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)
c/o Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, New Mexico 87506 |
(Address of principal executive offices) ( Zip code)
| Garrett Thornburg, 2300 North Ridgetop Road, Santa Fe, New Mexico 87506 |
(Name and address of agent for service)
Registrant’s telephone number, including area code: 505-984-0200
Date of fiscal year end: September 30, 2012
Date of reporting period: March 31, 2012
Item 1. Reports to Stockholders
The following annual reports are attached hereto, in order:
Thornburg Limited Term Municipal Fund
Thornburg Intermediate Municipal Fund
Thornburg Strategic Municipal Income Fund
Thornburg California Limited Term Municipal Fund
Thornburg New Mexico Intermediate Municipal Fund
Thornburg New York Intermediate Municipal Fund
Thornburg Limited Term Income Funds
Thornburg Strategic Income Fund
Thornburg Value Fund
Thornburg International Value Fund
Thornburg Core Growth Fund
Thornburg International Growth Fund
Thornburg Investment Income Builder Fund
Thornburg Global Opportunities Fund
Thornburg Developing World Fund
Important Information
The information presented on the following pages is current as of March 31, 2012. The managers’ views, portfolio holdings, and sector diversification are provided for the general information of the Fund’s shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. 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. Bond funds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The principal value of bonds 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 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. The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
Performance data given at net asset value (NAV) does not take into account applicable sales charges. If the sales charges had been included, the performance would have been lower. Minimum investments for Class I shares are higher than those for other classes. Class I shares may not be available to all investors.
Share Class | NASDAQ Symbol | Cusip | ||
Class A | LTMFX | 885-215-459 | ||
Class C | LTMCX | 885-215-442 | ||
Class I | LTMIX | 885-215-434 |
Lipper’s 2012 Best Fixed Income Funds Manager
Thornburg Investment Management ranked #1 out of 41 eligible firms in Lipper, Inc.’s fixed income Large Company universe for the three-year period ended 11/30/11, based on risk-adjusted returns. Lipper’s Large Company universe is comprised of fund families with more than $40 billion in total net assets. Only fund families with at least five bond funds were eligible for the fixed income funds manager award. Asset Class Group Awards are given for the three-year period only.
Best Short-Intermediate Municipal Debt Fund
Lipper Classification Awards are granted annually to the fund in each Lipper classification that consistently delivered the strongest risk-adjusted performance (calculated with dividends reinvested). Fund Classification Awards were given for three-year, five-year, and ten-year periods ended 11/30/11. The fund did not win the award for other time periods.
Glossary
Barclays Five-Year Municipal Bond Index – A rules-based, market-value-weighted index of the 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.
BofA Merrill Lynch 1-10 Year U.S. Municipal Securities Index – A subset of the BofA Merrill Lynch U.S. Municipal Securities Index including all securities with a remaining term to final maturity less than 10 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.
Alternative Minimum Tax (AMT) – A federal tax aimed at ensuring that high-income individuals, estates, trusts, and corporations pay a minimal level income tax. For individuals, the AMT is calculated by adding tax preference items to regular taxable income.
Annualized Distribution Yield – The distribution yield reflects actual distributions made to shareholders. The annualized distribution yield is calculated by summing the last 30 days of income at a given month end and annualizing to a 360-day year. The result is divided by the ending maximum offering price or net asset value.
Basis Point (bps) – A unit equal to 1/100th of 1%. 1% = 100 basis points (bps).
Bond Credit Ratings – A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C, and D (the lowest) are considered below investment grade, speculative grade, or junk bonds. Unless otherwise noted, the ratings listed are from Municipal Market Data and are a combination of ratings from Standard and Poor’s, Moody’s Investors Service, and Fitch Ratings.
Duration – A bond’s sensitivity to interest rates. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
Effective Duration – A bond’s sensitivity to interest rates, incorporating the embedded option features, such as call provisions. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
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.
General Obligation Bond – A municipal bond backed by the credit and “taxing power” of the issuing jurisdiction rather than the revenue from a given project.
Gross Domestic Product (GDP) – A country’s income minus foreign investments: the total value of all goods and services produced within a country in a year, minus net income from investments in other countries.
Quantitative Easing – The Federal Reserve’s monetary policy used to stimulate the U.S. economy following the recession that began in 2007/08.
This page is not part of the Semi-Annual Report. 3
| Important Information, | ||
| Continued | ||
Rolling Returns – Rolling returns are useful for examining the behavior of returns for holding periods similar to those actually experienced by investors. Rolling performance periods are generally two- or three-year periods, updated monthly or quarterly.
SEC Yield – SEC yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Fund’s shares at the end of the period.
Treasuries – 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 taxes.
4 This page is not part of the Semi-Annual Report.
Thornburg Limited Term Municipal Fund
At Thornburg, our approach to management of the Fund is based on the premise that investors in the Fund seek preservation of capital along with an attractive, relatively stable yield. While aggressive bond strategies may generate stronger returns when the market is turning a blind eye towards risk, they often fail to stack up over longer periods of time.
We apply time-tested techniques to manage risk and provide attractive returns. These include:
| • | Building a laddered portfolio. Laddering has been shown over time to mitigate reinvestment and interest rate risk. |
| • | Investing on a cash-only basis without using leverage. While leveraged strategies may enhance returns when market conditions are favorable, they can quickly compound losses when sentiment shifts. |
| • | Conducting in-depth fundamental research on each issue and actively monitoring positions for subsequent credit events. |
| • | Diversifying among a large number of generally high-quality bonds. |
PORTFOLIO MANAGERS
Josh Gonze, Chris Ryon,CFA, and Chris Ihlefeld
IMPORTANT
PERFORMANCE INFORMATION
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.
The maximum sales charge for the Fund’s Class A shares is 1.50%. The total annual fund operating expense of Class A shares is 0.74%, as disclosed in the most recent Prospectus.
LONG-TERM STABILITY OF PRINCIPAL
Net asset value history of A shares from September 28, 1984 through March 31, 2012
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2012
| 1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception | ||||||||||||||||
| A Shares (Incep: 9/28/84) | ||||||||||||||||||||
Without sales charge | 7.01 | % | 5.53 | % | 4.64 | % | 3.99 | % | 5.51 | % | ||||||||||
With sales charge | 5.42 | % | 5.01 | % | 4.31 | % | 3.84 | % | 5.45 | % | ||||||||||
30-DAY YIELDS, A SHARES
As of March 31, 2012
| Annualized Distribution Yield | SEC Yield | |||
1.99% | 1.08 | % | ||
KEY PORTFOLIO ATTRIBUTES
As of March 31, 2012
Number of Bonds | 1,348 | |||
Effective Duration | 3.4 Yrs | |||
Average Maturity | 4.1 Yrs |
See the entire portfolio in the Schedule of Investments beginning on page 12.
This page is not part of the Semi-Annual Report. 5
Thornburg Limited Term Municipal Fund
March 31, 2012
Table of Contents | ||||
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| 12 | ||||
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| 48 | ||||
| 49 | ||||
| 54 | ||||
| 56 | ||||
| 57 |
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
Christopher Ihlefeld Portfolio Manager
Christopher Ryon,CFA Portfolio Manager
Josh Gonze Portfolio Manager | April 13, 2012
Dear Fellow Shareholder:
We are pleased to present the semi-annual report for the Thornburg Limited Term Municipal Fund. The net asset value (NAV) of the Class A shares increased by 14 cents to $14.53 per share during the six months ended March 31, 2012. If you were with us for the entire period, you received dividends of 16.7 cents per share. If you reinvested your dividends, you received 16.8 cents per share. Dividends per share were lower for Class C shares and higher for Class I shares to account for varying class-specific expenses. The Class A shares of your Fund slightly outperformed the index, with a total return of 2.14% at NAV over the six months ended March 31, 2012, compared to the 2.10% for the BofA Merrill Lynch 1–10 Year U.S. Municipal Securities Index and 2.05% for the Barclays Five-Year Municipal Bond Index. The Fund generated 1.01% less income but 1.05% more price appreciation than the 1-10 year index.
The additional price appreciation is due to several factors. Our overweight to the insured and revenue sectors added 0.08%. We underweighted the general obligation and prere-funded sectors, which added 0.47% of relative performance. Our overweight to lower credit quality securities added 0.12% of performance relative to the benchmark. Other risk factors accounted for another 0.38%. Our interest rate sensitivity as measured by the Fund’s duration (and differing allocations along the yield curve) had no effect.
The Economy and the Federal Reserve
At the beginning of the semi-annual period in October 2011, the national economy seemed to be improving, albeit at a slow pace. Gross Domestic Product (GDP) increased from a 1.8% quarter-over-quarter increase for September 30, 2011, to a 3.0% increase in the quarter ending December 31, 2011. The economy added an average of 188,000 jobs per month for the six months ended March 31, 2012. The unemployment rate declined from 8.9% to 8.2%. Other signs of growth came in the form of increased industrial production (up 1.31% for the period) and capacity utilization (up 1.16% for the period). Nationwide, banks were lending to businesses: commercial and industrial loan volume increased 6.7% during the period. This is significant, because this type of lending had declined from 2007 through mid-2010.
Late last year, fears of a European contagion infecting the rest of the world’s economies drove a flight to quality and a move toward lower interest rates for U.S. Treasury securities — from which the municipal market benefited. These fears seemed to have subsided by the | |
Certified Semi-Annual Report 7
| Letter to Shareholders, | ||
| Continued | ||
end of the most recent quarter. The chances of the Federal Reserve Board entering into another round of so-called quantitative easing are, in our estimation, a little remote, but if you pay attention to the business media outlets, it sounds like the next big trade. In fact, within the Federal Reserve system, voices of the inflation-hawk governors are growing louder. They are saying that there is no reason for further accommodation and that policy decisions should be based on the data and not on the calendar – a reference to the Federal Reserve (the Fed) policy statement that short-term rates will probably remain near zero until late 2014.
We share some of the views of the hawkish governors: interest rates are at historic lows and the economy is beginning to heal itself. Investors should expect an upward drift in rates. Because bond (and bond fund) prices move in a direction opposite to rates, investor expectations of future returns should be tempered by these basic facts. We believe investors should focus on the fundamentals of investing, on proper diversification, and determining that the proposed holding period of an investment matches the investment vehicle’s characteristics.
The Municipal Market
The municipal market was the beneficiary of lower U.S. Treasury yields, reduced supply of newly issued municipal bonds, and increased investor confidence. Chart I shows the quarterly returns of the BofA Merrill Lynch 1-10 Year U.S. Municipal Securities Index and the rolling two-year annualized returns for the same index. Over the last year, the quarterly returns have decreased. This may be attributable to increasing investor confidence, or to investors trying to capture prior-period returns, when the municipal market seemed much riskier. Cash flows into municipal bond mutual funds began to pick up in the last three months of 2011 and remained positive through the end of March 2012. While quarterly returns are volatile, the two-year rolling annualized returns lend some perspective to formulating return expectations. We believe these data indicate municipal bond investors are more likely to benefit from a two- to three-year investment horizon, depending on the fund under consideration, with lengthier horizons for longer-maturity funds.
CHART I: BofA MERRILL LYNCH 1-10 YEAR U.S. MUNICIPAL SECURITIES INDEX
Quarterly Returns versus Rolling Two-Year Returns
Past performance does not guarantee future results.
Chart II illustrates the change in yields for AAA-rated general obligation bonds over the semi-annual reporting period; this was a con-
8 Certified Semi-Annual Report
CHART II: CHANGES IN AAA GENERAL OBLIGATION BOND YIELDS
10/1/2011 through 3/31/2012
tinuation of a move to lower rates experienced in the last six months of 2011. It is hard to imagine interest rates moving much lower. Given the reduction in rates we have seen in the last year, we believe that the municipal market, along with most fixed income markets, is riskier today than it was this time last year. We have therefore become more defensive towards the market. We have taken several steps to position the funds for rising rates: we have raised cash and liquidity levels and have shortened the average maturity of the funds within the context of the laddered structure.
On the bright side, the credit fundamentals of the municipal bond market continue to improve. Some local credits that are heavily dependent on real estate values are the exception; as assessed values reflect the realities of a depressed real estate market, the tax base of these credits will remain stressed. But the Census Bureau recently reported that state tax revenue increased $62 billion in 2011 from a 2010 level of $702 billion — or an 8.8% increase. State budget deficits are declining as revenues increase.
Pension funding is a large issue in some states; as of October 24, 2011, Bloomberg News reported that the median pension funding ratio for the states in 2010 was 74.6%, down from a high of 82.8% in 2007. Nationally, pension funding levels ranged from 45.4% to 101.5%. The actuaries at the Pew Center on the States suggest a funding level of 80.0% is sufficient.
CHART III: % OF PORTFOLIO MATURING
As of 3/31/12. Percentages vary over time.
Data may not add up to 100% due to rounding.
Your Thornburg Limited Term Municipal Fund is a laddered portfolio of 1,348 municipal obligations as of March 31, 2012. We ladder the maturity dates of the bonds in your portfolio so that some of the bonds are scheduled to mature during each of
Certified Semi-Annual Report 9
| Letter to Shareholders, | ||
| Continued | ||
the coming years. Laddering is intended to accomplish two goals. First, the staggered maturities of a laddered structure reduce interest-rate risk and ordinarily dampen the Fund’s price volatility. Laddering also is intended to reduce reinvestment risk by giving the Fund a steady cash flow stream from maturing bonds to reinvest toward the top of the ladder where yields are typically higher. Chart III describes the percentages of your Fund’s bond portfolio maturing in each of the coming years. The Fund’s adherence to the discipline of the laddered structure served investors well.
We plan to continue to search for opportunities in the municipal market, using our fundamental, bottom-up approach to portfolio management, and the discipline of the laddered structure. Thank you for the trust you have placed with us. We will continue to keep it foremost in our minds as we go forward.
A Cautionary Note
The performance of the fixed income market must be judged within the context of a long-term bull market for bonds, with interest rates slowly declining for nearly 30 years. As illustrated in Chart IV, the yield on the 10-year U.S. Treasury note has been in a downward trajectory and is currently near its all-time low. At some point, interest rates should rise, which will push bond prices down. No one can forecast precisely when this will occur, how long it will continue, or how volatile the rise will be. One of the best risk management techniques to navigate such periods of uncertainty is to maintain a well-diversified portfolio and hold it for an investment time horizon of at least two to three years. A diversified portfolio should include exposure to bonds.
CHART IV: CYCLICAL BULL MARKET FOR BONDS – 30 YEARS OF DECLINING YIELDS
Yield of 10-Year Treasury Note
The question for investors is finding the optimal approach to managing the rise in rates. A bond ladder, which Thornburg uses in all its core bond funds, is a disciplined approach to the yield curve that works well in periods of rising rates – provided that the investor has a sufficient time horizon. Ladders also allow for portfolio managers to actively manage the specific bonds, market sectors, and structural characteristics of the bonds in the portfolios.
With laddered maturities, the bonds reach maturity in a sequential fashion, with a small portion maturing annually at face value. That cash is reinvested at the top end of the ladder, where rates are highest. Imagine that interest rates
10 Certified Semi-Annual Report
increased since you purchased your shares, so the NAV has declined. But some bonds have matured and the proceeds reinvested at the new, higher interest rates. That causes the monthly dividend to rise. The dividend yield increases and the total return begins to recover. Remember total return consists of two components: dividends plus or minus change in market value of the bonds. After a period of time, depending on how much rates rise, the investor’s total return should rebound to where it would have been if rates had not increased.
Sincerely, | ||||
|
|
| ||
Christopher Ihlefeld Portfolio Manager Managing Director | Christopher Ryon,CFA Portfolio Manager Managing Director | Josh Gonze 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.
Certified Semi-Annual Report 11
| SCHEDULE OF INVESTMENTS | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
We have used ratings from Standard & Poor’s (S&P). Where S&P ratings are not available, we have used Moody’s Investors Service. Where neither rating is available, we have used ratings from Fitch Ratings. The category of investments identified as “AAA” in this graph includes investments which are pre-refunded or escrowed to maturity. Such investments are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities to satisfy the timely payment of principal and interest and, therefore, are normally deemed to be equivalent to AAA-rated securities.
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
ALABAMA — 1.60% | ||||||||||
Alabama State Public School & College Authority, 5.00% due 5/1/2012 | AA/Aa1 | $ | 2,000,000 | $ | 2,008,280 | |||||
Alabama State Public School & College Authority, 5.00% due 5/1/2013 | AA/Aa1 | 5,000,000 | 5,254,300 | |||||||
Alabama State Public School & College Authority, 5.00% due 5/1/2015 | NR/Aa1 | 8,530,000 | 9,665,769 | |||||||
Alabama State Public School & College Authority, 5.00% due 5/1/2016 | AA/Aa1 | 5,000,000 | 5,814,050 | |||||||
Birmingham GO, 5.00% due 10/1/2013 (Insured: Natl-Re) | AA/Aa2 | 2,500,000 | 2,661,200 | |||||||
Birmingham GO, 5.00% due 2/1/2015 | AA/Aa2 | 4,240,000 | 4,692,874 | |||||||
Birmingham GO, 4.00% due 8/1/2015 | AA/Aa2 | 3,005,000 | 3,277,253 | |||||||
Birmingham GO, 5.00% due 2/1/2016 | AA/Aa2 | 3,775,000 | 4,274,735 | |||||||
Birmingham GO, 4.00% due 8/1/2016 | AA/Aa2 | 3,645,000 | 3,990,765 | |||||||
Birmingham GO, 5.00% due 2/1/2017 | AA/Aa2 | 2,045,000 | 2,355,349 | |||||||
Birmingham GO, 4.00% due 8/1/2017 | AA/Aa2 | 2,760,000 | 3,021,151 | |||||||
Birmingham GO, 5.00% due 2/1/2018 | AA/Aa2 | 2,000,000 | 2,333,460 | |||||||
Courtland Solid Waste Disposal Revenue, 4.75% due 5/1/2017 (International Paper Company) | BBB/NR | 5,000,000 | 5,226,200 | |||||||
Mobile GO Warrants, 5.25% due 8/1/2012 (Insured: AGM) | NR/Aa2 | 1,025,000 | 1,042,364 | |||||||
Mobile GO Warrants, 4.50% due 8/15/2016 | NR/NR | 1,580,000 | 1,648,872 | |||||||
Mobile GO Warrants, 5.00% due 2/15/2019 | AA-/Aa2 | 2,000,000 | 2,330,140 | |||||||
Mobile Industrial Development Board PCR, 1.65% due 6/1/2034 put 3/20/2017 (Alabama Power Co.) | A/A2 | 6,000,000 | 5,970,420 | |||||||
Mobile Industrial Development PCR, 5.00% due 6/1/2034 put 3/19/2015 (Alabama Power Co.) | A/A2 | 6,000,000 | 6,657,540 | |||||||
Montgomery Waterworks & Sanitation, 5.00% due 9/1/2016 | AAA/Aa2 | 2,080,000 | 2,438,405 | |||||||
Montgomery Waterworks & Sanitation, 5.00% due 9/1/2019 | AAA/Aa2 | 3,375,000 | 3,990,330 | |||||||
University of Alabama at Birmingham Hospital Revenue, 5.25% due 9/1/2017 | A+/A1 | 2,500,000 | 2,860,975 | |||||||
University of Alabama at Birmingham Hospital Revenue, 5.00% due 9/1/2018 | A+/A1 | 1,500,000 | 1,704,615 | |||||||
ALASKA — 0.76% | ||||||||||
Alaska Energy Power Authority, 6.00% due 7/1/2013 (Bradley Lake Hydroelectric; Insured: AGM) | AA-/Aa2 | 1,600,000 | 1,697,872 | |||||||
Alaska Housing Finance Corp. GO, 5.00% due 12/1/2018 (Insured: Natl-Re) | AA+/Aa2 | 2,000,000 | 2,316,780 | |||||||
Alaska Industrial Development & Export Authority GO, 5.00% due 4/1/2014 | AA-/Aa3 | 2,000,000 | 2,158,980 | |||||||
Alaska Industrial Development & Export Authority GO, 5.00% due 4/1/2015 | AA-/Aa3 | 1,900,000 | 2,113,503 | |||||||
Alaska Industrial Development & Export Authority GO, 5.00% due 4/1/2016 | AA-/Aa3 | 1,000,000 | 1,137,150 | |||||||
Alaska Industrial Development & Export Authority GO, 5.00% due 4/1/2017 | AA-/Aa3 | 3,000,000 | 3,465,540 | |||||||
Alaska Industrial Development & Export Authority GO, 5.00% due 4/1/2018 | AA-/Aa3 | 2,455,000 | 2,865,869 | |||||||
Alaska Municipal Bond Bank, 5.00% due 6/1/2014 (Insured: Natl-Re) (State Aid Withholding) | AA/Aa2 | 1,175,000 | 1,286,954 | |||||||
North Slope Boro GO, 5.00% due 6/30/2015 (Insured: Natl-Re) | AA-/Aa3 | 3,250,000 | 3,692,617 | |||||||
North Slope Boro GO, 5.00% due 6/30/2017 (Insured: Natl-Re) | AA-/Aa3 | 8,800,000 | 10,437,680 | |||||||
Valdez Alaska Marine Terminal Revenue, 5.00% due 1/1/2021 (BP Pipelines, Inc.) | A/A2 | 7,000,000 | 8,187,830 | |||||||
ARIZONA — 3.89% | ||||||||||
Arizona Board of Regents COP, 5.00% due 7/1/2018 (Arizona State University; Insured: Natl-Re) | AA-/A1 | 1,285,000 | 1,447,565 | |||||||
12 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Arizona Board of Regents COP, 5.00% due 7/1/2019 (Arizona State University; Insured: Natl-Re) | AA-/A1 | $ | 3,735,000 | $ | 4,194,779 | |||||
Arizona HFA, 5.25% due 1/1/2018 (Banner Health) | AA-/NR | 3,500,000 | 4,121,355 | |||||||
Arizona HFA, 5.00% due 7/1/2018 (Catholic Health Care West) | A/A2 | 1,470,000 | 1,676,888 | |||||||
Arizona HFA, 5.00% due 7/1/2019 (Catholic Health Care West) | A/A2 | 1,365,000 | 1,549,316 | |||||||
Arizona HFA, 5.00% due 7/1/2020 (Catholic Health Care West) | A/A2 | 1,290,000 | 1,451,611 | |||||||
Arizona Lottery Revenue, 5.00% due 7/1/2018 (Insured: AGM) | AA-/Aa3 | 8,370,000 | 9,871,076 | |||||||
Arizona Lottery Revenue, 5.00% due 7/1/2020 (Insured: AGM) | AA-/Aa3 | 8,000,000 | 9,528,800 | |||||||
Arizona School Facilities Board Revenue, 5.00% due 7/1/2016 (Insured: AMBAC) | NR/NR | 5,775,000 | 6,372,250 | |||||||
Arizona Transportation Board Highway Revenue, 5.25% due 7/1/2015 pre-refunded 7/1/2012 | AAA/Aa1 | 3,860,000 | 3,986,492 | |||||||
Arizona Transportation Board Highway Revenue, 5.00% due 7/1/2019 | AA+/Aa2 | 3,500,000 | 4,254,250 | |||||||
Arizona Transportation Board Highway Revenue, 5.00% due 7/1/2021 | AA+/Aa2 | 7,465,000 | 9,163,885 | |||||||
Arizona Transportation Board Highway Revenue, 5.00% due 7/1/2022 | AA+/Aa2 | 5,000,000 | 6,049,650 | |||||||
Chandler Street & Highway User Revenue, 3.00% due 7/1/2013 | AA/Aa2 | 1,905,000 | 1,966,589 | |||||||
Chandler Street & Highway User Revenue, 3.00% due 7/1/2014 | AA/Aa2 | 2,790,000 | 2,940,242 | |||||||
Gilbert Public Facilities Municipal Property Refunding, 3.00% due 7/1/2015 | AA/Aa2 | 1,080,000 | 1,148,234 | |||||||
Glendale IDA, 5.00% due 5/15/2015 (Midwestern University) | A-/NR | 1,000,000 | 1,094,020 | |||||||
Glendale IDA, 5.00% due 5/15/2016 (Midwestern University) | A-/NR | 1,325,000 | 1,475,480 | |||||||
Glendale IDA, 5.00% due 5/15/2017 (Midwestern University) | A-/NR | 1,440,000 | 1,626,322 | |||||||
Glendale Western Loop 101 Public Facilities Corp., 6.00% due 7/1/2019 | AA/A3 | 2,200,000 | 2,370,566 | |||||||
Maricopa County IDA Health Facilities Revenue, 4.125% due 7/1/2015 (Catholic Health Care West) | A/A2 | 1,000,000 | 1,075,080 | |||||||
Maricopa County IDA Health Facilities Revenue, 5.00% due 7/1/2038 put 7/1/2014 (Catholic Health Care West) | A/A2 | 7,500,000 | 8,073,975 | |||||||
Maricopa County Pollution Control Corp. PCR, 5.50% due 5/1/2029 put 5/1/2012 (Arizona Public Service Co.) | BBB/Baa2 | 10,000,000 | 10,035,800 | |||||||
Mesa Highway GO, 3.25% due 7/1/2016 | AA+/Aa3 | 10,000,000 | 10,502,200 | |||||||
Mohave County IDA, 5.00% due 4/1/2014 (Mohave Prison LLC; Insured: Syncora) (ETM) | AA+/NR | 3,135,000 | 3,418,404 | |||||||
Mohave County IDA, 7.25% due 5/1/2015 (Mohave Prison LLC) | BBB+/NR | 12,100,000 | 12,725,933 | |||||||
Navajo County PCR, 5.50% due 6/1/2034 put 6/1/2014 (Arizona Public Service Co.) | BBB/Baa2 | 1,600,000 | 1,727,776 | |||||||
Navajo County PCR, 5.50% due 6/1/2034 put 6/1/2014 (Arizona Public Service Co.) | BBB/Baa2 | 2,600,000 | 2,807,636 | |||||||
Navajo County PCR, 5.75% due 6/1/2034 put 6/1/2016 (Arizona Public Service Co.) | BBB/Baa2 | 9,700,000 | 10,954,889 | |||||||
Northern Arizona University COP, 5.00% due 9/1/2019 (Insured: AMBAC) | A/A2 | 3,500,000 | 3,657,115 | |||||||
Phoenix Civic Improvement Corp. Airport Revenue, 3.00% due 7/1/2013 | A+/A1 | 1,000,000 | 1,025,840 | |||||||
Pima County IDA, 6.40% due 7/1/2013 (Arizona Charter Schools) | NR/Baa3 | 410,000 | 411,685 | |||||||
Pima County IDA, 5.00% due 7/1/2016 (Metro Police Facility) | AA/Aa3 | 2,500,000 | 2,796,100 | |||||||
aPima County IDA, 5.00% due 7/1/2017 (Metro Police Facility) | AA/Aa3 | 3,000,000 | 3,378,900 | |||||||
Pima County IDA, 5.00% due 7/1/2018 (Metro Police Facility) | AA/Aa3 | 3,285,000 | 3,716,879 | |||||||
Pima County IDA, 5.00% due 7/1/2019 (Metro Police Facility) | AA/Aa3 | 2,000,000 | 2,270,060 | |||||||
Pima County Sewer Revenue, 4.00% due 7/1/2014 | A+/NR | 1,500,000 | 1,604,145 | |||||||
Pima County Sewer Revenue, 5.00% due 7/1/2015 | A+/NR | 1,250,000 | 1,404,475 | |||||||
Pima County Sewer Revenue, 5.00% due 7/1/2016 | A+/NR | 2,000,000 | 2,295,320 | |||||||
Pima County Sewer Revenue, 4.50% due 7/1/2017 (Insured: AGM) | AA-/Aa3 | 5,000,000 | 5,778,100 | |||||||
Pima County Sewer Revenue, 5.00% due 7/1/2017 | A+/NR | 2,750,000 | 3,206,528 | |||||||
Pima County Sewer Revenue, 5.00% due 7/1/2018 | A+/NR | 2,000,000 | 2,356,100 | |||||||
Pima County Sewer Revenue, 5.00% due 7/1/2018 (Insured: AGM) | AA-/Aa3 | 5,000,000 | 5,960,000 | |||||||
Salt River Agricultural Improvement & Power District, 3.00% due 1/1/2014 | AA/Aa1 | 11,275,000 | 11,792,522 | |||||||
Scottsdale IDA, 5.00% due 9/1/2019 (Scottsdale Healthcare) | A-/A3 | 6,885,000 | 7,540,245 | |||||||
University Arizona Medical Center Corp. GO, 5.00% due 7/1/2014 | BBB+/Baa1 | 1,000,000 | 1,061,410 | |||||||
Yuma Property Corp. Utility Systems Revenue, 5.00% due 7/1/2016 (Insured: Syncora) | A+/A1 | 2,000,000 | 2,253,840 | |||||||
Yuma Property Corp. Utility Systems Revenue, 5.00% due 7/1/2018 (Insured: Syncora) | A+/A1 | 2,130,000 | 2,394,993 | |||||||
ARKANSAS — 0.31% | ||||||||||
Fort Smith Water & Sewer Revenue, 2.00% due 10/1/2013 (Insured: AGM) | AA-/NR | 1,000,000 | 1,019,630 | |||||||
Certified Semi-Annual Report 13
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Fort Smith Water & Sewer Revenue, 3.00% due 10/1/2014 (Insured: AGM) | AA-/NR | $ | 1,000,000 | $ | 1,057,600 | |||||
Fort Smith Water & Sewer Revenue, 3.50% due 10/1/2016 (Insured: AGM) | AA-/NR | 1,370,000 | 1,512,781 | |||||||
Fort Smith Water & Sewer Revenue, 3.50% due 10/1/2017 (Insured: AGM) | AA-/NR | 1,930,000 | 2,138,865 | |||||||
Fort Smith Water & Sewer Revenue, 4.00% due 10/1/2018 (Insured: AGM) | AA-/NR | 1,000,000 | 1,134,960 | |||||||
Fort Smith Water & Sewer Revenue, 4.00% due 10/1/2019 (Insured: AGM) | AA-/NR | 1,670,000 | 1,889,822 | |||||||
Jefferson County Hospital Revenue, 4.00% due 6/1/2015 (Jefferson Regional Medical Center; Insured: AGM) | AA-/NR | 1,205,000 | 1,292,459 | |||||||
Jefferson County Hospital Revenue, 4.00% due 6/1/2016 (Jefferson Regional Medical Center; Insured: AGM) | AA-/NR | 1,395,000 | 1,496,040 | |||||||
Jefferson County Hospital Revenue, 4.00% due 6/1/2017 (Jefferson Regional Medical Center; Insured: AGM) | AA-/NR | 1,375,000 | 1,475,567 | |||||||
Jefferson County Hospital Revenue, 4.50% due 6/1/2018 (Jefferson Regional Medical Center; Insured: AGM) | AA-/NR | 1,495,000 | 1,640,434 | |||||||
Jefferson County Hospital Revenue, 4.50% due 6/1/2019 (Jefferson Regional Medical Center; Insured: AGM) | AA-/NR | 1,580,000 | 1,720,099 | |||||||
CALIFORNIA — 9.61% | ||||||||||
Alameda County COP, 5.00% due 12/1/2017 (Santa Rita Jail; Insured: AMBAC) | AA/NR | 1,000,000 | 1,162,110 | |||||||
Anaheim Public Financing Authority, 5.25% due 10/1/2018 (Electric Systems Generation; Insured: AGM) | AA-/Aa3 | 1,560,000 | 1,595,022 | |||||||
Brentwood Infrastructure, 2.00% due 11/1/2015 (Insured: AGM) | AA-/NR | 520,000 | 523,520 | |||||||
Brentwood Infrastructure, 4.00% due 11/1/2016 (Insured: AGM) | AA-/NR | 325,000 | 348,810 | |||||||
Brentwood Infrastructure, 5.00% due 11/1/2017 (Insured: AGM) | AA-/NR | 965,000 | 1,078,339 | |||||||
Brentwood Infrastructure, 5.25% due 11/1/2018 (Insured: AGM) | AA-/NR | 1,020,000 | 1,156,731 | |||||||
Brentwood Infrastructure, 5.25% due 11/1/2019 (Insured: AGM) | AA-/NR | 725,000 | 825,956 | |||||||
Calexico USD COP, 5.75% due 9/1/2013 | A-/NR | 1,155,000 | 1,206,016 | |||||||
California Educational Facilities, 5.00% due 4/1/2017 (Pitzer College) | NR/A3 | 1,460,000 | 1,649,041 | |||||||
California Educational Facilities, 5.00% due 4/1/2021 (Chapman University) | NR/A2 | 4,870,000 | 5,654,313 | |||||||
California GO, 4.75% due 4/1/2018 | A-/A1 | 1,250,000 | 1,453,125 | |||||||
California GO, 5.00% due 9/1/2020 | A-/A1 | 10,000,000 | 11,870,600 | |||||||
California GO, 5.00% due 9/1/2021 | A-/A1 | 5,000,000 | 5,888,350 | |||||||
California GO, 0.21% due 5/1/2034 put 4/2/2012 (Kindergarten; LOC: Citibank/California State Teachers’ Retirement System) (daily demand notes) | A/Aa3 | 20,000,000 | 20,000,000 | |||||||
California State Department of Transportation COP, 5.25% due 3/1/2016 (Insured: Natl-Re) | BBB/A2 | 895,000 | 898,553 | |||||||
California State Department of Water Resources Power Supply, 5.50% due 5/1/2012 | AA-/Aa3 | 2,600,000 | 2,612,012 | |||||||
California State Department of Water Resources Power Supply, 5.00% due 5/1/2015 | AA-/Aa3 | 5,000,000 | 5,667,900 | |||||||
California State Department of Water Resources Power Supply, 5.00% due 5/1/2016 | AA-/Aa3 | 5,000,000 | 5,819,250 | |||||||
California State Economic Recovery, 5.00% due 7/1/2020 | A+/Aa3 | 4,200,000 | 4,985,778 | |||||||
California State Economic Recovery GO, 5.00% due 7/1/2018 | A+/Aa3 | 4,000,000 | 4,791,600 | |||||||
California State GO, 0.18% due 5/1/2034 put 4/2/2012 (Kindergarten; LOC: Citibank N.A./ California State Teachers’ Retirement System) (daily demand notes) | A/Aa3 | 11,155,000 | 11,155,027 | |||||||
California State GO, 0.20% due 5/1/2034 put 4/2/2012 (Kindergarten; LOC: Citibank N.A.) (daily demand notes) | AAA/Aa2 | 33,500,000 | 33,500,000 | |||||||
California State HFA, 5.50% due 2/1/2017 (Community Program; Insured: California Mtg Insurance) | A-/NR | 2,575,000 | 2,895,510 | |||||||
California State HFA, 5.50% due 2/1/2019 (Community Program; Insured: California Mtg Insurance) | A-/NR | 2,865,000 | 3,258,880 | |||||||
California State HFA, 5.75% due 2/1/2020 (Community Program; Insured: California Mtg Insurance) | A-/NR | 1,975,000 | 2,277,886 | |||||||
California State HFA, 5.00% due 3/1/2020 (Catholic Health Care West) | A/A2 | 4,400,000 | 5,062,948 | |||||||
California State HFA, 5.75% due 2/1/2021 (Community Program; Insured: California Mtg Insurance) | A-/NR | 1,695,000 | 1,948,708 | |||||||
California State HFA, 5.00% due 3/1/2021 (Catholic Health Care West) | A/A2 | 3,450,000 | 3,943,419 | |||||||
California State HFA, 5.25% due 3/1/2022 (Catholic Health Care West) | A/A2 | 7,020,000 | 8,071,245 | |||||||
14 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
California State HFA, 5.00% due 7/1/2027 put 7/1/2014 (Catholic Health Care West) | A/A2 | $ | 3,500,000 | $ | 3,770,270 | |||||
California State HFA, 5.00% due 7/1/2028 put 7/1/2014 (Catholic Health Care West) | A/A2 | 2,000,000 | 2,154,440 | |||||||
California State Housing Finance Agency, 2.50% due 12/1/2017 (One Santa Fe Apartments; Collateralized: GNMA) | NR/Aaa | 1,725,000 | 1,749,702 | |||||||
California State Infrastructure & Economic Development Bank Revenue, 0.17% due 11/1/2026 put 4/2/2012 (Pacific Gas & Electric; LOC: Mizuho Corporate Bank) (daily demand notes) | AA+/Aa2 | 13,000,000 | 13,000,000 | |||||||
California State Infrastructure & Economic Development Bank Revenue, 0.20% due 9/1/2037 put 4/2/2012 (Los Angeles County Museum; LOC: Wells Fargo Bank) (daily demand notes) | AA-/Aa1 | 5,400,000 | 5,400,000 | |||||||
California State Public Works Board, 5.00% due 9/1/2016 (Regents of University of California; Insured: Natl-Re/FGIC) | AA-/Aa2 | 3,000,000 | 3,480,810 | |||||||
California State Public Works Board, 5.00% due 9/1/2017 (Regents of University of California; Insured: Natl-Re/FGIC) | AA-/Aa2 | 3,000,000 | 3,522,840 | |||||||
California State Public Works Board, 5.00% due 11/1/2017 (California State University Trustees) | BBB+/Aa3 | 3,000,000 | 3,444,840 | |||||||
California State Public Works Board, 5.00% due 11/1/2018 (California State University Trustees) | BBB+/Aa3 | 2,700,000 | 3,105,891 | |||||||
California State Public Works Board, 5.00% due 10/1/2020 | BBB+/A2 | 1,000,000 | 1,138,020 | |||||||
California State Public Works Board, 5.00% due 10/1/2021 | BBB+/A2 | 1,000,000 | 1,136,390 | |||||||
California State School Cash Reserve Program Authority, 2.00% due 10/31/2012 | SP-1+/NR | 1,000,000 | 1,010,200 | |||||||
California State School Cash Reserve Program Authority, 2.00% due 12/31/2012 | SP-1+/NR | 8,000,000 | 8,102,160 | |||||||
California State School Cash Reserve Program Authority, 2.00% due 12/31/2012 | SP-1+/NR | 5,500,000 | 5,570,235 | |||||||
California Statewide Community Development Authority, 5.00% due 6/15/2013 | A-/A1 | 9,500,000 | 10,015,470 | |||||||
California Statewide Community Development Authority, 5.00% due 4/1/2019 (Kaiser Credit Group) | A+/NR | 27,000,000 | 31,661,820 | |||||||
California Statewide Community Development Authority, 5.00% due 7/1/2020 (Aspire Public Schools; Insured: College for Certain LLC) | NR/NR | 2,100,000 | 2,142,021 | |||||||
California Statewide Community Development Authority, 0.14% due 8/15/2047 put 4/2/2012 (Rady Childrens Hospital; LOC: Wells Fargo Bank) (daily demand notes) | AA-/Aa1 | 16,950,000 | 16,950,000 | |||||||
California Statewide Community Development Authority PCR, 4.10% due 4/1/2028 put 4/1/2013 (Southern California Edison County; Insured: Syncora) | A/A1 | 1,000,000 | 1,034,840 | |||||||
Castaic USD GO, 0% due 5/1/2018 (Insured: Natl-Re/FGIC) | A+/NR | 7,000,000 | 5,465,180 | |||||||
Centinela Valley Unified High School District GO, 4.00% due 12/1/2013 | SP-1+/NR | 5,665,000 | 5,975,499 | |||||||
Central Valley Financing Authority, 5.00% due 7/1/2017 (Carson Ice) | A+/A1 | 600,000 | 686,094 | |||||||
Central Valley Financing Authority, 5.00% due 7/1/2019 (Carson Ice) | A+/A1 | 1,750,000 | 2,031,575 | |||||||
Chula Vista COP, 5.25% due 3/1/2018 | A-/NR | 1,170,000 | 1,311,909 | |||||||
Chula Vista COP, 5.25% due 3/1/2019 | A-/NR | 1,235,000 | 1,390,264 | |||||||
Clovis USD GO, 0% due 8/1/2019 (Insured: Natl-Re/FGIC) | AA/NR | 2,685,000 | 2,184,489 | |||||||
Golden State Tobacco Securitization Corp., 5.50% due 6/1/2043 pre-refunded 6/1/2013 | AA+/Aaa | 2,000,000 | 2,120,660 | |||||||
Inland Valley Development Agency, 5.25% due 4/1/2013 (ETM) | A/NR | 2,000,000 | 2,098,020 | |||||||
Inland Valley Development Agency, 5.50% due 4/1/2014 (ETM) | A/NR | 2,000,000 | 2,197,760 | |||||||
