||
Expenses, after expense reductions (%) | 0.65 | (b) | 0.67 | 0.67 | 0.67 | 0.67 | 0.62 | |||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.65 | (b) | 0.67 | 0.67 | 0.67 | 0.67 | 0.62 | |||||||||||||||||
Expenses, before expense reductions (%) | 0.66 | (b) | 0.73 | 0.75 | 0.77 | 0.75 | 0.80 | |||||||||||||||||
Portfolio turnover rate (%) | 6.87 | 22.55 | 18.95 | 20.06 | 11.81 | 15.13 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 159,318 | $ | 125,890 | $ | 89,589 | $ | 52,037 | $ | 33,079 | $ | 19,333 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
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SCHEDULE OF INVESTMENTS | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (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† | Principal Amount | Value | |||||
ALABAMA — 0.46% | ||||||||
Alabama Docks Revenue, 6.00% due 10/1/2008 (Insured: MBIA) (ETM) | Aaa/AAA | $ | 800,000 | $ | 816,936 | |||
Lauderdale County & Florence City Health Care Authority, 5.75% due 7/1/2013 (Coffee Health; Insured: MBIA) | Aaa/AAA | 1,600,000 | 1,667,312 | |||||
ALASKA — 0.58% | ||||||||
Alaska Municipal Bond Bank, 5.00% due 10/1/2017 (Insured: FGIC) | A1/A+ | 2,470,000 | 2,592,586 | |||||
Anchorage GO, 6.00% due 10/1/2012 (Insured: FGIC) | Aa3/AA | 500,000 | 541,240 | |||||
ARIZONA — 1.00% | ||||||||
Phoenix Civic Improvement Corp., 5.00% due 7/1/2017 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,089,130 | |||||
Pima County IDA, 6.70% due 7/1/2021 (Arizona Charter Schools) | Baa3/NR | 2,675,000 | 2,730,158 | |||||
Salt Verde Financial Corp. Gas Revenue, 5.25% due 12/1/2028 | Aa3/AA- | 500,000 | 456,980 | |||||
Tucson GO, 9.75% due 7/1/2012 (ETM) | NR/AA | 400,000 | 507,224 | |||||
Tucson GO, 9.75% due 7/1/2013 (ETM) | NR/AA | 500,000 | 660,625 | |||||
ARKANSAS — 0.45% | ||||||||
Jefferson County Hospital Improvement, 5.75% due 6/1/2012 (Jefferson Hospital Association) | NR/A | 1,135,000 | 1,202,578 | |||||
Jefferson County Hospital Improvement, 5.75% due 6/1/2013 (Jefferson Hospital Association) | NR/A | 1,200,000 | 1,264,728 | |||||
CALIFORNIA — 3.17% | ||||||||
California HFA, 9.875% due 2/1/2017 | Aa2/AA- | 675,000 | 694,393 | |||||
California State GO, 5.50% due 3/1/2027 | A1/A+ | 2,000,000 | 2,075,760 | |||||
California State Public Works Board Lease, 5.00% due 6/1/2017 (Regents of University of California; Insured: FGIC) | Aa2/AA- | 2,000,000 | 2,157,680 | |||||
Castaic Lake Water Agency COP, 5.00% due 8/1/2025 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,014,780 | |||||
El Camino Hospital District, 6.25% due 8/15/2017 (ETM) | Aaa/AAA | 1,000,000 | 1,129,800 | |||||
Golden West Schools Financing Authority, 0% due 8/1/2018 (Insured: MBIA) | Aaa/AAA | 2,140,000 | 1,219,201 | |||||
Los Angeles Regional Airport Improvement Corp., 5.00% due 1/1/2017 (LAX Fuel Corp.; Insured: FSA) (AMT) | Aaa/AAA | 1,120,000 | 1,155,504 | |||||
Redwood City Redevelopment Project, 0% due 7/15/2023 (Insured: AMBAC) | Aaa/AAA | 2,060,000 | 890,703 | |||||
San Jose USD COP, 5.00% due 6/1/2021 (Insured: FGIC) | Baa3/A+ | 1,580,000 | 1,601,298 | |||||
San Mateo USD GO, 0% due 9/1/2019 (Insured: FGIC) | Aa3/AA- | 3,000,000 | 1,710,900 | |||||
Victor Elementary School District GO, 0% due 8/1/2025 (Insured: FGIC) | A2/A | 1,535,000 | 574,596 | |||||
Washington USD, 5.00% due 8/1/2022 (New High School; Insured: AMBAC) | Aaa/AAA | 2,010,000 | 2,041,336 | |||||
COLORADO — 4.24% | ||||||||
Adams County, 5.00% due 8/1/2014 (Platte Valley Medical Center; Insured: FHA 242; MBIA) | NR/AAA | 1,000,000 | 1,084,200 | |||||
Adams County Communication Center COP, 5.75% due 12/1/2016 | Baa1/NR | 1,265,000 | 1,325,062 | |||||
Arvada IDRB, 5.60% due 12/1/2012 (Wanco Inc.; LOC: US Bank N.A.) (AMT) | NR/NR | 450,000 | 450,567 | |||||
Central Platte Valley Metropolitan District, 5.15% due 12/1/2013 pre-refunded 12/1/2009 | NR/AAA | 1,000,000 | 1,059,940 | |||||
Central Platte Valley Metropolitan District, 5.00% due 12/1/2031 put 12/1/2009 (LOC: US Bank) | NR/AA+ | 3,995,000 | 4,145,691 | |||||
Colorado Educational & Cultural Facilities, 5.25% due 8/15/2019 (Peak to Peak Charter School; Insured: XLCA) | A3/A | 1,475,000 | 1,537,688 | |||||
Colorado Educational & Cultural Facilities, 6.00% due 4/1/2021 (Cherry Creek Charter School) | Baa2/NR | 500,000 | 501,085 | |||||
Denver City & County Housing Authority, 5.20% due 11/1/2027 (Three Towers Rehabilitation; Insured: FSA) (AMT) | Aaa/NR | 2,555,000 | 2,409,033 | |||||
El Paso County School District GO, 7.10% due 12/1/2013 (State Aid Withholding) | Aa3/AA- | 500,000 | 596,355 |
Certified Semi-Annual Report 17
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† | Principal Amount | Value | |||||
Madre Metropolitan District GO, 5.375% due 12/1/2026 | NR/NR | $ | 2,220,000 | $ | 1,793,693 | |||
Murphy Creek Metropolitan District GO, 6.00% due 12/1/2026 | NR/NR | 2,000,000 | 1,630,480 | |||||
North Range Metropolitan District GO, 5.00% due 12/15/2021 | NR/NR | 1,500,000 | 1,337,820 | |||||
Northwest Parkway Public Highway Authority Senior Convertible C, 0% due 6/15/2014 (Insured: FSA) (ETM) | Aaa/AAA | 1,005,000 | 939,896 | |||||
Plaza Metropolitan District Public Improvement Fee/Tax Increment, 7.70% due 12/1/2017 | NR/NR | 2,500,000 | 2,599,800 | |||||
Southlands Metropolitan District GO, 7.00% due 12/1/2024 pre-refunded 12/1/2014 | NR/AAA | 1,370,000 | 1,660,180 | |||||
DELAWARE — 0.28% | ||||||||
Delaware State HFA, 5.25% due 5/1/2016 (Nanticoke Memorial Hospital; Insured: Radian) | NR/AA | 1,500,000 | 1,535,295 | |||||
DISTRICT OF COLUMBIA — 2.25% | ||||||||
District of Columbia Association of American Medical Colleges, 5.00% due 2/15/2017 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,080,460 | |||||
District of Columbia COP, 5.25% due 1/1/2014 (Insured: FGIC) | A2/A | 2,000,000 | 2,148,400 | |||||
District of Columbia COP, 5.00% due 1/1/2020 (Insured: FGIC) | A2/A | 3,900,000 | 3,985,137 | |||||
District of Columbia COP, 5.00% due 1/1/2023 (Insured: FGIC) | A2/A | 1,000,000 | 1,003,110 | |||||
District of Columbia GO, 6.00% due 6/1/2015 (Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,429,690 | |||||
District of Columbia Hospital, 5.375% due 8/15/2015 (Medlantic Healthcare) (ETM) | Aaa/AAA | 600,000 | 613,320 | |||||
FLORIDA — 11.25% | ||||||||
Broward County HFA Multi Family Housing, 5.40% due 10/1/2011 (Pembroke Park Apartments; Guaranty: Florida Housing Finance Corp.) (AMT) | NR/NR | 385,000 | 394,687 | |||||
Broward County Resource Recovery, 5.50% due 12/1/2008 (Wheelabrator South) | A3/AA | 500,000 | 511,080 | |||||
Broward County School Board COP, 5.00% due 7/1/2020 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,049,890 | |||||
Capital Trust Agency Multi Family Housing, 5.15% due 11/1/2030 put 11/1/2010 (Shadow Run; Collateralized: FNMA) | Aaa/NR | 1,000,000 | 1,043,280 | |||||
Collier County HFA Multi Family A-1, 4.90% due 2/15/2032 put 2/15/2012 (Goodlette Arms; Collateralized: FNMA) | Aaa/NR | 1,000,000 | 1,050,910 | |||||
Crossings at Fleming Island Community Development, 5.60% due 5/1/2012 (Insured: MBIA) | Aaa/AAA | 220,000 | 232,659 | |||||
Enterprise Community Development District Assessment Bonds, 6.00% due 5/1/2010 (Insured: MBIA) | Aaa/AAA | 870,000 | 872,366 | |||||
Escambia County HFA, 5.125% due 10/1/2014 (Baptist Hospital/Baptist Manor) | Baa1/BBB+ | 1,000,000 | 1,012,760 | |||||
Escambia County HFA, 5.95% due 7/1/2020 (Florida Health Care Facility Loan; Insured: AMBAC) | Aaa/NR | 560,000 | 589,361 | |||||
Flagler County School Board COP, 5.00% due 8/1/2020 (Insured: FSA) | Aaa/AAA | 2,560,000 | 2,664,013 | |||||
Florida Board of Education GO Capital Outlay, 9.125% due 6/1/2014 | Aa1/AAA | 905,000 | 1,063,637 | |||||
Florida Board of Education GO Capital Outlay, 5.75% due 6/1/2018 | Aa1/AAA | 1,460,000 | 1,542,067 | |||||
Florida Housing Finance Corp., 5.40% due 4/1/2014 pre-refunded 10/1/2010 (Augustine Club Apartments; Insured: MBIA) | Aaa/NR | 415,000 | 452,429 | |||||
Florida Housing Finance Corp. Homeowner Mortgage, 4.80% due 1/1/2016 | Aa1/AA+ | 275,000 | 283,222 | |||||
Florida Municipal Loan Council, 5.00% due 10/1/2024 (Insured: MBIA) (1) | Aaa/AAA | 2,235,000 | 2,268,793 | |||||
Florida State Board of Education Series B, 4.75% due 6/1/2021 | Aa1/AAA | 1,000,000 | 1,000,560 | |||||
Florida State Department of Children & Families COP, 5.00% due 10/1/2018 (South Florida Evaluation Treatment) | NR/AA+ | 2,090,000 | 2,186,621 | |||||
Florida State Department of Children & Families COP, 5.00% due 10/1/2019 (South Florida Evaluation Treatment) | NR/AA+ | 2,255,000 | 2,341,366 | |||||
Florida State Department of Environmental Protection, 5.00% due 7/1/2017 (Florida Forever; Insured: FGIC) | A1/AA- | 1,000,000 | 1,062,940 | |||||
Grand Haven Community Development District Florida Special Assessment, 6.90% due 5/1/2019 | NR/NR | 270,000 | 271,102 | |||||
Greater Orlando Aviation Authority, 5.25% due 10/1/2017 (Insured: FSA) (AMT) | Aaa/AAA | 5,000,000 | 5,145,050 | |||||
Highlands County HFA, 5.00% due 11/15/2019 (Adventist Health Hospital) | A1/A+ | 1,100,000 | 1,106,171 | |||||
Highlands County HFA, 5.00% due 11/15/2019 (Adventist Health Hospital) | A1/A+ | 1,000,000 | 1,005,610 | |||||
Hillsborough County Assessment Capacity, 5.00% due 3/1/2017 (Insured: FGIC) | A3/A+ | 1,000,000 | 1,057,510 | |||||
Hillsborough County IDA PCR, 5.10% due 10/1/2013 (Tampa Electric Co.) | Baa2/BBB- | 1,000,000 | 1,015,410 |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† | Principal Amount | Value | |||||
Hillsborough County IDA PCR, 5.65% due 5/15/2018 (Tampa Electric) | Baa2/BBB- | $ | 2,000,000 | $ | 1,999,540 | |||
Hollywood Community Redevelopment Agency, 5.00% due 3/1/2021 (Insured: XLCA) | A3/A- | 3,000,000 | 3,086,400 | |||||
Jacksonville HFA Hospital, 5.75% due 8/15/2014 pre-refunded 8/15/2011 | NR/NR | 1,000,000 | 1,050,070 | |||||
Jacksonville Water & Sewer District COP, 5.00% due 10/1/2020 pre-refunded 10/1/2008 | Aaa/AAA | 1,000,000 | 1,012,350 | |||||
Manatee County Florida, 5.00% due 10/1/2016 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,071,810 | |||||
Marion County Hospital District, 5.00% due 10/1/2022 (Munroe Regional Health) | A2/NR | 1,000,000 | 985,810 | |||||
Miami Dade County School Board COP, 5.00% due 10/1/2021 (Insured: AMBAC) | Aaa/AAA | 3,035,000 | 3,157,007 | |||||
Miami Dade County Special Housing, 5.80% due 10/1/2012 (HUD Section 8) | Baa3/NR | 645,000 | 677,566 | |||||
Miami GO, 5.375% due 9/1/2015 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,080,330 | |||||
Orange County HFA, 6.25% due 10/1/2013 (Orlando Regional Hospital; Insured: MBIA) | Aaa/AAA | 440,000 | 498,533 | |||||
Orange County HFA, 5.125% due 6/1/2014 (Mayflower Retirement; Insured: Radian) | NR/AA | 1,000,000 | 1,017,140 | |||||
Orange County HFA, 6.25% due 10/1/2016 (Orlando Regional Hospital; Insured: MBIA) | Aaa/AAA | 280,000 | 310,509 | |||||
Orange County HFA, 6.375% due 11/15/2020 pre-refunded 11/15/2010 (Adventist Health Systems) | A1/NR | 1,000,000 | 1,104,270 | |||||
Orange County School Board COP, 6.00% due 8/1/2008 (Insured: MBIA) | Aaa/NR | 1,580,000 | 1,597,838 | |||||
Orange County School Board COP, 5.50% due 8/1/2017 pre-refunded 8/01/2012 (Insured: MBIA) | Aaa/AAA | 735,000 | 812,829 | |||||
Port Everglades Authority, 5.00% due 9/1/2016 (Insured: FSA) | Aaa/AAA | 5,635,000 | 5,668,021 | |||||
South Miami HFA, 5.00% due 8/15/2022 (Baptist Health Group) | Aa3/AA- | 1,500,000 | 1,503,255 | |||||
St. John’s County IDA, 5.50% due 8/1/2014 (Presbyterian Retirement) | NR/NR | 1,000,000 | 1,049,460 | |||||
Tampa Health Systems, 5.50% due 11/15/2013 (Baycare Health Group; Insured: MBIA) | Aaa/AAA | 1,050,000 | 1,156,176 | |||||
University of Central Florida COP Convocation Corp., 5.00% due 10/1/2019 (Insured: FGIC) | Baa3/NR | 1,135,000 | 1,161,355 | |||||
GEORGIA — 1.22% | ||||||||
Atlanta Airport Revenue Series B, 6.00% due 1/1/2018 (Insured: FGIC) (AMT) | A1/A+ | 1,000,000 | 1,026,990 | |||||
Atlanta Tax Allocation, 5.00% due 12/1/2015 (Atlantic Station; Insured: Assured Guaranty) | Aaa/AAA | 4,120,000 | 4,419,030 | |||||
Georgia Municipal Electric Power Authority, 10.00% due 1/1/2010 | A1/A+ | 230,000 | 258,789 | |||||
Main Street Natural Gas Inc., 5.50% due 9/15/2022 | A1/A+ | 1,000,000 | 938,310 | |||||
HAWAII — 0.40% | ||||||||
Hawaii Department of Budget & Finance, 6.40% due 7/1/2013 (Kapiolani Health Care; Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,166,720 | |||||
IDAHO — 0.38% | ||||||||
Boise City IDRB Corp., 5.00% due 5/15/2020 (Western Trailer Co.; LOC: Wells Fargo) | Aaa/NR | 2,000,000 | 2,042,060 | |||||
ILLINOIS — 9.03% | ||||||||
Champaign County Community School District GO, 0% due 1/1/2011 pre-refunded 1/1/2010 (Insured: FGIC) | Baa3/AA- | 800,000 | 724,272 | |||||
Chicago Board of Education Series D3, 9.00% due 3/1/2034 put 4/25/2008 (Auction Rate Bond) | A1/AA- | 5,000,000 | 5,000,000 | |||||
Chicago Housing Authority, 5.00% due 7/1/2008 (ETM) | Aaa/NR | 3,020,000 | 3,044,341 | |||||
Chicago Midway Airport Second Lien, 5.00% due 1/1/2019 (Insured: AMBAC) | Aaa/AAA | 1,210,000 | 1,214,029 | |||||
Chicago Tax Increment, 6.25% due 11/15/2013 (Near South Redevelopment; Insured: ACA) | NR/NR | 1,500,000 | 1,567,875 | |||||
Chicago Tax Increment Allocation, 6.50% due 12/1/2008 (Sub Central Loop Redevelopment; Insured: ACA) | NR/NR | 1,500,000 | 1,528,800 | |||||
Chicago Tax Increment Allocation, 5.30% due 1/1/2014 (Lincoln Belmont; Insured: ACA) | NR/NR | 2,285,000 | 2,294,643 | |||||
Cook County Capital Improvement GO, 5.50% due 11/15/2008 (Insured: FGIC) | Aa2/AA | 500,000 | 503,855 | |||||
Cook County School District GO, 0% due 12/1/2022 (ETM) | NR/NR | 2,000,000 | 998,900 | |||||
Illinois DFA, 6.00% due 11/15/2012 (Adventist Health Group; Insured: MBIA) | Aaa/AAA | 2,860,000 | 3,088,943 | |||||
Illinois DFA Community Rehab Providers, 5.90% due 7/1/2009 | NR/BBB | 325,000 | 328,413 | |||||
Illinois Educational Facilities Authority, 5.50% due 5/15/2018 (Midwestern State University; Insured: ACA) | NR/NR | 1,500,000 | 1,454,640 | |||||
Illinois Educational Facilities Authority, 4.75% due 11/1/2036 put 11/1/2016 (Field Museum) | A2/A | 1,160,000 | 1,188,722 | |||||
Illinois Finance Authority, 5.00% due 8/1/2022 (Bradley University; Insured: XLCA) | A3/A | 1,000,000 | 1,012,590 | |||||
Illinois Finance Authority, 5.00% due 2/1/2027 (Newman Foundation; Insured: Radian) | NR/AA | 1,220,000 | 1,142,127 | |||||
Illinois HFA, 6.00% due 7/1/2011 (Loyola University Health Systems; Insured: MBIA) | Aaa/AAA | 1,370,000 | 1,494,067 |
Certified Semi-Annual Report 19
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† | Principal Amount | Value | |||||
Illinois HFA, 6.00% due 7/1/2012 (Loyola University Health Systems; Insured: MBIA) (ETM) | Aaa/AAA | $ | 230,000 | $ | 258,304 | |||
Illinois HFA, 6.00% due 7/1/2012 (Loyola University Health Systems; Insured: MBIA) | Aaa/AAA | 1,080,000 | 1,194,685 | |||||
Illinois HFA, 6.25% due 11/15/2019 pre-refunded 11/15/2009 (OSF Healthcare) | A2/A | 1,250,000 | 1,339,787 | |||||
Illinois HFA, 5.70% due 2/20/2021 (Midwest Care Center; Collateralized: GNMA) | Aaa/NR | 905,000 | 941,969 | |||||
Illinois HFA Series A, 5.75% due 8/15/2013 pre-refunded 8/15/2009 (Children’s Memorial Hospital; Insured: AMBAC) | Aaa/AAA | 1,900,000 | 2,018,218 | |||||
Melrose Park Tax Increment, 6.50% due 12/15/2015 (Insured: FSA) | Aaa/AAA | 1,015,000 | 1,111,121 | |||||
Sangamon County School District COP, 5.875% due 8/15/2018 (Hay Edwards; Insured: ACA) | NR/NR | 2,400,000 | 2,420,472 | |||||
Sherman Mortgage, 6.10% due 10/1/2014 (Villa Vianney Health Care; Collateralized: FHA/GNMA) | NR/AAA | 1,170,000 | 1,223,633 | |||||
Sherman Mortgage, 6.20% due 10/1/2019 (Villa Vianney Health Care; Collateralized: FHA/GNMA) | NR/AAA | 1,600,000 | 1,662,704 | |||||
Southern Illinois University, 0% due 4/1/2014 (Insured: MBIA) | Aaa/AAA | 1,425,000 | 1,121,945 | |||||
Southwestern Illinois Development Authority, 0% due 12/1/2024 (Insured: FSA) | NR/AAA | 2,975,000 | 1,205,351 | |||||
Tazewell County School District GO, 9.00% due 12/1/2024 (Insured: FGIC) | A3/NR | 1,205,000 | 1,757,854 | |||||
University of Illinois, 0% due 4/1/2014 (Insured: MBIA) | Aaa/AAA | 1,590,000 | 1,255,544 | |||||
University of Illinois, 5.25% due 1/15/2018 (UIC South Campus Development; Insured: FGIC) | A1/AA- | 1,205,000 | 1,284,638 | |||||
Will & Kendall Counties Community School District GO, 5.125% due 1/1/2014 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,053,210 | |||||
Will County Community School District GO, 0% due 11/1/2011 (Insured: FSA) | Aaa/AAA | 3,000,000 | 2,681,850 | |||||
INDIANA — 5.93% | ||||||||
Allen County Economic Development, 5.80% due 12/30/2012 (Indiana Institute of Technology) | NR/NR | 895,000 | 922,772 | |||||
Allen County Economic Development, 5.75% due 12/30/2015 (Indiana Institute of Technology) | NR/NR | 1,355,000 | 1,418,211 | |||||
Allen County Jail Building Corp., 5.00% due 4/1/2018 (Insured: XLCA) | Aa3/NR | 2,495,000 | 2,611,317 | |||||
Allen County Redevelopment District Tax, 5.00% due 11/15/2018 | A3/NR | 1,560,000 | 1,616,285 | |||||
Boone County Hospital Association, 5.625% due 1/15/2015 pre-refunded 7/15/2011 (Insured: FGIC) | Baa3/A+ | 1,000,000 | 1,093,300 | |||||
Carmel Redevelopment Authority Lease, 0% due 2/1/2016 (Performing Arts Center) | Aa2/AA | 1,730,000 | 1,225,411 | |||||
Carmel Redevelopment Authority Lease, 0% due 2/1/2021 (Performing Arts Center) | Aa2/AA | 2,000,000 | 1,028,480 | |||||
Dyer Redevelopment Authority, 6.40% due 7/15/2015 pre-refunded 7/15/2009 | NR/A- | 1,515,000 | 1,618,353 | |||||
Dyer Redevelopment Authority, 6.50% due 7/15/2016 pre-refunded 7/15/2009 | NR/A- | 1,910,000 | 2,042,726 | |||||
East Chicago Elementary School Building First Mortgage, 6.25% due 7/5/2008 (State Aid Withholding) | NR/A | 95,000 | 95,794 | |||||
Fishers Redevelopment Authority, 5.25% due 2/1/2020 (Insured: XLCA) | A3/AA | 1,025,000 | 1,080,678 | |||||
Fort Wayne Redevelopment Authority, 5.00% due 8/1/2023 (Harrison Square; Insured: Assured Guaranty) | Aaa/NR | 2,290,000 | 2,334,082 | |||||
Goshen Chandler School Building, 0% due 1/15/2011 (Insured: MBIA) | Aaa/AAA | 1,020,000 | 937,268 | |||||
Huntington Economic Development, 6.40% due 5/1/2015 (United Methodist Memorial) | NR/NR | 1,000,000 | 1,011,540 | |||||
Indiana Bond Bank, 5.25% due 4/1/2023 (Hendricks Regional; Insured: AMBAC) | Aaa/AAA | 2,000,000 | 2,093,280 | |||||
Indiana HFA, 5.75% due 9/1/2015 (Methodist Hospital) (ETM) | A3/AAA | 575,000 | 585,086 | |||||
Indiana State Educational Facilities Authority, 5.65% due 10/1/2015 pre-refunded 10/01/2009 (University of Indianapolis) | NR/A- | 1,065,000 | 1,101,167 | |||||
Indiana State Educational Facilities Authority, 5.70% due 10/1/2016 pre-refunded 10/01/2009 (University of Indianapolis) | NR/A- | 1,025,000 | 1,059,963 | |||||
Indianapolis Local Public Improvement Bond Bank, 0% due 7/1/2009 (ETM) | Aa2/NR | 740,000 | 717,992 | |||||
Lawrence Multifamily Redevelopment Authority, 5.40% due 6/1/2024 put 1/1/2018 (Pinnacle Apartments; Collateralized: FNMA) | NR/AAA | 1,500,000 | 1,500,540 | |||||
Noblesville Redevelopment Authority, 5.00% due 8/1/2017 (146th Street Extension) | NR/A+ | 1,000,000 | 1,021,670 | |||||
Noblesville Redevelopment Authority, 5.00% due 8/1/2020 (146th Street Extension) | NR/A+ | 1,000,000 | 997,200 | |||||
Vanderburgh County Redevelopment District Tax Increment, 5.00% due 2/1/2020 | NR/A- | 1,000,000 | 963,590 | |||||
Wawasee Community School Corp. First Mortgage, 5.50% due 7/15/2012 pre-refunded 1/15/2012 (1) | NR/AA | 1,200,000 | 1,323,624 | |||||
West Clark School Building Corp. First Mortgage, 5.75% due 7/15/2017 (Insured: FGIC) | Baa3/AA | 1,685,000 | 1,858,471 | |||||
IOWA — 1.77% | ||||||||
Coralville COP, 5.25% due 6/1/2022 | A2/NR | 2,980,000 | 3,029,230 | |||||
Iowa Finance Authority, 6.00% due 7/1/2012 (Trinity Regional Hospital; Insured: FSA) | Aaa/AAA | 1,000,000 | 1,071,720 | |||||
Iowa Finance Authority, 6.00% due 7/1/2013 (Genesis Medical Center) | A1/NR | 1,000,000 | 1,037,530 | |||||
Iowa Finance Authority, 5.75% due 12/1/2015 (Trinity Health) | Aa2/AA | 1,250,000 | 1,314,037 |
20 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† | Principal Amount | Value | |||||
Iowa Finance Authority, 6.75% due 2/15/2016 pre-refunded 2/15/2010 (Iowa Health Services) | Aa3/NR | $ | 1,000,000 | $ | 1,087,640 | |||
Iowa Finance Authority, 6.00% due 12/1/2018 (Catholic Health Initiatives) | Aa2/AA | 2,000,000 | 2,099,180 | |||||
KANSAS — 1.65% | ||||||||
Burlington Environmental Improvement, 5.375% due 9/1/2035 put 4/1/2013 (Kansas City Power & Light; Insured: FGIC) | A3/A | 2,400,000 | 2,397,408 | |||||
Olathe Tax Increment Special Obligation, 5.45% due 9/1/2022 (West Village Center) | NR/NR | 1,155,000 | 1,053,637 | |||||
Wichita Hospital Revenue, 6.75% due 11/15/2019 (Via Christi Health System) | NR/A+ | 4,200,000 | 4,408,656 | |||||
Wyandotte County School District GO, 5.00% due 9/1/2014 (Insured: FGIC) | A3/NR | 1,030,000 | 1,107,044 | |||||
KENTUCKY — 1.15% | ||||||||
Kentucky EDA Series B, 0% due 10/1/2024 (Norton Healthcare; Insured: MBIA) | Aaa/AAA | 3,000,000 | 1,188,720 | |||||
Kentucky Finance EDA, 5.85% due 10/1/2015 pre-refunded 10/1/2013 (Norton Healthcare; Insured: MBIA) | Aaa/AAA | 1,335,000 | 1,535,357 | |||||
Kentucky Finance EDA, 5.85% due 10/1/2015 (Norton Healthcare; Insured: MBIA) | Aaa/AAA | 2,665,000 | 2,959,029 | |||||
Wilmore Housing Facilities, 5.55% due 7/1/2013 (Wesley Methodist Village; LOC: Allied Irish Bank plc) | NR/NR | 530,000 | 542,646 | |||||
LOUISIANA — 2.51% | ||||||||
Jefferson Sales Tax District, 5.50% due 12/1/2008 (Insured: AMBAC) | Aaa/AAA | 1,595,000 | 1,629,691 | |||||
Louisiana Public Facilities Authority, 5.00% due 7/1/2021 (Archdiocese of New Orleans; Insured: CIFG) | A1/A+ | 980,000 | 979,922 | |||||
Louisiana Public Facilities Authority, 5.00% due 7/1/2022 (Black & Gold Facilities; Insured: CIFG) | A1/A+ | 1,500,000 | 1,471,425 | |||||
Louisiana Public Facilities Authority, 5.00% due 7/1/2023 (Archdiocese of New Orleans; Insured: CIFG) | A1/A+ | 1,000,000 | 983,170 | |||||
Morehouse Parish PCR, 5.25% due 11/15/2013 (International Paper Co.) | Baa3/BBB | 3,000,000 | 3,049,410 | |||||
New Orleans Aviation Board, 5.25% due 1/1/2018 (Insured: FSA) | NR/AAA | 1,000,000 | 1,040,170 | |||||
New Orleans Aviation Board, 5.25% due 1/1/2020 (Insured: FSA) | NR/AAA | 2,000,000 | 2,107,500 | |||||
St. Tammany Parish Sales Tax District No. 03 Sales & Use Tax, 5.00% due 6/1/2019 (Insured: CIFG) | NR/A+ | 1,300,000 | 1,359,605 | |||||
St. Tammany Parish Sales Tax District No. 03 Sales & Use Tax, 5.00% due 6/1/2020 (Insured: CIFG) | NR/A+ | 1,000,000 | 1,034,840 | |||||
MASSACHUSETTS — 0.28% | ||||||||
Massachusetts Housing Finance Agency, 5.05% due 6/1/2010 (Insured: MBIA) (AMT) | Aaa/AAA | 515,000 | 521,422 | |||||
Massachusetts Housing Finance Agency, 6.125% due 12/1/2011 (Insured: MBIA) (AMT) | Aaa/AAA | 950,000 | 975,650 | |||||
MICHIGAN — 4.05% | ||||||||
Grand Valley Michigan State University, 8.00% due 12/1/2033 put 4/7/2008 (Insured: AMBAC) (weekly demand notes) | Aaa/AAA | 5,000,000 | 5,000,000 | |||||
Kalamazoo Hospital Finance Authority, 6.25% due 6/1/2014 (Borgess Medical Center) (ETM) | Aaa/AAA | 650,000 | 760,234 | |||||
Kent Hospital Finance Authority, 7.25% due 1/15/2013 (Butterworth Hospital; Insured: MBIA) | Aaa/AAA | 840,000 | 929,048 | |||||
Michigan Public Educational Facilities Authority, 5.50% due 9/1/2022 (Black River School) | NR/NR | 1,110,000 | 1,014,829 | |||||
Michigan State Building Authority, 5.25% due 10/15/2017 (Insured: FSA) | Aaa/AAA | 2,450,000 | 2,675,228 | |||||
Michigan State Building Authority, 0% due 10/15/2025 (Insured: FGIC) | A1/A+ | 6,000,000 | 2,201,520 | |||||
Michigan State Hospital Finance Authority, 5.00% due 11/15/2024 (Sparrow Obligated Group) | A1/A+ | 2,140,000 | 2,120,804 | |||||
Michigan State Hospital Finance Authority, 5.00% due 7/15/2025 (Oakwood Obligated Group) | A2/A | 3,650,000 | 3,538,784 | |||||
Michigan Strategic Fund, 5.25% due 10/15/2023 (Michigan House of Representatives Facilities; Insured: Assured Guaranty) | Aaa/AAA | 1,000,000 | 1,030,180 | |||||
Northern Michigan University, 8.50% due 6/1/2031 put 4/1/2008 (Insured: FGIC) (daily demand notes) | A2/AAA | 2,020,000 | 2,020,000 | |||||
Southfield Economic Development Corp., 7.25% due 12/1/2010 (N.W. 12 LP Transcon Builders) | NR/NR | 750,000 | 738,578 | |||||
MINNESOTA — 0.69% | ||||||||
Minneapolis St. Paul Health, 6.00% due 12/1/2018 (Healthpartners Obligated Group) | Baa1/BBB | 1,000,000 | 1,044,730 | |||||
Southern Minnesota Municipal Power Agency, 5.75% due 1/1/2018 pre-refunded to various dates (Insured: MBIA) | Aaa/AAA | 700,000 | 758,632 | |||||
St. Paul Housing & Redevelopment Authority, 5.25% due 5/15/2020 (Healthpartners Obligated Group) | Baa1/BBB | 1,965,000 | 1,930,337 |
Certified Semi-Annual Report 21
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† | Principal Amount | Value | |||||
MISSISSIPPI — 1.79% | ||||||||
Mississippi Development Bank Special Obligation, 5.00% due 7/1/2022 (Canton Public Improvement) | NR/NR | $ | 1,935,000 | $ | 1,794,964 | |||
Mississippi Development Bank Special Obligation, 5.00% due 7/1/2027 (Lowndes County Industrial Development; Insured: FSA) | Aaa/AAA | 2,500,000 | 2,525,650 | |||||
Mississippi Development Bank Special Obligation Municipal Energy Agency Power Supply, 5.00% due 3/1/2018 (Insured: XLCA) | A3/A- | 920,000 | 928,344 | |||||
Mississippi Development Bank Special Obligation Municipal Energy Agency Power Supply, 5.00% due 3/1/2020 (Insured: XLCA) | A3/A- | 1,000,000 | 988,740 | |||||
Mississippi Higher Educational Authority, 7.50% due 9/1/2009 (Guaranty: Student Loans) (AMT) | A2/NR | 1,500,000 | 1,504,560 | |||||
Mississippi Hospital Equipment & Facilities, 5.25% due 8/1/2026 (Delta Regional Medical Center; Insured: MBIA/FHA) | Aaa/AAA | 2,000,000 | 2,013,900 | |||||
MISSOURI — 1.80% | �� | |||||||
Kansas City Tax Increment Financing Commission, 5.00% due 3/1/2012 (Maincor) | NR/NR | 600,000 | 605,280 | |||||
Missouri Development Finance Board, 5.40% due 11/1/2018 (Lutheran Home for the Aged; LOC: Commerce Bank) | Aa2/NR | 2,025,000 | 2,058,473 | |||||
Missouri Development Finance Board, 5.00% due 4/1/2019 (Eastland Center) | NR/A+ | 1,000,000 | 1,014,480 | |||||
Missouri Development Finance Board, 5.00% due 4/1/2021 (Eastland Center) | NR/A+ | 2,000,000 | 2,002,880 | |||||
Missouri Development Finance Board, 5.125% due 4/1/2022 (Eastland Center) | NR/A+ | 2,000,000 | 1,933,120 | |||||
Springfield Public Utilities, 5.00% due 12/1/2013 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,188,720 | |||||
MONTANA — 0.25% | ||||||||
Montana Facilities Financing Authority, 5.00% due 1/1/2022 (St. Luke Community Healthcare) | Aa3/NR | 1,345,000 | 1,347,730 | |||||
NEBRASKA — 0.39% | ||||||||
Madison County Hospital Authority, 5.50% due 7/1/2014 (Faith Regional Health Services; Insured: Radian) | NR/AA | 845,000 | 877,634 | |||||
University of Nebraska, 5.00% due 5/15/2022 (Omaha Health) (2) | Aa2/AA- | 1,200,000 | 1,249,284 | |||||
NEVADA — 0.82% | ||||||||
Las Vegas Special Improvement District, 5.375% due 6/1/2013 (Insured: FSA) | Aaa/AAA | 1,125,000 | 1,152,146 | |||||
Reno Sparks Indian Colony, 5.00% due 6/1/2021 (LOC: U.S. Bank NA) | NR/NR | 1,000,000 | 976,380 | |||||
Washoe County Reno Sparks GO, 0% due 7/1/2011 (Insured: FSA) | Aaa/AAA | 2,600,000 | 2,352,636 | |||||
NEW HAMPSHIRE — 1.65% | ||||||||
Manchester Housing & Redevelopment Authority, 0% due 1/1/2016 (Insured: Radian ACA) | Baa3/AA | 4,990,000 | 3,287,462 | |||||
New Hampshire Health & Education Facilities, 5.25% due 10/1/2023 (Southern New Hampshire Medical Center) | NR/A- | 1,000,000 | 988,520 | |||||
New Hampshire IDA PCR, 5.90% due 8/1/2018 (CT Light & Power) (AMT) | Baa1/BBB- | 1,000,000 | 1,014,210 | |||||
New Hampshire PCR, 5.375% due 5/1/2014 (Central Maine Power Co.) | A3/BBB+ | 3,500,000 | 3,678,360 | |||||
NEW JERSEY — 0.28% | ||||||||
New Jersey EDA, 7.50% due 12/1/2019 (Spectrum for Living Development) | NR/NR | 180,000 | 180,591 | |||||
New Jersey EDA School Facilities Construction, 5.00% due 3/1/2019 | A1/AA- | 1,280,000 | 1,350,067 | |||||
NEW MEXICO — 0.83% | ||||||||
Albuquerque Airport, 5.00% due 7/1/2008 (Insured: AMBAC) (AMT) | Aaa/AAA | 1,000,000 | 1,004,950 | |||||
Sandoval County Incentive Payment, 5.00% due 6/1/2020 (Intel Corp.) | NR/A+ | 2,000,000 | 2,063,780 | |||||
Santa Fe County Charter School Foundation, 6.50% due 1/15/2026 (ATC Foundation) | NR/NR | 1,515,000 | 1,431,054 | |||||
NEW YORK — 0.77% | ||||||||
Nassau Health Care Corp., 6.00% due 8/1/2011 pre-refunded 8/1/2009 | Aaa/AAA | 1,130,000 | 1,213,236 |
22 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† | Principal Amount | Value | |||||
New York City IDA, 5.00% due 6/1/2010 (Lycee Francais De New York; Insured: ACA) | Baa1/BBB | $ | 1,175,000 | $ | 1,192,919 | |||
New York City Trust Cultural Resources, 5.75% due 7/1/2015 (Museum of American Folk Art; Insured: ACA) | NR/NR | 875,000 | 881,090 | |||||
New York State Dormitory Authority, 5.00% due 7/1/2017 (Bishop Henry B. Hucles Nursing; Insured: SONYMA) | Aa1/NR | 850,000 | 918,170 | |||||
NORTH CAROLINA — 1.00% | ||||||||
Charlotte-Mecklenberg Hospital Authority, 5.00% due 1/15/2022 | Aa3/AA- | 2,000,000 | 2,006,900 | |||||
Franklin County COP, 5.00% due 9/1/2022 (Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,541,910 | |||||
North Carolina Housing Finance Agency SFMR, 6.50% due 9/1/2026 | Aa2/AA | 800,000 | 824,856 | |||||
North Carolina Medical Care, 5.00% due 9/1/2013 (Rowan Regional Medical Center; Insured: FSA & FHA 242) | Aaa/AAA | 1,000,000 | 1,081,600 | |||||
NORTH DAKOTA — 0.39% | ||||||||
North Dakota State Housing Finance Agency, 5.20% due 7/1/2022 (AMT) | Aa1/NR | 1,000,000 | 993,950 | |||||
North Dakota State Housing Finance Agency, 5.70% due 7/1/2030 (AMT) | Aa1/NR | 170,000 | 171,656 | |||||
Ward County Health Care Facilities, 5.125% due 7/1/2021 (Trinity Obligated Group) | NR/BBB+ | 1,000,000 | 966,780 | |||||
OHIO — 2.75% | ||||||||
Butler County Transportation Improvement, 6.00% due 4/1/2010 pre-refunded 4/1/2008 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,020,000 | |||||
Central Ohio Solid Waste Authority GO, 5.00% due 12/1/2008 | Aa2/AA+ | 2,530,000 | 2,579,614 | |||||
Cleveland Cuyahoga County Port Authority, 6.25% due 5/15/2016 (LOC: FifthThird Bank) | NR/NR | 1,160,000 | 1,216,086 | |||||
Deerfield Township Tax Increment, 5.00% due 12/1/2025 | A3/NR | 1,000,000 | 943,870 | |||||
Franklin County Health Care, 6.00% due 11/1/2010 (Heinzerling Foundation; LOC: Banc One) | Aaa/NR | 605,000 | 606,543 | |||||
Hamilton Wastewater Systems, 5.25% due 10/1/2017 (Insured: FSA) | Aaa/NR | 1,500,000 | 1,651,590 | |||||
Lorain County Hospital Revenue, 5.625% due 10/1/2016 (Catholic Healthcare) | A1/AA- | 1,435,000 | 1,513,566 | |||||
Marysville School District COP, 5.25% due 12/1/2017 pre-refunded 6/1/2015 (School Facilities; Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,241,860 | |||||
North Ridgeville Economic Development, 0% due 2/1/2015 (Lake Ridge Nursing Home; Collateralized: FHA) | NR/AAA | 265,000 | 154,455 | |||||
Ohio State Higher Educational Facilities, 5.05% due 7/1/2037 put 7/1/2016 (Kenyon College) | A1/A+ | 2,200,000 | 2,336,994 | |||||
Reynoldsburg Health Care Facilities Bonds, 5.70% due 10/20/2012 (Collateralized: GNMA) | Aaa/NR | 695,000 | 710,547 | |||||
OKLAHOMA — 2.27% | ||||||||
Alva Hospital Authority Hospital Sales Tax, 5.25% due 6/1/2025 (Insured: Radian) | Aa3/AA | 1,505,000 | 1,516,498 | |||||
Comanche County Hospital Authority, 5.25% due 7/1/2019 (Insured: Radian) | Aa3/AA | 3,345,000 | 3,401,162 | |||||
Oklahoma City Municipal Water & Sewer, 0% due 7/1/2008 (Insured: AMBAC) | Aaa/AAA | 1,020,000 | 1,014,441 | |||||
Oklahoma City Municipal Water & Sewer, 0% due 7/1/2011 (Insured: AMBAC) | Aaa/AAA | 1,125,000 | 1,014,390 | |||||
Oklahoma City Municipal Water & Sewer, 0% due 7/1/2013 (Insured: AMBAC) | Aaa/AAA | 1,485,000 | 1,218,695 | |||||
Oklahoma DFA Hospital Association Pooled Hospital, 5.40% due 6/1/2013 pre-refunded 12/1/2010 (Integris Health; Insured: AMBAC) | Aaa/AAA | 825,000 | 894,333 | |||||
Tulsa IDA, 5.00% due 12/15/2015 (St. Francis Health Systems) | Aa2/AA | 750,000 | 799,425 | |||||
Tulsa IDA, 6.00% due 10/1/2016 (University of Tulsa; Insured: MBIA) | Aaa/AAA | 1,250,000 | 1,394,350 | |||||
Tulsa IDA, 5.00% due 12/15/2024 (St. Francis Health Systems) | Aa2/AA | 1,130,000 | 1,119,819 | |||||
OREGON — 0.43% | ||||||||
Forest Grove Campus Improvement, 6.00% due 5/1/2015 pre-refunded 5/1/2010 (Pacific University; Insured: Radian) | NR/AA | 800,000 | 859,688 | |||||
Oregon State Housing & Community Services Department Single Family Mortgage Program, 5.35% due 7/1/2018 (AMT) | Aa2/NR | 525,000 | 535,815 | |||||
Portland Housing Authority, 4.75% due 5/1/2022 (Yards Union Station) (AMT) | Aa2/NR | 1,000,000 | 945,190 |
Certified Semi-Annual Report 23
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† | Principal Amount | Value | |||||
PENNSYLVANIA — 1.68% | ||||||||
Allegheny County Hospital Development, 6.50% due 5/1/2012 pre-refunded 5/1/2010 (South Hills Health Systems) | Baa1/NR | $ | 1,400,000 | $ | 1,513,554 | |||
Carbon County IDA, 6.65% due 5/1/2010 (Panther Creek Partners) | NR/BBB- | 4,230,000 | 4,296,919 | |||||
Chartiers Valley Industrial & Community Development Authority, 5.75% due 12/1/2022 (Asbury Health Center) | NR/NR | 900,000 | 829,512 | |||||
Lancaster County, 0% due 5/1/2014 (Insured: FGIC) | Aa3/NR | 795,000 | 611,999 | |||||
Lancaster County, 0% due 5/1/2015 (Insured: FGIC) | Aa3/NR | 800,000 | 577,680 | |||||
Pennsylvania Higher Education Facilities Authority, 5.60% due 11/15/2009 (Allegheny United Hospitals; Insured: MBIA) | Aaa/AAA | 500,000 | 499,965 | |||||
Pennsylvania Higher Education Facilities Authority, 0% due 7/1/2020 (Insured: AMBAC) | Aaa/AAA | 2,032,839 | 825,170 | |||||
RHODE ISLAND — 0.66% | ||||||||
Rhode Island Health & Education Building Corp., 5.00% due 3/15/2014 (Salve Regina University; Insured: Radian) | NR/AA | 1,065,000 | 1,121,616 | |||||
Rhode Island Health & Education Building Corp., 6.00% due 8/1/2014 (Roger Williams Realty; Credit Support: FHA) | NR/AA | 1,000,000 | 1,050,520 | |||||
Rhode Island Health & Education Building Corp. Hospital Financing, 5.25% due 7/1/2015 (Memorial Hospital; LOC: Fleet Bank) | NR/AA+ | 1,325,000 | 1,403,294 | |||||
SOUTH CAROLINA — 3.33% | ||||||||
Berkeley County School District Installment Lease, 5.00% due 12/1/2019 | A3/A- | 2,000,000 | 2,011,040 | |||||
Charleston Educational Excellence Financing Corp., 5.25% due 12/1/2020 (Charleston County School District) | A1/AA- | 1,855,000 | 1,921,242 | |||||
Greenwood School Facilities, Inc., 5.00% due 12/1/2025 (Greenwood School District 50; Insured: Assured Guaranty) | Aaa/AAA | 2,400,000 | 2,444,064 | |||||
Lexington One School Facilities Corp. School District 1, 5.00% due 12/1/2019 | A1/NR | 1,000,000 | 1,035,640 | |||||
Lexington One School Facilities Corp. School District 1, 5.25% due 12/1/2021 | A1/NR | 1,700,000 | 1,733,167 | |||||
Scago Educational Facilities Corp., 5.00% due 12/1/2017 (Colleton School District; Insured: Assured Guaranty) | Aaa/AAA | 1,000,000 | 1,075,160 | |||||
Scago Educational Facilities Corp. Spartanburg County, 5.00% due 4/1/2019 (Insured: FSA) | Aaa/AAA | 2,740,000 | 2,900,564 | |||||
Scago Educational Facilities Corp. Spartanburg County, 5.00% due 4/1/2021 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,041,740 | |||||
South Carolina Housing Finance & Development Authority, 5.30% due 7/1/2023 | Aa1/NR | 1,000,000 | 993,710 | |||||
Sumter School Facilities Inc. School District 2, 5.00% due 12/1/2021 (Insured: Assured Guaranty) | Aaa/AAA | 2,855,000 | 2,965,945 | |||||
TENNESSEE — 2.02% | ||||||||
Knox County Health, 4.90% due 6/1/2031 put 6/1/2011 (Eastowne Partners II Ltd.; Collateralized: FNMA) | NR/AAA | 1,975,000 | 2,070,768 | |||||
Tennessee Energy Acquisition Corp., 5.00% due 2/1/2023 | Aa3/AA- | 2,500,000 | 2,300,300 | |||||
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2023 | Aa3/AA- | 7,000,000 | 6,603,940 | |||||
TEXAS — 14.90% | ||||||||
Bexar County Health Facilities Development Corp., 6.125% due 7/1/2022 pre-refunded 7/1/2012 (Army Retirement Residence) | NR/BBB | 1,250,000 | 1,419,475 | |||||
Bexar County Health Facilities Development Corp., 5.00% due 7/1/2027 (Army Retirement Residence) | NR/BBB | 1,000,000 | 908,940 | |||||
Bexar County Housing Finance Corp., 5.40% due 8/1/2012 (Dymaxion & Marrach Park Apartments; | ||||||||
Insured: MBIA) | Aaa/NR | 755,000 | 785,895 | |||||
Bexar County Housing Finance Corp., 5.875% due 4/1/2014 (Honey Creek Apartments; Insured: MBIA) | Aaa/NR | 975,000 | 1,019,411 | |||||
Bexar County Housing Finance Corp., 5.50% due 1/1/2016 (American Opportunity Housing & Colinas; Insured: MBIA) | Aaa/NR | 600,000 | 619,920 | |||||
Bexar County Housing Finance Corp., 6.125% due 4/1/2020 (Honey Creek Apartments; Insured: MBIA) | Aaa/NR | 1,000,000 | 1,023,970 |
24 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† | Principal Amount | Value | |||||
Bexar County Housing Finance Corp., 5.95% due 8/1/2020 (Dymaxion & Marrach Park Apartments; | ||||||||
Insured: MBIA) | Aaa/NR | $ | 1,270,000 | $ | 1,326,185 | |||
Bexar County Housing Finance Corp., 5.70% due 1/1/2021 (American Opportunity Housing & Colinas; Insured: MBIA) | Aaa/NR | 1,035,000 | 1,052,440 | |||||
Bexar County Housing Finance Corp., 6.50% due 12/1/2021 (American Opportunity Housing- Waterford) | Baa2/NR | 2,000,000 | 2,048,200 | |||||
Bexar Metropolitan Water District Waterworks, 5.00% due 5/1/2021 (Insured: XLCA) | A3/A | 1,300,000 | 1,327,261 | |||||
Bexar Metropolitan Water District Waterworks, 5.00% due 5/1/2022 (Insured: XLCA) | A3/A | 2,300,000 | 2,336,846 | |||||
Birdville ISD GO, 0% due 2/15/2012 (Guaranty: PSF) | Aaa/AAA | 2,800,000 | 2,458,708 | |||||
Carroll ISD GO, 0% due 2/15/2011 (Guaranty: PSF) | Aaa/AAA | 345,000 | 303,014 | |||||
Cedar Park Improvement District GO, 5.00% due 2/15/2016 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,060,580 | |||||
Coppell ISD GO, 0% due 8/15/2013 (Insured: PSF-GTD) | NR/AAA | 1,495,000 | 1,148,040 | |||||
Coppell ISD GO, 0% due 8/15/2013 pre-refunded 8/15/2009 (Insured: PSF-GTD) | NR/AAA | 3,505,000 | 2,713,150 | |||||
Duncanville ISD GO, 0% due 2/15/2016 pre-refunded 2/15/2012 (Insured: PSF) | Aaa/AAA | 2,985,000 | 2,102,067 | |||||
Duncanville ISD GO, 0% due 2/15/2016 (Insured: PSF) | Aaa/AAA | 15,000 | 10,396 | |||||
El Paso ISD GO, 0% due 8/15/2010 (Guaranty: PSF) | Aaa/AAA | 3,750,000 | 3,346,200 | |||||
El Paso ISD GO, 0% due 8/15/2011 (Guaranty: PSF) | Aaa/AAA | 2,500,000 | 2,107,350 | |||||
Ennis ISD GO, 0% due 8/15/2012 pre-refunded 8/15/2010 (Guaranty: PSF) | Aaa/NR | 1,625,000 | 1,383,493 | |||||
Ennis ISD GO, 0% due 8/15/2012 (Guaranty: PSF) | Aaa/NR | 835,000 | 702,202 | |||||
Ennis ISD GO, 0% due 8/15/2013 pre-refunded 8/15/2010 (Guaranty: PSF) | Aaa/NR | 1,645,000 | 1,314,388 | |||||
Ennis ISD GO, 0% due 8/15/2013 (Guaranty: PSF) | Aaa/NR | 845,000 | 666,899 | |||||
Ennis ISD GO, 0% due 8/15/2014 pre-refunded 8/15/2010 (Guaranty: PSF) | Aaa/NR | 1,670,000 | 1,251,064 | |||||
Ennis ISD GO, 0% due 8/15/2014 (Guaranty: PSF) | Aaa/NR | 855,000 | 632,674 | |||||
Gulf Coast Center, 6.75% due 9/1/2020 (Mental Health Retardation Center) | NR/BBB | 1,320,000 | 1,387,531 | |||||
Hays Consolidated ISD GO, 0% due 8/15/2013 pre-refunded 8/15/2011 (Guaranty: PSF) | Aaa/AAA | 6,245,000 | 5,082,493 | |||||
Laredo Sports Venue Sales Tax, 5.00% due 3/15/2018 (Insured: AMBAC) | Aaa/AAA | 2,040,000 | 2,139,776 | |||||
Lewisville Combination Contract Special Assessment District, 4.75% due 9/1/2012 (Insured: ACA) | NR/NR | 2,055,000 | 2,057,363 | |||||
Mesquite ISD GO, 0% due 8/15/2012 pre-refunded 8/15/2010 (Guaranty: PSF) | NR/AAA | 1,100,000 | 928,576 | |||||
Mesquite ISD GO, 0% due 8/15/2012 (Guaranty: PSF) | NR/AAA | 320,000 | 265,747 | |||||
Midlothian ISD GO, 0% due 2/15/2012 (ETM) | Aaa/NR | 500,000 | 442,755 | |||||
Midlothian ISD GO, 0% due 2/15/2012 (Guaranty: PSF) | Aaa/NR | 500,000 | 439,055 | |||||
Midtown Redevelopment Authority Tax, 6.00% due 1/1/2012 (Insured: Radian) | Aa3/AA | 735,000 | 771,302 | |||||
Midtown Redevelopment Authority Tax, 6.00% due 1/1/2013 (Insured: Radian) | Aa3/AA | 500,000 | 522,975 | |||||
Richardson Improvement GO, 5.00% due 2/15/2019 (Insured: MBIA) | Aaa/AAA | 2,145,000 | 2,273,378 | |||||
Sam Rayburn Municipal Power Agency, 6.00% due 10/1/2016 | Baa2/BBB- | 3,000,000 | 3,102,480 | |||||
Sam Rayburn Municipal Power Agency, 6.00% due 10/1/2021 | Baa2/BBB- | 675,000 | 686,144 | |||||
San Antonio Hotel Occupancy, 5.00% due 8/15/2034 put 8/1/2008 (Insured: AMBAC) | Aaa/AAA | 1,650,000 | 1,667,655 | |||||
Stafford Economic Development, 6.00% due 9/1/2017 (Insured: FGIC) | A2/A | 1,775,000 | 2,016,294 | |||||
Tarrant County Health Facilities, 6.625% due 11/15/2020 pre-refunded 11/15/2010 (Adventist/Sunbelt) | A1/NR | 3,500,000 | 3,895,465 | |||||
Tarrant County Limited Tax GO, 5.00% due 7/15/2023 | Aaa/AAA | 1,000,000 | 1,039,090 | |||||
Texarkana Health Facilities, 5.75% due 10/1/2011 (Wadely Regional Medical Center; Insured: MBIA) | Aaa/AAA | 2,500,000 | 2,722,475 | |||||
Texas City Industrial Development Corp., 7.375% due 10/1/2020 (Arco Pipe Line Company) | Aa1/AA+ | 2,450,000 | 3,084,721 | |||||
Texas State Public Finance Authority, 5.00% due 8/15/2023 (Idea Charter School; Insured: ACA) | NR/BBB- | 3,100,000 | 2,676,385 | |||||
Travis County GO, 5.25% due 3/1/2021 | Aaa/AAA | 1,000,000 | 1,074,920 | |||||
Travis County Health Facilities Development Corp., 5.75% due 11/15/2010 (Ascension Health; Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,116,420 | |||||
Travis County Health Facilities Development Corp., 6.25% due 11/15/2014 pre-refunded 11/15/2009 (Ascension Health; Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,226,500 | |||||
Upper Trinity Regional Water District Treated Water Supply Systems, 7.125% due 8/1/2008 (Insured: FGIC) | A3/A | 305,000 | 309,840 | |||||
Waco Health Facilities Development Corp., 6.00% due 11/15/2015 pre-refunded 11/15/2009 (Ascension Health) | Aa1/AAA | 870,000 | 933,258 | |||||
Waco Health Facilities Development Corp., 6.00% due 11/15/2016 pre-refunded 11/15/2009 (Ascension Health) | Aa1/AAA | 1,050,000 | 1,126,346 |
Certified Semi-Annual Report 25
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† | Principal Amount | Value | |||||
UTAH — 0.40% | ||||||||
Utah County Municipal Building Authority, 5.50% due 11/1/2016 pre-refunded 11/1/2011 (Insured: AMBAC) | Aaa/NR | $ | 1,000,000 | $ | 1,096,430 | |||
Utah Housing Finance Authority, 6.05% due 7/1/2016 (Credit Support: FHA) | NR/AAA | 405,000 | 409,613 | |||||
Utah Housing Finance Authority SFMR, 5.85% due 7/1/2015 (Credit Support: FHA) | Aaa/AA | 40,000 | 41,033 | |||||
Utah State Board of Regents Auxiliary, 5.25% due 5/1/2013 | NR/AA | 595,000 | 640,077 | |||||
VIRGINIA — 2.45% | ||||||||
Alexandria IDRB Institute for Defense Analysis, 6.00% due 10/1/2014 pre-refunded 10/1/2010 (Insured: AMBAC) | Aaa/AAA | 1,500,000 | 1,644,795 | |||||
Alexandria IDRB Institute for Defense Analysis, 6.00% due 10/1/2015 pre-refunded 10/1/2010 (Insured: AMBAC) | Aaa/AAA | 1,590,000 | 1,743,483 | |||||
Alexandria IDRB Institute for Defense Analysis, 5.90% due 10/1/2020 pre-refunded 10/1/2010 (Insured: AMBAC) | Aaa/AAA | 2,000,000 | 2,188,220 | |||||
Amelia County IDA, 4.90% due 4/1/2027 put 4/1/2010 (Waste Management) (AMT) (2) | NR/BBB | 2,000,000 | 1,996,240 | |||||
Fauquier County IDRB, 5.50% due 10/1/2016 (Insured: Radian) | NR/AA | 1,000,000 | 1,050,650 | |||||
Hanover County IDRB Medical Facilities, 6.00% due 10/1/2021 (ETM) | Aaa/AAA | 795,000 | 796,590 | |||||
Norton IDA, 6.00% due 12/1/2014 (Norton Community Hospital; Insured: ACA) | NR/NR | 1,635,000 | 1,716,112 | |||||
Spotsylvania County IDRB, 6.00% due 9/1/2019 put 9/1/2008 (Walter Grinders; LOC: Deutsche Bank) (AMT) | NR/NR | 2,210,000 | 2,214,199 | |||||
WASHINGTON — 3.37% | ||||||||
Port Longview Industrial Development Corp. Solid Waste Disposal, 6.875% due 10/1/2008 (Weyerhaeuser Co.) (AMT) | NR/BBB | 1,500,000 | 1,521,210 | |||||
Skagit County Public Hospital District GO, 5.125% due 12/1/2015 (Insured: MBIA) | Aaa/NR | 1,900,000 | 2,048,295 | |||||
Vancouver Downtown Redevelopment Authority, 5.50% due 1/1/2018 (Conference Center; Insured: ACA) | NR/NR | 3,500,000 | 3,427,375 | |||||
Washington Health Care Facilities, 4.50% due 12/1/2008 (Kadlec Medical Center; Insured: Assured Guaranty) | Aaa/AAA | 1,200,000 | 1,218,780 | |||||
Washington Health Care Facilities, 5.50% due 12/1/2010 pre-refunded 12/1/2009 (Providence Services; Insured: MBIA) | Aaa/AAA | 2,690,000 | 2,865,200 | |||||
Washington Health Care Facilities, 6.00% due 12/1/2014 (Catholic Health Services; Insured: MBIA) | Aaa/AAA | 1,735,000 | 1,854,472 | |||||
Washington Health Care Facilities, 6.00% due 12/1/2015 (Catholic Health Services; Insured: MBIA) | Aaa/AAA | 1,945,000 | 2,075,548 | |||||
Washington Housing Finance Commission, 5.60% due 7/1/2011 (Kline Galland Center; Insured: Radian) | NR/AA | 500,000 | 514,940 | |||||
Washington Housing Finance Commission, 5.875% due 7/1/2019 (Kline Galland Center; Insured: Radian) | NR/AA | 1,000,000 | 1,020,760 | |||||
Washington Public Power Supply, 0% due 7/1/2010 | Aaa/AA- | 960,000 | 902,179 | |||||
Washington Public Power Supply, 0% due 7/1/2011 | Aaa/AA- | 1,000,000 | 902,540 | |||||
WEST VIRGINIA — 0.29% | ||||||||
West Virginia Hospital Finance Authority, 5.00% due 6/1/2020 (United Hospital Center; Insured: AMBAC) | Aaa/AAA | 1,530,000 | 1,575,701 | |||||
WISCONSIN — 0.57% | ||||||||
Wisconsin Health & Educational Facilities, 5.75% due 8/15/2020 (Eagle River Memorial Hospital Inc.; Insured: Radian) | NR/AA | 1,000,000 | 1,025,640 | |||||
Wisconsin Housing & Economic Development, 5.875% due 11/1/2016 (Insured: AMBAC) | Aaa/AAA | 1,980,000 | 2,043,915 | |||||
TOTAL INVESTMENTS — 97.83% (Cost $525,094,233) | $ | 532,276,988 | ||||||
OTHER ASSETS LESS LIABILITIES — 2.17% | 11,804,805 | |||||||
NET ASSETS — 100.00% | $ | 544,081,793 | ||||||
26 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
Footnote Legend
† | Credit ratings are unaudited. Rating changes may have occurred prior to or subsequent to the reporting period end. |
(1) | Segregated as collateral for a when-issued security. |
(2) | When-issued security. |
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. | |
AMT | Alternative Minimum Tax | |
CIFG | CIFG Assurance North America Inc. | |
COP | Certificates of Participation | |
DFA | Development Finance Authority | |
EDA | Economic Development Authority | |
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 | |
GTD | Guaranteed | |
HFA | Health Facilities Authority | |
HUD | Department of Housing and Urban Development | |
IDA | Industrial Development Authority | |
IDRB | Industrial Development Revenue Bond | |
ISD | Independent School District | |
LOC | Letter of Credit | |
MBIA | Insured by Municipal Bond Investors Assurance | |
PCR | Pollution Control Revenue Bond | |
PSF | Guaranteed by Permanent School Fund | |
RADIAN | Insured by Radian Asset Assurance | |
SFMR | Single Family Mortgage Revenue Bond | |
SONYMA | State of New York Mortgage Authority | |
USD | Unified School District | |
XLCA | Insured by XL Capital Assurance |
See notes to financial statements.
Certified Semi-Annual Report 27
Table of Contents
Thornburg Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
As a shareholder of the Fund, you incur ongoing costs, including management and administration fees and other Fund expenses.
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested on September 30, 2007 and held until March 31, 2008.
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 for your class of shares 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 9/30/07 | Ending Account Value 3/31/08 | Expenses Paid During Period† 9/30/07–3/31/08 | |||||||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,010.50 | $ | 3.26 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,021.76 | $ | 3.28 |
† | Expenses are equal to the annualized expense ratio for the Class I shares (0.65%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
28 Certified Semi-Annual Report
Table of Contents
Thornburg Intermediate Municipal Fund | March 31, 2008 (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.
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 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
Not part of the Certified Semi-Annual Report
February 8, 2005, as readopted July 18, 2007
The Trustees are concerned that ongoing 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.
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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. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
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.
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 Global Opportunities Fund |
• | Thornburg International Growth Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
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Thornburg Equity Funds
Thornburg’s equity research uses a fundamental and comprehensive analytical approach. Thornburg equity funds focus on a limited number of securities so that each holding can impact 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.
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
• | Thornburg International Growth Fund |
Thornburg Bond Funds
The majority of Thornburg bond funds are laddered portfolios of 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 Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term Municipal Fund |
• | Thornburg New Mexico Intermediate Municipal Fund |
• | Thornburg New York Intermediate Municipal Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund* |
Carefully consider each fund’s investment objectives, risks, sales charges, and expenses; this information can be found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. There is no guarantee that any of these funds will meet their investment objectives.
For additional information, please visit www.thornburg.com
Thornburg Investment Management, 119 East Marcy Street, Santa Fe, NM 87501
* | This fund does not use the laddering strategy. |
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![]() | Waste not, Wait not | ![]() | ||||
This Semi-Annual Report is 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. |
Get instant access to your shareholder reports.
By switching from your postal mailbox to your email inbox, you reduce paper clutter, improve record keeping access, and help conserve our natural resources. | |||||
![]() | Investment Advisor: Thornburg Investment Management® 800.847.0200
Distributor: Thornburg Securities Corporation® 800.847.0200
TH173 | Go to www.thornburg.com/edelivery and sign up to receive your shareholder reports, prospectuses, and proxy statements electronically.
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Invest in our planet, while you invest with us
You are concerned about the future, so are we. That is why we encourage you to go paperless and cut down on the amount of paper being used for regulatory mailings. Go to www.thornburg.com/edelivery and sign up to receive your shareholder reports, prospectuses, and proxy statements electronically.
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 and New Mexico state individual income taxes as is consistent, in the view of the investment advisor, with preservation of capital. The secondary goal of the Fund is to reduce expected changes in its share price compared to long-term bond portfolios. 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 normally three to ten years. 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.
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Thornburg New Mexico Intermediate Municipal Fund
March 31, 2008
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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).
Performance data given at net asset value (NAV) does not take into account these sales charges. If the sales charges had been included, the performance would have been lower.
Investments 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. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund. Investments 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. There is no guarantee that the Fund will meet its investment objectives. The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
The information presented on the following pages was current as of March 31, 2008. The managers’ views, portfolio holdings, and sector diversification are provided for the general information of the Fund’s shareholders; they 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 managers’ 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.
![]() |
Lipper’s 2008 Best Fixed-Income Fund Family
Thornburg Investment Management ranked #1 out of 41 eligible firms in Lipper Inc.’s fixed income large firm
Lipper’s large firm universe is comprised of fund families with more than $28 billion in total net assets. Only fund |
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Glossary
The Merrill Lynch 7-12 Year Municipal Bond Index – The Merrill Lynch 7-12 Year Municipal Bond Index represents a broad measure of market performance. It is a model portfolio of municipal obligations throughout the U.S., with an average maturity which ranges from seven to twelve years.
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.
Average Maturity – The average of the maturity dates of the debt securities in the fund. In general, the longer the average maturity, the greater the fund’s sensitivity to interest-rate changes, which means greater price fluctuation. A shorter average maturity usually means a less sensitive/less volatile portfolio.
Consumer Price Index – The Consumer Price Index (CPI) measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living 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.
Fed Funds Rate – The interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.
Real Gross Domestic Product (GDP) – The market value of goods and services produced by labor and property in the United States, regardless of nationality. This inflation-adjusted measure reflects the value of all goods and services produced in a given year, expressed in base-year prices. Often referred to as “constant-price GDP”, “inflation-corrected GDP” or “constant dollar GDP”.
U.S. Treasury Securities – U.S. Treasury securities, such as bills, notes and bonds, are negotiable debt obligations of the U.S. government. These debt obligations are backed by the “full faith and credit” of the government and issued at various schedules and maturities. Income from Treasury securities is exempt from state and local, but not federal income taxes.
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George Strickland Co-Portfolio Manager
Josh Gonze Co-Portfolio Manager
Christopher Ihlefeld Co-Portfolio Manager |
April 14, 2008
Dear Fellow Shareholder:
We are pleased to present the Semi-Annual Report for the Thornburg New Mexico Intermediate Municipal Fund. The net asset value of the Class A shares increased by 2 cents per share to $13.12 during the six months ended March 31, 2008. If you were with us for the entire period, you received dividends of 23.5 cents per share. If you reinvested your dividends, you received 23.7 cents per share. Investors who owned Class D shares received dividends of 21.8 and 21.9 cents per share, respectively.
The past six months have been extraordinary in the capital markets. All bonds, including municipals, have been buffeted by the mortgage storm and its aftermath. In the rubble lies opportunity for unlevered investors like us. We are proud of our performance during this difficult period, and we welcome the accolades we have earned. In April 2008, Thornburg Investment Management received the 2008 Lipper Fund Award for Best Fixed-Income Fund Family.
What makes our recent strong performance remarkable is that it occurred during the collapse of the mortgage market and the subsequent bank liquidity crisis. For years, leveraged investors have distorted prices in the bond market. In contrast with old-fashioned cash investors like ourselves, leveraged players tended to pay more for bonds because their borrowed funding and copious use of hedges allowed them to ignore the rules of fundamental bond investing. But in the last six months, banks curtailed lending, the auction-rate securities market crumpled, and hedges had to unwind.
Mortgage-backed securities began collapsing in August 2007. We were largely unscathed because we had minimal exposure to this sector. Risk models created by rating agencies failed to provide for the possibility of a broad increase in mortgage delinquencies. Banks and investors who held mortgage bonds took unprecedented write-downs, essentially admitting the bonds cannot recover. All of the bond insurers, to varying degrees, had written credit default swaps against mortgages, and now some bond insurers have been stripped of their AAA ratings. Banks have curtailed lending as they struggle to reduce the size of their balance sheets.
Today’s economic picture is one of stagnating economic activity combined with accelerating inflation. Inflation is running around 4%, as measured by the CPI. Home sales and construction starts are depressed. Recent reports for real GDP indicate the economy is nearly flat with a 0.60% growth rate. Recent job reports show three consecutive months of declining payrolls, so we believe there is little question that the U.S. is in a mild recession. We expect the bipartisan $168 billion stimulus package to be ineffective.
The Fed has lowered the Fed Funds Rate by 3% since September 2007 to 2.25%, with further rate cuts anticipated. Low interest rates ordinarily halt downward economic trends by prompting more lending, borrowing, and spending. However, banks currently are focused on reducing assets, not creating new assets, so low interest rates are failing to translate into economic activity.
The decline of the dollar is both a signal and a cause of economic weakness. Our currency continues its long-term downward trend as investors, both foreign and domestic, shift their portfolios to hold more assets denominated in currencies other than the dollar. Dollar-denominated assets are undermined by accelerating U.S. inflation and negative real interest rates on Treasury bonds. |
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On the positive side, the yield curve has been steepening, which will support a rebound in bank profits. The municipal yield curve’s newly steep direction has pivoted around the year 2016. Since the beginning of January, bonds maturing prior to 2016 have declined in yield (risen in price), while bonds maturing after 2016 have risen in yield (declined in price). The flight to quality has pushed Treasury yields down sharply, with the result that the ratios of municipal-to-Treasury yields were at an all-time high. In the last six months we have purchased tax-exempt bonds at yields ranging from 120% to 200% of equivalent maturity Treasuries.
Meanwhile, quality spreads (the difference in yield between the highest quality bonds and lower quality bonds) have been wide in the last several months. Some investors, who were previously comfortable taking credit risk at very tight spreads to AAA rated bonds, suddenly became a lot less comfortable. Those who sold typically had to sell their bonds at significantly wider spreads than those that prevailed earlier in the year. This led to an environment where investors could finally be compensated for taking incremental credit risk in bonds rated lower than AAA. We have been a beneficiary of this trend. When the credit-spread widening started, we were underweighted in BBB and A-rated bonds. As spreads doubled and tripled from their levels of mid-2007, we increased the Fund’s allocation to bonds rated below AA.
% of portfolio maturing | Cumulative % maturing | |
2 years = 12.2% | Year 2 = 12.2% | |
2 to 4 years = 17.4% | Year 4 = 29.6% | |
4 to 6 years = 11.3% | Year 6 = 40.9% | |
6 to 8 years = 12.5% | Year 8 = 53.4% | |
8 to 10 years = 10.9% | Year 10 = 64.3% | |
10 to 12 years = 11.3% | Year 12 = 75.6% | |
12 to 14 years = 8.3% | Year 14 = 83.9% | |
14 to 16 years = 6.6% | Year 16 = 90.5% | |
16 to 18 years = 3.7% | Year 18 = 94.2% | |
Over 18 years = 5.8% | Over 18 years = 100.0% |
Percentages can and do vary. Data as of 3/31/08.
The Class A shares of your Fund produced a total return of 1.96% over the six-month period ended March 31, 2008, compared to a 2.25% return for the Merrill Lynch 7-12 Year Municipal Bond Index. Over the six-month period, shorter bonds have outperformed longer bonds. The Fund invests in a laddered portfolio of bonds that mature over the next eighteen years, with roughly 10% of the portfolio maturing in each two year period of the ladder, so a significant portion of the ladder extends past the 12-year maximum in the Index. Since longer bonds generally under-performed compared to bonds in the range of 7 to 12 years, the Fund underperformed the Index.
Your Thornburg New Mexico Intermediate Municipal Fund is a laddered portfolio of more than 130 municipal obligations. 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 chart above describes the percentages of your Fund’s bond portfolio maturing in each of the coming years.
We were able to take advantage of this past winter’s weakness to buy good bonds at attractive yields. We also slightly reduced the portfolio’s sensitivity to interest rates. At September 30, 2007, the Fund’s ladder had an average maturity of 7.88 years and duration of 4.51 years. Over the following six-month period, we invested slightly shorter on the ladder. Consequently, at March 31, 2008, the Fund had an average maturity of 7.47 and duration of 4.38 years.
Looking forward, we do expect to see a weak U.S. economy through 2008. Until the housing and credit markets stabilize, the economy will be on shaky ground. At some point in 2009, we anticipate stabilization. Prior to that point, bond yields may rise to compensate investors for inflation. Rising bond yields may lead to a lower price for the Fund, but would allow us to take cash from maturing bonds and interest payments, and re-invest it at attractive levels.
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Letter to Shareholders | ||
Continued |
New Mexico state tax revenues have not slowed, as has occurred in many other states. The state projects a general fund balance of $99 million at the end of this fiscal year, or about 1.74% of current recurring appropriations. Other sectors of the municipal bond market are moving sideways, with a mixture of credit rating upgrades and downgrades. While the current trend is positive in New Mexico, we expect the depressed housing market and slower economic growth to create a tougher environment for municipal bonds to show further credit improvement. We have not changed the Fund’s exposure to credit risk and we do believe it is prudent to keep overall credit quality high in the current environment. Your Fund is broadly diversified and 92% invested in bonds rated A or above by at least one of the major rating agencies.
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 | Josh Gonze | Christopher Ihlefeld | ||
Co-Portfolio Manager | Co-Portfolio Manager | Co-Portfolio Manager |
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STATEMENT OF ASSETS AND LIABILITIES
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
ASSETS | ||||
Investments at value (cost $190,190,514) (Note 2) | $ | 194,420,950 | ||
Cash | 7,830,026 | |||
Receivable for fund shares sold | 63,455 | |||
Interest receivable | 2,733,983 | |||
Prepaid expenses and other assets | 1,090 | |||
Total Assets | 205,049,504 | |||
LIABILITIES | ||||
Payable for securities purchased | 1,439,184 | |||
Payable for fund shares redeemed | 167,990 | |||
Payable to investment advisor and other affiliates (Note 3) | 148,150 | |||
Accounts payable and accrued expenses | 45,340 | |||
Dividends payable | 203,146 | |||
Total Liabilities | 2,003,810 | |||
NET ASSETS | $ | 203,045,694 | ||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment income | $ | (19,279 | ) | |
Net unrealized appreciation on investments | 4,230,437 | |||
Accumulated net realized gain (loss) | (1,126,803 | ) | ||
Net capital paid in on shares of beneficial interest | 199,961,339 | |||
$ | 203,045,694 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($168,182,023 applicable to 12,819,962 shares of beneficial interest outstanding – Note 4) | $ | 13.12 | ||
Maximum sales charge, 2.00% of offering price | 0.27 | |||
Maximum offering price per share | $ | 13.39 | ||
Class D Shares: | ||||
Net asset value, offering and redemption price per share ($14,918,900 applicable to 1,136,707 shares of beneficial interest outstanding – Note 4) | $ | 13.12 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($19,944,771 applicable to 1,521,074 shares of beneficial interest outstanding – Note 4) | $ | 13.11 | ||
See notes to financial statements.
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Thornburg New Mexico Intermediate Municipal Fund | Six Months Ended March 31, 2008 (Unaudited) |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $384,983) | $ | 4,610,207 | ||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 509,075 | |||
Administration fees (Note 3) | ||||
Class A Shares | 105,726 | |||
Class D Shares | 9,007 | |||
Class I Shares | 5,014 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 211,453 | |||
Class D Shares | 72,242 | |||
Transfer agent fees | ||||
Class A Shares | 27,653 | |||
Class D Shares | 3,599 | |||
Class I Shares | 1,373 | |||
Registration and filing fees | ||||
Class A Shares | 263 | |||
Class D Shares | 263 | |||
Class I Shares | 262 | |||
Custodian fees (Note 3) | 31,521 | |||
Professional fees | 11,548 | |||
Accounting fees | 3,428 | |||
Trustee fees | 1,554 | |||
Other expenses | 16,261 | |||
Total Expenses | 1,010,242 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (491 | ) | ||
Distribution fees waived (Note 3) | (36,121 | ) | ||
Fees paid indirectly (Note 3) | (8,911 | ) | ||
Net Expenses | 964,719 | |||
Net Investment Income | 3,645,488 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | 96,220 | |||
Net change in unrealized appreciation (depreciation) of investments | 28,324 | |||
Net Realized and Unrealized Gain | 124,544 | |||
Net Increase in Net Assets Resulting From Operations | $ | 3,770,032 | ||
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Thornburg New Mexico Intermediate Municipal Fund
Six Months Ended | Year Ended | |||||||
March 31, 2008* | September 30, 2007 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 3,645,488 | $ | 7,262,837 | ||||
Net realized gain on investments | 96,220 | 54,061 | ||||||
Increase (Decrease) in unrealized appreciation (depreciation) of investments | 28,324 | (1,563,489 | ) | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,770,032 | 5,753,409 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (3,015,953 | ) | (6,302,393 | ) | ||||
Class D Shares | (237,836 | ) | (480,929 | ) | ||||
Class I Shares | (391,699 | ) | (479,515 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | (1,064,433 | ) | (25,600,468 | ) | ||||
Class D Shares | 1,399,826 | (500,141 | ) | |||||
Class I Shares | 505,060 | 19,414,839 | ||||||
Net Increase (Decrease) in Net Assets | 964,997 | (8,195,198 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 202,080,697 | 210,275,895 | ||||||
End of period | $ | 203,045,694 | $ | 202,080,697 | ||||
* | Unaudited. |
See notes to financial statements.
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Thornburg New Mexico Intermediate Municipal Fund | March 31, 2008 (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 thirteen 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 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, Thornburg Investment Income Builder Fund, Thornburg Global Opportunities Fund, Thornburg International Growth Fund, and Thornburg Strategic Income 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 primary investment objective is to obtain as high a level of current income exempt from federal and New Mexico state individual income tax as is consistent, in the view of the Fund’s investment advisor, with the preservation of capital. The Fund’s secondary objective is to reduce expected changes in its share price compared to long-term bond portfolios.
The Fund currently offers three classes of shares of beneficial interest, Class A, Class D, 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 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, (iii) Class I shares are sold at net asset value without a sales charge at the time of purchase, and (iv) the respective classes may have different reinvestment privileges and conversion rights. 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 Securities: Debt securities have a primary market over the counter and are valued by an independent pricing service approved by the Trustees of the Trust. The pricing service ordinarily values debt securities at quoted bid prices. When quotations are not available, debt securities are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt securities of comparable quality, type of issue, coupon, maturity, and rating; indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
In any case where a pricing service fails to provide a price for a debt security held by the Fund, the valuation and pricing committee determines a fair value for the security using factors approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt security may be unreliable, the valuation and pricing committee decides whether or not to use the pricing service’s valuation or to determine a fair value for the security.
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 Fund’s 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 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 realized 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
12 Certified Semi-Annual Report
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
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.
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities 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 six months ended March 31, 2008, 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 depending on the Fund’s asset size. The Trust also has entered into administrative services agreements 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 six months ended March 31, 2008, the Advisor voluntarily reimbursed certain class specific expenses and administrative fees of $491 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 the Fund’s shares. For the six months ended March 31, 2008, the Distributor has advised the Fund that it earned net commissions aggregating $2,450 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 and distribution 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 D shares, under which the Fund compensates the Distributor for services in promoting the sale of Class D shares of the Fund at an annual rate of up to .75 of 1% per annum of the average daily net assets attributable to Class D shares. Total fees incurred by the Distributor for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2008, are set forth in the Statement of Operations. Distribution fees in the amount of $36,121 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 six months ended March 31, 2008, fees paid indirectly were $8,911. This figure may include additional fees waived by the custodian.
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 13
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2008, 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, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 952,312 | $ | 12,616,012 | 1,480,808 | $ | 19,422,034 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 139,804 | 1,834,628 | 285,590 | 3,745,888 | ||||||||||
Shares repurchased | (1,178,872 | ) | (15,515,073 | ) | (3,721,960 | ) | (48,768,390 | ) | ||||||
Net Increase (Decrease) | (86,756 | ) | $ | (1,064,433 | ) | (1,955,562 | ) | $ | (25,600,468 | ) | ||||
Class D Shares | ||||||||||||||
Shares sold | 201,298 | $ | 2,663,188 | 421,403 | $ | 5,522,652 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 14,037 | 184,268 | 27,641 | 362,701 | ||||||||||
Shares repurchased | (110,156 | ) | (1,447,630 | ) | (486,230 | ) | (6,385,494 | ) | ||||||
Net Increase (Decrease) | 105,179 | $ | 1,399,826 | (37,186 | ) | $ | (500,141 | ) | ||||||
Class I Shares* | ||||||||||||||
Shares sold | 243,228 | $ | 3,216,581 | 1,771,412 | $ | 23,191,290 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 24,581 | 322,758 | 35,158 | 459,669 | ||||||||||
Shares repurchased | (229,700 | ) | (3,034,279 | ) | (323,605 | ) | (4,236,120 | ) | ||||||
Net Increase (Decrease) | 38,109 | $ | 505,060 | 1,482,965 | $ | 19,414,839 | ||||||||
* | Effective date for this class of shares was February 1, 2007. |
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2008, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $2,012,490 and $8,592,946, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2008, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 190,190,069 | ||
Gross unrealized appreciation on a tax basis | $ | 5,128,558 | ||
Gross unrealized depreciation on a tax basis | (897,677 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 4,230,881 | ||
At March 31, 2008, the Fund had tax basis capital losses, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital gains distributions may be reduced to the extent provided by regulations.
Such capital loss carryforwards expire as follows:
2008 | $ | 595,638 | |
2009 | 320,666 | ||
2011 | 145,437 | ||
2013 | 255 | ||
2014 | 49,136 | ||
2015 | 112,336 | ||
$ | 1,223,468 | ||
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
OTHER NOTES:
FASB Interpretation No. 48:
On July 13, 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation prescribes a model for how a company, including the Fund, should recognize, measure, present and disclose in its financial statements uncertain tax positions that the company has taken or expects to take on income tax returns, and also revises certain disclosure requirements. The Interpretation became effective for the Fund for the financial statement reporting period ended March 31, 2008. As of the date of this report, management of the Fund has not identified any material effect on the Fund’s financial statements resulting from the implementation of FIN 48.
Statement of Accounting Standards No. 157:
On September 15, 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 defines fair value, provides guidelines for measuring fair value in accordance with generally accepted accounting principles, and addresses disclosures about fair value measurements. FAS 157 establishes a fair value hierarchy that distinguishes between (i) market participant assumptions developed based upon market data obtained from sources independent of the reporting entity (observable inputs) and (ii) the entity’s own assumptions about market participant assumptions developed based upon the best information available under the circumstances (unobservable inputs). FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and is to be applied prospectively as of the beginning of the first fiscal year for which FAS 157 is applied. Management is evaluating FAS 157, and is not in a position at this time to estimate the significance of its impact, if any, on the Fund’s financial statements.
Certified Semi-Annual Report 15
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Thornburg New Mexico Intermediate Municipal Fund
Six Months Ended March 31, 2008* | Year Ended September 30, | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Class A Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period) + | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.10 | $ | 13.20 | $ | 13.22 | $ | 13.40 | $ | 13.46 | $ | 13.42 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.23 | 0.47 | 0.45 | 0.43 | 0.45 | 0.48 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.02 | (0.10 | ) | (0.02 | ) | (0.18 | ) | (0.06 | ) | 0.04 | ||||||||||||||
Total from investment operations | 0.25 | 0.37 | 0.43 | 0.25 | 0.39 | 0.52 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.23 | ) | (0.47 | ) | (0.45 | ) | (0.43 | ) | (0.45 | ) | (0.48 | ) | ||||||||||||
Change in net asset value | 0.02 | (0.10 | ) | (0.02 | ) | (0.18 | ) | (0.06 | ) | 0.04 | ||||||||||||||
NET ASSET VALUE, end of period | $ | 13.12 | $ | 13.10 | $ | 13.20 | $ | 13.22 | $ | 13.40 | $ | 13.46 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (%)(a) | 1.96 | 2.82 | 3.31 | 1.88 | 3.00 | 3.93 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | 3.57 | (b) | 3.55 | 3.41 | 3.22 | 3.40 | 3.55 | |||||||||||||||||
Expenses, after expense reductions (%) | 0.97 | (b) | 0.98 | 0.99 | 0.99 | 0.96 | 0.97 | |||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.96 | (b) | 0.97 | 0.98 | 0.98 | 0.96 | 0.97 | |||||||||||||||||
Expenses, before expense reductions (%) | 0.97 | (b) | 0.98 | 0.99 | 0.99 | 0.96 | 0.97 | |||||||||||||||||
Portfolio turnover rate (%) | 1.03 | 17.38 | 11.59 | 16.63 | 14.66 | 16.53 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 168,182 | $ | 169,130 | $ | 196,163 | $ | 212,335 | $ | 208,435 | $ | 216,766 |
(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. |
* | Unaudited. |
See notes to the financial statements.
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FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Class D Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.11 | $ | 13.21 | $ | 13.23 | $ | 13.41 | $ | 13.47 | $ | 13.43 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.22 | 0.43 | 0.41 | 0.39 | 0.42 | 0.44 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.01 | (0.10 | ) | (0.02 | ) | (0.18 | ) | (0.06 | ) | 0.04 | ||||||||||||||
Total from investment operations | 0.23 | 0.33 | 0.39 | 0.21 | 0.36 | 0.48 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.22 | ) | (0.43 | ) | (0.41 | ) | (0.39 | ) | (0.42 | ) | (0.44 | ) | ||||||||||||
Change in net asset value | 0.01 | (0.10 | ) | (0.02 | ) | (0.18 | ) | (0.06 | ) | 0.04 | ||||||||||||||
NET ASSET VALUE, end of period | $ | 13.12 | $ | 13.11 | $ | 13.21 | $ | 13.23 | $ | 13.41 | $ | 13.47 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (%)(a) | 1.75 | 2.57 | 3.04 | 1.62 | 2.70 | 3.63 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | 3.30 | (b) | 3.30 | 3.15 | 2.96 | 3.11 | 3.24 | |||||||||||||||||
Expenses, after expense reductions (%) | 1.24 | (b) | 1.23 | 1.24 | 1.25 | 1.25 | 1.25 | |||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 1.23 | (b) | 1.23 | 1.24 | 1.24 | 1.24 | 1.25 | |||||||||||||||||
Expenses, before expense reductions (%) | 1.74 | (b) | 1.77 | 1.82 | 1.83 | 1.83 | 1.88 | |||||||||||||||||
Portfolio turnover rate (%) | 1.03 | 17.38 | 11.59 | 16.63 | 14.66 | 16.53 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 14,919 | $ | 13,524 | $ | 14,113 | $ | 18,577 | $ | 14,051 | $ | 14,658 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
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FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund |
Six Months Ended March 31, 2008* | Period Ended Sept. 30, 2007(a) | |||||||
Class I Shares: | ||||||||
PER SHARE PERFORMANCE | ||||||||
(for a share outstanding throughout the period)+ | ||||||||
Net asset value, beginning of period | $ | 13.10 | $ | 13.10 | ||||
Income from investment operations: | ||||||||
Net investment income (loss) | 0.26 | 0.34 | ||||||
Net realized and unrealized gain (loss) on investments | 0.01 | — | ||||||
Total from investment operations | 0.27 | 0.34 | ||||||
Less dividends from: | ||||||||
Net investment income | (0.26 | ) | (0.34 | ) | ||||
Change in net asset value | 0.01 | — | ||||||
NET ASSET VALUE, end of period | $ | 13.11 | $ | 13.10 | ||||
RATIOS/SUPPLEMENTAL DATA | ||||||||
Total return (%)(b) | 2.05 | 2.64 | ||||||
Ratios to average net assets: | ||||||||
Net investment income (loss) (%) | 3.91 | (c) | 3.95 | (c) | ||||
Expenses, after expense reductions (%) | 0.63 | (c) | 0.63 | (c) | ||||
Expenses, after expense reductions and net of custody credits (%) | 0.62 | (c) | 0.62 | (c) | ||||
Expenses, before expense reductions (%) | 0.63 | (c) | 0.63 | (c) | ||||
Portfolio turnover rate (%) | 1.03 | 17.38 | ||||||
Net assets at end of period (thousands) | $ | 19,945 | $ | 19,427 |
(a) | Effective date of this class of shares was February 1, 2007. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
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SCHEDULE OF INVESTMENTS | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
CUSIPS: CLASS A – 885-215-301, CLASS D – 885-215-624, CLASS I – 885-215-285
NASDAQ SYMBOLS: CLASS A – THNMX, CLASS D – THNDX, CLASS I – THNIX
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Albuquerque GRT, 0% due 7/1/2012 pre-refunded 7/1/2011(1) | Aaa/AAA | $ | 1,775,000 | $ | 1,552,752 | |||
Albuquerque GRT, 0% due 7/1/2012 (Insured: FSA) | Aaa/AAA | 225,000 | 194,137 | |||||
Albuquerque Industrial, 5.15% due 4/1/2016 (MCT Industries Inc.; LOC: Bank of the West) (AMT) | Aa3/NR | 1,170,000 | 1,214,214 | |||||
Albuquerque Industrial, 5.25% due 4/1/2017 (MCT Industries Inc.; LOC: Bank of the West) (AMT) | Aa3/NR | 2,140,000 | 2,220,657 | |||||
Albuquerque Joint Water & Sewage, 0% due 7/1/2008 (Insured: FGIC) | Aa2/NR | 1,600,000 | 1,590,896 | |||||
Albuquerque Joint Water & Sewage, 4.75% due 7/1/2008 | Aa2/AAA | 60,000 | 60,132 | |||||
Albuquerque Municipal School District 12, 5.10% due 8/1/2014 pre-refunded 8/1/2008 | Aa2/AA | 760,000 | 768,482 | |||||
Albuquerque Municipal School District 12, 5.00% due 8/1/2015 | Aa2/AA | 1,175,000 | 1,227,123 | |||||
Albuquerque Refuse Removal & Disposal, 5.00% due 7/1/2010 (Insured: FSA) | Aaa/AAA | 415,000 | 438,199 | |||||
Belen Gasoline Tax Improvement, 5.40% due 1/1/2011 | NR/NR | 505,000 | 506,505 | |||||
Bernalillo County GRT, 5.50% due 10/1/2011 pre-refunded 10/01/2009 | Aa3/AAA | 495,000 | 521,002 | |||||
Bernalillo County GRT, 5.25% due 10/1/2012 | Aa3/AAA | 1,000,000 | 1,096,480 | |||||
Bernalillo County GRT, 5.75% due 10/1/2015 pre-refunded 10/01/2009 | Aa3/AAA | 2,000,000 | 2,112,420 | |||||
Bernalillo County GRT, 5.00% due 4/1/2021 (Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,151,860 | |||||
Bernalillo County GRT, 5.25% due 10/1/2022 (Insured: AMBAC) | Aaa/AAA | 3,170,000 | 3,400,205 | |||||
Bernalillo County Water Utility Authority, 5.00% due 7/1/2026 (2) | Aa2/AAA | 1,420,000 | 1,440,377 | |||||
Chaves County GRT, 5.00% due 7/1/2017 pre-refunded 7/1/2010 (Insured: FGIC) | A3/NR | 1,000,000 | 1,057,940 | |||||
Chaves County GRT, 5.05% due 7/1/2019 pre-refunded 7/1/2010 (Insured: FGIC) | A3/NR | 735,000 | 778,387 | |||||
Cibola County GRT, 5.875% due 11/1/2008 (Insured: AMBAC) (ETM) | Aaa/AAA | 495,000 | 506,870 | |||||
Cibola County GRT, 6.00% due 11/1/2010 (Insured: AMBAC) (ETM) | Aaa/AAA | 555,000 | 604,251 | |||||
Farmington Hospital, 5.00% due 6/1/2017 (San Juan Regional Medical Center) | A3/NR | 1,035,000 | 1,032,671 | |||||
Farmington Hospital, 5.125% due 6/1/2018 (San Juan Regional Medical Center) | A3/NR | 570,000 | 567,059 | |||||
Farmington Hospital, 5.125% due 6/1/2019 (San Juan Regional Medical Center) | A3/NR | 645,000 | 636,596 | |||||
Farmington Hospital, 5.00% due 6/1/2022 (San Juan Regional Medical Center) | A3/NR | 2,325,000 | 2,196,148 | |||||
Farmington PCR, 1.30% due 5/1/2024 put 4/1/2008 (LOC: Barclays Bank) (daily demand notes) | VMIG1/A-1+ | 500,000 | 500,000 | |||||
Farmington PCR, 1.35% due 9/1/2024 put 4/1/2008 (LOC: Barclays Bank) (daily demand notes) | P1/A-1+ | 2,000,000 | 2,000,000 | |||||
Farmington Utility Systems, 5.00% due 5/15/2012 (Insured: FSA) | Aaa/AAA | 6,095,000 | 6,475,206 | |||||
Gallup PCR Tri-State Generation, 5.00% due 8/15/2012 (Insured: AMBAC) | Aaa/AAA | 3,345,000 | 3,562,024 | |||||
Gallup PCR Tri-State Generation, 5.00% due 8/15/2013 (Insured: AMBAC) | Aaa/AAA | 2,110,000 | 2,258,671 | |||||
Gallup PCR Tri-State Generation, 5.00% due 8/15/2017 (Insured: AMBAC) | Aaa/AAA | 3,540,000 | 3,757,675 | |||||
Grant County Hospital Facility, 5.50% due 8/1/2009 (Gila Regional Medical Center; Insured: Radian) | NR/AA | 1,310,000 | 1,347,951 | |||||
Grant County Hospital Facility, 5.50% due 8/1/2010 (Gila Regional Medical Center; Insured: Radian) | NR/AA | 1,385,000 | 1,456,397 | |||||
Las Cruces School District GO, 5.50% due 8/1/2010 | Aa3/NR | 1,000,000 | 1,038,190 | |||||
Los Alamos County Utility Systems, 5.00% due 7/1/2013 (Insured: FSA) | Aaa/AAA | 1,265,000 | 1,381,203 | |||||
New Mexico Finance Authority, 5.15% due 6/1/2012 pre-refunded 6/1/2009 (Insured: MBIA) | Aaa/AAA | 255,000 | 264,993 | |||||
New Mexico Finance Authority, 5.25% due 6/1/2013 pre-refunded 6/1/2009 (Insured: MBIA) | Aaa/AAA | 130,000 | 135,244 | |||||
New Mexico Finance Authority, 5.00% due 6/15/2013 (Insured: AMBAC) | Aaa/NR | 2,280,000 | 2,481,187 | |||||
New Mexico Finance Authority, 5.00% due 6/1/2014 (Insured: MBIA) | Aaa/AAA | 2,660,000 | 2,867,187 | |||||
New Mexico Finance Authority, 5.35% due 6/1/2014 pre-refunded 6/1/2009 (Insured: MBIA) | Aaa/AAA | 130,000 | 135,394 | |||||
New Mexico Finance Authority, 5.25% due 6/1/2015 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,094,930 | |||||
New Mexico Finance Authority, 5.45% due 6/1/2015 pre-refunded 6/1/2009 (Insured: MBIA) | Aaa/AAA | 145,000 | 151,183 | |||||
New Mexico Finance Authority, 5.00% due 6/15/2015 (Insured: AMBAC) | Aaa/NR | 2,360,000 | 2,579,527 | |||||
New Mexico Finance Authority, 5.00% due 6/15/2018 (Insured: AMBAC) | Aaa/NR | 2,915,000 | 3,080,805 | |||||
New Mexico Finance Authority, 5.00% due 6/15/2019 (Insured: MBIA) | Aaa/NR | 1,215,000 | 1,273,284 | |||||
New Mexico Finance Authority, 5.00% due 6/1/2020 (Insured: MBIA) | Aaa/AAA | 1,625,000 | 1,706,656 | |||||
New Mexico Finance Authority, 5.00% due 6/1/2020 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,050,250 | |||||
New Mexico Finance Authority, 5.00% due 6/15/2020 (Insured: MBIA) | Aaa/NR | 1,395,000 | 1,449,614 | |||||
New Mexico Finance Authority, 5.00% due 6/15/2022 (Insured: MBIA) | Aaa/AAA | 1,300,000 | 1,349,452 | |||||
New Mexico Finance Authority, 5.00% due 6/15/2024 (Insured: MBIA) | Aaa/AAA | 7,000,000 | 7,160,230 |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
New Mexico Finance Authority Court Facilities Fee, 5.50% due 6/15/2020 pre-refunded 6/15/2011 (Insured: MBIA) | Aaa/AAA | $ | 2,000,000 | $ | 2,174,880 | |||
New Mexico Finance Authority State Office Building Tax, 5.00% due 6/1/2014 pre-refunded 6/1/2011 | Aa1/AAA | 1,875,000 | 2,010,112 | |||||
New Mexico Finance Authority State Transportation, 5.00% due 6/15/2014 (Insured: MBIA) | Aaa/AAA | 2,100,000 | 2,300,361 | |||||
New Mexico Highway Commission Senior Tax, 5.50% due 6/15/2013 pre-refunded 6/15/2011 | Aa2/AAA | 2,000,000 | 2,172,320 | |||||
New Mexico Highway Commission Senior Tax, 5.50% due 6/15/2014 | Aa2/AAA | 2,000,000 | 2,148,580 | |||||
New Mexico Highway Commission Tax, 6.00% due 6/15/2011 pre-refunded 6/15/2009 | Aa2/AAA | 5,000,000 | 5,252,300 | |||||
New Mexico Hospital Equipment Loan Council, 4.80% due 8/1/2010 (Presbyterian Healthcare) | Aa3/AA- | 500,000 | 522,185 | |||||
New Mexico Hospital Equipment Loan Council, 5.75% due 8/1/2016 pre-refunded 8/1/2011 (Presbyterian Healthcare) | Aa3/AA- | 5,205,000 | 5,752,202 | |||||
New Mexico Hospital Equipment Loan Council, 5.00% due 7/1/2017 (St. Vincent Hospital; Insured: Radian) | Aa3/NR | 1,730,000 | 1,762,524 | |||||
New Mexico Hospital Equipment Loan Council, 5.00% due 7/1/2019 (St. Vincent Hospital; Insured: Radian) | Aa3/NR | 1,000,000 | 1,002,940 | |||||
New Mexico Hospital Equipment Loan Council, 5.00% due 7/1/2021 (St. Vincent Hospital; Insured: Radian) | Aa3/NR | 1,185,000 | 1,170,223 | |||||
New Mexico Hospital Equipment Loan Council, 5.25% due 7/1/2025 (St. Vincent Hospital; Insured: Radian) | Aa3/NR | 1,000,000 | 992,080 | |||||
New Mexico Housing Authority Region III Multi Family Housing, 5.30% due 12/1/2022 (El Paseo Apartments; Insured: AMBAC) (AMT) | Aaa/AAA | 1,055,000 | 1,042,435 | |||||
New Mexico MFA Forward Mortgage, 6.50% due 7/1/2025 (Collateralized: FNMA/GNMA) | NR/AAA | 160,000 | 165,307 | |||||
New Mexico MFA General, 5.80% due 9/1/2019 pre-refunded 9/1/2009 | NR/AAA | 775,000 | 817,090 | |||||
New Mexico MFA Multi Family, 5.05% due 9/1/2027 (St. Anthony; Insured: FHA) (AMT) | NR/AAA | 890,000 | 832,960 | |||||
New Mexico MFA Multi Family, 6.05% due 7/1/2028 (Sandpiper Apartments; Insured: FHA) (AMT) | NR/AAA | 2,335,000 | 2,352,816 | |||||
New Mexico MFA Multi Family, 5.00% due 7/1/2031 put 7/1/2011 (Sombra Del Oso Apartments; Collateralized: FNMA) | Aaa/NR | 1,000,000 | 1,036,460 | |||||
New Mexico MFA Multi Family, 5.00% due 7/1/2031 put 7/1/2011 (Riverwalk Apartments; Collateralized: FNMA) | Aaa/NR | 1,910,000 | 1,979,639 | |||||
New Mexico MFA Multi Family, 5.00% due 7/1/2031 put 7/1/2011 (Tierra Pointe I Apartments; Collateralized: FNMA) | Aaa/NR | 2,785,000 | 2,886,541 | |||||
New Mexico MFA SFMR, 5.70% due 9/1/2014 (Collateralized: FNMA/GNMA) | NR/AAA | 75,000 | 75,857 | |||||
New Mexico MFA SFMR, 5.80% due 9/1/2016 (Collateralized: FNMA/GNMA) | NR/AAA | 135,000 | 138,464 | |||||
New Mexico MFA SFMR, 5.75% due 3/1/2017 (Collateralized: FNMA/GNMA) | NR/AAA | 190,000 | 192,284 | |||||
New Mexico MFA SFMR, 6.15% due 9/1/2017 (Collateralized: FNMA/GNMA) | NR/AAA | 60,000 | 60,826 | |||||
New Mexico MFA SFMR, 0% due 9/1/2019 (GIC: Bayerisch Landesbank) | NR/AAA | 230,000 | 211,667 | |||||
New Mexico MFA SFMR, 5.875% due 9/1/2020 (AMT) | NR/AAA | 205,000 | 207,284 | |||||
New Mexico MFA SFMR, 5.875% due 9/1/2021 (Collateralized: FNMA/GNMA) | NR/AAA | 395,000 | 399,701 | |||||
New Mexico MFA SFMR, 6.05% due 9/1/2021 (Collateralized: FNMA/GNMA) | NR/AAA | 240,000 | 252,742 | |||||
New Mexico State Highway Commission Infrastructure C, 5.00% due 6/15/2012 (ETM) | Aa2/AAA | 1,000,000 | 1,082,620 | |||||
New Mexico State Highway Commission Tax, 5.00% due 6/15/2010 (ETM) | Aa2/AAA | 255,000 | 269,517 | |||||
New Mexico State Highway Commission Tax, 5.00% due 6/15/2010 | Aa2/AAA | 245,000 | 258,688 | |||||
New Mexico State Highway Commission Tax, 5.125% due 6/15/2010 pre-refunded 6/15/2008 | Aa2/AAA | 660,000 | 664,587 | |||||
New Mexico State Highway Commission Tax, 5.125% due 6/15/2010 | Aa2/AAA | 3,695,000 | 3,714,103 | |||||
New Mexico State University Improvement, 5.00% due 4/1/2013 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,088,350 | |||||
New Mexico Supplemental Severance, 5.00% due 7/1/2008 | Aa3/AA- | 5,000,000 | 5,012,050 | |||||
Rio Rancho GRT, 5.00% due 6/1/2014 (Insured: FGIC) | A1/AA- | 955,000 | 1,032,966 | |||||
Rio Rancho GRT, 5.00% due 6/1/2016 (Insured: FGIC) | A1/AA- | 555,000 | 594,078 | |||||
Rio Rancho GRT, 5.00% due 6/1/2022 (Insured: FGIC) | A1/AA- | 1,000,000 | 1,021,060 | |||||
San Juan County Gasoline Tax/Motor Vehicle Improvement, 5.25% due 5/15/2014 | A1/NR | 400,000 | 429,468 | |||||
San Juan County Gasoline Tax/Motor Vehicle Improvement, 5.25% due 5/15/2022 | A1/NR | 1,725,000 | 1,766,072 | |||||
San Juan County GRT, 5.30% due 9/15/2009 | A1/NR | 215,000 | 220,145 | |||||
San Juan County GRT, 5.00% due 6/15/2014 (Insured: MBIA) | Aaa/AAA | 1,225,000 | 1,319,055 | |||||
San Juan County GRT, 5.50% due 9/15/2016 pre-refunded 9/15/2011 (Insured: AMBAC) | Aaa/AAA | 1,180,000 | 1,273,515 |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
San Juan County GRT, 5.75% due 9/15/2021 pre-refunded 9/15/2011 (Insured: AMBAC) | Aaa/AAA | $ | 1,000,000 | $ | 1,111,290 | |||
Sandoval County Incentive Payment, 5.75% due 2/1/2010 (Intel Corp.) | NR/A+ | 370,000 | 373,400 | |||||
Sandoval County Incentive Payment, 5.00% due 6/1/2020 (Intel Corp.) | NR/A+ | 4,390,000 | 4,529,997 | |||||
Sandoval County Landfill Improvement, 5.50% due 8/15/2015 | Baa2/NR | 1,420,000 | 1,485,022 | |||||
Sandoval County Landfill Improvement, 5.75% due 8/15/2018 | Baa2/NR | 1,335,000 | 1,384,555 | |||||
Santa Fe County, 5.00% due 7/1/2008 (Insured: MBIA) | Aaa/NR | 785,000 | 786,813 | |||||
Santa Fe County, 5.50% due 5/15/2015 (El Castillo Retirement) | NR/BBB- | 1,250,000 | 1,263,075 | |||||
Santa Fe County, 5.80% due 5/15/2018 (El Castillo Retirement) | NR/BBB- | 1,835,000 | 1,835,404 | |||||
Santa Fe County, 7.25% due 7/1/2029 (Rancho Viejo Improvement District) | NR/NR | 1,780,000 | 1,853,728 | |||||
Santa Fe County Charter School Foundation, 6.50% due 1/15/2026 (ATC Foundation) | NR/NR | 1,000,000 | 944,590 | |||||
Santa Fe County Charter School Foundation, 6.625% due 1/15/2036 (ATC Foundation) | NR/NR | 1,030,000 | 956,798 | |||||
Santa Fe County Correctional Systems, 5.00% due 2/1/2018 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,087,120 | |||||
Santa Fe County Correctional Systems, 6.00% due 2/1/2027 (Insured: FSA) | Aaa/AAA | 1,520,000 | 1,727,632 | |||||
Santa Fe Educational Facilities, 5.40% due 3/1/2017 (St. John’s College) | NR/BBB+ | 1,215,000 | 1,215,450 | |||||
Santa Fe SFMR, 6.00% due 11/1/2010 (Collateralized: FNMA/GNMA) (AMT) | Aaa/NR | 60,000 | 60,799 | |||||
Santa Fe SFMR, 6.10% due 11/1/2011 (Collateralized: FNMA/GNMA) (AMT) | Aaa/NR | 90,000 | 90,133 | |||||
Santa Fe SFMR, 6.20% due 11/1/2016 (Collateralized: FNMA/GNMA) (AMT) | Aaa/NR | 95,000 | 96,321 | |||||
Taos County GRT, 4.25% due 10/1/2010 (Insured: Radian) | Aa3/NR | 1,000,000 | 1,013,020 | |||||
Taos County GRT, 4.75% due 10/1/2012 (ETM) | Baa1/NR | 1,500,000 | 1,612,020 | |||||
Taos Municipal School District 1, 5.00% due 9/1/2008 (Insured: FSA) | Aaa/NR | 450,000 | 455,940 | |||||
University of New Mexico, 5.25% due 6/1/2013 | Aa3/AA | 665,000 | 717,429 | |||||
University of New Mexico, 5.25% due 6/1/2014 | Aa3/AA | 335,000 | 358,577 | |||||
University of New Mexico, 5.00% due 6/1/2015 (Insured: AMBAC) | Aaa/AAA | 1,590,000 | 1,743,848 | |||||
University of New Mexico, 5.25% due 6/1/2015 | Aa3/AA | 1,195,000 | 1,301,725 | |||||
University of New Mexico, 5.25% due 6/1/2016 | Aa3/AA | 645,000 | 690,395 | |||||
University of New Mexico, 5.25% due 6/1/2017 | Aa3/AA | 1,730,000 | 1,851,757 | |||||
University of New Mexico, 5.25% due 6/1/2018 | Aa3/AA | 1,825,000 | 1,946,125 | |||||
University of New Mexico, 5.25% due 6/1/2018 | Aa3/AA | 1,200,000 | 1,285,452 | |||||
University of New Mexico, 5.25% due 6/1/2021 | Aa3/AA | 1,000,000 | 1,045,470 | |||||
University of New Mexico, 6.00% due 6/1/2021 | Aa3/AA | 610,000 | 699,426 | |||||
University of New Mexico Hospital Mortgage Bonds, 5.00% due 1/1/2016 (Insured: FSA & FHA) | Aaa/AAA | 2,920,000 | 3,145,132 | |||||
University of New Mexico Hospital Mortgage Bonds, 5.00% due 1/1/2017 (Insured: FSA & FHA) | Aaa/AAA | 2,000,000 | 2,138,020 | |||||
University of New Mexico Hospital Mortgage Bonds, 5.00% due 1/1/2018 (Insured: FSA & FHA) | Aaa/AAA | 2,000,000 | 2,117,460 | |||||
University of New Mexico Hospital Mortgage Bonds, 5.00% due 1/1/2019 (Insured: FSA & FHA) | Aaa/AAA | 3,000,000 | 3,152,430 | |||||
University of New Mexico Hospital Mortgage Bonds, 5.00% due 7/1/2019 (Insured: FSA & FHA) | Aaa/AAA | 3,000,000 | 3,150,720 | |||||
University of New Mexico Hospital Mortgage Bonds, 5.00% due 1/1/2020 (Insured: FSA & FHA) | Aaa/AAA | 2,310,000 | 2,409,214 | |||||
University of New Mexico Hospital Mortgage Bonds, 5.00% due 7/1/2020 (Insured FSA & FHA) | Aaa/AAA | 500,000 | 521,335 | |||||
Ventana West Public Improvement District Special Tax, 6.625% due 8/1/2023 | NR/NR | 2,000,000 | 2,043,740 | |||||
Villa Hermosa Multi Family Housing, 5.85% due 11/20/2016 (Collateralized: GNMA) (AMT) | NR/AAA | 1,105,000 | 1,127,918 | |||||
TOTAL INVESTMENTS — 95.75% (Cost $190,190,514) | $ | 194,420,950 | ||||||
OTHER ASSETS LESS LIABILITIES — 4.25% | 8,624,744 | |||||||
NET ASSETS — 100.00% | $ | 203,045,694 | ||||||
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
Footnote Legend
† | Credit ratings are unaudited. Rating changes may have occurred prior to or subsequent to the reporting period end. |
(1) | Segregated as collateral for a when-issued security. |
(2) | When-issued security. |
Portfolio Abbreviations | ||
To simplify the listings of securities, abbreviations are used per the table below:
| ||
AMBAC | Insured by American Municipal Bond Assurance Corp. | |
AMT | Alternative Minimum Tax | |
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 | |
GRT | Gross Receipts Tax | |
LOC | Letter of Credit | |
MBIA | Insured by Municipal Bond Investors Assurance | |
MFA | Mortgage Finance Authority | |
PCR | Pollution Control Revenue Bond | |
RADIAN | Insured by Radian Asset Assurance | |
SFMR | Single Family Mortgage Revenue Bond |
See notes to financial statements.
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EXPENSE EXAMPLE | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2008 (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 or all of a purchase of $1 million of Class A shares within 12 months of purchase;
(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, 2007 and held until March 31, 2008.
Actual Expenses
For each class of shares, 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 for your class of shares 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
For each class of shares, 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 9/30/07 | Ending Account Value 3/31/08 | Expenses Paid During Period† 9/30/07–3/31/08 | |||||||
Class A Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,019.60 | $ | 4.86 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.19 | $ | 4.86 | |||
Class D Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,017.50 | $ | 6.19 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,018.86 | $ | 6.20 | |||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,020.50 | $ | 3.14 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,021.90 | $ | 3.14 |
† | Expenses are equal to the annualized expense ratio for each class (A: 0.96%; D: 1.23%; and I: 0.62%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares 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 New Mexico Intermediate Municipal Fund | March 31, 2008 (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.
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 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
Not part of the Certified Semi-Annual Report
February 8, 2005, as readopted July 18, 2007
The Trustees are concerned that ongoing 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.
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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. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
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.
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 Global Opportunities Fund |
• | Thornburg International Growth Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
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Thornburg Equity Funds
Thornburg’s equity research uses a fundamental and comprehensive analytical approach. Thornburg equity funds focus on a limited number of securities so that each holding can impact 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.
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
• | Thornburg International Growth Fund |
Thornburg Bond Funds
The majority of Thornburg bond funds are laddered portfolios of 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 Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term Municipal Fund |
• | Thornburg New Mexico Intermediate Municipal Fund |
• | Thornburg New York Intermediate Municipal Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund* |
Carefully consider each fund’s investment objectives, risks, sales charges, and expenses; this information can be found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. There is no guarantee that any of these funds will meet their investment objectives.
For additional information, please visit www.thornburg.com
Thornburg Investment Management, 119 East Marcy Street, Santa Fe, NM 87501
* | This fund does not use the laddering strategy. |
This page is not part of the Semi-Annual Report. 31
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This Semi-Annual Report is 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.
Investment Advisor:
Thornburg Investment Management®
800.847.0200
Distributor:
Thornburg Securities Corporation®
800.847.0200
TH178
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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 and New Mexico state individual income taxes as is consistent, in the view of the investment advisor, with preservation of capital. The secondary goal of the Fund is to reduce expected changes in its share price compared to long-term bond portfolios. 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 normally three to ten years. 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.
2 This page is not part of the Semi-Annual Report.
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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, an 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. Returns reflect the reinvestment of dividends and capital gains. There is no up front sales charge for this class of shares.
Investments 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. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund. Investments 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. There is no guarantee that the Fund will meet its investment objectives. The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
The information presented on the following pages was current as of March 31, 2008. The managers’ views, portfolio holdings, and sector diversification are provided for the general information of the Fund’s shareholders; they 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 managers’ 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.
Lipper’s 2008 Best Fixed-Income Fund Family
Thornburg Investment Management ranked #1 out of 41 eligible firms in Lipper Inc.’s fixed income large firm universe for the three-year period ended 12/31/07, based on risk-adjusted returns. Past performance does not guarantee future results.
Lipper’s large firm universe is comprised of fund families with more than $28 billion in total net assets. Only fund families with at least five bond funds were eligible. Risk-adjusted returns were calculated with dividends reinvested and without sales charges.
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Glossary
The Merrill Lynch 7-12 Year Municipal Bond Index – The Merrill Lynch 7-12 Year Municipal Bond Index represents a broad measure of market performance. It is a model portfolio of municipal obligations throughout the U.S., with an average maturity which ranges from seven to twelve years.
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.
Average Maturity – The average of the maturity dates of the debt securities in the fund. In general, the longer the average maturity, the greater the fund’s sensitivity to interest-rate changes, which means greater price fluctuation. A shorter average maturity usually means a less sensitive/less volatile portfolio.
Consumer Price Index – The Consumer Price Index (CPI) measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living 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.
Fed Funds Rate – The interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.
Real Gross Domestic Product (GDP) – The market value of goods and services produced by labor and property in the United States, regardless of nationality. This inflation-adjusted measure reflects the value of all goods and services produced in a given year, expressed in base-year prices. Often referred to as “constant-price GDP”, “inflation-corrected GDP” or “constant dollar GDP”.
U.S. Treasury Securities – U.S. Treasury securities, such as bills, notes and bonds, are negotiable debt obligations of the U.S. government. These debt obligations are backed by the “full faith and credit” of the government and issued at various schedules and maturities. Income from Treasury securities is exempt from state and local, but not federal income taxes.
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Letter to Shareholders
George Strickland Co-Portfolio Manager
Josh Gonze Co-Portfolio Manager
Christopher Ihlefeld Co-Portfolio Manager |
April 14, 2008
Dear Fellow Shareholder:
We are pleased to present the Semi-Annual Report for the Thornburg New Mexico Intermediate Municipal Fund. The net asset value of the Class I shares increased by 1 cent per share to $13.11 during the six months ended March 31, 2008. If you were with us for the entire period, you received dividends of 25.7 cents per share. If you reinvested your dividends, you received 25.9 cents per share.
The past six months have been extraordinary in the capital markets. All bonds, including municipals, have been buffeted by the mortgage storm and its aftermath. In the rubble lies opportunity for unlevered investors like us. We are proud of our performance during this difficult period, and we welcome the accolades we have earned. In April 2008, Thornburg Investment Management received the 2008 Lipper Fund Award for Best Fixed-Income Fund Family.
What makes our recent strong performance remarkable is that it occurred during the collapse of the mortgage market and the subsequent bank liquidity crisis. For years, leveraged investors have distorted prices in the bond market. In contrast with old-fashioned cash investors like ourselves, leveraged players tended to pay more for bonds because their borrowed funding and copious use of hedges allowed them to ignore the rules of fundamental bond investing. But in the last six months, banks curtailed lending, the auction-rate securities market crumpled, and hedges had to unwind.
Mortgage-backed securities began collapsing in August 2007. We were largely unscathed because we had minimal exposure to this sector. Risk models created by rating agencies failed to provide for the possibility of a broad increase in mortgage delinquencies. Banks and investors who held mortgage bonds took unprecedented write-downs, essentially admitting the bonds cannot recover. All of the bond insurers, to varying degrees, had written credit default swaps against mortgages, and now some bond insurers have been stripped of their AAA ratings. Banks have curtailed lending as they struggle to reduce the size of their balance sheets.
Today’s economic picture is one of stagnating economic activity combined with accelerating inflation. Inflation is running around 4%, as measured by the CPI. Home sales and construction starts are depressed. Recent reports for real GDP indicate the economy is nearly flat with a 0.60% growth rate. Recent job reports show three consecutive months of declining payrolls, so we believe there is little question that the U.S. is in a mild recession. We expect the bipartisan $168 billion stimulus package to be ineffective.
The Fed has lowered the Fed Funds Rate by 3% since September 2007 to 2.25%, with further rate cuts anticipated. Low interest rates ordinarily halt downward economic trends by prompting more lending, borrowing, and spending. However, banks currently are focused on reducing assets, not creating new assets, so low interest rates are failing to translate into economic activity.
The decline of the dollar is both a signal and a cause of economic weakness. Our currency continues its long-term downward trend as investors, both foreign and domestic, shift their portfolios to hold more assets denominated in currencies other than the dollar. Dollar- denominated assets are undermined by accelerating U.S. inflation and negative real interest rates on Treasury bonds. |
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On the positive side, the yield curve has been steepening, which will support a rebound in bank profits. The municipal yield curve’s newly steep direction has pivoted around the year 2016. Since the beginning of January, bonds maturing prior to 2016 have declined in yield (risen in price), while bonds maturing after 2016 have risen in yield (declined in price). The flight to quality has pushed Treasury yields down sharply, with the result that the ratios of municipal-to-Treasury yields were at an all-time high. In the last six months we have purchased tax-exempt bonds at yields ranging from 120% to 200% of equivalent maturity Treasuries.
Meanwhile, quality spreads (the difference in yield between the highest quality bonds and lower quality bonds) have been wide in the last several months. Some investors, who were previously comfortable taking credit risk at very tight spreads to AAA rated bonds, suddenly became a lot less comfortable. Those who sold typically had to sell their bonds at significantly wider spreads than those that prevailed earlier in the year. This led to an environment where investors could finally be compensated for taking incremental credit risk in bonds rated lower than AAA. We have been a beneficiary of this trend. When the credit-spread widening started, we were underweighted in BBB and A-rated bonds. As spreads doubled and tripled from their levels of mid-2007, we increased the Fund’s allocation to bonds rated below AA.
% of portfolio maturing | Cumulative % maturing | |
2 years = 12.2% | Year 2 = 12.2% | |
2 to 4 years = 17.4% | Year 4 = 29.6% | |
4 to 6 years = 11.3% | Year 6 = 40.9% | |
6 to 8 years = 12.5% | Year 8 = 53.4% | |
8 to 10 years = 10.9% | Year 10 = 64.3% | |
10 to 12 years = 11.3% | Year 12 = 75.6% | |
12 to 14 years = 8.3% | Year 14 = 83.9% | |
14 to 16 years = 6.6% | Year 16 = 90.5% | |
16 to 18 years = 3.7% | Year 18 = 94.2% | |
Over 18 years = 5.8% | Over 18 years = 100.0% |
Percentages can and do vary. Data as of 3/31/08.
The Class I shares of your Fund produced a total return of 2.05% over the six-month period ended March 31, 2008, compared to a 2.25% return for the Merrill Lynch 7-12 Year Municipal Bond Index. Over the six-month period, shorter bonds have outperformed longer bonds. The Fund invests in a laddered portfolio of bonds that mature over the next eighteen years, with roughly 10% of the portfolio maturing in each two year period of the ladder, so a significant portion of the ladder extends past the 12-year maximum in the Index. Since longer bonds generally under-performed compared to bonds in the range of 7 to 12 years, the Fund underperformed the Index.
Your Thornburg New Mexico Intermediate Municipal Fund is a laddered portfolio of more than 130 municipal obligations. 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 chart above describes the percentages of your Fund’s bond portfolio maturing in each of the coming years.
We were able to take advantage of this past winter’s weakness to buy good bonds at attractive yields. We also slightly reduced the portfolio’s sensitivity to interest rates. At September 30, 2007, the Fund’s ladder had an average maturity of 7.88 years and duration of 4.51 years. Over the following six-month period, we invested slightly shorter on the ladder. Consequently, at March 31, 2008, the Fund had an average maturity of 7.47 and duration of 4.38 years.
Looking forward, we do expect to see a weak U.S. economy through 2008. Until the housing and credit markets stabilize, the economy will be on shaky ground. At some point in 2009, we anticipate stabilization. Prior to that point, bond yields may rise to compensate investors for inflation. Rising bond yields may lead to a lower price for the Fund, but would allow us to take cash from maturing bonds and interest payments, and re-invest it at attractive levels.
New Mexico state tax revenues have not slowed, as has occurred in many other states. The state projects a general fund balance of $99 million at the end of this fiscal year, or about 1.74% of current recurring appropriations. Other
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Continued
sectors of the municipal bond market are moving sideways, with a mixture of credit rating upgrades and downgrades. While the current trend is positive in New Mexico, we expect the depressed housing market and slower economic growth to create a tougher environment for municipal bonds to show further credit improvement. We have not changed the Fund’s exposure to credit risk and we do believe it is prudent to keep overall credit quality high in the current environment. Your Fund is broadly diversified and 92% invested in bonds rated A or above by at least one of the major rating agencies.
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 | Josh Gonze | Christopher Ihlefeld | ||
Co-Portfolio Manager | Co-Portfolio Manager | Co-Portfolio Manager |
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STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
ASSETS | ||||
Investments at value (cost $190,190,514) (Note 2) | $ | 194,420,950 | ||
Cash | 7,830,026 | |||
Receivable for fund shares sold | 63,455 | |||
Interest receivable | 2,733,983 | |||
Prepaid expenses and other assets | 1,090 | |||
Total Assets | 205,049,504 | |||
LIABILITIES | ||||
Payable for securities purchased | 1,439,184 | |||
Payable for fund shares redeemed | 167,990 | |||
Payable to investment advisor and other affiliates (Note 3) | 148,150 | |||
Accounts payable and accrued expenses | 45,340 | |||
Dividends payable | 203,146 | |||
Total Liabilities | 2,003,810 | |||
NET ASSETS | $ | 203,045,694 | ||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment income | $ | (19,279 | ) | |
Net unrealized appreciation on investments | 4,230,437 | |||
Accumulated net realized gain (loss) | (1,126,803 | ) | ||
Net capital paid in on shares of beneficial interest | 199,961,339 | |||
$ | 203,045,694 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($168,182,023 applicable to 12,819,962 shares of beneficial interest outstanding – Note 4) | $ | 13.12 | ||
Maximum sales charge, 2.00% of offering price | 0.27 | |||
Maximum offering price per share | $ | 13.39 | ||
Class D Shares: | ||||
Net asset value, offering and redemption price per share ($14,918,900 applicable to 1,136,707 shares of beneficial interest outstanding – Note 4) | $ | 13.12 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($19,944,771 applicable to 1,521,074 shares of beneficial interest outstanding – Note 4) | $ | 13.11 | ||
See notes to financial statements
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STATEMENT OF OPERATIONS | ||
Thornburg New Mexico Intermediate Municipal Fund | Six Months Ended March 31, 2008 (Unaudited) |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $384,983) | $ | 4,610,207 | ||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 509,075 | |||
Administration fees (Note 3) | ||||
Class A Shares | 105,726 | |||
Class D Shares | 9,007 | |||
Class I Shares | 5,014 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 211,453 | |||
Class D Shares | 72,242 | |||
Transfer agent fees | ||||
Class A Shares | 27,653 | |||
Class D Shares | 3,599 | |||
Class I Shares | 1,373 | |||
Registration and filing fees | ||||
Class A Shares | 263 | |||
Class D Shares | �� | 263 | ||
Class I Shares | 262 | |||
Custodian fees (Note 3) | 31,521 | |||
Professional fees | 11,548 | |||
Accounting fees | 3,428 | |||
Trustee fees | 1,554 | |||
Other expenses | 16,261 | |||
Total Expenses | 1,010,242 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (491 | ) | ||
Distribution fees waived (Note 3) | (36,121 | ) | ||
Fees paid indirectly (Note 3) | (8,911 | ) | ||
Net Expenses | 964,719 | |||
Net Investment Income | 3,645,488 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | 96,220 | |||
Net change in unrealized appreciation (depreciation) of investments | 28,324 | |||
Net Realized and Unrealized Gain | 124,544 | |||
Net Increase in Net Assets Resulting From Operations | $ | 3,770,032 | ||
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Thornburg New Mexico Intermediate Municipal Fund
Six Months Ended March 31, 2008* | Year Ended September 30, 2007 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 3,645,488 | $ | 7,262,837 | ||||
Net realized gain on investments | 96,220 | 54,061 | ||||||
Increase (Decrease) in unrealized appreciation (depreciation) of investments | 28,324 | (1,563,489 | ) | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,770,032 | 5,753,409 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (3,015,953 | ) | (6,302,393 | ) | ||||
Class D Shares | (237,836 | ) | (480,929 | ) | ||||
Class I Shares | (391,699 | ) | (479,515 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | (1,064,433 | ) | (25,600,468 | ) | ||||
Class D Shares | 1,399,826 | (500,141 | ) | |||||
Class I Shares | 505,060 | 19,414,839 | ||||||
Net Increase (Decrease) in Net Assets | 964,997 | (8,195,198 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 202,080,697 | 210,275,895 | ||||||
End of period | $ | 203,045,694 | $ | 202,080,697 | ||||
* | Unaudited. |
See notes to financial statements.
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NOTES TO FINANCIAL STATEMENTS | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2008 (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 thirteen 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 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, Thornburg Investment Income Builder Fund, Thornburg Global Opportunities Fund, Thornburg International Growth Fund, and Thornburg Strategic Income 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 primary investment objective is to obtain as high a level of current income exempt from federal and New Mexico state individual income tax as is consistent, in the view of the Fund’s investment advisor, with the preservation of capital. The Fund’s secondary objective is to reduce expected changes in its share price compared to long-term bond portfolios.
The Fund currently offers three classes of shares of beneficial interest, Class A, Class D, 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 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, (iii) Class I shares are sold at net asset value without a sales charge at the time of purchase, and (iv) the respective classes may have different reinvestment privileges and conversion rights. 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 Securities: Debt securities have a primary market over the counter and are valued by an independent pricing service approved by the Trustees of the Trust. The pricing service ordinarily values debt securities at quoted bid prices. When quotations are not available, debt securities are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt securities of comparable quality, type of issue, coupon, maturity, and rating; indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
In any case where a pricing service fails to provide a price for a debt security held by the Fund, the valuation and pricing committee determines a fair value for the security using factors approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt security may be unreliable, the valuation and pricing committee decides whether or not to use the pricing service’s valuation or to determine a fair value for the security.
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 Fund’s 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 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 realized 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
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
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.
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities 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 six months ended March 31, 2008, 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 depending on the Fund’s asset size. The Trust also has entered into administrative services agreements 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 six months ended March 31, 2008, the Advisor voluntarily reimbursed certain class specific expenses and administrative fees of $491 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 the Fund’s shares. For the six months ended March 31, 2008, the Distributor has advised the Fund that it earned net commissions aggregating $2,450 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 and distribution 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 D shares, under which the Fund compensates the Distributor for services in promoting the sale of Class D shares of the Fund at an annual rate of up to .75 of 1% per annum of the average daily net assets attributable to Class D shares. Total fees incurred by the Distributor for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2008, are set forth in the Statement of Operations. Distribution fees in the amount of $36,121 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 six months ended March 31, 2008, fees paid indirectly were $8,911. This figure may include additional fees waived by the custodian.
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 New Mexico Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2008, 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, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 952,312 | $ | 12,616,012 | 1,480,808 | $ | 19,422,034 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 139,804 | 1,834,628 | 285,590 | 3,745,888 | ||||||||||
Shares repurchased | (1,178,872 | ) | (15,515,073 | ) | (3,721,960 | ) | (48,768,390 | ) | ||||||
Net Increase (Decrease) | (86,756 | ) | $ | (1,064,433 | ) | (1,955,562 | ) | $ | (25,600,468 | ) | ||||
Class D Shares | ||||||||||||||
Shares sold | 201,298 | $ | 2,663,188 | 421,403 | $ | 5,522,652 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 14,037 | 184,268 | 27,641 | 362,701 | ||||||||||
Shares repurchased | (110,156 | ) | (1,447,630 | ) | (486,230 | ) | (6,385,494 | ) | ||||||
Net Increase (Decrease) | 105,179 | $ | 1,399,826 | (37,186 | ) | $ | (500,141 | ) | ||||||
Class I Shares * | ||||||||||||||
Shares sold | 243,228 | $ | 3,216,581 | 1,771,412 | $ | 23,191,290 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 24,581 | 322,758 | 35,158 | 459,669 | ||||||||||
Shares repurchased | (229,700 | ) | (3,034,279 | ) | (323,605 | ) | (4,236,120 | ) | ||||||
Net Increase (Decrease) | 38,109 | $ | 505,060 | 1,482,965 | $ | 19,414,839 | ||||||||
* | Effective date for this class of shares was February 1, 2007. |
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2008, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $2,012,490 and $8,592,946, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2008, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 190,190,069 | ||
Gross unrealized appreciation on a tax basis | $ | 5,128,558 | ||
Gross unrealized depreciation on a tax basis | (897,677 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 4,230,881 | ||
At March 31, 2008, the Fund had tax basis capital losses, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital gains distributions may be reduced to the extent provided by regulations.
Such capital loss carryforwards expire as follows:
2008 | $ | 595,638 | |
2009 | 320,666 | ||
2011 | 145,437 | ||
2013 | 255 | ||
2014 | 49,136 | ||
2015 | 112,336 | ||
$ | 1,223,468 | ||
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
OTHER NOTES:
FASB Interpretation No. 48:
On July 13, 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation prescribes a model for how a company, including the Fund, should recognize, measure, present and disclose in its financial statements uncertain tax positions that the company has taken or expects to take on income tax returns, and also revises certain disclosure requirements. The Interpretation became effective for the Fund for the financial statement reporting period ended March 31, 2008. As of the date of this report, management of the Fund has not identified any material effect on the Fund’s financial statements resulting from the implementation of FIN 48.
Statement of Accounting Standards No. 157:
On September 15, 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 defines fair value, provides guidelines for measuring fair value in accordance with generally accepted accounting principles, and addresses disclosures about fair value measurements. FAS 157 establishes a fair value hierarchy that distinguishes between (i) market participant assumptions developed based upon market data obtained from sources independent of the reporting entity (observable inputs) and (ii) the entity’s own assumptions about market participant assumptions developed based upon the best information available under the circumstances (unobservable inputs). FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and is to be applied prospectively as of the beginning of the first fiscal year for which FAS 157 is applied. Management is evaluating FAS 157, and is not in a position at this time to estimate the significance of its impact, if any, on the Fund’s financial statements.