Irvine USD, 5.25% due 9/1/2017 (Community Facilities District 86; Insured: AGM) | AA-/NR | 5,000,000 | 5,721,650 | |||||||
Irvine USD, 5.25% due 9/1/2018 (Community Facilities District 86; Insured: AGM) | AA-/NR | 3,000,000 | 3,457,020 | |||||||
Irvine USD, 5.25% due 9/1/2019 (Community Facilities District 86; Insured: AGM) | AA-/NR | 3,000,000 | 3,473,370 | |||||||
Kern Community College District COP, 4.00% due 4/1/2014 | SP-1+/NR | 12,000,000 | 12,692,400 | |||||||
Los Angeles Convention and Exhibition Center Authority, 5.00% due 8/15/2018 | A+/A2 | 2,095,000 | 2,352,832 | |||||||
Los Angeles County Public Works Authority, 5.00% due 8/1/2019 (Multiple Capital Projects) | A+/A1 | 17,935,000 | 20,788,458 | |||||||
Los Angeles County Public Works Financing Authority, 5.00% due 8/1/2018 (Multiple Capital Projects) | A+/A1 | 4,000,000 | 4,612,360 | |||||||
Los Angeles USD COP, 5.00% due 10/1/2017 (Insured: AMBAC) | A+/A1 | 2,445,000 | 2,725,882 | |||||||
Los Angeles USD COP, 5.50% due 12/1/2018 (Capital Projects) | A+/A1 | 4,600,000 | 5,276,476 | |||||||
Los Angeles USD COP, 5.50% due 12/1/2019 | A+/A1 | 7,040,000 | 8,122,822 | |||||||
Los Angeles USD GO, 5.00% due 7/1/2018 (Insured: AGM) | AA-/Aa2 | 4,000,000 | 4,734,520 | |||||||
Monterey County COP, 5.00% due 8/1/2016 (Insured: AGM) | AA/Aa3 | 1,435,000 | 1,626,199 | |||||||
Monterey County COP, 5.00% due 8/1/2018 (Insured: AGM) | AA/Aa3 | 2,260,000 | 2,597,395 | |||||||
Mount San Antonio Community College GO, 0% due 8/1/2017 (Insured: Natl-Re) | AA/Aa2 | 5,000,000 | 4,447,400 | |||||||
Certified Semi-Annual Report 15
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Newport Beach Revenue, 5.00% due 12/1/2038 put 2/7/2013 (Hoag Memorial Hospital) | AA/Aa3 | $ | 3,000,000 | $ | 3,113,730 | |||||
Northern California Power Agency, 5.00% due 7/1/2017 | A/A2 | 1,000,000 | 1,173,150 | |||||||
Northern California Power Agency Revenue, 5.00% due 6/1/2018 (Lodi Energy Center) | A-/A3 | 4,480,000 | 5,242,675 | |||||||
Northern California Power Agency Revenue, 5.00% due 7/1/2019 | A/A2 | 1,000,000 | 1,195,240 | |||||||
Northern California Power Agency Revenue, 5.00% due 7/1/2020 | A/A2 | 1,325,000 | 1,554,954 | |||||||
Orange County Public Financing Authority, 5.00% due 7/1/2017 (Insured: Natl-Re) | A+/Aa3 | 1,245,000 | 1,455,094 | |||||||
Palo Alto USD GO, 0% due 8/1/2019 | AAA/Aa1 | 1,000,000 | 823,060 | |||||||
Palomar Community College Capital Appreciation GO, 0% due 8/1/2021 | AA-/Aa2 | 2,560,000 | 1,818,470 | |||||||
Pittsburgh Redevelopment Agency, 5.00% due 8/1/2012 (Los Medanos Community Development; Insured: Natl-Re) | A+/Baa2 | 1,255,000 | 1,266,358 | |||||||
Pittsburgh Redevelopment Agency, 5.00% due 8/1/2018 (Los Medanos Community Development; Insured: Natl-Re) | A+/Baa2 | 5,150,000 | 5,343,383 | |||||||
Redding Electrical Systems Revenue COP, 5.00% due 6/1/2020 (Insured: AGM) | NR/Aa3 | 3,955,000 | 4,620,310 | |||||||
Sacramento Cogeneration Authority, 5.00% due 7/1/2017 (Insured: AMBAC) | BBB/NR | 8,290,000 | 8,845,181 | |||||||
Sacramento Cogeneration Authority, 5.00% due 7/1/2017 (Procter & Gamble) | A+/A1 | 750,000 | 871,635 | |||||||
Sacramento County Sanitation Districts Financing Authority, 0.20% due 12/1/2039 put 4/2/2012 (LOC: Morgan Stanley) (daily demand notes) | AAA/Aa1 | 525,000 | 525,000 | |||||||
Sacramento Municipal Utility District, 5.00% due 7/1/2016 (Cosumnes Project; Insured: Natl-Re) | BBB/Baa2 | 4,870,000 | 5,350,913 | |||||||
Sacramento Municipal Utility District, 5.00% due 7/1/2019 (Cosumnes Project; Insured: Natl-Re) | BBB/Baa2 | 5,000,000 | 5,440,000 | |||||||
Sacramento Municipal Utility District, 5.00% due 7/1/2020 (Cosumnes Project; Insured: Natl-Re) | BBB/Baa2 | 8,675,000 | 9,369,694 | |||||||
San Diego Redevelopment Agency, 4.50% due 9/1/2019 (Centre City Redevelopment; Insured: AMBAC) | NR/A3 | 1,240,000 | 1,281,453 | |||||||
San Diego USD GO, 5.50% due 7/1/2020 (Election 1998; Insured: Natl-Re) | AA-/Aa2 | 10,000,000 | 12,546,400 | |||||||
San Joaquin Delta Community College District GO, 0% due 8/1/2019 (Insured: AGM) | AA-/Aa2 | 7,600,000 | 5,849,796 | |||||||
San Jose Redevelopment Agency Tax Allocation, 6.00% due 8/1/2015 (Insured: Natl-Re) | BBB/Baa2 | 2,780,000 | 3,035,371 | |||||||
San Luis & Delta-Mendota Water Authority, 4.50% due 3/1/2014 (Water Utility Improvements) | A+/NR | 3,900,000 | 4,147,221 | |||||||
Santa Ana Financing Authority, 6.25% due 7/1/2018 (Police Administration & Holding Facility; Insured: Natl-Re) | BBB/Baa2 | 4,035,000 | 4,638,394 | |||||||
Santa Ana USD GO, 0% due 8/1/2019 (Insured: Natl-Re/FGIC) | A+/NR | 3,425,000 | 2,703,250 | |||||||
Santa Clara County Financing Authority Lease Revenue, 4.00% due 5/15/2014 (Multiple Facilities) | AA/Aa2 | 4,245,000 | 4,542,914 | |||||||
Solano County COP, 5.00% due 11/15/2017 | AA-/A1 | 1,580,000 | 1,812,829 | |||||||
Southeast Resource Recovery Facilities Authority, 5.25% due 12/1/2017 (Insured: AMBAC) | A+/A1 | 2,000,000 | 2,107,160 | |||||||
Tuolumne Wind Project Authority, 5.00% due 1/1/2018 (Tuolumne Co.) | A+/A2 | 2,000,000 | 2,336,300 | |||||||
Tuolumne Wind Project Authority, 5.00% due 1/1/2019 (Tuolumne Co.) | A+/A2 | 2,000,000 | 2,361,940 | |||||||
Tustin Community Redevelopment Agency, 4.00% due 9/1/2017 (Tustin Redevelopment) | A/NR | 935,000 | 976,477 | |||||||
Tustin Community Redevelopment Agency, 4.00% due 9/1/2019 (Tustin Redevelopment) | A/NR | 1,010,000 | 1,037,866 | |||||||
Tustin Community Redevelopment Agency, 4.00% due 9/1/2020 (Tustin Redevelopment) | A/NR | 1,050,000 | 1,069,236 | |||||||
Twin Rivers USD GO, 0% due 4/1/2014 | SP-1/NR | 3,490,000 | 3,396,887 | |||||||
Ventura County COP, 5.00% due 8/15/2016 | AA/Aa3 | 1,520,000 | 1,734,396 | |||||||
Ventura County COP, 5.25% due 8/15/2017 | AA/Aa3 | 1,635,000 | 1,900,132 | |||||||
West Covina Redevelopment Agency, 6.00% due 9/1/2022 (Fashion Plaza) | AA+/NR | 5,990,000 | 6,978,350 | |||||||
COLORADO — 3.18% | ||||||||||
Adams County Platte Valley Medical Center, 5.00% due 2/1/2015 (Brighton Community Hospital Association; Insured: Natl-Re/FHA) | BBB/NR | 1,530,000 | 1,670,699 | |||||||
Adams County Platte Valley Medical Center, 5.00% due 8/1/2015 (Brighton Community Hospital Association; Insured: Natl-Re/FHA) | BBB/NR | 1,565,000 | 1,728,496 | |||||||
Beacon Point Metropolitan District, 4.375% due 12/1/2015 (LOC: Compass Bank) | A-/NR | 1,145,000 | 1,149,156 | |||||||
Broomfield Water Activity Enterprise, 5.30% due 12/1/2014 (Insured: Natl-Re) | NR/A1 | 1,620,000 | 1,633,592 | |||||||
Colorado COP, 3.00% due 3/1/2013 (Colorado Penitentiary) | AA-/Aa2 | 1,205,000 | 1,224,328 | |||||||
Colorado COP, 4.00% due 3/1/2014 (Colorado Penitentiary) | AA-/Aa2 | 1,285,000 | 1,347,515 | |||||||
Colorado COP, 5.00% due 3/1/2016 (Colorado Penitentiary) | AA-/Aa2 | 2,000,000 | 2,271,180 | |||||||
Colorado COP, 5.00% due 3/1/2017 (Colorado Penitentiary) | AA-/Aa2 | 2,000,000 | 2,311,100 | |||||||
16 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Colorado COP, 5.00% due 3/1/2018 (Colorado Penitentiary) | AA-/Aa2 | $ | 1,500,000 | $ | 1,752,480 | |||||
Colorado Educational & Cultural Facilities, 4.00% due 6/1/2014 (NCSL) | A/A3 | 1,300,000 | 1,372,735 | |||||||
Colorado Educational & Cultural Facilities, 5.00% due 6/1/2016 (NCSL) | A/A3 | 1,475,000 | 1,648,121 | |||||||
Colorado Educational & Cultural Facilities, 5.00% due 6/1/2018 (NCSL) | A/A3 | 1,625,000 | 1,858,269 | |||||||
Colorado Educational & Cultural Facilities, 5.00% due 6/1/2020 (NCSL) | A/A3 | 1,805,000 | 2,087,122 | |||||||
Colorado Educational & Cultural Facilities, 5.00% due 6/1/2021 (NCSL) | A/A3 | 1,000,000 | 1,148,020 | |||||||
Colorado Educational & Cultural Facilities, 0.20% due 5/1/2037 put 4/2/2012 (National Jewish Federation; LOC: JPMorgan Chase Bank) (daily demand notes) | NR/Aa1 | 650,000 | 650,000 | |||||||
Colorado Educational & Cultural Facilities, 0.20% due 9/1/2038 put 4/2/2012 (National Jewish Federation; LOC: JPMorgan Chase Bank) (daily demand notes) | NR/Aa1 | 950,000 | 950,000 | |||||||
Colorado HFA, 5.00% due 11/15/2013 (Adventist Health/Sunbelt Group) | AA-/Aa3 | 2,840,000 | 3,037,579 | |||||||
Colorado HFA, 5.00% due 11/15/2015 (Adventist Health/Sunbelt Group) | AA-/Aa3 | 2,365,000 | 2,676,967 | |||||||
Colorado HFA, 5.25% due 5/15/2017 (Northern Colorado Medical Center; Insured: AGM) | AA-/NR | 1,185,000 | 1,376,508 | |||||||
Colorado HFA, 5.25% due 5/15/2019 (Northern Colorado Medical Center; Insured: AGM) | AA-/NR | 2,225,000 | 2,634,133 | |||||||
Colorado HFA, 5.50% due 10/1/2038 put 11/12/2015 (Catholic Health Initiatives) | AA/Aa2 | 1,000,000 | 1,157,080 | |||||||
Colorado HFA, 5.00% due 7/1/2039 put 11/11/2014 (Catholic Health Initiatives) | AA/Aa2 | 3,000,000 | 3,321,630 | |||||||
Colorado HFA, 5.00% due 7/1/2039 put 11/8/2012 (Catholic Health Initiatives) | AA/Aa2 | 3,500,000 | 3,600,030 | |||||||
Colorado HFA, 5.00% due 7/1/2039 put 11/12/2013 (Catholic Health Initiatives) | AA/Aa2 | 7,255,000 | 7,770,685 | |||||||
Colorado Higher Education COP, 5.00% due 11/1/2013 | AA-/Aa2 | 1,025,000 | 1,094,393 | |||||||
Denver City & County Airport System, 5.00% due 11/15/2016 (Insured: Natl-Re) | A+/A1 | 1,725,000 | 1,996,688 | |||||||
Denver City & County Airport System, 5.00% due 11/15/2017 (Insured: Natl-Re) | A+/A1 | 1,000,000 | 1,168,920 | |||||||
Denver City & County COP, 5.00% due 5/1/2013 (Insured: Natl-Re) | AA+/Aa1 | 3,890,000 | 4,078,470 | |||||||
Denver City & County COP, 5.00% due 5/1/2014 (Insured: Natl-Re) | AA+/Aa1 | 4,000,000 | 4,337,880 | |||||||
Denver City & County COP, 5.00% due 12/1/2016 (Buell Theatre/Jail Dormitory; Insured: Natl-Re) | AA+/Aa1 | 3,025,000 | 3,213,185 | |||||||
Denver City & County COP, 0.20% due 1/12/2029 put 4/2/2012 (SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/Aa1 | 40,535,000 | 40,535,000 | |||||||
Denver City & County COP, 0.20% due 12/1/2029 put 4/2/2012 (SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/Aa2 | 3,790,000 | 3,790,000 | |||||||
Denver City & County COP, 0.20% due 1/12/2031 put 4/2/2012 (SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/Aa1 | 11,050,000 | 11,050,000 | |||||||
Denver Convention Center Hotel Authority, 5.25% due 12/1/2014 (Insured: Syncora) | BBB-/Baa3 | 3,450,000 | 3,671,317 | |||||||
Denver Convention Center Hotel Authority, 5.00% due 12/1/2019 pre-refunded 12/1/2013 (Insured: Syncora) | NR/NR | 5,000,000 | 5,375,900 | |||||||
Denver Convention Center Hotel Authority, 5.25% due 12/1/2021 (Insured: Syncora) | BBB-/Baa3 | 3,700,000 | 3,829,167 | |||||||
Denver Convention Center Hotel Authority, 5.00% due 12/1/2022 pre-refunded 12/1/2013 (Insured: Syncora) | NR/NR | 2,000,000 | 2,150,360 | |||||||
Denver Convention Center Hotel Authority, 5.25% due 12/1/2022 (Insured: Syncora) | BBB-/Baa3 | 1,000,000 | 1,028,640 | |||||||
E-470 Public Highway Authority Capital Appreciation, 0% due 9/1/2014 (Insured: Natl-Re) | BBB/Baa2 | 1,910,000 | 1,816,735 | |||||||
Longmont Sales & Use Tax, 6.00% due 5/15/2019 | AA+/NR | 3,215,000 | 3,994,445 | |||||||
Park Creek Metropolitan District, 5.00% due 12/1/2015 (Insured: AGM) | AA-/NR | 1,000,000 | 1,127,270 | |||||||
Park Creek Metropolitan District, 5.00% due 12/1/2016 (Insured: AGM) | AA-/NR | 1,035,000 | 1,185,768 | |||||||
Park Creek Metropolitan District, 5.00% due 12/1/2017 (Insured: AGM) | AA-/NR | 1,525,000 | 1,755,778 | |||||||
Park Creek Metropolitan District, 5.50% due 12/1/2018 (Insured: AGM) | AA-/NR | 1,200,000 | 1,430,568 | |||||||
Park Creek Metropolitan District, 5.50% due 12/1/2019 (Insured: AGM) | AA-/NR | 1,000,000 | 1,204,980 | |||||||
Regional Transportation District COP, 5.00% due 6/1/2018 | A-/Aa3 | 1,750,000 | 2,024,855 | |||||||
Regional Transportation District COP, 5.00% due 6/1/2019 | A-/Aa3 | 4,730,000 | 5,519,815 | |||||||
Regional Transportation District COP, 5.00% due 6/1/2020 | A-/Aa3 | 3,655,000 | 4,288,521 | |||||||
Regional Transportation District COP, 5.50% due 6/1/2021 | A-/Aa3 | 2,370,000 | 2,842,720 | |||||||
Southlands Metropolitan District GO, 6.75% due 12/1/2016 pre-refunded 12/1/2014 | AA+/NR | 745,000 | 836,657 | |||||||
CONNECTICUT — 0.04% | ||||||||||
Connecticut State Health & Educational Facility Authority, 0.19% due 7/1/2036 put 4/2/2012 (Yale University Project) (daily demand notes) | AAA/Aaa | 2,300,000 | 2,300,000 | |||||||
Certified Semi-Annual Report 17
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
DISTRICT OF COLUMBIA — 1.02% | ||||||||||
District of Columbia Convention Center Authority, 5.00% due 10/1/2013 (Washington Convention Center; Insured: AMBAC) | A/A1 | $ | 3,000,000 | $ | 3,174,750 | |||||
District of Columbia COP, 5.25% due 1/1/2013 (Insured: AMBAC) | A/NR | 2,085,000 | 2,141,983 | |||||||
District of Columbia COP, 5.25% due 1/1/2015 (Insured: Natl-Re/FGIC) | A/Aa3 | 2,875,000 | 3,177,737 | |||||||
District of Columbia COP, 5.25% due 1/1/2016 (Insured: Natl-Re/FGIC) | A/Aa3 | 4,625,000 | 5,204,975 | |||||||
District of Columbia COP, 5.00% due 1/1/2018 | A/Aa3 | 5,000,000 | 5,587,600 | |||||||
District of Columbia COP, 5.00% due 1/1/2019 (Insured: Natl-Re) | A/Aa3 | 5,000,000 | 5,541,450 | |||||||
District of Columbia COP, 4.50% due 1/1/2021 (Insured: Natl-Re/FGIC) | A/Aa3 | 1,100,000 | 1,192,620 | |||||||
District of Columbia GO, 6.00% due 6/1/2018 (Insured: Natl-Re) | A+/Aa2 | 5,000,000 | 6,138,250 | |||||||
District of Columbia GO, 5.25% due 6/1/2020 (Insured: Syncora) | A+/Aa2 | 3,005,000 | 3,685,031 | |||||||
District of Columbia Housing Finance Agency, 5.00% due 7/1/2014 (Insured: AGM HUD Loan) | AA-/Aa3 | 1,195,000 | 1,288,246 | |||||||
District of Columbia Housing Finance Agency, 5.00% due 7/1/2015 (Insured: AGM HUD Loan) | AA-/Aa3 | 1,480,000 | 1,633,387 | |||||||
District of Columbia Revenue, 4.00% due 4/1/2015 (National Public Radio) | AA-/Aa3 | 1,000,000 | 1,083,570 | |||||||
District of Columbia Revenue, 5.00% due 4/1/2016 (National Public Radio) | AA-/Aa3 | 500,000 | 569,410 | |||||||
District of Columbia Revenue, 4.00% due 4/1/2017 (National Public Radio) | AA-/Aa3 | 1,830,000 | 2,033,185 | |||||||
District of Columbia Revenue, 5.00% due 4/1/2018 (National Public Radio) | AA-/Aa3 | 1,195,000 | 1,400,158 | |||||||
District of Columbia Revenue, 5.00% due 4/1/2019 (National Public Radio) | AA-/Aa3 | 805,000 | 952,436 | |||||||
District of Columbia Revenue, 5.00% due 4/1/2020 (National Public Radio) | AA-/Aa3 | 1,250,000 | 1,483,863 | |||||||
District of Columbia Tax Increment, 0% due 7/1/2012 (Mandarin Oriental; Insured: AGM) | AA-/Aa3 | 1,580,000 | 1,577,203 | |||||||
Metropolitan Washington Airports Authority, 0% due 10/1/2014 (Dulles Toll Road; Insured: AGM) | AA-/Aa3 | 2,000,000 | 1,906,600 | |||||||
Metropolitan Washington Airports Authority, 0% due 10/1/2016 (Dulles Toll Road; Insured: AGM) | AA-/Aa3 | 4,000,000 | 3,533,520 | |||||||
FLORIDA — 8.20% | ||||||||||
Broward County Airport Systems, 5.00% due 10/1/2014 (Insured: AMBAC) | A+/A1 | 4,000,000 | 4,370,840 | |||||||
Broward County Port Facilities, 5.00% due 9/1/2013 | A-/A2 | 2,000,000 | 2,106,920 | |||||||
Broward County Port Facilities, 5.00% due 9/1/2017 | A-/A2 | 2,820,000 | 3,195,060 | |||||||
Broward County Port Facilities, 5.50% due 9/1/2018 | A-/A2 | 3,500,000 | 4,091,290 | |||||||
Broward County Port Facilities, 5.50% due 9/1/2019 | A-/A2 | 2,800,000 | 3,299,128 | |||||||
Broward County School Board COP, 5.25% due 7/1/2015 (Insured: AGM) | AA-/Aa3 | 3,035,000 | 3,387,242 | |||||||
Broward County School Board COP, 5.00% due 7/1/2016 (Insured: AGM) | AA-/Aa3 | 1,495,000 | 1,682,129 | |||||||
Broward County School Board COP, 5.25% due 7/1/2016 (Insured: AGM) | AA-/Aa3 | 3,715,000 | 4,217,788 | |||||||
Broward County School Board COP, 5.25% due 7/1/2016 (Insured: AGM) | AA-/Aa3 | 7,630,000 | 8,662,644 | |||||||
Broward County School Board COP, 5.00% due 7/1/2017 (Insured: Natl-Re/FGIC) | A/Aa3 | 1,000,000 | 1,131,310 | |||||||
Capital Projects Finance Authority, 5.50% due 10/1/2012 (Insured: Natl-Re) | BBB/Baa2 | 1,820,000 | 1,824,914 | |||||||
Capital Projects Finance Authority, 5.50% due 10/1/2015 (Insured: Natl-Re) | BBB/Baa2 | 2,660,000 | 2,660,745 | |||||||
Collier County Special Obligation Revenue, 4.00% due 10/1/2014 | AA/Aa2 | 1,410,000 | 1,528,243 | |||||||
Escambia County HFA, 5.25% due 11/15/2014 (Ascension Health Credit) | AA+/Aa1 | 1,835,000 | 2,049,732 | |||||||
Flagler County School Board COP, 5.00% due 8/1/2014 (Insured: AGM) | AA-/Aa3 | 1,605,000 | 1,740,173 | |||||||
Flagler County School Board COP, 5.00% due 8/1/2015 (Insured: AGM) | AA-/Aa3 | 1,500,000 | 1,668,630 | |||||||
Florida Atlantic University Financing Corp. Capital Improvements Revenue, 5.00% due 7/1/2014 (Innovation Village) | A/A1 | 1,950,000 | 2,104,420 | |||||||
Florida Atlantic University Financing Corp. Capital Improvements Revenue, 5.00% due 7/1/2015 (Innovation Village) | A/A1 | 2,395,000 | 2,648,822 | |||||||
Florida Atlantic University Financing Corp. Capital Improvements Revenue, 5.00% due 7/1/2016 (Innovation Village) | A/A1 | 2,275,000 | 2,549,888 | |||||||
Florida Board of Education Lottery Revenue, 5.25% due 7/1/2016 (Insured: Natl-Re/FGIC) | AAA/A1 | 1,000,000 | 1,021,470 | |||||||
Florida Department of Management Services, 5.25% due 9/1/2016 (Insured: AGM) | AA+/Aa2 | 3,500,000 | 4,077,115 | |||||||
Florida Higher Educational Facilities Financing, 4.00% due 4/1/2013 (Nova Southeastern University) | BBB/Baa2 | 1,100,000 | 1,124,717 | |||||||
Florida Higher Educational Facilities Financing, 5.00% due 4/1/2014 (Nova Southeastern University) | BBB/Baa2 | 2,365,000 | 2,497,866 | |||||||
18 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Florida Higher Educational Facilities Financing, 5.00% due 4/1/2015 (Nova Southeastern University) | BBB/Baa2 | $ | 2,350,000 | $ | 2,526,696 | |||||
Florida Higher Educational Facilities Financing, 5.00% due 4/1/2016 (Nova Southeastern University) | BBB/Baa2 | 2,345,000 | 2,544,630 | |||||||
Florida Higher Educational Facilities Financing, 5.25% due 4/1/2017 (Nova Southeastern University) | BBB/Baa2 | 1,325,000 | 1,458,017 | |||||||
Florida Higher Educational Facilities Financing, 5.25% due 4/1/2018 (Nova Southeastern University) | BBB/Baa2 | 2,630,000 | 2,898,181 | |||||||
Florida Higher Educational Facilities Financing, 5.50% due 4/1/2019 (Nova Southeastern University) | BBB/Baa2 | 1,705,000 | 1,898,364 | |||||||
Florida Hurricane Catastrophe, 5.00% due 7/1/2014 | AA-/Aa3 | 11,000,000 | 11,967,230 | |||||||
Florida State Correctional Privatization Commission COP, 5.00% due 8/1/2015 (Insured: AMBAC) | AA+/Aa2 | 2,000,000 | 2,184,380 | |||||||
Florida State Department of Children & Families COP, 5.00% due 10/1/2012 | AA+/NR | 770,000 | 785,154 | |||||||
Florida State Department of Children & Families COP, 5.00% due 10/1/2014 | AA+/NR | 905,000 | 983,219 | |||||||
Florida State Department of Children & Families COP, 5.00% due 10/1/2015 | AA+/NR | 925,000 | 1,030,043 | |||||||
Florida State Department of Transportation GO, 5.375% due 7/1/2017 | AAA/Aa1 | 4,675,000 | 4,780,842 | |||||||
Florida State Department of Transportation GO, 5.00% due 7/1/2018 | AAA/Aa1 | 3,000,000 | 3,559,500 | |||||||
Florida State Housing Finance Corp., 1.625% due 1/1/2015 (Captiva Cove Apartments; Insured: FNMA) | NR/Aaa | 1,600,000 | 1,603,040 | |||||||
Florida Turnpike Authority, 5.00% due 7/1/2013 (Department of Transportation) | AA-/Aa3 | 4,875,000 | 5,156,190 | |||||||
Fort Myers Florida Improvement Revenue, 5.00% due 12/1/2018 (Insured: Natl-Re) | A+/Aa3 | 2,195,000 | 2,463,822 | |||||||
Gainesville Utilities Systems Revenue, 6.50% due 10/1/2013 | AA/Aa2 | 4,800,000 | 5,200,560 | |||||||
Gainesville Utilities Systems Revenue, 0.28% due 10/1/2026 put 4/2/2012 (SPA: SunTrust Bank) (daily demand notes) | AA/Aa2 | 43,080,000 | 43,080,000 | |||||||
Gainesville Utilities Systems Revenue, 0.32% due 10/1/2026 put 4/2/2012 (SPA: SunTrust Bank) (daily demand notes) | AA/Aa2 | 10,065,000 | 10,065,000 | |||||||
Highlands County HFA, 5.00% due 11/15/2015 (Adventist Health) | AA-/Aa3 | 1,000,000 | 1,130,130 | |||||||
Highlands County HFA, 5.00% due 11/15/2016 (Adventist Health/Sunbelt Group) | AA-/Aa3 | 1,000,000 | 1,149,290 | |||||||
Highlands County HFA, 5.00% due 11/15/2017 (Adventist Health) | AA-/Aa3 | 1,000,000 | 1,112,010 | |||||||
Highlands County HFA, 5.00% due 11/15/2017 (Adventist Health/Sunbelt Group) | AA-/Aa3 | 3,200,000 | 3,746,528 | |||||||
Highlands County HFA, 5.00% due 11/15/2019 (Adventist Health/Sunbelt Group) | AA-/Aa3 | 3,000,000 | 3,548,040 | |||||||
Highlands County HFA, 3.95% due 11/15/2032 put 9/1/2012 (Adventist Health/Sunbelt Group) | AA-/Aa3 | 2,500,000 | 2,536,275 | |||||||
Hillsborough County Assessment, 5.00% due 3/1/2015 (Insured: Natl-Re/FGIC) | A+/A1 | 5,000,000 | 5,450,150 | |||||||
Hillsborough County IDA PCR, 5.10% due 10/1/2013 (Tampa Electric Co.) | BBB+/Baa1 | 7,410,000 | 7,539,823 | |||||||
Hillsborough County Investment Tax Revenue, 5.00% due 11/1/2016 (Insured: AMBAC) | AA/Aa2 | 1,000,000 | 1,168,090 | |||||||
Hillsborough County School Board COP, 5.25% due 7/1/2017 (Insured: Natl-Re) | AA-/Aa2 | 1,000,000 | 1,159,960 | |||||||
Hollywood Community Redevelopment Agency, 5.00% due 3/1/2016 (Insured: Syncora) | NR/A3 | 2,000,000 | 2,191,420 | |||||||
Hollywood Community Redevelopment Agency, 5.00% due 3/1/2017 (Insured: Syncora) | NR/A3 | 2,000,000 | 2,203,560 | |||||||
Hollywood Water & Sewer Revenue, 5.00% due 10/1/2014 (Insured: AGM) | NR/Aa2 | 1,300,000 | 1,384,123 | |||||||
Jacksonville Economic Development Commission, 6.00% due 9/1/2017 (Florida Proton Therapy Institute) | NR/NR | 5,235,000 | 5,639,980 | |||||||
JEA, 5.00% due 10/1/2014 (Electric Systems) | A+/Aa3 | 7,165,000 | 7,745,580 | |||||||
JEA, 4.00% due 10/1/2016 (Electric Systems) | A+/Aa3 | 3,540,000 | 3,923,948 | |||||||
JEA Water & Sewer Systems Revenue, 3.50% due 10/1/2013 | AA/Aa2 | 5,565,000 | 5,820,656 | |||||||
JEA Water & Sewer Systems Revenue, 5.00% due 10/1/2018 | AA/Aa2 | 1,500,000 | 1,794,840 | |||||||
Kissimmee Utilities Authority Electrical Systems Revenue, 5.25% due 10/1/2016 (Insured: AGM) | NR/Aa3 | 1,700,000 | 1,974,958 | |||||||
Lake County School Board COP, 5.25% due 6/1/2017 (Insured: AMBAC) | A/NR | 2,000,000 | 2,290,140 | |||||||
Lake County School Board COP, 5.25% due 6/1/2018 (Insured: AMBAC) | A/NR | 1,475,000 | 1,701,693 | |||||||
Lakeland Florida Energy System Revenue, 5.00% due 10/1/2016 (Insured: AGM) | AA-/Aa3 | 9,780,000 | 11,288,076 | |||||||
Lakeland Florida Energy System Revenue, 5.00% due 10/1/2017 (Insured: AGM) | AA-/Aa3 | 7,105,000 | 8,314,626 | |||||||
Lakeland Florida Energy System Revenue, 5.00% due 10/1/2019 (Insured: AGM) | AA-/Aa3 | 5,000,000 | 5,958,450 | |||||||
Lakeland Florida Energy System Revenue, 5.00% due 10/1/2020 (Insured: AGM) | AA-/Aa3 | 1,695,000 | 2,024,220 | |||||||
Lakeland Florida Hospital System Revenue, 3.00% due 11/15/2013 (Lakeland Regional Health) | NR/A2 | 1,000,000 | 1,026,020 | |||||||
Certified Semi-Annual Report 19
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Lakeland Florida Hospital System Revenue, 4.00% due 11/15/2014 (Lakeland Regional Health) | NR/A2 | $ | 1,000,000 | $ | 1,060,590 | |||||
Lakeland Florida Hospital System Revenue, 5.00% due 11/15/2019 (Lakeland Regional Health) | NR/A2 | 5,640,000 | 6,397,339 | |||||||
Marion County Hospital District, 5.00% due 10/1/2015 (Munroe Regional Health Systems) | NR/A3 | 1,000,000 | 1,093,010 | |||||||
Miami Beach GO, 4.00% due 9/1/2019 | AA-/Aa2 | 2,745,000 | 3,095,509 | |||||||
Miami Beach GO, 5.00% due 9/1/2020 | AA-/Aa2 | 3,720,000 | 4,464,595 | |||||||
Miami Beach GO, 4.00% due 9/1/2021 | AA-/Aa2 | 1,015,000 | 1,140,880 | |||||||
Miami Beach GO, 5.00% due 9/1/2022 | AA-/Aa2 | 1,000,000 | 1,189,230 | |||||||
Miami Dade County Educational Facilities Authority GO, 5.00% due 4/1/2016 (University of Miami; Insured: AMBAC) | A-/A3 | 3,000,000 | 3,324,420 | |||||||
Miami Dade County Expressway Authority, 5.00% due 7/1/2019 (Insured: AGM) | AA-/Aa3 | 6,530,000 | 7,580,677 | |||||||
Miami Dade County GO, 5.25% due 7/1/2018 (Building Better Communities) | AA-/Aa2 | 4,540,000 | 5,414,813 | |||||||
Miami Dade County Professional Sports Franchise Facilities Tax, 0% due 10/1/2015 (Insured: AGM) | AA-/Aa3 | 3,845,000 | 3,527,595 | |||||||
Miami Dade County Professional Sports Franchise Facilities Tax, 0% due 10/1/2016 (Insured: AGM) | AA-/Aa3 | 3,535,000 | 3,132,470 | |||||||
Miami Dade County Professional Sports Franchise Facilities Tax, 0% due 10/1/2017 (Insured: AGM) | AA-/Aa3 | 2,435,000 | 2,061,057 | |||||||
Miami Dade County Professional Sports Franchise Facilities Tax, 0% due 10/1/2018 (Insured: AGM) | AA-/Aa3 | 5,385,000 | 4,333,148 | |||||||
Miami Dade County Professional Sports Franchise Facilities Tax, 0% due 10/1/2019 (Insured: AGM) | AA-/Aa3 | 2,170,000 | 1,648,766 | |||||||
Miami Dade County School Board COP, 5.00% due 5/1/2014 (Insured: Natl-Re) | A/A1 | 1,000,000 | 1,066,640 | |||||||
Miami Dade County School Board COP, 5.00% due 10/1/2015 (Insured: AMBAC) | A/A1 | 1,000,000 | 1,103,680 | |||||||
Miami Dade County School Board COP, 5.00% due 5/1/2016 (Insured: Natl-Re) | A/A1 | 4,015,000 | 4,543,294 | |||||||
Miami Dade County School Board COP, 5.00% due 10/1/2016 (Insured: AMBAC) | A/A1 | 1,000,000 | 1,116,910 | |||||||
Miami Dade County School Board COP, 5.00% due 5/1/2032 put 5/1/2016 | A/A1 | 6,000,000 | 6,608,520 | |||||||
Miami Dade County School District GO, 5.375% due 8/1/2015 (Insured: AGM) | AA-/Aa3 | 5,000,000 | 5,712,350 | |||||||
Miami Dade County Special Housing, 5.80% due 10/1/2012 (HUD Section 8) | NR/Baa3 | 625,000 | 634,838 | |||||||
Miami Special Obligation, 5.00% due 1/1/2018 (Insured: Natl-Re) | A-/A2 | 1,970,000 | 2,261,875 | |||||||
North Miami Educational Facilities Revenue, 5.00% due 4/1/2013 (Johnston & Wales University; Insured: Syncora) | NR/NR | 1,530,000 | 1,577,170 | |||||||
Orange County HFA, 5.00% due 10/1/2013 (Orlando Health) | A/A2 | 1,100,000 | 1,157,002 | |||||||
Orange County HFA, 5.00% due 10/1/2014 (Orlando Health) | A/A2 | 2,790,000 | 2,993,698 | |||||||
Orange County HFA, 5.00% due 10/1/2017 (Orlando Health) | A/A2 | 1,980,000 | 2,204,987 | |||||||
Orange County HFA, 5.25% due 10/1/2019 (Orlando Health) | A/A2 | 5,860,000 | 6,647,291 | |||||||
Orange County HFA, 6.25% due 10/1/2021 (Orlando Health; Insured: Natl-Re) | A/A2 | 1,870,000 | 2,246,132 | |||||||
Orlando & Orange County Expressway Authority, 5.00% due 7/1/2013 (Insured: AMBAC) | A/A2 | 5,845,000 | 6,164,663 | |||||||
Polk County School District, 5.00% due 10/1/2013 (Insured: Natl-Re) | A/Baa2 | 2,000,000 | 2,108,180 | |||||||
Putnam County Development Authority PCR, 5.35% due 3/15/2042 put 5/1/2018 (Seminole Project; Insured: AMBAC) | A-/A3 | 10,000,000 | 11,213,600 | |||||||
Putnam County Development Authority PCR, 5.35% due 3/15/2042 put 5/1/2018 (Seminole Project; Insured: AMBAC) | A-/A3 | 3,125,000 | 3,504,250 | |||||||
South Broward Florida Hospital, 5.00% due 5/1/2020 (Insured: Natl-Re) | AA-/Aa3 | 7,260,000 | 7,887,119 | |||||||
South Florida Water Management District COP, 5.00% due 10/1/2015 (Insured: AMBAC) | AA/Aa2 | 1,000,000 | 1,124,470 | |||||||
South Miami HFA, 5.00% due 8/15/2016 (Baptist Health) | AA/Aa2 | 1,560,000 | 1,788,556 | |||||||
South Miami HFA, 5.00% due 8/15/2017 (Baptist Health) | AA/Aa2 | 4,610,000 | 5,395,682 | |||||||
St. John’s County IDA, 5.50% due 8/1/2014 (Presbyterian Retirement) | NR/NR | 2,120,000 | 2,188,412 | |||||||
St. Petersburg HFA, 5.50% due 11/15/2015 (All Children’s Hospital; Insured: AMBAC) | NR/A1 | 1,995,000 | 2,056,306 | |||||||
St. Petersburg HFA, 5.50% due 11/15/2016 (All Children’s Hospital; Insured: AMBAC) | NR/A1 | 1,980,000 | 2,040,845 | |||||||
Tampa Bay Regional Water Supply Authority, 5.00% due 10/1/2017 | AA+/Aa2 | 5,615,000 | 6,719,807 | |||||||
Tampa Bay Regional Water Supply Authority, 5.00% due 10/1/2018 | AA+/Aa2 | 2,890,000 | 3,488,606 | |||||||
Tampa Bay Regional Water Supply Authority, 5.00% due 10/1/2019 | AA+/Aa2 | 3,000,000 | 3,652,830 | |||||||
Tampa Baycare Health Systems, 5.00% due 11/15/2016 | NR/Aa3 | 2,855,000 | 3,260,667 | |||||||
Tampa Baycare Health Systems, 5.00% due 11/15/2017 | NR/Aa3 | 1,215,000 | 1,414,734 | |||||||
Tampa Sports Authority Revenue, 5.75% due 10/1/2015 (Tampa Bay Arena; Insured: Natl-Re) | BBB/Baa2 | 1,095,000 | 1,142,151 | |||||||
University of Central Florida Athletics Association, Inc. COP, 5.00% due 10/1/2016 (Insured: Natl-Re/FGIC) | BBB/NR | 1,640,000 | 1,765,657 | |||||||
Volusia County Educational Facility Authority, 4.00% due 10/15/2013 (Embry-Riddle; Insured: AGM) | AA-/Aa3 | 675,000 | 699,118 | |||||||
20 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||||
Volusia County Educational Facility Authority, 5.00% due 10/15/2016 (Embry-Riddle; Insured: AGM) | AA-/Aa3 | $ | 2,320,000 | $ | 2,584,410 | |||||||
Volusia County Educational Facility Authority, 4.00% due 10/15/2017 (Embry-Riddle; Insured: AGM) | AA-/Aa3 | 1,030,000 | 1,097,001 | |||||||||
Volusia County Educational Facility Authority, 5.00% due 10/15/2018 (Embry-Riddle; Insured: AGM) | AA-/Aa3 | 2,075,000 | 2,319,290 | |||||||||
Volusia County Educational Facility Authority, 5.00% due 10/15/2019 (Embry-Riddle; Insured: AGM) | AA-/Aa3 | 2,245,000 | 2,511,459 | |||||||||
GEORGIA — 2.32% | ||||||||||||
Atlanta Airport Passenger Facility Charge Revenue, 5.00% due 1/1/2018 | NR/A1 | 2,100,000 | 2,438,205 | |||||||||
Atlanta Airport Passenger Facility Charge Revenue, 5.00% due 1/1/2020 | NR/A1 | 6,000,000 | 7,050,960 | |||||||||
Atlanta Airport Passenger Facility Charge Revenue, 5.00% due 1/1/2021 | NR/A1 | 7,000,000 | 8,113,840 | |||||||||
Atlanta Airport Revenue, 5.00% due 1/1/2019 | NR/A1 | 3,145,000 | 3,677,480 | |||||||||
aAtlanta Airport Revenue, 5.25% due 1/1/2020 | NR/A1 | 5,000,000 | 5,955,650 | |||||||||
Atlanta Airport Revenue, 5.50% due 1/1/2021 | NR/A1 | 3,525,000 | 4,295,812 | |||||||||
Atlanta Tax Allocation, 5.25% due 12/1/2016 (Atlantic Station; Insured: AGM) | AA-/Aa3 | 3,850,000 | 4,332,174 | |||||||||
Atlanta Water & Wastewater Revenue, 5.50% due 11/1/2014 (Insured: Natl-Re/FGIC) | A/A1 | 3,000,000 | 3,350,400 | |||||||||
Atlanta Water & Wastewater Revenue, 5.50% due 11/1/2015 (Insured: Natl-Re/FGIC) | A/A1 | 4,000,000 | 4,618,680 | |||||||||
Atlanta Water & Wastewater Revenue, 5.00% due 11/1/2016 (Insured: AGM) | AA-/Aa3 | 3,215,000 | 3,673,491 | |||||||||
Atlanta Water & Wastewater Revenue, 5.50% due 11/1/2016 (Insured: Natl-Re/FGIC) | A/A1 | 8,215,000 | 9,726,067 | |||||||||
Atlanta Water & Wastewater Revenue, 5.00% due 11/1/2017 (Insured: AGM) | AA-/Aa3 | 4,745,000 | 5,469,609 | |||||||||
Atlanta Water & Wastewater Revenue, 6.00% due 11/1/2019 | A/A1 | 5,650,000 | 7,050,691 | |||||||||
Burke County Development Authority PCR, 2.50% due 1/1/2040 put 3/1/2013 (Oglethorpe Power) | A/Baa1 | 7,000,000 | 7,115,290 | |||||||||
Fulton County Facilities COP, 5.00% due 11/1/2017 | AA-/Aa3 | 8,400,000 | 9,648,828 | |||||||||
Fulton County Facilities COP, 5.00% due 11/1/2019 | AA-/Aa3 | 6,600,000 | 7,662,336 | |||||||||
Gainesville Water & Sewer Revenue, 6.00% due 11/15/2012 (Insured: Natl-Re/FGIC) | AA-/Aa3 | 595,000 | 610,476 | |||||||||
Georgia Municipal Electric Authority, 6.50% due 1/1/2017 | A+/A1 | 1,415,000 | 1,609,393 | |||||||||
Lagrange Troup County Hospital Authority, 5.00% due 7/1/2018 (West Georgia Health Foundation, Inc.) | A+/Aa2 | 2,500,000 | 2,759,000 | |||||||||
Main Street Natural Gas, Inc., 5.00% due 3/15/2013 (Georgia Gas) | A-/Baa1 | 1,500,000 | 1,543,365 | |||||||||
Main Street Natural Gas, Inc., 5.00% due 3/15/2014 (Georgia Gas) | A/Aa3 | 3,000,000 | 3,228,960 | |||||||||
Main Street Natural Gas, Inc., 5.00% due 3/15/2014 (Georgia Gas) | A-/Baa1 | 3,845,000 | 4,027,561 | |||||||||
Main Street Natural Gas, Inc., 5.00% due 3/15/2015 (Georgia Gas) | A-/Baa1 | 2,000,000 | 2,126,580 | |||||||||
Main Street Natural Gas, Inc., 5.00% due 3/15/2018 (Georgia Gas) | A-/Baa1 | 5,000,000 | 5,367,250 | |||||||||
Municipal Electric Authority of Georgia, 6.60% due 1/1/2018 (Insured: Natl-Re) | BBB/A1 | 2,975,000 | 3,361,036 | |||||||||
Valdosta & Lowndes County Hospital Authority, 5.00% due 10/1/2022 (South Medical Center) | AA-/Aa2 | 1,500,000 | 1,737,315 | |||||||||
GUAM — 0.27% | ||||||||||||
Guam Government Limited Obligation Revenue, 5.25% due 12/1/2016 | BBB-/NR | 5,610,000 | 6,109,963 | |||||||||
Guam Government Limited Obligation Revenue, 5.25% due 12/1/2017 | BBB-/NR | 2,000,000 | 2,189,780 | |||||||||
Guam Government Limited Obligation Revenue, 5.50% due 12/1/2018 | BBB-/NR | 3,000,000 | 3,319,410 | |||||||||
Guam Government Limited Obligation Revenue, 5.50% due 12/1/2019 | BBB-/NR | 2,000,000 | 2,216,120 | |||||||||
HAWAII — 0.42% | ||||||||||||
Hawaii Department of Budget & Finance, 6.40% due 7/1/2013 (Kapiolani Health Care; Insured: Natl-Re) | BBB/A3 | 610,000 | 622,096 | |||||||||
Hawaii GO, 5.00% due 12/1/2019 | AA/Aa2 | 3,000,000 | 3,692,250 | |||||||||
Hawaii GO, 5.00% due 12/1/2020 | AA/Aa2 | 2,500,000 | 3,092,600 | |||||||||
Hawaii GO, 5.00% due 12/1/2021 | AA/Aa2 | 3,000,000 | 3,730,350 | |||||||||
Hawaii GO, 5.00% due 12/1/2022 | AA/Aa2 | 4,000,000 | 4,907,280 | |||||||||
Certified Semi-Annual Report 21
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Hawaii State Department of Budget & Finance, 4.95% due 4/1/2012 (Hawaiian Electric Co.; Insured: Natl-Re) | BBB/Baa2 | $ | 5,850,000 | $ | 5,850,351 | |||||
IDAHO — 0.29% | ||||||||||
Twin Falls Urban Renewal Agency, 4.95% due 8/1/2014 | NR/NR | 1,260,000 | 1,297,208 | |||||||
Twin Falls Urban Renewal Agency, 5.15% due 8/1/2017 | NR/NR | 1,455,000 | 1,489,789 | |||||||
University of Idaho, 5.25% due 4/1/2041 put 4/1/2021 | A+/Aa3 | 10,645,000 | 12,526,929 | |||||||
ILLINOIS — 7.64% | ||||||||||
Bolingbrook GO, 0% due 1/1/2016 (Insured: Natl-Re) | NR/Aa3 | 1,500,000 | 1,328,985 | |||||||
Bolingbrook GO, 0% due 1/1/2017 (Insured: Natl-Re) | NR/Aa3 | 2,000,000 | 1,674,140 | |||||||
Broadview Tax Increment Revenue, 5.375% due 7/1/2015 | NR/NR | 3,400,000 | 3,402,244 | |||||||
Chicago Board of Education GO, 6.25% due 1/1/2015 (Insured: Natl-Re) | BBB/Aa3 | 1,310,000 | 1,405,407 | |||||||
Chicago Board of Education GO, 5.25% due 12/1/2017 (Chicago School Reform Board; Insured: Natl-Re/FGIC) | AA-/Aa3 | 4,100,000 | 4,825,167 | |||||||
Chicago Board of Education GO, 5.00% due 12/1/2018 (Insured: Natl-Re) | AA-/Aa3 | 1,000,000 | 1,161,470 | |||||||
Chicago GO, 5.375% due 1/1/2013 (Insured: Natl-Re) | A+/Aa3 | 1,095,000 | 1,122,189 | |||||||
Chicago GO, 0% due 1/1/2016 (City Colleges; Insured: Natl-Re/FGIC) | A+/Aa3 | 2,670,000 | 2,458,616 | |||||||
Chicago GO, 5.40% due 1/1/2018 (Insured: AGM) | AA-/Aa3 | 3,000,000 | 3,011,970 | |||||||
Chicago GO, 5.44% due 1/1/2018 (Capital Appreciation; Insured: Natl-Re) | A+/Aa3 | 3,050,000 | 3,427,376 | |||||||
Chicago Housing Authority Capital Program, 5.00% due 7/1/2015 (Insured: AGM) | AA-/Aa3 | 8,460,000 | 9,404,982 | |||||||
Chicago Housing Authority Capital Program, 5.00% due 7/1/2016 (Insured: AGM) | AA-/Aa3 | 2,000,000 | 2,255,580 | |||||||
Chicago Illinois Board of Education GO, 5.00% due 12/1/2018 | AA-/Aa3 | 3,000,000 | 3,484,410 | |||||||
Chicago Illinois Board of Education GO, 5.00% due 12/1/2019 | AA-/Aa3 | 2,000,000 | 2,340,680 | |||||||
Chicago Illinois Board of Education GO, 0% due 12/1/2020 (Insured: BHAC/FGIC) | AA+/Aa1 | 12,000,000 | 8,959,440 | |||||||
Chicago Illinois Board of Education GO, 5.00% due 12/1/2020 | AA-/Aa3 | 2,500,000 | 2,942,125 | |||||||
Chicago Illinois Board of Education GO, 0.20% due 3/1/2031 put 4/2/2012 (LOC: JPMorgan Chase Bank) (daily demand notes) | AAA/Aa1 | 400,000 | 400,000 | |||||||
Chicago Illinois Board of Education GO, 0.20% due 3/1/2035 put 4/2/2012 (LOC: JPMorgan Chase Bank) (daily demand notes) | AAA/Aa1 | 2,170,000 | 2,170,000 | |||||||
Chicago Illinois Board of Education GO, 0.20% due 3/1/2036 put 4/2/2012 (LOC: JPMorgan Chase Bank) (daily demand notes) | AAA/Aa1 | 11,465,000 | 11,465,000 | |||||||
Chicago Illinois Park District GO, 5.00% due 1/1/2018 (Personal Property Replacement) | AA+/Aa2 | 1,150,000 | 1,338,600 | |||||||
Chicago Illinois Public Building Commerce Building, 4.00% due 1/1/2013 | NR/Aa2 | 3,275,000 | 3,352,978 | |||||||
Chicago Illinois Public Building Commerce Building, 5.25% due 12/1/2013 (Insured: Natl-Re/FGIC) | BBB/Aa3 | 3,000,000 | 3,205,440 | |||||||
Chicago Illinois Transit Authority Capital Grant, 5.25% due 6/1/2017 (Federal Transit Administration) | A/A1 | 3,000,000 | 3,390,180 | |||||||
Chicago Illinois Transit Authority Capital Grant, 5.50% due 6/1/2018 (Federal Transit Administration) | A/A1 | 2,500,000 | 2,870,450 | |||||||
Chicago Midway Airport, 5.50% due 1/1/2013 (Insured: Natl-Re) | A/A2 | 1,180,000 | 1,218,161 | |||||||
Chicago Sales Tax, 0.20% due 1/1/2034 put 4/2/2012 (SPA: JPMorgan Chase Bank) (daily demand notes) | AAA/Aa2 | 14,175,000 | 14,175,000 | |||||||
Chicago Tax Increment, 6.75% due 6/1/2022 (Pilsen Redevelopment) | NR/NR | 5,000,000 | 5,132,850 | |||||||
Chicago Wastewater Transmission Revenue, 4.00% due 1/1/2018 | A+/Aa3 | 1,475,000 | 1,611,010 | |||||||
Cicero Illinois GO, 5.25% due 1/1/2019 (Insured: Syncora) | NR/NR | 6,140,000 | 6,347,532 | |||||||
Cook County Community Consolidated School District GO, 9.00% due 12/1/2016 (Tinley Park; Insured: Natl-Re/FGIC) | NR/Aa2 | 2,500,000 | 3,182,175 | |||||||
Cook County Community High School District, 5.00% due 12/15/2012 (Insured: Assured Guaranty) | AA-/NR | 3,180,000 | 3,278,326 | |||||||