Certified Semi-Annual Report 15
Table of Contents
Thornburg New Mexico Intermediate Municipal Fund
Six Months Ended March 31, 2008* | Period Ended Sept. 30, 2007(a) | |||||||
Class I Shares: | ||||||||
PER SHARE PERFORMANCE | ||||||||
(for a share outstanding throughout the period)+ | ||||||||
Net asset value, beginning of period | $ | 13.10 | $ | 13.10 | ||||
Income from investment operations: | ||||||||
Net investment income (loss) | 0.26 | 0.34 | ||||||
Net realized and unrealized gain (loss) on investments | 0.01 | — | ||||||
Total from investment operations | 0.27 | 0.34 | ||||||
Less dividends from: | ||||||||
Net investment income | (0.26 | ) | (0.34 | ) | ||||
Change in net asset value | 0.01 | — | ||||||
NET ASSET VALUE, end of period | $ | 13.11 | $ | 13.10 | ||||
RATIOS/SUPPLEMENTAL DATA | ||||||||
Total return (%)(b) | 2.05 | 2.64 | ||||||
Ratios to average net assets: | ||||||||
Net investment income (loss) (%) | 3.91 | (c) | 3.95 | (c) | ||||
Expenses, after expense reductions (%) | 0.63 | (c) | 0.63 | (c) | ||||
Expenses, after expense reductions and net of custody credits (%) | 0.62 | (c) | 0.62 | (c) | ||||
Expenses, before expense reductions (%) | 0.63 | (c) | 0.63 | (c) | ||||
Portfolio turnover rate (%) | 1.03 | 17.38 | ||||||
Net assets at end of period (thousands) | $ | 19,945 | $ | 19,427 |
(a) | Effective date of this class of shares was February 1, 2007. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
16 Certified Semi-Annual Report
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SCHEDULE OF INVESTMENTS | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
CUSIPS: CLASS A – 885-215-301, CLASS D – 885-215-624, CLASS I – 885-215-285
NASDAQ SYMBOLS: CLASS A – THNMX, CLASS D – THNDX, CLASS I – THNIX
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Albuquerque GRT, 0% due 7/1/2012 pre-refunded 7/1/2011 (1) | Aaa/AAA | $ | 1,775,000 | $ | 1,552,752 | |||
Albuquerque GRT, 0% due 7/1/2012 (Insured: FSA) | Aaa/AAA | 225,000 | 194,137 | |||||
Albuquerque Industrial, 5.15% due 4/1/2016 (MCT Industries Inc.; LOC: Bank of the West) (AMT) | Aa3/NR | 1,170,000 | 1,214,214 | |||||
Albuquerque Industrial, 5.25% due 4/1/2017 (MCT Industries Inc.; LOC: Bank of the West) (AMT) | Aa3/NR | 2,140,000 | 2,220,657 | |||||
Albuquerque Joint Water & Sewage, 0% due 7/1/2008 (Insured: FGIC) | Aa2/NR | 1,600,000 | 1,590,896 | |||||
Albuquerque Joint Water & Sewage, 4.75% due 7/1/2008 | Aa2/AAA | 60,000 | 60,132 | |||||
Albuquerque Municipal School District 12, 5.10% due 8/1/2014 pre-refunded 8/1/2008 | Aa2/AA | 760,000 | 768,482 | |||||
Albuquerque Municipal School District 12, 5.00% due 8/1/2015 | Aa2/AA | 1,175,000 | 1,227,123 | |||||
Albuquerque Refuse Removal & Disposal, 5.00% due 7/1/2010 (Insured: FSA) | Aaa/AAA | 415,000 | 438,199 | |||||
Belen Gasoline Tax Improvement, 5.40% due 1/1/2011 | NR/NR | 505,000 | 506,505 | |||||
Bernalillo County GRT, 5.50% due 10/1/2011 pre-refunded 10/01/2009 | Aa3/AAA | 495,000 | 521,002 | |||||
Bernalillo County GRT, 5.25% due 10/1/2012 | Aa3/AAA | 1,000,000 | 1,096,480 | |||||
Bernalillo County GRT, 5.75% due 10/1/2015 pre-refunded 10/01/2009 | Aa3/AAA | 2,000,000 | 2,112,420 | |||||
Bernalillo County GRT, 5.00% due 4/1/2021 (Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,151,860 | |||||
Bernalillo County GRT, 5.25% due 10/1/2022 (Insured: AMBAC) | Aaa/AAA | 3,170,000 | 3,400,205 | |||||
Bernalillo County Water Utility Authority, 5.00% due 7/1/2026 (2) | Aa2/AAA | 1,420,000 | 1,440,377 | |||||
Chaves County GRT, 5.00% due 7/1/2017 pre-refunded 7/1/2010 (Insured: FGIC) | A3/NR | 1,000,000 | 1,057,940 | |||||
Chaves County GRT, 5.05% due 7/1/2019 pre-refunded 7/1/2010 (Insured: FGIC) | A3/NR | 735,000 | 778,387 | |||||
Cibola County GRT, 5.875% due 11/1/2008 (Insured: AMBAC) (ETM) | Aaa/AAA | 495,000 | 506,870 | |||||
Cibola County GRT, 6.00% due 11/1/2010 (Insured: AMBAC) (ETM) | Aaa/AAA | 555,000 | 604,251 | |||||
Farmington Hospital, 5.00% due 6/1/2017 (San Juan Regional Medical Center) | A3/NR | 1,035,000 | 1,032,671 | |||||
Farmington Hospital, 5.125% due 6/1/2018 (San Juan Regional Medical Center) | A3/NR | 570,000 | 567,059 | |||||
Farmington Hospital, 5.125% due 6/1/2019 (San Juan Regional Medical Center) | A3/NR | 645,000 | 636,596 | |||||
Farmington Hospital, 5.00% due 6/1/2022 (San Juan Regional Medical Center) | A3/NR | 2,325,000 | 2,196,148 | |||||
Farmington PCR, 1.30% due 5/1/2024 put 4/1/2008 (LOC: Barclays Bank) (daily demand notes) | VMIG1/A-1+ | 500,000 | 500,000 | |||||
Farmington PCR, 1.35% due 9/1/2024 put 4/1/2008 (LOC: Barclays Bank) (daily demand notes) | P1/A-1+ | 2,000,000 | 2,000,000 | |||||
Farmington Utility Systems, 5.00% due 5/15/2012 (Insured: FSA) | Aaa/AAA | 6,095,000 | 6,475,206 | |||||
Gallup PCR Tri-State Generation, 5.00% due 8/15/2012 (Insured: AMBAC) | Aaa/AAA | 3,345,000 | 3,562,024 | |||||
Gallup PCR Tri-State Generation, 5.00% due 8/15/2013 (Insured: AMBAC) | Aaa/AAA | 2,110,000 | 2,258,671 | |||||
Gallup PCR Tri-State Generation, 5.00% due 8/15/2017 (Insured: AMBAC) | Aaa/AAA | 3,540,000 | 3,757,675 | |||||
Grant County Hospital Facility, 5.50% due 8/1/2009 (Gila Regional Medical Center; Insured: Radian) | NR/AA | 1,310,000 | 1,347,951 | |||||
Grant County Hospital Facility, 5.50% due 8/1/2010 (Gila Regional Medical Center; Insured: Radian) | NR/AA | 1,385,000 | 1,456,397 | |||||
Las Cruces School District GO, 5.50% due 8/1/2010 | Aa3/NR | 1,000,000 | 1,038,190 | |||||
Los Alamos County Utility Systems, 5.00% due 7/1/2013 (Insured: FSA) | Aaa/AAA | 1,265,000 | 1,381,203 | |||||
New Mexico Finance Authority, 5.15% due 6/1/2012 pre-refunded 6/1/2009 (Insured: MBIA) | Aaa/AAA | 255,000 | 264,993 | |||||
New Mexico Finance Authority, 5.25% due 6/1/2013 pre-refunded 6/1/2009 (Insured: MBIA) | Aaa/AAA | 130,000 | 135,244 | |||||
New Mexico Finance Authority, 5.00% due 6/15/2013 (Insured: AMBAC) | Aaa/NR | 2,280,000 | 2,481,187 | |||||
New Mexico Finance Authority, 5.00% due 6/1/2014 (Insured: MBIA) | Aaa/AAA | 2,660,000 | 2,867,187 | |||||
New Mexico Finance Authority, 5.35% due 6/1/2014 pre-refunded 6/1/2009 (Insured: MBIA) | Aaa/AAA | 130,000 | 135,394 | |||||
New Mexico Finance Authority, 5.25% due 6/1/2015 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,094,930 | |||||
New Mexico Finance Authority, 5.45% due 6/1/2015 pre-refunded 6/1/2009 (Insured: MBIA) | Aaa/AAA | 145,000 | 151,183 | |||||
New Mexico Finance Authority, 5.00% due 6/15/2015 (Insured: AMBAC) | Aaa/NR | 2,360,000 | 2,579,527 | |||||
New Mexico Finance Authority, 5.00% due 6/15/2018 (Insured: AMBAC) | Aaa/NR | 2,915,000 | 3,080,805 | |||||
New Mexico Finance Authority, 5.00% due 6/15/2019 (Insured: MBIA) | Aaa/NR | 1,215,000 | 1,273,284 | |||||
New Mexico Finance Authority, 5.00% due 6/1/2020 (Insured: MBIA) | Aaa/AAA | 1,625,000 | 1,706,656 | |||||
New Mexico Finance Authority, 5.00% due 6/1/2020 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,050,250 | |||||
New Mexico Finance Authority, 5.00% due 6/15/2020 (Insured: MBIA) | Aaa/NR | 1,395,000 | 1,449,614 | |||||
New Mexico Finance Authority, 5.00% due 6/15/2022 (Insured: MBIA) | Aaa/AAA | 1,300,000 | 1,349,452 | |||||
New Mexico Finance Authority, 5.00% due 6/15/2024 (Insured: MBIA) | Aaa/AAA | 7,000,000 | 7,160,230 |
Certified Semi-Annual Report 17
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
New Mexico Finance Authority Court Facilities Fee, 5.50% due 6/15/2020 pre-refunded 6/15/2011 (Insured: MBIA) | Aaa/AAA | $ | 2,000,000 | $ | 2,174,880 | |||
New Mexico Finance Authority State Office Building Tax, 5.00% due 6/1/2014 pre-refunded 6/1/2011 | Aa1/AAA | 1,875,000 | 2,010,112 | |||||
New Mexico Finance Authority State Transportation, 5.00% due 6/15/2014 (Insured: MBIA) | Aaa/AAA | 2,100,000 | 2,300,361 | |||||
New Mexico Highway Commission Senior Tax, 5.50% due 6/15/2013 pre-refunded 6/15/2011 | Aa2/AAA | 2,000,000 | 2,172,320 | |||||
New Mexico Highway Commission Senior Tax, 5.50% due 6/15/2014 | Aa2/AAA | 2,000,000 | 2,148,580 | |||||
New Mexico Highway Commission Tax, 6.00% due 6/15/2011 pre-refunded 6/15/2009 | Aa2/AAA | 5,000,000 | 5,252,300 | |||||
New Mexico Hospital Equipment Loan Council, 4.80% due 8/1/2010 (Presbyterian Healthcare) | Aa3/AA- | 500,000 | 522,185 | |||||
New Mexico Hospital Equipment Loan Council, 5.75% due 8/1/2016 pre-refunded 8/1/2011 (Presbyterian Healthcare) | Aa3/AA- | 5,205,000 | 5,752,202 | |||||
New Mexico Hospital Equipment Loan Council, 5.00% due 7/1/2017 (St.Vincent Hospital; Insured: Radian) | Aa3/NR | 1,730,000 | 1,762,524 | |||||
New Mexico Hospital Equipment Loan Council, 5.00% due 7/1/2019 (St.Vincent Hospital; Insured: Radian) | Aa3/NR | 1,000,000 | 1,002,940 | |||||
New Mexico Hospital Equipment Loan Council, 5.00% due 7/1/2021 (St.Vincent Hospital; Insured: Radian) | Aa3/NR | 1,185,000 | 1,170,223 | |||||
New Mexico Hospital Equipment Loan Council, 5.25% due 7/1/2025 (St.Vincent Hospital; Insured: Radian) | Aa3/NR | 1,000,000 | 992,080 | |||||
New Mexico Housing Authority Region III Multi Family Housing, 5.30% due 12/1/2022 (El Paseo Apartments; Insured: AMBAC) (AMT) | Aaa/AAA | 1,055,000 | 1,042,435 | |||||
New Mexico MFA Forward Mortgage, 6.50% due 7/1/2025 (Collateralized: FNMA/GNMA) | NR/AAA | 160,000 | 165,307 | |||||
New Mexico MFA General, 5.80% due 9/1/2019 pre-refunded 9/1/2009 | NR/AAA | 775,000 | 817,090 | |||||
New Mexico MFA Multi Family, 5.05% due 9/1/2027 (St. Anthony; Insured: FHA) (AMT) | NR/AAA | 890,000 | 832,960 | |||||
New Mexico MFA Multi Family, 6.05% due 7/1/2028 (Sandpiper Apartments; Insured: FHA) (AMT) | NR/AAA | 2,335,000 | 2,352,816 | |||||
New Mexico MFA Multi Family, 5.00% due 7/1/2031 put 7/1/2011 (Sombra Del Oso Apartments; Collateralized: FNMA) | Aaa/NR | 1,000,000 | 1,036,460 | |||||
New Mexico MFA Multi Family, 5.00% due 7/1/2031 put 7/1/2011 (Riverwalk Apartments; Collateralized: FNMA) | Aaa/NR | 1,910,000 | 1,979,639 | |||||
New Mexico MFA Multi Family, 5.00% due 7/1/2031 put 7/1/2011 (Tierra Pointe I Apartments; Collateralized: FNMA) | Aaa/NR | 2,785,000 | 2,886,541 | |||||
New Mexico MFA SFMR, 5.70% due 9/1/2014 (Collateralized: FNMA/GNMA) | NR/AAA | 75,000 | 75,857 | |||||
New Mexico MFA SFMR, 5.80% due 9/1/2016 (Collateralized: FNMA/GNMA) | NR/AAA | 135,000 | 138,464 | |||||
New Mexico MFA SFMR, 5.75% due 3/1/2017 (Collateralized: FNMA/GNMA) | NR/AAA | 190,000 | 192,284 | |||||
New Mexico MFA SFMR, 6.15% due 9/1/2017 (Collateralized: FNMA/GNMA) | NR/AAA | 60,000 | 60,826 | |||||
New Mexico MFA SFMR, 0% due 9/1/2019 (GIC: Bayerisch Landesbank) | NR/AAA | 230,000 | 211,667 | |||||
New Mexico MFA SFMR, 5.875% due 9/1/2020 (AMT) | NR/AAA | 205,000 | 207,284 | |||||
New Mexico MFA SFMR, 5.875% due 9/1/2021 (Collateralized: FNMA/GNMA) | NR/AAA | 395,000 | 399,701 | |||||
New Mexico MFA SFMR, 6.05% due 9/1/2021 (Collateralized: FNMA/GNMA) | NR/AAA | 240,000 | 252,742 | |||||
New Mexico State Highway Commission Infrastructure C, 5.00% due 6/15/2012 (ETM) | Aa2/AAA | 1,000,000 | 1,082,620 | |||||
New Mexico State Highway Commission Tax, 5.00% due 6/15/2010 (ETM) | Aa2/AAA | 255,000 | 269,517 | |||||
New Mexico State Highway Commission Tax, 5.00% due 6/15/2010 | Aa2/AAA | 245,000 | 258,688 | |||||
New Mexico State Highway Commission Tax, 5.125% due 6/15/2010 pre-refunded 6/15/2008 | Aa2/AAA | 660,000 | 664,587 | |||||
New Mexico State Highway Commission Tax, 5.125% due 6/15/2010 | Aa2/AAA | 3,695,000 | 3,714,103 | |||||
New Mexico State University Improvement, 5.00% due 4/1/2013 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,088,350 | |||||
New Mexico Supplemental Severance, 5.00% due 7/1/2008 | Aa3/AA- | 5,000,000 | 5,012,050 | |||||
Rio Rancho GRT, 5.00% due 6/1/2014 (Insured: FGIC) | A1/AA- | 955,000 | 1,032,966 | |||||
Rio Rancho GRT, 5.00% due 6/1/2016 (Insured: FGIC) | A1/AA- | 555,000 | 594,078 | |||||
Rio Rancho GRT, 5.00% due 6/1/2022 (Insured: FGIC) | A1/AA- | 1,000,000 | 1,021,060 | |||||
San Juan County Gasoline Tax/Motor Vehicle Improvement, 5.25% due 5/15/2014 | A1/NR | 400,000 | 429,468 | |||||
San Juan County Gasoline Tax/Motor Vehicle Improvement, 5.25% due 5/15/2022 | A1/NR | 1,725,000 | 1,766,072 | |||||
San Juan County GRT, 5.30% due 9/15/2009 | A1/NR | 215,000 | 220,145 | |||||
San Juan County GRT, 5.00% due 6/15/2014 (Insured: MBIA) | Aaa/AAA | 1,225,000 | 1,319,055 | |||||
San Juan County GRT, 5.50% due 9/15/2016 pre-refunded 9/15/2011 (Insured: AMBAC) | Aaa/AAA | 1,180,000 | 1,273,515 |
18 Certified Semi-Annual Report
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
San Juan County GRT, 5.75% due 9/15/2021 pre-refunded 9/15/2011 (Insured: AMBAC) | Aaa/AAA | $ | 1,000,000 | $ | 1,111,290 | |||
Sandoval County Incentive Payment, 5.75% due 2/1/2010 (Intel Corp.) | NR/A+ | 370,000 | 373,400 | |||||
Sandoval County Incentive Payment, 5.00% due 6/1/2020 (Intel Corp.) | NR/A+ | 4,390,000 | 4,529,997 | |||||
Sandoval County Landfill Improvement, 5.50% due 8/15/2015 | Baa2/NR | 1,420,000 | 1,485,022 | |||||
Sandoval County Landfill Improvement, 5.75% due 8/15/2018 | Baa2/NR | 1,335,000 | 1,384,555 | |||||
Santa Fe County, 5.00% due 7/1/2008 (Insured: MBIA) | Aaa/NR | 785,000 | 786,813 | |||||
Santa Fe County, 5.50% due 5/15/2015 (El Castillo Retirement) | NR/BBB- | 1,250,000 | 1,263,075 | |||||
Santa Fe County, 5.80% due 5/15/2018 (El Castillo Retirement) | NR/BBB- | 1,835,000 | 1,835,404 | |||||
Santa Fe County, 7.25% due 7/1/2029 (Rancho Viejo Improvement District) | NR/NR | 1,780,000 | 1,853,728 | |||||
Santa Fe County Charter School Foundation, 6.50% due 1/15/2026 (ATC Foundation) | NR/NR | 1,000,000 | 944,590 | |||||
Santa Fe County Charter School Foundation, 6.625% due 1/15/2036 (ATC Foundation) | NR/NR | 1,030,000 | 956,798 | |||||
Santa Fe County Correctional Systems, 5.00% due 2/1/2018 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,087,120 | |||||
Santa Fe County Correctional Systems, 6.00% due 2/1/2027 (Insured: FSA) | Aaa/AAA | 1,520,000 | 1,727,632 | |||||
Santa Fe Educational Facilities, 5.40% due 3/1/2017 (St. John’s College) | NR/BBB+ | 1,215,000 | 1,215,450 | |||||
Santa Fe SFMR, 6.00% due 11/1/2010 (Collateralized: FNMA/GNMA) (AMT) | Aaa/NR | 60,000 | 60,799 | |||||
Santa Fe SFMR, 6.10% due 11/1/2011 (Collateralized: FNMA/GNMA) (AMT) | Aaa/NR | 90,000 | 90,133 | |||||
Santa Fe SFMR, 6.20% due 11/1/2016 (Collateralized: FNMA/GNMA) (AMT) | Aaa/NR | 95,000 | 96,321 | |||||
Taos County GRT, 4.25% due 10/1/2010 (Insured: Radian) | Aa3/NR | 1,000,000 | 1,013,020 | |||||
Taos County GRT, 4.75% due 10/1/2012 (ETM) | Baa1/NR | 1,500,000 | 1,612,020 | |||||
Taos Municipal School District 1, 5.00% due 9/1/2008 (Insured: FSA) | Aaa/NR | 450,000 | 455,940 | |||||
University of New Mexico, 5.25% due 6/1/2013 | Aa3/AA | 665,000 | 717,429 | |||||
University of New Mexico, 5.25% due 6/1/2014 | Aa3/AA | 335,000 | 358,577 | |||||
University of New Mexico, 5.00% due 6/1/2015 (Insured: AMBAC) | Aaa/AAA | 1,590,000 | 1,743,848 | |||||
University of New Mexico, 5.25% due 6/1/2015 | Aa3/AA | 1,195,000 | 1,301,725 | |||||
University of New Mexico, 5.25% due 6/1/2016 | Aa3/AA | 645,000 | 690,395 | |||||
University of New Mexico, 5.25% due 6/1/2017 | Aa3/AA | 1,730,000 | 1,851,757 | |||||
University of New Mexico, 5.25% due 6/1/2018 | Aa3/AA | 1,825,000 | 1,946,125 | |||||
University of New Mexico, 5.25% due 6/1/2018 | Aa3/AA | 1,200,000 | 1,285,452 | |||||
University of New Mexico, 5.25% due 6/1/2021 | Aa3/AA | 1,000,000 | 1,045,470 | |||||
University of New Mexico, 6.00% due 6/1/2021 | Aa3/AA | 610,000 | 699,426 | |||||
University of New Mexico Hospital Mortgage Bonds, 5.00% due 1/1/2016 (Insured: FSA & FHA) | Aaa/AAA | 2,920,000 | 3,145,132 | |||||
University of New Mexico Hospital Mortgage Bonds, 5.00% due 1/1/2017 (Insured: FSA & FHA) | Aaa/AAA | 2,000,000 | 2,138,020 | |||||
University of New Mexico Hospital Mortgage Bonds, 5.00% due 1/1/2018 (Insured: FSA & FHA) | Aaa/AAA | 2,000,000 | 2,117,460 | |||||
University of New Mexico Hospital Mortgage Bonds, 5.00% due 1/1/2019 (Insured: FSA & FHA) | Aaa/AAA | 3,000,000 | 3,152,430 | |||||
University of New Mexico Hospital Mortgage Bonds, 5.00% due 7/1/2019 (Insured: FSA & FHA) | Aaa/AAA | 3,000,000 | 3,150,720 | |||||
University of New Mexico Hospital Mortgage Bonds, 5.00% due 1/1/2020 (Insured: FSA & FHA) | Aaa/AAA | 2,310,000 | 2,409,214 | |||||
University of New Mexico Hospital Mortgage Bonds, 5.00% due 7/1/2020 (Insured FSA & FHA) | Aaa/AAA | 500,000 | 521,335 | |||||
Ventana West Public Improvement District Special Tax, 6.625% due 8/1/2023 | NR/NR | 2,000,000 | 2,043,740 | |||||
Villa Hermosa Multi Family Housing, 5.85% due 11/20/2016 (Collateralized: GNMA) (AMT) | NR/AAA | 1,105,000 | 1,127,918 | |||||
TOTAL INVESTMENTS — 95.75% (Cost $190,190,514) | $ | 194,420,950 | ||||||
OTHER ASSETS LESS LIABILITIES — 4.25% | 8,624,744 | |||||||
NET ASSETS — 100.00% | $ | 203,045,694 | ||||||
Footnote Legend
† | Credit ratings are unaudited. Rating changes may have occurred prior to or subsequent to the reporting period end. |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
(1) | Segregated as collateral for a when-issued security. |
(2) | When-issued security. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
AMBAC | Insured by American Municipal Bond Assurance Corp. | |
AMT | Alternative Minimum Tax | |
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 | |
GRT | Gross Receipts Tax | |
LOC | Letter of Credit | |
MBIA | Insured by Municipal Bond Investors Assurance | |
MFA | Mortgage Finance Authority | |
PCR | Pollution Control Revenue Bond | |
RADIAN | Insured by Radian Asset Assurance | |
SFMR | Single Family Mortgage Revenue Bond |
See notes to financial statements.
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EXPENSE EXAMPLE | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
As a shareholder of the Fund, you incur ongoing costs, including management and administration fees and other Fund expenses.
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested on September 30, 2007 and held until March 31, 2008.
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 for your class of shares 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 for each class of shares 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 9/30/07 | Ending Account Value 3/31/08 | Expenses Paid During Period† 9/30/07–3/31/08 | |||||||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,020.50 | $ | 3.14 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,021.90 | $ | 3.14 |
† | Expenses are equal to the annualized expense ratio for the Class I shares (0.67%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
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OTHER INFORMATION | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2008 (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.
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 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
Not part of the Certified Semi-Annual Report
February 8, 2005, as readopted July 18, 2007
The Trustees are concerned that ongoing 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.
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24 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. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
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.
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 Global Opportunities Fund |
• | Thornburg International Growth Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
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Thornburg Equity Funds
Thornburg’s equity research uses a fundamental and comprehensive analytical approach. Thornburg equity funds focus on a limited number of securities so that each holding can impact 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.
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
• | Thornburg International Growth Fund |
Thornburg Bond Funds
The majority of Thornburg bond funds are laddered portfolios of 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 Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term Municipal Fund |
• | Thornburg New Mexico Intermediate Municipal Fund |
• | Thornburg New York Intermediate Municipal Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund* |
Carefully consider each fund’s investment objectives, risks, sales charges, and expenses; this information can be found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. There is no guarantee that any of these funds will meet their investment objectives.
For additional information, please visit www.thornburg.com
Thornburg Investment Management, 119 East Marcy Street, Santa Fe, NM 87501
* | This fund does not use the laddering strategy. |
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This Semi-Annual Report is 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.
![]() | Investment Advisor: Thornburg Investment Management® 800.847.0200
Distributor: Thornburg Securities Corporation® 800.847.0200
TH1408 |
Waste not, Wait not | ![]() |
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Invest in our planet, while you invest with us
You are concerned about the future, so are we. That is why we encourage you to go paperless and cut down on the amount of paper being used for regulatory mailings. Go to www.thornburg.com/edelivery and sign up to receive your shareholder reports, prospectuses, and proxy statements electronically.
Thornburg New York Intermediate Municipal Fund
Laddering – an All Weather Strategy
The Fund’s primary 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, in the view of the Fund’s investment advisor, with preservation of capital. The secondary goal of the Fund is to reduce expected changes in its share price compared to long-term bond portfolios. The Fund offers New York investors double (or for New York City residents triple) tax-free yields in a laddered municipal bond portfolio with an average maturity of normally three to ten years. 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.
2 This page is not part of the Semi-Annual Report.
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Thornburg New York Intermediate Municipal Fund
March 31, 2008
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19 |
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 Class A shares is 2.00%.
Performance data given at net asset value (NAV) does not take into account these sales charges. If the sales charges had been included, the performance would have been lower.
Investments 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. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund. Investments 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. There is no guarantee that the Fund will meet its investment objectives. The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
The information presented on the following pages was current as of March 31, 2008. The managers’ views, portfolio holdings, and sector diversification are provided for the general information of the Fund’s shareholders; they 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 managers’ forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio managers 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.
![]() | Lipper’s 2008 Best Fixed-Income Fund Family | |
Thornburg Investment Management ranked #1 out of 41 eligible firms in Lipper Inc.’s fixed income large firm universe for the three-year period ended 12/31/07, based on risk-adjusted returns. Past performance does not guarantee future results. | ||
Lipper’s large firm universe is comprised of fund families with more than $28 billion in total net assets. Only fund families with at least five bond funds were eligible. Risk-adjusted returns were calculated with dividends reinvested and without sales charges. | ||
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Glossary
The Merrill Lynch 7-12 Year Municipal Bond Index – The Merrill Lynch 7-12 Year Municipal Bond Index represents a broad measure of market performance. It is a model portfolio of municipal obligations throughout the U.S., with an average maturity which ranges from seven to twelve years.
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 .
Average Maturity – The average of the maturity dates of the debt securities in the fund. In general, the longer the average maturity, the greater the fund’s sensitivity to interest-rate changes, which means greater price fluctuation. A shorter average maturity usually means a less sensitive/less volatile portfolio.
Consumer Price Index – The Consumer Price Index (CPI) measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living 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.
Fed Funds Rate – The interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.
Real Gross Domestic Product (GDP) – The market value of goods and services produced by labor and property in the United States, regardless of nationality. This inflation-adjusted measure reflects the value of all goods and services produced in a given year, expressed in base-year prices. Often referred to as “constant-price GDP”, “inflation-corrected GDP” or “constant dollar GDP”.
U.S. Treasury Securities – U.S. Treasury securities, such as bills, notes and bonds, are negotiable debt obligations of the U.S. government . These debt obligations are backed by the “full faith and credit” of the government and issued at various schedules and maturities. Income from Treasury securities is exempt from state and local, but not federal income taxes.
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George Strickland
Josh Gonze
Christopher Ihlefeld | April 14, 2008
Dear Fellow Shareholder:
We are 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 3 cents per share to $12.27 during the six months ended March 31, 2008. If you were with us for the entire period, you received dividends of 22.1 cents per share. If you reinvested your dividends, you received 22.3 cents per share.
The past six months have been extraordinary in the capital markets. All bonds, including municipals, have been buffeted by the mortgage storm and its aftermath. In the rubble lies opportunity for unlevered investors like us. We are proud of our performance during this difficult period, and we welcome the accolades we have earned. In April 2008, Thornburg Investment Management received the 2008 Lipper Fund Award for Best Fixed-Income Fund Family.
What makes our recent strong performance remarkable is that it occurred during the collapse of the mortgage market and the subsequent bank liquidity crisis. For years, leveraged investors have distorted prices in the bond market. In contrast with old-fashioned cash investors like ourselves, leveraged players tended to pay more for bonds because their borrowed funding and copious use of hedges allowed them to ignore the rules of fundamental bond investing. But in the last six months, banks curtailed lending, the auction-rate securities market crumpled, and hedges had to unwind.
Mortgage-backed securities began collapsing in August 2007. We were largely unscathed because we had minimal exposure to this sector. Risk models created by rating agencies failed to provide for the possibility of a broad increase in mortgage delinquencies. Banks and investors who held mortgage bonds took unprecedented write-downs, essentially admitting the bonds cannot recover. All of the bond insurers, to varying degrees, had written credit default swaps against mortgages, and now some bond insurers have been stripped of their AAA ratings. Banks have curtailed lending as they struggle to reduce the size of their balance sheets.
Today’s economic picture is one of stagnating economic activity combined with accelerating inflation. Inflation is running around 4%, as measured by the CPI. Home sales and construction starts are depressed. Recent reports for real GDP indicate the economy is nearly flat with a 0.60% growth rate. Recent job reports show three consecutive months of declining payrolls, so we believe there is little question that the U.S. is in a mild recession. We expect the bipartisan $168 billion stimulus package to be ineffective.
The Fed has lowered the Fed Funds Rate by 3% since September 2007 to 2.25%, with further rate cuts anticipated. Low interest rates ordinarily halt downward economic trends by prompting more lending, borrowing, and spending. However, banks currently are focused on reducing assets, not creating new assets, so low interest rates are failing to translate into economic activity.
The decline of the dollar is both a signal and a cause of economic weakness. Our currency continues its long-term downward trend as investors, both foreign and domestic, shift their portfolios to hold more assets denominated in currencies other than the dollar. Dollardenominated assets are undermined by accelerating U.S. inflation and negative real interest rates on Treasury bonds. |
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On the positive side, the yield curve has been steepening, which will support a rebound in bank profits. The municipal yield curve’s newly steep direction has pivoted around the year 2016. Since the beginning of January, bonds maturing prior to 2016 have declined in yield (risen in price), while bonds maturing after 2016 have risen in yield (declined in price). The flight to quality has pushed Treasury yields down sharply, with the result that the ratios of municipal-to-Treasury yields were at an all-time high. In the last six months we have purchased tax-exempt bonds at yields ranging from 120% to 200% of equivalent maturity Treasuries.
% of portfolio maturing | Cumulative % maturing | |||||||||||
2 years | = | 5.9 | % | Year 2 | = | 5.9 | % | |||||
2 to 4 years | = | 15.8 | % | Year 4 | = | 21.7 | % | |||||
4 to 6 years | = | 9.0 | % | Year 6 | = | 30.7 | % | |||||
6 to 8 years | = | 9.4 | % | Year 8 | = | 40.1 | % | |||||
8 to 10 years | = | 18.6 | % | Year 10 | = | 58.7 | % | |||||
10 to 12 years | = | 10.4 | % | Year 12 | = | 69.1 | % | |||||
12 to 14 years | = | 8.6 | % | Year 14 | = | 77.7 | % | |||||
14 to 16 years | = | 6.9 | % | Year 16 | = | 84.6 | % | |||||
16 to 18 years | = | 3.3 | % | Year 18 | = | 87.9 | % | |||||
Over 18 years | = | 12.1 | % | Over 18 years | = | 100.0 | % |
Percentages can and do vary. Data as of 3/31/08.
Meanwhile, quality spreads (the difference in yield between the highest quality bonds and lower quality bonds) have been wide in the last several months. Some investors, who were previously comfortable taking credit risk at very tight spreads to AAA rated bonds, suddenly became a lot less com-fortable. Those who sold typically had to sell their bonds at significantly wider spreads than those that prevailed earlier in the year. This led to an environment where investors could finally be compensated for taking incremental credit risk in bonds rated lower than AAA. We have been a beneficiary of this trend. When the credit-spread widening started, we were underweighted in BBB and A-rated bonds. As spreads doubled and tripled from their levels of mid-2007, we increased the Fund’s allocation to bonds rated below AA.
The Class A shares of your Fund produced a total return of 1.57% over the six-months ended March 31, 2008, compared to a 2.25% return for the Merrill Lynch 7-12 Year Municipal Bond Index. Over the six-month period, shorter bonds have outperformed longer bonds. The Fund invests in a laddered portfolio of bonds that mature over the next eighteen years, with roughly 10% of the portfolio maturing in each two year period of the ladder, so a significant portion of the ladder extends past the 12-year maximum in the Index. Since longer bonds generally underperformed compared to bonds in the range of 7 to 12 years, the Fund underperformed the Index.
Your Thornburg New York Intermediate Municipal Fund is a laddered portfolio of 36 municipal obligations. 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 chart above describes the percentages of your Fund’s bond portfolio maturing in each of the coming years.
We were able to take advantage of this past winter’s weakness to buy good bonds at attractive yields. We also slightly extended the portfolio’s sensitivity to interest rates. At September 30, 2007, the Fund’s ladder had an average maturity of 7.5 years and duration of 4.15 years. As the yield curve steepened, we invested further out on the ladder. Consequently, at March 31, 2008, the Fund had an average maturity of 8.52 years and duration of 4.37 years.
Looking forward, we do expect to see a weak U.S. economy through 2008. Until the housing and credit markets stabilize, the economy will be on shaky ground. At some point in 2009, we anticipate stabilization. Prior to that point, bond yields may rise to compensate investors for inflation. Rising bond yields may lead to a lower price for the Fund, but would allow us to take cash from maturing bonds and interest payments, and re-invest it at attractive levels.
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Letter to Shareholders
Continued
New York state tax revenues have slowed with a weakened state economy. However, in April the state legislature approved a $122 billion budget, increasing spending by 5%. The budget relies upon $1.5 billion in new revenue generated by closing tax loopholes and expanding taxes and fees. We expect the depressed housing market and slower economic growth to create a tougher environment for municipal bonds to show further credit improvement. We believe it is prudent to keep overall credit quality high in the current environment. Your Fund is broadly diversified and 92% invested in bonds rated A or above by at least one of the major rating agencies.
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 | Josh Gonze | Christopher Ihlefeld | ||
Co-Portfolio Manager | Co-Portfolio Manager | Co-Portfolio Manager |
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STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg New York Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
ASSETS | ||||
Investments at value (cost $30,006,818) (Note 2) | $ | 30,591,051 | ||
Cash | 333,643 | |||
Receivable for fund shares sold | 112,138 | |||
Interest receivable | 372,985 | |||
Prepaid expenses and other assets | 502 | |||
Total Assets | 31,410,319 | |||
LIABILITIES | ||||
Payable for fund shares redeemed | 5,503 | |||
Payable to investment advisor and other affiliates (Note 3) | 21,545 | |||
Accounts payable and accrued expenses | 25,114 | |||
Dividends payable | 27,147 | |||
Total Liabilities | 79,309 | |||
NET ASSETS | $ | 31,331,010 | ||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment income | $ | (14,300 | ) | |
Net unrealized appreciation on investments | 584,233 | |||
Accumulated net realized gain (loss) | (35,223 | ) | ||
Net capital paid in on shares of beneficial interest | 30,796,300 | |||
$ | 31,331,010 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($31,331,010 applicable to 2,554,489 shares of beneficial interest outstanding - Note 4) | $ | 12.27 | ||
Maximum sales charge, 2.00% of offering price | 0.25 | |||
Maximum offering price per share | $ | 12.52 | ||
See notes to financial statements.
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STATEMENT OF OPERATIONS | ||
Thornburg New York Intermediate Municipal Fund | Six Months Ended March 31, 2008 (Unaudited) |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $64,513) | $ | 732,729 | ||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 79,954 | |||
Administration fees (Note 3) | 19,989 | |||
Distribution and service fees (Note 3) | 39,977 | |||
Transfer agent fees | 9,790 | |||
Registration and filing fees | 146 | |||
Custodian fees (Note 3) | 9,834 | |||
Professional fees | 11,867 | |||
Accounting fees | 429 | |||
Trustee fees | 297 | |||
Other expenses | 3,501 | |||
Total Expenses | 175,784 | |||
Less: | ||||
Management fees waived by investment advisor (Note 3) | (15,004 | ) | ||
Fees paid indirectly (Note 3) | (2,471 | ) | ||
Net Expenses | 158,309 | |||
Net Investment Income | 574,420 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | 14,032 | |||
Net change in unrealized appreciation (depreciation) of investments | (90,171 | ) | ||
Net Realized and Unrealized Loss | (76,139 | ) | ||
Net Increase in Net Assets Resulting From Operations | $ | 498,281 | ||
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Thornburg New York Intermediate Municipal Fund
Six Months Ended March 31, 2008* | Year Ended September 30, 2007 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 574,420 | $ | 1,247,732 | ||||
Net realized gain on investments | 14,032 | 22,961 | ||||||
Increase (Decrease) in unrealized appreciation (depreciation) of investments | (90,171 | ) | (275,765 | ) | ||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 498,281 | 994,928 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (574,420 | ) | (1,247,732 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | (1,609,054 | ) | (1,580,052 | ) | ||||
Net Decrease in Net Assets | (1,685,193 | ) | (1,832,856 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 33,016,203 | 34,849,059 | ||||||
End of period | $ | 31,331,010 | $ | 33,016,203 | ||||
* | Unaudited. |
See notes to financial statements.
Certified Semi-Annual Report 11
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NOTES TO FINANCIAL STATEMENTS | ||
Thornburg New York Intermediate Municipal Fund | March 31, 2008 (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 thirteen 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 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, Thornburg Investment Income Builder Fund, Thornburg Global Opportunities Fund, Thornburg International Growth Fund, and Thornburg Strategic Income 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 primary investment objective is to obtain as high a level of current income exempt from federal, New York State, and New York City individual income tax as is consistent, in the view of the Fund’s investment advisor, with the preservation of capital. The Fund’s secondary objective is to reduce expected changes in its share price compared to long-term bond portfolios. The Fund will invest primarily in municipal obligations within the state of New York. 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 Securities: Debt securities have a primary market over the counter and are valued by an independent pricing service approved by the Trustees of the Trust. The pricing service ordinarily values debt securities at quoted bid prices. When quotations are not available, debt securities are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt securities of comparable quality, type of issue, coupon, maturity, and rating; indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
In any case where a pricing service fails to provide a price for a debt security held by the Fund, the valuation and pricing committee determines a fair value for the security using factors approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt security may be unreliable, the valuation and pricing committee decides whether or not to use the pricing service’s valuation or to determine a fair value for the security.
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 Fund’s 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 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 realized 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 liabilities 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, 2008 (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 to the Fund for which the fees are payable at the end of each month. For the six months ended March 31, 2008, 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 depending on the Fund’s asset size. For the six months ended March 31, 2008, the Advisor voluntarily waived investment advisory fees of $15,004. The Trust also has entered into administrative services agreements with the Advisor, whereby the Advisor will perform certain administrative services 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 the Fund’s shares. For the six months ended March 31, 2008, the Distributor has advised the Fund that it earned no commissions 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 for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder and distribution 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 six months ended March 31, 2008, fees paid indirectly were $2,471. This figure may include additional fees waived by the custodian.
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, 2008, 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, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 191,811 | $ | 2,365,986 | 455,331 | $ | 5,595,138 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 32,080 | 394,064 | 70,407 | 865,914 | ||||||||||
Shares repurchased | (354,176 | ) | (4,369,104 | ) | (656,314 | ) | (8,041,104 | ) | ||||||
Net Increase (Decrease) | (130,285 | ) | $ | (1,609,054 | ) | (130,576 | ) | $ | (1,580,052 | ) | ||||
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2008, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $2,540,345 and $2,784,802, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2008, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 30,006,818 | ||
Gross unrealized appreciation on a tax basis | $ | 628,874 | ||
Gross unrealized depreciation on a tax basis | (44,641 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 584,233 | ||
At March 31, 2008, the Fund had tax basis capital losses of $49,255, which may be carried forward 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 losses will expire September 30, 2014.
Certified Semi-Annual Report 13
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New York Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
OTHER NOTES:
FASB Interpretation No. 48:
On July 13, 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes - an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation prescribes a model for how a company, including the Fund, should recognize, measure, present and disclose in its financial statements uncertain tax positions that the company has taken or expects to take on income tax returns, and also revises certain disclosure requirements. The Interpretation became effective for the Fund for the financial statement reporting period ended March 31, 2008. As of the date of this report, management of the Fund has not identified any material effect on the Fund’s financial statements resulting from the implementation of FIN 48.
Statement of Accounting Standards No. 157:
On September 15, 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 defines fair value, provides guidelines for measuring fair value in accordance with generally accepted accounting principles, and addresses disclosures about fair value measurements. FAS 157 establishes a fair value hierarchy that distinguishes between (i) market participant assumptions developed based upon market data obtained from sources independent of the reporting entity (observable inputs) and (ii) the entity’s own assumptions about market participant assumptions developed based upon the best information available under the circumstances (unobservable inputs). FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and is to be applied prospectively as of the beginning of the first fiscal year for which FAS 157 is applied. Management is evaluating FAS 157, and is not in a position at this time to estimate the significance of its impact, if any, on the Fund’s financial statements.
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Thornburg New York Intermediate Municipal Fund
Six Months Ended March 31, 2008* | Year Ended Sept. 30, | Three Months Ended Sept. 30, 2004(a) | Year Ended June 30, | |||||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||||||
Class A Shares: | ||||||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.30 | $ | 12.38 | $ | 12.44 | $ | 12.64 | $ | 12.46 | $ | 12.86 | $ | 12.63 | ||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||
Net investment income (loss) | 0.22 | 0.46 | 0.45 | 0.42 | 0.10 | 0.45 | 0.51 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.03 | ) | (0.08 | ) | (0.06 | ) | (0.20 | ) | 0.18 | (0.40 | ) | 0.25 | ||||||||||||||||
Total from investment operations | 0.19 | 0.38 | 0.39 | 0.22 | 0.28 | 0.05 | 0.76 | |||||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||||||
Net investment income | (0.22 | ) | (0.46 | ) | (0.45 | ) | (0.42 | ) | (0.10 | ) | (0.45 | ) | (0.51 | ) | ||||||||||||||
Net realized gains | — | — | — | — | — | — | (0.02 | ) | ||||||||||||||||||||
Total dividends | (0.22 | ) | (0.46 | ) | (0.45 | ) | (0.42 | ) | (0.10 | ) | (0.45 | ) | (0.53 | ) | ||||||||||||||
Change in net asset value | (0.03 | ) | (0.08 | ) | (0.06 | ) | (0.20 | ) | 0.18 | (0.40 | ) | 0.23 | ||||||||||||||||
NET ASSET VALUE, end of period | $ | 12.27 | $ | 12.30 | $ | 12.38 | $ | 12.44 | $ | 12.64 | $ | 12.46 | $ | 12.86 | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA
Total return (%)(b) | 1.57 | 3.13 | 3.23 | 1.73 | 2.26 | 0.36 | 6.16 | ||||||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Net investment income (loss) (%) | 3.59 | (c) | 3.74 | 3.66 | 3.31 | 3.19 | (c) | 3.51 | 4.02 | ||||||||||||||
Expenses, after expense reductions (%) | 1.01 | (c) | 1.01 | 1.01 | 1.00 | 0.99 | (c) | 0.99 | 0.93 | ||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.99 | (c) | 0.99 | 0.99 | 0.99 | 0.99 | (c) | 0.99 | 0.93 | ||||||||||||||
Expenses, before expense reductions (%) | 1.10 | (c) | 1.11 | 1.11 | 1.12 | 1.18 | (c) | 1.11 | 1.10 | ||||||||||||||
Portfolio turnover rate (%) | 8.29 | 14.91 | 15.38 | 28.70 | 4.27 | 13.46 | 15.57 | ||||||||||||||||
Net assets at end of period (thousands) | $ | 31,331 | $ | 33,016 | $ | 34,849 | $ | 41,375 | $ | 45,543 | $ | 42,551 | $ | 39,764 |
(a) | The Fund’s fiscal year-end changed to September 30. |
(b) | Sales loads are not reflected in computing total return, which is not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report 15
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SCHEDULE OF INVESTMENTS | ||
Thornburg New York Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
CUSIPS: CLASS A - 885-215-665
NASDAQ SYMBOLS: CLASS A - THNYX
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Amherst IDA Civic Facility, 5.75% due 4/1/2015 (Insured: ACA) | NR/NR | $ | 465,000 | $ | 475,644 | |||
Dutchess County IDA, 5.00% due 8/1/2021 (Bard College) | A3/NR | 1,100,000 | 1,126,301 | |||||
Hempstead IDA Resource Recovery, 5.00% due 12/1/2010 put 6/1/2010 (American Ref-Fuel) | Baa3/BB+ | 1,000,000 | 996,690 | |||||
Monroe County IDA, 6.45% due 2/1/2014 (DePaul Community Facility; Insured: SONYMA) | Aa1/NR | 640,000 | 648,173 | |||||
Monroe County IDA, 5.375% due 6/1/2017 (St. John Fisher College; Insured: Radian) | NR/AA | 700,000 | 716,016 | |||||
Nassau Health Care Corp., 6 .00% due 8/1/2011 pre-refunded 8/1/2009 | Aaa/AAA | 400,000 | 429,464 | |||||
New York City GO, 6.75% due 2/1/2009 (Insured: MBIA-IBC) | Aaa/AAA | 950,000 | 988,589 | |||||
New York City GO, 5.00% due 8/1/2018 | Aa3/AA | 1,000,000 | 1,044,200 | |||||
New York City GO, 5.00% due 8/1/2025 | Aa3/AA | 400,000 | 403,836 | |||||
New York City Municipal Water Finance Authority, 5.75% due 6/15/2013 (ETM) | Aaa/AAA | 1,000,000 | 1,047,780 | |||||
New York City Transitional Finance Authority, 5.25% due 8/1/2016 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,068,590 | |||||
New York City Transitional Finance Authority, 5.00% due 11/1/2020 | Aa1/AAA | 1,000,000 | 1,049,570 | |||||
New York City Trust Cultural Resources, 5.75% due 7/1/2014 (Museum of American Folk Art; Insured: ACA) | NR/NR | 920,000 | 930,755 | |||||
New York Convention Center Development Corp. Hotel Unit Fee, 5.00% due 11/15/2017 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,061,590 | |||||
New York Dormitory Authority, 5.25% due 7/1/2010 (D’Youville College; Insured: Radian) | NR/AA | 350,000 | 362,047 | |||||
New York Dormitory Authority, 5.25% due 7/1/2011 (D’Youville College; Insured: Radian) | NR/AA | 370,000 | 386,006 | |||||
New York Dormitory Authority, 5.00% due 7/1/2016 (Bishop Henry B Hucles Nursing Home; Insured: SONYMA) | Aa1/NR | 400,000 | 436,064 | |||||
New York Dormitory Authority, 6.10% due 7/1/2019 (Ryan Clinton Community Health Center; Insured: SONYMA) | Aa1/NR | 1,000,000 | 1,051,360 | |||||
New York Dormitory Authority, 5.00% due 7/1/2024 (Bishop Henry B Hucles Nursing Home; Insured: SONYMA) | Aa1/NR | 1,000,000 | 1,020,930 | |||||
New York Dormitory Authority Health Quest Systems, 5.25% due 7/1/2027 (Insured: Assured Guaranty) | Aaa/AAA | 500,000 | 508,015 | |||||
New York Dormitory Authority Lease, 5.25% due 8/15/2013 (Master Boces; Insured: FSA) | Aaa/AAA | 1,000,000 | 1,066,810 | |||||
New York Dormitory Authority Mental Health Services, 5.00% due 2/15/2015 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,080,920 | |||||
New York Dormitory Authority Mental Health Services, 5.50% due 2/15/2019 pre-refunded 8/15/2011 (Insured: MBIA) | Aaa/AAA | 1,085,000 | 1,186,664 | |||||
New York Dormitory Authority Personal Income Tax, 5.50% due 3/15/2012 | Aa3/AAA | 1,000,000 | 1,098,770 | |||||
New York Dormitory Authority Personal Income Tax, 5.00% due 3/15/2019 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,071,470 | |||||
New York Environmental Facilities Corp. PCR Water, 6.875% due 6/15/2014 (State Revolving Fund) | Aaa/AAA | 400,000 | 401,508 | |||||
New York State Thruway Authority General, 5.00% due 1/1/2018 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,065,050 | |||||
New York State Thruway Authority Highway & Bridge Trust Fund, 5.00% due 4/1/2022 | NR/AA | 1,000,000 | 1,046,180 | |||||
Newark Wayne Community Hospital, 5.875% due 1/15/2033 (Insured: AMBAC) | Aaa/AAA | 1,335,000 | 1,336,949 | |||||
Oneida County IDA, 6.00% due 1/1/2010 (Insured: Radian) | NR/AA | 375,000 | 389,783 | |||||
Oneida County IDA, 6.10% due 6/1/2020 (Presbyterian Home for central NY; LOC: HSBC Bank USA) | Aa2/NR | 450,000 | 468,248 | |||||
Port Authority New York & New Jersey, 5.00% due 8/15/2022 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,049,540 | |||||
Port Chester IDA, 4.75% due 7/1/2031 put 7/1/2011 (American Foundation; Collateralized: FNMA) | NR/AAA | 750,000 | 784,755 | |||||
Puerto Rico Electric Power Authority, 5.375% due 7/1/2017 (Insured: XLCA) | A3/A- | 1,045,000 | 1,122,894 | |||||
Triborough Bridge & Tunnel Authority, 5.00% due 11/15/2025 | Aa2/AA- | 1,410,000 | 1,445,659 | |||||
Utica IDA Civic Facility, 5.25% due 7/15/2016 (Munson Williams Proctor Institute) | A1/NR | 210,000 | 224,231 | |||||
TOTAL INVESTMENTS — 97.64% (COST $ 30,006,818) | $ | 30,591,051 | ||||||
OTHER ASSETS LESS LIABILITIES — 2.36% | 739,959 | |||||||
NET ASSETS — 100.00% | $ | 31,331,010 | ||||||
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg New York Intermediate Municipal Fund | March 31, 2008 (Unaudited) |
Footnote Legend
† 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 | |
FNMA | Collateralized by Federal National Mortgage Association | |
FSA | Insured by Financial Security Assurance Co. | |
GO | General Obligation | |
IDA | Industrial Development Authority | |
LOC | Letter of Credit | |
MBIA | Insured by Municipal Bond Investors Assurance | |
MBIA-IBC | Insured by Municipal Bond Investors Assurance - Insured Bond Certificates | |
PCR | Pollution Control Revenue Bond | |
RADIAN | Insured by Radian Asset Assurance | |
SONYMA | State of New York Mortgage Authority | |
XLCA | Insured by XL Capital Assurance |
See notes to financial statements.
Certified Semi-Annual Report 17
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EXPENSES EXAMPLE | ||
Thornburg New York Intermediate Municipal Fund | March 31, 2008 (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 or all of a purchase of $1 million of Class A shares within 12 months of purchase;
(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, 2007 and held until March 31, 2008.
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 9/30/07 | Ending Account Value 3/31/08 | Expenses Paid During Period† 9/30/07–3/31/08 | |||||||
Class A shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,015.70 | $ | 4.99 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.05 | $ | 5.00 |
† | Expenses are equal to the annualized expense ratio for Class A shares (0.99%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
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OTHER INFORMATION | ||
Thornburg New York Intermediate Municipal Fund | March 31, 2008 (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.
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 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 19
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Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
February 8, 2005, as readopted July 18, 2007
The Trustees are concerned that ongoing 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.
20 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. Deductible contributions are subject to certain qualifications. Please consult your tax advisor .
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.
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 Global Opportunities Fund |
• | Thornburg International Growth Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
This page is not part of the Semi-Annual Report. 21
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Thornburg Equity Funds
Thornburg’s equity research uses a fundamental and comprehensive analytical approach. Thornburg equity funds focus on a limited number of securities so that each holding can impact 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.
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
• | Thornburg International Growth Fund |
Thornburg Bond Funds
The majority of Thornburg bond funds are laddered portfolios of 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 Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term Municipal Fund |
• | Thornburg New Mexico Intermediate Municipal Fund |
• | Thornburg New York Intermediate Municipal Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund n Thornburg Strategic Income Fund* |
Carefully consider each fund’s investment objectives, risks, sales charges, and expenses; this information can be found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. There is no guarantee that any of these funds will meet their investment objectives.
For additional information, please visit www.thornburg.com
Thornburg | Investment Management, 119 East Marcy Street, Santa Fe, NM 87501 |
* | This fund does not use the laddering strategy. |
This page is not part of the Semi-Annual Report. 23
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This Semi-Annual Report is 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.
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![]() | Investment Advisor:
Thornburg Investment Management® 800.847.0200 | Distributor:
Thornburg Securities Corporation® 800.847.0200 TH1069 |
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Thornburg Limited Term Income Funds
March 31, 2008
Letter to Shareholders | 6 | |
8 | ||
10 | ||
12 | ||
13 | ||
14 | ||
20 | ||
25 | ||
29 | ||
32 | ||
41 | ||
42 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
Certified Semi-Annual Report | 3 |
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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, an 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 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. Class C shares include a 0.50% CDSC for the first year only. There is no up-front sales charge for Class I or Class R3 shares.
Performance data given at net asset value (NAV) does not take into account these sales charges. If the sales charges had been included, the performance would have been lower.
Investments in the Funds 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. Please see the Funds’ Prospectus for a discussion of the risks associated with an investment in the Funds. Investments in the Funds 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. There is no guarantee that the Funds will meet their investment objectives. The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
The information presented on the following pages was current as of March 31, 2008. The managers’ views, portfolio holdings, and sector and country diversification are provided for the general information of the Fund’s shareholders; they 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 the 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.
![]() | Lipper’s Best Fixed-Income Fund Family
Thornburg Investment Management ranked #1 out of 41 eligible firms in Lipper Inc.’s fixed income large firm universe for the three-year period ended 12/31/07, based on risk-adjusted returns. Past performance does not guarantee future results.
Lipper’s large firm universe is comprised of fund families with more than $28 billion in total net assets. Only fund families with at least five bond funds were eligible. Risk-adjusted returns were calculated with dividends reinvested and without sales charges. |
4 | Certified Semi-Annual Report |
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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.
Average Maturity – The average of the maturity dates of the debt securities in the fund. In general, the longer the average maturity, the greater the fund’s sensitivity to interest-rate changes, which means greater price fluctuation. A shorter average maturity usually means a less sensitive, less volatile portfolio.
Basis Point – A unit for measuring a bond yield that is equal to 1/100th of a 1% yield. A 1% change =100 basis points (bps).
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.
Fed Funds Rate – The Fed Funds Rate is the interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.
U.S. Treasury Securities – U.S. Treasury securities, such as bills, notes and bonds, are negotiable debt obligations of the U.S. government. These debt obligations are backed by the “full faith and credit” of the government and issued at various schedules and maturities. Income from Treasury securities is exempt from state and local, but not federal income taxes.
Certified Semi-Annual Report | 5 |
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Jason Brady, CFA Portfolio Manager
| April 3, 2008
Dear Fellow Shareholder:
I am pleased to present the Semi-Annual Report for the Thornburg Limited Term U.S. Government Fund and the Thornburg Limited Term Income Fund for the period ended March 31, 2008. The net asset value of a Class A share of the Thornburg Limited Term U.S. Government Fund increased 48 cents in the period to $13.45. If you were invested for the entire period, you received dividends of 22.1 cents per share. If you reinvested your dividends, you received 22.3 cents per share. The net asset value of a Class A share of the Thornburg Limited Term Income Fund increased 20 cents in the period to $12.60. If you were invested for the entire period, you received dividends of 26.6 cents per share. If you reinvested your dividends, you received 26.9 cents per share. Please examine the accompanying exhibits for more detailed information and history. |
The yield on U.S. Treasuries mainly moved lower over the course of the past six months, with the continued “steepening” of the yield curve being a significant driver of U.S. dollar denominated bond returns. The two-year U.S. Treasury moved from a 3.99% yield to a 1.65% yield over the course of the past six months, while the ten-year U.S. Treasury moved from a 4.59% yield to a 3.53% yield. As you can see, relatively, front end securities moved much lower in yield than longer term securities. This movement was primarily the result of a slowing in the U.S. economy and the corresponding actions of the Federal Reserve to lower the Fed Funds Rate. The Federal Reserve Open Market Committee (FOMC) has aggressively lowered the Fed Funds Rate to 2.25%. That change in policy was largely due to falling home prices, a significant dislocation of global credit markets and the attendant lack of liquidity. Furthermore, writedowns at major financial institutions escalated during the past six months and for now are an important and destabilizing part of the capital markets landscape. Credit spreads (the additional yield the market requires for investing in risky securities versus credit risk-less U.S. Treasuries) continued to widen and in some asset classes, have moved to levels not seen since the recession of 2001-2002 while other asset classes have moved to levels never seen before. As discussed in the last shareholder letter, I believe that we have entered into a period of increased volatility. While that volatility increase has the attendant effect of increasing opportunity, it also increases the potential for losses. In this environment, we are getting paid more for taking risk than in the past, though that doesn’t mean that any risk-taking will be rewarded.
Putting income and change in price together, the Class A shares of the Thornburg Limited Term U.S. Government Fund produced a total return of 5.44% over the six-month period, assuming a beginning-of-period investment at the net asset value. The Lehman Brothers Intermediate Government Bond Index produced a 7.61% total return over the same time period. The Class A shares of the Thornburg Limited Term Income Fund produced a total return of 3.78% over the six-month period, assuming a beginning of period investment at the net asset value. The Lehman Brothers Intermediate Government/Credit Bond Index produced a 5.99% total return over the same time period. Both Lehman indices reflect no deduction for fees, expenses, or taxes.
The Funds kept their durations slightly shorter than the Indices during the past six months and as a result failed to take advantage of some of the price increases due to U.S. Treasury yield decreases. In addition, the Thornburg Limited Term Income Fund, while maintaining a very high (AA) average credit rating, holds a smaller proportion of U.S. Treasury securities than the Index. In a time of widening credit spreads, U.S. Treasuries outperformed lower rated securities. However, Thornburg’s laddered portfolio strategy and prudent credit selection (within the Income Fund) continue to benefit the Fund. Turbulent times certainly can shine a bright light on some of the darker corners of a portfolio which develop as a result of poor risk management or an unchecked “reach for yield” mentality. The discipline inherent in Thornburg’s investment approach has served us well in this regard. I remain quite comfortable with our holdings and believe that over time each investment will yield satisfactory results, and in aggregate, position the Funds well for continued positive returns.
6 | Certified Semi-Annual Report |
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The recent volatility in the marketplace underlines the importance of high quality bonds in a fixed income portfolio allocation. The Funds are meant to have a low correlation with equities and as such can play a valuable diversifying role in addition to paying a reasonable income relative to their risks. Though periods of volatility have been relatively short over the course of the past several years, and credit spreads have remained fairly well behaved, there is no rule that says this must continue to be the case. Similarly, stock markets have generally advanced at a steady rate over the past couple of decades. However, the past several months have shown that volatility is alive and well.
While six months ago I wrote to you that we would continue to maintain conservative portfolios, the momentous dislocations that are occurring in the marketplace have begun to present interesting opportunities. I believe that financial markets may very well get worse before they get better, and that the road to recovery will almost certainly be a bumpy one. However, there are quite a large number of fundamentally sound bonds which are selling for attractive yields. In this type of environment, we will be marginally increasing our risk exposure to go where we see value. That said, I continue to subscribe to the philosophy that high quality bond funds should represent a safe haven. Thornburg Investment Management will continue to strive to give you, the bond investor, a consistent income stream and a set of funds which are not highly correlated to equity markets’ returns.
No matter the direction of interest rates, or credit spreads in the near term, I believe your Funds are well positioned to achieve their longer term goals. The Thornburg Limited Term U.S. Government Fund and the Thornburg Limited Term Income Fund are laddered portfolios of short-to-intermediate bonds. This balances duration and yield in a way which is designed to provide, in our opinion, the best risk-adjusted bond returns over time. Intermediate bonds can provide stability to the underlying principal; they can provide income for your portfolio, and over time they have provided an attractive return versus money market instruments. Keep in mind that when the yield curve steepens, with two-year rates significantly below ten-year rates, the laddered portfolio strategy of an average intermediate duration will potentially be able to provide you significantly better returns than a cash or money market investment.
Thank you very much for investing in these Funds. I feel that the Thornburg Limited Term U.S. Government Fund and the Thornburg Limited Term Income Fund are appropriate investments for investors who are looking for a conservative income vehicle. While future performance cannot be guaranteed, Thornburg Investment Management will continue to strive to chart a steady course in what continues to be a volatile marketplace.
Sincerely,
![]() |
Jason H. Brady, CFA Portfolio Manager |
Certified Semi-Annual Report | 7 |
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STATEMENTS OF ASSETS AND LIABILITIES | ||
Thornburg Limited Term Income Funds | March 31, 2008 (Unaudited) |
Limited Term U.S. Government Fund | Limited Term Income Fund | |||||||
ASSETS | ||||||||
Investments at value (cost $154,800,071 and $305,520,801, respectively) (Note 2) | $ | 159,526,991 | $ | 308,486,967 | ||||
Cash | 15,855,891 | 224,509 | ||||||
Receivable for investments sold | — | 110,000 | ||||||
Principal receivable | 1,042 | — | ||||||
Receivable for fund shares sold | 820,238 | 780,656 | ||||||
Interest receivable | 1,360,472 | 3,130,222 | ||||||
Prepaid expenses and other assets | 36,025 | 30,109 | ||||||
Total Assets | 177,600,659 | 312,762,463 | ||||||
LIABILITIES | ||||||||
Payable for securities purchased | 1,458,975 | 3,154,225 | ||||||
Payable for fund shares redeemed | 445,682 | 445,438 | ||||||
Payable to investment advisor and other affiliates (Note 3) | 111,372 | 189,847 | ||||||
Accounts payable and accrued expenses | 59,457 | 159,405 | ||||||
Dividends payable | 88,563 | 245,714 | ||||||
Total Liabilities | 2,164,049 | 4,194,629 | ||||||
NET ASSETS | $ | 175,436,610 | $ | 308,567,834 | ||||
NET ASSETS CONSIST OF: | ||||||||
Undistributed net investment income | $ | 30,440 | $ | 29,903 | ||||
Net unrealized appreciation on investments | 4,726,920 | 2,966,166 | ||||||
Accumulated net realized gain (loss) | (1,649,891 | ) | (5,571,261 | ) | ||||
Net capital paid in on shares of beneficial interest | 172,329,141 | 311,143,026 | ||||||
$ | 175,436,610 | $ | 308,567,834 | |||||
NET ASSET VALUE: | ||||||||
Class A Shares: | ||||||||
Net asset value and redemption price per share ($106,339,578 and $137,072,338 applicable to 7,908,477 and 10,881,711 shares of beneficial interest outstanding – Note 4) | $ | 13.45 | $ | 12.60 | ||||
Maximum sales charge, 1.50% of offering price | 0.20 | 0.19 | ||||||
Maximum offering price per share | $ | 13.65 | $ | 12.79 | ||||
Class B Shares: | ||||||||
Net asset value and offering price per share * ($3,043,417 applicable to 226,837 shares of beneficial interest outstanding – Note 4) | $ | 13.42 | $ | — | ||||
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STATEMENTS OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Limited Term Income Funds | March 31, 2008 (Unaudited) |
Limited Term U.S. Government Fund | Limited Term Income Fund | |||||
Class C Shares: | ||||||
Net asset value and offering price per share * ($40,154,658 and $46,799,951 applicable to 2,968,272 and 3,721,293 shares of beneficial interest outstanding – Note 4) | $ | 13.53 | $ | 12.58 | ||
Class I Shares: | ||||||
Net asset value, offering and redemption price per share ($20,052,898 and $117,031,890 applicable to 1,491,390 and 9,289,870 shares of beneficial interest outstanding – Note 4) | $ | 13.45 | $ | 12.60 | ||
Class R3 Shares: | ||||||
Net asset value, offering and redemption price per share ($5,846,059 and $7,663,655 applicable to 434,497 and 608,043 shares of beneficial interest outstanding – Note 4) | $ | 13.45 | $ | 12.60 | ||
* | 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 | 9 |
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STATEMENTS OF OPERATIONS | ||
Thornburg Limited Term Income Funds | Six Months Ended March 31, 2008 (Unaudited) |
Limited Term U.S. Government Fund | Limited Term Income Fund | |||||||
INVESTMENT INCOME: | ||||||||
Interest income (net of premium amortized of $298,398 and $216,951, respectively) | $ | 3,279,955 | $ | 7,899,561 | ||||
EXPENSES: | ||||||||
Investment advisory fees (Note 3) | 287,088 | 755,637 | ||||||
Administration fees (Note 3) | ||||||||
Class A Shares | 60,857 | 87,139 | ||||||
Class B Shares | 1,691 | 0 | ||||||
Class C Shares | 19,622 | 26,853 | ||||||
Class I Shares | 4,180 | 28,262 | ||||||
Class R3 Shares | 3,077 | 4,261 | ||||||
Distribution and service fees (Note 3) | ||||||||
Class A Shares | 121,714 | 174,278 | ||||||
Class B Shares | 13,563 | 0 | ||||||
Class C Shares | 157,748 | 215,393 | ||||||
Class R3 Shares | 12,349 | 17,074 | ||||||
Transfer agent fees | ||||||||
Class A Shares | 48,229 | 78,338 | ||||||
Class B Shares | 2,288 | 0 | ||||||
Class C Shares | 16,152 | 27,115 | ||||||
Class I Shares | 6,889 | 29,885 | ||||||
Class R3 Shares | 2,442 | 3,628 | ||||||
Registration and filing fees | ||||||||
Class A Shares | 7,513 | 9,198 | ||||||
Class B Shares | 7,284 | 0 | ||||||
Class C Shares | 7,689 | 7,776 | ||||||
Class I Shares | 7,469 | 9,325 | ||||||
Class R3 Shares | 8,139 | 8,358 | ||||||
Custodian fees (Note 3) | 27,956 | 42,244 | ||||||
Professional fees | 14,626 | 22,138 | ||||||
Accounting fees | 2,446 | 5,706 | ||||||
Trustee fees | 1,188 | 2,196 | ||||||
Other expenses | 15,693 | 33,494 | ||||||
Total Expenses | 857,892 | 1,588,298 | ||||||
Less: | ||||||||
Expenses reimbursed by investment advisor (Note 3) | (17,122 | ) | (107,305 | ) | ||||
Distribution fees waived (Note 3) | (78,874 | ) | (107,697 | ) | ||||
Fees paid indirectly (Note 3) | (2,591 | ) | (4,874 | ) | ||||
Net Expenses | 759,305 | 1,368,422 | ||||||
Net Investment Income | $ | 2,520,650 | $ | 6,531,139 | ||||
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STATEMENTS OF OPERATIONS, CONTINUED | ||
Thornburg Limited Term Income Funds | Six Months Ended March 31, 2008 (Unaudited) |
Limited Term U.S. Government Fund | Limited Term Income Fund | |||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||
Net realized gain (loss) on investments | $ | 298,193 | $ | 779,745 | ||
Net change in unrealized appreciation (depreciation) on investments | 5,106,444 | 3,900,419 | ||||
Net Realized and Unrealized Gain on Investments | 5,404,637 | 4,680,164 | ||||
Net Increase in Net Assets Resulting From Operations | $ | 7,925,287 | $ | 11,211,303 | ||
See notes to financial statements.
Certified Semi-Annual Report | 11 |
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STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Limited Term U.S. Government Fund
Six Months Ended March 31, 2008* | Year Ended September 30, 2007 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 2,520,650 | $ | 4,476,842 | ||||
Net realized gain (loss) on investments | 298,193 | (1,130,360 | ) | |||||
Increase (Decrease) in unrealized appreciation (depreciation) of investments | 5,106,444 | 3,591,635 | ||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 7,925,287 | 6,938,117 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (1,628,250 | ) | (3,111,314 | ) | ||||
Class B Shares | (27,777 | ) | (43,700 | ) | ||||
Class C Shares | (480,174 | ) | (730,241 | ) | ||||
Class I Shares | (303,422 | ) | (557,507 | ) | ||||
Class R3 Shares | (81,027 | ) | (134,180 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 11,283,263 | (16,914,982 | ) | |||||
Class B Shares | 365,645 | 69,320 | ||||||
Class C Shares | 13,546,469 | 19,577 | ||||||
Class I Shares | 3,488,230 | 797,088 | ||||||
Class R3 Shares | 1,274,357 | 730,067 | ||||||
Net Increase (Decrease) in Net Assets | 35,362,601 | (12,937,755 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 140,074,009 | 153,011,764 | ||||||
End of period | $ | 175,436,610 | $ | 140,074,009 | ||||
Undistributed net investment income | $ | 30,440 | $ | 30,440 |
* | Unaudited. |
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Limited Term Income Fund
Six Months Ended March 31, 2008* | Year Ended September 30, 2007 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 6,531,139 | $ | 13,360,036 | ||||
Net realized gain (loss) on investments | 779,745 | (2,488,007 | ) | |||||
Increase (Decrease) in unrealized appreciation (depreciation) of investments | 3,900,419 | 3,252,405 | ||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 11,211,303 | 14,124,434 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (2,951,990 | ) | (7,108,149 | ) | ||||
Class C Shares | (857,096 | ) | (1,590,499 | ) | ||||
Class I Shares | (2,577,484 | ) | (4,559,897 | ) | ||||
Class R3 Shares | (144,569 | ) | (201,476 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | (20,212,867 | ) | (35,890,344 | ) | ||||
Class C Shares | 5,414,092 | (3,689,930 | ) | |||||
Class I Shares | 11,798,120 | (8,312,790 | ) | |||||
Class R3 Shares | 1,377,277 | 2,841,946 | ||||||
Net Increase (Decrease) in Net Assets | 3,056,786 | (44,386,705 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 305,511,048 | 349,897,753 | ||||||
End of period | $ | 308,567,834 | $ | 305,511,048 | ||||
Undistributed net investment income | $ | 29,903 | $ | 29,903 |
* | Unaudited. |
See notes to financial statements.
Certified Semi-Annual Report | 13 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Limited Term Income Funds | March 31, 2008 (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 twelve 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 Intermediate Municipal Fund, Thornburg New Mexico Intermediate Municipal Fund, Thornburg New York Intermediate Municipal Fund, Thornburg Value Fund, Thornburg International Value Fund, Thornburg Core Growth Fund, Thornburg Investment Income Builder Fund, Thornburg Global Opportunities Fund, Thornburg International Growth Fund, and Thornburg Strategic Income 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’ primary 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. As a secondary objective, the Funds seek to reduce expected changes in their share prices compared to longer term portfolios.
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 R3) 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 R3) shares. Each class of shares of the Funds 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 within one year, 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 R3 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 may have different reinvestment privileges and conversion rights. Additionally, each Fund may allocate among its classes certain expenses, to the extent allowable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Funds are limited to distribution and service fees, administration 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 Securities: Debt securities have a primary market over the counter and are valued by an independent pricing service approved by the Trustees of the Trust. The pricing service ordinarily values debt securities at quoted bid prices. Quotations for any foreign debt securities in foreign currencies are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation. When quotations are not available, debt securities are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt securities of comparable quality, type of issue, coupon, maturity, and rating; indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
In any case where a pricing service fails to provide a price for a debt security held by the Funds, the valuation and pricing committee determines a fair value for the security using factors approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt security may be unreliable, the valuation and pricing committee decides whether or not to use the pricing service’s valuation or to determine a fair value for the security.
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 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
14 | Certified Semi-Annual Report
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Income Funds | March 31, 2008 (Unaudited) |
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 realized 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 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. Paydown gains and losses on these securities are included in interest income. 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 liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
Use of Estimates: The preparation of financial statements, in conformity with generally accepted accounting principles, requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, Thornburg Investment Management, Inc. (the “Advisor”) serves as the investment advisor and performs services to the Funds for which the fees are payable at the end of each month. For the six months ended March 31, 2008, 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 has entered into administrative services agreements with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of each Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to Class A, Class B, Class C, and Class R3 shares, and up to .05 of 1% per annum of the average daily net assets attributable to Class I shares. For the six months ended March 31, 2008, the Advisor voluntarily reimbursed certain class specific expenses and administrative fees of $754, $1,928, $1,674, and $12,766 for the Class B, C, I, and R3 shares, respectively, of the Government Fund and $54,184, $24,761, $9,481, and $18,879 for the Class A, C, I, and R3 shares, respectively, of the Income Fund.
The Trust has an underwriting agreement with Thornburg Securities Corporation (the “Distributor”, an affiliate of the Advisor), which acts as the distributor of each Fund’s shares. For the six months ended March 31, 2008, the Distributor has advised the Funds that they earned net commissions aggregating $22 from the sale of Class A shares of the Government Fund, reimbursed $117 from the sale of Class A shares of the Income Fund, and collected contingent deferred sales charges aggregating $6,754 and $2,124 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 the average daily net assets attributable to the Class A, Class B, Class C, and Class R3 shares of the Funds for payments made by the
Certified Semi-Annual Report | 15 |
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Income Funds | March 31, 2008 (Unaudited) |
Advisor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. The Advisor may pay out of its own resources additional expenses for distribution of each Fund’s shares.
The Trust has also adopted distribution plans pursuant to Rule 12b-1, applicable to each Fund’s Class B, Class C, and Class R3 shares under which the Funds compensate the Distributor for services in promoting the sale of Class B, C, and R3 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 classes. Total fees incurred by the Distributor for each class of shares of the Funds under their respective Service and Distribution Plans for the six months ended March 31, 2008, are set forth in the Statements of Operations. Distribution fees of $78,874 and $107,697, 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 each Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees have been adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the Statements of Operations. For the six months ended March 31, 2008, fees paid indirectly were $2,591 for the Government Fund and $4,874 for the Income Fund. These figures may include additional fees waived by the Custodian.
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, 2008, 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, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | ||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 1,767,318 | $ | 23,478,087 | 1,276,492 | $ | 16,340,009 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 99,347 | 1,318,723 | 190,598 | 2,442,071 | ||||||||||
Shares repurchased | (1,020,058 | ) | (13,513,547 | ) | (2,790,433 | ) | (35,697,062 | ) | ||||||
Net Increase (Decrease) | 846,607 | $ | 11,283,263 | (1,323,343 | ) | $ | (16,914,982 | ) | ||||||
Class B Shares | ||||||||||||||
Shares sold | 78,362 | $ | 1,043,307 | 67,148 | $ | 859,574 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 1,531 | 20,259 | 2,341 | 29,948 | ||||||||||
Shares repurchased | (52,911 | ) | (697,921 | ) | (64,214 | ) | (820,202 | ) | ||||||
Net Increase (Decrease) | 26,982 | $ | 365,645 | 5,275 | $ | 69,320 | ||||||||
Class C Shares | ||||||||||||||
Shares sold | 1,707,494 | $ | 22,874,454 | 805,083 | $ | 10,391,015 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 27,775 | 371,428 | 44,908 | 578,910 | ||||||||||
Shares repurchased | (726,873 | ) | (9,699,413 | ) | (849,163 | ) | (10,950,348 | ) | ||||||
Net Increase (Decrease) | 1,008,396 | $ | 13,546,469 | 828 | $ | 19,577 | ||||||||
16 | Certified Semi-Annual Report |
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Income Funds | March 31, 2008 (Unaudited) |
GOVERNMENT FUND (cont.) | Six Months Ended March 31, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | ||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class I Shares | ||||||||||||||
Shares sold | 448,854 | $ | 5,966,128 | 449,065 | $ | 5,745,316 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 18,450 | 244,938 | 36,249 | 464,437 | ||||||||||
Shares repurchased | (207,154 | ) | (2,722,836 | ) | (422,642 | ) | (5,412,665 | ) | ||||||
Net Increase (Decrease) | 260,150 | $ | 3,488,230 | 62,672 | $ | 797,088 | ||||||||
Class R3 Shares | ||||||||||||||
Shares sold | 136,675 | $ | 1,822,102 | 202,447 | $ | 2,596,860 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 5,890 | 78,276 | 10,191 | 130,690 | ||||||||||
Shares repurchased | (47,065 | ) | (626,021 | ) | (155,073 | ) | (1,997,483 | ) | ||||||
Net Increase (Decrease) | 95,500 | $ | 1,274,357 | 57,565 | $ | 730,067 | ||||||||
INCOME FUND | Six Months Ended March 31, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | ||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 1,694,041 | $ | 21,331,499 | 2,831,583 | $ | 34,951,535 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 183,613 | 2,312,277 | 452,077 | 5,583,769 | ||||||||||
Shares repurchased | (3,500,228 | ) | (43,856,643 | ) | (6,196,310 | ) | (76,425,648 | ) | ||||||
Net Increase (Decrease) | (1,622,574 | ) | $ | (20,212,867 | ) | (2,912,650 | ) | $ | (35,890,344 | ) | ||||
Class C Shares | ||||||||||||||
Shares sold | 863,080 | $ | 10,890,604 | 590,334 | $ | 7,262,571 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 49,308 | 620,122 | 93,760 | 1,156,118 | ||||||||||
Shares repurchased | (484,818 | ) | (6,096,634 | ) | (982,996 | ) | (12,108,619 | ) | ||||||
Net Increase (Decrease) | 427,570 | $ | 5,414,092 | (298,902 | ) | $ | (3,689,930 | ) | ||||||
Class I Shares | ||||||||||||||
Shares sold | 2,121,244 | $ | 26,673,558 | 1,954,926 | $ | 24,120,287 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 173,579 | 2,186,271 | 335,119 | 4,139,507 | ||||||||||
Shares repurchased | (1,355,012 | ) | (17,061,709 | ) | (2,957,329 | ) | (36,572,584 | ) | ||||||
Net Increase (Decrease) | 939,811 | $ | 11,798,120 | (667,284 | ) | $ | (8,312,790 | ) | ||||||
Class R3 Shares | ||||||||||||||
Shares sold | 216,364 | $ | 2,724,961 | 320,679 | $ | 3,961,502 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 9,624 | 121,267 | 13,801 | 170,430 | ||||||||||
Shares repurchased | (117,045 | ) | (1,468,951 | ) | (104,551 | ) | (1,289,986 | ) | ||||||
Net Increase (Decrease) | 108,943 | $ | 1,377,277 | 229,929 | $ | 2,841,946 | ||||||||
Certified Semi-Annual Report | 17 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Income Funds | March 31, 2008 (Unaudited) |
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2008, the Government Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $29,456,690 and $12,000,511, respectively, while the Income Fund had purchase and sale transactions of investment securities (excluding short-term investments and U.S. Government obligations) of $64,846,350 and $48,067,166, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2008, information on the tax components of capital is as follows:
Government Fund | Income Fund | |||||||
Cost of investments for tax purposes | $ | 154,800,071 | $ | 305,575,391 | ||||
Gross unrealized appreciation on a tax basis | $ | 4,839,410 | $ | 6,590,238 | ||||
Gross unrealized depreciation on a tax basis | (112,490 | ) | (3,678,662 | ) | ||||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 4,726,920 | $ | 2,911,576 | ||||
At March 31, 2008, the Government Fund had tax basis capital losses, which may be carried forward to offset future capital gains. Such capital loss carryforwards expire as follows:
2009 | $ | 674,873 | |
2010 | 13,611 | ||
2014 | 3,770 | ||
2015 | 108,190 | ||
$ | 800,444 | ||
At March 31, 2008, the Income Fund had tax basis capital losses, which may be carried forward to offset future capital gains. Such capital loss carryforwards expire as follows:
2008 | $ | 497,824 | |
2009 | 650,941 | ||
2010 | 308,333 | ||
2013 | 1,625,980 | ||
2014 | 601,391 | ||
2015 | 178,155 | ||
$ | 3,862,624 | ||
As of March 31, 2008, the Government Fund had deferred tax basis capital losses occurring subsequent to October 31, 2006 of $1,147,640. For tax purposes, such losses will be reflected in the year ending September 30, 2008. Unutilized tax basis capital losses may be carried forward to offset realized gains in future years. To the extent such carryforwards are used, capital gains distributions may be reduced to the extent provided by regulations.
As of March 31, 2008, the Income Fund had deferred tax basis capital losses occurring subsequent to October 31, 2006 of $2,433,792. For tax purposes, such losses will be reflected in the year ending September 30, 2008.
OTHER NOTES:
FASB Interpretation No. 48:
On July 13, 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes - an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation prescribes a model for how a company, including the Funds, should recognize, measure, present and disclose in its financial statements uncertain tax positions that the company has taken or expects to take on income tax returns, and also revises certain disclosure requirements. The Interpretation became effective for the Funds for the financial statement reporting period ended March 31, 2008. As of the date of this report, management of the Funds have not identified any material effect on the Funds’ financial statements resulting from the implementation of FIN 48.
Statement of Accounting Standards No. 157:
On September 15, 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 defines fair value, provides guidelines for measuring fair value in accordance with generally accepted accounting principles, and addresses disclosures about fair value measurements. FAS 157 establishes a fair value hierarchy that distinguishes between (i) market participant assumptions developed based upon market data obtained from sources independent of the reporting entity (observable inputs) and (ii) the entity’s own assumptions about market participant assumptions developed based upon the best information available under the circumstances (unobservable inputs). FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and is to be applied prospectively as of the beginning of the first fiscal year for which FAS 157 is applied. Management is evaluating FAS 157, and is not in a position at this time to estimate the significance of its impact, if any, on the Funds’ financial statements.
18 | Certified Semi-Annual Report |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Income Funds | March 31, 2008 (Unaudited) |
Statement of Accounting Standards No. 161:
In March 2008, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”). FAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. FAS 161 requires enhanced disclosures about any derivative and hedging activities, by the Funds, including how such activities are accounted for and any effect on the Funds’ financial position, performance, and cash flows. Management is evaluating the impact, if any, that the adoption of FAS 161 will have on the Funds’ financial statements and related disclosures.
Certified Semi-Annual Report | 19 |
Table of Contents
FINANCIAL HIGHLIGHTS | ||
Thornburg Limited Term U.S. Government Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Class A Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.97 | $ | 12.75 | $ | 12.76 | $ | 13.01 | $ | 13.23 | $ | 13.27 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.22 | 0.40 | 0.37 | 0.32 | 0.35 | 0.47 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.48 | 0.23 | (0.01 | ) | (0.24 | ) | (0.22 | ) | (0.04 | ) | ||||||||||||||
Total from investment operations | 0.70 | 0.63 | 0.36 | 0.08 | 0.13 | 0.43 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.22 | ) | (0.41 | ) | (0.37 | ) | (0.33 | ) | (0.35 | ) | (0.47 | ) | ||||||||||||
Change in net asset value | 0.48 | 0.22 | (0.01 | ) | (0.25 | ) | (0.22 | ) | (0.04 | ) | ||||||||||||||
NET ASSET VALUE, end of period | $ | 13.45 | $ | 12.97 | $ | 12.75 | $ | 12.76 | $ | 13.01 | $ | 13.23 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (%)(a) | 5.44 | 5.03 | 2.87 | 0.66 | 1.04 | 3.29 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | 3.34 | (b) | 3.13 | 2.90 | 2.50 | 2.72 | 3.53 | |||||||||||||||||
Expenses, after expense reductions (%) | 0.95 | (b) | 0.98 | 0.99 | 0.99 | 0.92 | 0.92 | |||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.94 | (b) | 0.97 | 0.96 | 0.98 | 0.91 | 0.90 | |||||||||||||||||
Expenses, before expense reductions (%) | 0.95 | (b) | 0.99 | 0.99 | 0.99 | 0.92 | 0.92 | |||||||||||||||||
Portfolio turnover rate (%) | 8.28 | 43.35 | 7.47 | 18.00 | 12.39 | 35.06 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 106,340 | $ | 91,561 | $ | 106,913 | $ | 138,422 | $ | 163,530 | $ | 176,876 |
(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. |
* | Unaudited. |
See notes to the financial statements.
20 | Certified Semi-Annual Report |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Limited Term U.S. Government Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, | Period Ended Sept. 30, 2003(a) | ||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | |||||||||||||||||||||
Class B Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.94 | $ | 12.72 | $ | 12.73 | $ | 12.98 | $ | 13.22 | $ | 13.12 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.14 | 0.22 | 0.18 | 0.13 | 0.21 | 0.37 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.48 | 0.23 | (0.01 | ) | (0.24 | ) | (0.24 | ) | 0.10 | |||||||||||||||
Total from investment operations | 0.62 | 0.45 | 0.17 | (0.11 | ) | (0.03 | ) | 0.47 | ||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.14 | ) | (0.23 | ) | (0.18 | ) | (0.14 | ) | (0.21 | ) | (0.37 | ) | ||||||||||||
Change in net asset value | 0.48 | 0.22 | (0.01 | ) | (0.25 | ) | (0.24 | ) | 0.10 | |||||||||||||||
NET ASSET VALUE, end of period | $ | 13.42 | $ | 12.94 | $ | 12.72 | $ | 12.73 | $ | 12.98 | $ | 13.22 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (%)(b) | 4.78 | 3.55 | 1.32 | (0.82 | ) | (0.24 | ) | 3.60 | ||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | 2.05 | (c) | 1.73 | 1.41 | 1.03 | 1.65 | 2.93 | (c) | ||||||||||||||||
Expenses, after expense reductions (%) | 2.24 | (c) | 2.40 | 2.51 | 2.46 | 1.99 | 1.35 | (c) | ||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 2.23 | (c) | 2.39 | 2.48 | 2.45 | 1.99 | 1.33 | (c) | ||||||||||||||||
Expenses, before expense reductions (%) | 2.29 | (c) | 2.63 | 3.21 | 2.86 | 2.74 | 3.32 | (c) | ||||||||||||||||
Portfolio turnover rate (%) | 8.28 | 43.35 | 7.47 | 18.00 | 12.39 | 35.06 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 3,043 $ | $ | 2,586 | $ | 2,476 | $ | 1,875 | $ | 2,396 | $ | 3,073 |
(a) | Effective date of this class of shares was November 1, 2002. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report | 21 |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Limited Term U.S. Government Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Class C Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.04 | $ | 12.83 | $ | 12.84 | $ | 13.09 | $ | 13.31 | $ | 13.35 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.20 | 0.37 | 0.34 | 0.29 | 0.31 | 0.43 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.49 | 0.22 | (0.01 | ) | (0.24 | ) | (0.22 | ) | (0.04 | ) | ||||||||||||||
Total from investment operations | 0.69 | 0.59 | 0.33 | 0.05 | 0.09 | 0.39 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.20 | ) | (0.38 | ) | (0.34 | ) | (0.30 | ) | (0.31 | ) | (0.43 | ) | ||||||||||||
Change in net asset value | 0.49 | 0.21 | (0.01 | ) | (0.25 | ) | (0.22 | ) | (0.04 | ) | ||||||||||||||
NET ASSET VALUE, end of period | $ | 13.53 | $ | 13.04 | $ | 12.83 | $ | 12.84 | $ | 13.09 | $ | 13.31 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (%)(a) | 5.36 | 4.66 | 2.60 | 0.41 | 0.73 | 2.96 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | 3.06 | (b) | 2.88 | 2.63 | 2.24 | 2.40 | 3.14 | |||||||||||||||||
Expenses, after expense reductions (%) | 1.22 | (b) | 1.25 | 1.26 | 1.25 | 1.24 | 1.24 | |||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 1.22 | (b) | 1.24 | 1.23 | 1.24 | 1.24 | 1.22 | |||||||||||||||||
Expenses, before expense reductions (%) | 1.74 | (b) | 1.80 | 1.79 | 1.79 | 1.76 | 1.76 | |||||||||||||||||
Portfolio turnover rate (%) | 8.28 | 43.35 | 7.47 | 18.00 | 12.39 | 35.06 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 40,155 | $ | 25,566 | $ | 25,132 | $ | 32,821 | $ | 43,404 | $ | 56,166 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
22 | Certified Semi-Annual Report |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Limited Term U.S. Government Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.97 | $ | 12.75 | $ | 12.76 | $ | 13.01 | $ | 13.22 | $ | 13.27 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.24 | 0.44 | 0.41 | 0.36 | 0.39 | 0.51 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.48 | 0.23 | (0.01 | ) | (0.24 | ) | (0.21 | ) | (0.05 | ) | ||||||||||||||
Total from investment operations | 0.72 | 0.67 | 0.40 | 0.12 | 0.18 | 0.46 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.24 | ) | (0.45 | ) | (0.41 | ) | (0.37 | ) | (0.39 | ) | (0.51 | ) | ||||||||||||
Change in net asset value | 0.48 | 0.22 | (0.01 | ) | (0.25 | ) | (0.21 | ) | (0.05 | ) | ||||||||||||||
NET ASSET VALUE, end of period | $ | 13.45 | $ | 12.97 | $ | 12.75 | $ | 12.76 | $ | 13.01 | $ | 13.22 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (%)(a) | 5.60 | 5.35 | 3.19 | 0.95 | 1.37 | 3.51 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | 3.63 | (b) | 3.45 | 3.22 | 2.82 | 2.95 | 3.77 | |||||||||||||||||
Expenses, after expense reductions (%) | 0.66 | (b) | 0.68 | 0.68 | 0.68 | 0.67 | 0.64 | |||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.65 | (b) | 0.67 | 0.65 | 0.67 | 0.67 | 0.62 | |||||||||||||||||
Expenses, before expense reductions (%) | 0.68 | (b) | 0.74 | 0.78 | 0.80 | 0.77 | 0.82 | |||||||||||||||||
Portfolio turnover rate (%) | 8.28 | 43.35 | 7.47 | 18.00 | 12.39 | 35.06 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 20,053 | $ | 15,963 | $ | 14,900 | $ | 16,075 | $ | 12,905 | $ | 13,085 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report | 23 |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Limited Term U.S. Government Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, | Period Ended Sept. 30, 2003(a) | ||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | |||||||||||||||||||||
Class R3 Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.97 | $ | 12.76 | $ | 12.77 | $ | 13.02 | $ | 13.23 | $ | 13.38 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.22 | 0.40 | 0.37 | 0.34 | 0.37 | 0.17 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.48 | 0.22 | (0.01 | ) | (0.25 | ) | (0.21 | ) | (0.15 | ) | ||||||||||||||
Total from investment operations | 0.70 | 0.62 | 0.36 | 0.09 | 0.16 | 0.02 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.22 | ) | (0.41 | ) | (0.37 | ) | (0.34 | ) | (0.37 | ) | (0.17 | ) | ||||||||||||
Change in net asset value | 0.48 | 0.21 | (0.01 | ) | (0.25 | ) | (0.21 | ) | (0.15 | ) | ||||||||||||||
NET ASSET VALUE, end of period | $ | 13.45 | $ | 12.97 | $ | 12.76 | $ | 12.77 | $ | 13.02 | $ | 13.23 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (%)(b) | 5.42 | 4.93 | 2.86 | 0.72 | 1.26 | 0.19 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | 3.29 | (c) | 3.15 | 2.90 | 2.66 | 2.62 | 5.07 | (c) | ||||||||||||||||
Expenses, after expense reductions (%) | 0.99 | (c) | 1.00 | 1.00 | 0.93 | 0.91 | 1.15 | (c) | ||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.99 | (c) | 0.99 | 0.97 | 0.91 | 0.91 | 1.15 | (c) | ||||||||||||||||
Expenses, before expense reductions (%) | 1.51 | (c) | 1.64 | 1.55 | 3.55 | 13.56 | 41,652.81 | (c)(d) | ||||||||||||||||
Portfolio turnover rate (%) | 8.28 | 43.35 | 7.47 | 18.00 | 12.39 | 35.06 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 5,846 | $ | 4,398 | $ | 3,591 | $ | 3,008 | $ | 422 | $ | — | (e) |
(a) | Effective date of this class of shares was July 1, 2003. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
(d) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
(e) | Net assets at the end of the year were less than $1,000. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
24 | Certified Semi-Annual Report |
Table of Contents
Thornburg Limited Term Income Fund
Six Months Ended March 31, 2008* | Year Ended September 30, | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Class A Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.40 | $ | 12.37 | $ | 12.51 | $ | 12.80 | $ | 12.99 | $ | 12.79 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.27 | 0.50 | 0.50 | 0.46 | 0.43 | 0.51 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.20 | 0.04 | (0.14 | ) | (0.28 | ) | (0.19 | ) | 0.20 | |||||||||||||||
Total from investment operations | 0.47 | 0.54 | 0.36 | 0.18 | 0.24 | 0.71 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.27 | ) | (0.51 | ) | (0.50 | ) | (0.47 | ) | (0.43 | ) | (0.51 | ) | ||||||||||||
Change in net asset value | 0.20 | 0.03 | (0.14 | ) | (0.29 | ) | (0.19 | ) | 0.20 | |||||||||||||||
NET ASSET VALUE, end of period | $ | 12.60 | $ | 12.40 | $ | 12.37 | $ | 12.51 | $ | 12.80 | $ | 12.99 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (%)(a) | 3.78 | 4.43 | 2.96 | 1.44 | 1.96 | 5.56 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | 4.23 | (b) | 4.07 | 4.05 | 3.52 | 3.33 | 3.91 | |||||||||||||||||
Expenses, after expense reductions (%) | 0.99 | (b) | 1.00 | 1.00 | 1.00 | 0.99 | 0.99 | |||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.99 | (b) | 0.99 | 0.99 | 0.99 | 0.99 | 0.99 | |||||||||||||||||
Expenses, before expense reductions (%) | 1.07 | (b) | 1.08 | 1.09 | 1.09 | 1.07 | 1.04 | |||||||||||||||||
Portfolio turnover rate (%) | 21.76 | 41.55 | 6.77 | 23.16 | 22.73 | 18.86 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 137,072 | $ | 155,021 | $ | 190,670 | $ | 212,881 | $ | 230,256 | $ | 184,497 |
(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. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report | 25 |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Limited Term Income Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Class C Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.38 | $ | 12.35 | $ | 12.49 | $ | 12.78 | $ | 12.97 | $ | 12.77 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.25 | 0.47 | 0.47 | 0.43 | 0.40 | 0.46 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.20 | 0.03 | (0.14 | ) | (0.28 | ) | (0.19 | ) | 0.20 | |||||||||||||||
Total from investment operations | 0.45 | 0.50 | 0.33 | 0.15 | 0.21 | 0.66 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.25 | ) | (0.47 | ) | (0.47 | ) | (0.44 | ) | (0.40 | ) | (0.46 | ) | ||||||||||||
Change in net asset value | 0.20 | 0.03 | (0.14 | ) | (0.29 | ) | (0.19 | ) | 0.20 | |||||||||||||||
NET ASSET VALUE, end of period | $ | 12.58 | $ | 12.38 | $ | 12.35 | $ | 12.49 | $ | 12.78 | $ | 12.97 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA |
| |||||||||||||||||||||||
Total return (%)(a) | 3.65 | 4.17 | 2.71 | 1.19 | 1.70 | 5.20 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | 3.99 | (b) | 3.82 | 3.79 | 3.27 | 3.07 | 3.56 | |||||||||||||||||
Expenses, after expense reductions (%) | 1.24 | (b) | 1.24 | 1.25 | 1.25 | 1.25 | 1.33 | |||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 1.24 | (b) | 1.24 | 1.24 | 1.24 | 1.24 | 1.33 | |||||||||||||||||
Expenses, before expense reductions (%) | 1.86 | (b) | 1.89 | 1.87 | 1.88 | 1.87 | 1.92 | |||||||||||||||||
Portfolio turnover rate (%) | 21.76 | 41.55 | 6.77 | 23.16 | 22.73 | 18.86 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 46,800 | $ | 40,769 | $ | 44,361 | $ | 59,355 | $ | 65,398 | $ | 54,926 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
26 | Certified Semi-Annual Report |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Limited Term Income Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.40 | $ | 12.37 | $ | 12.51 | $ | 12.80 | $ | 12.99 | $ | 12.79 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.29 | 0.54 | 0.54 | 0.51 | 0.47 | 0.55 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.20 | 0.04 | (0.14 | ) | (0.29 | ) | (0.19 | ) | 0.20 | |||||||||||||||
Total from investment operations | 0.49 | 0.58 | 0.40 | 0.22 | 0.28 | 0.75 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.29 | ) | (0.55 | ) | (0.54 | ) | (0.51 | ) | (0.47 | ) | (0.55 | ) | ||||||||||||
Change in net asset value | 0.20 | 0.03 | (0.14 | ) | (0.29 | ) | (0.19 | ) | 0.20 | |||||||||||||||
NET ASSET VALUE, end of period | $ | 12.60 | $ | 12.40 | $ | 12.37 | $ | 12.51 | $ | 12.80 | $ | 12.99 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (%)(a) | 3.95 | 4.76 | 3.30 | 1.77 | 2.29 | 5.89 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | 4.56 | (b) | 4.39 | 4.38 | 3.85 | 3.64 | 4.23 | |||||||||||||||||
Expenses, after expense reductions (%) | 0.67 | (b) | 0.67 | 0.68 | 0.67 | 0.67 | 0.69 | |||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.67 | (b) | 0.67 | 0.67 | 0.67 | 0.67 | 0.69 | |||||||||||||||||
Expenses, before expense reductions (%) | 0.69 | (b) | 0.72 | 0.72 | 0.72 | 0.72 | 0.76 | |||||||||||||||||
Portfolio turnover rate (%) | 21.76 | 41.55 | 6.77 | 23.16 | 22.73 | 18.86 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 117,032 | $ | 103,530 | $ | 111,535 | $ | 99,396 | $ | 90,025 | $ | 59,473 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report | 27 |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Limited Term Income Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, | Period Ended Sept. 30, 2003(a) | ||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | |||||||||||||||||||||
Class R3 Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.40 | $ | 12.38 | $ | 12.52 | $ | 12.81 | $ | 12.99 | $ | 13.10 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.27 | 0.50 | 0.50 | 0.48 | 0.45 | 0.17 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.20 | 0.03 | (0.14 | ) | (0.30 | ) | (0.18 | ) | (0.11 | ) | ||||||||||||||
Total from investment operations | 0.47 | 0.53 | 0.36 | 0.18 | 0.27 | 0.06 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.27 | ) | (0.51 | ) | (0.50 | ) | (0.47 | ) | (0.45 | ) | (0.17 | ) | ||||||||||||
Change in net asset value | 0.20 | 0.02 | (0.14 | ) | (0.29 | ) | (0.18 | ) | (0.11 | ) | ||||||||||||||
NET ASSET VALUE, end of period | $ | 12.60 | $ | 12.40 | $ | 12.38 | $ | 12.52 | $ | 12.81 | $ | 12.99 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (%)(b) | 3.78 | 4.34 | 2.97 | 1.43 | 2.14 | 0.48 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | 4.24 | (c) | 4.09 | 4.07 | 3.57 | 3.41 | 5.19 | (c) | ||||||||||||||||
Expenses, after expense reductions (%) | 0.99 | (c) | 0.99 | 1.00 | 1.00 | 0.98 | 1.25 | (c) | ||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.99 | (c) | 0.99 | 0.99 | 0.99 | 0.98 | 1.25 | (c) | ||||||||||||||||
Expenses, before expense reductions (%) | 1.55 | (c) | 1.71 | 1.79 | 3.15 | 7.63 | 41,534.94 | (c)(d) | ||||||||||||||||
Portfolio turnover rate (%) | 21.76 | 41.55 | 6.77 | 23.16 | 22.73 | 18.86 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 7,664 | $ | 6,191 | $ | 3,331 | $ | 2,162 | $ | 911 | $ | — | (e) |
(a) | Effective date of this class of shares was July 1, 2003. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
(d) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
(e) | Net assets at the end of the year were less than $1,000. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
28 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS | ||
Thornburg Limited Term U.S. Government Fund | March 31, 2008 (Unaudited) |
CUSIPS: CLASS A – 885-215-103, CLASS B – 885-215-848, CLASS C – 885-215-830, CLASS I – 885-215-699, CLASS R3 – 885-215-491
NASDAQ SYMBOLS: CLASS A – LTUSX, CLASS B – LTUBX, CLASS C – LTUCX, CLASS I – LTUIX, CLASS R3 – LTURX
Issuer-Description | Principal Amount | Value | ||||
U.S. TREASURY SECURITIES — 34.22% | ||||||
United States Treasury Notes, 2.625% due 5/15/2008 | $ | 9,000,000 | $ | 9,016,172 | ||
United States Treasury Notes, 5.50% due 5/15/2009 | 8,000,000 | 8,353,750 | ||||
United States Treasury Notes, 3.625% due 1/15/2010 | 16,000,000 | 16,578,751 | ||||
United States Treasury Notes, 4.625% due 10/31/2011 | 2,000,000 | 2,179,688 | ||||
United States Treasury Notes, 3.625% due 5/15/2013 | 11,000,000 | 11,617,891 | ||||
United States Treasury Notes, 4.75% due 5/15/2014 | 3,000,000 | 3,365,156 | ||||
United States Treasury Notes, 4.875% due 8/15/2016 | 6,000,000 | 6,720,000 | ||||
United States Treasury Notes, 4.625% due 2/15/2017 | 2,000,000 | 2,195,625 | ||||
TOTAL U.S. TREASURY SECURITIES (Cost $57,273,704) | 60,027,033 | |||||
U.S. GOVERNMENT AGENCIES — 56.71% | ||||||
Federal Agricultural Mtg Corp., 6.71% due 7/28/2014 | 200,000 | 231,689 | ||||
Federal Farm Credit Bank, 5.875% due 7/28/2008 | 1,900,000 | 1,923,785 | ||||
Federal Farm Credit Bank, 5.87% due 9/2/2008 | 1,300,000 | 1,320,374 | ||||
Federal Farm Credit Bank, 5.35% due 12/11/2008 | 200,000 | 204,356 | ||||
Federal Farm Credit Bank, 5.80% due 3/19/2009 | 300,000 | 310,317 | ||||
Federal Farm Credit Bank, 6.75% due 7/7/2009 | 350,000 | 369,799 | ||||
Federal Farm Credit Bank, 6.06% due 5/28/2013 | 240,000 | 268,356 | ||||
Federal Home Loan Bank, 5.48% due 1/8/2009 | 1,250,000 | 1,281,303 | ||||
Federal Home Loan Bank, 5.985% due 4/9/2009 | 1,000,000 | 1,038,882 | ||||
Federal Home Loan Bank, 5.79% due 4/27/2009 | 200,000 | 207,627 | ||||
Federal Home Loan Bank, 5.125% due 4/29/2009 | 1,750,000 | 1,804,707 | ||||
Federal Home Loan Bank, 4.125% due 8/13/2010 | 7,000,000 | 7,261,885 | ||||
Federal Home Loan Mtg Corp., CMO Series 00246, 5.50% due 5/15/2034 | 1,392,429 | 1,429,991 | ||||
Federal Home Loan Mtg Corp., CMO Series 1321 Class TE, 7.00% due 8/15/2022 | 902,696 | 902,696 | ||||
Federal Home Loan Mtg Corp., CMO Series 1616 Class E, 6.50% due 11/15/2008 | 217,741 | 219,183 | ||||
Federal Home Loan Mtg Corp., CMO Series 2509 Class TV, 5.50% due 4/15/2022 | 2,500,000 | 2,577,039 | ||||
Federal Home Loan Mtg Corp., CMO Series 2592 Class PD, 5.00% due 7/15/2014 | 977,614 | 976,108 | ||||
Federal Home Loan Mtg Corp., CMO Series 2744 Class JG, 5.00% due 8/15/2032 | 1,500,000 | 1,491,632 | ||||
Federal Home Loan Mtg Corp., CMO Series 2764 Class UE, 5.00% due 10/15/2032 | 2,000,000 | 1,982,160 | ||||
Federal Home Loan Mtg Corp., CMO Series 2802 Class NE, 5.00% due 2/15/2033 | 1,470,000 | 1,461,640 | ||||
Federal Home Loan Mtg Corp., CMO Series 2814 Class GB, 5.00% due 6/15/2019 | 1,177,627 | 1,179,508 | ||||
Federal Home Loan Mtg Corp., CMO Series 2825 Class VP, 5.50% due 6/15/2015 | 1,484,645 | 1,530,953 | ||||
Federal Home Loan Mtg Corp., CMO Series 2901 Class UB, 5.00% due 3/15/2033 | 2,400,000 | 2,381,781 | ||||
Federal Home Loan Mtg Corp., CMO Series 3067 Class PJ, 5.50% due 7/15/2031 | 3,000,000 | 3,076,182 | ||||
Federal Home Loan Mtg Corp., CMO Series 3078 Class PC, 5.50% due 11/15/2030 | 2,250,000 | 2,311,583 | ||||
Federal Home Loan Mtg Corp., CMO Series 3138 Class PC, 5.50% due 6/15/2032 | 5,000,000 | 5,152,603 | ||||
Federal Home Loan Mtg Corp., CMO Series 3192 Class GB, 6.00% due 1/15/2031 | 1,000,000 | 1,028,937 | ||||
Federal Home Loan Mtg Corp., CMO Series 3216 Class NA, 6.00% due 5/15/2028 | 1,913,015 | 1,952,881 | ||||
Federal Home Loan Mtg Corp., CMO Series 3320 Class TC, 5.50% due 10/15/2032 | 2,000,000 | 2,060,943 | ||||
Federal Home Loan Mtg Corp., CMO Series 3331 Class PB, 6.00% due 1/15/2031 | 2,000,000 | 2,069,992 | ||||
Federal Home Loan Mtg Corp., CMO Series R012 Class AB, 5.50% due 12/15/2020 | 3,582,358 | 3,671,028 | ||||
Federal Home Loan Mtg Corp., Pool # 141412, 8.50% due 4/1/2017 | 37,257 | 41,293 | ||||
Federal Home Loan Mtg Corp., Pool # 1N1736, 5.43% due 4/1/2037 | 2,018,667 | 2,054,445 | ||||
Federal Home Loan Mtg Corp., Pool # 252986, 10.75% due 4/1/2010 | 11,433 | 11,961 | ||||
Federal Home Loan Mtg Corp., Pool # 298107, 10.25% due 8/1/2017 | 24,052 | 27,769 | ||||
Federal Home Loan Mtg Corp., Pool # C90041, 6.50% due 11/1/2013 | 26,214 | 27,421 |
Certified Semi-Annual Report | 29 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term U.S. Government Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Principal Amount | Value | ||||
Federal Home Loan Mtg Corp., Pool # D37120, 7.00% due 7/1/2023 | $ | 34,527 | $ | 36,752 | ||
Federal Home Loan Mtg Corp., Pool # E49074, 6.50% due 7/1/2008 | 1,699 | 1,760 | ||||
Federal National Mtg Assoc, 5.125% due 12/8/2008 | 3,665,000 | 3,737,834 | ||||
Federal National Mtg Assoc CMO Series 1993-101 Class PJ, 7.00% due 6/25/2008 | 13,505 | 13,493 | ||||
Federal National Mtg Assoc CMO Series 1993-122 Class D, 6.50% due 6/25/2023 | 42,214 | 42,499 | ||||
Federal National Mtg Assoc CMO Series 1993-32 Class H, 6.00% due 3/25/2023 | 100,567 | 102,925 | ||||
Federal National Mtg Assoc CMO Series 2003-92 Class KH, 5.00% due 3/25/2032 | 2,000,000 | 1,995,827 | ||||
Federal National Mtg Assoc CMO Series 2004-35 Class CA, 4.00% due 12/25/2017 | 1,883,435 | 1,884,655 | ||||
Federal National Mtg Assoc CMO Series 2007-42 Class YA, 5.50% due 1/25/2036 | 2,644,615 | 2,660,183 | ||||
Federal National Mtg Assoc CMO Series 2007-65 Class PB, 6.00% due 10/25/2032 | 2,916,000 | 3,000,214 | ||||
Federal National Mtg Assoc CPI Floating Rate Note, 5.221% due 2/17/2009 | 3,000,000 | 3,028,140 | ||||
Federal National Mtg Assoc REMIC Series 2006-B1 Class AB, 6.00% due 6/25/2016 | 3,143,678 | 3,222,964 | ||||
Federal National Mtg Assoc, Pool # 044003, 8.00% due 6/1/2017 | 32,267 | 35,138 | ||||
Federal National Mtg Assoc, Pool # 050811, 7.50% due 12/1/2012 | 24,344 | 25,706 | ||||
Federal National Mtg Assoc, Pool # 050832, 7.50% due 6/1/2013 | 31,863 | 33,583 | ||||
Federal National Mtg Assoc, Pool # 076388, 9.25% due 9/1/2018 | 65,654 | 73,670 | ||||
Federal National Mtg Assoc, Pool # 077725, 9.75% due 10/1/2018 | 2,214 | 2,250 | ||||
Federal National Mtg Assoc, Pool # 100286, 7.50% due 8/1/2009 | 16,977 | 17,194 | ||||
Federal National Mtg Assoc, Pool # 112067, 9.50% due 10/1/2016 | 25,551 | 28,587 | ||||
Federal National Mtg Assoc, Pool # 156156, 8.50% due 4/1/2021 | 18,392 | 19,388 | ||||
Federal National Mtg Assoc, Pool # 190555, 7.00% due 1/1/2014 | 23,402 | 24,716 | ||||
Federal National Mtg Assoc, Pool # 190703, 7.00% due 3/1/2009 | 3,252 | 3,268 | ||||
Federal National Mtg Assoc, Pool # 190836, 7.00% due 6/1/2009 | 10,143 | 10,217 | ||||
Federal National Mtg Assoc, Pool # 250387, 7.00% due 11/1/2010 | 22,943 | 23,564 | ||||
Federal National Mtg Assoc, Pool # 251759, 6.00% due 5/1/2013 | 50,508 | 52,095 | ||||
Federal National Mtg Assoc, Pool # 252648, 6.50% due 5/1/2022 | 131,991 | 138,029 | ||||
Federal National Mtg Assoc, Pool # 303383, 7.00% due 12/1/2009 | 2,272 | 2,310 | ||||
Federal National Mtg Assoc, Pool # 312663, 7.50% due 6/1/2010 | 14,061 | 14,399 | ||||
Federal National Mtg Assoc, Pool # 323706, 7.00% due 2/1/2009 | 4,073 | 4,076 | ||||
Federal National Mtg Assoc, Pool # 334996, 7.00% due 2/1/2011 | 22,723 | 23,399 | ||||
Federal National Mtg Assoc, Pool # 342947, 7.25% due 4/1/2024 | 263,345 | 282,185 | ||||
Federal National Mtg Assoc, Pool # 373942, 6.50% due 12/1/2008 | 2,291 | 2,381 | ||||
Federal National Mtg Assoc, Pool # 384243, 6.10% due 10/1/2011 | 596,990 | 619,632 | ||||
Federal National Mtg Assoc, Pool # 384746, 5.86% due 2/1/2009 | 1,018,556 | 1,019,781 | ||||
Federal National Mtg Assoc, Pool # 385714, 4.70% due 1/1/2010 | 3,060,165 | 3,074,023 | ||||
Federal National Mtg Assoc, Pool # 406384, 8.25% due 12/1/2024 | 128,972 | 139,364 | ||||
Federal National Mtg Assoc, Pool # 443909, 6.50% due 9/1/2018 | 96,012 | 101,590 | ||||
Federal National Mtg Assoc, Pool # 516363, 5.00% due 3/1/2014 | 138,421 | 140,966 | ||||
Federal National Mtg Assoc, Pool # 555207, 7.00% due 11/1/2017 | 44,020 | 45,447 | ||||
Federal National Mtg Assoc, Pool # 895572, 5.664% due 6/1/2036 | 3,195,525 | 3,281,871 | ||||
Government National Mtg Assoc CMO Series 2001-65 Class PG, 6.00% due 7/20/2028 | 114,022 | 114,008 | ||||
Government National Mtg Assoc, Pool # 000623, 8.00% due 9/20/2016 | 47,183 | 50,711 | ||||
Government National Mtg Assoc, Pool # 369693, 7.00% due 1/15/2009 | 13,938 | 14,052 | ||||
Government National Mtg Assoc, Pool # 409921, 7.50% due 8/15/2010 | 16,182 | 16,629 | ||||
Government National Mtg Assoc, Pool # 410240, 7.00% due 12/15/2010 | 18,913 | 19,470 | ||||
Government National Mtg Assoc, Pool # 410271, 7.50% due 8/15/2010 | 21,887 | 22,607 | ||||
Government National Mtg Assoc, Pool # 410846, 7.00% due 12/15/2010 | 34,954 | 35,984 | ||||
Government National Mtg Assoc, Pool # 430150, 7.25% due 12/15/2026 | 30,135 | 31,994 | ||||
Government National Mtg Assoc, Pool # 453928, 7.00% due 7/15/2017 | 56,361 | 59,725 | ||||
Government National Mtg Assoc, Pool # 780063, 7.00% due 9/15/2008 | 633 | 636 | ||||
Government National Mtg Assoc, Pool # 780448, 6.50% due 8/15/2011 | 52,982 | 55,197 | ||||
Overseas Private Investment Corp., 4.10% due 11/15/2014 (1) | 1,752,000 | 1,812,619 | ||||
Private Export Funding Corp., 5.685% due 5/15/2012 | 5,000,000 | 5,501,040 |
30 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term U.S. Government Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Principal Amount | Value | ||||
Private Export Funding Corp., 4.974% due 8/15/2013 | $ | 2,700,000 | $ | 2,906,123 | ||
Tennessee Valley Authority, 4.75% due 8/1/2013 | 3,000,000 | 3,196,116 | ||||
United States Department of Housing & Urban Development, 3.51% due 8/1/2008 | 850,000 | 854,163 | ||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $97,526,367) | 99,499,958 | |||||
TOTAL INVESTMENTS — 90.93% (Cost $154,800,071) | $ | 159,526,991 | ||||
OTHER ASSETS LESS LIABILITIES — 9.07% | 15,909,619 | |||||
NET ASSETS — 100.00% | $ | 175,436,610 | ||||
Footnote Legend
(1) | Security currently fair valued by the Valuation & Pricing committee using factors approved by the Board of Trustees. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
CMO | Collateralized Mortgage Obligation. | |
Mtg | Mortgage | |
REMIC | Real Estate Mortgage Investment Conduit |
See notes to financial statements.
SUMMARY OF TYPES OF HOLDINGS
Certified Semi-Annual Report | 31 |
Table of Contents
SCHEDULE OF INVESTMENTS | ||
Thornburg Limited Term Income Fund | March 31, 2008 (Unaudited) |
CUSIPS: CLASS A – 885-215-509, CLASS C – 885-215-764, CLASS I – 885-215-681, CLASS R3 – 885-215-483
NASDAQ SYMBOLS: CLASS A – THIFX, CLASS C – THICX, CLASS I – THIIX, CLASS R3 – THIRX
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
U.S. TREASURY SECURITIES — 2.88% | ||||||||
United States Treasury Notes, 4.75% due 11/15/2008 | Aaa/AAA | $ | 1,000,000 | $ | 1,020,937 | |||
United States Treasury Notes, 5.125% due 5/15/2016 | Aaa/AAA | 1,000,000 | 1,138,750 | |||||
United States Treasury Notes, 4.875% due 8/15/2016 | Aaa/AAA | 6,000,000 | 6,720,000 | |||||
TOTAL U.S. TREASURY SECURITIES (Cost $8,068,192) | 8,879,687 | |||||||
U.S. GOVERNMENT AGENCIES — 6.72% | ||||||||
Federal Home Loan Bank, 5.785% due 4/14/2008 | Aaa/AAA | 75,000 | 75,103 | |||||
Federal Home Loan Bank, 5.835% due 7/15/2008 | Aaa/AAA | 300,000 | 303,293 | |||||
Federal Home Loan Bank, 5.085% due 10/7/2008 | Aaa/AAA | 250,000 | 253,752 | |||||
Federal Home Loan Bank, 5.038% due 10/14/2008 | Aaa/AAA | 200,000 | 203,058 | |||||
Federal Home Loan Bank, 5.365% due 12/11/2008 | Aaa/AAA | 75,000 | 76,631 | |||||
Federal Home Loan Bank, 4.50% due 12/15/2008 | Aaa/AAA | 3,000,000 | 3,048,154 | |||||
Federal Home Loan Bank, 5.985% due 4/9/2009 | Aaa/AAA | 85,000 | 88,305 | |||||
Federal Home Loan Mtg Corp., CMO Series 2814 Class GB, 5.00% due 6/15/2019 | Aaa/AAA | 1,177,627 | 1,179,508 | |||||
Federal Home Loan Mtg Corp., CMO Series 3192 Class GB, 6.00% due 1/15/2031 | Aaa/AAA | 2,000,000 | 2,057,874 | |||||
Federal National Mtg Assoc, 6.00% due 12/1/2008 | Aaa/AAA | 9,227 | 9,516 | |||||
Federal National Mtg Assoc, 8.00% due 12/1/2009 | Aaa/AAA | 14,246 | 14,655 | |||||
Federal National Mtg Assoc, 7.00% due 3/1/2011 | Aaa/AAA | 14,486 | 14,878 | |||||
Federal National Mtg Assoc, 6.42% due 4/1/2011 | Aaa/AAA | 2,295,518 | 2,289,965 | |||||
Federal National Mtg Assoc, 5.095% due 12/1/2011 | Aaa/AAA | 121,699 | 125,896 | |||||
Federal National Mtg Assoc, 7.491% due 8/1/2014 | Aaa/AAA | 29,267 | 29,989 | |||||
Federal National Mtg Assoc CMO Series 2003-64 Class EC, 5.50% due 5/25/2030 | Aaa/AAA | 456,047 | 462,030 | |||||
Federal National Mtg Assoc CMO Series 2007-65 Class PB, 6.00% due 10/25/2032 | Aaa/AAA | 3,000,000 | 3,086,640 | |||||
Federal National Mtg Assoc CPI Floating Rate Note, 5.221% due 2/17/2009 | Aaa/AAA | 5,000,000 | 5,046,900 | |||||
Government National Mtg Assoc, Pool # 003007, 8.50% due 11/20/2015 | Aaa/AAA | 23,226 | 25,129 | |||||
Government National Mtg Assoc, Pool # 827148, 6.375% due 2/20/2024 | Aaa/AAA | 37,150 | 38,036 | |||||
Small Business Administration, 4.638% due 2/10/2015 | NR/NR | 2,323,159 | 2,318,390 | |||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $20,554,378) | 20,747,702 | |||||||
ASSET BACKED SECURITIES — 12.67% | ||||||||
BANKS — 4.24% | ||||||||
COMMERCIAL BANKS — 3.91% | ||||||||
Wachovia Bank Commercial Mtg Trust Series 2005-C21 Class A-4, 5.21% due 10/15/2044 | Aaa/AAA | 5,000,000 | 4,512,950 | |||||
Wachovia Bank Commercial Mtg Trust Series 2005-C22 Class A-4, 5.266% due 12/15/2044 | Aaa/AAA | 5,000,000 | 4,654,997 | |||||
Wells Fargo Asset Securities Corp. Series 2005-AR2 Class B1, 4.545% due 2/25/2035 | Aa2/AA | 999,259 | 796,043 | |||||
Wells Fargo Asset Securities Corp. Series 2005-AR2 Class B1, 4.684% due 3/25/2035 | NR/NR | 1,071,707 | 847,339 | |||||
Wells Fargo Mtg Backed Securities Series 2005-3 Class-A10, 5.50% due 5/25/2035 | Aaa/NR | 1,267,955 | 1,269,213 | |||||
THRIFTS & MORTGAGE FINANCE — 0.33% | ||||||||
Washington Mutual Series 03-AR10, Class-A4, 4.055% due 10/25/2033 | Aaa/AAA | 196,023 | 195,873 | |||||
Washington Mutual Series 05-AR4, Class-A4b, 4.671% due 4/25/2035 | Aaa/AAA | 830,000 | 808,851 | |||||
13,085,266 | ||||||||
32 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
CONSUMER SERVICES — 2.04% | ||||||||
HOTELS, RESTAURANTS & LEISURE — 2.04% | ||||||||
Dunkin 2006-1 Class A2, 5.779% due 6/20/2031 | Aaa/AAA | $ | 4,000,000 | $ | 3,590,360 | |||
IHOP Franchising LLC Series 2007-1A Class A1, 5.144% due 3/20/2037 (1) | Baa3/BBB- | 3,000,000 | 2,700,000 | |||||
6,290,360 | ||||||||
DIVERSIFIED FINANCIALS — 6.39% | ||||||||
CAPITAL MARKETS — 3.01% | ||||||||
Bear Stearns Mtg Series 2004-3 Class 1-A2, 5.686% due 7/25/2034 | Aaa/AAA | 597,826 | 507,241 | |||||
GSR Mtg Loan Trust Series 2004-3F Class 2-A10, 10.728% due 2/25/2034 | NR/AAA | 659,862 | 555,103 | |||||
Legg Mason Mortgage Capital Corp., 5.576% due 6/1/2009 (1) | NR/NR | 1,714,286 | 1,714,286 | |||||
Merrill Lynch Mtg Investors, 4.231% due 8/25/2034 | NR/AA | 993,776 | 813,093 | |||||
Merrill Lynch Mtg Investors, Series 2003 E Class B3, 4.099% due 10/25/2028 (1) | A2/A+ | 1,767,892 | 1,626,461 | |||||
Salomon Brothers Mtg Secs VII Mtg Series 1999-C1 Class D, 7.07% due 5/18/2032 | Aaa/NR | 4,000,000 | 4,082,065 | |||||
DIVERSIFIED FINANCIAL SERVICES — 3.38% | ||||||||
Banc America Mtg Secs, Inc. Series 2005 A Class B1 Floating Rate Note, 4.88% due 2/25/2035 | NR/NR | 2,935,083 | 2,431,894 | |||||
Citigroup Commercial Mtg Trust Series 2004-HYB2 Class B1, 5.156% due 3/25/2034 | Aa2/AA | 800,349 | 692,516 | |||||
Countrywide Home Loan Series 2004 Class 1-A, 5.721% due 7/20/2034 | Aaa/AAA | 1,165,699 | 1,186,325 | |||||
FNBC Trust Series 1993 A, 8.08% due 1/5/2018 | Aaa/AA | 1,040,163 | 1,295,398 | |||||
JP Morgan Chase Commercial Mtg Series 2004-C3 Class A-5, 4.878% due 1/15/2042 | Aaa/NR | 5,000,000 | 4,823,831 | |||||
19,728,213 | ||||||||
TOTAL ASSET BACKED SECURITIES (Cost $41,106,667) | 39,103,839 | |||||||
CORPORATE BONDS — 57.76% | ||||||||
BANKS — 4.55% | ||||||||
COMMERCIAL BANKS — 4.55% | ||||||||
Fifth Third Bank, Cincinnati Ohio, 3.375% due 8/15/2008 | Aa2/AA- | 2,500,000 | 2,497,683 | |||||
Household Finance Corp., 6.40% due 9/15/2009 | Aa3/AA- | 400,000 | 413,494 | |||||
Household Finance Corp. CPI Floating Rate Note, 5.65% due 8/10/2009 | Aa3/AA- | 5,000,000 | 5,027,600 | |||||
National City Bank, 7.25% due 7/15/2010 | Wr/A | 2,000,000 | 2,023,608 | |||||
National Westminster Bank, 7.375% due 10/1/2009 | Aa1/AA- | 715,000 | 754,675 | |||||
Nations Bank Corp., 7.23% due 8/15/2012 | Aa2/AA | 250,000 | 277,419 | |||||
Sovereign Bank, 5.125% due 3/15/2013 | Baa1/BBB | 400,000 | 363,326 | |||||
Suntrust Bank Atlanta, GA, 5.20% due 1/17/2017 | Aa3/A+ | 400,000 | 359,848 | |||||
US Bank, 6.30% due 7/15/2008 | Aa2/AA | 400,000 | 403,082 | |||||
Whitney National Bank, 5.875% due 4/1/2017 | A3/BBB | 2,000,000 | 1,918,482 | |||||
14,039,217 | ||||||||
CAPITAL GOODS — 7.15% | ||||||||
ELECTRICAL EQUIPMENT — 0.64% | ||||||||
Emerson Electric Co., 5.75% due 11/1/2011 | A2/A | 800,000 | 855,854 | |||||
Hubbell Inc., 6.375% due 5/15/2012 | A3/A+ | 1,000,000 | 1,122,739 | |||||
INDUSTRIAL CONGLOMERATES — 2.28% | ||||||||
General Electric Capital Corp., 7.75% due 6/9/2009 | Aaa/AAA | 200,000 | 209,020 | |||||
General Electric Capital Corp., 7.375% due 1/19/2010 | Aaa/AAA | 400,000 | 428,672 | |||||
General Electric Capital Corp. Floating Rate Note, 2.808% due 5/30/2008 | Aaa/AAA | 494,000 | 492,850 | |||||
General Electric Capital Corp. Floating Rate Note, 2.92% due 12/15/2009 | Aaa/AAA | 1,000,000 | 989,910 | |||||
General Electric Capital Corp. Floating Rate Note, 2.079% due 3/2/2009 | Aaa/AAA | 5,000,000 | 4,925,000 |
Certified Semi-Annual Report | 33 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
MACHINERY — 4.23% | ||||||||
General American Railcar Corp., 6.69% due 9/20/2016 | A3/AA- | $ | 180,433 | $ | 212,150 | |||
Illinois Tool Works Cupids Financing Trust, 6.55% due 12/31/2011 | Aa3/NR | 5,000,000 | 5,338,280 | |||||
John Deere Capital Corp. Floating Rate Note, 3.115% due 6/10/2008 | A2/A | 4,415,000 | 4,413,203 | |||||
Pentair, Inc., 7.85% due 10/15/2009 | Baa3/BBB | 3,000,000 | 3,088,122 | |||||
22,075,800 | ||||||||
COMMERCIAL SERVICES & SUPPLIES — 1.10% | ||||||||
COMMERCIAL SERVICES & SUPPLIES — 1.10% | ||||||||
Science Applications International Corp., 6.25% due 7/1/2012 | A3/A- | 1,000,000 | 1,100,483 | |||||
Waste Management, Inc., 6.875% due 5/15/2009 | Baa3/BBB | 725,000 | 743,762 | |||||
Waste Management, Inc., 7.375% due 8/1/2010 | Baa3/BBB | 500,000 | 526,751 | |||||
Waste Management, Inc., 6.50% due 11/15/2008 | Baa3/BBB | 1,000,000 | 1,019,887 | |||||
3,390,883 | ||||||||
CONSUMER DURABLES & APPAREL — 0.82% | ||||||||
TEXTILES, APPAREL & LUXURY GOODS — 0.82% | ||||||||
Nike, Inc., 5.15% due 10/15/2015 | A2/A+ | 2,315,000 | 2,542,548 | |||||
2,542,548 | ||||||||
DIVERSIFIED FINANCIALS — 10.19% | ||||||||
CAPITAL MARKETS — 4.07% | ||||||||
Bear Stearns Co., Inc., 4.50% due 10/28/2010 | Baa1/AA- | 1,500,000 | 1,413,621 | |||||
Goldman Sachs Group, Inc., 5.625% due 1/15/2017 | A1/A+ | 1,900,000 | 1,822,717 | |||||
Lehman Brothers Holdings, Inc., 3.50% due 8/7/2008 | A1/A+ | 700,000 | 689,276 | |||||
Lehman Brothers Holdings, Inc., 6.00% due 7/19/2012 | A1/A+ | 1,500,000 | 1,480,511 | |||||
Lehman Brothers Holdings, Inc., 5.625% due 1/24/2013 | A1/A+ | 2,800,000 | 2,722,622 | |||||
Merrill Lynch & Co., 4.125% due 9/10/2009 | A1/A+ | 2,000,000 | 1,958,870 | |||||
Merrill Lynch & Co. Floating Rate Note, 2.951% due 8/14/2009 | A1/A+ | 2,000,000 | 1,957,882 | |||||
Northern Trust Co., 6.25% due 6/2/2008 | A1/A+ | 500,000 | 502,984 | |||||
CONSUMER FINANCE — 3.23% | ||||||||
American General Finance Corp., 4.625% due 9/1/2010 | A1/A+ | 200,000 | 199,281 | |||||
American Honda Finance Corp., 5.125% due 12/15/2010 | Aa3/A+ | 1,500,000 | 1,571,451 | |||||
Capital One Bank, 6.70% due 5/15/2008 | A2/A- | 2,025,000 | 2,025,934 | |||||
SLM Corp. Floating Rate Note, 1.82% due 9/15/2008 | Baa2/BBB- | 1,675,000 | 1,609,730 | |||||
SLM Corp. Floating Rate Note, 3.541% due 7/25/2008 | Baa2/BBB- | 3,000,000 | 2,948,586 | |||||
Toyota Motor Credit Corp., 2.875% due 8/1/2008 | Aaa/AAA | 800,000 | 798,701 | |||||
Toyota Motor Credit Corp., 4.35% due 12/15/2010 | Aaa/AAA | 800,000 | 824,755 | |||||
DIVERSIFIED FINANCIAL SERVICES — 2.89% | ||||||||
Bank of America Institutional Series B, 7.70% due 12/31/2026 | Aa3/A+ | 2,000,000 | 1,998,850 | |||||
JP Morgan Chase Co., 4.50% due 11/15/2010 | Aa2/AA- | 1,465,000 | 1,485,145 | |||||
JP Morgan Chase Co. CPI Floating Rate Note, 5.46% due 6/28/2009 | Aa2/AA- | 5,000,000 | 5,045,000 | |||||
US Central Credit Union, 2.75% due 5/30/2008 | Aa1/AA+ | 375,000 | 374,830 | |||||
31,430,746 | ||||||||
ENERGY — 2.66% | ||||||||
ENERGY EQUIPMENT & SERVICES — 0.66% | ||||||||
Detroit Edison Corporate Senior Note Series D, 5.40% due 8/1/2014 | A3/A- | 2,000,000 | 2,035,196 | |||||
OIL, GAS & CONSUMABLE FUELS — 2.00% | ||||||||
Chevron Phillips Chemical, 7.00% due 3/15/2011 | Baa1/BBB+ | 500,000 | 554,587 | |||||
Enbridge, Inc., 5.80% due 6/15/2014 | Baa1/A- | 2,000,000 | 2,027,830 | |||||
Energy Transfer Partners LP, 6.00% due 7/1/2013 | Baa3/BBB- | 1,000,000 | 1,005,887 |
34 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Enterprise Products Participating LP, 7.50% due 2/1/2011 | Baa3/BBB- | $ | 250,000 | $ | 268,555 | |||
Murphy Oil Corp., 6.375% due 5/1/2012 | Baa3/BBB | 750,000 | 782,807 | |||||
Phillips Petroleum Co., 9.375% due 2/15/2011 | A1/A | �� | 900,000 | 1,037,893 | ||||
Phillips Petroleum Co., 8.75% due 5/25/2010 | A1/A | 250,000 | 279,015 | |||||
Union Oil Co. California, 7.90% due 4/18/2008 | WR/AA | 200,000 | 200,430 | |||||
8,192,200 | ||||||||
FOOD & STAPLES RETAILING — 0.31% | ||||||||
FOOD & STAPLES RETAILING — 0.31% | ||||||||
Wal-Mart Stores, Inc., 6.875% due 8/10/2009 | Aa2/AA | 900,000 | 950,048 | |||||
950,048 | ||||||||
FOOD, BEVERAGE & TOBACCO — 2.18% | ||||||||
BEVERAGES — 0.73% | ||||||||
Anheuser Busch Co., Inc., 4.375% due 1/15/2013 | A2/A | 2,000,000 | 2,030,512 | |||||
Coca Cola Co., 5.75% due 3/15/2011 | Aa3/A+ | 200,000 | 214,988 | |||||
FOOD PRODUCTS — 1.13% | ||||||||
Conagra, Inc., 7.875% due 9/15/2010 | Baa2/BBB+ | 100,000 | 109,248 | |||||
General Mills, 5.20% due 3/17/2015 | Baa1/BBB+ | 1,000,000 | 1,002,848 | |||||
General Mills, 5.50% due 1/12/2009 | Baa1/BBB+ | 300,000 | 303,706 | |||||
Kraft Foods, Inc., 6.00% due 2/11/2013 | Baa2/BBB+ | 2,000,000 | 2,067,726 | |||||
TOBACCO — 0.32% | ||||||||
UST, Inc., 5.75% due 3/1/2018 | A3/A | 1,000,000 | 1,010,469 | |||||
6,739,497 | ||||||||
HEALTH CARE EQUIPMENT & SERVICES — 0.99% | ||||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.67% | ||||||||
Covidien International Financing SA Senior Note 144A, 6.00% due 10/15/2017 | Baa1/A- | 2,000,000 | 2,061,406 | |||||
HEALTH CARE PROVIDERS & SERVICES — 0.32% | ||||||||
Unitedhealth Group, Inc., 6.00% due 2/15/2018 | Baa1/A- | 1,000,000 | 979,517 | |||||
3,040,923 | ||||||||
INSURANCE — 8.80% | ||||||||
INSURANCE — 8.80% | ||||||||
American International Group, Inc., 5.85% due 1/16/2018 | Aa2/AA | 1,000,000 | 981,341 | |||||
Berkshire Hathaway Finance Corp. Senior Note, 4.625% due 10/15/2013 | Aaa/AAA | 1,000,000 | 1,043,960 | |||||
Hartford Financial Services Group, Inc. Senior Note, 4.625% due 7/15/2013 | A2/A | 1,000,000 | 984,802 | |||||
International Lease Finance Corp., 4.55% due 10/15/2009 | A1/AA- | 2,500,000 | 2,495,753 | |||||
International Lease Finance Corp., 5.00% due 9/15/2012 | A1/AA- | 2,000,000 | 1,935,444 | |||||
International Lease Finance Corp. Floating Rate Note, 4.658% due 1/15/2010 | A1/AA- | 4,050,000 | 3,882,723 | |||||
Liberty Mutual Group, Inc., 5.75% due 3/15/2014 | Baa2/BBB | 1,000,000 | 1,033,154 | |||||
Lincoln National Corp., 4.75% due 2/15/2014 | A3/A+ | 1,000,000 | 987,072 | |||||
Pacific Life Global Funding CPI Floating Rate Note, 5.72% due 2/6/2016 | Aa3/AA | 8,000,000 | 8,267,280 | |||||
Principal Financial Group Australia, 8.20% due 8/15/2009 | A2/A | 700,000 | 740,460 | |||||
Principal Life Global Funding, 4.40% due 10/1/2010 | Aa2/AA | 4,000,000 | 4,078,500 | |||||
UnumProvident Corp., 7.625% due 3/1/2011 | Ba1/BB+ | 691,000 | 735,337 | |||||
27,165,826 | ||||||||
MATERIALS — 1.73% | ||||||||
CHEMICALS — 1.10% | ||||||||
Dow Chemical Co., 5.75% due 12/15/2008 | A3/A- | 350,000 | 355,159 |
Certified Semi-Annual Report | 35 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
E.I. du Pont de Nemours & Co., 4.75% due 11/15/2012 | A2/A | $ | 1,000,000 | $ | 1,030,439 | |||
E.I. du Pont de Nemours & Co., 4.125% due 3/6/2013 | A2/A | 325,000 | 326,503 | |||||
E.I. du Pont de Nemours & Co., 5.00% due 1/15/2013 | A2/A | 1,000,000 | 1,041,251 | |||||
Lubrizol Corp. Senior Note, 5.875% due 12/1/2008 | Baa3/BBB- | 635,000 | 644,364 | |||||
METALS & MINING — 0.63% | ||||||||
BHP Billiton Finance, 5.40% due 3/29/2017 | A1/A+ | 2,000,000 | 1,947,322 | |||||
5,345,038 | ||||||||
MEDIA — 1.61% | ||||||||
MEDIA — 1.61% | ||||||||
AOL Time Warner, Inc., 6.75% due 4/15/2011 | Baa2/BBB+ | 750,000 | 771,255 | |||||
Comcast Corp., 6.30% due 11/15/2017 | Baa2/BBB+ | 1,000,000 | 1,012,130 | |||||
E W Scripps Co. Ohio, 5.75% due 7/15/2012 | A2/A | 80,000 | 81,910 | |||||
Thomson Corp., 4.25% due 8/15/2009 | Baa1/A- | 2,900,000 | 2,896,978 | |||||
Time Warner, Inc., 8.05% due 1/15/2016 | Baa2/BBB+ | 200,000 | 213,269 | |||||
4,975,542 | ||||||||
MISCELLANEOUS — 1.17% | ||||||||
MISCELLANEOUS — 1.17% | ||||||||
Stanford University, 5.85% due 3/15/2009 | Aaa/NR | 3,500,000 | 3,600,194 | |||||
3,600,194 | ||||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 0.75% | ||||||||
PHARMACEUTICALS — 0.75% | ||||||||
Abbott Labs, 3.75% due 3/15/2011 | A1/AA | 500,000 | 505,529 | |||||
Tiers Inflation Linked Trust Series Wyeth 2004-21 Trust Certificate CPI Floating Rate Note, 5.931% due 2/1/2014 | Baa1/A+ | 2,000,000 | 1,814,760 | |||||
2,320,289 | ||||||||
RETAILING — 1.21% | ||||||||
MULTILINE RETAIL — 1.21% | ||||||||
Nordstrom, Inc., 6.25% due 1/15/2018 | Baa1/A- | 2,000,000 | 1,990,846 | |||||
Target, 6.00% due 1/15/2018 | A2/A+ | 1,700,000 | 1,740,237 | |||||
3,731,083 | ||||||||
SOFTWARE & SERVICES — 2.04% | ||||||||
INFORMATION TECHNOLOGY SERVICES — 2.04% | ||||||||
Computer Sciences Corp., 6.25% due 3/15/2009 | Baa1/A- | 300,000 | 304,986 | |||||
Computer Sciences Corp., 3.50% due 4/15/2008 | Baa1/A- | 2,000,000 | 1,999,528 | |||||
Computer Sciences Corp. 144A, 5.50% due 3/15/2013 | Baa1/A- | 3,000,000 | 3,010,068 | |||||
Electronic Data Systems Corp., 6.50% due 8/1/2013 | Baa3/BBB- | 1,000,000 | 991,178 | |||||
6,305,760 | ||||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 0.50% | ||||||||
COMMUNICATIONS EQUIPMENT — 0.34% | ||||||||
Cisco Systems, Inc., 5.25% due 2/22/2011 | A1/A+ | 1,000,000 | 1,043,883 | |||||
ELECTRONIC EQUIPMENT & INSTRUMENTS — 0.16% | ||||||||
Jabil Circuit, Inc., 5.875% due 7/15/2010 | Ba1/BB+ | 500,000 | 493,824 | |||||
1,537,707 | ||||||||
36 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
TELECOMMUNICATION SERVICES — 0.32% | ||||||||
WIRELESS TELECOMMUNICATION SERVICES — 0.32% | ||||||||
Vodafone Group plc, 5.625% due 2/27/2017 | Baa1/A- | $ | 1,000,000 | $ | 972,352 | |||
972,352 | ||||||||
TRANSPORTATION — 0.05% | ||||||||
AIRLINES — 0.05% | ||||||||
Continental Airlines Series 1997-4 Class 4-A, 6.90% due 1/2/2018 | Baa2/BBB+ | 157,888 | 151,967 | |||||
151,967 | ||||||||
UTILITIES — 9.63% | ||||||||
ELECTRIC UTILITIES — 7.31% | ||||||||
AEP Texas Central Transition Bond A1, 4.98% due 1/1/2010 | Aaa/AAA | 1,688,912 | 1,714,775 | |||||
Appalachian Power Co., 6.60% due 5/1/2009 (Insured: MBIA) | Aaa/AAA | 175,000 | 180,258 | |||||
Commonwealth Edison Co., 4.74% due 8/15/2010 | Baa2/BBB | 975,000 | 997,602 | |||||
Commonwealth Edison Co. Series 108, 5.80% due 3/15/2018 | Baa2/BBB | 1,000,000 | 994,743 | |||||
Duke Energy, 5.25% due 1/15/2018 | A2/A | 1,000,000 | 1,019,079 | |||||
Entergy Gulf States, Inc., 5.12% due 8/1/2010 | Baa3/BBB+ | 1,800,000 | 1,810,150 | |||||
Entergy Gulf States, Inc., 5.70% due 6/1/2015 | Baa3/BBB+ | 2,300,000 | 2,227,775 | |||||
Florida Power & Light Co., 5.55% due 11/1/2017 | Aa3/A | 1,000,000 | 1,046,837 | |||||
Great River Energy Series 2007-A, 5.829% due 7/1/2017 (Insured: MBIA) | Aaa/AAA | 5,000,000 | 5,196,950 | |||||
Gulf Power Co., 4.35% due 7/15/2013 | A2/A | 925,000 | 903,695 | |||||
Madison Gas & Electric Co., 6.02% due 9/15/2008 | Aa3/AA- | 950,000 | 960,856 | |||||
MP Environmental, 4.982% due 7/1/2014 (1) | Aaa/AAA | 4,452,626 | 4,508,284 | |||||
PPL Energy Supply LLC, 6.50% due 5/1/2018 | Baa2/BBB | 1,000,000 | 994,104 | |||||
GAS UTILITIES — 0.21% | ||||||||
Questar Pipeline Co., 6.05% due 12/1/2008 | A3/A- | 425,000 | 428,800 | |||||
Southern California Gas Co., 4.375% due 1/15/2011 | A1/NR | 225,000 | 229,772 | |||||
MULTI-UTILITIES — 2.11% | ||||||||
Northern States Power Co., 4.75% due 8/1/2010 | A2/A | 2,825,000 | 2,920,686 | |||||
Union Electric Co., 4.65% due 10/1/2013 | A3/BBB | 2,000,000 | 1,988,704 | |||||
Wisconsin Energy Corp., 5.50% due 12/1/2008 | A3/BBB+ | 350,000 | 354,687 | |||||
Wisconsin Public Service Corp., 6.125% due 8/1/2011 (2) | Aa3/A+ | 1,150,000 | 1,230,245 | |||||
29,708,002 | ||||||||
TOTAL CORPORATE BONDS (Cost $176,090,936) | 178,215,622 | |||||||
MUNICIPAL BONDS — 18.69% | ||||||||
Amelia County IDA, 4.90% due 4/1/2027 put 4/1/2010 (Waste Management) (AMT) (3) | NR/BBB | 1,000,000 | 998,120 | |||||
American Campus Properties Student Housing, 7.38% due 9/1/2012 (Insured: MBIA) | Aaa/AAA | 2,975,000 | 3,275,891 | |||||
American Fork City Utah Sales, 4.89% due 3/1/2012 (Insured: FSA) | Aaa/AAA | 300,000 | 310,671 | |||||
American Fork City Utah Sales, 5.07% due 3/1/2013 (Insured: FSA) | Aaa/AAA | 120,000 | 125,191 | |||||
Arkansas Electric Coop Corp., 7.33% due 6/30/2008 | A2/AA- | 37,000 | 37,221 | |||||
Austin Texas Electric Utility System Refunding, 5.218% due 11/15/2017 (Insured: Assured Guaranty) | Aaa/AAA | 1,000,000 | 1,028,280 | |||||
Brockton MA Taxable Economic Development Series A, 6.45% due 5/1/2017 (Insured: FGIC) | A2/A | 150,000 | 165,737 | |||||
Burbank California Waste Disposal Revenue, 5.48% due 5/1/2008 (Insured: FSA) | Aaa/AAA | 310,000 | 310,747 | |||||
California State, 5.168% due 10/1/2037 | A1/A+ | 2,000,000 | 2,015,120 | |||||
Cleveland Cuyahoga County Ohio, 6.10% due 5/15/2013 | NR/BBB+ | 1,330,000 | 1,375,805 | |||||
Cook County Illinois School District 083, 4.625% due 12/1/2010 (Insured: FSA) | Aaa/NR | 250,000 | 261,408 | |||||
Cook County Illinois School District 083, 4.875% due 12/1/2011 (Insured: FSA) | Aaa/NR | 150,000 | 158,579 |
Certified Semi-Annual Report | 37 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Elkhart Indiana Redevelopment District Revenue, 4.80% due 6/15/2011 (ETM) | Aaa/NR | $ | 240,000 | $ | 250,774 | |||
Elkhart Indiana Redevelopment District Revenue, 4.80% due 12/15/2011 (ETM) | Aaa/NR | 245,000 | 256,209 | |||||
Elkhart Indiana Redevelopment District Revenue, 5.05% due 12/15/2012 (ETM) | Aaa/NR | 515,000 | 548,928 | |||||
Elkhart Indiana Redevelopment District Revenue, 5.25% due 12/15/2013 pre-refunded 6/15/2013 | Aaa/NR | 540,000 | 574,538 | |||||
Grant County Washington Water Public Utility District 2 Series Z, 5.14% due 1/1/2014 (Insured: FGIC) | Aa2/AA- | 1,015,000 | 1,053,763 | |||||
Green Bay Wisconsin Series B, 4.875% due 4/1/2011 (Insured: MBIA) | Aaa/NR | 365,000 | 377,775 | |||||
Hancock County Mississippi, 4.20% due 8/1/2008 (Insured: MBIA) | Aaa/NR | 305,000 | 306,135 | |||||
Hancock County Mississippi, 4.80% due 8/1/2010 (Insured: MBIA) | Aaa/NR | 245,000 | 246,063 | |||||
Hancock County Mississippi, 4.90% due 8/1/2011 (Insured: MBIA) | Aaa/NR | 315,000 | 316,172 | |||||
Hanover Pennsylvania Area School District Notes Series B, 4.47% due 3/15/2013 (Insured: FSA) | Aaa/AAA | 1,385,000 | 1,438,461 | |||||
Hillsborough County IDA PCR, 5.00% due 12/1/2034 put 3/15/2012 (Tampa Electric Co.; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 990,020 | |||||
Jefferson County Texas Navigation Refunding, 5.50% due 5/1/2010 (Insured: FSA) | Aaa/NR | 500,000 | 500,990 | |||||
Jersey City New Jersey Municipal Utilities Authority, 3.72% due 5/15/2009 (Insured: MBIA) | Aaa/AAA | 575,000 | 572,620 | |||||
Kendall Kane County Illinois School District 308, 5.50% due 10/1/2011 (Insured: FGIC) | A1/NR | 365,000 | 384,666 | |||||
Los Angeles County California Pension Series C, 0% due 6/30/2008 (Insured: MBIA) | Aaa/AAA | 300,000 | 298,041 | |||||
Louisiana Public Facilities Authority, 5.72% due 7/1/2015 (Insured: CIFG) | A1/A+ | 1,770,000 | 1,823,773 | |||||
Maryland State Economic Development Corp., 7.25% due 6/1/2008 (Maryland Tech Development Center) | NR/NR | 100,000 | 100,702 | |||||
Mississippi Development Bank Special Obligation Refinance Harrison County B, 5.21% due 7/1/2013 (Insured: FSA) | NR/AAA | 1,200,000 | 1,271,976 | |||||
Missouri State Development Finance Board Series A, 5.45% due 3/1/2011 (Crackerneck Creek) | NR/A+ | 1,090,000 | 1,152,697 | |||||
Missouri State Environmental Improvement Energy, 5.25% due 7/1/2017 (K.C. Power & Light) | A2/A | 3,500,000 | 3,454,710 | |||||
Montgomery County Maryland Revenue Authority, 5.00% due 2/15/2012 | Aa2/AA+ | 100,000 | 105,058 | |||||
Multnomah County Oregon School District 1J Refunding Taxable, 4.191% due 6/15/2008 | A1/A | 650,000 | 651,878 | |||||
New Jersey Health Care Facilities Financing, 10.75% due 7/1/2010 (ETM) | NR/NR | 295,000 | 325,763 | |||||
New Jersey Health Care Facilities Financing, 7.70% due 7/1/2011 (Insured: Connie Lee) | NR/AAA | 90,000 | 97,205 | |||||
New Mexico Mtg Finance Authority Single Family Mtg I D 2, 5.77% due 1/1/2016 (GNMA/FNMA/ FHLMC) | NR/AAA | 910,000 | 994,803 | |||||
New Rochelle New York Industrial Development Agency, 7.15% due 10/1/2014 (LOC: Bank of New York) | Aaa/A+ | 360,000 | 403,700 | |||||
New York Environmental Facilities, 5.85% due 3/15/2011 | NR/AA- | 3,500,000 | 3,762,185 | |||||
New York State Housing Finance, 4.46% due 8/15/2009 | Aa1/NR | 180,000 | 182,261 | |||||
New York State Urban Development Corp., 4.75% due 12/15/2011 | NR/AAA | 1,400,000 | 1,470,546 | |||||
Newark New Jersey, 4.70% due 4/1/2011 (Insured: MBIA) | Aaa/NR | 845,000 | 870,291 | |||||
Newark New Jersey, 4.90% due 4/1/2012 (Insured: MBIA) | Aaa/NR | 1,225,000 | 1,262,644 | |||||
Niagara Falls New York Public Water, 4.30% due 7/15/2010 (Insured: MBIA) | Aaa/AAA | 360,000 | 366,646 | |||||
Northwest Open Access Network Washington Revenue, 6.18% due 12/1/2008 (Insured: AMBAC) | Aaa/AAA | 1,600,000 | 1,630,848 | |||||
Ohio Housing Financing Agency Mtg, 5.20% due 9/1/2014 (GNMA/FNMA) | Aaa/NR | 2,395,000 | 2,553,788 | |||||
Ohio State Petroleum Underground Storage, 6.75% due 8/15/2008 (Insured: MBIA) | Aaa/AAA | 235,000 | 235,860 | |||||
Ohio State Taxable Development Assistance Series A, 4.88% due 10/1/2011 (Insured: MBIA) | Aaa/AAA | 550,000 | 569,404 | |||||
Pennsylvania Economic Development Series A, 4.70% due 11/1/2021 (Waste Management) | NR/BBB | 2,250,000 | 2,123,100 | |||||
Port Walla Walla Washington Revenue, 5.30% due 12/1/2009 | NR/NR | 235,000 | 240,720 | |||||
Redlands California Redevelopment Agency Series A, 5.818% due 8/1/2022 (Insured: AMBAC) | Aaa/AAA | 3,000,000 | 3,114,660 | |||||
Santa Fe County New Mexico Charter School Taxable Series B, 7.55% due 1/15/2010 (ATC Foundation) | NR/NR | 165,000 | 161,979 | |||||
Short Pump Town Center Community Development, 6.26% due 2/1/2009 | NR/NR | 1,000,000 | 1,021,590 | |||||
Springfield Ohio City School District Tax Anticipation Notes, 6.35% due 12/1/2010 (Insured: AMBAC) | Aaa/NR | 1,400,000 | 1,486,170 | |||||
Springfield Ohio City School District Tax Anticipation Notes, 6.40% due 12/1/2011 (Insured: AMBAC) | Aaa/NR | 1,500,000 | 1,607,580 | |||||
Tazewell County Illinois Community High School, 5.20% due 12/1/2011 (Insured: FSA) | Aaa/NR | 355,000 | 376,158 |
38 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Tennessee State Taxable Series B, 6.00% due 2/1/2013 | Aa1/AA+ | $ | 500,000 | $ | 539,310 | |||
Texas Tech University Revenue, 6.00% due 8/15/2011 (Insured: MBIA) | Aaa/AAA | 245,000 | 262,304 | |||||
University of Illinois Revenue, 6.35% due 4/1/2011 (Insured: FGIC) | Aa3/AA- | 1,000,000 | 1,073,740 | |||||
Victor New York, 9.20% due 5/1/2014 | NR/NR | 1,250,000 | 1,370,437 | |||||
Wisconsin State General Revenue, 4.80% due 5/1/2013 (Insured: FSA) | Aaa/AAA | 200,000 | 207,978 | |||||
Wisconsin State Health & Educational Facilities Series B, 7.08% due 6/1/2016 (Insured: ACA) | NR/NR | 2,610,000 | 2,636,726 | |||||
TOTAL MUNICIPAL BONDS (Cost $55,878,777) | 57,687,115 | |||||||
YANKEE BONDS — 0.28% | ||||||||
BANKS — 0.10% | ||||||||
COMMERCIAL BANKS — 0.10% | ||||||||
Glitnir Banki HF, 4.421% due 1/18/2012 | A2/BBB+ | 400,000 | 302,534 | |||||
302,534 | ||||||||
MISCELLANEOUS — 0.18% | ||||||||
MISCELLANEOUS — 0.18% | ||||||||
Nova Scotia Province Canada, 5.75% due 2/27/2012 | Aa2/A+ | 500,000 | 550,468 | |||||
550,468 | ||||||||
TOTAL YANKEE BONDS (Cost $821,851) | 853,002 | |||||||
SHORT TERM INVESTMENTS — 0.97% | ||||||||
Toyota Motor Credit, 2.10% due 4/1/2008 | A1/P1 | 3,000,000 | 3,000,000 | |||||
TOTAL SHORT TERM INVESTMENTS (Cost $3,000,000) | 3,000,000 | |||||||
TOTAL INVESTMENTS — 99.97% (Cost $305,520,801) | $ | 308,486,967 | ||||||
OTHER ASSETS LESS LIABILITIES — 0.03% | 80,867 | |||||||
NET ASSETS — 100.00% | $ | 308,567,834 | ||||||
Footnote Legend
† | Credit ratings are unaudited. Rating changes may have occurred prior to or subsequent to the reporting period end. |
(1) | Security currently fair valued by the Valuation & Pricing committee using factors approved by the Board of Trustees. |
(2) | Segregated as collateral for a when-issued security. |
(3) | When-issued security. |
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. | |
AMT | Alternative Minimum Tax | |
CIFG | CIFG Assurance North America Inc. | |
CMO | Collateralized Mortgage Obligation. | |
Cupids | Cumulative Undivided Preferred Interests In Debt Securities | |
ETM | Escrowed to Maturity | |
FGIC | Insured by Financial Guaranty Insurance Co. | |
FHLMC | Insured by Federal Home Loan Mortgage Corp. | |
FNMA | Collateralized by Federal National Mortgage Association |
Certified Semi-Annual Report | 39 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2008 (Unaudited) |
Portfolio Abbreviations (continued)
FSA | Insured by Financial Security Assurance Co. | |
GNMA | Insured by Government National Mortgage Co. | |
IDA | Industrial Development Authority | |
MBIA | Insured by Municipal Bond Investors Assurance | |
Mtg | Mortgage | |
PCR | Pollution Control Revenue Bond |
See notes to financial statements.
SUMMARY OF SECURITY CREDIT RATINGS†
We have used ratings from Moody’s Investors Service. Where Moody’s
ratings are not available, we have used Standard & Poor’s ratings.
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Thornburg Limited Term Income Funds | March 31, 2008 (Unaudited) |
As a shareholder of the Funds, you incur two types of costs:
(1) | transaction costs, including |
(a) sales charges (loads) on purchase payments, for Class A shares;
(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;
(c) a deferred sales charge on redemptions of Class B shares within eight years of purchase;
(d) a deferred sales charge on redemptions of Class C shares within 12 months of purchase; (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 Funds 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, 2007 and held until March 31, 2008.
Actual Expenses
For each class of shares, 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 for your class of shares 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
For each class of shares, 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
Beginning Account Value 9/30/07 | Ending Account Value 3/31/08 | Expenses Paid During Period† 9/30/07–3/31/08 | |||||||
U.S. Government Fund | |||||||||
Class A Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,054.40 | $ | 4.84 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.29 | $ | 4.76 | |||
Class B Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,047.80 | $ | 11.43 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,013.84 | $ | 11.24 | |||
Class C Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,053.60 | $ | 6.25 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,018.91 | $ | 6.15 | |||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,056.00 | $ | 3.36 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,021.73 | $ | 3.31 | |||
Class R3 Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,054.20 | $ | 5.08 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.05 | $ | 5.00 | |||
Income Fund | |||||||||
Class A Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,037.80 | $ | 5.04 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.05 | $ | 5.00 | |||
Class C Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,036.50 | $ | 6.31 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,018.80 | $ | 6.26 | |||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,039.50 | $ | 3.41 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,021.65 | $ | 3.38 | |||
Class R3 Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,037.80 | $ | 5.04 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.05 | $ | 5.00 |
† | Thornburg Limited Term U.S. Government Fund expenses are equal to the annualized expense ratio for each class (A: 0.94%; B: 2.23%; C: 1.22%; I: 0.65%; and R3: 0.99%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period. |
† | Thornburg Limited Term Income Fund expenses are equal to the annualized expense ratio for each class (A: 0.99%; C: 1.24%; I: 0.67%; and R3: 0.99%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares 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 Limited Term Income Funds | March 31, 2008 (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.
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 Funds file with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Funds’ Forms N-Q are available on the Commission’s website at 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 Funds also make this information available on their website at www.thornburg.com/download or upon request by calling 1-800-847-0200.
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Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
February 8, 2005, as readopted July 18, 2007
The Trustees are concerned that ongoing 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.
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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. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
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.
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 Global Opportunities Fund |
• | Thornburg International Growth Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
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Thornburg Equity Funds
Thornburg’s equity research uses a fundamental and comprehensive analytical approach. Thornburg equity funds focus on a limited number of securities so that each holding can impact 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.
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
• | Thornburg International Growth Fund |
Thornburg Bond Funds
The majority of Thornburg bond funds are laddered portfolios of 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 Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term Municipal Fund |
• | Thornburg New Mexico Intermediate Municipal Fund |
• | Thornburg New York Intermediate Municipal Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund* |
Carefully consider each fund’s investment objectives, risks, sales charges, and expenses; this information can be found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. There is no guarantee that any of these funds will meet their investment objectives.
For additional information, please visit www.thornburg.com
Thornburg Investment Management, 119 East Marcy Street, Santa Fe, NM 87501
* | This fund does not use the laddering strategy. |
This page is not part of the Semi-Annual Report. | 47 |
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Waste not, Wait not | ![]() | |||||
This Semi-Annual Report is 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. | Get instant access to your shareholder reports.
By switching from your postal mailbox to your email inbox, you reduce paper clutter, improve record keeping access, and help conserve our natural resources. | |||||
![]() | Investment Advisor: Thornburg Investment Management® 800.847.0200
Distributor:
Thornburg Securities Corporation® 800.847.0200
TH174 | Go to www.thornburg.com/edelivery and sign up to receive your shareholder reports, prospectuses, and proxy statements electronically.
You invest in the future, without spending a dime. |
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Thornburg Limited Term Income Funds
I Shares – March 31, 2008
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
Certified Semi-Annual Report 3
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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, an 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. Returns reflect the reinvestment of dividends and capital gains. There is no up front sales charge for this class of shares.
Investments in the Funds 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. Please see the Funds’ Prospectus for a discussion of the risks associated with an investment in the Funds. Investments in the Funds 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. There is no guarantee that the Funds will meet their investment objectives. The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
The information presented on the following pages was current as of March 31, 2008. The managers’ views, portfolio holdings, and sector and country diversification are provided for the general information of the Fund’s shareholders; they 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 the 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.
![]() | Lipper’s Best Fixed-Income Fund Family | |
Thornburg Investment Management ranked #1 out of 41 eligible firms in Lipper Inc.’s fixed income large firm universe for the three-year period ended 12/31/07, based on risk-adjusted returns. Past performance does not guarantee future results. | ||
Lipper’s large firm universe is comprised of fund families with more than $28 billion in total net assets. Only fund families with at least five bond funds were eligible. Risk-adjusted returns were calculated with dividends reinvested and without sales charges. |
4 Certified Semi-Annual Report
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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.
Average Maturity – The average of the maturity dates of the debt securities in the fund. In general, the longer the average maturity, the greater the fund’s sensitivity to interest-rate changes, which means greater price fluctuation. A shorter average maturity usually means a less sensitive, less volatile portfolio.
Basis Point – A unit for measuring a bond yield that is equal to 1/100th of a 1% yield. A 1% change =100 basis points (bps).
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.
Fed Funds Rate – The Fed Funds Rate is the interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.
U.S. Treasury Securities – U.S. Treasury securities, such as bills, notes and bonds, are negotiable debt obligations of the U.S. government. These debt obligations are backed by the “full faith and credit” of the government and issued at various schedules and maturities. Income from Treasury securities is exempt from state and local, but not federal income taxes.
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Jason Brady, CFA Portfolio Manager | April 3, 2008
Dear Fellow Shareholder:
I am pleased to present the Semi-Annual Report for the Thornburg Limited Term U.S. Government Fund and the Thornburg Limited Term Income Fund for the period ended March 31, 2008. The net asset value of a Class I share of the Thornburg Limited Term U.S. Government Fund increased 48 cents in the period to $13.45. If you were invested for the entire period, you received dividends of 24.1 cents per share. If you reinvested your dividends, you received 24.2 cents per share. The net asset value of a Class I share of the Thornburg Limited Term Income Fund increased 20 cents in the period to $12.60. If you were invested for the entire period, you received dividends of 28.6 cents per share. If you reinvested your dividends, you received 28.9 cents per share. Please examine the accompanying exhibits for more detailed information and history. |
The yield on U.S. Treasuries mainly moved lower over the course of the past six months, with the continued “steepening” of the yield curve being a significant driver of U.S. dollar denominated bond returns. The two-year U.S. Treasury moved from a 3.99% yield to a 1.65% yield over the course of the past six months, while the ten-year U.S. Treasury moved from a 4.59% yield to a 3.53% yield. As you can see, relatively, front end securities moved much lower in yield than longer term securities. This movement was primarily the result of a slowing in the U.S. economy and the corresponding actions of the Federal Reserve to lower the Fed Funds Rate. The Federal Reserve Open Market Committee (FOMC) has aggressively lowered the Fed Funds Rate to 2.25%. That change in policy was largely due to falling home prices, a significant dislocation of global credit markets and the attendant lack of liquidity. Furthermore, writedowns at major financial institutions escalated during the past six months and for now are an important and destabilizing part of the capital markets landscape. Credit spreads (the additional yield the market requires for investing in risky securities versus credit risk-less U.S. Treasuries) continued to widen and in some asset classes, have moved to levels not seen since the recession of 2001-2002 while other asset classes have moved to levels never seen before. As discussed in the last shareholder letter, I believe that we have entered into a period of increased volatility. While that volatility increase has the attendant effect of increasing opportunity, it also increases the potential for losses. In this environment, we are getting paid more for taking risk than in the past, though that doesn’t mean that any risk-taking will be rewarded.
Putting income and change in price together, the Class I shares of the Thornburg Limited Term U.S. Government Fund produced a total return of 5.60% over the six-month period, assuming a beginning-of-period investment at the net asset value. The Lehman Brothers Intermediate Government Bond Index produced a 7.61% total return over the same time period. The Class I shares of the Thornburg Limited Term Income Fund produced a total return of 3.95% over the six-month period, assuming a beginning of period investment at the net asset value. The Lehman Brothers Intermediate Government/Credit Bond Index produced a 5.99% total return over the same time period. Both Lehman indices reflect no deduction for fees, expenses, or taxes.
The Funds kept their durations slightly shorter than the Indices during the past six months and as a result failed to take advantage of some of the price increases due to U.S. Treasury yield decreases. In addition, the Thornburg Limited Term Income Fund, while maintaining a very high (AA) average credit rating, holds a smaller proportion of U.S. Treasury securities than the Index. In a time of widening credit spreads, U.S. Treasuries outperformed lower rated securities. However, Thornburg’s laddered portfolio strategy and prudent credit selection (within the Income Fund) continue to benefit the Fund. Turbulent times certainly can shine a bright light on some of the darker corners of a portfolio which develop as a result of poor risk management or an unchecked “reach for yield” mentality. The discipline inherent in Thornburg’s investment approach has served us well in this regard. I remain quite comfortable with our holdings and believe that over time each investment will yield satisfactory results, and in aggregate, position the Funds well for continued positive returns.
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The recent volatility in the marketplace underlines the importance of high quality bonds in a fixed income portfolio allocation. The Funds are meant to have a low correlation with equities and as such can play a valuable diversifying role in addition to paying a reasonable income relative to their risks. Though periods of volatility have been relatively short over the course of the past several years, and credit spreads have remained fairly well behaved, there is no rule that says this must continue to be the case. Similarly, stock markets have generally advanced at a steady rate over the past couple of decades. However, the past several months have shown that volatility is alive and well.
While six months ago I wrote to you that we would continue to maintain conservative portfolios, the momentous dislocations that are occurring in the marketplace have begun to present interesting opportunities. I believe that financial markets may very well get worse before they get better, and that the road to recovery will almost certainly be a bumpy one. However, there are quite a large number of fundamentally sound bonds which are selling for attractive yields. In this type of environment, we will be marginally increasing our risk exposure to go where we see value. That said, I continue to subscribe to the philosophy that high quality bond funds should represent a safe haven. Thornburg Investment Management will continue to strive to give you, the bond investor, a consistent income stream and a set of funds which are not highly correlated to equity markets’ returns.
No matter the direction of interest rates, or credit spreads in the near term, I believe your Funds are well positioned to achieve their longer term goals. The Thornburg Limited Term U.S. Government Fund and the Thornburg Limited Term Income Fund are laddered portfolios of short-to-intermediate bonds. This balances duration and yield in a way which is designed to provide, in our opinion, the best risk-adjusted bond returns over time. Intermediate bonds can provide stability to the underlying principal; they can provide income for your portfolio, and over time they have provided an attractive return versus money market instruments. Keep in mind that when the yield curve steepens, with two-year rates significantly below ten-year rates, the laddered portfolio strategy of an average intermediate duration will potentially be able to provide you significantly better returns than a cash or money market investment.
Thank you very much for investing in these Funds. I feel that the Thornburg Limited Term U.S. Government Fund and the Thornburg Limited Term Income Fund are appropriate investments for investors who are looking for a conservative income vehicle. While future performance cannot be guaranteed, Thornburg Investment Management will continue to strive to chart a steady course in what continues to be a volatile marketplace.
Sincerely,
Jason H. Brady,CFA
Portfolio Manager
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Thornburg Limited Term Income Funds | March 31, 2008 (Unaudited) |
Limited Term U.S. Government Fund | Limited Term Income Fund | |||||||
ASSETS | ||||||||
Investments at value (cost $154,800,071 and $305,520,801, respectively) (Note 2) | $ | 159,526,991 | $ | 308,486,967 | ||||
Cash | 15,855,891 | 224,509 | ||||||
Receivable for investments sold | — | 110,000 | ||||||
Principal receivable | 1,042 | — | ||||||
Receivable for fund shares sold | 820,238 | 780,656 | ||||||
Interest receivable | 1,360,472 | 3,130,222 | ||||||
Prepaid expenses and other assets | 36,025 | 30,109 | ||||||
Total Assets | 177,600,659 | 312,762,463 | ||||||
LIABILITIES | ||||||||
Payable for securities purchased | 1,458,975 | 3,154,225 | ||||||
Payable for fund shares redeemed | 445,682 | 445,438 | ||||||
Payable to investment advisor and other affiliates (Note 3) | 111,372 | 189,847 | ||||||
Accounts payable and accrued expenses | 59,457 | 159,405 | ||||||
Dividends payable | 88,563 | 245,714 | ||||||
Total Liabilities | 2,164,049 | 4,194,629 | ||||||
NET ASSETS | $ | 175,436,610 | $ | 308,567,834 | ||||
NET ASSETS CONSIST OF: | ||||||||
Undistributed net investment income | $ | 30,440 | $ | 29,903 | ||||
Net unrealized appreciation on investments | 4,726,920 | 2,966,166 | ||||||
Accumulated net realized gain (loss) | (1,649,891 | ) | (5,571,261 | ) | ||||
Net capital paid in on shares of beneficial interest | 172,329,141 | 311,143,026 | ||||||
$ | 175,436,610 | $ | 308,567,834 | |||||
NET ASSET VALUE: | ||||||||
Class A Shares: | ||||||||
Net asset value and redemption price per share ($106,339,578 and $137,072,338 applicable to 7,908,477 and 10,881,711 shares of beneficial interest outstanding – Note 4) | $ | 13.45 | $ | 12.60 | ||||
Maximum sales charge, 1.50% of offering price | 0.20 | 0.19 | ||||||
Maximum offering price per share | $ | 13.65 | $ | 12.79 | ||||
Class B Shares: | ||||||||
Net asset value and offering price per share * ($3,043,417 applicable to 226,837 shares of beneficial interest outstanding – Note 4) | $ | 13.42 | $ | — | ||||
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STATEMENTS OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Limited Term Income Funds | March 31, 2008 (Unaudited) |
Limited Term U.S. Government Fund | Limited Term Income Fund | |||||
Class C Shares: | ||||||
Net asset value and offering price per share * ($40,154,658 and $46,799,951 applicable to 2,968,272 and 3,721,293 shares of beneficial interest outstanding – Note 4) | $ | 13.53 | $ | 12.58 | ||
Class I Shares: | ||||||
Net asset value, offering and redemption price per share ($20,052,898 and $117,031,890 applicable to 1,491,390 and 9,289,870 shares of beneficial interest outstanding – Note 4) | $ | 13.45 | $ | 12.60 | ||
Class R3 Shares: | ||||||
Net asset value, offering and redemption price per share ($5,846,059 and $7,663,655 applicable to 434,497 and 608,043 shares of beneficial interest outstanding – Note 4) | $ | 13.45 | $ | 12.60 | ||
* | 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 Income Funds | Six Months Ended March 31, 2008 (Unaudited) |
Limited Term U.S. Government Fund | Limited Term Income Fund | |||||||
INVESTMENT INCOME: | ||||||||
Interest income (net of premium amortized of $298,398 and $216,951, respectively) | $ | 3,279,955 | $ | 7,899,561 | ||||
EXPENSES: | ||||||||
Investment advisory fees (Note 3) | 287,088 | 755,637 | ||||||
Administration fees (Note 3) | ||||||||
Class A Shares | 60,857 | 87,139 | ||||||
Class B Shares | 1,691 | 0 | ||||||
Class C Shares | 19,622 | 26,853 | ||||||
Class I Shares | 4,180 | 28,262 | ||||||
Class R3 Shares | 3,077 | 4,261 | ||||||
Distribution and service fees (Note 3) | ||||||||
Class A Shares | 121,714 | 174,278 | ||||||
Class B Shares | 13,563 | 0 | ||||||
Class C Shares | 157,748 | 215,393 | ||||||
Class R3 Shares | 12,349 | 17,074 | ||||||
Transfer agent fees | ||||||||
Class A Shares | 48,229 | 78,338 | ||||||
Class B Shares | 2,288 | 0 | ||||||
Class C Shares | 16,152 | 27,115 | ||||||
Class I Shares | 6,889 | 29,885 | ||||||
Class R3 Shares | 2,442 | 3,628 | ||||||
Registration and filing fees | ||||||||
Class A Shares | 7,513 | 9,198 | ||||||
Class B Shares | 7,284 | 0 | ||||||
Class C Shares | 7,689 | 7,776 | ||||||
Class I Shares | 7,469 | 9,325 | ||||||
Class R3 Shares | 8,139 | 8,358 | ||||||
Custodian fees (Note 3) | 27,956 | 42,244 | ||||||
Professional fees | 14,626 | 22,138 | ||||||
Accounting fees | 2,446 | 5,706 | ||||||
Trustee fees | 1,188 | 2,196 | ||||||
Other expenses | 15,693 | 33,494 | ||||||
Total Expenses | 857,892 | 1,588,298 | ||||||
Less: | ||||||||
Expenses reimbursed by investment advisor (Note 3) | (17,122 | ) | (107,305 | ) | ||||
Distribution fees waived (Note 3) | (78,874 | ) | (107,697 | ) | ||||
Fees paid indirectly (Note 3) | (2,591 | ) | (4,874 | ) | ||||
Net Expenses | 759,305 | 1,368,422 | ||||||
Net Investment Income | $ | 2,520,650 | $ | 6,531,139 | ||||
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STATEMENTS OF OPERATIONS, CONTINUED | ||
Thornburg Limited Term Income Funds | Six Months Ended March 31, 2008 (Unaudited) |
Limited Term U.S. Government Fund | Limited Term Income Fund | |||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||
Net realized gain (loss) on investments | $ | 298,193 | $ | 779,745 | ||
Net change in unrealized appreciation (depreciation) on investments | 5,106,444 | 3,900,419 | ||||
Net Realized and Unrealized Gain on Investments | 5,404,637 | 4,680,164 | ||||
Net Increase in Net Assets Resulting From Operations | $ | 7,925,287 | $ | 11,211,303 | ||
See notes to financial statements.
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Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Limited Term U.S. Government Fund
Six Months Ended March 31, 2008* | Year Ended September 30, 2007 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 2,520,650 | $ | 4,476,842 | ||||
Net realized gain (loss) on investments | 298,193 | (1,130,360 | ) | |||||
Increase (Decrease) in unrealized appreciation (depreciation) of investments | 5,106,444 | 3,591,635 | ||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 7,925,287 | 6,938,117 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (1,628,250 | ) | (3,111,314 | ) | ||||
Class B Shares | (27,777 | ) | (43,700 | ) | ||||
Class C Shares | (480,174 | ) | (730,241 | ) | ||||
Class I Shares | (303,422 | ) | (557,507 | ) | ||||
Class R3 Shares | (81,027 | ) | (134,180 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 11,283,263 | (16,914,982 | ) | |||||
Class B Shares | 365,645 | 69,320 | ||||||
Class C Shares | 13,546,469 | 19,577 | ||||||
Class I Shares | 3,488,230 | 797,088 | ||||||
Class R3 Shares | 1,274,357 | 730,067 | ||||||
Net Increase (Decrease) in Net Assets | 35,362,601 | (12,937,755 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 140,074,009 | 153,011,764 | ||||||
End of period | $ | 175,436,610 | $ | 140,074,009 | ||||
Undistributed net investment income | $ | 30,440 | $ | 30,440 |
* | Unaudited. |
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Limited Term Income Fund
Six Months Ended March 31, 2008* | Year Ended September 30, 2007 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 6,531,139 | $ | 13,360,036 | ||||
Net realized gain (loss) on investments | 779,745 | (2,488,007 | ) | |||||
Increase (Decrease) in unrealized appreciation (depreciation) of investments | 3,900,419 | 3,252,405 | ||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 11,211,303 | 14,124,434 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (2,951,990 | ) | (7,108,149 | ) | ||||
Class C Shares | (857,096 | ) | (1,590,499 | ) | ||||
Class I Shares | (2,577,484 | ) | (4,559,897 | ) | ||||
Class R3 Shares | (144,569 | ) | (201,476 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | (20,212,867 | ) | (35,890,344 | ) | ||||
Class C Shares | 5,414,092 | (3,689,930 | ) | |||||
Class I Shares | 11,798,120 | (8,312,790 | ) | |||||
Class R3 Shares | 1,377,277 | 2,841,946 | ||||||
Net Increase (Decrease) in Net Assets | 3,056,786 | (44,386,705 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 305,511,048 | 349,897,753 | ||||||
End of period | $ | 308,567,834 | $ | 305,511,048 | ||||
Undistributed net investment income | $ | 29,903 | $ | 29,903 |
* | Unaudited. |
See notes to financial statements.
Certified Semi-Annual Report 13
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Thornburg Limited Term Income Funds | March 31, 2008 (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 twelve 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 Intermediate Municipal Fund, Thornburg New Mexico Intermediate Municipal Fund, Thornburg New York Intermediate Municipal Fund, Thornburg Value Fund, Thornburg International Value Fund, Thornburg Core Growth Fund, Thornburg Investment Income Builder Fund, Thornburg Global Opportunities Fund, Thornburg International Growth Fund, and Thornburg Strategic Income 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’ primary 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. As a secondary objective, the Funds seek to reduce expected changes in their share prices compared to longer term portfolios.
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 R3) 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 R3) shares. Each class of shares of the Funds 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 within one year, 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 R3 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 may have different reinvestment privileges and conversion rights. Additionally, each Fund may allocate among its classes certain expenses, to the extent allowable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Funds are limited to distribution and service fees, administration 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 Securities: Debt securities have a primary market over the counter and are valued by an independent pricing service approved by the Trustees of the Trust. The pricing service ordinarily values debt securities at quoted bid prices. Quotations for any foreign debt securities in foreign currencies are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation. When quotations are not available, debt securities are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt securities of comparable quality, type of issue, coupon, maturity, and rating; indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
In any case where a pricing service fails to provide a price for a debt security held by the Funds, the valuation and pricing committee determines a fair value for the security using factors approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt security may be unreliable, the valuation and pricing committee decides whether or not to use the pricing service’s valuation or to determine a fair value for the security.
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 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
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Income Funds | March 31, 2008 (Unaudited) |
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 realized 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 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. Paydown gains and losses on these securities are included in interest income. 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 liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
Use of Estimates: The preparation of financial statements, in conformity with generally accepted accounting principles, requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, Thornburg Investment Management, Inc. (the “Advisor”) serves as the investment advisor and performs services to the Funds for which the fees are payable at the end of each month. For the six months ended March 31, 2008, 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 has entered into administrative services agreements with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of each Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to Class A, Class B, Class C, and Class R3 shares, and up to .05 of 1% per annum of the average daily net assets attributable to Class I shares. For the six months ended March 31, 2008, the Advisor voluntarily reimbursed certain class specific expenses and administrative fees of $754, $1,928, $1,674, and $12,766 for the Class B, C, I, and R3 shares, respectively, of the Government Fund and $54,184, $24,761, $9,481, and $18,879 for the Class A, C, I, and R3 shares, respectively, of the Income Fund.
The Trust has an underwriting agreement with Thornburg Securities Corporation (the “Distributor”, an affiliate of the Advisor), which acts as the distributor of each Fund’s shares. For the six months ended March 31, 2008, the Distributor has advised the Funds that they earned net commissions aggregating $22 from the sale of Class A shares of the Government Fund, reimbursed $117 from the sale of Class A shares of the Income Fund, and collected contingent deferred sales charges aggregating $6,754 and $2,124 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 the average daily net assets attributable to the Class A, Class B, Class C, and Class R3 shares of the Funds for payments made by the
Certified Semi-Annual Report 15
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Income Funds | March 31, 2008 (Unaudited) |
Advisor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. The Advisor may pay out of its own resources additional expenses for distribution of each Fund’s shares.
The Trust has also adopted distribution plans pursuant to Rule 12b-1, applicable to each Fund’s Class B, Class C, and Class R3 shares under which the Funds compensate the Distributor for services in promoting the sale of Class B, C, and R3 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 classes. Total fees incurred by the Distributor for each class of shares of the Funds under their respective Service and Distribution Plans for the six months ended March 31, 2008, are set forth in the Statements of Operations. Distribution fees of $78,874 and $107,697, 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 each Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees have been adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the Statements of Operations. For the six months ended March 31, 2008, fees paid indirectly were $2,591 for the Government Fund and $4,874 for the Income Fund. These figures may include additional fees waived by the Custodian.
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, 2008, 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, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | ||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 1,767,318 | $ | 23,478,087 | 1,276,492 | $ | 16,340,009 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 99,347 | 1,318,723 | 190,598 | 2,442,071 | ||||||||||
Shares repurchased | (1,020,058 | ) | (13,513,547 | ) | (2,790,433 | ) | (35,697,062 | ) | ||||||
Net Increase (Decrease) | 846,607 | $ | 11,283,263 | (1,323,343 | ) | $ | (16,914,982 | ) | ||||||
Class B Shares | ||||||||||||||
Shares sold | 78,362 | $ | 1,043,307 | 67,148 | $ | 859,574 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 1,531 | 20,259 | 2,341 | 29,948 | ||||||||||
Shares repurchased | (52,911 | ) | (697,921 | ) | (64,214 | ) | (820,202 | ) | ||||||
Net Increase (Decrease) | 26,982 | $ | 365,645 | 5,275 | $ | 69,320 | ||||||||
Class C Shares | ||||||||||||||
Shares sold | 1,707,494 | $ | 22,874,454 | 805,083 | $ | 10,391,015 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 27,775 | 371,428 | 44,908 | 578,910 | ||||||||||
Shares repurchased | (726,873 | ) | (9,699,413 | ) | (849,163 | ) | (10,950,348 | ) | ||||||
Net Increase (Decrease) | 1,008,396 | $ | 13,546,469 | 828 | $ | 19,577 | ||||||||
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Income Funds | March 31, 2008 (Unaudited) |
GOVERNMENT FUND (cont.) | Six Months Ended March 31, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | ||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class I Shares | ||||||||||||||
Shares sold | 448,854 | $ | 5,966,128 | 449,065 | $ | 5,745,316 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 18,450 | 244,938 | 36,249 | 464,437 | ||||||||||
Shares repurchased | (207,154 | ) | (2,722,836 | ) | (422,642 | ) | (5,412,665 | ) | ||||||
Net Increase (Decrease) | 260,150 | $ | 3,488,230 | 62,672 | $ | 797,088 | ||||||||
Class R3 Shares | ||||||||||||||
Shares sold | 136,675 | $ | 1,822,102 | 202,447 | $ | 2,596,860 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 5,890 | 78,276 | 10,191 | 130,690 | ||||||||||
Shares repurchased | (47,065 | ) | (626,021 | ) | (155,073 | ) | (1,997,483 | ) | ||||||
Net Increase (Decrease) | 95,500 | $ | 1,274,357 | 57,565 | $ | 730,067 | ||||||||
INCOME FUND | Six Months Ended March 31, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | ||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 1,694,041 | $ | 21,331,499 | 2,831,583 | $ | 34,951,535 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 183,613 | 2,312,277 | 452,077 | 5,583,769 | ||||||||||
Shares repurchased | (3,500,228 | ) | (43,856,643 | ) | (6,196,310 | ) | (76,425,648 | ) | ||||||
Net Increase (Decrease) | (1,622,574 | ) | $ | (20,212,867 | ) | (2,912,650 | ) | $ | (35,890,344 | ) | ||||
Class C Shares | ||||||||||||||
Shares sold | 863,080 | $ | 10,890,604 | 590,334 | $ | 7,262,571 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 49,308 | 620,122 | 93,760 | 1,156,118 | ||||||||||
Shares repurchased | (484,818 | ) | (6,096,634 | ) | (982,996 | ) | (12,108,619 | ) | ||||||
Net Increase (Decrease) | 427,570 | $ | 5,414,092 | (298,902 | ) | $ | (3,689,930 | ) | ||||||
Class I Shares | ||||||||||||||
Shares sold | 2,121,244 | $ | 26,673,558 | 1,954,926 | $ | 24,120,287 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 173,579 | 2,186,271 | 335,119 | 4,139,507 | ||||||||||
Shares repurchased | (1,355,012 | ) | (17,061,709 | ) | (2,957,329 | ) | (36,572,584 | ) | ||||||
Net Increase (Decrease) | 939,811 | $ | 11,798,120 | (667,284 | ) | $ | (8,312,790 | ) | ||||||
Class R3 Shares | ||||||||||||||
Shares sold | 216,364 | $ | 2,724,961 | 320,679 | $ | 3,961,502 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 9,624 | 121,267 | 13,801 | 170,430 | ||||||||||
Shares repurchased | (117,045 | ) | (1,468,951 | ) | (104,551 | ) | (1,289,986 | ) | ||||||
Net Increase (Decrease) | 108,943 | $ | 1,377,277 | 229,929 | $ | 2,841,946 | ||||||||
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Income Funds | March 31, 2008 (Unaudited) |
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2008, the Government Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $29,456,690 and $12,000,511, respectively, while the Income Fund had purchase and sale transactions of investment securities (excluding short-term investments and U.S. Government obligations) of $64,846,350 and $48,067,166, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2008, information on the tax components of capital is as follows:
Government Fund | Income Fund | |||||||
Cost of investments for tax purposes | $ | 154,800,071 | $ | 305,575,391 | ||||
Gross unrealized appreciation on a tax basis | $ | 4,839,410 | $ | 6,590,238 | ||||
Gross unrealized depreciation on a tax basis | (112,490 | ) | (3,678,662 | ) | ||||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 4,726,920 | $ | 2,911,576 | ||||
At March 31, 2008, the Government Fund had tax basis capital losses, which may be carried forward to offset future capital gains. Such capital loss carryforwards expire as follows:
2009 | $ | 674,873 | |
2010 | 13,611 | ||
2014 | 3,770 | ||
2015 | 108,190 | ||
$ | 800,444 | ||
At March 31, 2008, the Income Fund had tax basis capital losses, which may be carried forward to offset future capital gains. Such capital loss carryforwards expire as follows:
2008 | $ | 497,824 | |
2009 | 650,941 | ||
2010 | 308,333 | ||
2013 | 1,625,980 | ||
2014 | 601,391 | ||
2015 | 178,155 | ||
$ | 3,862,624 | ||
As of March 31, 2008, the Government Fund had deferred tax basis capital losses occurring subsequent to October 31, 2006 of $1,147,640. For tax purposes, such losses will be reflected in the year ending September 30, 2008. Unutilized tax basis capital losses may be carried forward to offset realized gains in future years. To the extent such carryforwards are used, capital gains distributions may be reduced to the extent provided by regulations.
As of March 31, 2008, the Income Fund had deferred tax basis capital losses occurring subsequent to October 31, 2006 of $2,433,792. For tax purposes, such losses will be reflected in the year ending September 30, 2008.
OTHER NOTES:
FASB Interpretation No. 48:
On July 13, 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes - an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation prescribes a model for how a company, including the Funds, should recognize, measure, present and disclose in its financial statements uncertain tax positions that the company has taken or expects to take on income tax returns, and also revises certain disclosure requirements. The Interpretation became effective for the Funds for the financial statement reporting period ended March 31, 2008. As of the date of this report, management of the Funds have not identified any material effect on the Funds’ financial statements resulting from the implementation of FIN 48.
Statement of Accounting Standards No. 157:
On September 15, 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 defines fair value, provides guidelines for measuring fair value in accordance with generally accepted accounting principles, and addresses disclosures about fair value measurements. FAS 157 establishes a fair value hierarchy that distinguishes between (i) market participant assumptions developed based upon market data obtained from sources independent of the reporting entity (observable inputs) and (ii) the entity’s own assumptions about market participant assumptions developed based upon the best information available under the circumstances (unobservable inputs). FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and is to be applied prospectively as of the beginning of the first fiscal year for which FAS 157 is applied. Management is evaluating FAS 157, and is not in a position at this time to estimate the significance of its impact, if any, on the Funds’ financial statements.
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Income Funds | March 31, 2008 (Unaudited) |
Statement of Accounting Standards No. 161:
In March 2008, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”). FAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. FAS 161 requires enhanced disclosures about any derivative and hedging activities, by the Funds, including how such activities are accounted for and any effect on the Funds’ financial position, performance, and cash flows. Management is evaluating the impact, if any, that the adoption of FAS 161 will have on the Funds’ financial statements and related disclosures.
Certified Semi-Annual Report 19
Table of Contents
Thornburg Limited Term U.S. Government Fund
Six Months Ended March 31, 2008* | Year Ended September 30, | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.97 | $ | 12.75 | $ | 12.76 | $ | 13.01 | $ | 13.22 | $ | 13.27 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.24 | 0.44 | 0.41 | 0.36 | 0.39 | 0.51 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.48 | 0.23 | (0.01 | ) | (0.24 | ) | (0.21 | ) | (0.05 | ) | ||||||||||||||
Total from investment operations | 0.72 | 0.67 | 0.40 | 0.12 | 0.18 | 0.46 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.24 | ) | (0.45 | ) | (0.41 | ) | (0.37 | ) | (0.39 | ) | (0.51 | ) | ||||||||||||
Change in net asset value | 0.48 | 0.22 | (0.01 | ) | (0.25 | ) | (0.21 | ) | (0.05 | ) | ||||||||||||||
NET ASSET VALUE, end of period | $ | 13.45 | $ | 12.97 | $ | 12.75 | $ | 12.76 | $ | 13.01 | $ | 13.22 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (%)(a) | 5.60 | 5.35 | 3.19 | 0.95 | 1.37 | 3.51 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | 3.63 | (b) | 3.45 | 3.22 | 2.82 | 2.95 | 3.77 | |||||||||||||||||
Expenses, after expense reductions (%) | 0.66 | (b) | 0.68 | 0.68 | 0.68 | 0.67 | 0.64 | |||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.65 | (b) | 0.67 | 0.65 | 0.67 | 0.67 | 0.62 | |||||||||||||||||
Expenses, before expense reductions (%) | 0.68 | (b) | 0.74 | 0.78 | 0.80 | 0.77 | 0.82 | |||||||||||||||||
Portfolio turnover rate (%) | 8.28 | 43.35 | 7.47 | 18.00 | 12.39 | 35.06 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 20,053 | $ | 15,963 | $ | 14,900 | $ | 16,075 | $ | 12,905 | $ | 13,085 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
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Thornburg Limited Term Income Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.40 | $ | 12.37 | $ | 12.51 | $ | 12.80 | $ | 12.99 | $ | 12.79 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.29 | 0.54 | 0.54 | 0.51 | 0.47 | 0.55 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.20 | 0.04 | (0.14 | ) | (0.29 | ) | (0.19 | ) | 0.20 | |||||||||||||||
Total from investment operations | 0.49 | 0.58 | 0.40 | 0.22 | 0.28 | 0.75 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.29 | ) | (0.55 | ) | (0.54 | ) | (0.51 | ) | (0.47 | ) | (0.55 | ) | ||||||||||||
Change in net asset value | 0.20 | 0.03 | (0.14 | ) | (0.29 | ) | (0.19 | ) | 0.20 | |||||||||||||||
NET ASSET VALUE, end of period | $ | 12.60 | $ | 12.40 | $ | 12.37 | $ | 12.51 | $ | 12.80 | $ | 12.99 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (%)(a) | 3.95 | 4.76 | 3.30 | 1.77 | 2.29 | 5.89 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | 4.56 | (b) | 4.39 | 4.38 | 3.85 | 3.64 | 4.23 | |||||||||||||||||
Expenses, after expense reductions (%) | 0.67 | (b) | 0.67 | 0.68 | 0.67 | 0.67 | 0.69 | |||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.67 | (b) | 0.67 | 0.67 | 0.67 | 0.67 | 0.69 | |||||||||||||||||
Expenses, before expense reductions (%) | 0.69 | (b) | 0.72 | 0.72 | 0.72 | 0.72 | 0.76 | |||||||||||||||||
Portfolio turnover rate (%) | 21.76 | 41.55 | 6.77 | 23.16 | 22.73 | 18.86 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 117,032 | $ | 103,530 | $ | 111,535 | $ | 99,396 | $ | 90,025 | $ | 59,473 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report 21
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SCHEDULE OF INVESTMENTS | ||
Thornburg Limited Term U.S. Government Fund | March 31, 2008 (Unaudited) |
CUSIPS: CLASS A – 885-215-103, CLASS B – 885-215-848, CLASS C – 885-215-830, CLASS I – 885-215-699, CLASS R3 – 885-215-491
NASDAQ SYMBOLS: CLASS A – LTUSX, CLASS B – LTUBX, CLASS C – LTUCX, CLASS I – LTUIX, CLASS R3 – LTURX
Issuer-Description | Principal Amount | Value | ||||
U.S. TREASURY SECURITIES — 34.22% | ||||||
United States Treasury Notes, 2.625% due 5/15/2008 | $ | 9,000,000 | $ | 9,016,172 | ||
United States Treasury Notes, 5.50% due 5/15/2009 | 8,000,000 | 8,353,750 | ||||
United States Treasury Notes, 3.625% due 1/15/2010 | 16,000,000 | 16,578,751 | ||||
United States Treasury Notes, 4.625% due 10/31/2011 | 2,000,000 | 2,179,688 | ||||
United States Treasury Notes, 3.625% due 5/15/2013 | 11,000,000 | 11,617,891 | ||||
United States Treasury Notes, 4.75% due 5/15/2014 | 3,000,000 | 3,365,156 | ||||
United States Treasury Notes, 4.875% due 8/15/2016 | 6,000,000 | 6,720,000 | ||||
United States Treasury Notes, 4.625% due 2/15/2017 | 2,000,000 | 2,195,625 | ||||
TOTAL U.S. TREASURY SECURITIES (Cost $ 57,273,704) | 60,027,033 | |||||
U.S. GOVERNMENT AGENCIES — 56.71% | ||||||
Federal Agricultural Mtg Corp., 6.71% due 7/28/2014 | 200,000 | 231,689 | ||||
Federal Farm Credit Bank, 5.875% due 7/28/2008 | 1,900,000 | 1,923,785 | ||||
Federal Farm Credit Bank, 5.87% due 9/2/2008 | 1,300,000 | 1,320,374 | ||||
Federal Farm Credit Bank, 5.35% due 12/11/2008 | 200,000 | 204,356 | ||||
Federal Farm Credit Bank, 5.80% due 3/19/2009 | 300,000 | 310,317 | ||||
Federal Farm Credit Bank, 6.75% due 7/7/2009 | 350,000 | 369,799 | ||||
Federal Farm Credit Bank, 6.06% due 5/28/2013 | 240,000 | 268,356 | ||||
Federal Home Loan Bank, 5.48% due 1/8/2009 | 1,250,000 | 1,281,303 | ||||
Federal Home Loan Bank, 5.985% due 4/9/2009 | 1,000,000 | 1,038,882 | ||||
Federal Home Loan Bank, 5.79% due 4/27/2009 | 200,000 | 207,627 | ||||
Federal Home Loan Bank, 5.125% due 4/29/2009 | 1,750,000 | 1,804,707 | ||||
Federal Home Loan Bank, 4.125% due 8/13/2010 | 7,000,000 | 7,261,885 | ||||
Federal Home Loan Mtg Corp., CMO Series 00246, 5.50% due 5/15/2034 | 1,392,429 | 1,429,991 | ||||
Federal Home Loan Mtg Corp., CMO Series 1321 Class TE, 7.00% due 8/15/2022 | 902,696 | 902,696 | ||||
Federal Home Loan Mtg Corp., CMO Series 1616 Class E, 6.50% due 11/15/2008 | 217,741 | 219,183 | ||||
Federal Home Loan Mtg Corp., CMO Series 2509 Class TV, 5.50% due 4/15/2022 | 2,500,000 | 2,577,039 | ||||
Federal Home Loan Mtg Corp., CMO Series 2592 Class PD, 5.00% due 7/15/2014 | 977,614 | 976,108 | ||||
Federal Home Loan Mtg Corp., CMO Series 2744 Class JG, 5.00% due 8/15/2032 | 1,500,000 | 1,491,632 | ||||
Federal Home Loan Mtg Corp., CMO Series 2764 Class UE, 5.00% due 10/15/2032 | 2,000,000 | 1,982,160 | ||||
Federal Home Loan Mtg Corp., CMO Series 2802 Class NE, 5.00% due 2/15/2033 | 1,470,000 | 1,461,640 | ||||
Federal Home Loan Mtg Corp., CMO Series 2814 Class GB, 5.00% due 6/15/2019 | 1,177,627 | 1,179,508 | ||||
Federal Home Loan Mtg Corp., CMO Series 2825 Class VP, 5.50% due 6/15/2015 | 1,484,645 | 1,530,953 | ||||
Federal Home Loan Mtg Corp., CMO Series 2901 Class UB, 5.00% due 3/15/2033 | 2,400,000 | 2,381,781 | ||||
Federal Home Loan Mtg Corp., CMO Series 3067 Class PJ, 5.50% due 7/15/2031 | 3,000,000 | 3,076,182 | ||||
Federal Home Loan Mtg Corp., CMO Series 3078 Class PC, 5.50% due 11/15/2030 | 2,250,000 | 2,311,583 | ||||
Federal Home Loan Mtg Corp., CMO Series 3138 Class PC, 5.50% due 6/15/2032 | 5,000,000 | 5,152,603 | ||||
Federal Home Loan Mtg Corp., CMO Series 3192 Class GB, 6.00% due 1/15/2031 | 1,000,000 | 1,028,937 | ||||
Federal Home Loan Mtg Corp., CMO Series 3216 Class NA, 6.00% due 5/15/2028 | 1,913,015 | 1,952,881 | ||||
Federal Home Loan Mtg Corp., CMO Series 3320 Class TC, 5.50% due 10/15/2032 | 2,000,000 | 2,060,943 | ||||
Federal Home Loan Mtg Corp., CMO Series 3331 Class PB, 6.00% due 1/15/2031 | 2,000,000 | 2,069,992 | ||||
Federal Home Loan Mtg Corp., CMO Series R012 Class AB, 5.50% due 12/15/2020 | 3,582,358 | 3,671,028 | ||||
Federal Home Loan Mtg Corp., Pool # 141412, 8.50% due 4/1/2017 | 37,257 | 41,293 | ||||
Federal Home Loan Mtg Corp., Pool # 1N1736, 5.43% due 4/1/2037 | 2,018,667 | 2,054,445 | ||||
Federal Home Loan Mtg Corp., Pool # 252986, 10.75% due 4/1/2010 | 11,433 | 11,961 | ||||
Federal Home Loan Mtg Corp., Pool # 298107, 10.25% due 8/1/2017 | 24,052 | 27,769 | ||||
Federal Home Loan Mtg Corp., Pool # C90041, 6.50% due 11/1/2013 | 26,214 | 27,421 |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term U.S. Government Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Principal Amount | Value | ||||
Federal Home Loan Mtg Corp., Pool # D37120, 7.00% due 7/1/2023 | $ | 34,527 | $ | 36,752 | ||
Federal Home Loan Mtg Corp., Pool # E49074, 6.50% due 7/1/2008 | 1,699 | 1,760 | ||||
Federal National Mtg Assoc, 5.125% due 12/8/2008 | 3,665,000 | 3,737,834 | ||||
Federal National Mtg Assoc CMO Series 1993-101 Class PJ, 7.00% due 6/25/2008 | 13,505 | 13,493 | ||||
Federal National Mtg Assoc CMO Series 1993-122 Class D, 6.50% due 6/25/2023 | 42,214 | 42,499 | ||||
Federal National Mtg Assoc CMO Series 1993-32 Class H, 6.00% due 3/25/2023 | 100,567 | 102,925 | ||||
Federal National Mtg Assoc CMO Series 2003-92 Class KH, 5.00% due 3/25/2032 | 2,000,000 | 1,995,827 | ||||
Federal National Mtg Assoc CMO Series 2004-35 Class CA, 4.00% due 12/25/2017 | 1,883,435 | 1,884,655 | ||||
Federal National Mtg Assoc CMO Series 2007-42 Class YA, 5.50% due 1/25/2036 | 2,644,615 | 2,660,183 | ||||
Federal National Mtg Assoc CMO Series 2007-65 Class PB, 6.00% due 10/25/2032 | 2,916,000 | 3,000,214 | ||||
Federal National Mtg Assoc CPI Floating Rate Note, 5.221% due 2/17/2009 | 3,000,000 | 3,028,140 | ||||
Federal National Mtg Assoc REMIC Series 2006-B1 Class AB, 6.00% due 6/25/2016 | 3,143,678 | 3,222,964 | ||||
Federal National Mtg Assoc, Pool # 044003, 8.00% due 6/1/2017 | 32,267 | 35,138 | ||||
Federal National Mtg Assoc, Pool # 050811, 7.50% due 12/1/2012 | 24,344 | 25,706 | ||||
Federal National Mtg Assoc, Pool # 050832, 7.50% due 6/1/2013 | 31,863 | 33,583 | ||||
Federal National Mtg Assoc, Pool # 076388, 9.25% due 9/1/2018 | 65,654 | 73,670 | ||||
Federal National Mtg Assoc, Pool # 077725, 9.75% due 10/1/2018 | 2,214 | 2,250 | ||||
Federal National Mtg Assoc, Pool # 100286, 7.50% due 8/1/2009 | 16,977 | 17,194 | ||||
Federal National Mtg Assoc, Pool # 112067, 9.50% due 10/1/2016 | 25,551 | 28,587 | ||||
Federal National Mtg Assoc, Pool # 156156, 8.50% due 4/1/2021 | 18,392 | 19,388 | ||||
Federal National Mtg Assoc, Pool # 190555, 7.00% due 1/1/2014 | 23,402 | 24,716 | ||||
Federal National Mtg Assoc, Pool # 190703, 7.00% due 3/1/2009 | 3,252 | 3,268 | ||||
Federal National Mtg Assoc, Pool # 190836, 7.00% due 6/1/2009 | 10,143 | 10,217 | ||||
Federal National Mtg Assoc, Pool # 250387, 7.00% due 11/1/2010 | 22,943 | 23,564 | ||||
Federal National Mtg Assoc, Pool # 251759, 6.00% due 5/1/2013 | 50,508 | 52,095 | ||||
Federal National Mtg Assoc, Pool # 252648, 6.50% due 5/1/2022 | 131,991 | 138,029 | ||||
Federal National Mtg Assoc, Pool # 303383, 7.00% due 12/1/2009 | 2,272 | 2,310 | ||||
Federal National Mtg Assoc, Pool # 312663, 7.50% due 6/1/2010 | 14,061 | 14,399 | ||||
Federal National Mtg Assoc, Pool # 323706, 7.00% due 2/1/2009 | 4,073 | 4,076 | ||||
Federal National Mtg Assoc, Pool # 334996, 7.00% due 2/1/2011 | 22,723 | 23,399 | ||||
Federal National Mtg Assoc, Pool # 342947, 7.25% due 4/1/2024 | 263,345 | 282,185 | ||||
Federal National Mtg Assoc, Pool # 373942, 6.50% due 12/1/2008 | 2,291 | 2,381 | ||||
Federal National Mtg Assoc, Pool # 384243, 6.10% due 10/1/2011 | 596,990 | 619,632 | ||||
Federal National Mtg Assoc, Pool # 384746, 5.86% due 2/1/2009 | 1,018,556 | 1,019,781 | ||||
Federal National Mtg Assoc, Pool # 385714, 4.70% due 1/1/2010 | 3,060,165 | 3,074,023 | ||||
Federal National Mtg Assoc, Pool # 406384, 8.25% due 12/1/2024 | 128,972 | 139,364 | ||||
Federal National Mtg Assoc, Pool # 443909, 6.50% due 9/1/2018 | 96,012 | 101,590 | ||||
Federal National Mtg Assoc, Pool # 516363, 5.00% due 3/1/2014 | 138,421 | 140,966 | ||||
Federal National Mtg Assoc, Pool # 555207, 7.00% due 11/1/2017 | 44,020 | 45,447 | ||||
Federal National Mtg Assoc, Pool # 895572, 5.664% due 6/1/2036 | 3,195,525 | 3,281,871 | ||||
Government National Mtg Assoc CMO Series 2001-65 Class PG, 6.00% due 7/20/2028 | 114,022 | 114,008 | ||||
Government National Mtg Assoc, Pool # 000623, 8.00% due 9/20/2016 | 47,183 | 50,711 | ||||
Government National Mtg Assoc, Pool # 369693, 7.00% due 1/15/2009 | 13,938 | 14,052 | ||||
Government National Mtg Assoc, Pool # 409921, 7.50% due 8/15/2010 | 16,182 | 16,629 | ||||
Government National Mtg Assoc, Pool # 410240, 7.00% due 12/15/2010 | 18,913 | 19,470 | ||||
Government National Mtg Assoc, Pool # 410271, 7.50% due 8/15/2010 | 21,887 | 22,607 | ||||
Government National Mtg Assoc, Pool # 410846, 7.00% due 12/15/2010 | 34,954 | 35,984 | ||||
Government National Mtg Assoc, Pool # 430150, 7.25% due 12/15/2026 | 30,135 | 31,994 | ||||
Government National Mtg Assoc, Pool # 453928, 7.00% due 7/15/2017 | 56,361 | 59,725 | ||||
Government National Mtg Assoc, Pool # 780063, 7.00% due 9/15/2008 | 633 | 636 | ||||
Government National Mtg Assoc, Pool # 780448, 6.50% due 8/15/2011 | 52,982 | 55,197 | ||||
Overseas Private Investment Corp., 4.10% due 11/15/2014 (1) | 1,752,000 | 1,812,619 | ||||
Private Export Funding Corp., 5.685% due 5/15/2012 | 5,000,000 | 5,501,040 |
Certified Semi-Annual Report 23
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term U.S. Government Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Principal Amount | Value | ||||
Private Export Funding Corp., 4.974% due 8/15/2013 | $ | 2,700,000 | $ | 2,906,123 | ||
Tennessee Valley Authority, 4.75% due 8/1/2013 | 3,000,000 | 3,196,116 | ||||
United States Department of Housing & Urban Development, 3.51% due 8/1/2008 | 850,000 | 854,163 | ||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $97,526,367) | 99,499,958 | |||||
TOTAL INVESTMENTS — 90.93% (Cost $154,800,071) | $ | 159,526,991 | ||||
OTHER ASSETS LESS LIABILITIES — 9.07% | 15,909,619 | |||||
NET ASSETS — 100.00% | $ | 175,436,610 | ||||
Footnote Legend
(1) | Security currently fair valued by the Valuation & Pricing committee using factors approved by the Board of Trustees. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
CMO | Collateralized Mortgage Obligation. |
Mtg | Mortgage |
REMIC | Real Estate Mortgage Investment Conduit |
See notes to financial statements.
24 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS | ||
Thornburg Limited Term Income Fund | March 31, 2008 (Unaudited) |
CUSIPS: CLASS A – 885-215-509, CLASS C – 885-215-764, CLASS I – 885-215-681, CLASS R3 – 885-215-483
NASDAQ SYMBOLS: CLASS A – THIFX, CLASS C – THICX, CLASS I – THIIX, CLASS R3 – THIRX
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
U.S. TREASURY SECURITIES — 2.88% | ||||||||
United States Treasury Notes, 4.75% due 11/15/2008 | Aaa/AAA | $ | 1,000,000 | $ | 1,020,937 | |||
United States Treasury Notes, 5.125% due 5/15/2016 | Aaa/AAA | 1,000,000 | 1,138,750 | |||||
United States Treasury Notes, 4.875% due 8/15/2016 | Aaa/AAA | 6,000,000 | 6,720,000 | |||||
TOTAL U.S. TREASURY SECURITIES (Cost $8,068,192) | 8,879,687 | |||||||
U.S. GOVERNMENT AGENCIES — 6.72% | ||||||||
Federal Home Loan Bank, 5.785% due 4/14/2008 | Aaa/AAA | 75,000 | 75,103 | |||||
Federal Home Loan Bank, 5.835% due 7/15/2008 | Aaa/AAA | 300,000 | 303,293 | |||||
Federal Home Loan Bank, 5.085% due 10/7/2008 | Aaa/AAA | 250,000 | 253,752 | |||||
Federal Home Loan Bank, 5.038% due 10/14/2008 | Aaa/AAA | 200,000 | 203,058 | |||||
Federal Home Loan Bank, 5.365% due 12/11/2008 | Aaa/AAA | 75,000 | 76,631 | |||||
Federal Home Loan Bank, 4.50% due 12/15/2008 | Aaa/AAA | 3,000,000 | 3,048,154 | |||||
Federal Home Loan Bank, 5.985% due 4/9/2009 | Aaa/AAA | 85,000 | 88,305 | |||||
Federal Home Loan Mtg Corp., CMO Series 2814 Class GB, 5.00% due 6/15/2019 | Aaa/AAA | 1,177,627 | 1,179,508 | |||||
Federal Home Loan Mtg Corp., CMO Series 3192 Class GB, 6.00% due 1/15/2031 | Aaa/AAA | 2,000,000 | 2,057,874 | |||||
Federal National Mtg Assoc, 6.00% due 12/1/2008 | Aaa/AAA | 9,227 | 9,516 | |||||
Federal National Mtg Assoc, 8.00% due 12/1/2009 | Aaa/AAA | 14,246 | 14,655 | |||||
Federal National Mtg Assoc, 7.00% due 3/1/2011 | Aaa/AAA | 14,486 | 14,878 | |||||
Federal National Mtg Assoc, 6.42% due 4/1/2011 | Aaa/AAA | 2,295,518 | 2,289,965 | |||||
Federal National Mtg Assoc, 5.095% due 12/1/2011 | Aaa/AAA | 121,699 | 125,896 | |||||
Federal National Mtg Assoc, 7.491% due 8/1/2014 | Aaa/AAA | 29,267 | 29,989 | |||||
Federal National Mtg Assoc CMO Series 2003-64 Class EC, 5.50% due 5/25/2030 | Aaa/AAA | 456,047 | 462,030 | |||||
Federal National Mtg Assoc CMO Series 2007-65 Class PB, 6.00% due 10/25/2032 | Aaa/AAA | 3,000,000 | 3,086,640 | |||||
Federal National Mtg Assoc CPI Floating Rate Note, 5.221% due 2/17/2009 | Aaa/AAA | 5,000,000 | 5,046,900 | |||||
Government National Mtg Assoc, Pool # 003007, 8.50% due 11/20/2015 | Aaa/AAA | 23,226 | 25,129 | |||||
Government National Mtg Assoc, Pool # 827148, 6.375% due 2/20/2024 | Aaa/AAA | 37,150 | 38,036 | |||||
Small Business Administration, 4.638% due 2/10/2015 | NR/NR | 2,323,159 | 2,318,390 | |||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $20,554,378) | 20,747,702 | |||||||
ASSET BACKED SECURITIES — 12.67% | ||||||||
BANKS — 4.24% | ||||||||
COMMERCIAL BANKS — 3.91% | ||||||||
Wachovia Bank Commercial Mtg Trust Series 2005-C21 Class A-4, 5.21% due 10/15/2044 | Aaa/AAA | 5,000,000 | 4,512,950 | |||||
Wachovia Bank Commercial Mtg Trust Series 2005-C22 Class A-4, 5.266% due 12/15/2044 | Aaa/AAA | 5,000,000 | 4,654,997 | |||||
Wells Fargo Asset Securities Corp. Series 2005-AR2 Class B1, 4.545% due 2/25/2035 | Aa2/AA | 999,259 | 796,043 | |||||
Wells Fargo Asset Securities Corp. Series 2005-AR2 Class B1, 4.684% due 3/25/2035 | NR/NR | 1,071,707 | 847,339 | |||||
Wells Fargo Mtg Backed Securities Series 2005-3 Class-A10, 5.50% due 5/25/2035 | Aaa/NR | 1,267,955 | 1,269,213 | |||||
THRIFTS & MORTGAGE FINANCE — 0.33% | ||||||||
Washington Mutual Series 03-AR10, Class-A4, 4.055% due 10/25/2033 | Aaa/AAA | 196,023 | 195,873 | |||||
Washington Mutual Series 05-AR4, Class-A4b, 4.671% due 4/25/2035 | Aaa/AAA | 830,000 | 808,851 | |||||
13,085,266 | ||||||||
CONSUMER SERVICES — 2.04% | ||||||||
HOTELS, RESTAURANTS & LEISURE — 2.04% | ||||||||
Dunkin 2006-1 Class A2, 5.779% due 6/20/2031 | Aaa/AAA | 4,000,000 | 3,590,360 |
Certified Semi-Annual Report 25
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
IHOP Franchising LLC Series 2007-1A Class A1, 5.144% due 3/20/2037 (1) | Baa3/BBB- | $ | 3,000,000 | $ | 2,700,000 | |||
6,290,360 | ||||||||
DIVERSIFIED FINANCIALS — 6.39% | ||||||||
CAPITAL MARKETS — 3.01% | ||||||||
Bear Stearns Mtg Series 2004-3 Class 1-A2, 5.686% due 7/25/2034 | Aaa/AAA | 597,826 | 507,241 | |||||
GSR Mtg Loan Trust Series 2004-3F Class 2-A10, 10.728% due 2/25/2034 | NR/AAA | 659,862 | 555,103 | |||||
Legg Mason Mortgage Capital Corp., 5.576% due 6/1/2009 (1) | NR/NR | 1,714,286 | 1,714,286 | |||||
Merrill Lynch Mtg Investors, 4.231% due 8/25/2034 | NR/AA | 993,776 | 813,093 | |||||
Merrill Lynch Mtg Investors, Series 2003 E Class B3, 4.099% due 10/25/2028 (1) | A2/A+ | 1,767,892 | 1,626,461 | |||||
Salomon Brothers Mtg Secs VII Mtg Series 1999-C1 Class D, 7.07% due 5/18/2032 | Aaa/NR | 4,000,000 | 4,082,065 | |||||
DIVERSIFIED FINANCIAL SERVICES — 3.38% | ||||||||
Banc America Mtg Secs, Inc. Series 2005 A Class B1 Floating Rate Note, 4.88% due 2/25/2035 | NR/NR | 2,935,083 | 2,431,894 | |||||
Citigroup Commercial Mtg Trust Series 2004-HYB2 Class B1, 5.156% due 3/25/2034 | Aa2/AA | 800,349 | 692,516 | |||||
Countrywide Home Loan Series 2004 Class 1-A, 5.721% due 7/20/2034 | Aaa/AAA | 1,165,699 | 1,186,325 | |||||
FNBC Trust Series 1993 A, 8.08% due 1/5/2018 | Aaa/AA | 1,040,163 | 1,295,398 | |||||
JP Morgan Chase Commercial Mtg Series 2004-C3 Class A-5, 4.878% due 1/15/2042 | Aaa/NR | 5,000,000 | 4,823,831 | |||||
19,728,213 | ||||||||
TOTAL ASSET BACKED SECURITIES (Cost $41,106,667) | 39,103,839 | |||||||
CORPORATE BONDS — 57.76% | ||||||||
BANKS — 4.55% | ||||||||
COMMERCIAL BANKS — 4.55% | ||||||||
Fifth Third Bank, Cincinnati Ohio, 3.375% due 8/15/2008 | Aa2/AA- | 2,500,000 | 2,497,683 | |||||
Household Finance Corp., 6.40% due 9/15/2009 | Aa3/AA- | 400,000 | 413,494 | |||||
Household Finance Corp. CPI Floating Rate Note, 5.65% due 8/10/2009 | Aa3/AA- | 5,000,000 | 5,027,600 | |||||
National City Bank, 7.25% due 7/15/2010 | Wr/A | 2,000,000 | 2,023,608 | |||||
National Westminster Bank, 7.375% due 10/1/2009 | Aa1/AA- | 715,000 | 754,675 | |||||
Nations Bank Corp., 7.23% due 8/15/2012 | Aa2/AA | 250,000 | 277,419 | |||||
Sovereign Bank, 5.125% due 3/15/2013 | Baa1/BBB | 400,000 | 363,326 | |||||
Suntrust Bank Atlanta, GA, 5.20% due 1/17/2017 | Aa3/A+ | 400,000 | 359,848 | |||||
US Bank, 6.30% due 7/15/2008 | Aa2/AA | 400,000 | 403,082 | |||||
Whitney National Bank, 5.875% due 4/1/2017 | A3/BBB | 2,000,000 | 1,918,482 | |||||
14,039,217 | ||||||||
CAPITAL GOODS — 7.15% | ||||||||
ELECTRICAL EQUIPMENT — 0.64% | ||||||||
Emerson Electric Co., 5.75% due 11/1/2011 | A2/A | 800,000 | 855,854 | |||||
Hubbell Inc., 6.375% due 5/15/2012 | A3/A+ | 1,000,000 | 1,122,739 | |||||
INDUSTRIAL CONGLOMERATES — 2.28% | ||||||||
General Electric Capital Corp., 7.75% due 6/9/2009 | Aaa/AAA | 200,000 | 209,020 | |||||
General Electric Capital Corp., 7.375% due 1/19/2010 | Aaa/AAA | 400,000 | 428,672 | |||||
General Electric Capital Corp. Floating Rate Note, 2.808% due 5/30/2008 | Aaa/AAA | 494,000 | 492,850 | |||||
General Electric Capital Corp. Floating Rate Note, 2.92% due 12/15/2009 | Aaa/AAA | 1,000,000 | 989,910 | |||||
General Electric Capital Corp. Floating Rate Note, 2.079% due 3/2/2009 | Aaa/AAA | 5,000,000 | 4,925,000 | |||||
MACHINERY — 4.23% | ||||||||
General American Railcar Corp., 6.69% due 9/20/2016 | A3/AA- | 180,433 | 212,150 | |||||
Illinois Tool Works Cupids Financing Trust, 6.55% due 12/31/2011 | Aa3/NR | 5,000,000 | 5,338,280 | |||||
John Deere Capital Corp. Floating Rate Note, 3.115% due 6/10/2008 | A2/A | 4,415,000 | 4,413,203 |
26 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Pentair, Inc., 7.85% due 10/15/2009 | Baa3/BBB | $ | 3,000,000 | $ | 3,088,122 | |||
22,075,800 | ||||||||
COMMERCIAL SERVICES & SUPPLIES — 1.10% | ||||||||
COMMERCIAL SERVICES & SUPPLIES — 1.10% | ||||||||
Science Applications International Corp., 6.25% due 7/1/2012 | A3/A- | 1,000,000 | 1,100,483 | |||||
Waste Management, Inc., 6.875% due 5/15/2009 | Baa3/BBB | 725,000 | 743,762 | |||||
Waste Management, Inc., 7.375% due 8/1/2010 | Baa3/BBB | 500,000 | 526,751 | |||||
Waste Management, Inc., 6.50% due 11/15/2008 | Baa3/BBB | 1,000,000 | 1,019,887 | |||||
3,390,883 | ||||||||
CONSUMER DURABLES & APPAREL — 0.82% | ||||||||
TEXTILES, APPAREL & LUXURY GOODS — 0.82% | ||||||||
Nike, Inc., 5.15% due 10/15/2015 | A2/A+ | 2,315,000 | 2,542,548 | |||||
2,542,548 | ||||||||
DIVERSIFIED FINANCIALS — 10.19% | ||||||||
CAPITAL MARKETS — 4.07% | ||||||||
Bear Stearns Co., Inc., 4.50% due 10/28/2010 | Baa1/AA- | 1,500,000 | 1,413,621 | |||||
Goldman Sachs Group, Inc., 5.625% due 1/15/2017 | A1/A+ | 1,900,000 | 1,822,717 | |||||
Lehman Brothers Holdings, Inc., 3.50% due 8/7/2008 | A1/A+ | 700,000 | 689,276 | |||||
Lehman Brothers Holdings, Inc., 6.00% due 7/19/2012 | A1/A+ | 1,500,000 | 1,480,511 | |||||
Lehman Brothers Holdings, Inc., 5.625% due 1/24/2013 | A1/A+ | 2,800,000 | 2,722,622 | |||||
Merrill Lynch & Co., 4.125% due 9/10/2009 | A1/A+ | 2,000,000 | 1,958,870 | |||||
Merrill Lynch & Co. Floating Rate Note, 2.951% due 8/14/2009 | A1/A+ | 2,000,000 | 1,957,882 | |||||
Northern Trust Co., 6.25% due 6/2/2008 | A1/A+ | 500,000 | 502,984 | |||||
CONSUMER FINANCE — 3.23% | ||||||||
American General Finance Corp., 4.625% due 9/1/2010 | A1/A+ | 200,000 | 199,281 | |||||
American Honda Finance Corp., 5.125% due 12/15/2010 | Aa3/A+ | 1,500,000 | 1,571,451 | |||||
Capital One Bank, 6.70% due 5/15/2008 | A2/A- | 2,025,000 | 2,025,934 | |||||
SLM Corp. Floating Rate Note, 1.82% due 9/15/2008 | Baa2/BBB- | 1,675,000 | 1,609,730 | |||||
SLM Corp. Floating Rate Note, 3.541% due 7/25/2008 | Baa2/BBB- | 3,000,000 | 2,948,586 | |||||
Toyota Motor Credit Corp., 2.875% due 8/1/2008 | Aaa/AAA | 800,000 | 798,701 | |||||
Toyota Motor Credit Corp., 4.35% due 12/15/2010 | Aaa/AAA | 800,000 | 824,755 | |||||
DIVERSIFIED FINANCIAL SERVICES — 2.89% | ||||||||
Bank of America Institutional Series B, 7.70% due 12/31/2026 | Aa3/A+ | 2,000,000 | 1,998,850 | |||||
JP Morgan Chase Co., 4.50% due 11/15/2010 | Aa2/AA- | 1,465,000 | 1,485,145 | |||||
JP Morgan Chase Co. CPI Floating Rate Note, 5.46% due 6/28/2009 | Aa2/AA- | 5,000,000 | 5,045,000 | |||||
US Central Credit Union, 2.75% due 5/30/2008 | Aa1/AA+ | 375,000 | 374,830 | |||||
31,430,746 | ||||||||
ENERGY — 2.66% | ||||||||
ENERGY EQUIPMENT & SERVICES — 0.66% | ||||||||
Detroit Edison Corporate Senior Note Series D, 5.40% due 8/1/2014 | A3/A- | 2,000,000 | 2,035,196 | |||||
OIL, GAS & CONSUMABLE FUELS — 2.00% | ||||||||
Chevron Phillips Chemical, 7.00% due 3/15/2011 | Baa1/BBB+ | 500,000 | 554,587 | |||||
Enbridge, Inc., 5.80% due 6/15/2014 | Baa1/A- | 2,000,000 | 2,027,830 | |||||
Energy Transfer Partners LP, 6.00% due 7/1/2013 | Baa3/BBB- | 1,000,000 | 1,005,887 | |||||
Enterprise Products Participating LP, 7.50% due 2/1/2011 | Baa3/BBB- | 250,000 | 268,555 | |||||
Murphy Oil Corp., 6.375% due 5/1/2012 | Baa3/BBB | 750,000 | 782,807 | |||||
Phillips Petroleum Co., 9.375% due 2/15/2011 | A1/A | 900,000 | 1,037,893 |
Certified Semi-Annual Report 27
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Phillips Petroleum Co., 8.75% due 5/25/2010 | A1/A | $ | 250,000 | $ | 279,015 | |||
Union Oil Co. California, 7.90% due 4/18/2008 | WR/AA | 200,000 | 200,430 | |||||
8,192,200 | ||||||||
FOOD & STAPLES RETAILING — 0.31% | ||||||||
FOOD & STAPLES RETAILING — 0.31% | ||||||||
Wal-Mart Stores, Inc., 6.875% due 8/10/2009 | Aa2/AA | 900,000 | 950,048 | |||||
950,048 | ||||||||
FOOD, BEVERAGE & TOBACCO — 2.18% | ||||||||
BEVERAGES — 0.73% | ||||||||
Anheuser Busch Co., Inc., 4.375% due 1/15/2013 | A2/A | 2,000,000 | 2,030,512 | |||||
Coca Cola Co., 5.75% due 3/15/2011 | Aa3/A+ | 200,000 | 214,988 | |||||
FOOD PRODUCTS — 1.13% | ||||||||
Conagra, Inc., 7.875% due 9/15/2010 | Baa2/BBB+ | 100,000 | 109,248 | |||||
General Mills, 5.20% due 3/17/2015 | Baa1/BBB+ | 1,000,000 | 1,002,848 | |||||
General Mills, 5.50% due 1/12/2009 | Baa1/BBB+ | 300,000 | 303,706 | |||||
Kraft Foods, Inc., 6.00% due 2/11/2013 | Baa2/BBB+ | 2,000,000 | 2,067,726 | |||||
TOBACCO — 0.32% | ||||||||
UST, Inc., 5.75% due 3/1/2018 | A3/A | 1,000,000 | 1,010,469 | |||||
6,739,497 | ||||||||
HEALTH CARE EQUIPMENT & SERVICES — 0.99% | ||||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.67% | ||||||||
Covidien International Financing SA Senior Note 144A, 6.00% due 10/15/2017 | Baa1/A- | 2,000,000 | 2,061,406 | |||||
HEALTH CARE PROVIDERS & SERVICES — 0.32% | ||||||||
Unitedhealth Group, Inc., 6.00% due 2/15/2018 | Baa1/A- | 1,000,000 | 979,517 | |||||
3,040,923 | ||||||||
INSURANCE — 8.80% | ||||||||
INSURANCE — 8.80% | ||||||||
American International Group, Inc., 5.85% due 1/16/2018 | Aa2/AA | 1,000,000 | 981,341 | |||||
Berkshire Hathaway Finance Corp. Senior Note, 4.625% due 10/15/2013 | Aaa/AAA | 1,000,000 | 1,043,960 | |||||
Hartford Financial Services Group, Inc. Senior Note, 4.625% due 7/15/2013 | A2/A | 1,000,000 | 984,802 | |||||
International Lease Finance Corp., 4.55% due 10/15/2009 | A1/AA- | 2,500,000 | 2,495,753 | |||||
International Lease Finance Corp., 5.00% due 9/15/2012 | A1/AA- | 2,000,000 | 1,935,444 | |||||
International Lease Finance Corp. Floating Rate Note, 4.658% due 1/15/2010 | A1/AA- | 4,050,000 | 3,882,723 | |||||
Liberty Mutual Group, Inc., 5.75% due 3/15/2014 | Baa2/BBB | 1,000,000 | 1,033,154 | |||||
Lincoln National Corp., 4.75% due 2/15/2014 | A3/A+ | 1,000,000 | 987,072 | |||||
Pacific Life Global Funding CPI Floating Rate Note, 5.72% due 2/6/2016 | Aa3/AA | 8,000,000 | 8,267,280 | |||||
Principal Financial Group Australia, 8.20% due 8/15/2009 | A2/A | 700,000 | 740,460 | |||||
Principal Life Global Funding, 4.40% due 10/1/2010 | Aa2/AA | 4,000,000 | 4,078,500 | |||||
UnumProvident Corp., 7.625% due 3/1/2011 | Ba1/BB+ | 691,000 | 735,337 | |||||
27,165,826 | ||||||||
MATERIALS — 1.73% | ||||||||
CHEMICALS — 1.10% | ||||||||
Dow Chemical Co., 5.75% due 12/15/2008 | A3/A- | 350,000 | 355,159 | |||||
E.I. du Pont de Nemours & Co., 4.75% due 11/15/2012 | A2/A | 1,000,000 | 1,030,439 | |||||
E.I. du Pont de Nemours & Co., 4.125% due 3/6/2013 | A2/A | 325,000 | 326,503 |
28 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
E.I. du Pont de Nemours & Co., 5.00% due 1/15/2013 | A2/A | $ | 1,000,000 | $ | 1,041,251 | |||
Lubrizol Corp. Senior Note, 5.875% due 12/1/2008 | Baa3/BBB- | 635,000 | 644,364 | |||||
METALS & MINING — 0.63% | ||||||||
BHP Billiton Finance, 5.40% due 3/29/2017 | A1/A+ | 2,000,000 | 1,947,322 | |||||
5,345,038 | ||||||||
MEDIA — 1.61% | ||||||||
MEDIA — 1.61% | ||||||||
AOL Time Warner, Inc., 6.75% due 4/15/2011 | Baa2/BBB+ | 750,000 | 771,255 | |||||
Comcast Corp., 6.30% due 11/15/2017 | Baa2/BBB+ | 1,000,000 | 1,012,130 | |||||
E W Scripps Co. Ohio, 5.75% due 7/15/2012 | A2/A | 80,000 | 81,910 | |||||
Thomson Corp., 4.25% due 8/15/2009 | Baa1/A- | 2,900,000 | 2,896,978 | |||||
Time Warner, Inc., 8.05% due 1/15/2016 | Baa2/BBB+ | 200,000 | 213,269 | |||||
4,975,542 | ||||||||
MISCELLANEOUS — 1.17% | ||||||||
MISCELLANEOUS — 1.17% | ||||||||
Stanford University, 5.85% due 3/15/2009 | Aaa/NR | 3,500,000 | 3,600,194 | |||||
3,600,194 | ||||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 0.75% | ||||||||
PHARMACEUTICALS — 0.75% | ||||||||
Abbott Labs, 3.75% due 3/15/2011 | A1/AA | 500,000 | 505,529 | |||||
Tiers Inflation Linked Trust Series Wyeth 2004-21 Trust Certificate CPI Floating Rate Note, 5.931% due 2/1/2014 | Baa1/A+ | 2,000,000 | 1,814,760 | |||||
2,320,289 | ||||||||
RETAILING — 1.21% | ||||||||
MULTILINE RETAIL — 1.21% | ||||||||
Nordstrom, Inc., 6.25% due 1/15/2018 | Baa1/A- | 2,000,000 | 1,990,846 | |||||
Target, 6.00% due 1/15/2018 | A2/A+ | 1,700,000 | 1,740,237 | |||||
3,731,083 | ||||||||
SOFTWARE & SERVICES — 2.04% | ||||||||
INFORMATION TECHNOLOGY SERVICES — 2.04% | ||||||||
Computer Sciences Corp., 6.25% due 3/15/2009 | Baa1/A- | 300,000 | 304,986 | |||||
Computer Sciences Corp., 3.50% due 4/15/2008 | Baa1/A- | 2,000,000 | 1,999,528 | |||||
Computer Sciences Corp. 144A, 5.50% due 3/15/2013 | Baa1/A- | 3,000,000 | 3,010,068 | |||||
Electronic Data Systems Corp., 6.50% due 8/1/2013 | Baa3/BBB- | 1,000,000 | 991,178 | |||||
6,305,760 | ||||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 0.50% | ||||||||
COMMUNICATIONS EQUIPMENT — 0.34% | ||||||||
Cisco Systems, Inc., 5.25% due 2/22/2011 | A1/A+ | 1,000,000 | 1,043,883 | |||||
ELECTRONIC EQUIPMENT & INSTRUMENTS — 0.16% | ||||||||
Jabil Circuit, Inc., 5.875% due 7/15/2010 | Ba1/BB+ | 500,000 | 493,824 | |||||
1,537,707 | ||||||||
Certified Semi-Annual Report 29
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
TELECOMMUNICATION SERVICES — 0.32% | ||||||||
WIRELESS TELECOMMUNICATION SERVICES — 0.32% | ||||||||
Vodafone Group plc, 5.625% due 2/27/2017 | Baa1/A- | $ | 1,000,000 | $ | 972,352 | |||
972,352 | ||||||||
TRANSPORTATION — 0.05% | ||||||||
AIRLINES — 0.05% | ||||||||
Continental Airlines Series 1997-4 Class 4-A, 6.90% due 1/2/2018 | Baa2/BBB+ | 157,888 | 151,967 | |||||
151,967 | ||||||||
UTILITIES — 9.63% | ||||||||
ELECTRIC UTILITIES — 7.31% | ||||||||
AEP Texas Central Transition Bond A1, 4.98% due 1/1/2010 | Aaa/AAA | 1,688,912 | 1,714,775 | |||||
Appalachian Power Co., 6.60% due 5/1/2009 (Insured: MBIA) | Aaa/AAA | 175,000 | 180,258 | |||||
Commonwealth Edison Co., 4.74% due 8/15/2010 | Baa2/BBB | 975,000 | 997,602 | |||||
Commonwealth Edison Co. Series 108, 5.80% due 3/15/2018 | Baa2/BBB | 1,000,000 | 994,743 | |||||
Duke Energy, 5.25% due 1/15/2018 | A2/A | 1,000,000 | 1,019,079 | |||||
Entergy Gulf States, Inc., 5.12% due 8/1/2010 | Baa3/BBB+ | 1,800,000 | 1,810,150 | |||||
Entergy Gulf States, Inc., 5.70% due 6/1/2015 | Baa3/BBB+ | 2,300,000 | 2,227,775 | |||||
Florida Power & Light Co., 5.55% due 11/1/2017 | Aa3/A | 1,000,000 | 1,046,837 | |||||
Great River Energy Series 2007-A, 5.829% due 7/1/2017 (Insured: MBIA) | Aaa/AAA | 5,000,000 | 5,196,950 | |||||
Gulf Power Co., 4.35% due 7/15/2013 | A2/A | 925,000 | 903,695 | |||||
Madison Gas & Electric Co., 6.02% due 9/15/2008 | Aa3/AA- | 950,000 | 960,856 | |||||
MP Environmental, 4.982% due 7/1/2014 (1) | Aaa/AAA | 4,452,626 | 4,508,284 | |||||
PPL Energy Supply LLC, 6.50% due 5/1/2018 | Baa2/BBB | 1,000,000 | 994,104 | |||||
GAS UTILITIES — 0.21% | ||||||||
Questar Pipeline Co., 6.05% due 12/1/2008 | A3/A- | 425,000 | 428,800 | |||||
Southern California Gas Co., 4.375% due 1/15/2011 | A1/NR | 225,000 | 229,772 | |||||
MULTI-UTILITIES — 2.11% | ||||||||
Northern States Power Co., 4.75% due 8/1/2010 | A2/A | 2,825,000 | 2,920,686 | |||||
Union Electric Co., 4.65% due 10/1/2013 | A3/BBB | 2,000,000 | 1,988,704 | |||||
Wisconsin Energy Corp., 5.50% due 12/1/2008 | A3/BBB+ | 350,000 | 354,687 | |||||
Wisconsin Public Service Corp., 6.125% due 8/1/2011 (2) | Aa3/A+ | 1,150,000 | 1,230,245 | |||||
29,708,002 | ||||||||
TOTAL CORPORATE BONDS (Cost $176,090,936) | 178,215,622 | |||||||
MUNICIPAL BONDS — 18.69% | ||||||||
Amelia County IDA, 4.90% due 4/1/2027 put 4/1/2010 (Waste Management) (AMT) (3) | NR/BBB | 1,000,000 | 998,120 | |||||
American Campus Properties Student Housing, 7.38% due 9/1/2012 (Insured: MBIA) | Aaa/AAA | 2,975,000 | 3,275,891 | |||||
American Fork City Utah Sales, 4.89% due 3/1/2012 (Insured: FSA) | Aaa/AAA | 300,000 | 310,671 | |||||
American Fork City Utah Sales, 5.07% due 3/1/2013 (Insured: FSA) | Aaa/AAA | 120,000 | 125,191 | |||||
Arkansas Electric Coop Corp., 7.33% due 6/30/2008 | A2/AA- | 37,000 | 37,221 | |||||
Austin Texas Electric Utility System Refunding, 5.218% due 11/15/2017 (Insured: Assured Guaranty) | Aaa/AAA | 1,000,000 | 1,028,280 | |||||
Brockton MA Taxable Economic Development Series A, 6.45% due 5/1/2017 (Insured: FGIC) | A2/A | 150,000 | 165,737 | |||||
Burbank California Waste Disposal Revenue, 5.48% due 5/1/2008 (Insured: FSA) | Aaa/AAA | 310,000 | 310,747 | |||||
California State, 5.168% due 10/1/2037 | A1/A+ | 2,000,000 | 2,015,120 | |||||
Cleveland Cuyahoga County Ohio, 6.10% due 5/15/2013 | NR/BBB+ | 1,330,000 | 1,375,805 | |||||
Cook County Illinois School District 083, 4.625% due 12/1/2010 (Insured: FSA) | Aaa/NR | 250,000 | 261,408 | |||||
Cook County Illinois School District 083, 4.875% due 12/1/2011 (Insured: FSA) | Aaa/NR | 150,000 | 158,579 |
30 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Elkhart Indiana Redevelopment District Revenue, 4.80% due 6/15/2011 (ETM) | Aaa/NR | $ | 240,000 | $ | 250,774 | |||
Elkhart Indiana Redevelopment District Revenue, 4.80% due 12/15/2011 (ETM) | Aaa/NR | 245,000 | 256,209 | |||||
Elkhart Indiana Redevelopment District Revenue, 5.05% due 12/15/2012 (ETM) | Aaa/NR | 515,000 | 548,928 | |||||
Elkhart Indiana Redevelopment District Revenue, 5.25% due 12/15/2013 pre-refunded 6/15/2013 | Aaa/NR | 540,000 | 574,538 | |||||
Grant County Washington Water Public Utility District 2 Series Z, 5.14% due 1/1/2014 (Insured: FGIC) | Aa2/AA- | 1,015,000 | 1,053,763 | |||||
Green Bay Wisconsin Series B, 4.875% due 4/1/2011 (Insured: MBIA) | Aaa/NR | 365,000 | 377,775 | |||||
Hancock County Mississippi, 4.20% due 8/1/2008 (Insured: MBIA) | Aaa/NR | 305,000 | 306,135 | |||||
Hancock County Mississippi, 4.80% due 8/1/2010 (Insured: MBIA) | Aaa/NR | 245,000 | 246,063 | |||||
Hancock County Mississippi, 4.90% due 8/1/2011 (Insured: MBIA) | Aaa/NR | 315,000 | 316,172 | |||||
Hanover Pennsylvania Area School District Notes Series B, 4.47% due 3/15/2013 (Insured: FSA) | Aaa/AAA | 1,385,000 | 1,438,461 | |||||
Hillsborough County IDA PCR, 5.00% due 12/1/2034 put 3/15/2012 (Tampa Electric Co.; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 990,020 | |||||
Jefferson County Texas Navigation Refunding, 5.50% due 5/1/2010 (Insured: FSA) | Aaa/NR | 500,000 | 500,990 | |||||
Jersey City New Jersey Municipal Utilities Authority, 3.72% due 5/15/2009 (Insured: MBIA) | Aaa/AAA | 575,000 | 572,620 | |||||
Kendall Kane County Illinois School District 308, 5.50% due 10/1/2011 (Insured: FGIC) | A1/NR | 365,000 | 384,666 | |||||
Los Angeles County California Pension Series C, 0% due 6/30/2008 (Insured: MBIA) | Aaa/AAA | 300,000 | 298,041 | |||||
Louisiana Public Facilities Authority, 5.72% due 7/1/2015 (Insured: CIFG) | A1/A+ | 1,770,000 | 1,823,773 | |||||
Maryland State Economic Development Corp., 7.25% due 6/1/2008 (Maryland Tech Development Center) | NR/NR | 100,000 | 100,702 | |||||
Mississippi Development Bank Special Obligation Refinance Harrison County B, 5.21% due 7/1/2013 (Insured: FSA) | NR/AAA | 1,200,000 | 1,271,976 | |||||
Missouri State Development Finance Board Series A, 5.45% due 3/1/2011 (Crackerneck Creek) | NR/A+ | 1,090,000 | 1,152,697 | |||||
Missouri State Environmental Improvement Energy, 5.25% due 7/1/2017 (K.C. Power & Light) | A2/A | 3,500,000 | 3,454,710 | |||||
Montgomery County Maryland Revenue Authority, 5.00% due 2/15/2012 | Aa2/AA+ | 100,000 | 105,058 | |||||
Multnomah County Oregon School District 1J Refunding Taxable, 4.191% due 6/15/2008 | A1/A | 650,000 | 651,878 | |||||
New Jersey Health Care Facilities Financing, 10.75% due 7/1/2010 (ETM) | NR/NR | 295,000 | 325,763 | |||||
New Jersey Health Care Facilities Financing, 7.70% due 7/1/2011 (Insured: Connie Lee) | NR/AAA | 90,000 | 97,205 | |||||
New Mexico Mtg Finance Authority Single Family Mtg I D 2, 5.77% due 1/1/2016 (GNMA/FNMA/ FHLMC) | NR/AAA | 910,000 | 994,803 | |||||
New Rochelle New York Industrial Development Agency, 7.15% due 10/1/2014 (LOC: Bank of New York) | Aaa/A+ | 360,000 | 403,700 | |||||
New York Environmental Facilities, 5.85% due 3/15/2011 | NR/AA- | 3,500,000 | 3,762,185 | |||||
New York State Housing Finance, 4.46% due 8/15/2009 | Aa1/NR | 180,000 | 182,261 | |||||
New York State Urban Development Corp., 4.75% due 12/15/2011 | NR/AAA | 1,400,000 | 1,470,546 | |||||
Newark New Jersey, 4.70% due 4/1/2011 (Insured: MBIA) | Aaa/NR | 845,000 | 870,291 | |||||
Newark New Jersey, 4.90% due 4/1/2012 (Insured: MBIA) | Aaa/NR | 1,225,000 | 1,262,644 | |||||
Niagara Falls New York Public Water, 4.30% due 7/15/2010 (Insured: MBIA) | Aaa/AAA | 360,000 | 366,646 | |||||
Northwest Open Access Network Washington Revenue, 6.18% due 12/1/2008 (Insured: AMBAC) | Aaa/AAA | 1,600,000 | 1,630,848 | |||||
Ohio Housing Financing Agency Mtg, 5.20% due 9/1/2014 (GNMA/FNMA) | Aaa/NR | 2,395,000 | 2,553,788 | |||||
Ohio State Petroleum Underground Storage, 6.75% due 8/15/2008 (Insured: MBIA) | Aaa/AAA | 235,000 | 235,860 | |||||
Ohio State Taxable Development Assistance Series A, 4.88% due 10/1/2011 (Insured: MBIA) | Aaa/AAA | 550,000 | 569,404 | |||||
Pennsylvania Economic Development Series A, 4.70% due 11/1/2021 (Waste Management) | NR/BBB | 2,250,000 | 2,123,100 | |||||
Port Walla Walla Washington Revenue, 5.30% due 12/1/2009 | NR/NR | 235,000 | 240,720 | |||||
Redlands California Redevelopment Agency Series A, 5.818% due 8/1/2022 (Insured: AMBAC) | Aaa/AAA | 3,000,000 | 3,114,660 | |||||
Santa Fe County New Mexico Charter School Taxable Series B, 7.55% due 1/15/2010 (ATC Foundation) | NR/NR | 165,000 | 161,979 | |||||
Short Pump Town Center Community Development, 6.26% due 2/1/2009 | NR/NR | 1,000,000 | 1,021,590 | |||||
Springfield Ohio City School District Tax Anticipation Notes, 6.35% due 12/1/2010 (Insured: AMBAC) | Aaa/NR | 1,400,000 | 1,486,170 | |||||
Springfield Ohio City School District Tax Anticipation Notes, 6.40% due 12/1/2011 (Insured: AMBAC) | Aaa/NR | 1,500,000 | 1,607,580 | |||||
Tazewell County Illinois Community High School, 5.20% due 12/1/2011 (Insured: FSA) | Aaa/NR | 355,000 | 376,158 |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2008 (Unaudited) |
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | |||||
Tennessee State Taxable Series B, 6.00% due 2/1/2013 | Aa1/AA+ | $ | 500,000 | $ | 539,310 | |||
Texas Tech University Revenue, 6.00% due 8/15/2011 (Insured: MBIA) | Aaa/AAA | 245,000 | 262,304 | |||||
University of Illinois Revenue, 6.35% due 4/1/2011 (Insured: FGIC) | Aa3/AA- | 1,000,000 | 1,073,740 | |||||
Victor New York, 9.20% due 5/1/2014 | NR/NR | 1,250,000 | 1,370,437 | |||||
Wisconsin State General Revenue, 4.80% due 5/1/2013 (Insured: FSA) | Aaa/AAA | 200,000 | 207,978 | |||||
Wisconsin State Health & Educational Facilities Series B, 7.08% due 6/1/2016 (Insured: ACA) | NR/NR | 2,610,000 | 2,636,726 | |||||
TOTAL MUNICIPAL BONDS (Cost $55,878,777) | 57,687,115 | |||||||
YANKEE BONDS — 0.28% | ||||||||
BANKS — 0.10% | ||||||||
COMMERCIAL BANKS — 0.10% | ||||||||
Glitnir Banki HF, 4.421% due 1/18/2012 | A2/BBB+ | 400,000 | 302,534 | |||||
302,534 | ||||||||
MISCELLANEOUS — 0.18% | ||||||||
MISCELLANEOUS — 0.18% | ||||||||
Nova Scotia Province Canada, 5.75% due 2/27/2012 | Aa2/A+ | 500,000 | 550,468 | |||||
550,468 | ||||||||
TOTAL YANKEE BONDS (Cost $821,851) | 853,002 | |||||||
SHORT TERM INVESTMENTS — 0.97% | ||||||||
Toyota Motor Credit, 2.10% due 4/1/2008 | A1/P1 | 3,000,000 | 3,000,000 | |||||
TOTAL SHORT TERM INVESTMENTS (Cost $3,000,000) | 3,000,000 | |||||||
TOTAL INVESTMENTS — 99.97% (Cost $305,520,801) | $ | 308,486,967 | ||||||
OTHER ASSETS LESS LIABILITIES — 0.03% | 80,867 | |||||||
NET ASSETS — 100.00% | $ | 308,567,834 | ||||||
Footnote Legend
† | Credit ratings are unaudited. Rating changes may have occurred prior to or subsequent to the reporting period end. |
(1) | Security currently fair valued by the Valuation & Pricing committee using factors approved by the Board of Trustees. |
(2) | Segregated as collateral for a when-issued security. |
(3) | When-issued security. |
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. | |
AMT | Alternative Minimum Tax | |
CIFG | CIFG Assurance North America Inc. | |
CMO | Collateralized Mortgage Obligation. | |
Cupids | Cumulative Undivided Preferred Interests In Debt Securities | |
ETM | Escrowed to Maturity | |
FGIC | Insured by Financial Guaranty Insurance Co. | |
FHLMC | Insured by Federal Home Loan Mortgage Corp. | |
FNMA | Collateralized by Federal National Mortgage Association |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2008 (Unaudited) |
Portfolio Abbreviations (continued)
FSA | Insured by Financial Security Assurance Co. | |
GNMA | Insured by Government National Mortgage Co. | |
IDA | Industrial Development Authority | |
MBIA | Insured by Municipal Bond Investors Assurance | |
Mtg | Mortgage | |
PCR | Pollution Control Revenue Bond |
See notes to financial statements.
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Thornburg Limited Term Income Funds | March 31, 2008 (Unaudited) |
As a shareholder of the Funds, you incur ongoing costs, including management and administration fees and other Fund expenses.
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds 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, 2007 and held until March 31, 2008.
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 for your class of shares 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 for each class of shares 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 9/30/07 | Ending Account Value 3/31/08 | Expenses Paid During Period† 9/30/07–3/31/08 | |||||||
U.S. Government Fund | |||||||||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,056.00 | $ | 3.36 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,021.73 | $ | 3.31 | |||
Income Fund | |||||||||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,039.50 | $ | 3.41 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,021.65 | $ | 3.38 |
† | Thornburg Limited Term U.S. Government Fund expenses are equal to the annualized expense ratio for Class I shares (0.65%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period. |
† | Thornburg Limited Term Income Fund expenses are equal to the annualized expense ratio for Class I shares (0.67%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
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Thornburg Limited Term Income Funds | March 31, 2008 (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.
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 Funds file with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Funds’ Forms N-Q are available on the Commission’s website at 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 Funds also make this information available on their website at www.thornburg.com/download or upon request by calling 1-800-847-0200.
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Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
February 8, 2005, as readopted July 18, 2007
The Trustees are concerned that ongoing 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.
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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. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
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.
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 Global Opportunities Fund |
• | Thornburg International Growth Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
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Thornburg Equity Funds
Thornburg’s equity research uses a fundamental and comprehensive analytical approach. Thornburg equity funds focus on a limited number of securities so that each holding can impact 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.
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
• | Thornburg International Growth Fund |
Thornburg Bond Funds
The majority of Thornburg bond funds are laddered portfolios of 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 Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term Municipal Fund |
• | Thornburg New Mexico Intermediate Municipal Fund |
• | Thornburg New York Intermediate Municipal Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund* |
Carefully consider each fund’s investment objectives, risks, sales charges, and expenses; this information can be found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. There is no guarantee that any of these funds will meet their investment objectives.
For additional information, please visit www.thornburg.com
Thornburg Investment Management, 119 East Marcy Street, Santa Fe, NM 87501
* | This fund does not use the laddering strategy. |
This page is not part of the Semi-Annual Report 39
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This Semi-Annual Report is 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. | Get instant access to your shareholder reports.
By switching from your postal mailbox to your email inbox, you reduce paper clutter, improve record keeping access, and help conserve our natural resources. | |||||
![]() | Investment Advisor: Thornburg Investment Management® 800.847.0200
Distributor: Thornburg Securities Corporation® 800.847.0200 | Go to www.thornburg.com/edelivery and sign up to receive your shareholder reports, prospectuses, and proxy statements electronically.
You invest in the future, without spending a dime. | ||||
TH175 |
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Important Information
The information presented on the following pages was current as of March 31, 2008. The managers’ views, portfolio holdings and sector diversification are provided for the general information of the Fund’s shareholders; they are historical and subject to change. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments in the Fund carry risks including possible loss of principal. Risks may be associated with investments in emerging markets including illiquidity and volatility. Additionally, the Fund may invest a portion of the assets in small capitalization companies, which may increase the risk of greater price fluctuations. Funds invested in a limited number of holdings may expose an investor to greater volatility. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund. Investments 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. There is no guarantee that the Fund will meet its investment objectives.
Performance data given at net asset value (NAV) does not take into account the applicable sales charges. If the sales charges had been included, the performance would have been lower.
Glossary
Standard & Poor’s 500 Stock Index (S&P 500) – An index consisting of 500 stocks chosen for market size, liquidity and industry grouping, among other factors. The S&P 500 is designed to be a leading indicator of U.S. equities and is meant to reflect the risk/return characteristics of the large-cap universe. 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 – 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.
Fed Funds Rate – The interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.
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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Thornburg Value Fund
Finding Promising Companies at a Discount
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% . Class A shares are subject to a 1% 30-day redemption fee. The total annual fund operating expense of Class A shares is 1.27% , as disclosed in the most recent Prospectus.
CO-PORTFOLIO MANAGERS
Left to right: Connor Browne,CFA, Bill Fries,CFA, Edward Maran,CFA.
KEY PORTFOLIO ATTRIBUTES
As of 3/31/08
Portfolio P/E Trailing 12-months* | 15.9x | ||
Portfolio Price to Cash Flow* | 8.1 | ||
Portfolio Price to Book Value* | 2.5 | ||
Median Market Cap* | $ | 27.8 B | |
7-Year Beta (A Shares vs. S&P 500)* | 0.99 | ||
Equity Holdings | 44 |
* | Source: FactSet |
The Thornburg Value Fund seeks to find promising companies at a discounted valuation. It differs from many other equity funds in two key ways. First, it focuses on a limited number of stocks, and second, it takes a more comprehensive approach to value investing. This strategy has provided positive returns for shareholders who have been invested since the Fund’s inception in 1995.
Our team is dedicated to providing value to shareholders. We accomplish this through the application of seasoned investment principles with hands-on, company-oriented research. We use a collaborative research approach in identifying and analyzing investment ideas. Our focus is on finding promising companies available at a discount to our estimate of their intrinsic value.
In managing the Thornburg Value Fund, we take a bottom-up approach to stock selection. The Fund is not predisposed to an industry or sector. We use a combination of financial analysis, collaborative research, and business evaluation in an effort to gauge the intrinsic value of a company based on its past record and future potential. The continuum of process moves from screens and idea generation, through conventional “Wall Street” research and documentation, to company contact, the latter often including on-site visits. The
AVERAGE ANNUAL TOTAL RETURNS* FOR PERIODS ENDED MARCH 31, 2008
6 Mos | 1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | |||||||||||
A Shares (Incep: 10/2/95) | |||||||||||||||
Without Sales Charge | (16.91 | )% | (8.75 | )% | 8.42 | % | 12.98 | % | 6.42 | % | |||||
With Sales Charge | (20.65 | )% | (12.86 | )% | 6.76 | % | 11.95 | % | 5.94 | % | |||||
S&P 500 Index (Since: 10/2/95) | (12.46 | )% | (5.08 | )% | 5.85 | % | 11.32 | % | 3.50 | % |
* | Periods less than one year are not annualized. |
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focus of the analysis is on what’s behind the numbers, its revenue and cash-generating model. We make an effort to get to know the company’s reputation in the industry, its people and its corporate culture.
The current posture is to maintain a portfolio of 40–55 companies diversified by sector, industry, market capitalization, and our three categories of stocks: Basic Value, Consistent Earners and Emerging Franchises. Because of the limited number of stocks in the portfolio, every holding counts. At the time of purchase, we set a 12–18 month price target for each stock. The target is reviewed as the fundamentals of the stock change during the course of ownership.
The bottom line? Engendering a wide-open, collegial environment fosters information flows and critical thinking intended to benefit portfolio decision making. We do not view our location in Santa Fe, NM, as a disadvantage. While we have access to the best of Wall Street’s analysis, we are not ruled by it. Distance from the crowd serves to fortify independent and objective thinking.
STOCKS CONTRIBUTING AND DETRACTING
FOR SIX MONTHS ENDED 3/31/08
Top Contributors | Top Detractors | |
Chunghwa Telecom Co. Ltd. | Freddie Mac | |
Apache Corp. | Las Vegas Sands Corp. | |
Gilead Sciences, Inc. | WellPoint, Inc. | |
Genentech, Inc. | Motorola, Inc. | |
Priceline.com, Inc. | Hertz Global Holdings, Inc. |
Source: FactSet
MARKET CAPITALIZATION EXPOSURE
As of 3/31/08
TOP TEN HOLDINGS
As of 3/31/08
ConocoPhillips | 3.8 | % | |
DIRECTV Group, Inc. | 3.5 | % | |
Genentech, Inc. | 3.5 | % | |
Chunghwa Telecom Co. Ltd. | 3.2 | % | |
AT&T, Inc. | 3.2 | % | |
Comcast Corp. | 3.2 | % | |
Apache Corp. | 3.2 | % | |
Eli Lilly & Co. | 2.9 | % | |
Gilead Sciences, Inc. | 2.9 | % | |
Entergy Corp. | 2.9 | % |
BASKET STRUCTURE
As of 3/31/08
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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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William V. Fries, CFA Co-Portfolio Manager
Connor Browne,CFA Co-Portfolio Manager
Edward E. Maran, CFA Co-Portfolio Manager | April 21, 2008
Dear Fellow Shareholder:
After many periods of good performance, we regret having to report that results for the first six months of our fiscal year were disappointing. The total return for Class A shares of the Thornburg Value Fund was negative 16.91% (at NAV), compared with negative 12.46% for the S&P 500 Index. It was particularly disappointing that we performed poorly compared to market benchmarks. We would have liked to have at least maintained parity with the market during this period of financial stress. In no way do we concede this half-year performance as indicative of the future potential of our portfolio for the remainder of the year and beyond.
A lot has happened in the financial arena since our last communications. The market peaked soon after our fiscal year end in September. Essentially, optimism with regard to resolution of liquidity issues and the U.S. economy gave way to a more pessimistic assessment. Financial institutions have had to write down securitized assets and are scrambling to reduce financial leverage. Nothing is more illustrative of the magnitude of the stress than the failure of Bear Stearns, a respected 85-year-old securities firm that had to be acquired by JPMorgan at an unthinkably low price to avoid bankruptcy. The Fed has lowered the Fed Funds rate by 3% since September 2007 to 2.25%, a level not seen since 2005. Housing industry activity and prices continue to slump, the dollar continues to slide, and oil prices continue at unexpected high levels. Given this litany of issues, it is not too surprising that stocks have done poorly. It is not a stable environment, and the outlook is sufficiently opaque to keep even the most confident investor acting cautiously.
So what happened to the Thornburg Value Fund? Not surprisingly, our financial sector holdings performed poorly. Our weight in this sector was slightly higher than the benchmark at the beginning of the period, but more importantly, and a source of major disappointment, is the fact that almost all our financial sector holdings suffered from the sub-prime mortgage crisis. Two stocks alone, Freddie Mac and Citigroup, accounted | |
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Letter to Shareholders | ||
Continued |
for over three percentage points of value erosion. The price of both stocks was cut by more than half during the period. UBS, Wachovia, The Blackstone Group (private equity), CME Group (derivative exchanges), and AIG (insurance) also performed poorly.
In addition to the weak performance of financials, a number of other stocks had sizeable declines. WellPoint declined dramatically after reporting disappointing earnings. Las Vegas Sands sold off on concerns that gaming and property revenues in Las Vegas might be more impacted by recession than in the past. Technology issues were generally weak as business development and margin pressures were considered to be trending lower. Motorola, Intel, ON Semiconductor, Google, and Dell were among holdings affected. Additionally, a risk-averse environment was unfriendly to several of our holdings with financial leverage; notably: Hertz Global Holdings, Level 3 Communications, Rite Aid, Comcast, and JetBlue Airways. Most of these holdings remain in the portfolio and are expected to recover lost value in time. WellPoint, Motorola, and Google were trimmed at what turned out to be fortuitous levels before being eliminated from the portfolio.
Only 20% of the stocks in the portfolio had positive returns over the period. Natural gas producer Apache Corp. was a standout, benefiting from higher energy prices as well as potential production increases as exploration drilling has had some success in Canada and Australia. Taiwan telecom company Chunghwa was also a standout performer, reflecting success with broadband, mobile communications, and cost control, along with the potential for dividend increases and revenue generation from idle land holdings. A number of health care related issues also had positive performance. Varian Medical Services has benefited from innovation in oncology radiation treatment equipment, Roche and Genentech from FDA approval of Avastin for treatment of metastasized breast cancer, Cytyc was acquired at a nice premium, and Teva benefited from growth in the use of generic drugs. Electric utility Entergy benefited from higher oil and gas prices as their nuclear power generating plants are competitively advantaged versus coal and natural gas fired plants from a marginal cost and air quality standpoint.
Transaction activity during the fiscal first half centered on culling the portfolio of holdings believed to have changed risk/reward characteristics and adding issues consistent with our mantra of buying promising companies available at a discount to intrinsic value. Blackstone (private equity), Freddie Mac (mortgage guarantee and liquidity vehicle), Citigroup, UBS, and Wachovia were the most prominent stocks eliminated from the portfolio. Among stocks added to the portfolio were: Gilead Sciences (leader in drugs to treat HIV) and Eli Lilly (diabetes and psychology pharmaceuticals) in the health care area; JPMorgan Chase, U.S.
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Bancorp, and Hartford Financial Services Group in the financial service arena; and AT&T, Priceline, Visa, Apple, and Paychex (a diversified cross section of various industries).
We believe the changes we have made to the portfolio have been constructive. For the most part, our stock purchases since September have performed satisfactorily and sales have worked to avoid further erosion of value. Our investment philosophy, process, and investment team remain intact and our focus is on improving performance as expeditiously as possible. We hold 44 equity issues diversified across 19 industries. To learn more about each holding as well as garner other useful information, please visit our web site at www.thornburg.com/funds.
Thank you for your trust and confidence.
Sincerely,
![]() | ![]() | ![]() | ||
William V. Fries,CFA | Connor Browne,CFA | Edward E. Maran,CFA | ||
Co-Portfolio Manager | Co-Portfolio Manager | Co-Portfolio Manager | ||
Managing Director | Managing Director | Managing Director |
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager, and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
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STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Value Fund | March 31, 2008 (Unaudited) |
ASSETS | ||||
Investments at value (cost $4,746,889,739) (Note 2) | $ | 4,704,968,220 | ||
Cash | 481,357 | |||
Receivable for fund shares sold | 10,912,861 | |||
Dividends receivable | 6,488,221 | |||
Interest receivable | 1,551,469 | |||
Prepaid expenses and other assets | 111,732 | |||
Total Assets | 4,724,513,860 | |||
LIABILITIES | ||||
Payable for securities purchased | 57,348,484 | |||
Payable for fund shares redeemed | 10,677,940 | |||
Payable to investment advisor and other affiliates (Note 3) | 3,980,860 | |||
Accounts payable and accrued expenses | 909,425 | |||
Dividends payable | 21,013 | |||
Total Liabilities | 72,937,722 | |||
NET ASSETS | $ | 4,651,576,138 | ||
NET ASSETS CONSIST OF: | ||||
Undistributed net investment income | $ | 3,273,177 | ||
Net unrealized depreciation on investments | (40,497,119 | ) | ||
Accumulated net realized gain (loss) | (230,268,163 | ) | ||
Net capital paid in on shares of beneficial interest | 4,919,068,243 | |||
$ | 4,651,576,138 | |||
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STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | |||
Thornburg Value Fund | March 31, 2008 (Unaudited | ) |
NET ASSET VALUE: | |||
Class A Shares: | |||
Net asset value and redemption price per share ($1,357,827,327 applicable to 40,945,885 shares of beneficial interest outstanding – Note 4) | $ | 33.16 | |
Maximum sales charge, 4.50% of offering price | 1.56 | ||
Maximum offering price per share | $ | 34.72 | |
Class B Shares: | |||
Net asset value and offering price per share * ($88,571,701 applicable to 2,807,062 shares of beneficial interest outstanding – Note 4) | $ | 31.55 | |
Class C Shares: | |||
Net asset value and offering price per share * ($507,435,424 applicable to 15,886,944 shares of beneficial interest outstanding – Note 4) | $ | 31.94 | |
Class I Shares: | |||
Net asset value, offering and redemption price per share ($2,348,203,559 applicable to 69,691,972 shares of beneficial interest outstanding – Note 4) | $ | 33.69 | |
Class R3 Shares: | |||
Net asset value, offering and redemption price per share ($179,492,188 applicable to 5,444,519 shares of beneficial interest outstanding – Note 4) | $ | 32.97 | |
Class R4 Shares: | |||
Net asset value, offering and redemption price per share ($32,083,450 applicable to 968,747 shares of beneficial interest outstanding – Note 4) | $ | 33.12 | |
Class R5 Shares: | |||
Net asset value, offering and redemption price per share ($137,962,489 applicable to 4,097,955 shares of beneficial interest outstanding – Note 4) | $ | 33.67 | |
* | 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, 2008 (Unaudited) |
INVESTMENT INCOME: | ||||
Dividend income (net of foreign taxes withheld of $256,307) | $ | 32,736,680 | ||
Interest income | 3,851,166 | |||
Total Income | 36,587,846 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 17,594,164 | |||
Administration fees (Note 3) | ||||
Class A Shares | 936,986 | |||
Class B Shares | 62,829 | |||
Class C Shares | 354,245 | |||
Class I Shares | 595,699 | |||
Class R3 Shares | 100,359 | |||
Class R4 Shares | 12,387 | |||
Class R5 Shares | 28,258 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 1,875,259 | |||
Class B Shares | 502,460 | |||
Class C Shares | 2,833,162 | |||
Class R3 Shares | 401,962 | |||
Class R4 Shares | 26,930 | |||
Transfer agent fees | ||||
Class A Shares | 875,450 | |||
Class B Shares | 75,423 | |||
Class C Shares | 316,490 | |||
Class I Shares | 913,870 | |||
Class R3 Shares | 154,354 | |||
Class R4 Shares | 11,878 | �� | ||
Class R5 Shares | 72,695 | |||
Registration and filing fees | ||||
Class A Shares | 19,824 | |||
Class B Shares | 7,510 | |||
Class C Shares | 9,915 | |||
Class I Shares | 47,312 | |||
Class R3 Shares | 11,039 | |||
Class R4 Shares | 18,911 | |||
Class R5 Shares | 18,942 | |||
Custodian fees (Note 3) | 272,988 | |||
Professional fees | 82,452 | |||
Accounting fees | 92,530 | |||
Trustee fees | 32,000 | |||
Other expenses | 288,108 | |||
Total Expenses | 28,646,391 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (221,753 | ) | ||
Fees paid indirectly (Note 3) | (19,738 | ) | ||
Net Expenses | 28,404,900 | |||
Net Investment Income | $ | 8,182,946 | ||
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STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Value Fund | Six Months Ended March 31, 2008 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments sold | $ | (212,975,664 | ) | |
Foreign currency transactions | (95,406 | ) | ||
(213,071,070 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (695,690,327 | ) | ||
Foreign currency translations | 7,337 | |||
(695,682,990 | ) | |||
Net Realized and Unrealized Loss | (908,754,060 | ) | ||
Net Decrease in Net Assets Resulting From Operations | $ | (900,571,114 | ) | |
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg Value Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, 2007 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 8,182,946 | $ | 28,639,753 | ||||
Net realized gain (loss) on investments and foreign currency transactions | (213,071,070 | ) | 455,862,583 | |||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments and foreign currency translations | (695,682,990 | ) | 268,367,897 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (900,571,114 | ) | 752,870,233 | |||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (856,188 | ) | (9,517,757 | ) | ||||
Class B Shares | — | (62,759 | ) | |||||
Class C Shares | — | (455,165 | ) | |||||
Class I Shares | (5,811,635 | ) | (18,072,475 | ) | ||||
Class R3 Shares | (70,332 | ) | (707,632 | ) | ||||
Class R4 Shares | (33,510 | ) | (24,305 | ) | ||||
Class R5 Shares | (281,466 | ) | (578,768 | ) | ||||
From realized gains | ||||||||
Class A Shares | (145,917,342 | ) | (40,724,358 | ) | ||||
Class B Shares | (10,428,887 | ) | (3,458,689 | ) | ||||
Class C Shares | (57,732,548 | ) | (17,561,097 | ) | ||||
Class I Shares | (223,563,517 | ) | (39,645,604 | ) | ||||
Class R3 Shares | (14,403,384 | ) | (1,897,722 | ) | ||||
Class R4 Shares | (1,166,969 | ) | — | |||||
Class R5 Shares | (9,376,741 | ) | (456,993 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 185,806,858 | 254,630,938 | ||||||
Class B Shares | 4,820,315 | 70,097 | ||||||
Class C Shares | 51,393,502 | 43,074,529 | ||||||
Class I Shares | 614,828,712 | 1,059,702,770 | ||||||
Class R3 Shares | 72,193,465 | 87,096,462 | ||||||
Class R4 Shares | 30,124,044 | 6,750,585 | ||||||
Class R5 Shares | 60,984,059 | 88,298,634 | ||||||
Net Increase (Decrease) in Net Assets | (350,062,678 | ) | 2,159,330,924 | |||||
NET ASSETS: | ||||||||
Beginning of period | 5,001,638,816 | 2,842,307,892 | ||||||
End of period | $ | 4,651,576,138 | $ | 5,001,638,816 | ||||
Undistributed net investment income | $ | 3,273,177 | $ | 2,143,362 |
* | Unaudited |
See notes to financial statements.
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Thornburg Value Fund | March 31, 2008 (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 thirteen 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 International Value Fund, Thornburg Core Growth Fund, Thornburg New York Intermediate Municipal Fund, Thornburg Investment Income Builder Fund, Thornburg Global Opportunities Fund, Thornburg International Growth Fund, and Thornburg Strategic Income Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing in equity and debt securities of all types. As a secondary objective, the Fund also seeks some current income.
The Fund currently offers seven classes of shares of beneficial interest, Class A, Class B, Class C, Institutional Class (Class I), and Retirement Classes (Class R3, Class R4, and Class R5) 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 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 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 R3 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 R4 shares are sold at net asset value without a sales charge at the time of purchase, but bear a service fee, (vii) Class R5 shares are sold at net asset value without a sales charge at the time of purchase, and (viii) the respective classes may have different reinvestment privileges and conversion rights. 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: Portfolio securities listed or traded on a national securities exchange are valued on the valuation date at the last reported sale price on the exchange that is the primary market for the security. Portfolio securities traded on an exchange for which there has been no sale that day and other equity securities traded in the over-the-counter market are valued at the mean between the last reported bid and asked prices. Portfolio securities reported by NASDAQ are valued at the NASDAQ official closing price. Any foreign security traded on exchanges outside the United States is valued at the price of the security on the exchange that is normally the security’s primary market, as of the close of that exchange preceding the time of the Fund’s valuation. Quotations for foreign securities in foreign currencies are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
Any debt securities held by the Fund have a primary market over the counter and are valued by an independent pricing service approved by the Trustees of the Trust. The pricing service ordinarily values debt securities at quoted bid prices. When quotations are not available, debt securities held by the Fund are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt securities of comparable quality, type of issue, coupon, maturity, and rating, indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
In any case where the market value of an equity security held by the Fund is not readily available, the Trust’s valuation and pricing committee determines a fair value for the security using factors approved by the Trustees. A security’s market value is deemed not readily available whenever the exchange or market on which the security is primarily traded is closed for the entire scheduled day of trading. Additionally, a security’s market value may be deemed not readily available under other circumstances identified by the Trustees, including when developments occurring after the most recent close of the security’s primary exchange or market, but before the most recent close of trading in Fund shares, create a serious question about the reliability of the security’s market value.
In any case where a pricing service fails to provide a price for a debt security held by the Fund, the valuation and pricing committee determines a fair value for the debt security using factors approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt security held by the Fund may be unreliable, the valuation and pricing committee decides whether or not to use the pricing service’s valuation or to determine a fair value for the debt security.
Foreign Currency Translation: Portfolio securities and other assets and liabilities denominated in foreign currencies are
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund | March 31, 2008 (Unaudited) |
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 amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books, and the U.S. dollar equivalent of the amounts actually received or paid.
Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.
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 Fund’s 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 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 liabilities 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 six months ended March 31, 2008, 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 Trust also has entered into administrative services agreements 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 six months ended March 31, 2008, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $191,957 for Class R3 shares, $21,948 for Class R4 Shares, and $7,848 for Class R5 shares.
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund | March 31, 2008 (Unaudited) |
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 six months ended March 31, 2008, the Distributor has advised the Fund that it earned net commissions aggregating $106,546 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $32,187 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 and distribution 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 R3 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class B, Class C, and Class R3 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 R3 shares. Total fees incurred by the Distributor for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2008, 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 six months ended March 31, 2008, fees paid indirectly were $19,738. This figure may include additional fees waived by the custodian.
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, 2008, 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, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 6,776,429 | $ | 256,539,244 | 13,429,422 | $ | 547,664,978 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 3,615,941 | 134,059,119 | 1,156,240 | 45,570,783 | ||||||||||
Shares repurchased | (5,673,098 | ) | (204,805,680 | ) | (8,199,947 | ) | (338,622,249 | ) | ||||||
Redemption fees received** | — | 14,175 | — | 17,426 | ||||||||||
Net Increase (Decrease) | 4,719,272 | $ | 185,806,858 | 6,385,715 | $ | 254,630,938 | ||||||||
Class B Shares | ||||||||||||||
Shares sold | 83,856 | $ | 3,087,783 | 238,194 | $ | 9,443,286 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 256,632 | 9,077,087 | 83,508 | 3,126,334 | ||||||||||
Shares repurchased | (208,293 | ) | (7,345,497 | ) | (316,970 | ) | (12,500,818 | ) | ||||||
Redemption fees received** | — | 942 | — | 1,295 | ||||||||||
Net Increase (Decrease) | 132,195 | $ | 4,820,315 | 4,732 | $ | 70,097 | ||||||||
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund | March 31, 2008 (Unaudited) |
Six Months Ended March 31, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class C Shares | ||||||||||||||
Shares sold | 1,237,152 | $ | 45,701,739 | 2,252,675 | $ | 89,691,497 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 1,416,280 | 50,702,850 | 417,160 | 15,793,087 | ||||||||||
Shares repurchased | (1,284,868 | ) | (45,016,425 | ) | (1,569,020 | ) | (62,416,929 | ) | ||||||
Redemption fees received** | — | 5,338 | — | 6,874 | ||||||||||
Net Increase (Decrease) | 1,368,564 | $ | 51,393,502 | 1,100,815 | $ | 43,074,529 | ||||||||
Class I Shares | ||||||||||||||
Shares sold | 20,580,840 | $ | 774,675,435 | 29,796,837 | $ | 1,246,028,389 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 4,811,948 | 181,207,750 | 1,185,152 | 47,802,515 | ||||||||||
Shares repurchased | (9,299,719 | ) | (341,077,267 | ) | (5,579,299 | ) | (234,149,563 | ) | ||||||
Redemption fees received** | — | 22,794 | — | 21,429 | ||||||||||
Net Increase (Decrease) | 16,093,069 | $ | 614,828,712 | 25,402,690 | $ | 1,059,702,770 | ||||||||
Class R3 Shares | ||||||||||||||
Shares sold | 2,322,259 | $ | 83,583,668 | 2,874,263 | $ | 117,754,787 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 380,388 | 14,021,104 | 64,233 | 2,541,337 | ||||||||||
Shares repurchased | (700,387 | ) | (25,412,890 | ) | (795,418 | ) | (33,200,944 | ) | ||||||
Redemption fees received** | — | 1,583 | — | 1,282 | ||||||||||
Net Increase (Decrease) | 2,002,260 | $ | 72,193,465 | 2,143,078 | $ | 87,096,462 | ||||||||
Class R4 Shares* | ||||||||||||||
Shares sold | 883,535 | $ | 32,703,018 | 170,003 | $ | 7,199,837 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 30,790 | 1,139,163 | 555 | 24,227 | ||||||||||
Shares repurchased | (105,017 | ) | (3,718,353 | ) | (11,119 | ) | (473,504 | ) | ||||||
Redemption fees received** | — | 216 | — | 25 | ||||||||||
Net Increase (Decrease) | 809,308 | $ | 30,124,044 | 159,439 | $ | 6,750,585 | ||||||||
Class R5 Shares | ||||||||||||||
Shares sold | 2,139,919 | $ | 77,057,468 | 2,430,984 | $ | 101,996,046 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 256,738 | 9,655,419 | 24,855 | 1,035,760 | ||||||||||
Shares repurchased | (686,282 | ) | (25,729,936 | ) | (343,451 | ) | (14,733,830 | ) | ||||||
Redemption fees received** | — | 1,108 | — | 658 | ||||||||||
Net Increase (Decrease) | 1,710,375 | $ | 60,984,059 | 2,112,388 | $ | 88,298,634 | ||||||||
* | Effective date of this class of shares was February 1, 2007. |
** | The Fund charges a redemption fee of 1% of the Class A and Class I shares redeemed or exchanged within 30 days of purchase. Redemption fees charged to any class are allocated to all classes upon receipt of payment based on relative net asset values of each class or other appropriate allocation methods. |
18 Certified Semi-Annual Report
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund | March 31, 2008 (Unaudited) |
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2008, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $2,094,274,134 and $1,481,967,852, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2008, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 4,745,363,605 | ||
Gross unrealized appreciation on a tax basis | $ | 377,818,318 | ||
Gross unrealized depreciation on a tax basis | (418,213,703 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | (40,395,385 | ) | |
At March 31, 2008, the Fund has deferred tax basis currency losses occurring subsequent to October 31, 2006 of $89,255. For tax purposes, such losses will be reflected in the year ending September 30, 2008.
NOTE 7 – FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
There are special risks associated with international investing, including currency fluctuations, economic and political instability, confiscation, inability or delays in selling foreign investments, and reduced legal protection for investments.
OTHER NOTES:
FASB Interpretation No. 48:
On July 13, 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation prescribes a model for how a company, including the Fund, should recognize, measure, present and disclose in its financial statements uncertain tax positions that the company has taken or expects to take on income tax returns, and also revises certain disclosure requirements. The Interpretation became effective for the Fund for the financial statement reporting period ended March 31, 2008. As of the date of this report, management of the Fund has not identified any material effect on the Fund’s financial statements resulting from the implementation of FIN 48.
Statement of Accounting Standards No. 157:
On September 15, 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 defines fair value, provides guidelines for measuring fair value in accordance with generally accepted accounting principles, and addresses disclosures about fair value measurements. FAS 157 establishes a fair value hierarchy that distinguishes between (i) market participant assumptions developed based upon market data obtained from sources independent of the reporting entity (observable inputs) and (ii) the entity’s own assumptions about market participant assumptions developed based upon the best information available under the circumstances (unobservable inputs). FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and is to be applied prospectively as of the beginning of the first fiscal year for which FAS 157 is applied. Management is evaluating FAS 157, and is not in a position at this time to estimate the significance of its impact, if any, on the Fund’s financial statements.
Statement of Accounting Standards No. 161:
In March 2008, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”). FAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. FAS 161 requires enhanced disclosures about any derivative and hedging activities by the Fund, including how such activities are accounted for and any effect on the Fund’s financial position, performance and cash flows. Management is evaluating the impact, if any, that the adoption of FAS 161 will have on the Fund’s financial statements and related disclosures.
Certified Semi-Annual Report 19
Table of Contents
FINANCIAL HIGHLIGHTS | ||
Thornburg Value Fund |
Six Months Ended March 31, | Year Ended September 30, | |||||||||||||||||||||||
2008* | 2007 | 2006 | 2005 | 2004 | 2003 | |||||||||||||||||||
Class A Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 44.17 | $ | 37.59 | $ | 32.79 | $ | 28.11 | $ | 26.29 | $ | 20.73 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.05 | 0.29 | 0.35 | 0.32 | 0.20 | 0.15 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (7.11 | ) | 7.86 | 4.76 | 4.64 | 1.81 | 5.45 | |||||||||||||||||
Total from investment operations | (7.06 | ) | 8.15 | 5.11 | 4.96 | 2.01 | 5.60 | |||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.02 | ) | (0.27 | ) | (0.31 | ) | (0.28 | ) | (0.19 | ) | (0.02 | ) | ||||||||||||
Net realized gains | (3.93 | ) | (1.30 | ) | — | — | — | — | ||||||||||||||||
Return of capital | — | — | — | — | — | (0.02 | ) | |||||||||||||||||
Total dividends | (3.95 | ) | (1.57 | ) | (0.31 | ) | (0.28 | ) | (0.19 | ) | (0.04 | ) | ||||||||||||
Change in net asset value | (11.01 | ) | 6.58 | 4.80 | 4.68 | 1.82 | 5.56 | |||||||||||||||||
NET ASSET VALUE, end of period | $ | 33.16 | $ | 44.17 | $ | 37.59 | $ | 32.79 | $ | 28.11 | $ | 26.29 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (%)(a) | (16.91 | ) | 22.23 | 15.63 | 17.70 | 7.61 | 27.02 | |||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | 0.25 | (b) | 0.70 | 1.02 | 1.05 | 0.69 | 0.66 | |||||||||||||||||
Expenses, after expense reductions (%) | 1.25 | (b) | 1.27 | 1.35 | 1.40 | 1.37 | 1.43 | |||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 1.25 | (b) | 1.27 | 1.34 | 1.40 | 1.37 | 1.43 | |||||||||||||||||
Expenses, before expense reductions (%) | 1.25 | (b) | 1.27 | 1.35 | 1.40 | 1.37 | 1.43 | |||||||||||||||||
Portfolio turnover rate (%) | 31.41 | 79.29 | 51.36 | 58.90 | 68.74 | 82.89 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 1,357,827 | $ | 1,599,976 | $ | 1,121,720 | $ | 972,478 | $ | 1,086,448 | $ | 994,043 |
(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. |
* | Unaudited. |
See notes to the financial statements.