Cook County Community High School District, 5.00% due 12/15/2013 (Insured: Assured Guaranty) | AA-/NR | 6,875,000 | 7,337,619 | |||||||
Cook County Community School District GO, 9.00% due 12/1/2013 (Oak Park; Insured: Natl-Re/FGIC) | NR/Aa2 | 2,250,000 | 2,533,522 | |||||||
22 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Cook County Community School District GO, 9.00% due 12/1/2018 (Insured: Natl-Re/FGIC) | NR/Aa2 | $ | 4,000,000 | $ | 5,594,440 | |||||
Cook County GO, 5.00% due 11/15/2012 (ETM) | AA/Aa3 | 6,000,000 | 6,179,760 | |||||||
Cook County GO, 6.25% due 11/15/2013 (Insured: Natl-Re) (ETM) | AA/Aa3 | 3,995,000 | 4,377,282 | |||||||
Cook County GO, 5.00% due 11/15/2019 | AA/Aa3 | 3,690,000 | 4,305,529 | |||||||
Cook County GO, 5.00% due 11/15/2020 | AA/Aa3 | 3,590,000 | 4,136,218 | |||||||
Cook County GO, 5.00% due 11/15/2021 | AA/Aa3 | 5,000,000 | 5,873,400 | |||||||
DeKalb County USD GO, 0% due 1/1/2021 (Capital Appreciation) | AA-/Aa2 | 6,140,000 | 4,453,342 | |||||||
Illinois Educational Facilities, 4.75% due 3/1/2030 put 3/1/2017 (Art Institute of Chicago) | A+/A1 | 3,030,000 | 3,402,478 | |||||||
Illinois Educational Facilities, 5.00% due 3/1/2030 put 3/1/2017 (Art Institute of Chicago) | NR/A1 | 3,000,000 | 3,361,920 | |||||||
Illinois Educational Facilities, 5.25% due 3/1/2034 put 3/1/2018 (Art Institute of Chicago) | NR/NR | 3,500,000 | 3,989,055 | |||||||
Illinois Educational Facilities, 3.40% due 11/1/2036 put 11/1/2017 (Medical Terminal Field Museum) | A/NR | 1,300,000 | 1,361,048 | |||||||
Illinois Educational Facilities, 4.15% due 11/1/2036 put 11/1/2012 (Field Museum) | A/A2 | 5,250,000 | 5,339,722 | |||||||
Illinois Educational Facilities, 4.30% due 11/1/2036 put 11/1/2013 (Field Museum) | A/A2 | 3,100,000 | 3,238,012 | |||||||
Illinois Finance Authority, 5.00% due 12/1/2012 (Columbia College) | BBB+/NR | 1,000,000 | 1,021,770 | |||||||
Illinois Finance Authority, 4.00% due 2/15/2013 (Alexian Brothers Health Systems) | NR/A3 | 1,500,000 | 1,527,420 | |||||||
Illinois Finance Authority, 5.00% due 2/15/2014 (Alexian Brothers Health Systems) | NR/A3 | 3,000,000 | 3,152,820 | |||||||
Illinois Finance Authority, 5.00% due 5/1/2014 (Student Housing) | NR/Baa3 | 3,895,000 | 4,056,915 | |||||||
Illinois Finance Authority, 5.00% due 11/1/2014 (Central DuPage Health) | AA/NR | 5,000,000 | 5,474,700 | |||||||
Illinois Finance Authority, 4.00% due 4/1/2015 (Advocate Health Care) | AA/Aa2 | 3,000,000 | 3,224,460 | |||||||
Illinois Finance Authority, 5.00% due 10/1/2015 (DePaul University) | NR/A3 | 1,000,000 | 1,109,600 | |||||||
Illinois Finance Authority, 5.00% due 11/1/2015 (Central DuPage Health) | AA/NR | 5,000,000 | 5,600,500 | |||||||
Illinois Finance Authority, 5.25% due 12/1/2015 (Columbia College) | BBB+/NR | 1,620,000 | 1,778,193 | |||||||
Illinois Finance Authority, 5.00% due 4/1/2016 (Advocate Health Care) | AA/Aa2 | 1,250,000 | 1,406,125 | |||||||
Illinois Finance Authority, 5.00% due 12/1/2016 (Columbia College) | BBB+/NR | 1,710,000 | 1,891,123 | |||||||
Illinois Finance Authority, 5.00% due 11/1/2017 (Rush University Medical Center; Insured: Natl-Re) | A-/A2 | 1,000,000 | 1,108,260 | |||||||
Illinois Finance Authority, 5.00% due 12/1/2017 (Columbia College) | BBB+/NR | 1,395,000 | 1,555,885 | |||||||
Illinois Finance Authority, 5.50% due 11/1/2018 (Advocate Health Care) | AA/Aa2 | 1,000,000 | 1,189,000 | |||||||
Illinois Finance Authority, 5.00% due 4/1/2020 (Advocate Health Care) | AA/Aa2 | 1,000,000 | 1,140,590 | |||||||
Illinois Finance Authority, 4.00% due 12/1/2021 (Trinity Health) | AA/Aa2 | 1,000,000 | 1,086,160 | |||||||
Illinois Finance Authority, 3.875% due 11/1/2030 put 5/1/2012 (Advocate Health Care) | AA/Aa2 | 2,000,000 | 2,006,220 | |||||||
Illinois Finance Authority, 2.625% due 2/1/2033 put 8/1/2015 (Peoples Gas Light & Coke Co.) | A-/A1 | 9,500,000 | 9,740,730 | |||||||
Illinois Finance Authority, 4.30% due 6/1/2035 put 6/1/2016 (Peoples Gas Light & Coke Co.; Insured: AMBAC) | A-/A1 | 2,550,000 | 2,786,104 | |||||||
Illinois Finance Authority, 3.00% due 7/1/2042 put 5/6/2014 (Prairie Power; Insured: National Rural Utilities Cooperative) | A/NR | 17,150,000 | 17,641,862 | |||||||
Illinois HFA, 5.00% due 11/15/2013 (Northwestern Medical Facility; Insured: Natl-Re) | NR/A1 | 2,470,000 | 2,475,039 | |||||||
Illinois HFA, 6.00% due 7/1/2017 (Lake Forest Hospital) | AA+/Aa2 | 1,500,000 | 1,516,890 | |||||||
Illinois Sales Tax, 3.50% due 6/15/2012 | AAA/A2 | 6,055,000 | 6,096,537 | |||||||
Illinois Sales Tax, 3.50% due 6/15/2013 | AAA/A2 | 6,455,000 | 6,698,031 | |||||||
Illinois Sales Tax, 3.50% due 6/15/2014 | AAA/A2 | 6,455,000 | 6,862,246 | |||||||
Illinois Sales Tax, 5.125% due 6/15/2015 pre-refunded 6/15/2013 | AAA/A1 | 5,000,000 | 5,279,250 | |||||||
Illinois Sales Tax, 5.00% due 6/15/2016 | AAA/NR | 3,500,000 | 4,055,870 | |||||||
Illinois Sales Tax, 5.50% due 6/15/2016 | AAA/A2 | 2,020,000 | 2,027,272 | |||||||
Illinois Toll Highway Authority, 5.50% due 1/1/2014 (Insured: AGM) | AA-/Aa3 | 17,190,000 | 18,446,073 | |||||||
Illinois Toll Highway Authority, 5.50% due 1/1/2015 (Insured: AGM) | AA-/Aa3 | 5,000,000 | 5,540,100 | |||||||
Kane & DeKalb Counties Community Capital Appreciation GO, 0% due 2/1/2021 (Insured: Natl-Re/FGIC) | NR/Aa3 | 3,165,000 | 2,244,586 | |||||||
Kane County Forest Preservation District GO, 5.00% due 12/15/2015 (Insured: Natl-Re/FGIC) | AA+/NR | 2,780,000 | 3,189,689 | |||||||
Kane McHenry Cook & DeKalb Counties Capital Appreciation GO, 0% due 12/1/2021 (Insured: AMBAC) | NR/Aa3 | 2,000,000 | 1,364,580 | |||||||
Lake County Community High School District GO, 9.00% due 2/1/2014 (Insured: AGM) | AAA/Aa3 | 1,925,000 | 2,206,397 | |||||||
Lake County Community High School District GO, 9.00% due 2/1/2015 (Insured: AGM) | AAA/Aa3 | 1,610,000 | 1,959,499 | |||||||
Lake County Community High School District GO, 9.00% due 2/1/2016 (Insured: AGM) | AAA/Aa3 | 1,890,000 | 2,421,733 | |||||||
Certified Semi-Annual Report 23
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Lake County Community High School District GO, 9.00% due 2/1/2017 (Insured: AGM) | AAA/Aa3 | $ | 2,025,000 | $ | 2,720,628 | |||||
McHenry & Kane Counties Community Consolidated School District GO, 0% due 1/1/2017 (Insured: Natl-Re) | NR/Baa2 | 1,185,000 | 1,019,041 | |||||||
Melrose Park Water Revenue, 5.20% due 7/1/2018 (Insured: Natl-Re) | BBB/Baa2 | 1,190,000 | 1,202,043 | |||||||
Metropolitan Pier & Exposition Authority Dedicated State Tax, 0% due 6/15/2013 pre-refund-ed 10/18/2010 (Insured: Natl-Re) (ETM) | BBB/A3 | 485,000 | 482,279 | |||||||
Metropolitan Pier & Exposition Authority Dedicated State Tax, 0% due 6/15/2013 (Insured: Natl-Re) | AAA/A3 | 560,000 | 550,407 | |||||||
Metropolitan Pier & Exposition Authority Dedicated State Tax, 0% due 6/15/2016 (McCormick Place; Insured: Natl-Re/FGIC) | BBB/A3 | 11,295,000 | 10,288,164 | |||||||
Northern Illinois University, 4.00% due 4/1/2013 (Auxiliary Facilities; Insured: AGM) | NR/Aa3 | 1,000,000 | 1,029,890 | |||||||
Peoria Tazewell Etc. Counties Community College District No. 54 GO, 4.25% due 12/1/2015 | AA+/Aa2 | 2,360,000 | 2,603,292 | |||||||
Quincy Illinois, 5.00% due 11/15/2014 (Blessing Hospital) | A-/A3 | 1,000,000 | 1,058,350 | |||||||
Quincy Illinois, 5.00% due 11/15/2016 (Blessing Hospital) | A-/A3 | 1,750,000 | 1,892,800 | |||||||
Railsplitter Tobacco Settlement Authority, 5.00% due 6/1/2019 | A/NR | 22,000,000 | 24,652,760 | |||||||
Railsplitter Tobacco Settlement Authority, 5.125% due 6/1/2019 | A/NR | 6,780,000 | 7,651,637 | |||||||
Regional Transportation Authority GO, 6.25% due 7/1/2014 (Insured: Natl-Re) | AA/Aa3 | 3,500,000 | 3,910,760 | |||||||
Sangamon County Community Unit School District No. 5, 5.00% due 1/1/2015 (Insured: AGM) | AA/NR | 2,210,000 | 2,460,260 | |||||||
Southwestern Illinois Development Authority, 5.125% due 8/15/2016 (Anderson Hospital) | BBB/Baa3 | 1,450,000 | 1,547,368 | |||||||
University of Illinois Board of Trustees COP, 5.00% due 10/1/2019 (Insured: AGM) | AA-/Aa2 | 2,000,000 | 2,217,040 | |||||||
Waukegan Illinois GO, 5.00% due 12/30/2019 (Insured: AGM) | NR/Aa3 | 1,935,000 | 2,216,601 | |||||||
Waukegan Illinois GO, 5.00% due 12/30/2020 (Insured: AGM) | NR/Aa3 | 1,000,000 | 1,143,760 | |||||||
Waukegan Illinois GO, 5.00% due 12/30/2021 (Insured: AGM) | NR/Aa3 | 2,100,000 | 2,402,988 | |||||||
Waukegan Illinois GO, 5.00% due 12/30/2022 (Insured: AGM) | NR/Aa3 | 1,000,000 | 1,137,220 | |||||||
Will County Valley View Community Unit School District No. 365 GO, 0% due 11/1/2018 (Insured: AGM) | AA/Aa2 | 3,370,000 | 2,794,404 | |||||||
INDIANA — 5.20% | ||||||||||
Allen County Economic Development, 5.00% due 12/30/2012 (Indiana Institute of Technology) | NR/NR | 700,000 | 708,659 | |||||||
Allen County Jail Building Corp. First Mtg, 5.00% due 10/1/2014 (Insured: Syncora) | NR/Aa2 | 1,000,000 | 1,096,090 | |||||||
Allen County Jail Building Corp. First Mtg, 5.00% due 10/1/2015 (Insured: Syncora) | NR/Aa2 | 1,480,000 | 1,667,457 | |||||||
Allen County Jail Building Corp. First Mtg, 5.00% due 10/1/2016 (Insured: Syncora) | NR/Aa2 | 1,520,000 | 1,721,506 | |||||||
Allen County Redevelopment District, 5.00% due 11/15/2016 | NR/A2 | 1,000,000 | 1,107,550 | |||||||
Avon Community School Building Corp., 5.00% due 7/15/2017 (Insured: AMBAC) (State Aid Withholding) | A/NR | 2,500,000 | 2,899,000 | |||||||
Ball State University Student Fee, 5.75% due 7/1/2012 (Insured: Natl-Re/FGIC) | AA-/Aa3 | 510,000 | 512,147 | |||||||
Brownsburg 1999 School Building Corp., 5.00% due 7/15/2013 (Insured: AGM) (State Aid Withholding) | AA-/Aa3 | 1,000,000 | 1,056,880 | |||||||
Brownsburg 1999 School Building Corp., 5.00% due 7/15/2018 (Insured: AGM) (State Aid Withholding) | AA-/NR | 3,430,000 | 3,817,247 | |||||||
Brownsburg 1999 School Building Corp., 5.00% due 8/1/2018 (Insured: AGM) (State Aid Withholding) | AA-/Aa3 | 1,250,000 | 1,392,812 | |||||||
Carmel Redevelopment Authority, 3.00% due 2/1/2013 | AA+/NR | 960,000 | 977,722 | |||||||
Carmel Redevelopment Authority, 3.00% due 8/1/2013 | AA+/NR | 915,000 | 941,196 | |||||||
Carmel Redevelopment Authority, 3.00% due 2/1/2014 | AA+/NR | 965,000 | 999,644 | |||||||
Carmel Redevelopment Authority, 3.00% due 8/1/2014 | AA+/NR | 915,000 | 955,278 | |||||||
Carmel Redevelopment Authority, 0% due 2/1/2015 (Performing Arts Center) | AA+/Aa1 | 1,575,000 | 1,516,583 | |||||||
Carmel Redevelopment Authority, 4.00% due 2/1/2015 | AA+/NR | 990,000 | 1,066,478 | |||||||
Carmel Redevelopment Authority, 4.00% due 8/1/2015 | AA+/NR | 975,000 | 1,061,327 | |||||||
Carmel Redevelopment Authority, 5.00% due 8/1/2021 | AA+/NR | 2,405,000 | 2,845,620 | |||||||
Carmel Redevelopment Authority, 5.00% due 8/1/2022 | AA+/NR | 2,510,000 | 2,962,503 | |||||||
Carmel Redevelopment District COP, 5.75% due 7/15/2022 | NR/NR | 4,470,000 | 4,638,117 | |||||||
Clay Multiple School Building Corp., 4.00% due 7/15/2015 (State Aid Withholding) | AA+/NR | 1,000,000 | 1,086,470 | |||||||
24 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Clay Multiple School Building Corp., 5.00% due 7/15/2016 (State Aid Withholding) | AA+/NR | $ | 1,295,000 | $ | 1,484,018 | |||||
Clay Multiple School Building Corp., 5.00% due 1/15/2017 (State Aid Withholding) | AA+/NR | 1,000,000 | 1,155,550 | |||||||
Evansville Vanderburgh, 5.00% due 7/15/2014 (Insured: AMBAC) | A+/NR | 1,000,000 | 1,074,170 | |||||||
Evansville Vanderburgh, 5.00% due 7/15/2015 (Insured: AMBAC) | A+/NR | 1,000,000 | 1,099,910 | |||||||
Fort Wayne Sewer Works Improvement, 4.25% due 8/1/2013 | NR/Aa3 | 1,715,000 | 1,785,967 | |||||||
Fort Wayne Sewer Works Improvement, 4.25% due 8/1/2014 | NR/Aa3 | 1,745,000 | 1,863,206 | |||||||
Fort Wayne Sewer Works Improvement, 4.25% due 8/1/2015 | NR/Aa3 | 1,780,000 | 1,938,669 | |||||||
Hammond Multi-School Building Corp., 5.00% due 1/15/2014 (Insured: Natl-Re/FGIC) (State Aid Withholding) | AA+/NR | 1,000,000 | 1,079,330 | |||||||
Indiana Bond Bank, 5.25% due 10/15/2016 (Special Gas Program) | NR/Aa3 | 1,545,000 | 1,756,897 | |||||||
Indiana Bond Bank, 5.00% due 10/15/2017 | NR/Aa3 | 5,000,000 | 5,708,000 | |||||||
Indiana Finance Authority, 5.00% due 5/1/2015 (Parkview Health Systems) | A+/A1 | 1,500,000 | 1,637,295 | |||||||
Indiana Finance Authority, 4.90% due 1/1/2016 (Indianapolis Power & Light Co.) | BBB/A3 | 11,650,000 | 12,772,244 | |||||||
Indiana Finance Authority, 5.00% due 5/1/2016 (Parkview Health Systems) | A+/A1 | 3,090,000 | 3,419,518 | |||||||
Indiana Finance Authority, 5.00% due 7/1/2016 (Forensic & Health Science; Insured: Natl-Re) | AA+/Aa1 | 1,030,000 | 1,179,340 | |||||||
Indiana Finance Authority, 5.00% due 9/15/2016 (Marian University) | BBB-/NR | 1,500,000 | 1,594,020 | |||||||
Indiana Finance Authority, 5.00% due 5/1/2017 (Parkview Health Systems) | A+/A1 | 1,000,000 | 1,121,430 | |||||||
Indiana Finance Authority, 5.00% due 9/15/2017 (Marian University) | BBB-/NR | 1,690,000 | 1,791,653 | |||||||
Indiana Finance Authority, 5.25% due 7/1/2018 (Wabash Correctional Facilities) | AA+/Aa1 | 1,000,000 | 1,190,750 | |||||||
Indiana Finance Authority, 5.25% due 7/1/2018 (Rockville Correctional Facilities) | AA+/NR | 2,150,000 | 2,560,112 | |||||||
Indiana Finance Authority, 5.00% due 9/15/2018 (Marian University) | BBB-/NR | 1,790,000 | 1,884,709 | |||||||
Indiana Finance Authority, 5.00% due 11/1/2018 (Lease Revenue) | AA+/Aa2 | 2,750,000 | 3,264,690 | |||||||
Indiana Finance Authority, 5.00% due 9/15/2019 (Marian University) | BBB-/NR | 1,250,000 | 1,303,688 | |||||||
Indiana Finance Authority, 5.00% due 9/15/2020 (Marian University) | BBB-/NR | 2,245,000 | 2,312,058 | |||||||
Indiana Finance Authority, 5.00% due 9/15/2021 (Marian University) | BBB-/NR | 2,320,000 | 2,369,045 | |||||||
Indiana Finance Authority, 0.20% due 2/1/2035 put 4/2/2012 (Lease Appropriation; SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/NR | 7,900,000 | �� | 7,900,000 | ||||||
Indiana Finance Authority, 0.20% due 1/2/2037 put 4/2/2012 (Lease Appropriation; SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/Aa2 | 6,500,000 | 6,500,000 | |||||||
Indiana Finance Authority, 0.20% due 2/1/2037 put 4/2/2012 (Lease Appropriation; SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/Aa3 | 48,525,000 | 48,525,000 | |||||||
Indiana Finance Authority, 0.20% due 2/1/2037 put 4/2/2012 (Lease Appropriation; SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/Aa2 | 15,050,000 | 15,050,000 | |||||||
Indiana Finance Authority, 0.24% due 2/1/2037 put 4/2/2012 (Lease Appropriation; SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/Aa2 | 12,350,000 | 12,350,000 | |||||||
Indiana Finance Authority Hospital Revenue, 3.00% due 3/1/2013 (University Health) | A+/A1 | 1,500,000 | 1,529,715 | |||||||
Indiana Finance Authority Hospital Revenue, 5.00% due 3/1/2020 (University Health) | A+/A1 | 5,000,000 | 5,651,200 | |||||||
Indiana Finance Authority Hospital Revenue, 5.00% due 3/1/2021 (University Health) | A+/A1 | 9,880,000 | 11,096,920 | |||||||
Indiana Finance Authority Hospital Revenue, 5.00% due 3/1/2022 (University Health) | A+/A1 | 3,240,000 | 3,604,792 | |||||||
Indiana Health Facilities, 5.00% due 11/1/2014 (Sisters of St. Francis) | NR/Aa3 | 1,000,000 | 1,096,010 | |||||||
Indiana Health Facilities, 5.50% due 11/15/2015 (Ascension Health) | AA+/Aa1 | 510,000 | 529,171 | |||||||
Indiana Health Facilities, 5.50% due 11/15/2016 (Ascension Health Credit Group) | AA+/Aa1 | 1,385,000 | 1,437,062 | |||||||
Indiana Health Facilities, 5.00% due 11/1/2018 (Sisters of St. Francis) | NR/Aa3 | 1,250,000 | 1,467,500 | |||||||
Indiana Health Facilities, 5.00% due 10/1/2027 put 6/1/2017 (Ascension Health) | NR/Aa2 | 7,000,000 | 8,009,260 | |||||||
Indiana Multi-School Building Corp. First Mtg, 5.00% due 7/15/2016 (Insured: Natl-Re) | AA/Baa2 | 5,000,000 | 5,752,950 | |||||||
Indianapolis Local Public Improvement Bond Bank, 6.75% due 2/1/2014 | AA/NR | 705,000 | 748,999 | |||||||
Indianapolis Local Public Improvement Bond Bank, 5.00% due 1/1/2015 (Waterworks; Insured: Natl-Re) | A+/A2 | 1,000,000 | 1,103,720 | |||||||
Indianapolis Local Public Improvement Bond Bank, 5.00% due 7/1/2015 (Waterworks; Insured: Natl-Re) | A+/A2 | 1,000,000 | 1,120,170 | |||||||
Indianapolis Local Public Improvement Bond Bank, 5.00% due 7/1/2016 (Insured: Natl-Re/FGIC) | AA+/Aa1 | 1,030,000 | 1,151,674 | |||||||
Indianapolis Multi-School Building Corp. First Mtg, 5.50% due 7/15/2015 (Insured: Natl-Re) | AA/Baa2 | 1,690,000 | 1,928,881 | |||||||
Ivy Tech Community College, 4.00% due 7/1/2013 | AA-/NR | 1,000,000 | 1,040,310 | |||||||
Certified Semi-Annual Report 25
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Ivy Tech Community College, 4.00% due 7/1/2014 | AA-/NR | $ | 1,500,000 | $ | 1,603,275 | |||||
Ivy Tech State College Industry, 4.80% due 7/1/2016 (Student Fee; Insured: AMBAC) | AA-/NR | 2,565,000 | 2,586,751 | |||||||
Ivy Tech State College Industry, 4.90% due 7/1/2017 (Student Fee; Insured: AMBAC) | AA-/NR | 2,725,000 | 2,748,953 | |||||||
Knox Middle School Building Corp. First Mtg, 0% due 1/15/2020 (Insured: Natl-Re/FGIC) (State Aid Withholding) | BBB/NR | 1,295,000 | 961,745 | |||||||
Madison Schools Lydia Middleton Building Corp., 5.00% due 7/15/2014 (Insured: Natl-Re/ FGIC) (State Aid Withholding) | AA+/NR | 1,200,000 | 1,322,160 | |||||||
Madison Schools Lydia Middleton Building Corp., 5.00% due 7/15/2015 (Insured: Natl-Re/ FGIC) (State Aid Withholding) | AA+/NR | 1,250,000 | 1,421,350 | |||||||
Mount Vernon of Hancock County First Mtg, 5.00% due 7/15/2013 (Insured: Natl-Re) (State Aid Withholding) | A/Baa2 | 1,055,000 | 1,109,375 | |||||||
Mount Vernon of Hancock County First Mtg, 5.00% due 7/15/2014 (Insured: Natl-Re) (State Aid Withholding) | A/Baa2 | 1,135,000 | 1,234,347 | |||||||
Mount Vernon of Hancock County First Mtg, 5.00% due 7/15/2015 (Insured: Natl-Re) (State Aid Withholding) | A/Baa2 | 1,140,000 | 1,274,908 | |||||||
Noblesville Redevelopment Authority, 5.00% due 8/1/2016 (146th Street Extension A) | AA-/NR | 1,660,000 | 1,904,501 | |||||||
Perry Township-Multi School Building Corp., 5.00% due 7/10/2014 (Insured: AGM) (State Aid Withholding) | NR/Aa2 | 2,130,000 | 2,342,041 | |||||||
Plainfield Community High School Building Corp. First Mtg, 5.00% due 1/15/2015 (Insured: Natl-Re/FGIC) | A/NR | 1,445,000 | 1,588,373 | |||||||
Rockport PCR, 6.25% due 6/1/2025 put 6/2/2014 (Indiana Michigan Power Co.) | BBB/Baa2 | 4,100,000 | 4,489,869 | |||||||
Rockport PCR, 6.25% due 6/1/2025 put 6/2/2014 (Indiana Michigan Power Co.) | BBB/Baa2 | 1,000,000 | 1,095,090 | |||||||
aSouth Bend Community School Building Corp., 4.00% due 1/15/2013 (State Aid Withholding) | AA+/NR | 1,545,000 | 1,583,177 | |||||||
South Bend Community School Building Corp., 4.00% due 1/15/2013 | AA+/NR | 1,400,000 | 1,434,594 | |||||||
South Bend Community School Building Corp., 4.00% due 7/15/2013 (State Aid Withholding) | AA+/NR | 1,000,000 | 1,040,240 | |||||||
South Bend Community School Building Corp., 5.00% due 7/15/2016 (Insured: Natl-Re/FGIC) (State Aid Withholding) | AA+/NR | 1,785,000 | 2,070,796 | |||||||
Vincennes University, 3.00% due 6/1/2014 | NR/Aa3 | 1,000,000 | 1,042,900 | |||||||
Vincennes University, 3.00% due 6/1/2015 | NR/Aa3 | 1,000,000 | 1,056,220 | |||||||
Vincennes University, 4.00% due 6/1/2018 | NR/Aa3 | 1,000,000 | 1,118,350 | |||||||
Vincennes University, 5.00% due 6/1/2020 | NR/Aa3 | 1,000,000 | 1,199,850 | |||||||
Warren Township Vision 2005, 5.00% due 7/10/2015 (Insured: Natl-Re/FGIC) (State Aid Withholding) | AA+/NR | 2,895,000 | 3,234,120 | |||||||
West Clark School Building Corp., 5.25% due 1/15/2014 (Insured: Natl-Re) | AA+/Baa2 | 1,335,000 | 1,446,846 | |||||||
IOWA — 0.26% | ||||||||||
Iowa Health Facilities Revenue, 5.00% due 2/15/2014 (Iowa Health System; Insured: AGM) | NR/Aa3 | 2,500,000 | 2,684,450 | |||||||
Iowa Health Facilities Revenue, 5.00% due 2/15/2015 (Iowa Health System; Insured: AGM) | NR/Aa3 | 2,300,000 | 2,539,683 | |||||||
Iowa Health Facilities Revenue, 5.00% due 2/15/2016 (Iowa Health System; Insured: AGM) | NR/Aa3 | 1,600,000 | 1,808,416 | |||||||
Iowa Health Facilities Revenue, 5.00% due 8/15/2016 (Iowa Health System; Insured: AGM) | NR/Aa3 | 1,500,000 | 1,718,265 | |||||||
Iowa Health Facilities Revenue, 5.00% due 2/15/2017 (Iowa Health System; Insured: AGM) | NR/Aa3 | 1,600,000 | 1,842,672 | |||||||
Iowa Health Facilities Revenue, 5.00% due 8/15/2017 (Iowa Health System; Insured: AGM) | NR/Aa3 | 990,000 | 1,152,360 | |||||||
Iowa Health Facilities Revenue, 5.00% due 2/15/2018 (Iowa Health System; Insured: AGM) | NR/Aa3 | 1,405,000 | 1,637,851 | |||||||
KANSAS — 0.92% | ||||||||||
Burlington Environmental Improvement, 5.25% due 12/1/2023 put 4/1/2013 (Kansas City Power & Light; Insured: Syncora) | BBB+/A3 | 5,000,000 | 5,200,500 | |||||||
Burlington Environmental Improvement, 5.375% due 9/1/2035 put 4/1/2013 (Kansas City Power & Light; Insured: Natl-Re/FGIC) | BBB/Baa2 | 12,500,000 | 13,016,750 | |||||||
City of Wichita GO, 0.30% due 8/15/2013 (Norris Training Systems) | SP-1+/Mig1 | 26,900,000 | 26,901,883 | |||||||
Kansas Development Finance Authority, 5.00% due 11/1/2015 | AA/Aa2 | 2,605,000 | 2,981,631 | |||||||
26 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
KENTUCKY — 1.19% | ||||||||||
Jefferson County School District, 5.25% due 1/1/2016 (Insured: AGM) | AA-/Aa2 | $ | 2,145,000 | $ | 2,476,488 | |||||
Kentucky Economic DFA, 0% due 10/1/2019 (Norton Health Care; Insured: Natl-Re) | BBB/Baa2 | 5,000,000 | 3,686,100 | |||||||
Kentucky Economic DFA, 0% due 10/1/2021 (Norton Health Care; Insured: Natl-Re) | BBB/Baa2 | 2,100,000 | 1,375,815 | |||||||
Kentucky Economic DFA, 5.00% due 5/1/2039 put 11/11/2014 (Catholic Health) | AA/Aa2 | 5,000,000 | 5,508,650 | |||||||
Kentucky Municipal Power Agency, 4.00% due 9/1/2015 (Insured: AGM) | AA-/Aa3 | 2,955,000 | 3,229,283 | |||||||
Louisville and Jefferson County Metropolitan Sewer District, 2.50% due 12/12/2012 | SP-1+/Mig1 | 44,990,000 | 45,607,713 | |||||||
LOUISIANA — 2.85% | ||||||||||
Bossier City Louisiana Public Improvement, 4.00% due 12/1/2018 (Insured: AGM) | AA-/Aa3 | 2,020,000 | 2,280,721 | |||||||
Bossier City Louisiana Public Improvement, 4.50% due 12/1/2021 (Insured: AGM) | AA-/Aa3 | 2,240,000 | 2,578,778 | |||||||
East Baton Rouge Sewer, 4.00% due 2/1/2013 | AA-/Aa3 | 1,000,000 | 1,030,250 | |||||||
East Baton Rouge Sewer, 5.00% due 2/1/2014 | AA-/Aa3 | 1,000,000 | 1,080,810 | |||||||
East Baton Rouge Sewer, 5.00% due 2/1/2018 (Insured: AGM) | AA-/Aa3 | 3,000,000 | 3,417,990 | |||||||
Ernest N. Morial New Orleans Exhibit Hall, 5.00% due 7/15/2013 (Insured: AMBAC) | BBB/NR | 2,075,000 | 2,168,333 | |||||||
Jefferson Sales Tax, 5.00% due 12/1/2018 (Insured: AGM) | AA-/Aa3 | 2,000,000 | 2,370,360 | |||||||
Lafayette Utilities Revenue, 4.00% due 11/1/2016 | A+/A1 | 1,395,000 | 1,549,650 | |||||||
Lafayette Utilities Revenue, 5.00% due 11/1/2019 | A+/A1 | 1,000,000 | 1,190,400 | |||||||
Louisiana Citizens Property Insurance Corp., 5.00% due 6/1/2015 (Insured: AMBAC) | A-/A3 | 10,265,000 | 11,324,451 | |||||||
Louisiana Environmental Facilities and Community Development Authority, 5.00% due 9/1/2012 (Bellemont Apartments) | NR/B2 | 95,000 | 94,812 | |||||||
Louisiana Environmental Facilities and Community Development Authority, 4.00% due 10/1/2013 (LCTCS Facilities Corp.) | AA-/A1 | 1,500,000 | 1,568,100 | |||||||
Louisiana Environmental Facilities and Community Development Authority, 4.00% due 10/1/2014 (LCTCS Facilities Corp.) | AA-/A1 | 1,500,000 | 1,607,205 | |||||||
Louisiana Environmental Facilities and Community Development Authority, 5.00% due 3/1/2015 (Independence Stadium) | A/NR | 1,000,000 | 1,093,260 | |||||||
Louisiana Environmental Facilities and Community Development Authority, 5.00% due 3/1/2016 (Independence Stadium) | A/NR | 1,000,000 | 1,112,020 | |||||||
Louisiana Environmental Facilities and Community Development Authority, 5.00% due 3/1/2017 (Independence Stadium) | A/NR | 1,265,000 | 1,421,291 | |||||||
Louisiana Environmental Facilities and Community Development Authority, 5.00% due 3/1/2018 (Independence Stadium) | A/NR | 1,000,000 | 1,131,860 | |||||||
Louisiana Offshore Terminal Authority, 5.00% due 10/1/2018 (Loop LLC) | NR/NR | 22,000,000 | 25,414,840 | |||||||
Louisiana Offshore Terminal Authority, 2.125% due 10/1/2037 put 10/1/2015 | A/NR | 5,000,000 | 5,045,600 | |||||||
Louisiana Public Facilities Authority Hospital Revenue, 5.75% due 7/1/2015 (Franciscan Missionaries; Insured: AGM) | AA-/Aa3 | 1,325,000 | 1,497,223 | |||||||
Louisiana Public Facilities Authority Revenue, 5.00% due 8/1/2012 (Department of Public Safety; Insured: AGM) | AA-/Aa3 | 1,250,000 | 1,267,612 | |||||||
Louisiana Public Facilities Authority Revenue, 5.00% due 8/1/2013 (Department of Public Safety; Insured: AGM) | AA-/Aa3 | 2,500,000 | 2,626,875 | |||||||
Louisiana Public Facilities Authority Revenue, 5.00% due 5/15/2014 (Ochsner Clinic Foundation) | NR/Baa1 | 1,000,000 | 1,059,080 | |||||||
Louisiana Public Facilities Authority Revenue, 5.00% due 5/15/2015 (Ochsner Clinic Foundation) | NR/Baa1 | 1,825,000 | 1,971,730 | |||||||
Louisiana Public Facilities Authority Revenue, 2.875% due 11/1/2015 (Entergy Gulf States) | BBB+/A3 | 2,500,000 | 2,564,900 | |||||||
Louisiana Public Facilities Authority Revenue, 5.00% due 5/15/2016 (Ochsner Clinic Foundation) | NR/Baa1 | 1,000,000 | 1,092,250 | |||||||
Louisiana Public Facilities Authority Revenue, 5.00% due 5/15/2017 (Ochsner Clinic Foundation) | NR/Baa1 | 1,035,000 | 1,141,988 | |||||||
Louisiana Public Facilities Authority Revenue, 5.00% due 5/15/2018 (Ochsner Clinic Foundation) | NR/Baa1 | 2,000,000 | 2,175,460 | |||||||
Louisiana State GO, 5.00% due 8/1/2017 (Insured: Natl-Re) | AA/Aa2 | 4,000,000 | 4,524,040 | |||||||
Louisiana State Office Facilities Corp. Lease Revenue, 3.75% due 3/1/2015 (Capitol Complex) | AA-/Aa3 | 5,000,000 | 5,375,300 | |||||||
Louisiana State Office Facilities Corp. Lease Revenue, 5.00% due 5/1/2015 (State Capitol) | NR/Aa3 | 2,830,000 | 3,159,384 | |||||||
Louisiana State Office Facilities Corp. Lease Revenue, 5.00% due 5/1/2016 (State Capitol) | NR/Aa3 | 1,000,000 | 1,141,190 | |||||||
Louisiana State Office Facilities Corp. Lease Revenue, 5.00% due 5/1/2018 (State Capitol) | NR/Aa3 | 2,500,000 | 2,933,050 | |||||||
Certified Semi-Annual Report 27
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Louisiana State Office Facilities Corp. Lease Revenue, 5.00% due 5/1/2021 (State Capitol) | NR/Aa3 | $ | 4,595,000 | $ | 5,363,100 | |||||
Monroe Sales Tax Increment Garrett Road Economic Development Area, 5.00% due 3/1/2017 pre-refunded 3/1/2015 (Insured: Radian) | NR/NR | 1,505,000 | 1,644,845 | |||||||
Morehouse Parish PCR, 5.25% due 11/15/2013 (International Paper Co.) | BBB/Baa3 | 2,400,000 | 2,536,728 | |||||||
New Orleans Audubon Commission GO, 5.00% due 10/1/2016 (Aquarium Tax) | A/NR | 2,380,000 | 2,680,523 | |||||||
New Orleans Audubon Commission GO, 4.00% due 10/1/2018 (Aquarium Tax; Insured: AGM) | AA-/NR | 1,110,000 | 1,191,074 | |||||||
Parishwide School District GO, 5.00% due 9/1/2016 (Insured: AGM) | AA-/Aa3 | 4,500,000 | 5,123,430 | |||||||
Parishwide School District GO, 5.00% due 9/1/2018 (Insured: AGM) | AA-/Aa3 | 4,800,000 | 5,565,216 | |||||||
Parishwide School District GO, 5.00% due 9/1/2020 (Insured: AGM) | AA-/Aa3 | 3,840,000 | 4,487,232 | |||||||
Plaquemines Parish Law Enforcement District GO, 5.00% due 9/1/2019 | BBB+/NR | 1,005,000 | 1,129,047 | |||||||
Plaquemines Parish Law Enforcement District GO, 5.00% due 9/1/2021 | BBB+/NR | 1,115,000 | 1,226,255 | |||||||
Regional Transit Authority, 0% due 12/1/2015 (Insured: Natl-Re/FGIC) | BBB/NR | 3,670,000 | 3,164,531 | |||||||
Regional Transit Authority Sales Tax, 5.00% due 12/1/2017 (Insured: AGM) | AA-/Aa3 | 755,000 | 884,467 | |||||||
Regional Transit Authority Sales Tax, 5.00% due 12/1/2019 (Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,191,300 | |||||||
Regional Transit Authority Sales Tax, 5.00% due 12/1/2021 (Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,180,840 | |||||||
Regional Transit Authority Sales Tax, 5.00% due 12/1/2022 (Insured: AGM) | AA-/Aa3 | 1,110,000 | 1,289,998 | |||||||
St. Tammany Parish, 5.00% due 6/1/2017 (Insured: CIFG) | A+/NR | 1,405,000 | 1,585,697 | |||||||
Terrebonne Parish Louisiana Hospital Service, 4.00% due 4/1/2014 (General Medical Center) | A/A2 | 800,000 | 833,424 | |||||||
Terrebonne Parish Louisiana Hospital Service, 4.00% due 4/1/2015 (General Medical Center) | A/A2 | 575,000 | 608,787 | |||||||
Terrebonne Parish Louisiana Hospital Service, 4.00% due 4/1/2017 (General Medical Center) | A/A2 | 1,000,000 | 1,071,590 | |||||||
Terrebonne Parish Louisiana Hospital Service, 5.00% due 4/1/2018 (General Medical Center) | A/A2 | 1,000,000 | 1,124,900 | |||||||
Terrebonne Parish Louisiana Hospital Service, 5.00% due 4/1/2019 (General Medical Center) | A/A2 | 1,810,000 | 2,026,204 | |||||||
Terrebonne Parish Louisiana Hospital Service, 5.00% due 4/1/2021 (General Medical Center) | A/A2 | 2,320,000 | 2,564,134 | |||||||
MAINE — 0.07% | ||||||||||
Maine Finance Authority Solid Waste Disposal, 3.80% due 11/1/2015 (Waste Management, Inc.) | BBB/NR | 3,440,000 | 3,735,943 | |||||||
MARYLAND — 0.43% | ||||||||||
Maryland Economic Development Corp., 5.00% due 7/1/2012 (University Of Maryland College Park) | NR/A2 | 2,690,000 | 2,718,810 | |||||||
Maryland Economic Development Corp., 5.00% due 6/1/2021 (Public Health Laboratory) | AA+/Aa1 | 8,725,000 | 10,637,258 | |||||||
Maryland Economic Development Corp., 4.00% due 6/1/2022 (Public Health Laboratory) | AA+/Aa1 | 8,245,000 | 9,259,053 | |||||||
MASSACHUSETTS — 1.44% | ||||||||||
Berkshire Wind Power Cooperative Corp., 5.00% due 7/1/2017 | A-/NR | 2,540,000 | 2,894,406 | |||||||
Berkshire Wind Power Cooperative Corp., 5.00% due 7/1/2018 | A-/NR | 2,825,000 | 3,246,349 | |||||||
Berkshire Wind Power Cooperative Corp., 5.00% due 7/1/2019 | A-/NR | 2,765,000 | 3,196,008 | |||||||
Berkshire Wind Power Cooperative Corp., 5.00% due 7/1/2020 | A-/NR | 2,965,000 | 3,401,063 | |||||||
Greater Lawrence Vocational Technical High School District GO, 2.00% due 3/1/2013 (State Aid Withholding) | NR/Aa2 | 1,470,000 | 1,481,540 | |||||||
Massachusetts DFA, 5.625% due 1/1/2015 (Semass Partnership; Insured: Natl-Re) | BBB/Baa2 | 1,025,000 | 1,037,628 | |||||||
Massachusetts DFA, 3.45% due 12/1/2015 (Carleton-Willard Village) | A-/NR | 2,245,000 | 2,273,399 | |||||||
Massachusetts DFA, 5.625% due 1/1/2016 (Semass Partnership; Insured: Natl-Re) | BBB/Baa2 | 1,970,000 | 1,994,113 | |||||||
Massachusetts DFA, 0.20% due 10/1/2042 put 4/2/2012 (Boston University; LOC: JPMorgan Chase Bank) (daily demand notes) | AAA/Aa1 | 2,500,000 | 2,500,000 | |||||||
Massachusetts Educational Financing Authority, 5.25% due 1/1/2016 | AA/NR | 2,450,000 | 2,724,204 | |||||||
Massachusetts Educational Financing Authority, 5.50% due 1/1/2017 | AA/NR | 1,700,000 | 1,942,709 | |||||||
Massachusetts Educational Financing Authority, 5.50% due 1/1/2018 | AA/NR | 11,170,000 | 12,780,826 | |||||||
Massachusetts Educational Financing Authority, 5.75% due 1/1/2020 | AA/NR | 7,500,000 | 8,894,025 | |||||||
Massachusetts Health & Educational Facilities Authority, 5.375% due 5/15/2012 (New England Medical Center Hospital; Insured: Natl-Re/FGIC) (ETM) | NR/NR | 3,415,000 | 3,436,651 | |||||||
Massachusetts Health & Educational Facilities Authority, 5.00% due 10/1/2012 (Berkshire Health Systems; Insured: AGM) | AA-/NR | 2,330,000 | 2,378,650 | |||||||
28 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Massachusetts Health & Educational Facilities Authority, 5.00% due 10/1/2013 (Berkshire Health Systems; Insured: AGM) | AA-/NR | $ | 3,215,000 | $ | 3,389,478 | |||||
Massachusetts Health & Educational Facilities Authority, 5.00% due 7/1/2014 (UMass Memorial Health Care) | A-/Baa1 | 2,750,000 | 2,923,250 | |||||||
aMassachusetts Health & Educational Facilities Authority, 5.00% due 7/1/2015 (UMass Memorial Health Care) | A-/Baa1 | 2,625,000 | 2,844,949 | |||||||
Massachusetts Health & Educational Facilities Authority, 5.00% due 7/1/2018 (UMass Memorial Health Care) | A-/Baa1 | 4,290,000 | 4,730,669 | |||||||
Massachusetts Health & Educational Facilities Authority, 5.00% due 10/1/2019 (Berkshire Health Systems; Insured: AGM) | AA-/NR | 1,750,000 | 1,873,987 | |||||||
Massachusetts Health & Educational Facilities Authority, 0.20% due 7/1/2039 put 4/2/2012 (Wellesley College) (daily demand notes) | AA+/Aaa | 1,200,000 | 1,200,000 | |||||||
Massachusetts Solid Waste Disposal Revenue, 5.75% due 12/1/2042 put 5/1/2019 (Dominion Energy Brayton) | A-/Baa2 | 2,000,000 | 2,316,060 | |||||||
Pioneer Valley Regional School District GO, 5.375% due 6/15/2019 (Insured: AMBAC) (State Aid Withholding) | NR/Aa2 | 1,230,000 | 1,252,509 | |||||||
MICHIGAN — 5.79% | ||||||||||
Battle Creek, 5.00% due 5/1/2020 (Insured: AMBAC) | AA-/Aa3 | 3,200,000 | 3,613,120 | |||||||
Byron Center Michigan Public Schools, 3.00% due 5/1/2013 (Insured: Q-SBLF) | AA-/NR | 1,745,000 | 1,790,527 | |||||||
Byron Center Michigan Public Schools, 4.00% due 5/1/2015 (Insured: Q-SBLF) | AA-/NR | 1,985,000 | 2,160,077 | |||||||
Byron Center Michigan Public Schools, 4.00% due 5/1/2017 (Insured: AGM/Q-SBLF) | AA-/NR | 1,305,000 | 1,456,511 | |||||||
Byron Center Michigan Public Schools, 4.00% due 5/1/2018 (Insured: AGM/Q-SBLF) | AA-/NR | 1,935,000 | 2,161,705 | |||||||
Byron Center Michigan Public Schools, 4.00% due 5/1/2020 (Insured: AGM/Q-SBLF) | AA-/NR | 1,000,000 | 1,109,730 | |||||||
Detroit Michigan City School District GO, 5.00% due 5/1/2020 (School Building & Site; Insured: Q-SBLF) | AA-/Aa2 | 2,200,000 | 2,524,676 | |||||||
Detroit Michigan City School District GO, 5.00% due 5/1/2021 (School Building & Site; Insured: Q-SBLF) | AA-/Aa2 | 2,000,000 | 2,299,540 | |||||||
Detroit Michigan City School District GO, 5.00% due 5/1/2022 (School Building & Site; Insured: Q-SBLF) | AA-/Aa2 | 3,000,000 | 3,434,430 | |||||||
Detroit Sewage Disposal Revenue, 5.00% due 7/1/2013 (Insured: AGM) | AA-/Aa3 | 1,590,000 | 1,664,062 | |||||||
Detroit Sewage Disposal Revenue, 5.00% due 7/1/2014 (Insured: AGM) | AA-/Aa3 | 2,060,000 | 2,224,326 | |||||||
Detroit Sewage Disposal Revenue, 5.00% due 7/1/2014 (Insured: Natl-Re) | A/A2 | 2,000,000 | 2,120,080 | |||||||
Detroit Sewage Disposal Revenue, 5.00% due 7/1/2015 (Insured: Natl-Re) | A/A2 | 3,000,000 | 3,265,140 | |||||||
Detroit Sewage Disposal Revenue, 5.50% due 7/1/2015 (Insured: AGM) | AA-/Aa3 | 3,920,000 | 4,343,321 | |||||||
Detroit Sewage Disposal Revenue, 5.50% due 7/1/2016 (Insured: Natl-Re) | A+/A1 | 375,000 | 420,428 | |||||||
Detroit Sewage Disposal Revenue, 5.50% due 7/1/2017 (Insured: AGM) | AA-/Aa3 | 825,000 | 950,260 | |||||||
Detroit Sewage Disposal Revenue, 5.50% due 7/1/2018 (Insured: AGM) | AA-/Aa3 | 3,000,000 | 3,483,000 | |||||||
Detroit Sewage Disposal Revenue, 5.25% due 7/1/2019 (Insured: Natl-Re) | A+/A1 | 3,900,000 | 4,301,388 | |||||||
Detroit Sewage Disposal Revenue, 5.25% due 7/1/2020 (Insured: Natl-Re) | A+/A1 | 3,415,000 | 3,722,384 | |||||||
Detroit Sewage Disposal Revenue, 5.25% due 7/1/2020 (Insured: Natl-Re) | A+/A1 | 4,305,000 | 4,692,493 | |||||||
Detroit Sewage Disposal Revenue, 5.25% due 7/1/2022 (Insured: AGM) | AA-/Aa3 | 3,000,000 | 3,386,760 | |||||||
Detroit Water Supply Systems, 5.00% due 7/1/2015 (Insured: Natl-Re/FGIC) | A+/A1 | 6,000,000 | 6,629,880 | |||||||
Detroit Water Supply Systems, 6.00% due 7/1/2015 (Insured: Natl-Re) | A+/A1 | 3,280,000 | 3,698,823 | |||||||
Detroit Water Supply Systems, 6.50% due 7/1/2015 (Insured: Natl-Re/FGIC) | A+/NR | 900,000 | 993,033 | |||||||
Detroit Water Supply Systems, 5.00% due 7/1/2016 (Insured: AGM) | AA-/Aa3 | 2,750,000 | 3,069,192 | |||||||
Dickinson County Economic Development Corp. Environmental Impact, 5.75% due 6/1/2016 (International Paper Co.) | BBB/Baa3 | 8,845,000 | 8,885,333 | |||||||
Dickinson County Health Care Systems, 5.50% due 11/1/2013 (Insured: ACA) | NR/NR | 2,160,000 | 2,162,225 | |||||||
Genesee County GO, 2.00% due 5/1/2012 | NR/A1 | 1,395,000 | 1,396,479 | |||||||
Genesee County GO, 2.00% due 5/1/2013 | NR/A1 | 1,000,000 | 1,010,450 | |||||||
Grand Haven Electric Revenue, 5.50% due 7/1/2016 (Insured: Natl-Re) | BBB/Baa2 | 3,890,000 | 4,312,298 | |||||||
Gull Lake Community School District GO, 0% due 5/1/2013 (Insured: Natl-Re/FGIC) | BBB/NR | 980,000 | 932,372 | |||||||
Certified Semi-Annual Report 29
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Kalamazoo Hospital Finance Authority Facilities Revenue, 4.00% due 5/15/2015 (Bronson Hospital; Insured: AGM) | NR/Aa3 | $ | 1,735,000 | $ | 1,866,687 | |||||
Kalamazoo Hospital Finance Authority Facilities Revenue, 4.00% due 5/15/2016 (Bronson Hospital; Insured: AGM) | NR/Aa3 | 1,850,000 | 2,017,629 | |||||||
Kalamazoo Hospital Finance Authority Facilities Revenue, 4.50% due 5/15/2017 (Bronson Hospital; Insured: AGM) | NR/Aa3 | �� | 1,830,000 | 2,057,176 | ||||||
Kalamazoo Hospital Finance Authority Facilities Revenue, 5.00% due 5/15/2018 (Bronson Hospital; Insured: AGM) | AA-/Aa3 | 1,520,000 | 1,761,847 | |||||||
Kalamazoo Hospital Finance Authority Facilities Revenue, 5.00% due 5/15/2018 (Bronson Hospital; Insured: AGM) | AA-/Aa3 | 2,500,000 | 2,897,775 | |||||||
Kalamazoo Hospital Finance Authority Facilities Revenue, 5.00% due 5/15/2020 (Bronson Hospital; Insured: AGM) | NR/Aa3 | 1,735,000 | 2,030,540 | |||||||