20 Certified Semi-Annual Report
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FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Value Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Class B Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 42.36 | $ | 36.17 | $ | 31.60 | $ | 27.13 | $ | 25.47 | $ | 20.22 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | (0.10 | ) | (0.04 | ) | 0.07 | 0.08 | (0.03 | ) | (0.05 | ) | ||||||||||||||
Net realized and unrealized gain (loss) on investments | (6.78 | ) | 7.55 | 4.58 | 4.47 | 1.74 | 5.30 | |||||||||||||||||
Total from investment operations | (6.88 | ) | 7.51 | 4.65 | 4.55 | 1.71 | 5.25 | |||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | — | (0.02 | ) | (0.08 | ) | (0.08 | ) | (0.05 | ) | — | ||||||||||||||
Net realized gains | (3.93 | ) | (1.30 | ) | — | — | — | — | ||||||||||||||||
Total dividends | (3.93 | ) | (1.32 | ) | (0.08 | ) | (0.08 | ) | (0.05 | ) | — | |||||||||||||
Change in net asset value | (10.81 | ) | 6.19 | 4.57 | 4.47 | 1.66 | 5.25 | |||||||||||||||||
NET ASSET VALUE, end of period | $ | 31.55 | $ | 42.36 | $ | 36.17 | $ | 31.60 | $ | 27.13 | $ | 25.47 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (%)(a) | (17.24 | ) | 21.26 | 14.71 | 16.78 | 6.71 | 25.96 | |||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | (0.56 | )(b) | (0.09 | ) | 0.21 | 0.27 | (0.12 | ) | (0.22 | ) | ||||||||||||||
Expenses, after expense reductions (%) | 2.05 | (b) | 2.07 | 2.15 | 2.17 | 2.18 | 2.31 | |||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 2.05 | (b) | 2.07 | 2.14 | 2.17 | 2.18 | 2.31 | |||||||||||||||||
Expenses, before expense reductions (%) | 2.05 | (b) | 2.07 | 2.15 | 2.17 | 2.20 | 2.32 | |||||||||||||||||
Portfolio turnover rate (%) | 31.41 | 79.29 | 51.36 | 58.90 | 68.74 | 82.89 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 88,572 | $ | 113,299 | $ | 96,587 | $ | 92,410 | $ | 93,508 | $ | 89,661 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report 21
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Value Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Class C Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 42.82 | $ | 36.55 | $ | 31.92 | $ | 27.40 | $ | 25.70 | $ | 20.40 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | (0.09 | ) | (0.02 | ) | 0.09 | 0.09 | (0.02 | ) | (0.04 | ) | ||||||||||||||
Net realized and unrealized gain (loss) on investments | (6.86 | ) | 7.62 | 4.62 | 4.51 | 1.77 | 5.34 | |||||||||||||||||
Total from investment operations | (6.95 | ) | 7.60 | 4.71 | 4.60 | 1.75 | 5.30 | |||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | — | (0.03 | ) | (0.08 | ) | (0.08 | ) | (0.05 | ) | — | ||||||||||||||
Net realized gains | (3.93 | ) | (1.30 | ) | — | — | — | — | ||||||||||||||||
Total dividends | (3.93 | ) | (1.33 | ) | (0.08 | ) | (0.08 | ) | (0.05 | ) | — | |||||||||||||
Change in net asset value | (10.88 | ) | 6.27 | 4.63 | 4.52 | 1.70 | 5.30 | |||||||||||||||||
NET ASSET VALUE, end of period | $ | 31.94 | $ | 42.82 | $ | 36.55 | $ | 31.92 | $ | 27.40 | $ | 25.70 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (%)(a) | (17.21 | ) | 21.29 | 14.77 | 16.80 | 6.81 | 25.98 | |||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | (0.50 | )(b) | (0.05 | ) | 0.27 | 0.31 | (0.07 | ) | (0.16 | ) | ||||||||||||||
Expenses, after expense reductions (%) | 2.00 | (b) | 2.03 | 2.09 | 2.14 | 2.14 | 2.25 | |||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 2.00 | (b) | 2.03 | 2.09 | 2.14 | 2.14 | 2.25 | |||||||||||||||||
Expenses, before expense reductions (%) | 2.00 | (b) | 2.03 | 2.09 | 2.14 | 2.15 | 2.25 | |||||||||||||||||
Portfolio turnover rate (%) | 31.41 | 79.29 | 51.36 | 58.90 | 68.74 | 82.89 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 507,435 | $ | 621,687 | $ | 490,399 | $ | 446,567 | $ | 475,296 | $ | 441,103 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
22 Certified Semi-Annual Report
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FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Value Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 44.80 | $ | 38.11 | $ | 33.23 | $ | 28.49 | $ | 26.64 | $ | 20.95 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.12 | 0.44 | 0.50 | 0.45 | 0.31 | 0.26 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (7.21 | ) | 7.96 | 4.82 | 4.70 | 1.84 | 5.51 | |||||||||||||||||
Total from investment operations | (7.09 | ) | 8.40 | 5.32 | 5.15 | 2.15 | 5.77 | |||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.09 | ) | (0.41 | ) | (0.44 | ) | (0.41 | ) | (0.30 | ) | (0.03 | ) | ||||||||||||
Net realized gains | (3.93 | ) | (1.30 | ) | — | — | — | — | ||||||||||||||||
Return of capital | — | — | — | — | — | (0.05 | ) | |||||||||||||||||
Total dividends | (4.02 | ) | (1.71 | ) | (0.44 | ) | (0.41 | ) | (0.30 | ) | (0.08 | ) | ||||||||||||
Change in net asset value | (11.11 | ) | 6.69 | 4.88 | 4.74 | 1.85 | 5.69 | |||||||||||||||||
NET ASSET VALUE, end of period | $ | 33.69 | $ | 44.80 | $ | 38.11 | $ | 33.23 | $ | 28.49 | $ | 26.64 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (%)(a) | (16.75 | ) | 22.62 | 16.10 | 18.16 | 8.04 | 27.55 | |||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | 0.63 | (b) | 1.05 | 1.41 | 1.44 | 1.07 | 1.10 | |||||||||||||||||
Expenses, after expense reductions (%) | 0.89 | (b) | 0.93 | 0.98 | 0.99 | 0.99 | 0.99 | |||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.89 | (b) | 0.92 | 0.97 | 0.98 | 0.99 | 0.99 | |||||||||||||||||
Expenses, before expense reductions (%) | 0.89 | (b) | 0.93 | 0.98 | 1.00 | 0.99 | 1.03 | |||||||||||||||||
Portfolio turnover rate (%) | 31.41 | 79.29 | 51.36 | 58.90 | 68.74 | 82.89 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 2,348,204 | $ | 2,401,473 | $ | 1,074,492 | $ | 457,788 | $ | 378,334 | $ | 260,624 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report 23
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Value Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, | Period Ended Sept. 30, 2003(a) | ||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | |||||||||||||||||||||
Class R3 Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 43.94 | $ | 37.43 | $ | 32.68 | $ | 28.06 | $ | 26.27 | $ | 25.83 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.03 | 0.26 | 0.37 | 0.33 | 0.17 | 0.03 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (7.06 | ) | 7.81 | 4.71 | 4.60 | 1.85 | 0.41 | |||||||||||||||||
Total from investment operations | (7.03 | ) | 8.07 | 5.08 | 4.93 | 2.02 | 0.44 | |||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.01 | ) | (0.26 | ) | (0.33 | ) | (0.31 | ) | (0.23 | ) | — | |||||||||||||
Net realized gains | (3.93 | ) | (1.30 | ) | — | — | — | — | ||||||||||||||||
Total dividends | (3.94 | ) | (1.56 | ) | (0.33 | ) | (0.31 | ) | (0.23 | ) | — | |||||||||||||
Change in net asset value | (10.97 | ) | 6.51 | 4.75 | 4.62 | 1.79 | 0.44 | |||||||||||||||||
NET ASSET VALUE, end of period | $ | 32.97 | $ | 43.94 | $ | 37.43 | $ | 32.68 | $ | 28.06 | $ | 26.27 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (%)(b) | (16.93 | ) | 22.11 | 15.60 | 17.64 | 7.68 | 1.70 | |||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | 0.19 | (c) | 0.63 | 1.05 | 1.07 | 0.61 | 0.48 | (c) | ||||||||||||||||
Expenses, after expense reductions (%) | 1.35 | (c) | 1.35 | 1.36 | 1.35 | 1.34 | 1.45 | (c) | ||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 1.35 | (c) | 1.35 | 1.35 | 1.35 | 1.34 | 1.45 | (c) | ||||||||||||||||
Expenses, before expense reductions (%) | 1.59 | (c) | 1.63 | 1.69 | 1.94 | 2.22 | 44,445.63 | (c)(d) | ||||||||||||||||
Portfolio turnover rate (%) | 31.41 | 79.29 | 51.36 | 58.90 | 68.74 | 82.89 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 179,492 | $ | 151,260 | $ | 48,627 | $ | 11,661 |
| $ | 5,754 | $ | — | (e) |
(a) | Effective date of this class of shares was July 1, 2003. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
(d) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
(e) | Net assets at the end of the year were less than $1,000. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
24 Certified Semi-Annual Report
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Value Fund |
Six Months Ended March 31, 2008* | Period Ended Sept. 30, 2007(a) | |||||||
Class R4 Shares: | ||||||||
PER SHARE PERFORMANCE | ||||||||
(for a share outstanding throughout the period)+ | ||||||||
Net asset value, beginning of period | $ | 44.14 | $ | 41.00 | ||||
Income from investment operations: | ||||||||
Net investment income (loss) | 0.08 | 0.20 | ||||||
Net realized and unrealized gain (loss) on investments | (7.12 | ) | 3.12 | |||||
Total from investment operations | (7.04 | ) | 3.32 | |||||
Less dividends from: | ||||||||
Net investment income | (0.05 | ) | (0.18 | ) | ||||
Net realized gains | (3.93 | ) | — | |||||
Total dividends | (3.98 | ) | (0.18 | ) | ||||
Change in net asset value | (11.02 | ) | 3.14 | |||||
NET ASSET VALUE, end of period | $ | 33.12 | $ | 44.14 | ||||
RATIOS/SUPPLEMENTAL DATA | ||||||||
Total return (%)(b) | (16.90 | ) | 8.09 | |||||
Ratios to average net assets: | ||||||||
Net investment income (loss) (%) | 0.45 | (c) | 0.70 | (c) | ||||
Expenses, after expense reductions (%) | 1.24 | (c) | 1.25 | (c) | ||||
Expenses, after expense reductions and net of custody credits (%) | 1.24 | (c) | 1.25 | (c) | ||||
Expenses, before expense reductions (%) | 1.46 | (c) | 2.34 | (c) | ||||
Portfolio turnover rate (%) | 31.41 | 79.29 | ||||||
Net assets at end of period (thousands) | $ | 32,083 | $ | 7,038 |
(a) | Effective date of this class of shares was February 1, 2007. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report 25
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FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Value Fund |
Six Months Ended March 31, 2008* | Year Ended Sept. 30, | Period Ended Sept. 30, 2005(a) | ||||||||||||||
2007 | 2006 | |||||||||||||||
Class R5 Shares: | ||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||
Net asset value, beginning of period | $ | 44.78 | $ | 38.09 | $ | 33.22 | $ | 30.75 | ||||||||
Income from investment operations: | ||||||||||||||||
Net investment income (loss) | 0.11 | 0.49 | 0.24 | 0.28 | ||||||||||||
Net realized and unrealized gain (loss) on investments | (7.21 | ) | 7.91 | 5.07 | 2.45 | |||||||||||
Total from investment operations | (7.10 | ) | 8.40 | 5.31 | 2.73 | |||||||||||
Less dividends from: | ||||||||||||||||
Net investment income | (0.08 | ) | (0.41 | ) | (0.44 | ) | (0.26 | ) | ||||||||
Net realized gains | (3.93 | ) | (1.30 | ) | — | — | ||||||||||
Total dividends | (4.01 | ) | (1.71 | ) | (0.44 | ) | (0.26 | ) | ||||||||
Change in net asset value | (11.11 | ) | 6.69 | 4.87 | 2.47 | |||||||||||
NET ASSET VALUE, end of period | $ | 33.67 | $ | 44.78 | $ | 38.09 | $ | 33.22 | ||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||
Total return (%)(b) | (16.78 | ) | 22.63 | 16.07 | 8.93 | |||||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) (%) | 0.57 | (c) | 1.14 | 0.64 | 1.31 | (c) | ||||||||||
Expenses, after expense reductions (%) | 0.96 | (c) | 0.91 | 1.00 | 1.00 | (c) | ||||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.96 | (c) | 0.91 | 0.98 | 0.99 | (c) | ||||||||||
Expenses, before expense reductions (%) | 0.97 | (c) | 0.93 | 3.24 | 127.30 | (c)(d) | ||||||||||
Portfolio turnover rate (%) | 31.41 | 79.29 | 51.36 | 58.90 | ||||||||||||
Net assets at end of period (thousands) | $ | 137,962 | $ | 106,906 | $ | 10,483 | $ | 31 |
(a) | Effective date of this class of shares was February 1, 2005. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
(d) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
26 Certified Semi-Annual Report
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Thornburg Value Fund | March 31, 2008 (Unaudited) |
CUSIPS: CLASS A – 885-215-731, CLASS B – 885-215-590, CLASS C – 885-215-715, CLASS I – 885-215-632, CLASS R3 – 885-215-533, CLASS R4 – 885-215-277, CLASS R5 – 885-215-376
NASDAQ SYMBOLS: CLASS A – TVAFX, CLASS B – TVBFX, CLASS C – TVCFX, CLASS I – TVIFX, CLASS R3 – TVRFX, CLASS R4 – TVIRX, CLASS R5 – TVRRX
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/08
Pharmaceuticals, Biotechnology & Life Sciences | 12.6 | % | |
Telecommunication Services | 11.8 | % | |
Energy | 9.4 | % | |
Media | 6.7 | % | |
Insurance | 6.4 | % | |
Technology Hardware & Equipment | 5.8 | % | |
Materials | 5.1 | % | |
Diversified Financials | 3.8 | % | |
Retailing | 3.8 | % | |
Health Care Equipment & Services | 3.5 | % | |
Semiconductors & Semiconductor Equipment | 3.3 | % | |
Software & Services | 3.3 | % | |
Utilities | 2.9 | % | |
Transportation | 2.6 | % | |
Capital Goods | 2.5 | % | |
Banks | 2.4 | % | |
Consumer Services | 2.2 | % | |
Food, Beverage & Tobacco | 2.2 | % | |
Food & Staples Retailing | 2.2 | % | |
Other Assets & Cash Equivalents | 7.5 | % |
Shares/ Principal Amount | Value | ||||
COMMON STOCK — 91.82% | |||||
BANKS — 2.39% | |||||
COMMERCIAL BANKS — 2.39% | |||||
U.S. Bancorp | 3,437,072 | $ | 111,223,650 | ||
111,223,650 | |||||
CAPITAL GOODS — 2.57% | |||||
INDUSTRIAL CONGLOMERATES — 2.57% | |||||
General Electric Co. | 3,227,600 | 119,453,476 | |||
119,453,476 | |||||
CONSUMER SERVICES — 2.25% | |||||
HOTELS, RESTAURANTS & LEISURE — 2.25% | |||||
Las Vegas Sands Corp.+ | 1,422,306 | 104,738,614 | |||
104,738,614 | |||||
DIVERSIFIED FINANCIALS — 3.80% | |||||
CAPITAL MARKETS — 0.43% | |||||
AllianceBernstein Holdings LP | 320,030 | 20,283,501 | |||
DIVERSIFIED FINANCIAL SERVICES — 3.37% | |||||
CME Group, Inc. | 153,735 | 72,117,089 | |||
JPMorgan Chase & Co. | 1,967,000 | 84,482,650 | |||
176,883,240 | |||||
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Value Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
ENERGY — 9.39% | |||||
OIL, GAS & CONSUMABLE FUELS — 9.39% | |||||
Apache Corp. | 1,222,442 | $ | 147,695,442 | ||
ConocoPhillips | 2,322,500 | 176,997,725 | |||
OAO Gazprom ADR | 2,199,000 | 112,149,000 | |||
436,842,167 | |||||
FOOD & STAPLES RETAILING — 2.18% | |||||
FOOD & STAPLES RETAILING — 2.18% | |||||
Rite Aid Corp.+ | 34,525,652 | 101,505,417 | |||
101,505,417 | |||||
FOOD, BEVERAGE & TOBACCO — 2.20% | |||||
FOOD PRODUCTS — 2.20% | |||||
Kraft Foods, Inc. A | 3,295,200 | 102,184,152 | |||
102,184,152 | |||||
HEALTH CARE EQUIPMENT & SERVICES — 3.48% | |||||
HEALTH CARE EQUIPMENT & SUPPLIES — 2.41% | |||||
Varian Medical Services, Inc.+ | 2,387,200 | 111,816,448 | |||
HEALTH CARE TECHNOLOGY — 1.07% | |||||
Eclipsys Corp.+ | 2,542,440 | 49,857,248 | |||
161,673,696 | |||||
INSURANCE — 6.36% | |||||
INSURANCE — 6.36% | |||||
Allstate Corp. | 2,706,000 | 130,050,360 | |||
American International Group, Inc. | 1,633,800 | 70,661,850 | |||
Hartford Financial Services Group | 1,255,400 | 95,121,658 | |||
295,833,868 | |||||
MATERIALS — 5.06% | |||||
CHEMICALS — 2.70% | |||||
Air Products & Chemicals, Inc. | 1,366,500 | 125,718,000 | |||
METALS & MINING — 2.36% | |||||
Freeport-McMoRan Copper & Gold, Inc. | 1,139,455 | 109,638,360 | |||
235,356,360 | |||||
MEDIA — 6.68% | |||||
MEDIA — 6.68% | |||||
Comcast Corp.+ | 7,847,050 | 148,858,539 | |||
DIRECTV Group, Inc.+ | 6,528,700 | 161,846,473 | |||
310,705,012 | |||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 12.68% | |||||
BIOTECHNOLOGY — 6.39% | |||||
Genentech, Inc.+ | 1,988,700 | 161,442,666 | |||
Gilead Sciences, Inc.+ | 2,637,800 | 135,925,834 |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Value Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
PHARMACEUTICALS — 6.29% | |||||
Eli Lilly & Co. | 2,658,843 | $ | 137,169,711 | ||
Roche Holdings AG | 253,700 | 47,745,977 | |||
Teva Pharmaceutical Industries Ltd. ADR | 2,330,800 | 107,659,652 | |||
589,943,840 | |||||
RETAILING — 3.78% | |||||
INTERNET & CATALOG RETAIL — 1.45% | |||||
Priceline.com, Inc.+ | 558,611 | 67,513,725 | |||
SPECIALTY RETAIL — 2.33% | |||||
Office Depot, Inc.+ | 5,559,036 | 61,427,348 | |||
Staples, Inc. | 2,124,300 | 46,968,273 | |||
175,909,346 | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 3.31% | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 3.31% | |||||
Intel Corp. | 5,710,300 | 120,944,154 | |||
ON Semiconductor Corp.+ | 5,819,627 | 33,055,481 | |||
153,999,635 | |||||
SOFTWARE & SERVICES — 3.29% | |||||
IT SERVICES — 0.93% | |||||
Paychex, Inc. | 685,000 | 23,468,100 | |||
Visa, Inc.+ | 313,875 | 19,573,245 | |||
SOFTWARE — 2.36% | |||||
Microsoft Corp. | 3,870,000 | 109,830,600 | |||
152,871,945 | |||||
TECHNOLOGY HARDWARE & EQUIPMENT — 5.77% | |||||
COMMUNICATIONS EQUIPMENT — 2.75% | |||||
Corning, Inc. | 5,324,800 | 128,008,192 | |||
COMPUTERS & PERIPHERALS — 3.02% | |||||
Apple, Inc.+ | 161,000 | 23,103,500 | |||
Dell, Inc.+ | 5,879,900 | 117,127,608 | |||
268,239,300 | |||||
TELECOMMUNICATION SERVICES — 11.14% | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 7.49% | |||||
AT&T, Inc. | 3,898,000 | 149,293,400 | |||
Chunghwa Telecom Co. Ltd. ADR | 5,809,560 | 151,164,751 | |||
Level 3 Communications, Inc.+ | 22,656,400 | 48,031,568 | |||
WIRELESS TELECOMMUNICATION SERVICES — 3.65% | |||||
China Mobile Ltd. | 4,566,800 | 67,950,562 | |||
Crown Castle International Corp.+ | 2,951,850 | 101,809,307 | |||
518,249,588 | |||||
TRANSPORTATION — 2.60% | |||||
AIRLINES — 0.63% | |||||
JetBlue Airways Corp.+ | 5,095,700 | 29,555,060 |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Value Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||||
ROAD & RAIL — 1.97% | |||||||
Hertz Global Holdings, Inc.+ | 7,598,500 | $ | 91,637,910 | ||||
121,192,970 | |||||||
UTILITIES — 2.89% | |||||||
ELECTRIC UTILITIES — 2.89% | |||||||
Entergy Corp. | 1,232,136 | 134,401,395 | |||||
134,401,395 | |||||||
TOTAL COMMON STOCK (Cost $4,313,414,901) | 4,271,207,671 | ||||||
CORPORATE BONDS — 0.71% | |||||||
TELECOMMUNICATION SERVICES — 0.71% | |||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.71% | |||||||
Level 3 Financing, Inc., 9.25%, 11/1/2014 | $ | 40,239,000 | 32,895,382 | ||||
TOTAL CORPORATE BONDS (Cost $32,609,672) | 32,895,382 | ||||||
SHORT TERM INVESTMENTS — 8.62% | |||||||
American Express, 2.28%, 4/4/2008 | 151,300,000 | 151,271,253 | |||||
General Electric Capital Corp., 2.20%, 4/2/2008 | 99,600,000 | 99,593,914 | |||||
Toyota Motor Credit, 1.80%, 4/1/2008 | 150,000,000 | 150,000,000 | |||||
TOTAL SHORT TERM INVESTMENTS (Cost $400,865,166) | 400,865,167 | ||||||
TOTAL INVESTMENTS — 101.15% (Cost $4,746,889,739) | $ | 4,704,968,220 | |||||
LIABILITIES NET OF OTHER ASSETS — (1.15)% | (53,392,082 | ) | |||||
NET ASSETS — 100.00% | $ | 4,651,576,138 | |||||
Footnote Legend
+ | Non-income producing |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR | American Depository Receipt |
See notes to financial statements.
30 Certified Semi-Annual Report
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Thornburg Value Fund | March 31, 2008 (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 or all of a purchase of $1 million of Class A shares within 12 months of purchase;
(c) a deferred sales charge on redemptions of Class B shares within eight years of purchase;
(d) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;
(e) a 30-day redemption fee on Class A and Class I shares;
(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, 2007 and held until March 31, 2008.
Actual Expenses
For each class of shares, 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 for your class of shares 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
For each class of shares, 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 ex-
Beginning Account Value 9/30/07 | Ending Account Value 3/31/08 | Expenses Paid During Period† 9/30/07–3/31/08 | |||||||
Class A Shares | |||||||||
Actual | $ | 1,000.00 | $ | 830.90 | $ | 5.73 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,018.74 | $ | 6.32 | |||
Class B Shares | |||||||||
Actual | $ | 1,000.00 | $ | 827.60 | $ | 9.35 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,014.76 | $ | 10.31 | |||
Class C Shares | |||||||||
Actual | $ | 1,000.00 | $ | 827.90 | $ | 9.13 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,015.01 | $ | 10.06 | |||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 832.50 | $ | 4.07 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.56 | $ | 4.49 | |||
Class R3 Shares | |||||||||
Actual | $ | 1,000.00 | $ | 830.70 | $ | 6.18 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,018.25 | $ | 6.81 | |||
Class R4 Shares | |||||||||
Actual | $ | 1,000.00 | $ | 831.00 | $ | 5.69 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,018.79 | $ | 6.27 | |||
Class R5 Shares | |||||||||
Actual | $ | 1,000.00 | $ | 832.20 | $ | 4.38 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.22 | $ | 4.83 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.25%; B: 2.05%; C: 2.00%; I: 0.89%; R3: 1.35%; R4: 1.24%; and R5: 0.96%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
penses, 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 for each class of shares 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
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INDEX COMPARISON | ||
Thornburg Value Fund | March 31, 2008 (Unaudited) |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Value Fund versus S&P 500 Index (October 2, 1995 to March 31, 2008)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2008 (with sales charge)
1 Yr | 5 Yrs | 10 Yrs | Since Inception | |||||||||
A Shares (Incep: 10/2/95) | (12.86 | )% | 11.95 | % | 5.94 | % | 11.35 | % | ||||
B Shares (Incep: 4/3/00) | (13.54 | )% | 11.81 | % | — | 1.74 | % | |||||
C Shares (Incep: 10/2/95) | (10.24 | )% | 12.11 | % | 5.59 | % | 10.89 | % | ||||
I Shares (Incep: 11/2/98) | (8.43 | )% | 13.41 | % | — | 7.61 | % | |||||
R3 Shares (Incep: 7/1/03) | (8.81 | )% | — | — | 9.07 | % | ||||||
R4 Shares (Incep: 2/1/07) | (8.70 | )% | — | — | (10.17 | )% | ||||||
R5 Shares (Incep: 2/1/05) | (8.44 | )% | — | — | 8.40 | % | ||||||
S&P 500 Index (Since: 10/2/95) | (5.08 | )% | 11.32 | % | 3.50 | % | 8.61 | % |
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 as well as applicable 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 I, R3, R4 and R5 shares. Class I, R3, R4 and R5 shares are available only to certain qualified investors. Class A and I shares are subject to a 1% 30-day redemption fee.
The S&P 500 Index, an unmanaged broad measure of the U.S. stock market, does not reflect sales charges or expenses. Investors cannot invest directly in an index.
32 Certified Semi-Annual Report
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Thornburg Value Fund | March 31, 2008 (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 web site at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s web site at www.sec.gov.
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 web site at www. thornburg.com, and (iii) on the Securities and Exchange Commission’s web site 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 web site at 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 web site at www. thornburg.com/download or upon request by calling 1-800-847-0200.
Certified Semi-Annual Report 33
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Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
February 8, 2005, as readopted July 18, 2007
The Trustees are concerned that ongoing 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.
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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. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
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.
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 Global Opportunities Fund |
• | Thornburg International Growth Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
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Thornburg Equity Funds
Thornburg’s equity research uses a fundamental and comprehensive analytical approach. Thornburg equity funds focus on a limited number of securities so that each holding can impact 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.
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
• | Thornburg International Growth Fund |
Thornburg Bond Funds
The majority of Thornburg bond funds are laddered portfolios of 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 Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term Municipal Fund |
• | Thornburg New Mexico Intermediate Municipal Fund |
• | Thornburg New York Intermediate Municipal Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund* |
Carefully consider each fund’s investment objectives, risks, sales charges, and expenses; this information can be found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. There is no guarantee that any of these funds will meet their investment objectives.
For additional information, please visit www.thornburg.com
Thornburg Investment Management, 119 East Marcy Street, Santa Fe, NM 87501
* | This fund does not use the laddering strategy. |
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Important Information
The information presented on the following pages was current as of March 31, 2008. The managers’ views, portfolio holdings and sector diversification are provided for the general information of the Fund’s shareholders; they are historical and subject to change. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments in the Fund carry risks including possible loss of principal. Risks may be associated with investments in emerging markets including illiquidity and volatility. Additionally, the Fund may invest a portion of the assets in small capitalization companies, which may increase the risk of greater price fluctuations. Funds invested in a limited number of holdings may expose an investor to greater volatility. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund. Investments 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. There is no guarantee that the Fund will meet its investment objectives.
Minimum investments for Class I shares are higher than those for other classes.
Glossary
Standard & Poor’s 500 Stock Index (S&P 500) – An index consisting of 500 stocks chosen for market size, liquidity and industry grouping, among other factors. The S&P 500 is designed to be a leading indicator of U.S. equities and is meant to reflect the risk/return characteristics of the large-cap universe. 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 – 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.
Fed Funds Rate – The interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.
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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Thornburg Value Fund
Finding Promising Companies at a Discount
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. Class I shares are subject to a 1% 30-day redemption fee. The total annual fund operating expense of Class I shares is 0.93% , as disclosed in the most recent Prospectus.
CO-PORTFOLIO MANAGERS
Left to right: Connor Browne, CFA, Bill Fries, CFA, Edward Maran, CFA.
KEY PORTFOLIO ATTRIBUTES
As of 3/31/08
Portfolio P/E Trailing 12-months* | 15.9x | ||
Portfolio Price to Cash Flow* | 8.1 | ||
Portfolio Price to Book Value* | 2.5 | ||
Median Market Cap* | $ | 27.8 B | |
7-Year Beta (A Shares vs. S&P 500)* | 0.99 | ||
Equity Holdings | 44 |
* | Source: FactSet |
The Thornburg Value Fund seeks to find promising companies at a discounted valuation. It differs from many other equity funds in two key ways. First, it focuses on a limited number of stocks; and second, it takes a more comprehensive approach to value investing. This strategy has provided positive returns for shareholders who have been invested since the Fund’s inception in 1995.
Our team is dedicated to providing value to shareholders. We accomplish this through the application of seasoned investment principles with hands-on, company-oriented research. We use a collaborative research approach in identifying and analyzing investment ideas. Our focus is on finding promising companies available at a discount to our estimate of their intrinsic value.
In managing the Thornburg Value Fund, we take a bottom-up approach to stock selection. The Fund is not predisposed to an industry or sector. We use a combination of financial analysis, collaborative research, and business evaluation in an effort to gauge the intrinsic value of a company based on its past record and future potential. The continuum of process moves from screens and idea generation, through conventional “Wall Street” research and documentation, to company contact, the latter often including on-site visits. The
AVERAGE ANNUAL TOTAL RETURNS* FOR PERIODS ENDED MARCH 31, 2008
6 Mos | 1 Yr | 3 Yrs | 5 Yrs | Since Inception | |||||||||||
I Shares (Incep: 11/2/98) | (16.75 | )% | (8.43 | )% | 8.82 | % | 13.41 | % | 7.61 | % | |||||
S&P 500 Index (Since: 11/2/98) | (12.46 | )% | (5.08 | )% | 5.85 | % | 11.32 | % | 3.53 | % |
* | Periods less than one year are not annualized. |
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focus of the analysis is on what’s behind the numbers, its revenue and cash-generating model. We make an effort to get to know the company’s reputation in the industry, its people and its corporate culture.
The current posture is to maintain a portfolio of 40–55 companies diversified by sector, industry, market capitalization, and our three categories of stocks: Basic Value, Consistent Earners and Emerging Franchises. Because of the limited number of stocks in the portfolio, every holding counts. At the time of purchase, we set a 12–18 month price target for each stock. The target is reviewed as the fundamentals of the stock change during the course of ownership.
The bottom line? Engendering a wide-open, collegial environment fosters information flows and critical thinking intended to benefit portfolio decision making. We do not view our location in Santa Fe, NM, as a disadvantage. While we have access to the best of Wall Street’s analysis, we are not ruled by it. Distance from the crowd serves to fortify independent and objective thinking.
STOCKS CONTRIBUTING AND DETRACTING
FOR SIX MONTHS ENDED 3/31/08
Top Contributors | Top Detractors | |
Chunghwa Telecom Co. Ltd. | Freddie Mac | |
Apache Corp. | Las Vegas Sands Corp. | |
Gilead Sciences, Inc. | WellPoint, Inc. | |
Genentech, Inc. | Motorola, Inc. | |
Priceline.com, Inc. | Hertz Global Holdings, Inc. |
Source: FactSet
MARKET CAPITALIZATION EXPOSURE
As of 3/31/08
TOP TEN HOLDINGS
As of 3/31/08
ConocoPhillips | 3.8 | % | |
DIRECTV Group, Inc. | 3.5 | % | |
Genentech, Inc. | 3.5 | % | |
Chunghwa Telecom Co. Ltd. | 3.2 | % | |
AT&T, Inc. | 3.2 | % | |
Comcast Corp. | 3.2 | % | |
Apache Corp. | 3.2 | % | |
Eli Lilly & Co. | 2.9 | % | |
Gilead Sciences, Inc. | 2.9 | % | |
Entergy Corp. | 2.9 | % |
BASKET STRUCTURE
As of 3/31/08
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I Shares – March 31, 2008
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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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William V. Fries, CFA Co-Portfolio Manager
Connor Browne,CFA Co-Portfolio Manager
Edward E. Maran, CFA Co-Portfolio Manager | April 21, 2008
Dear Fellow Shareholder:
After many periods of good performance, we regret having to report that results for the first six months of our fiscal year were disappointing. The total return for Class I shares of the Thornburg Value Fund was negative 16.75%, compared with negative 12.46% for the S&P 500 Index. It was particularly disappointing that we performed poorly compared to market benchmarks. We would have liked to have at least maintained parity with the market during this period of financial stress. In no way do we concede this half-year performance as indicative of the future potential of our portfolio for the remainder of the year and beyond.
A lot has happened in the financial arena since our last communications. The market peaked soon after our fiscal year end in September. Essentially, optimism with regard to resolution of liquidity issues and the U.S. economy gave way to a more pessimistic assessment. Financial institutions have had to write down securitized assets and are scrambling to reduce financial leverage. Nothing is more illustrative of the magnitude of the stress than the failure of Bear Stearns, a respected 85-year-old securities firm that had to be acquired by JPMorgan at an unthinkably low price to avoid bankruptcy. The Fed has lowered the Fed Funds rate by 3% since September 2007 to 2.25%, a level not seen since 2005. Housing industry activity and prices continue to slump, the dollar continues to slide, and oil prices continue at unexpected high levels. Given this litany of issues, it is not too surprising that stocks have done poorly. It is not a stable environment, and the outlook is sufficiently opaque to keep even the most confident investor acting cautiously.
So what happened to the Thornburg Value Fund? Not surprisingly, our financial sector holdings performed poorly. Our weight in this sector was slightly higher than the benchmark at the beginning of the period, but more importantly, and a source of major disappointment, is the fact that almost all our financial sector holdings suffered from the sub-prime mortgage crisis. Two stocks alone, Freddie Mac and Citigroup, accounted | |
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Letter to Shareholders
Continued
for over three percentage points of value erosion. The price of both stocks was cut by more than half during the period. UBS, Wachovia, The Blackstone Group (private equity), CME Group (derivative exchanges), and AIG (insurance) also performed poorly.
In addition to the weak performance of financials, a number of other stocks had sizeable declines. WellPoint declined dramatically after reporting disappointing earnings. Las Vegas Sands sold off on concerns that gaming and property revenues in Las Vegas might be more impacted by recession than in the past. Technology issues were generally weak as business development and margin pressures were considered to be trending lower. Motorola, Intel, ON Semiconductor, Google, and Dell were among holdings affected. Additionally, a risk-averse environment was unfriendly to several of our holdings with financial leverage; notably: Hertz Global Holdings, Level 3 Communications, Rite Aid, Comcast, and JetBlue Airways. Most of these holdings remain in the portfolio and are expected to recover lost value in time. WellPoint, Motorola, and Google were trimmed at what turned out to be fortuitous levels before being eliminated from the portfolio.
Only 20% of the stocks in the portfolio had positive returns over the period. Natural gas producer Apache Corp. was a standout, benefiting from higher energy prices as well as potential production increases as exploration drilling has had some success in Canada and Australia. Taiwan telecom company Chunghwa was also a standout performer, reflecting success with broadband, mobile communications, and cost control, along with the potential for dividend increases and revenue generation from idle land holdings. A number of health care related issues also had positive performance. Varian Medical Services has benefited from innovation in oncology radiation treatment equipment, Roche and Genentech from FDA approval of Avastin for treatment of metastasized breast cancer, Cytyc was acquired at a nice premium, and Teva benefited from growth in the use of generic drugs. Electric utility Entergy benefited from higher oil and gas prices as their nuclear power generating plants are competitively advantaged versus coal and natural gas fired plants from a marginal cost and air quality standpoint.
Transaction activity during the fiscal first half centered on culling the portfolio of holdings believed to have changed risk/reward characteristics and adding issues consistent with our mantra of buying promising companies available at a discount to intrinsic value. Blackstone (private equity), Freddie Mac (mortgage guarantee and liquidity vehicle), Citigroup, UBS, and Wachovia were the most prominent stocks eliminated from the portfolio. Among stocks added to the portfolio were: Gilead Sciences (leader in drugs to treat HIV) and Eli Lilly (diabetes and psychology pharmaceuticals) in the health care area; JPMorgan Chase, U.S.
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Bancorp, and Hartford Financial Services Group in the financial service arena; and AT&T, Priceline, Visa, Apple, and Paychex (a diversified cross section of various industries).
We believe the changes we have made to the portfolio have been constructive. For the most part, our stock purchases since September have performed satisfactorily and sales have worked to avoid further erosion of value. Our investment philosophy, process, and investment team remain intact and our focus is on improving performance as expeditiously as possible. We hold 44 equity issues diversified across 19 industries. To learn more about each holding as well as garner other useful information, please visit our web site at www.thornburg.com/funds.
Thank you for your trust and confidence.
Sincerely,
![]() | ![]() | ![]() | ||
William V. Fries,CFA | Connor Browne,CFA | Edward E. Maran,CFA | ||
Co-Portfolio Manager | Co-Portfolio Manager | Co-Portfolio Manager | ||
Managing Director | Managing Director | Managing Director |
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager, and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
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Thornburg Value Fund | March 31, 2008 (Unaudited) |
ASSETS | ||||
Investments at value (cost $4,746,889,739) (Note 2) | $ | 4,704,968,220 | ||
Cash | 481,357 | |||
Receivable for fund shares sold | 10,912,861 | |||
Dividends receivable | 6,488,221 | |||
Interest receivable | 1,551,469 | |||
Prepaid expenses and other assets | 111,732 | |||
Total Assets | 4,724,513,860 | |||
LIABILITIES | ||||
Payable for securities purchased | 57,348,484 | |||
Payable for fund shares redeemed | 10,677,940 | |||
Payable to investment advisor and other affiliates (Note 3) | 3,980,860 | |||
Accounts payable and accrued expenses | 909,425 | |||
Dividends payable | 21,013 | |||
Total Liabilities | 72,937,722 | |||
NET ASSETS | $ | 4,651,576,138 | ||
NET ASSETS CONSIST OF: | ||||
Undistributed net investment income | $ | 3,273,177 | ||
Net unrealized depreciation on investments | (40,497,119 | ) | ||
Accumulated net realized gain (loss) | (230,268,163 | ) | ||
Net capital paid in on shares of beneficial interest | 4,919,068,243 | |||
$ | 4,651,576,138 | |||
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STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Value Fund | March 31, 2008 (Unaudited) |
NET ASSET VALUE: | |||
Class A Shares: | |||
Net asset value and redemption price per share ($1,357,827,327 applicable to 40,945,885 shares of beneficial interest outstanding – Note 4) | $ | 33.16 | |
Maximum sales charge, 4.50% of offering price | 1.56 | ||
Maximum offering price per share | $ | 34.72 | |
Class B Shares: | |||
Net asset value and offering price per share * ($88,571,701 applicable to 2,807,062 shares of beneficial interest outstanding – Note 4) | $ | 31.55 | |
Class C Shares: | |||
Net asset value and offering price per share * ($507,435,424 applicable to 15,886,944 shares of beneficial interest outstanding – Note 4) | $ | 31.94 | |
Class I Shares: | |||
Net asset value, offering and redemption price per share ($2,348,203,559 applicable to 69,691,972 shares of beneficial interest outstanding – Note 4) | $ | 33.69 | |
Class R3 Shares: | |||
Net asset value, offering and redemption price per share ($179,492,188 applicable to 5,444,519 shares of beneficial interest outstanding – Note 4) | $ | 32.97 | |
Class R4 Shares: | |||
Net asset value, offering and redemption price per share ($32,083,450 applicable to 968,747 shares of beneficial interest outstanding – Note 4) | $ | 33.12 | |
Class R5 Shares: | |||
Net asset value, offering and redemption price per share ($137,962,489 applicable to 4,097,955 shares of beneficial interest outstanding – Note 4) | $ | 33.67 | |
* | 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, 2008 (Unaudited) |
INVESTMENT INCOME: | ||||
Dividend income (net of foreign taxes withheld of $256,307) | $ | 32,736,680 | ||
Interest income | 3,851,166 | |||
Total Income | 36,587,846 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 17,594,164 | |||
Administration fees (Note 3) | ||||
Class A Shares | 936,986 | |||
Class B Shares | 62,829 | |||
Class C Shares | 354,245 | |||
Class I Shares | 595,699 | |||
Class R3 Shares | 100,359 | |||
Class R4 Shares | 12,387 | |||
Class R5 Shares | 28,258 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 1,875,259 | |||
Class B Shares | 502,460 | |||
Class C Shares | 2,833,162 | |||
Class R3 Shares | 401,962 | |||
Class R4 Shares | 26,930 | |||
Transfer agent fees | ||||
Class A Shares | 875,450 | |||
Class B Shares | 75,423 | |||
Class C Shares | 316,490 | |||
Class I Shares | 913,870 | |||
Class R3 Shares | 154,354 | |||
Class R4 Shares | 11,878 | |||
Class R5 Shares | 72,695 | |||
Registration and filing fees | ||||
Class A Shares | 19,824 | |||
Class B Shares | 7,510 | |||
Class C Shares | 9,915 | |||
Class I Shares | 47,312 | |||
Class R3 Shares | 11,039 | |||
Class R4 Shares | 18,911 | |||
Class R5 Shares | 18,942 | |||
Custodian fees (Note 3) | 272,988 | |||
Professional fees | 82,452 | |||
Accounting fees | 92,530 | |||
Trustee fees | 32,000 | |||
Other expenses | 288,108 | |||
Total Expenses | 28,646,391 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (221,753 | ) | ||
Fees paid indirectly (Note 3) | (19,738 | ) | ||
Net Expenses | 28,404,900 | |||
Net Investment Income | $ | 8,182,946 | ||
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STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Value Fund | Six Months Ended March 31, 2008 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments sold | $ | (212,975,664 | ) | |
Foreign currency transactions | (95,406 | ) | ||
(213,071,070 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (695,690,327 | ) | ||
Foreign currency translations | 7,337 | |||
(695,682,990 | ) | |||
Net Realized and Unrealized Loss | (908,754,060 | ) | ||
Net Decrease in Net Assets Resulting From Operations | $ | (900,571,114 | ) | |
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Value Fund
Six Months Ended March 31, 2008* | Year Ended September 30, 2007 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 8,182,946 | $ | 28,639,753 | ||||
Net realized gain (loss) on investments and foreign currency transactions | (213,071,070 | ) | 455,862,583 | |||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments and foreign currency translations | (695,682,990 | ) | 268,367,897 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (900,571,114 | ) | 752,870,233 | |||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (856,188 | ) | (9,517,757 | ) | ||||
Class B Shares | — | (62,759 | ) | |||||
Class C Shares | — | (455,165 | ) | |||||
Class I Shares | (5,811,635 | ) | (18,072,475 | ) | ||||
Class R3 Shares | (70,332 | ) | (707,632 | ) | ||||
Class R4 Shares | (33,510 | ) | (24,305 | ) | ||||
Class R5 Shares | (281,466 | ) | (578,768 | ) | ||||
From realized gains | ||||||||
Class A Shares | (145,917,342 | ) | (40,724,358 | ) | ||||
Class B Shares | (10,428,887 | ) | (3,458,689 | ) | ||||
Class C Shares | (57,732,548 | ) | (17,561,097 | ) | ||||
Class I Shares | (223,563,517 | ) | (39,645,604 | ) | ||||
Class R3 Shares | (14,403,384 | ) | (1,897,722 | ) | ||||
Class R4 Shares | (1,166,969 | ) | — | |||||
Class R5 Shares | (9,376,741 | ) | (456,993 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 185,806,858 | 254,630,938 | ||||||
Class B Shares | 4,820,315 | 70,097 | ||||||
Class C Shares | 51,393,502 | 43,074,529 | ||||||
Class I Shares | 614,828,712 | 1,059,702,770 | ||||||
Class R3 Shares | 72,193,465 | 87,096,462 | ||||||
Class R4 Shares | 30,124,044 | 6,750,585 | ||||||
Class R5 Shares | 60,984,059 | 88,298,634 | ||||||
Net Increase (Decrease) in Net Assets | (350,062,678 | ) | 2,159,330,924 | |||||
NET ASSETS: | ||||||||
Beginning of period | 5,001,638,816 | 2,842,307,892 | ||||||
End of period | $ | 4,651,576,138 | $ | 5,001,638,816 | ||||
Undistributed net investment income | $ | 3,273,177 | $ | 2,143,362 |
* | Unaudited |
See notes to financial statements.
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NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Value Fund | March 31, 2008 (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 thirteen 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 International Value Fund, Thornburg Core Growth Fund, Thornburg New York Intermediate Municipal Fund, Thornburg Investment Income Builder Fund, Thornburg Global Opportunities Fund, Thornburg International Growth Fund, and Thornburg Strategic Income Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing in equity and debt securities of all types. As a secondary objective, the Fund also seeks some current income.
The Fund currently offers seven classes of shares of beneficial interest, Class A, Class B, Class C, Institutional Class (Class I), and Retirement Classes (Class R3, Class R4, and Class R5) 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 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 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 R3 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 R4 shares are sold at net asset value without a sales charge at the time of purchase, but bear a service fee, (vii) Class R5 shares are sold at net asset value without a sales charge at the time of purchase, and (viii) the respective classes may have different reinvestment privileges and conversion rights. 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: Portfolio securities listed or traded on a national securities exchange are valued on the valuation date at the last reported sale price on the exchange that is the primary market for the security. Portfolio securities traded on an exchange for which there has been no sale that day and other equity securities traded in the over-the-counter market are valued at the mean between the last reported bid and asked prices. Portfolio securities reported by NASDAQ are valued at the NASDAQ official closing price. Any foreign security traded on exchanges outside the United States is valued at the price of the security on the exchange that is normally the security’s primary market, as of the close of that exchange preceding the time of the Fund’s valuation. Quotations for foreign securities in foreign currencies are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
Any debt securities held by the Fund have a primary market over the counter and are valued by an independent pricing service approved by the Trustees of the Trust. The pricing service ordinarily values debt securities at quoted bid prices. When quotations are not available, debt securities held by the Fund are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt securities of comparable quality, type of issue, coupon, maturity, and rating, indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
In any case where the market value of an equity security held by the Fund is not readily available, the Trust’s valuation and pricing committee determines a fair value for the security using factors approved by the Trustees. A security’s market value is deemed not readily available whenever the exchange or market on which the security is primarily traded is closed for the entire scheduled day of trading. Additionally, a security’s market value may be deemed not readily available under other circumstances identified by the Trustees, including when developments occurring after the most recent close of the security’s primary exchange or market, but before the most recent close of trading in Fund shares, create a serious question about the reliability of the security’s market value.
In any case where a pricing service fails to provide a price for a debt security held by the Fund, the valuation and pricing committee determines a fair value for the debt security using factors approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt security held by the Fund may be unreliable, the valuation and pricing committee decides whether or not to use the pricing service’s valuation or to determine a fair value for the debt security.
Foreign Currency Translation: Portfolio securities and other assets and liabilities denominated in foreign currencies are
Certified Semi-Annual Report 15
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund | March 31, 2008 (Unaudited) |
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 amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books, and the U.S. dollar equivalent of the amounts actually received or paid.
Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.
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 Fund’s 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 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 liabilities 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 six months ended March 31, 2008, 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 Trust also has entered into administrative services agreements 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 six months ended March 31, 2008, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $191,957 for Class R3 shares, $21,948 for Class R4 Shares, and $7,848 for Class R5 shares.
16 Certified Semi-Annual Report
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund | March 31, 2008 (Unaudited) |
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 six months ended March 31, 2008, the Distributor has advised the Fund that it earned net commissions aggregating $106,546 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $32,187 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 and distribution 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 R3 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class B, Class C, and Class R3 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 R3 shares. Total fees incurred by the Distributor for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2008, 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 six months ended March 31, 2008, fees paid indirectly were $19,738. This figure may include additional fees waived by the custodian.
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, 2008, 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, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 6,776,429 | $ | 256,539,244 | 13,429,422 | $ | 547,664,978 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 3,615,941 | 134,059,119 | 1,156,240 | 45,570,783 | ||||||||||
Shares repurchased | (5,673,098 | ) | (204,805,680 | ) | (8,199,947 | ) | (338,622,249 | ) | ||||||
Redemption fees received** | — | 14,175 | — | 17,426 | ||||||||||
Net Increase (Decrease) | 4,719,272 | $ | 185,806,858 | 6,385,715 | $ | 254,630,938 | ||||||||
Class B Shares | ||||||||||||||
Shares sold | 83,856 | $ | 3,087,783 | 238,194 | $ | 9,443,286 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 256,632 | 9,077,087 | 83,508 | 3,126,334 | ||||||||||
Shares repurchased | (208,293 | ) | (7,345,497 | ) | (316,970 | ) | (12,500,818 | ) | ||||||
Redemption fees received** | — | 942 | — | 1,295 | ||||||||||
Net Increase (Decrease) | 132,195 | $ | 4,820,315 | 4,732 | $ | 70,097 | ||||||||
Certified Semi-Annual Report 17
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund | March 31, 2008 (Unaudited) |
Six Months Ended March 31, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class C Shares | ||||||||||||||
Shares sold | 1,237,152 | $ | 45,701,739 | 2,252,675 | $ | 89,691,497 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 1,416,280 | 50,702,850 | 417,160 | 15,793,087 | ||||||||||
Shares repurchased | (1,284,868 | ) | (45,016,425 | ) | (1,569,020 | ) | (62,416,929 | ) | ||||||
Redemption fees received** | — | 5,338 | — | 6,874 | ||||||||||
Net Increase (Decrease) | 1,368,564 | $ | 51,393,502 | 1,100,815 | $ | 43,074,529 | ||||||||
Class I Shares | ||||||||||||||
Shares sold | 20,580,840 | $ | 774,675,435 | 29,796,837 | $ | 1,246,028,389 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 4,811,948 | 181,207,750 | 1,185,152 | 47,802,515 | ||||||||||
Shares repurchased | (9,299,719 | ) | (341,077,267 | ) | (5,579,299 | ) | (234,149,563 | ) | ||||||
Redemption fees received** | — | 22,794 | — | 21,429 | ||||||||||
Net Increase (Decrease) | 16,093,069 | $ | 614,828,712 | 25,402,690 | $ | 1,059,702,770 | ||||||||
Class R3 Shares | ||||||||||||||
Shares sold | 2,322,259 | $ | 83,583,668 | 2,874,263 | $ | 117,754,787 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 380,388 | 14,021,104 | 64,233 | 2,541,337 | ||||||||||
Shares repurchased | (700,387 | ) | (25,412,890 | ) | (795,418 | ) | (33,200,944 | ) | ||||||
Redemption fees received** | — | 1,583 | — | 1,282 | ||||||||||
Net Increase (Decrease) | 2,002,260 | $ | 72,193,465 | 2,143,078 | $ | 87,096,462 | ||||||||
Class R4 Shares* | ||||||||||||||
Shares sold | 883,535 | $ | 32,703,018 | 170,003 | $ | 7,199,837 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 30,790 | 1,139,163 | 555 | 24,227 | ||||||||||
Shares repurchased | (105,017 | ) | (3,718,353 | ) | (11,119 | ) | (473,504 | ) | ||||||
Redemption fees received** | — | 216 | — | 25 | ||||||||||
Net Increase (Decrease) | 809,308 | $ | 30,124,044 | 159,439 | $ | 6,750,585 | ||||||||
Class R5 Shares | ||||||||||||||
Shares sold | 2,139,919 | $ | 77,057,468 | 2,430,984 | $ | 101,996,046 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 256,738 | 9,655,419 | 24,855 | 1,035,760 | ||||||||||
Shares repurchased | (686,282 | ) | (25,729,936 | ) | (343,451 | ) | (14,733,830 | ) | ||||||
Redemption fees received** | — | 1,108 | — | 658 | ||||||||||
Net Increase (Decrease) | 1,710,375 | $ | 60,984,059 | 2,112,388 | $ | 88,298,634 | ||||||||
* | Effective date of this class of shares was February 1, 2007. |
** | The Fund charges a redemption fee of 1% of the Class A and Class I shares redeemed or exchanged within 30 days of purchase. Redemption fees charged to any class are allocated to all classes upon receipt of payment based on relative net asset values of each class or other appropriate allocation methods. |
18 Certified Semi-Annual Report
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund | March 31, 2008 (Unaudited) |
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2008, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $2,094,274,134 and $1,481,967,852, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2008, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 4,745,363,605 | ||
Gross unrealized appreciation on a tax basis | $ | 377,818,318 | ||
Gross unrealized depreciation on a tax basis | (418,213,703 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | (40,395,385 | ) | |
At March 31, 2008, the Fund has deferred tax basis currency losses occurring subsequent to October 31, 2006 of $89,255. For tax purposes, such losses will be reflected in the year ending September 30, 2008.
NOTE 7 – FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
There are special risks associated with international investing, including currency fluctuations, economic and political instability, confiscation, inability or delays in selling foreign investments, and reduced legal protection for investments.
OTHER NOTES:
FASB Interpretation No. 48:
On July 13, 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation prescribes a model for how a company, including the Fund, should recognize, measure, present and disclose in its financial statements uncertain tax positions that the company has taken or expects to take on income tax returns, and also revises certain disclosure requirements. The Interpretation became effective for the Fund for the financial statement reporting period ended March 31, 2008. As of the date of this report, management of the Fund has not identified any material effect on the Fund’s financial statements resulting from the implementation of FIN 48.
Statement of Accounting Standards No. 157:
On September 15, 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 defines fair value, provides guidelines for measuring fair value in accordance with generally accepted accounting principles, and addresses disclosures about fair value measurements. FAS 157 establishes a fair value hierarchy that distinguishes between (i) market participant assumptions developed based upon market data obtained from sources independent of the reporting entity (observable inputs) and (ii) the entity’s own assumptions about market participant assumptions developed based upon the best information available under the circumstances (unobservable inputs). FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and is to be applied prospectively as of the beginning of the first fiscal year for which FAS 157 is applied. Management is evaluating FAS 157, and is not in a position at this time to estimate the significance of its impact, if any, on the Fund’s financial statements.
Statement of Accounting Standards No. 161:
In March 2008, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”). FAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. FAS 161 requires enhanced disclosures about any derivative and hedging activities by the Fund, including how such activities are accounted for and any effect on the Fund’s financial position, performance and cash flows. Management is evaluating the impact, if any, that the adoption of FAS 161 will have on the Fund’s financial statements and related disclosures.
Certified Semi-Annual Report 19
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Thornburg Value Fund
Six Months Ended March 31, 2008* | Year Ended September 30, | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 44.80 | $ | 38.11 | $ | 33.23 | $ | 28.49 | $ | 26.64 | $ | 20.95 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.12 | 0.44 | 0.50 | 0.45 | 0.31 | 0.26 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (7.21 | ) | 7.96 | 4.82 | 4.70 | 1.84 | 5.51 | |||||||||||||||||
Total from investment operations | (7.09 | ) | 8.40 | 5.32 | 5.15 | 2.15 | 5.77 | |||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.09 | ) | (0.41 | ) | (0.44 | ) | (0.41 | ) | (0.30 | ) | (0.03 | ) | ||||||||||||
Net realized gains | (3.93 | ) | (1.30 | ) | — | — | — | — | ||||||||||||||||
Return of capital | — | — | — | — | — | (0.05 | ) | |||||||||||||||||
Total dividends | (4.02 | ) | (1.71 | ) | (0.44 | ) | (0.41 | ) | (0.30 | ) | (0.08 | ) | ||||||||||||
Change in net asset value | (11.11 | ) | 6.69 | 4.88 | 4.74 | 1.85 | 5.69 | |||||||||||||||||
NET ASSET VALUE, end of period | $ | 33.69 | $ | 44.80 | $ | 38.11 | $ | 33.23 | $ | 28.49 | $ | 26.64 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return(%)(a) | (16.75 | ) | 22.62 | 16.10 | 18.16 | 8.04 | 27.55 | |||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | 0.63 | (b) | 1.05 | 1.41 | 1.44 | 1.07 | 1.10 | |||||||||||||||||
Expenses, after expense reductions (%) | 0.89 | (b) | 0.93 | 0.98 | 0.99 | 0.99 | 0.99 | |||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.89 | (b) | 0.92 | 0.97 | 0.98 | 0.99 | 0.99 | |||||||||||||||||
Expenses, before expense reductions (%) | 0.89 | (b) | 0.93 | 0.98 | 1.00 | 0.99 | 1.03 | |||||||||||||||||
Portfolio turnover rate (%) | 31.41 | 79.29 | 51.36 | 58.90 | 68.74 | 82.89 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 2,348,204 | $ | 2,401,473 | $ | 1,074,492 | $ | 457,788 | $ | 378,334 | $ | 260,624 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
20 Certified Semi-Annual Report
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SCHEDULE OF INVESTMENTS | ||
Thornburg Value Fund | March 31, 2008 (Unaudited) |
CUSIPS: CLASS A – 885-215-731, CLASS B – 885-215-590, CLASS C – 885-215-715, CLASS I – 885-215-632, CLASS R3 – 885-215-533, CLASS R4 – 885-215-277, CLASS R5 – 885-215-376
NASDAQ SYMBOLS: CLASS A – TVAFX, CLASS B – TVBFX, CLASS C – TVCFX, CLASS I – TVIFX, CLASS R3 – TVRFX, CLASS R4 – TVIRX, CLASS R5 – TVRRX
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/08
Pharmaceuticals, Biotechnology & Life Sciences | 12.6 | % | |
Telecommunication Services | 11.8 | % | |
Energy | 9.4 | % | |
Media | 6.7 | % | |
Insurance | 6.4 | % | |
Technology Hardware & Equipment | 5.8 | % | |
Materials | 5.1 | % | |
Diversified Financials | 3.8 | % | |
Retailing | 3.8 | % | |
Health Care Equipment & Services | 3.5 | % | |
Semiconductors & Semiconductor Equipment | 3.3 | % | |
Software & Services | 3.3 | % | |
Utilities | 2.9 | % | |
Transportation | 2.6 | % | |
Capital Goods | 2.5 | % | |
Banks | 2.4 | % | |
Consumer Services | 2.2 | % | |
Food, Beverage & Tobacco | 2.2 | % | |
Food & Staples Retailing | 2.2 | % | |
Other Assets & Cash Equivalents | 7.5 | % |
Shares/ Principal Amount | Value | ||||
COMMON STOCK — 91.82% | |||||
BANKS — 2.39% | |||||
COMMERCIAL BANKS — 2.39% | |||||
U.S. Bancorp | 3,437,072 | $ | 111,223,650 | ||
111,223,650 | |||||
CAPITAL GOODS — 2.57% | |||||
INDUSTRIAL CONGLOMERATES — 2.57% | |||||
General Electric Co. | 3,227,600 | 119,453,476 | |||
119,453,476 | |||||
CONSUMER SERVICES — 2.25% | |||||
HOTELS, RESTAURANTS & LEISURE — 2.25% | |||||
Las Vegas Sands Corp.+ | 1,422,306 | 104,738,614 | |||
104,738,614 | |||||
DIVERSIFIED FINANCIALS — 3.80% | |||||
CAPITAL MARKETS — 0.43% | |||||
AllianceBernstein Holdings LP | 320,030 | 20,283,501 | |||
DIVERSIFIED FINANCIAL SERVICES — 3.37% | |||||
CME Group, Inc. | 153,735 | 72,117,089 | |||
JPMorgan Chase & Co. | 1,967,000 | 84,482,650 | |||
176,883,240 | |||||
Certified Semi-Annual Report 21
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Value Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
ENERGY — 9.39% | |||||
OIL, GAS & CONSUMABLE FUELS — 9.39% | |||||
Apache Corp. | 1,222,442 | $ | 147,695,442 | ||
ConocoPhillips | 2,322,500 | 176,997,725 | |||
OAO Gazprom ADR | 2,199,000 | 112,149,000 | |||
436,842,167 | |||||
FOOD & STAPLES RETAILING — 2.18% | |||||
FOOD & STAPLES RETAILING — 2.18% | |||||
Rite Aid Corp.+ | 34,525,652 | 101,505,417 | |||
101,505,417 | |||||
FOOD, BEVERAGE & TOBACCO — 2.20% | |||||
FOOD PRODUCTS — 2.20% | |||||
Kraft Foods, Inc. A | 3,295,200 | 102,184,152 | |||
102,184,152 | |||||
HEALTH CARE EQUIPMENT & SERVICES — 3.48% | |||||
HEALTH CARE EQUIPMENT & SUPPLIES — 2.41% | |||||
Varian Medical Services, Inc.+ | 2,387,200 | 111,816,448 | |||
HEALTH CARE TECHNOLOGY — 1.07% | |||||
Eclipsys Corp.+ | 2,542,440 | 49,857,248 | |||
161,673,696 | |||||
INSURANCE — 6.36% | |||||
INSURANCE — 6.36% | |||||
Allstate Corp. | 2,706,000 | 130,050,360 | |||
American International Group, Inc. | 1,633,800 | 70,661,850 | |||
Hartford Financial Services Group | 1,255,400 | 95,121,658 | |||
295,833,868 | |||||
MATERIALS — 5.06% | |||||
CHEMICALS — 2.70% | |||||
Air Products & Chemicals, Inc. | 1,366,500 | 125,718,000 | |||
METALS & MINING — 2.36% | |||||
Freeport-McMoRan Copper & Gold, Inc. | 1,139,455 | 109,638,360 | |||
235,356,360 | |||||
MEDIA — 6.68% | |||||
MEDIA — 6.68% | |||||
Comcast Corp.+ | 7,847,050 | 148,858,539 | |||
DIRECTV Group, Inc.+ | 6,528,700 | 161,846,473 | |||
310,705,012 | |||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 12.68% | |||||
BIOTECHNOLOGY — 6.39% | |||||
Genentech, Inc.+ | 1,988,700 | 161,442,666 | |||
Gilead Sciences, Inc.+ | 2,637,800 | 135,925,834 |
22 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Value Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
PHARMACEUTICALS — 6.29% | |||||
Eli Lilly & Co. | 2,658,843 | $ | 137,169,711 | ||
Roche Holdings AG | 253,700 | 47,745,977 | |||
Teva Pharmaceutical Industries Ltd. ADR | 2,330,800 | 107,659,652 | |||
589,943,840 | |||||
RETAILING — 3.78% | |||||
INTERNET & CATALOG RETAIL — 1.45% | |||||
Priceline.com, Inc.+ | 558,611 | 67,513,725 | |||
SPECIALTY RETAIL — 2.33% | |||||
Office Depot, Inc.+ | 5,559,036 | 61,427,348 | |||
Staples, Inc. | 2,124,300 | 46,968,273 | |||
175,909,346 | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 3.31% | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 3.31% | |||||
Intel Corp. | 5,710,300 | 120,944,154 | |||
ON Semiconductor Corp.+ | 5,819,627 | 33,055,481 | |||
153,999,635 | |||||
SOFTWARE & SERVICES — 3.29% | |||||
IT SERVICES — 0.93% | |||||
Paychex, Inc. | 685,000 | 23,468,100 | |||
Visa, Inc.+ | 313,875 | 19,573,245 | |||
SOFTWARE — 2.36% | |||||
Microsoft Corp. | 3,870,000 | 109,830,600 | |||
152,871,945 | |||||
TECHNOLOGY HARDWARE & EQUIPMENT — 5.77% | |||||
COMMUNICATIONS EQUIPMENT — 2.75% | |||||
Corning, Inc. | 5,324,800 | 128,008,192 | |||
COMPUTERS & PERIPHERALS — 3.02% | |||||
Apple, Inc.+ | 161,000 | 23,103,500 | |||
Dell, Inc.+ | 5,879,900 | 117,127,608 | |||
268,239,300 | |||||
TELECOMMUNICATION SERVICES — 11.14% | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 7.49% | |||||
AT&T, Inc. | 3,898,000 | 149,293,400 | |||
Chunghwa Telecom Co. Ltd. ADR | 5,809,560 | 151,164,751 | |||
Level 3 Communications, Inc.+ | 22,656,400 | 48,031,568 | |||
WIRELESS TELECOMMUNICATION SERVICES — 3.65% | |||||
China Mobile Ltd. | 4,566,800 | 67,950,562 | |||
Crown Castle International Corp.+ | 2,951,850 | 101,809,307 | |||
518,249,588 | |||||
TRANSPORTATION — 2.60% | |||||
AIRLINES — 0.63% | |||||
JetBlue Airways Corp.+ | 5,095,700 | 29,555,060 |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Value Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||||
ROAD & RAIL — 1.97% | |||||||
Hertz Global Holdings, Inc.+ | 7,598,500 | $ | 91,637,910 | ||||
121,192,970 | |||||||
UTILITIES — 2.89% | |||||||
ELECTRIC UTILITIES — 2.89% | |||||||
Entergy Corp. | 1,232,136 | 134,401,395 | |||||
134,401,395 | |||||||
TOTAL COMMON STOCK (Cost $4,313,414,901) | 4,271,207,671 | ||||||
CORPORATE BONDS — 0.71% | |||||||
TELECOMMUNICATION SERVICES — 0.71% | |||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.71% | |||||||
Level 3 Financing, Inc., 9.25%, 11/1/2014 | $ | 40,239,000 | 32,895,382 | ||||
TOTAL CORPORATE BONDS (Cost $32,609,672) | 32,895,382 | ||||||
SHORT TERM INVESTMENTS — 8.62% | |||||||
American Express, 2.28%, 4/4/2008 | 151,300,000 | 151,271,253 | |||||
General Electric Capital Corp., 2.20%, 4/2/2008 | 99,600,000 | 99,593,914 | |||||
Toyota Motor Credit, 1.80%, 4/1/2008 | 150,000,000 | 150,000,000 | |||||
TOTAL SHORT TERM INVESTMENTS (Cost $400,865,166) | 400,865,167 | ||||||
TOTAL INVESTMENTS — 101.15% (Cost $4,746,889,739) | $ | 4,704,968,220 | |||||
LIABILITIES NET OF OTHER ASSETS — (1.15)% | (53,392,082 | ) | |||||
NET ASSETS — 100.00% | $ | 4,651,576,138 | |||||
Footnote Legend
+ Non-income producing
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR American Depository Receipt
See notes to financial statements.
24 Certified Semi-Annual Report
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EXPENSE EXAMPLE | ||
Thornburg Value Fund | March 31, 2008 (Unaudited) |
As a shareholder of the Fund, you incur two types of costs:
(1) | transaction costs, including a 30-day redemption fee on Class I shares; |
(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, 2007 and held until March 31, 2008.
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 9/30/07 | Ending Account Value 3/31/08 | Expenses Paid During Period† 9/30/07–3/31/08 | |||||||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 832.50 | $ | 4.07 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.56 | $ | 4.49 |
† | Expenses are equal to the annualized expense ratio for Class I shares (0.89%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
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INDEX COMPARISON | ||
Thornburg Value Fund | March 31, 2008 (Unaudited) |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Value Fund versus S&P 500 Index (November 2, 1998 to March 31, 2008)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2008
1 Yr | 5 Yrs | Since Inception | |||||||
I Shares (Incep: 11/2/98) | (8.43 | )% | 13.41 | % | 7.61 | % | |||
S&P 500 Index (Since: 11/2/98) | (5.08 | )% | 11.32 | % | 3.53 | % |
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. Class I shares are subject to a 1% 30-day redemption fee.
The S&P 500 Index, an unmanaged broad measure of the U.S. stock market, does not reflect sales charges or expenses. Investors cannot invest directly in an index.
26 Certified Semi-Annual Report
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OTHER INFORMATION | ||
Thornburg Value Fund | March 31, 2008 (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 web site at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s web site at www.sec.gov.
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 web site at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s web site 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 web site at 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 web site at www.thornburg.com/download or upon request by calling 1-800-847-0200.
Certified Semi-Annual Report 27
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Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
February 8, 2005, as readopted July 18, 2007
The Trustees are concerned that ongoing 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.
28 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. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
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.
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 Global Opportunities Fund |
• | Thornburg International Growth Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
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Thornburg Equity Funds
Thornburg’s equity research uses a fundamental and comprehensive analytical approach. Thornburg equity funds focus on a limited number of securities so that each holding can impact 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.
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
• | Thornburg International Growth Fund |
Thornburg Bond Funds
The majority of Thornburg bond funds are laddered portfolios of 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 Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term Municipal Fund |
• | Thornburg New Mexico Intermediate Municipal Fund |
• | Thornburg New York Intermediate Municipal Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund* |
Carefully consider each fund’s investment objectives, risks, sales charges, and expenses; this information can be found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. There is no guarantee that any of these funds will meet their investment objectives.
For additional information, please visit www.thornburg.com
Thornburg Investment Management, 119 East Marcy Street, Santa Fe, NM 87501
* | This fund does not use the laddering strategy. |
This page is not part of the Semi-Annual Report. 31
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![]() | Waste not, Wait not | ![]() | ||||
This Semi-Annual Report is 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. |
Get instant access to your shareholder reports.
By switching from your postal mailbox to your email inbox, you reduce paper clutter, improve record keeping access, and help conserve our natural resources. | |||||
![]() | Investment Advisor: Thornburg Investment Management®
Distributor: Thornburg Securities Corporation® 800.847.0200
TH171 | Go to www.thornburg.com/edelivery and sign up to receive your shareholder reports, prospectuses, and proxy statements electronically.
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Important Information
The information presented on the following pages was current as of March 31, 2008. The managers’ views, portfolio holdings, and sector and country diversification are provided for the general information of the Fund’s shareholders; they are historical and subject to change. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments in the Fund carry risks including possible loss of principal. Investing outside the United States involves additional risks, such as currency fluctuations. Risks may be associated with investments in emerging markets including illiquidity and volatility. Additionally, the Fund may invest a portion of the assets in small capitalization companies, which may increase the risk of greater price fluctuations. Funds invested in a limited number of holdings may expose an investor to greater volatility. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund. Investments 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. There is no guarantee that the Fund will meet its investment objectives.
Performance data given at net asset value (NAV) does not take into account the applicable sales charges. If the sales charges had been included, the performance would have been lower.
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 net 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.
Basis Point – A unit that is equal to 1/100th of 1%. A 1% change = 100 basis points (bps)
Beta – 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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Thornburg International Value Fund
Finding Promising Companies at a Discount
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% . Class A shares are subject to a 1% 30-day redemption fee. The total annual fund operating expenses of Class A shares is 1.29% , as disclosed in the most recent Prospectus.
CO-PORTFOLIO MANAGERS
Left to right: Lei Wang,CFA, Bill Fries,CFA, Wendy Trevisani
KEY PORTFOLIO ATTRIBUTES
As of 3/31/08
Portfolio P/E Trailing 12-months* | 14.3x | ||
Portfolio Price to Cash Flow* | 9.2 | ||
Portfolio Price to Book Value* | 2.8 | ||
Median Market Cap* | $ | 35.9 B | |
7-Year Beta (A Shares vs. MSCI EAFE)* | 0.94 | ||
Holdings | 54 |
* | Source: FactSet |
The Thornburg International Value Fund seeks to find value in overseas markets. It differs from many other international equity funds in two key ways. First, it focuses on a limited number of stocks, and second, it takes a more comprehensive approach to value investing. This strategy has provided material positive returns for shareholders who have been invested since the Fund’s inception in 1998.
Our team is dedicated to providing value to shareholders. We accomplish this through the application of seasoned investment principles with hands-on, company-oriented research. We use a collaborative approach in implementing our investment research process. Our focus is on finding promising companies available at a discount to our estimate of their intrinsic value, no matter where they are located outside the United States. Geographic location is secondary to individual stock merit.
In managing the Thornburg International Value Fund, we take a bottom-up approach to stock selection. The Fund is not predisposed to a particular geographic region or industry. We use a variety of valuation methods and business evaluations in an effort to gauge the intrinsic value of a company based on its past record and future potential. The continuum of process moves from screens and idea generation, through conventional “Wall Street” research and documentation, to
AVERAGE ANNUAL TOTAL RETURNS* FOR PERIODS ENDED MARCH 31, 2008
6 Mos | 1 Yr | 3 Yrs | 5 Yrs | Since Inception | |||||||||||
A Shares (Incep: 5/28/98) | |||||||||||||||
Without Sales Charge | (10.58 | )% | 10.59 | % | 19.01 | % | 25.13 | % | 12.71 | % | |||||
With Sales Charge | (14.60 | )% | 5.63 | % | 17.20 | % | 23.98 | % | 12.19 | % | |||||
MSCI EAFE Index (Since: 5/28/98) | (10.50 | )% | (2.70 | )% | 13.32 | % | 21.40 | % | 6.26 | % |
* | Periods less than one year are not annualized. |
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company contact, the latter often including on-site visits. The focus of the analysis is on what’s behind the numbers: its revenue and cash-generating model. We make an effort to get to know the company’s reputation in the industry, its people and its corporate culture.
The current posture is to maintain a portfolio of 50–65 companies diversified by country, sector, industry, market capitalization, and our three categories of stocks: Basic Value, Consistent Earners and Emerging Franchises. Because of the limited number of stocks in the portfolio, every holding counts. At the time of purchase, we set a 12–18 month price target for each stock. The target is reviewed as the fundamentals of the stock change during the course of ownership.
The bottom line? Engendering a wide-open, collegial environment fosters information flows and critical thinking intended to benefit portfolio decision making. We do not view our location in Santa Fe, NM, as a disadvantage. While we have access to the best of Wall Street’s analysis, we are not ruled by it. Distance from the crowd serves to fortify independent and objective thinking.
STOCKS CONTRIBUTING AND DETRACTING
FOR SIX MONTHS ENDED 3/31/08
Top Contributors | Top Detractors | |
Potash Corp. of Saskatchewan, Inc. | UBS AG | |
Novo Nordisk A/S | Hong Kong Exchanges & Clearing Ltd. | |
Swiss Reinsurance Co. | Country Garden Holdings Co. Ltd. | |
Nestlé SA-REG | Next plc | |
Air Liquide | Marks & Spencer Group plc |
Source: FactSet
MARKET CAPITALIZATION EXPOSURE
As of 3/31/08
TOP TEN HOLDINGS
As of 3/31/08
Novo Nordisk A/S | 3.2 | % | |
Roche Holding AG | 3.1 | % | |
Teva Pharmaceutical Industries Ltd. | 3.1 | % | |
Nestlé SA-REG | 3.1 | % | |
China Mobile Ltd. | 2.9 | % | |
AXA | 2.8 | % | |
Fortum Oyj | 2.8 | % | |
Potash Corp. of Saskatchewan, Inc. | 2.7 | % | |
Telefónica SA | 2.7 | % | |
Nintendo Co. Ltd. | 2.6 | % |
BASKET STRUCTURE
As of 3/31/08
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Thornburg International Value Fund
March 31, 2008
Table of Contents
7 | ||
10 | ||
12 | ||
14 | ||
15 | ||
21 | ||
28 | ||
33 | ||
34 | ||
35 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
6 | Certified Semi-Annual Report |
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William V. Fries,CFA Co-Portfolio Manager
Wendy Trevisani Co-Portfolio Manager
Lei Wang,CFA Co-Portfolio Manager |
April 21, 2008
Dear Fellow Shareholder:
For the six-months ended March 31, 2008, the Thornburg International Value Fund (Class A shares at NAV) recorded a total return of negative 10.58% , slightly trailing the negative 10.50% return for the Morgan Stanley Capital International Europe, Australasia, Far East Index (MSCI EAFE Index). The collapse of the sub-prime residential mortgage securities market and fears of a global recession spread financial trauma to global markets over the period. Diversified financial service stocks and some emerging markets were particularly impacted as risk aversion became embedded in market psychology. In terms of geographies, the retreat in equity values was broadly based. For additional performance information by share class, please refer to the performance summary on page 34.
A number of financial related issues held in the Thornburg International Value Fund were negatively impacted by the debacle in the U.S. sub-prime mortgage securities business – some directly, most indirectly. Nearly all of our financial holdings detracted from performance, including UBS, Hong Kong Exchanges & Clearing, and banks around the world such as Shinhan Financial Group in South Korea, Sberbank in Russia, Lloyds TSB in the U.K., and China Merchants Bank in China. Our underweight relative to the benchmark in financials was of some relative benefit during the period, but disappointing stock selection served to offset this. Another sector that experienced particular weakness was U.K. retailing, as fears of economic slowdown led to a broad deterioration. Our holdings in Next (apparel) and Marks & Spencer Group (apparel and specialty foods) performed poorly, but small weightings in each reflected our concern about sentiment. Developing market holdings were broadly negative. Chinese holdings Soho China and Country Garden Holdings (both property developers) and China Petroleum and Chemical Holdings each had negative performance after a very strong rally in the previous period. Finally, in contrast to strength throughout most of 2007, the telecommunication sector was a notable underperformer. Given our overweight, we were not immune and holdings such as Vodafone Group and Rogers Communications participated in the sell off, although our stocks collectively performed better than the sector in general. It should also be noted that currency strength overseas played a meaningful role during the period. However, the benchmark was more heavily weighted in highly appreciated currencies such as the Euro and the Japanese Yen, and therefore benefited even more than the Fund |
Certified Semi-Annual Report | 7 |
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Letter to Shareholders
Continued
from currency. Barring currency effects, our stock selection was notably better than the benchmark, somewhat satisfying in a volatile market environment.
Good performance in the materials and health care sectors provided the principal positive selection effect in the portfolio. Canadian fertilizer company Potash Corp. of Saskatchewan was by far the best performing stock in the portfolio, up nearly 45% during the period as contract pricing strengthened and demand for soft commodities continued to accelerate. The principal contributors to positive performance in health care were Novo Nordisk (Danish pharmaceutical with focus on diabetes), Roche Holding (Swiss biotechnology with a forte in oncology), and Teva Pharmaceuticals (Israeli generic drugs franchise). Rounding out the strong performers were Nestlé and Danone (consumer goods companies exhibiting strong pricing power), Mexican based franchises (Wal-mart de México and América Móvil) and Air Liquide (French industrial gas entity). Of the stocks held as of March 31, 2008, 18 had positive returns over the six months while 36 stocks declined over the period.
Our stock selection was reasonably effective, with positive performance selection effect in 7 of 10 sectors. Only in energy, consumer discretionary, and financials did we fail to hold superior stocks during the period. As always, this type of measure can be biased by short-term volatility and news flow. Activity during the six-month period included the addition of seven new names to the portfolio: two Swiss – Swiss Re (insurance) and Logitech International (consumer electronics); two Chinese – Soho China (property development) and China Life (insurance); one each in Greece – National Bank of Greece, Japan – Komatsu (construction equipment), and Canada – Nexen (oil and gas production). Four stocks, Shiseido, Kingfisher, Lloyds TSB, and Canon, were sold during the period.
Equity markets in most parts of the world peaked in November when it appeared the liquidity crisis in the U.S. that arose during the summer would be contained and fast growing emerging market economies might not be materially impacted by a recession in the United States. This view proved to be overly optimistic, and revelation of exposure to illiquid securitized products surfaced in unexpected places and to a much greater extent than previously disclosed. High anxiety among fixed income portfolio managers curtailed activity levels dramatically. Essentially, the market for securities funded by short-term credit became dysfunctional. For financial institutions involved in these securities (most all), the impact on stock prices was unfortunate. While we managed to avoid most of the damage, we did not escape it all (as outlined above).
In local currency terms, the majority of overseas markets suffered even more than the United States. However, with the currency effect of the weaker dollar, the declines become more muted for U.S. investors as foreign currencies translate into more dollars. U.S. governmental and monetary authorities have initiatives pending and in place that will likely work toward normalization in global fixed income markets and be a positive for equity markets as well. At the present time, investors are focused on evaluating the effectiveness of these initiatives and their impact on global
8 | Certified Semi-Annual Report |
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economies, inflationary expectations, currency movements, and individual corporate profits. Only time will tell how it will all work out, but it seems possible that we have experienced the worst and that markets and companies around the world are adjusting effectively to the current stress. A number of recent earnings reports are encouraging.
Our investment philosophy, portfolio management team, and research process remain intact. We will strive to make our investment effort effective with regard to returns, as well as prudent with regard to risk. Our stock holdings at the end of March numbered 54 and represented 21 different industries in 18 countries. To learn more about each holding as well as garner other useful information, please visit our web site at www.thornburg.com/funds.
Thank you for your trust and confidence.
Sincerely, | ||||
![]() | ![]() | ![]() | ||
William V. Fries,CFA | Wendy Q. Trevisani | Lei Wang,CFA | ||
Co-Portfolio Manager | Co-Portfolio Manager | Co-Portfolio Manager | ||
Managing Director | Managing Director | Managing Director |
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager, and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
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STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg International Value Fund | March 31, 2008 (Unaudited) |
ASSETS | ||||
Investments at value (cost $15,426,030,404) (Note 2) | $ | 17,641,275,971 | ||
Cash | 3,030,111 | |||
Receivable for fund shares sold | 105,595,755 | |||
Unrealized gain on forward exchange contracts (Note 7) | 1,936,811 | |||
Dividends receivable | 49,067,559 | |||
Prepaid expenses and other assets | 311,220 | |||
Total Assets | 17,801,217,427 | |||
LIABILITIES | ||||
Payable for securities purchased | 186,188,635 | |||
Payable for fund shares redeemed | 44,604,259 | |||
Unrealized loss on forward exchange contracts (Note 7) | 154,166,662 | |||
Payable to investment advisor and other affiliates (Note 3) | 15,234,303 | |||
Accounts payable and accrued expenses | 6,429,901 | |||
Dividends payable | 8,652 | |||
Total Liabilities | 406,632,412 | |||
NET ASSETS | $ | 17,394,585,015 | ||
NET ASSETS CONSIST OF: | ||||
Undistributed net investment income | $ | 14,668,265 | ||
Net unrealized appreciation on investments | 2,063,187,732 | |||
Accumulated net realized gain (loss) | (156,823,460 | ) | ||
Net capital paid in on shares of beneficial interest | 15,473,552,478 | |||
$ | 17,394,585,015 | |||
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STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg International Value Fund | March 31, 2008 (Unaudited) |
NET ASSET VALUE: | |||
Class A Shares: | |||
Net asset value and redemption price per share ($ 7,251,221,291 applicable to 244,655,984 shares of beneficial interest outstanding - Note 4) | $ | 29.64 | |
Maximum sales charge, 4.50% of offering price | 1.40 | ||
Maximum offering price per share | $ | 31.04 | |
Class B Shares: | |||
Net asset value and offering price per share * ($128,013,829 applicable to 4,578,217 shares of beneficial interest outstanding - Note 4) | $ | 27.96 | |
Class C Shares: | |||
Net asset value and offering price per share * ($ 2,359,696,941 applicable to 84,039,653 shares of beneficial interest outstanding - Note 4) | $ | 28.08 | |
Class I Shares: | |||
Net asset value, offering and redemption price per share ($ 5,679,437,913 applicable to 187,551,551 shares of beneficial interest outstanding - - Note 4) | $ | 30.28 | |
Class R3 Shares: | |||
Net asset value, offering and redemption price per share ($ 1,046,329,351 applicable to 35,236,270 shares of beneficial interest outstanding - Note 4) | $ | 29.69 | |
Class R4 Shares: | |||
Net asset value, offering and redemption price per share ($ 138,995,072 applicable to 4,700,376 shares of beneficial interest outstanding - Note 4) | $ | 29.57 | |
Class R5 Shares: | |||
Net asset value, offering and redemption price per share ($ 790,890,618 applicable to 26,147,159 shares of beneficial interest outstanding - Note 4) | $ | 30.25 | |
* | 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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STATEMENT OF OPERATIONS | ||
Thornburg International Value Fund | Six Months Ended March 31, 2008 (Unaudited) |
INVESTMENT INCOME: | ||||
Dividend income (net of foreign taxes withheld of $ 10,582,848) | $ | 112,065,443 | ||
Interest income | 12,719,380 | |||
Total Income | 124,784,823 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 59,061,137 | |||
Administration fees (Note 3) | ||||
Class A Shares | 4,593,744 | |||
Class B Shares | 84,062 | |||
Class C Shares | 1,497,241 | |||
Class I Shares | 1,374,784 | |||
Class R3 Shares | 651,238 | |||
Class R4 Shares | 52,832 | |||
Class R5 Shares | 155,875 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 9,179,853 | |||
Class B Shares | 673,285 | |||
Class C Shares | 11,997,140 | |||
Class R3 Shares | 2,607,982 | |||
Class R4 Shares | 122,482 | |||
Transfer agent fees | ||||
Class A Shares | 4,779,070 | |||
Class B Shares | 87,825 | |||
Class C Shares | 1,196,550 | |||
Class I Shares | 2,150,725 | |||
Class R3 Shares | 944,585 | |||
Class R4 Shares | 52,215 | |||
Class R5 Shares | 292,557 | |||
Registration and filing fees | ||||
Class A Shares | 79,161 | |||
Class B Shares | 8,883 | |||
Class C Shares | 34,993 | |||
Class I Shares | 89,888 | |||
Class R3 Shares | 12,233 | |||
Class R4 Shares | 7,933 | |||
Class R5 Shares | 11,712 | |||
Custodian fees (Note 3) | 2,777,380 | |||
Professional fees | 162,062 | |||
Accounting fees | 267,050 | |||
Trustee fees | 97,790 | |||
Other expenses | 982,264 | |||
Total Expenses | 106,086,531 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (536,850 | ) | ||
Fees paid indirectly (Note 3) | (161,080 | ) | ||
Net Expenses | 105,388,601 | |||
Net Investment Income | $ | 19,396,222 | ||
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STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg International Value Fund | Six Months Ended March 31, 2008 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments | $ | (135,860,370 | ) | |
Foreign currency transactions | 783,186 | |||
(135,077,184 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (1,682,425,324 | ) | ||
Foreign currency translations | (158,423,858 | ) | ||
(1,840,849,182 | ) | |||
Net Realized and Unrealized Loss | (1,975,926,366 | ) | ||
Net Decrease in Net Assets Resulting From Operations | $ | (1,956,530,144 | ) | |
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Thornburg International Value Fund
Six Months Ended March 31, 2008* | Year Ended September 30, 2007 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 19,396,222 | $ | 103,966,190 | ||||
Net realized gain (loss) on investments and foreign currency transactions | (135,077,184 | ) | 1,428,445,088 | |||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments and foreign currency translations | (1,840,849,182 | ) | 2,536,203,304 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,956,530,144 | ) | 4,068,614,582 | |||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (2,437,963 | ) | (51,935,263 | ) | ||||
Class B Shares | — | (290,064 | ) | |||||
Class C Shares | — | (5,990,504 | ) | |||||
Class I Shares | (6,919,338 | ) | (49,998,965 | ) | ||||
Class R3 Shares | — | (5,881,366 | ) | |||||
Class R4 Shares | (58,621 | ) | (152,359 | ) | ||||
Class R5 Shares | (772,299 | ) | (3,086,424 | ) | ||||
From realized gains | ||||||||
Class A Shares | (600,769,404 | ) | (108,430,244 | ) | ||||
Class B Shares | (11,739,966 | ) | (2,187,195 | ) | ||||
Class C Shares | (203,158,109 | ) | (34,058,224 | ) | ||||
Class I Shares | (426,254,876 | ) | (53,149,660 | ) | ||||
Class R3 Shares | (85,519,217 | ) | (12,229,262 | ) | ||||
Class R4 Shares | (4,805,028 | ) | — | |||||
Class R5 Shares | (39,612,380 | ) | (1,466,007 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 1,573,587,953 | 1,139,200,293 | ||||||
Class B Shares | 19,916,304 | 19,169,835 | ||||||
Class C Shares | 534,478,222 | 466,723,398 | ||||||
Class I Shares | 1,620,221,898 | 1,923,676,047 | ||||||
Class R3 Shares | 266,122,829 | 317,048,006 | ||||||
Class R4 Shares | 115,877,981 | 36,735,755 | ||||||
Class R5 Shares | 458,921,216 | 338,549,227 | ||||||
Net Increase in Net Assets | 1,250,549,058 | 7,980,861,606 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 16,144,035,957 | 8,163,174,351 | ||||||
End of period | $ | 17,394,585,015 | $ | 16,144,035,957 | ||||
Undistributed net investment income | $ | 14,668,265 | $ | 5,460,264 |
* | Unaudited. |
See notes to financial statements.
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NOTES TO FINANCIAL STATEMENTS | ||
Thornburg International Value Fund | March 31, 2008 (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 thirteen 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 Core Growth Fund, Thornburg New York Intermediate Municipal Fund, Thornburg Investment Income Builder Fund, Thornburg Global Opportunities Fund, Thornburg International Growth Fund, and Thornburg Strategic Income Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing in equity and debt securities of all types. As a secondary objective, the Fund also seeks some current income.
The Fund currently offers seven classes of shares of beneficial interest, Class A, Class B, Class C, Institutional Class (Class I), and Retirement Classes (Class R3, Class R4, and Class R5) 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 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 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 R3 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 R4 shares are sold at net asset value without a sales charge at the time of purchase, but bear a service fee, (vii) Class R5 shares are sold at net asset value without a sales charge at the time of purchase, and (viii) the respective classes may have different reinvestment privileges and conversion rights. 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: Portfolio securities listed or traded on a national securities exchange are valued on the valuation date at the last reported sale price on the exchange that is the primary market for the security. Portfolio securities traded on an exchange for which there has been no sale that day and other equity securities traded in the over-the-counter market are valued at the mean between the last reported bid and asked prices. Portfolio securities reported by NASDAQ are valued at the NASDAQ official closing price. Any foreign security traded on exchanges outside the United States is valued at the price of the security on the exchange that is normally the security’s primary market, as of the close of that exchange preceding the time of the Fund’s valuation. Quotations for foreign securities in foreign currencies are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
Any debt securities held by the Fund have a primary market over the counter and are valued by an independent pricing service approved by the Trustees of the Trust. The pricing service ordinarily values debt securities at quoted bid prices. When quotations are not available, debt securities held by the Fund are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt securities of comparable quality, type of issue, coupon, maturity, and rating, indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
In any case where the market value of an equity security held by the Fund is not readily available, the Trust’s valuation and pricing committee determines a fair value for the security using factors approved by the Trustees. A security’s market value is deemed not readily available whenever the exchange or market on which the security is primarily traded is closed for the entire scheduled day of trading. Additionally, a security’s market value may be deemed not readily available under other circumstances identified by the Trustees, including when developments occurring after the most recent close of the security’s primary exchange or market, but before the most recent close of trading in Fund shares, create a serious question about the reliability of the security’s market value.
In any case where a pricing service fails to provide a price for a debt security held by the Fund, the valuation and pricing committee determines a fair value for the debt security using factors approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt security held by the Fund may be unreliable, the valuation and pricing committee decides whether or not to use the pricing service’s valuation or to determine a fair value for the debt security.
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.
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2008 (Unaudited) |
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 amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books, and the U.S. dollar equivalent of the amounts actually received or paid.
Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.
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 Fund’s 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 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 liabilities 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 six months ended March 31, 2008, 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 Trust also has entered into administrative services agreements 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 six months ended March 31, 2008, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $505,660 for Class R3 shares, and $31,190 for Class R4 shares.
The Trust has an underwriting agreement with Thornburg Securities Corporation (the “Distributor”, an affiliate of the
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2008 (Unaudited) |
Advisor), which acts as the distributor of the Fund’s shares. For the six months ended March 31, 2008, the Distributor has advised the Fund that it earned net commissions aggregating $744,377 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $197,931 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 and distribution 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 R3 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class B, Class C, and Class R3 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 R3 shares. Total fees incurred by the Distributor for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2008, 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 six months ended March 31, 2008, fees paid indirectly were $161,080. This figure may include additional fees waived by the custodian.
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, 2008, 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, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 66,178,671 | $ | 2,152,404,098 | 88,417,092 | $ | 2,708,357,987 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 16,002,729 | 521,082,662 | 4,398,998 | 126,296,864 | ||||||||||
Shares repurchased | (34,567,744 | ) | (1,099,941,736 | ) | (56,529,130 | ) | (1,695,490,555 | ) | ||||||
Redemption fees received** | — | 42,929 | — | 35,997 | ||||||||||
Net Increase (Decrease) | 47,613,656 | $ | 1,573,587,953 | 36,286,960 | $ | 1,139,200,293 | ||||||||
Class B Shares | ||||||||||||||
Shares sold | 585,640 | $ | 18,324,661 | 900,271 | $ | 26,066,084 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 269,949 | 8,311,725 | 66,554 | 1,752,230 | ||||||||||
Shares repurchased | (224,226 | ) | (6,720,862 | ) | (295,251 | ) | (8,649,193 | ) | ||||||
Redemption fees received** | — | 780 | — | 714 | ||||||||||
Net Increase (Decrease) | 631,363 | $ | 19,916,304 | 671,574 | $ | 19,169,835 | ||||||||
Class C Shares | ||||||||||||||
Shares sold | 18,646,805 | $ | 580,757,056 | 22,218,387 | $ | 645,166,990 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 3,942,638 | 121,865,747 | 871,513 | 23,106,077 | ||||||||||
Shares repurchased | (5,585,340 | ) | (168,158,585 | ) | (6,906,854 | ) | (201,561,323 | ) | ||||||
Redemption fees received** | — | 14,004 | — | 11,654 | ||||||||||
Net Increase (Decrease) | 17,004,103 | $ | 534,478,222 | 16,183,046 | $ | 466,723,398 | ||||||||
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2008 (Unaudited) |
Six Months Ended March 31, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class I Shares | ||||||||||||||
Shares sold | 58,277,213 | $ | 1,929,741,012 | 80,379,355 | $ | 2,448,318,070 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 8,709,932 | 289,681,960 | 2,384,953 | 71,218,240 | ||||||||||
Shares repurchased | (18,473,561 | ) | (599,233,368 | ) | (19,106,830 | ) | (595,884,029 | ) | ||||||
Redemption fees received** | — | 32,294 | — | 23,766 | ||||||||||
Net Increase (Decrease) | 48,513,584 | $ | 1,620,221,898 | 63,657,478 | $ | 1,923,676,047 | ||||||||
Class R3 Shares | ||||||||||||||
Shares sold | 13,560,982 | $ | 443,759,576 | 17,797,234 | $ | 542,413,469 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 2,269,659 | 74,058,962 | 540,505 | 15,509,752 | ||||||||||
Shares repurchased | (7,810,286 | ) | (251,701,791 | ) | (7,865,942 | ) | (240,879,799 | ) | ||||||
Redemption fees received** | — | 6,082 | — | 4,584 | ||||||||||
Net Increase (Decrease) | 8,020,355 | $ | 266,122,829 | 10,471,797 | $ | 317,048,006 | ||||||||
Class R4 Shares* | ||||||||||||||
Shares sold | 3,925,447 | $ | 125,226,660 | 1,119,583 | $ | 37,786,085 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 127,534 | 4,144,324 | 3,999 | 139,613 | ||||||||||
Shares repurchased | (441,482 | ) | (13,493,541 | ) | (34,705 | ) | (1,189,970 | ) | ||||||
Redemption fees received** | — | 538 | — | 27 | ||||||||||
Net Increase (Decrease) | 3,611,499 | $ | 115,877,981 | 1,088,877 | $ | 36,735,755 | ||||||||
Class R5 Shares | ||||||||||||||
Shares sold | 16,022,305 | $ | 526,651,661 | 11,580,206 | $ | 374,139,434 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 1,127,019 | 37,440,496 | 140,876 | 4,458,789 | ||||||||||
Shares repurchased | (3,276,619 | ) | (105,174,732 | ) | (1,252,025 | ) | (40,050,137 | ) | ||||||
Redemption fees received** | — | 3,791 | — | 1,141 | ||||||||||
Net Increase (Decrease) | 13,872,705 | $ | 458,921,216 | 10,469,057 | $ | 338,549,227 | ||||||||
* | Effective date of this class of shares was February 1, 2007. |
** | The Fund charges a redemption fee of 1% of the Class A and Class I shares redeemed or exchanged within 30 days of purchase. Redemption fees charged to any class are allocated to all classes upon receipt of payment based on relative net asset values of each class or other appropriate allocation methods. |
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2008, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $4,404,031,557 and $1,123,461,922, respectively.
18 | Certified Semi-Annual Report |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2008 (Unaudited) |
NOTE 6 – INCOME TAXES
At March 31, 2008, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 15,426,030,404 | ||
Gross unrealized appreciation on a tax basis | $ | 3,151,693,096 | ||
Gross unrealized depreciation on a tax basis | (936,447,529 | ) | ||
Net unrealized appreciation | ||||
(depreciation) on investments (tax basis) | $ | 2,215,245,567 | ||
At March 31, 2008, the Fund has deferred tax basis currency losses occurring subsequent to October 31, 2006 of $3,579,635. For tax purposes, such losses will be reflected in the year ending September 30, 2008.
NOTE 7 – FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
During the six months ended March 31, 2008, 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. There are special risks associated with international investing, including currency fluctuations, economic and political instability, confiscation, inability or delays in selling foreign investments, and reduced legal protection for investments.
CONTRACTS TO SELL:
Contracts | Contract Value Date | Unrealized Gain (Loss) | ||||||
652,900,000 | Euro Dollar for 936,780,920 USD | June 24, 2008 | $ | (89,991,918 | ) | |||
6,146,000,000 | Mexican Peso for 554,593,034 USD | June 06, 2008 | (17,980,099 | ) | ||||
344,000,000 | Swiss Francs for 300,174,520 USD | June 24, 2008 | (46,194,645 | ) | ||||
Net unrealized loss from forward Sell contracts: | $ | (154,166,662 | ) | |||||
CONTRACTS TO BUY:
Contracts | Contract Value Date | Unrealized Gain (Loss) | ||||||
696,000,000 | Mexican Peso for 62,903,882 USD | June 06, 2008 | $ | 1,936,811 | ||||
Net unrealized gain from forward Buy contracts: | $ | 1,936,811 | ||||||
Net unrealized gain (loss) from forward Exchange contracts: | $ | (152,229,851 | ) | |||||
Certified Semi-Annual Report | 19 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2008 (Unaudited) |
OTHER NOTES:
FASB Interpretation No. 48:
On July 13, 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation prescribes a model for how a company, including the Fund, should recognize, measure, present and disclose in its financial statements uncertain tax positions that the company has taken or expects to take on income tax returns, and also revises certain disclosure requirements. The Interpretation became effective for the Fund for the financial statement reporting period ended March 31, 2008. As of the date of this report, management of the Fund has not identified any material effect on the Fund’s financial statements resulting from the implementation of FIN 48.
Statement of Accounting Standards No. 157:
On September 15, 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 defines fair value, provides guidelines for measuring fair value in accordance with generally accepted accounting principles, and addresses disclosures about fair value measurements. FAS 157 establishes a fair value hierarchy that distinguishes between (i) market participant assumptions developed based upon market data obtained from sources independent of the reporting entity (observable inputs) and (ii) the entity’s own assumptions about market participant assumptions developed based upon the best information available under the circumstances (unobservable inputs). FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and is to be applied prospectively as of the beginning of the first fiscal year for which FAS 157 is applied. Management is evaluating FAS 157, and is not in a position at this time to estimate the significance of its impact, if any, on the Fund’s financial statements.
Statement of Accounting Standards No. 161:
In March 2008, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”). FAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. FAS 161 requires enhanced disclosures about any derivative and hedging activities by the Fund, including how such activities are accounted for and any effect on the Fund’s financial position, performance and cash flows. Management is evaluating the impact, if any, that the adoption of FAS 161 will have on the Fund’s financial statements and related disclosures.
20 | Certified Semi-Annual Report |
Table of Contents
Thornburg International Value Fund
Six Months Ended March 31, 2008* | Year Ended September 30, | |||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||
Class A Shares: | ||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 36.09 | $ | 26.51 | $ | 22.80 | $ | 18.18 | $ | 14.95 | $ | 11.88 | ||||||||||
Income from investment operations: | ||||||||||||||||||||||
Net investment income (loss) | 0.03 | 0.27 | 0.32 | 0.18 | 0.15 | 0.06 | ||||||||||||||||
Net realized and unrealized gain (loss) on investments | (3.59 | ) | 10.25 | 4.00 | 4.63 | 3.08 | 3.00 | |||||||||||||||
Total from investment operations | (3.56 | ) | 10.52 | 4.32 | 4.81 | 3.23 | 3.06 | |||||||||||||||
Redemption fees added to paid in capital | — | — | — | — | — | 0.01 | ||||||||||||||||
Less dividends from: | ||||||||||||||||||||||
Net investment income | (0.01 | ) | (0.29 | ) | (0.21 | ) | (0.19 | ) | — | — | ||||||||||||
Net realized gains | (2.88 | ) | (0.65 | ) | (0.40 | ) | — | — | — | |||||||||||||
Total dividends | (2.89 | ) | (0.94 | ) | (0.61 | ) | (0.19 | ) | — | — | ||||||||||||
Change in net asset value | (6.45 | ) | 9.58 | 3.71 | 4.62 | 3.23 | 3.07 | |||||||||||||||
NET ASSET VALUE, end of period | $ | 29.64 | $ | 36.09 | $ | 26.51 | $ | 22.80 | $ | 18.18 | $ | 14.95 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||
Total return (%)(a) | (10.58 | ) | 40.64 | 19.30 | 26.51 | 21.61 | 25.84 | |||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||
Net investment income (loss) (%) | 0.21 | (b) | 0.88 | 1.25 | 0.87 | 0.88 | 0.44 | |||||||||||||||
Expenses, after expense reductions (%) | 1.25 | (b) | 1.29 | 1.33 | 1.44 | 1.49 | 1.59 | |||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 1.24 | (b) | 1.29 | 1.33 | 1.44 | 1.49 | 1.59 | |||||||||||||||
Expenses, before expense reductions (%) | 1.25 | (b) | 1.29 | 1.33 | 1.44 | 1.51 | 1.67 | |||||||||||||||
Portfolio turnover rate (%) | 6.80 | 64.77 | 36.58 | 34.17 | 35.84 | 58.35 | ||||||||||||||||
Net assets at end of period (thousands) | $ | 7,251,221 | $ | 7,111,205 | $ | 4,261,892 | $ | 2,205,924 | $ | 948,631 | $ | 97,991 |
(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. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report | 21 |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg International Value Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Class B Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 34.33 | $ | 25.28 | $ | 21.82 | $ | 17.39 | $ | 14.43 | $ | 11.57 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | (0.09 | ) | 0.03 | 0.11 | 0.01 | (0.02 | ) | (0.04 | ) | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (3.40 | ) | 9.75 | 3.81 | 4.44 | 2.98 | 2.90 | |||||||||||||||||
Total from investment operations | (3.49 | ) | 9.78 | 3.92 | 4.45 | 2.96 | 2.86 | |||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | — | (0.08 | ) | (0.06 | ) | (0.02 | ) | — | — | |||||||||||||||
Net realized gains | (2.88 | ) | (0.65 | ) | (0.40 | ) | — | — | — | |||||||||||||||
Total dividends | (2.88 | ) | (0.73 | ) | (0.46 | ) | (0.02 | ) | — | — | ||||||||||||||
Change in net asset value | (6.37 | ) | 9.05 | 3.46 | 4.43 | 2.96 | 2.86 | |||||||||||||||||
NET ASSET VALUE, end of period | $ | 27.96 | $ | 34.33 | $ | 25.28 | $ | 21.82 | $ | 17.39 | $ | 14.43 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (%)(a) | (10.94 | ) | 39.55 | 18.32 | 25.59 | 20.51 | 24.72 | |||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | (0.57 | ) (b) | 0.11 | 0.44 | 0.04 | (0.12 | ) | (0.32 | ) | |||||||||||||||
Expenses, after expense reductions (%) | 2.01 | (b) | 2.06 | 2.13 | 2.26 | 2.36 | 2.38 | |||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 2.01 | (b) | 2.06 | 2.13 | 2.25 | 2.36 | 2.38 | |||||||||||||||||
Expenses, before expense reductions (%) | 2.01 | (b) | 2.06 | 2.13 | 2.27 | 2.42 | 2.84 | |||||||||||||||||
Portfolio turnover rate (%) | 6.80 | 64.77 | 36.58 | 34.17 | 35.84 | 58.35 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 128,014 | $ | 135,486 | $ | 82,799 | $ | 47,306 | $ | 22,181 | $ | 6,346 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
22 | Certified Semi-Annual Report |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg International Value Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, | ||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | |||||||||||||||||||
Class C Shares: | |||||||||||||||||||||||
PER SHARE PERFORMANCE | |||||||||||||||||||||||
(for a share outstanding throughout the period)+ | |||||||||||||||||||||||
Net asset value, beginning of period | $ | 34.45 | $ | 25.37 | $ | 21.89 | $ | 17.46 | $ | 14.47 | $ | 11.60 | |||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income (loss) | (0.08 | ) | 0.05 | 0.13 | 0.03 | 0.01 | (0.04 | ) | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (3.41 | ) | 9.78 | 3.82 | 4.45 | 2.98 | 2.91 | ||||||||||||||||
Total from investment operations | (3.49 | ) | 9.83 | 3.95 | 4.48 | 2.99 | 2.87 | ||||||||||||||||
Less dividends from: | |||||||||||||||||||||||
Net investment income | — | (0.10 | ) | (0.07 | ) | (0.05 | ) | — | — | ||||||||||||||
Net realized gains | (2.88 | ) | (0.65 | ) | (0.40 | ) | — | — | — | ||||||||||||||
Total dividends | (2.88 | ) | (0.75 | ) | (0.47 | ) | (0.05 | ) | — | — | |||||||||||||
Change in net asset value | (6.37 | ) | 9.08 | 3.48 | 4.43 | 2.99 | 2.87 | ||||||||||||||||
NET ASSET VALUE, end of period | $ | 28.08 | $ | 34.45 | $ | 25.37 | $ | 21.89 | $ | 17.46 | $ | 14.47 | |||||||||||
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||
Total return (%)(a) | (10.90 | ) | 39.63 | 18.41 | 25.65 | 20.66 | 24.74 | ||||||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Net investment income (loss) (%) | (0.52 | ) (b) | 0.17 | 0.55 | 0.16 | 0.04 | (0.31 | ) | |||||||||||||||
Expenses, after expense reductions (%) | 1.97 | (b) | 2.01 | 2.06 | 2.16 | 2.26 | 2.37 | ||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 1.97 | (b) | 2.01 | 2.05 | 2.15 | 2.26 | 2.37 | ||||||||||||||||
Expenses, before expense reductions (%) | 1.97 | (b) | 2.01 | 2.06 | 2.16 | 2.26 | 2.45 | ||||||||||||||||
Portfolio turnover rate (%) | 6.80 | 64.77 | 36.58 | 34.17 | 35.84 | 58.35 | |||||||||||||||||
Net assets at end of period (thousands) | $ | 2,359,697 | $ | 2,309,487 | $ | 1,290,250 | $ | 635,833 | $ | 243,955 | $ | 55,443 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report | 23 |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg International Value Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, | |||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 36.77 | $ | 26.99 | $ | 23.19 | $ | 18.48 | $ | 15.13 | $ | 11.96 | ||||||||||
Income from investment operations: | ||||||||||||||||||||||
Net investment income (loss) | 0.10 | 0.41 | 0.43 | 0.28 | 0.24 | 0.14 | ||||||||||||||||
Net realized and unrealized gain (loss) on investments | (3.67 | ) | 10.42 | 4.06 | 4.72 | 3.11 | 3.03 | |||||||||||||||
Total from investment operations | (3.57 | ) | 10.83 | 4.49 | 5.00 | 3.35 | 3.17 | |||||||||||||||
Less dividends from: | ||||||||||||||||||||||
Net investment income | (0.04 | ) | (0.40 | ) | (0.29 | ) | (0.29 | ) | — | — | ||||||||||||
Net realized gains | (2.88 | ) | (0.65 | ) | (0.40 | ) | — | — | — | |||||||||||||
Total dividends | (2.92 | ) | (1.05 | ) | (0.69 | ) | (0.29 | ) | — | — | ||||||||||||
Change in net asset value | (6.49 | ) | 9.78 | 3.80 | 4.71 | 3.35 | 3.17 | |||||||||||||||
NET ASSET VALUE, end of period | $ | 30.28 | $ | 36.77 | $ | 26.99 | $ | 23.19 | $ | 18.48 | $ | 15.13 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||
Total return (%)(a) | (10.41 | ) | 41.17 | 19.76 | 27.15 | 22.14 | 26.51 | |||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||
Net investment income (loss) (%) | 0.59 | (b) | 1.32 | 1.67 | 1.32 | 1.35 | 1.07 | |||||||||||||||
Expenses, after expense reductions (%) | 0.87 | (b) | 0.90 | 0.94 | 0.99 | 0.99 | 0.99 | |||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.87 | (b) | 0.90 | 0.94 | 0.99 | 0.99 | 0.99 | |||||||||||||||
Expenses, before expense reductions (%) | 0.87 | (b) | 0.90 | 0.94 | 1.02 | 1.11 | 1.25 | |||||||||||||||
Portfolio turnover rate (%) | 6.80 | 64.77 | 36.58 | 34.17 | 35.84 | 58.35 | ||||||||||||||||
Net assets at end of period (thousands) | $ | 5,679,438 | $ | 5,113,109 | $ | 2,034,453 | $ | 892,216 | $ | 293,583 | $ | 33,511 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
24 | Certified Semi-Annual Report |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg International Value Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, | Period Ended Sept. 30, 2003(a) | |||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | ||||||||||||||||||||
Class R3 Shares: | |||||||||||||||||||||||
PER SHARE PERFORMANCE | |||||||||||||||||||||||
(for a share outstanding throughout the period)+ | |||||||||||||||||||||||
Net asset value, beginning of period | $ | 36.18 | $ | 26.58 | $ | 22.88 | $ | 18.28 | $ | 15.01 | $ | 13.59 | |||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income (loss) | 0.00 | (b) | 0.23 | 0.33 | 0.21 | 0.19 | 0.02 | ||||||||||||||||
Net realized and unrealized gain (loss) on investments | (3.61 | ) | 10.26 | 3.97 | 4.63 | 3.08 | 1.40 | ||||||||||||||||
Total from investment operations | (3.61 | ) | 10.49 | 4.30 | 4.84 | 3.27 | 1.42 | ||||||||||||||||
Less dividends from: | |||||||||||||||||||||||
Net investment income | — | (0.24 | ) | (0.20 | ) | (0.24 | ) | — | — | ||||||||||||||
Net realized gains | (2.88 | ) | (0.65 | ) | (0.40 | ) | — | — | — | ||||||||||||||
Total dividends | (2.88 | ) | (0.89 | ) | (0.60 | ) | (0.24 | ) | — | — | |||||||||||||
Change in net asset value | (6.49 | ) | 9.60 | 3.70 | 4.60 | 3.27 | 1.42 | ||||||||||||||||
NET ASSET VALUE, end of period | $ | 29.69 | $ | 36.18 | $ | 26.58 | $ | 22.88 | $ | 18.28 | $ | 15.01 | |||||||||||
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||
Total return (%)(c) | (10.70 | ) | 40.43 | 19.15 | 26.54 | 21.79 | 10.45 | ||||||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Net investment income (loss) (%) | 0.01 | (d) | 0.75 | 1.29 | 0.99 | 1.08 | 0.65 | (d) | |||||||||||||||
Expenses, after expense reductions (%) | 1.45 | (d) | 1.45 | 1.45 | 1.45 | 1.45 | 1.60 | (d) | |||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 1.45 | (d) | 1.45 | 1.45 | 1.45 | 1.45 | 1.60 | (d) | |||||||||||||||
Expenses, before expense reductions (%) | 1.55 | (d) | 1.61 | 1.61 | 1.72 | 2.42 | 30,451.98 | (d) (e) | |||||||||||||||
Portfolio turnover rate (%) | 6.80 | 64.77 | 36.58 | 34.17 | 35.84 | 58.35 | |||||||||||||||||
Net assets at end of period (thousands) | $ | 1,046,329 | $ | 984,587 | $ | 445,081 | $ | 118,436 | $ | 11,207 | $ | — | (f) |
(a) | Effective date of this class of shares was July 1, 2003. |
(b) | Net investment income was less than $0.01 per share. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized. |
(e) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
(f) | Net assets at the end of the year were less than $1,000. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report | 25 |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg International Value Fund |
Six Months Ended March 31, 2008* | Period Ended Sept. 30, 2007(a) | |||||||
Class R4 Shares: | ||||||||
PER SHARE PERFORMANCE | ||||||||
(for a share outstanding throughout the period)+ | ||||||||
Net asset value, beginning of period | $ | 36.02 | $ | 28.86 | ||||
Income from investment operations: | ||||||||
Net investment income (loss) | 0.06 | 0.09 | ||||||
Net realized and unrealized gain (loss) on investments | (3.61 | ) | 7.36 | |||||
Total from investment operations | (3.55 | ) | 7.45 | |||||
Less dividends from: | ||||||||
Net investment income | (0.02 | ) | (0.29 | ) | ||||
Net realized gains | (2.88 | ) | — | |||||
Total dividends | (2.90 | ) | (0.29 | ) | ||||
Change in net asset value | (6.45 | ) | 7.16 | |||||
NET ASSET VALUE, end of period | $ | 29.57 | $ | 36.02 | ||||
RATIOS/SUPPLEMENTAL DATA | ||||||||
Total return (%)(b) | (10.57 | ) | 25.90 | |||||
Ratios to average net assets: | ||||||||
Net investment income (loss) (%) | 0.40 | (c) | 0.42 | (c) | ||||
Expenses, after expense reductions (%) | 1.22 | (c) | 1.25 | (c) | ||||
Expenses, after expense reductions and net of custody credits (%) | 1.22 | (c) | 1.25 | (c) | ||||
Expenses, before expense reductions (%) | 1.30 | (c) | 1.70 | (c) | ||||
Portfolio turnover rate (%) | 6.80 | 64.77 | ||||||
Net assets at end of period (thousands) | $ | 138,995 | $ | 39,217 |
(a) | Effective date of this class of shares was February 1, 2007. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
26 | Certified Semi-Annual Report |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg International Value Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, | Period Ended Sept. 30, 2005(a) | ||||||||||||||
2007 | 2006 | |||||||||||||||
Class R5 Shares: | ||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||
Net asset value, beginning of period | $ | 36.74 | $ | 26.97 | $ | 23.18 | $ | 20.37 | ||||||||
Income from investment operations: | ||||||||||||||||
Net investment income (loss) | 0.10 | 0.43 | 0.45 | 0.16 | ||||||||||||
Net realized and unrealized gain (loss) on investments | (3.67 | ) | 10.39 | 4.03 | 2.84 | |||||||||||
Total from investment operations | (3.57 | ) | 10.82 | 4.48 | 3.00 | |||||||||||
Less dividends from: | ||||||||||||||||
Net investment income | (0.04 | ) | (0.40 | ) | (0.29 | ) | (0.19 | ) | ||||||||
Net realized gains | (2.88 | ) | (0.65 | ) | (0.40 | ) | — | |||||||||
Total dividends | (2.92 | ) | (1.05 | ) | (0.69 | ) | (0.19 | ) | ||||||||
Change in net asset value | (6.49 | ) | 9.77 | 3.79 | 2.81 | |||||||||||
NET ASSET VALUE, end of period | $ | 30.25 | $ | 36.74 | $ | 26.97 | $ | 23.18 | ||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||
Total return (%)(b) | (10.42 | ) | 41.13 | 19.72 | 14.72 | |||||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) (%) | 0.64 | (c) | 1.33 | 1.76 | 1.10 | (c) | ||||||||||
Expenses, after expense reductions (%) | 0.89 | (c) | 0.94 | 0.95 | 1.00 | (c) | ||||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.88 | (c) | 0.94 | 0.95 | 0.99 | (c) | ||||||||||
Expenses, before expense reductions (%) | 0.89 | (c) | 0.95 | 0.96 | 2.13 | (c) | ||||||||||
Portfolio turnover rate (%) | 6.80 | 64.77 | 36.58 | 34.17 | ||||||||||||
Net assets at end of period (thousands) | $ | 790,891 | $ | 450,944 | $ | 48,699 | $ | 14,458 |
(a) | Effective date of this class of shares was February 1, 2005. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report | 27 |
Table of Contents
Thornburg International Value Fund | March 31, 2008 (Unaudited) |
CUSIPS: CLASS A - 885-215-657, CLASS B - 885-215-616, CLASS C - 885-215-640, CLASS I - 885-215-566,
CLASS R3 - 885-215-525, CLASS R4 - 815-215-269, CLASS R5 - 885-215-368 NASDAQ SYMBOLS: CLASS A - TGVAX, CLASS B - THGBX, CLASS C - THGCX, CLASS I - TGVIX,
CLASS R3 - TGVRX, CLASS R4 - THVRX, CLASS R5 - TIVRX
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/08
Telecommunication Services | 14.4 | % | |
Pharmaceuticals, Biotechnology & Life Sciences | 11.3 | % | |
Materials | 8.5 | % | |
Food, Beverage & Tobacco | 8.4 | % | |
Energy | 7.1 | % | |
Insurance | 5.9 | % | |
Utilities | 5.4 | % | |
Banks | 5.0 | % | |
Capital Goods | 4.0 | % | |
Software & Services | 3.7 | % | |
Diversified Financials | 3.1 | % | |
Technology Hardware & Equipment | 3.0 | % | |
Retailing | 2.9 | % | |
Consumer Services | 2.7 | % | |
Consumer Durables & Apparel | 2.2 | % | |
Automobiles & Components | 2.0 | % | |
Household & Personal Products | 1.9 | % | |
Transportation | 1.6 | % | |
Real Estate | 1.4 | % | |
Food & Staples Retailing | 1.4 | % | |
Semiconductors & Semiconductor Equipment | 0.5 | % | |
Other Assets & Cash Equivalents | 3.6 | % |
SUMMARY OF COUNTRY EXPOSURE
As of 3/31/08 (percent of equity holdings)
Switzerland | 14.0 | % | |
France | 12.6 | % | |
United Kingdom | 10.9 | % | |
Japan | 8.8 | % | |
Canada | 8.4 | % | |
China | 7.8 | % | |
Finland | 5.6 | % | |
Germany | 5.1 | % | |
Denmark | 4.7 | % | |
Mexico | 4.0 | % | |
Russia | 3.5 | % | |
Israel | 3.2 | % | |
Spain | 2.8 | % | |
Greece | 2.4 | % | |
Netherlands | 2.3 | % | |
South Korea | 1.6 | % | |
Brazil | 1.2 | % | |
Hong Kong | 1.1 | % |
28 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
COMMON STOCK — 96.36% | |||||
AUTOMOBILES & COMPONENTS — 2.04% | |||||
AUTOMOBILES — 2.04% | |||||
Toyota Motor Corp. | 7,129,400 | $ | 355,468,680 | ||
355,468,680 | |||||
BANKS — 4.99% | |||||
COMMERCIAL BANKS — 4.99% | |||||
China Merchants Bank Co., Ltd. | 49,655,930 | 172,269,100 | |||
National Bank of Greece SA | 4,231,059 | 223,238,222 | |||
Sberbank-CLS | 67,304,000 | 210,661,520 | |||
Shinhan Financial Group Co. | 4,948,936 | 261,351,393 | |||
867,520,235 | |||||
CAPITAL GOODS — 4.02% | |||||
AEROSPACE & DEFENSE — 1.21% | |||||
Empresa Brasileira de Aeronáutica SA ADR | 5,302,345 | 209,495,651 | |||
MACHINERY — 2.81% | |||||
Fanuc Ltd. | 3,174,800 | 301,937,239 | |||
Komatsu Ltd. | 6,735,400 | 186,831,671 | |||
698,264,561 | |||||
CONSUMER DURABLES & APPAREL — 2.21% | |||||
TEXTILES, APPAREL & LUXURY GOODS — 2.21% | |||||
LVMH Moët Hennessy Louis Vuitton SA | 3,457,596 | 384,836,620 | |||
384,836,620 | |||||
CONSUMER SERVICES — 2.66% | |||||
HOTELS, RESTAURANTS & LEISURE — 2.66% | |||||
Carnival plc | 6,997,400 | 277,886,772 | |||
OPAP SA | 5,173,607 | 184,429,505 | |||
462,316,277 | |||||
DIVERSIFIED FINANCIALS — 3.11% | |||||
CAPITAL MARKETS — 2.03% | |||||
UBS AG | 12,139,960 | 352,793,521 | |||
DIVERSIFIED FINANCIAL SERVICES — 1.08% | |||||
Hong Kong Exchanges & Clearing Ltd. | 10,980,200 | 188,490,388 | |||
541,283,909 | |||||
ENERGY — 7.12% | |||||
ENERGY EQUIPMENT & SERVICES — 2.25% | |||||
Schlumberger Ltd. | 4,495,300 | 391,091,100 | |||
OIL, GAS & CONSUMABLE FUELS — 4.87% | |||||
OAO Gazprom ADR | 7,228,700 | 368,663,700 | |||
Canadian Natural Resources Ltd. | 3,884,200 | 265,909,430 | |||
China Petroleum & Chemical Corp. | 226,998,585 | 193,962,287 | |||
Nexen, Inc. | 648,300 | 19,238,363 | |||
1,238,864,880 | |||||
Certified Semi-Annual Report | 29 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
FOOD & STAPLES RETAILING — 1.36% | |||||
FOOD & STAPLES RETAILING — 1.36% | |||||
Wal-Mart de México SAB de C.V. | 55,672,400 | $ | 237,226,595 | ||
237,226,595 | |||||
FOOD, BEVERAGE & TOBACCO — 8.42% | |||||
BEVERAGES — 2.85% | |||||
Carlsberg A/S Class B | 1,831,100 | 234,150,061 | |||
Sabmiller plc | 11,919,750 | 261,168,205 | |||
FOOD PRODUCTS — 5.57% | |||||
Groupe Danone | 4,884,600 | 436,782,548 | |||
Nestlé SA-REG | 1,064,600 | 531,978,401 | |||
1,464,079,215 | |||||
HOUSEHOLD & PERSONAL PRODUCTS — 1.86% | |||||
HOUSEHOLD PRODUCTS — 1.86% | |||||
Reckitt Benckiser plc | 5,846,430 | 323,843,120 | |||
323,843,120 | |||||
INSURANCE — 5.85% | |||||
INSURANCE — 5.85% | |||||
AXA | 13,469,100 | 488,866,836 | |||
China Life Insurance Co. | 50,499,700 | 173,574,165 | |||
Swiss Re | 4,059,300 | 354,590,952 | |||
1,017,031,953 | |||||
MATERIALS — 8.52% | |||||
CHEMICALS — 8.52% | |||||
Air Liquide | 2,837,160 | 432,552,760 | |||
Basf AG | 3,056,600 | 411,672,236 | |||
Givaudan AG | 177,329 | 175,436,252 | |||
Potash Corp. of Saskatchewan, Inc. | 2,976,800 | 462,029,128 | |||
1,481,690,376 | |||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 11.25% | |||||
PHARMACEUTICALS — 11.25% | |||||
Novartis AG | 3,792,665 | 194,387,925 | |||
Novartis AG ADR | 2,388,700 | 122,373,101 | |||
Novo Nordisk A/S | 8,189,650 | 560,032,381 | |||
Roche Holding AG | 2,906,700 | 547,036,784 | |||
Teva Pharmaceutical Industries Ltd. ADR | 11,542,900 | 533,166,551 | |||
1,956,996,742 | |||||
REAL ESTATE — 1.43% | |||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 1.43% | |||||
Country Garden Holdings Co. | 177,696,100 | 152,520,022 | |||
Soho China Ltd.+ | 141,703,603 | 95,407,975 | |||
247,927,997 | |||||
30 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
RETAILING — 2.91% | |||||
MULTILINE RETAIL — 1.94% | |||||
Marks & Spencer Group plc | 22,799,344 | $ | 175,225,724 | ||
Next plc | 7,213,331 | 163,058,585 | |||
SPECIALTY RETAIL — 0.97% | |||||
Yamada Denki Co. Ltd. | 1,951,354 | 168,355,180 | |||
506,639,489 | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.51% | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.51% | |||||
Arm Holdings plc | 50,986,100 | 89,046,848 | |||
89,046,848 | |||||
SOFTWARE & SERVICES — 3.71% | |||||
SOFTWARE — 3.71% | |||||
Amdocs Ltd.+ | 6,593,900 | 187,003,004 | |||
Nintendo Co. Ltd. | 889,931 | 458,892,992 | |||
645,895,996 | |||||
TECHNOLOGY HARDWARE & EQUIPMENT — 3.03% | |||||
COMMUNICATIONS EQUIPMENT — 2.62% | |||||
Nokia Oyj | 14,424,600 | 456,367,305 | |||
COMPUTERS & PERIPHERALS — 0.41% | |||||
Logitech International SA+ | 2,776,503 | 70,286,261 | |||
526,653,566 | |||||
TELECOMMUNICATION SERVICES — 14.38% | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 4.80% | |||||
France Telecom SA | 11,076,100 | 372,459,880 | |||
Telefónica SA | 16,058,400 | 461,409,665 | |||
WIRELESS TELECOMMUNICATION SERVICES — 9.58% | |||||
América Móvil SAB de C.V. | 6,926,444 | 441,145,218 | |||
China Mobile Ltd. | 34,307,672 | 510,472,451 | |||
Rogers Communications, Inc. | 10,259,100 | 369,005,770 | |||
Vodafone Group plc ADR | 11,719,483 | 345,841,943 | |||
2,500,334,927 | |||||
TRANSPORTATION — 1.64% | |||||
ROAD & RAIL — 1.64% | |||||
Canadian National Railway Co. | 5,896,100 | 285,887,181 | |||
285,887,181 | |||||
UTILITIES — 5.34% | |||||
ELECTRIC UTILITIES — 5.34% | |||||
E. ON AG | 2,388,300 | 442,131,845 | |||
Fortum Oyj | 11,942,950 | 486,645,426 | |||
928,777,271 | |||||
TOTAL COMMON STOCK (Cost $ 14,545,340,871) | 16,760,586,438 | ||||
Certified Semi-Annual Report | 31 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||||
SHORT TERM INVESTMENTS — 5.06% | |||||||
American Express, 2.28% , 4/7/2008 | $ | 78,400,000 | $ | 78,370,208 | |||
General Electric Capital Corp., 2.25% , 4/1/2008 | 150,000,000 | 150,000,000 | |||||
General Electric Capital Corp., 2.25% , 4/2/2008 | 176,800,000 | 176,788,950 | |||||
General Electric Co., 2.20% , 4/4/2008 | 182,800,000 | 182,766,486 | |||||
Toyota Credit de Puerto Rico, 2.22% , 4/3/2008 | 292,800,000 | 292,763,889 | |||||
TOTAL SHORT TERM INVESTMENTS (Cost $ 880,689,533) | 880,689,533 | ||||||
TOTAL INVESTMENTS — 101.42% (Cost $ 15,426,030,404) | $ | 17,641,275,971 | |||||
LIABILITIES NET OF OTHER ASSETS — (1.42)% | (246,690,956 | ) | |||||
NET ASSETS — 100.00% | $ | 17,394,585,015 | |||||
Footnote Legend
+ Non-income producing
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR | American Depository Receipt |
See notes to financial statements.
32 | Certified Semi-Annual Report |
Table of Contents
EXPENSE EXAMPLE | ||
Thornburg International Value Fund | March 31, 2008 (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 or all of a purchase of $1 million of Class A shares within 12 months of purchase;
(c) a deferred sales charge on redemptions of Class B shares within eight years of purchase;
(d) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;
(e) a 30-day redemption fee on Class A and Class I shares;
(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, 2007 and held until March 31, 2008.
Actual Expenses
For each class of shares, 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 for your class of shares 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
For each class of shares, 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 for each class of shares 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 9/30/07 | Ending Account Value 3/31/08 | Expenses Paid During Period† 9/30/07–3/31/08 | |||||||
Class A Shares | |||||||||
Actual | $ | 1,000.00 | $ | 894.20 | $ | 5.89 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,018.78 | $ | 6.28 | |||
Class B Shares | |||||||||
Actual | $ | 1,000.00 | $ | 890.60 | $ | 9.49 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,014.96 | $ | 10.11 | |||
Class C Shares | |||||||||
Actual | $ | 1,000.00 | $ | 891.00 | $ | 9.30 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,015.16 | $ | 9.91 | |||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 895.90 | $ | 4.12 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.65 | $ | 4.39 | |||
Class R3 Shares | |||||||||
Actual | $ | 1,000.00 | $ | 893.00 | $ | 6.86 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,017.75 | $ | 7.31 | |||
Class R4 Shares | |||||||||
Actual | $ | 1,000.00 | $ | 894.30 | $ | 5.78 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,018.90 | $ | 6.16 | |||
Class R5 Shares | |||||||||
Actual | $ | 1,000.00 | $ | 895.80 | $ | 4.19 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.58 | $ | 4.47 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.24%; B: 2.01%; C: 1.97%; I: 0.87%; R3: 1.45%; R4: 1.22%; and R5: 0.88%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
Certified Semi-Annual Report | 33 |
Table of Contents
Thornburg International Value Fund | March 31, 2008 (Unaudited) |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg International Value Fund versus MSCI EAFE Index (May 28, 1998 to March 31, 2008)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2008 (with sales charge)
1 Yr | 5 Yrs | Since Inception | |||||||
A Shares (Incep: 5/28/98) | 5.63 | % | 23.98 | % | 12.19 | % | |||
B Shares (Incep: 4/3/00) | 4.79 | % | 23.93 | % | 9.07 | % | |||
C Shares (Incep: 5/28/98) | 8.83 | % | 24.19 | % | 11.78 | % | |||
I Shares (Incep: 3/30/01) | 11.02 | % | 25.65 | % | 13.68 | % | |||
R3 Shares (Incep: 7/1/03) | 10.39 | % | — | 21.71 | % | ||||
R4 Shares (Incep: 2/1/07) | 10.68 | % | — | 12.59 | % | ||||
R5 Shares (Incep: 2/1/05) | 11.02 | % | — | 19.08 | % | ||||
MSCI EAFE Index (Since: 5/28/98) | (2.70 | )% | 21.40 | % | 6.26 | % |
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 as well as applicable 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 I, R3, R4 and R5 shares. Class I, R3, R4 and R5 shares are available only to certain qualified investors. Class A and I shares are subject to a 1% 30-day redemption fee.
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 net 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.
34 | Certified Semi-Annual Report |
Table of Contents
Thornburg International Value Fund | March 31, 2008 (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 web site at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s web site at www.sec.gov.
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 web site at www. thornburg.com, and (iii) on the Securities and Exchange Commission’s web site 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 web site at 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 web site at www.thornburg.com/download or upon request by calling 1-800-847-0200.
Certified Semi-Annual Report | 35 |
Table of Contents
Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
February 8, 2005, as readopted July 18, 2007
The Trustees are concerned that ongoing 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.
36 | Certified 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. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
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.
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 Global Opportunities Fund |
• | Thornburg International Growth Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
Certified Semi-Annual Report | 37 |
Table of Contents
Table of Contents
Thornburg Equity Funds
Thornburg’s equity research uses a fundamental and comprehensive analytical approach. Thornburg equity funds focus on a limited number of securities so that each holding can impact 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.
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
• | Thornburg International Growth Fund |
Thornburg Bond Funds
The majority of Thornburg bond funds are laddered portfolios of 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 Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term Municipal Fund |
• | Thornburg New Mexico Intermediate Municipal Fund |
• | Thornburg New York Intermediate Municipal Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund* |
Carefully consider each fund’s investment objectives, risks, sales charges, and expenses; this information can be found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. There is no guarantee that any of these funds will meet their investment objectives.
For additional information, please visit www.thornburg.com
Thornburg Investment Management, 119 East Marcy Street, Santa Fe, NM 87501
* | This fund does not use the laddering strategy. |
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This Semi-Annual Report is 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.
Investment Advisor: Thornburg Investment Management® 800.847.0200
Distributor: Thornburg Securities Corporation® 800.847.0200 | Get instant access to your shareholder reports.
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TH176 |
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Important Information
The information presented on the following pages was current as of March 31, 2008. The managers’ views, portfolio holdings, and sector and country diversification are provided for the general information of the Fund’s shareholders; they are historical and subject to change. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments in the Fund carry risks including possible loss of principal. Investing outside the United States involves additional risks, such as currency fluctuations. Risks may be associated with investments in emerging markets including illiquidity and volatility. Additionally, the Fund may invest a portion of the assets in small capitalization companies, which may increase the risk of greater price fluctuations. Funds invested in a limited number of holdings may expose an investor to greater volatility. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund. Investments 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. There is no guarantee that the Fund will meet its investment objectives.
Minimum investments for Class I shares are higher than those for other classes.
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 net 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.
Basis Point – A unit that is equal to 1/100th of 1%. A 1% change = 100 basis points (bps)
Beta – 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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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. Class I shares are subject to a 1% 30-day redemption fee. The total annual fund operating expense of Class I shares is 0.90% , as disclosed in the most recent Prospectus.
CO-PORTFOLIO MANAGERS
Left to right: Lei Wang,CFA, Bill Fries,CFA, Wendy Trevisani
KEY PORTFOLIO ATTRIBUTES
As of 3/31/08
Portfolio P/E Trailing 12-months* | 14.3x | ||
Portfolio Price to Cash Flow* | 9.2 | ||
Portfolio Price to Book Value* | 2.8 | ||
Median Market Cap* | $ | 35.9 B | |
7-Year Beta (A Shares vs. MSCI EAFE)* | 0.94 | ||
Holdings | 54 |
* | Source: FactSet |
Finding Promising Companies at a Discount
The Thornburg International Value Fund seeks to find value in overseas markets. It differs from many other international equity funds in two key ways. First, it focuses on a limited number of stocks, and second, it takes a more comprehensive approach to value investing. This strategy has provided material positive returns for shareholders who have been invested since the Fund’s inception in 1998.
Our team is dedicated to providing value to shareholders. We accomplish this through the application of seasoned investment principles with hands-on, company-oriented research. We use a collaborative approach in implementing our investment research process. Our focus is on finding promising companies available at a discount to our estimate of their intrinsic value, no matter where they are located outside the United States. Geographic location is secondary to individual stock merit.
In managing the Thornburg International Value Fund, we take a bottom-up approach to stock selection. The Fund is not predisposed to a particular geographic region or industry. We use a variety of valuation methods and business evaluations in an effort to gauge the intrinsic value of a company based on its past record and future potential. The continuum of process moves from screens and idea generation, through conventional “Wall Street” research and documentation, to
AVERAGE ANNUAL TOTAL RETURNS*
FOR PERIODS ENDED MARCH 31, 2008
6 Mos | 1 Yr | 3 Yrs | 5 Yrs | Since Inception | |||||||||||
I Shares (Incep: 3/30/01) | (10.41 | )% | 11.02 | % | 19.50 | % | 25.65 | % | 13.68 | % | |||||
MSCI EAFE Index (Since: 3/30/01) | (10.50 | )% | (2.70 | )% | 13.32 | % | 21.40 | % | 9.20 | % |
* | Periods less than one year are not annualized. |
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company contact, the latter often including on-site visits. The focus of the analysis is on what’s behind the numbers: its revenue and cash-generating model. We make an effort to get to know the company’s reputation in the industry, its people and its corporate culture.
The current posture is to maintain a portfolio of 50–65 companies diversified by country, sector, industry, market capitalization, and our three categories of stocks: Basic Value, Consistent Earners and Emerging Franchises. Because of the limited number of stocks in the portfolio, every holding counts. At the time of purchase, we set a 12–18 month price target for each stock. The target is reviewed as the fundamentals of the stock change during the course of ownership.
The bottom line? Engendering a wide-open, collegial environment fosters information flows and critical thinking intended to benefit portfolio decision making. We do not view our location in Santa Fe, NM, as a disadvantage. While we have access to the best of Wall Street’s analysis, we are not ruled by it. Distance from the crowd serves to fortify independent and objective thinking.
STOCKS CONTRIBUTING AND DETRACTING
FOR SIX MONTHS ENDED 3/31/08
Top Contributors | Top Detractors | |
Potash Corp. of Saskatchewan, Inc. | UBS AG | |
Novo Nordisk A/S | Hong Kong Exchanges & Clearing Ltd. | |
Swiss Reinsurance Co. | Country Garden Holdings Co. Ltd. | |
Nestlé SA-REG | Next plc | |
Air Liquide | Marks & Spencer Group plc | |
Source: FactSet |
MARKET CAPITALIZATION EXPOSURE
As of 3/31/08
TOP TEN HOLDINGS
As of 3/31/08
Novo Nordisk A/S | 3.2 | % | |
Roche Holding AG | 3.1 | % | |
Teva Pharmaceutical Industries Ltd. | 3.1 | % | |
Nestlé SA-REG | 3.1 | % | |
China Mobile Ltd. | 2.9 | % | |
AXA | 2.8 | % | |
Fortum Oyj | 2.8 | % | |
Potash Corp. of Saskatchewan, Inc. | 2.7 | % | |
Telefónica SA | 2.7 | % | |
Nintendo Co. Ltd. | 2.6 | % |
BASKET STRUCTURE
As of 3/31/08
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Thornburg International Value Fund
I Shares – March 31, 2008
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7 | ||
10 | ||
12 | ||
14 | ||
15 | ||
21 | ||
22 | ||
27 | ||
28 | ||
29 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
6 Certified Semi-Annual Report
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Certified Semi-Annual Report. 7
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Letter to Shareholders
Continued
from currency. Barring currency effects, our stock selection was notably better than the benchmark, somewhat satisfying in a volatile market environment.
Good performance in the materials and health care sectors provided the principal positive selection effect in the portfolio. Canadian fertilizer company Potash Corp. of Saskatchewan was by far the best performing stock in the portfolio, up nearly 45% during the period as contract pricing strengthened and demand for soft commodities continued to accelerate. The principal contributors to positive performance in health care were Novo Nordisk (Danish pharmaceutical with focus on diabetes), Roche Holding (Swiss biotechnology with a forte in oncology), and Teva Pharmaceuticals (Israeli generic drugs franchise). Rounding out the strong performers were Nestlé and Danone (consumer goods companies exhibiting strong pricing power), Mexican based franchises (Wal-mart de México and América Móvil) and Air Liquide (French industrial gas entity). Of the stocks held as of March 31, 2008, 18 had positive returns over the six months while 36 stocks declined over the period.
Our stock selection was reasonably effective, with positive performance selection effect in 7 of 10 sectors. Only in energy, consumer discretionary, and financials did we fail to hold superior stocks during the period. As always, this type of measure can be biased by short-term volatility and news flow. Activity during the six-month period included the addition of seven new names to the portfolio: two Swiss – Swiss Re (insurance) and Logitech International (consumer electronics); two Chinese – Soho China (property development) and China Life (insurance); one each in Greece – National Bank of Greece, Japan – Komatsu (construction equipment), and Canada – Nexen (oil and gas production). Four stocks, Shiseido, Kingfisher, Lloyds TSB, and Canon, were sold during the period.
Equity markets in most parts of the world peaked in November when it appeared the liquidity crisis in the U.S. that arose during the summer would be contained and fast growing emerging market economies might not be materially impacted by a recession in the United States. This view proved to be overly optimistic, and revelation of exposure to illiquid securitized products surfaced in unexpected places and to a much greater extent than previously disclosed. High anxiety among fixed income portfolio managers curtailed activity levels dramatically. Essentially, the market for securities funded by short-term credit became dysfunctional. For financial institutions involved in these securities (most all), the impact on stock prices was unfortunate. While we managed to avoid most of the damage, we did not escape it all (as outlined above).
In local currency terms, the majority of overseas markets suffered even more than the United States. However, with the currency effect of the weaker dollar, the declines become more muted for U.S. investors as foreign currencies translate into more dollars. U.S. governmental and monetary authorities have initiatives pending and in place that will likely work toward normalization in global fixed income markets and be a positive for equity markets as well. At the present time, investors are focused on evaluating the effectiveness of these initiatives and their impact on global
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economies, inflationary expectations, currency movements, and individual corporate profits. Only time will tell how it will all work out, but it seems possible that we have experienced the worst and that markets and companies around the world are adjusting effectively to the current stress. A number of recent earnings reports are encouraging.
Our investment philosophy, portfolio management team, and research process remain intact. We will strive to make our investment effort effective with regard to returns, as well as prudent with regard to risk. Our stock holdings at the end of March numbered 54 and represented 21 different industries in 18 countries. To learn more about each holding as well as garner other useful information, please visit our web site at www.thornburg.com/funds.
Thank you for your trust and confidence.
Sincerely,
![]() | ![]() | ![]() | ||
William V. Fries,CFA | Wendy Q. Trevisani | Lei Wang,CFA | ||
Co-Portfolio Manager Managing Director | Co-Portfolio Manager Managing Director | Co-Portfolio Manager Managing Director |
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager, and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
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STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg International Value Fund | March 31, 2008 (Unaudited) |
ASSETS | ||||
Investments at value (cost $15,426,030,404) (Note 2) | $ | 17,641,275,971 | ||
Cash | 3,030,111 | |||
Receivable for fund shares sold | 105,595,755 | |||
Unrealized gain on forward exchange contracts (Note 7) | 1,936,811 | |||
Dividends receivable | 49,067,559 | |||
Prepaid expenses and other assets | 311,220 | |||
Total Assets | 17,801,217,427 | |||
LIABILITIES | ||||
Payable for securities purchased | 186,188,635 | |||
Payable for fund shares redeemed | 44,604,259 | |||
Unrealized loss on forward exchange contracts (Note 7) | 154,166,662 | |||
Payable to investment advisor and other affiliates (Note 3) | 15,234,303 | |||
Accounts payable and accrued expenses | 6,429,901 | |||
Dividends payable | 8,652 | |||
Total Liabilities | 406,632,412 | |||
NET ASSETS | $ | 17,394,585,015 | ||
NET ASSETS CONSIST OF: | ||||
Undistributed net investment income | $ | 14,668,265 | ||
Net unrealized appreciation on investments | 2,063,187,732 | |||
Accumulated net realized gain (loss) | (156,823,460 | ) | ||
Net capital paid in on shares of beneficial interest | 15,473,552,478 | |||
$ | 17,394,585,015 | |||
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STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg International Value Fund | March 31, 2008 (Unaudited) |
NET ASSET VALUE: | |||
Class A Shares: | |||
Net asset value and redemption price per share ($7,251,221,291 applicable to 244,655,984 shares of beneficial interest outstanding – Note 4) | $ | 29.64 | |
Maximum sales charge, 4.50% of offering price | 1.40 | ||
Maximum offering price per share | $ | 31.04 | |
Class B Shares: | |||
Net asset value and offering price per share * ($128,013,829 applicable to 4,578,217 shares of beneficial interest outstanding – Note 4) | $ | 27.96 | |
Class C Shares: | |||
Net asset value and offering price per share * ($2,359,696,941 applicable to 84,039,653 shares of beneficial interest outstanding – Note 4) | $ | 28.08 | |
Class I Shares: | |||
Net asset value, offering and redemption price per share ($5,679,437,913 applicable to 187,551,551 shares of beneficial interest outstanding – Note 4) | $ | 30.28 | |
Class R3 Shares: | |||
Net asset value, offering and redemption price per share ($1,046,329,351 applicable to 35,236,270 shares of beneficial interest outstanding – Note 4) | $ | 29.69 | |
Class R4 Shares: | |||
Net asset value, offering and redemption price per share ($138,995,072 applicable to 4,700,376 shares of beneficial interest outstanding – Note 4) | $ | 29.57 | |
Class R5 Shares: | |||
Net asset value, offering and redemption price per share ($790,890,618 applicable to 26,147,159 shares of beneficial interest outstanding – Note 4) | $ | 30.25 | |
* | 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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STATEMENT OF OPERATIONS | ||
Thornburg International Value Fund | Six Months Ended March 31, 2008 (Unaudited) |
INVESTMENT INCOME: | ||||
Dividend income (net of foreign taxes withheld of $10,582,848) | $ | 112,065,443 | ||
Interest income | 12,719,380 | |||
Total Income | 124,784,823 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 59,061,137 | |||
Administration fees (Note 3) | ||||
Class A Shares | 4,593,744 | |||
Class B Shares | 84,062 | |||
Class C Shares | 1,497,241 | |||
Class I Shares | 1,374,784 | |||
Class R3 Shares | 651,238 | |||
Class R4 Shares | 52,832 | |||
Class R5 Shares | 155,875 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 9,179,853 | |||
Class B Shares | 673,285 | |||
Class C Shares | 11,997,140 | |||
Class R3 Shares | 2,607,982 | |||
Class R4 Shares | 122,482 | |||
Transfer agent fees | ||||
Class A Shares | 4,779,070 | |||
Class B Shares | 87,825 | |||
Class C Shares | 1,196,550 | |||
Class I Shares | 2,150,725 | |||
Class R3 Shares | 944,585 | |||
Class R4 Shares | 52,215 | |||
Class R5 Shares | 292,557 | |||
Registration and filing fees | ||||
Class A Shares | 79,161 | |||
Class B Shares | 8,883 | |||
Class C Shares | 34,993 | |||
Class I Shares | 89,888 | |||
Class R3 Shares | 12,233 | |||
Class R4 Shares | 7,933 | |||
Class R5 Shares | 11,712 | |||
Custodian fees (Note 3) | 2,777,380 | |||
Professional fees | 162,062 | |||
Accounting fees | 267,050 | |||
Trustee fees | 97,790 | |||
Other expenses | 982,264 | |||
Total Expenses | 106,086,531 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (536,850 | ) | ||
Fees paid indirectly (Note 3) | (161,080 | ) | ||
Net Expenses | 105,388,601 | |||
Net Investment Income | $ | 19,396,222 | ||
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STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg International Value Fund | Six Months Ended March 31, 2008 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments | $ | (135,860,370 | ) | |
Foreign currency transactions | 783,186 | |||
(135,077,184 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (1,682,425,324 | ) | ||
Foreign currency translations | (158,423,858 | ) | ||
(1,840,849,182 | ) | |||
Net Realized and Unrealized Loss | (1,975,926,366 | ) | ||
Net Decrease in Net Assets Resulting From Operations | $ | (1,956,530,144 | ) | |
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg International Value Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, 2007 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 19,396,222 | $ | 103,966,190 | ||||
Net realized gain (loss) on investments and foreign currency transactions | (135,077,184 | ) | 1,428,445,088 | |||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments and foreign currency translations | (1,840,849,182 | ) | 2,536,203,304 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,956,530,144 | ) | 4,068,614,582 | |||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (2,437,963 | ) | (51,935,263 | ) | ||||
Class B Shares | — | (290,064 | ) | |||||
Class C Shares | — | (5,990,504 | ) | |||||
Class I Shares | (6,919,338 | ) | (49,998,965 | ) | ||||
Class R3 Shares | — | (5,881,366 | ) | |||||
Class R4 Shares | (58,621 | ) | (152,359 | ) | ||||
Class R5 Shares | (772,299 | ) | (3,086,424 | ) | ||||
From realized gains | ||||||||
Class A Shares | (600,769,404 | ) | (108,430,244 | ) | ||||
Class B Shares | (11,739,966 | ) | (2,187,195 | ) | ||||
Class C Shares | (203,158,109 | ) | (34,058,224 | ) | ||||
Class I Shares | (426,254,876 | ) | (53,149,660 | ) | ||||
Class R3 Shares | (85,519,217 | ) | (12,229,262 | ) | ||||
Class R4 Shares | (4,805,028 | ) | — | |||||
Class R5 Shares | (39,612,380 | ) | (1,466,007 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 1,573,587,953 | 1,139,200,293 | ||||||
Class B Shares | 19,916,304 | 19,169,835 | ||||||
Class C Shares | 534,478,222 | 466,723,398 | ||||||
Class I Shares | 1,620,221,898 | 1,923,676,047 | ||||||
Class R3 Shares | 266,122,829 | 317,048,006 | ||||||
Class R4 Shares | 115,877,981 | 36,735,755 | ||||||
Class R5 Shares | 458,921,216 | 338,549,227 | ||||||
Net Increase in Net Assets | 1,250,549,058 | 7,980,861,606 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 16,144,035,957 | 8,163,174,351 | ||||||
End of period | $ | 17,394,585,015 | $ | 16,144,035,957 | ||||
Undistributed net investment income | $ | 14,668,265 | $ | 5,460,264 |
* | Unaudited. |
See notes to financial statements.
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NOTES TO FINANCIAL STATEMENTS | ||
Thornburg International Value Fund | March 31, 2008 (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 thirteen 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 Core Growth Fund, Thornburg New York Intermediate Municipal Fund, Thornburg Investment Income Builder Fund, Thornburg Global Opportunities Fund, Thornburg International Growth Fund, and Thornburg Strategic Income Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing in equity and debt securities of all types. As a secondary objective, the Fund also seeks some current income.
The Fund currently offers seven classes of shares of beneficial interest, Class A, Class B, Class C, Institutional Class (Class I), and Retirement Classes (Class R3, Class R4, and Class R5) 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 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 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 R3 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 R4 shares are sold at net asset value without a sales charge at the time of purchase, but bear a service fee, (vii) Class R5 shares are sold at net asset value without a sales charge at the time of purchase, and (viii) the respective classes may have different reinvestment privileges and conversion rights. 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: Portfolio securities listed or traded on a national securities exchange are valued on the valuation date at the last reported sale price on the exchange that is the primary market for the security. Portfolio securities traded on an exchange for which there has been no sale that day and other equity securities traded in the over-the-counter market are valued at the mean between the last reported bid and asked prices. Portfolio securities reported by NASDAQ are valued at the NASDAQ official closing price. Any foreign security traded on exchanges outside the United States is valued at the price of the security on the exchange that is normally the security’s primary market, as of the close of that exchange preceding the time of the Fund’s valuation. Quotations for foreign securities in foreign currencies are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
Any debt securities held by the Fund have a primary market over the counter and are valued by an independent pricing service approved by the Trustees of the Trust. The pricing service ordinarily values debt securities at quoted bid prices. When quotations are not available, debt securities held by the Fund are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt securities of comparable quality, type of issue, coupon, maturity, and rating, indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
In any case where the market value of an equity security held by the Fund is not readily available, the Trust’s valuation and pricing committee determines a fair value for the security using factors approved by the Trustees. A security’s market value is deemed not readily available whenever the exchange or market on which the security is primarily traded is closed for the entire scheduled day of trading. Additionally, a security’s market value may be deemed not readily available under other circumstances identified by the Trustees, including when developments occurring after the most recent close of the security’s primary exchange or market, but before the most recent close of trading in Fund shares, create a serious question about the reliability of the security’s market value.
In any case where a pricing service fails to provide a price for a debt security held by the Fund, the valuation and pricing committee determines a fair value for the debt security using factors approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt security held by the Fund may be unreliable, the valuation and pricing committee decides whether or not to use the pricing service’s valuation or to determine a fair value for the debt security.
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.
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2008 (Unaudited) |
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 amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books, and the U.S. dollar equivalent of the amounts actually received or paid.
Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.
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 Fund’s 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 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 liabilities 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 six months ended March 31, 2008, 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 Trust also has entered into administrative services agreements 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 six months ended March 31, 2008, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $505,660 for Class R3 shares, and $31,190 for Class R4 shares.