Kalamazoo Hospital Finance Authority Facilities Revenue, 5.00% due 5/15/2021 (Bronson Hospital; Insured: AGM) | NR/Aa3 | 2,350,000 | 2,713,521 | |||||||
Kent Hospital Finance Authority, 5.25% due 1/15/2047 put 1/15/2014 (Spectrum Health) | AA/Aa3 | 5,865,000 | 6,304,934 | |||||||
Kentwood Public Schools GO, 5.00% due 5/1/2015 pre-refunded 5/1/2013 (Insured: Natl-Re) | AA-/Aa2 | 4,050,000 | 4,256,995 | |||||||
Lansing Steam & Electric Utility Systems, 5.00% due 7/1/2016 (Insured: AMBAC) | AA-/Aa3 | 2,000,000 | 2,020,700 | |||||||
Michigan Finance Authority Revenue, 2.00% due 8/20/2012 (State Appropriation) | SP-1+/NR | 25,000,000 | 25,162,500 | |||||||
Michigan Housing Development Authority Rental Housing Revenue GO, 5.00% due 4/1/2016 | AA/NR | 4,020,000 | 4,142,570 | |||||||
Michigan State Building Authority, 5.25% due 10/15/2012 (Insured: AGM) | AA-/Aa3 | 4,285,000 | 4,399,024 | |||||||
Michigan State Building Authority, 5.25% due 10/15/2014 (Insured: AGM) | AA-/Aa3 | 4,300,000 | 4,603,537 | |||||||
Michigan State Building Authority, 5.00% due 10/15/2015 (Insured: AMBAC) | A+/Aa3 | 6,000,000 | 6,758,160 | |||||||
Michigan State Building Authority, 5.25% due 10/15/2015 (Insured: AGM) | AA-/Aa3 | 1,305,000 | 1,391,443 | |||||||
Michigan State Building Authority, 5.50% due 10/15/2017 | A+/Aa3 | 4,000,000 | 4,744,720 | |||||||
Michigan State HFA, 5.50% due 11/15/2015 (Henry Ford Health System) | A/A1 | 2,300,000 | 2,571,354 | |||||||
Michigan State HFA, 5.00% due 11/15/2017 (Sparrow Memorial Hospital) | A+/A1 | 1,500,000 | 1,696,440 | |||||||
Michigan State HFA, 5.50% due 11/15/2017 (Henry Ford Health System) | A/A1 | 1,530,000 | 1,766,370 | |||||||
Michigan State HFA, 5.50% due 11/15/2018 (Henry Ford Health System) | A/A1 | 3,500,000 | 4,074,595 | |||||||
Michigan State HFA, 5.75% due 12/1/2034 put 12/1/2015 (Trinity Health) | AA/Aa2 | 10,000,000 | 11,518,600 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 11/15/2013 (Sparrow Hospital) | A+/A1 | 1,225,000 | 1,303,878 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 7/15/2015 (Oakwood Obligation Group) | A/A2 | 2,500,000 | 2,738,375 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 7/15/2016 (Oakwood Hospital) | A/A2 | 1,205,000 | 1,336,514 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 11/15/2016 (Ascension Health) | AA+/Aa1 | 3,000,000 | 3,449,310 | |||||||
Michigan State Hospital Finance Authority, 5.50% due 11/1/2017 (Oakwood Obligation Group) | A/A2 | 5,000,000 | 5,207,550 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 7/15/2018 (Oakwood Hospital) | A/A2 | 1,000,000 | 1,089,580 | |||||||
Michigan State Hospital Finance Authority, 6.00% due 12/1/2018 (Trinity Health) | AA/Aa2 | 2,000,000 | 2,465,360 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 7/15/2019 (Oakwood Hospital) | A/A2 | 2,000,000 | 2,141,680 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 10/1/2026 put 6/1/2017 (Ascension Health) | NR/Aa2 | 12,140,000 | 13,986,858 | |||||||
Michigan State Strategic Fund, 4.75% due 8/1/2012 (NSF International) | A-/NR | 2,345,000 | 2,369,247 | |||||||
Michigan State Strategic Fund, 5.00% due 10/15/2017 (Insured: AGM) | AA-/Aa3 | 2,000,000 | 2,256,020 | |||||||
Michigan State Strategic Fund, 5.25% due 6/1/2018 (Clark Retirement Community) | BB/NR | 1,615,000 | 1,522,186 | |||||||
Michigan State Strategic Fund, 5.25% due 10/15/2019 (Michigan House Republic Facilities; Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,134,320 | |||||||
Michigan State Strategic Fund, 5.25% due 8/1/2029 put 8/1/2014 (Detroit Edison Co.) | A/NR | 7,500,000 | 8,154,000 | |||||||
Michigan State Strategic Fund, 5.50% due 8/1/2029 put 8/1/2016 (Detroit Edison Co.) | A/NR | 5,160,000 | 5,909,851 | |||||||
Michigan Strategic Fund Limited Michigan House Republic Facilities, 5.25% due 10/15/2020 (Insured: Assured Guaranty) | AA-/Aa3 | 4,025,000 | 4,516,050 | |||||||
Michigan Strategic Fund Solid Waste Disposal Revenue, 2.80% due 12/1/2013 (Waste Management, Inc.) | BBB/NR | 2,850,000 | 2,909,166 | |||||||
Romeo Community School District GO, 5.00% due 5/1/2018 (Insured: Natl-Re/Q-SBLF) | AA-/Aa2 | 3,050,000 | 3,418,226 | |||||||
Royal Oak Hospital Finance Authority Hospital Revenue, 6.25% due 9/1/2014 (William Beaumont Hospital) | A/A1 | 1,000,000 | 1,097,780 | |||||||
Royal Oak Hospital Finance Authority Hospital Revenue, 5.25% due 8/1/2017 (William Beaumont Hospital) | A/A1 | 5,855,000 | 6,582,835 | |||||||
30 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Wayne County Airport Authority, 5.00% due 12/1/2017 (Detroit Metropolitan Airport; Insured: Natl-Re/FGIC) | A/A2 | $ | 1,000,000 | $ | 1,115,720 | |||||
Wayne County Airport Authority, 5.00% due 12/1/2017 (Detroit Metropolitan Airport) | A/A2 | 2,420,000 | 2,700,042 | |||||||
Wayne County Airport Authority, 5.00% due 12/1/2019 (Detroit Metropolitan Airport) | A/A2 | 12,645,000 | 13,981,324 | |||||||
Wayne County Airport Authority, 5.50% due 12/1/2019 (Detroit Metropolitan Airport) | A/A2 | 2,600,000 | 2,961,816 | |||||||
Wayne County Airport Authority, 5.50% due 12/1/2020 (Detroit Metropolitan Airport) | A/A2 | 4,395,000 | 5,051,437 | |||||||
Wayne County Airport Authority, 5.50% due 12/1/2020 (Detroit Metropolitan Airport) | A/A2 | 3,115,000 | 3,580,256 | |||||||
Western Townships Utilities Authority Sewage Disposal GO, 4.00% due 1/1/2013 | AA/NR | 1,000,000 | 1,025,490 | |||||||
Western Townships Utilities Authority Sewage Disposal GO, 4.00% due 1/1/2014 | AA/NR | 1,000,000 | 1,054,500 | |||||||
Western Townships Utilities Authority Sewage Disposal GO, 5.00% due 1/1/2015 | AA/NR | 1,870,000 | 2,067,192 | |||||||
Western Townships Utilities Authority Sewage Disposal GO, 5.00% due 1/1/2016 | AA/NR | 1,670,000 | 1,891,626 | |||||||
Western Townships Utilities Authority Sewage Disposal GO, 5.00% due 1/1/2017 | AA/NR | 1,500,000 | 1,732,470 | |||||||
Western Townships Utilities Authority Sewage Disposal GO, 5.00% due 1/1/2018 | AA/NR | 1,500,000 | 1,750,440 | |||||||
MINNESOTA — 1.37% | ||||||||||
Minneapolis St. Paul Housing & Redevelopment Authority, 5.25% due 12/1/2012 | BBB+/A3 | 1,000,000 | 1,031,030 | |||||||
Minneapolis St. Paul Housing & Redevelopment Authority, 5.25% due 12/1/2013 | BBB+/A3 | 2,200,000 | 2,353,098 | |||||||
Minneapolis St. Paul Housing & Redevelopment Authority, 6.00% due 12/1/2019 | BBB+/A3 | 1,000,000 | 1,061,530 | |||||||
Minneapolis St. Paul Metropolitan Airports, 5.00% due 1/1/2017 (Insured: AMBAC) | AA-/NR | 8,005,000 | 9,233,767 | |||||||
Minnesota Agricultural & Economic Development Board, 4.00% due 2/15/2014 (Essential Health; Insured: AGM) | AA-/NR | 3,460,000 | 3,645,214 | |||||||
Minnesota Agricultural & Economic Development Board, 5.00% due 2/15/2015 (Essential Health; Insured: AGM) | AA-/NR | 1,335,000 | 1,469,742 | |||||||
Minnesota Agricultural & Economic Development Board, 5.00% due 2/15/2017 (Essential Health; Insured: AGM) | AA-/NR | 2,500,000 | 2,865,300 | |||||||
Minnesota GO, 5.00% due 8/1/2016 pre-refunded 9/29/2010 | AA+/Aa1 | 3,200,000 | 3,251,648 | |||||||
Northern Municipal Power Agency Minnesota Electric, 5.00% due 1/1/2019 | A-/A2 | 5,000,000 | 5,915,200 | |||||||
Northern Municipal Power Agency Minnesota Electric, 5.00% due 1/1/2020 | A-/A2 | 3,500,000 | 4,107,670 | |||||||
St. Cloud Health Care Revenue, 5.00% due 5/1/2012 (Centracare Health Systems) | NR/A2 | 1,000,000 | 1,003,980 | |||||||
St. Cloud Health Care Revenue, 5.00% due 5/1/2013 (Centracare Health Systems) | NR/A2 | 1,000,000 | 1,044,590 | |||||||
St. Cloud Health Care Revenue, 5.00% due 5/1/2015 (Centracare Health Systems) | NR/A2 | 1,000,000 | 1,107,070 | |||||||
St. Cloud Health Care Revenue, 5.00% due 5/1/2016 (Centracare Health Systems) | NR/A2 | 1,250,000 | 1,414,638 | |||||||
St. Cloud Health Care Revenue, 5.00% due 5/1/2017 (Centracare Health Systems) | NR/A2 | 1,000,000 | 1,154,010 | |||||||
St. Cloud Health Care Revenue, 5.00% due 5/1/2017 (Centracare Health Systems) | NR/A2 | 2,920,000 | 3,369,709 | |||||||
St. Cloud Health Care Revenue, 5.00% due 5/1/2018 (Centracare Health Systems) | NR/A2 | 3,105,000 | 3,592,671 | |||||||
St. Cloud Health Care Revenue, 5.00% due 5/1/2019 (Centracare Health Systems) | NR/A2 | 3,495,000 | 4,043,645 | |||||||
St. Cloud Health Care Revenue, 5.00% due 5/1/2020 (Centracare Health Systems) | NR/A2 | 3,200,000 | 3,726,304 | |||||||
St. Paul Housing & Redevelopment Authority, 5.00% due 2/1/2018 (Gillette Children’s Specialty) | A-/NR | 1,255,000 | 1,402,161 | |||||||
St. Paul Housing & Redevelopment Authority, 5.25% due 2/1/2020 (Gillette Children’s Specialty) | A-/NR | 2,010,000 | 2,253,914 | |||||||
St. Paul Housing & Redevelopment Authority, 5.25% due 5/15/2021 (HealthPartners) | BBB+/A3 | 1,070,000 | 1,142,300 | |||||||
Tobacco Securitization Authority, 5.00% due 3/1/2020 | A/NR | 2,000,000 | 2,270,540 | |||||||
Tobacco Securitization Authority, 5.00% due 3/1/2021 | A/NR | 2,000,000 | 2,257,840 | |||||||
Tobacco Securitization Authority, 5.00% due 3/1/2022 | A/NR | 6,100,000 | 6,842,065 | |||||||
MISSISSIPPI — 0.26% | ||||||||||
Medical Center Educational Building, 4.00% due 6/1/2015 (University of Mississippi Medical Center) | AA-/Aa2 | 2,325,000 | 2,528,344 | |||||||
Medical Center Educational Building, 4.00% due 6/1/2016 (University of Mississippi Medical Center) | AA-/Aa2 | 3,300,000 | 3,640,626 | |||||||
Mississippi Development Bank Canton Public Improvement GO, 4.75% due 7/1/2017 | NR/NR | 1,355,000 | 1,459,809 | |||||||
Mississippi Development Bank Special Obligation, 5.00% due 8/1/2018 (Department of Corrections) | AA-/NR | 4,910,000 | 5,730,805 | |||||||
Certified Semi-Annual Report 31
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
MISSOURI — 1.47% | ||||||||||
Cass County COP, 3.00% due 5/1/2012 | A/NR | $ | 1,015,000 | $ | 1,017,050 | |||||
Cass County COP, 3.00% due 5/1/2014 | A/NR | 1,425,000 | 1,471,227 | |||||||
Cass County COP, 4.00% due 5/1/2015 | A/NR | 1,000,000 | 1,071,880 | |||||||
Cass County COP, 4.00% due 5/1/2018 | A/NR | 2,255,000 | 2,428,184 | |||||||
Cass County COP, 4.50% due 5/1/2019 | A/NR | 1,270,000 | 1,399,286 | |||||||
Cass County COP, 5.00% due 5/1/2020 | A/NR | 2,255,000 | 2,572,121 | |||||||
Cass County COP, 5.00% due 5/1/2021 | A/NR | 1,750,000 | 1,969,362 | |||||||
Greene County GO, 1.50% due 8/1/2012 (Jamestown NID) | NR/NR | 6,710,000 | 6,721,810 | |||||||
Jackson County Special Obligation, 4.00% due 12/1/2014 (Truman Sports Complex) | NR/A1 | 2,580,000 | 2,753,789 | |||||||
Kansas City IDA, 4.00% due 9/1/2014 (NNSA National Security Campus) | NR/NR | 1,535,000 | 1,575,493 | |||||||
Missouri Development Finance Board, 4.00% due 6/1/2014 (Electric Systems) | A-/NR | 3,930,000 | 4,139,587 | |||||||
Missouri Development Finance Board, 4.00% due 6/1/2015 (Electric Systems) | A-/NR | 1,000,000 | 1,069,950 | |||||||
Missouri Development Finance Board, 4.00% due 6/1/2016 (Electric Systems) | A-/NR | 1,560,000 | 1,688,092 | |||||||
Missouri Development Finance Board, 5.00% due 6/1/2017 (Electric Systems) | A-/NR | 1,525,000 | 1,743,670 | |||||||
Missouri Development Finance Board, 5.00% due 6/1/2018 (Electric Systems) | A-/NR | 1,705,000 | 1,965,030 | |||||||
Missouri Development Finance Board, 5.00% due 6/1/2019 (Electric Systems) | A-/NR | 1,790,000 | 2,067,002 | |||||||
Missouri Development Finance Board, 5.00% due 6/1/2020 (Electric Systems) | A-/NR | 1,000,000 | 1,153,940 | |||||||
Missouri Development Finance Board, 0.20% due 12/1/2033 put 4/2/2012 (Nelson Gallery Foundation; SPA: JPMorgan Chase Bank) (daily demand notes) | AAA/Aaa | 4,700,000 | 4,700,000 | |||||||
Missouri Regional Convention & Sports Complex, 5.25% due 8/15/2016 (Insured: AMBAC) | AA+/Aa2 | 1,800,000 | 1,901,898 | |||||||
Missouri State Health & Educational Facilities Authority, 4.00% due 4/1/2015 (Webster University) | NR/A2 | 2,155,000 | 2,315,569 | |||||||
Missouri State Health & Educational Facilities Authority, 4.00% due 4/1/2016 (Webster University) | NR/A2 | 1,685,000 | 1,829,590 | |||||||
Missouri State Health & Educational Facilities Authority, 4.00% due 4/1/2017 (Webster University) | NR/A2 | 2,360,000 | 2,582,218 | |||||||
Missouri State Health & Educational Facilities Authority, 5.00% due 5/15/2017 (Children’s Mercy Hospital) | A+/NR | 1,000,000 | 1,127,270 | |||||||
Missouri State Health & Educational Facilities Authority, 5.00% due 5/15/2019 (Children’s Mercy Hospital) | A+/NR | 1,000,000 | 1,129,190 | |||||||
Missouri State Health & Educational Facilities Authority, 5.00% due 5/15/2020 (Children’s Mercy Hospital) | A+/NR | 1,000,000 | 1,113,700 | |||||||
Platte County Special Obligation, 4.00% due 4/1/2017 (Community & Resource Centers) | NR/A1 | 1,500,000 | 1,614,930 | |||||||
Platte County Special Obligation, 4.00% due 4/1/2018 (Community & Resource Centers) | NR/A1 | 2,110,000 | 2,265,296 | |||||||
Platte County Special Obligation, 5.00% due 4/1/2019 (Community & Resource Centers) | NR/A1 | 2,000,000 | 2,265,800 | |||||||
Platte County Special Obligation, 5.00% due 4/1/2021 (Community & Resource Centers) | NR/A1 | 2,440,000 | 2,777,720 | |||||||
Springfield Public Utilities COP, 5.00% due 12/1/2013 (Insured: Natl-Re) | AA/A1 | 2,000,000 | 2,125,900 | |||||||
St. Louis Municipal Finance Corp., 4.00% due 2/15/2013 (City Justice Center) | A/A1 | 750,000 | 771,457 | |||||||
St. Louis Municipal Finance Corp., 4.00% due 2/15/2014 (City Justice Center) | A/A1 | 1,000,000 | 1,052,380 | |||||||
St. Louis Municipal Finance Corp., 5.00% due 2/15/2015 (City Justice Center) | A/A1 | 1,250,000 | 1,374,162 | |||||||
St. Louis Municipal Finance Corp., 5.00% due 2/15/2016 (City Justice Center) | A/A1 | 2,065,000 | 2,301,628 | |||||||
St. Louis Municipal Finance Corp., 5.00% due 2/15/2017 (City Justice Center) | A/A1 | 2,000,000 | 2,253,540 | |||||||
St. Louis Municipal Finance Corp., 5.00% due 2/15/2018 (City Justice Center) | A/A1 | 3,865,000 | 4,367,914 | |||||||
NEBRASKA — 0.35% | ||||||||||
Omaha Public Power District Electric Systems, 5.00% due 2/1/2013 | AA/Aa1 | 5,000,000 | 5,143,450 | |||||||
Public Power Generation Agency, 5.00% due 1/1/2020 (Nebraska Whelan Energy Center; Insured: AMBAC) | A-/A2 | 9,930,000 | 11,087,540 | |||||||
Public Power Generation Agency, 5.00% due 1/1/2021 (Nebraska Whelan Energy Center; Insured: AMBAC) | A-/A2 | 1,860,000 | 2,069,734 | |||||||
NEVADA — 1.89% | ||||||||||
Clark County GO, 4.00% due 7/1/2012 | AA+/Aa1 | 3,570,000 | 3,603,701 | |||||||
Clark County GO, 5.00% due 11/1/2014 | AA+/Aa1 | 4,000,000 | 4,434,680 | |||||||
Clark County GO, 5.00% due 11/1/2017 (Insured: AMBAC) | AA+/Aa1 | 1,185,000 | 1,367,052 | |||||||
32 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Clark County Improvement District, 5.00% due 12/1/2015 (Insured: AMBAC) | BBB+/NR | $ | 1,755,000 | $ | 1,898,243 | |||||
Clark County School District GO, 5.00% due 6/15/2015 (Insured: Natl-Re) | AA/Aa2 | 1,000,000 | 1,075,270 | |||||||
Clark County School District GO, 5.50% due 6/15/2015 (Insured: AGM) | AA/Aa2 | 5,470,000 | 5,812,914 | |||||||
Las Vegas Clark County Library District GO, 5.00% due 1/1/2018 | AA/Aa2 | 6,535,000 | 7,633,860 | |||||||
Las Vegas Clark County Library District GO, 5.00% due 1/1/2019 | AA/Aa2 | 3,000,000 | 3,542,910 | |||||||
Las Vegas Convention & Visitors Authority, 5.25% due 7/1/2013 (Insured: AMBAC) | A+/A1 | 1,530,000 | 1,614,992 | |||||||
Las Vegas Convention & Visitors Authority, 5.25% due 7/1/2014 (Insured: AMBAC) | A+/A1 | 2,680,000 | 2,922,352 | |||||||
Las Vegas Convention & Visitors Authority, 5.25% due 7/1/2015 (Insured: AMBAC) | A+/A1 | 4,620,000 | 5,196,114 | |||||||
Las Vegas Convention & Visitors Authority, 5.00% due 7/1/2019 (Insured: AMBAC) | A+/A1 | 6,000,000 | 6,529,320 | |||||||
Las Vegas COP, 5.00% due 9/1/2016 (City Hall) | AA-/Aa3 | 4,000,000 | 4,497,880 | |||||||
Las Vegas COP, 5.00% due 9/1/2017 (City Hall) | AA-/Aa3 | 4,300,000 | 4,870,266 | |||||||
Las Vegas COP, 5.00% due 9/1/2018 (City Hall) | AA-/Aa3 | 4,000,000 | 4,563,360 | |||||||
Las Vegas GO, 7.00% due 4/1/2017 (Performing Arts Center) | AA/Aa2 | 1,825,000 | 2,244,932 | |||||||
Las Vegas GO, 7.00% due 4/1/2018 (Performing Arts Center) | AA/Aa2 | 2,095,000 | 2,643,471 | |||||||
Las Vegas Redevelopment Agency, 5.00% due 6/15/2013 (Fremont Street) | BBB-/NR | 3,685,000 | 3,725,646 | |||||||
Las Vegas Special Local Improvement District 707, 5.375% due 6/1/2013 (Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,005,740 | |||||||
Las Vegas Water District GO, 5.00% due 6/1/2017 | AA+/Aa2 | 1,050,000 | 1,225,350 | |||||||
Las Vegas Water District GO, 5.00% due 6/1/2019 | AA+/Aa2 | 1,000,000 | 1,191,910 | |||||||
Las Vegas Water District GO, 5.00% due 6/1/2020 | AA+/Aa2 | 4,255,000 | 5,085,789 | |||||||
Las Vegas Water District GO, 5.00% due 6/1/2020 | AA+/Aa2 | 5,080,000 | 6,071,870 | |||||||
Las Vegas Water District GO, 5.00% due 6/1/2021 | AA+/Aa2 | 5,000,000 | 6,011,200 | |||||||
Mesquite Redevelopment Agency Tax Increment, 7.00% due 6/1/2019 | A-/NR | 1,000,000 | 1,050,110 | |||||||
Reno Hospital Revenue, 5.25% due 6/1/2014 (Washoe Medical Center; Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,080,730 | |||||||
Reno Hospital Revenue, 5.25% due 6/1/2016 (Washoe Medical Center; Insured: AGM) | AA-/Aa3 | 1,100,000 | 1,247,631 | |||||||
Reno Hospital Revenue, 5.25% due 6/1/2018 (Washoe Medical Center; Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,162,870 | |||||||
Washoe County GO, 5.00% due 7/1/2021 (Reno-Sparks Convention & Visitors Authority) | AA/Aa2 | 1,700,000 | 2,017,407 | |||||||
Washoe County GO, 5.00% due 7/1/2022 (Reno-Sparks Convention & Visitors Authority) | AA/Aa2 | 2,500,000 | 2,917,750 | |||||||
NEW HAMPSHIRE — 0.41% | ||||||||||
New Hampshire Business Finance Authority PCR, 5.375% due 5/1/2014 (Central Maine Power Co.) | BBB+/Baa1 | 1,365,000 | 1,464,454 | |||||||
New Hampshire Health & Educational Facilities, 5.00% due 10/1/2016 (Southern New Hampshire Health Systems) | A-/NR | 1,260,000 | 1,393,358 | |||||||
New Hampshire Health & Educational Facilities, 5.00% due 10/1/2017 (Southern New Hampshire Health Systems) | A-/NR | 1,000,000 | 1,118,510 | |||||||
New Hampshire Municipal Bond Bank, 5.00% due 8/15/2016 (Insured: Natl-Re) | AA/A1 | 2,985,000 | 3,499,733 | |||||||
New Hampshire Municipal Bond Bank, 5.00% due 8/15/2017 (Insured: Natl-Re) | AA/A1 | 3,130,000 | 3,740,632 | |||||||
bNew Hampshire Turnpike System Revenue, 5.00% due 2/1/2016 | A+/A1 | 3,000,000 | 3,302,310 | |||||||
bNew Hampshire Turnpike System Revenue, 5.00% due 2/1/2017 | A+/A1 | 2,425,000 | 2,717,261 | |||||||
bNew Hampshire Turnpike System Revenue, 5.00% due 2/1/2018 | A+/A1 | 1,295,000 | 1,468,310 | |||||||
bNew Hampshire Turnpike System Revenue, 5.00% due 2/1/2020 | A+/A1 | 1,000,000 | 1,145,370 | |||||||
bNew Hampshire Turnpike System Revenue, 5.00% due 2/1/2021 | A+/A1 | 1,260,000 | 1,443,847 | |||||||
NEW JERSEY — 2.64% | ||||||||||
Camden County Improvement Authority, 5.00% due 7/1/2014 (Cooper Medical School) | A+/A2 | 2,845,000 | 3,071,604 | |||||||
Camden County Improvement Authority, 5.00% due 7/1/2015 (Cooper Medical School) | A+/A2 | 2,990,000 | 3,308,884 | |||||||
Camden County Improvement Authority, 5.00% due 7/1/2016 (Cooper Medical School) | A+/A2 | 3,040,000 | 3,417,872 | |||||||
Essex County Improvement Authority, 5.125% due 10/1/2016 (Insured: Natl-Re) | NR/Aa2 | 2,545,000 | 2,781,634 | |||||||
Hudson County COP, 7.00% due 12/1/2012 (Insured: Natl-Re) | BBB/Baa2 | 1,610,000 | 1,665,819 | |||||||
Hudson County COP, 7.00% due 12/1/2013 (Insured: Natl-Re) | BBB/Baa2 | 710,000 | 766,871 | |||||||
Hudson County COP, 6.25% due 12/1/2014 (Insured: Natl-Re) | BBB/Baa2 | 1,500,000 | 1,652,415 | |||||||
Hudson County COP, 6.25% due 12/1/2016 (Insured: Natl-Re) | BBB/Baa2 | 550,000 | 636,009 | |||||||
Hudson County Improvement Authority, 5.25% due 10/1/2014 (Hudson County Lease; Insured: AGM) | AA-/Aa3 | 3,000,000 | 3,288,930 | |||||||
Certified Semi-Annual Report 33
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Hudson County Improvement Authority, 4.75% due 10/1/2015 (Hudson County Lease; Insured: AGM) | AA-/Aa3 | $ | 2,000,000 | $ | 2,223,900 | |||||
Hudson County Improvement Authority, 4.75% due 10/1/2016 (Hudson County Lease; Insured: AGM) | AA-/Aa3 | 3,155,000 | 3,558,020 | |||||||
Hudson County Improvement Authority, 4.75% due 10/1/2017 (Hudson County Lease; Insured: AGM) | AA-/Aa3 | 4,065,000 | 4,606,214 | |||||||
Hudson County Improvement Authority, 4.75% due 10/1/2018 (Hudson County Lease; Insured: AGM) | AA-/Aa3 | 2,000,000 | 2,279,480 | |||||||
Hudson County Improvement Authority, 4.75% due 10/1/2019 (Hudson County Lease; Insured: AGM) | AA-/Aa3 | 4,390,000 | 5,002,317 | |||||||
Hudson County Improvement Authority, 5.375% due 10/1/2020 (Hudson County Lease; Insured: AGM) | AA-/Aa3 | 1,955,000 | 2,319,725 | |||||||
Jersey City GO, 3.00% due 12/14/2012 (State Aid Withholding) | NR/NR | 5,000,000 | 5,033,100 | |||||||
Jersey City GO, 5.00% due 9/1/2013 (Insured: Natl-Re) (State Aid Withholding) | BBB/A2 | 5,820,000 | 6,150,401 | |||||||
Monmouth County Improvement Authority, 5.00% due 12/1/2016 (Insured: AMBAC) | NR/NR | 1,000,000 | 1,106,800 | |||||||
New Jersey EDA, 5.00% due 11/15/2014 (Seabrook Village) | NR/NR | 1,000,000 | 1,024,140 | |||||||
New Jersey EDA, 5.00% due 12/15/2016 (School Facilities Construction) | A+/A1 | 10,000,000 | 11,647,000 | |||||||
New Jersey EDA, 5.50% due 12/15/2019 (School Facilities Construction; Insured: AMBAC) | A+/A1 | 5,525,000 | 6,735,307 | |||||||
New Jersey EDA Cigarette Tax Revenue, 5.00% due 6/15/2012 (Insured: Natl-Re/FGIC) (ETM) | BBB/Baa3 | 7,375,000 | 7,435,180 | |||||||
New Jersey Health Care Facilities, 5.00% due 7/1/2013 (St Peter’s University Hospital) | BBB-/Baa3 | 1,000,000 | 1,033,870 | |||||||
New Jersey Health Care Facilities, 5.00% due 7/1/2014 (St Peter’s University Hospital) | BBB-/Baa3 | 3,575,000 | 3,767,049 | |||||||
New Jersey Health Care Facilities, 5.00% due 7/1/2015 (St Peter’s University Hospital) | BBB-/Baa3 | 3,520,000 | 3,747,709 | |||||||
New Jersey Higher Educational Assistance Authority, 5.00% due 12/1/2017 | AA/Aa2 | 1,500,000 | 1,696,950 | |||||||
New Jersey Higher Educational Assistance Authority, 5.00% due 12/1/2018 | AA/Aa2 | 3,000,000 | 3,411,000 | |||||||
New Jersey Higher Educational Assistance Authority, 5.25% due 12/1/2019 | AA/Aa2 | 5,000,000 | 5,765,050 | |||||||
New Jersey State Transit Corp. COP, 5.25% due 9/15/2013 (Insured: AMBAC) | A/Aa3 | 11,050,000 | 11,751,012 | |||||||
New Jersey State Transit Corp. COP, 5.50% due 9/15/2013 (Insured: AMBAC) | A/Aa3 | 7,650,000 | 8,162,932 | |||||||
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2019 | A+/A1 | 1,000,000 | 1,172,720 | |||||||
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2020 | A+/A1 | 1,000,000 | 1,172,780 | |||||||
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2021 | A+/A1 | 2,000,000 | 2,356,660 | |||||||
Ocean Township Municipal Utility Authority, 6.00% due 8/1/2017 (Insured: Natl-Re) | BBB/Baa2 | 3,540,000 | 3,968,446 | |||||||
Passaic Valley Sewer Commissioners Sewer System GO, 5.625% due 12/1/2018 | NR/A2 | 1,210,000 | 1,415,869 | |||||||
Passaic Valley Sewer Commissioners Sewer System GO, 5.75% due 12/1/2019 | NR/A2 | 2,000,000 | 2,374,080 | |||||||
Passaic Valley Sewer Commissioners Sewer System GO, 5.75% due 12/1/2020 | NR/A2 | 2,800,000 | 3,337,152 | |||||||
Passaic Valley Sewer Commissioners Sewer System GO, 5.75% due 12/1/2021 | NR/A2 | 1,000,000 | 1,199,440 | |||||||
Paterson General Improvement, 4.25% due 6/15/2015 (Insured: AGM) (State Aid Withholding) | NR/Aa3 | 1,275,000 | 1,360,412 | |||||||
NEW MEXICO — 0.89% | ||||||||||
Albuquerque Airport, 5.50% due 7/1/2013 | A/A2 | 1,820,000 | 1,918,735 | |||||||
Gallup PCR, 5.00% due 8/15/2016 (Insured: AMBAC) | A/A3 | 2,500,000 | 2,752,400 | |||||||
Los Alamos County Gross Receipts Tax, 5.50% due 6/1/2017 | AA+/Aa3 | 2,365,000 | 2,860,799 | |||||||
Los Alamos County Gross Receipts Tax, 5.50% due 6/1/2018 | AA+/Aa3 | 2,205,000 | 2,712,304 | |||||||
New Mexico Educational Assistance Foundation, 5.00% due 12/1/2018 | AAA/Aaa | 5,000,000 | 5,837,550 | |||||||
New Mexico Educational Assistance Foundation, 5.00% due 12/1/2021 | AAA/Aaa | 3,000,000 | 3,492,000 | |||||||
New Mexico Severance Tax, 5.00% due 7/1/2014 | AA/Aa1 | 7,435,000 | 8,206,530 | |||||||
New Mexico Severance Tax, 5.00% due 7/1/2015 | AA/Aa1 | 5,500,000 | 6,284,080 | |||||||
New Mexico Severance Tax, 5.00% due 7/1/2016 | AA/Aa1 | 10,265,000 | 12,031,093 | |||||||
NEW YORK — 6.03% | ||||||||||
Amherst Development Corp., 5.00% due 10/1/2015 (Student Housing; Insured: AGM) | AA-/Aa3 | 1,535,000 | 1,714,871 | |||||||
Erie County Individual Development Agency, 5.00% due 5/1/2015 (Buffalo School District) | AA-/Aa3 | 3,000,000 | 3,367,650 | |||||||
Erie County Individual Development Agency, 5.00% due 5/1/2016 (Buffalo School District) | AA-/Aa3 | 8,795,000 | 10,097,188 | |||||||
Erie County Individual Development Agency, 5.00% due 5/1/2017 (Buffalo School District) | AA-/Aa3 | 7,265,000 | 8,481,161 | |||||||
34 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Erie County Individual Development Agency, 5.00% due 5/1/2018 (Buffalo School District) | AA-/Aa3 | $ | 5,000,000 | $ | 5,906,950 | |||||
Monroe County IDA, 5.375% due 6/1/2017 (St. John Fisher College; Insured: Radian) | NR/NR | 4,405,000 | 4,423,016 | |||||||
Nassau County GO, 2.50% due 10/31/2012 | SP-1+/NR | 13,500,000 | 13,621,230 | |||||||
Nassau County IDA, 5.25% due 3/1/2018 (New York Institute of Technology) | BBB+/NR | 1,260,000 | 1,432,368 | |||||||
Nassau County IDA, 5.25% due 3/1/2020 (New York Institute of Technology) | BBB+/NR | 1,715,000 | 1,970,432 | |||||||
Nassau Health Care Corp. Revenue, 3.125% due 12/15/2012 (Insured: AGM) | AA-/Aa3 | 5,000,000 | 5,083,150 | |||||||
New York City GO Subseries E5, 0.20% due 8/1/2015 put 4/2/2012 (LOC: JPMorgan Chase Bank) (daily demand notes) | AAA/Aa1 | 1,000,000 | 1,000,000 | |||||||
New York City GO Subseries E2, 0.20% due 8/1/2021 put 4/2/2012 (LOC: JPMorgan Chase Bank) (daily demand notes) | AAA/Aa1 | 2,200,000 | 2,200,000 | |||||||
New York City Health & Hospital Corp. GO, 5.00% due 2/15/2013 | A+/Aa3 | 2,755,000 | 2,859,497 | |||||||
New York City Health & Hospital Corp. GO, 5.00% due 2/15/2019 | A+/Aa3 | 2,700,000 | 3,155,058 | |||||||
New York City Health & Hospital Corp. GO, 5.00% due 2/15/2020 | A+/Aa3 | 10,000,000 | 11,711,300 | |||||||
New York City Health & Hospital Corp. GO, 5.00% due 2/15/2021 | A+/Aa3 | 2,615,000 | 3,036,224 | |||||||
New York City IDA, 5.25% due 6/1/2012 (Lycee Francais de New York; Insured: ACA) | BBB/Baa1 | 2,330,000 | 2,348,617 | |||||||
New York City Municipal Water Financing Authority, 5.375% due 6/15/2017 pre-refunded 6/15/2012 | NR/NR | 1,070,000 | 1,081,524 | |||||||
New York City Municipal Water Financing Authority, 5.375% due 6/15/2017 | AAA/Aa1 | 3,930,000 | 3,970,676 | |||||||
New York City Municipal Water Financing Authority, 0.23% due 6/15/2039 put 4/2/2012 (2nd | ||||||||||
General Resolution; SPA: Landesbank Hessen-Thuringen) (daily demand notes) | AA+/Aa2 | 10,000,000 | 10,000,000 | |||||||
New York City Municipal Water Financing Authority, 0.25% due 6/15/2039 put 4/2/2012 (General Resolution; SPA: Landesbank Hessen-Thuringen) (daily demand notes) | AA+/Aa2 | 37,800,000 | 37,800,000 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2012 | AAA/Aaa | 5,000,000 | 5,139,500 | |||||||
New York City Transitional Finance Authority, 4.00% due 7/15/2014 (State Aid Withholding) | AA-/Aa3 | 2,000,000 | 2,155,280 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2014 | AAA/Aaa | 2,000,000 | 2,227,660 | |||||||
New York City Transitional Finance Authority, 5.00% due 7/15/2016 (State Aid Withholding) | AA-/Aa3 | 3,155,000 | 3,658,727 | |||||||
New York City Transitional Finance Authority, 5.00% due 1/15/2018 (State Aid Withholding) | AA-/Aa3 | 4,865,000 | 5,739,484 | |||||||
New York City Transitional Finance Authority, 0.23% due 8/1/2031 put 4/2/2012 (SPA: Landesbank Hessen-Thuringen) (daily demand notes) | AAA/Aaa | 26,225,000 | 26,225,010 | |||||||
New York State Dormitory Authority, 5.50% due 7/1/2012 (Winthrop South Nassau University) | NR/Baa1 | 1,820,000 | 1,838,983 | |||||||
New York State Dormitory Authority, 5.00% due 11/1/2012 (Insured: SONYMA) | NR/Aa1 | 1,395,000 | 1,400,245 | |||||||
New York State Dormitory Authority, 5.50% due 7/1/2013 (Winthrop South Nassau University) | NR/Baa1 | 1,500,000 | 1,568,400 | |||||||
New York State Dormitory Authority, 5.25% due 8/15/2013 (Presbyterian Hospital; Insured: AGM/FHA) | AA-/Aa3 | 3,650,000 | 3,885,425 | |||||||
New York State Dormitory Authority, 5.00% due 11/1/2013 (Insured: SONYMA) | NR/Aa1 | 3,105,000 | 3,116,457 | |||||||
New York State Dormitory Authority, 5.25% due 2/15/2014 (Presbyterian Hospital; Insured: AGM) | AA-/Aa3 | 2,405,000 | 2,606,755 | |||||||
New York State Dormitory Authority, 3.00% due 8/15/2014 (Mental Health Services) | AA-/NR | 2,640,000 | 2,766,720 | |||||||
New York State Dormitory Authority, 5.00% due 11/1/2014 (Insured: SONYMA) | NR/Aa1 | 1,010,000 | 1,013,727 | |||||||
New York State Dormitory Authority, 5.25% due 5/15/2015 (Insured: Natl-Re/IBC) | BBB/Aa3 | 10,000,000 | 10,983,600 | |||||||
New York State Dormitory Authority, 5.25% due 8/15/2015 (New York Presbyterian Hospital; Insured: AGM/FHA) | AA-/Aa3 | 5,210,000 | 5,641,805 | |||||||
New York State Dormitory Authority, 5.50% due 7/1/2016 (Brooklyn Law School; Insured: Radian) | BBB+/Baa1 | 1,220,000 | 1,282,025 | |||||||
New York State Dormitory Authority, 5.50% due 2/15/2017 (Mental Health Services) | AA-/NR | 5,000,000 | 5,951,500 | |||||||
New York State Dormitory Authority, 5.25% due 5/15/2017 (Court Facilities Lease; Insured: AMBAC) | AA-/Aa3 | 4,585,000 | 5,383,019 | |||||||
New York State Dormitory Authority, 5.50% due 7/1/2017 (Brooklyn Law School; Insured: Radian) | BBB+/Baa1 | 2,500,000 | 2,615,950 | |||||||
New York State Dormitory Authority, 5.50% due 10/1/2017 (School Districts Financing; Insured: Natl-Re) (State Aid Withholding) | A+/A2 | 1,570,000 | 1,601,714 | |||||||
New York State Dormitory Authority, 5.50% due 2/15/2018 (Mental Health Services) | AA-/NR | 5,000,000 | 6,049,550 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2020 (NYSARC, Inc.) | NR/Aa3 | 1,000,000 | 1,169,900 | |||||||
New York State Dormitory Authority, 5.25% due 11/15/2023 pre-refunded 5/15/2012 (State University Educational Facilities) | AA-/Aa3 | 11,515,000 | 11,586,393 | |||||||
Certified Semi-Annual Report 35
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
New York State Dormitory Authority, 6.00% due 11/15/2023 pre-refunded 5/15/2012 (State University Educational Facilities; Insured: CIFG) | AA-/Aa3 | $ | 1,000,000 | $ | 1,007,130 | |||||
New York State Dormitory Authority, 5.25% due 11/15/2026 pre-refunded 5/15/2012 (Insured: AMBAC) | AA-/Aa3 | 4,000,000 | 4,024,800 | |||||||
New York State Dormitory Authority, 5.25% due 11/15/2029 pre-refunded 5/15/2012 (Insured: Natl-Re/FGIC) | AA-/Aa3 | 1,540,000 | 1,549,548 | |||||||
New York State Energy Research & Development Authority, 2.25% due 12/1/2015 (New York Electric & Gas Corp.) | BBB+/Baa2 | 5,000,000 | 5,096,100 | |||||||
Patchogue-Medford Union Free School District GO, 4.25% due 10/1/2015 (Insured: MBIA) (State Aid Withholding) | BBB/Baa2 | 1,000,000 | 1,097,810 | |||||||
Port Authority 148th GO, 5.00% due 8/15/2017 (Insured: AGM) | AA-/Aa2 | 4,725,000 | 5,552,348 | |||||||
Suffolk County Economic Development Corp., 5.00% due 7/1/2020 (Catholic Health Services) | A-/A3 | 5,000,000 | 5,753,650 | |||||||
Suffolk County Economic Development Corp., 5.00% due 7/1/2021 (Catholic Health Services) | A-/A3 | 5,000,000 | 5,726,400 | |||||||
Suffolk County Economic Development Corp., 5.00% due 7/1/2022 (Catholic Health Services) | A-/A3 | 5,000,000 | 5,662,100 | |||||||
Suffolk County GO, 1.50% due 9/13/2012 | NR/Mig2 | 3,835,000 | 3,844,166 | |||||||
Suffolk County IDA Civic Facilities GO, 5.25% due 3/1/2019 (New York Institute of Technology) | BBB+/Baa2 | 1,400,000 | 1,486,212 | |||||||
Tobacco Settlement Financing Corp., 5.00% due 6/1/2014 | AA-/NR | 5,000,000 | 5,453,650 | |||||||
Tobacco Settlement Financing Corp., 5.00% due 6/1/2018 | AA-/NR | 3,725,000 | 4,408,910 | |||||||
United Nations Development Corp., 5.00% due 7/1/2016 | NR/A1 | 3,400,000 | 3,928,700 | |||||||
United Nations Development Corp., 5.00% due 7/1/2017 | NR/A1 | 3,000,000 | 3,518,460 | |||||||
United Nations Development Corp., 5.00% due 7/1/2019 | NR/A1 | 4,000,000 | 4,751,320 | |||||||
NORTH CAROLINA — 1.58% | ||||||||||
Catawba County Limited Obligation, 4.00% due 10/1/2015 | AA-/Aa2 | 1,620,000 | 1,773,382 | |||||||
Catawba County Limited Obligation, 4.00% due 10/1/2016 | AA-/Aa2 | 1,000,000 | 1,108,460 | |||||||
Catawba County Limited Obligation, 4.00% due 10/1/2017 | AA-/Aa2 | 1,000,000 | 1,114,600 | |||||||
Charlotte Mecklenburg Hospital Authority Health Care Systems, 5.00% due 1/15/2016 (Carolinas Health Network) | AA-/Aa3 | 3,420,000 | 3,857,897 | |||||||
Charlotte Mecklenburg Hospital Authority Health Care Systems, 5.00% due 1/15/2017 (Carolinas Health Network) | AA-/Aa3 | 2,000,000 | 2,306,220 | |||||||
North Carolina Eastern Municipal Power Agency, 5.25% due 1/1/2013 | A-/Baa1 | 1,055,000 | 1,092,189 | |||||||
North Carolina Eastern Municipal Power Agency, 7.00% due 1/1/2013 (Insured: Natl-Re/IBC) | BBB/Baa1 | 740,000 | 767,017 | |||||||
North Carolina Eastern Municipal Power Agency, 5.00% due 1/1/2016 (Insured: AMBAC) | A-/NR | 1,700,000 | 1,933,648 | |||||||
North Carolina Eastern Municipal Power Agency, 6.00% due 1/1/2018 (Insured: BHAC/AMBAC) | AA+/Aa1 | 5,965,000 | 7,302,532 | |||||||
North Carolina Eastern Municipal Power Agency, 6.00% due 1/1/2018 (Insured: AMBAC) | NR/Baa1 | 7,500,000 | 9,104,175 | |||||||
North Carolina Eastern Municipal Power Agency, 5.25% due 1/1/2019 (Insured: AGM) | AA-/Aa3 | 3,000,000 | 3,484,740 | |||||||
North Carolina Infrastructure Finance Corp. COP, 5.00% due 2/1/2017 pre-refunded 2/1/2014 (Correctional Facilities) | AA+/Aa1 | 2,400,000 | 2,595,432 | |||||||
North Carolina Limited Obligation, 5.00% due 11/1/2019 | AA+/Aa1 | 23,635,000 | 28,977,219 | |||||||
North Carolina Medical Care Commission, 5.00% due 9/1/2013 (Rowan Regional Medical Center; Insured: AGM/FHA 242) | AA-/Aa3 | 1,000,000 | 1,056,170 | |||||||
North Carolina Municipal Power Agency, 5.50% due 1/1/2013 (Catawba Electric) (ETM) | NR/NR | 800,000 | 831,624 | |||||||
North Carolina Municipal Power Agency, 5.50% due 1/1/2013 (Catawba Electric) | A/A2 | 1,705,000 | 1,769,227 | |||||||
North Carolina Municipal Power Agency, 5.25% due 1/1/2017 (Catawba Electric) | A/A2 | 3,100,000 | 3,645,290 | |||||||
North Carolina Municipal Power Agency, 5.25% due 1/1/2019 (Catawba Electric; Insured: Natl-Re) | A/A2 | 3,020,000 | 3,124,582 | |||||||
North Carolina State Infrastructure Finance Corp. COP, 5.00% due 2/1/2016 pre-refunded 2/1/2014 (Correctional Facilities) | AA+/Aa1 | 5,000,000 | 5,407,150 | |||||||
University of North Carolina Pool Revenue, 5.00% due 4/1/2012 (Insured: AMBAC) (ETM) | NR/NR | 305,000 | 305,040 | |||||||
University of North Carolina Pool Revenue, 5.00% due 4/1/2012 (Insured: AMBAC) | NR/NR | 725,000 | 725,087 | |||||||
NORTH DAKOTA — 0.03% | ||||||||||
Ward County Health Care Facilities, 5.00% due 7/1/2013 | BBB-/NR | 1,560,000 | 1,624,100 | |||||||
36 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
OHIO — 2.77% | ||||||||||
Akron COP, 5.00% due 12/1/2013 (Insured: AGM) | AA-/NR | $ | 3,000,000 | $ | 3,210,990 | |||||
Akron COP, 5.00% due 12/1/2014 (Insured: AGM) | AA-/NR | 2,000,000 | 2,207,440 | |||||||
Akron GO, 5.00% due 12/1/2019 | AA-/NR | 1,685,000 | 1,998,208 | |||||||
Allen County Hospital Facilities, 5.00% due 9/1/2015 (Catholic Health Care Partners) | AA-/A1 | 10,000,000 | 11,028,500 | |||||||
Allen County Hospital Facilities, 5.00% due 9/1/2016 (Catholic Health Care Partners) | AA-/A1 | 10,000,000 | 11,189,000 | |||||||
American Municipal Power, 5.25% due 2/15/2018 (Hydroelectric) | A/A3 | 5,500,000 | 6,365,425 | |||||||
American Municipal Power, 5.25% due 2/15/2019 (Hydroelectric) | A/A3 | 5,015,000 | 5,870,659 | |||||||
Cleveland Cuyahoga County Cultural Facilities Revenue, 5.00% due 10/1/2019 (Cleveland Museum of Art) | AA+/NR | 2,000,000 | 2,404,980 | |||||||
Cleveland GO, 5.75% due 8/1/2012 (Insured: Natl-Re) | AA/A1 | 1,500,000 | 1,527,225 | |||||||
Cleveland GO, 5.50% due 10/1/2019 (Insured: AMBAC) | AA/A1 | 1,260,000 | 1,529,136 | |||||||
Cleveland Package Facility Revenue, 5.25% due 9/15/2021 pre-refunded 10/21/2012 (Insured: AGM) (ETM) | AA-/Aa3 | 965,000 | 1,213,391 | |||||||
Cleveland Package Facility Revenue, 5.25% due 9/15/2021 (Insured: AGM) | AA-/Aa3 | 2,035,000 | 2,382,537 | |||||||
Cuyahoga County Revenue, 6.00% due 1/1/2021 pre-refunded 7/1/2013 (Cleveland Clinic) | NR/NR | 2,550,000 | 2,730,259 | |||||||
Cuyahoga County Revenue, 6.00% due 1/1/2021 pre-refunded 7/1/2013 (Cleveland Clinic) | AA-/Aa2 | 2,450,000 | 2,623,191 | |||||||
Deerfield Township Tax Increment Revenue, 5.00% due 12/1/2017 | NR/A1 | 1,000,000 | 1,126,340 | |||||||
Garfield Heights City School Improvement GO, 5.375% due 12/15/2016 (Insured: Natl-Re) | NR/Aa3 | 1,625,000 | 1,869,823 | |||||||
Greater Cleveland Regional Transportation Authority GO, 5.00% due 12/1/2015 (Insured: Natl-Re) | NR/Aa2 | 1,000,000 | 1,139,010 | |||||||