The Trust has an underwriting agreement with Thornburg Securities Corporation (the “Distributor”, an affiliate of the
16 Certified Semi-Annual Report
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2008 (Unaudited) |
Advisor), which acts as the distributor of the Fund’s shares. For the six months ended March 31, 2008, the Distributor has advised the Fund that it earned net commissions aggregating $744,377 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $197,931 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 and distribution 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 R3 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class B, Class C, and Class R3 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 R3 shares. Total fees incurred by the Distributor for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2008, 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 six months ended March 31, 2008, fees paid indirectly were $161,080. This figure may include additional fees waived by the custodian.
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, 2008, 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, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 66,178,671 | $ | 2,152,404,098 | 88,417,092 | $ | 2,708,357,987 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 16,002,729 | 521,082,662 | 4,398,998 | 126,296,864 | ||||||||||
Shares repurchased | (34,567,744 | ) | (1,099,941,736 | ) | (56,529,130 | ) | (1,695,490,555 | ) | ||||||
Redemption fees received** | — | 42,929 | — | 35,997 | ||||||||||
Net Increase (Decrease) | 47,613,656 | $ | 1,573,587,953 | 36,286,960 | $ | 1,139,200,293 | ||||||||
Class B Shares | ||||||||||||||
Shares sold | 585,640 | $ | 18,324,661 | 900,271 | $ | 26,066,084 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 269,949 | 8,311,725 | 66,554 | 1,752,230 | ||||||||||
Shares repurchased | (224,226 | ) | (6,720,862 | ) | (295,251 | ) | (8,649,193 | ) | ||||||
Redemption fees received** | — | 780 | — | 714 | ||||||||||
Net Increase (Decrease) | 631,363 | $ | 19,916,304 | 671,574 | $ | 19,169,835 | ||||||||
Class C Shares | ||||||||||||||
Shares sold | 18,646,805 | $ | 580,757,056 | 22,218,387 | $ | 645,166,990 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 3,942,638 | 121,865,747 | 871,513 | 23,106,077 | ||||||||||
Shares repurchased | (5,585,340 | ) | (168,158,585 | ) | (6,906,854 | ) | (201,561,323 | ) | ||||||
Redemption fees received** | — | 14,004 | — | 11,654 | ||||||||||
Net Increase (Decrease) | 17,004,103 | $ | 534,478,222 | 16,183,046 | $ | 466,723,398 | ||||||||
Certified Semi-Annual Report 17
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2008 (Unaudited) |
Six Months Ended March 31, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class I Shares | ||||||||||||||
Shares sold | 58,277,213 | $ | 1,929,741,012 | 80,379,355 | $ | 2,448,318,070 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 8,709,932 | 289,681,960 | 2,384,953 | 71,218,240 | ||||||||||
Shares repurchased | (18,473,561 | ) | (599,233,368 | ) | (19,106,830 | ) | (595,884,029 | ) | ||||||
Redemption fees received** | — | 32,294 | — | 23,766 | ||||||||||
Net Increase (Decrease) | 48,513,584 | $ | 1,620,221,898 | 63,657,478 | $ | 1,923,676,047 | ||||||||
Class R3 Shares | ||||||||||||||
Shares sold | 13,560,982 | $ | 443,759,576 | 17,797,234 | $ | 542,413,469 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 2,269,659 | 74,058,962 | 540,505 | 15,509,752 | ||||||||||
Shares repurchased | (7,810,286 | ) | (251,701,791 | ) | (7,865,942 | ) | (240,879,799 | ) | ||||||
Redemption fees received** | — | 6,082 | — | 4,584 | ||||||||||
Net Increase (Decrease) | 8,020,355 | $ | 266,122,829 | 10,471,797 | $ | 317,048,006 | ||||||||
Class R4 Shares* | ||||||||||||||
Shares sold | 3,925,447 | $ | 125,226,660 | 1,119,583 | $ | 37,786,085 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 127,534 | 4,144,324 | 3,999 | 139,613 | ||||||||||
Shares repurchased | (441,482 | ) | (13,493,541 | ) | (34,705 | ) | (1,189,970 | ) | ||||||
Redemption fees received** | — | 538 | — | 27 | ||||||||||
Net Increase (Decrease) | 3,611,499 | $ | 115,877,981 | 1,088,877 | $ | 36,735,755 | ||||||||
Class R5 Shares | ||||||||||||||
Shares sold | 16,022,305 | $ | 526,651,661 | 11,580,206 | $ | 374,139,434 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 1,127,019 | 37,440,496 | 140,876 | 4,458,789 | ||||||||||
Shares repurchased | (3,276,619 | ) | (105,174,732 | ) | (1,252,025 | ) | (40,050,137 | ) | ||||||
Redemption fees received** | — | 3,791 | — | 1,141 | ||||||||||
Net Increase (Decrease) | 13,872,705 | $ | 458,921,216 | 10,469,057 | $ | 338,549,227 | ||||||||
* | Effective date of this class of shares was February 1, 2007. |
** | The Fund charges a redemption fee of 1% of the Class A and Class I shares redeemed or exchanged within 30 days of purchase. Redemption fees charged to any class are allocated to all classes upon receipt of payment based on relative net asset values of each class or other appropriate allocation methods. |
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2008, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $4,404,031,557 and $1,123,461,922, respectively.
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2008 (Unaudited) |
NOTE 6 – INCOME TAXES
At March 31, 2008, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 15,426,030,404 | ||
Gross unrealized appreciation on a tax basis | $ | 3,151,693,096 | ||
Gross unrealized depreciation on a tax basis | (936,447,529 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) $ | 2,215,245,567 | |||
At March 31, 2008, the Fund has deferred tax basis currency losses occurring subsequent to October 31, 2006 of $3,579,635. For tax purposes, such losses will be reflected in the year ending September 30, 2008.
NOTE 7 – FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
During the six months ended March 31, 2008, 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. There are special risks associated with international investing, including currency fluctuations, economic and political instability, confiscation, inability or delays in selling foreign investments, and reduced legal protection for investments.
CONTRACTS TO SELL:
Contracts | Contract Value Date | Unrealized Gain (Loss) | ||||||
652,900,000 | Euro Dollar for 936,780,920 USD | June 24, 2008 | $ | (89,991,918 | ) | |||
6,146,000,000 | Mexican Peso for 554,593,034 USD | June 06, 2008 | (17,980,099 | ) | ||||
344,000,000 | Swiss Francs for 300,174,520 USD | June 24, 2008 | (46,194,645 | ) | ||||
Net unrealized loss from forward Sell contracts: | $ | (154,166,662 | ) | |||||
CONTRACTS TO BUY: | ||||||||
Contracts | Contract Value Date | Unrealized Gain (Loss) | ||||||
696,000,000 | Mexican Peso for 62,903,882 USD | June 06, 2008 | $ | 1,936,811 | ||||
Net unrealized gain from forward Buy contracts: | $ | 1,936,811 | ||||||
Net unrealized gain (loss) from forward Exchange contracts: | $ | (152,229,851 | ) | |||||
Certified Semi-Annual Report 19
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2008 (Unaudited) |
OTHER NOTES:
FASB Interpretation No. 48:
On July 13, 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation prescribes a model for how a company, including the Fund, should recognize, measure, present and disclose in its financial statements uncertain tax positions that the company has taken or expects to take on income tax returns, and also revises certain disclosure requirements. The Interpretation became effective for the Fund for the financial statement reporting period ended March 31, 2008. As of the date of this report, management of the Fund has not identified any material effect on the Fund’s financial statements resulting from the implementation of FIN 48.
Statement of Accounting Standards No. 157:
On September 15, 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 defines fair value, provides guidelines for measuring fair value in accordance with generally accepted accounting principles, and addresses disclosures about fair value measurements. FAS 157 establishes a fair value hierarchy that distinguishes between (i) market participant assumptions developed based upon market data obtained from sources independent of the reporting entity (observable inputs) and (ii) the entity’s own assumptions about market participant assumptions developed based upon the best information available under the circumstances (unobservable inputs). FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and is to be applied prospectively as of the beginning of the first fiscal year for which FAS 157 is applied. Management is evaluating FAS 157, and is not in a position at this time to estimate the significance of its impact, if any, on the Fund’s financial statements.
Statement of Accounting Standards No. 161:
In March 2008, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”). FAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. FAS 161 requires enhanced disclosures about any derivative and hedging activities by the Fund, including how such activities are accounted for and any effect on the Fund’s financial position, performance and cash flows. Management is evaluating the impact, if any, that the adoption of FAS 161 will have on the Fund’s financial statements and related disclosures.
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FINANCIAL HIGHLIGHTS | ||
Thornburg International Value Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, | |||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||
Class I Shares: | ||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 36.77 | $ | 26.99 | $ | 23.19 | $ | 18.48 | $ | 15.13 | $ | 11.96 | ||||||||||
Income from investment operations: | ||||||||||||||||||||||
Net investment income (loss) | 0.10 | 0.41 | 0.43 | 0.28 | 0.24 | 0.14 | ||||||||||||||||
Net realized and unrealized gain (loss) on investments | (3.67 | ) | 10.42 | 4.06 | 4.72 | 3.11 | 3.03 | |||||||||||||||
Total from investment operations | (3.57 | ) | 10.83 | 4.49 | 5.00 | 3.35 | 3.17 | |||||||||||||||
Less dividends from: | ||||||||||||||||||||||
Net investment income | (0.04 | ) | (0.40 | ) | (0.29 | ) | (0.29 | ) | — | — | ||||||||||||
Net realized gains | (2.88 | ) | (0.65 | ) | (0.40 | ) | — | — | — | |||||||||||||
Total dividends | (2.92 | ) | (1.05 | ) | (0.69 | ) | (0.29 | ) | — | — | ||||||||||||
Change in net asset value | (6.49 | ) | 9.78 | 3.80 | 4.71 | 3.35 | 3.17 | |||||||||||||||
NET ASSET VALUE, end of period | $ | 30.28 | $ | 36.77 | $ | 26.99 | $ | 23.19 | $ | 18.48 | $ | 15.13 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||
Total return (%)(a) | (10.41 | ) | 41.17 | 19.76 | 27.15 | 22.14 | 26.51 | |||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||
Net investment income (loss) (%) | 0.59 | (b) | 1.32 | 1.67 | 1.32 | 1.35 | 1.07 | |||||||||||||||
Expenses, after expense reductions (%) | 0.87 | (b) | 0.90 | 0.94 | 0.99 | 0.99 | 0.99 | |||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.87 | (b) | 0.90 | 0.94 | 0.99 | 0.99 | 0.99 | |||||||||||||||
Expenses, before expense reductions (%) | 0.87 | (b) | 0.90 | 0.94 | 1.02 | 1.11 | 1.25 | |||||||||||||||
Portfolio turnover rate (%) | 6.80 | 64.77 | 36.58 | 34.17 | 35.84 | 58.35 | ||||||||||||||||
Net assets at end of period (thousands) | $ | 5,679,438 | $ | 5,113,109 | $ | 2,034,453 | $ | 892,216 | $ | 293,583 | $ | 33,511 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report 21
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SCHEDULE OF INVESTMENTS | ||
Thornburg International Value Fund | March 31, 2008 (Unaudited) |
CUSIPS: CLASS A – 885-215-657, CLASS B – 885-215-616, CLASS C – 885-215-640, CLASS I – 885-215-566, CLASS R3 –885-215-525, CLASS R4 – 815-215-269, CLASS R5 – 885-215-368
NASDAQ SYMBOLS: CLASS A – TGVAX, CLASS B – THGBX, CLASS C – THGCX, CLASS I – TGVIX, CLASS R3 – TGVRX, CLASS R4 – THVRX, CLASS R5 – TIVRX
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/08
Telecommunication Services | 14.4 | % | |
Pharmaceuticals, Biotechnology & Life Sciences | 11.3 | % | |
Materials | 8.5 | % | |
Food, Beverage & Tobacco | 8.4 | % | |
Energy | 7.1 | % | |
Insurance | 5.9 | % | |
Utilities | 5.4 | % | |
Banks | 5.0 | % | |
Capital Goods | 4.0 | % | |
Software & Services | 3.7 | % | |
Diversified Financials | 3.1 | % | |
Technology Hardware & Equipment | 3.0 | % | |
Retailing | 2.9 | % | |
Consumer Services | 2.7 | % | |
Consumer Durables & Apparel | 2.2 | % | |
Automobiles & Components | 2.0 | % | |
Household & Personal Products | 1.9 | % | |
Transportation | 1.6 | % | |
Real Estate | 1.4 | % | |
Food & Staples Retailing | 1.4 | % | |
Semiconductors & Semiconductor Equipment | 0.5 | % | |
Other Assets & Cash Equivalents | 3.6 | % |
SUMMARY OF COUNTRY EXPOSURE
As of 3/31/08 (percent of equity holdings)
Switzerland | 14.0 | % | |
France | 12.6 | % | |
U.K. | 10.9 | % | |
Japan | 8.8 | % | |
Canada | 8.4 | % | |
China | 7.8 | % | |
Finland | 5.6 | % | |
Germany | 5.1 | % | |
Denmark | 4.7 | % | |
Mexico | 4.0 | % | |
Russia | 3.5 | % | |
Israel | 3.2 | % | |
Spain | 2.8 | % | |
Greece | 2.4 | % | |
Netherlands | 2.3 | % | |
South Korea | 1.6 | % | |
Brazil | 1.2 | % | |
Hong Kong | 1.1 | % |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
COMMON STOCK — 96.36% | |||||
AUTOMOBILES & COMPONENTS — 2.04% | |||||
AUTOMOBILES — 2.04% | |||||
Toyota Motor Corp. | 7,129,400 | $ | 355,468,680 | ||
355,468,680 | |||||
BANKS — 4.99% | |||||
COMMERCIAL BANKS — 4.99% | |||||
China Merchants Bank Co., Ltd. | 49,655,930 | 172,269,100 | |||
National Bank of Greece SA | 4,231,059 | 223,238,222 | |||
Sberbank-CLS | 67,304,000 | 210,661,520 | |||
Shinhan Financial Group Co. | 4,948,936 | 261,351,393 | |||
867,520,235 | |||||
CAPITAL GOODS — 4.02% | |||||
AEROSPACE & DEFENSE — 1.21% | |||||
Empresa Brasileira de Aeronáutica SA ADR | 5,302,345 | 209,495,651 | |||
MACHINERY — 2.81% | |||||
Fanuc Ltd. | 3,174,800 | 301,937,239 | |||
Komatsu Ltd. | 6,735,400 | 186,831,671 | |||
698,264,561 | |||||
CONSUMER DURABLES & APPAREL — 2.21% | |||||
TEXTILES, APPAREL & LUXURY GOODS — 2.21% | |||||
LVMH Moët Hennessy Louis Vuitton SA | 3,457,596 | 384,836,620 | |||
384,836,620 | |||||
CONSUMER SERVICES — 2.66% | |||||
HOTELS, RESTAURANTS & LEISURE — 2.66% | |||||
Carnival plc | 6,997,400 | 277,886,772 | |||
OPAP SA | 5,173,607 | 184,429,505 | |||
462,316,277 | |||||
DIVERSIFIED FINANCIALS — 3.11% | |||||
CAPITAL MARKETS — 2.03% | |||||
UBS AG | 12,139,960 | 352,793,521 | |||
DIVERSIFIED FINANCIAL SERVICES — 1.08% | |||||
Hong Kong Exchanges & Clearing Ltd. | 10,980,200 | 188,490,388 | |||
541,283,909 | |||||
ENERGY — 7.12% | |||||
ENERGY EQUIPMENT & SERVICES — 2.25% | |||||
Schlumberger Ltd. | 4,495,300 | 391,091,100 | |||
OIL, GAS & CONSUMABLE FUELS — 4.87% | |||||
OAO Gazprom ADR | 7,228,700 | 368,663,700 | |||
Canadian Natural Resources Ltd. | 3,884,200 | 265,909,430 | |||
China Petroleum & Chemical Corp. | 226,998,585 | 193,962,287 | |||
Nexen, Inc. | 648,300 | 19,238,363 | |||
1,238,864,880 | |||||
Certified Semi-Annual Report 23
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
FOOD & STAPLES RETAILING — 1.36% | |||||
FOOD & STAPLES RETAILING — 1.36% | |||||
Wal-Mart de México SAB de C.V. | 55,672,400 | $ | 237,226,595 | ||
237,226,595 | |||||
FOOD, BEVERAGE & TOBACCO — 8.42% | |||||
BEVERAGES — 2.85% | |||||
Carlsberg A/S Class B | 1,831,100 | 234,150,061 | |||
Sabmiller plc | 11,919,750 | 261,168,205 | |||
FOOD PRODUCTS — 5.57% | |||||
Groupe Danone | 4,884,600 | 436,782,548 | |||
Nestlé SA-REG | 1,064,600 | 531,978,401 | |||
1,464,079,215 | |||||
HOUSEHOLD & PERSONAL PRODUCTS — 1.86% | |||||
HOUSEHOLD PRODUCTS — 1.86% | |||||
Reckitt Benckiser plc | 5,846,430 | 323,843,120 | |||
323,843,120 | |||||
INSURANCE — 5.85% | |||||
INSURANCE — 5.85% | |||||
AXA | 13,469,100 | 488,866,836 | |||
China Life Insurance Co. | 50,499,700 | 173,574,165 | |||
Swiss Re | 4,059,300 | 354,590,952 | |||
1,017,031,953 | |||||
MATERIALS — 8.52% | |||||
CHEMICALS — 8.52% | |||||
Air Liquide | 2,837,160 | 432,552,760 | |||
Basf AG | 3,056,600 | 411,672,236 | |||
Givaudan AG | 177,329 | 175,436,252 | |||
Potash Corp. of Saskatchewan, Inc. | 2,976,800 | 462,029,128 | |||
1,481,690,376 | |||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 11.25% | |||||
PHARMACEUTICALS — 11.25% | |||||
Novartis AG | 3,792,665 | 194,387,925 | |||
Novartis AG ADR | 2,388,700 | 122,373,101 | |||
Novo Nordisk A/S | 8,189,650 | 560,032,381 | |||
Roche Holding AG | 2,906,700 | 547,036,784 | |||
Teva Pharmaceutical Industries Ltd. ADR | 11,542,900 | 533,166,551 | |||
1,956,996,742 | |||||
REAL ESTATE — 1.43% | |||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 1.43% | |||||
Country Garden Holdings Co. | 177,696,100 | 152,520,022 | |||
Soho China Ltd.+ | 141,703,603 | 95,407,975 | |||
247,927,997 | |||||
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
RETAILING — 2.91% | |||||
MULTILINE RETAIL — 1.94% | |||||
Marks & Spencer Group plc | 22,799,344 | $ | 175,225,724 | ||
Next plc | 7,213,331 | 163,058,585 | |||
SPECIALTY RETAIL — 0.97% | |||||
Yamada Denki Co. Ltd. | 1,951,354 | 168,355,180 | |||
506,639,489 | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.51% | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.51% | |||||
Arm Holdings plc | 50,986,100 | 89,046,848 | |||
89,046,848 | |||||
SOFTWARE & SERVICES — 3.71% | |||||
SOFTWARE — 3.71% | |||||
Amdocs Ltd.+ | 6,593,900 | 187,003,004 | |||
Nintendo Co. Ltd. | 889,931 | 458,892,992 | |||
645,895,996 | |||||
TECHNOLOGY HARDWARE & EQUIPMENT — 3.03% | |||||
COMMUNICATIONS EQUIPMENT — 2.62% | |||||
Nokia Oyj | 14,424,600 | 456,367,305 | |||
COMPUTERS & PERIPHERALS — 0.41% | |||||
Logitech International SA+ | 2,776,503 | 70,286,261 | |||
526,653,566 | |||||
TELECOMMUNICATION SERVICES — 14.38% | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 4.80% | |||||
France Telecom SA | 11,076,100 | 372,459,880 | |||
Telefónica SA | 16,058,400 | 461,409,665 | |||
WIRELESS TELECOMMUNICATION SERVICES — 9.58% | |||||
América Móvil SAB de C.V. | 6,926,444 | 441,145,218 | |||
China Mobile Ltd. | 34,307,672 | 510,472,451 | |||
Rogers Communications, Inc. | 10,259,100 | 369,005,770 | |||
Vodafone Group plc ADR | 11,719,483 | 345,841,943 | |||
2,500,334,927 | |||||
TRANSPORTATION — 1.64% | |||||
ROAD & RAIL — 1.64% | |||||
Canadian National Railway Co. | 5,896,100 | 285,887,181 | |||
285,887,181 | |||||
UTILITIES — 5.34% | |||||
ELECTRIC UTILITIES — 5.34% | |||||
E. ON AG | 2,388,300 | 442,131,845 | |||
Fortum Oyj | 11,942,950 | 486,645,426 | |||
928,777,271 | |||||
TOTAL COMMON STOCK (Cost $14,545,340,871) | 16,760,586,438 | ||||
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||||
SHORT TERM INVESTMENTS — 5.06% | |||||||
American Express, 2.28% , 4/7/2008 | $ | 78,400,000 | $ | 78,370,208 | |||
General Electric Capital Corp., 2.25% , 4/1/2008 | 150,000,000 | 150,000,000 | |||||
General Electric Capital Corp., 2.25% , 4/2/2008 | 176,800,000 | 176,788,950 | |||||
General Electric Co., 2.20% , 4/4/2008 | 182,800,000 | 182,766,486 | |||||
Toyota Credit de Puerto Rico, 2.22% , 4/3/2008 | 292,800,000 | 292,763,889 | |||||
TOTAL SHORT TERM INVESTMENTS (Cost $880,689,533) | 880,689,533 | ||||||
TOTAL INVESTMENTS — 101.42% (Cost $15,426,030,404) | $ | 17,641,275,971 | |||||
LIABILITIES NET OF OTHER ASSETS — (1.42)% | (246,690,956 | ) | |||||
NET ASSETS — 100.00% | $ | 17,394,585,015 | |||||
Footnote Legend
+ Non-income producing
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR | American Depository Receipt |
See notes to financial statements.
26 Certified Semi-Annual Report
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Thornburg International Value Fund | March 31, 2008 (Unaudited) |
As a shareholder of the Fund, you incur two types of costs:
(1) | transaction costs, including a 30-day redemption fee on Class I shares; |
(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, 2007 and held until March 31, 2008.
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 9/30/07 | Ending Account Value 3/31/08 | Expenses Paid During Period† 9/30/07–3/31/08 | |||||||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 895.90 | $ | 4.12 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.65 | $ | 4.39 |
† | Expenses are equal to the annualized expense ratio for Class I shares (0.87%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
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INDEX COMPARISON | ||
Thornburg International Value Fund | March 31, 2008 (Unaudited) |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg International Value Fund versus MSCI EAFE Index (March 30, 2001 to March 31, 2008)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2008
1 Yr | 5 Yrs | Since Inception | |||||||
I Shares (Incep: 3/30/01) | 11.02 | % | 25.65 | % | 13.68 | % | |||
MSCI EAFE Index (Since: 3/30/01) | (2.70 | )% | 21.40 | % | 9.20 | % |
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. Class I shares are subject to a 1% 30-day redemption fee.
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 net 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.
28 Certified Semi-Annual Report
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Thornburg International Value Fund | March 31, 2008 (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 web site at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s web site at www.sec.gov.
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 web site at www. thornburg.com, and (iii) on the Securities and Exchange Commission’s web site 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 web site at 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 web site at www. thornburg.com/download or upon request by calling 1-800-847-0200.
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Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
February 8, 2005, as readopted July 18, 2007
The Trustees are concerned that ongoing 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.
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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. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
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.
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 Global Opportunities Fund |
• | Thornburg International Growth Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
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Thornburg Equity Funds
Thornburg’s equity research uses a fundamental and comprehensive analytical approach. Thornburg equity funds focus on a limited number of securities so that each holding can impact 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.
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
• | Thornburg International Growth Fund |
Thornburg Bond Funds
The majority of Thornburg bond funds are laddered portfolios of 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 Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term Municipal Fund |
• | Thornburg New Mexico Intermediate Municipal Fund |
• | Thornburg New York Intermediate Municipal Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund* |
Carefully consider each fund’s investment objectives, risks, sales charges, and expenses; this information can be found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. There is no guarantee that any of these funds will meet their investment objectives.
For additional information, please visit www.thornburg.com
Thornburg Investment Management, 119 East Marcy Street, Santa Fe, NM 87501
* This fund does not use the laddering strategy.
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This Semi-Annual Report is 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. | Get instant access to your shareholder reports.
By switching from your postal mailbox to your email inbox, you reduce paper clutter, improve record keeping access, and help conserve our natural resources. | |||||
| Investment Advisor: Thornburg Investment Management® 800.847.0200
Distributor: Thornburg Securities Corporation® 800.847.0200
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Important Information
The information presented on the following pages was current as of March 31, 2008. The managers’ views, portfolio holdings, and sector and country diversification are provided for the general information of the Fund’s shareholders; they are historical and subject to change. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments in the Fund carry risks including possible loss of principal. Investing outside the United States involves additional risks, such as currency fluctuations. Additionally, the Fund may invest a portion of the assets in small capitalization companies, which may increase the risk of greater price fluctuations. Funds invested in a limited number of holdings may expose an investor to greater volatility. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund. Investments 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. There is no guarantee that the Fund will meet its investment objectives.
Performance data given at net asset value (NAV) does not take into account the applicable sales charges. If the sales charges had been included, the performance would have been lower.
Glossary
NASDAQ Composite Index – The NASDAQ Composite Index is a market-value weighted, technology-oriented index comprised of over 3,000 domestic and non-U.S.-based securities.
Russell 3000 Growth Index – The Russell 3000 Growth Index (Russell 3K G) is an unmanaged index comprised of those Russell 3000 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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Thornburg Core Growth Fund
Continually Evaluating the Risk Equation
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%. Class A shares are subject to a 1% 30-day redemption fee. The total annual fund operating expense of Class A shares is 1.37%, as disclosed in the most recent Prospectus.
PORTFOLIO MANAGER
Alexander M.V. Motola,CFA
KEY PORTFOLIO ATTRIBUTES
As of 3/31/08
Portfolio P/E Trailing 12-months* | 21.5x | |
Portfolio Price to Cash Flow* | 14.2 | |
Portfolio Price to Book Value* | 4.7 | |
Median Market Cap* | $7.6 B | |
7-Year Beta (A shares vs. Russell 3K G)* | 1.17 | |
Holdings | 36 |
* | Source: FactSet |
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 may potentially 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 management team of Thornburg Core Growth Fund understands 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 the 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 many other growth funds rely on broad portfolio diversification to temper volatility, the Thornburg Core Growth Fund focuses 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. We believe that diversifying among three growth baskets further mitigates risk because each of these segments typically 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
AVERAGE ANNUAL TOTAL RETURNS* FOR PERIODS ENDED MARCH 31, 2008
6 Mos | 1 Yr | 3 Yrs | 5 Yrs | Since Inception | |||||||||||
A Shares (Incep: 12/27/00) | |||||||||||||||
Without Sales Charge | (21.38 | )% | (12.89 | )% | 10.70 | % | 17.93 | % | 4.61 | % | |||||
With Sales Charge | (24.93 | )% | (16.81 | )% | 9.00 | % | 16.86 | % | 3.95 | % | |||||
Russell 3000 Growth | |||||||||||||||
Index (Since: 12/27/00) | (11.18 | )% | (1.45 | )% | 6.30 | % | 10.26 | % | (1.19 | )% |
* | Periods less than one year are not annualized. |
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company and its business. The team believes that an intimate understanding of the companies in the portfolio is one of the most effective forms of risk management.
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.
This team is positioned to demonstrate the strength of its grit over glamour strategy and will continue seeking steady, consistent performance for shareholders through a variety of market cycles.
STOCKS CONTRIBUTING AND DETRACTING
FOR SIX MONTHS ENDED 3/31/08
Top Contributors | Top Detractors | |
Gilead Sciences, Inc. | Las Vegas Sands Corp. | |
MEMC Electronic Materials, Inc. | WellPoint, Inc. | |
Genentech, Inc. | ON Semiconductor Corp. | |
Visa, Inc. | NeuStar, Inc. | |
Hologic, Inc. | ATP Oil & Gas Corp. |
Source: FactSet
MARKET CAPITALIZATION EXPOSURE
As of 3/31/08
TOP TEN HOLDINGS
As of 3/31/08
Gilead Sciences, Inc. | 5.4 | % | |
Western Union Co. | 5.2 | % | |
Amdocs Ltd. | 4.5 | % | |
América Móvil SAB de C.V. | 4.5 | % | |
Genentech, Inc. | 4.3 | % | |
AT&T, Inc. | 4.0 | % | |
Carlsberg A/S | 3.8 | % | |
Bare Escentuals, Inc. | 3.3 | % | |
CME Group, Inc. | 3.3 | % | |
PNOC Energy Development Corp. | 3.3 | % |
BASKET STRUCTURE
As of 3/31/08
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Awards
Thornburg Core Growth Fund
![]() | Four-Time Lipper Fund Award Winner
Multi-cap Growth Category
2008 – Class A shares won for the 5-year period ended 12/31/07, among 332 funds
2007 – Class I shares won for the 3-year period ended 12/31/06, among 371 funds and Class A shares won for the 5-year period, among 294 funds
2006 – Class A shares won for the 3-year period ended 12/31/05, among 340 funds
2004 – Class A shares won for the 3-year period ended 12/31/03, among 287 funds
Lipper Fund Awards are granted annually to the fund in each Lipper classification that consistently delivered the strongest risk-adjusted performance over the period (calculated with dividends reinvested and without sales charges). Individual fund classification awards are given for three-year, five-year, and ten-year periods. The Fund did not receive the award for all eligible time periods in every year.
Past performance does not guarantee future results. |
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March 31, 2008
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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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Alexander M.V. Motola, CFA Portfolio Manager | April 7, 2008
Dear Fellow Shareholder:
For the six months ended March 31, 2008, the Thornburg Core Growth Fund performed poorly in both relative and absolute terms. On March 31, 2008, the net asset value (NAV) for the Class A shares was $16.28. At the end of the last fiscal year (September 30, 2007), the Fund’s NAV was $20.72. The Fund’s Class A shares under-performed its benchmark with a total return of negative 21.38% (at NAV) compared to negative 11.18% for the Russell 3000 Growth Index.
The ride over the last six months has certainly been rockier than we would have hoped. We continue to do the same things we’ve always done and believe that finding attractively valued growth stocks is a formula for long term success. Historically, our stock picking has been strong. Mutual fund analysts refer to this as “selection effect” (disaggregating the benefit/penalty of the sector/industry move and isolating the return solely from the stock). We usually have a strong selection across several sectors. Over the prior six months, this manifested itself in Health Care and Telecommunication Services within our portfolio. Selection effect was negative across a broader range of sectors, including Information Technology (ON Semiconductor, Trident), Consumer Discretionary (Las Vegas Sands, Tempur-Pedic), Energy (ATP Oil & Gas), and Financials (CB Richard Ellis, NYSE Euronext).
Six months ago, I wrote “We subscribe to the belief that when running a focused portfolio of stocks, significant outperformance can come from a few names doing very well, assuming that downside performance is minimized.” We still subscribe to that idea, but the minimizing of downside performance has been the fly in our ointment. We have avoided high risk areas of the equity markets, such as homebuilders, investment banks and traditional spread-based financials, but we have missed with stock selections. Managing stock specific risk is an important aspect of our approach to growth investing.
While we do not know which stocks will be the biggest winners of 2008 or 2009, we do know what opportunity looks like, and we know our approach should lead us into interesting investments. Last year’s annual letter highlighted our difficulties with Health Care, even though the year ended September 30, 2007, was strong in terms of performance. So far this year, Health Care has been a strong contributor, with names like Gilead Sciences, Genentech, Cytec/Hologic and Illumina contributing to performance in a materially positive way. Information Technology has been a huge drag to performance over the past six months, in spite of our ability historically to provide strong returns in that sector. The biggest takeaway is simply that individual stock selection matters most to our performance; sector and geography are important but remain secondary considerations.
Opportunism is a word often used in a pejorative manner. It makes sense because the context is often politics and it usually relates to giving up (or compromising) |
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long held principles for an ephemeral benefit. We seek to be opportunistic, but not at the cost of our discipline. One of the benefits of our philosophy is its flexible nature. Due to this, once we’ve established that the opportunity created is material and concrete, we seek to act. The market environment over the past six months has not treated us well, but it has created opportunities. We are acting on these opportunities by purchasing new ideas into the portfolio, such as Priceline.com, Dynamic Materials, and Illumina. We have also been opportunistic in re-purchasing securities owned in the past, such as Electronic Arts and Affiliated Managers Group. We last owned Electronic Arts in 2003, but have always been attracted to its market position and high quality franchise. The stock is a classic Growth Industry Leader. Several times over the last five years, we have come close to purchasing the stock, but our discipline around valuation remained firm. For fundamentally oriented investors driven by valuation as well as growth, patience is a critical trait. Opportunity finally knocked in February, and we purchased a position.
I specifically highlighted Electronic Arts as a Growth Industry Leader. We use a variety of tools to manage the risks of our concentrated portfolio. We seek to manage risk through consciously diversifying our portfolio by capitalization range, by sector and within sectors, as well as by basket (Growth Industry Leaders, Consistent Growth Companies, and Emerging Growth Companies). We focus our research efforts on identifying stock specific risks by knowing the business model, understanding the accounting issues, assessing the competitive, regulatory and legal risks, and weighing the quality of earnings being generated. We feel we are managing our risks at the most basic and important level: the individual security level.
We intend to continue implementing our investment process in a disciplined, consistent manner. We continue to find what we believe to be attractive growth companies. Part of our past success can be attributed to the fact that our broad mandate allows us to search in parts of the market not open to managers more tightly constrained to specific style boxes. This flexible approach allows us to do what we love – researching companies and identifying opportunities is our passion. We encourage you to learn more about your portfolio. Descriptions of each holding and links to company web sites can be found by pointing your Internet browser to www.thornburg.com/funds. Thank you for investing in the Thornburg Core Growth Fund.
Sincerely,
Alexander M.V. Motola,CFA
Managing Director
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, 2008 (Unaudited) |
ASSETS | ||||
Investments at value (Note 2) | ||||
Non-controlled affiliated issuers (cost $222,369,547) | $ | 154,163,978 | ||
Non-affiliated issuers (cost $2,703,876,938) | 2,743,289,030 | |||
Cash | 259,700 | |||
Receivable for investments sold | 32,983,245 | |||
Receivable for fund shares sold | 8,573,666 | |||
Unrealized gain on forward exchange contracts (Note 7) | 2,052,191 | |||
Dividends receivable | 313,641 | |||
Prepaid expenses and other assets | 112,333 | |||
Total Assets | 2,941,747,784 | |||
LIABILITIES | ||||
Payable for securities purchased | 19,861,080 | |||
Payable for fund shares redeemed | 5,444,903 | |||
Unrealized loss on forward exchange contracts (Note 7) | 397,089 | |||
Payable to investment advisor and other affiliates (Note 3) | 2,922,041 | |||
Accounts payable and accrued expenses | 210,054 | |||
Total Liabilities | 28,835,167 | |||
NET ASSETS | $ | 2,912,912,617 | ||
NET ASSETS CONSIST OF: | ||||
Net investment loss | $ | (4,837,595 | ) | |
Net unrealized depreciation on investments | (27,134,251 | ) | ||
Accumulated net realized gain (loss) | (216,839,097 | ) | ||
Net capital paid in on shares of beneficial interest | 3,161,723,560 | |||
$ | 2,912,912,617 | |||
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STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2008 (Unaudited) |
NET ASSET VALUE: | |||
Class A Shares: | |||
Net asset value and redemption price per share ($1,206,066,599 applicable to 74,092,797 shares of beneficial interest outstanding – Note 4) | $ | 16.28 | |
Maximum sales charge, 4.50% of offering price | 0.77 | ||
Maximum offering price per share | $ | 17.05 | |
Class C Shares: | |||
Net asset value and offering price per share * ($554,914,890 applicable to 36,232,034 shares of beneficial interest outstanding – Note 4) | $ | 15.32 | |
Class I Shares: | |||
Net asset value, offering and redemption price per share ($506,027,166 applicable to 30,374,627 shares of beneficial interest outstanding – Note 4) | $ | 16.66 | |
Class R3 Shares: | |||
Net asset value, offering and redemption price per share ($333,430,027 applicable to 20,471,791 shares of beneficial interest outstanding – Note 4) | $ | 16.29 | |
Class R4 Shares: | |||
Net asset value, offering and redemption price per share ($19,264,265 applicable to 1,183,298 shares of beneficial interest outstanding – Note 4) | $ | 16.28 | |
Class R5 Shares: | |||
Net asset value, offering and redemption price per share ($293,209,670 applicable to 17,615,158 shares of beneficial interest outstanding – Note 4) | $ | 16.65 | |
* | 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 Core Growth Fund | Six Months Ended March 31, 2008 (Unaudited) |
INVESTMENT INCOME: | ||||
Dividend income from non-affiliated issuers (net of foreign taxes withheld of $1,315,967) | $ | 15,245,526 | ||
Interest income | 3,222,293 | |||
Total Income | 18,467,819 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 12,539,686 | |||
Administration fees (Note 3) | ||||
Class A Shares | 897,909 | |||
Class C Shares | 404,170 | |||
Class I Shares | 152,192 | |||
Class R3 Shares | 247,127 | |||
Class R4 Shares | 8,724 | |||
Class R5 Shares | 60,909 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 1,796,608 | |||
Class C Shares | 3,235,747 | |||
Class R3 Shares | 987,213 | |||
Class R4 Shares | 19,205 | |||
Transfer agent fees | ||||
Class A Shares | 989,750 | |||
Class C Shares | 401,905 | |||
Class I Shares | 158,660 | |||
Class R3 Shares | 371,710 | |||
Class R4 Shares | 7,887 | |||
Class R5 Shares | 136,877 | |||
Registration and filing fees | ||||
Class A Shares | 32,823 | |||
Class C Shares | 20,759 | |||
Class I Shares | 19,550 | |||
Class R3 Shares | 9,307 | |||
Class R4 Shares | 6,090 | |||
Class R5 Shares | 13,080 | |||
Custodian fees (Note 3) | 245,785 | |||
Professional fees | 52,919 | |||
Accounting fees | 44,060 | |||
Trustee fees | 20,560 | |||
Other expenses | 234,539 | |||
Total Expenses | 23,115,751 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (223,532 | ) | ||
Fees paid indirectly (Note 3) | (5,915 | ) | ||
Net Expenses | 22,886,304 | |||
Net Investment Loss | $ | (4,418,485 | ) | |
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STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Core Growth Fund | Six Months Ended March 31, 2008 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments sold | $ | (208,206,760 | ) | |
Foreign currency transactions | (8,475,888 | ) | ||
(216,682,648 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (604,448,887 | ) | ||
Foreign currency translations | 3,722,760 | |||
(600,726,127 | ) | |||
Net Realized and Unrealized Loss | (817,408,775 | ) | ||
Net Decrease in Net Assets Resulting From Operations | $ | (821,827,260 | ) | |
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg Core Growth Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, 2007 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income (loss) | $ | (4,418,485 | ) | $ | (18,562,754 | ) | ||
Net realized gain (loss) on investments and foreign currency transactions | (216,682,648 | ) | 3,094,193 | |||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments and foreign currency translations | (600,726,127 | ) | 469,309,506 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (821,827,260 | ) | 453,840,945 | |||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From realized gains | ||||||||
Class A Shares | (868,506 | ) | — | |||||
Class C Shares | (412,872 | ) | — | |||||
Class I Shares | (352,383 | ) | — | |||||
Class R3 Shares | (247,109 | ) | — | |||||
Class R4 Shares | (4,219 | ) | — | |||||
Class R5 Shares | (106,648 | ) | — | |||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 87,576,832 | 752,891,071 | ||||||
Class C Shares | 49,754,060 | 390,687,789 | ||||||
Class I Shares | 11,895,705 | 362,304,238 | ||||||
Class R3 Shares | 15,250,593 | 274,389,436 | ||||||
Class R4 Shares | 19,666,976 | 3,331,607 | ||||||
Class R5 Shares | 200,313,343 | 146,669,595 | ||||||
Net Increase (Decrease) in Net Assets | (439,361,488 | ) | 2,384,114,681 | |||||
NET ASSETS: | ||||||||
Beginning of period | 3,352,274,105 | 968,159,424 | ||||||
End of period | $ | 2,912,912,617 | $ | 3,352,274,105 | ||||
* | Unaudited. |
See notes to financial statements.
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NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Core Growth Fund | March 31, 2008 (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 thirteen 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 Intermediate Municipal Fund, Thornburg New Mexico 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 Investment Income Builder Fund, Thornburg Global Opportunities Fund, Thornburg International Growth Fund, and Thornburg Strategic Income Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing in equity securities selected for their growth potential.
The Fund currently offers six classes of shares of beneficial interest, Class A, Class C, Institutional Class (Class I), and Retirement Classes (Class R3, Class R4, and Class R5) 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, (iv) Class R3 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, (v) Class R4 shares are sold at net asset value without sales charge at the time of purchase, but bear a service 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 may have different reinvestment privileges and conversion rights. 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 Securities: Portfolio securities listed or traded on a national securities exchange are valued on the valuation date at the last reported sale price on the exchange that is the primary market for the security. Portfolio securities traded on an exchange for which there has been no sale that day and other equity securities traded in the over-the-counter market are valued at the mean between the last reported bid and asked prices. Portfolio securities reported by NASDAQ are valued at the NASDAQ official closing price. Any foreign security traded on exchanges outside the United States is valued at the price of the security on the exchange that is normally the security’s primary market, as of the close of that exchange preceding the time of the Fund’s valuation. Quotations for foreign securities in foreign currencies are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
Any debt securities held by the Fund have a primary market over the counter and are valued by an independent pricing service approved by the Trustees of the Trust. The pricing service ordinarily values debt securities at quoted bid prices. When quotations are not available, debt securities held by the Fund are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt securities of comparable quality, type of issue, coupon, maturity, and rating, indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
In any case where the market value of an equity security held by the Fund is not readily available, the Trust’s valuation and pricing committee determines a fair value for the security using factors approved by the Trustees. A security’s market value is deemed not readily available whenever the exchange or market on which the security is primarily traded is closed for the entire scheduled day of trading. Additionally, a security’s market value may be deemed not readily available under other circumstances identified by the Trustees, including when developments occurring after the most recent close of the security’s primary exchange or market, but before the most recent close of trading in Fund shares, create a serious question about the reliability of the security’s market value.
In any case where a pricing service fails to provide a price for a debt security held by the Fund, the valuation and pricing committee determines a fair value for the debt security using factors approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt security held by the Fund may be unreliable, the valuation and pricing committee decides whether or not to use the pricing service’s valuation or to determine a fair value for the debt security.
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
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2008 (Unaudited) |
writer of an option is exposed to the risk of loss if the market price of the underlying asset declines (in the case of a put option) or increases (in the case of a call option). The writer of an option can never profit by more than the premium paid by the buyer but can lose an unlimited amount. The writer also has the additional risk of not being able to enter into a closing transaction if a liquid secondary market does not exist.
Premiums received/paid from writing/purchasing options are recorded as liabilities/assets on the Statement of Assets and Liabilities, and are subsequently adjusted to current values. The difference between the current value of an option and the premium received/paid is treated as an unrealized gain or loss.
When a purchased option expires on its stipulated expiration date or when a closing transaction is entered into, the premium paid on the purchase of the option is treated by the Fund as a realized loss. When a written option expires on its stipulated expiration date or when a closing transaction is entered into, the related liability is extinguished and the Fund realizes a gain (loss if the cost of the closing transaction exceeds the premium received when the option was written).
Foreign Currency Translation: Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against the U.S. dollar on the date of valuation. Purchases and sales of securities and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the translation date. When the Fund purchases or sells foreign securities it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in net realized and unrealized gain or loss from investments.
Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books, and the U.S. dollar equivalent of the amounts actually received or paid.
Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.
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 Fund’s 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 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 liabilities 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.
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2008 (Unaudited) |
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 six months ended March 31, 2008, 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 Trust also has entered into administrative services agreements 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 six months ended March 31, 2008, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $201,348 for Class R3 shares, $3,178 for Class R4 shares, and $19,006 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 six months ended March 31, 2008, the Distributor has advised the Fund that it earned commissions aggregating $238,475 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $145,191 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 and distribution 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 R3 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C and Class R3 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 and Class R3 shares. Total fees incurred by the Distributor for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2008, 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 six months ended March 31, 2008, fees paid indirectly were $5,915. This figure may include additional fees waived by the custodian.
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, 2008, 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, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 19,826,284 | $ | 383,046,301 | 54,188,818 | $ | 1,016,770,034 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 40,086 | 785,692 | — | — | ||||||||||
Shares repurchased | (16,711,016 | ) | (296,274,121 | ) | (13,920,905 | ) | (263,891,441 | ) | ||||||
Redemption fees received** | — | 18,960 | — | 12,478 | ||||||||||
Net Increase (Decrease) | 3,155,354 | $ | 87,576,832 | 40,267,913 | $ | 752,891,071 | ||||||||
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2008 (Unaudited) |
Six Months Ended March 31, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class C Shares | ||||||||||||||
Shares sold | 6,733,327 | $ | 123,546,482 | 24,042,126 | $ | 428,699,736 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 16,338 | 302,087 | — | — | ||||||||||
Shares repurchased | (4,459,446 | ) | (74,103,049 | ) | (2,109,546 | ) | (38,017,920 | ) | ||||||
Redemption fees received** | — | 8,540 | — | 5,973 | ||||||||||
Net Increase (Decrease) | 2,290,219 | $ | 49,754,060 | 21,932,580 | $ | 390,687,789 | ||||||||
Class I Shares | ||||||||||||||
Shares sold | 9,346,109 | $ | 182,261,565 | 24,674,852 | $ | 471,936,086 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 14,035 | 281,125 | — | — | ||||||||||
Shares repurchased | (9,329,112 | ) | (170,654,956 | ) | (5,639,994 | ) | (109,638,046 | ) | ||||||
Redemption fees received** | — | 7,971 | — | 6,198 | ||||||||||
Net Increase (Decrease) | 31,032 | $ | 11,895,705 | 19,034,858 | $ | 362,304,238 | ||||||||
Class R3 Shares | ||||||||||||||
Shares sold | 7,820,753 | $ | 148,508,234 | 17,655,868 | $ | 335,551,232 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 12,192 | 239,334 | — | — | ||||||||||
Shares repurchased | (7,322,863 | ) | (133,502,136 | ) | (3,183,342 | ) | (61,165,475 | ) | ||||||
Redemption fees received** | — | 5,161 | — | 3,679 | ||||||||||
Net Increase (Decrease) | 510,082 | $ | 15,250,593 | 14,472,526 | $ | 274,389,436 | ||||||||
Class R4 Shares* | ||||||||||||||
Shares sold | 1,148,435 | $ | 22,087,009 | 172,095 | $ | 3,388,183 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 176 | 3,449 | — | — | ||||||||||
Shares repurchased | (134,517 | ) | (2,423,685 | ) | (2,891 | ) | (56,581 | ) | ||||||
Redemption fees received** | — | 203 | — | 5 | ||||||||||
Net Increase (Decrease) | 1,014,094 | $ | 19,666,976 | 169,204 | $ | 3,331,607 | ||||||||
Class R5 Shares | ||||||||||||||
Shares sold | 12,466,302 | $ | 242,645,251 | 8,452,082 | $ | 166,122,436 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 4,767 | 95,440 | — | — | ||||||||||
Shares repurchased | (2,329,740 | ) | (42,430,682 | ) | (980,958 | ) | (19,454,052 | ) | ||||||
Redemption fees received** | — | 3,334 | — | 1,211 | ||||||||||
Net Increase (Decrease) | 10,141,329 | $ | 200,313,343 | 7,471,124 | $ | 146,669,595 | ||||||||
* | Effective date of this class of shares was February 1, 2007. |
** | The Fund charges a redemption fee of 1% of the Class A and Class I shares redeemed or exchanged within 30 days of purchase. Redemption fees charged to any class are allocated to all classes upon receipt of payment based on relative net asset values of each class or other appropriate allocation methods. |
18 | Certified Semi-Annual Report |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2008 (Unaudited) |
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2008, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $1,750,372,293 and $1,380,091,098, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2008, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 2,926,403,347 | ||
Gross unrealized appreciation on a tax basis | $ | 229,745,366 | ||
Gross unrealized depreciation on a tax basis | (258,695,705 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | (28,950,339 | ) | |
At March 31, 2008, the Fund has deferred tax basis currency losses occurring subsequent to October 31, 2006 of $419,110. For tax purposes, such losses will be reflected in the year ending September 30, 2008.
NOTE 7 – FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
During the six months ended March 31, 2008, 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. There are special risks associated with international investing, including currency fluctuations, economic and political instability, confiscation, inability or delays in selling foreign investments, and reduced legal protection for investments.
CONTRACTS TO SELL:
Contracts | Contract Value Date | Unrealized Gain (Loss) | ||||
4,640,000,000 Philippine Peso for 112,348,668 USD | June 16, 2008 | $ | 2,052,191 | |||
Net unrealized gain (loss) from forward | ||||||
Sell contracts: | $ | 2,052,191 | ||||
CONTRACTS TO BUY: | ||||||
Contracts | Contract Value Date | Unrealized Gain (Loss) | ||||
546,200,000 Philippine Peso for 13,380,696 USD | June 16, 2008 | $ | (397,089 | ) | ||
Net unrealized gain (loss) from forward | ||||||
Buy contracts: | $ | (397,089 | ) | |||
Net unrealized gain (loss) from forward | ||||||
Exchange contracts: | $ | 1,655,102 | ||||
Certified Semi-Annual Report | 19 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2008 (Unaudited) |
OTHER NOTES:
FASB Interpretation No. 48:
On July 13, 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation prescribes a model for how a company, including the Fund, should recognize, measure, present and disclose in its financial statements uncertain tax positions that the company has taken or expects to take on income tax returns, and also revises certain disclosure requirements. The Interpretation became effective for the Fund for the financial statement reporting period ended March 31, 2008. As of the date of this report, management of the Fund has not identified any material effect on the Fund’s financial statements resulting from the implementation of FIN 48.
Statement of Accounting Standards No. 157:
On September 15, 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 defines fair value, provides guidelines for measuring fair value in accordance with generally accepted accounting principles, and addresses disclosures about fair value measurements. FAS 157 establishes a fair value hierarchy that distinguishes between (i) market participant assumptions developed based upon market data obtained from sources independent of the reporting entity (observable inputs) and (ii) the entity’s own assumptions about market participant assumptions developed based upon the best information available under the circumstances (unobservable inputs). FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and is to be applied prospectively as of the beginning of the first fiscal year for which FAS 157 is applied. Management is evaluating FAS 157, and is not in a position at this time to estimate the significance of its impact, if any, on the Fund’s financial statements.
Statement of Accounting Standards No. 161:
In March 2008, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”). FAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. FAS 161 requires enhanced disclosures about any derivative and hedging activities by the Fund, including how such activities are accounted for and any effect on the Fund’s financial position, performance and cash flows. Management is evaluating the impact, if any, that the adoption of FAS 161 will have on the Fund’s financial statements and related disclosures.
20 | Certified Semi-Annual Report |
Table of Contents
Thornburg Core Growth Fund
Six Months Ended March 31, 2008* | Year Ended September 30, | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Class A Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.72 | $ | 16.38 | $ | 14.21 | $ | 10.87 | $ | 10.11 | $ | 6.45 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | (0.02 | ) | (0.15 | ) | (0.14 | ) | (0.14 | ) | (0.15 | ) | (0.13 | ) | ||||||||||||
Net realized and unrealized gain (loss) on investments | (4.41 | ) | 4.49 | 2.54 | 3.48 | 0.90 | 3.77 | |||||||||||||||||
Total from investment operations | (4.43 | ) | 4.34 | 2.40 | 3.34 | 0.75 | 3.64 | |||||||||||||||||
Redemption fees added to paid in capital | — | — | 0.01 | — | 0.01 | 0.02 | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net realized gains | (0.01 | ) | — | (0.24 | ) | — | — | — | ||||||||||||||||
Change in net asset value | (4.44 | ) | 4.34 | 2.17 | 3.34 | 0.76 | 3.66 | |||||||||||||||||
NET ASSET VALUE, end of period | $ | 16.28 | $ | 20.72 | $ | 16.38 | $ | 14.21 | $ | 10.87 | $ | 10.11 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (%)(a) | (21.38 | ) | 26.50 | 17.20 | 30.73 | 7.52 | 56.74 | |||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | (0.20 | )(b) | (0.78 | ) | (0.86 | ) | (1.14 | ) | (1.37 | ) | (1.43 | ) | ||||||||||||
Expenses, after expense reductions (%) | 1.30 | (b) | 1.37 | 1.48 | 1.60 | 1.62 | 1.65 | |||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 1.30 | (b) | 1.36 | 1.46 | 1.57 | 1.61 | 1.63 | |||||||||||||||||
Expenses, before expense reductions (%) | 1.30 | (b) | 1.37 | 1.48 | 1.60 | 1.70 | 2.03 | |||||||||||||||||
Portfolio turnover rate (%) | 42.87 | 82.37 | 98.00 | 115.37 | 108.50 | 102.91 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 1,206,067 | $ | 1,470,020 | $ | 502,345 | $ | 110,836 | $ | 40,899 | $ | 36,247 |
(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. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report | 21 |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Core Growth Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Class C Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.57 | $ | 15.59 | $ | 13.63 | $ | 10.51 | $ | 9.85 | $ | 6.38 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | (0.08 | ) | (0.28 | ) | (0.24 | ) | (0.23 | ) | (0.22 | ) | (0.18 | ) | ||||||||||||
Net realized and unrealized gain (loss) on investments | (4.16 | ) | 4.26 | 2.43 | 3.35 | 0.88 | 3.65 | |||||||||||||||||
Total from investment operations | (4.24 | ) | 3.98 | 2.19 | 3.12 | 0.66 | 3.47 | |||||||||||||||||
Redemption fees added to paid in capital | — | — | 0.01 | — | — | — | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net realized gains | (0.01 | ) | — | (0.24 | ) | — | — | — | ||||||||||||||||
Change in net asset value | (4.25 | ) | 3.98 | 1.96 | 3.12 | 0.66 | 3.47 | |||||||||||||||||
NET ASSET VALUE, end of period | $ | 15.32 | $ | 19.57 | $ | 15.59 | $ | 13.63 | $ | 10.51 | $ | 9.85 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (%)(a) | (21.67 | ) | 25.53 | 16.38 | 29.69 | 6.70 | 54.39 | |||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | (0.94 | )(b) | (1.53 | ) | (1.63 | ) | (1.91 | ) | (2.13 | ) | (2.19 | ) | ||||||||||||
Expenses, after expense reductions (%) | 2.04 | (b) | 2.12 | 2.25 | 2.37 | 2.38 | 2.40 | |||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 2.04 | (b) | 2.11 | 2.23 | 2.34 | 2.37 | 2.38 | |||||||||||||||||
Expenses, before expense reductions (%) | 2.04 | (b) | 2.12 | 2.25 | 2.37 | 2.52 | 3.35 | |||||||||||||||||
Portfolio turnover rate (%) | 42.87 | 82.37 | 98.00 | 115.37 | 108.50 | 102.91 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 554,915 | $ | 664,252 | $ | 187,180 | $ | 41,737 | $ | 14,693 | $ | 7,146 |
(a) | Not annualized for periods less than one year. |
(b) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
22 | Certified Semi-Annual Report |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Core Growth Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, | Period Ended September 30, 2004(a) | ||||||||||||||||||
2007 | 2006 | 2005 | ||||||||||||||||||
Class I Shares: | ||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||
Net asset value, beginning of period | $ | 21.16 | $ | 16.66 | $ | 14.37 | $ | 10.93 | $ | 10.87 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss) | 0.02 | (0.08 | ) | (0.06 | ) | (0.07 | ) | (0.08 | ) | |||||||||||
Net realized and unrealized gain (loss) on investments | (4.51 | ) | 4.58 | 2.58 | 3.51 | 0.14 | ||||||||||||||
Total from investment operations | (4.49 | ) | 4.50 | 2.52 | 3.44 | 0.06 | ||||||||||||||
Redemption fees added to paid in capital | — | — | 0.01 | — | — | |||||||||||||||
Less dividends from: | ||||||||||||||||||||
Net realized gains | (0.01 | ) | — | (0.24 | ) | — | — | |||||||||||||
Change in net asset value | (4.50 | ) | 4.50 | 2.29 | 3.44 | 0.06 | ||||||||||||||
NET ASSET VALUE, end of period | $ | 16.66 | $ | 21.16 | $ | 16.66 | $ | 14.37 | $ | 10.93 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Total return (%)(b) | (21.22 | ) | 27.01 | 17.85 | 31.47 | 0.55 | ||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) (%) | 0.21 | (c) | (0.39 | ) | (0.40 | ) | (0.55 | ) | (0.74 | )(c) | ||||||||||
Expenses, after expense reductions (%) | 0.89 | (c) | 0.98 | 1.01 | 1.02 | 1.00 | (c) | |||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.89 | (c) | 0.97 | 0.99 | 0.99 | 0.99 | (c) | |||||||||||||
Expenses, before expense reductions (%) | 0.89 | (c) | 0.98 | 1.10 | 1.15 | 1.31 | (c) | |||||||||||||
Portfolio turnover rate (%) | 42.87 | 82.37 | 98.00 | 115.37 | 108.50 | |||||||||||||||
Net assets at end of period (thousands) | $ | 506,027 | $ | 642,143 | $ | 188,422 | $ | 49,975 | $ | 21,578 |
(a) | Effective date of this class of shares was November 1, 2003. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report | 23 |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Core Growth Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, | Period Ended Sept. 30, 2003(a) | ||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | |||||||||||||||||||||
Class R3 Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.75 | $ | 16.43 | $ | 14.26 | $ | 10.90 | $ | 10.11 | $ | 9.59 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | (0.04 | ) | (0.18 | ) | (0.14 | ) | (0.14 | ) | (0.12 | ) | (0.03 | ) | ||||||||||||
Net realized and unrealized gain (loss) on investments | (4.41 | ) | 4.50 | 2.54 | 3.50 | 0.91 | 0.55 | |||||||||||||||||
Total from investment operations | (4.45 | ) | 4.32 | 2.40 | 3.36 | 0.79 | 0.52 | |||||||||||||||||
Redemption fees added to paid in capital | — | — | 0.01 | — | — | — | ||||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net realized gains | (0.01 | ) | — | (0.24 | ) | — | — | — | ||||||||||||||||
Change in net asset value | (4.46 | ) | 4.32 | 2.17 | 3.36 | 0.79 | 0.52 | |||||||||||||||||
NET ASSET VALUE, end of period | $ | 16.29 | $ | 20.75 | $ | 16.43 | $ | 14.26 | $ | 10.90 | $ | 10.11 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (%)(b) | (21.45 | ) | 26.29 | 17.14 | 30.83 | 7.81 | 5.42 | |||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | (0.39 | )(c) | (0.91 | ) | (0.90 | ) | (1.08 | ) | (1.17 | ) | (1.06 | )(c) | ||||||||||||
Expenses, after expense reductions (%) | 1.50 | (c) | 1.51 | 1.53 | 1.52 | 1.50 | 1.65 | (c) | ||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 1.50 | (c) | 1.50 | 1.50 | 1.49 | 1.49 | 1.65 | (c) | ||||||||||||||||
Expenses, before expense reductions (%) | 1.60 | (c) | 1.64 | 1.73 | 3.56 | 722.79 | (d) | 22,219.77 | (c)(d) | |||||||||||||||
Portfolio turnover rate (%) | 42.87 | 82.37 | 98.00 | 115.37 | 108.50 | 102.91 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 333,430 | $ | 414,267 | $ | 90,167 | $ | 6,345 | $ | 16 | $ | — | (e) |
(a) | Effective date of this class of shares was July 1, 2003. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
(d) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
(e) | Net assets at the end of the year were less than $1,000. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
24 | Certified Semi-Annual Report |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Core Growth Fund |
Six Months Ended March 31, 2008* | Period Ended Sept. 30, 2007(a) | |||||||
Class R4 Shares: | ||||||||
PER SHARE PERFORMANCE | ||||||||
(for a share outstanding throughout the period)+ | ||||||||
Net asset value, beginning of period | $ | 20.73 | $ | 18.90 | ||||
Income from investment operations: | ||||||||
Net investment income (loss) | (0.02 | ) | (0.12 | ) | ||||
Net realized and unrealized gain (loss) on investments | (4.42 | ) | 1.95 | |||||
Total from investment operations | (4.44 | ) | 1.83 | |||||
Less dividends from: | ||||||||
Net realized gains | (0.01 | ) | — | |||||
Change in net asset value | (4.45 | ) | 1.83 | |||||
NET ASSET VALUE, end of period | $ | 16.28 | $ | 20.73 | ||||
RATIOS/SUPPLEMENTAL DATA | ||||||||
Total return (%)(b) | (21.42 | ) | 9.68 | |||||
Ratios to average net assets: | ||||||||
Net investment income (loss) (%) | (0.27 | )(c) | (0.93 | )(c) | ||||
Expenses, after expense reductions (%) | 1.34 | (c) | 1.41 | (c) | ||||
Expenses, after expense reductions and net of custody credits (%) | 1.34 | (c) | 1.40 | (c) | ||||
Expenses, before expense reductions (%) | 1.39 | (c) | 8.74 | (c)(d) | ||||
Portfolio turnover rate (%) | 42.87 | 82.37 | ||||||
Net assets at end of period (thousands) | $ | 19,264 | $ | 3,508 |
(a) | Effective date of this class of shares was February 1, 2007. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
(d) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report | 25 |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Core Growth Fund |
Six Months Ended March 31, 2008* | Year Ended Sept. 30, | |||||||||||
2007 | 2006(a) | |||||||||||
Class R5 Shares: | ||||||||||||
PER SHARE PERFORMANCE | ||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||
Net asset value, beginning of period | $ | 21.15 | $ | 16.65 | $ | 14.43 | ||||||
Income from investment operations: | ||||||||||||
Net investment income (loss) | 0.01 | (0.07 | ) | (0.06 | ) | |||||||
Net realized and unrealized gain (loss) on investments | (4.50 | ) | 4.57 | 2.51 | ||||||||
Total from investment operations | (4.49 | ) | 4.50 | 2.45 | ||||||||
Redemption fees added to paid in capital | — | — | 0.01 | |||||||||
Less dividends from: | ||||||||||||
Net realized gains | (0.01 | ) | — | (0.24 | ) | |||||||
Change in net asset value | (4.50 | ) | 4.50 | 2.22 | ||||||||
NET ASSET VALUE, end of period | $ | 16.65 | $ | 21.15 | $ | 16.65 | ||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||
Total return (%)(b) | (21.23 | ) | 27.03 | 17.29 | ||||||||
Ratios to average net assets: | ||||||||||||
Net investment income (loss) (%) | 0.15 | (c) | (0.37 | ) | (0.38 | ) | ||||||
Expenses, after expense reductions (%) | 0.95 | (c) | 0.95 | 1.01 | ||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.94 | (c) | 0.95 | 0.99 | ||||||||
Expenses, before expense reductions (%) | 0.96 | (c) | 0.97 | 176.54 | (d) | |||||||
Portfolio turnover rate (%) | 42.87 | 82.37 | 98.00 | |||||||||
Net assets at end of period (thousands) | $ | 293,210 | $ | 158,084 | $ | 45 |
(a) | Effective date of this class of shares was October 3, 2005. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
(d) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
26 | Certified Semi-Annual Report |
Table of Contents
Thornburg Core Growth Fund | March 31, 2008 (Unaudited) |
CUSIPS: CLASS A – 885-215-582, CLASS C – 885-215-574, CLASS I – 885-215-475, CLASS R3 – 885-215-517, CLASS R4 –885-215-251, CLASS R5 – 885-215-350
NASDAQ SYMBOLS: CLASS A – THCGX, CLASS C – TCGCX, CLASS I – THIGX, CLASS R3 – THCRX, CLASS R4 – TCGRX, CLASS R5 – THGRX
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/08
Software & Services | 25.2 | % | |
Pharmaceuticals, Biotechnology & Life Sciences | 16.3 | % | |
Telecommunication Services | 10.0 | % | |
Diversified Financials | 8.9 | % | |
Semiconductors & Semiconductor Equipment | 7.3 | % | |
Food, Beverage & Tobacco | 6.8 | % | |
Media | 4.7 | % | |
Household & Personal Products | 3.3 | % | |
Utilities | 3.3 | % | |
Retailing | 3.2 | % | |
Energy | 2.5 | % | |
Consumer Services | 2.4 | % | |
Technology, Hardware & Equipment | 2.1 | % | |
Capital Goods | 1.2 | % | |
Materials | 0.2 | % | |
Other Assets & Cash Equivalents | 2.6 | % |
SUMMARY OF COUNTRY EXPOSURE
As of 3/31/08 (percent of equity holdings)
United States of America | 79.8 | % | |
United Kingdom | 4.7 | % | |
Mexico | 4.6 | % | |
Denmark | 3.9 | % | |
Philippines | 3.4 | % | |
Brazil | 2.0 | % | |
China | 1.6 | % |
Certified Semi-Annual Report | 27 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
COMMON STOCK — 97.44% | |||||
CAPITAL GOODS — 1.18% | |||||
MACHINERY — 1.18% | |||||
Dynamic Materials Corp.(1) | 796,670 | $ | 34,416,144 | ||
34,416,144 | |||||
CONSUMER SERVICES — 2.44% | |||||
HOTELS, RESTAURANTS & LEISURE — 2.44% | |||||
Las Vegas Sands Corp.+ | 965,211 | 71,078,138 | |||
71,078,138 | |||||
DIVERSIFIED FINANCIALS — 8.90% | |||||
CAPITAL MARKETS — 2.01% | |||||
Affiliated Managers Group, Inc.+ | 646,689 | 58,680,560 | |||
DIVERSIFIED FINANCIAL SERVICES — 6.89% | |||||
BM&F Brazil | 6,110,400 | 55,716,875 | |||
CME Group, Inc. | 206,195 | 96,726,074 | |||
NYSE Euronext | 779,401 | 48,096,836 | |||
259,220,345 | |||||
ENERGY — 2.51% | |||||
OIL, GAS & CONSUMABLE FUELS — 2.51% | |||||
ATP Oil & Gas Corp.+(1) | 2,231,817 | 73,025,052 | |||
73,025,052 | |||||
FOOD, BEVERAGE & TOBACCO — 6.85% | |||||
BEVERAGES — 6.85% | |||||
Carlsberg A/S Class B | 862,200 | 110,252,954 | |||
Hansen Natural Corp.+ | 2,525,940 | 89,165,682 | |||
199,418,636 | |||||
HOUSEHOLD & PERSONAL PRODUCTS — 3.32% | |||||
PERSONAL PRODUCTS — 3.32% | |||||
Bare Escentuals, Inc.+ | 4,134,000 | 96,818,280 | |||
96,818,280 | |||||
MATERIALS — 0.19% | |||||
CHEMICALS — 0.19% | |||||
Ecolab, Inc. | 126,300 | 5,485,209 | |||
5,485,209 | |||||
MEDIA — 4.74% | |||||
MEDIA — 4.74% | |||||
Airmedia Group, Inc. ADR+ | 2,938,927 | 46,728,939 | |||
DIRECTV Group, Inc.+ | 3,691,421 | 91,510,327 | |||
138,239,266 | |||||
28 | Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 16.30% | |||||
BIOTECHNOLOGY — 14.59% | |||||
Alexion Pharmaceuticals, Inc.+ | 1,071,423 | $ | 63,535,384 | ||
Celgene Corp.+ | 1,279,134 | 78,398,123 | |||
Genentech, Inc.+ | 1,554,341 | 126,181,402 | |||
Gilead Sciences, Inc.+ | 3,044,300 | 156,872,779 | |||
LIFE SCIENCES TOOLS & SERVICES — 1.71% | |||||
Illumina, Inc.+ | 655,788 | 49,774,309 | |||
474,761,997 | |||||
RETAILING — 3.17% | |||||
INTERNET & CATALOG RETAIL — 1.14% | |||||
Priceline.com, Inc.+ | 275,536 | 33,301,281 | |||
SPECIALTY RETAIL — 2.03% | |||||
Guess?, Inc. | 1,456,898 | 58,960,662 | |||
92,261,943 | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 7.25% | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 7.25% | |||||
Intel Corp. | 3,916,600 | 82,953,588 | |||
MEMC Electronic Materials, Inc.+ | 967,657 | 68,606,881 | |||
ON Semiconductor Corp.+ | 10,503,498 | 59,659,869 | |||
211,220,338 | |||||
SOFTWARE & SERVICES — 25.18% | |||||
INTERNET SOFTWARE & SERVICES — 8.52% | |||||
Equinix, Inc.+ | 1,290,444 | 85,801,622 | |||
Google, Inc.+ | 202,950 | 89,393,386 | |||
Vistaprint Ltd.+ | 2,089,583 | 73,030,926 | |||
IT SERVICES — 6.11% | |||||
Visa, Inc.+ | 434,225 | 27,078,271 | |||
Western Union Co. | 7,090,328 | 150,811,277 | |||
SOFTWARE — 10.55% | |||||
Amdocs Ltd.+ | 4,661,752 | 132,207,287 | |||
Electronic Arts, Inc.+ | 1,929,942 | 96,342,704 | |||
Microsoft Corp. | 2,773,800 | 78,720,444 | |||
733,385,917 | |||||
TECHNOLOGY HARDWARE & EQUIPMENT — 2.06% | |||||
COMPUTERS & PERIPHERALS — 2.06% | |||||
Data Domain, Inc.+ | 2,527,932 | 60,164,782 | |||
60,164,782 | |||||
TELECOMMUNICATION SERVICES — 10.04% | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 5.56% | |||||
AT&T, Inc. | 3,008,700 | 115,233,210 | |||
Cbeyond, Inc.+(1) | 2,486,577 | 46,722,782 | |||
WIRELESS TELECOMMUNICATION SERVICES — 4.48% | |||||
América Móvil SAB de C.V. | 40,944,300 | 130,418,526 | |||
292,374,518 | |||||
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Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2008 (Unaudited) |
UTILITIES — 3.31% | ||||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 3.31% | ||||||
PNOC Energy Development Corp. | 682,358,530 | $ | 96,382,938 | |||
96,382,938 | ||||||
TOTAL COMMON STOCK (Cost $2,867,046,979) | 2,838,253,503 | |||||
SHORT TERM INVESTMENTS — 2.03% | ||||||
General Electric Capital Corp., 2.00% , 4/2/2008 | $ | 8,900,000 | 8,899,505 | |||
Toyota Credit de Puerto Rico, 2.10% , 4/1/2008 | 50,300,000 | 50,300,000 | ||||
TOTAL SHORT TERM INVESTMENTS (Cost $59,199,506) | 59,199,505 | |||||
TOTAL INVESTMENTS — 99.47% (Cost $2,926,246,485) | $ | 2,897,453,008 | ||||
OTHER ASSETS LESS LIABILITIES — 0.53% | 15,459,609 | |||||
NET ASSETS — 100.00% | $ | 2,912,912,617 | ||||
Footnote Legend
+ | Non-income producing |
(1) | Investment in Affiliates |
Holdings of voting securities of each portfolio company which is considered “affiliated” to the Fund under the Investment Company Act of 1940 because the Fund’s holding represented 5% or more of the company’s voting securities during the period, are shown below:
Issuer | Shares at Sept. 30, 2007 | Gross Additions | Gross Reductions | Shares at March 31, 2008 | Market Value March 31, 2008 | Dividend Income | ||||||||
ATP Oil & Gas Corp. | 1,817,631 | 414,186 | — | 2,231,817 | $ | 73,025,052 | $ | — | ||||||
Cbeyond, Inc. | — | 2,486,577 | — | 2,486,577 | 46,722,782 | — | ||||||||
Dynamic Materials Corp. | — | 796,670 | — | 796,670 | 34,416,144 | — | ||||||||
$ | 154,163,978 | $ | — | |||||||||||
Total non-controlled “affiliated companies” — 5.29% of net assets.
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR | American Depository Receipt |
See notes to financial statements.
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Table of Contents
Thornburg Core Growth Fund | March 31, 2008 (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 or all of a purchase of $1 million of Class A shares within 12 months of purchase;
(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;
(d) a 30-day redemption fee on Class A and Class I shares;
(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, 2007 and held until March 31, 2008.
Actual Expenses
For each class of shares, 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 for your class of shares 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
For each class of shares, 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
Beginning Account Value 9/30/07 | Ending Account Value 3/31/08 | Expenses Paid During Period† 9/30/07 – 3/31/08 | |||||||
Class A Shares | |||||||||
Actual | $ | 1,000.00 | $ | 786.20 | $ | 5.82 | |||
Hypothetical* | $ | 1,000.00 | $ | 1018.49 | $ | 6.57 | |||
Class C Shares | |||||||||
Actual | $ | 1,000.00 | $ | 783.30 | $ | 9.10 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,014.79 | $ | 10.28 | |||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 787.80 | $ | 3.99 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.53 | $ | 4.51 | |||
Class R3 Shares | |||||||||
Actual | $ | 1,000.00 | $ | 785.50 | $ | 6.70 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,017.50 | $ | 7.57 | |||
Class R4 Shares | |||||||||
Actual | $ | 1,000.00 | $ | 785.80 | $ | 6.00 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,018.28 | $ | 6.78 | |||
Class R5 Shares | |||||||||
Actual | $ | 1,000.00 | $ | 787.70 | $ | 4.22 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.28 | $ | 4.77 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.30%; C: 2.04%; I: 0.89%; R3: 1.50%; R4: 1.34% and R5: 0.94%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
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 for each class of shares 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 |
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Thornburg Core Growth Fund | March 31, 2008 (Unaudited) |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Core Growth Fund versus NASDAQ Composite and Russell 3000 Growth (December 27, 2000 to March 31, 2008)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2008 (with sales charge)
1 Yr | 5 Yrs | Since Inception | |||||||
A Shares (Incep: 12/27/00) | (16.81 | )% | 16.86 | % | 3.95 | % | |||
C Shares (Incep: 12/27/00) | (14.36 | )% | 17.01 | % | 3.75 | % | |||
I Shares (Incep:11/3/03) | (12.50 | )% | — | 10.60 | % | ||||
R3 Shares (Incep: 7/1/03) | (13.02 | )% | — | 12.20 | % | ||||
R4 Shares (Incep: 2/1/07) | (12.89 | )% | — | (13.81 | )% | ||||
R5 Shares (Incep: 10/3/05) | (12.50 | )% | — | 6.64 | % | ||||
Russell 3000 Growth Index (Since: 12/27/00) | (1.45 | )% | 10.26 | % | (1.19 | )% |
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 as well as applicable 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 I, R3, R4, and R5 shares. Class I, R3, R4, and R5 shares are available only to certain qualified investors. Class A and I shares are subject to a 1% 30-day redemption fee.
Effective February 1, 2008, the Fund changed the broad-based securities market index against which the Fund compares its performance from the NASDAQ Composite Index to the Russell 3000 Growth Index, which the investment advisor believes provides a more appropriate comparison to the Fund’s portfolio holdings. The Russell 3000 Growth Index is an unmanaged index comprised of those Russell 3000 companies with higher price-to-book ratios and higher forecasted growth values. The NASDAQ Composite Index is a market-value weighted, technology-oriented index comprised of over 3,000 domestic and non-U.S.-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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Thornburg Core Growth Fund | March 31, 2008 (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 web site at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s web site at www.sec.gov.
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 web site at www. thornburg.com, and (iii) on the Securities and Exchange Commission’s web site 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 web site at 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 web site at www. thornburg.com/download or upon request by calling 1-800-847-0200.
Certified Semi-Annual Report | 33 |
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Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
February 8, 2005, as readopted July 18, 2007
The Trustees are concerned that ongoing 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.
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 701/2, even if you are covered by an employer retirement plan. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
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.
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 Global Opportunities Fund |
• | Thornburg International Growth Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
This page is not part of the Semi-Annual Report. | 35 |
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Thornburg Equity Funds
Thornburg’s equity research uses a fundamental and comprehensive analytical approach. Thornburg equity funds focus on a limited number of securities so that each holding can impact 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.
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
• | Thornburg International Growth Fund |
Thornburg Bond Funds
The majority of Thornburg bond funds are laddered portfolios of 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 Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term Municipal Fund |
• | Thornburg New Mexico Intermediate Municipal Fund |
• | Thornburg New York Intermediate Municipal Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund* |
Carefully consider each fund’s investment objectives, risks, sales charges, and expenses; this information can be found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. There is no guarantee that any of these funds will meet their investment objectives.
For additional information, please visit www.thornburg.com
Thornburg Investment Management, 119 East Marcy Street, Santa Fe, NM 87501
* | This fund does not use the laddering strategy. |
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![]() | Waste not, Wait not | ![]() | ||||
This Semi-Annual Report is 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. |
Get instant access to your shareholder reports.
By switching from your postal mailbox to your email inbox, you reduce paper clutter, improve record keeping access, and help conserve our natural resources. | |||||
![]() | Investment Advisor: Thornburg Investment Management® 800.847.0200
Distributor: Thornburg Securities Corporation® 800.847.0200
TH180 | Go to www.thornburg.com/edelivery and sign up to receive your shareholder reports, prospectuses, and proxy statements electronically.
You invest in the future, without spending a dime. |
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Invest in our planet, while you invest with us
You are concerned about the future, so are we. That is why we encourage you to go paperless and cut down on the amount of paper being used for regulatory mailings. Go to www.thornburg.com/edelivery and sign up to receive your shareholder reports, prospectuses, and proxy statements electronically.
Thornburg Core Growth Fund
The Fund seeks long-term growth of capital by investing in equity securities selected for their growth potential.
The Fund expects to invest primarily in domestic equity securities (primarily common stocks) selected for their growth potential. However, the Fund may own a variety of securities, including foreign equity securities, partnership interests, and debt obligations. The Fund may also invest in developing countries.
2 This page is not part of the Semi-Annual Report.
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Important Information
The information presented on the following pages was current as of March 31, 2008. The managers’ views, portfolio holdings, and sector and country diversification are provided for the general information of the Fund’s shareholders; they are historical and subject to change. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments in the Fund carry risks including possible loss of principal. Investing outside the United States involves additional risks, such as currency fluctuations. Additionally, the Fund may invest a portion of the assets in small capitalization companies, which may increase the risk of greater price fluctuations. Funds invested in a limited number of holdings may expose an investor to greater volatility. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund. Investments 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. There is no guarantee that the Fund will meet its investment objectives.
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 over 3,000 domestic and non-U.S.-based securities.
Russell 3000 Growth Index – The Russell 3000 Growth Index (Russell 3K G) is an unmanaged index comprised of those Russell 3000 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.
This page is not part of the Semi-Annual Report. 3
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Thornburg Core Growth Fund
Continually Evaluating the Risk Equation
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. Class I shares are subject to a 1% 30-day redemption fee. The total annual fund operating expense of Class I shares is 0.98%, as disclosed in the most recent Prospectus.
PORTFOLIO MANAGER
Alexander M.V. Motola, CFA
KEY PORTFOLIO ATTRIBUTES
As of 3/31/08
Portfolio P/E Trailing 12-months* | 21.5x | ||
Portfolio Price to Cash Flow* | 14.2 | ||
Portfolio Price to Book Value* | 4.7 | ||
Median Market Cap* | $ | 7.6 B | |
7-Year Beta (A shares vs. Russell 3K G)* | 1.17 | ||
Holdings | 36 |
* | Source: FactSet |
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 may potentially 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 management team of Thornburg Core Growth Fund understands 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 the 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 many other growth funds rely on broad portfolio diversification to temper volatility, the Thornburg Core Growth Fund focuses 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. We believe that diversifying among three growth baskets further mitigates risk because each of these segments typically 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
AVERAGE ANNUAL TOTAL RETURNS* FOR PERIODS ENDED MARCH 31, 2008
6 Mos | 1 Yr | 3 Yrs | Since Inception | |||||||||
I Shares (Incep: 11/3/03) | (21.22 | )% | (12.50 | )% | 11.21 | % | 10.60 | % | ||||
Russell 3000 Growth | ||||||||||||
Index (since: 11/3/03) | (11.18 | )% | (1.45 | )% | 6.30 | % | 5.61 | % | ||||
* | Periods less than one year are not annualized. |
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company and its business. The team believes that an intimate understanding of the companies in the portfolio is one of the most effective forms of risk management.
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.
This team is positioned to demonstrate the strength of its grit over glamour strategy and will continue seeking steady, consistent performance for shareholders through a variety of market cycles.
STOCKS CONTRIBUTING AND DETRACTING
FOR SIX MONTHS ENDED 3/31/08
Top Contributors | Top Detractors | |
Gilead Sciences, Inc. | Las Vegas Sands Corp. | |
MEMC Electronic Materials, Inc. | WellPoint, Inc. | |
Genentech, Inc. | ON Semiconductor Corp. | |
Visa, Inc. | NeuStar, Inc. | |
Hologic, Inc. | ATP Oil & Gas Corp. | |
Source: FactSet |
MARKET CAPITALIZATION EXPOSURE
As of 3/31/08
TOP TEN HOLDINGS
As of 3/31/08
Gilead Sciences, Inc. | 5.4 | % | |
Western Union Co. | 5.2 | % | |
Amdocs Ltd. | 4.5 | % | |
América Móvil SAB de C.V. | 4.5 | % | |
Genentech, Inc. | 4.3 | % | |
AT&T, Inc. | 4.0 | % | |
Carlsberg A/S | 3.8 | % | |
Bare Escentuals, Inc. | 3.3 | % | |
CME Group, Inc. | 3.3 | % | |
PNOC Energy Development Corp. | 3.3 | % |
BASKET STRUCTURE
As of 3/31/08
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Awards
Thornburg Core Growth Fund
![]() | Four-Time Lipper Fund Award Winner | |
Multi-cap Growth Category | ||
2008 – Class A shares won for the 5-year period ended 12/31/07, among 332 funds | ||
2007 – Class I shares won for the 3-year period ended 12/31/06, among 371 funds and Class A shares won for the 5-year period, among 294 funds | ||
2006 – Class A shares won for the 3-year period ended 12/31/05, among 340 funds | ||
2004 – Class A shares won for the 3-year period ended 12/31/03, among 287 funds | ||
Lipper Fund Awards are granted annually to the fund in each Lipper classification that consistently delivered the strongest risk-adjusted performance over the period (calculated with dividends reinvested and without sales charges). Individual fund classification awards are given for three-year, five-year, and ten-year periods. The Fund did not receive the award for all eligible time periods in every year. | ||
Past performance does not guarantee future results. |
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Thornburg Core Growth Fund
I Shares – March 31, 2008
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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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Alexander M.V. Motola, CFA Portfolio Manager | April 7, 2008 | |
Dear Fellow Shareholder:
For the six months ended March 31, 2008, the Thornburg Core Growth Fund performed poorly in both relative and absolute terms. On March 31, 2008, the net asset value (NAV) for the Class I shares was $16.66. At the end of the last fiscal year (September 30, 2007), the Fund’s NAV was $21.16. The Fund’s Class I shares underperformed its benchmark with a total return of negative 21.22% compared to negative 11.18% for the Russell 3000 Growth Index. | ||
The ride over the last six months has certainly been rockier than we would have hoped. We continue to do the same things we’ve always done and believe that finding attractively valued growth stocks is a formula for long term success. Historically, our stock picking has been strong. Mutual fund analysts refer to this as “selection effect” (disaggregating the benefit/penalty of the sector/industry move and isolating the return solely from the stock). We usually have a strong selection across several sectors. Over the prior six months, this manifested itself in Health Care and Telecommunication Services within our portfolio. Selection effect was negative across a broader range of sectors, including Information Technology (ON Semiconductor, Trident), Consumer Discretionary (Las Vegas Sands, Tempur-Pedic), Energy (ATP Oil & Gas), and Financials (CB Richard Ellis, NYSE Euronext). | ||
Six months ago, I wrote “We subscribe to the belief that when running a focused portfolio of stocks, significant outperformance can come from a few names doing very well, assuming that downside performance is minimized.” We still subscribe to that idea, but the minimizing of downside performance has been the fly in our oint- ment. We have avoided high risk areas of the equity markets, such as homebuilders, investment banks and traditional spread-based financials, but we have missed with stock selections. Managing stock specific risk is an important aspect of our approach to growth investing.
While we do not know which stocks will be the biggest winners of 2008 or 2009, we do know what opportunity looks like, and we know our approach should lead us into interesting investments. Last year’s annual letter highlighted our difficulties with Health Care, even though the year ended September 30, 2007, was strong in terms of performance. So far this year, Health Care has been a strong contributor, with names like Gilead Sciences, Genentech, Cytec/Hologic and Illumina contributing to performance in a materially positive way. Information Technology has been a huge drag to performance over the past six months, in spite of our ability historically to provide strong returns in that sector. The biggest takeaway is simply that individual stock selection matters most to our performance, sector and geography are impor- tant but remain secondary considerations.
Opportunism is a word often used in a pejorative manner. It makes sense because the context is often politics and it usually relates to giving up (or compromising) |
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long held principles for an ephemeral benefit. We seek to be opportunistic, but not at the cost of our discipline. One of the benefits of our philosophy is its flexible nature. Due to this, once we’ve established that the opportunity created is material and concrete, we seek to act. The market environment over the past six months has not treated us well, but it has created opportunities. We are acting on these opportunities by purchasing new ideas into the portfolio, such as Priceline.com, Dynamic Materials, and Illumina. We have also been opportunistic in re-purchasing securities owned in the past, such as Electronic Arts and Affiliated Managers Group. We last owned Electronic Arts in 2003, but have always been attracted to its market position and high quality franchise. The stock is a classic Growth Industry Leader. Several times over the last five years, we have come close to purchasing the stock, but our discipline around valuation remained firm. For fundamentally oriented investors driven by valuation as well as growth, patience is a critical trait. Opportunity finally knocked in February, and we purchased a position.
I specifically highlighted Electronic Arts as a Growth Industry Leader. We use a variety of tools to manage the risks of our concentrated portfolio. We seek to manage risk through consciously diversifying our portfolio by capitalization range, by sector and within sectors, as well as by basket (Growth Industry Leaders, Consistent Growth Companies, and Emerging Growth Companies). We focus our research efforts on identifying stock specific risks by knowing the business model, understanding the accounting issues, assessing the competitive, regulatory and legal risks, and weighing the quality of earnings being generated. We feel we are managing our risks at the most basic and important level: the individual security level.
We intend to continue implementing our investment process in a disciplined, consistent manner. We continue to find what we believe to be attractive growth companies. Part of our past success can be attributed to the fact that our broad mandate allows us to search in parts of the market not open to managers more tightly constrained to specific style boxes. This flexible approach allows us to do what we love – researching companies and identifying opportunities is our passion. We encourage you to learn more about your portfolio. Descriptions of each holding and links to company web sites can be found by pointing your Internet browser to www.thornburg.com/funds. Thank you for investing in the Thornburg Core Growth Fund.
Sincerely, |
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Alexander M.V. Motola,CFA Managing Director 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, 2008 (Unaudited) |
ASSETS | ||||
Investments at value (Note 2) | ||||
Non-controlled affiliated issuers (cost $222,369,547) | $ | 154,163,978 | ||
Non-affiliated issuers (cost $2,703,876,938) | 2,743,289,030 | |||
Cash | 259,700 | |||
Receivable for investments sold | 32,983,245 | |||
Receivable for fund shares sold | 8,573,666 | |||
Unrealized gain on forward exchange contracts (Note 7) | 2,052,191 | |||
Dividends receivable | 313,641 | |||
Prepaid expenses and other assets | 112,333 | |||
Total Assets | 2,941,747,784 | |||
LIABILITIES | ||||
Payable for securities purchased | 19,861,080 | |||
Payable for fund shares redeemed | 5,444,903 | |||
Unrealized loss on forward exchange contracts (Note 7) | 397,089 | |||
Payable to investment advisor and other affiliates (Note 3) | 2,922,041 | |||
Accounts payable and accrued expenses | 210,054 | |||
Total liabilities | 28,835,167 | |||
NET ASSETS | $ | 2,912,912,617 | ||
NET ASSETS CONSIST OF: | ||||
Net investment loss | $ | (4,837,595 | ) | |
Net unrealized depreciation on investments | (27,134,251 | ) | ||
Accumulated net realized gain (loss) | (216,839,097 | ) | ||
Net capital paid in on shares of beneficial interest | 3,161,723,560 | |||
$ | 2,912,912,617 | |||
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STATEMENT OF ASSETS AND LIABILITIES, CONTINUED
Thornburg Core Growth Fund | March 31, 2008 (Unaudited) |
NET ASSET VALUE: | |||
Class A Shares: | |||
Net asset value and redemption price per share ($1,206,066,599 applicable to 74,092,797 shares of beneficial interest outstanding – Note 4) | $ | 16.28 | |
Maximum sales charge, 4.50% of offering price | 0.77 | ||
Maximum offering price per share | $ | 17.05 | |
Class C Shares: | |||
Net asset value and offering price per share * ($554,914,890 applicable to 36,232,034 shares of beneficial interest outstanding – Note 4) | $ | 15.32 | |
Class I Shares: | |||
Net asset value, offering and redemption price per share ($506,027,166 applicable to 30,374,627 shares of beneficial interest outstanding – Note 4) | $ | 16.66 | |
Class R3 Shares: | |||
Net asset value, offering and redemption price per share ($333,430,027 applicable to 20,471,791 shares of beneficial interest outstanding – Note 4) | $ | 16.29 | |
Class R4 Shares: | |||
Net asset value, offering and redemption price per share ($19,264,265 applicable to 1,183,298 shares of beneficial interest outstanding – Note 4) | $ | 16.28 | |
Class R5 Shares: | |||
Net asset value, offering and redemption price per share ($293,209,670 applicable to 17,615,158 shares of beneficial interest outstanding – Note 4) | $ | 16.65 | |
* | 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, 2008 (Unaudited) |
INVESTMENT INCOME: | ||||
Dividend income from non-affiliated issuers (net of foreign taxes withheld of $1,315,967) | $ | 15,245,526 | ||
Interest income | 3,222,293 | |||
Total Income | 18,467,819 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 12,539,686 | |||
Administration fees (Note 3) | ||||
Class A Shares | 897,909 | |||
Class C Shares | 404,170 | |||
Class I Shares | 152,192 | |||
Class R3 Shares | 247,127 | |||
Class R4 Shares | 8,724 | |||
Class R5 Shares | 60,909 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 1,796,608 | |||
Class C Shares | 3,235,747 | |||
Class R3 Shares | 987,213 | |||
Class R4 Shares | 19,205 | |||
Transfer agent fees | ||||
Class A Shares | 989,750 | |||
Class C Shares | 401,905 | |||
Class I Shares | 158,660 | |||
Class R3 Shares | 371,710 | |||
Class R4 Shares | 7,887 | |||
Class R5 Shares | 136,877 | |||
Registration and filing fees | ||||
Class A Shares | 32,823 | |||
Class C Shares | 20,759 | |||
Class I Shares | 19,550 | |||
Class R3 Shares | 9,307 | |||
Class R4 Shares | 6,090 | |||
Class R5 Shares | 13,080 | |||
Custodian fees (Note 3) | 245,785 | |||
Professional fees | 52,919 | |||
Accounting fees | 44,060 | |||
Trustee fees | 20,560 | |||
Other expenses | 234,539 | |||
Total Expenses | 23,115,751 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (223,532 | ) | ||
Fees paid indirectly (Note 3) | (5,915 | ) | ||
Net Expenses | 22,886,304 | |||
Net Investment Loss | $ | (4,418,485 | ) | |
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STATEMENT OF OPERATIONS, CONTINUED
Thornburg Core Growth Fund | Six Months Ended March 31, 2008 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments sold | $ | (208,206,760 | ) | |
Foreign currency transactions | (8,475,888 | ) | ||
(216,682,648 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (604,448,887 | ) | ||
Foreign currency translations | 3,722,760 | |||
(600,726,127 | ) | |||
Net Realized and Unrealized Loss | (817,408,775 | ) | ||
Net Decrease in Net Assets Resulting From operations | $ | (821,827,260 | ) | |
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Core Growth Fund
Six Months Ended March 31, 2008* | Year Ended September 30, 2007 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income (loss) | $ | (4,418,485 | ) | $ | (18,562,754 | ) | ||
Net realized gain (loss) on investments and foreign currency transactions | (216,682,648 | ) | 3,094,193 | |||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments and foreign currency translations | (600,726,127 | ) | 469,309,506 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (821,827,260 | ) | 453,840,945 | |||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From realized gains | ||||||||
Class A Shares | (868,506 | ) | — | |||||
Class C Shares | (412,872 | ) | — | |||||
Class I Shares | (352,383 | ) | — | |||||
Class R3 Shares | (247,109 | ) | — | |||||
Class R4 Shares | (4,219 | ) | — | |||||
Class R5 Shares | (106,648 | ) | — | |||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 87,576,832 | 752,891,071 | ||||||
Class C Shares | 49,754,060 | 390,687,789 | ||||||
Class I Shares | 11,895,705 | 362,304,238 | ||||||
Class R3 Shares | 15,250,593 | 274,389,436 | ||||||
Class R4 Shares | 19,666,976 | 3,331,607 | ||||||
Class R5 Shares | 200,313,343 | 146,669,595 | ||||||
Net Increase (Decrease) in Net Assets | (439,361,488 | ) | 2,384,114,681 | |||||
NET ASSETS: | ||||||||
Beginning of period | 3,352,274,105 | 968,159,424 | ||||||
End of period | $ | 2,912,912,617 | $ | 3,352,274,105 | ||||
* | Unaudited. |
See notes to financial statements.
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Thornburg Core Growth Fund | March 31, 2008 (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 thirteen 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 Intermediate Municipal Fund, Thornburg New Mexico 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 Investment Income Builder Fund, Thornburg Global Opportunities Fund, Thornburg International Growth Fund, and Thornburg Strategic Income Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing in equity securities selected for their growth potential.
The Fund currently offers six classes of shares of beneficial interest, Class A, Class C, Institutional Class (Class I), and Retirement Classes (Class R3, Class R4, and Class R5) 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, (iv) Class R3 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, (v) Class R4 shares are sold at net asset value without sales charge at the time of purchase, but bear a service 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 may have different reinvestment privileges and conversion rights. 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 Securities: Portfolio securities listed or traded on a national securities exchange are valued on the valuation date at the last reported sale price on the exchange that is the primary market for the security. Portfolio securities traded on an exchange for which there has been no sale that day and other equity securities traded in the over-the-counter market are valued at the mean between the last reported bid and asked prices. Portfolio securities reported by NASDAQ are valued at the NASDAQ official closing price. Any foreign security traded on exchanges outside the United States is valued at the price of the security on the exchange that is normally the security’s primary market, as of the close of that exchange preceding the time of the Fund’s valuation. Quotations for foreign securities in foreign currencies are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
Any debt securities held by the Fund have a primary market over the counter and are valued by an independent pricing service approved by the Trustees of the Trust. The pricing service ordinarily values debt securities at quoted bid prices. When quotations are not available, debt securities held by the Fund are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt securities of comparable quality, type of issue, coupon, maturity, and rating, indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
In any case where the market value of an equity security held by the Fund is not readily available, the Trust’s valuation and pricing committee determines a fair value for the security using factors approved by the Trustees. A security’s market value is deemed not readily available whenever the exchange or market on which the security is primarily traded is closed for the entire scheduled day of trading. Additionally, a security’s market value may be deemed not readily available under other circumstances identified by the Trustees, including when developments occurring after the most recent close of the security’s primary exchange or market, but before the most recent close of trading in Fund shares, create a serious question about the reliability of the security’s market value.
In any case where a pricing service fails to provide a price for a debt security held by the Fund, the valuation and pricing committee determines a fair value for the debt security using factors approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt security held by the Fund may be unreliable, the valuation and pricing committee decides whether or not to use the pricing service’s valuation or to determine a fair value for the debt security.
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
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Core Growth Fund | March 31, 2008 (Unaudited) |
writer of an option is exposed to the risk of loss if the market price of the underlying asset declines (in the case of a put option) or increases (in the case of a call option). The writer of an option can never profit by more than the premium paid by the buyer but can lose an unlimited amount. The writer also has the additional risk of not being able to enter into a closing transaction if a liquid secondary market does not exist.
Premiums received/paid from writing/purchasing options are recorded as liabilities/assets on the Statement of Assets and Liabilities, and are subsequently adjusted to current values. The difference between the current value of an option and the premium received/paid is treated as an unrealized gain or loss.
When a purchased option expires on its stipulated expiration date or when a closing transaction is entered into, the premium paid on the purchase of the option is treated by the Fund as a realized loss. When a written option expires on its stipulated expiration date or when a closing transaction is entered into, the related liability is extinguished and the Fund realizes a gain (loss if the cost of the closing transaction exceeds the premium received when the option was written).
Foreign Currency Translation: Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against the U.S. dollar on the date of valuation. Purchases and sales of securities and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the translation date. When the Fund purchases or sells foreign securities it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in net realized and unrealized gain or loss from investments.
Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books, and the U.S. dollar equivalent of the amounts actually received or paid.
Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.
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 Fund’s 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 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 liabilities 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.
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Core Growth Fund | March 31, 2008 (Unaudited) |
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 six months ended March 31, 2008, 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 Trust also has entered into administrative services agreements 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 six months ended March 31, 2008, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $201,348 for Class R3 shares, $3,178 for Class R4 shares, and $19,006 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 six months ended March 31, 2008, the Distributor has advised the Fund that it earned commissions aggregating $238,475 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $145,191 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 and distribution 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 R3 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C and Class R3 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 and Class R3 shares. Total fees incurred by the Distributor for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2008, 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 six months ended March 31, 2008, fees paid indirectly were $5,915. This figure may include additional fees waived by the custodian.
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, 2008, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Six Months Ended | Year Ended | |||||||||||||
March 31, 2008 (unaudited) | September 30, 2007 (audited) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 19,826,284 | $ | 383,046,301 | 54,188,818 | $ | 1,016,770,034 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 40,086 | 785,692 | — | — | ||||||||||
Shares repurchased | (16,711,016 | ) | (296,274,121 | ) | (13,920,905 | ) | (263,891,441 | ) | ||||||
Redemption fees received** | — | 18,960 | — | 12,478 | ||||||||||
Net Increase (Decrease) | 3,155,354 | $ | 87,576,832 | 40,267,913 | $ | 752,891,071 | ||||||||
Certified Semi-Annual Report 17
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Core Growth Fund | March 31, 2008 (Unaudited) |
Six Months Ended | Year Ended | |||||||||||||
March 31, 2008 (unaudited) | September 30, 2007 (audited) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class C Shares | ||||||||||||||
Shares sold | 6,733,327 | $ | 123,546,482 | 24,042,126 | $ | 428,699,736 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 16,338 | 302,087 | — | — | ||||||||||
Shares repurchased | (4,459,446 | ) | (74,103,049 | ) | (2,109,546 | ) | (38,017,920 | ) | ||||||
Redemption fees received** | — | 8,540 | — | 5,973 | ||||||||||
Net Increase (Decrease) | 2,290,219 | $ | 49,754,060 | 21,932,580 | $ | 390,687,789 | ||||||||
Class I Shares | ||||||||||||||
Shares sold | 9,346,109 | $ | 182,261,565 | 24,674,852 | $ | 471,936,086 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 14,035 | 281,125 | — | — | ||||||||||
Shares repurchased | (9,329,112 | ) | (170,654,956 | ) | (5,639,994 | ) | (109,638,046 | ) | ||||||
Redemption fees received** | — | 7,971 | — | 6,198 | ||||||||||
Net Increase (Decrease) | 31,032 | $ | 11,895,705 | 19,034,858 | $ | 362,304,238 | ||||||||
Class R3 Shares | ||||||||||||||
Shares sold | 7,820,753 | $ | 148,508,234 | 17,655,868 | $ | 335,551,232 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 12,192 | 239,334 | — | — | ||||||||||
Shares repurchased | (7,322,863 | ) | (133,502,136 | ) | (3,183,342 | ) | (61,165,475 | ) | ||||||
Redemption fees received** | — | 5,161 | — | 3,679 | ||||||||||
Net Increase (Decrease) | 510,082 | $ | 15,250,593 | 14,472,526 | $ | 274,389,436 | ||||||||
Class R4 Shares* | ||||||||||||||
Shares sold | 1,148,435 | $ | 22,087,009 | 172,095 | $ | 3,388,183 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 176 | 3,449 | — | — | ||||||||||
Shares repurchased | (134,517 | ) | (2,423,685 | ) | (2,891 | ) | (56,581 | ) | ||||||
Redemption fees received** | — | 203 | — | 5 | ||||||||||
Net Increase (Decrease) | 1,014,094 | $ | 19,666,976 | 169,204 | $ | 3,331,607 | ||||||||
Class R5 Shares | ||||||||||||||
Shares sold | 12,466,302 | $ | 242,645,251 | 8,452,082 | $ | 166,122,436 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 4,767 | 95,440 | — | — | ||||||||||
Shares repurchased | (2,329,740 | ) | (42,430,682 | ) | (980,958 | ) | (19,454,052 | ) | ||||||
Redemption fees received** | — | 3,334 | — | 1,211 | ||||||||||
Net Increase (Decrease) | 10,141,329 | $ | 200,313,343 | 7,471,124 | $ | 146,669,595 | ||||||||
* | Effective date of this class of shares was February 1, 2007. |
** | The Fund charges a redemption fee of 1% of the Class A and Class I shares redeemed or exchanged within 30 days of purchase. Redemption fees charged to any class are allocated to all classes upon receipt of payment based on relative net asset values of each class or other appropriate allocation methods. |
18 Certified Semi-Annual Report
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Core Growth Fund | March 31, 2008 (Unaudited) |
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2008, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $1,750,372,293 and $1,380,091,098, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2008, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 2,926,403,347 | ||
Gross unrealized appreciation on a tax basis | $ | 229,745,366 | ||
Gross unrealized depreciation on a tax basis | (258,695,705 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | (28,950,339 | ) | |
At March 31, 2008, the Fund has deferred tax basis currency losses occurring subsequent to October 31, 2006 of $419,110. For tax purposes, such losses will be reflected in the year ending September 30, 2008.
NOTE 7 – FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
During the six months ended March 31, 2008, 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. There are special risks associated with international investing, including currency fluctuations, economic and political instability, confiscation, inability or delays in selling foreign investments, and reduced legal protection for investments.
CONTRACTS TO SELL:
Contracts | Contract Value Date | Unrealized Gain (Loss) | |||
4,640,000,000 Philippine Peso for 112,348,668 USD | June 16, 2008 | $ | 2,052,191 | ||
Net unrealized gain (loss) from forward | $ | 2,052,191 | |||
CONTRACTS TO BUY:
Contracts | Contract Value Date | Unrealized Gain (Loss) | ||||
546,200,000 Philippine Peso for 13,380,696 USD | June 16, 2008 | $ | (397,089 | ) | ||
Net unrealized gain (loss) from forward | $ | (397,089 | ) | |||
Net unrealized gain (loss) from forward Exchange contracts: | $ | 1,655,102 | |||
Certified Semi-Annual Report 19
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Core Growth Fund | March 31, 2008 (Unaudited) |
OTHER NOTES:
FASB Interpretation No. 48:
On July 13, 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes–an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation prescribes a model for how a company, including the Fund, should recognize, measure, present and disclose in its financial statements uncertain tax positions that the company has taken or expects to take on income tax returns, and also revises certain disclosure requirements. The Interpretation became effective for the Fund for the financial statement reporting period ended March 31, 2008. As of the date of this report, management of the Fund has not identified any material effect on the Fund’s financial statements resulting from the implementation of FIN 48.
Statement of Accounting Standards No. 157:
On September 15, 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 defines fair value, provides guidelines for measuring fair value in accordance with generally accepted accounting principles, and addresses disclosures about fair value measurements. FAS 157 establishes a fair value hierarchy that distinguishes between (i) market participant assumptions developed based upon market data obtained from sources independent of the reporting entity (observable inputs) and (ii) the entity’s own assumptions about market participant assumptions developed based upon the best information available under the circumstances (unobservable inputs). FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and is to be applied prospectively as of the beginning of the first fiscal year for which FAS 157 is applied. Management is evaluating FAS 157, and is not in a position at this time to estimate the significance of its impact, if any, on the Fund’s financial statements.
Statement of Accounting Standards No. 161:
In March 2008, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”). FAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. FAS 161 requires enhanced disclosures about any derivative and hedging activities by the Fund, including how such activities are accounted for and any effect on the Fund’s financial position, performance and cash flows. Management is evaluating the impact, if any, that the adoption of FAS 161 will have on the Fund’s financial statements and related disclosures.
20 Certified Semi-Annual Report
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Thornburg Core Growth Fund
Six Months Ended March 31, 2008* | 2007 | Year Ended September 30, 2006 | 2005 | Period Ended September 30, 2004 (a) | ||||||||||||||||
Class I Shares: | ||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||
Net asset value, beginning of period | $ | 21.16 | $ | 16.66 | $ | 14.37 | $ | 10.93 | $ | 10.87 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss) | 0.02 | (0.08 | ) | (0.06 | ) | (0.07 | ) | (0.08 | ) | |||||||||||
Net realized and unrealized gain (loss) on investments | (4.51 | ) | 4.58 | 2.58 | 3.51 | 0.14 | ||||||||||||||
Total from investment operations | (4.49 | ) | 4.50 | 2.52 | 3.44 | 0.06 | ||||||||||||||
Redemption fees added to paid in capital | — | — | 0.01 | — | — | |||||||||||||||
Less dividends from: | ||||||||||||||||||||
Net realized gains | (0.01 | ) | — | (0.24 | ) | — | — | |||||||||||||
Change in net asset value | (4.50 | ) | 4.50 | 2.29 | 3.44 | 0.06 | ||||||||||||||
NET ASSET VALUE, end of period | $ | 16.66 | $ | 21.16 | $ | 16.66 | $ | 14.37 | $ | 10.93 | ||||||||||
RATIOS SUPPLEMENTAL DATA | ||||||||||||||||||||
Total Return (%)(b) | (21.22 | ) | 27.01 | 17.85 | 31.47 | 0.55 | ||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) (%) | 0.21 | (c) | (0.39 | ) | (0.40 | ) | (0.55 | ) | (0.74 | )(c) | ||||||||||
Expenses, after expense reductions (%) | 0.89 | (c) | 0.98 | 1.01 | 1.02 | 1.00 | (c) | |||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.89 | (c) | 0.97 | 0.99 | 0.99 | 0.99 | (c) | |||||||||||||
Expenses, before expense reductions (%) | 0.89 | (c) | 0.98 | 1.10 | 1.15 | 1.31 | (c) | |||||||||||||
Portfolio turnover rate (%) | 42.87 | 82.37 | 98.00 | 115.37 | 108.50 | |||||||||||||||
Net assets at end of period (thousands) | $ | 506,027 | $ | 642,143 | $ | 188,422 | $ | 49,975 | $ | 21,578 |
(a) | Effective date of this class of shares was November 1, 2003. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report 21
Table of Contents
Thornburg Core Growth Fund March 31, 2008 (Unaudited)
CUSIPS: CLASS A - 885-215-582, CLASS C - 885-215-574, CLASS I - 885-215-475, CLASS R3 - 885-215-517, CLASS R4 - 885-215-251, CLASS R5 - 885-215-350
NASDAQ SYMBOLS: CLASS A - THCGX, CLASS C - TCGCX, CLASS I - THIGX, CLASS R3 - THCRX, CLASS R4 - TCGRX, CLASS R5 - THGRX
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/08
Software & Services | 25.2 | % | |
Pharmaceuticals, Biotechnology & Life Sciences | 16.3 | % | |
Telecommunication Services | 10.0 | % | |
Diversified Financials | 8.9 | % | |
Semiconductors & Semiconductor Equipment | 7.3 | % | |
Food, Beverage & Tobacco | 6.8 | % | |
Media | 4.7 | % | |
Household & Personal Products | 3.3 | % | |
Utilities | 3.3 | % | |
Retailing | 3.2 | % | |
Energy | 2.5 | % | |
Consumer Services | 2.4 | % | |
Technology, Hardware & Equipment | 2.1 | % | |
Capital Goods | 1.2 | % | |
Materials | 0.2 | % | |
Other Assets & Cash Equivalents | 2.6 | % |
SUMMARY OF COUNTRY EXPOSURE
As of 3/31/08 (percent of equity holdings)
United States of America | 79.8 | % | |
United Kingdom | 4.7 | % | |
Mexico | 4.6 | % | |
Denmark | 3.9 | % | |
Philippines | 3.4 | % | |
Brazil | 2.0 | % | |
China | 1.6 | % |
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SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Core Growth Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
COMMON STOCK — 97.44% | |||||
CAPITAL GOODS — 1.18% | |||||
MACHINERY — 1.18% | |||||
Dynamic Materials Corp.(1) | 796,670 | $ | 34,416,144 | ||
34,416,144 | |||||
CONSUMER SERVICES — 2.44% | |||||
HOTELS, RESTAURANTS & LEISURE — 2.44% | |||||
Las Vegas Sands Corp.+ | 965,211 | 71,078,138 | |||
71,078,138 | |||||
DIVERSIFIED FINANCIALS — 8.90% | |||||
CAPITAL MARKETS — 2.01% | |||||
Affiliated Managers Group, Inc.+ | 646,689 | 58,680,560 | |||
DIVERSIFIED FINANCIAL SERVICES — 6.89% | |||||
BM&F Brazil | 6,110,400 | 55,716,875 | |||
CME Group, Inc. | 206,195 | 96,726,074 | |||
NYSE Euronext | 779,401 | 48,096,836 | |||
259,220,345 | |||||
ENERGY — 2.51% | |||||
OIL, GAS & CONSUMABLE FUELS — 2.51% | |||||
ATP Oil & Gas Corp.+(1) | 2,231,817 | 73,025,052 | |||
73,025,052 | |||||
FOOD, BEVERAGE & TOBACCO — 6.85% | |||||
BEVERAGES — 6.85% | |||||
Carlsberg A/S Class B | 862,200 | 110,252,954 | |||
Hansen Natural Corp.+ | 2,525,940 | 89,165,682 | |||
199,418,636 | |||||
HOUSEHOLD & PERSONAL PRODUCTS — 3.32% | |||||
PERSONAL PRODUCTS — 3.32% | |||||
Bare Escentuals, Inc.+ | 4,134,000 | 96,818,280 | |||
96,818,280 | |||||
MATERIALS — 0.19% | |||||
CHEMICALS — 0.19% | |||||
Ecolab, Inc. | 126,300 | 5,485,209 | |||
5,485,209 | |||||
MEDIA — 4.74% | |||||
MEDIA — 4.74% | |||||
Airmedia Group, Inc. ADR+ | 2,938,927 | 46,728,939 | |||
DIRECTV Group, Inc.+ | 3,691,421 | 91,510,327 | |||
138,239,266 | |||||
Certified Semi-Annual Report 23
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Core Growth Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 16.30% | |||||
BIOTECHNOLOGY — 14.59% | |||||
Alexion Pharmaceuticals, Inc.+ | 1,071,423 | $ | 63,535,384 | ||
Celgene Corp.+ | 1,279,134 | 78,398,123 | |||
Genentech, Inc.+ | 1,554,341 | 126,181,402 | |||
Gilead Sciences, Inc.+ | 3,044,300 | 156,872,779 | |||
LIFE SCIENCES TOOLS & SERVICES — 1.71% | |||||
Illumina, Inc.+ | 655,788 | 49,774,309 | |||
|
474,761,997 | ||||
RETAILING — 3.17% | |||||
INTERNET & CATALOG RETAIL — 1.14% | |||||
Priceline.com, Inc.+ | 275,536 | 33,301,281 | |||
SPECIALTY RETAIL — 2.03% | |||||
Guess?, Inc. | 1,456,898 | 58,960,662 | |||
92,261,943 | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 7.25% | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 7.25% | |||||
Intel Corp. | 3,916,600 | 82,953,588 | |||
MEMC Electronic Materials, Inc.+ | 967,657 | 68,606,881 | |||
ON Semiconductor Corp.+ | 10,503,498 | 59,659,869 | |||
211,220,338 | |||||
SOFTWARE & SERVICES — 25.18% | |||||
INTERNET SOFTWARE & SERVICES — 8.52% | |||||
Equinix, Inc.+ | 1,290,444 | 85,801,622 | |||
Google, Inc.+ | 202,950 | 89,393,386 | |||
Vistaprint Ltd.+ | 2,089,583 | 73,030,926 | |||
IT SERVICES — 6.11% | |||||
Visa, Inc.+ | 434,225 | 27,078,271 | |||
Western Union Co. | 7,090,328 | 150,811,277 | |||
SOFTWARE — 10.55% | |||||
Amdocs Ltd.+ | 4,661,752 | 132,207,287 | |||
Electronic Arts, Inc.+ | 1,929,942 | 96,342,704 | |||
Microsoft Corp. | 2,773,800 | 78,720,444 | |||
733,385,917 | |||||
TECHNOLOGY HARDWARE & EQUIPMENT — 2.06% | |||||
COMPUTERS & PERIPHERALS — 2.06% | |||||
Data Domain, Inc.+ | 2,527,932 | 60,164,782 | |||
60,164,782 | |||||
TELECOMMUNICATION SERVICES — 10.04% | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 5.56% | |||||
AT&T, Inc. | 3,008,700 | 115,233,210 | |||
Cbeyond, Inc.+(1) | 2,486,577 | 46,722,782 | |||
WIRELESS TELECOMMUNICATION SERVICES — 4.48% | |||||
América Móvil SAB de C.V. | 40,944,300 | 130,418,526 | |||
292,374,518 | |||||
24 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Core Growth Fund | March 31, 2008 (Unaudited) |
UTILITIES — 3.31% | ||||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 3.31% | ||||||
PNOC Energy Development Corp. | 682,358,530 | $ | 96,382,938 | |||
96,382,938 | ||||||
TOTAL COMMON STOCK (COST $2,867,046,979) | 2,838,253,503 | |||||
SHORT TERM INVESTMENTS — 2.03% | ||||||
General Electric Capital Corp., 2.00%, 4/2/2008 | $ | 8,900,000 | 8,899,505 | |||
Toyota Credit de Puerto Rico, 2.10%, 4/1/2008 | 50,300,000 | 50,300,000 | ||||
TOTAL SHORT TERM INVESTMENTS (COST $59,199,506) | 59,199,505 | |||||
TOTAL INVESTMENTS — 99.47% (Cost $2,926,246,485) | $ | 2,897,453,008 | ||||
OTHER ASSETS LESS LIABILITIES — 0.53% | 15,459,609 | |||||
NET ASSETS — 100.00% | $ | 2,912,912,617 | ||||
Footnote legend
+ | Non-income producing |
(1) | Investment in Affiliates |
Holdings of voting securities of each portfolio company which is considered “affiliated” to the Fund under the Investment Company Act of 1940 because the Fund’s holding represented 5% or more of the company’s voting securities during the period, are shown below:
Issuer | Shares at Sept. 30, 2007 | Gross Additions | Gross Reductions | Shares at March 31, 2008 | Market Value March 31, 2008 | Dividend Income | ||||||||
ATP Oil & Gas Corp. | 1,817,631 | 414,186 | — | 2,231,817 | $ | 73,025,052 | $ | — | ||||||
Cbeyond, Inc. | — | 2,486,577 | — | 2,486,577 | 46,722,782 | — | ||||||||
Dynamic Materials Corp. | — | 796,670 | — | 796,670 | 34,416,144 | — | ||||||||
$ | 154,163,978 | $ | — | |||||||||||
Total non-controlled “affiliated companies” — 5.29% of net assets.
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR | American Depository Receipt |
See notes to financial statements.
Certified Semi-Annual Report 25
Table of Contents
Thornburg Core Growth Fund | March 31, 2008 (Unaudited) |
As a shareholder of the Fund, you incur two types of costs:
(1) | transaction costs, including a 30-day redemption fee on Class I shares; |
(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, 2007 and held until March 31, 2008.
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 9/30/07 | Ending Account Value 3/31/08 | Expenses Paid During Period† 9/30/07–3/31/08 | |||||||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 787.80 | $ | 3.99 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.53 | $ | 4.51 |
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.
† | Expenses are equal to the annualized expense ratio for Class I shares (0.89%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
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Thornburg Core Growth Fund | March 31, 2008 (Unaudited) |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Core Growth Fund versus NASDAQ Composite and Russell 3000 Growth (November 3, 2003 to March 31, 2008)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2008
1 Yr | Since Inception | |||||
I Shares (Incep: 11/3/03) | (12.50 | )% | 10.60 | % | ||
Russell 3000 Growth Index (Since: 11/3/03) | (1.45 | )% | 5.61 | % |
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. Class I shares are subject to a 1% 30-day redemption fee.
Effective February 1, 2008, the Fund changed the broad-based securities market index against which the Fund compares its performance from the NASDAQ Composite Index to the Russell 3000 Growth Index, which the investment advisor believes provides a more appropriate comparison to the Fund’s portfolio holdings. The Russell 3000 Growth Index is an unmanaged index comprised of those Russell 3000 companies with higher price-to-book ratios and higher forecasted growth values. The NASDAQ Composite Index is a market-value weighted, technology-oriented index comprised of over 3,000 domestic and non-U.S.-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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Thornburg Core Growth Fund | March 31, 2008 (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 web site at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s web site at www.sec.gov.
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 web site at www. thornburg.com, and (iii) on the Securities and Exchange Commission’s web site 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 web site at 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 web site at www. thornburg.com/download or upon request by calling 1-800-847-0200.
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Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
February 8, 2005, as readopted July 18, 2007
The Trustees are concerned that ongoing 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.
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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. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
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.
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 Global Opportunities Fund |
• | Thornburg International Growth Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
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Thornburg Equity Funds
Thornburg’s equity research uses a fundamental and comprehensive analytical approach. Thornburg equity funds focus on a limited number of securities so that each holding can impact 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.
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
• | Thornburg International Growth Fund |
Thornburg Bond Funds
The majority of Thornburg bond funds are laddered portfolios of 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 Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term Municipal Fund |
• | Thornburg New Mexico Intermediate Municipal Fund |
• | Thornburg New York Intermediate Municipal Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund* |
Carefully consider each fund’s investment objectives, risks, sales charges, and expenses; this information can be found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. There is no guarantee that any of these funds will meet their investment objectives.
For additional information, please visit www.thornburg.com
Thornburg Investment Management, 119 East Marcy Street, Santa Fe, NM 87501
* | This fund does not use the laddering strategy. |
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This Semi-Annual Report is 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.
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![]() | Investment Advisor: Thornburg Investment Management® 800.847.0200 | Distributor: Thornburg Securities Corporation® 800.847.0200 |
TH1074
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Invest in our planet, while you invest with us
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Thornburg Investment Income Builder Fund
Current Stream of Income Plus Potential for Growth
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 may invest in any domestic or foreign equity or debt security which Thornburg Investment Management believes may assist the Fund in pursuing its investment goals, although the Fund expects that equity securities in its portfolio will normally be weighted in favor of companies that pay dividends or other current income.
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Important Information
The information presented on the following pages was current as of March 31, 2008. The managers’ views, portfolio holdings, and sector and country diversification are provided for the general information of the Fund’s shareholders; they are historical and subject to change. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments in the Fund carry risks including possible loss of principal. Investing outside the United States involves additional risks, such as currency fluctuations. Additionally, the Fund may invest 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 principal value of bond funds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund. Investments 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. There is no guarantee that the Fund will meet its investment objectives.
Performance data given at net asset value (NAV) does not take into account the applicable sales charges. If the sales charges had been included, the performance would have been lower.
Glossary
Blended Index – The blended index is comprised of 25% Lehman Brothers Aggregate Bond Index and 75% MSCI World 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 bonds included in the index. The Morgan Stanley Capital International (MSCI) World Index is an unmanaged market-weighted index that consists of equity securities traded in 23 of the world’s most developed countries. The index is calculated with net dividends reinvested, in U.S. dollars.
MSCI All Country Asia ex-Japan Index – A free float-adjusted market capitalization index that is designed to measure equity market performance in Asia. As of March 2008, the MSCI All Country Asia ex-Japan Index consisted of the following 11 developed and emerging market country indices: China, Hong Kong, India, Indonesia, Korea, Malaysia, Pakistan, Philippines, Singapore Free, Taiwan, and Thailand.
MSCI Country Indices (Australia, U.K. and Japan) – Free float-adjusted market capitalization indices that are designed to measure equity market performance in that specific country.
MSCI Europe ex-U.K. Index – A free float-adjusted market capitalization index that is designed to measure developed market equity performance in Europe. As of June 2007, the MSCI Europe Index consisted of the following 15 developed market country indices: Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, the Netherlands, Norway, Portugal, Spain, Sweden, and Switzerland.
MSCI EM (Emerging Markets) Latin America Index – A free float-adjusted market capitalization index that is designed to measure equity market performance in Latin America. As of June 2007, the MSCI EM Latin America Index consisted of the following emerging market country indices: Argentina, Brazil, Chile, Colombia, Mexico, and Peru.
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.
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.
Fed Funds Rate – The Fed Funds Rate is the interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.
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 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. U.S. Treasury Securities – U.S. Treasury securities, such as bills, notes and bonds, are negotiable debt obligations of the U.S. government. These debt obligations are backed by the “full faith and credit” of the government and issued at various schedules and maturities. Income from Treasury securities is exempt from state and local, but not federal income taxes.
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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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
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
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 sub-sequent earnings-per-share growth of dividend-paying firms actually exceeds that of non-payers.
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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.
Hypothetical chart is for illustration purposes only and is not indicative of an investment in any particular security. Investors may not invest directly in an index.
A Truly Diversified Dividend-Paying Portfolio Must Look Beyond the Obvious High Yield Stocks!
The Top 100 Dividend Yields
Russell 1000 Index | Russell 2000 Index | |||||
Total Financials | 48 | % | 60 | % | ||
REITs | 22 | % | 41 | % | ||
Banks & Other | 26 | % | 19 | % | ||
Utilities | 24 | % | 0 | % | ||
Consumer Staples | 9 | % | 7 | % | ||
Consumer Cyclicals | 5 | % | 9 | % | ||
Communications | 5 | % | 15 | % | ||
Materials | 5 | % | 1 | % | ||
Industrials | 2 | % | 7 | % | ||
Energy | 2 | % | 0 | % | ||
Technology | 0 | % | 1 | % | ||
Health Care | 0 | % | 0 | % |
Source: Factset, as of December 2007; (Numbers may not add to 100% due to rounding.)
In the (large cap) Russell 1000 Index, 48% of the top 100 dividend payers are in the Financials sector. In the (small cap) Russell 2000 Index, 60% of the top 100 dividend-yielding stocks are financial companies. In order to construct a diversified portfolio of attractive yielding stocks, one must look beyond this sector. We do!
Dividend yield is a ratio that shows how much a company pays out in dividends each year relative to its share price.
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The Dividend Landscape
Continued
Global Diversification Can Improve the Portfolio Yield
Since firms outside the U.S. tend to pay higher dividends than U.S. firms, particularly outside the real estate and utility sectors, we diversify the Thornburg Investment Income Builder Fund into foreign dividend-paying stocks to try to take advantage of these opportunities.
Award
Thornburg Investment Income Builder Fund
The Fund (Class I shares) won the 2008 Lipper Fund Award in the Mixed Asset Target Allocation Growth category for the three-years ended 12/31/07, among 510 funds.
Lipper Fund Awards are granted annually to the fund in each Lipper classification that consistently delivered the strongest risk-adjusted performance over the period (calculated with dividends reinvested and without sales charges). Individual fund classification awards are given for three-year, five-year, and ten-year periods. The Fund did not receive the award for all eligible time periods.
Past performance does not guarantee future results.
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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, an 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%. Class A shares are subject to a 1% 30-day redemption fee. The total annual fund operating expense of Class A shares is 1.30%, as disclosed in the most recent Prospectus.
MANAGEMENT TEAM
Left to right: Jason Brady, CFA, Brian McMahon, Brad Kinkelaar
PORTFOLIO COMPOSITION
As of 3/31/08
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.
QUARTERLY DIVIDEND HISTORY
Q1 | Q2 | Q3 | Q4 | Total | |||||||||||
Class A Shares | |||||||||||||||
2008 | 17.9 | ¢ | N/A | N/A | N/A | N/A | |||||||||
2007 | 14.2 | ¢ | 18.5 | ¢ | 21.5 | ¢ | 36.8 | ¢ | 91.0 | ¢ | |||||
2006 | 12.5 | ¢ | 16.0 | ¢ | 19.2 | ¢ | 33.0 | ¢ | 80.7 | ¢ | |||||
2005 | 11.0 | ¢ | 13.6 | ¢ | 17.4 | ¢ | 29.0 | ¢ | 71.0 | ¢ | |||||
Class C Shares | |||||||||||||||
2008 | 14.5 | ¢ | N/A | N/A | N/A | N/A | |||||||||
2007 | 11.2 | ¢ | 15.1 | ¢ | 18.1 | ¢ | 33.0 | ¢ | 77.4 | ¢ | |||||
2006 | 10.2 | ¢ | 13.5 | ¢ | 16.5 | ¢ | 30.2 | ¢ | 70.4 | ¢ | |||||
2005 | 9.1 | ¢ | 11.7 | ¢ | 15.6 | ¢ | 26.8 | ¢ | 63.2 | ¢ |
30-day SEC Yield as of March 31, 2008 (A Shares): 4.51%
KEY PORTFOLIO ATTRIBUTES
Equity Statistics | ||||
Portfolio P/E (12-mo. trailing) | 11.9x | |||
Median Market Cap | $ | 16.2 B | ||
Common Equity Holdings | 61 | |||
Fixed Income Statistics | ||||
Weighted Average Coupon | 6.2 | % | ||
Average Credit Quality | A– | |||
Average Maturity | 6.6 yrs | |||
Duration | 3.0 yrs | |||
Bond & Pref. Equity Holdings | 90 |
TOP TEN EQUITY HOLDINGS
Telefónica SA | 3.7 | % | |
Eni SpA | 2.7 | % | |
Energy East Corp. | 2.6 | % | |
Eli Lilly & Co. | 2.4 | % | |
América Móvil SAB de C.V. | 2.4 | % | |
OPAP SA | 2.3 | % | |
Enel SpA | 2.2 | % | |
Persimmon plc | 2.1 | % | |
Intel Corp. | 2.1 | % | |
McDonald’s Corp. | 2.1 | % |
AVERAGE ANNUAL TOTAL RETURNS*
For periods ending March 31, 2008
6 Mos | 1 Yr | 3 Yrs | 5 Yrs | Since Inception | |||||||||||
A Shares (Incep: 12/24/02) | |||||||||||||||
Without Sales Charge | (8.01 | )% | 4.29 | % | 12.95 | % | 17.83 | % | 16.66 | % | |||||
With Sales Charge | (12.15 | )% | (0.41 | )% | 11.23 | % | 16.75 | % | 15.64 | % | |||||
Blended Index** (Since: 12/24/02) | (7.27 | )% | (0.45 | )% | 8.70 | % | 13.13 | % | 11.61 | % | |||||
S&P 500 Index (Since: 12/24/02) | (12.46 | )% | (5.08 | )% | 5.85 | % | 11.32 | % | 9.77 | % | |||||
* | Periods less than one year are not annualized. |
** | Blended Index: 75% MSCI World Equity Index/25% Lehman Brothers Aggregate Bond Index |
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Portfolio Overview
Continued
The primary 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 generally grow, subject to periodic fluctuations, over the years on a per share basis. This objective remains constant over time. However, the specific investments we have used to try to reach our objective have changed over time. 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 3/31/08
Telecommunication Services | 17.7 | % | |
Banks | 11.0 | % | |
Food, Beverage & Tobacco | 8.8 | % | |
Energy | 8.7 | % | |
Utilities | 8.1 | % | |
Diversified Financials | 7.7 | % | |
Consumer Services | 5.7 | % | |
Insurance | 5.2 | % | |
Materials | 4.9 | % | |
Semiconductors & Semi Equipment | 3.6 | % |
TOP TEN INDUSTRIES
As of 9/30/07
Telecommunication Services | 14.8 | % | |
Utilities | 12.8 | % | |
Diversified Financials | 11.2 | % | |
Energy | 10.9 | % | |
Banks | 10.2 | % | |
Food, Beverage & Tobacco | 8.4 | % | |
Consumer Services | 5.0 | % | |
Semiconductors & Semi Equipment | 4.4 | % | |
Transportation | 4.1 | % | |
Materials | 3.7 | % |
TOP TEN INDUSTRIES
As of 12/31/07
Telecommunication Services | 15.1 | % | |
Utilities | 10.8 | % | |
Energy | 10.3 | % | |
Banks | 10.1 | % | |
Food, Beverage & Tobacco | 9.0 | % | |
Diversified Financials | 8.7 | % | |
Consumer Services | 6.4 | % | |
Semiconductors & Semi Equipment | 3.9 | % | |
Materials | 3.9 | % | |
Transportation | 2.9 | % |
TOP TEN INDUSTRIES
As of 6/30/07
Banks | 12.5 | % | |
Telecommunication Services | 12.3 | % | |
Energy | 10.9 | % | |
Diversified Financials | 9.5 | % | |
Utilities | 8.4 | % | |
Food, Beverage & Tobacco | 6.2 | % | |
Semiconductors & Semi Equipment | 5.1 | % | |
Transportation | 4.5 | % | |
Consumer Services | 4.2 | % | |
Materials | 3.0 | % |
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March 31, 2008
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
Certified Semi-Annual Report 9
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April 18, 2008
Dear Fellow Shareholder:
This letter will be somewhat longer than others we have written for shareholder reports of Thornburg Investment Income Builder Fund. In addition to covering the basic results of your Fund’s investment activities for the period under review, we believe it is appropriate to comment more extensively on the overall investment landscape, which has changed in important ways in recent months.
Thornburg Investment Income Builder Fund paid ordinary quarterly dividends of 54.7¢ per Class A share in the six-month period ended March 31, 2008, up 15.9% from 47.2¢ in the comparable six-month period of the prior fiscal year. The dividend per share was higher for Class I shares and lower for Class C shares, to account for varying class specific expenses.
The median percentage increase of the most recent dividend paid by your portfolio firms was around 13% over the year-earlier level. Across the portfolio, these year-over-year dividend increases were the primary force powering your Fund’s dividend development. In addition, better yields on corporate and mortgage-backed bonds helped your Fund’s income production from the interest bearing portion of the portfolio. Your Fund’s net asset value for Class A shares decreased by $2.82 per share, though a portion of this reflects payment of 46.6¢ per share in capital gains dividends during the six-month period under review. As of March 31, 2008, the net asset values per share of Class A and C shares were $20.53 and $20.54, respectively. For the six-month period ended March 31, 2008, Class A shares of Thornburg Investment Income Builder Fund produced a total negative return of 8.01% (at NAV), compared to negative 7.27% for the blended benchmark of 75% MSCI AC World Index and 25% Lehman Aggregate Bond Index and negative 12.46% for the S&P 500 Index.
During this period, 30 of your portfolio stocks delivered positive returns, while 49 showed negative returns. In general, the magnitude of the negative returns exceeded those of the positive returns. You might not expect this type of outcome from a portfolio of businesses that is capable of generating a median dividend increase of 13%, on top of what were already well-above-average dividend yields. Recent months have been marked by very unusual market conditions around the globe.
Your portfolio’s top performers included: Universal Corporation of Virginia, a wholesale tobacco leaf processor; Swiss Reinsurance, an insurance company which increased its dividend by 17%; Canadian Oil Sands Trust, the Alberta based oil producer which rode increasing oil prices to a 150% dividend increase; Hannover Reinsurance, a German insurance firm that increased its dividend by 43%; Dominion Resources, the Virginia based electric utility which upped its dividend by 11%; Telefónica, a Spanish-based telecommunication services firm which increased its dividend by 33%; Impala Platinum Holdings, the South African miner that increased its dividend by 9%; Coca Cola, which increased its dividend by 12%; Quadra Realty, which did an initial public offering in February 2007 and was acquired by its German parent in March 2008; and Brasil Telecom, the Brazilian telephone services firm.
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Your Fund’s worst performers included both familiar and less known names: Reddy Ice Holdings, Hong Kong Exchanges & Clearing, Intel, FU JI Food and Catering Services, KKR Financial Holdings, Paychex, Barclays plc, Henderson Group, Macquarie Airports, and Shenzhen-Chiwan Wharf Holdings. Each of these has its own story. We continue to hold most of these as of this report date. The Chinese listed firms (Hong Kong Exchanges and Clearing, FU JI Food, Chiwan Wharf) have generally positive business results, but equity prices in China have tumbled by more than 40% in recent months. Reddy Ice, now under $15 per share, was subject to a failed takeover attempt by private equity buyers at $31.50 per share, followed by the announcement of an anti-trust investigation of the packaged ice industry in the United States. The financial firms (KKR, Barclays, and Henderson) are subject to investor anxiety about financials and values of financial assets.
Bond and preferred stock yields are significantly improved from their lows of earlier years. While quoted market prices of many of your portfolio’s bonds declined during the period, income from the bonds offset most of the price declines. At March 31, 2008, domestic stocks, including preferred stocks, comprise around 33% of your portfolio; foreign stocks around 51%; and interest bearing investments 16%. If present conditions persist, we expect to increase the interest bearing investment category weighting in the coming months.
It is understandable that any investor, or investment advisor, might be puzzled at recent financial market volatility. U.S. Treasury bond yields have declined significantly. Yields on most other bonds, including municipal bonds and mortgage related bonds, have increased. Most equity indices around the world have declined significantly during 2008, and even more so since their highs in October of 2007. Prices of most industrial and agricultural commodities have increased significantly this year, while the value of the U.S. dollar has declined against most other global currencies.
There is much mention of “de-leveraging” as a significant factor in falling prices of financial assets. How much leverage must be unwound? There is no simple answer to this, but it is instructive to note how much leverage was built up in recent years. The U.S. Securities & Exchange Commission publishes a composite balance sheet for all U.S. registered broker dealers, which shows the following dynamic over the four-year period from December 31, 2002 to December 31, 2006:
Category | $ billions | $ billions 12/31/2006 | $ billions Change | % | |||||||||
Total Assets | $ | 3,114 | $ | 5,908 | +$2,794 | +90 | % | ||||||
Total Liabilities | $ | 2,990 | $ | 5,743 | +$2,753 | +92 | % | ||||||
Total Equity Capital | $ | 124.5 | $ | 165.4 | +$40.9 | +33 | % | ||||||
Equity Capital/Total Assets | 4.0 | % | 2.8 | % | 1.46% on increase | ||||||||
Number of Firms | 5,394 | 5,077 |
(Source: U.S. Securities & Exchange Commission, FOCUS Reports)
It is striking to note from the figures above that a slightly shrinking population of more than 5,000 U.S. broker dealer firms increased assets (mostly receivables from other broker dealers, long positions in securities,
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Letter to Shareholders
Continued
and securities purchased under agreements to resell) by approximately $2.8 trillion over the four-year period shown, and supported these additional assets with only 1.46% ($40.9 billion) of new equity capital. That’s a great deal of leverage. U.S. banks also generally increased leverage by more than 10% per year in the first eight years of this decade. U.S. businesses, especially public companies, generally improved their balance sheets in recent years. U.S. households, in aggregate, borrowed more – often using their houses as collateral – to accumulate total debt of $13.6 trillion as of September 30, 2007, up from $7.2 trillion at the beginning of 2001.
Now, the extreme leverage of broker dealers, banks, and households is unwinding. Holders of U.S. household debt will write off significant portions of the existing pool, and availability of additional household debt will slow to a trickle. Most of the assets being sold down by broker dealers are debt assets, just as most of the last $2.8 trillion of assets purchased with 1.46% equity and 98.54% borrowed money over the last few years were debt assets. Thornburg Investment Income Builder Fund has NOT employed financial leverage in order to transform a generally lousy looking menu of available debt yields in recent years into something that would attract investment attention. Perhaps you have not either. But a long list of financial players – closed-end mutual funds, hedge funds and “alternative” asset managers of varying descriptions – have employed (formerly) low cost and readily available borrowings to transform unremarkable yielding debt assets into respectable returns on equity. That game is finished for the foreseeable future.
For investors with real money to invest, the great debt unwind in progress is presenting an attractive buffet of higher yields and lower prices on virtually all financial assets, except U.S. Treasury securities and the highest quality plain vanilla money market instruments. This can be unnerving for investors who carefully watch daily price fluctuations and are comforted more by rising prices than by rising yields. We believe today’s combination of lower prices and higher yields presents a great opportunity for unleveraged, traditional saver-investors. Traditional unleveraged investors have become accustomed to being displaced by various Wall Street operatives who confuse leverage with brains. Now, it’s time for those who can recognize the opportunities at hand to earn attractive returns without leverage.
Against this backdrop, stock prices of many of the dividend paying firms owned by Thornburg Investment Income Builder Fund have declined. We are not blind to this, but we are not discouraged. The weighted average price/earnings multiple of these firms, based upon expected 2008 earnings, is between 12 and 13. We are hopeful that a combination of mid-single digit expected 2008 average EPS growth and reasonable dividend payout ratios will leave room for further dividend increases in 2008.
In recent years, the dividend increases paid by the Fund have been powered almost entirely by dividend increases from our equity holdings. In 2008 to date, these stock dividend increases are being augmented by some very interesting yields from new bond purchases now that the leveraged players referred to earlier are turning from buyers into hasty sellers.
Throughout the lifetimes of most readers of these words, the percentage of U.S. GDP tied to residential housing construction has varied between 3% and 7%, with recent years setting records at the high end of this range. It is probable that the U.S. economy will forfeit 2% to 4% of GDP tied to housing during 2008 and 2009. There is plenty of other work to do. It will be painful and challenging for workers, businesses, government,
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and capital markets to reprogram economic activity away from housing and into infrastructure improvement, updated energy production/consumption platforms, health care improvements, and other pursuits. This must happen. Most of the world has been paying attention to these more productive pursuits already, and global economic growth has been strong.
Since last summer, an overwhelming majority of new investor dollars invested in mutual funds have flowed into money market funds – more than $700 billion. We believe that yields on taxable and tax exempt money funds will drop below 2% and 1.5%, respectively, in the coming months. Following this, a very large pool of investor dollars will be looking for better returns elsewhere, but in sensible investment programs. There can be a shortage of immediate reinforcement to contrarian investors who channel funds away from the crowd, but it usually pays to think ahead and beat the rush.
Thank you for being a shareholder of the Thornburg Investment Income Builder Fund. Short-term stock price fluctuations notwithstanding, we are generally encouraged by the progress, and the dividend paying capacities, of the businesses owned in your portfolio. Remember that you can review descriptions of many of the stocks in your portfolio at your leisure by going to our internet site, www.thornburg.com/funds. Best wishes for a wonderful summer.
Sincerely,
![]() | ![]() | ![]() | ||
Brian McMahon | Brad Kinkelaar | Jason Brady, CFA | ||
Co-Portfolio Manager | Co-Portfolio Manager | Co-Portfolio Manager | ||
CEO & Chief Investment Officer | Managing Director | Managing Director |
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager, and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
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STATEMENT OF ASSETS AND LIABILITIES
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
ASSETS | |||
Investments at value (Note 2) | |||
Non-controlled affiliated issuers (cost $86,512,750) | $ | 59,245,197 | |
Non-affiliated issuers (cost $3,993,982,711) | 4,210,238,722 | ||
Cash | 482,378 | ||
Receivable for investments sold | 3,026,726 | ||
Receivable for fund shares sold | 17,371,572 | ||
Unrealized gain on forward exchange contracts (Note 7) | 6,305,627 | ||
Dividends receivable | 21,065,271 | ||
Interest receivable | 7,971,044 | ||
Prepaid expenses and other assets | 171,543 | ||
Total Assets | 4,325,878,080 | ||
LIABILITIES | |||
Payable for securities purchased | 21,402,541 | ||
Payable for fund shares redeemed | 9,974,997 | ||
Unrealized loss on forward exchange contracts (Note 7) | 41,518,379 | ||
Payable to investment advisor and other affiliates (Note 3) | 4,632,990 | ||
Accounts payable and accrued expenses | 770,528 | ||
Dividends payable | 2,238,507 | ||
Total Liabilities | 80,537,942 | ||
NET ASSETS | $ | 4,245,340,138 | |
NET ASSETS CONSIST OF: | |||
Undistributed net investment income | $ | 4,592,976 | |
Net unrealized appreciation on investments | 165,842,483 | ||
Accumulated net realized gain (loss) | 5,937,627 | ||
Net capital paid in on shares of beneficial interest | 4,068,967,052 | ||
$ | 4,245,340,138 | ||
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STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
NET ASSET VALUE: | |||
Class A Shares: | |||
Net asset value and redemption price per share ($1,847,479,297 applicable to 90,001,069 shares of beneficial interest outstanding – Note 4) | $ | 20.53 | |
Maximum sales charge, 4.50% of offering price | 0.97 | ||
Maximum offering price per share | $ | 21.50 | |
Class C Shares: | |||
Net asset value and offering price per share * ($1,690,444,182 applicable to 82,310,605 shares of beneficial interest outstanding – Note 4) | $ | 20.54 | |
Class I Shares: | |||
Net asset value, offering and redemption price per share ($694,950,510 applicable to 33,633,857 shares of beneficial interest outstanding – Note 4) | $ | 20.66 | |
Class R3 Shares: | |||
Net asset value, offering and redemption price per share ($12,076,939 applicable to 589,036 shares of beneficial interest outstanding – Note 4) | $ | 20.50 | |
Class R4 Shares: | |||
Net asset value, offering and redemption price per share ($148,340 applicable to 7,194 shares of beneficial interest outstanding – Note 4) | $ | 20.62 | |
Class R5 Shares: | |||
Net asset value, offering and redemption price per share ($240,870 applicable to 11,655 shares of beneficial interest outstanding – Note 4) | $ | 20.67 | |
* | 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 Investment Income Builder Fund | Six Months Ended March 31, 2008 (Unaudited) |
INVESTMENT INCOME: | ||||
Dividend income | ||||
Non-controlled affiliated issuers (net of foreign taxes withheld of $289,649) | $ | 2,882,631 | ||
Non-affiliated issuers (net of foreign taxes withheld of $3,070,737) | 90,908,537 | |||
Interest income (net of premium amortized of $143,022) | 18,691,191 | |||
Total Income | 112,482,359 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 15,370,799 | |||
Administration fees (Note 3) | ||||
Class A Shares | 1,136,813 | |||
Class C Shares | 1,033,818 | |||
Class I Shares | 175,217 | |||
Class R3 Shares | 6,187 | |||
Class R4 Shares | 7 | |||
Class R5 Shares | 38 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 2,289,107 | |||
Class C Shares | 8,330,501 | |||
Class R3 Shares | 25,721 | |||
Class R4 Shares | 14 | |||
Transfer agent fees | ||||
Class A Shares | 606,240 | |||
Class C Shares | 587,510 | |||
Class I Shares | 147,250 | |||
Class R3 Shares | 7,710 | |||
Class R4 Shares | 300 | |||
Class R5 Shares | 976 | |||
Registration and filing fees | ||||
Class A Shares | 45,383 | |||
Class C Shares | 36,865 | |||
Class I Shares | 18,001 | |||
Class R3 Shares | 8,414 | |||
Class R4 Shares | 4,249 | |||
Class R5 Shares | 10,067 | |||
Custodian fees (Note 3) | 591,276 | |||
Professional fees | 78,149 | |||
Accounting fees | 55,625 | |||
Trustee fees | 25,125 | |||
Other expenses | 247,495 | |||
Total Expenses | 30,838,857 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (759,471 | ) | ||
Fees paid indirectly (Note 3) | (36,076 | ) | ||
Net Expenses | 30,043,310 | |||
Net Investment Income | $ | 82,439,049 | ||
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STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Investment Income Builder Fund | Six Months Ended March 31, 2008 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments sold | $ | 18,242,634 | ||
Foreign currency transactions | (35,304,474 | ) | ||
(17,061,840 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (428,091,647 | ) | ||
Foreign currency translations | (8,864,355 | ) | ||
(436,956,002 | ) | |||
Net Realized and Unrealized Loss | (454,017,842 | ) | ||
Net Decrease in Net Assets Resulting From Operations | $ | (371,578,793 | ) | |
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Investment Income Builder Fund
Six Months Ended March 31, 2008* | Year Ended September 30, 2007 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 82,439,049 | $ | 116,042,585 | ||||
Net realized gain (loss) on investments and foreign currency transactions | (17,061,840 | ) | 108,360,392 | |||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments and foreign currency translations | (436,956,002 | ) | 435,315,306 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (371,578,793 | ) | 659,718,283 | |||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (44,643,969 | ) | (50,204,595 | ) | ||||
Class C Shares | (35,129,843 | ) | (35,449,856 | ) | ||||
Class I Shares | (18,390,640 | ) | (19,870,628 | ) | ||||
Class R3 Shares | (226,557 | ) | (149,347 | ) | ||||
Class R4 Shares | (136 | ) | — | |||||
Class R5 Shares | (3,468 | ) | (317 | ) | ||||
From realized gains | ||||||||
Class A Shares | (36,128,892 | ) | (25,096,354 | ) | ||||
Class C Shares | (32,902,777 | ) | (18,583,927 | ) | ||||
Class I Shares | (13,856,430 | ) | (8,637,003 | ) | ||||
Class R3 Shares | (182,203 | ) | (52,085 | ) | ||||
Class R5 Shares | (1,810 | ) | — | |||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 390,471,348 | 568,545,293 | ||||||
Class C Shares | 373,388,211 | 706,003,815 | ||||||
Class I Shares | 143,815,834 | 252,258,521 | ||||||
Class R3 Shares | 5,869,665 | 5,498,993 | ||||||
Class R4 Shares | 146,036 | — | ||||||
Class R5 Shares | 191,557 | 67,758 | ||||||
Net Increase in Net Assets | 360,837,133 | 2,034,048,551 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 3,884,503,005 | 1,850,454,454 | ||||||
End of period | $ | 4,245,340,138 | $ | 3,884,503,005 | ||||
Undistributed net investment income | $ | 4,592,976 | $ | 20,548,540 |
* | Unaudited. |
See notes to financial statements.
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NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (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 thirteen 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 New York Intermediate Municipal Fund, Thornburg Core Growth Fund, Thornburg Global Opportunities Fund, Thornburg International Growth Fund, and Thornburg Strategic Income 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 primary investment goal is 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 goal is long-term capital appreciation.
The Fund currently offers six classes of shares of beneficial interest, Class A, Class C, Institutional Class (Class I), and Retirement Classes (Class R3, Class R4, and Class R5) 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, (iv) Class R3 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, (v) Class R4 shares are sold at net asset value without sales charge at the time of purchase, but bear a service 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 may have different reinvestment privileges and conversion rights. 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 Securities: Portfolio securities listed or traded on a national securities exchange are valued on the valuation date at the last reported sale price on the exchange that is the primary market for the security. Portfolio securities traded on an exchange for which there has been no sale that day and other equity securities traded in the over-the-counter market are valued at the mean between the last reported bid and asked prices. Portfolio securities reported by NASDAQ are valued at the NASDAQ official closing price. Any foreign security traded on exchanges outside the United States is valued at the price of the security on the exchange that is normally the security’s primary market, as of the close of that exchange preceding the time of the Fund’s valuation. Quotations for foreign securities in foreign currencies are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
Any debt securities held by the Fund have a primary market over the counter and are valued by an independent pricing service approved by the Trustees of the Trust. The pricing service ordinarily values debt securities at quoted bid prices. When quotations are not available, debt securities held by the Fund are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt securities of comparable quality, type of issue, coupon, maturity, and rating, indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
In any case where the market value of an equity security held by the Fund is not readily available, the Trust’s valuation and pricing committee determines a fair value for the security using factors approved by the Trustees. A security’s market value is deemed not readily available whenever the exchange or market on which the security is primarily traded is closed for the entire scheduled day of trading. Additionally, a security’s market value may be deemed not readily available under other circumstances identified by the Trustees, including when developments occurring after the most recent close of the security’s primary exchange or market, but before the most recent close of trading in Fund shares, create a serious question about the reliability of the security’s market value.
In any case where a pricing service fails to provide a price for a debt security held by the Fund, the valuation and pricing committee determines a fair value for the debt security using factors approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt security held by the Fund may be unreliable, the valuation and pricing committee decides whether or not to use the pricing service’s valuation or to determine a fair value for the debt security.
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
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 amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books, and the U.S. dollar equivalent of the amounts actually received or paid.
Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.
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 Fund’s 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 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 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 liabilities 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 six months ended March 31, 2008, 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 Trust also has entered into administrative services agreements with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Fund’s shares, and for
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
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 six months ended March 31, 2008, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $731,599 for Class C shares, $12,415 for Class R3 shares, $4,535 for Class R4 shares, and $10,922 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 six months ended March 31, 2008, the Distributor has advised the Fund that it earned commissions aggregating $672,486 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $ 239,013 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 and distribution 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 R3 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C and Class R3 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 and Class R3 shares. Total fees incurred by the Distributor for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2008, 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 six months ended March 31, 2008, fees paid indirectly were $36,076. This figure may include additional fees waived by the custodian.
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, 2008, 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, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 21,835,785 | $ | 485,078,399 | 32,442,895 | $ | 692,883,081 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 3,053,434 | 67,622,210 | 2,915,652 | 61,056,323 | ||||||||||
Shares repurchased | (7,553,475 | ) | (162,245,831 | ) | (8,821,730 | ) | (185,406,263 | ) | ||||||
Redemption fees received** | — | 16,570 | — | 12,152 | ||||||||||
Net Increase (Decrease) | 17,335,744 | $ | 390,471,348 | 26,536,817 | $ | 568,545,293 | ||||||||
Class C Shares | ||||||||||||||
Shares sold | 18,929,243 | $ | 421,317,643 | 34,745,769 | $ | 739,818,421 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 2,344,094 | 52,043,001 | 1,908,232 | 40,045,995 | ||||||||||
Shares repurchased | (4,675,921 | ) | (99,987,540 | ) | (3,442,710 | ) | (73,871,246 | ) | ||||||
Redemption fees received** | — | 15,107 | — | 10,645 | ||||||||||
Net Increase (Decrease) | 16,597,416 | $ | 373,388,211 | 33,211,291 | $ | 706,003,815 | ||||||||
Certified Semi-Annual Report 21
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
Six Months Ended March 31, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class I Shares | ||||||||||||||
Shares sold | 9,742,589 | $ | 217,494,372 | 14,887,196 | $ | 318,805,598 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 1,054,657 | 23,489,529 | 1,043,149 | 22,020,961 | ||||||||||
Shares repurchased | (4,574,364 | ) | (97,174,471 | ) | (4,191,444 | ) | (88,572,580 | ) | ||||||
Redemption fees received** | — | 6,404 | — | 4,542 | ||||||||||
Net Increase (Decrease) | 6,222,882 | $ | 143,815,834 | 11,738,901 | $ | 252,258,521 | ||||||||
Class R3 Shares | ||||||||||||||
Shares sold | 331,762 | $ | 7,305,405 | 313,697 | $ | 6,751,609 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 17,744 | 391,886 | 9,170 | 195,546 | ||||||||||
Shares repurchased | (83,644 | ) | (1,827,720 | ) | (66,150 | ) | (1,448,208 | ) | ||||||
Redemption fees received** | — | 94 | — | 46 | ||||||||||
Net Increase (Decrease) | 265,862 | $ | 5,869,665 | 256,717 | $ | 5,498,993 | ||||||||
Class R4 Shares(a) | ||||||||||||||
Shares sold | 7,190 | $ | 145,946 | — | $ | — | ||||||||
Shares issued to shareholders in reinvestment of dividends | 4 | 90 | — | — | ||||||||||
Shares repurchased | — | — | — | — | ||||||||||
Redemption fees received** | — | — | — | — | ||||||||||
Net Increase (Decrease) | 7,194 | $ | 146,036 | — | $ | — | ||||||||
Class R5 Shares(b) | ||||||||||||||
Shares sold | 9,164 | $ | 203,489 | 3,057 | $ | 67,798 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 68 | 1,416 | 3 | 64 | ||||||||||
Shares repurchased | (632 | ) | (13,350 | ) | (5 | ) | (104 | ) | ||||||
Redemption fees received** | — | 2 | — | — | ||||||||||
Net Increase (Decrease) | 8,600 | $ | 191,557 | 3,055 | $ | 67,758 | ||||||||
(a) | Effective date for Class R4 shares was February 1, 2008. |
(b) | Effective date for Class R5 shares was February 1, 2007. |
** | The Fund charges a redemption fee of 1% of the Class A and Class I shares redeemed or exchanged within 30 days of purchase. Redemption fees charged to any class are allocated to all classes upon receipt of payment based on relative net asset values of each class or other appropriate allocation methods. |
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2008, the Fund had purchase and sale transactions of investment securities (excluding short-term investments and U.S. Government obligations) of $1,618,363,501 and $801,086,458, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2008, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 4,086,003,150 | ||
Gross unrealized appreciation on a tax basis | $ | 395,719,121 | ||
Gross unrealized depreciation on a tax basis | (212,238,352 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 183,480,769 | ||
At March 31, 2008, the Fund had deferred tax basis currency losses occurring subsequent to October 31, 2006 of $268,838. For tax purposes, such losses will be reflected in the year ending September 30, 2008.
22 Certified Semi-Annual Report
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
NOTE 7 – FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
During the six months ended March 31, 2008, 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. There are special risks associated with international investing, including currency fluctuations, economic and political instability, confiscation, inability or delays in selling foreign investments, and reduced legal protection for investments.
CONTRACTS TO SELL:
Contracts | Contract Value Date | Unrealized Gain (Loss) | ||||
25,500,000 Greater British Pound for 49,881,825 USD | April 16, 2008 | $ | (668,365 | ) | ||
325,000,000 Euro Dollar for 471,558,750 USD | May 06, 2008 | (40,850,014 | ) | |||
Unrealized loss from forward | ||||||
Sell contracts: | $ | (41,518,379 | ) | |||
70,000,000 Greater British Pound for 144,861,500 USD | May 06, 2008 | $ | 6,305,627 | |||
Unrealized gain from forward | ||||||
Sell contracts: | $ | 6,305,627 | ||||
Net unrealized gain (loss) from forward Exchange contracts | $ | (35,212,752 | ) | |||
Certified Semi-Annual Report 23
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
OTHER NOTES:
FASB Interpretation No. 48:
On July 13, 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes - an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation prescribes a model for how a company, including the Fund, should recognize, measure, present and disclose in its financial statements uncertain tax positions that the company has taken or expects to take on income tax returns, and also revises certain disclosure requirements. The Interpretation became effective for the Fund for the financial statement reporting period ended March 31, 2008. As of the date of this report, management of the Fund has not identified any material effect on the Fund’s financial statements resulting from the implementation of FIN 48.
Statement of Accounting Standards No. 157:
On September 15, 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 defines fair value, provides guidelines for measuring fair value in accordance with generally accepted accounting principles, and addresses disclosures about fair value measurements. FAS 157 establishes a fair value hierarchy that distinguishes between (i) market participant assumptions developed based upon market data obtained from sources independent of the reporting entity (observable inputs) and (ii) the entity’s own assumptions about market participant assumptions developed based upon the best information available under the circumstances (unobservable inputs). FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and is to be applied prospectively as of the beginning of the first fiscal year for which FAS 157 is applied. Management is evaluating FAS 157, and is not in a position at this time to estimate the significance of its impact, if any, on the Fund’s financial statements.
Statement of Accounting Standards No. 161:
In March 2008, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”). FAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. FAS 161 requires enhanced disclosures about any derivative and hedging activities by the Fund, including how such activities are accounted for and any effect on the Fund’s financial position, performance and cash flows. Management is evaluating the impact, if any, that the adoption of FAS 161 will have on the Fund’s financial statements and related disclosures.
24 Certified Semi-Annual Report
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Thornburg Investment Income Builder Fund
Six Months Ended March 31, 2008* | Year Ended September 30, | Period Ended Sept. 30, 2003(a) | ||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | |||||||||||||||||||||
Class A Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.35 | $ | 19.58 | $ | 17.93 | $ | 15.60 | $ | 13.77 | $ | 11.94 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.45 | 0.93 | 0.78 | 0.73 | 0.72 | 0.56 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (2.25 | ) | 4.23 | 1.98 | 2.24 | 1.66 | 1.60 | |||||||||||||||||
Total from investment operations | (1.80 | ) | 5.16 | 2.76 | 2.97 | 2.38 | 2.16 | |||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.55 | ) | (0.88 | ) | (0.77 | ) | (0.64 | ) | (0.55 | ) | (0.33 | ) | ||||||||||||
Net realized gains | (0.47 | ) | (0.51 | ) | (0.34 | ) | — | — | — | |||||||||||||||
Total dividends | (1.02 | ) | (1.39 | ) | (1.11 | ) | (0.64 | ) | (0.55 | ) | (0.33 | ) | ||||||||||||
Change in net asset value | (2.82 | ) | 3.77 | 1.65 | 2.33 | 1.83 | 1.83 | |||||||||||||||||
NET ASSET VALUE, end of period | $ | 20.53 | $ | 23.35 | $ | 19.58 | $ | 17.93 | $ | 15.60 | $ | 13.77 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (%)(b) | (8.01 | ) | 27.40 | 16.05 | 19.21 | 17.40 | 18.25 | |||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | 4.15 | (c) | 4.39 | 4.22 | 4.26 | 4.72 | 5.65 | (c) | ||||||||||||||||
Expenses, after expense reductions (%) | 1.23 | (c) | 1.30 | 1.38 | 1.47 | 1.50 | 1.61 | (c) | ||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 1.23 | (c) | 1.30 | 1.38 | 1.47 | 1.49 | 1.60 | (c) | ||||||||||||||||
Expenses, before expense reductions (%) | 1.23 | (c) | 1.30 | 1.38 | 1.47 | 1.50 | 1.74 | (c) | ||||||||||||||||
Portfolio turnover rate (%) | 19.88 | 62.60 | 55.29 | 76.76 | 109.21 | 52.10 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 1,847,479 | $ | 1,697,061 | $ | 903,347 | $ | 515,915 | $ | 224,522 | $ | 73,083 |
(a) | Fund commenced operations on December 24, 2002. |
(b) | Sales loads are not reflected in computing total return, which is not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report 25
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FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, | Period Ended Sept. 30, 2003(a) | ||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | |||||||||||||||||||||
Class C Shares: | ||||||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.37 | $ | 19.60 | $ | 17.95 | $ | 15.62 | $ | 13.79 | $ | 11.94 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.38 | 0.81 | 0.70 | 0.66 | 0.66 | 0.51 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (2.27 | ) | 4.22 | 1.97 | 2.24 | 1.66 | 1.62 | |||||||||||||||||
Total from investment operations | (1.89 | ) | 5.03 | 2.67 | 2.90 | 2.32 | 2.13 | |||||||||||||||||
Less dividends from: | ||||||||||||||||||||||||
Net investment income | (0.47 | ) | (0.75 | ) | (0.68 | ) | (0.57 | ) | (0.49 | ) | (0.28 | ) | ||||||||||||
Net realized gains | (0.47 | ) | (0.51 | ) | (0.34 | ) | — | — | — | |||||||||||||||
Total dividends | (0.94 | ) | (1.26 | ) | (1.02 | ) | (0.57 | ) | (0.49 | ) | (0.28 | ) | ||||||||||||
Change in net asset value | (2.83 | ) | 3.77 | 1.65 | 2.33 | 1.83 | 1.85 | |||||||||||||||||
NET ASSET VALUE, end of period | $ | 20.54 | $ | 23.37 | $ | 19.60 | $ | 17.95 | $ | 15.62 | $ | 13.79 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total return (%)(b) | (8.35 | ) | 26.64 | 15.45 | 18.70 | 16.89 | 18.01 | |||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) (%) | 3.48 | (c) | 3.79 | 3.73 | 3.84 | 4.33 | 5.10 | (c) | ||||||||||||||||
Expenses, after expense reductions (%) | 1.90 | (c) | 1.90 | 1.90 | 1.90 | 1.89 | 1.91 | (c) | ||||||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 1.90 | (c) | 1.89 | 1.90 | 1.89 | 1.89 | 1.90 | (c) | ||||||||||||||||
Expenses, before expense reductions (%) | 1.99 | (c) | 2.06 | 2.15 | 2.23 | 2.25 | 2.55 | (c) | ||||||||||||||||
Portfolio turnover rate (%) | 19.88 | 62.60 | 55.29 | 76.76 | 109.21 | 52.10 | ||||||||||||||||||
Net assets at end of period (thousands) | $ | 1,690,444 | $ | 1,535,532 | $ | 636,947 | $ | 337,489 | $ | 143,122 | $ | 39,613 |
(a) | Fund commenced operations on December 24, 2002. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
26 Certified Semi-Annual Report
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FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
Six Months Ended March 31, 2008* | Year Ended September 30, | Period Ended Sept. 30, 2004(a) | ||||||||||||||||||
2007 | 2006 | 2005 | ||||||||||||||||||
Class I Shares: | ||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||
Net asset value, beginning of period | $ | 23.50 | $ | 19.71 | $ | 18.03 | $ | 15.64 | $ | 14.45 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss) | 0.50 | 1.02 | 0.88 | 0.84 | 0.74 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (2.28 | ) | 4.24 | 1.98 | 2.22 | 1.01 | ||||||||||||||
Total from investment operations | (1.78 | ) | 5.26 | 2.86 | 3.06 | 1.75 | ||||||||||||||
Less dividends from: | ||||||||||||||||||||
Net investment income | (0.59 | ) | (0.96 | ) | (0.84 | ) | (0.67 | ) | (0.56 | ) | ||||||||||
Net realized gains | (0.47 | ) | (0.51 | ) | (0.34 | ) | — | — | ||||||||||||
Total dividends | (1.06 | ) | (1.47 | ) | (1.18 | ) | (0.67 | ) | (0.56 | ) | ||||||||||
Change in net asset value | (2.84 | ) | 3.79 | 1.68 | 2.39 | 1.19 | ||||||||||||||
NET ASSET VALUE, end of period | $ | 20.66 | $ | 23.50 | $ | 19.71 | $ | 18.03 | $ | 15.64 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Total return (%)(b) | (7.87 | ) | 27.80 | 16.53 | 19.73 | 12.19 | ||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) (%) | 4.50 | (c) | 4.74 | 4.68 | 4.86 | 5.33 | (c) | |||||||||||||
Expenses, after expense reductions (%) | 0.88 | (c) | 0.95 | 0.99 | 1.00 | 0.99 | (c) | |||||||||||||
Expenses, after expense reductions and net of custody credits (%) | 0.88 | (c) | 0.94 | 0.98 | 0.99 | 0.99 | (c) | |||||||||||||
Expenses, before expense reductions (%) | 0.88 | (c) | 0.95 | 1.02 | 1.09 | 1.21 | (c) | |||||||||||||
Portfolio turnover rate (%) | 19.88 | 62.60 | 55.29 | 76.76 | 109.21 | |||||||||||||||
Net assets at end of period (thousands) | $ | 694,951 | $ | 644,294 | $ | 308,859 | $ | 129,110 | $ | 33,247 |
(a) | Effective date of this class of shares was November 1, 2003. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report 27
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FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
Six Months Ended March 31, 2008* | Year Ended Sept. 30, | Period Ended Sept. 30, 2005(a) | ||||||||||||||
2007 | 2006 | |||||||||||||||
Class R3 Shares: | ||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||
Net asset value, beginning of period | $ | 23.34 | $ | 19.58 | $ | 17.93 | $ | 16.98 | ||||||||
Income from investment operations: | ||||||||||||||||
Net investment income (loss) | 0.42 | 0.86 | 0.82 | 0.50 | ||||||||||||
Net realized and unrealized gain (loss) on investments | (2.27 | ) | 4.24 | 1.92 | 0.79 | |||||||||||
Total from investment operations | (1.85 | ) | 5.10 | 2.74 | 1.29 | |||||||||||
Less dividends from: | ||||||||||||||||
Net investment income | (0.52 | ) | (0.83 | ) | (0.75 | ) | (0.34 | ) | ||||||||
Net realized gains | (0.47 | ) | (0.51 | ) | (0.34 | ) | — | |||||||||
Total dividends | (0.99 | ) | (1.34 | ) | (1.09 | ) | (0.34 | ) | ||||||||
Change in net asset value | (2.84 | ) | 3.76 | 1.65 | 0.95 | |||||||||||
NET ASSET VALUE, end of period | $ | 20.50 | $ | 23.34 | $ | 19.58 | $ | 17.93 | ||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||
Total return (%)(b) | (8.23 | ) | 27.10 | 15.91 | 7.67 | |||||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) (%) | 3.88 | (c) | 4.00 | 4.36 | 4.27 | (c) | ||||||||||
Expenses, after expense reductions (%) | 1.50 | (c) | 1.50 | 1.50 | 1.50 | (c) | ||||||||||
Expenses, after expense reductions and net of custody credits (%) | 1.50 | (c) | 1.50 | 1.50 | 1.49 | (c) | ||||||||||
Expenses, before expense reductions (%) | 1.75 | (c) | 2.16 | 6.05 | 28.93 | (c)(d) | ||||||||||
Portfolio turnover rate (%) | 19.88 | 62.60 | 55.29 | 76.76 | ||||||||||||
Net assets at end of period (thousands) | $ | 12,077 | $ | 7,544 | $ | 1,301 | $ | 280 |
(a) | Effective date of this class of shares was February 1, 2005. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
(d) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
28 Certified Semi-Annual Report
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FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
Period Ended March 31, 2008 (a)* | ||||
Class R4 Shares: | ||||
PER SHARE PERFORMANCE | ||||
(for a share outstanding throughout the period)+ | ||||
Net asset value, beginning of period | $ | 21.22 | ||
Income from investment operations: | ||||
Net investment income (loss) | 0.03 | |||
Net realized and unrealized gain (loss) on investments | (0.56 | ) | ||
Total from investment operations | (0.53 | ) | ||
Less dividends from: | ||||
Net investment income | (0.07 | ) | ||
Change in net asset value | (0.60 | ) | ||
NET ASSET VALUE, end of period | $ | 20.62 | ||
RATIOS/SUPPLEMENTAL DATA | ||||
Total return (%)(b) | (2.48 | ) | ||
Ratios to average net assets: | ||||
Net investment income (loss) (%) | 1.15 | (c) | ||
Expenses, after expense reductions (%) | 1.40 | (c) | ||
Expenses, after expense reductions and net of custody credits (%) | 1.40 | (c) | ||
Expenses, before expense reductions (%) | 82.33 | (c)(d) | ||
Portfolio turnover rate (%) | 19.88 | |||
Net assets at end of period (thousands) | $ | 148 |
(a) | Effective date of this class of shares was February 1, 2008. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
(d) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report 29
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FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
Six Months Ended March 31, 2008* | Period Ended Sept. 30, 2007(a) | |||||||
Class R5 Shares: | ||||||||
PER SHARE PERFORMANCE | ||||||||
(for a share outstanding throughout the period)+ | ||||||||
Net asset value, beginning of period | $ | 23.51 | $ | 20.74 | ||||
Income from investment operations: | ||||||||
Net investment income (loss) | 0.46 | 0.46 | ||||||
Net realized and unrealized gain (loss) on investments | (2.25 | ) | 2.87 | |||||
Total from investment operations | (1.79 | ) | 3.33 | |||||
Less dividends from: | ||||||||
Net investment income | (0.58 | ) | (0.56 | ) | ||||
Net realized gains | (0.47 | ) | — | |||||
Total dividends | (1.05 | ) | (0.56 | ) | ||||
Change in net asset value | (2.84 | ) | 2.77 | |||||
NET ASSET VALUE, end of period | $ | 20.67 | $ | 23.51 | ||||
RATIOS/SUPPLEMENTAL DATA | ||||||||
Total return (%)(b) | (7.92 | ) | 16.19 | |||||
Ratios to average net assets: | ||||||||
Net investment income (loss) (%) | 4.26 | (c) | 3.17 | (c) | ||||
Expenses, after expense reductions (%) | 0.99 | (c) | 0.99 | (c) | ||||
Expenses, after expense reductions and net of custody credits (%) | 0.99 | (c) | 0.98 | (c) | ||||
Expenses, before expense reductions (%) | 15.48 | (c)(d) | 278.77 | (c)(d) | ||||
Portfolio turnover rate (%) | 19.88 | 62.60 | ||||||
Net assets at end of period (thousands) | $ | 241 | $ | 72 |
(a) | Effective date of this class of shares was February 1, 2007. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
(d) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
30 Certified Semi-Annual Report
Table of Contents
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
CUSIPS: CLASS A – 885-215-558, CLASS C – 885-215-541, CLASS I – 885-215-467, CLASS R3 – 885-215-384, CLASS R4 – 885-215-186, CLASS R5 – 885-215-236
NASDAQ SYMBOLS: CLASS A – TIBAX, CLASS C – TIBCX, CLASS I – TIBIX, CLASS R3 – TIBRX, CLASS R4 – TIBGX, CLASS R5 – TIBMX
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/08
Telecommunication Services | 17.7 | % | |
Banks | 11.0 | % | |
Food, Beverage & Tobacco | 8.8 | % | |
Energy | 8.7 | % | |
Utilities | 8.1 | % | |
Diversified Financials | 7.7 | % | |
Consumer Services | 5.7 | % | |
Insurance | 5.2 | % | |
Materials | 4.9 | % | |
Semiconductors & Semiconductor Equipment | 3.6 | % | |
Pharmaceuticals, Biotechnology & Life Sciences | 2.6 | % | |
Transportation | 2.4 | % | |
Consumer Durables & Apparel | 2.1 | % | |
Capital Goods | 2.1 | % | |
Media | 1.6 | % | |
Software & Services | 1.1 | % | |
Retailing | 0.4 | % | |
Technology Hardware & Equipment | 0.3 | % | |
Food & Staples Retailing | 0.2 | % | |
Real Estate | 0.2 | % | |
Commercial Services & Supplies | 0.0 | % | |
Other Non-Classified Securities: | |||
Asset Backed Securities | 0.6 | % | |
U.S. Government Agencies | 0.4 | % | |
Other Securities | 0.4 | % | |
Foreign Bonds | 0.2 | % | |
Municipal Bonds | 0.1 | % | |
Other Assets & Cash Equivalents | 3.9 | % |
SUMMARY OF COUNTRY EXPOSURE
As of 3/31/08
United States of America | 42.9 | % | |
United Kingdom | 8.5 | % | |
Italy | 7.4 | % | |
Spain | 6.0 | % | |
Greece | 3.9 | % | |
Switzerland | 3.7 | % | |
Canada | 2.9 | % | |
Australia | 2.9 | % | |
China | 2.8 | % | |
France | 2.4 | % | |
Mexico | 2.4 | % | |
South Africa | 1.8 | % | |
Germany | 1.5 | % | |
Taiwan | 1.5 | % | |
Brazil | 1.2 | % | |
Hong Kong | 1.2 | % | |
Turkey | 0.9 | % | |
Malaysia | 0.6 | % | |
Bermuda | 0.6 | % | |
Norway | 0.5 | % | |
Russia | 0.3 | % | |
Luxemburg | 0.2 | % | |
Korea | 0.0 | % | |
Ireland | 0.0 | % | |
Other Assets & Cash Equivalents | 3.9 | % |
Certified Semi-Annual Report 31
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
COMMON STOCK — 84.24% | |||||
BANKS — 9.89% | |||||
COMMERCIAL BANKS — 9.89% | |||||
Barclays plc | 3,400,000 | $ | 30,567,590 | ||
BBVA | 3,150,000 | 69,374,168 | |||
EFG Eurobank Ergasias | 2,250,000 | 68,344,035 | |||
Intesa Sanpaolo | 10,000,000 | 70,491,133 | |||
Liechtensteinische Landesbank AG | 890,000 | 70,798,510 | |||
Lloyds TSB Group plc | 6,000,000 | 53,704,648 | |||
US Bancorp | 1,750,000 | 56,630,000 | |||
419,910,084 | |||||
CAPITAL GOODS — 1.87% | |||||
INDUSTRIAL CONGLOMERATES — 1.87% | |||||
General Electric Co. | 2,150,000 | 79,571,500 | |||
79,571,500 | |||||
CONSUMER DURABLES & APPAREL — 2.15% | |||||
HOUSEHOLD DURABLES — 2.15% | |||||
Persimmon plc | 6,000,000 | 91,095,468 | |||
91,095,468 | |||||
CONSUMER SERVICES — 5.53% | |||||
HOTELS, RESTAURANTS & LEISURE — 5.53% | |||||
Berjaya Sports Toto Berhad | 17,000,000 | 27,372,205 | |||
FU JI Food & Catering Services | 13,000,000 | 21,882,007 | |||
McDonald’s Corp. | 1,600,000 | 89,232,000 | |||
OPAP SA | 2,700,000 | 96,249,998 | |||
234,736,210 | |||||
DIVERSIFIED FINANCIALS — 5.56% | |||||
CAPITAL MARKETS — 2.01% | |||||
AllianceBernstein Holdings LP | 435,420 | 27,596,920 | |||
GMP Capital Trust | 2,038,700 | 33,308,002 | |||
Henderson Group plc | 6,839,999 | 14,355,572 | |||
Henderson Group plc-CDI | 4,800,000 | 10,089,452 | |||
DIVERSIFIED FINANCIAL SERVICES — 3.55% | |||||
Bank of America Corp. | 400,000 | 15,164,000 | |||
Bolsas y Mercados Espanoles | 600,000 | 29,307,892 | |||
Hong Kong Exchanges & Clearing Ltd. | 2,200,000 | 37,766,057 | |||
KKR Financial Holdings, LLC | 5,400,000 | 68,364,000 | |||
235,951,895 | |||||
ENERGY — 7.33% | |||||
ENERGY EQUIPMENT & SERVICES — 2.32% | |||||
Diamond Offshore Drilling, Inc. | 650,000 | 75,660,000 | |||
Fred Olsen Energy ASA | 400,000 | 22,700,718 |
32 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
OIL, GAS & CONSUMABLE FUELS — 5.01% | |||||
Canadian Oil Sands Trust | 1,525,000 | $ | 61,656,681 | ||
Eni SpA | 3,300,000 | 112,533,213 | |||
Tupras-Turkiye Petrol Rafinerileri A.S. | 1,750,000 | 38,690,699 | |||
311,241,311 | |||||
FOOD, BEVERAGE & TOBACCO — 8.27% | |||||
BEVERAGES — 1.86% | |||||
Coca Cola Co. | 1,300,000 | 79,131,000 | |||
FOOD PRODUCTS — 2.16% | |||||
Kraft Foods, Inc. A | 2,000,000 | 62,020,000 | |||
Reddy Ice Holdings, Inc.(1) | 2,275,000 | 29,643,250 | |||
TOBACCO — 4.25% | |||||
Altria Group, Inc. | 1,600,000 | 35,520,000 | |||
Philip Morris+ | 1,600,000 | 80,928,000 | |||
Universal Corp. | 976,230 | 63,972,352 | |||
351,214,602 | |||||
INSURANCE — 4.98% | |||||
INSURANCE — 4.98% | |||||
AXA | 1,150,000 | 41,739,750 | |||
Hannover Rueckversicherung AG | 1,200,000 | 62,556,342 | |||
Lancashire Holdings Ltd. | 3,882,523 | 21,652,320 | |||
Swiss Re | 977,500 | 85,387,297 | |||
211,335,709 | |||||
MATERIALS — 4.34% | |||||
CHEMICALS — 1.00% | |||||
Huntsman Corp. | 1,800,000 | 42,390,000 | |||
METALS & MINING — 3.34% | |||||
Impala Platinum Holdings Ltd. | 2,000,000 | 77,188,656 | |||
Southern Copper Corp. | 625,000 | 64,893,750 | |||
184,472,406 | |||||
MEDIA — 1.29% | |||||
MEDIA — 1.29% | |||||
Mediaset SpA | 4,000,000 | 37,005,871 | |||
Sinclair Broadcast Group, Inc. | 2,000,000 | 17,820,000 | |||
54,825,871 | |||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 2.43% | |||||
PHARMACEUTICALS — 2.43% | |||||
Eli Lilly & Co. | 2,000,000 | 103,180,000 | |||
103,180,000 | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 3.60% | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 3.60% | |||||
Intel Corp. | 4,300,000 | 91,074,000 | |||
Taiwan Semiconductor Mfg. Co. Ltd. ADR | 6,029,995 | 61,928,049 | |||
153,002,049 | |||||
Certified Semi-Annual Report 33
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
Shares Principal Amount | Value | ||||
SOFTWARE & SERVICES — 1.09% | |||||
IT SERVICES — 1.09% | |||||
Paychex, Inc. | 1,350,000 | $ | 46,251,000 | ||
46,251,000 | |||||
TELECOMMUNICATION SERVICES — 16.58% | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 10.78% | |||||
AT&T, Inc. | 1,844,900 | 70,659,670 | |||
Brasil Telecom | 1,650,000 | 46,405,368 | |||
France Telecom SA | 1,850,000 | 62,210,596 | |||
Inmarsat plc | 9,000,000 | 79,351,297 | |||
Telefónica SA | 5,400,000 | 155,159,430 | |||
Telstra Corp. Ltd. | 17,000,000 | 43,656,988 | |||
WIRELESS TELECOMMUNICATION SERVICES — 5.80% | |||||
América Móvil SAB de C.V. | 1,600,000 | 101,904,000 | |||
China Mobile Ltd. | 5,000,000 | 74,396,253 | |||
Vodafone Group plc | 23,400,000 | 70,079,207 | |||
703,822,809 | |||||
TRANSPORTATION — 1.97% | |||||
TRANSPORTATION INFRASTRUCTURE — 1.97% | |||||
Hopewell Highway | 15,643,500 | 11,999,986 | |||
Macquarie Airports | 17,000,000 | 50,182,232 | |||
Shenzhen Chiwan Wharf Holdings Ltd. | 14,665,727 | 21,256,179 | |||
83,438,397 | |||||
UTILITIES — 7.36% | |||||
ELECTRIC UTILITIES — 4.05% | |||||
Enel S.p.A. | 9,000,000 | 95,482,726 | |||
Entergy Corp. | 700,000 | 76,356,000 | |||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.70% | |||||
Algonquin Power Income Fund Trust(1) | 3,925,700 | 29,601,947 | |||
MULTI-UTILITIES — 2.61% | |||||
Energy East Corp. | 4,597,500 | 110,891,700 | |||
312,332,373 | |||||
TOTAL COMMON STOCK (Cost $3,345,083,051) | 3,576,381,684 | ||||
PREFERRED SToCK — 0.55% | |||||
BANKS — 0.32% | |||||
COMMERCIAL BANKS — 0.32% | |||||
Barclays Bank plc | 200,000 | 4,840,000 | |||
First Tennessee Bank | 12,000 | 8,538,750 | |||
13,378,750 | |||||
34 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | |||||
DIVERSIFIED FINANCIALS — 0.23% | ||||||
CAPITAL MARKETS — 0.23% | ||||||
Lehman Brothers Holdings, Inc. | 140,000 | $ | 1,862,000 | |||
Merrill Lynch & Co., Inc. | 420,000 | 5,829,600 | ||||
Morgan Stanley | 120,000 | 2,217,000 | ||||
9,908,600 | ||||||
TOTAL PREFERRED STOCK (Cost $33,981,250) | 23,287,350 | |||||
ASSET BACKED SECURITIES — 0.78% | ||||||
BANKS — 0.38% | ||||||
COMMERCIAL BANKS — 0.38% | ||||||
Wells Fargo Asset Securities Corp. Series 2005-AR2 Class B1, 4.545%, 2/25/2035 | $ | 10,602,134 | 8,446,016 | |||
Wells Fargo Asset Securities Corp. Series 2005-AR2 Class B1, 4.684%, 3/25/2035 | 9,923,213 | 7,845,727 | ||||
16,291,743 | ||||||
DIVERSIFIED FINANCIALS — 0.40% | ||||||
CAPITAL MARKETS — 0.17% | ||||||
Bear Stearns ARM Mtg Series 2003-6 Class 2B-1, 4.828%, 8/25/2033 | 1,376,714 | 1,207,637 | ||||
Merrill Lynch Mtg Investors Trust, 4.231%, 8/25/2034 | 7,314,193 | 5,984,367 | ||||
DIVERSIFIED FINANCIAL SERVICES — 0.23% | ||||||
Banc of America Funding Corp. Series 2006-I Class SB1, 4.735%, 12/20/2036 | 3,343,380 | 2,741,572 | ||||
Banc of America Mtg Securities Series 2005-A Class B1, 4.88%, 2/25/2035 | 5,462,189 | 4,525,754 | ||||
Citigroup Mortgage Loan Trust, Inc., 5.156%, 3/25/2034 | 2,884,139 | 2,495,552 | ||||
16,954,882 | ||||||
TOTAL ASSET BACKED SECURITIES (Cost $36,310,255) | 33,246,625 | |||||
CORPORATE BONDS — 8.01% | ||||||
BANKS — 0.70% | ||||||
COMMERCIAL BANKS — 0.70% | ||||||
Alfa Diversified, 4.80%, 3/15/2012 | 7,000,000 | 6,463,800 | ||||
First Tennessee Bank, 5.316%, 12/8/2008 | 10,000,000 | 9,980,090 | ||||
MDM DPR Finance Company SA, 4.80%, 6/15/2012 (2) | 8,444,444 | 8,022,222 | ||||
National City Bank, 7.25%, 7/15/2010 | 5,000,000 | 5,059,020 | ||||
29,525,132 | ||||||
COMMERCIAL SERVICES & SUPPLIES — 0.02% | ||||||
COMMERCIAL SERVICES & SUPPLIES — 0.02% | ||||||
Allied Waste North America, Inc., 6.375%, 4/15/2011 | 500,000 | 491,875 | ||||
Waste Management, Inc., 7.375%, 8/1/2010 | 175,000 | 184,363 | ||||
676,238 | ||||||
CONSUMER SERVICES — 0.14% | ||||||
HOTELS, RESTAURANTS & LEISURE — 0.14% | ||||||
Seneca Nation of Indians Capital Improvements Authority, 6.75%, 12/1/2013 | 6,000,000 | 6,143,520 | ||||
6,143,520 | ||||||
Certified Semi-Annual Report 35
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | |||||
DIVERSIFIED FINANCIALS — 1.54% | ||||||
CAPITAL MARKETS — 0.41% | ||||||
Goldman Sachs Group, Inc., 5.625%, 1/15/2017 | $ | 8,000,000 | $ | 7,674,600 | ||
Lehman Brothers Holdings, Inc., 6.00%, 7/19/2012 | 10,000,000 | 9,870,070 | ||||
CONSUMER FINANCE — 0.95% | ||||||
Capital One Bank, 6.70%, 5/15/2008 | 655,000 | 655,302 | ||||
Capital One Bank, 6.50%, 6/13/2013 | 1,500,000 | 1,415,826 | ||||
Capital One Financial Corp., 6.15%, 9/1/2016 | 25,500,000 | 21,413,778 | ||||
SLM Corp., 4.00%, 1/15/2009 | 5,000,000 | 4,502,125 | ||||
SLM Corp., 4.50%, 7/26/2010 | 4,800,000 | 3,938,496 | ||||
SLM Corp. CPI Floating Rate Note, 5.28%, 3/2/2009 | 5,500,000 | 4,840,000 | ||||
SLM Corp. Floating Rate, 3.631%, 1/27/2014 | 5,000,000 | 3,501,905 | ||||
DIVERSIFIED FINANCIAL SERVICES — 0.18% | ||||||
CIT Group, Inc., 5.00%, 2/13/2014 | 9,500,000 | 7,476,063 | ||||
65,288,165 | ||||||
ENERGY — 0.82% | ||||||
ENERGY EQUIPMENT & SERVICES — 0.20% | ||||||
Calfrac Holdings, 7.75%, 2/15/2015 | 7,900,000 | 7,386,500 | ||||
Seitel, Inc., 9.75%, 2/15/2014 | 1,000,000 | 842,500 | ||||
OIL, GAS & CONSUMABLE FUELS — 0.62% | ||||||
Chesapeake Energy Corp., 7.00%, 8/15/2014 | 5,300,000 | 5,313,250 | ||||
Enterprise Products Operating LP, 7.034%, 1/15/2068 | 5,900,000 | 5,008,321 | ||||
Murphy Oil Corp., 6.375%, 5/1/2012 | 5,000,000 | 5,218,715 | ||||
Petroleum Development Corp., 12.00%, 2/15/2018 | 5,500,000 | 5,500,000 | ||||
Petroplus Finance Ltd., 6.75%, 5/1/2014 | 4,000,000 | 3,650,000 | ||||
Teppco Partners LP, 7.00%, 6/1/2067 | 2,000,000 | 1,713,698 | ||||
34,632,984 | ||||||
FOOD & STAPLES RETAILING — 0.23% | ||||||
FOOD & STAPLES RETAILING — 0.23% | ||||||
Rite Aid Corp., 8.625%, 3/1/2015 | 3,000,000 | 2,287,500 | ||||
Rite Aid Corp., 9.375%, 12/15/2015 | 9,500,000 | 7,457,500 | ||||
9,745,000 | ||||||
FOOD, BEVERAGE & TOBACCO — 0.56% | ||||||
BEVERAGES — 0.35% | ||||||
Constellation Brands, Inc., 8.375%, 12/15/2014 | 10,400,000 | 10,712,000 | ||||
Diageo Capital plc, 5.50%, 9/30/2016 | 4,000,000 | 4,043,204 | ||||
FOOD PRODUCTS — 0.21% | ||||||
Kraft Foods, Inc., 6.50%, 8/11/2017 | 5,000,000 | 5,129,745 | ||||
Kraft Foods, Inc., 6.125%, 2/1/2018 | 4,000,000 | 3,997,468 | ||||
23,882,417 | ||||||
INSURANCE — 0.18% | ||||||
INSURANCE — 0.18% | ||||||
AAG Holding Co., Inc., 6.875%, 6/1/2008 | 335,000 | 336,624 | ||||
Liberty Mutual Group, Inc., 5.75%, 3/15/2014 | 1,000,000 | 1,033,154 | ||||
Pacific Life Global Funding CPI Floating Rate Note, 5.72%, 2/6/2016 | 2,000,000 | 2,066,820 | ||||
Prudential Financial, Inc., 6.00%, 12/1/2017 | 4,300,000 | 4,334,013 | ||||
7,770,611 | ||||||
36 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | |||||
MATERIALS — 0.51% | ||||||
CONSTRUCTION MATERIALS — 0.04% | ||||||
C8 Capital Ltd., 6.64%, 12/31/2049 | $ | 2,000,000 | $ | 1,845,360 | ||
METALS & MINING — 0.47% | ||||||
Bemax Resources, 9.375%, 7/15/2014 | 5,000,000 | 4,700,000 | ||||
Freeport-McMoRan Copper��& Gold, 8.25%, 4/1/2015 | 4,500,000 | 4,747,500 | ||||
GTL Trade Finance, Inc., 7.25%, 10/20/2017 | 10,000,000 | 10,541,380 | ||||
21,834,240 | ||||||
MEDIA — 0.24% | ||||||
MEDIA — 0.24% | ||||||
AOL Time Warner, Inc., 6.875%, 5/1/2012 | 425,000 | 438,743 | ||||
Comcast Corp., 6.30%, 11/15/2017 | 5,000,000 | 5,060,650 | ||||
DIRECTV Holdings, 6.375%, 6/15/2015 | 5,100,000 | 4,755,750 | ||||
10,255,143 | ||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 0.16% | ||||||
BIOTECHNOLOGY — 0.16% | ||||||
Biogen Idec, Inc., 6.00%, 3/1/2013 | 4,000,000 | 4,047,168 | ||||
Tiers Inflation Linked Trust Series Wyeth 2004 21 Trust Certificate CPI Floating Rate Note, 5.931%, 2/1/2014 |
| 3,000,000 |
| 2,722,140 | ||
6,769,308 | ||||||
REAL ESTATE — 0.18% | ||||||
REAL ESTATE — 0.18% | ||||||
Agile Property Holdings Ltd, 9.00%, 9/22/2013 | 10,000,000 | 7,600,000 | ||||
7,600,000 | ||||||
RETAILING — 0.35% | ||||||
MULTILINE RETAIL — 0.35% | ||||||
Nordstrom, Inc., 6.25%, 1/15/2018 | 13,000,000 | 12,940,499 | ||||
Parkson Retail Group, 7.125%, 5/30/2012 | 2,110,000 | 2,057,680 | ||||
14,998,179 | ||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 0.33% | ||||||
COMMUNICATIONS EQUIPMENT — 0.20% | ||||||
Motorola, Inc., 6.00%, 11/15/2017 | 10,000,000 | 8,566,620 | ||||
COMPUTERS & PERIPHERALS — 0.08% | ||||||
Jabil Circuit, Inc., 5.875%, 7/15/2010 | 3,485,000 | 3,441,957 | ||||
TECHNOLOGY HARDWARE & EQUIPMENT — 0.05% | ||||||
Cisco Systems, Inc., 3.158%, 2/20/2009 | 2,000,000 | 1,999,992 | ||||
14,008,569 | ||||||
TELECOMMUNICATION SERVICES — 0.89% | ||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.89% | ||||||
Level 3 Financing, Inc., 9.25%, 11/1/2014 | 23,600,000 | 19,293,000 | ||||
Level 3 Financing, Inc. Senior Notes, 12.25%, 3/15/2013 | 6,000,000 | 5,400,000 | ||||
TCI Communications, Inc., 7.875%, 8/1/2013 | 2,285,000 | 2,505,169 | ||||
Windstream Corp., 8.125%, 8/1/2013 | 10,800,000 | 10,611,000 | ||||
37,809,169 | ||||||
Certified Semi-Annual Report 37
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | |||||
TRANSPORTATION — 0.42% | ||||||
AIR FREIGHT & LOGISTICS — 0.12% | ||||||
FedEx Corp., 5.50%, 8/15/2009 | $ | 5,000,000 | $ | 5,120,065 | ||
ROAD & R AIL — 0.30% | ||||||
Hertz Corp., 8.875%, 1/1/2014 | 13,205,000 | 12,511,738 | ||||
17,631,803 | ||||||
UTILITIES — 0.74% | ||||||
ELECTRIC UTILITIES — 0.37% | ||||||
Entergy New Orleans, Inc., 3.875%, 8/1/2008 | 8,500,000 | 8,490,064 | ||||
Monongahela Power, 5.70%, 3/15/2017 | 7,000,000 | 7,157,234 | ||||
GAS UTILITIES — 0.37% | ||||||
Oneok Partners, LP Senior Notes, 5.90%, 4/1/2012 | 3,000,000 | 3,116,664 | ||||
Southern Union Co., 7.20%, 11/1/2066 | 14,900,000 | 12,516,000 | ||||
31,279,962 | ||||||
TOTAL CORPORATE BONDS (Cost $361,924,727) | 339,850,440 | |||||
CONVERTIBLE BONDS — 0.50% | ||||||
DIVERSIFIED FINANCIALS — 0.20% | ||||||
DIVERSIFIED FINANCIAL SERVICES — 0.20% | ||||||
KKR Financial Holdings, LLC, 7.00%, 7/15/2012 | 11,000,000 | 8,580,000 | ||||
8,580,000 | ||||||
TELECOMMUNICATION SERVICES — 0.30% | ||||||
WIRELESS TELECOMMUNICATION SERVICES — 0.30% | ||||||
NII Holdings, 3.125%, 6/15/2012 | 15,800,000 | 12,541,250 | ||||
12,541,250 | ||||||
TOTAL CONVERTIBLE BONDS (Cost $22,888,716) | 21,121,250 | |||||
MUNICIPAL BONDS — 0.11% | ||||||
Short Pump Town Center Community Development, 6.26%, 2/1/2009 | 2,000,000 | 2,043,180 | ||||
Victor New York, 9.05%, 5/1/2008 | 615,000 | 616,618 | ||||
Victor New York, 9.20%, 5/1/2014 | 2,000,000 | 2,192,700 | ||||
TOTAL MUNICIPAL BONDS (Cost $ 4,736,113) | 4,852,498 | |||||
U.S. GOVERNMENT AGENCIES — 0.43% | ||||||
Federal National Mortgage Association CPI Floating Rate Note, 5.221%, 2/17/2009 | 2,000,000 | 2,018,760 | ||||
Federal National Mortgage Association REMIC Series 2006-B1 Class AB, 6.00%, 6/25/2016 |
| 15,718,390 |
| 16,114,820 | ||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $17,659,028) | 18,133,580 | |||||
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | |||||
FOREIGN BONDS — 0.56% | ||||||
CAPITAL GOODS — 0.19% | ||||||
INDUSTRIAL CONGLOMERATES — 0.19% | ||||||
General Electric Capital Australia, 5.25%, 8/15/2008 (AUD) | $ | 9,000,000 | $ | 8,136,134 | ||
8,136,134 | ||||||
ENERGY — 0.19% | ||||||
OIL, GAS & CONSUMABLE FUELS — 0.19% | ||||||
OAO Gazprom, 7.25%, 2/22/2010 (RUB) | 195,000,000 | 8,129,029 | ||||
8,129,029 | ||||||
MEDIA — 0.02% | ||||||
MEDIA — 0.02% | ||||||
Independent News & Media plc, 5.75%, 5/17/2009 (EUR) | 600,000 | 890,414 | ||||
890,414 | ||||||
MISCELLANEOUS — 0.16% | ||||||
MISCELLANEOUS — 0.16% | ||||||
Republic of Brazil, 12.50%, 1/5/2016 (BRL) | 10,750,000 | 6,579,145 | ||||
6,579,145 | ||||||
TOTAL FOREIGN BONDS (Cost $21,840,588) | 23,734,722 | |||||
YANKEE BONDS— 0.51% | ||||||
BANKS — 0.14% | ||||||
COMMERCIAL BANKS — 0.14% | ||||||
Korea Development Bank, 5.30%, 1/17/2013 | 800,000 | 819,690 | ||||
Landsbanki Islands HF, 7.431%, 12/31/2049 | 5,000,000 | 4,185,840 | ||||
Shinhan Bank, 6.819%, 9/20/2036 | 900,000 | 744,552 | ||||
5,750,082 | ||||||
ENERGY — 0.37% | ||||||
OIL, GAS & CONSUMABLE FUELS — 0.37% | ||||||
Griffin Coal Mining Ltd., 9.50%, 12/1/2016 | 22,000,000 | 15,840,000 | ||||
15,840,000 | ||||||
TOTAL YANKEE BONDS (Cost $28,628,302) | 21,590,082 | |||||
OTHER SECURITIES — 0.41% | ||||||
LOAN PARTICIPATIONS — 0.41% | ||||||
Fairpoint Communications, Inc. Loan B, 5.75%, 3/8/2015 (2) | 9,000,000 | 7,920,000 | ||||
Mylan Laboratories, Inc., 6.438%, 10/2/2014 | 6,087,637 | 5,872,013 | ||||
Mylan Laboratories, Inc., 8.125%, 10/2/2014 | 3,912,363 | 3,773,787 | ||||
TOTAL OTHER SECURITIES (Cost $17,723,542) | 17,565,800 | |||||
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||||
SHORT TERM INVESTMENTS — 4.47% | |||||||
Citizens Property Insurance Corp. Series F, 8.00%, 7/1/2021 | $ | 47,325,000 | $ | 47,325,000 | |||
General Electric Capital Corp., 2.00%, 4/2/2008 | 92,000,000 | 91,994,888 | |||||
Toyota Motor Credit, 2.10%, 4/1/2008 | 50,400,000 | 50,400,000 | |||||
TOTAL SHORT TERM INVESTMENTS (Cost $189,719,889) | 189,719,888 | ||||||
TOTAL INVESTMENTS — 100.57% (Cost $ 4,080,495,461) | $ | 4,269,483,919 | |||||
LIABILITIES NET OF OTHER ASSETS — (0.57)% | (24,143,781 | ) | |||||
NET ASSETS — 100.00% | $ | 4,245,340,138 | |||||
Footnote Legend
+ | Non-income producing |
(1) | Investment in Affiliates |
Holdings of voting securities of each portfolio company which is considered “affiliated” to the Fund under the Investment Company Act of 1940 because the Fund’s holding represented 5% or more of the company’s voting securities during the period, are shown below:
Issuer | Shares at Sept. 30, 2007 | Gross Additions | Gross Reductions | Shares at March 31, 2008 | Market value March 31, 2008 | Dividend Income | ||||||||
Algonquin Power Income Trust | 4,183,700 | — | 258,000 | 3,925,700 | $ | 29,601,947 | $ | 1,641,342 | ||||||
Reddy Ice Holdings, Inc. | 2,174,471 | 125,529 | 25,000 | 2,275,000 | 29,643,250 | 1,241,289 | ||||||||
$ | 59,245,197 | $ | 2,882,631 | |||||||||||
(2) | Security currently fair valued by the Valuation & Pricing committee using factors approved by the Board of Trustees. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR | American Depository Receipt | |
ARM | Adjustable Rate Mortgage | |
AUD | Denominated in Australian Dollars | |
BRL | Denominated in Brazilian Dollars | |
CPI | Consumer Price Index | |
EUR | Denominated in EURO Dollars | |
Mtg | Mortgage | |
REMIC | Real Estate Mortgage Investment Conduit | |
RUB | Denominated in Russian Rubles | |
SPA | Stand-by Purchase Agreement |
See notes to financial statements.
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EXPENSE EXAMPLE | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (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 or all of a purchase of $1 million of Class A shares within 12 months of purchase;
(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;
(d) a 30-day redemption fee on Class A and Class I shares;
(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, 2007 and held until March 31, 2008.
Actual Expenses
For each class of shares, 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 for your class of shares 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
For each class of shares, 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
Beginning Account value 9/30/07 | Ending Account value 3/31/08 | Expenses Paid During Period† 9/30/07–3/31/08 | |||||||
Class A Shares | |||||||||
Actual | $ | 1,000.00 | $ | 919.90 | $ | 5.90 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,018.85 | $ | 6.20 | |||
Class C Shares | |||||||||
Actual | $ | 1,000.00 | $ | 916.50 | $ | 9.10 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,015.50 | $ | 9.57 | |||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 921.30 | $ | 4.22 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.61 | $ | 4.43 | |||
Class R3 Shares | |||||||||
Actual | $ | 1,000.00 | $ | 917.70 | $ | 7.19 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,017.50 | $ | 7.57 | |||
Class R4 Shares | |||||||||
Actual | $ | 1,000.00 | $ | 924.36 | $ | 6.72 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,018.02 | $ | 7.05 | |||
Class R5 Shares | |||||||||
Actual | $ | 1,000.00 | $ | 920.80 | $ | 4.75 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.05 | $ | 5.00 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.23%; C: 1.90%; I: 0.88%; R3: 1.50%; R4: 1.40%; and R5: 0.99%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
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 for each class of shares 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 Investment Income Builder Fund | March 31, 2008 (Unaudited) |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Investment Income Builder Fund versus S&P 500 Index and Blended Index
(December 24, 2002 to March 31, 2008)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2008 (with sales charge)
1 Yr | 5 Yr | Since Inception | |||||||
A Shares (Incep: 12/24/02) | (0.41 | )% | 16.75 | % | 15.64 | % | |||
C Shares (Incep: 12/24/02) | 2.66 | % | 17.23 | % | 16.09 | % | |||
I Shares (Incep: 11/3/03) | 4.60 | % | — | 14.88 | % | ||||
R3 Shares (Incep: 2/1/05) | 3.95 | % | — | 12.62 | % | ||||
R4 Shares (Incep: 2/1/08) | — | — | (2.48 | )%* | |||||
R5 Shares (Incep: 2/1/07) | 4.58 | % | — | 6.99 | % | ||||
Blended Index (Since: 12/24/02) | (0.45 | )% | 13.13 | % | 11.61 | % | |||
S&P 500 Index (Since: 12/24/02) | (5.08 | )% | 11.32 | % | 9.77 | % |
* | Not annualized for periods less than one year. |
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 as well as applicable 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 I, R3, R4, or R5 shares. Class I, R3, R4, and R5 shares are available only to certain qualified investors. Class A and I shares are subject to a 1% 30-day redemption fee.
The Blended Index is comprised of 25% Lehman Brothers Aggregate Bond Index and 75% MSCI World 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 bonds included in the index. The Morgan Stanley Capital International (MSCI) World Index is an unmanaged market-weighted index that consists of equity securities traded in 23 of the world’s most developed countries. The index is calculated with net dividends reinvested, in U.S. dollars. The S&P 500 Index, an unmanaged broad measure of the U.S. stock market, does not reflect sales charges or expenses. Investors cannot invest directly in an index.
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Thornburg Investment Income Builder Fund | March 31, 2008 (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 web site at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s web site at www.sec.gov.
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 web site at www. thornburg.com, and (iii) on the Securities and Exchange Commission’s web site 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 web site at 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 web site at www. thornburg.com/download or upon request by calling 1-800-847-0200.
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Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
February 8, 2005, as readopted July 18, 2007
The Trustees are concerned that ongoing 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.
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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. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
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.
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 Global Opportunities Fund |
• | Thornburg International Growth Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
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Thornburg Equity Funds
Thornburg’s equity research uses a fundamental and comprehensive analytical approach. Thornburg equity funds focus on a limited number of securities so that each holding can impact 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.
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
• | Thornburg International Growth Fund |
Thornburg Bond Funds
The majority of Thornburg bond funds are laddered portfolios of 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 Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term Municipal Fund |
• | Thornburg New Mexico Intermediate Municipal Fund |
• | Thornburg New York Intermediate Municipal Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund* |
Carefully consider each fund’s investment objectives, risks, sales charges, and expenses; this information can be found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. There is no guarantee that any of these funds will meet their investment objectives.
For additional information, please visit www.thornburg.com
Thornburg Investment Management, 119 East Marcy Street, Santa Fe, NM 87501
* | This fund does not use the laddering strategy. |
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This Semi-Annual Report is 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.
Investment Advisor: | ||
Thornburg Investment Management® | ||
800.847.0200 | ||
Distributor: | ||
Thornburg Securities Corporation® 800.847.0200 | ||
TH1075 |
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Thornburg Investment Income Builder Fund
Current Stream of Income Plus Potential for Growth
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 may invest in any domestic or foreign equity or debt security which Thornburg Investment Management believes may assist the Fund in pursuing its investment goals, although the Fund expects that equity securities in its portfolio will normally be weighted in favor of companies that pay dividends or other current income.
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Important Information
The information presented on the following pages was current as of March 31, 2008. The managers’ views, portfolio holdings, and sector and country diversification are provided for the general information of the Fund’s shareholders; they are historical and subject to change. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments in the Fund carry risks including possible loss of principal. Investing outside the United States involves additional risks, such as currency fluctuations. Additionally, the Fund may invest 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 principal value of bond funds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund. Investments 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. There is no guarantee that the Fund will meet its investment objectives.
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 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 bonds included in the index. The Morgan Stanley Capital International (MSCI) World Index is an unmanaged market-weighted index that consists of equity securities traded in 23 of the world’s most developed countries. The index is calculated with net dividends reinvested, in U.S. dollars.
MSCI All Country Asia ex-Japan Index – A free float-adjusted market capitalization index that is designed to measure equity market performance in Asia. As of March 2008, the MSCI All Country Asia ex-Japan Index consisted of the following 11 developed and emerging market country indices: China, Hong Kong, India, Indonesia, Korea, Malaysia, Pakistan, Philippines, Singapore Free, Taiwan, and Thailand.
MSCI Country Indices (Australia, U.K. and Japan) – Free float-adjusted market capitalization indices that are designed to measure equity market performance in that specific country.
MSCI Europe ex-U.K. Index – A free float-adjusted market capitalization index that is designed to measure developed market equity performance in Europe. As of June 2007, the MSCI Europe Index consisted of the following 15 developed market country indices: Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, the Netherlands, Norway, Portugal, Spain, Sweden, and Switzerland.
MSCI EM (Emerging Markets) Latin America Index – A free float-adjusted market capitalization index that is designed to measure equity market performance in Latin America. As of June 2007, the MSCI EM Latin America Index consisted of the following emerging market country indices: Argentina, Brazil, Chile, Colombia, Mexico, and Peru.
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.
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.
Fed Funds Rate – The Fed Funds Rate is the interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.
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 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.
U.S. Treasury Securities – U.S. Treasury securities, such as bills, notes and bonds, are negotiable debt obligations of the U.S. government. These debt obligations are backed by the “full faith and credit” of the government and issued at various schedules and maturities. Income from Treasury securities is exempt from state and local, but not federal income taxes.
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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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
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
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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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.
Hypothetical chart is for illustration purposes only and is not indicative of an investment in any particular security. Investors may not invest directly in an index.
A Truly Diversified Dividend-Paying Portfolio Must Look Beyond the Obvious High Yield Stocks!
The Top 100 Dividend Yields
Russell 1000 Index | Russell 2000 Index | |||||
Total Financials | 48 | % | 60 | % | ||
REITs | 22 | % | 41 | % | ||
Banks & Other | 26 | % | 19 | % | ||
Utilities | 24 | % | 0 | % | ||
Consumer Staples | 9 | % | 7 | % | ||
Consumer Cyclicals | 5 | % | 9 | % | ||
Communications | 5 | % | 15 | % | ||
Materials | 5 | % | 1 | % | ||
Industrials | 2 | % | 7 | % | ||
Energy | 2 | % | 0 | % | ||
Technology | 0 | % | 1 | % | ||
Health Care | 0 | % | 0 | % | ||
Source: Factset, as of December 2007; (Numbers may not add to 100% due to rounding.) |
|
In the (large cap) Russell 1000 Index, 48% of the top 100 dividend payers are in the Financials sector. In the (small cap) Russell 2000 Index, 60% of the top 100 dividend-yielding stocks are financial companies. In order to construct a diversified portfolio of attractive yielding stocks, one must look beyond this sector. We do!
Dividend yield is a ratio that shows how much a company pays out in dividends each year relative to its share price.
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The Dividend Landscape
Continued
Global Diversification Can Improve the Portfolio Yield
Since firms outside the U.S. tend to pay higher dividends than U.S. firms, particularly outside the real estate and utility sectors, we diversify the Thornburg Investment Income Builder Fund into foreign dividend-paying stocks to try to take advantage of these opportunities.
Award
Thornburg Investment Income Builder Fund
The Fund (Class I shares) won the 2008 Lipper Fund Award in the Mixed Asset Target Allocation Growth category for the three-years ended 12/31/07, among 510 funds. Lipper Fund Awards are granted annually to the fund in each Lipper classification that consistently delivered the strongest risk-adjusted performance over the period (calculated with dividends reinvested and without sales charges). Individual fund classification awards are given for three-year, five-year, and ten-year periods. The Fund did not receive the award for all eligible time periods.
Past performance does not guarantee future results.
6 This page is not part of the Semi-Annual Report
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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, an 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. Class I shares are subject to a 1% 30-day redemption fee. The total annual fund operating expense of Class I shares is 0.95%, as disclosed in the most recent Prospectus.
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.
QUARTERLY DIVIDEND HISTORY
Q1 | Q2 | Q3 | Q4 | Total | |||||||||||
Class I Shares | |||||||||||||||
2008 | 19.8 | ¢ | N/A | N/A | N/A | N/A | |||||||||
2007 | 16.2 | ¢ | 20.6 | ¢ | 23.6 | ¢ | 39.0 | ¢ | 99.4 | ¢ | |||||
2006 | 14.4 | ¢ | 18.0 | ¢ | 21.2 | ¢ | 35.0 | ¢ | 88.6 | ¢ | |||||
2005 | 11.6 | ¢ | 14.2 | ¢ | 18.0 | ¢ | 29.7 | ¢ | 73.5 | ¢ | |||||
30-day SEC Yield as of March 31, 2008 (I Shares): 5.03% |
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KEY PORTFOLIO ATTRIBUTES
Equity Statistics | ||||
Portfolio P/E (12-mo. trailing) | 11.9x | |||
Median Market Cap | $ | 16.2 B | ||
Common Equity Holdings | 61 | |||
Fixed Income Statistics | ||||
Weighted Average Coupon | 6.2 | % | ||
Average Credit Quality | A- | |||
Average Maturity | 6.6 yrs | |||
Duration | 3.0 yrs | |||
Bond & Pref. Equity Holdings | 90 |
TOP TEN EQUITY HOLDINGS
Telefónica SA | 3.7 | % | |
Eni SpA | 2.7 | % | |
Energy East Corp. | 2.6 | % | |
Eli Lilly & Co. | 2.4 | % | |
América Móvil SAB de C.V. | 2.4 | % | |
OPAP SA | 2.3 | % | |
Enel SpA | 2.2 | % | |
Persimmon plc | 2.1 | % | |
Intel Corp. | 2.1 | % | |
McDonald’s Corp. | 2.1 | % |
AVERAGE ANNUAL TOTAL RETURNS*
For periods ending March 31, 2008
6 Mos | 1 Yr | 3 Yrs | Since Inception | |||||||||
I Shares (Incep: 11/3/03) | (7.87 | )% | 4.60 | % | 13.36 | % | 14.88 | % | ||||
Blended Index**(Since: 11/3/03) | (7.27 | )% | (0.45 | )% | 8.70 | % | 9.82 | % | ||||
S&P 500 Index (Since: 11/3/03) | (12.46 | )% | (5.08 | )% | 5.85 | % | 7.14 | % |
* | Periods less than one year are not annualized. |
** | Blended Index: 75% MSCI World Equity Index/25% Lehman Brothers Aggregate Bond Index |
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Portfolio Overview
Continued
The primary 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 generally grow, subject to periodic fluctuations, over the years on a per share basis. This objective remains constant over time. However, the specific investments we have used to try to reach our objective have changed over time. 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 3/31/08
Telecommunication Services | 17.7 | % | |
Banks | 11.0 | % | |
Food, Beverage & Tobacco | 8.8 | % | |
Energy | 8.7 | % | |
Utilities | 8.1 | % | |
Diversified Financials | 7.7 | % | |
Consumer Services | 5.7 | % | |
Insurance | 5.2 | % | |
Materials | 4.9 | % | |
Semiconductors & Semi Equipment | 3.6 | % |
TOP TEN INDUSTRIES
As of 12/31/07
Telecommunication Services | 15.1 | % | |
Utilities | 10.8 | % | |
Energy | 10.3 | % | |
Banks | 10.1 | % | |
Food, Beverage & Tobacco | 9.0 | % | |
Diversified Financials | 8.7 | % | |
Consumer Services | 6.4 | % | |
Semiconductors & Semi Equipment | 3.9 | % | |
Materials | 3.9 | % | |
Transportation | 2.9 | % |
TOP TEN INDUSTRIES
As of 9/30/07
Telecommunication Services | 14.8 | % | |
Utilities | 12.8 | % | |
Diversified Financials | 11.2 | % | |
Energy | 10.9 | % | |
Banks | 10.2 | % | |
Food, Beverage & Tobacco | 8.4 | % | |
Consumer Services | 5.0 | % | |
Semiconductors & Semi Equipment | 4.4 | % | |
Transportation | 4.1 | % | |
Materials | 3.7 | % |
TOP TEN INDUSTRIES
As of 6/30/07
Banks | 12.5 | % | |
Telecommunication Services | 12.3 | % | |
Energy | 10.9 | % | |
Diversified Financials | 9.5 | % | |
Utilities | 8.4 | % | |
Food, Beverage & Tobacco | 6.2 | % | |
Semiconductors & Semi Equipment | 5.1 | % | |
Transportation | 4.5 | % | |
Consumer Services | 4.2 | % | |
Materials | 3.0 | % |
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Table of Contents
Thornburg Investment Income Builder Fund
I Shares – March 31, 2008
Table of Contents | ||
10 | ||
14 | ||
16 | ||
18 | ||
19 | ||
25 | ||
26 | ||
36 | ||
37 | ||
38 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
Certified Semi-Annual Report 9
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April 18, 2008
Dear Fellow Shareholder:
This letter will be somewhat longer than others we have written for the shareholder reports of Thornburg Investment Income Builder Fund. In addition to covering the basic results of your Fund’s investment activities for the period under review, we believe it is appropriate to comment more extensively on the overall investment landscape, which has changed in important ways in recent months.
Thornburg Investment Income Builder Fund paid ordinary quarterly dividends of 58.8¢ per Class I share in the six-month period ended March 31, 2008, up 14.8% from 51.2¢ in the comparable six-month period of the prior fiscal year.
The median percentage increase of the most recent dividend paid by your portfolio firms was around 13% over the year-earlier level. Across the portfolio, these year-over-year dividend increases were the primary force powering your Fund’s dividend development. In addition, better yields on corporate and mortgage-backed bonds helped your Fund’s income production from the interest bearing portion of the portfolio. Your Fund’s net asset value for Class I shares decreased by $2.84 per share, though a portion of this reflects payment of 46.6¢ per share in capital gains dividends during the six-month period under review. As of March 31, 2008, the net asset value per share of the Class I shares was $20.66. For the six-month period ended March 31, 2008, Class I shares of Thornburg Investment Income Builder Fund produced a total negative return of 7.87%, compared to negative 7.27% for the blended benchmark of 75% MSCI AC World Index and 25% Lehman Aggregate Bond Index and negative 12.46% for the S&P 500 Index.
During this period, 30 of your portfolio stocks delivered positive returns, while 49 showed negative returns. In general, the magnitude of the negative returns exceeded those of the positive returns. You might not expect this type of outcome from a portfolio of businesses that is capable of generating a median dividend increase of 13%, on top of what were already well-above-average dividend yields. Recent months have been marked by very unusual market conditions around the globe.
Your portfolio’s top performers included: Universal Corporation of Virginia, a wholesale tobacco leaf processor; Swiss Reinsurance, an insurance company which increased its dividend by 17%; Canadian Oil Sands Trust, the Alberta based oil producer which rode increasing oil prices to a 150% dividend increase; Hannover Reinsurance, a German insurance firm that increased its dividend by 43%; Dominion Resources, the Virginia based electric utility which upped its dividend by 11%; Telefónica, a Spanish-based telecommunication services firm which increased its dividend by 33%; Impala Platinum Holdings, the South African miner that increased its dividend by 9%; Coca Cola, which increased its dividend by 12%; Quadra Realty, which did an initial public offering in February 2007 and was acquired by its German parent in March 2008; and Brasil Telecom, the Brazilian telephone services firm.
Your Fund’s worst performers included both familiar and less known names: Reddy Ice Holdings, Hong Kong Exchanges & Clearing, Intel, FU JI Food and Catering Services, KKR Financial Holdings, Paychex, Barclays plc, Henderson Group, Macquarie Airports, and Shenzhen-Chiwan Wharf Holdings. Each of these
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has its own story. We continue to hold most of these as of this report date. The Chinese listed firms (Hong Kong Exchanges and Clearing, FU JI Food, Chiwan Wharf) have generally positive business results, but equity prices in China have tumbled by more than 40% in recent months. Reddy Ice, now under $15 per share, was subject to a failed takeover attempt by private equity buyers at $31.50 per share, followed by the announcement of an anti-trust investigation of the packaged ice industry in the United States. The financial firms (KKR, Barclays, and Henderson) are subject to investor anxiety about financials and values of financial assets.
Bond and preferred stock yields are significantly improved from their lows of earlier years. While quoted market prices of many of your portfolio’s bonds declined during the period, income from the bonds offset most of the price declines. At March 31, 2008, domestic stocks, including preferred stocks, comprise around 33% of your portfolio; foreign stocks around 51%; and interest bearing investments 16%. If present conditions persist, we expect to increase the interest bearing investment category weighting in the coming months.
It is understandable that any investor, or investment advisor, might be puzzled at recent financial market volatility. U.S. Treasury bond yields have declined significantly. Yields on most other bonds, including municipal bonds and mortgage related bonds, have increased. Most equity indices around the world have declined significantly during 2008, and even more so since their highs in October of 2007. Prices of most industrial and agricultural commodities have increased significantly this year, while the value of the U.S. dollar has declined against most other global currencies.
There is much mention of “de-leveraging” as a significant factor in falling prices of financial assets. How much leverage must be unwound? There is no simple answer to this, but it is instructive to note how much leverage was built up in recent years. The U.S. Securities & Exchange Commission publishes a composite balance sheet for all U.S. registered broker dealers, which shows the following dynamic over the four-year period from December 31, 2002 to December 31, 2006:
$ billions 12/31/2002 | $ billions 12/31/2006 | $ billions Change | % | ||||||||||
Category | |||||||||||||
Total Assets | $ | 3,114 | $ | 5,908 | +$2,794 | +90 | % | ||||||
Total Liabilities | $ | 2,990 | $ | 5,743 | +$2,753 | +92 | % | ||||||
Total Equity Capital | $ | 124.5 | $ | 165.4 | +$40.9 | +33 | % | ||||||
Equity Capital/Total Assets | 4.0 | % | 2.8 | % | 1.46% on increase | ||||||||
Number of Firms | 5,394 | 5,077 | |||||||||||
(Source: U.S. Securities & Exchange Commission, FOCUS Reports) |
It is striking to note from the figures above that a slightly shrinking population of more than 5,000 U.S. broker dealer firms increased assets (mostly receivables from other broker dealers, long positions in securities, and securities purchased under agreements to resell) by approximately $2.8 trillion over the four-year period shown, and supported these additional assets with only 1.46% ($40.9 billion) of new equity capital. That’s a great deal of leverage. U.S. banks also generally increased leverage by more than 10% per year in the first eight years of this decade. U.S. businesses, especially public companies, generally improved their
Certified Semi-Annual Report 11
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Letter to Shareholders
Continued
balance sheets in recent years. U.S. households, in aggregate, borrowed more – often using their houses as collateral – to accumulate total debt of $13.6 trillion as of September 30, 2007, up from $7.2 trillion at the beginning of 2001.
Now, the extreme leverage of broker dealers, banks, and households is unwinding. Holders of U.S. household debt will write off significant portions of the existing pool, and availability of additional household debt will slow to a trickle. Most of the assets being sold down by broker dealers are debt assets, just as most of the last $2.8 trillion of assets purchased with 1.46% equity and 98.54% borrowed money over the last few years were debt assets. Thornburg Investment Income Builder Fund has NOT employed financial leverage in order to transform a generally lousy looking menu of available debt yields in recent years into something that would attract investment attention. Perhaps you have not either. But a long list of financial players – closed-end mutual funds, hedge funds and “alternative” asset managers of varying descriptions – have employed (formerly) low cost and readily available borrowings to transform unremarkable yielding debt assets into respectable returns on equity. That game is finished for the foreseeable future.
For investors with real money to invest, the great debt unwind in progress is presenting an attractive buffet of higher yields and lower prices on virtually all financial assets, except U.S. Treasury securities and the highest quality plain vanilla money market instruments. This can be unnerving for investors who carefully watch daily price fluctuations and are comforted more by rising prices than by rising yields. We believe today’s combination of lower prices and higher yields presents a great opportunity for unleveraged, traditional saver-investors. Traditional unleveraged investors have become accustomed to being displaced by various Wall Street operatives who confuse leverage with brains. Now, it’s time for those who can recognize the opportunities at hand to earn attractive returns without leverage.
Against this backdrop, stock prices of many of the dividend paying firms owned by Thornburg Investment Income Builder Fund have declined. We are not blind to this, but we are not discouraged. The weighted average price/earnings multiple of these firms, based upon expected 2008 earnings, is between 12 and 13. We are hopeful that a combination of mid-single digit expected 2008 average EPS growth and reasonable dividend payout ratios will leave room for further dividend increases in 2008.
In recent years, the dividend increases paid by the Fund have been powered almost entirely by dividend increases from our equity holdings. In 2008 to date, these stock dividend increases are being augmented by some very interesting yields from new bond purchases . . . now that the leveraged players referred to earlier are turning from buyers into hasty sellers.
Throughout the lifetimes of most readers of these words, the percentage of U.S. GDP tied to residential housing construction has varied between 3% and 7%, with recent years setting records at the high end of this range. It is probable that the U.S. economy will forfeit 2% to 4% of GDP tied to housing during 2008 and 2009. There is plenty of other work to do. It will be painful and challenging for workers, businesses, government, and capital markets to reprogram economic activity away from housing and into infrastructure improvement, updated energy production/consumption platforms, health care improvements, and other pursuits. This must happen. Most of the world has been paying attention to these more productive pursuits already, and global economic growth has been strong.
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Since last summer, an overwhelming majority of new investor dollars invested in mutual funds have flowed into money market funds – more than $700 billion. We believe that yields on taxable and tax exempt money funds will drop below 2% and 1.5%, respectively, in the coming months. Following this, a very large pool of investor dollars will be looking for better returns elsewhere, but in sensible investment programs. There can be a shortage of immediate reinforcement to contrarian investors who channel funds away from the crowd, but it usually pays to think ahead and beat the rush.
Thank you for being a shareholder of the Thornburg Investment Income Builder Fund. Short-term stock price fluctuations notwithstanding, we are generally encouraged by the progress, and the dividend paying capacities, of the businesses owned in your portfolio. Remember that you can review descriptions of many of the stocks in your portfolio at your leisure by going to our internet site, www.thornburg.com/funds. Best wishes for a wonderful summer.
Sincerely,
![]() | ![]() | |||
Brian McMahon | Brad Kinkelaar | Jason Brady, CFA | ||
Co-Portfolio Manager | Co- Portfolio Manager | Co- Portfolio Manager | ||
CEO & Chief Investment Officer | Managing Director | Managing Director |
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager, and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
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STATEMENT OF ASSETS AND LIABILITIES
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
ASSETS | |||
Investments at value (Note 2) | |||
Non-controlled affiliated issuers (cost $86,512,750) | $ | 59,245,197 | |
Non-affiliated issuers (cost $3,993,982,711) | 4,210,238,722 | ||
Cash | 482,378 | ||
Receivable for investments sold | 3,026,726 | ||
Receivable for fund shares sold | 17,371,572 | ||
Unrealized gain on forward exchange contracts (Note 7) | 6,305,627 | ||
Dividends receivable | 21,065,271 | ||
Interest receivable | 7,971,044 | ||
Prepaid expenses and other assets | 171,543 | ||
Total Assets | 4,325,878,080 | ||
LIABILITIES | |||
Payable for securities purchased | 21,402,541 | ||
Payable for fund shares redeemed | 9,974,997 | ||
Unrealized loss on forward exchange contracts (Note 7) | 41,518,379 | ||
Payable to investment advisor and other affiliates (Note 3) | 4,632,990 | ||
Accounts payable and accrued expenses | 770,528 | ||
Dividends payable | 2,238,507 | ||
Total Liabilities | 80,537,942 | ||
NET ASSETS | $ | 4,245,340,138 | |
NET ASSETS CONSIST OF: | |||
Undistributed net investment income | $ | 4,592,976 | |
Net unrealized appreciation on investments | 165,842,483 | ||
Accumulated net realized gain (loss) | 5,937,627 | ||
Net capital paid in on shares of beneficial interest | 4,068,967,052 | ||
$ | 4,245,340,138 | ||
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STATEMENT OF ASSETS AND LIABILITIES, CONTINUED
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
NET ASSET VALUE: | |||
Class A Shares: | |||
Net asset value and redemption price per share ($1,847,479,297 applicable to 90,001,069 shares of beneficial interest outstanding – Note 4) | $ | 20.53 | |
Maximum sales charge, 4.50% of offering price | 0.97 | ||
Maximum offering price per share | $ | 21.50 | |
Class C Shares: | |||
Net asset value and offering price per share * ($1,690,444,182 applicable to 82,310,605 shares of beneficial interest outstanding – Note 4) | $ | 20.54 | |
Class I Shares: | |||
Net asset value, offering and redemption price per share ($694,950,510 applicable to 33,633,857 shares of beneficial interest outstanding – Note 4) | $ | 20.66 | |
Class R3 Shares: | |||
Net asset value, offering and redemption price per share ($12,076,939 applicable to 589,036 shares of beneficial interest outstanding – Note 4) | $ | 20.50 | |
Class R4 Shares: | |||
Net asset value, offering and redemption price per share ($148,340 applicable to 7,194 shares of beneficial interest outstanding – Note 4) | $ | 20.62 | |
Class R5 Shares: | |||
Net asset value, offering and redemption price per share ($240,870 applicable to 11,655 shares of beneficial interest outstanding – Note 4) | $ | 20.67 | |
* | 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, 2008 (Unaudited) |
INVESTMENT INCOME: | ||||
Dividend income | ||||
Non-controlled affiliated issuers (net of foreign taxes withheld of $289,649) | $ | 2,882,631 | ||
Non-affiliated issuers (net of foreign taxes withheld of $3,070,737) | 90,908,537 | |||
Interest income (net of premium amortized of $143,022) | 18,691,191 | |||
Total Income | 112,482,359 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 15,370,799 | |||
Administration fees (Note 3) | ||||
Class A Shares | 1,136,813 | |||
Class C Shares | 1,033,818 | |||
Class I Shares | 175,217 | |||
Class R3 Shares | 6,187 | |||
Class R4 Shares | 7 | |||
Class R5 Shares | 38 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 2,289,107 | |||
Class C Shares | 8,330,501 | |||
Class R3 Shares | 25,721 | |||
Class R4 Shares | 14 | |||
Transfer agent fees | ||||
Class A Shares | 606,240 | |||
Class C Shares | 587,510 | |||
Class I Shares | 147,250 | |||
Class R3 Shares | 7,710 | |||
Class R4 Shares | 300 | |||
Class R5 Shares | 976 | |||
Registration and filing fees | ||||
Class A Shares | 45,383 | |||
Class C Shares | 36,865 | |||
Class I Shares | 18,001 | |||
Class R3 Shares | 8,414 | |||
Class R4 Shares | 4,249 | |||
Class R5 Shares | 10,067 | |||
Custodian fees (Note 3) | 591,276 | |||
Professional fees | 78,149 | |||
Accounting fees | 55,625 | |||
Trustee fees | 25,125 | |||
Other expenses | 247,495 | |||
Total Expenses | 30,838,857 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (759,471 | ) | ||
Fees paid indirectly (Note 3) | (36,076 | ) | ||
Net Expenses | 30,043,310 | |||
Net Investment Income | $ | 82,439,049 | ||
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STATEMENT OF OPERATIONS, CONTINUED
Thornburg Investment Income Builder Fund | Six Months Ended March 31, 2008 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments sold | $ | 18,242,634 | ||
Foreign currency transactions | (35,304,474 | ) | ||
(17,061,840 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (428,091,647 | ) | ||
Foreign currency translations | (8,864,355 | ) | ||
(436,956,002 | ) | |||
Net Realized And Unrealized Loss | (454,017,842 | ) | ||
Net Decrease In Net Assets Resulting From Operations | $ | (371,578,793 | ) | |
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Investment Income Builder Fund
Six Months Ended March 31, 2008* | Year Ended September 30, 2007 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 82,439,049 | $ | 116,042,585 | ||||
Net realized gain (loss) on investments and foreign currency transactions | (17,061,840 | ) | 108,360,392 | |||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments and foreign currency translations | (436,956,002 | ) | 435,315,306 | |||||
Net Increase (decrease) in Net Assets Resulting From Operations | (371,578,793 | ) | 659,718,283 | |||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (44,643,969 | ) | (50,204,595 | ) | ||||
Class C Shares | (35,129,843 | ) | (35,449,856 | ) | ||||
Class I Shares | (18,390,640 | ) | (19,870,628 | ) | ||||
Class R3 Shares | (226,557 | ) | (149,347 | ) | ||||
Class R4 Shares | (136 | ) | — | |||||
Class R5 Shares | (3,468 | ) | (317 | ) | ||||
From realized gains | ||||||||
Class A Shares | (36,128,892 | ) | (25,096,354 | ) | ||||
Class C Shares | (32,902,777 | ) | (18,583,927 | ) | ||||
Class I Shares | (13,856,430 | ) | (8,637,003 | ) | ||||
Class R3 Shares | (182,203 | ) | (52,085 | ) | ||||
Class R5 Shares | (1,810 | ) | — | |||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 390,471,348 | 568,545,293 | ||||||
Class C Shares | 373,388,211 | 706,003,815 | ||||||
Class I Shares | 143,815,834 | 252,258,521 | ||||||
Class R3 Shares | 5,869,665 | 5,498,993 | ||||||
Class R4 Shares | 146,036 | — | ||||||
Class R5 Shares | 191,557 | 67,758 | ||||||
Net Increase in net Assets | 360,837,133 | 2,034,048,551 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 3,884,503,005 | 1,850,454,454 | ||||||
End of period | $ | 4,245,340,138 | $ | 3,884,503,005 | ||||
Undistributed net investment income | $ | 4,592,976 | $ | 20,548,540 |
* | Unaudited. |
See notes to financial statements.
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Table of Contents
Thornburg Investment Income Builder Fund | March 31, 2008 (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 thirteen 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 New York Intermediate Municipal Fund, Thornburg Core Growth Fund, Thornburg Global Opportunities Fund, Thornburg International Growth Fund, and Thornburg Strategic Income 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 primary investment goal is 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 goal is long-term capital appreciation.
The Fund currently offers six classes of shares of beneficial interest, Class A, Class C, Institutional Class (Class I), and Retirement Classes (Class R3, Class R4, and Class R5) 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, (iv) Class R3 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, (v) Class R4 shares are sold at net asset value without sales charge at the time of purchase, but bear a service 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 may have different reinvestment privileges and conversion rights. 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 Securities: Portfolio securities listed or traded on a national securities exchange are valued on the valuation date at the last reported sale price on the exchange that is the primary market for the security. Portfolio securities traded on an exchange for which there has been no sale that day and other equity securities traded in the over-the-counter market are valued at the mean between the last reported bid and asked prices. Portfolio securities reported by NASDAQ are valued at the NASDAQ official closing price. Any foreign security traded on exchanges outside the United States is valued at the price of the security on the exchange that is normally the security’s primary market, as of the close of that exchange preceding the time of the Fund’s valuation. Quotations for foreign securities in foreign currencies are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
Any debt securities held by the Fund have a primary market over the counter and are valued by an independent pricing service approved by the Trustees of the Trust. The pricing service ordinarily values debt securities at quoted bid prices. When quotations are not available, debt securities held by the Fund are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt securities of comparable quality, type of issue, coupon, maturity, and rating, indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
In any case where the market value of an equity security held by the Fund is not readily available, the Trust’s valuation and pricing committee determines a fair value for the security using factors approved by the Trustees. A security’s market value is deemed not readily available whenever the exchange or market on which the security is primarily traded is closed for the entire scheduled day of trading. Additionally, a security’s market value may be deemed not readily available under other circumstances identified by the Trustees, including when developments occurring after the most recent close of the security’s primary exchange or market, but before the most recent close of trading in Fund shares, create a serious question about the reliability of the security’s market value.
In any case where a pricing service fails to provide a price for a debt security held by the Fund, the valuation and pricing committee determines a fair value for the debt security using factors approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt security held by the Fund may be unreliable, the valuation and pricing committee decides whether or not to use the pricing service’s valuation or to determine a fair value for the debt security.
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
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 amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books, and the U.S. dollar equivalent of the amounts actually received or paid.
Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.
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 Fund’s 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 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 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 liabilities 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 six months ended March 31, 2008, 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 Trust also has entered into administrative services agreements with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Fund’s shares, and for
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
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 six months ended March 31, 2008, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $731,599 for Class C shares, $12,415 for Class R3 shares, $4,535 for Class R4 shares, and $10,922 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 six months ended March 31, 2008, the Distributor has advised the Fund that it earned commissions aggregating $672,486 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $ 239,013 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 and distribution 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 R3 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C and Class R3 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 and Class R3 shares. Total fees incurred by the Distributor for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2008, 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 six months ended March 31, 2008, fees paid indirectly were $36,076. This figure may include additional fees waived by the custodian.
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, 2008, 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, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | |||||||||||||
Shares | Amount | shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 21,835,785 | $ | 485,078,399 | 32,442,895 | $ | 692,883,081 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 3,053,434 | 67,622,210 | 2,915,652 | 61,056,323 | ||||||||||
Shares repurchased | (7,553,475 | ) | (162,245,831 | ) | (8,821,730 | ) | (185,406,263 | ) | ||||||
Redemption fees received** | — | 16,570 | — | 12,152 | ||||||||||
Net Increase (Decrease) | 17,335,744 | $ | 390,471,348 | 26,536,817 | $ | 568,545,293 | ||||||||
Class C Shares | ||||||||||||||
Shares sold | 18,929,243 | $ | 421,317,643 | 34,745,769 | $ | 739,818,421 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 2,344,094 | 52,043,001 | 1,908,232 | 40,045,995 | ||||||||||
Shares repurchased | (4,675,921 | ) | (99,987,540 | ) | (3,442,710 | ) | (73,871,246 | ) | ||||||
Redemption fees received** | — | 15,107 | — | 10,645 | ||||||||||
Net Increase (Decrease) | 16,597,416 | $ | 373,388,211 | 33,211,291 | $ | 706,003,815 | ||||||||
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
Six Months Ended March 31, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class I Shares | ||||||||||||||
Shares sold | 9,742,589 | $ | 217,494,372 | 14,887,196 | $ | 318,805,598 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 1,054,657 | 23,489,529 | 1,043,149 | 22,020,961 | ||||||||||
Shares repurchased | (4,574,364 | ) | (97,174,471 | ) | (4,191,444 | ) | (88,572,580 | ) | ||||||
Redemption fees received** | — | 6,404 | — | 4,542 | ||||||||||
Net Increase (Decrease) | 6,222,882 | $ | 143,815,834 | 11,738,901 | $ | 252,258,521 | ||||||||
Class R3 Shares | ||||||||||||||
Shares sold | 331,762 | $ | 7,305,405 | 313,697 | $ | 6,751,609 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 17,744 | 391,886 | 9,170 | 195,546 | ||||||||||
Shares repurchased | (83,644 | ) | (1,827,720 | ) | (66,150 | ) | (1,448,208 | ) | ||||||
Redemption fees received** | — | 94 | — | 46 | ||||||||||
Net Increase (Decrease) | 265,862 | $ | 5,869,665 | 256,717 | $ | 5,498,993 | ||||||||
Class R4 Shares(a) | ||||||||||||||
Shares sold | 7,190 | $ | 145,946 | — | $ | — | ||||||||
Shares issued to shareholders in reinvestment of dividends | 4 | 90 | — | — | ||||||||||
Shares repurchased | — | — | — | — | ||||||||||
Redemption fees received** | — | — | — | — | ||||||||||
Net Increase (Decrease) | 7,194 | $ | 146,036 | — | $ | — | ||||||||
Class R5 Shares(b) | ||||||||||||||
Shares sold | 9,164 | $ | 203,489 | 3,057 | $ | 67,798 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 68 | 1,416 | 3 | 64 | ||||||||||
Shares repurchased | (632 | ) | (13,350 | ) | (5 | ) | (104 | ) | ||||||
Redemption fees received** | — | 2 | — | — | ||||||||||
Net Increase (Decrease) | 8,600 | $ | 191,557 | 3,055 | $ | 67,758 | ||||||||
(a) | Effective date for Class R4 shares was February 1, 2008. |
(b) | Effective date for Class R5 shares was February 1, 2007. |
** | The Fund charges a redemption fee of 1% of the Class A and Class I shares redeemed or exchanged within 30 days of purchase Redemption fees charged to any class are allocated to all classes upon receipt of payment based on relative net asset values of each class or other appropriate allocation methods. |
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2008, the Fund had purchase and sale transactions of investment securities (excluding short-term investments and U.S. Government obligations) of $1,618,363,501 and $801,086,458, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2008, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 4,086,003,150 | ||
Gross unrealized appreciation on a tax basis | $ | 395,719,121 | ||
Gross unrealized depreciation on a tax basis | (212,238,352 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 183,480,769 | ||
At March 31, 2008, the Fund had deferred tax basis currency losses occurring subsequent to October 31, 2006 of $268,838. For tax purposes, such losses will be reflected in the year end- ing September 30, 2008.
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
NOTE 7 – FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
During the six months ended March 31, 2008, 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. There are special risks associated with international investing, including currency fluctuations, economic and political instability, confiscation, inability or delays in selling foreign investments, and reduced legal protection for investments.
CONTRACTS TO SELL: | ||||||
Contracts | Contract Value Date | Unrealized Gain (Loss) | ||||
25,500,000 Greater British Pound for 49,881,825 USD | April 16, 2008 | $ | (668,365 | ) | ||
325,000,000 Euro Dollar for 471,558,750 USD | May 06, 2008 | (40,850,014 | ) | |||
Unrealized loss from forward Sell contracts: | $ | (41,518,379 | ) | |||
70,000,000 Greater British Pound for 144,861,500 USD | May 06, 2008 | $ | 6,305,627 | |||
Unrealized gain from forward Sell contracts: | $ | 6,305,627 | ||||
Net unrealized gain (loss) from forward Exchange contracts | $ | (35,212,752 | ) | |||
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
OTHER NOTES:
FASB Interpretation No. 48:
On July 13, 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation prescribes a model for how a company, including the Fund, should recognize, measure, present and disclose in its financial statements uncertain tax positions that the company has taken or expects to take on income tax returns, and also revises certain disclosure requirements. The Interpretation became effective for the Fund for the financial statement reporting period ended March 31, 2008. As of the date of this report, management of the Fund has not identified any material effect on the Fund’s financial statements resulting from the implementation of FIN 48.
Statement of Accounting Standards No. 157:
On September 15, 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No 157, “Fair Value Measurements” (“FAS 157”). FAS 157 defines fair value, provides guidelines for measuring fair value in accordance with generally accepted accounting principles, and addresses disclosures about fair value measurements. FAS 157 establishes a fair value hierarchy that distinguishes between (i) market participant assumptions developed based upon market data obtained from sources independent of the reporting entity (observable inputs) and (ii) the entity’s own assumptions about market participant assumptions developed based upon the best information available under the circumstances (unobservable inputs). FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and is to be applied prospectively as of the beginning of the first fiscal year for which FAS 157 is applied. Management is evaluating FAS 157, and is not in a position at this time to estimate the significance of its impact, if any, on the Fund’s financial statements.
Statement of Accounting Standards No. 161:
In March 2008, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”). FAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. FAS 161 requires enhanced disclosures about any derivative and hedging activities by the Fund, including how such activities are accounted for and any effect on the Fund’s financial position, performance and cash flows. Management is evaluating the impact, if any, that the adoption of FAS 161 will have on the Fund’s financial statements and related disclosures.
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Thornburg Investment Income Builder Fund
Six Months Ended March 31, 2008* | Year Ended September 30, | Period Ended Sept. 30, 2004(a) | ||||||||||||||||||
2007 | 2006 | 2005 | ||||||||||||||||||
Class I Shares: | ||||||||||||||||||||
PER SHARE PERFORMANCE | ||||||||||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||||||||||
Net asset value, beginning of period | $ | 23.50 | $ | 19.71 | $ | 18.03 | $ | 15.64 | $ | 14.45 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss) | 0.50 | 1.02 | 0.88 | 0.84 | 0.74 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (2.28 | ) | 4.24 | 1.98 | 2.22 | 1.01 | ||||||||||||||
Total from investment operations | (1.78 | ) | 5.26 | 2.86 | 3.06 | 1.75 | ||||||||||||||
Less dividends from: | ||||||||||||||||||||
Net investment income | (0.59 | ) | (0.96 | ) | (0.84 | ) | (0.67 | ) | (0.56 | ) | ||||||||||
Net realized gains | (0.47 | ) | (0.51 | ) | (0.34 | ) | — | — | ||||||||||||
Total dividends | (1.06 | ) | (1.47 | ) | (1.18 | ) | (0.67 | ) | (0.56 | ) | ||||||||||
Change in net asset value | (2.84 | ) | 3.79 | 1.68 | 2.39 | 1.19 | ||||||||||||||
NET ASSET VALUE, end of period | $ | 20.66 | $ | 23.50 | $ | 19.71 | $ | 18.03 | $ | 15.64 | ||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Total return (%)(b) | (7.87 | ) | 27.80 | 16.53 | 19.73 | 12.19 | ||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss)(%) | 4.50 | (c) | 4.74 | 4.68 | 4.86 | 5.33 | (c) | |||||||||||||
Expenses, after expense reductions(%) | 0.88 | (c) | 0.95 | 0.99 | 1.00 | 0.99 | (c) | |||||||||||||
Expenses, after expense reductions and net of custody credits(%) | 0.88 | (c) | 0.94 | 0.98 | 0.99 | 0.99 | (c) | |||||||||||||
Expenses, before expense reductions(%) | 0.88 | (c) | 0.95 | 1.02 | 1.09 | 1.21 | (c) | |||||||||||||
Portfolio turnover rate(%) | 19.88 | 62.60 | 55.29 | 76.76 | 109.21 | |||||||||||||||
Net assets at end of period (thousands) | $ | 694,951 | $ | 644,294 | $ | 308,859 | $ | 129,110 | $ | 33,247 |
(a) | Effective date of this class of shares was November 1, 2003. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
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Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
CUSIPS: CLASS A – 885-215-558, CLASS C – 885 – 215-541, CLASS I – 885-215-467, CLASS R3 – 885-215-384,
CLASS R4 – 885-215-186, CLASS R5 – 885-215-236
NASDAQ SYMBOLS: CLASS A – TIBAX, CLASS C – TIBCX, CLASS I – TIBIX, CLASS R3 – TIBRX,
CLASS R4 – TIBGX, CLASS R5 – TIBMX
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/08
Telecommunication Services | 17.7 | % | Software & Services | 1.1 | % | |||
Banks | 11.0 | % | Retailing | 0.4 | % | |||
Food, Beverage & Tobacco | 8.8 | % | Technology Hardware & Equipment | 0.3 | % | |||
Energy | 8.7 | % | Food & Staples Retailing | 0.2 | % | |||
Utilities | 8.1 | % | Real Estate | 0.2 | % | |||
Diversified Financials | 7.7 | % | Commercial Services & Supplies | 0.0 | % | |||
Consumer Services | 5.7 | % | ||||||
Insurance | 5.2 | % | ||||||
Materials | 4.9 | % | Other Non-classified Securities: | |||||
Semiconductors & Semiconductor Equipment | 3.6 | % | Asset Backed Securities | 0.6 | % | |||
Pharmaceuticals, Biotechnology & Life Sciences | 2.6 | % | U.S. Government Agencies | 0.4 | % | |||
Transportation | 2.4 | % | Other Securities | 0.4 | % | |||
Consumer Durables & Apparel | 2.1 | % | Foreign Bonds | 0.2 | % | |||
Capital Goods | 2.1 | % | Municipal Bonds | 0.1 | % | |||
Media | 1.6 | % | Other Assets & Cash Equivalents | 3.9 | % |
SUMMARY OF COUNTRY EXPOSURE
As of 3/31/08
United States of America | 42.9 | % | France | 2.4 | % | Bermuda | 0.6 | % | |||||
United Kingdom | 8.5 | % | Mexico | 2.4 | % | Norway | 0.5 | % | |||||
Italy | 7.4 | % | South Africa | 1.8 | % | Russia | 0.3 | % | |||||
Spain | 6.0 | % | Germany | 1.5 | % | Luxemburg | 0.2 | % | |||||
Greece | 3.9 | % | Taiwan | 1.5 | % | Korea | 0.0 | % | |||||
Switzerland | 3.7 | % | Brazil | 1.2 | % | Ireland | 0.0 | % | |||||
Canada | 2.9 | % | Hong Kong | 1.2 | % | ||||||||
Australia | 2.9 | % | Turkey | 0.9 | % | ||||||||
China | 2.8 | % | Malaysia | 0.6 | % | Other Assets & Cash Equivalents | 3.9 | % |
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SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
COMMON STOCK — 84.24% | |||||
BANKS — 9.89% | |||||
COMMERCIAL BANKS — 9.89% | |||||
Barclays plc | 3,400,000 | $ | 30,567,590 | ||
BBVA | 3,150,000 | 69,374,168 | |||
EFG Eurobank Ergasias | 2,250,000 | 68,344,035 | |||
Intesa Sanpaolo | 10,000,000 | 70,491,133 | |||
Liechtensteinische Landesbank AG | 890,000 | 70,798,510 | |||
Lloyds TSB Group plc | 6,000,000 | 53,704,648 | |||
US Bancorp | 1,750,000 | 56,630,000 | |||
419,910,084 | |||||
CAPITAL GOODS — 1.87% | |||||
INDUSTRIAL CONGLOMERATES — 1.87% | |||||
General Electric Co. | 2,150,000 | 79,571,500 | |||
79,571,500 | |||||
CONSUMER DURABLES & APPAREL — 2.15% | |||||
HOUSEHOLD DURABLES — 2.15% | |||||
Persimmon plc | 6,000,000 | 91,095,468 | |||
91,095,468 | |||||
CONSUMER SERVICES — 5.53% | |||||
HOTELS, RESTAURANTS & LEISURE — 5.53% | |||||
Berjaya Sports Toto Berhad | 17,000,000 | 27,372,205 | |||
FU JI Food & Catering Services | 13,000,000 | 21,882,007 | |||
McDonald’s Corp. | 1,600,000 | 89,232,000 | |||
OPAP SA | 2,700,000 | 96,249,998 | |||
234,736,210 | |||||
DIVERSIFIED FINANCIALS — 5.56% | |||||
CAPITAL MARKETS — 2.01% | |||||
AllianceBernstein Holdings LP | 435,420 | 27,596,920 | |||
GMP Capital Trust | 2,038,700 | 33,308,002 | |||
Henderson Group plc | 6,839,999 | 14,355,572 | |||
Henderson Group plc-CDI | 4,800,000 | 10,089,452 | |||
DIVERSIFIED FINANCIAL SERVICES — 3.55% | |||||
Bank of America Corp. | 400,000 | 15,164,000 | |||
Bolsas y Mercados Espanoles | 600,000 | 29,307,892 | |||
Hong Kong Exchanges & Clearing Ltd. | 2,200,000 | 37,766,057 | |||
KKR Financial Holdings, LLC | 5,400,000 | 68,364,000 | |||
235,951,895 | |||||
ENERGY — 7.33% | |||||
ENERGY EQUIPMENT & SERVICES — 2.32% | |||||
Diamond Offshore Drilling, Inc. | 650,000 | 75,660,000 | |||
Fred Olsen Energy ASA | 400,000 | 22,700,718 |
Certified Semi-Annual Report 27
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
OIL, GAS & CONSUMABLE FUELS — 5.01% | |||||
Canadian Oil Sands Trust | 1,525,000 | $ | 61,656,681 | ||
Eni SpA | 3,300,000 | 112,533,213 | |||
Tupras-Turkiye Petrol Rafinerileri A.S. | 1,750,000 | 38,690,699 | |||
311,241,311 | |||||
FOOD, BEVERAGE & TOBACCO — 8.27% | |||||
BEVERAGES — 1.86% | |||||
Coca Cola Co. | 1,300,000 | 79,131,000 | |||
FOOD PRODUCTS — 2.16% | |||||
Kraft Foods, Inc. A | 2,000,000 | 62,020,000 | |||
Reddy Ice Holdings, Inc.(1) | 2,275,000 | 29,643,250 | |||
TOBACCO — 4.25% | |||||
Altria Group, Inc. | 1,600,000 | 35,520,000 | |||
Philip Morris+ | 1,600,000 | 80,928,000 | |||
Universal Corp. | 976,230 | 63,972,352 | |||
351,214,602 | |||||
INSURANCE — 4.98% | |||||
INSURANCE — 4.98% | |||||
AXA | 1,150,000 | 41,739,750 | |||
Hannover Rueckversicherung AG | 1,200,000 | 62,556,342 | |||
Lancashire Holdings Ltd. | 3,882,523 | 21,652,320 | |||
Swiss Re | 977,500 | 85,387,297 | |||
211,335,709 | |||||
MATERIALS — 4.34% | |||||
CHEMICALS — 1.00% | |||||
Huntsman Corp. | 1,800,000 | 42,390,000 | |||
METALS & MINING — 3.34% | |||||
Impala Platinum Holdings Ltd. | 2,000,000 | 77,188,656 | |||
Southern Copper Corp. | 625,000 | 64,893,750 | |||
184,472,406 | |||||
MEDIA — 1.29% | |||||
MEDIA — 1.29% | |||||
Mediaset SpA | 4,000,000 | 37,005,871 | |||
Sinclair Broadcast Group, Inc. | 2,000,000 | 17,820,000 | |||
54,825,871 | |||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 2.43% | |||||
PHARMACEUTICALS — 2.43% | |||||
Eli Lilly & Co. | 2,000,000 | 103,180,000 | |||
103,180,000 | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 3.60% | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 3.60% | |||||
Intel Corp. | 4,300,000 | 91,074,000 | |||
Taiwan Semiconductor Mfg. Co. Ltd. ADR | 6,029,995 | 61,928,049 | |||
153,002,049 | |||||
28 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
SOFTWARE & SERVICES — 1.09% | |||||
IT SERVICES — 1.09% | |||||
Paychex, Inc. | 1,350,000 | $ | 46,251,000 | ||
46,251,000 | |||||
TELECOMMUNICATION SERVICES — 16.58% | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 10.78% | |||||
AT&T, Inc. | 1,844,900 | 70,659,670 | |||
Brasil Telecom | 1,650,000 | 46,405,368 | |||
France Telecom SA | 1,850,000 | 62,210,596 | |||
Inmarsat plc | 9,000,000 | 79,351,297 | |||
Telefónica SA | 5,400,000 | 155,159,430 | |||
Telstra Corp. Ltd. | 17,000,000 | 43,656,988 | |||
WIRELESS TELECOMMUNICATION SERVICES — 5.80% | |||||
América Móvil SAB de C.V. | 1,600,000 | 101,904,000 | |||
China Mobile Ltd. | 5,000,000 | 74,396,253 | |||
Vodafone Group plc | 23,400,000 | 70,079,207 | |||
703,822,809 | |||||
TRANSPORTATION — 1.97% | |||||
TRANSPORTATION INFRASTRUCTURE — 1.97% | |||||
Hopewell Highway | 15,643,500 | 11,999,986 | |||
Macquarie Airports | 17,000,000 | 50,182,232 | |||
Shenzhen Chiwan Wharf Holdings Ltd. | 14,665,727 | 21,256,179 | |||
83,438,397 | |||||
UTILITIES — 7.36% | |||||
ELECTRIC UTILITIES — 4.05% | |||||
Enel S.p.A. | 9,000,000 | 95,482,726 | |||
Entergy Corp. | 700,000 | 76,356,000 | |||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.70% | |||||
Algonquin Power Income Fund Trust(1) | 3,925,700 | 29,601,947 | |||
MULTI-UTILITIES — 2.61% | |||||
Energy East Corp. | 4,597,500 | 110,891,700 | |||
312,332,373 | |||||
TOTAL COMMON STOCK (Cost $3,345,083,051) | 3,576,381,684 | ||||
PREFERRED SToCK — 0.55% | |||||
BANKS — 0.32% | |||||
COMMERCIAL BANKS — 0.32% | |||||
Barclays Bank plc | 200,000 | 4,840,000 | |||
First Tennessee Bank | 12,000 | 8,538,750 | |||
13,378,750 | |||||
Certified Semi-Annual Report 29
Table of Contents
Shares/ Principal Amount | Value | |||||
DIVERSIFIED FINANCIALS — 0.23% | ||||||
CAPITAL MARKETS — 0.23% | ||||||
Lehman Brothers Holdings, Inc. | 140,000 | $ | 1,862,000 | |||
Merrill Lynch & Co., Inc. | 420,000 | 5,829,600 | ||||
Morgan Stanley | 120,000 | 2,217,000 | ||||
9,908,600 | ||||||
TOTAL PREFERRED STOCK (Cost $33,981,250) | 23,287,350 | |||||
ASSET BACKED SECURITIES — 0.78% | ||||||
BANKS — 0.38% | ||||||
COMMERCIAL BANKS — 0.38% | ||||||
Wells Fargo Asset Securities Corp. Series 2005-AR2 Class B1, 4.545%, 2/25/2035 | $ | 10,602,134 | 8,446,016 | |||
Wells Fargo Asset Securities Corp. Series 2005-AR2 Class B1, 4.684%, 3/25/2035 | 9,923,213 | 7,845,727 | ||||
16,291,743 | ||||||
DIVERSIFIED FINANCIALS — 0.40% | ||||||
CAPITAL MARKETS — 0.17% | ||||||
Bear Stearns ARM Mtg Series 2003-6 Class 2B-1, 4.828%, 8/25/2033 | 1,376,714 | 1,207,637 | ||||
Merrill Lynch Mtg Investors Trust, 4.231%, 8/25/2034 | 7,314,193 | 5,984,367 | ||||
DIVERSIFIED FINANCIAL SERVICES — 0.23% | ||||||
Banc of America Funding Corp. Series 2006-I Class SB1, 4.735%, 12/20/2036 | 3,343,380 | 2,741,572 | ||||
Banc of America Mtg Securities Series 2005-A Class B1, 4.88%, 2/25/2035 | 5,462,189 | 4,525,754 | ||||
Citigroup Mortgage Loan Trust, Inc., 5.156%, 3/25/2034 | 2,884,139 | 2,495,552 | ||||
16,954,882 | ||||||
TOTAL ASSET BACKED SECURITIES (Cost $36,310,255) | 33,246,625 | |||||
CORPORATE BONDS — 8.01% | ||||||
BANKS — 0.70% | ||||||
COMMERCIAL BANKS — 0.70% | ||||||
Alfa Diversified, 4.80%, 3/15/2012 | 7,000,000 | 6,463,800 | ||||
First Tennessee Bank, 5.316%, 12/8/2008 | 10,000,000 | 9,980,090 | ||||
MDM DPR Finance Company SA, 4.80%, 6/15/2012 (2) | 8,444,444 | 8,022,222 | ||||
National City Bank, 7.25%, 7/15/2010 | 5,000,000 | 5,059,020 | ||||
29,525,132 | ||||||
COMMERCIAL SERVICES & SUPPLIES — 0.02% | ||||||
COMMERCIAL SERVICES & SUPPLIES — 0.02% | ||||||
Allied Waste North America, Inc., 6.375%, 4/15/2011 | 500,000 | 491,875 | ||||
Waste Management, Inc., 7.375%, 8/1/2010 | 175,000 | 184,363 | ||||
676,238 | ||||||
CONSUMER SERVICES — 0.14% | ||||||
HOTELS, RESTAURANTS & LEISURE — 0.14% | ||||||
Seneca Nation of Indians Capital Improvements Authority, 6.75%, 12/1/2013 | 6,000,000 | 6,143,520 | ||||
6,143,520 | ||||||
30 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | |||||
DIVERSIFIED FINANCIALS — 1.54% | ||||||
CAPITAL MARKETS — 0.41% | ||||||
Goldman Sachs Group, Inc., 5.625%, 1/15/2017 | $ | 8,000,000 | $ | 7,674,600 | ||
Lehman Brothers Holdings, Inc., 6.00%, 7/19/2012 | 10,000,000 | 9,870,070 | ||||
CONSUMER FINANCE — 0.95% | ||||||
Capital One Bank, 6.70%, 5/15/2008 | 655,000 | 655,302 | ||||
Capital One Bank, 6.50%, 6/13/2013 | 1,500,000 | 1,415,826 | ||||
Capital One Financial Corp., 6.15%, 9/1/2016 | 25,500,000 | 21,413,778 | ||||
SLM Corp., 4.00%, 1/15/2009 | 5,000,000 | 4,502,125 | ||||
SLM Corp., 4.50%, 7/26/2010 | 4,800,000 | 3,938,496 | ||||
SLM Corp. CPI Floating Rate Note, 5.28%, 3/2/2009 | 5,500,000 | 4,840,000 | ||||
SLM Corp. Floating Rate, 3.631%, 1/27/2014 | 5,000,000 | 3,501,905 | ||||
DIVERSIFIED FINANCIAL SERVICES — 0.18% | ||||||
CIT Group, Inc., 5.00%, 2/13/2014 | 9,500,000 | 7,476,063 | ||||
65,288,165 | ||||||
ENERGY — 0.82% | ||||||
ENERGY EQUIPMENT & SERVICES — 0.20% | ||||||
Calfrac Holdings, 7.75%, 2/15/2015 | 7,900,000 | 7,386,500 | ||||
Seitel, Inc., 9.75%, 2/15/2014 | 1,000,000 | 842,500 | ||||
OIL, GAS & CONSUMABLE FUELS — 0.62% | ||||||
Chesapeake Energy Corp., 7.00%, 8/15/2014 | 5,300,000 | 5,313,250 | ||||
Enterprise Products Operating LP, 7.034%, 1/15/2068 | 5,900,000 | 5,008,321 | ||||
Murphy Oil Corp., 6.375%, 5/1/2012 | 5,000,000 | 5,218,715 | ||||
Petroleum Development Corp., 12.00%, 2/15/2018 | 5,500,000 | 5,500,000 | ||||
Petroplus Finance Ltd., 6.75%, 5/1/2014 | 4,000,000 | 3,650,000 | ||||
Teppco Partners LP, 7.00%, 6/1/2067 | 2,000,000 | 1,713,698 | ||||
34,632,984 | ||||||
FOOD & STAPLES RETAILING — 0.23% | ||||||
FOOD & STAPLES RETAILING — 0.23% | ||||||
Rite Aid Corp., 8.625%, 3/1/2015 | 3,000,000 | 2,287,500 | ||||
Rite Aid Corp., 9.375%, 12/15/2015 | 9,500,000 | 7,457,500 | ||||
9,745,000 | ||||||
FOOD, BEVERAGE & TOBACCO — 0.56% | ||||||
BEVERAGES — 0.35% | ||||||
Constellation Brands, Inc., 8.375%, 12/15/2014 | 10,400,000 | 10,712,000 | ||||
Diageo Capital plc, 5.50%, 9/30/2016 | 4,000,000 | 4,043,204 | ||||
FooD PRoDUCTS — 0.21% | ||||||
Kraft Foods, Inc., 6.50%, 8/11/2017 | 5,000,000 | 5,129,745 | ||||
Kraft Foods, Inc., 6.125%, 2/1/2018 | 4,000,000 | 3,997,468 | ||||
23,882,417 | ||||||
INSURANCE — 0.18% | ||||||
INSURANCE — 0.18% | ||||||
AAG Holding Co., Inc., 6.875%, 6/1/2008 | 335,000 | 336,624 | ||||
Liberty Mutual Group, Inc., 5.75%, 3/15/2014 | 1,000,000 | 1,033,154 | ||||
Pacific Life Global Funding CPI Floating Rate Note, 5.72%, 2/6/2016 | 2,000,000 | 2,066,820 | ||||
Prudential Financial, Inc., 6.00%, 12/1/2017 | 4,300,000 | 4,334,013 | ||||
7,770,611 | ||||||
Certified Semi-Annual Report 31
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | |||||
MATERIALS — 0.51% | ||||||
CONSTRUCTION MATERIALS — 0.04% | ||||||
C8 Capital Ltd., 6.64%, 12/31/2049 | $ | 2,000,000 | $ | 1,845,360 | ||
METALS & MINING — 0.47% | ||||||
Bemax Resources, 9.375%, 7/15/2014 | 5,000,000 | 4,700,000 | ||||
Freeport-McMoRan Copper & Gold, 8.25%, 4/1/2015 | 4,500,000 | 4,747,500 | ||||
GTL Trade Finance, Inc., 7.25%, 10/20/2017 | 10,000,000 | 10,541,380 | ||||
21,834,240 | ||||||
MEDIA — 0.24% | ||||||
MEDIA — 0.24% | ||||||
AOL Time Warner, Inc., 6.875%, 5/1/2012 | 425,000 | 438,743 | ||||
Comcast Corp., 6.30%, 11/15/2017 | 5,000,000 | 5,060,650 | ||||
DIRECTV Holdings, 6.375%, 6/15/2015 | 5,100,000 | 4,755,750 | ||||
10,255,143 | ||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 0.16% | ||||||
BIOTECHNOLOGY — 0.16% | ||||||
Biogen Idec, Inc., 6.00%, 3/1/2013 | 4,000,000 | 4,047,168 | ||||
Tiers Inflation Linked Trust Series Wyeth 2004 21 Trust Certificate CPI Floating Rate Note, 5.931%, 2/1/2014 | 3,000,000 | 2,722,140 | ||||
6,769,308 | ||||||
REAL ESTATE — 0.18% | ||||||
REAL ESTATE — 0.18% | ||||||
Agile Property Holdings Ltd, 9.00%, 9/22/2013 | 10,000,000 | 7,600,000 | ||||
7,600,000 | ||||||
RETAILING — 0.35% | ||||||
MULTILINE RETAIL — 0.35% | ||||||
Nordstrom, Inc., 6.25%, 1/15/2018 | 13,000,000 | 12,940,499 | ||||
Parkson Retail Group, 7.125%, 5/30/2012 | 2,110,000 | 2,057,680 | ||||
14,998,179 | ||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 0.33% | ||||||
COMMUNICATIONS EQUIPMENT — 0.20% | ||||||
Motorola, Inc., 6.00%, 11/15/2017 | 10,000,000 | 8,566,620 | ||||
COMPUTERS & PERIPHERALS — 0.08% | ||||||
Jabil Circuit, Inc., 5.875%, 7/15/2010 | 3,485,000 | 3,441,957 | ||||
TECHNOLOGY HARDWARE & EQUIPMENT — 0.05% | ||||||
Cisco Systems, Inc., 3.158%, 2/20/2009 | 2,000,000 | 1,999,992 | ||||
14,008,569 | ||||||
TELECOMMUNICATION SERVICES — 0.89% | ||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.89% | ||||||
Level 3 Financing, Inc., 9.25%, 11/1/2014 | 23,600,000 | 19,293,000 | ||||
Level 3 Financing, Inc. Senior Notes, 12.25%, 3/15/2013 | 6,000,000 | 5,400,000 | ||||
TCI Communications, Inc., 7.875%, 8/1/2013 | 2,285,000 | 2,505,169 | ||||
Windstream Corp., 8.125%, 8/1/2013 | 10,800,000 | 10,611,000 | ||||
37,809,169 | ||||||
32 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | |||||
TRANSPORTATION — 0.42% | ||||||
AIR FREIGHT & LOGISTICS — 0.12% | ||||||
FedEx Corp., 5.50%, 8/15/2009 | $ | 5,000,000 | $ | 5,120,065 | ||
ROAD & RAIL — 0.30% | ||||||
Hertz Corp., 8.875%, 1/1/2014 | 13,205,000 | 12,511,738 | ||||
17,631,803 | ||||||
UTILITIES — 0.74% | ||||||
ELECTRIC UTILITIES — 0.37% | ||||||
Entergy New Orleans, Inc., 3.875%, 8/1/2008 | 8,500,000 | 8,490,064 | ||||
Monongahela Power, 5.70%, 3/15/2017 | 7,000,000 | 7,157,234 | ||||
GAS UTILITIES — 0.37% | ||||||
Oneok Partners, LP Senior Notes, 5.90%, 4/1/2012 | 3,000,000 | 3,116,664 | ||||
Southern Union Co., 7.20%, 11/1/2066 | 14,900,000 | 12,516,000 | ||||
31,279,962 | ||||||
TOTAL CORPORATE BONDS (Cost $361,924,727) | 339,850,440 | |||||
CONVERTIBLE BONDS — 0.50% | ||||||
DIVERSIFIED FINANCIALS — 0.20% | ||||||
DIVERSIFIED FINANCIAL SERVICES — 0.20% | ||||||
Kkr Financial Holdings, LLC, 7.00%, 7/15/2012 | 11,000,000 | 8,580,000 | ||||
8,580,000 | ||||||
TELECOMMUNICATION SERVICES — 0.30% | ||||||
WIRELESS TELECOMMUNICATION SERVICES — 0.30% | ||||||
NII Holdings, 3.125%, 6/15/2012 | 15,800,000 | 12,541,250 | ||||
12,541,250 | ||||||
TOTAL CONVERTIBLE BONDS (Cost $22,888,716) | 21,121,250 | |||||
MUNICIPAL BONDS — 0.11% | ||||||
Short Pump Town Center Community Development, 6.26%, 2/1/2009 | 2,000,000 | 2,043,180 | ||||
Victor New York, 9.05%, 5/1/2008 | 615,000 | 616,618 | ||||
Victor New York, 9.20%, 5/1/2014 | 2,000,000 | 2,192,700 | ||||
TOTAL MUNICIPAL BONDS (Cost $4,736,113) | 4,852,498 | |||||
U.S. GOVERNMENT AGENCIES — 0.43% | ||||||
Federal National Mortgage Association CPI Floating Rate Note, 5.221%, 2/17/2009 | 2,000,000 | 2,018,760 | ||||
Federal National Mortgage Association REMIC Series 2006-B1 Class AB, 6.00%, | ||||||
6/25/2016 | 15,718,390 | 16,114,820 | ||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $17,659,028) | 18,133,580 | |||||
Certified Semi-Annual Report 33
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | value | |||||
FOREIGN BONDS — 0.56% | ||||||
CAPITAL GOODS — 0.19% | ||||||
INDUSTRIAL CONGLOMERATES — 0.19% | ||||||
General Electric Capital Australia, 5.25%, 8/15/2008 (AUD) | $ | 9,000,000 | $ | 8,136,134 | ||
8,136,134 | ||||||
ENERGY — 0.19% | ||||||
OIL, GAS & CONSUMABLE FUELS — 0.19% | ||||||
OAO Gazprom, 7.25%, 2/22/2010 (RUB) | 195,000,000 | 8,129,029 | ||||
8,129,029 | ||||||
MEDIA — 0.02% | ||||||
MEDIA — 0.02% | ||||||
Independent News & Media plc, 5.75%, 5/17/2009 (EUR) | 600,000 | 890,414 | ||||
890,414 | ||||||
MISCELLANEOUS — 0.16% | ||||||
MISCELLANEOUS — 0.16% | ||||||
Republic of Brazil, 12.50%, 1/5/2016 (BRL) | 10,750,000 | 6,579,145 | ||||
6,579,145 | ||||||
TOTAL FOREIGN BONDS (Cost $21,840,588) | 23,734,722 | |||||
YANKEE BONDS— 0.51% | ||||||
BANKS — 0.14% | ||||||
COMMERCIAL BANKS — 0.14% | ||||||
Korea Development Bank, 5.30%, 1/17/2013 | 800,000 | 819,690 | ||||
Landsbanki Islands HF, 7.431%, 12/31/2049 | 5,000,000 | 4,185,840 | ||||
Shinhan Bank, 6.819%, 9/20/2036 | 900,000 | 744,552 | ||||
5,750,082 | ||||||
ENERGY — 0.37% | ||||||
OIL, GAS & CONSUMABLE FUELS — 0.37% | ||||||
Griffin Coal Mining Ltd., 9.50%, 12/1/2016 | 22,000,000 | 15,840,000 | ||||
15,840,000 | ||||||
TOTAL YANKEE BONDS (Cost $28,628,302) | 21,590,082 | |||||
OTHER SECURITIES — 0.41% | ||||||
LOAN PARTICIPATIONS — 0.41% | ||||||
Fairpoint Communications, Inc. Loan B, 5.75%, 3/8/2015 (2) | 9,000,000 | 7,920,000 | ||||
Mylan Laboratories, Inc., 6.438%, 10/2/2014 | 6,087,637 | 5,872,013 | ||||
Mylan Laboratories, Inc., 8.125%, 10/2/2014 | 3,912,363 | 3,773,787 | ||||
TOTAL OTHER SECURITIES (Cost $17,723,542) | 17,565,800 | |||||
34 Certified Semi-Annual Report
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | value | ||||||
SHORT TERM INVESTMENTS — 4.47% | |||||||
Citizens Property Insurance Corp. Series F, 8.00%, 7/1/2021 | $ | 47,325,000 | $ | 47,325,000 | |||
General Electric Capital Corp., 2.00%, 4/2/2008 | 92,000,000 | 91,994,888 | |||||
Toyota Motor Credit, 2.10%, 4/1/2008 | 50,400,000 | 50,400,000 | |||||
TOTAL SHORT TERM INVESTMENTS (Cost $189,719,889) | 189,719,888 | ||||||
TOTAL INVESTMENTS — 100.57% (Cost $4,080,495,461) | $ | 4,269,483,919 | |||||
LIABILITIES NET OF OTHER ASSETS — (0.57)% | (24,143,781 | ) | |||||
NET ASSETS — 100.00% | $ | 4,245,340,138 | |||||
Footnote Legend
+ | Non-income producing |
(1) | Investment in Affiliates Holdings of voting securities of each portfolio company which is considered “affiliated” to the Fund under the Investment Company Act of 1940 because the Fund’s holding represented 5% or more of the company’s voting securities during the period, are shown below: |
Issuer | Shares at Sept. 30, 2007 | Gross Additions | Gross Reductions | Shares at March 31, 2008 | Market value March 31, 2008 | Dividend Income | ||||||||
Algonquin Power Income Trust | 4,183,700 | — | 258,000 | 3,925,700 | $ | 29,601,947 | $ | 1,641,342 | ||||||
Reddy Ice Holdings, Inc. | 2,174,471 | 125,529 | 25,000 | 2,275,000 | 29,643,250 | 1,241,289 | ||||||||
$ | 59,245,197 | $ | 2,882,631 | |||||||||||
(2) | Security currently fair valued by the Valuation & Pricing committee using factors approved by the Board of Trustees. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR | American Depository Receipt | |
ARM | Adjustable Rate Mortgage | |
AUD | Denominated in Australian Dollars | |
BRL | Denominated in Brazilian Dollars | |
CPI | Consumer Price Index | |
EUR | Denominated in EURO Dollars | |
Mtg | Mortgage | |
REMIC | Real Estate Mortgage Investment Conduit | |
RUB | Denominated in Russian Rubles | |
SPA | Stand-by Purchase Agreement |
See notes to financial statements.
Certified Semi-Annual Report 35
Table of Contents
EXPENSE EXAMPLE | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
As a shareholder of the Fund, you incur two types of costs:
(1) | transaction costs, including a 30-day redemption fee on Class I shares; |
(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, 2007 and held until March 31, 2008.
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 9/30/07 | Ending Account value 3/31/08 | Expenses Paid During Period† 9/30/07–3/31/08 | |||||||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 921.30 | $ | 4.22 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.61 | $ | 4.43 |
† | Expenses are equal to the annualized expense ratio for Class I shares (0.88%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
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INDEX COMPARISON | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (Unaudited) |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Investment Income Builder Fund versus S&P 500 Index and Blended Index
(November 3, 2003 to March 31, 2008)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2008
1 Yr | Since Inception | |||||
I Shares (Incep: 11/3/03) | 4.60 | % | 14.88 | % | ||
Blended Index (Since: 11/3/03) | (0.45 | )% | 9.82 | % | ||
S&P 500 Index (Since: 11/3/03) | (5.08 | )% | 7.14 | % |
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. Class I shares are subject to a 1% 30-day redemption fee.
The Blended Index is comprised of 25% Lehman Brothers Aggregate Bond Index and 75% MSCI World 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 bonds included in the index. The Morgan Stanley Capital International (MSCI) World Index is an unmanaged market-weighted index that consists of equity securities traded in 23 of the world’s most developed countries. The index is calculated with net dividends reinvested, in U.S. dollars. The S&P 500 Index, an unmanaged broad measure of the U.S. stock market, does not reflect sales charges or expenses. Investors cannot invest directly in an index.
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OTHER INFORMATION | ||
Thornburg Investment Income Builder Fund | March 31, 2008 (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 web site at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s web site at www.sec.gov.
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 web site at www. thornburg.com, and (iii) on the Securities and Exchange Commission’s web site 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 web site at 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 web site at www. thornburg.com/download or upon request by calling 1-800-847-0200.
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Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
February 8, 2005, as readopted July 18, 2007
The Trustees are concerned that ongoing 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.
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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 and are under 701/ are compensation 2, even if you covered by an employer retirement plan. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
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.
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 Global Opportunities Fund |
• | Thornburg International Growth Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
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Thornburg Equity Funds
Thornburg’s equity research uses a fundamental and comprehensive analytical approach. Thornburg equity funds focus on a limited number of securities so that each holding can impact 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.
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
• | Thornburg International Growth Fund |
Thornburg Bond Funds
The majority of Thornburg bond funds are laddered portfolios of 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 Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term Municipal Fund |
• | Thornburg New Mexico Intermediate Municipal Fund |
• | Thornburg New York Intermediate Municipal Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund* |
Carefully consider each fund’s investment objectives, risks, sales charges, and expenses; this information can be found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. There is no guarantee that any of these funds will meet their investment objectives.
For additional information, please visit www.thornburg.com
Thornburg Investment Management, 119 East Marcy Street, Santa Fe, NM 87501
* | This fund does not use the laddering strategy. |
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This Semi-Annual Report is 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.
Investment Advisor:
Thornburg Investment Management® 800.847.0200
Distributor:
Thornburg Securities Corporation® 800.847.0200
TH1076
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Important Information
The information presented on the following pages was current as of March 31, 2008. The managers’ views, portfolio holdings, and sector and country diversification are provided for the general information of the Fund’s shareholders; they are historical and subject to change. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments in the Fund carry risks including possible loss of principal. Funds invested in a limited number of holdings may expose an investor to greater volatility. Investing outside the United States involves additional risks, such as currency fluctuations. 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. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund. Investments 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. There is no guarantee that the Fund will meet its investment objectives.
Performance data given at net asset value (“NAV”) does not take into account the applicable sales charges. If the sales charges had been included, the performance would have been lower.
From time to time, the Fund may invest in shares of companies through initial public offerings (“IPOs”). IPOs have the potential to produce substantial gains for some of the Funds. There is no assurance that any of the Funds will have continued access to profitable IPOs and as a Fund’s assets grow, the impact of IPO investment may decline. Therefore, investors should not rely on these past gains as an indication of future performance.
Glossary
The Morgan Stanley Capital International (MSCI) All Country (AC) World Index – The Morgan Stanley Capital International All Country World Index (MSCI AC World Index) is a market capitalization weighted index composed of over 2,000 companies, and is representative of the market structure of 48 developed and emerging market countries in North and South America, Europe, Africa, and the Pacific Rim. The index is calculated with net dividends reinvested in U.S. dollars.
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.
U.S. Treasury Securities – U.S. Treasury securities, such as bills, notes and bonds, are negotiable debt obligations of the U.S. government. These debt obligations are backed by the “full faith and credit” of the government and issued at various schedules and maturities. Income from Treasury securities is exempt from state and local, but not federal income taxes.
Gross Domestic Product (GDP) – The market value of goods and services produced by labor and property in the United States, regardless of nationality.
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Thornburg Global Opportunities 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%. Class A shares are subject to a 1% 30-day redemption fee. The total annual fund operating expense of Class A shares is 1.55%, as disclosed in the most recent Prospectus.
CO-PORTFOLIO MANAGERS
Left to right: W. Vinson Walden, CFA, and Brian McMahon
KEY PORTFOLIO ATTRIBUTES
As of 3/31/08
Portfolio P/E Trailing 12-months* | 13.4x | ||
Portfolio Price to Cash Flow* | 11.2 | ||
Portfolio Price to Book Value* | 2.8 | ||
Median Market Cap* | $ | 14.1 B | |
Equity Holdings | 33 |
* | Source: FactSet |
Investment fads come and go, and the landscape is littered with funds which generated an avalanche of interest for a brief period of time, then fell by the wayside when the market turned its attention to the next hot trend. At Thornburg Investment Management, we believe that the soundest investments over the long-term are conceptually simple and grounded in common sense. It is with this mindset that we created the Thornburg Global Opportunities Fund.
The Fund was launched in 2006 to capitalize on what Thornburg Investment Management is known for — solid, bottom-up research based on a team-oriented, flexible approach to uncovering value. The goal in creating the Fund was to leverage the research of the entire Thornburg equity investment team, while employing a broad mandate to pursue companies across the globe. Once identified, a focused number of stocks are combined into a compact, yet diversified portfolio.
The philosophy of Thornburg Global Opportunities Fund is straightforward — to purchase promising companies that the team feels are trading at a discount to their intrinsic value. As the balance sheets of global companies become more complex, it is getting increasingly difficult to source how many companies actually make money. These companies are not the ones pursued in the Global Opportunities Fund. Rather, we believe that straightforward business models executed by capable management teams make the best investments.
AVERAGE ANNUAL TOTAL RETURNS* FOR PERIODS ENDED 3/31/08
6 Mos. | 1 Yr | Since Inception | |||||||
A Shares (Incep: 7/28/06) | |||||||||
Without Sales Charge | (12.62 | )% | 9.42 | % | 26.63 | % | |||
With Sales Charge | (16.57 | )% | 4.53 | % | 23.21 | % | |||
MSCI AC World Index (Since: 7/28/06) | (10.91 | )% | (1.15 | )% | 8.48 | % |
* | Periods less than one year are not annualized. |
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The Thornburg Global Opportunities Fund is unique in the marketplace. Currently, assets in the global stock universe are concentrated in a few, very large funds. Based on size alone, these funds must focus on the largest-capitalization stocks, or alternatively, spread their assets across a tremendous number of names. In fact, over 80% of category assets are concentrated in 10 funds, and the average world stock fund holds approximately 140 stocks.
Thornburg Global Opportunities Fund is different, in that it will typically be focused in 30–40 stocks which the management team feels have the best combination of promise and discount. Each stock is analyzed thoroughly on its own merits, and the team then combines them into a portfolio of stocks, which, working in concert with each other, provides what they believe are the best long-term prospects for investors. The result is a Fund which looks quite unlike either the MSCI AC World Index or its peers.
To-date, we are very satisfied with the results of Thornburg Global Opportunities over the short-life of the Fund. We are also pleased with the reception of the Fund by the investing public. Thornburg Global Opportunities Fund is grounded in common sense principles, which we think resonate well with investors and make the most sense over the long-term.
STOCKS CONTRIBUTING AND DETRACTING
FOR SIX MONTHS ENDED 3/31/08
Top Contributors | Top Detractors | |
Eastern Platinum Ltd. | Level 3 Communications, Inc. | |
Quadra Realty Trust, Inc. | Soho China Ltd. | |
Apache Corp. | Country Garden Holdings Co. Ltd. | |
Bachem Holding AG | Shenzhen Chiwan Wharf Hldgs. | |
Roche Holding AG | Dell, Inc. |
Source: FactSet
MARKET CAPITALIZATION EXPOSURE
As of 3/31/08
TOP TEN HOLDINGS
As of 3/31/08
Freeport-McMoRan Copper & Gold, Inc. | 4.9 | % | |
Dell, Inc. | 4.7 | % | |
América Móvil SAB de C.V. | 4.4 | % | |
KKR Financial Holdings LLC | 4.2 | % | |
Eclipsys Corp. | 4.1 | % | |
China Mobile Ltd. | 4.1 | % | |
Crown Castle International Corp. | 4.0 | % | |
Swiss Re | 3.9 | % | |
Hong Kong Exchs. & Clearing Ltd. | 3.5 | % | |
Intel Corp. | 3.3 | % |
PORTFOLIO COMPOSITION
As of 3/31/08
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Thornburg Global Opportunities Fund
March 31, 2008
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7 | ||
10 | ||
12 | ||
14 | ||
15 | ||
21 | ||
27 | ||
31 | ||
32 | ||
33 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
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April 22, 2008
Dear Fellow Shareholder:
This letter will be somewhat longer than others we have written for the shareholder reports of Thornburg Global Opportunities Fund. In addition to covering the basic results of your Fund’s investment activities for the six-month period ended March 31, 2008, we believe it is appropriate to comment more extensively on the overall investment landscape, which has changed in important ways in recent months.
For the six-month period ended March 31, 2008, Thornburg Global Opportunities Fund produced a total negative return of 12.62% for Class A shares, compared to a total negative return of 10.91% for the MSCI AC World Index. Your Fund’s net asset value of Class A shares decreased by $3.05 per share from $20.06 to $17.01, though a portion of this reflects payment of 53.9¢ per share in capital gains dividends and ordinary dividends of 3.6¢ per share during the six-month period under review. Thornburg Global Opportunities Fund commenced operations on July 28, 2006 with a net asset value per Class A share of $11.94.
Between October 1, 2007 and March 31, 2008, 21 of your portfolio stocks delivered positive returns, while 26 showed negative returns. In general, the magnitude of the negative returns exceeded those of the positive returns. You might not expect this type of outcome from a portfolio of businesses that is capable of generating average earnings per share increases of more than 9% during 2007, and which carries an average price to earnings ratio of less than 13 based upon current expected 2008 earnings. Recent months have been marked by very unusual market conditions around the globe.
Your portfolio’s top performers included a diverse collection of businesses: Quadra Realty, which did an initial public offering in February 2007 and was acquired by its German parent in March 2008; Eastern Platinum, a relatively new Canadian/South African platinum miner; Bachem Holding, a Swiss manufacturer of peptides used primarily as active ingredients in drugs; Apache Corp., a U.S. oil and gas producer; Bovespa Holding, long time operator of the Brazilian stock exchange, which went public in late 2007; Roche Holding AG, the Swiss pharmaceutical giant; Liechtenstein Landesbank, a medium sized private bank based in Liechtenstein; Canadian Natural Resources, a fast growing Canadian oil and gas producer; Charles Schwab Corp., the U.S. financial services firm; and Teva Pharmaceuticals, the U.S.-Israeli generic drug producer.