Kent State University, 5.00% due 5/1/2020 (Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,177,530 | |||||||
Montgomery County, 5.25% due 10/1/2038 put 11/1/2013 (Catholic Health Initiatives) | AA/Aa2 | 2,500,000 | 2,679,325 | |||||||
Ohio State Air Quality Development Authority, 5.625% due 6/1/2018 (FirstEnergy Nuclear) | BBB-/Baa2 | 5,000,000 | 5,637,600 | |||||||
Ohio State Air Quality Development Authority, 5.75% due 6/1/2033 put 12/1/2011 (FirstEnergy Nuclear) | BBB-/Baa3 | 5,800,000 | 6,533,178 | |||||||
Ohio State Air Quality Development Authority, 3.375% due 1/1/2034 put 7/1/2015 (FirstEnergy Nuclear) | BBB-/Baa3 | 7,200,000 | 7,411,392 | |||||||
Ohio State Air Quality Development Authority, 3.875% due 12/1/2038 put 6/1/2014 (Columbus Southern Power Co.) | BBB/Baa1 | 4,800,000 | 4,968,048 | |||||||
Ohio State Building Authority, 5.00% due 10/1/2015 (Insured: Natl-Re/FGIC) | AA/Aa2 | 4,600,000 | 5,254,856 | |||||||
Ohio State Building Authority, 5.00% due 10/1/2020 | AA/Aa2 | 1,700,000 | 2,017,220 | |||||||
Ohio State Cultural & Sports Capital Facilities, 5.00% due 10/1/2020 | AA/Aa2 | 3,845,000 | 4,539,099 | |||||||
Ohio State Department Administrative Services COP, 5.00% due 9/1/2015 (Insured: Natl-Re) | AA/Aa2 | 1,950,000 | 2,153,639 | |||||||
Ohio State GO, 4.00% due 10/1/2014 | AA-/Aa3 | 2,075,000 | 2,247,018 | |||||||
Ohio State Higher Educational Facilities, 5.05% due 7/1/2037 put 7/1/2016 (Kenyon College) | A+/A1 | 3,375,000 | 3,783,780 | |||||||
Ohio State Water Development Authority PCR, 5.875% due 6/1/2033 put 6/1/2016 (FirstEnergy Nuclear) | BBB-/Baa2 | 5,500,000 | 6,190,690 | |||||||
Ohio State Water Development Authority PCR, 3.375% due 1/1/2034 put 7/1/2015 (FirstEnergy Nuclear) | BBB-/Baa3 | 24,400,000 | 25,116,384 | |||||||
University of Akron Ohio General Receipts, 5.00% due 1/1/2018 (Insured: AGM) | AA-/Aa3 | 3,415,000 | 4,032,090 | |||||||
OKLAHOMA — 1.57% | ||||||||||
Cleveland County Public Facilities Authority, 4.00% due 6/1/2013 (Norman Public Schools) | A+/NR | 5,000,000 | 5,197,800 | |||||||
Comanche County Hospital Authority, 5.25% due 7/1/2015 (Insured: Radian) | BBB-/NR | 1,340,000 | 1,457,009 | |||||||
Oklahoma County Finance Authority Educational Facilities, 4.00% due 3/1/2013 (Putnam City Public Schools) | A/NR | 2,580,000 | 2,652,601 | |||||||
Oklahoma County Finance Authority Educational Facilities, 3.125% due 9/1/2013 (Western Heights Public Schools) | A+/NR | 2,525,000 | 2,592,948 | |||||||
Oklahoma County Finance Authority Educational Facilities, 5.00% due 9/1/2016 (Western Heights Public Schools) | A+/NR | 3,000,000 | 3,409,170 | |||||||
Oklahoma County Finance Authority Educational Facilities, 5.00% due 9/1/2017 (Western Heights Public Schools) | A+/NR | 4,075,000 | 4,710,496 | |||||||
Certified Semi-Annual Report 37
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Oklahoma County Finance Authority Educational Facilities, 5.00% due 9/1/2018 (Western Heights Public Schools) | A+/NR | $ | 2,120,000 | $ | 2,470,351 | |||||
Oklahoma County ISD, 3.00% due 1/1/2013 | A+/NR | 3,880,000 | 3,948,637 | |||||||
Oklahoma County ISD, 3.00% due 1/1/2014 | A+/NR | 2,880,000 | 2,992,608 | |||||||
Oklahoma DFA, 0.21% due 8/15/2033 put 4/2/2012 (Integris Health; Insured: AGM; SPA: JPMorgan Chase Bank) (daily demand notes) | AA-/Aa3 | 35,125,000 | 35,125,000 | |||||||
Oklahoma DFA Health Systems, 5.25% due 12/1/2012 (Duncan Regional Hospital) | A-/NR | 1,330,000 | 1,369,208 | |||||||
Oklahoma DFA Health Systems, 5.00% due 8/15/2017 (Integris Health) | AA-/Aa3 | 4,375,000 | 5,076,663 | |||||||
Oklahoma Municipal Power Authority, 5.00% due 1/1/2013 | A/A2 | 3,745,000 | 3,869,971 | |||||||
Oklahoma Municipal Power Authority, 5.00% due 1/1/2014 (Insured: AGM) | A/A2 | 4,005,000 | 4,294,962 | |||||||
Oklahoma State Industrial Authority, 5.00% due 7/1/2016 (Medical Research Foundation) | NR/A1 | 1,165,000 | 1,307,782 | |||||||
aOklahoma State Industrial Authority, 5.25% due 7/1/2017 (Medical Research Foundation) | NR/A1 | 1,075,000 | 1,237,637 | |||||||
OREGON — 0.24% | ||||||||||
Clackamas County Oregon Hospital Facilities, 5.00% due 7/15/2037 put 7/15/2014 (Legacy Health Systems) | A+/A2 | 6,000,000 | 6,466,260 | |||||||
Clackamas County Oregon Hospital Facilities, 5.00% due 7/15/2039 put 7/15/2012 (Legacy Health Systems) | A+/A2 | 2,000,000 | 2,024,760 | |||||||
Oregon Facilities Authority Revenue, 5.00% due 3/15/2015 (Legacy Health Systems) | A+/A2 | 1,635,000 | 1,795,786 | |||||||
Oregon Facilities Authority Revenue, 5.00% due 3/15/2016 (Legacy Health Systems) | A+/A2 | 1,000,000 | 1,119,450 | |||||||
Oregon State Department of Administrative Services COP, 5.00% due 11/1/2014 (Insured: Natl-Re/FGIC) | AA/Aa2 | 1,000,000 | 1,112,820 | |||||||
PENNSYLVANIA — 3.62% | ||||||||||
Adams County IDA, 5.00% due 8/15/2014 (Gettysburg College) | A/A2 | 1,000,000 | 1,088,430 | |||||||
Adams County IDA, 5.00% due 8/15/2016 (Gettysburg College) | A/A2 | 1,250,000 | 1,421,775 | |||||||
Adams County IDA, 5.00% due 8/15/2017 (Gettysburg College) | A/A2 | 1,340,000 | 1,540,330 | |||||||
Adams County IDA, 5.00% due 8/15/2019 (Gettysburg College) | A/A2 | 1,765,000 | 2,058,767 | |||||||
Allegheny County Hospital Development Authority, 5.00% due 6/15/2017 (UPMC Health Systems) | A+/Aa3 | 3,000,000 | 3,468,210 | |||||||
Allegheny County Hospital Development Authority, 5.00% due 9/1/2017 (UPMC Health Systems) | A+/Aa3 | 1,875,000 | 2,177,887 | |||||||
Allegheny County Hospital Development Authority, 5.00% due 5/15/2018 (UPMC Health Systems) | A+/Aa3 | 5,915,000 | 6,896,653 | |||||||
Allegheny County Hospital Development Authority, 5.00% due 6/15/2018 (UPMC Health Systems) | A+/Aa3 | 3,000,000 | 3,503,250 | |||||||
Allegheny County Hospital Development Authority, 5.00% due 9/1/2018 (Pittsburgh Medical Center) | A+/Aa3 | 2,000,000 | 2,372,600 | |||||||
Allegheny County Redevelopment Authority, 5.10% due 7/1/2014 (Pittsburgh Mills) | NR/NR | 1,280,000 | 1,321,792 | |||||||
Chester County School Authority, 5.00% due 4/1/2016 (Intermediate School; Insured: AMBAC) | A+/NR | 1,915,000 | 2,141,487 | |||||||
Geisinger Authority, 0.20% due 6/1/2041 put 4/2/2012 (Geisinger Health Systems; SPA: JPMorgan Chase Bank) (daily demand notes) | AA/Aa2 | 5,800,000 | 5,800,000 | |||||||
Lancaster County Solid Waste Management Authority, 5.00% due 12/15/2012 | AA-/A3 | 3,475,000 | 3,571,744 | |||||||
Montgomery County IDA, 5.00% due 8/1/2016 (Regional Medical Center; Insured: FHA) | AA/Aa2 | 1,000,000 | 1,138,120 | |||||||
Montgomery County IDA, 5.00% due 2/1/2017 (Regional Medical Center; Insured: FHA) | AA/Aa2 | 1,000,000 | 1,146,350 | |||||||
Montgomery County IDA, 5.00% due 2/1/2020 (Regional Medical Center; Insured: FHA) | AA/Aa2 | 1,000,000 | 1,154,330 | |||||||
Pennsylvania EDA, 3.70% due 11/1/2021 put 5/1/2015 (Waste Management, Inc.) | BBB/NR | 7,750,000 | 8,111,925 | |||||||
Pennsylvania EDA, 3.00% due 12/1/2037 put 9/1/2015 (PPL Energy Supply) | BBB/NR | 14,000,000 | 14,252,280 | |||||||
Pennsylvania EDA, 5.00% due 12/1/2042 put 6/1/2012 (Exelon Corp. Generation) | NR/Baa1 | 2,550,000 | 2,569,584 | |||||||
Pennsylvania Higher Educational Facilities Authority, 5.00% due 6/1/2015 (Philadelphia University) | BBB/Baa2 | 2,000,000 | 2,111,840 | |||||||
Pennsylvania Higher Educational Facilities Authority, 5.00% due 5/15/2019 (UPMC Health Systems) | A+/Aa3 | 5,600,000 | 6,573,392 | |||||||
Pennsylvania Higher Educational Facilities Authority, 5.00% due 5/15/2020 (UPMC Health Systems) | A+/Aa3 | 5,100,000 | 5,994,795 | |||||||
38 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Pennsylvania Turnpike Commission Revenue, 0.78% due 12/1/2012 | A+/Aa3 | $ | 2,500,000 | $ | 2,504,000 | |||||
Philadelphia Authority for Industrial Development, 5.00% due 8/1/2020 (Mast Charter School) | BBB+/NR | 840,000 | 870,694 | |||||||
Philadelphia Gas Works, 5.375% due 7/1/2014 (Insured: AGM) | AA-/Aa3 | 7,280,000 | 7,888,026 | |||||||
Philadelphia Gas Works, 5.00% due 9/1/2014 (Insured: AGM) | AA-/Aa3 | 3,000,000 | 3,233,880 | |||||||
Philadelphia Gas Works, 5.00% due 10/1/2014 (Insured: AMBAC) | BBB+/Baa2 | 1,825,000 | 1,971,639 | |||||||
Philadelphia Gas Works, 5.00% due 9/1/2015 (Insured: AGM) | AA-/Aa3 | 3,315,000 | 3,592,366 | |||||||
Philadelphia Gas Works, 5.00% due 7/1/2018 (Insured: AGM) | AA-/Aa3 | 1,395,000 | 1,546,636 | |||||||
Philadelphia Hospitals & Higher Educational Facilities Authority, 0.20% due 2/15/2024 put 4/2/2012 (The Children’s Hospital; SPA: JPMorgan Chase Bank) (daily demand notes) | AA/Aa2 | 800,000 | 800,000 | |||||||
Philadelphia Hospitals & Higher Educational Facilities Authority, 0.20% due 7/1/2025 put 4/2/2012 (The Children’s Hospital; SPA: JPMorgan Chase Bank) (daily demand notes) | AA/Aa2 | 10,600,000 | 10,600,000 | |||||||
Philadelphia Parking Authority Revenue, 5.00% due 9/1/2016 | A-/A1 | 1,500,000 | 1,698,915 | |||||||
Philadelphia Parking Authority Revenue, 5.00% due 9/1/2017 | A-/A1 | 1,020,000 | 1,166,258 | |||||||
Philadelphia School District GO, 5.00% due 9/1/2012 (State Aid Withholding) | A+/Aa2 | 5,000,000 | 5,100,100 | |||||||
Philadelphia School District GO, 5.00% due 9/1/2013 (State Aid Withholding) | A+/Aa2 | 2,000,000 | 2,128,100 | |||||||
Philadelphia School District GO, 4.50% due 9/1/2017 (State Aid Withholding) | A+/Aa2 | 2,270,000 | 2,520,608 | |||||||
Philadelphia School District GO, 5.00% due 9/1/2019 (State Aid Withholding) | A+/Aa2 | 4,210,000 | 4,748,333 | |||||||
Philadelphia School District GO, 5.00% due 9/1/2019 (State Aid Withholding) | A+/Aa2 | 18,000,000 | 20,301,660 | |||||||
Philadelphia School District GO, 5.25% due 9/1/2021 (State Aid Withholding) | A+/Aa2 | 2,000,000 | 2,319,180 | |||||||
Philadelphia Water & Wastewater Revenue, 5.00% due 6/15/2013 (Insured: AGM) | AA-/Aa3 | 7,020,000 | 7,411,997 | |||||||
Philadelphia Water & Wastewater Revenue, 5.00% due 6/15/2017 (Insured: AGM) | AA-/Aa3 | 5,570,000 | 6,468,441 | |||||||
Pittsburgh GO, 5.00% due 9/1/2012 (Insured: Natl-Re) | BBB/A1 | 3,415,000 | 3,478,314 | |||||||
Pittsburgh GO, 5.50% due 9/1/2014 (Insured: AMBAC) | BBB/A1 | 1,325,000 | 1,383,353 | |||||||
Pittsburgh GO, 5.25% due 9/1/2016 (Insured: AGM) | AA-/Aa3 | 3,000,000 | 3,404,940 | |||||||
Pittsburgh GO, 5.25% due 9/1/2017 (Insured: AGM) | AA-/Aa3 | 1,910,000 | 2,145,713 | |||||||
Pittsburgh GO, 5.25% due 9/1/2018 (Insured: AGM) | AA-/Aa3 | 3,240,000 | 3,604,370 | |||||||
Pittsburgh School District GO, 3.00% due 9/1/2012 (Insured: AGM) | AA-/Aa3 | 1,670,000 | 1,688,904 | |||||||
Pittsburgh School District GO, 3.00% due 9/1/2013 (Insured: AGM) | AA-/Aa3 | 2,100,000 | 2,173,857 | |||||||
Pittsburgh Water & Sewer Authority Revenue, 2.625% due 9/1/2035 put 9/1/2012 (Insured: AGM) | AA-/NR | 2,000,000 | 2,012,160 | |||||||
Sayre HFA, 5.25% due 7/1/2012 (Latrobe Area Hospital; Insured: AMBAC) (ETM) | NR/NR | 1,000,000 | 1,012,800 | |||||||
RHODE ISLAND — 0.53% | ||||||||||
Convention Center Authority, 5.25% due 5/15/2015 (Insured: Natl-Re) | BBB/Baa2 | 1,450,000 | 1,517,556 | |||||||
Convention Center Authority, 5.00% due 5/15/2019 (Insured: AGM) | AA-/Aa3 | 10,000,000 | 10,349,000 | |||||||
Convention Center Authority, 5.00% due 5/15/2020 (Insured: AGM) | AA-/Aa3 | 6,830,000 | 7,055,936 | |||||||
Rhode Island COP, 5.00% due 10/1/2014 (Providence Plantations; Insured: Natl-Re) | AA-/Aa3 | 1,000,000 | 1,085,480 | |||||||
Rhode Island State and Providence Plantations GO, 5.00% due 10/1/2019 | AA/Aa2 | 5,000,000 | 6,015,150 | |||||||
Rhode Island State Health & Education Building Corp., 5.25% due 7/1/2014 (Memorial Hospital; LOC: Fleet Bank) | NR/NR | 1,565,000 | 1,635,128 | |||||||
SOUTH CAROLINA — 0.59% | ||||||||||
Georgetown County Environmental Improvement, 5.70% due 4/1/2014 (International Paper Co.) | BBB/Baa3 | 7,975,000 | 8,582,456 | |||||||
Greenville County School District, 5.25% due 12/1/2015 (Building Equity Sooner Tomorrow) | AA/Aa2 | 1,000,000 | 1,074,680 | |||||||
Greenville County School District, 5.50% due 12/1/2016 (Building Equity Sooner Tomorrow) | AA/Aa2 | 3,500,000 | 4,165,595 | |||||||
Greenwood County Hospital Facilities, 5.00% due 10/1/2013 (Self Regional Health Care; Insured: AGM) | AA-/Aa3 | 2,000,000 | 2,120,260 | |||||||
Greenwood Fifty Facilities School District, 5.00% due 12/1/2015 (Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,133,680 | |||||||
Greenwood Fifty Facilities School District, 5.00% due 12/1/2016 (Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,155,290 | |||||||
Piedmont Municipal Power Agency, 6.75% due 1/1/2019 (Insured: Natl-Re/FGIC) | NR/Baa1 | 3,695,000 | 4,715,152 | |||||||
South Carolina Jobs Economic Development, 5.00% due 8/15/2014 (Care Alliance Health Services; Insured: AGM) | AA-/Aa3 | 4,000,000 | 4,315,920 | |||||||
South Carolina Jobs Economic Development, 5.00% due 8/15/2015 (Care Alliance Health Services; Insured: AGM) | AA-/Aa3 | 3,000,000 | 3,311,670 | |||||||
Certified Semi-Annual Report 39
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
SOUTH DAKOTA — 0.44% | ||||||||||
South Dakota Building Authority, 4.50% due 6/1/2016 (Insured: Natl-Re/FGIC) | AA/NR | $ | 2,000,000 | $ | 2,257,160 | |||||
South Dakota Housing Development Authority, 4.00% due 11/1/2016 (Single Family Mtg) | NR/Aa3 | 1,060,000 | 1,161,219 | |||||||
South Dakota Housing Development Authority, 4.00% due 11/1/2017 (Single Family Mtg) | NR/Aa3 | 1,075,000 | 1,178,544 | |||||||
South Dakota Housing Development Authority, 4.00% due 11/1/2018 (Single Family Mtg) | NR/Aa3 | 1,185,000 | 1,304,626 | |||||||
South Dakota State Health & Educational Facilities Authority, 6.00% due 11/1/2014 (Sioux Valley Hospital & Health Systems) | AA-/A1 | 1,015,000 | 1,029,098 | |||||||
aSouth Dakota State Health & Educational Facilities Authority, 5.00% due 9/1/2015 (Regional Health) | NR/A1 | 1,390,000 | 1,556,995 | |||||||
South Dakota State Health & Educational Facilities Authority, 5.00% due 11/1/2015 (Sanford Health) | AA-/A1 | 1,310,000 | 1,470,462 | |||||||
South Dakota State Health & Educational Facilities Authority, 5.00% due 9/1/2016 (Regional Health) | NR/A1 | 1,000,000 | 1,134,710 | |||||||
South Dakota State Health & Educational Facilities Authority, 5.00% due 4/1/2017 (Prairie Lakes Health) | A+/NR | 2,215,000 | 2,462,881 | |||||||
South Dakota State Health & Educational Facilities Authority, 5.00% due 9/1/2017 (Regional Health) | NR/A1 | 1,100,000 | 1,264,835 | |||||||
South Dakota State Health & Educational Facilities Authority, 5.00% due 4/1/2018 (Prairie Lakes Health) | A+/NR | 2,290,000 | 2,564,319 | |||||||
South Dakota State Health & Educational Facilities Authority, 5.00% due 9/1/2018 (Regional Health) | NR/A1 | 1,275,000 | 1,464,325 | |||||||
South Dakota State Health & Educational Facilities Authority, 5.00% due 4/1/2019 (Prairie Lakes Health) | A+/NR | 2,440,000 | 2,744,536 | |||||||
South Dakota State Health & Educational Facilities Authority, 5.00% due 9/1/2020 (Regional Health) | NR/A1 | 1,000,000 | 1,132,700 | |||||||
TENNESSEE — 0.80% | ||||||||||
Clarksville Natural Gas Acquisition Corp., 5.00% due 12/15/2014 | NR/Baa1 | 3,200,000 | 3,399,200 | |||||||
Clarksville Natural Gas Acquisition Corp., 5.00% due 12/15/2015 | NR/Baa1 | 3,500,000 | 3,760,890 | |||||||
Clarksville Natural Gas Acquisition Corp., 5.00% due 12/15/2019 | NR/Baa1 | 6,000,000 | 6,406,980 | |||||||
Tennessee Energy Acquisition Corp., 5.00% due 9/1/2015 | A-/A2 | 3,000,000 | 3,237,600 | |||||||
Tennessee Energy Acquisition Corp., 5.00% due 2/1/2017 | BBB/Baa3 | 5,000,000 | 5,416,600 | |||||||
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2017 | A-/A2 | 11,000,000 | 12,292,280 | |||||||
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2018 | A-/A2 | 5,000,000 | 5,579,500 | |||||||
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2020 | A-/A2 | 1,190,000 | 1,323,804 | |||||||
TEXAS — 8.94% | ||||||||||
Amarillo Health Facilities Corp., 5.50% due 1/1/2015 (Baptist St. Anthony’s Hospital Corp.; Insured: AGM) | NR/Aa3 | 1,065,000 | 1,130,157 | |||||||
Austin Community College Public Facilities Corp., 5.25% due 8/1/2017 (Round Rock Campus) | AA/Aa2 | 1,500,000 | 1,788,585 | |||||||
Austin Electrical Utilities Systems, 5.50% due 11/15/2013 (Insured: AMBAC) | A+/A1 | 1,000,000 | 1,082,260 | |||||||
Austin Water & Wastewater, 5.00% due 5/15/2014 (Insured: AMBAC) | AA/Aa2 | 2,890,000 | 3,170,561 | |||||||
Austin Water & Wastewater, 5.00% due 5/15/2015 (Insured: AMBAC) | AA/Aa2 | 1,520,000 | 1,726,629 | |||||||
Austin Water & Wastewater, 5.00% due 11/15/2022 | AA/Aa2 | 2,640,000 | 3,219,850 | |||||||
Bexar Metropolitan Water District Waterworks, 4.50% due 5/1/2021 (Insured: Natl-Re) | A/A1 | 1,200,000 | 1,264,176 | |||||||
Brazos River Authority, 4.90% due 10/1/2015 (Center Point Energy; Insured: Natl-Re) | BBB/Baa2 | 4,485,000 | 4,804,153 | |||||||
Bryan Electric Systems, 3.00% due 7/1/2012 | A+/A1 | 1,850,000 | 1,862,432 | |||||||
Bryan Electric Systems, 4.00% due 7/1/2014 | A+/A1 | 1,300,000 | 1,389,804 | |||||||
Bryan Electric Systems, 4.00% due 7/1/2014 | A+/A1 | 1,000,000 | 1,002,820 | |||||||
Bryan Electric Systems, 4.00% due 7/1/2015 | A+/A1 | 1,110,000 | 1,112,953 | |||||||
Bryan Electric Systems, 5.00% due 7/1/2015 | A+/A1 | 1,150,000 | 1,293,302 | |||||||
Bryan Electric Systems, 5.00% due 7/1/2016 put 7/1/2012 | A+/A1 | 1,500,000 | 1,516,065 | |||||||
Bryan Electric Systems, 5.00% due 7/1/2017 put 7/1/2012 | A+/A1 | 3,205,000 | 3,236,024 | |||||||
40 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Bryan Electric Systems, 5.00% due 7/1/2019 | A+/A1 | $ | 8,000,000 | $ | 9,167,200 | |||||
Capital Area Cultural Education Facilities, 5.00% due 4/1/2013 (Roman Catholic Diocese) | NR/NR | 670,000 | 693,664 | |||||||
Capital Area Cultural Education Facilities, 5.00% due 4/1/2014 (Roman Catholic Diocese) | NR/NR | 890,000 | 945,954 | |||||||
Capital Area Cultural Education Facilities, 5.00% due 4/1/2015 (Roman Catholic Diocese) | NR/NR | 1,100,000 | 1,197,053 | |||||||
Capital Area Cultural Education Facilities, 5.00% due 4/1/2018 (Roman Catholic Diocese) | NR/NR | 1,370,000 | 1,523,467 | |||||||
Collin County Limited Tax Improvement GO, 5.00% due 2/15/2016 | AAA/Aaa | 1,465,000 | 1,695,957 | |||||||
Corpus Christi Business and Job Development Corp., 5.00% due 9/1/2012 (Arena Project; Insured: AMBAC) | A/A2 | 1,025,000 | 1,042,917 | |||||||
Dallas Convention Center Hotel Development Corp., 0% due 1/1/2018 | A+/A1 | 5,240,000 | 4,348,047 | |||||||
Dallas Convention Center Hotel Development Corp., 5.00% due 1/1/2019 | A+/A1 | 5,200,000 | 5,975,112 | |||||||
Dallas County Utility & Reclamation District, 5.00% due 2/15/2017 (Insured: AMBAC) | BBB+/A3 | 1,160,000 | 1,295,569 | |||||||
Dallas County Utility & Reclamation District, 5.00% due 2/15/2017 (Insured: AMBAC) | BBB+/A3 | 1,260,000 | 1,407,256 | |||||||
Dallas County Utility & Reclamation District, 5.00% due 2/15/2018 (Insured: AMBAC) | BBB+/A3 | 1,935,000 | 2,128,693 | |||||||
Dallas County Utility & Reclamation District, 5.00% due 2/15/2018 (Insured: AMBAC) | BBB+/A3 | 2,035,000 | 2,238,703 | |||||||
Dallas County Utility & Reclamation District, 5.00% due 2/15/2019 (Insured: AMBAC) | BBB+/A3 | 2,175,000 | 2,371,359 | |||||||
Dallas-Fort Worth International Airport, 4.00% due 11/1/2012 | A+/A1 | 1,000,000 | 1,021,280 | |||||||
Dallas-Fort Worth International Airport, 5.00% due 11/1/2013 | A+/A1 | 1,175,000 | 1,258,425 | |||||||
Dallas-Fort Worth International Airport, 5.00% due 11/1/2014 | A+/A1 | 1,300,000 | 1,436,682 | |||||||
Dallas-Fort Worth International Airport, 5.00% due 11/1/2015 | A+/A1 | 3,370,000 | 3,832,162 | |||||||
Denton GO, 3.00% due 2/15/2013 | AA/Aa2 | 2,710,000 | 2,774,932 | |||||||
Denton GO, 3.00% due 2/15/2014 | AA/Aa2 | 3,325,000 | 3,483,636 | |||||||
Denton GO, 4.00% due 2/15/2015 | AA/Aa2 | 3,445,000 | 3,771,414 | |||||||
Denton GO, 4.00% due 2/15/2016 | AA/Aa2 | 3,535,000 | 3,953,226 | |||||||
Denton GO, 5.00% due 2/15/2017 | AA/Aa2 | 3,675,000 | 4,342,711 | |||||||
Denton GO, 5.00% due 2/15/2019 | AA/Aa2 | 3,990,000 | 4,821,556 | |||||||
Denton GO, 5.00% due 2/15/2020 | AA/Aa2 | 4,195,000 | 5,008,452 | |||||||
Guadalupe-Blanco River Authority PCR, 5.625% due 10/1/2017 (AEP Texas Central Co.) | BBB/Baa2 | 5,000,000 | 5,658,500 | |||||||
Harris County Cultural Education Facilities Finance Corp., 0.20% due 9/1/2031 put 4/2/2012 Texas Medical Center; LOC: JPMorgan Chase & Co.) (daily demand notes) | AAA/Aa1 | 27,120,000 | 27,120,000 | |||||||
Harris County Educational Facilities Finance Corp., 5.00% due 11/15/2015 (Teco Project) | AA/Aa3 | 1,450,000 | 1,666,195 | |||||||
Harris County Educational Facilities Finance Corp., 5.00% due 11/15/2018 (Teco Project) | AA/Aa3 | 1,365,000 | 1,649,780 | |||||||
Harris County Educational Facilities Finance Corp., 5.00% due 11/15/2019 (Teco Project) | AA/Aa3 | 1,000,000 | 1,214,160 | |||||||
Harris County Health Facilities Development Corp., 5.00% due 7/1/2016 (Christus Health; Insured: AGM) | AA-/Aa3 | 5,860,000 | 6,655,143 | |||||||
Harris County Health Facilities Development Corp. Thermal Utility, 5.00% due 11/15/2015 (Teco Project; Insured: Natl-Re) | AA/Aa3 | 1,500,000 | 1,598,850 | |||||||
Harris County Hospital District Senior Lien, 5.00% due 2/15/2014 (Insured: Natl-Re) | A/A2 | 1,275,000 | 1,356,294 | |||||||
Harris County Hospital District Senior Lien, 5.00% due 2/15/2017 (Insured: Natl-Re) | A/A2 | 1,500,000 | 1,686,615 | |||||||
Houston Airport Systems Revenue, 5.00% due 7/1/2015 | AA-/Aa3 | 2,600,000 | 2,916,862 | |||||||
Houston Airport Systems Revenue, 5.00% due 7/1/2017 | AA-/Aa3 | 1,600,000 | 1,863,856 | |||||||
Houston Airport Systems Revenue, 5.00% due 7/1/2018 | AA-/Aa3 | 1,000,000 | 1,174,190 | |||||||
Houston Higher Education Finance Corp., 5.875% due 5/15/2021 (Cosmos Foundation, Inc.) | BBB/NR | 1,000,000 | 1,102,700 | |||||||
Houston Higher Education Finance Corp., 0.19% due 5/15/2048 put 4/2/2012 (Rice University) (daily demand notes) | AAA/Aaa | 5,850,000 | 5,850,000 | |||||||
Houston Hotel Occupancy Tax Revenue, 5.00% due 9/1/2014 | A-/A2 | 2,000,000 | 2,184,540 | |||||||
Houston Hotel Occupancy Tax Revenue, 5.00% due 9/1/2014 | A-/A2 | 1,300,000 | 1,419,951 | |||||||
Houston Hotel Occupancy Tax Revenue, 0% due 9/1/2020 (Insured: AGM/AMBAC) | AA-/Aa3 | 3,650,000 | 2,650,447 | |||||||
Houston ISD, 5.00% due 2/15/2014 (Limited Tax Schoolhouse) | AA+/Aaa | 2,000,000 | 2,172,380 | |||||||
Houston ISD, 5.00% due 2/15/2015 (Limited Tax Schoolhouse) | AA+/Aaa | 2,450,000 | 2,758,528 | |||||||
Houston ISD Public West Side, 0% due 9/15/2014 (Insured: AMBAC) | AA/Aa2 | 6,190,000 | 6,040,945 | |||||||
Houston Utilities System Revenue, 5.00% due 11/15/2013 (Insured: AGM) | AA/Aa2 | 3,000,000 | 3,228,780 | |||||||
Houston Water Conveyance System COP, 6.25% due 12/15/2014 (Insured: AMBAC) | NR/NR | 2,850,000 | 3,119,268 | |||||||
Hutto ISD GO, 0% due 8/1/2017 (Guaranty: PSF) | AAA/NR | 2,170,000 | 1,920,211 | |||||||
Irving ISD GO, 0% due 2/15/2017 (Guaranty: PSF) | AAA/Aaa | 1,000,000 | 906,200 | |||||||
Certified Semi-Annual Report 41
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Keller ISD GO, 0% due 8/15/2012 (Guaranty: PSF) | AAA/Aaa | $ | 1,250,000 | $ | 1,249,350 | |||||
Kerrville Health Facilities Development Corp. Hospital Revenue, 5.25% due 8/15/2021 (Sid Peterson Memorial Hospital) | BBB-/NR | 4,000,000 | 4,160,000 | |||||||
Laredo GO, 5.00% due 2/15/2018 (Insured: Natl-Re) | AA-/Aa2 | 2,000,000 | 2,314,700 | |||||||
Laredo Sports Venue Sales Refunding and Improvement, 5.00% due 3/15/2013 (Insured: AMBAC) | A+/A1 | 1,745,000 | 1,813,753 | |||||||
Laredo Sports Venue Sales Refunding and Improvement, 5.00% due 3/15/2014 (Insured: AMBAC) | A+/A1 | 1,835,000 | 1,968,515 | |||||||
Laredo Sports Venue Sales Refunding and Improvement, 5.00% due 3/15/2015 (Insured: AMBAC) | A+/A1 | 1,930,000 | 2,133,480 | |||||||
Lower Colorado River Authority, 5.875% due 5/15/2016 (Insured: BHAC/FSA) | NR/Aa1 | 2,210,000 | 2,219,481 | |||||||
Mission Economic Development Corp., 3.75% due 12/1/2018 put 5/1/2015 (Waste Management, Inc.) | BBB/NR | 8,500,000 | 9,004,220 | |||||||
North East ISD GO, 5.00% due 8/1/2016 (Guaranty: PSF) | AAA/Aaa | 2,000,000 | 2,346,060 | |||||||
North Texas University Revenue, 5.00% due 4/15/2014 | NR/Aa2 | 1,250,000 | 1,366,825 | |||||||
North Texas University Revenue, 5.00% due 4/15/2016 | NR/Aa2 | 2,250,000 | 2,616,592 | |||||||
Northside ISD GO, 1.75% due 6/1/2037 put 6/1/2013 (Various School Buildings; Guaranty: PSF) | AAA/NR | 19,595,000 | 19,631,839 | |||||||
Northside ISD GO, 1.50% due 8/1/2040 put 8/1/2012 (Guaranty: PSF) | AAA/Aaa | 4,000,000 | 4,014,240 | |||||||
Richardson Refunding and Improvement GO, 5.00% due 2/15/2014 (Insured: Natl-Re) | AAA/Aaa | 3,000,000 | 3,252,660 | |||||||
Sam Rayburn Municipal Power Agency, 5.50% due 10/1/2012 | NR/Baa2 | 6,000,000 | 6,120,540 | |||||||
Sam Rayburn Municipal Power Agency, 6.00% due 10/1/2021 | NR/Baa2 | 8,400,000 | 8,519,700 | |||||||
San Antonio Electric and Gas Revenue, 1.15% due 12/1/2027 put 12/3/2012 (SPA: BNP Paribas) | AA-/Aa2 | 21,000,000 | 21,082,110 | |||||||
San Juan Higher Education Finance Authority, 5.125% due 8/15/2020 (Idea Public Schools) | BBB+/NR | 2,000,000 | 2,176,060 | |||||||
Sherman ISD GO, 0.65% due 8/1/2036 put 8/1/2012 (School Building; Guaranty: PSF) | AAA/NR | 3,360,000 | 3,362,386 | |||||||
Tarrant County Cultural Educational Facilities, 5.00% due 8/15/2016 (Scott & White Memorial Hospital) | A/A1 | 2,280,000 | 2,579,729 | |||||||
Tarrant County Cultural Educational Facilities, 5.00% due 8/15/2017 (Scott & White Memorial Hospital) | A/A1 | 2,000,000 | 2,296,580 | |||||||
Tarrant County Cultural Educational Facilities, 0.22% due 10/1/2041 put 4/2/2012 (Methodist Hospitals; LOC: JPMorgan Chase Bank) (daily demand notes) | AAA/Aa1 | 12,160,000 | 12,160,214 | |||||||
Texas Municipal Power Agency, 0% due 9/1/2013 (Insured: Natl-Re) | A+/A2 | 1,000,000 | 990,270 | |||||||
Texas Municipal Power Agency, 5.00% due 9/1/2017 (Insured: AGM) | AA-/Aa3 | 10,000,000 | 11,868,400 | |||||||
Texas Public Finance Authority Revenue, 5.00% due 7/1/2012 (Unemployment Compensation) | AAA/Aa1 | 14,630,000 | 14,808,047 | |||||||
Texas Public Finance Authority Revenue, 5.00% due 1/1/2014 (Unemployment Compensation) | AAA/Aa1 | 5,000,000 | 5,404,050 | |||||||
Texas Public Finance Authority Revenue, 5.00% due 7/1/2014 (Unemployment Compensation) | AAA/Aa1 | 5,000,000 | 5,512,900 | |||||||
Texas Public Finance Authority Revenue, 5.00% due 10/15/2014 (Stephen F. Austin University; Insured: Natl-Re) | NR/A1 | 1,305,000 | 1,436,270 | |||||||
Texas Public Finance Authority Revenue, 5.00% due 10/15/2015 (Stephen F. Austin University; Insured: Natl-Re) | NR/A1 | 1,450,000 | 1,641,835 | |||||||
Texas Public Finance Authority Revenue, 5.00% due 7/1/2017 (Unemployment Compensation) | AAA/Aa1 | 15,500,000 | 17,734,635 | |||||||
Texas State, 2.50% due 8/30/2012 (Tax & Revenue Anticipation Notes) | SP-1+/Mig1 | 85,000,000 | 85,821,950 | |||||||
Uptown Development Authority, 5.00% due 9/1/2015 (Infrastructure Improvements) | BBB/NR | 1,370,000 | 1,511,864 | |||||||
Uptown Development Authority, 5.00% due 9/1/2017 (Infrastructure Improvements) | BBB/NR | 1,580,000 | 1,756,976 | |||||||
Uptown Development Authority, 5.00% due 9/1/2018 (Infrastructure Improvements) | BBB/NR | 1,870,000 | 2,081,086 | |||||||
Uptown Development Authority, 5.00% due 9/1/2019 (Infrastructure Improvements) | BBB/NR | 1,945,000 | 2,155,585 | |||||||
Waco Health Facilities Development Corp., 4.00% due 9/1/2013 (Hillcrest Health System; Insured: Natl-Re) (ETM) | BBB/NR | 1,000,000 | 1,048,670 | |||||||
Weslaco GO Waterworks & Sewer System, 5.25% due 2/15/2019 (Insured: Natl-Re) | BBB+/A3 | 2,835,000 | 3,246,812 | |||||||
West Harris County Regional Water, 5.25% due 12/15/2012 (Insured: AGM) | AA-/Aa3 | 2,435,000 | 2,516,670 | |||||||
U.S. VIRGIN ISLANDS — 0.24% | ||||||||||
Virgin Islands Public Finance Authority, 6.75% due 10/1/2019 (Matching Fund Loan Diageo Project) | NR/Baa3 | 7,690,000 | 8,802,512 | |||||||
Virgin Islands Water & Power Authority, 4.75% due 7/1/2015 | BBB-/Baa2 | 1,000,000 | 1,067,570 | |||||||
Virgin Islands Water & Power Authority, 4.75% due 7/1/2016 | BBB-/Baa2 | 1,225,000 | 1,326,749 | |||||||
Virgin Islands Water & Power Authority, 4.75% due 7/1/2017 | BBB-/Baa2 | 1,300,000 | 1,405,079 | |||||||
42 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
UTAH — 1.16% | ||||||||||
Intermountain Power Agency Supply, 5.00% due 7/1/2012 | A+/A1 | $ | 15,000,000 | $ | 15,181,500 | |||||
Intermountain Power Agency Supply, 5.00% due 7/1/2012 (Insured: Natl-Re) (ETM) | NR/NR | 2,240,000 | 2,249,005 | |||||||
Intermountain Power Agency Supply, 5.00% due 7/1/2013 | A+/A1 | 5,000,000 | 5,289,050 | |||||||
Intermountain Power Agency Supply, 5.25% due 7/1/2014 (Insured: Natl-Re) | BBB/Baa2 | 2,300,000 | 2,459,298 | |||||||
Murray City Hospital Revenue, 0.20% due 5/15/2037 put 4/2/2012 (IHC Health Services, Inc.; SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/Aa1 | 11,740,000 | 11,740,000 | |||||||
Nebo School District GO, 2.50% due 7/1/2012 | AAA/Aaa | 1,510,000 | 1,518,728 | |||||||
Weber County Hospital Revenue, 0.23% due 2/15/2031 put 4/2/2012 (IHC Health Services; SPA: Landesbank Hessen-Thuringen) (daily demand notes) | AA+/Aa1 | 6,020,000 | 6,020,000 | |||||||
Weber County Hospital Revenue, 0.23% due 2/15/2035 put 4/2/2012 (IHC Health Services) (daily demand notes) | AA+/Aa1 | 15,925,000 | 15,925,000 | |||||||
VERMONT — 0.42% | ||||||||||
Vermont Colleges Revenue GO, 4.00% due 7/1/2017 | A+/NR | 5,375,000 | 5,854,020 | |||||||
Vermont Economic Development Authority Revenue, 5.00% due 12/15/2020 (Vermont Public Service Corp.) | NR/Baa1 | 14,250,000 | 16,035,382 | |||||||
VIRGINIA — 0.06% | ||||||||||
Fairfax County EDA, 5.00% due 8/1/2016 | AA+/Aa2 | 2,600,000 | 2,989,792 | |||||||
WASHINGTON — 1.53% | ||||||||||
Energy Northwest Washington Electric, 5.50% due 7/1/2012 (Bonneville Power Administration; Insured: Natl-Re) | AA-/Aa1 | 3,000,000 | 3,040,470 | |||||||
bEnergy Northwest Washington Electric, 5.00% due 7/1/2013 | AA-/NR | 3,835,000 | 4,047,497 | |||||||
Energy Northwest Washington Electric, 5.00% due 7/1/2014 (Wind Project; Insured: AMBAC) | A/A2 | 2,575,000 | 2,796,913 | |||||||
Energy Northwest Washington Electric, 6.00% due 7/1/2016 (Insured: AMBAC) | AA-/Aa1 | 2,415,000 | 2,449,124 | |||||||
Energy Northwest Washington Electric, 5.00% due 7/1/2017 (Bonneville Power Administration) | AA-/Aa1 | 5,470,000 | 6,497,375 | |||||||
bEnergy Northwest Washington Electric, 5.00% due 7/1/2017 | AA-/NR | 5,000,000 | 5,939,100 | |||||||
Port Seattle Washington Revenue, 5.50% due 9/1/2018 (Insured: Natl-Re/FGIC) | A/A1 | 5,000,000 | 5,968,500 | |||||||
Seattle Municipal Light & Power Revenue, 5.00% due 2/1/2016 | AA-/Aa2 | 1,000,000 | 1,154,860 | |||||||
Seattle Municipal Light & Power Revenue, 5.00% due 2/1/2017 | AA-/Aa2 | 2,000,000 | 2,356,840 | |||||||
Snohomish County Public Utilities District, 5.00% due 12/1/2015 (Insured: AGM) | AA-/Aa3 | 5,015,000 | 5,470,262 | |||||||
Washington State GO, 0% due 1/1/2018 (Insured: Natl-Re/FGIC) | AA+/Aa1 | 4,000,000 | 3,624,680 | |||||||
Washington State GO, 0% due 1/1/2019 (Insured: Natl-Re/FGIC) | AA+/Aa1 | 3,000,000 | 2,619,270 | |||||||
Washington State HFA, 5.00% due 7/1/2013 (Overlake Hospital; Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,050,950 | |||||||
Washington State HFA, 5.00% due 8/15/2013 (Multicare Health Systems) | AA-/A1 | 1,250,000 | 1,305,250 | |||||||
Washington State HFA, 5.00% due 8/15/2014 (Multicare Health Systems) | AA-/A1 | 1,500,000 | 1,603,575 | |||||||
Washington State HFA, 5.00% due 8/15/2015 (Multicare Health Systems) | AA-/A1 | 2,000,000 | 2,179,980 | |||||||
Washington State HFA, 5.00% due 8/15/2016 (Multicare Health Systems) | AA-/A1 | 2,075,000 | 2,288,933 | |||||||
Washington State HFA, 5.375% due 12/1/2016 (Group Health Co-op of Puget Sound; Insured: AMBAC) | BBB-/NR | 2,000,000 | 2,022,900 | |||||||
Washington State HFA, 5.00% due 7/1/2017 (Overlake Hospital Medical Center) | A-/A3 | 1,245,000 | 1,387,540 | |||||||
Washington State HFA, 5.00% due 8/15/2017 (Multicare Health Systems) | AA-/A1 | 1,000,000 | 1,114,860 | |||||||
Washington State HFA, 5.25% due 8/1/2018 (Highline Medical Center; Insured: AGM 242) | A+/NR | 7,975,000 | 9,168,299 | |||||||
Washington State HFA, 5.00% due 8/15/2018 (Multicare Health Systems) | AA-/A1 | 2,000,000 | 2,239,080 | |||||||
Washington State HFA, 5.00% due 7/1/2019 (Overlake Hospital Medical Center) | A-/A3 | 1,050,000 | 1,167,107 | |||||||
Washington State HFA, 4.75% due 7/1/2020 (Overlake Hospital Medical Center) | A-/A3 | 1,000,000 | 1,090,370 | |||||||
Washington State Public Power Supply Systems, 5.40% due 7/1/2012 (Insured: AGM) | AA-/Aa1 | 1,320,000 | 1,337,464 | |||||||
Washington State Public Power Supply Systems, 0% due 7/1/2013 (Insured: Natl-Re/IBC) | AA-/Aa1 | 1,760,000 | 1,748,155 | |||||||
Washington State Public Power Supply Systems, 0% due 7/1/2015 (Insured: Natl-Re/IBC) | AA-/Aa1 | 3,000,000 | 2,899,530 | |||||||
Yakima County School District, 5.00% due 12/1/2012 (Insured: Natl-Re) | NR/Aa1 | 1,270,000 | 1,310,361 | |||||||
Certified Semi-Annual Report 43
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
WEST VIRGINIA — 0.26% | ||||||||||
Clarksburg Water Revenue, 5.25% due 9/1/2019 (Insured: Natl-Re/FGIC) | BBB/NR | $ | 1,425,000 | $ | 1,465,441 | |||||
Kanawha, Mercer, Nicholas Counties Single Family Mtg, 0% due 2/1/2015 pre-refunded 2/1/2014 | NR/Aaa | 2,260,000 | 2,009,321 | |||||||
Mason County PCR, 2.00% due 10/1/2022 (Appalachian Power Co.) | NR/Baa2 | 1,500,000 | 1,504,740 | |||||||
Monongalia County Community Hospital, 5.25% due 7/1/2020 (Monongalia General Hospital) | A-/NR | 4,195,000 | 4,425,222 | |||||||
West Virginia EDA PCR, 4.85% due 5/1/2019 put 9/4/2013 (Appalachian Power Company) | BBB/Baa2 | 1,000,000 | 1,045,660 | |||||||
West Virginia EDA PCR, 4.85% due 5/1/2019 put 9/4/2013 (Appalachian Power Company) | BBB/Baa2 | 1,000,000 | 1,045,660 | |||||||
West Virginia University, 0% due 4/1/2013 (Insured: AMBAC) | A+/Aa3 | 2,000,000 | 1,982,960 | |||||||
WISCONSIN — 0.70% | ||||||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/15/2014 (Aurora Health Care, Inc.) | NR/A3 | 4,265,000 | 4,618,568 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/15/2015 (Aurora Health Care, Inc.) | NR/A3 | 4,100,000 | 4,542,103 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/15/2016 (Aurora Health Care, Inc.) | NR/A3 | 3,695,000 | 4,151,037 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 4/15/2017 (Aurora Health Care, Inc.) | NR/A3 | 1,295,000 | 1,462,314 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/1/2017 (Agnesian Health Care, Inc.) | A-/A3 | 1,000,000 | 1,111,380 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/15/2017 (Aurora Health Care, Inc.) | NR/A3 | 5,025,000 | 5,699,053 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/1/2018 (Agnesian Health Care, Inc.) | A-/A3 | 1,855,000 | 2,070,607 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/1/2019 (Agnesian Health Care, Inc.) | A-/A3 | 1,000,000 | 1,101,350 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/1/2020 (Agnesian Health Care, Inc.) | A-/A3 | 2,110,000 | 2,331,867 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.125% due 8/15/2027 put 8/15/2016 (Aurora Health Care, Inc.) | NR/A3 | 4,500,000 | 5,006,880 | |||||||
Wisconsin Petroleum, 5.00% due 7/1/2015 | AA/Aa2 | 4,000,000 | 4,530,000 | |||||||
|
| |||||||||
TOTAL INVESTMENTS — 98.49% (Cost $4,891,139,421) | $ | 5,127,269,585 | ||||||||
OTHER ASSETS LESS LIABILITIES — 1.51% | 78,647,742 | |||||||||
|
| |||||||||
NET ASSETS — 100.00% | $ | 5,205,917,327 | ||||||||
|
| |||||||||
Footnote Legend
| † | Credit ratings are unaudited. Rating changes may have occurred subsequent to the reporting period end. Bonds issued with a maturity of one year or less are assigned Moody’s ratings from MIG-1 to MIG-4 and Standard and Poor’s ratings from SP-1+ to SP-3 with MIG-1 and SP-1+ being the strongest ratings. |
| a | Segregated as collateral for a when-issued security. |
| b | When-issued security. |
44 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
| ACA | Insured by American Capital Access |
| AGM | Insured by Assured Guaranty Municipal Corp. |
| AMBAC | Insured by American Municipal Bond Assurance Corp. |
| BHAC | Insured by Berkshire Hathaway Assurance Corp. |
| 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 Association |
| GO | General Obligation |
| HFA | Health Facilities Authority |
| HUD | Department of Housing & Urban Development |
| IBC | Insured Bond Certificate |
| IDA | Industrial Development Authority |
| ISD | Independent School District |
| JEA | Jacksonville Electric Authority |
| LOC | Letter of Credit |
| MBIA | Insured by Municipal Bond Investors Assurance |
| Mtg | Mortgage |
| NCSL | National Conference of State Legislature |
| Natl-Re | Insured by National Public Finance Guarantee Corp. |
| PCR | Pollution Control Revenue Bond |
| PSF | Guaranteed by Permanent School Fund |
| Q-SBLF | Qualified School Board Loan Fund |
| Radian | Insured by Radian Asset Assurance |
| SONYMA | State of New York Mortgage Authority |
| SPA | Stand-by Purchase Agreement |
| Syncora | Insured by Syncora Guarantee Inc. |
| UPMC | University of Pittsburgh Medical Center |
| USD | Unified School District |
See notes to financial statements.