Of your Fund’s ten worst performers, five were Chinese/Hong Kong firms, reflecting a local equity market there that has been down more than 40% in recent months: petrochemicals giant China Petroleum & Chemical, property developers Soho China Ltd. and Country Garden Holdings, Hong Kong Exchanges & Clearing Ltd., and Shenzhen Chiwan Wharf Holdings, a port operator. We sold shares of China Petroleum & Chemical and Soho China. We retain holdings in the others, which continue to perform in line with expectations. Korea’s Shinhan Financial Group had a share price decline rooted in investor anxieties about slowing Asian growth and financial risks, and currency depreciation of the Korean Won relative to the U.S. dollar. Dell and Level 3 Communications are both attempting to improve execution of incoming customer orders, and their stock prices were dented by investor concerns about slowing new order momentum. Babcock & Brown Air owns lease obligations against a fleet of aircraft, and KKR Financial LLC owns a portfolio of corporate debt obligations. Stock prices of each of these declined significantly due to investor concerns about the quality of assets owned, business conditions for their customers, and ongoing ability to fund their portfolios at reasonable rates in the debt markets. In addition to selling significantly below book value, each of these pays a very attractive dividend against the current stock price.
At March 31, 2008, domestic stocks comprise just over 38% of your portfolio; foreign stocks around 59%; and cash the remainder.
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Letter to Shareholders
Continued
It is understandable that any investor, or investment advisor, might be puzzled at recent financial market volatility. U.S. Treasury bond yields have declined significantly. Yields on most other bonds, including mortgage related bonds, have increased. Most equity indices around the world declined significantly during the first quarter of 2008, and even more so since their highs in October of 2007. Prices of most industrial and agricultural commodities have increased significantly this year, while the value of the U.S. dollar has declined against most other global currencies.
There is much mention of “de-leveraging” as a significant factor in falling prices of financial assets. How much leverage must be unwound? There is no simple answer to this, but it is instructive to note how much leverage was built up in recent years. The U.S. Securities & Exchange Commission publishes a composite balance sheet for all U.S. registered broker dealers, which shows the following dynamic over the four-year period from December 31, 2002 to December 31, 2006:
Category | $ billions 12/31/2002 | $ billions 12/31/2006 | $ billions Change | % | ||||||||||
Total Assets | $ | 3,114 | $ | 5,908 | +$ | 2,794 | +90 | % | ||||||
Total Liabilities | $ | 2,990 | $ | 5,743 | +$ | 2,753 | +92 | % | ||||||
Total Equity Capital | $ | 124.5 | $ | 165.4 | +$ | 40.9 | +33 | % | ||||||
Equity Capital/Total Assets | 4.0 | % | 2.8 | % | 1.46% on increase | |||||||||
Number of Firms | 5,394 | 5,077 |
(Source: U.S. Securities & Exchange Commission, FOCUS Reports)
It is striking to note from the figures above that a slightly shrinking population of more than 5,000 U.S. broker dealer firms increased assets (mostly receivables from other broker dealers, long positions in securities, and securities purchased under agreements to resell) by approximately $2.8 trillion over the four year period shown, and supported these additional assets with only 1.46% ($40.9 billion) of new equity capital. That’s a great deal of leverage. U.S. banks increased their balance sheet leverage by more than 10% per year in the first eight years of this decade. U.S. households, in aggregate, borrowed more – often using their houses as collateral – to accumulate total debt of $13.6 trillion as of September 30, 2007, up from $7.2 trillion at the beginning of 2001. U.S. businesses, especially public companies, generally improved their balance sheets in recent years by reducing leverage relative to equity.
Now, the extreme leverage of broker dealers, banks, and households is unwinding. Holders of U.S. household debt will write off significant portions of the existing pool, and availability of additional household debt will slow to a trickle. Most of the assets being sold down by broker dealers and banks are debt assets. Just as most of the last $2.8 trillion of assets purchased with 1.46% equity and 98.54% borrowed money over the last few years were debt assets. In Europe, increased leverage has been concentrated in banks in most countries, with Ireland, the U.K. and Spain being notable exceptions. In Asia, households are relatively debt free, though the situation among banks is mixed. Thornburg Global Opportunities Fund has NOT employed financial leverage, since our portfolio is 100% funded by equity share purchases of our shareholders. Perhaps you have not either. But a long list of financial players, including closed-end mutual funds, hedge funds and “alternative” asset managers of varying descriptions have employed (formerly) low cost and readily available borrowings to transform high priced financial assets into respectable returns on equity. That game is finished for the foreseeable future.
For investors with real money to invest, the great debt unwind in progress is presenting an attractive buffet of higher yields and lower prices on virtually all financial assets, except U.S. Treasury securities and the highest quality plain vanilla money market instruments. This can be unnerving for investors who carefully watch daily price fluctuations and are comforted more by rising prices than by rising yields. Therefore, many are queuing up to pay high prices (as indicated by abnormally low yields) for U.S. Treasury securities
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and the highest quality money market instruments! We believe today’s combination of lower prices and higher yields on longer lived financial assets, stocks and debt presents a great opportunity for unleveraged, traditional saver-investors.
Against this backdrop, stock prices of many of the companies owned by Thornburg Global Opportunities Fund have declined. We are not blind to this, but we are not discouraged. As noted in the third paragraph of this letter, we do not believe the firms in your portfolio are expensively valued in relation to the earnings growth observed last year, and that we expect to see in 2008 and beyond.
Throughout the lifetimes of most readers of these words, the percentage of U.S. GDP (gross domestic product) tied to residential housing construction has varied between 3% and 7%, with recent years setting records at the high end of this range. It is probable that the U.S. economy will forfeit 2% to 4% of GDP tied to housing during 2008 and 2009. There is plenty of other work to do. It will be painful and challenging for workers, businesses, government, and capital markets to reprogram economic activity away from housing and into infrastructure improvement, updated energy production/consumption platforms, health care improvements, and other pursuits that are ultimately more productive than ever-larger kitchens, bathrooms, and debt laden balance sheets. This must happen. Most of the world has been paying attention to these more productive pursuits already, and global economic growth has been strong.
Since last summer, an overwhelming majority of new investor dollars invested in mutual funds have flowed into money market funds–more than $700 billion. We believe that yields on taxable and tax exempt money funds will drop below 2% and 1.5%, respectively, in the coming months. Following this, a very large pool of investor dollars will be looking for better returns elsewhere, but in sensible investment programs. We believe Thornburg Global Opportunities Fund, with its focused portfolio of attractively priced businesses from around the world, is a sensible investment program. There can be a shortage of immediate reinforcement to contrarian investors who channel funds away from the crowd, but it usually pays to think ahead and beat the rush. We believe shareholders of Thornburg Global Opportunities Fund should maintain a long-term perspective regarding their investment in this Fund.
Thank you for being a shareholder of Thornburg Global Opportunities Fund. Short term stock price fluctuations notwithstanding, we are generally encouraged by the progress of the businesses owned in your portfolio. Remember that you can review descriptions of many of the stocks in your portfolio by going to our internet site, www.thornburg.com/funds. Best wishes for a wonderful summer.
Sincerely,
![]() | ![]() | |
Brian McMahon | W. Vinson Walden, CFA | |
Co-Portfolio Manager | Co-Portfolio Manager | |
CEO & Chief Investment Officer | Managing Director |
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager, and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
Certified Semi-Annual Report 9 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Global Opportunities Fund | March 31, 2008 (Unaudited) |
ASSETS | ||||
Investments at value (cost $621,350,714) (Note 2) | $ | 603,728,349 | ||
Cash | 213,632 | |||
Cash denominated in foreign currency (cost $85,283) | 82,619 | |||
Receivable for investments sold | 2,528,559 | |||
Receivable for fund shares sold | 1,513,421 | |||
Unrealized gain on forward exchange contracts (Note 7) | 324,193 | |||
Dividends receivable | 479,775 | |||
Prepaid expenses and other assets | 82,869 | |||
Total Assets | 608,953,417 | |||
LIABILITIES | ||||
Payable for securities purchased | 22,657,524 | |||
Payable for fund shares redeemed | 563,090 | |||
Unrealized loss on forward exchange contracts (Note 7) | 62,886 | |||
Payable to investment advisor and other affiliates (Note 3) | 620,945 | |||
Accounts payable and accrued expenses | 102,537 | |||
Dividends payable | 836 | |||
Total liabilities | 24,007,818 | |||
NET ASSETS | $ | 584,945,599 | ||
NET ASSETS CONSIST OF: | ||||
Undistributed net investment income | $ | 2,269,439 | ||
Net unrealized depreciation on investments | (17,178,842 | ) | ||
Accumulated net realized gain (loss) | (22,473,626 | ) | ||
Net capital paid in on shares of beneficial interest | 622,328,628 | |||
$ | 584,945,599 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($247,796,618 applicable to 14,566,276 shares of beneficial interest outstanding - Note 4) | $ | 17.01 | ||
Maximum sales charge, 4.50% of offering price | 0.80 | |||
Maximum offering price per share | $ | 17.81 | ||
Class C Shares: | ||||
Net asset value and offering price per share * ($134,990,318 applicable to 8,031,601 shares of beneficial interest outstanding - Note 4) | $ | 16.81 | ||
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STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2008 (Unaudited) |
Class I Shares: | |||
Net asset value, offering and redemption price per share ($202,149,328 applicable to 11,825,973 shares of beneficial interest outstanding - Note 4) | $ | 17.09 | |
Class R3 Shares: | |||
Net asset value, offering and redemption price per share ($3,221 applicable to 189 shares of beneficial interest outstanding - Note 4) | $ | 17.02 | |
Class R4 Shares: | |||
Net asset value, offering and redemption price per share ($3,056 applicable to 180 shares of beneficial interest outstanding - Note 4) | $ | 17.02 | |
Class R5 Shares: | |||
Net asset value, offering and redemption price per share ($3,058 applicable to 179 shares of beneficial interest outstanding - Note 4) | $ | 17.10 | |
* | 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
STATEMENT OF OPERATIONS | ||
Thornburg Global Opportunities Fund | Six Months Ended March 31, 2008 (Unaudited) |
INVESTMENT INCOME: | ||||
Dividend income (net of foreign taxes withheld of $367,567) | $ | 6,850,878 | ||
Interest income | 720,069 | |||
Total Income | 7,570,947 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 2,669,311 | |||
Administration fees (Note 3) | ||||
Class A Shares | 174,991 | |||
Class C Shares | 83,503 | |||
Class I Shares | 50,808 | |||
Class R3 Shares | 1 | |||
Class R4 Shares | 1 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 359,993 | |||
Class C Shares | 670,534 | |||
Class R3 Shares | 3 | |||
Class R4 Shares | 1 | |||
Transfer agent fees | ||||
Class A Shares | 106,813 | |||
Class C Shares | 68,576 | |||
Class I Shares | 27,631 | |||
Class R3 Shares | 300 | |||
Class R4 Shares | 300 | |||
Class R5 Shares | 300 | |||
Registration and filing fees | ||||
Class A Shares | 23,492 | |||
Class C Shares | 12,203 | |||
Class I Shares | 15,962 | |||
Class R3 Shares | 4,194 | |||
Class R4 Shares | 4,194 | |||
Class R5 Shares | 4,194 | |||
Custodian fees (Note 3) | 129,419 | |||
Professional fees | 25,745 | |||
Accounting fees | 12,514 | |||
Trustee fees | 2,526 | |||
Other expenses | 53,412 | |||
Total Expenses | 4,500,921 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (51,807 | ) | ||
Fees paid indirectly (Note 3) | (8,919 | ) | ||
Net Expenses | 4,440,195 | |||
Net Investment Income | $ | 3,130,752 | ||
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Table of Contents
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Global Opportunities Fund | Six Months Ended March 31, 2008 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments sold | $ | (19,680,941 | ) | |
Foreign currency transactions | (1,363,624 | ) | ||
(21,044,565 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (75,083,395 | ) | ||
Foreign currency translations | 450,201 | |||
(74,633,194 | ) | |||
Net Realized and Unrealized loss | (95,677,759 | ) | ||
Net Decrease in Net Assets Resulting From Operations | $ | (92,547,007 | ) | |
�� |
See notes to financial statements.
Certified Semi-Annual Report 13 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Global Opportunities Fund
Six Months Ended March 31, 2008* | Year Ended September 30, 2007 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 3,130,752 | $ | 728,863 | ||||
Net realized gain (loss) on investments and foreign currency transactions | (21,044,565 | ) | 16,816,919 | |||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments and foreign currency translations | (74,633,194 | ) | 56,558,223 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (92,547,007 | ) | 74,104,005 | |||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (577,184 | ) | (2,647 | ) | ||||
Class I Shares | (936,801 | ) | (17,567 | ) | ||||
From realized gains | ||||||||
Class A Shares | (8,262,772 | ) | (223,855 | ) | ||||
Class C Shares | (3,642,010 | ) | (86,617 | ) | ||||
Class I Shares | (5,983,950 | ) | (226,047 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 33,845,546 | 217,027,928 | ||||||
Class C Shares | 51,315,218 | 87,907,758 | ||||||
Class I Shares | 133,490,732 | 74,800,459 | ||||||
Class R3 Shares | 3,370 | — | ||||||
Class R4 Shares | 3,200 | — | ||||||
Class R5 Shares | 3,200 | — | ||||||
Net Increase in Net Assets | 106,711,542 | 453,283,417 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 478,234,057 | 24,950,640 | ||||||
End of period | $ | 584,945,599 | $ | 478,234,057 | ||||
Undistributed net investment income | $ | 2,269,439 | $ | 652,672 |
* | Unaudited. |
See notes to financial statements.
14 Certified Semi-Annual Report |
Table of Contents
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Global Opportunities Fund | March 31, 2008 (Unaudited) |
NOTE 1 – ORGANIZATION
Thornburg Global Opportunities Fund, hereinafter referred to as the “Fund,” is a diversified series of Thornburg Investment Trust (the “Trust”). The Fund commenced operations on July 28, 2006. 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 thirteen 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 New York Intermediate Municipal Fund, Thornburg Core Growth Fund, Thornburg Investment Income Builder Fund, Thornburg International Growth Fund, and Thornburg Strategic Income Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing in equity and debt securities of all types from issuers around the world.
The Fund currently offers six classes of shares of beneficial interest, Class A, Class C, Institutional Class (Class I), and Retirement Classes (Class R3, Class R4, and Class R5) 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, (iv) Class R3 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, (v) Class R4 shares are sold at net asset value without a sales charge at the time of purchase, but bear a service 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 may have different reinvestment privileges and conversion rights. 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 Securities: Portfolio securities listed or traded on a national securities exchange are valued on the valuation date at the last reported sale price on the exchange that is the primary market for the security. Portfolio securities traded on an exchange for which there has been no sale that day and other equity securities traded in the over-the-counter market are valued at the mean between the last reported bid and asked prices. Portfolio securities reported by NASDAQ are valued at the NASDAQ official closing price. Any foreign security traded on exchanges outside the United States is valued at the price of the security on the exchange that is normally the security’s primary market, as of the close of that exchange preceding the time of the Fund’s valuation. Quotations for foreign securities in foreign currencies are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
Any debt securities held by the Fund have a primary market over the counter and are valued by an independent pricing service approved by the Trustees of the Trust. The pricing service ordinarily values debt securities at quoted bid prices. When quotations are not available, debt securities held by the Fund are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt securities of comparable quality, type of issue, coupon, maturity, and rating, indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
In any case where the market value of an equity security held by the Fund is not readily available, the Trust’s valuation and pricing committee determines a fair value for the security using factors approved by the Trustees. A security’s market value is deemed not readily available whenever the exchange or market on which the security is primarily traded is closed for the entire scheduled day of trading. Additionally, a security’s market value may be deemed not readily available under other circumstances identified by the Trustees, including when developments occurring after the most recent close of the security’s primary exchange or market, but before the most recent close of trading in Fund shares, create a serious question about the reliability of the security’s market value.
In any case where a pricing service fails to provide a price for a debt security held by the Fund, the valuation and pricing committee determines a fair value for the debt security using factors approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt security held by the Fund may be unreliable, the valuation and pricing committee decides whether or not to use the pricing service’s valuation or to determine a fair value for the debt security.
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
Certified Semi-Annual Report 15 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2008 (Unaudited) |
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 amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books, and the U.S. dollar equivalent of the amounts actually received or paid.
Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.
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 Fund’s 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 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 liabilities 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 six months ended March 31, 2008, 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 Trust also has entered into administrative services agreements 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
16 Certified Semi-Annual Report |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2008 (Unaudited) |
class of shares. For the six months ended March 31, 2008, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $38,325 for Class I shares, $4,494 for Class R3 shares, $4,494 for Class R4 shares, and $4,494 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 six months ended March 31, 2008, the Distributor has advised the Fund that it earned commissions aggregating $111,625 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $70,035 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 and distribution 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 R3 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C and Class R3 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 and Class R3 shares. Total fees incurred by the Distributor for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2008, 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 six months ended March 31, 2008, fees paid indirectly were $8,919. This figure may include additional fees waived by the custodian.
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, 2008, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Six Months Ended | Year Ended | |||||||||||||
March 31, 2008 (unaudited) | September 30, 2007 (audited) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 5,882,080 | $ | 113,289,814 | 13,660,081 | $ | 238,770,592 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 409,826 | 7,732,060 | 14,864 | 208,773 | ||||||||||
Shares repurchased | (4,807,024 | ) | (87,189,032 | ) | (1,252,603 | ) | (21,960,678 | ) | ||||||
Redemption fees received** | — | 12,704 | — | 9,241 | ||||||||||
Net Increase (Decrease) | 1,484,882 | $ | 33,845,546 | 12,422,342 | $ | 217,027,928 | ||||||||
Class C Shares | ||||||||||||||
Shares sold | 3,353,354 | $ | 63,897,174 | 5,344,378 | $ | 91,693,393 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 154,440 | 2,878,767 | 4,462 | 62,462 | ||||||||||
Shares repurchased | (876,480 | ) | (15,466,907 | ) | (221,453 | ) | (3,852,049 | ) | ||||||
Redemption fees received** | — | 6,184 | — | 3,952 | ||||||||||
Net Increase (Decrease) | 2,631,314 | $ | 51,315,218 | 5,127,387 | $ | 87,907,758 | ||||||||
Certified Semi-Annual Report 17 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2008 (Unaudited) |
Six Months Ended | Year Ended | |||||||||||||
March 31, 2008 (unaudited) | September 30, 2007 (audited) | |||||||||||||
Class I Shares | ||||||||||||||
Shares sold | 8,803,508 | $ | 176,167,963 | 4,793,763 | $ | 81,916,342 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 300,018 | 5,694,539 | 16,374 | 230,652 | ||||||||||
Shares repurchased | (2,656,876 | ) | (48,381,242 | ) | (438,535 | ) | (7,351,459 | ) | ||||||
Redemption fees received** | — | 9,472 | — | 4,924 | ||||||||||
Net Increase (Decrease) | 6,446,650 | $ | 133,490,732 | 4,371,602 | $ | 74,800,459 | ||||||||
Class R3 Shares(a) | ||||||||||||||
Shares sold | 189 | $ | 3,371 | — | $ | — | ||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||
Shares repurchased | — | (1 | ) | — | — | |||||||||
Redemption fees received** | — | — | — | — | ||||||||||
Net Increase (Decrease) | 189 | $ | 3,370 | — | $ | — | ||||||||
Class R4 Shares(a) | ||||||||||||||
Shares sold | 180 | $ | 3,200 | — | $ | — | ||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||
Shares repurchased | — | — | — | — | ||||||||||
Redemption fees received** | — | — | — | — | ||||||||||
Net Increase (Decrease) | 180 | $ | 3,200 | — | $ | — | ||||||||
Class R5 Shares(a) | ||||||||||||||
Shares sold | 179 | $ | 3,200 | — | $ | — | ||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||
Shares repurchased | — | — | — | — | ||||||||||
Redemption fees received** | — | — | — | — | ||||||||||
Net Increase (Decrease) | 179 | $ | 3,200 | — | $ | — | ||||||||
(a) | Effective date of this class of shares was February 1, 2008. |
** | The Fund charges a redemption fee of 1% of the Class A and Class I shares redeemed or exchanged within 30 days of purchase. Redemption fees charged to any class are allocated to all classes upon receipt of payment based on relative net asset values of each class or other appropriate allocation methods. |
18 Certified Semi-Annual Report |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2008 (Unaudited) |
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2008, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $497,051,950 and $250,415,473, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2008, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 622,780,019 | ||
Gross unrealized appreciation on a tax basis | $ | 32,885,640 | ||
Gross unrealized depreciation on a tax basis | (51,937,310 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | (19,051,670 | ) | |
At March 31, 2008, the Fund had deferred tax basis currency losses occurring subsequent to October 31, 2006 of $67,816. For tax purposes, such losses will be reflected in the year ending September 30, 2008.
NOTE 7 – FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
During the six months ended March 31, 2008, 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. There are special risks associated with international investing, including currency fluctuations, economic and political instability, confiscation, inability or delays in selling foreign investments, and reduced legal protection for investments.
CONTRACTS TO SELL: | ||||||
Contracts | Contract Value Date | Unrealized Gain (Loss) | ||||
733,000,000 Philippine Peso for 17,748,184 USD | June 16, 2008 | $ | 324,193 | |||
Net unrealized gain (loss) from forward Sell contracts: | $ | 324,193 | ||||
CONTRACTS TO BUY: | ||||||
Contracts | Contract Value Date | Unrealized Gain (Loss) | ||||
86,500,000 Philippine Peso for 2,119,059 USD | June 16, 2008 | $ | (62,886 | ) | ||
Net unrealized gain (loss) from forward Buy contracts: | $ | (62,886 | ) | |||
Net unrealized gain (loss) from forward Exchange contracts: | $ | 261,307 | ||||
Certified Semi-Annual Report 19 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2008 (Unaudited) |
OTHER NOTES:
FASB Interpretation No. 48:
On July 13, 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation prescribes a model for how a company, including the Fund, should recognize, measure, present and disclose in its financial statements uncertain tax positions that the company has taken or expects to take on income tax returns, and also revises certain disclosure requirements. The Interpretation became effective for the Fund for the financial statement reporting period ended March 31, 2008. As of the date of this report, management of the Fund has not identified any material effect on the Fund’s financial statements resulting from the implementation of FIN 48.
Statement of Accounting Standards No. 157:
On September 15, 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 defines fair value, provides guidelines for measuring fair value in accordance with generally accepted accounting principles, and addresses disclosures about fair value measurements. FAS 157 establishes a fair value hierarchy that distinguishes between (i) market participant assumptions developed based upon market data obtained from sources independent of the reporting entity (observable inputs) and (ii) the entity’s own assumptions about market participant assumptions developed based upon the best information available under the circumstances (unobservable inputs). FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and is to be applied prospectively as of the beginning of the first fiscal year for which FAS 157 is applied. Management is evaluating FAS 157, and is not in a position at this time to estimate the significance of its impact, if any, on the Fund’s financial statements.
Statement of Accounting Standards No. 161:
In March 2008, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”). FAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. FAS 161 requires enhanced disclosures about any derivative and hedging activities by the Fund, including how such activities are accounted for and any effect on the Fund’s financial position, performance and cash flows. Management is evaluating the impact, if any, that the adoption of FAS 161 will have on the Fund’s financial statements and related disclosures.
20 Certified Semi-Annual Report |
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Thornburg Global Opportunities Fund
Six Months Ended March 31, 2008* | Year Ended Sept. 30, 2007 | Period Ended Sept. 30, 2006(a) | ||||||||||
Class A Shares: | ||||||||||||
PER SHARE PERFORMANCE | ||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||
Net asset value, beginning of period | $ | 20.06 | $ | 12.86 | $ | 11.94 | ||||||
Income from investment operations: | ||||||||||||
Net investment income (loss) | 0.09 | 0.07 | 0.01 | |||||||||
Net realized and unrealized gain (loss) on investments | (2.56 | ) | 7.29 | 0.91 | ||||||||
Total from investment operations | (2.47 | ) | 7.36 | 0.92 | ||||||||
Less dividends from: | ||||||||||||
Net investment income | (0.04 | ) | (0.00 | ) (b) | — | |||||||
Net realized gains | (0.54 | ) | (0.16 | ) | — | |||||||
Total dividends | (0.58 | ) | (0.16 | ) | — | |||||||
Change in net asset value | (3.05 | ) | 7.20 | 0.92 | ||||||||
NET ASSET VALUE, end of period | $ | 17.01 | $ | 20.06 | $ | 12.86 | ||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||
Total return (%)(c) | (12.62 | ) | 57.75 | 7.71 | ||||||||
Ratios to average net assets: | ||||||||||||
Net investment income (loss) (%) | 1.01 | (d) | 0.41 | 0.34 | (d) | |||||||
Expenses, after expense reductions (%) | 1.41 | (d) | 1.51 | 1.70 | (d) | |||||||
Expenses, after expense reductions and net of custody credits (%) | 1.41 | (d) | 1.50 | 1.63 | (d) | |||||||
Expenses, before expense reductions (%) | 1.42 | (d) | 1.55 | 6.12 | (d)(e) | |||||||
Portfolio turnover rate (%) | 43.19 | 91.02 | 6.08 | |||||||||
Net assets at end of period (thousands) | $ | 247,797 | $ | 262,475 | $ | 8,477 |
(a) | Fund commenced operations on July 28, 2006. |
(b) | Dividends from net investment income per share were less than $(0.01). |
(c) | Sales loads are not reflected in computing total return, which is not annualized for periods less than one year. |
(d) | Annualized. |
(e) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report 21 |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Global Opportunities Fund |
Six Months Ended March 31, 2008* | Year Ended Sept. 30, 2007 | Period Ended Sept. 30, 2006(a) | ||||||||||
Class C Shares: | ||||||||||||
PER SHARE PERFORMANCE | ||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||
Net asset value, beginning of period | $ | 19.87 | $ | 12.84 | $ | 11.94 | ||||||
Income from investment operations: | ||||||||||||
Net investment income (loss) | 0.02 | (0.06 | ) | (0.01 | ) | |||||||
Net realized and unrealized gain (loss) on investments | (2.54 | ) | 7.25 | 0.91 | ||||||||
Total from investment operations | (2.52 | ) | 7.19 | 0.90 | ||||||||
Less dividends from: | ||||||||||||
Net realized gains | (0.54 | ) | (0.16 | ) | — | |||||||
Change in net asset value | (3.06 | ) | 7.03 | 0.90 | ||||||||
NET ASSET VALUE, end of period | $ | 16.81 | $ | 19.87 | $ | 12.84 | ||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||
Total return (%)(b) | (12.95 | ) | 56.48 | 7.54 | ||||||||
Ratios to average net assets: | ||||||||||||
Net investment income (loss) (%) | 0.26 | (c) | (0.34 | ) | (0.40 | ) (c) | ||||||
Expenses, after expense reductions (%) | 2.19 | (c) | 2.28 | 2.41 | (c) | |||||||
Expenses, after expense reductions and net of custody credits (%) | 2.19 | (c) | 2.28 | 2.35 | (c) | |||||||
Expenses, before expense reductions (%) | 2.19 | (c) | 2.33 | 9.01 | (c)(d) | |||||||
Portfolio turnover rate (%) | 43.19 | 91.02 | 6.08 | |||||||||
Net assets at end of period (thousands) | $ | 134,990 | $ | 107,298 | $ | 3,505 |
(a) | Fund commenced operations on July 28, 2006. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
(d) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
22 Certified Semi-Annual Report |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Global Opportunities Fund |
Six Months Ended March 31, 2008* | Year Ended Sept. 30, 2007 | Period Ended Sept. 30, 2006(a) | ||||||||||
Class I Shares: | ||||||||||||
PER SHARE PERFORMANCE | ||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||
Net asset value, beginning of period | $ | 20.16 | $ | 12.87 | $ | 11.94 | ||||||
Income from investment operations: | ||||||||||||
Net investment income (loss) | 0.14 | 0.17 | 0.02 | |||||||||
Net realized and unrealized gain (loss) on investments | (2.59 | ) | 7.29 | 0.91 | ||||||||
Total from investment operations | (2.45 | ) | 7.46 | 0.93 | ||||||||
Less dividends from: | ||||||||||||
Net investment income | (0.08 | ) | (0.01 | ) | —�� | |||||||
Net realized gains | (0.54 | ) | (0.16 | ) | — | |||||||
Total dividends | (0.62 | ) | (0.17 | ) | — | |||||||
Change in net asset value | (3.07 | ) | 7.29 | 0.93 | ||||||||
NET ASSET VALUE, end of period | $ | 17.09 | $ | 20.16 | $ | 12.87 | ||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||
Total return (%)(b) | (12.45 | ) | 58.51 | 7.79 | ||||||||
Ratios to average net assets: | ||||||||||||
Net investment income (loss) (%) | 1.53 | (c) | 0.97 | 0.90 | (c) | |||||||
Expenses, after expense reductions (%) | 0.99 | (c) | 1.00 | 1.04 | (c) | |||||||
Expenses, after expense reductions and net of custody credits (%) | 0.99 | (c) | 0.99 | 0.99 | (c) | |||||||
Expenses, before expense reductions (%) | 1.03 | (c) | 1.20 | 2.98 | (c) | |||||||
Portfolio turnover rate (%) | 43.19 | 91.02 | 6.08 | |||||||||
Net assets at end of period (thousands) | $ | 202,149 | $ | 108,461 | $ | 12,968 |
(a) | Fund commenced operations on July 28, 2006. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report 23 |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Global Opportunities Fund |
Period Ended March 31, 2008(a)* | ||||
Class R3 Shares: | ||||
PER SHARE PERFORMANCE | ||||
(for a share outstanding throughout the period)+ | ||||
Net asset value, beginning of period | $ | 17.91 | ||
Income from investment operations: | ||||
Net investment income (loss) | 0.06 | |||
Net realized and unrealized gain (loss) on investments | (0.95 | ) | ||
Total from investment operations | (0.89 | ) | ||
Change in net asset value | (0.89 | ) | ||
NET ASSET VALUE, end of period | $ | 17.02 | ||
RATIOS/SUPPLEMENTAL DATA | ||||
Total return (%)(b) | (4.97 | ) | ||
Ratios to average net assets: | ||||
Net investment income (loss) (%) | 2.14 | (c) | ||
Expenses, after expense reductions (%) | 1.42 | (c) | ||
Expenses, after expense reductions and net of custody credits (%) | 1.41 | (c) | ||
Expenses, before expense reductions (%) | 908.39 | (c)(d) | ||
Portfolio turnover rate (%) | 43.19 | |||
Net assets at end of period (thousands) | $ | 3 |
(a) | Effective date of this class of shares was February 1, 2008. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
(d) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
24 Certified Semi-Annual Report |
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FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Global Opportunities Fund |
Period Ended March 31, 2008(a)* | ||||
Class R4 Shares: | ||||
PER SHARE PERFORMANCE | ||||
(for a share outstanding throughout the period)+ | ||||
Net asset value, beginning of period | $ | 17.91 | ||
Income from investment operations: | ||||
Net investment income (loss) | 0.06 | |||
Net realized and unrealized gain (loss) on investments | (0.95 | ) | ||
Total from investment operations | (0.89 | ) | ||
Change in net asset value | (0.89 | ) | ||
NET ASSET VALUE, end of period | $ | 17.02 | ||
RATIOS/SUPPLEMENTAL DATA | ||||
Total return (%)(b) | (4.97 | ) | ||
Ratios to average net assets: | ||||
Net investment income (loss) (%) | 2.20 | (c) | ||
Expenses, after expense reductions (%) | 1.42 | (c) | ||
Expenses, after expense reductions and net of custody credits (%) | 1.41 | (c) | ||
Expenses, before expense reductions (%) | 930.11 | (c)(d) | ||
Portfolio turnover rate (%) | 43.19 | |||
Net assets at end of period (thousands) | $ | 3 |
(a) | Effective date of this class of shares was February 1, 2008. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
(d) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report 25 |
Table of Contents
FINANCIAL HIGHLIGHTS, CONTINUED | ||
Thornburg Global Opportunities Fund |
Period Ended March 31, 2008(a)* | ||||
Class R5 Shares: | ||||
PER SHARE PERFORMANCE | ||||
(for a share outstanding throughout the period)+ | ||||
Net asset value, beginning of period | $ | 17.98 | ||
Income from investment operations: | ||||
Net investment income (loss) | 0.08 | |||
Net realized and unrealized gain (loss) on investments | (0.96 | ) | ||
Total from investment operations | (0.88 | ) | ||
Change in net asset value | (0.88 | ) | ||
NET ASSET VALUE, end of period | $ | 17.10 | ||
RATIOS/SUPPLEMENTAL DATA | ||||
Total return (%)(b) | (4.89 | ) | ||
Ratios to average net assets: | ||||
Net investment income (loss) (%) | 2.66 | (c) | ||
Expenses, after expense reductions (%) | 0.91 | (c) | ||
Expenses, after expense reductions and net of custody credits (%) | 0.90 | (c) | ||
Expenses, before expense reductions (%) | 929.31 | (c)(d) | ||
Portfolio turnover rate (%) | 43.19 | |||
Net assets at end of period (thousands) | $ | 3 |
(a) | Effective date of this class of shares was February 1, 2008. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
(d) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
26 Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS | ||
Thornburg Global Opportunities Fund | March 31, 2008 (Unaudited) |
CUSIPS: CLASS A – 885-215-343, CLASS C – 885-215-335, CLASS I – 885-215-327, CLASS R3 – 885-215-145, CLASS R4 –885-215-137, CLASS R5 – 885-215-129 NASDAQ SYMBOLS: CLASS A – THOAX, CLASS C – THOCX, CLASS I – THOIX, CLASS R3 – THORX, CLASS R4 – THOVX, CLASS R5 – THOFX
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/08
Telecommunication Services | 17.2 | % | |
Diversified Financials | 11.2 | % | |
Materials | 11.0 | % | |
Energy | 9.9 | % | |
Pharmaceuticals, Biotechnology & Life Sciences | 8.8 | % | |
Technology Hardware & Equipment | 4.7 | % | |
Health Care Equipment & Services | 4.1 | % | |
Insurance | 3.9 | % | |
Banks | 3.7 | % | |
Semiconductors & Semiconductor Equipment | 3.3 | % | |
Real Estate | 3.3 | % | |
Commercial Services & Supplies | 3.2 | % | |
Consumer Services | 2.9 | % | |
Utilities | 2.9 | % | |
Media | 2.7 | % | |
Transportation | 2.6 | % | |
Capital Goods | 2.2 | % | |
Other Assets & Cash Equivalents | 2.4 | % |
SUMMARY OF COUNTRY EXPOSURE
As of 3/31/08 (percent of equity holdings)
United States of America | 39.2 | % | |
Switzerland | 12.8 | % | |
China | 9.2 | % | |
Hong Kong | 6.3 | % | |
Canada | 5.7 | % | |
Greece | 5.0 | % | |
Mexico | 4.5 | % | |
Philippines | 3.0 | % | |
Israel | 2.9 | % | |
Brazil | 2.6 | % | |
Spain | 2.5 | % | |
Ireland | 2.3 | % | |
Italy | 2.1 | % | |
Korea | 1.9 | % |
Shares/ Principal Amount | Value | ||||
COMMON STOCK — 97.60% | |||||
BANKS — 3.65% | |||||
COMMERCIAL BANKS — 3.65% | |||||
Liechtensteinische Landesbank AG | 129,887 | $ | 10,332,367 | ||
Shinhan Financial Group Co., Ltd. | 208,900 | 11,031,928 | |||
21,364,295 | |||||
CAPITAL GOODS — 2.24% | |||||
TRADING COMPANIES & DISTRIBUTORS — 2.24% | |||||
Babcock & Brown Air Ltd. ADR | 806,025 | 13,097,906 | |||
13,097,906 | |||||
Certified Semi-Annual Report 27 |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
COMMERCIAL SERVICES & SUPPLIES — 3.21% | |||||
COMMERCIAL SERVICES & SUPPLIES — 3.21% | |||||
Huron Consulting Group, Inc.+ | 451,500 | $ | 18,759,825 | ||
18,759,825 | |||||
CONSUMER SERVICES — 2.93% | |||||
HOTELS, RESTAURANTS & LEISURE — 2.93% | |||||
OPAP SA | 481,500 | 17,164,583 | |||
17,164,583 | |||||
DIVERSIFIED FINANCIALS — 11.18% | |||||
CAPITAL MARKETS — 0.99% | |||||
Verwaltungs Private Bank AG | 26,195 | 5,784,476 | |||
DIVERSIFIED FINANCIAL SERVICES — 10.19% | |||||
Bovespa Holding SA | 1,086,500 | 14,643,942 | |||
Hong Kong Exchanges & Clearing Ltd. | 1,201,600 | 20,627,134 | |||
KKR Financial Holdings LLC | 1,921,429 | 24,325,291 | |||
65,380,843 | |||||
ENERGY — 9.86% | |||||
OIL, GAS & CONSUMABLE FUELS — 9.86% | |||||
Apache Corp. | 95,950 | 11,592,679 | |||
Canadian Natural Resources Ltd.+ | 199,900 | 13,685,004 | |||
Capital Product Partners LP | 609,157 | 11,360,778 | |||
China Petroleum & Chemical Corp. | 10,444,000 | 8,924,030 | |||
Eni S.p.A. | 355,100 | 12,109,256 | |||
57,671,747 | |||||
HEALTH CARE EQUIPMENT & SERVICES — 4.13% | |||||
HEALTH CARE TECHNOLOGY — 4.13% | |||||
Eclipsys Corp.+ | 1,232,606 | 24,171,404 | |||
24,171,404 | |||||
INSURANCE — 3.87% | |||||
INSURANCE — 3.87% | |||||
Swiss Re | 258,925 | 22,617,807 | |||
22,617,807 | |||||
MATERIALS — 11.02% | |||||
METALS & MINING — 11.02% | |||||
Eastern Platinum Ltd.+ | 5,885,400 | 18,577,326 | |||
Freeport-McMoRan Copper & Gold, Inc. | 296,000 | 28,481,120 | |||
Mercator Minerals Ltd.+ | 1,696,700 | 17,438,925 | |||
64,497,371 | |||||
MEDIA — 2.72% | |||||
MEDIA — 2.72% | |||||
Comcast Corp.+ | 837,800 | 15,893,066 | |||
15,893,066 | |||||
28 Certified Semi-Annual Report |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 8.74% | |||||
LIFE SCIENCES TOOLS & SERVICES — 3.05% | |||||
Bachem Holding AG+ | 190,500 | $ | 17,830,002 | ||
PHARMACEUTICALS — 5.69% | |||||
Roche Holding AG | 90,000 | 16,937,871 | |||
Teva Pharmaceutical Industries Ltd. ADR | 354,100 | 16,355,879 | |||
51,123,752 | |||||
REAL ESTATE — 3.32% | |||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 3.32% | |||||
Country Garden Holdings Co. | 22,621,000 | 19,416,045 | |||
19,416,045 | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 3.32% | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 3.32% | |||||
Intel Corp. | 917,200 | 19,426,296 | |||
19,426,296 | |||||
TECHNOLOGY HARDWARE & EQUIPMENT — 4.74% | |||||
COMPUTERS & PERIPHERALS — 4.74% | |||||
Dell, Inc.+ | 1,392,800 | 27,744,576 | |||
27,744,576 | |||||
TELECOMMUNICATION SERVICES — 17.18% | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 4.74% | |||||
Level 3 Communications, Inc.+ | 6,339,200 | 13,439,104 | |||
Telefónica SA | 497,000 | 14,280,414 | |||
WIRELESS TELECOMMUNICATION SERVICES — 12.44% | |||||
América Móvil SAB de C.V. | 402,000 | 25,603,380 | |||
China Mobile Ltd. | 1,607,000 | 23,910,956 | |||
Crown Castle International Corp.+ | 674,000 | 23,246,260 | |||
100,480,114 | |||||
TRANSPORTATION — 2.60% | |||||
TRANSPORTATION INFRASTRUCTURE — 2.60% | |||||
Shenzhen Chiwan Wharf Holdings Ltd. | 10,492,803 | 15,208,036 | |||
15,208,036 | |||||
UTILITIES — 2.89% | |||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 2.89% | |||||
PNOC Energy Development Corp. | 119,724,100 | 16,910,993 | |||
16,910,993 | |||||
TOTAL COMMON STOCK (Cost $588,551,023) | 570,928,659 | ||||
SHORT TERM INVESTMENTS — 5.61% | |||||
General Electric Capital Corp., 2.00%, 4/1/2008 | 27,500,000 | 27,500,000 | |||
Toyota Motor Credit, 2.10%, 4/2/2008 | 5,300,000 | 5,299,690 | |||
TOTAL SHORT TERM INVESTMENTS (Cost $32,799,691) | 32,799,690 | ||||
Certified Semi-Annual Report 29 |
Table of Contents
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2008 (Unaudited) |
Value | ||||
TOTAL INVESTMENTS — 103.21% (Cost $621,350,714) | $ | 603,728,349 | ||
LIABILITIES NET OF OTHER ASSETS — (3.21)% | (18,782,750 | ) | ||
NET ASSETS — 100.00% | $ | 584,945,599 | ||
Footnote Legend
+ | Non-income producing |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR American Depository Receipt
See notes to financial statements.
30 Certified Semi-Annual Report |
Table of Contents
EXPENSE EXAMPLE | ||
Thornburg Global Opportunities Fund | March 31, 2008 (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 or all of a purchase of $1 million of Class A shares within 12 months of purchase; |
(c) | a deferred sales charge on redemptions of Class C shares within 12 months of purchase; |
(d) | a 30-day redemption fee on Class A and Class I shares; |
(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, 2007 and held until March 31, 2008.
Actual Expenses
For each class of shares, 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 for your class of shares 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
For each class of shares, 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.
Beginning Account Value 9/30/07 | Ending Account Value 3/31/08 | Expenses Paid During Period† 9/30/07–3/31/08 | |||||||
Class A Shares | |||||||||
Actual | $ | 1,000.00 | $ | 873.80 | $ | 6.61 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,017.95 | $ | 7.12 | |||
Class C Shares | |||||||||
Actual | $ | 1,000.00 | $ | 870.50 | $ | 10.22 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,014.07 | $ | 11.00 | |||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 875.50 | $ | 4.64 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.05 | $ | 5.00 | |||
Class R3 Shares | |||||||||
Actual | $ | 1,000.00 | $ | 848.42 | $ | 6.54 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,017.93 | $ | 7.14 | |||
Class R4 Shares | |||||||||
Actual | $ | 1,000.00 | $ | 848.42 | $ | 6.53 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,017.93 | $ | 7.13 | |||
Class R5 Shares | |||||||||
Actual | $ | 1,000.00 | $ | 850.86 | $ | 4.17 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.50 | $ | 4.55 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.41%; C: 2.19%; I: 0.99%; R3: 1.41%; R4: 1.41%; R5: 0.90%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
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 for each class of shares 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 Global Opportunities Fund | March 31, 2008 (Unaudited) |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Global Opportunities Fund versus MSCI AC World Index (July 28, 2006 to March 31, 2008)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2008 (with sales charge)
1 Yr | Since Inception | |||||
A Shares (Incep: 07/28/06) | 4.53 | % | 23.21 | % | ||
C Shares (Incep: 07/28/06) | 7.57 | % | 25.61 | % | ||
I Shares (Incep: 07/28/06) | 9.90 | % | 27.20 | % | ||
R3 Shares (Incep: 02/01/08) | — | (4.97 | )%* | |||
R4 Shares (Incep: 02/01/08) | — | (4.97 | )%* | |||
R5 Shares (Incep: 02/01/08) | — | (4.89 | )%* | |||
MSCI All Country World Index (Since: 07/28/06) | (1.15 | )% | 8.48 | % |
* | Not annualized for periods less than one year. |
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 as well as applicable 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 I, R3, R4 and R5 shares. Class I, R3, R4 and R5 shares are available only to certain qualified investors. Class A and Class I shares are subject to a 1% 30-day redemption fee.
The Morgan Stanley Capital International All Country World Index (MSCI AC World Index) is a market capitalization weighted index composed of over 2,000 companies, and is representative of the market structure of 48 developed and emerging market countries in North and South America, Europe, Africa, and the Pacific Rim. The index is calculated with net dividends reinvested in U.S. dollars. Investors may not make direct investments into any index.
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OTHER INFORMATION | ||
Thornburg Global Opportunities Fund | March 31, 2008 (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 web site at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s web site at www.sec.gov.
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 web site at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s web site 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 web site at 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 web site at www.thornburg.com/download or upon request by calling 1-800-847-0200.
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Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
February 8, 2005, as readopted July 18, 2007
The Trustees are concerned that ongoing 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.
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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. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
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.
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 Global Opportunities Fund |
• | Thornburg International Growth Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
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Thornburg Equity Funds
Thornburg’s equity research uses a fundamental and comprehensive analytical approach. Thornburg equity funds focus on a limited number of securities so that each holding can impact 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.
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
• | Thornburg International Growth Fund |
Thornburg Bond Funds
The majority of Thornburg bond funds are laddered portfolios of 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 Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term Municipal Fund |
• | Thornburg New Mexico Intermediate Municipal Fund |
• | Thornburg New York Intermediate Municipal Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund* |
Carefully consider each fund’s investment objectives, risks, sales charges, and expenses; this information can be found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. There is no guarantee that any of these funds will meet their investment objectives.
For additional information, please visit www.thornburg.com
Thornburg Investment Management, 119 East Marcy Street, Santa Fe, NM 87501
* This fund does not use the laddering strategy.
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This Semi-Annual Report is 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. |
Get instant access to your shareholder reports.
By switching from your postal mailbox to your email inbox, you reduce paper clutter, improve record keeping access, and help conserve our natural resources. | |||||
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Thornburg Investment Management®
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TH1411 | Go to www.thornburg.com/edelivery and sign up to receive your shareholder reports, prospectuses, and proxy statements electronically.
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Invest in our planet, while you invest with us
You are concerned about the future, so are we. That is why we encourage you to go paperless and cut down on the amount of paper being used for regulatory mailings. Go to www.thornburg.com/edelivery and sign up to receive your shareholder reports, prospectuses, and proxy statements electronically.
Thornburg Global Opportunities Fund
The Fund seeks long-term capital appreciation by investing in equity and debt securities of all types from issuers around the world.
The Fund pursues its investment goals by investing primarily in a broad range of equity securities, including common stocks, preferred stocks, real estate investment trusts, other equity trusts, and partnership interests. The Fund may invest in any stock or other equity security which the investment advisor believes may assist the Fund in pursuing its goals, including smaller companies with market capitalizations of less than $500 million.
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Important Information
The information presented on the following pages was current as of March 31, 2008. The managers’ views, portfolio holdings, and sector and country diversification are provided for the general information of the Fund’s shareholders; they are historical and subject to change. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments in the Fund carry risks including possible loss of principal. Funds invested in a limited number of holdings may expose an investor to greater volatility. Investing outside the United States involves additional risks, such as currency fluctuations. 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. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund. Investments 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. There is no guarantee that the Fund will meet its investment objectives.
Minimum investments for Class I shares are higher than those for other classes.
From time to time, the Fund may invest in shares of companies through initial public offerings (“IPOs”). IPOs have the potential to produce substantial gains for some of the Funds. There is no assurance that any of the Funds will have continued access to profitable IPOs and as a Fund’s assets grow, the impact of IPO investment may decline. Therefore, investors should not rely on these past gains as an indication of future performance.
Glossary
The Morgan Stanley Capital International (MSCI) All Country (AC) World Index – The Morgan Stanley Capital International All Country World Index (MSCI AC World Index) is a market capitalization weighted index composed of over 2,000 companies, and is representative of the market structure of 48 developed and emerging market countries in North and South America, Europe, Africa, and the Pacific Rim. The index is calculated with net dividends reinvested in U.S. dollars.
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.
U.S. Treasury Securities – U.S. Treasury securities, such as bills, notes and bonds, are negotiable debt obligations of the U.S. government. These debt obligations are backed by the “full faith and credit” of the government and issued at various schedules and maturities. Income from Treasury securities is exempt from state and local, but not federal income taxes.
Gross Domestic Product (GDP) – The market value of goods and services produced by labor and property in the United States, regardless of nationality.
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Thornburg Global Opportunities 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. Class I shares are subject to a 1% 30-day redemption fee. The total annual fund operating expense of Class I shares is 1.20%, as disclosed in the most recent Prospectus. Thornburg Investment Management intends to waive fees and reimburse expenses so that actual expenses do not exceed 0.99%. The subsidized expense ratio reflects the annual operating expenses of the Fund minus any fee waivers or expense reimbursements. The fee waivers and expense reimbursements are voluntary and may be terminated at any time.
KEY PORTFOLIO ATTRIBUTES
As of 3/31/08
Portfolio P/E Trailing 12-months* | 13.4x | ||
Portfolio Price to Cash Flow* | 11.2 | ||
Portfolio Price to Book Value* | 2.8 | ||
Median Market Cap* | $ | 14.1 B | |
Equity Holdings | 33 |
* | Source: FactSet |
Investment fads come and go, and the landscape is littered with funds which generated an avalanche of interest for a brief period of time, then fell by the wayside when the market turned its attention to the next hot trend. At Thornburg Investment Management, we believe that the soundest investments over the long-term are conceptually simple and grounded in common sense. It is with this mindset that we created the Thornburg Global Opportunities Fund.
The Fund was launched in 2006 to capitalize on what Thornburg Investment Management is known for – solid, bottom-up research based on a team-oriented, flexible approach to uncovering value. The goal in creating the Fund was to leverage the research of the entire Thornburg equity investment team, while employing a broad mandate to pursue companies across the globe. Once identified, a focused number of stocks are combined into a compact, yet diversified portfolio.
The philosophy of Thornburg Global Opportunities Fund is straightforward – to purchase promising companies that the team feels are trading at a discount to their intrinsic value. As the balance sheets of global companies become more complex, it is getting increasingly difficult to source how many companies actually make money. These companies are not the ones pursued in the Global Opportunities Fund. Rather, we believe that straightforward business models executed by capable management teams make the best investments.
AVERAGE ANNUAL TOTAL RETURNS*
FOR PERIODS ENDED 3/31/08
6 Mos. | 1 Yr | Since Inception | |||||||
I Shares (Incep: 7/28/06) | (12.45 | )% | 9.90 | % | 27.20 | % | |||
MSCI AC World Index (Since: 7/28/06) | (10.91 | )% | (1.15 | )% | 8.48 | % |
* | Periods less than one year are not annualized. |
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The Thornburg Global Opportunities Fund is unique in the marketplace. Currently, assets in the global stock universe are concentrated in a few, very large funds. Based on size alone, these funds must focus on the largest-capitalization stocks, or alternatively, spread their assets across a tremendous number of names. In fact, over 80% of category assets are concentrated in 10 funds, and the average world stock fund holds approximately 140 stocks.
Thornburg Global Opportunities Fund is different, in that it will typically be focused in 30–40 stocks which the management team feels have the best combination of promise and discount. Each stock is analyzed thoroughly on its own merits, and the team then combines them into a portfolio of stocks, which, working in concert with each other, provides what they believe are the best long-term prospects for investors. The result is a Fund which looks quite unlike either the MSCI AC World Index or its peers.
To-date, we are very satisfied with the results of Thornburg Global Opportunities over the short-life of the Fund. We are also pleased with the reception of the Fund by the investing public. Thornburg Global Opportunities Fund is grounded in common sense principles, which we think resonate well with investors and make the most sense over the long-term.
STOCKS CONTRIBUTING AND DETRACTING
FOR SIX MONTHS ENDED 3/31/08
Top Contributors | Top Detractors | |
Eastern Platinum Ltd. | Level 3 Communications, Inc. | |
Quadra Realty Trust, Inc. | Soho China Ltd. | |
Apache Corp. | Country Garden Holdings Co. Ltd. | |
Bachem Holding AG | Shenzhen Chiwan Wharf Hldgs. | |
Roche Holding AG | Dell, Inc. |
Source: FactSet
MARKET CAPITALIZATION EXPOSURE
As of 3/31/08
TOP TEN HOLDINGS
As of 3/31/08
Freeport-McMoRan Copper & Gold, Inc. | 4.9 | % | |
Dell, Inc. | 4.7 | % | |
América Móvil SAB de C.V. | 4.4 | % | |
KKR Financial Holdings LLC | 4.2 | % | |
Eclipsys Corp. | 4.1 | % | |
China Mobile Ltd. | 4.1 | % | |
Crown Castle International Corp. | 4.0 | % | |
Swiss Re | 3.9 | % | |
Hong Kong Exchs. & Clearing Ltd. | 3.5 | % | |
Intel Corp. | 3.3 | % |
PORTFOLIO COMPOSITION
As of 3/31/08
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Thornburg Global Opportunities Fund
I Shares – March 31, 2008
7 | ||
10 | ||
12 | ||
14 | ||
15 | ||
21 | ||
22 | ||
26 | ||
27 | ||
28 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
6 Certified Semi-Annual Report
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April 22, 2008
Dear Fellow Shareholder:
This letter will be somewhat longer than others we have written for the shareholder reports of Thornburg Global Opportunities Fund. In addition to covering the basic results of your Fund’s investment activities for the six-month period ended March 31, 2008, we believe it is appropriate to comment more extensively on the overall investment landscape, which has changed in important ways in recent months.
For the six-month period ended March 31, 2008, Thornburg Global Opportunities Fund produced a total negative return of 12.45% for Class I shares, compared to a total negative return of 10.91% for the MSCI AC World Index. Your Fund’s net asset value of Class I shares decreased by $3.07 per share from $20.16 to $17.09, though a portion of this reflects payment of 53.9¢ per share in capital gains dividends and ordinary dividends of 8.1¢ per share during the six-month period under review. Thornburg Global Opportunities Fund commenced operations on July 28, 2006 with a net asset value per Class I share of $11.94.
Between October 1, 2007 and March 31, 2008, 21 of your portfolio stocks delivered positive returns, while 26 showed negative returns. In general, the magnitude of the negative returns exceeded those of the positive returns. You might not expect this type of outcome from a portfolio of businesses that is capable of generating average earnings per share increases of more than 9% during 2007 and which carries an average price to earnings ratio of less than 13 based upon current expected 2008 earnings. Recent months have been marked by very unusual market conditions around the globe.
Your portfolio’s top performers included a diverse collection of businesses: Quadra Realty, which did an initial public offering in February 2007 and was acquired by its German parent in March 2008; Eastern Platinum, a relatively new Canadian/South African platinum miner; Bachem Holding, a Swiss manufacturer of peptides used primarily as active ingredients in drugs; Apache Corp., a U.S. oil and gas producer; Bovespa Holding, long time operator of the Brazilian stock exchange, which went public in late 2007; Roche Holding AG, the Swiss pharmaceutical giant; Liechtenstein Landesbank, a medium sized private bank based in Liechtenstein; Canadian Natural Resources, a fast growing Canadian oil and gas producer; Charles Schwab Corp., the U.S. financial services firm; and Teva Pharmaceuticals, the U.S.-Israeli generic drug producer.
Of your Fund’s ten worst performers, five were Chinese/Hong Kong firms, reflecting a local equity market there that has been down more than 40% in recent months: petrochemicals giant China Petroleum & Chemical, property developers Soho China Ltd. and Country Garden Holdings, Hong Kong Exchanges & Clearing Ltd., and Shenzhen Chiwan Wharf Holdings, a port operator. We sold shares of China Petroleum & Chemical and Soho China. We retain holdings in the others, which continue to perform in line with expectations. Korea’s Shinhan Financial Group had a share price decline rooted in investor anxieties about slowing Asian growth and financial risks, and currency depreciation of the Korean Won relative to the U.S. dollar. Dell and Level 3 Communications are both attempting to improve execution of incoming customer orders, and their stock prices were dented by investor concerns about slowing new order momentum. Babcock & Brown Air owns lease obligations against a fleet of aircraft, and KKR Financial LLC owns a portfolio of corporate debt obligations. Stock prices of each of these declined significantly due to investor concerns about the quality of assets owned, business conditions for their customers, and ongoing ability to fund their portfolios at reasonable rates in the debt markets. In addition to selling significantly below book value, each of these pays a very attractive dividend against the current stock price.
At March 31, 2008, domestic stocks comprise just over 38% of your portfolio; foreign stocks around 59%; and cash the remainder.
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Letter to Shareholders | ||
Continued |
It is understandable that any investor, or investment advisor, might be puzzled at recent financial market volatility. U.S. Treasury bond yields have declined significantly. Yields on most other bonds, including mortgage related bonds, have increased. Most equity indices around the world declined significantly during the first quarter of 2008, and even more so since their highs in October of 2007. Prices of most industrial and agricultural commodities have increased significantly this year, while the value of the U.S. dollar has declined against most other global currencies.
There is much mention of “de-leveraging” as a significant factor in falling prices of financial assets. How much leverage must be unwound? There is no simple answer to this, but it is instructive to note how much leverage was built up in recent years. The U.S. Securities & Exchange Commission publishes a composite balance sheet for all U.S. registered broker dealers, which shows the following dynamic over the four-year period from December 31, 2002 to December 31, 2006:
Category | $ billions 12/31/2002 | $ billions 12/31/2006 | $ billions Change | % | |||||||
Total Assets | $3,114 | $5,908 | +$2,794 | +90 | % | ||||||
Total Liabilities | $2,990 | $5,743 | +$2,753 | +92 | % | ||||||
Total Equity Capital | $124.5 | $165.4 | +$40.9 | +33 | % | ||||||
Equity Capital/Total Assets | 4.0 | % | 2.8 | % | 1.46% on increase | ||||||
Number of Firms | 5,394 | 5,077 |
(Source: U.S. Securities & Exchange Commission, FOCUS Reports)
It is striking to note from the figures above that a slightly shrinking population of more than 5,000 U.S. broker dealer firms increased assets (mostly receivables from other broker dealers, long positions in securities, and securities purchased under agreements to resell) by approximately $2.8 trillion over the four year period shown, and supported these additional assets with only 1.46% ($40.9 billion) of new equity capital. That’s a great deal of leverage. U.S. banks increased their balance sheet leverage by more than 10% per year in the first eight years of this decade. U.S. households, in aggregate, borrowed more – often using their houses as collateral – to accumulate total debt of $13.6 trillion as of September 30, 2007, up from $7.2 trillion at the beginning of 2001. U.S. businesses, especially public companies, generally improved their balance sheets in recent years by reducing leverage relative to equity.
Now, the extreme leverage of broker dealers, banks, and households is unwinding. Holders of U.S. household debt will write off significant portions of the existing pool, and availability of additional household debt will slow to a trickle. Most of the assets being sold down by broker dealers and banks are debt assets. Just as most of the last $2.8 trillion of assets purchased with 1.46% equity and 98.54% borrowed money over the last few years were debt assets. In Europe, increased leverage has been concentrated in banks in most countries, with Ireland, the U.K. and Spain being notable exceptions. In Asia, households are relatively debt free, though the situation among banks is mixed. Thornburg Global Opportunities Fund has NOT employed financial leverage, since our portfolio is 100% funded by equity share purchases of our shareholders. Perhaps you have not either. But a long list of financial players, including closed-end mutual funds, hedge funds and “alternative” asset managers of varying descriptions have employed (formerly) low cost and readily available borrowings to transform high priced financial assets into respectable returns on equity. That game is finished for the foreseeable future.
For investors with real money to invest, the great debt unwind in progress is presenting an attractive buffet of higher yields and lower prices on virtually all financial assets, except U.S. Treasury securities and the highest quality plain vanilla money market instruments. This can be unnerving for investors who carefully watch daily price fluctuations and are comforted more by rising prices than by rising yields. Therefore, many are queuing up to pay high prices (as indicated by abnormally low yields) for U.S. Treasury securities
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and the highest quality money market instruments! We believe today’s combination of lower prices and higher yields on longer lived financial assets, stocks and debt presents a great opportunity for unleveraged, traditional saver-investors.
Against this backdrop, stock prices of many of the companies owned by Thornburg Global Opportunities Fund have declined. We are not blind to this, but we are not discouraged. As noted in the third paragraph of this letter, we do not believe the firms in your portfolio are expensively valued in relation to the earnings growth observed last year, and that we expect to see in 2008 and beyond.
Throughout the lifetimes of most readers of these words, the percentage of U.S. GDP (gross domestic product) tied to residential housing construction has varied between 3% and 7%, with recent years setting records at the high end of this range. It is probable that the U.S. economy will forfeit 2% to 4% of GDP tied to housing during 2008 and 2009. There is plenty of other work to do. It will be painful and challenging for workers, businesses, government, and capital markets to reprogram economic activity away from housing and into infrastructure improvement, updated energy production/consumption platforms, health care improvements, and other pursuits that are ultimately more productive than ever-larger kitchens, bathrooms, and debt laden balance sheets. This must happen. Most of the world has been paying attention to these more productive pursuits already, and global economic growth has been strong.
Since last summer, an overwhelming majority of new investor dollars invested in mutual funds have flowed into money market funds–more than $700 billion. We believe that yields on taxable and tax exempt money funds will drop below 2% and 1.5%, respectively, in the coming months. Following this, a very large pool of investor dollars will be looking for better returns elsewhere, but in sensible investment programs. We believe Thornburg Global Opportunities Fund, with its focused portfolio of attractively priced businesses from around the world, is a sensible investment program. There can be a shortage of immediate reinforcement to contrarian investors who channel funds away from the crowd, but it usually pays to think ahead and beat the rush. We believe shareholders of Thornburg Global Opportunities Fund should maintain a long-term perspective regarding their investment in this Fund.
Thank you for being a shareholder of Thornburg Global Opportunities Fund. Short term stock price fluctuations notwithstanding, we are generally encouraged by the progress of the businesses owned in your portfolio. Remember that you can review descriptions of many of the stocks in your portfolio by going to our internet site, www.thornburg.com/funds. Best wishes for a wonderful summer.
Sincerely,
![]() | ||
Brian McMahon | W. Vinson Walden,CFA | |
Co-Portfolio Manager | Co-Portfolio Manager | |
CEO & Chief Investment Officer | Managing Director |
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager, and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
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STATEMENT OF ASSETS AND LIABILITIES
Thornburg Global Opportunities Fund | March 31, 2008 (Unaudited) |
ASSETS | ||||
Investments at value (cost $621,350,714) (Note 2) | $ | 603,728,349 | ||
Cash | 213,632 | |||
Cash denominated in foreign currency (cost $85,283) | 82,619 | |||
Receivable for investments sold | 2,528,559 | |||
Receivable for fund shares sold | 1,513,421 | |||
Unrealized gain on forward exchange contracts (Note 7) | 324,193 | |||
Dividends receivable | 479,775 | |||
Prepaid expenses and other assets | 82,869 | |||
Total Assets | 608,953,417 | |||
LIABILITIES | ||||
Payable for securities purchased | 22,657,524 | |||
Payable for fund shares redeemed | 563,090 | |||
Unrealized loss on forward exchange contracts (Note 7) | 62,886 | |||
Payable to investment advisor and other affiliates (Note 3) | 620,945 | |||
Accounts payable and accrued expenses | 102,537 | |||
Dividends payable | 836 | |||
Total liabilities | 24,007,818 | |||
NET ASSETS | $ | 584,945,599 | ||
NET ASSETS CONSIST OF: | ||||
Undistributed net investment income | $ | 2,269,439 | ||
Net unrealized depreciation on investments | (17,178,842 | ) | ||
Accumulated net realized gain (loss) | (22,473,626 | ) | ||
Net capital paid in on shares of beneficial interest | 622,328,628 | |||
$ | 584,945,599 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($247,796,618 applicable to 14,566,276 shares of beneficial interest outstanding – Note 4) | $ | 17.01 | ||
Maximum sales charge, 4.50% of offering price | 0.80 | |||
Maximum offering price per share | $ | 17.81 | ||
Class C Shares: | ||||
Net asset value and offering price per share * ($134,990,318 applicable to 8,031,601 shares of beneficial interest outstanding – Note 4) | $ | 16.81 | ||
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STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2008 (Unaudited) |
Class I Shares: | |||
Net asset value, offering and redemption price per share ($202,149,328 applicable to 11,825,973 shares of beneficial interest outstanding – Note 4) | $ | 17.09 | |
Class R3 Shares: | |||
Net asset value, offering and redemption price per share ($3,221 applicable to 189 shares of beneficial interest | $ | 17.02 | |
Class R4 Shares: | |||
Net asset value, offering and redemption price per share ($3,056 applicable to 180 shares of beneficial interest | $ | 17.02 | |
Class R5 Shares: | |||
Net asset value, offering and redemption price per share ($3,058 applicable to 179 shares of beneficial interest | $ | 17.10 | |
* | 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 Global Opportunities Fund | Six Months Ended March 31, 2008 (Unaudited) |
INVESTMENT INCOME: | ||||
Dividend income (net of foreign taxes withheld of $367,567) | $ | 6,850,878 | ||
Interest income | 720,069 | |||
Total Income | 7,570,947 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 2,669,311 | |||
Administration fees (Note 3) | ||||
Class A Shares | 174,991 | |||
Class C Shares | 83,503 | |||
Class I Shares | 50,808 | |||
Class R3 Shares | 1 | |||
Class R4 Shares | 1 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 359,993 | |||
Class C Shares | 670,534 | |||
Class R3 Shares | 3 | |||
Class R4 Shares | 1 | |||
Transfer agent fees | ||||
Class A Shares | 106,813 | |||
Class C Shares | 68,576 | |||
Class I Shares | 27,631 | |||
Class R3 Shares | 300 | |||
Class R4 Shares | 300 | |||
Class R5 Shares | 300 | |||
Registration and filing fees | ||||
Class A Shares | 23,492 | |||
Class C Shares | 12,203 | |||
Class I Shares | 15,962 | |||
Class R3 Shares | 4,194 | |||
Class R4 Shares | 4,194 | |||
Class R5 Shares | 4,194 | |||
Custodian fees (Note 3) | 129,419 | |||
Professional fees | 25,745 | |||
Accounting fees | 12,514 | |||
Trustee fees | 2,526 | |||
Other expenses | 53,412 | |||
Total Expenses | 4,500,921 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (51,807 | ) | ||
Fees paid indirectly (Note 3) | (8,919 | ) | ||
NET EXPENSES | 4,440,195 | |||
NET INVESTMENT INCOME | $ | 3,130,752 | ||
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STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Global Opportunities Fund | Six Months Ended March 31, 2008 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments sold | $ | (19,680,941 | ) | |
Foreign currency transactions | (1,363,624 | ) | ||
(21,044,565 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (75,083,395 | ) | ||
Foreign currency translations | 450,201 | |||
(74,633,194 | ) | |||
Net Realized and Unrealized Loss | (95,677,759 | ) | ||
Net Decrease in Net Assets Resulting From Operations | $ | (92,547,007 | ) | |
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Global Opportunities Fund
Six Months Ended March 31, 2008* | Year Ended September 30, 2007 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 3,130,752 | $ | 728,863 | ||||
Net realized gain (loss) on investments and foreign currency transactions | (21,044,565 | ) | 16,816,919 | |||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments and foreign currency translations | (74,633,194 | ) | 56,558,223 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (92,547,007 | ) | 74,104,005 | |||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (577,184 | ) | (2,647 | ) | ||||
Class I Shares | (936,801 | ) | (17,567 | ) | ||||
From realized gains | ||||||||
Class A Shares | (8,262,772 | ) | (223,855 | ) | ||||
Class C Shares | (3,642,010 | ) | (86,617 | ) | ||||
Class I Shares | (5,983,950 | ) | (226,047 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 33,845,546 | 217,027,928 | ||||||
Class C Shares | 51,315,218 | 87,907,758 | ||||||
Class I Shares | 133,490,732 | 74,800,459 | ||||||
Class R3 Shares | 3,370 | — | ||||||
Class R4 Shares | 3,200 | — | ||||||
Class R5 Shares | 3,200 | — | ||||||
Net Increase in Net Assets | 106,711,542 | 453,283,417 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 478,234,057 | 24,950,640 | ||||||
End of period | $ | 584,945,599 | $ | 478,234,057 | ||||
Undistributed net investment income | $ | 2,269,439 | $ | 652,672 |
* Unaudited.
See notes to financial statements.
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Thornburg Global Opportunities Fund | March 31, 2008 (Unaudited) |
NOTE 1 – ORGANIZATION
Thornburg Global Opportunities Fund, hereinafter referred to as the “Fund,” is a diversified series of Thornburg Investment Trust (the “Trust”). The Fund commenced operations on July 28, 2006. 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 thirteen 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 New York Intermediate Municipal Fund, Thornburg Core Growth Fund, Thornburg Investment Income Builder Fund, Thornburg International Growth Fund, and Thornburg Strategic Income Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing in equity and debt securities of all types from issuers around the world.
The Fund currently offers six classes of shares of beneficial interest, Class A, Class C, Institutional Class (Class I), and Retirement Classes (Class R3, Class R4, and Class R5) 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, (iv) Class R3 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, (v) Class R4 shares are sold at net asset value without a sales charge at the time of purchase, but bear a service 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 may have different reinvestment privileges and conversion rights. 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 Securities: Portfolio securities listed or traded on a national securities exchange are valued on the valuation date at the last reported sale price on the exchange that is the primary market for the security. Portfolio securities traded on an exchange for which there has been no sale that day and other equity securities traded in the over-the-counter market are valued at the mean between the last reported bid and asked prices. Portfolio securities reported by NASDAQ are valued at the NASDAQ official closing price. Any foreign security traded on exchanges outside the United States is valued at the price of the security on the exchange that is normally the security’s primary market, as of the close of that exchange preceding the time of the Fund’s valuation. Quotations for foreign securities in foreign currencies are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
Any debt securities held by the Fund have a primary market over the counter and are valued by an independent pricing service approved by the Trustees of the Trust. The pricing service ordinarily values debt securities at quoted bid prices. When quotations are not available, debt securities held by the Fund are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt securities of comparable quality, type of issue, coupon, maturity, and rating, indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
In any case where the market value of an equity security held by the Fund is not readily available, the Trust’s valuation and pricing committee determines a fair value for the security using factors approved by the Trustees. A security’s market value is deemed not readily available whenever the exchange or market on which the security is primarily traded is closed for the entire scheduled day of trading. Additionally, a security’s market value may be deemed not readily available under other circumstances identified by the Trustees, including when developments occurring after the most recent close of the security’s primary exchange or market, but before the most recent close of trading in Fund shares, create a serious question about the reliability of the security’s market value.
In any case where a pricing service fails to provide a price for a debt security held by the Fund, the valuation and pricing committee determines a fair value for the debt security using factors approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt security held by the Fund may be unreliable, the valuation and pricing committee decides whether or not to use the pricing service’s valuation or to determine a fair value for the debt security.
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
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2008 (Unaudited) |
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 amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books, and the U.S. dollar equivalent of the amounts actually received or paid.
Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.
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 Fund’s 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 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 liabilities 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 six months ended March 31, 2008, 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 Trust also has entered into administrative services agreements 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
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2008 (Unaudited) |
class of shares. For the six months ended March 31, 2008, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $38,325 for Class I shares, $4,494 for Class R3 shares, $4,494 for Class R4 shares, and $4,494 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 six months ended March 31, 2008, the Distributor has advised the Fund that it earned commissions aggregating $111,625 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $70,035 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 and distribution 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 R3 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C and Class R3 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 and Class R3 shares. Total fees incurred by the Distributor for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2008, 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 six months ended March 31, 2008, fees paid indirectly were $8,919. This figure may include additional fees waived by the custodian.
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, 2008, 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, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 5,882,080 | $ | 113,289,814 | 13,660,081 | $ | 238,770,592 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 409,826 | 7,732,060 | 14,864 | 208,773 | ||||||||||
Shares repurchased | (4,807,024 | ) | (87,189,032 | ) | (1,252,603 | ) | (21,960,678 | ) | ||||||
Redemption fees received** | — | 12,704 | — | 9,241 | ||||||||||
Net Increase (Decrease) | 1,484,882 | $ | 33,845,546 | 12,422,342 | $ | 217,027,928 | ||||||||
Class C Shares | ||||||||||||||
Shares sold | 3,353,354 | $ | 63,897,174 | 5,344,378 | $ | 91,693,393 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 154,440 | 2,878,767 | 4,462 | 62,462 | ||||||||||
Shares repurchased | (876,480 | ) | (15,466,907 | ) | (221,453 | ) | (3,852,049 | ) | ||||||
Redemption fees received** | — | 6,184 | — | 3,952 | ||||||||||
Net Increase (Decrease) | 2,631,314 | $ | 51,315,218 | 5,127,387 | $ | 87,907,758 | ||||||||
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2008 (Unaudited) |
Six Months Ended March 31, 2008 (unaudited) | Year Ended September 30, 2007 (audited) | |||||||||||||
Class I Shares | ||||||||||||||
Shares sold | 8,803,508 | $ | 176,167,963 | 4,793,763 | $ | 81,916,342 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 300,018 | 5,694,539 | 16,374 | 230,652 | ||||||||||
Shares repurchased | (2,656,876 | ) | (48,381,242 | ) | (438,535 | ) | (7,351,459 | ) | ||||||
Redemption fees received** | — | 9,472 | — | 4,924 | ||||||||||
Net Increase (Decrease) | 6,446,650 | $ | 133,490,732 | 4,371,602 | $ | 74,800,459 | ||||||||
Class R3 Shares(a) | ||||||||||||||
Shares sold | 189 | $ | 3,371 | — | $ | — | ||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||
Shares repurchased | — | (1 | ) | — | — | |||||||||
Redemption fees received** | — | — | — | — | ||||||||||
Net Increase (Decrease) | 189 | $ | 3,370 | — | $ | — | ||||||||
Class R4 Shares(a) | ||||||||||||||
Shares sold | 180 | $ | 3,200 | — | $ | — | ||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||
Shares repurchased | — | — | — | — | ||||||||||
Redemption fees received** | — | — | — | — | ||||||||||
Net Increase (Decrease) | 180 | $ | 3,200 | — | $ | — | ||||||||
Class R5 Shares(a) | ||||||||||||||
Shares sold | 179 | $ | 3,200 | — | $ | — | ||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||
Shares repurchased | — | — | — | — | ||||||||||
Redemption fees received** | — | — | — | — | ||||||||||
Net Increase (Decrease) | 179 | $ | 3,200 | — | $ | — | ||||||||
(a) | Effective date of this class of shares was February 1, 2008. |
** | The Fund charges a redemption fee of 1% of the Class A and Class I shares redeemed or exchanged within 30 days of purchase. Redemption fees charged to any class are allocated to all classes upon receipt of payment based on relative net asset values of each class or other appropriate allocation methods. |
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2008 (Unaudited) |
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2008, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $497,051,950 and $250,415,473, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2008, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 622,780,019 | ||
Gross unrealized appreciation on a tax basis | $ | 32,885,640 | ||
Gross unrealized depreciation on a tax basis | (51,937,310 | ) | ||
Net unrealized appreciation | ||||
(depreciation) on investments (tax basis) | $ | (19,051,670 | ) | |
At March 31, 2008, the Fund had deferred tax basis currency losses occurring subsequent to October 31, 2006 of $67,816. For tax purposes, such losses will be reflected in the year ending September 30, 2008.
NOTE 7 – FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
During the six months ended March 31, 2008, 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. There are special risks associated with international investing, including currency fluctuations, economic and political instability, confiscation, inability or delays in selling foreign investments, and reduced legal protection for investments.
CONTRACTS TO SELL: | ||||||
Contracts | Contract Value Date | Unrealized Gain (Loss) | ||||
733,000,000 Philippine Peso for 17,748,184 USD | June 16, 2008 | $ | 324,193 | |||
Net unrealized gain (loss) from forward | $ | 324,193 | ||||
CONTRACTS TO BUY: | ||||||
Contracts | Contract Value Date | Unrealized Gain (Loss) | ||||
86,500,000 Philippine Peso for 2,119,059 USD | June 16, 2008 | $ | (62,886 | ) | ||
Net unrealized gain (loss) from forward | $ | (62,886 | ) | |||
Net unrealized gain (loss) from forward | $ | 261,307 | ||||
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2008 (Unaudited) |
OTHER NOTES:
FASB Interpretation No. 48:
On July 13, 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation prescribes a model for how a company, including the Fund, should recognize, measure, present and disclose in its financial statements uncertain tax positions that the company has taken or expects to take on income tax returns, and also revises certain disclosure requirements. The Interpretation became effective for the Fund for the financial statement reporting period ended March 31, 2008. As of the date of this report, management of the Fund has not identified any material effect on the Fund’s financial statements resulting from the implementation of FIN 48.
Statement of Accounting Standards No. 157:
On September 15, 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 defines fair value, provides guidelines for measuring fair value in accordance with generally accepted accounting principles, and addresses disclosures about fair value measurements. FAS 157 establishes a fair value hierarchy that distinguishes between (i) market participant assumptions developed based upon market data obtained from sources independent of the reporting entity (observable inputs) and (ii) the entity’s own assumptions about market participant assumptions developed based upon the best information available under the circumstances (unobservable inputs). FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and is to be applied prospectively as of the beginning of the first fiscal year for which FAS 157 is applied. Management is evaluating FAS 157, and is not in a position at this time to estimate the significance of its impact, if any, on the Fund’s financial statements.
Statement of Accounting Standards No. 161:
In March 2008, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”). FAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. FAS 161 requires enhanced disclosures about any derivative and hedging activities by the Fund, including how such activities are accounted for and any effect on the Fund’s financial position, performance and cash flows. Management is evaluating the impact, if any, that the adoption of FAS 161 will have on the Fund’s financial statements and related disclosures.
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Thornburg Global Opportunities Fund
Six Months Ended March 31, 2008* | Year Ended Sept. 30, 2007 | Period Ended Sept. 30, 2006 (a) | ||||||||||
Class I Shares: | ||||||||||||
PER SHARE PERFORMANCE | ||||||||||||
(for a share outstanding throughout the period)+ | ||||||||||||
Net asset value, beginning of period | $ | 20.16 | $ | 12.87 | $ | 11.94 | ||||||
Income from investment operations: | ||||||||||||
Net investment income (loss) | 0.14 | 0.17 | 0.02 | |||||||||
Net realized and unrealized gain (loss) on investments | (2.59 | ) | 7.29 | 0.91 | ||||||||
Total from investment operations | (2.45 | ) | 7.46 | 0.93 | ||||||||
Less dividends from: | ||||||||||||
Net investment income | (0.08 | ) | (0.01 | ) | — | |||||||
Net realized gains | (0.54 | ) | (0.16 | ) | — | |||||||
Total dividends | (0.62 | ) | (0.17 | ) | — | |||||||
Change in net asset value | (3.07 | ) | 7.29 | 0.93 | ||||||||
NET ASSET VALUE, end of period | $ | 17.09 | $ | 20.16 | $ | 12.87 | ||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||
Total return (%)(b) | (12.45 | ) | 58.51 | 7.79 | ||||||||
Ratios to average net assets: | ||||||||||||
Net investment income (loss) (%) | 1.53 | (c) | 0.97 | 0.90 | (c) | |||||||
Expenses, after expense reductions (%) | 0.99 | (c) | 1.00 | 1.04 | (c) | |||||||
Expenses, after expense reductions and net of custody credits (%) | 0.99 | (c) | 0.99 | 0.99 | (c) | |||||||
Expenses, before expense reductions (%) | 1.03 | (c) | 1.20 | 2.98 | (c) | |||||||
Portfolio turnover rate (%) | 43.19 | 91.02 | 6.08 | |||||||||
Net assets at end of period (thousands) | $ | 202,149 | $ | 108,461 | $ | 12,968 |
(a) | Fund commenced operations on July 28, 2006. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report 21
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Thornburg Global Opportunities Fund | March 31, 2008 (Unaudited) |
CUSIPS: CLASS A– 885-215-343, CLASS C – 885-215-335, CLASS I – 885-215-327, CLASS R3 – 885-215-145, CLASS R4 – 885-215-137, CLASS R5 – 885-215-129 NASDAQ SYMBOLS: CLASS A – THOAX, CLASS C – THOCX, CLASS I – THOIX, CLASS R3 – THORX, CLASS R4 – THOVX, CLASS R5 – THOFX
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/08
Telecommunication Services | 17.2 | % | |
Diversified Financials | 11.2 | % | |
Materials | 11.0 | % | |
Energy | 9.9 | % | |
Pharmaceuticals, Biotechnology & Life Sciences | 8.8 | % | |
Technology Hardware & Equipment | 4.7 | % | |
Health Care Equipment & Services | 4.1 | % | |
Insurance | 3.9 | % | |
Banks | 3.7 | % | |
Semiconductors & Semiconductor Equipment | 3.3 | % | |
Real Estate | 3.3 | % | |
Commercial Services & Supplies | 3.2 | % | |
Consumer Services | 2.9 | % | |
Utilities | 2.9 | % | |
Media | 2.7 | % | |
Transportation | 2.6 | % | |
Capital Goods | 2.2 | % | |
Other Assets & Cash Equivalents | 2.4 | % |
SUMMARY OF COUNTRY EXPOSURE
As of 3/31/08 (percent of equity holdings)
United States of America | 39.2 | % | |
Switzerland | 12.8 | % | |
China | 9.2 | % | |
Hong Kong | 6.3 | % | |
Canada | 5.7 | % | |
Greece | 5.0 | % | |
Mexico | 4.5 | % | |
Philippines | 3.0 | % | |
Israel | 2.9 | % | |
Brazil | 2.6 | % | |
Spain | 2.5 | % | |
Ireland | 2.3 | % | |
Italy | 2.1 | % | |
Korea | 1.9 | % |
Shares/ Principal Amount | Value | ||||
COMMON STOCK — 97.60% | |||||
BANKS — 3.65% | |||||
COMMERCIAL BANKS — 3.65% | |||||
Liechtensteinische Landesbank AG | 129,887 | $ | 10,332,367 | ||
Shinhan Financial Group Co., Ltd. | 208,900 | 11,031,928 | |||
21,364,295 | |||||
CAPITAL GOODS — 2.24% | |||||
TRADING COMPANIES & DISTRIBUTORS — 2.24% | |||||
Babcock & Brown Air Ltd. ADR | 806,025 | 13,097,906 | |||
13,097,906 | |||||
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
COMMERCIAL SERVICES & SUPPLIES — 3.21% | |||||
COMMERCIAL SERVICES & SUPPLIES — 3.21% | |||||
Huron Consulting Group, Inc.+ | 451,500 | $ | 18,759,825 | ||
18,759,825 | |||||
CONSUMER SERVICES — 2.93% | |||||
HOTELS, RESTAURANTS & LEISURE — 2.93% | |||||
OPAP SA | 481,500 | 17,164,583 | |||
17,164,583 | |||||
DIVERSIFIED FINANCIALS — 11.18% | |||||
CAPITAL MARKETS — 0.99% | |||||
Verwaltungs Private Bank AG | 26,195 | 5,784,476 | |||
DIVERSIFIED FINANCIAL SERVICES — 10.19% | |||||
Bovespa Holding SA | 1,086,500 | 14,643,942 | |||
Hong Kong Exchanges & Clearing Ltd. | 1,201,600 | 20,627,134 | |||
KKR Financial Holdings LLC | 1,921,429 | 24,325,291 | |||
65,380,843 | |||||
ENERGY — 9.86% | |||||
OIL, GAS & CONSUMABLE FUELS — 9.86% | |||||
Apache Corp. | 95,950 | 11,592,679 | |||
Canadian Natural Resources Ltd.+ | 199,900 | 13,685,004 | |||
Capital Product Partners LP | 609,157 | 11,360,778 | |||
China Petroleum & Chemical Corp. | 10,444,000 | 8,924,030 | |||
Eni S.p.A. | 355,100 | 12,109,256 | |||
57,671,747 | |||||
HEALTH CARE EQUIPMENT & SERVICES — 4.13% | |||||
HEALTH CARE TECHNOLOGY — 4.13% | |||||
Eclipsys Corp.+ | 1,232,606 | 24,171,404 | |||
24,171,404 | |||||
INSURANCE — 3.87% | |||||
INSURANCE — 3.87% | |||||
Swiss Re | 258,925 | 22,617,807 | |||
22,617,807 | |||||
MATERIALS — 11.02% | |||||
METALS & MINING — 11.02% | |||||
Eastern Platinum Ltd.+ | 5,885,400 | 18,577,326 | |||
Freeport-McMoRan Copper & Gold, Inc. | 296,000 | 28,481,120 | |||
Mercator Minerals Ltd.+ | 1,696,700 | 17,438,925 | |||
64,497,371 | |||||
MEDIA — 2.72% | |||||
MEDIA — 2.72% | |||||
Comcast Corp.+ | 837,800 | 15,893,066 | |||
15,893,066 | |||||
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 8.74% | |||||
LIFE SCIENCES TOOLS & SERVICES — 3.05% | |||||
Bachem Holding AG+ | 190,500 | $ | 17,830,002 | ||
PHARMACEUTICALS — 5.69% | |||||
Roche Holding AG | 90,000 | 16,937,871 | |||
Teva Pharmaceutical Industries Ltd. ADR | 354,100 | 16,355,879 | |||
51,123,752 | |||||
REAL ESTATE — 3.32% | |||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 3.32% | |||||
Country Garden Holdings Co. | 22,621,000 | 19,416,045 | |||
19,416,045 | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 3.32% | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 3.32% | |||||
Intel Corp. | 917,200 | 19,426,296 | |||
19,426,296 | |||||
TECHNOLOGY HARDWARE & EQUIPMENT — 4.74% | |||||
COMPUTERS & PERIPHERALS — 4.74% | |||||
Dell, Inc.+ | 1,392,800 | 27,744,576 | |||
27,744,576 | |||||
TELECOMMUNICATION SERVICES — 17.18% | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 4.74% | |||||
Level 3 Communications, Inc.+ | 6,339,200 | 13,439,104 | |||
Telefónica SA | 497,000 | 14,280,414 | |||
WIRELESS TELECOMMUNICATION SERVICES — 12.44% | |||||
América Móvil SAB de C.V. | 402,000 | 25,603,380 | |||
China Mobile Ltd. | 1,607,000 | 23,910,956 | |||
Crown Castle International Corp.+ | 674,000 | 23,246,260 | |||
100,480,114 | |||||
TRANSPORTATION — 2.60% | |||||
TRANSPORTATION INFRASTRUCTURE — 2.60% | |||||
Shenzhen Chiwan Wharf Holdings Ltd. | 10,492,803 | 15,208,036 | |||
15,208,036 | |||||
UTILITIES — 2.89% | |||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 2.89% | |||||
PNOC Energy Development Corp. | 119,724,100 | 16,910,993 | |||
16,910,993 | |||||
TOTAL COMMON STOCK (Cost $588,551,023) | 570,928,659 | ||||
24 Certified Semi-Annual Report
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||||
SHORT TERM INVESTMENTS — 5.61% | |||||||
General Electric Capital Corp., 2.00%, 4/1/2008 | $ | 27,500,000 | $ | 27,500,000 | |||
Toyota Motor Credit, 2.10%, 4/2/2008 | 5,300,000 | 5,299,690 | |||||
TOTAL SHORT TERM INVESTMENTS (Cost $32,799,691) | 32,799,690 | ||||||
TOTAL INVESTMENTS — 103.21% (Cost $621,350,714) | 603,728,349 | ||||||
LIABILITIES NET OF OTHER ASSETS — (3.21)% | (18,782,750 | ) | |||||
NET ASSETS — 100.00% | $ | 584,945,599 | |||||
Footnote Legend
+ Non-income producing
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR | American Depository Receipt |
See notes to financial statements.
Certified Semi-Annual Report 25
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Thornburg Global Opportunities Fund | March 31, 2008 (Unaudited) |
As a shareholder of the Fund, you incur two types of costs:
(1) | transaction costs, including a 30-day redemption fee on Class I shares; |
(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, 2007 and held until March 31, 2008.
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 for your class of shares 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 for each class of shares 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 9/30/07 | Ending Account Value 3/31/08 | Expenses Paid During Period† 9/30/07–3/31/08 | |||||||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 875.50 | $ | 4.64 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.05 | $ | 5.00 |
† | Expenses are equal to the annualized expense ratio for Class I shares (0.99%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
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Thornburg Global Opportunities Fund | March 31, 2008 (Unaudited) |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Global opportunities Fund versus MSCI AC World Index (July 28, 2006 to March 31, 2008)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2008
1 Yr | Since Inception | |||||
I Shares (Incep: 07/28/06) | 9.90 | % | 27.20 | % | ||
MSCI All Country | ||||||
World Index (Since: 07/28/06) | (1.15 | )% | 8.48 | % |
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. Class I shares are subject to a 1% 30-day redemption fee.
The Morgan Stanley Capital International All Country World Index (MSCI AC World Index) is a market capitalization weighted index composed of over 2,000 companies, and is representative of the market structure of 48 developed and emerging market countries in North and South America, Europe, Africa, and the Pacific Rim. The index is calculated with net dividends reinvested in U.S. dollars. Investors may not make direct investments into any index.
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Thornburg Global Opportunities Fund | March 31, 2008 (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 web site at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s web site at www.sec.gov.
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 web site at www.thorn-burg.com, and (iii) on the Securities and Exchange Commission’s web site 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 web site at 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 web site at www.thornburg.com/download or upon request by calling 1-800-847-0200.
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Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
February 8, 2005, as readopted July 18, 2007
The Trustees are concerned that ongoing 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.
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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. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
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.
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 Global Opportunities Fund |
• | Thornburg International Growth Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
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Thornburg Equity Funds
Thornburg’s equity research uses a fundamental and comprehensive analytical approach. Thornburg equity funds focus on a limited number of securities so that each holding can impact 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.
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
• | Thornburg International Growth Fund |
Thornburg Bond Funds
The majority of Thornburg bond funds are laddered portfolios of 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 Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term Municipal Fund |
• | Thornburg New Mexico Intermediate Municipal Fund |
• | Thornburg New York Intermediate Municipal Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund* |
Carefully consider each fund’s investment objectives, risks, sales charges, and expenses; this information can be found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. There is no guarantee that any of these funds will meet their investment objectives.
For additional information, please visit www.thornburg.com
Thornburg Investment Management, 119 East Marcy Street, Santa Fe, NM 87501
* | This fund does not use the laddering strategy. |
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This Semi-Annual Report is 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.
Investment Advisor:
Thornburg Investment Management®
800.847.0200
Distributor:
Thornburg Securities Corporation®
800.847.0200
TH1412
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Thornburg International Growth Fund
Comprehensive International Growth Investing
The Fund seeks long-term growth of capital by investing in equity securities selected for their growth potential.
The Fund normally invests at least 75% of its assets in foreign securities or depository receipts of foreign securities. However, the Fund may own a variety of securities, including partnership interests and debt obligations. The Fund may also invest in developing countries and in smaller companies with market capitalizations of less than $500 million.
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Important Information
The information presented on the following pages was current as of March 31, 2008. The managers’ views, portfolio holdings, and sector and country diversification are provided for the general information of the Fund’s shareholders; they are historical and subject to change. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments in the Fund carry risks including possible loss of principal. Funds invested in a limited number of holdings may expose an investor to greater volatility. Investing outside the United States involves additional risks, such as currency fluctuations. 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. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund. Investments 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. There is no guarantee that the Fund will meet its investment objectives.
Performance data given at net asset value (NAV) does not take into account the applicable sales charges. If the sales charges had been included, the performance would have been lower.
From time to time, the Fund may invest in shares of companies through initial public offerings (“IPOs”). IPOs have the potential to produce substantial gains for some of the funds. There is no assurance that any of the Funds will have continued access to profitable IPOs and as a Fund’s assets grow, the impact of IPO investments may decline. Therefore, investors should not rely on these past gains as an indication of future performance.
Glossary
The Morgan Stanley Capital International (MSCI) All Country (AC) World ex-U.S. Growth Index – The Morgan Stanley Capital International All Country World ex-U.S. Growth Index includes growth companies in developed and emerging markets throughout the world, excluding the United States. Indices do not take into account fees and expenses. Investors cannot make direct investments in an 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.
Basis Point (BPS) – A unit that is equal to 1/100th of 1%. A 1% change =100 basis points (bps).
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Thornburg International Growth Fund
Comprehensive International Growth Investing
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%. Class A shares are subject to a 1% 30-day redemption fee. The total annual fund operating expense of Class A shares is 2.10%, as disclosed in the most recent Prospectus. Thornburg Investment Management intends to waive fees and reimburse expenses so that actual expenses do not exceed 1.63%. The subsidized expense ratio reflects the annual operating expenses of the Fund minus any fee waivers or expense reimbursements. The fee waivers and expense reimbursements are voluntary and may be terminated at any time.
KEY PORTFOLIO ATTRIBUTES
As of 3/31/08
Portfolio P/E Trailing 12-months* | 18.5x | ||
Portfolio Price to Cash Flow* | 11.5 | ||
Portfolio Price to Book Value* | 3.8 | ||
Median Market Cap* | $ | 9.2 B | |
Equity Holdings | 41 |
* | Source: FactSet |
Across the world, economic growth is presenting a tremendous number of opportunities for investors. In an effort to capture these opportunities, Thornburg Investment Management launched the Thornburg International Growth Fund in 2007.
The Fund’s process is centered on identifying attractively valued international growth companies from the bottom-up. The management team will leave it to others to make broad-based calls on the direction of the market. Instead, co-portfolio managers Alex Motola and Brian Summers will employ a comprehensive, “go-everywhere” approach to growth investing. Stocks are classified into various growth baskets: Growth Industry Leaders, Consistent Growers, or Emerging Growth Companies. From those baskets, the managers will build a portfolio of 40-50 stocks which they believe provides the best long-term prospects for investors. While stocks are analyzed on their individual merits, their role as part of a diversified portfolio is also taken into account.
Equity investing, especially disciplines focused on growing companies, can bring volatility. The Thornburg International Growth Fund portfolio managers recognize this and strive to balance the aims of generating a strong long-term record while managing downside volatility. Portfolio construction and geographic diversification provide part of the answer, but fundamental analysis can often play a more important role. While other growth funds limit volatility by diversifying across a large number of names, the team managing the Thornburg International Growth Fund believes that a more robust under-standing of a smaller number of portfolio holdings is one of the most effective forms of risk management.
AVERAGE ANNUAL TOTAL RETURNS* FOR PERIODS ENDED 3/31/08
6 Mos. | 1 Yr | Since Inception | |||||||
A Shares (Incep: 2/1/07) | |||||||||
Without Sales Charge | (7.84 | )% | 9.04 | % | 12.95 | % | |||
With Sales Charge | (11.97 | )% | 4.16 | % | 8.57 | % | |||
MSCI AC World | |||||||||
ex-U.S. Growth Index (Since: 2/1/07) | (8.22 | )% | 5.83 | % | 7.25 | % | |||
* | Periods less than one year are not annualized. |
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Much of the research process is focused on identifying how the overall market came to price a security. Many of the ideas are sourced through a quantitative screening process of the universe of international companies. Only those with the most appealing growth and valuation characteristics pass on to the step of having a complex financial model built. Thornburg’s growth investment team scours regulatory filings, visits company management and interviews suppliers and customers. By doing this work, they develop their own view of the intrinsic value of the company. Only if their view is materially higher than the market do they make an investment.
Others may question how we manage a growth portfolio, especially an international one, from Santa Fe, New Mexico. We embrace our location, away from the ancillary noise of the major money centers. We have access to Wall Street research, but prefer to come to our own conclusions about the value of an investment. Our process allows us to take a very broad view of what an attractively valued, international growth company looks like, and invest in those few companies that we believe provide the most attractive risk-reward trade-off. As such, we have built a portfolio which at any given time will look quite unlike the MSCI AC World ex-U.S. Growth Index or our competition. All of this is done with a goal of providing attractive, consistent returns over the long-term.
STOCKS CONTRIBUTING AND DETRACTING
SIX MONTHS ENDED 3/31/08
Top Contributors | Top Detractors | |
Deutsche Börse AG | Las Vegas Sands Corp. | |
China Digital TV Hldg. Co., Ltd. (ADS) | Amdocs Ltd. | |
Alibaba.com Ltd. | Giant Interactive Group, Inc. (ADS) | |
ČEZ AS | Asya Katilim Bankasi AS | |
Aldar Properties | Sprider Stores SA | |
Source: FactSet |
MARKET CAPITALIZATION EXPOSURE
As of 3/31/08
TOP TEN HOLDINGS
As of 3/31/08
HHLA | 3.8 | % | |
América Móvil SAB de C.V. | 3.7 | % | |
Nestlé SA-REG | 3.6 | % | |
Roche Holding AG | 3.6 | % | |
Telefónica SA | 3.5 | % | |
Oest Elektrizitats | 3.5 | % | |
Novo Nordisk A/S | 3.4 | % | |
Amdocs Ltd. | 3.3 | % | |
Deutsche Börse AG | 3.3 | % | |
Carlsberg A/S | 2.8 | % |
BASKET STRUCTURE
As of 3/31/08
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Thornburg International Growth Fund
March 31, 2008
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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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Alexander M.V. Motola, CFA Co-Portfolio Manager
Brian Summers, CFA Co-Portfolio Manager | April 22, 2008
Dear Fellow Shareholder:
For the six months ended March 31, 2008, the Thornburg International Growth Fund generated slightly better than market performance. On September 30, 2007, the net asset value (NAV) for the Class A shares was $14.92. By the semi-annual date (March 31, 2008), the NAV of the Class A shares was $13.43. The Fund’s Class A shares outperformed its benchmark with a total negative return of 7.84% compared to negative 8.22% for the MSCI AC World ex-US Growth Index.
Market sentiment over the past six months turned decidedly negative. Most international markets are down 5-10%, with Asia doing a little worse. We continue to do the same things we’ve always done and believe that finding attractively valued growth stocks is a formula for long term success. Historically, our stock picking has been strong. Our portfolio remains diversified on a geographic and sector driven basis. Our biggest exposures over the prior six months included Utilities, Financials, Consumer Staples, and Telecommunication Services. Likewise, we are invested in a diverse mix of countries; our largest exposures include Germany, Switzerland, Denmark, Austria, Mexico and Great Britain.
Our stock picking over the period was mixed. Utilities were our largest contributor, in selection effect, as well as one of our top three sectors in allocation. CEZ AS and Verbund were material contributors to performance. Contributions from Information Technology were mixed, as we benefited from exposure to Smartrac NV and Temenos, and were negatively impacted by our holdings in Giant Interactive and Vistaprint. Our toughest sector was Consumer Discretionary. There was a relatively benign impact to returns from Airmedia Group and Antichi Pellettieri SpA, but we were hurt by our other holdings in that sector: Naspers Ltd., FU JI Food and Catering Services, Zee Entertainment Enterprises Ltd., Sprider Stores SA, and Las Vegas Sands Corp. Most of these holdings have bright outlooks; in fact, we recently took the opportunity to add to our position in Sprider.
We subscribe to the belief that when running a focused portfolio of stocks, significant outperformance can come from a few names doing very well, assuming that downside performance is minimized. Telecommunication Services and Utilities are large weights in our portfolio, and we continue to believe that, given global economic uncertainty, these remain good places to invest. Our approach is driven only partially by the perceived defensive characteristics of these businesses; we also believe there are substantial profits to be made.
Sales from the portfolio have included FU JI Food and Catering Services, Giant Interactive, Orco Property Group, Temenos, Unicredito/Capitalia, Tallink, Tesco, and Vistaprint. Additions to the portfolio include Aldar Properties, HHLA, Airmedia Group, Inc., BM&F SA and Bovespa Holding SA (these last two companies are now merging), Sprider Stores SA, Major Drilling Group International, Inc., Zee Entertainment Enterprises Ltd., and Open Text Corp. While it is often easiest to explain the portfolio in terms of sectors or geographies, that approach implies a focus on those characteristics. However, we use a bottom-up approach that focuses primarily on the individual stocks with secondary consideration given to sectors |
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and geographies. We know our exposures, and we monitor them. We rarely feel that we are underexposed, at a macro level, to a type of business or a location on the globe. The focus of our monitoring is to ensure that, while not compromising the “opportunity” component of the portfolio, we are not taking undue risks caused by the relationship between securities, markets, and how businesses relate to one another.
Our biggest focus is finding great investments. Due to this, the weightings of our sectors, baskets, and geographies can seem volatile. If we sell a 2.5% position in a Chinese catering company, and use that cash to buy a German port business, then a lot of things happen. Our Chinese exposure goes down by 250 basis points, as does our emerging markets exposure. HHLA, the German port, is a Consistent Grower, while FU JI Food is an Emerging Growth company – again, a big swing in exposure. Cash obviously stays neutral. If we do as few as three buys and three sells in a quarter, there can be a substantial change in the portfolio weightings. This is driven by our concentrated, bottom-up approach – the search for the best stocks to own.
Our concern is managing portfolio risk, and less so, specific exposures to countries and sectors. There are countries we have never invested in because we have never found a great stock there. While there is volatility to the construction of the portfolio, we try to have consistency with regard to the baskets: Growth Industry Leaders, Consistent Growers, and Emerging Growth companies. Ideally, we would have a third of the portfolio in each basket. Due to our concentrated nature, we don’t always have the prescribed exposure. We use 33% for each basket as a horizon target. The baskets are effective in managing market exposure, and their viability has been tested across several different funds at Thornburg, going back to the inception of the Thornburg Value Fund in 1995.
We intend to continue implementing our investment process in a disciplined, consistent manner. We continue to find what we believe to be attractive growth companies. Part of our success can be attributed to the fact that our broad mandate allows us to search in parts of the market not open to managers more tightly constrained to specific style boxes. This flexible approach allows us to do what we love – researching companies and identifying opportunities is our passion. 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 International Growth Fund.
Sincerely,
![]() | ![]() | |||
Alexander M.V. Motola,CFA | Brian Summers,CFA | |||
Managing Director | Managing Director | |||
Co-Portfolio Manager | Co-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 Growth Fund | March 31, 2008 (Unaudited) |
ASSETS | ||||
Investments at value (cost $118,225,172) (Note 2) | $ | 114,752,333 | ||
Cash | 375,992 | |||
Receivable for investments sold | 2,446,147 | |||
Receivable for fund shares sold | 298,685 | |||
Unrealized gain on forward exchange contracts (Note 7) | 97,523 | |||
Dividends receivable | 148,590 | |||
Prepaid expenses and other assets | 83,298 | |||
Total Assets | 118,202,568 | |||
LIABILITIES | ||||
Payable for securities purchased | 214,386 | |||
Payable for fund shares redeemed | 122,067 | |||
Unrealized loss on forward exchange contracts (Note 7) | 1,887,136 | |||
Payable to investment advisor and other affiliates (Note 3) | 105,344 | |||
Accounts payable and accrued expenses | 21,829 | |||
Total liabilities | 2,350,762 | |||
NET ASSETS | $ | 115,851,806 | ||
NET ASSETS CONSIST OF: | ||||
Net investment loss | $ | (109,562 | ) | |
Net unrealized depreciation on investments | (5,258,790 | ) | ||
Accumulated net realized gain (loss) | (1,107,981 | ) | ||
Net capital paid in on shares of beneficial interest | 122,328,139 | |||
$ | 115,851,806 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($47,378,303 applicable to 3,527,332 shares of beneficial interest outstanding - Note 4) | $ | 13.43 | ||
Maximum sales charge, 4.50% of offering price | 0.63 | |||
Maximum offering price per share | $ | 14.06 | ||
Class C Shares: | ||||
Net asset value and offering price per share * ($32,296,102 applicable to 2,425,102 shares of beneficial interest outstanding - Note 4) | $ | 13.32 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($36,128,880 applicable to 2,669,708 shares of beneficial interest outstanding - Note 4) | $ | 13.53 | ||
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STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg International Growth Fund | March 31, 2008 (Unaudited) |
Class R3 Shares: | |||
Net asset value, offering and redemption price per share ($42,329 applicable to 3,150 shares of beneficial interest outstanding - Note 4) | $ | 13.44 | |
Class R4 Shares: | |||
Net asset value, offering and redemption price per share ($3,095 applicable to 230 shares of beneficial interest outstanding - Note 4) | $ | 13.44 | |
Class R5 Shares: | |||
Net asset value, offering and redemption price per share ($3,097 applicable to 229 shares of beneficial interest outstanding - Note 4) | $ | 13.53 | |
* | 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 Growth Fund | Six Months Ended March 31, 2008 (Unaudited) |
INVESTMENT INCOME: | ||||
Dividend income (net of foreign taxes withheld of $88,870) | $ | 541,496 | ||
Interest income | 175,398 | |||
Total Income | 716,894 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 446,357 | |||
Administration fees (Note 3) | ||||
Class A Shares | 26,069 | |||
Class C Shares | 16,456 | |||
Class I Shares | 8,494 | |||
Class R3 Shares | 4 | |||
Class R4 Shares | 1 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 56,596 | |||
Class C Shares | 132,478 | |||
Class R3 Shares | 17 | |||
Class R4 Shares | 1 | |||
Transfer agent fees | ||||
Class A Shares | 17,584 | |||
Class C Shares | 14,392 | |||
Class I Shares | 8,546 | |||
Class R3 Shares | 300 | |||
Class R4 Shares | 300 | |||
Class R5 Shares | 300 | |||
Registration and filing fees | ||||
Class A Shares | 13,476 | |||
Class C Shares | 10,929 | |||
Class I Shares | 12,243 | |||
Class R3 Shares | 4,169 | |||
Class R4 Shares | 4,169 | |||
Class R5 Shares | 4,169 | |||
Custodian fees (Note 3) | 46,267 | |||
Professional fees | 17,964 | |||
Accounting fees | 1,311 | |||
Trustee fees | 92 | |||
Other expenses | 8,222 | |||
Total Expenses | 850,906 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (46,650 | ) | ||
Management fees waived by investment advisor (Note 3) | (10,818 | ) | ||
Fees paid indirectly (Note 3) | (5,117 | ) | ||
Net Expenses | 788,321 | |||
Net Investment Loss | $ | (71,427 | ) | |
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STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg International Growth Fund | Six Months Ended March 31, 2008 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments sold | $ | (299,831 | ) | |
Foreign currency transactions | (199,210 | ) | ||
(499,041 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (9,596,828 | ) | ||
Foreign currency translations | (1,747,608 | ) | ||
(11,344,436 | ) | |||
Net Realized and Unrealized Loss | (11,843,477 | ) | ||
Net Decrease in Net Assets Resulting From Operations | $ | (11,914,904 | ) | |
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg International Growth Fund |
Six Months Ended March 31, 2008* | For the period from commencement of operations on February 1, 2007 to September 30, 2007 | ||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | |||||||
OPERATIONS: | |||||||
Net investment income (loss) | $ | (71,427 | ) | $ | 5,873 | ||
Net realized gain (loss) on investments and foreign currency transactions | (499,041 | ) | 1,924,301 | ||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments and foreign currency translations | (11,344,436 | ) | 6,085,646 | ||||
Net Increase (decrease) in Net Assets Resulting from Operations | (11,914,904 | ) | 8,015,820 | ||||
DIVIDENDS TO SHAREHOLDERS: | |||||||
From realized gains | |||||||
Class A Shares | (1,043,825 | ) | — | ||||
Class C Shares | (692,219 | ) | — | ||||
Class I Shares | (841,205 | ) | — | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | |||||||
Class A Shares | 28,363,270 | 22,548,699 | |||||
Class C Shares | 24,202,364 | 11,229,605 | |||||
Class I Shares | 12,547,356 | 23,386,744 | |||||
Class R3 Shares | 43,701 | — | |||||
Class R4 Shares | 3,200 | — | |||||
Class R5 Shares | 3,200 | — | |||||
Net Increase in Net Assets | 50,670,938 | 65,180,868 | |||||
NET ASSETS: | |||||||
Beginning of period | 65,180,868 | — | |||||
End of period | $ | 115,851,806 | $ | 65,180,868 | |||
Undistributed net investment income | $ | (109,562 | ) | $ | — |
* | Unaudited. |
See notes to financial statements.
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NOTES TO FINANCIAL STATEMENTS | ||
Thornburg International Growth Fund | March 31, 2008 (Unaudited) |
NOTE 1 – ORGANIZATION
Thornburg International Growth Fund, hereinafter referred to as the “Fund,” is a diversified series of Thornburg Investment Trust (the “Trust”). The Fund commenced operations on February 1, 2007. 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 thirteen 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 New York Intermediate Municipal Fund, Thornburg Core Growth Fund, Thornburg Investment Income Builder Fund, Thornburg Global Opportunities Fund, and Thornburg Strategic Income Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing in equity securities selected for their growth potential.
The Fund currently offers six classes of shares of beneficial interest, Class A, Class C, Institutional Class (Class I), and Retirement Classes (Class R3, Class R4, and Class R5) 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, (iv) Class R3 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, (v) Class R4 shares are sold at net asset value without a sales charge at the time of purchase, but bear a service 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 may have different reinvestment privileges and conversion rights. 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 Securities: Portfolio securities listed or traded on a national securities exchange are valued on the valuation date at the last reported sale price on the exchange that is the primary market for the security. Portfolio securities traded on an exchange for which there has been no sale that day and other equity securities traded in the over-the-counter market are valued at the mean between the last reported bid and asked prices. Portfolio securities reported by NASDAQ are valued at the NASDAQ official closing price. Any foreign security traded on exchanges outside the United States is valued at the price of the security on the exchange that is normally the security’s primary market, as of the close of that exchange preceding the time of the Fund’s valuation. Quotations for foreign securities in foreign currencies are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
Any debt securities held by the Fund have a primary market over the counter and are valued by an independent pricing service approved by the Trustees of the Trust. The pricing service ordinarily values debt securities at quoted bid prices. When quotations are not available, debt securities held by the Fund are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt securities of comparable quality, type of issue, coupon, maturity, and rating, indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
In any case where the market value of an equity security held by the Fund is not readily available, the Trust’s valuation and pricing committee determines a fair value for the security using factors approved by the Trustees. A security’s market value is deemed not readily available whenever the exchange or market on which the security is primarily traded is closed for the entire scheduled day of trading. Additionally, a security’s market value may be deemed not readily available under other circumstances identified by the Trustees, including when developments occurring after the most recent close of the security’s primary exchange or market, but before the most recent close of trading in Fund shares, create a serious question about the reliability of the security’s market value.
In any case where a pricing service fails to provide a price for a debt security held by the Fund, the valuation and pricing committee determines a fair value for the debt security using factors approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt security held by the Fund may be unreliable, the valuation and pricing committee decides whether or not to use the pricing service’s valuation or to determine a fair value for the debt security.
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund | March 31, 2008 (Unaudited) |
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 amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books, and the U.S. dollar equivalent of the amounts actually received or paid.
Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.
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 Fund’s 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 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 liabilities 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 six months ended March 31, 2008, 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 six months ended March 31, 2008, the Advisor voluntarily waived investment advisory fees of
16 Certified Semi-Annual Report
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund | March 31, 2008 (Unaudited) |
$10,818. The Trust also has entered into administrative services agreements 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 six months ended March 31, 2008, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $2,474 for Class A shares, $1,486 for Class C shares, $29,282 for Class I shares, $4,471 for Class R3 shares, $4,468 for Class R4 shares, and $4,469 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 six months ended March 31, 2008, the Distributor has advised the Fund that it earned commissions aggregating $34,545 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $6,252 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 and distribution 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 R3 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C and Class R3 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 and Class R3 shares. Total fees incurred by the Distributor for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2008, 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 six months ended March 31, 2008, fees paid indirectly were $5,117. This figure may include additional fees waived by the custodian.
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, 2008, 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, 2008 (unaudited) | Period Ended September 30, 2007 (audited)(a) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 2,272,957 | $ | 34,299,936 | 1,859,640 | $ | 24,943,384 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 63,051 | 972,881 | — | — | ||||||||||
Shares repurchased | (494,105 | ) | (6,910,919 | ) | (174,211 | ) | (2,395,601 | ) | ||||||
Redemption fees received** | — | 1,372 | — | 916 | ||||||||||
Net Increase (Decrease) | 1,841,903 | $ | 28,363,270 | 1,685,429 | $ | 22,548,699 | ||||||||
Class C Shares | ||||||||||||||
Shares sold | 1,672,521 | $ | 25,305,371 | 842,383 | $ | 11,352,704 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 29,002 | 444,599 | — | — | ||||||||||
Shares repurchased | (109,699 | ) | (1,548,513 | ) | (9,105 | ) | (123,492 | ) | ||||||
Redemption fees received** | — | 907 | — | 393 | ||||||||||
Net Increase (Decrease) | 1,591,824 | $ | 24,202,364 | 833,278 | $ | 11,229,605 | ||||||||
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg International Growth Fund | March 31, 2008 (Unaudited) |
Six Months Ended March 31, 2008 (unaudited) | Period Ended September 30, 2007 (audited)(a) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class I Shares | ||||||||||||||
Shares sold | 895,883 | $ | 13,486,375 | 1,901,175 | $ | 24,150,347 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 48,137 | 747,090 | — | — | ||||||||||
Shares repurchased | (119,545 | ) | (1,687,173 | ) | (55,942 | ) | (764,907 | ) | ||||||
Redemption fees received** | — | 1,064 | — | 1,304 | ||||||||||
Net Increase (Decrease) | 824,475 | $ | 12,547,356 | 1,845,233 | $ | 23,386,744 | ||||||||
Class R3 Shares(b) | ||||||||||||||
Shares sold | 3,150 | $ | 43,701 | — | $ | — | ||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||
Shares repurchased | — | — | — | — | ||||||||||
Redemption fees received** | — | — | — | — | ||||||||||
Net Increase (Decrease) | 3,150 | $ | 43,701 | — | $ | — | ||||||||
Class R4 Shares(b) | ||||||||||||||
Shares sold | 230 | $ | 3,200 | — | $ | — | ||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||
Shares repurchased | — | — | — | — | ||||||||||
Redemption fees received** | — | — | — | — | ||||||||||
Net Increase (Decrease) | 230 | $ | 3,200 | — | $ | — | ||||||||
Class R5 Shares(b) | ||||||||||||||
Shares sold | 229 | $ | 3,200 | — | $ | — | ||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||
Shares repurchased | — | — | — | — | ||||||||||
Redemption fees received** | — | — | — | — | ||||||||||
Net Increase (Decrease) | 229 | $ | 3,200 | — | $ | — | ||||||||
(a) | The Fund commenced operations on February 1, 2007. |
(b) | Effective date of this class of shares was February 1, 2008. |
** | The Fund charges a redemption fee of 1% of the Class A and Class I shares redeemed or exchanged within 30 days of purchase. Redemption fees charged to any class are allocated to all classes upon receipt of payment based on relative net asset values of each class or other appropriate allocation methods. |
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2008, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $79,812,857 and $26,112,956, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2008, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 118,225,172 | ||
Gross unrealized appreciation on a tax basis | $ | 5,806,183 | ||
Gross unrealized depreciation on a tax basis | (9,279,022 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | (3,472,839 | ) | |
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg International Growth Fund | March 31, 2008 (Unaudited) |
At March 31, 2008, the Fund had deferred tax basis currency and capital losses occurring subsequent to inception date of February 1, 2007 of $44,008 and $54,025, respectively. For tax purposes, such losses will be reflected in the year ending September 30, 2008.
NOTE 7 – FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
During the six months ended March 31, 2008, 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. There are special risks associated with international investing, including currency fluctuations, economic and political instability, confiscation, inability or delays in selling foreign investments, and reduced legal protection for investments.
CONTRACTS TO SELL:
Contracts | Contract Value Date | Unrealized Gain (Loss) | ||||
8,070,000 Euro Dollar for 11,875,086 USD | June 4, 2008 | $ | (829,416 | ) | ||
8,070,000 Euro Dollar for 11,686,167 USD | June 4, 2008 | (1,018,334 | ) | |||
Unrealized loss from forward | ||||||
Sell contracts: | (1,847,750 | ) | ||||
220,500,000 Philippine Peso for 5,338,983 USD | June 16, 2008 | 97,523 | ||||
Unrealized gain from forward | ||||||
Sell contracts: | 97,523 | |||||
Net unrealized gain (loss) from forward | ||||||
Sell contracts: | $ | (1,750,227 | ) | |||
CONTRACTS TO BUY:
Contracts | Contract Value Date | Unrealized Gain (Loss) | ||||
29,000,000 Philippine Peso for 710,436 USD | June 16, 2008 | $ | (21,083 | ) | ||
32,000,000 Philippine Peso for 778,968 USD | June 16, 2008 | (18,303 | ) | |||
Net unrealized gain (loss) from forward | ||||||
Buy contracts: | $ | (39,386 | ) | |||
Net unrealized gain (loss) from forward Exchange contracts: | $ | (1,789,613 | ) | |||
Certified Semi-Annual Report 19
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NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg International Growth Fund | March 31, 2008 (Unaudited) |
OTHER NOTES:
FASB Interpretation No. 48:
On July 13, 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation prescribes a model for how a company, including the Fund, should recognize, measure, present and disclose in its financial statements uncertain tax positions that the company has taken or expects to take on income tax returns, and also revises certain disclosure requirements. The Interpretation became effective for the Fund for the financial statement reporting period ended March 31, 2008. As of the date of this report, management of the Fund has not identified any material effect on the Fund’s financial statements resulting from the implementation of FIN 48.
Statement of Accounting Standards No. 157:
On September 15, 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 defines fair value, provides guidelines for measuring fair value in accordance with generally accepted accounting principles, and addresses disclosures about fair value measurements. FAS 157 establishes a fair value hierarchy that distinguishes between (i) market participant assumptions developed based upon market data obtained from sources independent of the reporting entity (observable inputs) and (ii) the entity’s own assumptions about market participant assumptions developed based upon the best information available under the circumstances (unobservable inputs). FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and is to be applied prospectively as of the beginning of the first fiscal year for which FAS 157 is applied. Management is evaluating FAS 157, and is not in a position at this time to estimate the significance of its impact, if any, on the Fund’s financial statements.
Statement of Accounting Standards No. 161:
In March 2008, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”). FAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. FAS 161 requires enhanced disclosures about any derivative and hedging activities by the Fund, including how such activities are accounted for and any effect on the Fund’s financial position, performance and cash flows. Management is evaluating the impact, if any, that the adoption of FAS 161 will have on the Fund’s financial statements and related disclosures.
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Thornburg International Growth Fund
Six Months Ended March 31, 2008* | Period Ended Sept. 30, 2007(a) | |||||||
Class A Shares: | ||||||||
PER SHARE PERFORMANCE | ||||||||
(for a share outstanding throughout the period)+ | ||||||||
Net asset value, beginning of period | $ | 14.92 | $ | 11.94 | ||||
Income from investment operations: | ||||||||
Net investment income (loss) | (0.01 | ) | (0.03 | ) | ||||
Net realized and unrealized gain (loss) on investments | (1.11 | ) | 3.01 | |||||
Total from investment operations | (1.12 | ) | 2.98 | |||||
Less dividends from: | ||||||||
Realized capital gains | (0.37 | ) | — | |||||
Change in net asset value | (1.49 | ) | 2.98 | |||||
NET ASSET VALUE, end of period | $ | 13.43 | $ | 14.92 | ||||
RATIOS/SUPPLEMENTAL DATA | ||||||||
Total return (%)(b) | (7.84 | ) | 24.96 | |||||
Ratios to average net assets: | ||||||||
Net investment income (loss) (%) | (0.12 | )(c) | (0.29 | )(c) | ||||
Expenses, after expense reductions (%) | 1.53 | (c) | 1.64 | (c) | ||||
Expenses, after expense reductions and net of custody credits (%) | 1.52 | (c) | 1.62 | (c) | ||||
Expenses, before expense reductions (%) | 1.56 | (c) | 2.10 | (c) | ||||
Portfolio turnover rate (%) | 28.79 | 113.34 | ||||||
Net assets at end of period (thousands) | $ | 47,378 | $ | 25,145 |
(a) | Fund commenced operations on February 1, 2007. |
(b) | Sales loads are not reflected in computing total return, which is not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
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FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg International Growth Fund
Six Months Ended March 31, 2008* | Period Ended Sept. 30, 2007(a) | |||||||
Class C Shares: | ||||||||
PER SHARE PERFORMANCE | ||||||||
(for a share outstanding throughout the period)+ | ||||||||
Net asset value, beginning of period | $ | 14.85 | $ | 11.94 | ||||
Income from investment operations: | ||||||||
Net investment income (loss) | (0.06 | ) | (0.10 | ) | ||||
Net realized and unrealized gain (loss) on investments | (1.10 | ) | 3.01 | |||||
Total from investment operations | (1.16 | ) | 2.91 | |||||
Less dividends from: | ||||||||
Realized capital gains | (0.37 | ) | — | |||||
Change in net asset value | (1.53 | ) | 2.91 | |||||
NET ASSET VALUE, end of period | $ | 13.32 | $ | 14.85 | ||||
RATIOS/SUPPLEMENTAL DATA | ||||||||
Total return (%)(b) | (8.15 | ) | 24.37 | |||||
Ratios to average net assets: | ||||||||
Net investment income (loss) (%) | (0.88 | )(c) | (1.13 | )(c) | ||||
Expenses, after expense reductions (%) | 2.31 | (c) | 2.39 | (c) | ||||
Expenses, after expense reductions and net of custody credits (%) | 2.30 | (c) | 2.38 | (c) | ||||
Expenses, before expense reductions (%) | 2.34 | (c) | 3.23 | (c) | ||||
Portfolio turnover rate (%) | 28.79 | 113.34 | ||||||
Net assets at end of period (thousands) | $ | 32,296 | $ | 12,376 |
(a) | Fund commenced operations on February 1, 2007. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
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FINANCIAL HIGHLIGHTS CONTINUED
Thornburg International Growth Fund
Six Months Ended March 31, 2008* | Period Ended Sept. 30, 2007(a) | |||||||
Class I Shares: | ||||||||
PER SHARE PERFORMANCE | ||||||||
(for a share outstanding throughout the period)+ | ||||||||
Net asset value, beginning of period | $ | 14.99 | $ | 11.94 | ||||
Income from investment operations: | ||||||||
Net investment income (loss) | 0.03 | 0.05 | ||||||
Net realized and unrealized gain (loss) on investments | (1.12 | ) | 3.00 | |||||
Total from investment operations | (1.09 | ) | 3.05 | |||||
Less dividends from: | ||||||||
Realized capital gains | (0.37 | ) | — | |||||
Change in net asset value | (1.46 | ) | 3.05 | |||||
NET ASSET VALUE, end of period | $ | 13.53 | $ | 14.99 | ||||
RATIOS/SUPPLEMENTAL DATA | ||||||||
Total return (%)(b) | (7.60 | ) | 25.54 | |||||
Ratios to average net assets: | ||||||||
Net investment income (loss) (%) | 0.40 | (c) | 0.52 | (c) | ||||
Expenses, after expense reductions (%) | 1.00 | (c) | 1.01 | (c) | ||||
Expenses, after expense reductions and net of custody credits (%) | 0.99 | (c) | 0.99 | (c) | ||||
Expenses, before expense reductions (%) | 1.19 | (c) | 1.64 | (c) | ||||
Portfolio turnover rate (%) | 28.79 | 113.34 | ||||||
Net assets at end of period (thousands) | $ | 36,129 | $ | 27,659 |
(a) | Fund commenced operations on February 1, 2007. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
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FINANCIAL HIGHLIGHTS CONTINUED
Thornburg International Growth Fund
Period Ended March 31, 2008 (a)* | ||||
Class R3 Shares: | ||||
PER SHARE PERFORMANCE | ||||
(for a share outstanding throughout the period)+ | ||||
Net asset value, beginning of period | $ | 13.94 | ||
Income from investment operations: | ||||
Net investment income (loss) | 0.02 | |||
Net realized and unrealized gain (loss) on investments | (0.52 | ) | ||
Total from investment operations | (0.50 | ) | ||
Change in net asset value | (0.50 | ) | ||
NET ASSET VALUE, end of period | $ | 13.44 | ||
RATIOS/SUPPLEMENTAL DATA | ||||
Total return (%)(b) | (3.59 | ) | ||
Ratios to average net assets: | ||||
Net investment income (loss) (%) | 1.07 | (c) | ||
Expenses, after expense reductions (%) | 1.52 | (c) | ||
Expenses, after expense reductions and net of custody credits (%) | 1.50 | (c) | ||
Expenses, before expense reductions (%) | 133.08 | (c)(d) | ||
Portfolio turnover rate (%) † | 28.79 | |||
Net assets at end of period (thousands) | $ | 42 |
(a) | Effective date of this class of shares was February 1, 2008. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
(d) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
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FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg International Growth Fund
Period Ended March 31, 2008 (a)* | ||||
Class R4 Shares: | ||||
PER SHARE PERFORMANCE | ||||
(for a share outstanding throughout the period)+ | ||||
Net asset value, beginning of period | $ | 13.94 | ||
Income from investment operations: | ||||
Net investment income (loss) | 0.02 | |||
Net realized and unrealized gain (loss) on investments | (0.52 | ) | ||
Total from investment operations | (0.50 | ) | ||
Change in net asset value | (0.50 | ) | ||
NET ASSET VALUE, end of period | $ | 13.44 | ||
RATIOS/SUPPLEMENTAL DATA | ||||
Total return (%)(b) | (3.59 | ) | ||
Ratios to average net assets: | ||||
Net investment income (loss) (%) | 0.89 | (c) | ||
Expenses, after expense reductions (%) | 1.38 | (c) | ||
Expenses, after expense reductions and net of custody credits (%) | 1.37 | (c) | ||
Expenses, before expense reductions (%) | 909.26 | (c)(d) | ||
Portfolio turnover rate (%) † | 28.79 | |||
Net assets at end of period (thousands) | $ | 3 |
(a) | Effective date of this class of shares was February 1, 2008. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
(d) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
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FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg International Growth Fund
Period Ended March 31, 2008 (a)* | ||||
Class R5 Shares: | ||||
PER SHARE PERFORMANCE | ||||
(for a share outstanding throughout the period)+ | ||||
Net asset value, beginning of period | $ | 14.03 | ||
Income from investment operations: | ||||
Net investment income (loss) | 0.03 | |||
Net realized and unrealized gain (loss) on investments | (0.53 | ) | ||
Total from investment operations | (0.50 | ) | ||
Change in net asset value | (0.50 | ) | ||
NET ASSET VALUE, end of period | $ | 13.53 | ||
RATIOS/SUPPLEMENTAL DATA | ||||
Total return (%)(b) | (3.56 | ) | ||
Ratios to average net assets: | ||||
Net investment income (loss) (%) | 1.32 | (c) | ||
Expenses, after expense reductions (%) | 0.96 | (c) | ||
Expenses, after expense reductions and net of custody credits (%) | 0.94 | (c) | ||
Expenses, before expense reductions (%) | 908.57 | (c)(d) | ||
Portfolio turnover rate (%) | 28.79 | |||
Net assets at end of period (thousands) | $ | 3 |
(a) | Effective date of this class of shares was February 1, 2008. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
(d) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
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Thornburg International Growth Fund | March 31, 2008 (Unaudited) |
CUSIPS: CLASS A – 885-215-319, CLASS C – 885-215-293, CLASS I – 885-215-244, CLASS R3 – 885-215-178, CLASS R4 –885-215-160, CLASS R5 – 885-215-152
NASDAQ SYMBOLS: CLASS A – TIGAX, CLASS C – TIGCX, CLASS I – TINGX, CLASS R3 – TIGVX, CLASS R4 – TINVX, CLASS R5 – TINFX
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/08
Food, Beverage & Tobacco | 11.6 | % | |
Telecommunication Services | 11.4 | % | |
Utilities | 10.3 | % | |
Diversified Financials | 9.3 | % | |
Pharmaceuticals, Biotechnology & Life Sciences | 8.6 | % | |
Transportation | 7.2 | % | |
Banks | 6.0 | % | |
Software and Services | 5.6 | % | |
Media | 4.5 | % | |
Materials | 3.8 | % | |
Consumer Services | 2.6 | % | |
Real Estate | 2.5 | % | |
Technology Hardware & Equipment | 2.4 | % | |
Retailing | 2.2 | % | |
Capital Goods | 1.0 | % | |
Consumer Durables & Apparel | 1.0 | % | |
Other Assets & Cash Equivalents | 10.0 | % |
SUMMARY OF COUNTRY EXPOSURE
As of 3/31/08 (percent of equity holdings)
Germany | 10.0 | % | |
Switzerland | 9.4 | % | |
Denmark | 7.8 | % | |
Austria | 7.0 | % | |
Mexico | 6.3 | % | |
United Kingdom | 5.4 | % | |
Greece | 5.4 | % | |
Netherlands | 5.2 | % | |
Canada | 4.6 | % | |
Brazil | 4.3 | % | |
Philippines | 4.1 | % | |
Spain | 3.9 | % | |
Turkey | 3.9 | % | |
South Africa | 3.4 | % | |
United States of America | 2.9 | % | |
China | 2.8 | % | |
United Arab Emirates | 2.8 | % | |
Czech Republic | 2.3 | % | |
Qatar | 2.3 | % | |
Italy | 2.2 | % | |
India | 2.1 | % | |
Indonesia | 1.9 | % |
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SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg International Growth Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
COMMON STOCK — 89.99% | |||||
BANKS — 5.95% | |||||
COMMERCIAL BANKS — 5.95% | |||||
Asya Katilim Bankasi AS+ | 236,100 | $ | 1,477,505 | ||
Commercial Bank of Qatar | 58,500 | 2,357,023 | |||
EFG Eurobank Ergasias | 100,930 | 3,065,762 | |||
6,900,290 | |||||
CAPITAL GOODS — 1.03% | |||||
MACHINERY — 1.03% | |||||
Bolzoni SpA | 256,700 | 1,191,478 | |||
1,191,478 | |||||
CONSUMER DURABLES & APPAREL — 0.95% | |||||
TEXTILES, APPAREL & LUXURY GOODS — 0.95% | |||||
Antichi Pellettieri SpA | 93,600 | 1,103,848 | |||
1,103,848 | |||||
CONSUMER SERVICES — 2.61% | |||||
HOTELS, RESTAURANTS & LEISURE — 2.61% | |||||
Las Vegas Sands Corp.+ | 41,064 | 3,023,953 | |||
3,023,953 | |||||
DIVERSIFIED FINANCIALS — 9.34% | |||||
CAPITAl MARKETS — 1.20% | |||||
EFG International | 40,600 | 1,389,991 | |||
DIVERSIFIED FINANCIAL SERVICES — 8.14% | |||||
BM&F SA | 357,800 | 3,262,552 | |||
Bovespa Holding SA | 86,700 | 1,168,550 | |||
Deutsche Börse AG | 23,700 | 3,817,590 | |||
Philippine Stock Exchange, Inc. | 66,500 | 1,178,118 | |||
10,816,801 | |||||
FOOD, BEVERAGE & TOBACCO — 11.65% | |||||
BEVERAGES — 8.03% | |||||
Carlsberg A/S Class A | 25,800 | 3,282,762 | |||
Carlsberg A/S Class B | 7,000 | 895,118 | |||
Coca Cola Icecek AS | 320,900 | 2,549,307 | |||
Heineken Holding NV | 51,300 | 2,579,526 | |||
FOOD PRODUCTS — 3.62% | |||||
Nestlé SA-REG | 8,381 | 4,187,968 | |||
13,494,681 | |||||
MATERIAlS — 3.83% | |||||
CONSTRUCTION MATERIALS — 1.95% | |||||
Cemex SAB de C.V. ADR+ | 86,600 | 2,261,992 | |||
METALS & MINING — 1.88% | |||||
Major Drilling Group International, Inc.+ | 41,700 | 2,173,462 | |||
4,435,454 | |||||
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SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg International Growth Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
MEDIA — 4.47% | |||||
MEdIA — 4.47% | |||||
Airmedia Group, Inc. ADR+ | 147,900 | $ | 2,351,610 | ||
Naspers Ltd. | 49,600 | 862,343 | |||
Zee Entertainment Enterprises, Ltd. | 324,100 | 1,961,403 | |||
5,175,356 | |||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 8.61% | |||||
PHARMACEUTICALS — 8.61% | |||||
Glaxosmithkline ADR | 26,200 | 1,111,666 | |||
Glaxosmithkline plc | 33,600 | 710,854 | |||
Novo Nordisk A/S | 58,100 | 3,973,049 | |||
Roche Holdings AG | 22,200 | 4,178,009 | |||
9,973,578 | |||||
REAl ESTATE — 2.48% | |||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 2.48% | |||||
Aldar Properties | 1,030,300 | 2,874,537 | |||
2,874,537 | |||||
RETAILING — 2.22% | |||||
SPECIAlTY R ETAIl — 2.22% | |||||
Sprider Stores SA | 549,600 | 2,577,011 | |||
2,577,011 | |||||
SOFTWARE & SERVICES — 5.56% | |||||
INTERNET SOFTWARE & SERVICES — 2.24% | |||||
Open Text Corp.+ | 82,900 | 2,595,599 | |||
SOFTWARE — 3.32% | |||||
Amdocs Ltd.+ | 135,500 | 3,842,780 | |||
6,438,379 | |||||
TECHNOLOGY HARDWARE & EQUIPMENT — 2.43% | |||||
ELECTRONIC EQUIPMENT & INSTRUMENTS — 2.43% | |||||
Smartrac NV+ | 58,200 | 2,816,219 | |||
2,816,219 | |||||
TELECOMMUNICATION SERVICES — 11.43% | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 5.40% | |||||
PT Telekomunikasi Indonesia | 2,084,000 | 2,184,747 | |||
Telefónica SA | 141,800 | 4,074,372 | |||
WIRELESS TELECOMMUNICATION SERVICES — 6.03% | |||||
América Móvil SAB de C.V. | 1,348,500 | 4,295,333 | |||
MTN Group Ltd. | 177,100 | 2,685,980 | |||
13,240,432 | |||||
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SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg International Growth Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | |||||
TRANSPORTATION — 7.15% | ||||||
TRANSPORTATION INFRASTRUCTURE — 7.15% | ||||||
China Merchants Holdings International Co., Ltd. | 124,000 | $ | 589,516 | |||
Flughafen Wien AG | 27,100 | 3,265,710 | ||||
HHLA+ | 58,100 | 4,425,746 | ||||
8,280,972 | ||||||
UTIlITIES — 10.28% | ||||||
ElECTRIC UTIlITIES — 5.57% | ||||||
CEZ AS | 32,125 | 2,447,933 | ||||
Verbund+ | 56,300 | 4,007,759 | ||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 2.70% | ||||||
PNOC Energy Development Corp. | 22,164,400 | 3,130,715 | ||||
MULTI-UTILITIES — 2.01% | ||||||
RWE AG | 18,900 | 2,323,214 | ||||
11,909,621 | ||||||
TOTAL COMMON STOCK (COST $107,725,449) | 104,252,610 | |||||
SHORT TERM INVESTMENTS — 9.06% | ||||||
General Electric Capital Corp., 2.00%, 4/2/2008 | $ | 5,000,000 | 4,999,723 | |||
Toyota Motor Credit, 2.10%, 4/1/2008 | 5,500,000 | 5,500,000 | ||||
TOTAL SHORT TERM INVESTMENTS (Cost $10,499,723) | 10,499,723 | |||||
TOTAL INVESTMENTS — 99.05% (COST $118,225,172) | $ | 114,752,333 | ||||
OTHER ASSETS LESS LIABILITIES — 0.95% | 1,099,473 | |||||
NET ASSETS — 100.00% | $ | 115,851,806 | ||||
Footnote Legend
+ Non-income producing
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR | American Depository Receipt |
See notes to financial statements.
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EXPENSE EXAMPLE | ||
Thornburg International Growth Fund | March 31, 2008 (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 or all of a purchase of $1 million of Class A shares within 12 months of purchase;
(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;
(d) a 30-day redemption fee on Class A and Class I shares;
(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, 2007 and held until March 31, 2008.
Actual Expenses
For each class of shares, 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 for your class of shares 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
For each class of shares, 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.
Beginning Account Value 9/30/07 | Ending Account Value 3/31/08 | Expenses Paid During Period† 9/30/07–3/31/08 | |||||||
Class A Shares | |||||||||
Actual | $ | 1,000.00 | $ | 921.60 | $ | 7.31 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,017.39 | $ | 7.67 | |||
Class C Shares | |||||||||
Actual | $ | 1,000.00 | $ | 918.50 | $ | 11.03 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,013.50 | $ | 11.58 | |||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 924.00 | $ | 4.76 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.05 | $ | 5.00 | |||
Class R3 Shares | |||||||||
Actual | $ | 1,000.00 | $ | 890.51 | $ | 7.08 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,017.51 | $ | 7.56 | |||
Class R4 Shares | |||||||||
Actual | $ | 1,000.00 | $ | 890.51 | $ | 6.46 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,018.16 | $ | 6.90 | |||
Class R5 Shares | |||||||||
Actual | $ | 1,000.00 | $ | 891.42 | $ | 4.44 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.31 | $ | 4.74 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.52%; C: 2.30%; I: 0.99%; R3: 1.50%; R4: 1.37%; R5: 0.94%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
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 for each class of shares 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 International Growth Fund | March 31, 2008 (Unaudited) |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg International Growth Fund versus MSCI AC World ex-U.S. growth Index (February 1, 2007 to March 31, 2008)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2008 (with sales charge)
1 Yr | Since Inception | |||||
A Shares (Incep: 2/1/07) | 4.16 | % | 8.57 | % | ||
C Shares (Incep: 2/1/07) | 7.25 | % | 12.17 | % | ||
I Shares (Incep: 2/1/07) | 9.66 | % | 13.66 | % | ||
R3 Shares (Incep: 2/1/08) | — | (3.59 | )%* | |||
R4 Shares (Incep: 2/1/08) | — | (3.59 | )%* | |||
R5 Shares (Incep: 2/1/08) | — | (3.56 | )%* | |||
MSCI All Country World ex-U.S. Growth Index (Since: 2/1/07) | 5.83 | % | 7.25 | % |
* | Not annualized for periods less than one year. |
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 as well as applicable sales charges. Class A shares are sold with a maximum sales charge of 4.50%. Class C shares are subject to a 1% CDSC for the first year only. There is no up-front sales charge for Class I, R3, R4 and R5 shares. Class I, R3, R4 and R5 shares are available only to certain qualified investors. Class A and Class I shares are subject to a 1% 30-day redemption fee.
The Morgan Stanley Capital International All Country World ex-U.S. Growth Index (MSCI AC World ex-U.S. Growth Index) includes growth companies in developed and emerging markets throughout the world, excluding the United States. Indices do not take into account fees and expenses. Investors cannot make direct investments in an index.
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OTHER INFORMATION | ||
Thornburg International Growth Fund | March 31, 2008 (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.
Information regarding how proxies were voted is currently available for the five months ended June 30, 2007 in the case of the period from the Fund’s commencement of investment operations on February 1, 2007, and will thereafter be 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 web site at www. thornburg.com, and (iii) on the Securities and Exchange Commission’s web site 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 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
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Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
February 8, 2005, as readopted July 18, 2007
The Trustees are concerned that ongoing 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 dvisor 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.
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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 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. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
Roth IRAs – Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our web www.thornburg.com/ira.
SEP IRAs – Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employee’s IRA on a discretionary basis.
SIMPlE IRAs – Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to small business owners a simplified method to establish and contribute to a retirement plan for employees. employer is allowed a tax deduction for contributions and makes either matching or non-elective to each eligible employee’s SIMPLE IRA. Employees may make salary deferral contributions.
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 Global Opportunities Fund |
• | Thornburg International Growth Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
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Thornburg Equity Funds
Thornburg’s equity research uses a fundamental and comprehensive analytical approach. Thornburg equity funds focus on a limited number of securities so that each holding can impact 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.
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
• | Thornburg International Growth Fund |
Thornburg Bond Funds
The majority of Thornburg bond funds are laddered portfolios of 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 Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term Municipal Fund |
• | Thornburg New Mexico Intermediate Municipal Fund |
• | Thornburg New York Intermediate Municipal Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund* |
Carefully consider each fund’s investment objectives, risks, sales charges, and expenses; this information can be found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. There is no guarantee that any of these funds will meet their investment objectives.
For additional information, please visit www.thornburg.com
Thornburg Investment Management, 119 East Marcy Street, Santa Fe, NM 87501
* | This fund does not use the laddering strategy. |
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This Semi-Annual Report is 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.
Investment Advisor:
Thornburg Investment Management®
800.847.0200
Distributor:
Thornburg Securities Corporation®
800.847.0200
TH1409
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Important Information
The information presented on the following pages was current as of March 31, 2008. The managers’ views, portfolio holdings, and sector and country diversification are provided for the general information of the Fund’s shareholders; they are historical and subject to change. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments in the Fund carry risks including possible loss of principal. Funds invested in a limited number of holdings may expose an investor to greater volatility. Investing outside the United States involves additional risks, such as currency fluctuations. 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. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund. Investments 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. There is no guarantee that the Fund will meet its investment objectives.
Minimum investments for Class I shares are higher than those for other classes.
From time to time, the Fund may invest in shares of companies through initial public offerings (“IPOs”). IPOs have the potential to produce substantial gains for some of the funds. There is no assurance that any of the Funds will have continued access to profitable IPOs and as a Fund’s assets grow, the impact of IPO investments may decline. Therefore, investors should not rely on these past gains as an indication of future performance.
Glossary
The Morgan Stanley Capital International (MSCI) All Country (AC) World ex-U.S. Growth Index – The Morgan Stanley Capital International All Country World ex-U.S. Growth Index includes growth companies in developed and emerging markets throughout the world, excluding the United States. Indices do not take into account fees and expenses. Investors cannot make direct investments in an 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.
Basis Point (BPS) – A unit that is equal to 1/100th of 1%. A 1% change =100 basis points (bps).
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Thornburg International Growth Fund
Comprehensive International Growth Investing
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. Class I shares are subject to a 1% 30-day redemption fee. The total annual fund operating expense of Class I shares is 1.64%, as disclosed in the most recent Prospectus. Thornburg Investment Management intends to waive fees and reimburse expenses so that actual expenses do not exceed 0.99%. The subsidized expense ratio reflects the annual operating expenses of the Fund minus any fee waivers or expense reimbursements. The fee waivers and expense reimbursements are voluntary and may be terminated at any time.
KEY PORTFOLIO ATTRIBUTES
As of 3/31/08
Portfolio P/E Trailing 12-months* | 18.5x | ||
Portfolio Price to Cash Flow* | 11.5 | ||
Portfolio Price to Book Value* | 3.8 | ||
Median Market Cap* | $ | 9.2 B | |
Equity Holdings | 41 |
* | Source: FactSet |
Across the world, economic growth is presenting a tremendous number of opportunities for investors. In an effort to capture these opportunities, Thornburg Investment Management launched the Thornburg International Growth Fund in 2007.
The Fund’s process is centered on identifying attractively valued international growth companies from the bottom-up. The management team will leave it to others to make broad-based calls on the direction of the market. Instead, co-portfolio managers Alex Motola and Brian Summers will employ a comprehensive, “go-everywhere” approach to growth investing. Stocks are classified into various growth baskets: Growth Industry Leaders, Consistent Growers, or Emerging Growth Companies. From those baskets, the managers will build a portfolio of 40-50 stocks which they believe provides the best long-term prospects for investors. While stocks are analyzed on their individual merits, their role as part of a diversified portfolio is also taken into account.
Equity investing, especially disciplines focused on growing companies, can bring volatility. The Thornburg International Growth Fund portfolio managers recognize this and strive to balance the aims of generating a strong long-term record while managing downside volatility. Portfolio construction and geographic diversification provide part of the answer, but fundamental analysis can often play a more important role. While other growth funds limit volatility by diversifying across a large number of names, the team managing the Thornburg International Growth Fund believes that a more robust understanding
AVERAGE ANNUAL TOTAL RETURNS* FOR PERIODS ENDED 3/31/08
6 Mos. | 1 Yr | Since Inception | |||||||
I Shares (Incep: 2/1/07) | (7.60 | )% | 9.66 | % | 13.66 | % | |||
MSCI AC World ex-U.S. Growth Index (Since: 2/1/07) | (8.22 | )% | 5.83 | % | 7.25 | % | |||
* | Periods less than one year are not annualized. |
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of a smaller number of portfolio holdings is one of the most effective forms of risk management.
Much of the research process is focused on identifying how the overall market came to price a security. Many of the ideas are sourced through a quantitative screening process of the universe of international companies. Only those with the most appealing growth and valuation characteristics pass on to the step of having a complex financial model built. Thornburg’s growth investment team scours regulatory filings, visits company management and interviews suppliers and customers. By doing this work, they develop their own view of the intrinsic value of the company. Only if their view is materially higher than the market do they make an investment.
Others may question how we manage a growth portfolio, especially an international one, from Santa Fe, New Mexico. We embrace our location, away from the ancillary noise of the major money centers. We have access to Wall Street research, but prefer to come to our own conclusions about the value of an investment. Our process allows us to take a very broad view of what an attractively valued, international growth company looks like, and invest in those few companies that we believe provide the most attractive risk-reward trade-off. As such, we have built a portfolio which at any given time will look quite unlike the MSCI AC World ex-U.S. Growth Index or our competition. All of this is done with a goal of providing attractive, consistent returns over the long-term.
STOCKS CONTRIBUTING AND DETRACTING
SIX MONTHS ENDED 3/31/08
Top Contributors | Top Detractors | |||
Deutsche Börse AG | Las Vegas Sands Corp. | |||
China Digital TV Hldg. Co., Ltd. (ADS) | Amdocs Ltd. | |||
Alibaba.com Ltd. | Giant Interactive Group, Inc. (ADS) | |||
ČEZ AS | Asya Katilim Bankasi AS | |||
Aldar Properties | Sprider Stores SA | |||
Source: FactSet |
MARKET CAPITALIZATION EXPOSURE
As of 3/31/08
TOP TEN HOLDINGS
As of 3/31/08
HHLA | 3.8 | % | |
América Móvil SAB de C.V. | 3.7 | % | |
Nestlé SA-REG | 3.6 | % | |
Roche Holding AG | 3.6 | % | |
Telefónica SA | 3.5 | % | |
Oest Elektrizitats | 3.5 | % | |
Novo Nordisk A/S | 3.4 | % | |
Amdocs Ltd. | 3.3 | % | |
Deutsche Börse AG | 3.3 | % | |
Carlsberg A/S | 2.8 | % |
BASKET STRUCTURE
As of 3/31/08
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Thornburg International Growth Fund
I Shares – March 31, 2008
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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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Alexander M.V. Motola,CFA Co-Portfolio Manager
Brian Summers,CFA Co-Portfolio Manager | April 22, 2008
Dear Fellow Shareholder:
For the six months ended March 31, 2008, the Thornburg International Growth Fund generated slightly better than market performance. On September 30, 2007, the net asset value (NAV) for the Class I shares was $14.99. By the semi-annual date (March 31, 2008), the NAV of the Class I shares was $13.53. The Fund’s Class I shares outperformed its benchmark with a total negative return of 7.60% compared to negative 8.22% for the MSCI AC World ex-US Growth Index.
Market sentiment over the past six months turned decidedly negative. Most international markets are down 5-10%, with Asia doing a little worse. We continue to do the same things we’ve always done and believe that finding attractively valued growth stocks is a formula for long term success. Historically, our stock picking has been strong. Our portfolio remains diversified on a geographic and sector driven basis. Our biggest exposures over the prior six months included Utilities, Financials, Consumer Staples, and Telecommunication Services. Likewise, we are invested in a diverse mix of countries; our largest exposures include Germany, Switzerland, Denmark, Austria, Mexico and Great Britain.
Our stock picking over the period was mixed. Utilities were our largest contributor, in selection effect, as well as one of our top three sectors in allocation. ČEZ AS and Verbund were material contributors to performance. Contributions from Information Technology were mixed, as we benefited from exposure to Smartrac NV and Temenos, and were negatively impacted by our holdings in Giant Interactive and Vistaprint. Our toughest sector was Consumer Discretionary. There was a relatively benign impact to returns from Airmedia Group and Antichi Pellettieri SpA, but we were hurt by our other holdings in that sector: Naspers Ltd., FU JI Food and Catering Services, Zee Entertainment Enterprises Ltd., Sprider Stores SA, and Las Vegas Sands Corp. Most of these holdings have bright outlooks; in fact, we recently took the opportunity to add to our position in Sprider.
We subscribe to the belief that when running a focused portfolio of stocks, significant outperformance can come from a few names doing very well, assuming that downside performance is minimized. Telecommunication Services and Utilities are large weights in our portfolio, and we continue to believe that, given global economic uncertainty, these remain good places to invest. Our approach is driven only partially by the perceived defensive characteristics of these businesses; we also believe there are substantial profits to be made.
Sales from the portfolio have included FU JI Food and Catering Services, Giant Interactive, Orco Property Group, Temenos, Unicredito/Capitalia, Tallink, Tesco, and Vistaprint. Additions to the portfolio include Aldar Properties, HHLA, Airmedia Group, Inc., BM&F SA and Bovespa Holding SA (these last two companies are now merging), Sprider Stores SA, Major Drilling Group International, Inc., Zee Entertainment Enterprises Ltd., and Open Text Corp. While it is often easiest to explain the portfolio in terms of sectors or geographies, that approach implies a focus on those characteristics. However, we use a bottom-up approach that focuses primarily on the individual stocks with secondary consideration given to sectors and | |
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geographies. We rarely feel that we are underexposed, at a macro level, to a type of business or a location on the globe. The focus of our monitoring is to ensure that, while not compromising the “opportunity” component of the portfolio, we are not taking undue risks caused by the relationship between securities, markets, and how businesses relate to one another.
Our biggest focus is finding great investments. Due to this, the weightings of our sectors, baskets, and geographies can seem volatile. If we sell a 2.5% position in a Chinese catering company, and use that cash to buy a German port business, then a lot of things happen. Our Chinese exposure goes down by 250 basis points, as does our emerging markets exposure. HHLA, the German port, is a Consistent Grower, while FU JI Food is an Emerging Growth company – again, a big swing in exposure. Cash obviously stays neutral. If we do as few as three buys and three sells in a quarter, there can be a substantial change in the portfolio weightings. This is driven by our concentrated, bottom-up approach – the search for the best stocks to own.
Our concern is managing portfolio risk, and less so, specific exposures to countries and sectors. There are countries we have never invested in because we have never found a great stock there. While there is volatility to the construction of the portfolio, we try to have consistency with regard to the baskets: Growth Industry Leaders, Consistent Growers, and Emerging Growth companies. Ideally, we would have a third of the portfolio in each basket. Due to our concentrated nature, we don’t always have the prescribed exposure. We use 33% for each basket as a horizon target. The baskets are effective in managing market exposure, and their viability has been tested across several different funds at Thornburg, going back to the inception of the Thornburg Value Fund in 1995.
We intend to continue implementing our investment process in a disciplined, consistent manner. We continue to find what we believe to be attractive growth companies. Part of our success can be attributed to the fact that our broad mandate allows us to search in parts of the market not open to managers more tightly constrained to specific style boxes. This flexible approach allows us to do what we love – researching companies and identifying opportunities is our passion. 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 International Growth Fund.
Sincerely,
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Alexander M.V. Motola,CFA | Brian Summers,CFA | |
Managing Director | Managing Director | |
Co-Portfolio Manager | Co-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 Growth Fund | March 31, 2008 (Unaudited) |
ASSETS | ||||
Investments at value (cost $118,225,172) (Note 2) | $ | 114,752,333 | ||
Cash | 375,992 | |||
Receivable for investments sold | 2,446,147 | |||
Receivable for fund shares sold | 298,685 | |||
Unrealized gain on forward exchange contracts (Note 7) | 97,523 | |||
Dividends receivable | 148,590 | |||
Prepaid expenses and other assets | 83,298 | |||
Total Assets | 118,202,568 | |||
LIABILITIES | ||||
Payable for securities purchased | 214,386 | |||
Payable for fund shares redeemed | 122,067 | |||
Unrealized loss on forward exchange contracts (Note 7) | 1,887,136 | |||
Payable to investment advisor and other affiliates (Note 3) | 105,344 | |||
Accounts payable and accrued expenses | 21,829 | |||
Total Liabilities | 2,350,762 | |||
NET ASSETS | $ | 115,851,806 | ||
NET ASSETS CONSIST OF: | ||||
Net investment loss | $ | (109,562 | ) | |
Net unrealized depreciation on investments | (5,258,790 | ) | ||
Accumulated net realized gain (loss) | (1,107,981 | ) | ||
Net capital paid in on shares of beneficial interest | 122,328,139 | |||
$ | 115,851,806 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($47,378,303 applicable to 3,527,332 shares of beneficial interest outstanding – Note 4) | $ | 13.43 | ||
Maximum sales charge, 4.50% of offering price | 0.63 | |||
Maximum offering price per share | $ | 14.06 | ||
Class C Shares: | ||||
Net asset value and offering price per share * ($32,296,102 applicable to 2,425,102 shares of beneficial interest outstanding – Note 4) | $ | 13.32 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($36,128,880 applicable to 2,669,708 shares of beneficial interest outstanding – Note 4) | $ | 13.53 | ||
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STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg International Growth Fund | March 31, 2008 (Unaudited) |
Class R3 Shares: | |||
Net asset value, offering and redemption price per share ($42,329 applicable to 3,150 shares of beneficial interest outstanding – Note 4) | $ | 13.44 | |
Class R4 Shares: | |||
Net asset value, offering and redemption price per share ($3,095 applicable to 230 shares of beneficial interest outstanding – Note 4) | $ | 13.44 | |
Class R5 Shares: | |||
Net asset value, offering and redemption price per share ($3,097 applicable to 229 shares of beneficial interest outstanding – Note 4) | $ | 13.53 | |
* | 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 International Growth Fund | Six Months Ended March 31, 2008 (Unaudited) |
INVESTMENT INCOME: | ||||
Dividend income (net of foreign taxes withheld of $88,870) | $ | 541,496 | ||
Interest income | 175,398 | |||
Total Income | 716,894 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 446,357 | |||
Administration fees (Note 3) | ||||
Class A Shares | 26,069 | |||
Class C Shares | 16,456 | |||
Class I Shares | 8,494 | |||
Class R3 Shares | 4 | |||
Class R4 Shares | 1 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 56,596 | |||
Class C Shares | 132,478 | |||
Class R3 Shares | 17 | |||
Class R4 Shares | 1 | |||
Transfer agent fees | ||||
Class A Shares | 17,584 | |||
Class C Shares | 14,392 | |||
Class I Shares | 8,546 | |||
Class R3 Shares | 300 | |||
Class R4 Shares | 300 | |||
Class R5 Shares | 300 | |||
Registration and filing fees | ||||
Class A Shares | 13,476 | |||
Class C Shares | 10,929 | |||
Class I Shares | 12,243 | |||
Class R3 Shares | 4,169 | |||
Class R4 Shares | 4,169 | |||
Class R5 Shares | 4,169 | |||
Custodian fees (Note 3) | 46,267 | |||
Professional fees | 17,964 | |||
Accounting fees | 1,311 | |||
Trustee fees | 92 | |||
Other expenses | 8,222 | |||
Total Expenses | 850,906 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (46,650 | ) | ||
Management fees waived by investment advisor (Note 3) | (10,818 | ) | ||
Fees paid indirectly (Note 3) | (5,117 | ) | ||
Net Expenses | 788,321 | |||
Net Investment Loss | $ | (71,427 | ) | |
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STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg International Growth Fund | Six Months Ended March 31, 2008 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments sold | $ | (299,831 | ) | |
Foreign currency transactions | (199,210 | ) | ||
(499,041 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (9,596,828 | ) | ||
Foreign currency translations | (1,747,608 | ) | ||
(11,344,436 | ) | |||
Net Realized and Unrealized Loss | (11,843,477 | ) | ||
Net Decrease in Net Assets Resulting From Operations | $ | (11,914,904 | ) | |
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Thornburg International Growth Fund
Six Months Ended March 31, 2008* | For the period from commencement of operations on February 1, 2007 to September 30, 2007 | ||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | |||||||
OPERATIONS: | |||||||
Net investment income (loss) | $ | (71,427 | ) | $ | 5,873 | ||
Net realized gain (loss) on investments and foreign currency transactions | (499,041 | ) | 1,924,301 | ||||
Increase (Decrease) in unrealized appreciation (depreciation) on investments and foreign currency translations | (11,344,436 | ) | 6,085,646 | ||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (11,914,904 | ) | 8,015,820 | ||||
DIVIDENDS TO SHAREHOLDERS: | |||||||
From realized gains | |||||||
Class A Shares | (1,043,825 | ) | — | ||||
Class C Shares | (692,219 | ) | — | ||||
Class I Shares | (841,205 | ) | — | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | |||||||
Class A Shares | 28,363,270 | 22,548,699 | |||||
Class C Shares | 24,202,364 | 11,229,605 | |||||
Class I Shares | 12,547,356 | 23,386,744 | |||||
Class R3 Shares | 43,701 | — | |||||
Class R4 Shares | 3,200 | — | |||||
Class R5 Shares | 3,200 | — | |||||
Net Increase in Net Assets | 50,670,938 | 65,180,868 | |||||
NET ASSETS: | |||||||
Beginning of period | 65,180,868 | — | |||||
End of period | $ | 115,851,806 | $ | 65,180,868 | |||
Undistributed net investment income | $ | (109,562 | ) | $ | — |
* | Unaudited. |
See notes to financial statements.
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Thornburg International Growth Fund | March 31, 2008 (Unaudited) |
NOTE 1 – ORGANIZATION
Thornburg International Growth Fund, hereinafter referred to as the “Fund,” is a diversified series of Thornburg Investment Trust (the “Trust”). The Fund commenced operations on February 1, 2007. 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 thirteen 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 New York Intermediate Municipal Fund, Thornburg Core Growth Fund, Thornburg Investment Income Builder Fund, Thornburg Global Opportunities Fund, and Thornburg Strategic Income Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing in equity securities selected for their growth potential.
The Fund currently offers six classes of shares of beneficial interest, Class A, Class C, Institutional Class (Class I), and Retirement Classes (Class R3, Class R4, and Class R5) 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, (iv) Class R3 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, (v) Class R4 shares are sold at net asset value without a sales charge at the time of purchase, but bear a service 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 may have different reinvestment privileges and conversion rights. 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 Securities: Portfolio securities listed or traded on a national securities exchange are valued on the valuation date at the last reported sale price on the exchange that is the primary market for the security. Portfolio securities traded on an exchange for which there has been no sale that day and other equity securities traded in the over-the-counter market are valued at the mean between the last reported bid and asked prices. Portfolio securities reported by NASDAQ are valued at the NASDAQ official closing price. Any foreign security traded on exchanges outside the United States is valued at the price of the security on the exchange that is normally the security’s primary market, as of the close of that exchange preceding the time of the Fund’s valuation. Quotations for foreign securities in foreign currencies are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
Any debt securities held by the Fund have a primary market over the counter and are valued by an independent pricing service approved by the Trustees of the Trust. The pricing service ordinarily values debt securities at quoted bid prices. When quotations are not available, debt securities held by the Fund are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt securities of comparable quality, type of issue, coupon, maturity, and rating, indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
In any case where the market value of an equity security held by the Fund is not readily available, the Trust’s valuation and pricing committee determines a fair value for the security using factors approved by the Trustees. A security’s market value is deemed not readily available whenever the exchange or market on which the security is primarily traded is closed for the entire scheduled day of trading. Additionally, a security’s market value may be deemed not readily available under other circumstances identified by the Trustees, including when developments occurring after the most recent close of the security’s primary exchange or market, but before the most recent close of trading in Fund shares, create a serious question about the reliability of the security’s market value.
In any case where a pricing service fails to provide a price for a debt security held by the Fund, the valuation and pricing committee determines a fair value for the debt security using factors approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt security held by the Fund may be unreliable, the valuation and pricing committee decides whether or not to use the pricing service’s valuation or to determine a fair value for the debt security.
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund | March 31, 2008 (Unaudited) |
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 amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books, and the U.S. dollar equivalent of the amounts actually received or paid.
Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.
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 Fund’s 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 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 liabilities 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 six months ended March 31, 2008, 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 six months ended March 31, 2008, the Advisor voluntarily waived investment advisory fees of
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund | March 31, 2008 (Unaudited) |
$10,818. The Trust also has entered into administrative services agreements 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 six months ended March 31, 2008, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $2,474 for Class A shares, $1,486 for Class C shares, $29,282 for Class I shares, $4,471 for Class R3 shares, $4,468 for Class R4 shares, and $4,469 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 six months ended March 31, 2008, the Distributor has advised the Fund that it earned commissions aggregating $34,545 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $6,252 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 and distribution 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 R3 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C and Class R3 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 and Class R3 shares. Total fees incurred by the Distributor for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2008, 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 six months ended March 31, 2008, fees paid indirectly were $5,117. This figure may include additional fees waived by the custodian.
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, 2008, 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, 2008 (unaudited) | Period Ended September 30, 2007 (audited)(a) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 2,272,957 | $ | 34,299,936 | 1,859,640 | $ | 24,943,384 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 63,051 | 972,881 | — | — | ||||||||||
Shares repurchased | (494,105 | ) | (6,910,919 | ) | (174,211 | ) | (2,395,601 | ) | ||||||
Redemption fees received** | — | 1,372 | — | 916 | ||||||||||
Net Increase (Decrease) | 1,841,903 | $ | 28,363,270 | 1,685,429 | $ | 22,548,699 | ||||||||
Class C Shares | ||||||||||||||
Shares sold | 1,672,521 | $ | 25,305,371 | 842,383 | $ | 11,352,704 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 29,002 | 444,599 | — | — | ||||||||||
Shares repurchased | (109,699 | ) | (1,548,513 | ) | (9,105 | ) | (123,492 | ) | ||||||
Redemption fees received** | — | 907 | — | 393 | ||||||||||
Net Increase (Decrease) | 1,591,824 | $ | 24,202,364 | 833,278 | $ | 11,229,605 | ||||||||
Certified Semi-Annual Report 17
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund | March 31, 2008 (Unaudited) |
Six Months Ended March 31, 2008 (unaudited) | Period Ended September 30, 2007 (audited)(a) | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Class I Shares | ||||||||||||||
Shares sold | 895,883 | $ | 13,486,375 | 1,901,175 | $ | 24,150,347 | ||||||||
Shares issued to shareholders in reinvestment of dividends | 48,137 | 747,090 | — | — | ||||||||||
Shares repurchased | (119,545 | ) | (1,687,173 | ) | (55,942 | ) | (764,907 | ) | ||||||
Redemption fees received** | — | 1,064 | — | 1,304 | ||||||||||
Net Increase (Decrease) | 824,475 | $ | 12,547,356 | 1,845,233 | $ | 23,386,744 | ||||||||
Class R3 Shares(b) | ||||||||||||||
Shares sold | 3,150 | $ | 43,701 | — | $ | — | ||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||
Shares repurchased | — | — | — | — | ||||||||||
Redemption fees received** | — | — | — | — | ||||||||||
Net Increase (Decrease) | 3,150 | $ | 43,701 | — | $ | — | ||||||||
Class R4 Shares(b) | ||||||||||||||
Shares sold | 230 | $ | 3,200 | — | $ | — | ||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||
Shares repurchased | — | — | — | — | ||||||||||
Redemption fees received** | — | — | — | — | ||||||||||
Net Increase (Decrease) | 230 | $ | 3,200 | — | $ | — | ||||||||
Class R5 Shares(b) | ||||||||||||||
Shares sold | 229 | $ | 3,200 | — | $ | — | ||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||
Shares repurchased | — | — | — | — | ||||||||||
Redemption fees received** | — | — | — | — | ||||||||||
Net Increase (Decrease) | 229 | $ | 3,200 | — | $ | — | ||||||||
(a) | The Fund commenced operations on February 1, 2007. |
(b) | Effective date of this class of shares was February 1, 2008. |
** | The Fund charges a redemption fee of 1% of the Class A and Class I shares redeemed or exchanged within 30 days of purchase. Redemption fees charged to any class are allocated to all classes upon receipt of payment based on relative net asset values of each class or other appropriate allocation methods. |
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2008, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $79,812,857 and $26,112,956, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2008, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 118,225,172 | ||
Gross unrealized appreciation on a tax basis | $ | 5,806,183 | ||
Gross unrealized depreciation on a tax basis | (9,279,022 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | (3,472,839 | ) | |
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund | March 31, 2008 (Unaudited) |
At March 31, 2008, the Fund had deferred tax basis currency and capital losses occurring subsequent to inception date of February 1, 2007 of $44,008 and $54,025, respectively. For tax purposes, such losses will be reflected in the year ending September 30, 2008.
NOTE 7 – FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
During the six months ended March 31, 2008, 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. There are special risks associated with international investing, including currency fluctuations, economic and political instability, confiscation, inability or delays in selling foreign investments, and reduced legal protection for investments.
CONTRACTS TO SELL:
Contracts | Contract Value Date | Unrealized Gain (Loss) | ||||
8,070,000 Euro Dollar for 11,875,086 USD | June 4, 2008 | $ | (829,416 | ) | ||
8,070,000 Euro Dollar for 11,686,167 USD | June 4, 2008 | (1,018,334 | ) | |||
Unrealized loss from forward | ||||||
Sell contracts: | (1,847,750 | ) | ||||
220,500,000 Philippine Peso for 5,338,983 USD | June 16, 2008 | 97,523 | ||||
Unrealized gain from forward | ||||||
Sell contracts: | 97,523 | |||||
Net unrealized gain (loss) from forward | ||||||
Sell contracts: | $ | (1,750,227 | ) | |||
CONTRACTS TO BUY:
Contracts | Contract Value Date | Unrealized Gain (Loss) | ||||
29,000,000 Philippine Peso for 710,436 USD | June 16, 2008 | $ | (21,083 | ) | ||
32,000,000 Philippine Peso for 778,968 USD | June 16, 2008 | (18,303 | ) | |||
Net unrealized gain (loss) from forward | ||||||
Buy contracts: | $ | (39,386 | ) | |||
Net unrealized gain (loss) from forward | ||||||
Exchange contracts: | $ | (1,789,613 | ) | |||
Certified Semi-Annual Report 19
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund | March 31, 2008 (Unaudited) |
OTHER NOTES:
FASB Interpretation No. 48:
On July 13, 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation prescribes a model for how a company, including the Fund, should recognize, measure, present and disclose in its financial statements uncertain tax positions that the company has taken or expects to take on income tax returns, and also revises certain disclosure requirements. The Interpretation became effective for the Fund for the financial statement reporting period ended March 31, 2008. As of the date of this report, management of the Fund has not identified any material effect on the Fund’s financial statements resulting from the implementation of FIN 48.
Statement of Accounting Standards No. 157:
On September 15, 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 defines fair value, provides guidelines for measuring fair value in accordance with generally accepted accounting principles, and addresses disclosures about fair value measurements. FAS 157 establishes a fair value hierarchy that distinguishes between (i) market participant assumptions developed based upon market data obtained from sources independent of the reporting entity (observable inputs) and (ii) the entity’s own assumptions about market participant assumptions developed based upon the best information available under the circumstances (unobservable inputs). FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and is to be applied prospectively as of the beginning of the first fiscal year for which FAS 157 is applied. Management is evaluating FAS 157, and is not in a position at this time to estimate the significance of its impact, if any, on the Fund’s financial statements.
Statement of Accounting Standards No. 161:
In March 2008, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”). FAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. FAS 161 requires enhanced disclosures about any derivative and hedging activities by the Fund, including how such activities are accounted for and any effect on the Fund’s financial position, performance and cash flows. Management is evaluating the impact, if any, that the adoption of FAS 161 will have on the Fund’s financial statements and related disclosures.
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Thornburg International Growth Fund
Six Months Ended March 31, 2008* | Period Ended Sept. 30, 2007(a) | |||||||
Class I Shares: | ||||||||
PER SHARE PERFORMANCE | ||||||||
(for a share outstanding throughout the period)+ | ||||||||
Net asset value, beginning of period | $ | 14.99 | $ | 11.94 | ||||
Income from investment operations: | ||||||||
Net investment income (loss) | 0.03 | 0.05 | ||||||
Net realized and unrealized gain (loss) on investments | (1.12 | ) | 3.00 | |||||
Total from investment operations | (1.09 | ) | 3.05 | |||||
Less dividends from: | ||||||||
Realized capital gains | (0.37 | ) | — | |||||
Change in net asset value | (1.46 | ) | 3.05 | |||||
NET ASSET VALUE, end of period | $ | 13.53 | $ | 14.99 | ||||
RATIOS/SUPPLEMENTAL DATA | ||||||||
Total return (%)(b) | (7.60 | ) | 25.54 | |||||
Ratios to average net assets: | ||||||||
Net investment income (loss) (%) | 0.40 | (c) | 0.52 | (c) | ||||
Expenses, after expense reductions (%) | 1.00 | (c) | 1.01 | (c) | ||||
Expenses, after expense reductions and net of custody credits (%) | 0.99 | (c) | 0.99 | (c) | ||||
Expenses, before expense reductions (%) | 1.19 | (c) | 1.64 | (c) | ||||
Portfolio turnover rate (%) | 28.79 | 113.34 | ||||||
Net assets at end of period (thousands) | $ | 36,129 | $ | 27,659 |
(a) | Fund commenced operations on February 1, 2007. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
Certified Semi-Annual Report 21
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SCHEDULE OF INVESTMENTS | ||
Thornburg International Growth Fund | March 31, 2008 (Unaudited) |
CUSIPS: CLASS A – 885-215-319, CLASS C – 885-215-293, CLASS I – 885-215-244, CLASS R3 – 885-215-178, CLASS R4 –885-215-160, CLASS R5 – 885-215-152
NASDAQ SYMBOLS: CLASS A – TIGAX, CLASS C – TIGCX, CLASS I – TINGX, CLASS R3 – TIGVX, CLASS R4 – TINVX, CLASS R5 – TINFX
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/08
Food, Beverage & Tobacco | 11.6 | % | |
Telecommunication Services | 11.4 | % | |
Utilities | 10.3 | % | |
Diversified Financials | 9.3 | % | |
Pharmaceuticals, Biotechnology & Life Sciences | 8.6 | % | |
Transportation | 7.2 | % | |
Banks | 6.0 | % | |
Software and Services | 5.6 | % | |
Media | 4.5 | % | |
Materials | 3.8 | % | |
Consumer Services | 2.6 | % | |
Real Estate | 2.5 | % | |
Technology Hardware & Equipment | 2.4 | % | |
Retailing | 2.2 | % | |
Capital Goods | 1.0 | % | |
Consumer Durables & Apparel | 1.0 | % | |
Other Assets & Cash Equivalents | 10.0 | % |
SUMMARY OF COUNTRY EXPOSURE
As of 3/31/08 (percent of equity holdings)
Germany | 10.0 | % | |
Switzerland | 9.4 | % | |
Denmark | 7.8 | % | |
Austria | 7.0 | % | |
Mexico | 6.3 | % | |
United Kingdom | 5.4 | % | |
Greece | 5.4 | % | |
Netherlands | 5.2 | % | |
Canada | 4.6 | % | |
Brazil | 4.3 | % | |
Philippines | 4.1 | % | |
Spain | 3.9 | % | |
Turkey | 3.9 | % | |
South Africa | 3.4 | % | |
United States of America | 2.9 | % | |
China | 2.8 | % | |
United Arab Emirates | 2.8 | % | |
Czech Republic | 2.3 | % | |
Qatar | 2.3 | % | |
Italy | 2.2 | % | |
India | 2.1 | % | |
Indonesia | 1.9 | % |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Growth Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
COMMON STOCK — 89.99% | |||||
BANKS — 5.95% | |||||
COMMERCIAL BANKS — 5.95% | |||||
Asya Katilim Bankasi AS+ | 236,100 | $ | 1,477,505 | ||
Commercial Bank of Qatar | 58,500 | 2,357,023 | |||
EFG Eurobank Ergasias | 100,930 | 3,065,762 | |||
6,900,290 | |||||
CAPITAL GOODS — 1.03% | |||||
MACHINERY — 1.03% | |||||
Bolzoni SpA | 256,700 | 1,191,478 | |||
1,191,478 | |||||
CONSUMER DURABLES & APPAREL — 0.95% | |||||
TEXTILES, APPAREL & LUXURY GOODS — 0.95% | |||||
Antichi Pellettieri SpA | 93,600 | 1,103,848 | |||
1,103,848 | |||||
CONSUMER SERVICES — 2.61% | |||||
HOTELS, RESTAURANTS & LEISURE — 2.61% | |||||
Las Vegas Sands Corp.+ | 41,064 | 3,023,953 | |||
3,023,953 | |||||
DIVERSIFIED FINANCIALS — 9.34% | |||||
CAPITAL MARKETS — 1.20% | |||||
EFG International | 40,600 | 1,389,991 | |||
DIVERSIFIED FINANCIAL SERVICES — 8.14% | |||||
BM&F SA | 357,800 | 3,262,552 | |||
Bovespa Holding SA | 86,700 | 1,168,550 | |||
Deutsche Börse AG | 23,700 | 3,817,590 | |||
Philippine Stock Exchange, Inc. | 66,500 | 1,178,118 | |||
10,816,801 | |||||
FOOD, BEVERAGE & TOBACCO — 11.65% | |||||
BEVERAGES — 8.03% | |||||
Carlsberg A/S Class A | 25,800 | 3,282,762 | |||
Carlsberg A/S Class B | 7,000 | 895,118 | |||
Coca Cola Icecek AS | 320,900 | 2,549,307 | |||
Heineken Holding NV | 51,300 | 2,579,526 | |||
FOOD PRODUCTS — 3.62% | |||||
Nestlé SA-REG | 8,381 | 4,187,968 | |||
13,494,681 | |||||
MATERIALS — 3.83% | |||||
CONSTRUCTION MATERIALS — 1.95% | |||||
Cemex SAB de C.V. ADR+ | 86,600 | 2,261,992 | |||
METALS & MINING — 1.88% | |||||
Major Drilling Group International, Inc.+ | 41,700 | 2,173,462 | |||
4,435,454 | |||||
Certified Semi-Annual Report 23
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Growth Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
MEDIA — 4.47% | |||||
MEDIA — 4.47% | |||||
Airmedia Group, Inc. ADR+ | 147,900 | $ | 2,351,610 | ||
Naspers Ltd. | 49,600 | 862,343 | |||
Zee Entertainment Enterprises, Ltd. | 324,100 | 1,961,403 | |||
5,175,356 | |||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 8.61% | |||||
PHARMACEUTICALS — 8.61% | |||||
Glaxosmithkline ADR | 26,200 | 1,111,666 | |||
Glaxosmithkline plc | 33,600 | 710,854 | |||
Novo Nordisk A/S | 58,100 | 3,973,049 | |||
Roche Holdings AG | 22,200 | 4,178,009 | |||
9,973,578 | |||||
REAL ESTATE — 2.48% | |||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 2.48% | |||||
Aldar Properties | 1,030,300 | 2,874,537 | |||
2,874,537 | |||||
RETAILING — 2.22% | |||||
SPECIALTY RETAIL — 2.22% | |||||
Sprider Stores SA | 549,600 | 2,577,011 | |||
2,577,011 | |||||
SOFTWARE & SERVICES — 5.56% | |||||
INTERNET SOFTWARE & SERVICES — 2.24% | |||||
Open Text Corp.+ | 82,900 | 2,595,599 | |||
SOFTWARE — 3.32% | |||||
Amdocs Ltd.+ | 135,500 | 3,842,780 | |||
6,438,379 | |||||
TECHNOLOGY HARDWARE & EQUIPMENT — 2.43% | |||||
ELECTRONIC EQUIPMENT & INSTRUMENTS — 2.43% | |||||
Smartrac NV+ | 58,200 | 2,816,219 | |||
2,816,219 | |||||
TELECOMMUNICATION SERVICES — 11.43% | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 5.40% | |||||
PT Telekomunikasi Indonesia | 2,084,000 | 2,184,747 | |||
Telefónica SA | 141,800 | 4,074,372 | |||
WIRELESS TELECOMMUNICATION SERVICES — 6.03% | |||||
América Móvil SAB de C.V. | 1,348,500 | 4,295,333 | |||
MTN Group Ltd. | 177,100 | 2,685,980 | |||
13,240,432 | |||||
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Growth Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | |||||
TRANSPORTATION — 7.15% | ||||||
TRANSPORTATION INFRASTRUCTURE — 7.15% | ||||||
China Merchants Holdings International Co., Ltd. | 124,000 | $ | 589,516 | |||
Flughafen Wien AG | 27,100 | 3,265,710 | ||||
HHLA+ | 58,100 | 4,425,746 | ||||
8,280,972 | ||||||
UTILITIES — 10.28% | ||||||
ELECTRIC UTILITIES — 5.57% | ||||||
ČEZ AS | 32,125 | 2,447,933 | ||||
Verbund+ | 56,300 | 4,007,759 | ||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 2.70% | ||||||
PNOC Energy Development Corp. | 22,164,400 | 3,130,715 | ||||
MULTI-UTILITIES — 2.01% | ||||||
RWE AG | 18,900 | 2,323,214 | ||||
11,909,621 | ||||||
TOTAL COMMON STOCK (Cost $107,725,449) | 104,252,610 | |||||
SHORT TERM INVESTMENTS — 9.06% | ||||||
General Electric Capital Corp., 2.00% , 4/2/2008 | $ | 5,000,000 | 4,999,723 | |||
Toyota Motor Credit, 2.10% , 4/1/2008 | 5,500,000 | 5,500,000 | ||||
TOTAL SHORT TERM INVESTMENTS (Cost $10,499,723) | 10,499,723 | |||||
TOTAL INVESTMENTS — 99.05% (Cost $118,225,172) | $ | 114,752,333 | ||||
OTHER ASSETS LESS LIABILITIES — 0.95% | 1,099,473 | |||||
NET ASSETS — 100.00% | $ | 115,851,806 | ||||
Footnote Legend
+ Non-income producing
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR American Depository Receipt
See notes to financial statements.
Certified Semi-Annual Report 25
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EXPENSE EXAMPLE | ||
Thornburg International Growth Fund | March 31, 2008 (Unaudited) |
As a shareholder of the Fund, you incur two types of costs:
(1) | transaction costs, including a 30-day redemption fee on Class I shares; |
(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, 2007 and held until March 31, 2008.
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 for your class of shares 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 9/30/07 | Ending Account Value 3/31/08 | Expenses Paid During Period† 9/30/07–3/31/08 | |||||||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 924.00 | $ | 4.76 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.05 | $ | 5.00 |
† | Expenses are equal to the annualized expense ratio for Class I shares (0.99%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
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 for each class of shares 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.
26 Certified Semi-Annual Report
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INDEX COMPARISON | ||
Thornburg International Growth Fund | March 31, 2008 (Unaudited) |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg International Growth Fund versus MSCI AC World ex-U.S. Growth Index (February 1, 2007 to March 31, 2008)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2008
1 Yr | Since Inception | |||||
I Shares (Incep: 2/1/07) | 9.66 | % | 13.66 | % | ||
MSCI All Country World ex-U.S. Growth Index (Since: 2/1/07) | 5.83 | % | 7.25 | % |
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. Class I shares are subject to a 1% 30-day redemption fee.
The Morgan Stanley Capital International All Country World ex-U.S. Growth Index (MSCI AC World ex-U.S. Growth Index) includes growth companies in developed and emerging markets throughout the world, excluding the United States. Indices do not take into account fees and expenses. Investors cannot make direct investments in an index.
Certified Semi-Annual Report 27
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OTHER INFORMATION | ||
Thornburg International Growth Fund | March 31, 2008 (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.
Information regarding how proxies were voted is currently available for the five months ended June 30, 2007 in the case of the period from the Fund’s commencement of investment operations on February 1, 2007, and will thereafter be 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 web site at www. thornburg.com, and (iii) on the Securities and Exchange Commission’s web site 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 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.
28 Certified Semi-Annual Report
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Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
February 8, 2005, as readopted July 18, 2007
The Trustees are concerned that ongoing 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.
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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. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
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.
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 Global Opportunities Fund |
• | Thornburg International Growth Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
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Thornburg Equity Funds
Thornburg’s equity research uses a fundamental and comprehensive analytical approach. Thornburg equity funds focus on a limited number of securities so that each holding can impact 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.
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
• | Thornburg International Growth Fund |
Thornburg Bond Funds
The majority of Thornburg bond funds are laddered portfolios of 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 Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term Municipal Fund |
• | Thornburg New Mexico Intermediate Municipal Fund |
• | Thornburg New York Intermediate Municipal Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund* |
Carefully consider each fund’s investment objectives, risks, sales charges, and expenses; this information can be found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. There is no guarantee that any of these funds will meet their investment objectives.
For additional information, please visit www.thornburg.com
Thornburg Investment Management, 119 East Marcy Street, Santa Fe, NM 87501
* | This fund does not use the laddering strategy. |
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Get instant access to your shareholder reports. | ||||||
This Semi-Annual Report is 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. |
By switching from your postal mailbox to your email inbox, you reduce paper clutter, improve record keeping access, and help conserve our natural resources. | |||||
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Investment Advisor: Thornburg Investment Management® 800.847.0200
Distributor: Thornburg Securities Corporation® 800.847.0200
TH1410 | Go to www.thornburg.com/edelivery and sign up to receive your shareholder reports, prospectuses, and proxy statements electronically.
You invest in the future, without spending a dime. | ||||
Table of Contents
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Invest in our planet, while you invest with us
You are concerned about the future, so are we. That is why we encourage you to go paperless and cut down on the amount of paper being used for regulatory mailings. Go to www.thornburg.com/edelivery and sign up to receive your shareholder reports, prospectuses, and proxy statements electronically.
Thornburg Strategic Income Fund
Harvesting a Sustainable Yield
The Fund’s primary investment goal is to seek a high level of current income. The Fund’s secondary investment goal is some long-term capital appreciation.
The Fund pursues its investment goals by investing in a broad range of income producing investments from throughout the world, primarily including debt obligations and income producing stocks. The Fund expects, under normal conditions, to invest a majority of its assets in debt obligations, but the relative proportions of the Fund’s investments in debt obligations and in income producing stocks can be expected to vary over time.
2 This page is not part of the Semi-Annual Report.
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Thornburg Strategic Income Fund
March 31, 2008
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
Certified Semi-Annual Report 3
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Important Information
The information presented on the following pages was current as of March 31, 2008. The managers’ views, portfolio holdings, and sector and country diversification are provided for the general information of the Fund’s shareholders; they are historical and subject to change. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments 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. Investments in structured finance arrangements and other types of derivatives are subject to the risks associated with the securities or other assets underlying the pool of securities including illiquidity and difficulty in valuation, and also may involve risks different or greater than the risks affecting the underlying assets. Investing outside the United States involves additional risks, such as currency fluctuations. Additionally, the Fund may invest a portion of the assets in small capitalization companies and in emerging markets which may increase the risk of greater price fluctuations. Investments in the Fund are not FDIC insured, nor are they deposits of or guaranteed by a bank or any other entity. There is no guarantee that the Fund will meet its investment objectives.
Performance data given at net asset value (NAV) does not take into account the applicable sales charges. If the sales charges had been included, the performance would have been lower.
Glossary
Blended Index – The blended index is comprised of 80% Lehman Brothers Aggregate Bond Index and 20% MSCI World 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 bonds included in the index. The Morgan Stanley Capital International (MSCI) World Index is an unmanaged market-weighted index that consists of over 1,200 equity securities traded in 23 of the world’s most developed countries. The index is calculated with net dividends reinvested, in U.S. dollars.
Lehman U.S. Universal Index – Represents the union of the U.S. Aggregate Index, U.S. Corporate High-Yield Index, Investment-Grade 144A Index, Eurodollar Index, U.S. Emerging Markets Index, and the non-ERISA eligible portion of the CMBS Index. The index covers USD-denominated, taxable bonds that are rated either investment-grade or below investment-grade.
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.
4 Certified Semi-Annual Report
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George Strickland Co-Portfolio Manager
Jason Brady, CFA Co-Portfolio Manager | April 5, 2008
Dear Fellow Shareholder:
We are delighted to present the first Semi-Annual Report for the Thornburg Strategic Income Fund for the period ended March 31, 2008. The net asset value of a Class A share of the Fund increased 4 cents to $11.98 since the inception date of December 19, 2007. If you were invested for the entire period, you received dividends of 17.9 cents per Class A share. Please examine the accompanying information for more details and history.
Since the inception of the Fund on December 19, 2007, we have been able to take advantage of the high level of volatility within both fixed income and equity mar-kets. We are now well positioned to pursue the portfolio goals of a high level of cur-rent income as well as some long-term capital appreciation.
Putting income and change in price together, the Class A shares of the Thornburg Strategic Income Fund produced a total return of 1.84% (at NAV) since the December 19, 2007 inception. The Blended Index of 80% Lehman Aggregate Bond Index and 20% MSCI World Index produced a 0.67% total return over the same time period. The Lehman U.S. Universal Index produced a 2.03% total return over that time period. The Blended and Lehman indices reflect no deduction for fees, expenses, or taxes.
Outperformance versus the Blended Index can be largely attributed to security selec-tion and asset class weighting. By purchasing securities with good significant risk-adjusted yields, we have been able to withstand some of the most recent turbulence in the market, especially within the equity allocation. Underperformance versus the Lehman U.S. Universal Index can be largely attributed to the presence of a signifi-cant equity allocation at a time when global equities deteriorated.
Despite the recent turbulence, our equity allocation remains a key and differentiat-ing component of our strategy. Though global equities have fallen so far this year, there are several great reasons that we think our equity component will continue to add value to the portfolio. First, the negative correlation that often exists between interest rate sensitive securities and stocks, especially in more uncertain times, can lower the volatility of the overall portfolio significantly. Second, our equity component currently has a higher dividend yield than our bond component’s yield. While this is unlikely to be sustained for any great length of time, our stocks’ income generation is an important source of the Fund’s dividend and underlines the importance of portfolio flexibility. Last, equities won’t fall forever, and in fact, the recent downtrend continues to present opportunities for that portion of the portfolio, keeping our portfolio risk firmly in mind.
Aside from equities we are seeing dislocations in many fixed income asset classes including mortgage backed securities and even municipal bonds. Mortgages are of course subject to the effects of a declining home price environment, and defaults are |
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Letter to Shareholders
Continued
historically quite high. Even so, there are many mortgage structures with good underlying collateral that are very likely to pay even in a highly stressed environment. As a result, we believe there are good returns to be had in this sector, though the dislocations here could continue or even worsen over the short to medium term. Another example of market stress is within the municipal bond market. Munis, not typically a source of great yield (given their tax-exempt nature), in some cases are currently so unloved that they rival or surpass their taxable corporate counterparts in yield. In addition, at some point the municipal market should come to its senses (or perhaps more to the point, work off its auction rate security hangover). If this happens, these bonds could enjoy significant capital gains. Municipal bonds and highly rated mortgage backed securities are not what you would normally expect to see in a higher yielding taxable bond fund, but we believe the bonds we selected are extremely attractive right now. Their inclusion illustrates the importance of the broad mandate we have in this Fund and the ability we have to invest where we see good value.
In general, capital markets remain very challenging to navigate, and the broad mandate of the Fund means that we have many opportunities but also many potential pitfalls. As we chart a course towards our aim of a sustainably high dividend with reasonable volatility, we are constantly reminded of the importance of a diversified portfolio with good risk management. Though many assets are quite “cheap,” there is no guarantee that they will not, over the course of our holding period, get “cheaper” by declining in value further. As a result, though opportunity abounds, we have tried very hard to balance the need of a high dividend stream with the goal of lower volatility. We hope you are pleased with your investment in the Fund thus far.
Regards,
![]() | ![]() | |||
George Strickland | Jason Brady, CFA | |||
Managing Director | Managing Director | |||
Co-Portfolio Manager | Co-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.
6 Certified Semi-Annual Report
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STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Strategic Income Fund | March 31, 2008 (Unaudited) |
ASSETS | ||||
Investments at value (cost $36,982,591) (Note 2) | $ | 36,482,154 | ||
Cash | 415,734 | |||
Receivable for fund shares sold | 615,667 | |||
Dividends receivable | 81,883 | |||
Interest receivable | 297,943 | |||
Prepaid expenses and other assets | 40,669 | |||
Total Assets | 37,934,050 | |||
LIABILITIES | ||||
Payable for securities purchased | 1,822,464 | |||
Payable for fund shares redeemed | 30,181 | |||
Unrealized loss on forward exchange contracts (Note 7) | 13,810 | |||
Payable to investment advisor and other affiliates (Note 3) | 15,561 | |||
Dividends payable | 27,759 | |||
Total Liabilities | 1,909,775 | |||
NET ASSETS | $ | 36,024,275 | ||
NET ASSETS CONSIST OF: | ||||
Undistributed net investment income | $ | 68,152 | ||
Net unrealized depreciation on investments | (511,564 | ) | ||
Accumulated net realized gain (loss) | 26,840 | |||
Net capital paid in on shares of beneficial interest | 36,440,847 | |||
$ | 36,024,275 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($13,656,930 applicable to 1,139,768 shares of beneficial interest outstanding - Note 4) | $ | 11.98 | ||
Maximum sales charge, 4.50% of offering price | 0.56 | |||
Maximum offering price per share | $ | 12.54 | ||
Class C Shares: | ||||
Net asset value and offering price per share * ($8,667,488 applicable to 723,300 shares of beneficial interest outstanding - Note 4) | $ | 11.98 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($13,699,857 applicable to 1,142,159 shares of beneficial interest outstanding - Note 4) | $ | 11.99 | ||
* | 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 | For the period from commencement of operations on | |
Thornburg Strategic Income Fund | December 19, 2007 to March 31, 2008 (Unaudited) |
INVESTMENT INCOME: | ||||
Dividend income (net of foreign taxes withheld of $272) | $ | 148,455 | ||
Interest income (net of premium amortized of $2,028) | 343,040 | |||
Total Income | 491,495 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 45,123 | |||
Administration fees (Note 3) | ||||
Class A Shares | 2,889 | |||
Class C Shares | 1,361 | |||
Class I Shares | 1,308 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 6,162 | |||
Class C Shares | 11,369 | |||
Transfer agent fees | ||||
Class A Shares | 1,340 | |||
Class C Shares | 1,160 | |||
Class I Shares | 1,160 | |||
Registration and filing fees | ||||
Class A Shares | 7,559 | |||
Class C Shares | 7,559 | |||
Class I Shares | 7,655 | |||
Custodian fees (Note 3) | 12,874 | |||
Professional fees | 8,444 | |||
Accounting fees | 104 | |||
Trustee fees | 52 | |||
Other expenses | 6,312 | |||
Total Expenses | 122,431 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (32,486 | ) | ||
Management fees waived by investment advisor (Note 3) | (13,079 | ) | ||
Fees paid indirectly (Note 3) | (2,474 | ) | ||
Net Expenses | 74,392 | |||
Net Investment Income | $ | 417,103 | ||
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STATEMENT OF OPERATIONS, CONTINUED | For the period from commencement of operations on | |
Thornburg Strategic Income Fund | December 19, 2007 to March 31, 2008 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments sold | $ | 28,213 | ||
Foreign currency transactions | (1,373 | ) | ||
26,840 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (496,557 | ) | ||
Foreign currency translations | (15,007 | ) | ||
(511,564 | ) | |||
Net Realized and Unrealized Loss | (484,724 | ) | ||
Net Decrease in Net Assets Resulting From Operations | $ | (67,621 | ) | |
See notes to financial statements.
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STATEMENT OF CHANGES IN NET ASSETS
Thornburg Strategic Income Fund
For the period from commencement of operations on December 19, 2007 to March 31, 2008* | ||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||
OPERATIONS: | ||||
Net investment income | $ | 417,103 | ||
Net realized gain on investments and foreign currency transactions | 26,840 | |||
Increase (Decrease) in unrealized appreciation (depreciation) on investments and foreign currency translations | (511,564 | ) | ||
Net Increase (Decrease) in Net Assets Resulting from Operations | (67,621 | ) | ||
DIVIDENDS TO SHAREHOLDERS: | ||||
From net investment income | ||||
Class A Shares | (133,665 | ) | ||
Class C Shares | (59,473 | ) | ||
Class I Shares | (155,813 | ) | ||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||
Class A Shares | 13,811,892 | |||
Class C Shares | 8,788,071 | |||
Class I Shares | 13,840,884 | |||
Net Increase in Net Assets | 36,024,275 | |||
NET ASSETS: | ||||
Beginning of period | — | |||
End of period | $ | 36,024,275 | ||
Undistributed net investment income | $ | 68,152 |
* | Unaudited. |
See notes to financial statements.
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NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Strategic Income Fund | March 31, 2008 (Unaudited) |
NOTE 1 – ORGANIZATION
Thornburg Strategic Income Fund, hereinafter referred to as the “Fund,” is a diversified series of Thornburg Investment Trust (the “Trust”). The Fund commenced operations on December 19, 2007. 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 thirteen 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 New York Intermediate Municipal Fund, Thornburg Core Growth Fund, Thornburg Investment Income Builder Fund, Thornburg Global Opportunities Fund, and Thornburg International 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’s primary investment goal is to seek a high level of current income. The Fund’s secondary investment goal is some long-term capital appreciation.
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 may have different reinvestment privileges and conversion rights. 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 Securities: Debt obligations held by the Fund have a primary market over the counter and are valued by an independent pricing service approved by the Trustees of the Trust. The pricing service ordinarily values debt obligations at quoted bid prices. When quotations are not available, debt obligations are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt obligations of comparable quality, type of issue, coupon, maturity, and rating, indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
Equity securities held by the Fund which are listed or traded on a national securities exchange are valued at the last reported sale price on the exchange that is the primary market for the security. Equity securities traded on an exchange for which there has been no sale that day and other equity securities traded in the over-the-counter market are valued at the mean between the last reported bid and asked prices. Equity securities reported by NASDAQ are valued at the NASDAQ official closing price. Any foreign equity security traded on exchanges outside the United States is valued at the price of the security on the exchange that is normally the security’s primary market, as of the close of that exchange preceding the time of the Fund’s valuation. Quotations for foreign debt and equity securities in foreign currencies are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
In any case where a pricing service fails to provide a price for a debt obligation held by the Fund, or where the market value of an equity security held by the Fund is not readily available, the Trust’s valuation and pricing committee determines a fair value for the security using factors approved by the Trustees. Additionally, in any case where the Fund’s management believes that a price provided by a pricing service for a debt obligation held by the Fund may be unreliable, the Trust’s valuation and pricing committee decides whether or not to use the pricing service’s valuation or to determine a fair value for the debt obligation. A debt obligation’s market value may be deemed unreliable by the Fund’s management if management believes that the price is stale, does not reflect material factors affecting the issuer of the security, or is significantly different than the price the Fund is likely to obtain if it sought a bid for the security. Fair value is an amount an owner of the security might reasonably expect to receive upon a sale of the security. A fair value is an estimated price and may vary from the prices obtained by other persons (including other mutual funds) in determining fair value.
An equity security’s market value is deemed not readily available whenever the exchange or market on which the security is primarily traded is not open for the entire scheduled day of trading. Additionally, an equity security’s market value may be deemed not readily available under other circumstances identified by the Trustees, including when serious questions about the reliability of the security’s market value are created by developments occurring after the most recent close of the security’s primary exchange or market, but before the next close of business for the Fund, or by an unusual event or significant period of time occurring since the availability of a market quotation for the security. Such events may include the merger or insolvency of an issuer, announcements respecting the prospects for a specific issuer or an industry, natural disasters, and political or social disruptions. In particular, prices for securities traded on a
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2008 (Unaudited) |
foreign exchange could become stale in some instances because of such events occurring after the close of that exchange.
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 amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books, and the U.S. dollar equivalent of the amounts actually received or paid.
Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.
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 Fund’s 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 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 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 liabilities 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, 2008, these fees were payable at annual rates ranging from .75 of 1% to .50 of 1% per annum of the average daily net assets of the Fund depending on the Fund’s asset size.
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2008 (Unaudited) |
For the period ended March 31, 2008, the Advisor voluntarily waived investment advisory fees of $13,079. The Trust also has entered into administrative services agreements 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, 2008, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $10,645 for Class A shares, $11,718 for Class C shares, and $10,123 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’s shares. For the period ended March 31, 2008, the Distributor has advised the Fund that it earned commissions aggregating $13,867 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $4,612 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 and distribution 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 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 the Distributor for each class of shares of the Fund under their respective Service and Distribution Plans for the period ended March 31, 2008, 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, 2008, fees paid indirectly were $2,474. This figure may include additional fees waived by the custodian.
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, 2008, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Period Ended March 31, 2008* | |||||||
Shares | Amount | ||||||
Class A Shares | |||||||
Shares sold | 1,172,763 | $ | 14,208,338 | ||||
Shares issued to shareholders in reinvestment of dividends | 8,948 | 107,127 | |||||
Shares repurchased | (41,943 | ) | (503,573 | ) | |||
Net Increase (Decrease) | 1,139,768 | $ | 13,811,892 | ||||
Class C Shares | |||||||
Shares sold | 768,733 | $ | 9,332,661 | ||||
Shares issued to shareholders in reinvestment of dividends | 2,936 | 35,157 | |||||
Shares repurchased | (48,369 | ) | (579,747 | ) | |||
Net Increase (Decrease) | 723,300 | $ | 8,788,071 | ||||
Class I Shares | |||||||
Shares sold | 1,151,086 | $ | 13,949,010 | ||||
Shares issued to shareholders in reinvestment of dividends | 8,316 | 99,664 | |||||
Shares repurchased | (17,243 | ) | (207,790 | ) | |||
Net Increase (Decrease) | 1,142,159 | $ | 13,840,884 | ||||
* | The Fund commenced operations on December 19, 2007. |
NOTE 5 – SECURITIES TRANSACTIONS
For the period ended March 31, 2008, the Fund had purchase and sale transactions of investment securities (excluding short-term investments and U. S. Government obligations) of $31,707,795 and $650,229, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2008, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 36,982,591 | ||
Gross unrealized appreciation on a tax basis | $ | 412,828 | ||
Gross unrealized depreciation on a tax basis | (913,265 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | (500,437 | ) | |
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2008 (Unaudited) |
NOTE 7 – FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
During the period ended March 31, 2008, 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 securities 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 securities 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 coun-terparties 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. There are special risks associated with international investing, including currency fluctuations, economic and political instability, confiscation, inability or delays in selling foreign investments, and reduced legal protection for investments.
CONTRACTS TO SELL:
Contract Value Date | Unrealized Gain (Loss) | |||||||
Contracts | ||||||||
114,817 | Greater British Pound for 223,039 USD | July 15, 2008 | $ | (2,923 | ) | |||
135,700 | Greater British Pound for 261,575 USD | July 15, 2008 | (5,483 | ) | ||||
183,000 | Greater British Pound for 355,185 USD | July 15, 2008 | (4,961 | ) | ||||
Net unrealized loss from forward Sell contracts: | $ | (13,367 | ) | |||||
CONTRACTS TO BUY: | ||||||||
Contract Value Date | Unrealized Gain (Loss) | |||||||
Contracts | ||||||||
20,000 | Greater British Pound for 39,803 USD | July 15, 2008 | $ | (443 | ) | |||
Net unrealized loss from forward Buy contracts: | $ | (443 | ) | |||||
Net unrealized gain (loss) from forward Exchange contracts: | $ | (13,810 | ) | |||||
OTHER NOTES:
FASB Interpretation No. 48:
On July 13, 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation prescribes a model for how a company, including the Fund, should recognize, measure, present and disclose in its financial statements uncertain tax positions that the company has taken or expects to take on income tax returns, and also revises certain disclosure requirements. The Interpretation became effective for the Fund for the financial statement reporting period ended March 31, 2008. As of the date of this report, management of the Fund has not identified any material effect on the Fund’s financial statements resulting from the implementation of FIN 48.
Statement of Accounting Standards No. 161:
In March 2008, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”). FAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. FAS 161 requires enhanced disclosures about any derivative and hedging activities by the Fund, including how such activities are accounted for and any effect on the Fund’s financial position, performance and cash flows. Management is evaluating the impact, if any, that the adoption of FAS 161 will have on the Fund’s financial statements and related disclosures.
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2008 (Unaudited) |
Statement of Accounting Standards No. 157:
On September 15, 2006, the Financial Accounting Standards Board issued Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles, and expands the required disclosures about fair value measurements in financial statements. FAS 157 is effective for the Fund’s current fiscal period.
Various inputs may be used in determining the value of the Fund’s investments. These inputs are summarized in three broad levels as follows: (i) Level 1 inputs, which include quoted prices in active markets for identical securities; (ii) Level 2 inputs, which include other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and (iii) Level 3 inputs, which include significant unobservable inputs (including the Fund’s own assumptions used to determine the fair value of its investments). The inputs or methodologies used for valuing the Fund’s investments are not necessarily an indication of the risk associated with those investments.
The following table displays a summary of the level of inputs used to value the Fund’s investments as of March 31, 2008:
Valuation Inputs | Investments in Securities | Investments in Other Financial Instruments* | |||||
Level 1 – Quoted Prices in Active Markets for Identical Assets | $ | 5,756,776 | $ | (13,810 | ) | ||
Level 2 – Significant Other Observable Inputs | 30,725,378 | — | |||||
Level 3 – Significant Unobservable Inputs | — | — | |||||
Total | $ | 36,482,154 | $ | (13,810 | ) | ||
* | Other financial instruments include investments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation/depreciation on the instrument. |
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FINANCIAL HIGHLIGHTS |
Thornburg Strategic Income Fund |
Period Ended March 31, 2008(a)* | ||||
Class A Shares: | ||||
PER SHARE PERFORMANCE | ||||
(for a share outstanding throughout the period)+ | ||||
Net asset value, beginning of period | $ | 11.94 | ||
Income from investment operations: | ||||
Net investment income (loss) | 0.22 | |||
Net realized and unrealized gain (loss) on investments | — | |||
Total from investment operations | 0.22 | |||
Less dividends from: | ||||
Net investment income | (0.18 | ) | ||
Change in net asset value | 0.04 | |||
NET ASSET VALUE, end of period | $ | 11.98 | ||
RATIOS/SUPPLEMENTAL DATA | ||||
Total return (%)(b) | 1.84 | |||
Ratios to average net assets: | ||||
Net investment income (loss) (%) | 6.81 | (c) | ||
Expenses, after expense reductions (%) | 1.29 | (c) | ||
Expenses, after expense reductions and net of custody credits (%) | 1.25 | (c) | ||
Expenses, before expense reductions (%) | 1.97 | (c) | ||
Portfolio turnover rate (%) | 3.24 | |||
Net assets at end of period (thousands) | $ | 13,657 |
(a) | Fund commenced operations on December 19, 2007. |
(b) | Sales loads are not reflected in computing total return, which is not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
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FINANCIAL HIGHLIGHTS, CONTINUED |
Thornburg Strategic Income Fund |
Period Ended March 31, 2008(a)* | ||||
Class C Shares: | ||||
PER SHARE PERFORMANCE | ||||
(for a share outstanding throughout the period)+ | ||||
Net asset value, beginning of period | $ | 11.94 | ||
Income from investment operations: | ||||
Net investment income (loss) | 0.22 | |||
Net realized and unrealized gain (loss) on investments | (0.02 | ) | ||
Total from investment operations | 0.20 | |||
Less dividends from: | ||||
Net investment income | (0.16 | ) | ||
Change in net asset value | 0.04 | |||
NET ASSET VALUE, end of period | $ | 11.98 | ||
RATIOS/SUPPLEMENTAL DATA | ||||
Total return (%)(b) | 1.69 | |||
Ratios to average net assets: | ||||
Net investment income (loss) (%) | 6.66 | (c) | ||
Expenses, after expense reductions (%) | 1.85 | (c) | ||
Expenses, after expense reductions and net of custody credits (%) | 1.80 | (c) | ||
Expenses, before expense reductions (%) | 3.14 | (c) | ||
Portfolio turnover rate (%) | 3.24 | |||
Net assets at end of period (thousands) | $ | 8,667 |
(a) | Fund commenced operations on December 19, 2007. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
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FINANCIAL HIGHLIGHTS, CONTINUED
Thornburg Strategic Income Fund
Period Ended March 31, 2008(a)* | ||||
Class I Shares: | ||||
PER SHARE PERFORMANCE | ||||
(for a share outstanding throughout the period)+ | ||||
Net asset value, beginning of period | $ | 11.94 | ||
Income from investment operations: | ||||
Net investment income (loss) | 0.24 | |||
Net realized and unrealized gain (loss) on investments | — | |||
Total from investment operations | 0.24 | |||
Less dividends from: | ||||
Net investment income | (0.19 | ) | ||
Change in net asset value | 0.05 | |||
NET ASSET VALUE, end of period | $ | 11.99 | ||
RATIOS/SUPPLEMENTAL DATA | ||||
Total return (%)(b) | 2.00 | |||
Ratios to average net assets: | ||||
Net investment income (loss) (%) | 7.16 | (c) | ||
Expenses, after expense reductions (%) | 1.03 | (c) | ||
Expenses, after expense reductions and net of custody credits (%) | 0.99 | (c) | ||
Expenses, before expense reductions (%) | 1.63 | (c) | ||
Portfolio turnover rate (%) | 3.24 | |||
Net assets at end of period (thousands) | $ | 13,700 |
(a) | Fund commenced operations on December 19, 2007. (b) Not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
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SCHEDULE OF INVESTMENTS | ||
Thornburg Strategic Income Fund | March 31, 2008 (Unaudited) |
NASDAQ SYMBOLS: CLASS A – TSIAX, CLASS C – TSICX, CLASS I – TSIIX CUSIPS: CLASS A – 885-215-228, CLASS C – 885-215-210, CLASS I – 885-215-194
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/08
Energy | 10.5 | % | |
Banks | 9.5 | % | |
Telecommunication Services | 7.4 | % | |
Utilities | 6.9 | % | |
Diversified Financials | 3.8 | % | |
Pharmaceuticals, Biotechnology & Life Sciences | 2.8 | % | |
Software & Services | 2.8 | % | |
Media | 2.3 | % | |
Retailing | 1.7 | % | |
Consumer Services | 1.6 | % | |
Transportation | 1.6 | % | |
Materials | 1.5 | % | |
Food & Staples Retailing | 1.2 | % | |
Health Care Equipment & Services | 1.1 | % | |
Food, Beverage & Tobacco | 1.1 | % | |
Other Non-Classified Securities: | |||
Asset Backed Securities | 13.8 | % | |
Municipal Bonds | 10.9 | % | |
Other Securities | 2.4 | % | |
U.S. Treasury Securities | 2.1 | % | |
Foreign Bonds | 1.7 | % | |
U.S. Government Agencies | 0.1 | % | |
Other Assets & Cash Equivalents | 13.2 | % |
SUMMARY OF COUNTRY EXPOSURE
As of 3/31/08
United States of America | 68.7 | % | |
United Kingdom | 2.7 | % | |
Bermuda | 2.5 | % | |
Italy | 2.4 | % | |
Brazil | 1.7 | % | |
Australia | 1.5 | % | |
Israel | 1.5 | % | |
Greece | 0.8 | % | |
China | 0.8 | % | |
Korea | 0.8 | % | |
Malaysia | 0.8 | % | |
Hong Kong | 0.8 | % | |
Turkey | 0.7 | % | |
Russia | 0.6 | % | |
Singapore | 0.5 | % | |
Other Assets & Cash Equivalents | 13.2 | % |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
COMMON STOCK — 13.93% | |||||
BANKS — 3.41% | |||||
COMMERCIAL BANKS — 3.41% | |||||
Barclays plc | 33,600 | $ | 302,080 | ||
Intesa Sanpaolo | 43,400 | 305,931 | |||
Lloyds TSB Group plc | 69,100 | 618,499 | |||
1,226,510 | |||||
CONSUMER SERVICES — 1.61% | |||||
HOTELS, RESTAURANTS & LEISURE — 1.61% | |||||
Berjaya Sports Toto Berhad | 176,700 | 284,510 | |||
OPAP SA | 8,300 | 295,879 | |||
580,389 | |||||
DIVERSIFIED FINANCIALS — 2.57% | |||||
DIVERSIFIED FINANCIAL SERVICES — 2.57% | |||||
KKR Financial Holdings LLC | 73,000 | 924,180 | |||
924,180 | |||||
ENERGY — 0.74% | |||||
OIL, GAS & CONSUMABLE FUELS — 0.74% | |||||
Tupras-Turkiye Petrol Rafinerileri A.S. | 12,100 | 267,518 | |||
267,518 | |||||
FOOD, BEVERAGE & TOBACCO — 0.80% | |||||
FOOD PRODUCTS — 0.46% | |||||
Reddy Ice Holdings, Inc. | 12,600 | 164,178 | |||
TOBACCO — 0.34% | |||||
Altria Group, Inc. | 1,700 | 37,740 | |||
Philip Morris+ | 1,700 | 85,986 | |||
287,904 | |||||
TELECOMMUNICATION SERVICES — 1.54% | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 1.54% | |||||
Telstra Corp. Ltd. | 15,700 | 63,132 | |||
Telstra Corp. Ltd. Installment Receipts | 190,939 | 490,343 | |||
553,475 | |||||
TRANSPORTATION — 0.76% | |||||
TRANSPORTATION INFRASTRUCTURE — 0.76% | |||||
Hopewell Highway Infrastructure Ltd. | 359,000 | 275,386 | |||
275,386 | |||||
UTILITIES — 2.50% | |||||
ELECTRIC UTILITIES — 1.54% | |||||
Enel S.p.A. | 52,200 | 553,800 | |||
MULTI-UTILITIES — 0.96% | |||||
Consolidated Edison, Inc. | 1,300 | 51,610 | |||
Energy East Corp. | 12,300 | 296,676 | |||
902,086 | |||||
TOTAL COMMON STOCK (Cost $5,376,595) | 5,017,448 | ||||
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | |||||
ASSET BACKED SECURITIES — 13.76% | ||||||
BANKS — 2.07% | ||||||
COMMERCIAL BANKS — 2.07% | ||||||
CW Capital Colbalt Series 2007-C2 Class A1, 5.064%, 9/15/2011 | $ | 30,175 | $ | 29,642 | ||
Greenwich Capital Commercial Funding Corp. Series 2007-GG9 Class A1, 5.233%, 3/10/2039 | 30,984 | 30,673 | ||||
Wachovia Bank Commercial Mtg. Trust Series 2007-C30 Class A1, 5.031%, 12/15/2043 | 30,733 | 30,343 | ||||
Wachovia Bank Commercial Mtg. Trust Series 2007-C31 Class A1, 5.14%, 4/15/2047 | 21,571 | 21,344 | ||||
Wells Fargo Asset Securities Corp. Series 2005-AR1 Class B1, 4.546%, 2/25/2035 | 399,704 | 318,418 | ||||
Wells Fargo Asset Securities Corp. Series 2005-AR2 Class B1, 4.684%, 3/25/2035 | 396,929 | 313,829 | ||||
744,249 | ||||||
DIVERSIFIED FINANCIALS — 11.69% | ||||||
CAPITAL MARKETS — 5.64% | ||||||
Bear Stearns ARM Mtg. Series 2003-6 Class 2B-1, 4.828%, 8/25/2033 | 1,376,714 | 1,207,637 | ||||
Bear Stearns Commercial Mtg. Securities Series 2007-PW15 Class A1, 5.016%, 2/11/2044 | 4,529 | 4,449 | ||||
Bear Stearns Commercial Mtg. Securities Series 2007-T26 Class A1, 5.145%, 1/12/2045 | 70,118 | 69,015 | ||||
Bear Stearns Commercial Mtg. Securities Series 2007-T28 Class A1, 5.422%, 9/11/2042 | 29,184 | 28,781 | ||||
Commercial Mtg. Series 2006-C8 Class A1, 5.108%, 12/10/2046 | 45,472 | 45,188 | ||||
Credit Suisse Mtg. Capital Certificates Series 2007-C1 Class A1, 5.227%, 2/15/2040 | 25,575 | 25,389 | ||||
Credit Suisse Mtg. Capital Certificates Series 2007-C2 Class A1, 5.269%, 1/15/2049 | 17,544 | 17,409 | ||||
Credit Suisse Mtg. Capital Certificates Series 2007-C3 Class A1, 5.664%, 6/15/2039 | 22,689 | 22,665 | ||||
GS Mtg. Securities Corp. II Series 2007-GG10 Class A1, 5.69%, 8/10/2045 | 34,377 | 34,012 | ||||
LB-UBS Commercial Mtg. Trust Series 2007-C1 Class A1, 5.391%, 2/15/2040 | 20,775 | 20,687 | ||||
LB-UBS Commercial Mtg. Trust Series 2007-C2 Class A1, 5.226%, 2/17/2040 | 18,089 | 17,947 | ||||
Merrill Lynch Mtg. Investors Trust, 4.229%, 8/25/2034 | 397,511 | 325,237 | ||||
Merrill Lynch/Countrywide Commercial Mtg. Trust Series 2007-5 Class A1, | ||||||
4.275%, 8/12/2048 | 17,117 | 16,698 | ||||
Merrill Lynch/Countrywide Commercial Mtg. Trust Series 2007-6 Class A1, | ||||||
5.175%, 3/12/2051 | 21,252 | 21,057 | ||||
Morgan Stanley Capital I Series 2007-HQ11 Class A1, 5.246%, 2/20/2044 | 34,411 | 34,055 | ||||
Morgan Stanley Capital I Series 2007-IQ13 Class A1, 5.05%, 3/15/2044 | 31,607 | 30,985 | ||||
Morgan Stanley Capital I Series 2007-IQ14 Class A1, 5.38%, 4/15/2049 | 63,567 | 62,761 | ||||
Morgan Stanley Capital I Series 2007-T25 Class A1, 5.391%, 11/12/2049 | 49,049 | 48,511 | ||||
DIVERSIFIED FINANCIAL SERVICES — 6.05% | ||||||
Banc of America Commerical Mtg., Inc. Series 2007-2 Class A1, 5.421%, 1/10/2012 | 36,401 | 36,074 | ||||
Banc of America Funding Corp. Series 2006-I Class SB1, 4.735%, 12/20/2036 | 995,202 | 816,065 | ||||
Banc of America Mtg. Services Series 2005-A Class B1, 4.88%, 2/25/2035 | 978,361 | 810,631 | ||||
Citigroup Commercial Mtg. Trust Series 2004-HYB2 Class B1, 5.157%, 3/25/2034 | 360,517 | 311,944 | ||||
Citigroup Commercial Mtg. Trust Series 2007-C6 Class A1, 5.622%, 4/10/2012 | 87,567 | 86,816 | ||||
Citigroup/Deutsche Bank Commercial Mtg. Series 2007-CD4 Class A1, 4.977%, 12/11/2049 | 54,087 | 53,174 | ||||
JPMorgan Chase Commercial Mtg. Securities Corp. Series 2006-LDP9 Class A1, 5.17%, 5/15/2047 | 45,447 | 45,049 | ||||
JPMorgan Chase Commercial Mtg. Securities Corp. Series 2007-LDPX Class A1, 5.122%, 1/15/2049 | 21,204 | 20,968 | ||||
4,213,204 | ||||||
TOTAL ASSET BACKED SECURITIES (Cost $4,983,780) | 4,957,453 | |||||
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | |||||
CORPORATE BONDS — 33.44% | ||||||
BANKS — 3.09% | ||||||
COMMERCIAL BANKS — 2.84% | ||||||
Suntrust Bank, 7.25%, 3/15/2018 | $ | 1,000,000 | $ | 1,022,677 | ||
THRIFTS & MORTGAGE FINANCE — 0.25% | ||||||
Sovereign Bank, 5.125%, 3/15/2013 | 100,000 | 90,831 | ||||
1,113,508 | ||||||
DIVERSIFIED FINANCIALS — 1.26% | ||||||
CAPITAL MARKETS — 0.81% | ||||||
Goldman Sachs Group, Inc., 5.625%, 1/15/2017 | 100,000 | 95,933 | ||||
Lehman Brothers Holdings, Inc., 5.625%, 1/24/2013 | 200,000 | 194,473 | ||||
CONSUMER FINANCE — 0.45% | ||||||
SLM Corp., 4.50%, 7/26/2010 | 200,000 | 164,104 | ||||
454,510 | ||||||
ENERGY — 6.72% | ||||||
ENERGY EQUIPMENT & SERVICES — 1.56% | ||||||
Calfrac Holdings LP, 7.75%, 2/15/2015 | 600,000 | 561,000 | ||||
OIL, GAS & CONSUMABLE FUELS — 5.16% | ||||||
Chesapeake Energy Corp., 7.00%, 8/15/2014 | 700,000 | 701,750 | ||||
El Paso Corp., 7.75%, 6/15/2010 | 55,000 | 57,313 | ||||
Enterprise Products Operating LP, 7.034%, 1/15/2068 | 100,000 | 84,887 | ||||
Petroleum Development Corp., 12.00%, 2/15/2018 | 500,000 | 500,000 | ||||
Southwestern Energy Co., 7.50%, 2/1/2018 | 500,000 | 517,500 | ||||
2,422,450 | ||||||
FOOD & STAPLES RETAILING — 1.25% | ||||||
FOOD & STAPLES RETAILING — 1.25% | ||||||
Rite Aid Corp., 7.50%, 3/1/2017 | 500,000 | 450,000 | ||||
450,000 | ||||||
FOOD, BEVERAGE & TOBACCO — 0.29% | ||||||
BEVERAGES — 0.29% | ||||||
Constellation Brands, Inc., 8.375%, 12/15/2014 | 100,000 | 103,000 | ||||
103,000 | ||||||
HEALTH CARE EQUIPMENT & SERVICES — 1.11% | ||||||
HEALTH CARE PROVIDERS & SERVICES — 1.11% | ||||||
Alliance Imaging, Inc., 7.25%, 12/15/2012 | 250,000 | 235,000 | ||||
Alliance Imaging, Inc., 7.25%, 12/15/2012 | 175,000 | 164,500 | ||||
399,500 | ||||||
MATERIALS — 1.46% | ||||||
METALS & MINING — 1.46% | ||||||
Freeport-McMoRan Copper & Gold Inc., 8.25%, 4/1/2015 | 500,000 | 527,500 | ||||
527,500 | ||||||
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | |||||
MEDIA — 2.33% | ||||||
MEDIA — 2.33% | ||||||
DIRECTV Holdings, 6.375%, 6/15/2015 | $ | 900,000 | $ | 839,250 | ||
839,250 | ||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 2.81% | ||||||
BIOTECHNOLOGY — 2.81% | ||||||
Biogen Idec, Inc., 6.00%, 3/1/2013 | 1,000,000 | 1,011,792 | ||||
1,011,792 | ||||||
RETAILING — 0.85% | ||||||
MULTILINE RETAIL — 0.85% | ||||||
Target Corp., 6.00%, 1/15/2018 | 300,000 | 307,101 | ||||
307,101 | ||||||
SOFTWARE & SERVICES — 2.79% | ||||||
IT SERVICES — 2.79% | ||||||
Computer Sciences Corp., 5.50%, 3/15/2013 | 1,000,000 | 1,003,356 | ||||
1,003,356 | ||||||
TELECOMMUNICATION SERVICES — 4.32% | ||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 4.32% | ||||||
Level 3 Financing, Inc., 9.25%, 11/1/2014 | 700,000 | 572,250 | ||||
Windstream Corp., 8.125%, 8/1/2013 | 1,000,000 | 982,500 | ||||
1,554,750 | ||||||
TRANSPORTATION — 0.79% | ||||||
ROAD & RAIL — 0.79% | ||||||
Hertz Corp., 8.875%, 1/1/2014 | 300,000 | 284,250 | ||||
284,250 | ||||||
UTILITIES — 4.37% | ||||||
ELECTRIC UTILITIES — 4.14% | ||||||
PPL Energy Supply LLC, 6.50%, 5/1/2018 | 1,000,000 | 994,104 | ||||
Reliant Energy, Inc., 7.625%, 6/15/2014 | 500,000 | 496,250 | ||||
GAS UTILITIES — 0.23% | ||||||
Southern Union Co., 7.20%, 11/1/2066 | 100,000 | 84,000 | ||||
1,574,354 | ||||||
TOTAL CORPORATE BONDS (Cost $12,102,124) | 12,045,321 | |||||
CONVERTIBLE BONDS — 1.54% | ||||||
TELECOMMUNICATION SERVICES — 1.54% | ||||||
WIRELESS TELECOMMUNICATION SERVICES — 1.54% | ||||||
NII Holdings, Inc., 3.125%, 6/15/2012 | 700,000 | 555,625 | ||||
TOTAL CONVERTIBLE BONDS (Cost $601,238) | 555,625 | |||||
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | |||||
MUNICIPAL BONDS — 10.88% | ||||||
Hillsborough County Florida Pollution, 5.65%, 5/15/2018 | $ | 1,000,000 | $ | 1,005,290 | ||
Hillsborough County Florida Pollution, 5.00%, 12/1/2034 | 1,000,000 | 990,020 | ||||
Missouri State Environment Improvement Energy (KC Power & Light Project), 5.25%, 7/1/2017 | 1,000,000 | 987,060 | ||||
Ohio State Solid Waste (Republic Services Project), 4.25%, 4/1/2033 | 400,000 | 369,148 | ||||
Pennsylvania Economic Development Series A (Waste Management, Inc. Project), 4.70%, 11/1/2021 | 600,000 | 566,160 | ||||
TOTAL MUNICIPAL BONDS (Cost $3,930,714) | 3,917,678 | |||||
U.S. GOVERNMENT AGENCIES — 0.06% | ||||||
Federal National Mtg. Association, 6.50%, 3/25/2024 | 19,678 | 20,443 | ||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $19,775) | 20,443 | |||||
U.S. TREASURY SECURITIES — 2.05% | ||||||
United States Treasury Notes, 3.375%, 11/30/2012 | 300,000 | 312,703 | ||||
United States Treasury Notes, 4.25%, 11/15/2017 | 400,000 | 426,625 | ||||
TOTAL U.S. TREASURY SECURITIES (Cost $700,932) | 739,328 | |||||
FOREIGN BONDS — 2.32% | ||||||
ENERGY — 0.58% | ||||||
OIL, GAS & CONSUMABLE FUELS — 0.58% | ||||||
OAO Gazprom, 7.25%, 2/22/2010 (RUB) | 5,000,000 | 208,437 | ||||
208,437 | ||||||
MISCELLANEOUS — 1.74% | ||||||
MISCELLANEOUS — 1.74% | ||||||
Republic of Brazil, 12.50%, 1/5/2016 (BRL) | 1,025,000 | 627,314 | ||||
627,314 | ||||||
TOTAL FOREIGN BONDS (Cost $850,624) | 835,751 | |||||
YANKEE BONDS — 6.42% | ||||||
BANKS — 3.08% | ||||||
COMMERCIAL BANKS — 3.08% | ||||||
Bank of Scotland plc, 5.625%, 7/20/2009 | 37,000 | 37,966 | ||||
DBS Bank Ltd./Singapore, 5.125%, 5/16/2017 | 200,000 | 185,696 | ||||
Glitnir Banki HF, 4.421%, 1/18/2012 | 500,000 | 378,168 | ||||
Glitnir Banki HF, 3.793%, 8/25/2009 | 175,000 | 158,674 | ||||
Islandsbanki, 4.418%, 10/15/2008 | 60,000 | 59,991 | ||||
Korea Development Bank, 5.30%, 1/17/2013 | 200,000 | 204,923 | ||||
Shinhan Bank, 6.819%, 9/20/2036 | 100,000 | 82,728 | ||||
1,108,146 | ||||||
ENERGY — 2.53% | ||||||
OIL, GAS & CONSUMABLE FUELS — 2.53% | ||||||
Petroplus Finance Ltd., 6.75%, 5/1/2014 | 1,000,000 | 912,500 | ||||
912,500 | ||||||
24 Certified Semi-Annual Report
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||||
RETAILING — 0.81% | |||||||
MULTILINE RETAIL — 0.81% | |||||||
Parkson Retail Group, 7.125%, 5/30/2012 | $ | 300,000 | $ | 292,561 | |||
292,561 | |||||||
TOTAL YANKEE BONDS (Cost $2,336,908) | 2,313,207 | ||||||
OTHER SECURITIES — 2.44% | |||||||
LOAN PARTICIPATIONS — 2.44% | |||||||
Fairpoint Communications, Inc. Loan B, 5.75%, 3/8/2015 (1) | 1,000,000 | 880,000 | |||||
TOTAL OTHER SECURITIES (Cost $880,000) | 880,000 | ||||||
SHORT TERM INVESTMENTS — 14.43% | |||||||
Citizens Property Insurance Corp. Series F, 8.00%, 7/1/2021 | 1,000,000 | 1,000,000 | |||||
General Electric Capital Corp., 2.00%, 4/1/2008 | 1,500,000 | 1,500,000 | |||||
Northern Michigan University, 8.50%, 6/1/2031 | 1,000,000 | 1,000,000 | |||||
Toyota Motor Credit, 2.10%, 4/2/2008 | 1,700,000 | 1,699,900 | |||||
TOTAL SHORT TERM INVESTMENTS (Cost $5,199,901) | 5,199,900 | ||||||
TOTAL INVESTMENTS — 101.27% (Cost $36,982,591) | $ | 36,482,154 | |||||
LIABILITIES NET OF OTHER ASSETS — (1.27)% | (457,879 | ) | |||||
NET ASSETS — 100.00% | $ | 36,024,275 | |||||
Footnote Legend
+ | Non-income producing |
(1) | Security currently fair valued by the Valuation & Pricing committee using factors approved by the Board of Trustees. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ARM | Adjustable Rate Mortgage | |
BRL | Denominated in Brazilian Dollars | |
Mtg | Mortgage | |
RUB | Denominated in Russian Rubles |
See notes to financial statements.
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EXPENSE EXAMPLE | ||
Thornburg Strategic Income Fund | March 31, 2008 (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 or all of a purchase of $1 million of Class A shares within 12 months of purchase;
(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;
(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, 2007 and held until March 31, 2008.
Actual Expenses
For each class of shares, 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 for your class of shares 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
For each class of shares, 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 9/30/07 | Ending Account Value 3/31/08 | Expenses Paid During Period† 9/30/07–3/31/08 | |||||||
Class A Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,032.38 | $ | 6.35 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,018.75 | $ | 6.31 | |||
Class C Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,029.74 | $ | 9.13 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,016.00 | $ | 9.07 | |||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,035.19 | $ | 5.04 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.05 | $ | 5.00 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.25%; C: 1.80%; I: 0.99%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares 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 | For the period from commencement of operations on | |
Thornburg Strategic Income Fund | December 19, 2007 to March 31, 2008 (Unaudited) |
TOTAL RETURNS*
For the period ended March 31, 2008 (with sales charge)
Since Inception | |||
A Shares (Incep: 12/19/07) | (2.72 | )% | |
C Shares (Incep: 12/19/07) | 0.69 | % | |
I Shares (Incep: 12/19/07) | 2.00 | % | |
Blended Index (Since: 12/19/07) | 0.67 | % | |
Lehman U.S. Universal Index (Since: 12/19/07) | 2.03 | % |
* | Not annualized |
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 performance data does 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 as well as applicable 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 I shares.
The Blended Index is comprised of 80% Lehman Brothers Aggregate Bond Index and 20% MSCI World 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 bonds included in the index. The Morgan Stanley Capital International (MSCI) World Index is an unmanaged market-weighted index that consists of over 1,200 equity securities traded in 23 of the world’s most developed countries. The index is calculated with net dividends reinvested, in U.S. dollars.
Lehman U.S. Universal Index represents the union of the U.S. Aggregate Index, U.S. Corporate High-Yield Index, Investment-Grade 144A Index, Eurodollar Index, U.S. Emerging Markets Index, and the non-ERISA eligible portion of the CMBS Index. The index covers USD-denominated, taxable bonds that are rated either investment-grade or below investment-grade.
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 27
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OTHER INFORMATION | ||
Thornburg Strategic Income Fund | March 31, 2008 (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.
No proxy voting information is currently available because the Fund commenced operations on December 19, 2007. The Fund expects to begin making annual proxy voting information available in accordance with applicable regulations commencing on or before August 31, 2008. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg web site at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s web site 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 web site at 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 web site at www.thornburg.com/download or upon request by calling 1-800-847-0200.
STATEMENT RESPECTING APPROVAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the “Advisor”) provides investment management services to Thornburg Strategic Income Fund pursuant to an investment advisory agreement. The advisory agreement for the Fund was initially approved for the Fund by the Trustees at their meeting on December 3, 2007.
In connection with their general supervision of the Advisor, the Trustees receive and consider reports throughout the year from the Advisor respecting the Advisor’s management of the investments by each of the Trust’s respective Funds. These reports include information about each Fund’s purchase and sale of portfolio investments and explanations from the Advisor respecting investment selections, the investment performance of each Fund, general appraisals of industry and economic prospects and factors, and other matters affecting each Fund and relating to the Advisor’s performance of services for each Fund.
In preparation for their initial consideration of the advisory agreement for Thornburg Strategic Income Fund, the independent Trustees met in independent session on December 2, 2007 to discuss the proposed agreement for the Fund, the Advisor’s service for other Funds of the Trust, the proposed investment objectives and policies of the Fund, and other matters pertaining to the Fund. Following this session, the Trustees met on December 3, 2007 to consider an approval of the proposed investment advisory agreement for the Fund, and the independent Trustees unanimously approved and adopted the agreement for the Fund.
The information below summarizes certain factors considered by the Trustees in connection with the determination to approve the advisory agreement. In determining to approve the advisory agreement, the Trustees did not identify any single factor as controlling, and this summary does not describe all of the matters considered by the Trustees in making their determination.
Nature, Extent and Quality of Services. In considering the nature, extent and quality of services proposed to be provided by the Advisor to the new Fund, the Trustees evaluated the principal investment objectives and strategies of the Fund and the expertise and resources of the Advisor and the staffing of the Advisor which would be available to pursue those objectives and strategies. The Trustees also considered in their evaluation the quality of the services provided by the Advisor to other Funds of the Trust, and their conclusions that the Advisor had satisfactorily pursued the other Funds’ investment objectives and that the Funds’ performance had been satisfactory in the context of those Funds’ objectives and policies and prevailing market conditions. The Trustees further considered in this regard the quality of the Advisor’s accounting, compliance and operations functions. The Trustees concluded, based upon these and other considerations, that the information presented demonstrated the sufficiency of the services proposed to be provided by the Advisor and that the Advisor was prepared to pursue the Fund’s stated objectives and to provide associated services to the Fund.
Fees and Expenses; Profitability of Advisor; Economies of Scale. The Trustees also considered the fees proposed to be charged by the Advisor to the Fund. The Trustees considered in this regard their previous evaluations of the fees charged to other Funds of the Trust and conclusions that those fee levels were reasonable in view of the nature and quality of the services provided and comparisons of those fee levels to fees charged to other mutual funds, indicating that the proposed fee level was reasonable for the services proposed to be provided to the Fund. The Trustees also considered the breakpoint fee schedule proposed for the Fund in accordance with the approach for other Funds of the Trust and the economies of scale enjoyed by other Funds of the Trust as their assets had increased, the Advisor’s proposed waivers of fees and reimbursements of expenses, and the likelihood that the Advisor would not realize a profit from its service to the Fund in the initial periods of its operation. The Trustees concluded that the advisory fee proposed to be charged to the Fund by the Advisor was fair and reasonable in view of the nature and extent of the services to be provided and the likelihood that the Advisor’s cost of providing the services to the Fund would exceed its revenues from the Fund in early periods of operations. The Trustees did not identify any unfair ancillary benefits to the Advisor from its service to the Fund.
28 Certified Semi-Annual Report
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Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
February 8, 2005, as readopted July 18, 2007
The Trustees are concerned that ongoing 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.
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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. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
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.
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 Global Opportunities Fund |
• | Thornburg International Growth Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
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Thornburg Equity Funds
Thornburg’s equity research uses a fundamental and comprehensive analytical approach. Thornburg equity funds focus on a limited number of securities so that each holding can impact 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.
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
• | Thornburg International Growth Fund |
Thornburg Bond Funds
The majority of Thornburg bond funds are laddered portfolios of 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 Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term Municipal Fund |
• | Thornburg New Mexico Intermediate Municipal Fund |
• | Thornburg New York Intermediate Municipal Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund* |
Carefully consider each fund’s investment objectives, risks, sales charges, and expenses; this information can be found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. There is no guarantee that any of these funds will meet their investment objectives.
For additional information, please visit www.thornburg.com
Thornburg Investment Management, 119 East Marcy Street, Santa Fe, NM 87501
* | This fund does not use the laddering strategy. |
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This Semi-Annual Report is 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.
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![]() | Investment Advisor:
Thornburg Investment Management® 800.847.0200 | Distributor:
Thornburg Securities Corporation® 800.847.0200 TH1663 |
Table of Contents
Table of Contents
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Thornburg Strategic Income Fund
Harvesting a Sustainable Yield
The Fund’s primary investment goal is to seek a high level of current income. The Fund’s secondary investment goal is some long-term capital appreciation.
The Fund pursues its investment goals by investing in a broad range of income producing investments from throughout the world, primarily including debt obligations and income producing stocks. The Fund expects, under normal conditions, to invest a majority of its assets in debt obligations, but the relative proportions of the Fund’s investments in debt obligations and in income producing stocks can be expected to vary over time.
2 This page is not part of the Semi-Annual Report.
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Thornburg Strategic Income Fund
I Shares – March 31, 2008
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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
The information presented on the following pages was current as of March 31, 2008. The managers’ views, portfolio holdings, and sector and country diversification are provided for the general information of the Fund’s shareholders; they are historical and subject to change. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments 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. Investments in structured finance arrangements and other types of derivatives are subject to the risks associated with the securities or other assets underlying the pool of securities including illiquidity and difficulty in valuation, and also may involve risks different or greater than the risks affecting the underlying assets. Investing outside the United States involves additional risks, such as currency fluctuations. Additionally, the Fund may invest a portion of the assets in small capitalization companies and in emerging markets which may increase the risk of greater price fluctuations. Investments in the Fund are not FDIC insured, nor are they deposits of or guaranteed by a bank or any other entity. There is no guarantee that the Fund will meet its investment objectives.
Minimum investments for Class I shares are higher than those for other classes.
Glossary
Blended Index – The blended index is comprised of 80% Lehman Brothers Aggregate Bond Index and 20% MSCI World 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 bonds included in the index. The Morgan Stanley Capital International (MSCI) World Index is an unmanaged market-weighted index that consists of over 1,200 equity securities traded in 23 of the world’s most developed countries. The index is calculated with net dividends reinvested, in U.S. dollars.
Lehman U.S. Universal Index – Represents the union of the U.S. Aggregate Index, U.S. Corporate High-Yield Index, Investment-Grade 144A Index, Eurodollar Index, U.S. Emerging Markets Index, and the non-ERISA eligible portion of the CMBS Index. The index covers USD-denominated, taxable bonds that are rated either investment-grade or below investment-grade.
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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George Strickland Co-Portfolio Manager
Jason Brady, CFA Co-Portfolio Manager |
April 5, 2008
Dear Fellow Shareholder:
We are delighted to present the first Semi-Annual Report for the Thornburg Strategic Income Fund for the period ended March 31, 2008. The net asset value of a Class I share of the Fund increased 5 cents to $11.99 since the inception date of December 19, 2007. If you were invested for the entire period, you received dividends of 18.8 cents per Class I share. Please examine the accompanying information for more details and history.
Since the inception of the Fund on December 19, 2007, we have been able to take advantage of the high level of volatility within both fixed income and equity markets. We are now well positioned to pursue the portfolio goals of a high level of current income as well as some long-term capital appreciation.
Putting income and change in price together, the Class I shares of the Thornburg Strategic Income Fund produced a total return of 2.00% since the December 19, 2007 inception. The Blended Index of 80% Lehman Aggregate Bond Index and 20% MSCI World Index produced a 0.67% total return over the same time period. The Lehman U.S. Universal Index produced a 2.03% total return over that time period. The Blended and Lehman indices reflect no deduction for fees, expenses, or taxes.
Outperformance versus the Blended Index can be largely attributed to security selection and asset class weighting. By purchasing securities with good significant risk-adjusted yields, we have been able to withstand some of the most recent turbulence in the market, especially within the equity allocation. Underperformance versus the Lehman U.S. Universal Index can be largely attributed to the presence of a significant equity allocation at a time when global equities deteriorated.
Despite the recent turbulence, our equity allocation remains a key and differentiating component of our strategy. Though global equities have fallen so far this year, there are several great reasons that we think our equity component will continue to add value to the portfolio. First, the negative correlation that often exists between interest rate sensitive securities and stocks, especially in more uncertain times, can lower the volatility of the overall portfolio significantly. Second, our equity component currently has a higher dividend yield than our bond component’s yield. While this is unlikely to be sustained for any great length of time, our stocks’ income generation is an important source of the Fund’s dividend and underlines the importance of portfolio flexibility. Last, equities won’t fall forever, and in fact, the recent downtrend continues to present opportunities for that portion of the portfolio, keeping our portfolio risk firmly in mind.
Aside from equities we are seeing dislocations in many fixed income asset classes including mortgage backed securities and even municipal bonds. Mortgages are of course subject to the effects of a declining home price environment, and defaults are |
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Letter to Shareholders | ||
Continued |
historically quite high. Even so, there are many mortgage structures with good underlying collateral that are very likely to pay even in a highly stressed environment. As a result, we believe there are good returns to be had in this sector, though the dislocations here could continue or even worsen over the short to medium term. Another example of market stress is within the municipal bond market. Munis, not typically a source of great yield (given their tax-exempt nature), in some cases are currently so unloved that they rival or surpass their taxable corporate counterparts in yield. In addition, at some point the municipal market should come to its senses (or perhaps more to the point, work off its auction rate security hangover). If this happens, these bonds could enjoy significant capital gains. Municipal bonds and highly rated mortgage backed securities are not what you would normally expect to see in a higher yielding taxable bond fund, but we believe the bonds we selected are extremely attractive right now. Their inclusion illustrates the importance of the broad mandate we have in this Fund and the ability we have to invest where we see good value.
In general, capital markets remain very challenging to navigate, and the broad mandate of the Fund means that we have many opportunities but also many potential pitfalls. As we chart a course towards our aim of a sustainably high dividend with reasonable volatility, we are constantly reminded of the importance of a diversified portfolio with good risk management. Though many assets are quite “cheap,” there is no guarantee that they will not, over the course of our holding period, get “cheaper” by declining in value further. As a result, though opportunity abounds, we have tried very hard to balance the need of a high dividend stream with the goal of lower volatility. We hope you are pleased with your investment in the Fund thus far.
Regards,
![]() | ![]() | |
George Strickland | Jason Brady, CFA | |
Managing Director | Managing Director | |
Co-Portfolio Manager | Co-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 Strategic Income Fund | March 31, 2008 (Unaudited) |
ASSETS | ||||
Investments at value (cost $36,982,591) (Note 2) | $ | 36,482,154 | ||
Cash | 415,734 | |||
Receivable for fund shares sold | 615,667 | |||
Dividends receivable | 81,883 | |||
Interest receivable | 297,943 | |||
Prepaid expenses and other assets | 40,669 | |||
Total Assets | 37,934,050 | |||
LIABILITIES | ||||
Payable for securities purchased | 1,822,464 | |||
Payable for fund shares redeemed | 30,181 | |||
Unrealized loss on forward exchange contracts (Note 7) | 13,810 | |||
Payable to investment advisor and other affiliates (Note 3) | 15,561 | |||
Dividends payable | 27,759 | |||
Total Liabilities | 1,909,775 | |||
NET ASSETS | $ | 36,024,275 | ||
NET ASSETS CONSIST OF: | ||||
Undistributed net investment income | $ | 68,152 | ||
Net unrealized depreciation on investments | (511,564 | ) | ||
Accumulated net realized gain (loss) | 26,840 | |||
Net capital paid in on shares of beneficial interest | 36,440,847 | |||
$ | 36,024,275 | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($13,656,930 applicable to 1,139,768 shares of beneficial interest outstanding – Note 4) | $ | 11.98 | ||
Maximum sales charge, 4.50% of offering price | 0.56 | |||
Maximum offering price per share | $ | 12.54 | ||
Class C Shares: |
| |||
Net asset value and offering price per share * ($8,667,488 applicable to 723,300 shares of beneficial interest outstanding – Note 4) | $ | 11.98 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($13,699,857 applicable to 1,142,159 shares of beneficial interest outstanding – Note 4) | $ | 11.99 | ||
* | 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 | For the period from commencement of operations on | |
Thornburg Strategic Income Fund | December 19, 2007 to March 31, 2008 (Unaudited) |
INVESTMENT INCOME: | ||||
Dividend income (net of foreign taxes withheld of $272) | $ | 148,455 | ||
Interest income (net of premium amortized of $2,028) | 343,040 | |||
Total Income | 491,495 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 45,123 | |||
Administration fees (Note 3) | ||||
Class A Shares | 2,889 | |||
Class C Shares | 1,361 | |||
Class I Shares | 1,308 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 6,162 | |||
Class C Shares | 11,369 | |||
Transfer agent fees | ||||
Class A Shares | 1,340 | |||
Class C Shares | 1,160 | |||
Class I Shares | 1,160 | |||
Registration and filing fees | ||||
Class A Shares | 7,559 | |||
Class C Shares | 7,559 | |||
Class I Shares | 7,655 | |||
Custodian fees (Note 3) | 12,874 | |||
Professional fees | 8,444 | |||
Accounting fees | 104 | |||
Trustee fees | 52 | |||
Other expenses | 6,312 | |||
Total Expenses | 122,431 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (32,486 | ) | ||
Management fees waived by investment advisor (Note 3) | (13,079 | ) | ||
Fees paid indirectly (Note 3) | (2,474 | ) | ||
Net Expenses | 74,392 | |||
Net Investment Income | $ | 417,103 | ||
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STATEMENT OF OPERATIONS, CONTINUED | For the period from commencement of operations on | |
Thornburg Strategic Income Fund | December 19, 2007 to March 31, 2008 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments sold | $ | 28,213 | ||
Foreign currency transactions | (1,373 | ) | ||
26,840 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (496,557 | ) | ||
Foreign currency translations | (15,007 | ) | ||
(511,564 | ) | |||
Net Realized and Unrealized Loss | (484,724 | ) | ||
Net Decrease in Net Assets Resulting From Operations | $ | (67,621 | ) | |
See notes to financial statements.
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STATEMENT OF CHANGES IN NET ASSETS | ||
Thornburg Strategic Income Fund |
For the period from commencement of operations on December 19, 2007 to March 31, 2008* | ||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||
OPERATIONS: | ||||
Net investment income | $ | 417,103 | ||
Net realized gain on investments and foreign currency transactions | 26,840 | |||
Increase (Decrease) in unrealized appreciation (depreciation) on investments and foreign currency translations | (511,564 | ) | ||
Net Increase (Decrease) in Net Assets Resulting from Operations | (67,621 | ) | ||
DIVIDENDS TO SHAREHOLDERS: | ||||
From net investment income | ||||
Class A Shares | (133,665 | ) | ||
Class C Shares | (59,473 | ) | ||
Class I Shares | (155,813 | ) | ||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||
Class A Shares | 13,811,892 | |||
Class C Shares | 8,788,071 | |||
Class I Shares | 13,840,884 | |||
Net Increase in Net Assets | 36,024,275 | |||
NET ASSETS: | ||||
Beginning of period | — | |||
End of period | $ | 36,024,275 | ||
Undistributed net investment income | $ | 68,152 |
* | Unaudited. |
See notes to financial statements.
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Thornburg Strategic Income Fund | March 31, 2008 (Unaudited) |
NOTE 1 – ORGANIZATION
Thornburg Strategic Income Fund, hereinafter referred to as the “Fund,” is a diversified series of Thornburg Investment Trust (the “Trust”). The Fund commenced operations on December 19, 2007. 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 thirteen 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 New York Intermediate Municipal Fund, Thornburg Core Growth Fund, Thornburg Investment Income Builder Fund, Thornburg Global Opportunities Fund, and Thornburg International 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’s primary investment goal is to seek a high level of current income. The Fund’s secondary investment goal is some long-term capital appreciation.
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 may have different reinvestment privileges and conversion rights. 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 Securities: Debt obligations held by the Fund have a primary market over the counter and are valued by an independent pricing service approved by the Trustees of the Trust. The pricing service ordinarily values debt obligations at quoted bid prices. When quotations are not available, debt obligations are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt obligations of comparable quality, type of issue, coupon, maturity, and rating, indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
Equity securities held by the Fund which are listed or traded on a national securities exchange are valued at the last reported sale price on the exchange that is the primary market for the security. Equity securities traded on an exchange for which there has been no sale that day and other equity securities traded in the over-the-counter market are valued at the mean between the last reported bid and asked prices. Equity securities reported by NASDAQ are valued at the NASDAQ official closing price. Any foreign equity security traded on exchanges outside the United States is valued at the price of the security on the exchange that is normally the security’s primary market, as of the close of that exchange preceding the time of the Fund’s valuation. Quotations for foreign debt and equity securities in foreign currencies are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
In any case where a pricing service fails to provide a price for a debt obligation held by the Fund, or where the market value of an equity security held by the Fund is not readily available, the Trust’s valuation and pricing committee determines a fair value for the security using factors approved by the Trustees. Additionally, in any case where the Fund’s management believes that a price provided by a pricing service for a debt obligation held by the Fund may be unreliable, the Trust’s valuation and pricing committee decides whether or not to use the pricing service’s valuation or to determine a fair value for the debt obligation. A debt obligation’s market value may be deemed unreliable by the Fund’s management if management believes that the price is stale, does not reflect material factors affecting the issuer of the security, or is significantly different than the price the Fund is likely to obtain if it sought a bid for the security. Fair value is an amount an owner of the security might reasonably expect to receive upon a sale of the security. A fair value is an estimated price and may vary from the prices obtained by other persons (including other mutual funds) in determining fair value.
An equity security’s market value is deemed not readily available whenever the exchange or market on which the security is primarily traded is not open for the entire scheduled day of trading. Additionally, an equity security’s market value may be deemed not readily available under other circumstances identified by the Trustees, including when serious questions about the reliability of the security’s market value are created by developments occurring after the most recent close of the security’s primary exchange or market, but before the next close of business for the Fund, or by an unusual event or significant period of time occurring since the availability of a market quotation for the security. Such events may include the merger or insolvency of an issuer, announcements respecting the prospects for a specific issuer or an industry, natural disasters, and political or social disruptions. In particular, prices for securities traded on a
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2008 (Unaudited) |
foreign exchange could become stale in some instances because of such events occurring after the close of that exchange.
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 amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books, and the U.S. dollar equivalent of the amounts actually received or paid.
Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.
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 Fund’s 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 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 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 liabilities 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, 2008, these fees were payable at annual rates ranging from .75 of 1% to .50 of 1% per annum of the average daily net assets of the Fund depending on the Fund’s asset size.
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2008 (Unaudited) |
For the period ended March 31, 2008, the Advisor voluntarily waived investment advisory fees of $13,079. The Trust also has entered into administrative services agreements 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, 2008, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $10,645 for Class A shares, $11,718 for Class C shares, and $10,123 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’s shares. For the period ended March 31, 2008, the Distributor has advised the Fund that it earned commissions aggregating $13,867 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $4,612 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 and distribution 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 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 the Distributor for each class of shares of the Fund under their respective Service and Distribution Plans for the period ended March 31, 2008, 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, 2008, fees paid indirectly were $2,474. This figure may include additional fees waived by the custodian.
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, 2008, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Period Ended March 31, 2008* | |||||||
Shares | Amount | ||||||
Class A Shares | |||||||
Shares sold | 1,172,763 | $ | 14,208,338 | ||||
Shares issued to shareholders in reinvestment of dividends | 8,948 | 107,127 | |||||
Shares repurchased | (41,943 | ) | (503,573 | ) | |||
Net Increase (Decrease) | 1,139,768 | $ | 13,811,892 | ||||
Class C Shares | |||||||
Shares sold | 768,733 | $ | 9,332,661 | ||||
Shares issued to shareholders in reinvestment of dividends | 2,936 | 35,157 | |||||
Shares repurchased | (48,369 | ) | (579,747 | ) | |||
Net Increase (Decrease) | 723,300 | $ | 8,788,071 | ||||
Class I Shares | |||||||
Shares sold | 1,151,086 | $ | 13,949,010 | ||||
Shares issued to shareholders in reinvestment of dividends | 8,316 | 99,664 | |||||
Shares repurchased | (17,243 | ) | (207,790 | ) | |||
Net Increase (Decrease) | 1,142,159 | $ | 13,840,884 | ||||
* | The Fund commenced operations on December 19, 2007. |
NOTE 5 – SECURITIES TRANSACTIONS
For the period ended March 31, 2008, the Fund had purchase and sale transactions of investment securities (excluding short-term investments and U. S. Government obligations) of $31,707,795 and $650,229, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2008, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 36,982,591 | ||
Gross unrealized appreciation on a tax basis | $ | 412,828 | ||
Gross unrealized depreciation on a tax basis | (913,265 | ) | ||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | (500,437 | ) | |
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2008 (Unaudited) |
NOTE 7 – FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
During the period ended March 31, 2008, 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 securities 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 securities 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. There are special risks associated with international investing, including currency fluctuations, economic and political instability, confiscation, inability or delays in selling foreign investments, and reduced legal protection for investments.
CONTRACTS TO SELL: | ||||||
Contracts | Contract | Unrealized Gain (Loss) | ||||
114,817 Greater British Pound for 223,039 USD | July 15, 2008 | $ | (2,923 | ) | ||
135,700 Greater British Pound for 261,575 USD | July 15, 2008 | (5,483 | ) | |||
183,000 Greater British Pound for 355,185 USD | July 15, 2008 | (4,961 | ) | |||
Net unrealized loss from forward Sell contracts: | $ | (13,367 | ) | |||
CONTRACTS TO BUY: | ||||||
Contracts | Contract Value Date | Unrealized Gain (Loss) | ||||
20,000 Greater British Pound for 39,803 USD | July 15, 2008 | $ | (443 | ) | ||
Net unrealized loss from forward Buy contracts: | $ | (443 | ) | |||
Net unrealized gain (loss) from forward Exchange contracts: | $ | (13,810 | ) | |||
OTHER NOTES:
FASB Interpretation No. 48:
On July 13, 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation prescribes a model for how a company, including the Fund, should recognize, measure, present and disclose in its financial statements uncertain tax positions that the company has taken or expects to take on income tax returns, and also revises certain disclosure requirements. The Interpretation became effective for the Fund for the financial statement reporting period ended March 31, 2008. As of the date of this report, management of the Fund has not identified any material effect on the Fund’s financial statements resulting from the implementation of FIN 48.
Statement of Accounting Standards No. 161:
In March 2008, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”). FAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. FAS 161 requires enhanced disclosures about any derivative and hedging activities by the Fund, including how such activities are accounted for and any effect on the Fund’s financial position, performance and cash flows. Management is evaluating the impact, if any, that the adoption of FAS 161 will have on the Fund’s financial statements and related disclosures.
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NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2008 (Unaudited) |
Statement of Accounting Standards No. 157:
On September 15, 2006, the Financial Accounting Standards Board issued Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles, and expands the required disclosures about fair value measurements in financial statements. FAS 157 is effective for the Fund’s current fiscal period.
Various inputs may be used in determining the value of the Fund’s investments. These inputs are summarized in three broad levels as follows: (i) Level 1 inputs, which include quoted prices in active markets for identical securities; (ii) Level 2 inputs, which include other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and (iii) Level 3 inputs, which include significant unobservable inputs (including the Fund’s own assumptions used to determine the fair value of its investments). The inputs or methodologies used for valuing the Fund’s investments are not necessarily an indication of the risk associated with those investments.
The following table displays a summary of the level of inputs used to value the Fund’s investments as of March 31, 2008:
Valuation Inputs | Investments in Securities | Investments in Other Financial Instruments* | |||||
Level 1 – Quoted Prices in Active Markets for Identical Assets | $ | 5,756,776 | $ | (13,810 | ) | ||
Level 2 – Significant Other Observable Inputs | 30,725,378 | — | |||||
Level 3 – Significant Unobservable Inputs | — | — | |||||
Total | $ | 36,482,154 | $ | (13,810 | ) | ||
* | Other financial instruments include investments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation/depreciation on the instrument. |
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FINANCIAL HIGHLIGHTS | ||
Thornburg Strategic Income Fund |
Period Ended March 31, 2008(a)* | ||||
Class I Shares: | ||||
PER SHARE PERFORMANCE | ||||
(for a share outstanding throughout the period)+ | ||||
Net asset value, beginning of period | $ | 11.94 | ||
Income from investment operations: | ||||
Net investment income (loss) | 0.24 | |||
Net realized and unrealized gain (loss) on investments | — | |||
Total from investment operations | 0.24 | |||
Less dividends from: | ||||
Net investment income | (0.19 | ) | ||
Change in net asset value | 0.05 | |||
NET ASSET VALUE, end of period | $ | 11.99 | ||
RATIOS/SUPPLEMENTAL DATA | ||||
Total return (%)(b) | 2.00 | |||
Ratios to average net assets: | ||||
Net investment income (loss) (%) | 7.16 | (c) | ||
Expenses, after expense reductions (%) | 1.03 | (c) | ||
Expenses, after expense reductions and net of custody credits (%) | 0.99 | (c) | ||
Expenses, before expense reductions (%) | 1.63 | (c) | ||
Portfolio turnover rate (%) | 3.24 | |||
Net assets at end of period (thousands) | $ | 13,700 |
(a) | Fund commenced operations on December 19, 2007. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized. |
+ | Based on weighted average shares outstanding. |
* | Unaudited. |
See notes to the financial statements.
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SCHEDULE OF INVESTMENTS | ||
Thornburg Strategic Income Fund | March 31, 2008 (Unaudited) |
NASDAQ SYMBOLS: CLASS A– TSIAX, CLASS C – TSICX, CLASS I – TSIIX
CUSIPS: CLASS A – 885-215-228, CLASS C – 885-215-210, CLASS I – 885-215-194
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/08
Energy | 10.5 | % | |
Banks | 9.5 | % | |
Telecommunication Services | 7.4 | % | |
Utilities | 6.9 | % | |
Diversified Financials | 3.8 | % | |
Pharmaceuticals, Biotechnology & Life Sciences | 2.8 | % | |
Software & Services | 2.8 | % | |
Media | 2.3 | % | |
Retailing | 1.7 | % | |
Consumer Services | 1.6 | % | |
Transportation | 1.6 | % | |
Materials | 1.5 | % | |
Food & Staples Retailing | 1.2 | % | |
Health Care Equipment & Services | 1.1 | % | |
Food, Beverage & Tobacco | 1.1 | % | |
Other Non-Classified Securities: | |||
Asset Backed Securities | 13.8 | % | |
Municipal Bonds | 10.9 | % | |
Other Securities | 2.4 | % | |
U.S. Treasury Securities | 2.1 | % | |
Foreign Bonds | 1.7 | % | |
U.S. Government Agencies | 0.1 | % | |
Other Assets & Cash Equivalents | 13.2 | % |
SUMMARY OF COUNTRY EXPOSURE
As of 3/31/08
United States of America | 68.7 | % | |
United Kingdom | 2.7 | % | |
Bermuda | 2.5 | % | |
Italy | 2.4 | % | |
Brazil | 1.7 | % | |
Australia | 1.5 | % | |
Israel | 1.5 | % | |
Greece | 0.8 | % | |
China | 0.8 | % | |
Korea | 0.8 | % | |
Malaysia | 0.8 | % | |
Hong Kong | 0.8 | % | |
Turkey | 0.7 | % | |
Russia | 0.6 | % | |
Singapore | 0.5 | % | |
Other Assets & Cash Equivalents | 13.2 | % |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||
COMMON STOCK — 13.93% | |||||
BANKS — 3.41% | |||||
COMMERCIAL BANKS — 3.41% | |||||
Barclays plc | 33,600 | $ | 302,080 | ||
Intesa Sanpaolo | 43,400 | 305,931 | |||
Lloyds TSB Group plc | 69,100 | 618,499 | |||
1,226,510 | |||||
CONSUMER SERVICES — 1.61% | |||||
HOTELS, RESTAURANTS & LEISURE — 1.61% | |||||
Berjaya Sports Toto Berhad | 176,700 | 284,510 | |||
OPAP SA | 8,300 | 295,879 | |||
580,389 | |||||
DIVERSIFIED FINANCIALS — 2.57% | |||||
DIVERSIFIED FINANCIAL SERVICES — 2.57% | |||||
KKR Financial Holdings LLC | 73,000 | 924,180 | |||
924,180 | |||||
ENERGY — 0.74% | |||||
OIL, GAS & CONSUMABLE FUELS — 0.74% | |||||
Tupras-Turkiye Petrol Rafinerileri A.S. | 12,100 | 267,518 | |||
267,518 | |||||
FOOD, BEVERAGE & TOBACCO — 0.80% | |||||
FOOD PRODUCTS — 0.46% | |||||
Reddy Ice Holdings, Inc. | 12,600 | 164,178 | |||
TOBACCO — 0.34% | |||||
Altria Group, Inc. | 1,700 | 37,740 | |||
Philip Morris+ | 1,700 | 85,986 | |||
287,904 | |||||
TELECOMMUNICATION SERVICES — 1.54% | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 1.54% | |||||
Telstra Corp. Ltd. | 15,700 | 63,132 | |||
Telstra Corp. Ltd. Installment Receipts | 190,939 | 490,343 | |||
553,475 | |||||
TRANSPORTATION — 0.76% | |||||
TRANSPORTATION INFRASTRUCTURE — 0.76% | |||||
Hopewell Highway Infrastructure Ltd. | 359,000 | 275,386 | |||
275,386 | |||||
UTILITIES — 2.50% | |||||
ELECTRIC UTILITIES — 1.54% | |||||
Enel S.p.A. | 52,200 | 553,800 | |||
MULTI-UTILITIES — 0.96% | |||||
Consolidated Edison, Inc. | 1,300 | 51,610 | |||
Energy East Corp. | 12,300 | 296,676 | |||
902,086 | |||||
TOTAL COMMON STOCK (COST $5,376,595) | 5,017,448 | ||||
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | |||||
ASSET BACKED SECURITIES — 13.76% | ||||||
BANKS — 2.07% | ||||||
COMMERCIAL BANKS — 2.07% | ||||||
CW Capital Colbalt Series 2007-C2 Class A1, 5.064%, 9/15/2011 | $ | 30,175 | $ | 29,642 | ||
Greenwich Capital Commercial Funding Corp. Series 2007-GG9 Class A1, 5.233%, 3/10/2039 | 30,984 | 30,673 | ||||
Wachovia Bank Commercial Mtg. Trust Series 2007-C30 Class A1, 5.031%, 12/15/2043 | 30,733 | 30,343 | ||||
Wachovia Bank Commercial Mtg. Trust Series 2007-C31 Class A1, 5.14%, 4/15/2047 | 21,571 | 21,344 | ||||
Wells Fargo Asset Securities Corp. Series 2005-AR1 Class B1, 4.546%, 2/25/2035 | 399,704 | 318,418 | ||||
Wells Fargo Asset Securities Corp. Series 2005-AR2 Class B1, 4.684%, 3/25/2035 | 396,929 | 313,829 | ||||
744,249 | ||||||
DIVERSIFIED FINANCIALS — 11.69% | ||||||
CAPITAL MARKETS — 5.64% | ||||||
Bear Stearns ARM Mtg. Series 2003-6 Class 2B-1, 4.828%, 8/25/2033 | 1,376,714 | 1,207,637 | ||||
Bear Stearns Commercial Mtg. Securities Series 2007-PW15 Class A1, 5.016%, 2/11/2044 | 4,529 | 4,449 | ||||
Bear Stearns Commercial Mtg. Securities Series 2007-T26 Class A1, 5.145%, 1/12/2045 | 70,118 | 69,015 | ||||
Bear Stearns Commercial Mtg. Securities Series 2007-T28 Class A1, 5.422%, 9/11/2042 | 29,184 | 28,781 | ||||
Commercial Mtg. Series 2006-C8 Class A1, 5.108%, 12/10/2046 | 45,472 | 45,188 | ||||
Credit Suisse Mtg. Capital Certificates Series 2007-C1 Class A1, 5.227%, 2/15/2040 | 25,575 | 25,389 | ||||
Credit Suisse Mtg. Capital Certificates Series 2007-C2 Class A1, 5.269%, 1/15/2049 | 17,544 | 17,409 | ||||
Credit Suisse Mtg. Capital Certificates Series 2007-C3 Class A1, 5.664%, 6/15/2039 | 22,689 | 22,665 | ||||
GS Mtg. Securities Corp. II Series 2007-GG10 Class A1, 5.69%, 8/10/2045 | 34,377 | 34,012 | ||||
LB-UBS Commercial Mtg. Trust Series 2007-C1 Class A1, 5.391%, 2/15/2040 | 20,775 | 20,687 | ||||
LB-UBS Commercial Mtg. Trust Series 2007-C2 Class A1, 5.226%, 2/17/2040 | 18,089 | 17,947 | ||||
Merrill Lynch Mtg. Investors Trust, 4.229%, 8/25/2034 | 397,511 | 325,237 | ||||
Merrill Lynch/Countrywide Commercial Mtg. Trust Series 2007-5 Class A1, 4.275%, 8/12/2048 | 17,117 | 16,698 | ||||
Merrill Lynch/Countrywide Commercial Mtg. Trust Series 2007-6 Class A1, 5.175%, 3/12/2051 | 21,252 | 21,057 | ||||
Morgan Stanley Capital I Series 2007-HQ11 Class A1, 5.246%, 2/20/2044 | 34,411 | 34,055 | ||||
Morgan Stanley Capital I Series 2007-IQ13 Class A1, 5.05%, 3/15/2044 | 31,607 | 30,985 | ||||
Morgan Stanley Capital I Series 2007-IQ14 Class A1, 5.38%, 4/15/2049 | 63,567 | 62,761 | ||||
Morgan Stanley Capital I Series 2007-T25 Class A1, 5.391%, 11/12/2049 | 49,049 | 48,511 | ||||
DIVERSIFIED FINANCIAL SERVICES — 6.05% | ||||||
Banc of America Commerical Mtg., Inc. Series 2007-2 Class A1, 5.421%, 1/10/2012 | 36,401 | 36,074 | ||||
Banc of America Funding Corp. Series 2006-I Class SB1, 4.735%, 12/20/2036 | 995,202 | 816,065 | ||||
Banc of America Mtg. Services Series 2005-A Class B1, 4.88%, 2/25/2035 | 978,361 | 810,631 | ||||
Citigroup Commercial Mtg. Trust Series 2004-HYB2 Class B1, 5.157%, 3/25/2034 | 360,517 | 311,944 | ||||
Citigroup Commercial Mtg. Trust Series 2007-C6 Class A1, 5.622%, 4/10/2012 | 87,567 | 86,816 | ||||
Citigroup/Deutsche Bank Commercial Mtg. Series 2007-CD4 Class A1, 4.977%, 12/11/2049 | 54,087 | 53,174 | ||||
JPMorgan Chase Commercial Mtg. Securities Corp. Series 2006-LDP9 Class A1, 5.17%, 5/15/2047 | 45,447 | 45,049 | ||||
JPMorgan Chase Commercial Mtg. Securities Corp. Series 2007-LDPX Class A1, 5.122%, 1/15/2049 | 21,204 | 20,968 | ||||
4,213,204 | ||||||
TOTAL ASSET BACKED SECURITIES (COST $4,983,780) | 4,957,453 | |||||
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | |||||
CORPORATE BONDS — 33.44% | ||||||
BANKS — 3.09% | ||||||
COMMERCIAL BANKS — 2.84% | ||||||
Suntrust Bank, 7.25%, 3/15/2018 | $ | 1,000,000 | $ | 1,022,677 | ||
THRIFTS & MORTGAGE FINANCE — 0.25% | ||||||
Sovereign Bank, 5.125%, 3/15/2013 | 100,000 | 90,831 | ||||
1,113,508 | ||||||
DIVERSIFIED FINANCIALS — 1.26% | ||||||
CAPITAL MARKETS — 0.81% | ||||||
Goldman Sachs Group, Inc., 5.625%, 1/15/2017 | 100,000 | 95,933 | ||||
Lehman Brothers Holdings, Inc., 5.625%, 1/24/2013 | 200,000 | 194,473 | ||||
CONSUMER FINANCE — 0.45% | ||||||
SLM Corp., 4.50%, 7/26/2010 | 200,000 | 164,104 | ||||
454,510 | ||||||
ENERGY — 6.72% | ||||||
ENERGY EQUIPMENT & SERVICES — 1.56% | ||||||
Calfrac Holdings LP, 7.75%, 2/15/2015 | 600,000 | 561,000 | ||||
OIL, GAS & CONSUMABLE FUELS — 5.16% | ||||||
Chesapeake Energy Corp., 7.00%, 8/15/2014 | 700,000 | 701,750 | ||||
El Paso Corp., 7.75%, 6/15/2010 | 55,000 | 57,313 | ||||
Enterprise Products Operating LP, 7.034%, 1/15/2068 | 100,000 | 84,887 | ||||
Petroleum Development Corp., 12.00%, 2/15/2018 | 500,000 | 500,000 | ||||
Southwestern Energy Co., 7.50%, 2/1/2018 | 500,000 | 517,500 | ||||
2,422,450 | ||||||
FOOD & STAPLES RETAILING — 1.25% | ||||||
FOOD & STAPLES RETAILING — 1.25% | ||||||
Rite Aid Corp., 7.50%, 3/1/2017 | 500,000 | 450,000 | ||||
450,000 | ||||||
FOOD, BEVERAGE & TOBACCO — 0.29% | ||||||
BEVERAGES — 0.29% | ||||||
Constellation Brands, Inc., 8.375%, 12/15/2014 | 100,000 | 103,000 | ||||
103,000 | ||||||
HEALTH CARE EQUIPMENT & SERVICES — 1.11% | ||||||
HEALTH CARE PROVIDERS & SERVICES — 1.11% | ||||||
Alliance Imaging, Inc., 7.25%, 12/15/2012 | 250,000 | 235,000 | ||||
Alliance Imaging, Inc., 7.25%, 12/15/2012 | 175,000 | 164,500 | ||||
399,500 | ||||||
MATERIALS — 1.46% | ||||||
METALS & MINING — 1.46% | ||||||
Freeport-McMoRan Copper & Gold Inc., 8.25%, 4/1/2015 | 500,000 | 527,500 | ||||
527,500 | ||||||
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | |||||
MEDIA — 2.33% | ||||||
MEDIA — 2.33% | ||||||
DIRECTV Holdings, 6.375%, 6/15/2015 | $ | 900,000 | $ | 839,250 | ||
839,250 | ||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 2.81% | ||||||
BIOTECHNOLOGY — 2.81% | ||||||
Biogen Idec, Inc., 6.00%, 3/1/2013 | 1,000,000 | 1,011,792 | ||||
1,011,792 | ||||||
RETAILING — 0.85% | ||||||
MULTILINE RETAIL — 0.85% | ||||||
Target Corp., 6.00%, 1/15/2018 | 300,000 | 307,101 | ||||
307,101 | ||||||
SOFTWARE & SERVICES — 2.79% | ||||||
IT SERVICES — 2.79% | ||||||
Computer Sciences Corp., 5.50%, 3/15/2013 | 1,000,000 | 1,003,356 | ||||
1,003,356 | ||||||
TELECOMMUNICATION SERVICES — 4.32% | ||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 4.32% | ||||||
Level 3 Financing, Inc., 9.25%, 11/1/2014 | 700,000 | 572,250 | ||||
Windstream Corp., 8.125%, 8/1/2013 | 1,000,000 | 982,500 | ||||
1,554,750 | ||||||
TRANSPORTATION — 0.79% | ||||||
ROAD & RAIL — 0.79% | ||||||
Hertz Corp., 8.875%, 1/1/2014 | 300,000 | 284,250 | ||||
284,250 | ||||||
UTILITIES — 4.37% | ||||||
ELECTRIC UTILITIES — 4.14% | ||||||
PPL Energy Supply LLC, 6.50%, 5/1/2018 | 1,000,000 | 994,104 | ||||
Reliant Energy, Inc., 7.625%, 6/15/2014 | 500,000 | 496,250 | ||||
GAS UTILITIES — 0.23% | ||||||
Southern Union Co., 7.20%, 11/1/2066 | 100,000 | 84,000 | ||||
1,574,354 | ||||||
TOTAL CORPORATE BONDS (Cost $12,102,124) | 12,045,321 | |||||
CONVERTIBLE BONDS — 1.54% | ||||||
TELECOMMUNICATION SERVICES — 1.54% | ||||||
WIRELESS TELECOMMUNICATION SERVICES — 1.54% | ||||||
NII Holdings, Inc., 3.125%, 6/15/2012 | 700,000 | 555,625 | ||||
TOTAL CONVERTIBLE BONDS (Cost $601,238) | 555,625 | |||||
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | |||||
MUNICIPAL BONDS — 10.88% | ||||||
Hillsborough County Florida Pollution, 5.65%, 5/15/2018 | $ | 1,000,000 | $ | 1,005,290 | ||
Hillsborough County Florida Pollution, 5.00%, 12/1/2034 | 1,000,000 | 990,020 | ||||
Missouri State Environment Improvement Energy (KC Power & Light Project), 5.25%, 7/1/2017 | 1,000,000 | 987,060 | ||||
Ohio State Solid Waste (Republic Services Project), 4.25%, 4/1/2033 | 400,000 | 369,148 | ||||
Pennsylvania Economic Development Series A (Waste Management, Inc. Project), 4.70%, 11/1/2021 | 600,000 | 566,160 | ||||
TOTAL MUNICIPAL BONDS (Cost $3,930,714) | 3,917,678 | |||||
U.S. GOVERNMENT AGENCIES — 0.06% | ||||||
Federal National Mtg. Association, 6.50%, 3/25/2024 | 19,678 | 20,443 | ||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $19,775) | 20,443 | |||||
U.S. TREASURY SECURITIES — 2.05% | ||||||
United States Treasury Notes, 3.375%, 11/30/2012 | 300,000 | 312,703 | ||||
United States Treasury Notes, 4.25%, 11/15/2017 | 400,000 | 426,625 | ||||
TOTAL U.S. TREASURY SECURITIES (Cost $700,932) | 739,328 | |||||
FOREIGN BONDS — 2.32% | ||||||
ENERGY — 0.58% | ||||||
OIL, GAS & CONSUMABLE FUELS — 0.58% | ||||||
OAO Gazprom, 7.25%, 2/22/2010 (RUB) | 5,000,000 | 208,437 | ||||
208,437 | ||||||
MISCELLANEOUS — 1.74% | ||||||
MISCELLANEOUS — 1.74% | ||||||
Republic of Brazil, 12.50%, 1/5/2016 (BRL) | 1,025,000 | 627,314 | ||||
627,314 | ||||||
TOTAL FOREIGN BONDS (Cost $850,624) | 835,751 | |||||
YANKEE BONDS — 6.42% | ||||||
BANKS — 3.08% | ||||||
COMMERCIAL BANKS — 3.08% | ||||||
Bank of Scotland plc, 5.625%, 7/20/2009 | 37,000 | 37,966 | ||||
DBS Bank Ltd./Singapore, 5.125%, 5/16/2017 | 200,000 | 185,696 | ||||
Glitnir Banki HF, 4.421%, 1/18/2012 | 500,000 | 378,168 | ||||
Glitnir Banki HF, 3.793%, 8/25/2009 | 175,000 | 158,674 | ||||
Islandsbanki, 4.418%, 10/15/2008 | 60,000 | 59,991 | ||||
Korea Development Bank, 5.30%, 1/17/2013 | 200,000 | 204,923 | ||||
Shinhan Bank, 6.819%, 9/20/2036 | 100,000 | 82,728 | ||||
1,108,146 | ||||||
ENERGY — 2.53% | ||||||
OIL, GAS & CONSUMABLE FUELS — 2.53% | ||||||
Petroplus Finance Ltd., 6.75%, 5/1/2014 | 1,000,000 | 912,500 | ||||
912,500 | ||||||
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2008 (Unaudited) |
Shares/ Principal Amount | Value | ||||||
RETAILING — 0.81% | |||||||
MULTILINE RETAIL — 0.81% | |||||||
Parkson Retail Group, 7.125%, 5/30/2012 | $ | 300,000 | $ | 292,561 | |||
292,561 | |||||||
TOTAL YANKEE BONDS (Cost $2,336,908) | 2,313,207 | ||||||
OTHER SECURITIES — 2.44% | |||||||
LOAN PARTICIPATIONS — 2.44% | |||||||
Fairpoint Communications, Inc. Loan B, 5.75%, 3/8/2015 (1) | 1,000,000 | 880,000 | |||||
TOTAL OTHER SECURITIES (Cost $880,000) | 880,000 | ||||||
SHORT TERM INVESTMENTS — 14.43% | |||||||
Citizens Property Insurance Corp. Series F, 8.00%, 7/1/2021 | 1,000,000 | 1,000,000 | |||||
General Electric Capital Corp., 2.00%, 4/1/2008 | 1,500,000 | 1,500,000 | |||||
Northern Michigan University, 8.50%, 6/1/2031 | 1,000,000 | 1,000,000 | |||||
Toyota Motor Credit, 2.10%, 4/2/2008 | 1,700,000 | 1,699,900 | |||||
TOTAL SHORT TERM INVESTMENTS (Cost $5,199,901) | 5,199,900 | ||||||
TOTAL INVESTMENTS — 101.27% (Cost $36,982,591) | $ | 36,482,154 | |||||
LIABILITIES NET OF OTHER ASSETS — (1.27)% | (457,879 | ) | |||||
NET ASSETS — 100.00% | $ | 36,024,275 | |||||
Footnote Legend
+ Non-income producing
(1) | Security currently fair valued by the Valuation & Pricing committee using factors approved by the Board of Trustees. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ARM | Adjustable Rate Mortgage | |
BRL | Denominated in Brazilian Dollars | |
Mtg | Mortgage | |
RUB | Denominated in Russian Rubles |
See notes to financial statements.
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EXPENSE EXAMPLE | ||
Thornburg Strategic Income Fund | March 31, 2008 (Unaudited) |
As a shareholder of the Fund, you incur ongoing costs, including management and administration fees and other Fund expenses.
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds 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, 2007 and held until March 31, 2008.
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 9/30/07 | Ending Account Value 3/31/08 | Expenses Paid During Period† 9/30/07–3/31/08 | |||||||
Class I Shares | |||||||||
Actual | $ | 1,000.00 | $ | 1,035.19 | $ | 5.04 | |||
Hypothetical* | $ | 1,000.00 | $ | 1,020.05 | $ | 5.00 |
† | Expenses are equal to the annualized expense ratio for Class I shares (0.99%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
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INDEX COMPARISON | For the period from commencement of operations on | |
Thornburg Strategic Income Fund | December 19, 2007 to March 31, 2008 (Unaudited) |
TOTAL RETURNS*
For the period ended March 31, 2008
Since Inception | |||
I Shares (Incep: 12/19/07) | 2.00 | % | |
Blended Index (Since: 12/19/07) | 0.67 | % | |
Lehman U.S. Universal Index (Since: 12/19/07) | 2.03 | % |
* | Not annualized |
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 performance data does 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 as well as applicable sales charges. There is no up-front sales charge for Class I shares.
The Blended Index is comprised of 80% Lehman Brothers Aggregate Bond Index and 20% MSCI World 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. The Morgan Stanley Capital International (MSCI) World Index is an unmanaged market-weighted index that consists of over 1,200 equity securities traded in 23 of the world’s most developed countries. The index is calculated with net dividends reinvested, in U.S. dollars.
Lehman U.S. Universal Index represents the union of the U.S. Aggregate Index, U.S. Corporate High-Yield Index, Investment-Grade 144A Index, Eurodollar Index, U.S. Emerging Markets Index, and the non-ERISA eligible portion of the CMBS Index. The index covers USD-denominated, taxable bonds that are rated either investment-grade or below investment-grade.
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 Strategic Income Fund | March 31, 2008 (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.
No proxy voting information is currently available because the Fund commenced operations on December 19, 2007. The Fund expects to begin making annual proxy voting information available in accordance with applicable regulations commencing on or before August 31, 2008. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg web site at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s web site 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 web site at 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 web site at www.thornburg.com/download or upon request by calling 1-800-847-0200.
STATEMENT RESPECTING APPROVAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the “Advisor”) provides investment management services to Thornburg Strategic Income Fund pursuant to an investment advisory agreement. The advisory agreement for the Fund was initially approved for the Fund by the Trustees at their meeting on December 3, 2007.
In connection with their general supervision of the Advisor, the Trustees receive and consider reports throughout the year from the Advisor respecting the Advisor’s management of the investments by each of the Trust’s respective Funds. These reports include information about each Fund’s purchase and sale of portfolio investments and explanations from the Advisor respecting investment selections, the investment performance of each Fund, general appraisals of industry and economic prospects and factors, and other matters affecting each Fund and relating to the Advisor’s performance of services for each Fund.
In preparation for their initial consideration of the advisory agreement for Thornburg Strategic Income Fund, the independent Trustees met in independent session on December 2, 2007 to discuss the proposed agreement for the Fund, the Advisor’s service for other Funds of the Trust, the proposed investment objectives and policies of the Fund, and other matters pertaining to the Fund. Following this session, the Trustees met on December 3, 2007 to consider an approval of the proposed investment advisory agreement for the Fund, and the independent Trustees unanimously approved and adopted the agreement for the Fund.
The information below summarizes certain factors considered by the Trustees in connection with the determination to approve the advisory agreement. In determining to approve the advisory agreement, the Trustees did not identify any single factor as controlling, and this summary does not describe all of the matters considered by the Trustees in making their determination.
Nature, Extent and Quality of Services. In considering the nature, extent and quality of services proposed to be provided by the Advisor to the new Fund, the Trustees evaluated the principal investment objectives and strategies of the Fund and the expertise and resources of the Advisor and the staffing of the Advisor which would be available to pursue those objectives and strategies. The Trustees also considered in their evaluation the quality of the services provided by the Advisor to other Funds of the Trust, and their conclusions that the Advisor had satisfactorily pursued the other Funds’ investment objectives and that the Funds’ performance had been satisfactory in the context of those Funds’ objectives and policies and prevailing market conditions. The Trustees further considered in this regard the quality of the Advisor’s accounting, compliance and operations functions. The Trustees concluded, based upon these and other considerations, that the information presented demonstrated the sufficiency of the services proposed to be provided by the Advisor and that the Advisor was prepared to pursue the Fund’s stated objectives and to provide associated services to the Fund.
Fees and Expenses; Profitability of Advisor; Economies of Scale. The Trustees also considered the fees proposed to be charged by the Advisor to the Fund. The Trustees considered in this regard their previous evaluations of the fees charged to other Funds of the Trust and conclusions that those fee levels were reasonable in view of the nature and quality of the services provided and comparisons of those fee levels to fees charged to other mutual funds, indicating that the proposed fee level was reasonable for the services proposed to be provided to the Fund. The Trustees also considered the breakpoint fee schedule proposed for the Fund in accordance with the approach for other Funds of the Trust and the economies of scale enjoyed by other Funds of the Trust as their assets had increased, the Advisor’s proposed waivers of fees and reimbursements of expenses, and the likelihood that the Advisor would not realize a profit from its service to the Fund in the initial periods of its operation. The Trustees concluded that the advisory fee proposed to be charged to the Fund by the Advisor was fair and reasonable in view of the nature and extent of the services to be provided and the likelihood that the Advisor’s cost of providing the services to the Fund would exceed its revenues from the Fund in early periods of operations. The Trustees did not identify any unfair ancillary benefits to the Advisor from its service to the Fund.
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Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
February 8, 2005, as readopted July 18, 2007
The Trustees are concerned that ongoing 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.
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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 . Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
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.
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 Global Opportunities Fund |
• | Thornburg International Growth Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
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Thornburg Equity Funds
Thornburg’s equity research uses a fundamental and comprehensive analytical approach. Thornburg equity funds focus on a limited number of securities so that each holding can impact 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 .
• | Thornburg Value Fund |
• | Thornburg International Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
• | Thornburg International Growth Fund |
Thornburg Bond Funds
The majority of Thornburg bond funds are laddered portfolios of short- and intermediateterm 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 Limited Term Municipal Fund |
• | Thornburg Intermediate Municipal Fund |
• | Thornburg California Limited Term Municipal Fund |
• | Thornburg New Mexico Intermediate Municipal Fund |
• | Thornburg New York Intermediate Municipal Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund* |
Carefully consider each fund’s investment objectives, risks, sales charges, and expenses; this information can be found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. There is no guarantee that any of these funds will meet their investment objectives.
For additional information, please visit www.thornburg.com
Thornburg Investment Management, 119 East Marcy Street, Santa Fe, NM 87501
* | This fund does not use the laddering strategy. |
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This Semi-Annual Report is 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.
Investment Advisor: | ||
Thornburg Investment Management® | ||
800.847.0200 | ||
Distributor: | ||
Thornburg Securities Corporation® 800.847.0200 | ||
TH1673 |
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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
Filed as part of the reports to shareholders filed under item 1 of this Form.
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
The authority to consider candidates recommended by the shareholders in accordance with the Trust’s Procedures for Shareholder Communications is 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’s disclosure controls and procedures 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 that occurred during the registrant’s second fiscal quarter of the period covered by this report (that is, the registrant’s second fiscal quarter) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
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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 the following Thornburg Funds: Limited Term Municipal Fund, California Limited Term Municipal Fund, Intermediate Municipal Fund, New Mexico Intermediate Municipal Fund, New York Intermediate Municipal Fund, Limited Term U.S. Government Fund, Limited Term Income Fund, Value Fund, International Value Fund, Core Growth Fund, Investment Income Builder Fund, Global Opportunities Fund, International Growth Fund and Strategic Income Fund.
By: | /s/ Brian J. McMahon | |
Brian J. McMahon | ||
President and principal executive officer | ||
Date: | May 23, 2008 |
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 23, 2008 |
By: | /s/ George T. Strickland | |
George T. Strickland | ||
Treasurer and principal financial officer | ||
Date: | May 23, 2008 |