Certified Semi-Annual Report 45
Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
ASSETS | ||||
Investments at value (cost $4,891,139,421) (Note 2) | $ | 5,127,269,585 | ||
Cash | 22,844,980 | |||
Receivable for investments sold | 10,206,303 | |||
Receivable for fund shares sold | 27,158,919 | |||
Interest receivable | 55,948,710 | |||
Prepaid expenses and other assets | 163,835 | |||
|
| |||
Total Assets | 5,243,592,332 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 21,846,056 | |||
Payable for fund shares redeemed | 11,508,320 | |||
Payable to investment advisor and other affiliates (Note 3) | 2,265,301 | |||
Accounts payable and accrued expenses | 300,830 | |||
Dividends payable | 1,754,498 | |||
|
| |||
Total Liabilities | 37,675,005 | |||
|
| |||
NET ASSETS | $ | 5,205,917,327 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment income | $ | (1,177,027 | ) | |
Net unrealized appreciation on investments | 236,130,164 | |||
Accumulated net realized gain (loss) | (3,053,164 | ) | ||
Net capital paid in on shares of beneficial interest | 4,974,017,354 | |||
|
| |||
| $ | 5,205,917,327 | |||
|
| |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($1,933,673,354 applicable to 133,080,432 shares of beneficial interest outstanding - Note 4) | $ | 14.53 | ||
Maximum sales charge, 1.50% of offering price | 0.22 | |||
|
| |||
Maximum offering price per share | $ | 14.75 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($648,651,665 applicable to 44,559,858 shares of beneficial interest outstanding - Note 4) | $ | 14.56 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($2,623,592,308 applicable to 180,537,898 shares of beneficial interest outstanding - Note 4) | $ | 14.53 | ||
|
| |||
| * | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
46 Certified Semi-Annual Report
Thornburg Limited Term Municipal Fund | Six Months Ended March 31, 2012 (Unaudited) | |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $24,422,257) | $ | 71,805,103 | ||
|
| |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 6,728,552 | |||
Administration fees (Note 3) | ||||
Class A Shares | 1,117,055 | |||
Class C Shares | 359,447 | |||
Class I Shares | 599,078 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 2,234,110 | |||
Class C Shares | 1,446,962 | |||
Transfer agent fees | ||||
Class A Shares | 278,710 | |||
Class C Shares | 132,193 | |||
Class I Shares | 248,253 | |||
Registration and filing fees | ||||
Class A Shares | 30,243 | |||
Class C Shares | 25,274 | |||
Class I Shares | 43,383 | |||
Custodian fees (Note 3) | 262,301 | |||
Professional fees | 45,508 | |||
Accounting fees | 63,805 | |||
Trustee fees | 61,256 | |||
Other expenses | 204,261 | |||
|
| |||
Total Expenses | 13,880,391 | |||
Less: | ||||
Fees paid indirectly (Note 3) | (5,114 | ) | ||
|
| |||
Net Expenses | 13,875,277 | |||
|
| |||
Net Investment Income | 57,929,826 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | (214,400 | ) | ||
Net change in unrealized appreciation (depreciation) on investments | 46,199,000 | |||
|
| |||
Net Realized and Unrealized Gain | 45,984,600 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 103,914,426 | ||
|
| |||
See notes to financial statements.
Certified Semi-Annual Report 47
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Limited Term Municipal Fund
| Six Months Ended March 31, 2012* | Year Ended September 30, 2011 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 57,929,826 | $ | 109,234,125 | ||||
Net realized gain (loss) on investments | (214,400 | ) | 400,325 | |||||
Net unrealized appreciation (depreciation) on investments | 46,199,000 | 33,955,135 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 103,914,426 | 143,589,585 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (20,545,227 | ) | (40,261,376 | ) | ||||
Class C Shares | (5,821,000 | ) | (11,239,321 | ) | ||||
Class I Shares | (31,563,599 | ) | (57,733,428 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 266,267,289 | 25,207,173 | ||||||
Class C Shares | 117,257,838 | 40,398,775 | ||||||
Class I Shares | 372,101,710 | 318,758,568 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 801,611,437 | 418,719,976 | ||||||
NET ASSETS: | ||||||||
Beginning of Period | 4,404,305,890 | 3,985,585,914 | ||||||
|
|
|
| |||||
End of Period | $ | 5,205,917,327 | $ | 4,404,305,890 | ||||
|
|
|
| |||||
| * | Unaudited. |
See notes to financial statements.
48 Certified Semi-Annual Report
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
NOTE 1 – ORGANIZATION
Thornburg Limited Term 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 Fund is currently one of sixteen separate series of the Trust. 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). 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 of purchase, 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 may be subject to a service fee, 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 Investments: Debt obligations 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, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
In any case where a pricing service fails to provide a price for a debt obligation held by the Fund, the valuation and pricing committee determines a fair value for the obligation using procedures approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt obligation 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 obligation.
In determining fair value for any portfolio security or other investment, the valuation and pricing committee seeks to determine the amount that an owner of the investment might reasonably expect to receive upon a sale of the investment. However, because fair value prices are estimated prices, the valuation and pricing committee’s determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Fund’s financial statements. The valuation and pricing committee’s determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation Measurements: Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three levels listed below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment rates, credit risk, etc.).
Level 3: Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
Certified Semi-Annual Report 49
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
The following table displays a summary of the inputs used to value the Fund’s net assets as of March 31, 2012. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
| Fair Value Measurements at March 31, 2012 | ||||||||||||||||
| Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities | $ | 5,127,269,585 | $ | — | $ | 5,127,269,585 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 5,127,269,585 | $ | — | $ | 5,127,269,585 | $ | — | ||||||||
Other Notes: It is the policy of the Fund to recognize significant transfers between Levels 1, 2 and 3 and to disclose those transfers as of the date of the underlying event which caused the movement. The Fund recognized no significant transfers between levels for the six months ended March 31, 2012.
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 to shareholders substantially all taxable (if any) and tax exempt income of the Fund. Therefore, no provision for federal income tax is required.
Management reviews each uncertain tax position believed to be material to the preparation of the Fund’s financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of March 31, 2012, management has not identified any such position for which a liability must be reflected in the Statement of Assets and Liabilities. The Fund’s tax returns remain subject to examination for three years after filing.
When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with 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 Fund makes a commitment to purchase a security on a when-issued or delayed delivery 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 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
50 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
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, 2012, 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, 2012, the Distributor has advised the Fund that it earned commissions aggregating $9,001 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $48,729 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. For the six months ended March 31, 2012, there were no 12b-1 service plan fees charged for Class I shares. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
The Trust has also adopted a distribution plan pursuant to Rule 12b-1, applicable only to the Fund’s Class C shares under which the Fund compensates the Distributor for services in promoting the sale of Class C shares of the Fund at an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class C shares. Total fees incurred by the Fund for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2012, 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 are 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, 2012, fees paid indirectly were $5,114.
Certain officers and Trustees of the Trust are also officers 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, 2012, 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, 2012 (Unaudited) | Year Ended September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 29,286,340 | $ | 424,030,199 | 34,018,460 | $ | 480,834,989 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 1,125,231 | 16,307,998 | 2,121,045 | 29,967,195 | ||||||||||||
Shares repurchased | (12,021,156 | ) | (174,070,908 | ) | (34,515,435 | ) | (485,595,011 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 18,390,415 | $ | 266,267,289 | 1,624,070 | $ | 25,207,173 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Certified Semi-Annual Report 51
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
| Six Months Ended March 31, 2012 (Unaudited) | Year Ended September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 10,961,803 | $ | 159,190,998 | 10,957,730 | $ | 155,484,465 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 302,661 | 4,394,840 | 556,994 | 7,884,261 | ||||||||||||
Shares repurchased | (3,194,544 | ) | (46,328,000 | ) | (8,723,778 | ) | (122,969,951 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 8,069,920 | $ | 117,257,838 | 2,790,946 | $ | 40,398,775 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 41,605,921 | $ | 603,043,274 | 68,377,616 | $ | 967,194,986 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 1,800,258 | 26,091,501 | 3,399,837 | 48,048,652 | ||||||||||||
Shares repurchased | (17,746,156 | ) | (257,033,065 | ) | (49,330,992 | ) | (696,485,070 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 25,660,023 | $ | 372,101,710 | 22,446,461 | $ | 318,758,568 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2012, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $642,266,092 and $224,234,633, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2012, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 4,891,139,421 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 236,966,860 | ||
Gross unrealized depreciation on a tax basis | (836,696 | ) | ||
|
| |||
Net unrealized appreciation (depreciation)on investments (tax basis) | $ | 236,130,164 | ||
|
|
At March 31, 2012, 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:
2015 | $ | 2,633,670 | ||
2016 | 192,444 | |||
|
| |||
| $ | 2,826,114 | |||
|
|
The Regulated Investment Company Modernization Act of 2010 (the “Act”) was signed into law on December 22, 2010. The Act makes changes to a number of tax rules impacting the Fund. Under the Act, future capital losses generated by the Fund may be carried over indefinitely, but these losses must be used prior to the utilization of any pre-enactment capital losses. Since pre-enactment capital losses may only be carried forward for eight years, there may be a greater likelihood that all or a portion of a Fund’s pre-enactment capital losses will expire unused. In general, the provisions of the Act will be effective for the Fund’s fiscal year ending September 30, 2012.
52 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
OTHER NOTES:
Risks: The Fund’s investments subject it to risks including, but not limited to, credit risk, interest rate risk, management risk, market and economic risk, and liquidity risk. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund.
Subsequent Events: Fund management believes no events have occurred between March 31, 2012 and the date of issuance of the financial statements, which require adjustment to, or disclosure in the accompanying financial statements.
Certified Semi-Annual Report 53
Thornburg Limited Term Municipal Fund
| PER SHARE PERFORMANCE (for a share outstanding throughout the Period)+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless | Net Asset Value Beginning of Period | Net Investment Income (Loss) | Net Realized & Unrealized Gain (Loss) on Investments | Total from Investment Operations | Dividends from Net Investment Income | Dividends from Net Realized Gains | Total Dividends | Net Asset Value End of Period | Net Investment Income (Loss) (%) | Expenses, After Expense Reductions (%) | Expenses, After Expense Reductions and Net of Custody Credits (%) | Expenses, Before Expense Reductions (%) | Total Return (%)(a) | Portfolio Turnover Rate (%) | Net Assets at End of Period (Thousands) | |||||||||||||||||||||||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 (b) (c) | $ | 14.39 | 0.17 | 0.14 | 0.31 | (0.17 | ) | – | (0.17 | ) | $ | 14.53 | 2.30 | (d) | 0.72 | (d) | 0.72 | (d) | 0.72 | (d) | 2.14 | 5.08 | $ | 1,933,673 | ||||||||||||||||||||||||||||||||||||
2011(c) | $ | 14.27 | 0.36 | 0.12 | 0.48 | (0.36 | ) | – | (0.36 | ) | $ | 14.39 | 2.53 | 0.74 | 0.74 | 0.74 | 3.43 | 16.15 | $ | 1,649,964 | ||||||||||||||||||||||||||||||||||||||||
2010 (c) | $ | 14.00 | 0.37 | 0.28 | 0.65 | (0.38 | ) | – | (0.38 | ) | $ | 14.27 | 2.66 | 0.78 | 0.78 | 0.78 | 4.70 | 12.57 | $ | 1,613,582 | ||||||||||||||||||||||||||||||||||||||||
2009(c) | $ | 13.22 | 0.47 | 0.78 | 1.25 | (0.47 | ) | – | (0.47 | ) | $ | 14.00 | 3.50 | 0.86 | 0.86 | 0.86 | 9.67 | 12.18 | $ | 1,040,628 | ||||||||||||||||||||||||||||||||||||||||
2008(c) | $ | 13.49 | 0.48 | (0.27 | ) | 0.21 | (0.48 | ) | – | (0.48 | ) | $ | 13.22 | 3.54 | 0.89 | 0.88 | 0.89 | 1.54 | 17.78 | $ | 705,238 | |||||||||||||||||||||||||||||||||||||||
2007(c) | $ | 13.53 | 0.46 | (0.04 | ) | 0.42 | (0.46 | ) | – | (0.46 | ) | $ | 13.49 | 3.43 | 0.90 | 0.90 | 0.90 | 3.18 | 21.35 | $ | 696,717 | |||||||||||||||||||||||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 14.41 | 0.15 | 0.15 | 0.30 | (0.15 | ) | – | (0.15 | ) | $ | 14.56 | 2.02 | (d) | 0.99 | (d) | 0.99 | (d) | 0.99 | (d) | 2.07 | 5.08 | $ | 648,652 | ||||||||||||||||||||||||||||||||||||
2011 | $ | 14.30 | 0.32 | 0.11 | 0.43 | (0.32 | ) | – | (0.32 | ) | $ | 14.41 | 2.27 | 1.00 | 1.00 | 1.00 | 3.08 | 16.15 | $ | 525,923 | ||||||||||||||||||||||||||||||||||||||||
2010 | $ | 14.02 | 0.33 | 0.29 | 0.62 | (0.34 | ) | – | (0.34 | ) | $ | 14.30 | 2.36 | 1.05 | 1.05 | 1.55 | 4.48 | 12.57 | $ | 481,808 | ||||||||||||||||||||||||||||||||||||||||
2009 | $ | 13.24 | 0.43 | 0.79 | 1.22 | (0.44 | ) | – | (0.44 | ) | $ | 14.02 | 3.21 | 1.13 | 1.13 | 1.63 | 9.37 | 12.18 | $ | 206,952 | ||||||||||||||||||||||||||||||||||||||||
2008 | $ | 13.51 | 0.44 | (0.27 | ) | 0.17 | (0.44 | ) | – | (0.44 | ) | $ | 13.24 | 3.26 | 1.17 | 1.16 | 1.67 | 1.26 | 17.78 | $ | 99,972 | |||||||||||||||||||||||||||||||||||||||
2007 | $ | 13.55 | 0.43 | (0.04 | ) | 0.39 | (0.43 | ) | – | (0.43 | ) | $ | 13.51 | 3.15 | 1.19 | 1.18 | 1.68 | 2.90 | 21.35 | $ | 86,564 | |||||||||||||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 14.39 | 0.19 | 0.14 | 0.33 | (0.19 | ) | – | (0.19 | ) | $ | 14.53 | 2.63 | (d) | 0.38 | (d) | 0.38 | (d) | 0.38 | (d) | 2.31 | 5.08 | $ | 2,623,592 | ||||||||||||||||||||||||||||||||||||
2011 | $ | 14.27 | 0.41 | 0.12 | 0.53 | (0.41 | ) | – | (0.41 | ) | $ | 14.39 | 2.87 | 0.40 | 0.40 | 0.40 | 3.78 | 16.15 | $ | 2,228,418 | ||||||||||||||||||||||||||||||||||||||||
2010 | $ | 14.00 | 0.41 | 0.28 | 0.69 | (0.42 | ) | – | (0.42 | ) | $ | 14.27 | 2.98 | 0.44 | 0.44 | 0.44 | 5.04 | 12.57 | $ | 1,890,196 | ||||||||||||||||||||||||||||||||||||||||
2009 | $ | 13.22 | 0.51 | 0.79 | 1.30 | (0.52 | ) | – | (0.52 | ) | $ | 14.00 | 3.81 | 0.53 | 0.53 | 0.53 | 10.03 | 12.18 | $ | 865,827 | ||||||||||||||||||||||||||||||||||||||||
2008 | $ | 13.49 | 0.52 | (0.27 | ) | 0.25 | (0.52 | ) | – | (0.52 | ) | $ | 13.22 | 3.88 | 0.55 | 0.55 | 0.55 | 1.88 | 17.78 | $ | 437,393 | |||||||||||||||||||||||||||||||||||||||
2007 | $ | 13.53 | 0.51 | (0.04 | ) | 0.47 | (0.51 | ) | – | (0.51 | ) | $ | 13.49 | 3.78 | 0.57 | 0.57 | 0.57 | 3.53 | 21.35 | $ | 303,716 | |||||||||||||||||||||||||||||||||||||||
| (a) | Not annualized for periods less than one year. |
| (b) | Unaudited Six Month Period Ended March 31. |
| (c) | Sales loads are not reflected in computing total return. |
| (d) | Annualized. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
| 54 Certified Semi-Annual Report | Certified Semi-Annual Report 55 |
Thornburg Limited Term Municipal Fund | March 31, 2012 (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 a $1,000 investment beginning on October 1, 2011, and held until March 31, 2012.
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 10/1/11 | Ending Account Value 3/31/12 | Expenses Paid During Period† 10/1/11–3/31/12 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,021.40 | $ | 3.63 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,021.41 | $ | 3.63 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,020.70 | $ | 5.01 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.04 | $ | 5.01 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,023.10 | $ | 1.94 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,023.08 | $ | 1.94 | ||||||
| † | Expenses are equal to the annualized expense ratio for each class (A: 0.72%; C: 0.99%; I: 0.38%) 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.
56 Certified Semi-Annual Report
| Thornburg Limited Term Municipal Fund | March 31, 2012 (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. A description of the Policy 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 57
Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
September 13, 2011
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.
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.
APPOINTMENT OF TRUSTEE
The Trustees have appointed Sally Corning of Santa Fe, New Mexico as a Trustee, effective May 7, 2012. Ms. Corning is a founding partner of Sun Mountain Capital, Santa Fe, which advises clients in making investments in private equity partnerships and invests directly in private companies. Ms. Corning was formerly employed by Credit Suisse First Boston, Morgan Stanley and Dean Witter Reynolds. She received her BSBA from Georgetown University and her MBA from the Columbia University Graduate School of Business.
58 This page is not part of the Semi-Annual Report.
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 website 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 Developing World 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. 59
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 Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We are very organic in our approach, avoiding leverage or complex strategies which could backfire in periods of market uncertainty.
| • | 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 Strategic Municipal Income Fund |
| • | Thornburg Limited Term U.S. Government Fund |
| • | Thornburg Limited Term Income Fund |
| • | Thornburg Strategic Income Fund |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
This page is not part of the Semi-Annual Report. 61
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62 This page is not part of the Semi-Annual Report.
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This page is not part of the Semi-Annual Report. 63
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Important Information
The information presented on the following pages was current as of March 31, 2012. The managers’ views, portfolio holdings, and sector diversification are provided for the general information of the Fund’s shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. 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. Bond funds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The principal value of bonds 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 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. The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
Performance data given at net asset value (NAV) does not take into account applicable sales charges. If the sales charges had been included, the performance would have been lower.
Minimum investments for Class I shares are higher than those for other classes. Class I shares may not be available to all investors.
Share Class | NASDAQ Symbol | Cusip | ||
Class A | THIMX | 885-215-202 | ||
Class C | THMCX | 885-215-780 | ||
Class I | THMIX | 885-215-673 |
Lipper’s 2012 Best Fixed Income Funds Manager
Thornburg Investment Management ranked #1 out of 41 eligible firms in Lipper, Inc.’s fixed income Large Company universe for the three-year period ended 11/30/11, based on risk-adjusted returns. Lipper’s Large Company universe is comprised of fund families with more than $40 billion in total net assets. Only fund families with at least five bond funds were eligible for the fixed income funds manager award. Asset Class Group Awards are given for the three-year period only.
Glossary
BofA Merrill Lynch 3-15 Year U.S. Municipal Securities Index – This index is a subset of the BofA Merrill Lynch U.S. Municipal Securities Index including all securities with a remaining term to final maturity greater than or equal to 3 years and less than 15 years.
BofA Merrill Lynch 7-12 Year U.S. Municipal Securities Index – This index is a subset of the BofA Merrill Lynch U.S. Municipal Securities Index including all securities with a remaining term to final maturity greater than or equal to 7 years and less than 12 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.
Alternative Minimum Tax (AMT) – A federal tax aimed at ensuring that high-income individuals, estates, trusts, and corporations pay a minimal level income tax. For individuals, the AMT is calculated by adding tax preference items to regular taxable income.
Annualized Distribution Yield – The distribution yield reflects actual distributions made to shareholders. The annualized distribution yield is calculated by summing the last 30 days of income at a given month end and annualizing to a 360-day year. The result is divided by the ending maximum offering price or net asset value.
Basis Point (bps) – A unit equal to 1/100th of 1%. 1% = 100 basis points (bps).
Bond Credit Ratings – A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C, and D (the lowest) are considered below investment grade, speculative grade, or junk bonds. Unless otherwise noted, the ratings listed are from Municipal Market Data and are a combination of ratings from Standard and Poor’s, Moody’s Investors Service, and Fitch Ratings.
Duration – A bond’s sensitivity to interest rates. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
Effective Duration – A bond’s sensitivity to interest rates, incorporating the embedded option features, such as call provisions. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
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.
General Obligation Bond – A municipal bond backed by the credit and “taxing power” of the issuing jurisdiction rather than the revenue from a given project.
Gross Domestic Product (GDP) – A country’s income minus foreign investments: the total value of all goods and services produced within a country in a year, minus net income from investments in other countries.
This page is not part of the Semi-Annual Report. 3
Important Information , Continued
Quantitative Easing – The Federal Reserve’s monetary policy used to stimulate the U.S. economy following the recession that began in 2007/08.
Rolling Returns – Rolling returns are useful for examining the behavior of returns for holding periods similar to those actually experienced by investors. Rolling performance periods are generally two- or three-year periods, updated monthly or quarterly.
SEC Yield – SEC yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Fund’s shares at the end of the period.
Treasuries – 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 taxes.
4 This page is not part of the Semi-Annual Report.
Thornburg Intermediate Municipal Fund
At Thornburg, our approach to management of the Fund is based on the premise that investors in the Fund seek preservation of capital along with an attractive, relatively stable yield. While aggressive bond strategies may generate stronger returns when the market is turning a blind eye towards risk, they often fail to stack up over longer periods of time.
We apply time-tested techniques to manage risk and provide attractive returns. These include:
| • | Building a laddered portfolio. Laddering has been shown over time to mitigate reinvestment and interest-rate risk. |
| • | Investing on a cash-only basis without using leverage. While leveraged strategies may enhance returns when market conditions are favorable, they can quickly compound losses when sentiment shifts. |
| • | Conducting in-depth fundamental research on each issue and actively monitoring positions for subsequent credit events. |
| • | Diversifying among a large number of generally high-quality bonds. |
PORTFOLIO MANAGERS
Josh Gonze, Chris Ryon,CFA, and Chris Ihlefeld
IMPORTANT
PERFORMANCE INFORMATION
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.
The maximum sales charge for the Fund’s Class A shares is 2.00%. The total annual fund operating expense of Class A shares is 0.95%, as disclosed in the most recent Prospectus.
LONG-TERM STABILITY OF PRINCIPAL
Net asset value history of A shares from July 22, 1991 through March 31, 2012
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2012
| Since | ||||||||||||||||||||
| 1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Inception | ||||||||||||||||
A Shares (Incep: 7/22/91) | ||||||||||||||||||||
Without sales charge | 10.69 | % | 7.54 | % | 4.91 | % | 4.59 | % | 5.31 | % | ||||||||||
With sales charge | 8.44 | % | 6.83 | % | 4.49 | % | 4.37 | % | 5.21 | % | ||||||||||
30-DAY YIELDS, A SHARES
As of March 31, 2012
| Annualized | SEC | |||
| Distribution Yield | Yield | |||
2.60% | 1.79 | % | ||
KEY PORTFOLIO ATTRIBUTES
As of March 31, 2012
Number of Bonds | 381 | |||
Effective Duration | 5.4 Yrs | |||
Average Maturity | 7.8 Yrs |
See the entire portfolio in the Schedule of Investments beginning on page 12.
This page is not part of the Semi-Annual Report. 5
Thornburg Intermediate Municipal Fund
March 31, 2012
Table of Contents | ||||
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| 12 | ||||
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| 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
Christopher Ihlefeld Portfolio Manager
Christopher Ryon, CFA Portfolio Manager
Josh Gonze Portfolio Manager | April 13, 2012
Dear Fellow Shareholder:
We are pleased to present the semi-annual report for the Thornburg Intermediate Municipal
The additional price appreciation is due to several factors. Our interest rate sensitivity as
The Economy and the Federal Reserve
At the beginning of the semi-annual period in October 2011, the national economy seemed to
Late last year, fears of a European contagion infecting the rest of the world’s economies drove |
Certified Semi-Annual Report 7
| Letter to Shareholders, | ||
Continued | ||
system, voices of the inflation-hawk governors are growing louder. They are saying that there is no reason for further accommodation and that policy decisions should be based on the data, and not on the calendar — a reference to the Federal Reserve (the Fed) policy statement that short-term rates will probably remain near zero until late 2014.
We share some of the views of the hawkish governors: interest rates are at historic lows and the economy is beginning to heal itself. Investors should expect an upward drift in rates. Because bond (and bond fund) prices move in a direction opposite to rates, investor expectations of future returns should be tempered by these basic facts. We believe investors should focus on the fundamentals of investing, on proper diversification, and determining that the proposed holding period of an investment matches the investment vehicle’s characteristics.
The Municipal Market
The municipal market was the beneficiary of lower Treasury yields, reduced supply of newly issued municipal bonds, and increased investor confidence in the municipal bond market. Chart I shows the quarterly returns of the BofA Merrill Lynch 3-15 Year U.S. Municipal Securities Index and rolling two-year annualized returns for the same index. Over the last year, the quarterly returns have decreased. This may be attributable to increasing investor confidence, or to investors trying to capture prior-period returns, when the municipal market seemed much riskier. Cash flows into municipal bond mutual funds began to pick up in the last three months of 2011 and remained positive through the end of March 2012. While quarterly returns are volatile, the two-year rolling annualized returns lend some perspective to formulating return expectations. We believe these data indicate municipal bond investors are more likely to benefit from a two- to three-year investment horizon, depending on the fund under consideration, with lengthier horizons for longer-maturity funds.
CHART 1: BOFA MERRILL LYNCH 3-15 YEAR U.S. MUNICIPAL SECURITIES INDEX
QUARTERLY RETURNS VERSUS ROLLING TWO-YEAR RETURNS
Past performance does not guarantee future results.
Chart II illustrates the change in yields for AAA-rated general obligation bonds over the semi-annual reporting period; this was a continuation of a move to lower rates experienced in the last six months of 2011. It is hard to imagine interest rates moving much lower. Given the reduction in rates we have seen in the last year, we believe that the municipal market, along with most fixed income markets, is riskier today than it
8 Certified Semi-Annual Report
CHART II: CHANGES IN AAA GENERAL OBLIGATION BOND YIELDS
10/1/2011 through 3/31/2012
was this time last year. We have therefore become more defensive towards the market. We have taken several steps to position the Funds for rising rates: we have raised cash and liquidity levels and have shortened the average maturity of the Funds within the context of the laddered structure.
On the bright side, the credit fundamentals of the municipal bond market continue to improve. Some local credits that are heavily dependent on real estate values are the exception; as assessed values reflect the realities of a depressed real estate market, the tax base of these credits will remain stressed. But the Census Bureau recently reported state tax revenue increased $62 billion in 2011 from a 2010 level of $702 billion — or an 8.8% increase. State budget deficits are declining as revenues increase.
Pension funding is a large issue in some states; as of October 24, 2011, Bloomberg News reported that the median pension funding ratio for the states in 2010 was 74.6%, down from a high of 82.8% in 2007. Nationally, pension funding levels ranged from 45.4% to 101.5%. The actuaries at the Pew Center on the States suggest a funding level of 80.0% is sufficient.
Your Thornburg Intermediate Municipal Fund is a laddered portfolio of 381 municipal obligations as of March 31, 2012. 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 short and intermediate bonds is intended to accomplish two goals.
CHART III: % OF PORTFOLIO MATURING
As of 3/31/12. Percentages vary over time.
Data may not add up to 100% due to rounding.
Certified Semi-Annual Report 9
| Letter to Shareholders, | ||
Continued | ||
First, the staggered bond maturities contained in a ladder reduce interest-rate risk and ordinarily dampen the Fund’s price volatility. Second, laddering is intended to reduce reinvestment risk by giving the Fund a steady cash flow stream from maturing bonds to reinvest toward the top of the ladder where yields are typically higher. Chart III describes the percentages of your Fund’s bond portfolio maturing in each of the coming years. The Fund’s adherence to the discipline of the laddered structure served investors well.
We plan to continue to search for opportunities in the municipal market, using our fundamental, bottom-up approach to portfolio management, and the discipline of the laddered structure. Thank you for the trust you have placed with us and will continue to put that foremost in our minds as we go forward.
CHART IV: CYCLICAL BULL MARKET FOR BONDS – 30 YEARS OF DECLINING YIELDS
Yield of 10-Year Treasury Note
A Cautionary Note
The performance of the fixed income market must be judged within the context of a long-term bull market for bonds, with interest rates slowly declining for nearly 30 years. As illustrated in Chart IV, the yield on the 10-year U.S. Treasury note has been in a downward trajectory and is currently near its all-time low. At some point, interest rates should rise, which will push bond prices down. No one can forecast precisely when this will occur, how long it will continue, or how volatile the rise will be. One of the best risk management techniques to navigate such periods of uncertainty is to maintain a well-diversified portfolio and hold it for an investment time horizon of at least two to three years. A diversified portfolio should include exposure to bonds.
The question for investors is finding the optimal approach to managing the rise in rates. A bond ladder, which Thornburg uses in all its core bond funds, is a disciplined approach to the yield curve that works well in periods of rising rates – provided that the investor has a sufficient time horizon. Ladders also allow for portfolio managers to actively manage the specific bonds, market sectors, and structural characteristics of the bonds in the portfolios.
With laddered maturities, the bonds reach maturity in a sequential fashion, with a small portion maturing annually at face value. That cash is reinvested at the top end of the ladder, where rates are highest. Imagine that interest rates increased since you purchased your shares, so the NAV has declined. But some bonds have matured and the proceeds reinvested at the new, higher interest rates. That causes the monthly dividend to rise. The dividend yield increases and the total
10 Certified Semi-Annual Report
return begins to recover. Remember total return consists of two components: dividends plus or minus change in market value of the bonds. After a period of time, depending on how much rates rise, the investor’s total return should rebound to where it would have been if rates had not increased.
| Sincerely, | ||||
|
|
| ||
| Christopher Ihlefeld | Christopher Ryon, CFA | Josh Gonze | ||
| Portfolio Manager | Portfolio Manager | 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.
Certified Semi-Annual Report 11
| SCHEDULE OF INVESTMENTS | ||
| Thornburg Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
We have used ratings from Standard & Poor’s (S&P). Where S&P ratings are not available, we have used Moody’s Investors Service. Where neither rating is available, we have used ratings from Fitch Ratings. The category of investments identified as “AAA” in this graph includes investments which are pre-refunded or escrowed to maturity. Such investments are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities to satisfy the timely payment of principal and interest and, therefore, are normally deemed to be equivalent to AAA-rated securities.
| Credit Rating† | Principal | |||||||||
Issuer-Description | S&P/ Moody’s | Amount | Value | |||||||
ALABAMA — 1.47% | ||||||||||
Alabama Drinking Water Finance Authority, 5.25% due 8/15/2015 (Insured: AMBAC) | NR/NR | $ | 1,200,000 | $ | 1,336,284 | |||||
Alabama Public School & College Authority, 5.00% due 5/1/2016 | NR/Aa1 | 2,000,000 | 2,326,480 | |||||||
Mobile Industrial Development Board PCR, 1.65% due 6/1/2034 (Alabama Power Co.) | A/A2 | 2,000,000 | 1,990,140 | |||||||
Montgomery Water Works & Sanitary Sewer Board, 4.00% due 9/1/2012 | AAA/Aa2 | 1,120,000 | 1,137,685 | |||||||
Montgomery Water Works & Sanitary Sewer Board, 4.00% due 9/1/2014 | AAA/Aa2 | 1,310,000 | 1,417,682 | |||||||
Montgomery Water Works & Sanitary Sewer Board, 5.00% due 9/1/2017 | AAA/Aa2 | 2,185,000 | 2,603,296 | |||||||
University of Alabama at Birmingham Hospital Revenue, 5.25% due 9/1/2025 | A+/A1 | 2,000,000 | 2,153,960 | |||||||
ALASKA — 0.59% | ||||||||||
Alaska Municipal Bond Bank, 5.00% due 10/1/2017 (Insured: Natl-Re/FGIC) | AA/Aa2 | 2,470,000 | 2,734,265 | |||||||
Anchorage GO, 6.00% due 10/1/2012 (Insured: Natl-Re/FGIC) | AA/NR | 125,000 | 127,239 | |||||||
Valdez Alaska Marine Terminal Revenue, 5.00% due 1/1/2021 (BP Pipelines, Inc.) | A/A2 | 2,000,000 | 2,339,380 | |||||||
ARIZONA — 2.85% | ||||||||||
Arizona HFA, 5.00% due 7/1/2017 (Catholic Health Care West) | A/A2 | 1,450,000 | 1,643,387 | |||||||
Mohave County IDA, 7.25% due 5/1/2015 (Mohave Prison LLC) | BBB+/NR | 4,640,000 | 4,880,027 | |||||||
Phoenix Civic Improvement Corp., 5.00% due 7/1/2017 (Insured: Natl-Re) | AA/Aa3 | 1,000,000 | 1,150,790 | |||||||
Pima County IDA, 5.00% due 12/1/2030 (Providence Day School Project) | BBB+/NR | 2,000,000 | 1,943,120 | |||||||
Salt Verde Financial Corp. Gas Revenue, 5.25% due 12/1/2022 | A-/A3 | 2,000,000 | 2,170,160 | |||||||
Salt Verde Financial Corp. Gas Revenue, 5.25% due 12/1/2028 | A-/A3 | 735,000 | 768,310 | |||||||
State of Arizona, 5.00% due 7/1/2019 (Insured: AGM) | AA-/Aa3 | 7,280,000 | 8,663,564 | |||||||
Tucson GO, 9.75% due 7/1/2012 (ETM) | AA-/NR | 400,000 | 409,560 | |||||||
Tucson GO, 9.75% due 7/1/2013 (ETM) | AA-/NR | 500,000 | 558,410 | |||||||
University Medical Center Corp., GO 5.00% due 7/1/2015 | BBB+/Baa1 | 1,000,000 | 1,081,500 | |||||||
University of Arizona, 5.00% due 8/1/2024 | AA-/Aa3 | 1,635,000 | 1,846,455 | |||||||
CALIFORNIA — 13.72% | ||||||||||
Brea Redevelopment Agency, 0% due 8/1/2023 (Parking Facility/Public Improvements) | AA-/NR | 3,320,000 | 1,810,695 | |||||||
Brentwood Infrastructure Financing Authority, 5.00% due 11/1/2026 (Insured: AGM) | AA-/NR | 2,000,000 | 2,108,640 | |||||||
California Educational Facilities Authority, 5.50% due 4/1/2029 (Pitzer College) | NR/A3 | 3,000,000 | 3,267,000 | |||||||
California PCR Solid Waste Disposal, 5.25% due 6/1/2023 put 12/1/2017 (Republic Services, Inc.) (AMT) | BBB/Baa3 | 2,000,000 | 2,240,000 | |||||||
California State GO, 5.25% due 9/1/2026 | A-/A1 | 5,000,000 | 5,653,950 | |||||||
California State GO, 0.18% due 5/1/2034 put 4/2/2012 (Kindergarten; LOC: Citibank N.A./ | ||||||||||
California State Teachers’ Retirement System) (daily demand notes) | A/Aa3 | 11,325,000 | 11,325,096 | |||||||
California State HFA, 5.125% due 7/1/2022 (Catholic Health Care West) | A/A2 | 3,435,000 | 3,652,195 | |||||||
California State HFA, 5.25% due 3/1/2027 (Catholic Health Care West) | A/A2 | 5,250,000 | 5,771,115 | |||||||
California State Housing Finance Agency, 4.55% due 2/1/2015 (Home Mtg; Insured: FGIC) | BBB/Baa2 | 2,640,000 | 2,702,700 | |||||||
12 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
| Credit Rating† | Principal | |||||||||
Issuer-Description | S&P/ Moody’s | Amount | Value | |||||||
California State Infrastructure & Economic Development Bank, 0.17% due 11/1/2026 put 4/2/2012 (Pacific Gas & Electric; Insured: Mizuho Corporate Bank) (daily demand notes) | AA+/Aa2 $ | 6,185,000 | $ | 6,185,000 | ||||||
California State Infrastructure & Economic Development Bank, 5.75% due 8/15/2029 (King City High School) | A-/NR | 1,500,000 | 1,618,965 | |||||||
California State Infrastructure & Economic Development Bank, 0.20% due 9/1/2037 put 4/2/2012 (Los Angeles County Museum; LOC: Wells Fargo Bank) (daily demand notes) | AA-/Aa1 | 4,500,000 | 4,500,000 | |||||||
aCalifornia State Public Works Board, 5.00% due 4/1/2028 (Various Capital Projects) | BBB+/A2 | 2,500,000 | 2,626,525 | |||||||
California State Public Works Board Lease, 5.00% due 6/1/2017 (Regents of University of California; Insured: Natl-Re/FGIC) | AA-/Aa2 | 2,000,000 | 2,338,320 | |||||||
California State School Cash Reserve Program Authority, 2.00% due 10/31/2012 | SP-1+/NR | 7,000,000 | 7,071,400 | |||||||
California State School Cash Reserve Program Authority, 2.00% due 12/31/2012 | SP-1+/NR | 1,000,000 | 1,012,770 | |||||||
California Statewide Community Development Authority, 6.25% due 8/15/2028 (Enloe Medical Center; Insured: California Mtg Insurance) | A-/NR | 1,050,000 | 1,178,279 | |||||||
California Statewide Community Development Authority, 6.00% due 7/1/2030 (Aspire Public Schools) | NR/NR | 7,045,000 | 7,394,502 | |||||||
Carson Redevelopment Agency Tax Allocation, 6.25% due 10/1/2022 | A-/NR | 1,620,000 | 1,808,876 | |||||||
Carson Redevelopment Agency Tax Allocation, 6.375% due 10/1/2024 | A-/NR | 1,300,000 | 1,440,062 | |||||||
Chico Redevelopment Agency, 5.00% due 4/1/2030 (Chico Amended & Merged Redevelopment; Insured: AMBAC) | A+/NR | 4,000,000 | 4,034,600 | |||||||
Corona-Norco USD COP, 5.00% due 4/15/2018 (Insured: AGM) | AA-/Aa3 | 1,245,000 | 1,419,263 | |||||||
Corona-Norco USD COP, 5.00% due 4/15/2021 (Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,131,950 | |||||||
El Camino Hospital District, 6.25% due 8/15/2017 (Insured: AMBAC) (ETM) | NR/NR | 795,000 | 905,656 | |||||||
Franklin-McKinley School District GO, 5.25% due 8/1/2027 (Insured: Natl-Re/FGIC) | NR/A1 | 1,000,000 | 1,152,160 | |||||||
Golden West Schools Financing Authority, 0% due 8/1/2018 (Insured: Natl-Re) | BBB/Baa2 | 2,140,000 | 1,480,816 | |||||||
Kern Community College District COP, 4.00% due 4/1/2014 | SP-1+/NR | 5,000,000 | 5,288,500 | |||||||
Los Angeles Regional Airport Improvement Corp., 5.00% due 1/1/2017 (LAX Fuel Corp.; Insured: AGM) (AMT) | AA-/Aa3 | 1,120,000 | 1,195,846 | |||||||
M-S-R Energy Authority, 6.125% due 11/1/2029 | A-/NR | 2,500,000 | 2,923,175 | |||||||
Merced Redevelopment Agency, 6.25% due 9/1/2029 (Gateways Redevelopment) | BB+/NR | 1,500,000 | 1,545,600 | |||||||
Mojave USD COP, 0% due 9/1/2021 (Insured: AGM) | AA-/NR | 1,095,000 | 734,690 | |||||||
Mojave USD COP, 0% due 9/1/2023 (Insured: AGM) | AA-/NR | 1,100,000 | 637,571 | |||||||
Monterey County COP, 5.25% due 8/1/2021 (Refinancing Project; Insured: AGM) | AA/Aa3 | 3,700,000 | 4,284,637 | |||||||
Pittsburg Redevelopment Agency, 0% due 8/1/2025 (Los Medanos Community Development | ||||||||||
Project; Insured: AMBAC) | A+/NR | 2,900,000 | 1,302,651 | |||||||
Redwood City Redevelopment Agency, 0% due 7/15/2023 (Redevelopment Area A-2; Insured: AMBAC) | A-/NR | 2,060,000 | 1,122,370 | |||||||
San Jose Redevelopment Agency, 5.25% due 8/1/2027 (Merged Area Redevelopment Project) | A/A3 | 2,400,000 | 2,419,656 | |||||||
San Jose Redevelopment Agency, 5.375% due 8/1/2028 (Merged Area Redevelopment Project) | A/A3 | 1,175,000 | 1,188,677 | |||||||
San Mateo Union High School District GO Unlimited, 0% due 9/1/2019 (School Improvements; Insured: Natl-Re/FGIC) | AA/Aa1 | 3,000,000 | 2,476,200 | |||||||
Saratoga Union School District GO Unlimited, 0% due 9/1/2023 (Capital Appreciation; Insured: Natl-Re) | AA+/Aa2 | 900,000 | 579,204 | |||||||
Southeast Resource Recovery Facilities Authority, 5.375% due 12/1/2013 (Insured: AMBAC) (AMT) | A+/A1 | 1,000,000 | 1,055,470 | |||||||
Tuolumne Wind Project Authority, 5.875% due 1/1/2029 (Tuolumne Co.) | A+/A2 | 3,000,000 | 3,444,450 | |||||||
Turlock Irrigation District, 5.00% due 1/1/2021 | A+/A2 | 1,750,000 | 2,041,777 | |||||||
Victor Elementary School District GO, 0% due 8/1/2025 (Insured: Natl-Re/FGIC) | A+/Aa3 | 1,535,000 | 825,370 | |||||||
Washington USD COP, 5.00% due 8/1/2022 (New High School; Insured: AMBAC) | A/NR | 2,010,000 | 2,143,303 | |||||||
COLORADO — 3.97% | ||||||||||
Adams County, 5.00% due 8/1/2014 (Platte Valley Medical Center; Insured: Natl-Re/FHA 242) | BBB/NR | 1,000,000 | 1,078,740 | |||||||
Adams County Communication Center COP, 5.75% due 12/1/2016 (Adams County Communication Center) | NR/A1 | 1,080,000 | 1,097,280 | |||||||
Colorado HFA, 5.75% due 1/15/2022 (Vail Valley Medical Center) | A-/NR | 1,380,000 | 1,382,125 | |||||||
Certified Semi-Annual Report 13
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Denver City & County COP, 0.20% due 12/1/2029 put 4/2/2012 (SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/Aa2 | $ | 1,275,000 | $ | 1,275,000 | |||||
Denver City & County COP, 0.20% due 12/1/2031 put 4/2/2012 (SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/Aa1 | 11,595,000 | 11,595,000 | |||||||
Denver City & County Housing Authority, 5.20% due 11/1/2027 pre-refunded 11/1/2017 (Three Towers Rehabilation; Insured: AGM) | NR/Aaa | 1,220,000 | 1,437,355 | |||||||
Denver City & County Housing Authority, 5.20% due 11/1/2027 (Three Towers Rehabilation; Insured: AGM) | NR/Aa3 | 1,335,000 | 1,397,091 | |||||||
Denver Convention Center Hotel Authority, 5.25% due 12/1/2023 (Insured: Syncora) | BBB-/Baa3 | 2,430,000 | 2,484,456 | |||||||
El Paso County School District GO, 7.10% due 12/1/2013 (State Aid Withholding) | AA-/Aa2 | 500,000 | 553,750 | |||||||
Madre Metropolitan District GO, 5.375% due 12/1/2026 | NR/NR | 2,215,000 | 1,600,692 | |||||||
North Range Metropolitan District GO, 5.00% due 12/15/2021 (Insured: ACA) | NR/NR | 1,500,000 | 1,300,200 | |||||||
Northwest Parkway Public Highway Authority, 5.20% due 6/15/2014 (Insured: AGM) (ETM) | AA-/Aa3 | 1,005,000 | 1,107,058 | |||||||
Park Creek Metropolitan District, 5.25% due 12/1/2020 (Insured: AGM) | AA-/NR | 1,120,000 | 1,313,390 | |||||||
Public Authority for Colorado Energy Gas Revenue, 6.125% due 11/15/2023 | A-/Baa1 | 2,000,000 | 2,297,600 | |||||||
Regional Transportation District, 5.50% due 6/1/2022 | A-/Aa3 | 3,000,000 | 3,535,650 | |||||||
Southlands Metropolitan District GO, 7.00% due 12/1/2024 pre-refunded 12/1/2014 | AA+/NR | 1,370,000 | 1,603,147 | |||||||
CONNECTICUT — 0.98% | ||||||||||
Connecticut State Health & Educational Facility Authority, 5.75% due 7/1/2029 (Ethel Walker School) | BBB-/NR | 1,350,000 | 1,420,902 | |||||||
Connecticut State Health & Educational Facility Authority, 0.19% due 7/1/2036 put 4/2/2012 (Yale University Project) (daily demand notes) | AAA/Aaa | 7,200,000 | 7,200,000 | |||||||
DISTRICT OF COLUMBIA — 1.90% | ||||||||||
District of Columbia Association of American Medical Colleges, 5.00% due 2/15/2017 (Insured: AMBAC) (ETM) | NR/NR | 1,000,000 | 1,170,340 | |||||||
District of Columbia COP, 5.25% due 1/1/2014 (Insured: Natl-Re/FGIC) | A/Aa3 | 2,000,000 | 2,146,200 | |||||||
District of Columbia COP, 5.00% due 1/1/2020 (Insured: Natl-Re/FGIC) | A/Aa3 | 3,900,000 | 4,294,095 | |||||||
District of Columbia GO, 6.00% due 6/1/2015 (Insured: Natl-Re) | A+/Aa2 | 3,000,000 | 3,474,120 | |||||||
Metropolitan Airports Authority, 0% due 10/1/2023 (Dulles Toll Road; Insured: AGM) | AA-/Aa3 | 4,890,000 | 2,898,107 | |||||||
Metropolitan Airports Authority, 0% due 10/1/2024 (Dulles Toll Road; Insured: AGM) | AA-/Aa3 | 5,000,000 | 2,767,250 | |||||||
FLORIDA — 8.54% | ||||||||||
Broward County School Board COP, 5.00% due 7/1/2020 (Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,105,340 | |||||||
Correctional Privatization Commission COP, 5.00% due 8/1/2017 (Insured: AMBAC) | AA+/Aa2 | 1,000,000 | 1,088,840 | |||||||
Crossings at Fleming Island Community Development, 5.60% due 5/1/2012 (Insured: Natl-Re) | BBB/Baa2 | 380,000 | 380,992 | |||||||
Escambia County HFA, 5.95% due 7/1/2020 (Florida Health Care Facility Loan; Insured: AMBAC) | NR/NR | 2,360,000 | 2,439,343 | |||||||
bFlagler County School Board COP, 5.00% due 8/1/2020 (Insured: AGM) | AA-/Aa3 | 2,560,000 | 2,735,232 | |||||||
Florida Board of Education GO, 9.125% due 6/1/2014 (Capital Outlay) | AAA/Aa1 | 350,000 | 374,476 | |||||||
Florida Housing Finance Corp., 4.80% due 1/1/2016 (Homeowner Mtg; Insured: FHA) | AA+/Aa1 | 170,000 | 171,091 | |||||||
Florida Municipal Loan Council, 5.00% due 10/1/2020 (Insured: Natl-Re) | A-/Baa2 | 1,000,000 | 1,067,630 | |||||||
Florida Municipal Loan Council, 5.00% due 10/1/2024 (Insured: Natl-Re) | A-/Baa2 | 2,235,000 | 2,378,129 | |||||||
Florida State Department of Children & Families COP, 5.00% due 10/1/2018 (South Florida Evaluation Treatment) | AA+/NR | 2,090,000 | 2,282,029 | |||||||
Florida State Department of Children & Families COP, 5.00% due 10/1/2019 (South Florida Evaluation Treatment) | AA+/NR | 2,255,000 | 2,440,181 | |||||||
Florida State Department of Environmental Protection, 5.00% due 7/1/2017 (Florida Forever; Insured: Natl-Re/FGIC) | AA-/A1 | 1,000,000 | 1,061,230 | |||||||
Gainesville Utilities Systems Revenue, 0.32% due 10/1/2026 put 4/2/2012 (SPA: SunTrust Bank) (daily demand notes) | AA/Aa2 | 8,605,000 | 8,605,000 | |||||||
Highlands County HFA, 5.00% due 11/15/2019 (Adventist Health Hospital) | AA-/Aa3 | 1,100,000 | 1,200,012 | |||||||
Highlands County HFA, 5.00% due 11/15/2019 (Adventist Health Hospital) | AA-/Aa3 | 875,000 | 954,555 | |||||||
14 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Hillsborough County Special Assessment, 5.00% due 3/1/2017 (Insured: Natl-Re/FGIC) | A+/A1 | $ | 5,630,000 | $ | 6,167,271 | |||||
Hollywood Community Redevelopment Agency, 5.00% due 3/1/2021 (Insured: Syncora) | NR/A3 | 3,000,000 | 3,188,010 | |||||||
Lakeland Energy System Revenue, 5.00% due 10/1/2018 (Insured: AGM) | AA-/Aa3 | 2,000,000 | 2,364,820 | |||||||
Lakeland Energy System Revenue, 5.25% due 10/1/2036 | AA-/A1 | 2,770,000 | 3,288,267 | |||||||
Manatee County, 5.00% due 10/1/2016 (Insured: AMBAC) | AA-/Aa2 | 1,000,000 | 1,087,460 | |||||||
Marion County Hospital District, 5.00% due 10/1/2022 (Munroe Regional Health) | NR/A3 | 1,000,000 | 1,060,970 | |||||||
Miami Dade County GO, 5.00% due 10/1/2023 (Seaport) | AA-/Aa2 | 1,040,000 | 1,222,915 | |||||||
Miami Dade County GO, 6.25% due 7/1/2026 (Building Better Communities) | AA-/Aa2 | 2,130,000 | 2,515,487 | |||||||
Miami Dade County School Board COP, 5.00% due 10/1/2021 (Insured: AMBAC) | A/A1 | 3,035,000 | 3,425,726 | |||||||
Miami Dade County School Board COP, 5.25% due 5/1/2022 (Insured: AGM) | AA-/Aa3 | 2,600,000 | 2,923,154 | |||||||
Miami GO, 5.375% due 9/1/2015 (Insured: Natl-Re) | BBB/A2 | 1,000,000 | 1,012,650 | |||||||
Orange County HFA, 6.25% due 10/1/2013 (Orlando Regional Hospital; Insured: Natl-Re) | A/A2 | 440,000 | 468,191 | |||||||
Orange County HFA, 5.125% due 6/1/2014 (Mayflower Retirement; Insured: Radian) | NR/NR | 770,000 | 770,316 | |||||||
Orange County HFA, 6.25% due 10/1/2016 (Orlando Regional Hospital; Insured: Natl-Re) | A/A2 | 2,545,000 | 2,857,831 | |||||||
bOrange County HFA, 5.125% due 10/1/2026 (Orlando Health) | A/A2 | 2,000,000 | 2,087,260 | |||||||
Palm Beach County School Board COP, 5.00% due 8/1/2032 put 8/1/2016 | NR/Aa3 | 1,500,000 | 1,686,975 | |||||||
Sarasota County Public Hospital Board, 2.708% due 10/1/2021 (Sarasota Memorial Hospital; Insured: Natl-Re) | BBB/A1 | 2,000,000 | 1,968,440 | |||||||
South Miami HFA, 5.00% due 8/15/2022 (Baptist Health Group) | AA/Aa2 | 1,500,000 | 1,645,425 | |||||||
St. Johns County IDA, 5.85% due 8/1/2024 (Presbyterian Retirement) | NR/NR | 4,885,000 | 5,062,374 | |||||||
Tampa Health Systems, 5.50% due 11/15/2013 (Catholic Health East Group; Insured: Natl-Re) | BBB/Aa3 | 1,050,000 | 1,119,353 | |||||||
University of Central Florida COP Convocation Corp., 5.00% due 10/1/2019 (Insured: Natl- Re/FGIC) | BBB/NR | 1,135,000 | 1,166,156 | |||||||
GEORGIA — 2.39% | ||||||||||
Atlanta Water & Wastewater, 5.50% due 11/1/2022 (Insured: Natl-Re/FGIC) | A/A1 | 530,000 | 631,702 | |||||||
Atlanta Water & Wastewater, 5.50% due 11/1/2024 (Insured: AGM) | AA-/Aa3 | 5,000,000 | 5,714,700 | |||||||
Clarke County Hospital Authority, 5.00% due 1/1/2023 (Athens Regional Medical Center) | AA/Aa1 | 2,060,000 | 2,353,591 | |||||||
Clarke County Hospital Authority, 5.00% due 1/1/2024 (Athens Regional Medical Center) | AA/Aa1 | 2,310,000 | 2,622,705 | |||||||
Clarke County Hospital Authority, 5.00% due 1/1/2025 (Athens Regional Medical Center) | AA/Aa1 | 525,000 | 590,027 | |||||||
Clarke County Hospital Authority, 5.00% due 1/1/2026 (Athens Regional Medical Center) | AA/Aa1 | 725,000 | 809,716 | |||||||
Fulton County Development Authority, 5.00% due 10/1/2019 (Georgia Tech Athletic Association) | NR/A2 | 3,000,000 | 3,552,300 | |||||||
Municipal Electric Authority of Georgia, 6.60% due 1/1/2018 (Insured: Natl-Re) | BBB/A1 | 3,015,000 | 3,406,226 | |||||||
Valdosta & Lowndes County Hospital Authority, 5.00% due 10/1/2024 (South Medical Center) | AA-/Aa2 | 1,200,000 | 1,371,564 | |||||||
HAWAII — 1.43% | ||||||||||
Hawaii Department of Budget & Finance, 6.40% due 7/1/2013 (Kapiolani Health Care; Insured: Natl-Re) | BBB/A3 | 875,000 | 892,351 | |||||||
State of Hawaii GO, 5.00% due 12/1/2027 | AA/Aa2 | 10,000,000 | 11,769,400 | |||||||
IDAHO — 0.17% | ||||||||||
Boise City IDRB Corp., 5.00% due 5/15/2020 (Western Trailer Co.; LOC: Wells Fargo) (AMT) | NR/Aa3 | 1,485,000 | 1,488,430 | |||||||
ILLINOIS — 6.54% | ||||||||||
Chicago Midway Airport, 5.00% due 1/1/2019 (Insured: AMBAC) (AMT) | A-/A3 | 1,210,000 | 1,276,054 | |||||||
Chicago O’Hare International Airport, 5.75% due 1/1/2018 (Insured: AMBAC) (AMT) | A-/A2 | 3,050,000 | 3,059,333 | |||||||
Chicago Tax Increment, 6.25% due 11/15/2013 (Near South Redevelopment; Insured: ACA) | NR/NR | 1,550,000 | 1,550,310 | |||||||
Chicago Tax Increment, 0% due 11/15/2014 (Near South Redevelopment; Insured: ACA) | NR/NR | 1,440,000 | 1,247,256 | |||||||
Chicago Tax Increment Allocation, 5.30% due 1/1/2014 (Lincoln Belmont; Insured: ACA) | NR/NR | 1,590,000 | 1,591,685 | |||||||
Chicago Transit Authority, 5.00% due 12/1/2018 | AA/Aa3 | 1,500,000 | 1,766,505 | |||||||
Chicago Wastewater Transmission, 5.00% due 1/1/2014 | A+/Aa3 | 1,485,000 | 1,591,979 | |||||||
City of Waukegan GO, 4.00% due 12/30/2015 (Insured: AGM) | NR/Aa3 | 500,000 | 538,950 | |||||||
City of Waukegan GO, 5.00% due 12/30/2016 (Insured: AGM) | NR/Aa3 | 1,500,000 | 1,691,280 | |||||||
Certified Semi-Annual Report 15
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
City of Waukegan GO, 5.00% due 12/30/2017 (Insured: AGM) | NR/Aa3 | $ | 1,680,000 | $ | 1,903,675 | |||||
City of Waukegan GO, 5.00% due 12/30/2018 (Insured: AGM) | NR/Aa3 | 2,000,000 | 2,282,040 | |||||||
Cook County GO, 5.25% due 11/15/2024 | AA/Aa3 | 3,000,000 | 3,407,670 | |||||||
Cook County School District GO, 0% due 12/1/2022 (ETM) | NR/NR | 2,000,000 | 1,501,820 | |||||||
Illinois Educational Facilities Authority, 5.00% due 11/1/2016 (Rush University Medical Center) | A-/A2 | 1,000,000 | 1,108,810 | |||||||
Illinois Educational Facilities Authority, 5.75% due 11/1/2028 (Rush University Medical Center) | A-/A2 | 1,000,000 | 1,069,350 | �� | ||||||
Illinois Finance Authority, 5.00% due 11/1/2016 (Central DuPage Health) | AA/NR | 2,000,000 | 2,283,040 | |||||||
Illinois Finance Authority, 5.00% due 11/1/2017 (Central DuPage Health) | AA/NR | 2,000,000 | 2,325,700 | |||||||
Illinois Finance Authority, 5.00% due 8/1/2022 (Bradley University; Insured: Syncora) | A/NR | 1,000,000 | 1,062,430 | |||||||
Illinois Finance Authority, 6.125% due 11/1/2023 (Advocate Health) | AA/Aa2 | 5,000,000 | 5,986,800 | |||||||
Illinois HFA, 6.00% due 7/1/2012 (Loyola University Health Systems; Insured: Natl-Re) (ETM) | BBB/NR | 230,000 | 233,374 | |||||||
Illinois HFA, 5.70% due 2/20/2021 (Midwest Care Centers, Inc.; Collateralized: GNMA) | NR/Aaa | 695,000 | 703,507 | |||||||
McHenry & Lake Counties Community Consolidated School District No. 15 GO, 0% due 1/1/2017 pre-refunded 1/1/2017 (Insured: AGM) (ETM) | NR/Aa2 | 45,000 | 42,392 | |||||||
McHenry & Lake Counties Community Consolidated School District No. 15 GO, 0% due 1/1/2017 (Insured: AGM) | NR/Aa2 | 955,000 | 843,074 | |||||||
Railsplitter Tobacco Settlement Authority, 5.50% due 6/1/2023 | A-/NR | 4,000,000 | 4,548,680 | |||||||
Sangamon County School District COP, 5.875% due 8/15/2018 (Hay Edwards; Insured: ACA) | NR/NR | 2,600,000 | 2,604,160 | |||||||
Southern Illinois University, 0% due 4/1/2014 (Insured: Natl-Re) | BBB/A2 | 1,425,000 | 1,352,211 | |||||||
Southern Illinois University, 5.00% due 4/1/2014 (Housing & Auxiliary Facilities System; Insured: Natl-Re) | A+/A2 | 1,350,000 | 1,448,375 | |||||||
Southern Illinois University, 5.25% due 4/1/2019 (Housing & Auxiliary Facilities System; Insured: Natl-Re) | A+/A2 | 1,000,000 | 1,170,970 | |||||||
Southwestern Illinois Development Authority, 0% due 12/1/2024 (Insured: AGM) | AA-/NR | 2,975,000 | 1,721,246 | |||||||
State of Illinois, 5.00% due 6/15/2018 (Build Illinois) | AAA/NR | 2,000,000 | 2,361,020 | |||||||
Tazewell County School District GO, 9.00% due 12/1/2024 (Insured: Natl-Re/FGIC) | NR/A1 | 1,205,000 | 1,855,001 | |||||||
University of Illinois, 0% due 4/1/2014 (Insured: Natl-Re) | BBB/Aa2 | 1,590,000 | 1,552,206 | |||||||
INDIANA — 8.48% | ||||||||||
Allen County Economic Development, 5.75% due 12/30/2015 (Indiana Institute of Technology) | NR/NR | 1,355,000 | 1,388,861 | |||||||
Allen County Jail Building Corp., 5.00% due 4/1/2018 (Insured: Syncora) | NR/Aa2 | 2,495,000 | 2,834,894 | |||||||
Allen County Redevelopment District, 5.00% due 11/15/2018 | NR/A2 | 1,560,000 | 1,704,924 | |||||||
Carmel Redevelopment Authority, 0% due 2/1/2016 (Performing Arts Center) | AA+/Aa1 | 1,730,000 | 1,615,509 | |||||||
Carmel Redevelopment Authority, 0% due 2/1/2021 (Performing Arts Center) | AA+/Aa1 | 2,000,000 | 1,486,420 | |||||||
Carmel Redevelopment District, 6.50% due 7/15/2035 | NR/NR | 2,730,000 | 2,812,500 | |||||||
Clay Multi-School Building Corp. First Mtg, 4.00% due 7/15/2013 (State Aid Withholding) | AA+/NR | 1,290,000 | 1,338,427 | |||||||
Clay Multi-School Building Corp. First Mtg, 5.00% due 1/15/2018 (State Aid Withholding) | AA+/NR | 1,735,000 | 2,046,866 | |||||||
Fort Wayne Redevelopment Authority, 5.00% due 8/1/2023 (Harrison Square; Insured: AGM) | NR/Aa2 | 2,290,000 | 2,511,191 | |||||||
Hobart Building Corp. First Mtg, 6.50% due 7/15/2019 (Insured: Natl-Re) (State Aid Withholding) | AA+/NR | 1,000,000 | 1,294,820 | |||||||
Indiana Bond Bank, 5.25% due 4/1/2023 (Hendricks Regional; Insured: AMBAC) | AA/NR | 2,000,000 | 2,398,280 | |||||||
Indiana Bond Bank Special Program, 5.25% due 10/15/2020 (Natural Gas Utility Improvements) | NR/Aa3 | 5,340,000 | 6,202,784 | |||||||
Indiana Finance Authority, 0.20% due 2/1/2037 put 4/2/2012 (Lease Appropriation; SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/Aa3 | 6,900,000 | 6,900,000 | |||||||
Indiana Finance Authority, 0.20% due 2/1/2037 put 4/2/2012 (Lease Appropriation; SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/Aa2 | 4,200,000 | 4,200,000 | |||||||
Indiana Finance Authority, 0.24% due 2/1/2037 put 4/2/2012 (Lease Appropriation; SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/Aa2 | 1,100,000 | 1,100,000 | |||||||
Indiana HFA, 5.75% due 9/1/2015 (Methodist Hospital) (ETM) | AA+/A3 | 575,000 | 586,362 | |||||||
Indiana State Finance Authority, 5.00% due 3/1/2019 (University Health) | A+/A1 | 5,000,000 | 5,687,150 | |||||||
Indiana State Finance Authority, 5.25% due 9/15/2022 (Marian University) | BBB-/NR | 2,480,000 | 2,550,680 | |||||||
Indiana State Finance Authority, 5.25% due 9/15/2023 (Marian University) | BBB-/NR | 2,605,000 | 2,647,644 | |||||||
Indiana State Finance Authority, 0.20% due 2/1/2035 put 4/2/2012 (Lease Appropriation; SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/NR | 16,000,000 | 16,000,000 | |||||||
16 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Indiana State Finance Authority, 4.10% due 11/15/2046 put 11/3/2016 (Ascension Health) | AA+/Aa1 | $ | 1,000,000 | $ | 1,107,430 | |||||
Noblesville Redevelopment Authority, 5.00% due 8/1/2017 (146th Street Extension) | AA-/NR | 1,000,000 | 1,144,710 | |||||||
Noblesville Redevelopment Authority, 5.00% due 8/1/2020 (146th Street Extension) | AA-/NR | 1,000,000 | 1,123,050 | |||||||
South Bend Community School Corp. First Mtg, 4.00% due 7/15/2012 (State Aid Withholding) | AA+/NR | 1,510,000 | 1,524,707 | |||||||
South Bend Community School Corp. First Mtg, 4.00% due 7/15/2012 | AA+/NR | 1,490,000 | 1,504,513 | |||||||
Vincennes University, 5.375% due 6/1/2022 | NR/Aa3 | 895,000 | 1,071,172 | |||||||
IOWA — 0.39% | ||||||||||
Coralville COP, 5.25% due 6/1/2022 | NR/A1 | 2,980,000 | 3,201,951 | |||||||
Iowa Finance Authority, 6.00% due 7/1/2012 (Trinity Regional Hospital; Insured: AGM) | AA-/Aa3 | 220,000 | 222,743 | |||||||
KANSAS — 1.38% | ||||||||||
City of Wichita GO, 0.30% due 8/15/2013 (Norris Training Systems) | SP-1+/Mig1 | 10,000,000 | 10,000,700 | |||||||
Wichita Hospital Revenue, 4.00% due 11/15/2012 (Via Christi Health System) | A+/NR | 1,000,000 | 1,022,530 | |||||||
Wyandotte County School District GO, 5.00% due 9/1/2014 (Insured: Natl-Re/FGIC) | NR/A1 | 1,030,000 | 1,129,354 | |||||||
KENTUCKY — 0.88% | ||||||||||
Kentucky EDA, 5.85% due 10/1/2015 (Norton Healthcare; Insured: Natl-Re) | BBB/Baa2 | 2,665,000 | 2,844,274 | |||||||
Kentucky EDA, 0% due 10/1/2024 (Norton Healthcare; Insured: Natl-Re) | BBB/Baa2 | 6,130,000 | 3,318,966 | |||||||
Kentucky EDA, 5.75% due 12/1/2028 (Louisville Arena; Insured: AGM) | AA-/Aa3 | 1,500,000 | 1,639,590 | |||||||
LOUISIANA — 2.88% | ||||||||||
Louisiana Local Government Environment Facilities Authority, 5.00% due 3/1/2014 | ||||||||||
(Independence Stadium) | A/NR | 1,000,000 | 1,063,530 | |||||||
Louisiana Office Facilities Corp., 5.00% due 5/1/2014 (State Capitol) | NR/Aa3 | 1,000,000 | 1,085,770 | |||||||
Louisiana Offshore Terminal Authority, 2.125% due 10/1/2037 put 10/1/2015 | A/NR | 2,500,000 | 2,522,800 | |||||||
Louisiana Public Facilities Authority, 5.00% due 7/1/2022 (Black & Gold Facilities; Insured: CIFG) | AA-/Aa3 | 1,590,000 | 1,706,213 | |||||||
Morehouse Parish PCR, 5.25% due 11/15/2013 (International Paper Co.) | BBB/Baa3 | 3,000,000 | 3,170,910 | |||||||
New Orleans Aviation Board, 5.25% due 1/1/2018 (Insured: AGM) (AMT) | AA-/Aa3 | 1,000,000 | 1,145,880 | |||||||
New Orleans Aviation Board, 5.25% due 1/1/2020 (Insured: AGM) | AA-/Aa3 | 2,000,000 | 2,222,660 | |||||||
Plaquemines Parish Law Enforcement District GO, 5.00% due 9/1/2023 | BBB+/NR | 1,230,000 | 1,308,818 | |||||||
Plaquemines Parish Law Enforcement District GO, 5.00% due 9/1/2025 | BBB+/NR | 1,350,000 | 1,422,590 | |||||||
Plaquemines Parish Law Enforcement District GO, 5.15% due 9/1/2027 | BBB+/NR | 1,490,000 | 1,575,496 | |||||||
Plaquemines Parish Law Enforcement District GO, 5.30% due 9/1/2029 | BBB+/NR | 1,650,000 | 1,746,278 | |||||||
Regional Transit Authority Sales Tax Revenue, 5.00% due 12/1/2023 (Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,151,310 | |||||||
Regional Transit Authority Sales Tax Revenue, 5.00% due 12/1/2024 (Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,138,130 | |||||||
St. Tammany Parish Sales Tax Revenue, 5.00% due 6/1/2019 (Insured: CIFG) | A+/NR | 1,300,000 | 1,442,012 | |||||||
St. Tammany Parish Sales Tax Revenue, 5.00% due 6/1/2020 (Insured: CIFG) | A+/NR | 1,000,000 | 1,101,610 | |||||||
Terrebonne Parish Hospital Service District 1, 5.00% due 4/1/2028 (General Medical Center) | A/A2 | 1,500,000 | 1,579,800 | |||||||
MASSACHUSETTS — 0.14% | ||||||||||
Massachusetts Educational Financing Authority, 5.50% due 1/1/2022 (Student Loan Review) | AA/NR | 1,130,000 | 1,290,471 | |||||||
MICHIGAN — 4.86% | ||||||||||
City of Troy Michigan GO, 5.00% due 10/1/2016 | AAA/NR | 1,060,000 | 1,227,310 | |||||||
Detroit School District GO, 5.25% due 5/1/2026 (School Building & Site Improvement; | ||||||||||
Insured: AGM/Q-SBLF) | AA-/Aa2 | 3,150,000 | 3,617,397 | |||||||
Detroit School District GO, 5.25% due 5/1/2027 (Insured: AGM/Q-SBLF) | AA-/Aa2 | 1,000,000 | 1,145,800 | |||||||
Detroit Sewage Disposal Revenue, 5.25% due 7/1/2020 (Insured: Natl-Re) | A+/A1 | 3,000,000 | 3,270,030 | |||||||
Detroit Water Supply Systems, 5.00% due 7/1/2015 (Insured: AGM) | AA-/Aa3 | 1,260,000 | 1,385,962 | |||||||
Detroit Water Supply Systems, 4.25% due 7/1/2016 (Insured: Natl-Re) | BBB/A1 | 1,100,000 | 1,156,265 | |||||||
Certified Semi-Annual Report 17
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Kalamazoo Hospital Finance Authority, 6.25% due 6/1/2014 (Borgess Medical Center; Insured: FGIC) (ETM) | AA+/Aaa | $ | 650,000 | $ | 725,686 | |||||
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2019 (Bronson Hospital; Insured: AGM) | AA-/Aa3 | 2,000,000 | 2,289,100 | |||||||
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2022 (Bronson Hospital; Insured: AGM) | NR/Aa3 | 2,470,000 | 2,816,714 | |||||||
Kalamazoo Hospital Finance Authority, 5.25% due 5/15/2026 (Bronson Hospital) | NR/A2 | 1,285,000 | 1,403,952 | |||||||
Kent Hospital Finance Authority, 7.25% due 1/15/2013 (Butterworth Hospital; Insured: Natl- Re) (ETM) | AA/Aa3 | 85,000 | 87,643 | |||||||
Michigan Finance Authority, 5.00% due 4/1/2026 (Government Loan Program) | A+/NR | 1,580,000 | 1,660,248 | |||||||
Michigan Public Educational Facilities Authority, 5.50% due 9/1/2022 (Black River School) | NR/NR | 1,110,000 | 1,059,961 | |||||||
Michigan Public School Academy, 8.00% due 8/1/2035 (Will Carleton Charter School) | NR/NR | 990,000 | 990,426 | |||||||
Michigan State Building Authority, 5.25% due 10/15/2017 (Insured: AGM) | AA-/Aa3 | 2,450,000 | 2,607,217 | |||||||
Michigan State Building Authority, 0% due 10/15/2025 (Insured: Natl-Re/FGIC) | A+/Aa3 | 6,000,000 | 3,173,040 | |||||||
Michigan State Hospital Finance Authority, 5.10% due 6/1/2013 (McLaren Healthcare) | NR/Aa3 | 525,000 | 526,544 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 11/15/2024 (Sparrow Obligated Group) | A+/A1 | 2,140,000 | 2,236,214 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 7/15/2025 (Oakwood Obligated Group) | A/A2 | 3,000,000 | 3,080,100 | |||||||
Michigan State Trunk Line Revenue, 5.50% due 11/1/2020 (Insured: AGM) | AA+/Aa2 | 1,500,000 | 1,896,855 | |||||||
Michigan Strategic Fund, 5.25% due 10/15/2023 (Michigan House of Representatives Facilities; Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,094,230 | |||||||
Royal Oak Hospital Finance Authority, 5.25% due 8/1/2016 (William Beaumont Hospital) | A/A1 | 2,000,000 | 2,220,100 | |||||||
Royal Oak Hospital Finance Authority, 8.00% due 9/1/2029 (William Beaumont Hospital) | A/A1 | 2,540,000 | 3,173,730 | |||||||
MINNESOTA — 2.04% | ||||||||||
Minneapolis St. Paul Health, 6.00% due 12/1/2018 (Healthpartners Obligated Group) | BBB+/A3 | 1,000,000 | 1,061,530 | |||||||
Minnesota Agriculture & Economic Development Board, 5.50% due 2/15/2025 (Essential Healthcare; Insured: AGM) | AA-/NR | 2,500,000 | 2,872,225 | |||||||
St. Cloud Health Care Revenue, 5.00% due 5/1/2014 (Centracare Health System) | NR/A2 | 835,000 | 900,113 | |||||||
St. Paul Housing and Redevelopment Authority, 5.25% due 5/15/2020 (Healthpartners Obligated Group) | BBB+/A3 | 1,965,000 | 2,119,980 | |||||||
Tobacco Securitization Authority, 5.25% due 3/1/2025 (Tobacco Settlement) | A-/NR | 5,000,000 | 5,526,450 | |||||||
Tobacco Securitization Authority, 5.25% due 3/1/2026 (Tobacco Settlement) | A-/NR | 5,000,000 | 5,486,850 | |||||||
MISSISSIPPI — 1.05% | ||||||||||
Medical Center Educational Building Corp., 4.00% due 6/1/2014 (University of Mississippi Medical Center) | AA-/Aa2 | 1,240,000 | 1,320,612 | |||||||
Mississippi Development Bank Special Obligation, 5.00% due 3/1/2018 (Municipal Energy Agency Power Supply; Insured: Syncora) | NR/Baa1 | 1,920,000 | 2,063,904 | |||||||
Mississippi Development Bank Special Obligation, 5.00% due 7/1/2022 (Canton Public Improvement) | NR/NR | 1,935,000 | 2,102,881 | |||||||
Mississippi Development Bank Special Obligation, 5.25% due 8/1/2027 (Department of Corrections) | AA-/NR | 3,415,000 | 3,809,194 | |||||||
MISSOURI — 1.54% | ||||||||||
Missouri Development Finance Board, 5.00% due 4/1/2019 (Eastland Center) | A-/NR | 1,000,000 | 1,097,870 | |||||||
Missouri Development Finance Board, 5.00% due 4/1/2021 (Eastland Center) | A-/NR | 2,000,000 | 2,160,700 | |||||||
Missouri Development Finance Board, 5.125% due 4/1/2022 (Eastland Center) | A-/NR | 2,000,000 | 2,180,020 | |||||||
Missouri Development Finance Board, 0.20% due 12/1/2033 put 4/2/2012 (Nelson Gallery Foundation; SPA: JPMorgan Chase Bank) (daily demand notes) | AAA/Aaa | 2,700,000 | 2,700,000 | |||||||
Missouri Health and Educational Facilities Authority, 5.00% due 4/1/2019 (Webster University) | NR/A2 | 2,235,000 | 2,557,153 | |||||||
Missouri Health and Educational Facilities Authority, 5.00% due 4/1/2021 (Webster University) | NR/A2 | 2,520,000 | 2,887,870 | |||||||
NEVADA — 1.23% | ||||||||||
Clark County School District GO, 5.50% due 6/15/2016 (Insured: AGM) | AA/Aa2 | 1,000,000 | 1,064,830 | |||||||
Washoe County GO, 5.00% due 7/1/2026 (Reno Sparks Convention & Visitors Authority) | AA/Aa2 | 5,000,000 | 5,538,150 | |||||||
18 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Washoe County GO, 5.00% due 7/1/2029 (Reno Sparks Convention & Visitors Authority) | AA/Aa2 | $ | 2,000,000 | $ | 2,158,100 | |||||
Washoe County GO, 5.00% due 7/1/2032 (Reno Sparks Convention & Visitors Authority) | AA/Aa2 | 2,000,000 | 2,123,080 | |||||||
NEW HAMPSHIRE — 1.63% | ||||||||||
Manchester Housing & Redevelopment Authority, 0% due 1/1/2016 (Insured: Radian/ACA) | NR/Caa1 | 4,990,000 | 3,584,816 | |||||||
New Hampshire Business Finance Authority PCR, 5.375% due 5/1/2014 (Central Maine Power Co.) | BBB+/Baa1 | 3,920,000 | 4,205,611 | |||||||
New Hampshire Health & Education Facilities, 5.25% due 10/1/2023 (Southern New Hampshire Medical Center) | A-/NR | 1,000,000 | 1,066,430 | |||||||
New Hampshire IDA PCR, 5.90% due 8/1/2018 (CT Light & Power) (AMT) | BBB+/Baa1 | 1,000,000 | 1,006,910 | |||||||
aNew Hampshire State Turnpike System, 5.00% due 2/1/2022 | A+/A1 | 2,250,000 | 2,573,212 | |||||||
aNew Hampshire State Turnpike System, 5.00% due 2/1/2024 | A+/A1 | 1,755,000 | 1,962,494 | |||||||
NEW JERSEY — 0.68% | ||||||||||
New Jersey EDA, 5.50% due 9/1/2026 (School Facilities Construction; Insured: AMBAC) | A+/A1 | 2,000,000 | 2,397,700 | |||||||
Passaic Valley Sewage Commissioners GO, 5.75% due 12/1/2022 (Sewer System) | NR/A2 | 3,000,000 | 3,592,680 | |||||||
NEW MEXICO — 0.84% | ||||||||||
Farmington PCR, 4.70% due 9/1/2024 (Arizona Public Service Co.) | BBB/Baa2 | 3,000,000 | 3,181,020 | |||||||
Las Cruces Shared GRT, 5.00% due 6/1/2030 | NR/Aa3 | 2,040,000 | 2,272,560 | |||||||
Rio Rancho Public School District No. 94, 5.00% due 8/1/2015 (State Aid Withholding) | NR/Aa1 | 1,715,000 | 1,952,373 | |||||||
NEW YORK — 1.63% | ||||||||||
Erie County IDA, 5.00% due 5/1/2019 (Buffalo City School District) | AA-/Aa3 | 3,000,000 | 3,578,910 | |||||||
New York City Municipal Water Financing Authority, 0.25% due 6/15/2039 put 4/2/2012 (General Resolution; SPA: Landesbank Hessen-Thuringen) (daily demand notes) | AA+/Aa2 | 5,450,000 | 5,450,000 | |||||||
New York City Transitional Finance Authority, 0.23% due 8/1/2031 put 4/2/2012 (SPA: Landesbank Hessen-Thuringen) (daily demand notes) | AAA/Aaa | 800,000 | 800,000 | |||||||
New York State Dormitory Authority, 5.625% due 7/1/2016 (City University System) | AA-/Aa3 | 1,000,000 | 1,124,550 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2017 (Bishop Henry B. Hucles Nursing Home; Insured: SONYMA) | NR/Aa1 | 850,000 | 970,598 | |||||||
New York State Dormitory Authority, 5.25% due 5/15/2021 (State University Educational Facilities) | AA-/Aa3 | 500,000 | 594,120 | |||||||
United Nations Development Corp., 5.00% due 7/1/2025 | NR/A1 | 1,700,000 | 1,887,867 | |||||||
NORTH DAKOTA — 0.28% | ||||||||||
North Dakota Building Authority, 4.25% due 12/1/2015 (Insured: Natl-Re) | AA/Aa2 | 1,305,000 | 1,466,872 | |||||||
Ward County Health Care Facilities, 5.125% due 7/1/2021 (Trinity Obligated Group) | BBB-/NR | 1,000,000 | 1,040,560 | |||||||
OHIO — 2.66% | ||||||||||
Cleveland Cuyahoga County Port Authority, 6.25% due 5/15/2016 (LOC: FifthThird Bank) | BBB-/NR | 995,000 | 1,009,567 | |||||||
Cleveland Cuyahoga County Port Authority, 5.00% due 10/1/2021 (Cleveland Museum of Art) | AA+/NR | 1,330,000 | 1,587,435 | |||||||
Deerfield Township Tax Increment, 5.00% due 12/1/2016 | NR/A1 | 1,035,000 | 1,163,495 | |||||||
Deerfield Township Tax Increment, 5.00% due 12/1/2025 | NR/A1 | 1,000,000 | 1,053,330 | |||||||
Franklin County Convention Facilities Authority, 5.25% due 12/1/2015 (Insured: AMBAC) | AA/Aaa | 1,000,000 | 1,031,920 | |||||||
Hamilton Wastewater Systems, 5.25% due 10/1/2017 (Insured: AGM) | NR/Aa3 | 1,500,000 | 1,709,985 | |||||||
Lucas County Health Care Facility, 5.00% due 8/15/2021 (Sunset Retirement Community) | NR/NR | 1,000,000 | 1,032,360 | |||||||
Lucas County Health Care Facility, 5.125% due 8/15/2025 (Sunset Retirement Community) | NR/NR | 1,250,000 | 1,287,837 | |||||||
Ohio State Air Quality Development Authority, 5.70% due 8/1/2020 (First Energy Generation) | BBB-/Baa3 | 3,000,000 | 3,406,110 | |||||||
Ohio State Air Quality Development Authority, 4.85% due 8/1/2040 put 5/1/2012 (Columbus Southern Power; Insured: Natl-Re) (AMT) | BBB/Baa1 | 1,500,000 | 1,504,725 | |||||||
Certified Semi-Annual Report 19
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Ohio State Air Quality Development Authority, 5.10% due 11/1/2042 put 5/1/2013 (Columbus Southern Power; Insured: Natl-Re) (AMT) | BBB/Baa1 | $ | 3,000,000 | $ | 3,114,540 | |||||
Ohio State Higher Educational Facilities, 5.05% due 7/1/2037 put 7/1/2016 (Kenyon College) | A+/A1 | 1,200,000 | 1,345,344 | |||||||
Ohio State Water Development Authority PCR, 5.875% due 6/1/2033 put 6/1/2016 (FirstEnergy Nuclear) | BBB-/Baa2 | 1,000,000 | 1,125,580 | |||||||
Ohio State Water Development Authority PCR, 3.375% due 7/1/2033 put 7/1/2015 (FirstEnergy) | BBB-/Baa3 | 3,000,000 | 3,088,080 | |||||||
OKLAHOMA — 0.92% | ||||||||||
Oklahoma City Municipal Water and Sewer, 0% due 7/1/2013 (Insured: AMBAC) | NR/NR | 1,485,000 | 1,464,180 | |||||||
Oklahoma State Industries Authority, 5.50% due 7/1/2023 (Oklahoma Medical Research Foundation) | NR/A1 | 3,730,000 | 4,165,440 | |||||||
Oklahoma State Power Authority, 5.00% due 1/1/2018 (Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,182,510 | |||||||
Tulsa IDA, 5.00% due 12/15/2024 (St. Francis Health Systems) | AA+/Aa2 | 1,130,000 | 1,275,725 | |||||||
PENNSYLVANIA — 3.44% | ||||||||||
Allegheny County Hospital Development, 5.00% due 5/15/2019 (University of Pittsburgh Medical Center) | A+/Aa3 | 2,500,000 | 2,934,550 | |||||||
Allegheny County IDA, 5.90% due 8/15/2026 (School Facility Development, Inc.) | BBB-/NR | 1,200,000 | 1,220,508 | |||||||
Allegheny County IDA, 6.375% due 8/15/2035 (School Facility Development, Inc.) | BBB-/NR | 1,130,000 | 1,149,673 | |||||||
Bradford County IDA, 5.20% due 12/1/2019 (International Paper Company) | BBB/Baa3 | 2,620,000 | 2,759,987 | |||||||
Chartiers Valley Industrial & Community Development Authority, 5.75% due 12/1/2022 (Asbury Health Center) | NR/NR | 900,000 | 914,436 | |||||||
Geisinger Authority, 0.20% due 6/1/2041 put 4/2/2012 (Geisinger Health Systems; SPA: JPMorgan Chase Bank) (daily demand notes) | AA/Aa2 | 2,000,000 | 2,000,000 | |||||||
Lancaster County GO, 0% due 5/1/2014 (Insured: Natl-Re/FGIC) | NR/A1 | 795,000 | 730,780 | |||||||
Lancaster County GO, 0% due 5/1/2015 (Insured: Natl-Re/FGIC) | NR/A1 | 800,000 | 696,408 | |||||||
Pennsylvania EDA, 4.625% due 12/1/2018 (Colver Project; Insured: AMBAC) (AMT) | BBB-/Ba1 | 6,570,000 | 6,413,108 | |||||||
Pennsylvania Higher Education Facilities Authority, 0% due 7/1/2020 (Insured: AMBAC) | NR/NR | 2,032,839 | 1,108,589 | |||||||
Pennsylvania Turnpike Commission, 0% due 12/1/2030 (Convertible Capital Appreciation) | A-/A3 | 4,000,000 | 3,602,000 | |||||||
Philadelphia Hospitals & Higher Educational Facilities Authority, 0.20% due 2/15/2024 put 4/2/2012 (The Children’s Hospital; SPA: JPMorgan Chase Bank) (daily demand notes) | AA/Aa2 | 200,000 | 200,000 | |||||||
Philadelphia Hospitals & Higher Educational Facilities Authority, 0.20% due 7/1/2025 put 4/2/2012 (The Children’s Hospital; SPA: JPMorgan Chase Bank) (daily demand notes) | AA/Aa2 | 1,000,000 | 1,000,000 | |||||||
Philadelphia School District GO, 5.00% due 9/1/2018 (State Aid Withholding) | A+/Aa2 | 5,000,000 | 5,643,050 | |||||||
RHODE ISLAND — 0.16% | ||||||||||
Rhode Island Health & Education Building Corp., 5.25% due 7/1/2015 (Memorial Hospital; LOC: Fleet Bank) | NR/NR | 1,325,000 | 1,380,160 | |||||||
SOUTH CAROLINA — 2.22% | ||||||||||
Berkeley County School District Installment Lease, 5.00% due 12/1/2019 | A/A1 | 2,000,000 | 2,200,640 | |||||||
Greenwood School Facilities, Inc., 5.00% due 12/1/2025 (Greenwood School District 50; Insured: AGM) | AA-/Aa3 | 2,400,000 | 2,598,048 | |||||||
Lexington One School Facilities Corp. School District 1, 5.00% due 12/1/2019 | NR/Aa3 | 1,000,000 | 1,106,800 | |||||||
Lexington One School Facilities Corp. School District 1, 5.25% due 12/1/2021 | NR/Aa3 | 1,700,000 | 1,905,836 | |||||||
Scago Educational Facilities Corp., 5.00% due 12/1/2017 (Colleton School District; Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,131,170 | |||||||
Scago Educational Facilities Corp., 5.00% due 4/1/2019 (Spartanburg School District; Insured: AGM) | AA-/Aa3 | 2,740,000 | 3,093,076 | |||||||
Scago Educational Facilities Corp., 5.00% due 4/1/2021 (Spartanburg School District; Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,127,030 | |||||||
South Carolina Housing Finance & Development Authority, 5.875% due 7/1/2022 (AMT) | NR/Aa1 | 2,035,000 | 2,172,098 | |||||||
South Carolina Housing Finance & Development Authority, 5.30% due 7/1/2023 (AMT) | NR/Aa1 | 975,000 | 1,034,456 | |||||||
20 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† | Principal Amount | Value | |||||||
Sumter School Facilities Inc. School District 2, 5.00% due 12/1/2021 (Insured: AGM) | AA-/Aa3 | $ | 2,855,000 | $ | 3,189,834 | |||||
SOUTH DAKOTA — 0.21% | ||||||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 11/1/2024 (Sanford Health) | AA-/A1 | 1,700,000 | 1,869,150 | |||||||
TENNESSEE — 1.30% | ||||||||||
Clarksville Natural Gas Acquisition Corp., 5.00% due 12/15/2014 | NR/Baa1 | 1,000,000 | 1,062,250 | |||||||
Tennessee Energy Acquisition Corp., 5.00% due 2/1/2023 | BBB/Baa3 | 2,500,000 | 2,699,525 | |||||||
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2023 | A-/A2 | 7,000,000 | 7,696,080 | |||||||
TEXAS — 9.40% | ||||||||||
Austin Community College District, 5.50% due 8/1/2023 (Round Rock Campus) | AA/Aa2 | 2,180,000 | 2,532,244 | |||||||
Bexar County Health Facilities Development Corp., 6.125% due 7/1/2022 pre-refunded 7/1/2012 (Army Retirement Residence) | NR/NR | 1,250,000 | 1,280,675 | |||||||
Bexar County Health Facilities Development Corp., 5.00% due 7/1/2027 (Army Retirement Residence) | BBB/NR | 2,000,000 | 2,021,000 | |||||||
Bexar Metropolitan Water District Waterworks, 5.00% due 5/1/2021 (Insured: Syncora) | A/A1 | 1,300,000 | 1,415,622 | |||||||
Bexar Metropolitan Water District Waterworks, 5.00% due 5/1/2022 (Insured: Syncora) | A/A1 | 2,300,000 | 2,481,631 | |||||||
Bryan Electric Systems, 3.00% due 7/1/2013 | A+/A1 | 1,000,000 | 1,029,900 | |||||||
City of Cedar Park GO, 5.00% due 2/15/2016 pre-refunded 2/15/2014 (Insured: Natl-Re) | BBB/Aa3 | 75,000 | 81,438 | |||||||
City of Cedar Park GO, 5.00% due 2/15/2016 (Insured: Natl-Re) | AA/Aa3 | 925,000 | 995,402 | |||||||
City of Houston, 5.00% due 9/1/2013 | A-/A2 | 1,500,000 | 1,592,190 | |||||||
City of Houston, 5.00% due 9/1/2013 | A-/A2 | 1,400,000 | 1,486,044 | |||||||
Dallas County Utilities & Reclamation District, 5.15% due 2/15/2022 (Insured: AMBAC) | BBB+/A3 | 3,000,000 | 3,225,390 | |||||||
Dallas-Fort Worth International Airport, 5.00% due 11/1/2015 | A+/A1 | 1,000,000 | 1,137,140 | |||||||
Eagle Mountain & Saginaw Texas ISD GO, 2.50% due 8/1/2050 put 8/1/2014 (School Improvements; Guaranty: PSF) | AAA/NR | 1,000,000 | 1,035,720 | |||||||
Gulf Coast Center, 6.75% due 9/1/2020 (Mental Health Retardation Center) | BBB/NR | 1,220,000 | 1,239,471 | |||||||
Harris County Hospital District, 5.00% due 2/15/2015 (Insured: Natl-Re) | A/A2 | 2,075,000 | 2,270,652 | |||||||
Houston Airport System Revenue, 5.00% due 7/1/2014 | A/NR | 1,000,000 | 1,089,220 | |||||||
Houston Higher Education Finance Corp., 6.50% due 5/15/2031 (Cosmos Foundation, Inc.) | BBB/NR | 700,000 | 800,905 | |||||||
Houston Higher Education Finance Corp., 0.16% due 5/15/2048 put 4/2/2012 (Rice University) (daily demand notes) | AAA/Aaa | 200,000 | 200,000 | |||||||
Kimble County Hospital District GO, 5.00% due 8/15/2017 | NR/NR | 510,000 | 550,514 | |||||||
Kimble County Hospital District GO, 5.00% due 8/15/2018 | NR/NR | 525,000 | 567,415 | |||||||
La Vernia Higher Education Finance Corp., 5.75% due 8/15/2024 (Kipp, Inc.) | BBB/NR | 3,000,000 | 3,258,450 | |||||||
Laredo Sports Venue Sales Tax, 5.00% due 3/15/2018 (Insured: AMBAC) | A+/A1 | 2,040,000 | 2,196,142 | |||||||
Lewisville Combination Contract Special Assessment District, 4.75% due 9/1/2012 (Insured: ACA) | NR/NR | 505,000 | 507,752 | |||||||
Mission EDA, 6.00% due 8/1/2020 put 8/1/2013 (Waste Management, Inc.) (AMT) | BBB/NR | 3,250,000 | 3,453,093 | |||||||
Northside ISD GO, 1.75% due 6/1/2037 put 6/1/2013 (Various School Buildings; Guaranty: PSF) | AAA/NR | 4,210,000 | 4,217,915 | |||||||
Pharr Higher Education Finance Authority, 5.75% due 8/15/2024 (Idea Public School) | BBB+/NR | 5,050,000 | 5,458,595 | |||||||
Sam Rayburn Municipal Power Agency, 6.00% due 10/1/2016 | NR/Baa2 | 3,500,000 | 3,567,025 | |||||||
Sam Rayburn Municipal Power Agency, 6.00% due 10/1/2021 | NR/Baa2 | 2,575,000 | 2,611,694 | |||||||
San Juan Higher Education Finance Authority, 5.75% due 8/15/2024 (Idea Public Schools) | BBB+/NR | 1,590,000 | 1,738,919 | |||||||
Stafford Economic Development, 6.00% due 9/1/2017 (Insured: Natl-Re/FGIC) | A+/A1 | 1,775,000 | 2,065,887 | |||||||
Texas City Industrial Development Corp., 7.375% due 10/1/2020 (BP Pipelines N.A., Inc.) | A/A2 | 2,450,000 | 3,303,923 | |||||||
Texas Public Finance Authority Charter School Finance Corp., 6.00% due 2/15/2030 (Cosmos Foundation, Inc.) | BBB/NR | 1,750,000 | 1,889,825 | |||||||
Texas Public Finance Authority Charter School Finance Corp., 5.00% due 8/15/2030 (Idea Public School; Insured: ACA) | BBB+/NR | 2,000,000 | 2,014,880 | |||||||
Texas State, 2.50% due 8/30/2012 (Cash Flow Management) | SP-1+/Mig1 | 15,000,000 | 15,145,050 | |||||||
Texas State Public Finance Authority, 5.00% due 8/15/2023 (Idea Public School; Insured: ACA) | BBB+/NR | 3,000,000 | 3,095,310 | |||||||
Uptown Development Authority, 5.50% due 9/1/2029 (Infrastructure Improvement) | BBB/NR | 1,250,000 | 1,332,925 | |||||||
Certified Semi-Annual Report 21
SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
| Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
U.S. VIRGIN ISLANDS — 0.65% | ||||||||||
Virgin Islands Public Finance Authority, 6.625% due 10/1/2029 | NR/Baa3 | $ | 5,000,000 | $ | 5,704,350 | |||||
UTAH — 0.42% | ||||||||||
City of Herriman, 5.75% due 11/1/2027 (Towne Center Assessment Area) | A/NR | 1,000,000 | 1,109,640 | |||||||
Murray City Hospital Revenue, 0.20% due 5/15/2037 put 4/2/2012 (IHC Health Services, Inc.; SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/Aa1 | 1,130,000 | 1,130,000 | |||||||
Salt Lake Valley Fire Services, 5.25% due 4/1/2020 | NR/Aa2 | 1,250,000 | 1,461,375 | |||||||
VIRGINIA — 0.44% | ||||||||||
Fauquier County IDRB, 5.50% due 10/1/2016 (Insured: Radian) | BBB+/NR | 1,000,000 | 1,035,440 | |||||||
Hanover County IDRB Medical Facilities, 6.00% due 10/1/2021 (FirstHealth Richmond Memorial Hospital) (ETM) | BBB/NR | 795,000 | 860,254 | |||||||
Mecklenburg County IDA, 6.50% due 10/15/2017 (Virginia Electric and Power Company) | NR/Baa1 | 2,000,000 | 2,009,820 | |||||||
WASHINGTON — 1.31% | ||||||||||
Seattle Municipal Power and Light, 5.00% due 2/1/2019 | AA-/Aa2 | 3,000,000 | 3,625,350 | |||||||
Skagit County Public Hospital District GO, 5.125% due 12/1/2015 (Insured: Natl-Re) | NR/A1 | 1,900,000 | 2,154,448 | |||||||
Washington Health Care Facilities, 5.25% due 8/15/2024 (Multicare Systems; Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,109,610 | |||||||
Washington Health Care Facilities, 6.25% due 8/1/2028 (Highline Medical Centers; Insured: FHA 242) | A+/NR | 3,985,000 | 4,654,480 | |||||||
WEST VIRGINIA — 0.18% | ||||||||||
West Virginia Hospital Finance Authority, 5.00% due 6/1/2020 (United Hospital Center; Insured: AMBAC) | A+/A2 | 1,530,000 | 1,622,825 | |||||||
WISCONSIN — 0.99% | ||||||||||
Wisconsin Health & Educational Facilities, 5.75% due 8/15/2020 (Eagle River Memorial Hospital Inc.; Insured: Radian) | NR/NR | 925,000 | 930,439 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/1/2021 (Agnesian Healthcare) | A-/A3 | 2,170,000 | 2,331,383 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.50% due 7/1/2025 (Agnesian Healthcare) | A-/A3 | 5,000,000 | 5,443,600 | |||||||
|
| |||||||||
TOTAL INVESTMENTS — 98.78% (Cost $826,175,306) | $ | 871,390,646 | ||||||||
OTHER ASSETS LESS LIABILITIES — 1.22% | 10,736,941 | |||||||||
|
| |||||||||
NET ASSETS — 100.00% | $ | 882,127,587 | ||||||||
|
| |||||||||
Footnote Legend
| † | Credit ratings are unaudited. Rating changes may have occurred subsequent to the reporting period end. Bonds issued with a maturity of one year or less are assigned Moody’s ratings from MIG-1 to MIG-4 and Standard and Poor’s ratings from SP-1+ to SP-3 with MIG-1 and SP-1+ being the strongest ratings. |
| a | When-issued security. |
| b | Segregated as collateral for a when-issued security. |
22 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ACA | Insured by American Capital Access | |
AGM | Insured by Assured Guaranty Municipal Corp. | |
AMBAC | Insured by American Municipal Bond Assurance Corp. | |
AMT | Alternative Minimum Tax | |
CIFG | CIFG Assurance North America Inc. | |
COP | Certificates of Participation | |
EDA | Economic Development Authority | |
ETM | Escrowed to Maturity | |
FGIC | Insured by Financial Guaranty Insurance Co. | |
FHA | Insured by Federal Housing Administration | |
GNMA | Insured by Government National Mortgage Association | |
GO | General Obligation | |
GRT | Gross Receipts Tax | |
HFA | Health Facilities Authority | |
IDA | Industrial Development Authority | |
IDRB | Industrial Development Revenue Bond | |
ISD | Independent School District | |
LOC | Letter of Credit | |
Mtg | Mortgage | |
Natl-Re | Insured by National Public Finance Guarantee Corp. | |
PCR | Pollution Control Revenue Bond | |
PSF | Guaranteed by Permanent School Fund | |
Q-SBLF | Qualified School Board Loan Fund | |
Radian | Insured by Radian Asset Assurance | |
SONYMA | State of New York Mortgage Authority | |
SPA | Stand-by Purchase Agreement | |
Syncora | Insured by Syncora Guarantee Inc. | |
USD | Unified School District |
See notes to financial statements.
Certified Semi-Annual Report 23
| STATEMENT OF ASSETS AND LIABILITIES | ||
| Thornburg Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
ASSETS | ||||
Investments at value (cost $826,175,306) (Note 2) | $ | 871,390,646 | ||
Cash | 4,937,470 | |||
Receivable for investments sold | 2,083,864 | |||
Receivable for fund shares sold | 3,486,225 | |||
Interest receivable | 9,701,947 | |||
Prepaid expenses and other assets | 41,896 | |||
|
| |||
Total Assets | 891,642,048 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 7,211,214 | |||
Payable for fund shares redeemed | 1,072,059 | |||
Payable to investment advisor and other affiliates (Note 3) | 582,149 | |||
Accounts payable and accrued expenses | 84,953 | |||
Dividends payable | 564,086 | |||
|
| |||
Total Liabilities | 9,514,461 | |||
|
| |||
NET ASSETS | $ | 882,127,587 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment income | $ | (3,781 | ) | |
Net unrealized appreciation on investments | 45,215,340 | |||
Accumulated net realized gain (loss) | (4,298,221 | ) | ||
Net capital paid in on shares of beneficial interest | 841,214,249 | |||
|
| |||
| $ | 882,127,587 | |||
|
| |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($426,996,810 applicable to 30,700,233 shares of beneficial interest outstanding - Note 4) | $ | 13.91 | ||
Maximum sales charge, 2.00% of offering price | 0.28 | |||
|
| |||
Maximum offering price per share | $ | 14.19 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($150,448,593 applicable to 10,803,157 shares of beneficial interest outstanding - Note 4) | $ | 13.93 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($304,682,184 applicable to 21,934,437 shares of beneficial interest outstanding - Note 4) | $ | 13.89 | ||
|
| |||
| * | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
24 Certified Semi-Annual Report
| STATEMENT OF OPERATIONS | ||
| Thornburg Intermediate Municipal Fund | Six Months Ended March 31, 2012 (Unaudited) | |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $1,995,096) | $ | 16,020,914 | ||
|
| |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 1,923,788 | |||
Administration fees (Note 3) | ||||
Class A Shares | 250,630 | |||
Class C Shares | 84,997 | |||
Class I Shares | 65,614 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 501,261 | |||
Class C Shares | 410,120 | |||
Transfer agent fees | ||||
Class A Shares | 65,109 | |||
Class C Shares | 31,947 | |||
Class I Shares | 42,675 | |||
Registration and filing fees | ||||
Class A Shares | 12,961 | |||
Class C Shares | 12,804 | |||
Class I Shares | 13,393 | |||
Custodian fees (Note 3) | 65,128 | |||
Professional fees | 21,245 | |||
Accounting fees | 11,052 | |||
Trustee fees | 11,144 | |||
Other expenses | 35,585 | |||
|
| |||
Total Expenses | 3,559,453 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (48,174 | ) | ||
Fees paid indirectly (Note 3) | (1,755 | ) | ||
|
| |||
Net Expenses | 3,509,524 | |||
|
| |||
Net Investment Income | 12,511,390 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | 1,837,916 | |||
Net change in unrealized appreciation (depreciation) on investments | 15,881,135 | |||
|
| |||
Net Realized and Unrealized Gain | 17,719,051 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 30,230,441 | ||
|
|
See notes to financial statements.
Certified Semi-Annual Report 25
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Intermediate Municipal Fund
| Six Months Ended March 31, 2012* | Year Ended September 30, 2011 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 12,511,390 | $ | 25,759,429 | ||||
Net realized gain (loss) on investments | 1,837,916 | 347,891 | ||||||
Net unrealized appreciation (depreciation) on investments | 15,881,135 | (4,587,013 | ) | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | ||||||||
Resulting from Operations | 30,230,441 | 21,520,307 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (6,178,079 | ) | (13,661,413 | ) | ||||
Class C Shares | (1,882,491 | ) | (3,975,988 | ) | ||||
Class I Shares | (4,450,820 | ) | (8,122,028 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 36,160,765 | (25,338,872 | ) | |||||
Class C Shares | 21,899,698 | (2,034,648 | ) | |||||
Class I Shares | 66,574,793 | 30,234,435 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | 142,354,307 | (1,378,207 | ) | |||||
NET ASSETS: | ||||||||
Beginning of Period | 739,773,280 | 741,151,487 | ||||||
|
|
|
| |||||
End of Period | $ | 882,127,587 | $ | 739,773,280 | ||||
|
|
|
| |||||
| * | Unaudited |
See notes to financial statements.
26 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS | ||
| Thornburg Intermediate Municipal Fund | March 31, 2012 (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 Fund is currently one of sixteen separate series of the Trust. 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). 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 of purchase, 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 may be subject to a service fee, 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 Investments: Debt obligations 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, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
In any case where a pricing service fails to provide a price for a debt obligation held by the Fund, the valuation and pricing committee determines a fair value for the obligation using procedures approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt obligation 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 obligation.
In determining fair value for any portfolio security or other investment, the valuation and pricing committee seeks to determine the amount that an owner of the investment might reasonably expect to receive upon a sale of the investment. However, because fair value prices are estimated prices, the valuation and pricing committee’s determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Fund’s financial statements. The valuation and pricing committee’s determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation Measurements: Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three levels listed below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment rates, credit risk, etc.).
Level 3: Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
Certified Semi-Annual Report 27
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
The following table displays a summary of the inputs used to value the Fund’s net assets as of March 31, 2012. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
| XXXXXXXXX | XXXXXXXXX | XXXXXXXXX | XXXXXXXXX | |||||||||||||
| Fair Value Measurements at March 31, 2012 | ||||||||||||||||
| Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities | ||||||||||||||||
Municipal Bonds | $ | 871,390,646 | $ | — | $ | 871,390,646 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 871,390,646 | $ | — | $ | 871,390,646 | $ | — | ||||||||
Other Notes: It is the policy of the Fund to recognize significant transfers between Levels 1, 2 and 3 and to disclose those transfers as of the date of the underlying event which caused the movement. The Fund recognized no significant transfers between levels for the six months ended March 31, 2012.
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 to shareholders substantially all taxable (if any) and tax exempt income of the Fund. Therefore, no provision for federal income tax is required.
Management reviews each uncertain tax position believed to be material to the preparation of the Fund’s financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of March 31, 2012, management has not identified any such position for which a liability must be reflected in the Statement of Assets and Liabilities. The Fund’s tax returns remain subject to examination for three years after filing.
When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with 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 Fund makes a commitment to purchase a security on a when-issued or delayed delivery 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 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
28 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
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, 2012, 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, 2012, the Advisor contractually reimbursed certain class specific expenses and administrative fees of $48,174 for Class C 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, 2012, the Distributor has advised the Fund that it earned net commissions aggregating $8,176 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $3,532 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. For the six months ended March 31, 2012, there were no 12b-1 service plan fees charged for Class I shares. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
The Trust has also adopted a distribution plan pursuant to Rule 12b-1, applicable only to the Fund’s Class C shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C shares of the Fund at an annual rate of up to .35 of 1% per annum of the average daily net assets attributable to Class C shares. Total fees incurred by the Fund for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2012, 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 are 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, 2012, fees paid indirectly were $1,755.
Certain officers and Trustees of the Trust are also officers 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, 2012, 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, 2012 (Unaudited) | Year Ended September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 4,332,647 | $ | 59,880,113 | 5,028,226 | $ | 66,853,658 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 328,362 | 4,533,104 | 685,893 | 9,091,944 | ||||||||||||
Shares repurchased | (2,049,585 | ) | (28,252,452 | ) | (7,682,668 | ) | (101,284,474 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,611,424 | $ | 36,160,765 | (1,968,549 | ) | $ | (25,338,872 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Certified Semi-Annual Report 29
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
| Six Months Ended March 31, 2012 (Unaudited) | Year Ended September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 2,117,857 | $ | 29,309,247 | 2,153,415 | $ | 28,743,629 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 97,633 | 1,349,534 | 199,501 | 2,647,910 | ||||||||||||
Shares repurchased | (633,456 | ) | (8,759,083 | ) | (2,539,929 | ) | (33,426,187 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,582,034 | $ | 21,899,698 | (187,013 | ) | $ | (2,034,648 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 6,050,800 | $ | 83,638,959 | 7,875,098 | $ | 104,437,154 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 202,175 | 2,789,312 | 389,907 | 5,164,406 | ||||||||||||
Shares repurchased | (1,438,457 | ) | (19,853,478 | ) | (6,042,219 | ) | (79,367,125 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 4,814,518 | $ | 66,574,793 | 2,222,786 | $ | 30,234,435 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2012, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $133,505,130 and $77,430,702, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2012, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 826,175,306 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 46,884,636 | ||
Gross unrealized depreciation on a tax basis | (1,669,296 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 45,215,340 | ||
|
|
At March 31, 2012, 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:
2012 | $ | 4,297,982 | ||
2013 | 39,577 | |||
2017 | 391,762 | |||
2018 | 533,767 | |||
2019 | 856,003 | |||
|
| |||
| $ | 6,119,091 | |||
|
|
The Regulated Investment Company Modernization Act of 2010 (the “Act”) was signed into law on December 22, 2010. The Act makes changes to a number of tax rules impacting the Fund. Under the Act, future capital losses generated by the Fund may be carried over indefinitely, but these losses must be used prior to the utilization of any pre-enactment capital losses. Since pre-enactment capital losses may only be carried forward for eight years, there may be a greater likelihood that all or a portion of a Fund’s pre-enactment capital losses will expire unused. In general, the provisions of the Act will be effective for the Fund’s fiscal year ending September 30, 2012.
30 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
OTHER NOTES:
Risks: The Fund’s investments subject it to risks including, but not limited to, credit risk, interest rate risk, management risk, market and economic risk, and liquidity risk. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund.
Subsequent Events: Fund management believes no events have occurred between March 31, 2012 and the date of issuance of the financial statements, which require adjustment to, or disclosure in the accompanying financial statements.
Certified Annual Report 31
Thornburg Intermediate Municipal Fund
| PER SHARE PERFORMANCE (for a share outstanding throughout the Period)+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless | Net Asset Value Beginning of Period | Net Investment Income (Loss) | Net Realized & Unrealized Gain (Loss) on Investments | Total from Investment Operations | Dividends from Net Investment Income | Dividends from Net Realized Gains | Total Dividends | Net Asset Value End of Period | Net Investment Income (Loss) (%) | Expenses, After Expense Reductions (%) | Expenses, After Expense Reductions and Net of Custody Credits (%) | Expenses, Before Expense Reductions (%) | Total Return (%)(a) | Portfolio Turnover Rate (%) | Net Assets at End of Period (Thousands) | |||||||||||||||||||||||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b)(c) | $ | 13.59 | 0.21 | 0.32 | 0.53 | (0.21 | ) | — | (0.21 | ) | $ | 13.91 | 3.08 | (d) | 0.93 | (d) | 0.93 | (d) | 0.93 | (d) | 3.94 | 10.37 | $ | 426,997 | ||||||||||||||||||||||||||||||||||||
2011(c) | $ | 13.64 | 0.48 | (0.05 | ) | 0.43 | (0.48 | ) | — | (0.48 | ) | $ | 13.59 | 3.59 | 0.95 | 0.95 | 0.95 | 3.27 | 18.33 | $ | 381,839 | |||||||||||||||||||||||||||||||||||||||
2010 (c) | $ | 13.40 | 0.49 | 0.24 | 0.73 | (0.49 | ) | — | (0.49 | ) | $ | 13.64 | 3.68 | 0.97 | 0.97 | 0.97 | 5.61 | 9.87 | $ | 409,844 | ||||||||||||||||||||||||||||||||||||||||
2009(c) | $ | 12.47 | 0.54 | 0.93 | 1.47 | (0.54 | ) | — | (0.54 | ) | $ | 13.40 | 4.26 | 0.98 | 0.98 | 0.98 | 12.12 | 15.15 | $ | 337,037 | ||||||||||||||||||||||||||||||||||||||||
2008(c) | $ | 13.15 | 0.52 | (0.68 | ) | (0.16 | ) | (0.52 | ) | — | (0.52 | ) | $ | 12.47 | 3.95 | 0.96 | 0.95 | 0.96 | (1.33 | ) | 22.00 | $ | 311,435 | |||||||||||||||||||||||||||||||||||||
2007(c) | $ | 13.30 | 0.51 | (0.15 | ) | 0.36 | (0.51 | ) | — | (0.51 | ) | $ | 13.15 | 3.84 | 0.99 | 0.98 | 0.99 | 2.74 | 22.55 | $ | 333,800 | |||||||||||||||||||||||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 13.61 | 0.19 | 0.32 | 0.51 | (0.19 | ) | — | (0.19 | ) | $ | 13.93 | 2.77 | (d) | 1.24 | (d) | 1.24 | (d) | 1.31 | (d) | 3.78 | 10.37 | $ | 150,449 | ||||||||||||||||||||||||||||||||||||
2011 | $ | 13.65 | 0.44 | (0.04 | ) | 0.40 | (0.44 | ) | — | (0.44 | ) | $ | 13.61 | 3.29 | 1.24 | 1.24 | 1.32 | 3.05 | 18.33 | $ | 125,512 | |||||||||||||||||||||||||||||||||||||||
2010 | $ | 13.42 | 0.45 | 0.24 | 0.69 | (0.46 | ) | — | (0.46 | ) | $ | 13.65 | 3.39 | 1.24 | 1.24 | 1.73 | 5.25 | 9.87 | $ | 128,449 | ||||||||||||||||||||||||||||||||||||||||
2009 | $ | 12.48 | 0.50 | 0.94 | 1.44 | (0.50 | ) | — | (0.50 | ) | $ | 13.42 | 3.99 | 1.24 | 1.24 | 1.76 | 11.90 | 15.15 | $ | 80,571 | ||||||||||||||||||||||||||||||||||||||||
2008 | $ | 13.16 | 0.48 | (0.68 | ) | (0.20 | ) | (0.48 | ) | — | (0.48 | ) | $ | 12.48 | 3.67 | 1.25 | 1.24 | 1.75 | (1.61 | ) | 22.00 | $ | 59,243 | |||||||||||||||||||||||||||||||||||||
2007 | $ | 13.31 | 0.47 | (0.15 | ) | 0.32 | (0.47 | ) | — | (0.47 | ) | $ | 13.16 | 3.59 | 1.24 | 1.24 | 1.78 | 2.48 | 22.55 | $ | 53,890 | |||||||||||||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 13.58 | 0.23 | 0.31 | 0.54 | (0.23 | ) | — | (0.23 | ) | $ | 13.89 | 3.39 | (d) | 0.61 | (d) | 0.61 | (d) | 0.61 | (d) | 4.03 | 10.37 | $ | 304,682 | ||||||||||||||||||||||||||||||||||||
2011 | $ | 13.62 | 0.52 | (0.04 | ) | 0.48 | (0.52 | ) | — | (0.52 | ) | $ | 13.58 | 3.90 | 0.63 | 0.63 | 0.63 | 3.67 | 18.33 | $ | 232,422 | |||||||||||||||||||||||||||||||||||||||
2010 | $ | 13.39 | 0.53 | 0.23 | 0.76 | (0.53 | ) | — | (0.53 | ) | $ | 13.62 | 3.99 | 0.65 | 0.65 | 0.65 | 5.87 | 9.87 | $ | 202,859 | ||||||||||||||||||||||||||||||||||||||||
2009 | $ | 12.45 | 0.57 | 0.94 | 1.51 | (0.57 | ) | — | (0.57 | ) | $ | 13.39 | 4.59 | 0.66 | 0.66 | 0.68 | 12.56 | 15.15 | $ | 125,709 | ||||||||||||||||||||||||||||||||||||||||
2008 | $ | 13.13 | 0.56 | (0.68 | ) | (0.12 | ) | (0.56 | ) | — | (0.56 | ) | $ | 12.45 | 4.28 | 0.64 | 0.63 | 0.64 | (1.02 | ) | 22.00 | $ | 171,848 | |||||||||||||||||||||||||||||||||||||
2007 | $ | 13.28 | 0.55 | (0.15 | ) | 0.40 | (0.55 | ) | — | (0.55 | ) | $ | 13.13 | 4.16 | 0.67 | 0.67 | 0.73 | 3.06 | 22.55 | $ | 125,890 | |||||||||||||||||||||||||||||||||||||||
| (a) | Not annualized for periods less than one year. |
| (b) | Unaudited Six Month Period Ended March 31. |
| (c) | Sales loads are not reflected in computing total return. |
| (d) | Annualized. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
| 32 Certified Semi-Annual Report | Certified Semi-Annual Report 33 |
| Thornburg Intermediate Municipal Fund | March 31, 2012 (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 a $1,000 investment beginning on October 1, 2011, and held until March 31, 2012.
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 | Ending | Expenses Paid | ||||||||||
| Account Value | Account Value | During Period† | ||||||||||
| 10/1/11 | 3/31/12 | 10/1/11–3/31/12 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,039.40 | $ | 4.75 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.35 | $ | 4.70 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,037.80 | $ | 6.32 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.80 | $ | 6.26 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,040.30 | $ | 3.11 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,021.95 | $ | 3.08 | ||||||
| † | Expenses are equal to the annualized expense ratio for each class (A: 0.93%; C: 1.24%; I: 0.61%) 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.
34 Certified Semi-Annual Report.
| Thornburg Intermediate Municipal Fund | March 31, 2012 (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. A description of the Policy 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 35
Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
September 13, 2011
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.
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.
APPOINTMENT OF TRUSTEE
The Trustees have appointed Sally Corning of Santa Fe, New Mexico as a Trustee, effective May 7, 2012. Ms. Corning is a founding partner of Sun Mountain Capital, Santa Fe, which advises clients in making investments in private equity partnerships and invests directly in private companies. Ms. Corning was formerly employed by Credit Suisse First Boston, Morgan Stanley and Dean Witter Reynolds. She received her BSBA from Georgetown University and her MBA from the Columbia University Graduate School of Business.
36 This page is not part of the Semi-Annual Report
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 website 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 Developing World 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
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 Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We are very organic in our approach, avoiding leverage or complex strategies which could backfire in periods of market uncertainty.
| • | 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 Strategic Municipal Income Fund |
| • | Thornburg Limited Term U.S. Government Fund |
| • | Thornburg Limited Term Income Fund |
| • | Thornburg Strategic Income Fund |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
This page is not part of the Semi-Annual Report 39
| Waste not, Wait not |
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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. | 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 | Go to www.thornburg.com/edelivery and sign up to receive your shareholder reports, prospectuses, and proxy statements electronically. | ||||
Distributor: | ||||||
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| TH172 | ||||||
Important Information
The information presented on the following pages is current as of March 31, 2012. The managers’ views, portfolio holdings, and sector diversification are provided for the general information of the Fund’s shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. 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. Bond funds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The principal value of bonds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. This effect is more pronounced for longer-term bonds. Unlike bonds, bond funds have ongoing fees and expenses. Investments in lower-rated and unrated bonds may be more sensitive to default, downgrades, and market volatility; these investments may also be less liquid than higher-rated bonds. Investments in derivatives are subject to counterparty risk and the risks associated with the securities or other assets underlying the pool of securities, including illiquidity and difficulty in valuation. 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 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 shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200.
Performance data given at net asset value (NAV) does not take into account applicable sales charges. If the sales charges had been included, the performance would have been lower.
Minimum investments for Class I shares are higher than those for other classes. Class I shares may not be available to all investors.
Share Class | NASDAQ Symbol | Cusip | ||
Class A | TSSAX | 885-216-101 | ||
Class C | TSSCX | 885-216-200 | ||
Class I | TSSIX | 885-216-309 |
Lipper’s 2012 Best Fixed Income Funds Manager
Thornburg Investment Management ranked #1 out of 41 eligible firms in Lipper, Inc.’s fixed income Large Company universe for the three-year period ended 11/30/11, based on risk-adjusted returns. Lipper’s Large Company universe is comprised of fund families with more than $40 billion in total net assets. Only fund families with at least five bond funds were eligible for the fixed income funds manager award. Asset Class Group Awards are given for the three-year period only.
Glossary
BofA Merrill Lynch Municipal Master Index – This index tracks the performance of the investment-grade U.S. tax-exempt bond market. Qualifying bonds must have at least one year remaining term to maturity, a fixed coupon schedule, and an investment grade rating (based on average of Moody’s, S&P, and Fitch).
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.
Alternative Minimum Tax (AMT) – A federal tax aimed at ensuring that high-income individuals, estates, trusts, and corporations pay a minimal level income tax. For individuals, the AMT is calculated by adding tax preference items to regular taxable income.
Annualized Distribution Yield – The distribution yield reflects actual distributions made to shareholders. The annualized distribution yield is calculated by summing the last 30 days of income at a given month end and annualizing to a 360-day year. The result is divided by the ending maximum offering price or net asset value.
Basis Point (bps) – A unit equal to 1/100th of 1%. 1% = 100 basis points (bps).
Bond Credit Ratings – A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C, and D (the lowest) are considered below investment grade, speculative grade, or junk bonds. Unless otherwise noted, the ratings listed are from Municipal Market Data and are a combination of ratings from Standard and Poor’s, Moody’s Investors Service, and Fitch Ratings.
Duration – A bond’s sensitivity to interest rates. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
This page is not part of the Semi-Annual Report. 3
| Important Information, | ||
| Continued | ||
Effective Duration – A bond’s sensitivity to interest rates, incorporating the embedded option features, such as call provisions. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
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.
General Obligation Bond – A municipal bond backed by the credit and “taxing power” of the issuing jurisdiction rather than the revenue from a given project.
Gross Domestic Product (GDP) – A country’s income minus foreign investments: the total value of all goods and services produced within a country in a year, minus net income from investments in other countries.
Quantitative Easing – The Federal Reserve’s monetary policy used to stimulate the U.S. economy following the recession that began in 2007/08.
Rolling Returns – Rolling returns are useful for examining the behavior of returns for holding periods similar to those actually experienced by investors. Rolling performance periods are generally two- or three-year periods, updated monthly or quarterly.
SEC Yield – SEC yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Fund’s shares at the end of the period.
Treasuries – 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 taxes.
4 This page is not part of the Semi-Annual Report.
Thornburg Strategic Municipal Income Fund
March 31, 2012
Table of Contents | ||||
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| 27 |
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 5
Christopher Ihlefeld Portfolio Manager
Christopher Ryon,CFA Portfolio Manager
Josh Gonze Portfolio Manager | April 13, 2012
Dear Fellow Shareholder:
We are pleased to present the semi-annual report for the Thornburg Strategic Municipal Income
The additional price appreciation is due to several factors. Our interest rate sensitivity as
The Economy and the Federal Reserve
At the beginning of the semi-annual period in October 2011, the national economy seemed to be
Late last year, fears of a European contagion infecting the rest of the world’s economies drove a |
6 Certified Semi-Annual Report
accommodation and that policy decisions should be based on the data, and not on the calendar — a reference to the Federal Reserve (the Fed) policy statement that short-term rates will probably remain near zero until late 2014.
We share some of the views of the hawkish governors: interest rates are at historic lows and the economy is beginning to heal itself. Investors should expect an upward drift in rates. Because bond (and bond fund) prices move in a direction opposite to rates, investor expectations of future returns should be tempered by these basic facts. We believe investors should focus on the fundamentals of investing, on proper diversification, and determining that the proposed holding period of an investment matches the investment vehicle’s characteristics.
The Municipal Market
The municipal market was the beneficiary of lower U.S. Treasury yields, reduced supply of newly issued municipal bonds, and increased investor confidence. Chart I shows the quarterly returns of the BofA Merrill Lynch Municipal Master Index and the rolling two-year annualized returns for the same index. Over the last year, the quarterly returns have decreased. This may be attributable to increasing investor confidence, or to investors trying to capture prior-period returns, when the municipal market seemed much riskier. Cash flows into municipal bond mutual funds began to pick up in the last three months of 2011 and remained positive through the end of March 2012. While quarterly returns are volatile, the two-year rolling annualized returns lend some perspective to formulating return expectations. We believe these data indicate that municipal bond investors are more likely to benefit from a two- to three-year investment horizon, depending on the fund under consideration, with lengthier horizons for longer-maturity funds.
Chart II illustrates the change in yields for AAA-rated general obligation bonds over the semi-annual reporting period. This was a continuation of a move to lower rates experienced in the last six months of 2011. Indeed, it is hard to imagine interest rates moving much lower. Given the reduction in rates we have seen in the last year, we believe that the municipal market, along with most fixed income markets, is riskier today than it was this time last year. We have therefore become more defensive towards the market. We have taken several steps to position the Fund for rising interest rates. We have raised cash and liquidity levels, and we have also shortened the average maturity.
Certified Semi-Annual Report 7
| Letter to Shareholders, | ||
| Continued | ||
On the bright side, the credit fundamentals of the municipal bond market continue to improve. Some local credits that are heavily dependent on real estate values are the exception; as assessed values reflect the realities of a depressed real estate market, the tax base of these credits will remain stressed. But the Census Bureau recently reported state tax revenue increased $62 billion in 2011 from a 2010 level of $702 billion — or an 8.8% increase. State budget deficits are declining as revenues increase.
Pension funding is a large issue in some states; as of October 24, 2011, Bloomberg News reported that the median pension funding ratio for the states in 2010 was 74.6%, down from a high of 82.8% in 2007. Nationally, pension funding levels ranged from 45.4% to 101.5%. The actuaries at the Pew Center on the States suggest a funding level of 80.0% is sufficient.
Your Thornburg Strategic Municipal Income Fund is a portfolio of 165 municipal obligations as of March 31, 2012. We plan to continue to search for opportunities in the municipal market, using our fundamental, bottom-up approach to portfolio management. Thank you for the trust you have placed with us. We will continue to keep it foremost in our minds as we go forward.
A Cautionary Note
The performance of the fixed income market must be judged within the context of a long-term bull market for bonds, with interest rates slowly declining for nearly 30 years. As illustrated in Chart III, the yield on 10-year U.S. Treasury notes has been in a downward trajectory and is currently near its all-time low. At some point, interest rates should rise, which will push bond prices down. No one can forecast precisely when this will occur, how long it will continue, or how volatile the rise will be. One of the best risk management techniques to navigate such periods of uncertainty is to maintain a well-diversified portfolio and hold it for an investment time horizon of at least two to three years. A diversified portfolio should include exposure to bonds.
8 Certified Semi-Annual Report
The question for investors is finding the optimal approach to managing the rise in rates. A bond ladder, which Thornburg uses in all its core bond funds, is a disciplined approach to the yield curve that works well in periods of rising rates – provided that the investor has a sufficient time horizon. Ladders also allow for portfolio managers to actively manage the specific bonds, market sectors, and structural characteristics of the bonds in the portfolios.
With laddered maturities, the bonds reach maturity in a sequential fashion, with a small portion maturing annually at face value. That cash is reinvested at the top end of the ladder, where rates are highest. Imagine that interest rates increased since you purchased your shares, so the NAV has declined. But some bonds have matured and the proceeds reinvested at the new, higher interest rates. That causes the monthly dividend to rise. The dividend yield increases and the total return begins to recover. Remember total return consists of two components: dividends plus or minus change in market value of the bonds. After a period of time, depending on how much rates rise, the investor’s total return should rebound to where it would have been if rates had not increased.
| Sincerely, | ||||
 |  |  | ||
| Christopher Ihlefeld | Christopher Ryon,CFA | Josh Gonze | ||
| Portfolio Manager | Portfolio Manager | 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.
Certified Semi-Annual Report 9
| SCHEDULE OF INVESTMENTS | ||
| Thornburg Strategic Municipal Income Fund | March 31, 2012 (Unaudited) | |
We have used ratings from Standard & Poor’s (S&P). Where S&P ratings are not available, we have used Moody’s Investors Service. Where neither rating is available, we have used ratings from Fitch Ratings. The category of investments identified as “AAA” in this graph includes investments which are pre-refunded or escrowed to maturity. Such investments are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities to satisfy the timely payment of principal and interest and, therefore, are normally deemed to be equivalent to AAA-rated securities.
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||||
ALABAMA — 0.69% | ||||||||||||
Mobile Industrial Development Board PCR, 1.65% due 6/1/2034 put 3/20/2017 (Alabama Power Company) | A/A2 | $ | 1,000,000 | $ | 995,070 | |||||||
ARIZONA — 1.52% | ||||||||||||
Maricopa County PCR, 6.00% due 5/1/2029 put 5/1/2014 (Arizona Public Service Co.) | BBB/Baa2 | 500,000 | 543,840 | |||||||||
Pima County IDA, 6.25% due 7/1/2013 pre-refunded 7/1/2012 (Arizona Charter Schools) | NR/NR | 90,000 | 91,377 | |||||||||
Pima County IDA, 6.25% due 7/1/2013 (Arizona Charter Schools) | NR/Baa3 | 440,000 | 441,646 | |||||||||
Pima County IDA, 5.875% due 4/1/2022 (Cambridge Academy) | NR/NR | 450,000 | 454,716 | |||||||||
Pima County IDA, 5.125% due 12/1/2040 (Providence Day School) | BBB+/NR | 710,000 | 663,999 | |||||||||
CALIFORNIA — 18.89% | ||||||||||||
Brea Redevelopment Agency, 0% due 8/1/2032 (Capital Appreciation-Tax Allocation) | AA-/NR | 1,270,000 | 326,327 | |||||||||
Brea Redevelopment Agency, 0% due 8/1/2034 (Capital Appreciation-Tax Allocation) | AA-/NR | 5,000,000 | 1,074,450 | |||||||||
California Financial Authority, 8.50% due 11/1/2039 (Harbor Regulation Control) | NR/Baa1 | 1,000,000 | 1,152,470 | |||||||||
California HFA, 6.25% due 2/1/2026 (Community Program; Insured: California Mtg Insurance) | A-/NR | 1,500,000 | 1,708,065 | |||||||||
California HFA, 4.625% due 8/1/2026 | BBB/Baa2 | 560,000 | 532,599 | |||||||||
California Housing Finance Agency, 4.625% due 8/1/2016 (Insured: FGIC) | BBB/Baa2 | 1,175,000 | 1,191,802 | |||||||||
a California State Public Works Board, 5.00% due 4/1/2028 (Various Capital Projects) | BBB+/A2 | 1,000,000 | 1,050,610 | |||||||||
California State Public Works Board, 6.25% due 4/1/2034 | BBB+/A2 | 100,000 | 113,493 | |||||||||
California Statewide Communities Development Authority, 6.125% due 7/1/2046 (Aspire Public Schools) | NR/NR | 1,000,000 | 1,036,470 | |||||||||
Calipatria USD, 0% due 8/1/2025 (Capital Appreciation-Election 1995; Insured: ACA) | NR/NR | 2,425,000 | 1,012,195 | |||||||||
Carson Redevelopment Agency Tax Allocation, 7.00% due 10/1/2036 (Project Area 1) | �� | A-/NR | 500,000 | 567,945 | ||||||||
Chico Redevelopment Agency, 5.00% due 4/1/2030 (Chico Amended & Merged Redevelopment; Insured: AMBAC) | A+/NR | 1,000,000 | 1,008,650 | |||||||||
Corona-Norco USD COP, 5.00% due 4/15/2031 (Insured: AGM) | AA-/Aa3 | 1,750,000 | 1,844,675 | |||||||||
Daly County Housing Development Finance Agency, 5.25% due 12/15/2023 (Franciscan Mobile Park) | A/NR | 650,000 | 692,835 | |||||||||
Kern Community College District COP, 4.00% due 4/1/2014 | SP-1+/NR | 2,500,000 | 2,644,250 | |||||||||
M-S-R Energy Authority, 6.50% due 11/1/2039 | A-/NR | 1,000,000 | 1,223,160 | |||||||||
Merced Redevelopment Agency Tax Allocation, 6.50% due 9/1/2039 (Merced Gateways Redevelopment) | BB+/NR | 300,000 | 307,956 | |||||||||
Moorpark Mobile Home Park, 6.15% due 5/15/2031 (Villa Del Arroyo) | BBB/NR | 1,000,000 | 1,050,460 | |||||||||
Newport Mesa USD, 0% due 8/1/2034 (Capital Appreciation-Election 2005) | AA/Aa1 | 5,000,000 | 1,688,450 | |||||||||
Oak Park USD GO, 0% due 8/1/2030 (Insured: AGM) | AA-/Aa3 | 500,000 | 183,900 | |||||||||
Pittsburg Redevelopment Agency Tax Allocation, 0% due 8/1/2027 (Los Medanos Community Development; Insured: AMBAC) | A+/NR | 1,275,000 | 500,591 | |||||||||
Pittsburg Redevelopment Agency Tax Allocation, 0% due 8/1/2028 (Los Medanos Community Development; Insured: AMBAC) | A+/NR | 5,000,000 | 1,832,450 | |||||||||
10 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Strategic Municipal Income Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||||
Redwood City Redevelopment Agency Tax Allocation, 0% due 7/15/2021 (Redevelopment Project Area 2; Insured: AMBAC) | A-/NR | $ | 1,285,000 | $ | 796,957 | |||||||
Riverside County Asset Leasing Corp., 0% due 6/1/2021 (Riverside County Hospital; Insured: Natl-Re) | BBB/A2 | 535,000 | 334,166 | |||||||||
San Diego USD, 0% due 7/1/2035 (Election 2008) | AA-/Aa2 | 1,700,000 | 483,616 | |||||||||
San Francisco City & County Redevelopment Financing Authority Tax Allocation, 0% due 8/1/2023 (Redevelopment Project; Insured: Natl-Re) | A/A2 | 925,000 | 531,801 | |||||||||
San Francisco City & County Redevelopment Financing Authority Tax Allocation, 6.50% due 8/1/2039 (Mission Bay North Redevelopment) | A-/NR | 250,000 | 273,093 | |||||||||
San Francisco City & County Redevelopment Financing Authority Tax Allocation, 6.75% due 8/1/2041 (Mission Bay North Redevelopment) | A-/NR | 500,000 | 555,950 | |||||||||
San Jose Redevelopment Agency Tax, 5.50% due 8/1/2035 (Merged Area Redevelopment) | A/A3 | 1,000,000 | 1,009,900 | |||||||||
Sonoma County Community Redevelopment Agency Tax Allocation, 6.50% due 8/1/2034 (The Springs Redevelopment; Insured: AGM) | AA-/NR | 100,000 | 105,706 | |||||||||
Union Elementary School District, 0% due 9/1/2027 (Capital Appreciation-Election 1999; Insured: Natl-Re) | AA+/NR | 905,000 | 448,165 | |||||||||
COLORADO — 4.55% | ||||||||||||
Denver City & County COP, 0.20% due 12/1/2031 put 4/2/2012 (SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/Aa1 | 690,000 | 690,000 | |||||||||
Denver Convention Center, 5.125% due 12/1/2026 (Insured: Syncora) | BBB-/Baa3 | 1,000,000 | 1,005,020 | |||||||||
Denver Convention Center, 5.00% due 12/1/2030 (Insured: Syncora) | BBB-/Baa3 | 450,000 | 447,808 | |||||||||
Denver Convention Center, 5.00% due 12/1/2035 (Insured: Syncora) | BBB-/Baa3 | 605,000 | 583,801 | |||||||||
Eagle Bend Metropolitan District GO, 5.00% due 12/1/2020 (Insured: Radian) | A-/NR | 1,010,000 | 1,048,269 | |||||||||
Eagle River Fire District, 6.625% due 12/1/2024 | NR/NR | 225,000 | 241,254 | |||||||||
Eagle River Fire District, 6.875% due 12/1/2030 | NR/NR | 400,000 | 428,060 | |||||||||
Pinery West Metropolitan District No. 2, 4.50% due 12/1/2032 (Insured: Radian) | NR/NR | 500,000 | 403,170 | |||||||||
Public Authority for Colorado Energy, 5.75% due 11/15/2018 (Natural Gas Purchase Revenue) | A-/Baa1 | 770,000 | 853,984 | |||||||||
Public Authority for Colorado Energy, 6.50% due 11/15/2038 (Natural Gas Purchase Revenue) | A-/Baa1 | 260,000 | 322,845 | |||||||||
Regional Transportation District COP, 5.375% due 6/1/2031 | A-/Aa3 | 500,000 | 548,575 | |||||||||
CONNECTICUT — 0.73% | ||||||||||||
Connecticut Health & Educational Facilities Authority, 6.00% due 7/1/2039 (Ethel Walker School) | BBB-/NR | 1,000,000 | 1,058,250 | |||||||||
DISTRICT OF COLUMBIA — 0.48% | ||||||||||||
Metropolitan Washington Airports Authority, 0% due 10/1/2027 (Dulles Toll Road; Insured: AGM) | AA-/Aa3 | 1,500,000 | 687,105 | |||||||||
FLORIDA — 7.59% | ||||||||||||
Gainesville Utilities Systems Revenue, 0.32% due 10/1/2026 put 4/2/2012 (SPA: SunTrust Bank) (daily demand notes) | AA/Aa2 | 1,500,000 | 1,500,000 | |||||||||
Hollywood Community Redevelopment Agency, 5.625% due 3/1/2024 | NR/A3 | 340,000 | 352,097 | |||||||||
Lakeland Energy System Revenue, 5.25% due 10/1/2036 | AA-/A1 | 2,000,000 | 2,374,200 | |||||||||
Miami GO, 5.00% due 1/1/2017 (Homeland Defense/Neighborhood Capital Improvements) | BBB-/A3 | 1,245,000 | 1,340,168 | |||||||||
Miami GO, 5.00% due 1/1/2018 (Homeland Defense/Neighborhood Capital Improvements) | BBB-/A3 | 1,790,000 | 1,917,144 | |||||||||
Pinellas County Educational Facilities Authority, 5.25% due 10/1/2030 (Barry University) | BBB/NR | 500,000 | 523,435 | |||||||||
Sarasota County Public Hospital Board, 2.708% due 10/1/2021 (Sarasota Memorial Hospital; Insured: Natl-Re) | BBB/A1 | 1,000,000 | 984,220 | |||||||||
Sarasota County Public Hospital Board, 5.50% due 7/1/2028 (Sarasota Memorial Hospital; Insured: Natl-Re) | BBB/A1 | 565,000 | 633,777 | |||||||||
St. Johns County IDA, 5.625% due 8/1/2034 (Presbyterian Retirement) | NR/NR | 230,000 | 232,730 | |||||||||
Tampa Sports Authority, 5.75% due 10/1/2020 (Tampa Bay Arena; Insured: Natl-Re) | BBB/Baa2 | 1,000,000 | 1,099,730 | |||||||||
Certified Semi-Annual Report 11
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Strategic Municipal Income Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
GEORGIA — 1.89% | ||||||||||
Atlanta Water & Waste Water, 6.25% due 11/1/2034 | A/A1 | $ | 500,000 | $ | 581,310 | |||||
Fulton County Development Authority, 5.00% due 10/1/2019 (Georgia Tech Athletic Association) | NR/A2 | 1,000,000 | 1,184,100 | |||||||
Main Street Natural Gas, Inc., 5.00% due 3/15/2018 (Georgia Gas) | A/Aa3 | 515,000 | 582,140 | |||||||
Main Street Natural Gas, Inc., 5.50% due 9/15/2023 (Georgia Gas) | A-/Baa1 | 350,000 | 383,712 | |||||||
GUAM — 1.48% | ||||||||||
Guam Government, 5.75% due 12/1/2034 (Section 30) | BBB-/NR | 500,000 | 524,580 | |||||||
Guam Government Department of Education COP, 6.875% due 12/1/2040 (John F. Kennedy High School) | B/NR | 1,000,000 | 1,056,090 | |||||||
Guam Government GO, 7.00% due 11/15/2039 | B+/NR | 520,000 | 563,628 | |||||||
HAWAII — 0.21% | ||||||||||
Hawaii State Department of Budget & Finance, 5.45% due 11/1/2023 (Hawaiian Electric Co.; Insured: Natl-Re) (AMT) | BBB/Baa2 | 300,000 | 300,048 | |||||||
ILLINOIS — 6.44% | ||||||||||
Broadview Tax Increment, 5.25% due 7/1/2012 | NR/NR | 265,000 | 265,360 | |||||||
Chicago Sales Tax, 0.20% due 1/1/2034 put 4/2/2012 (SPA: JPMorgan Chase Bank) (daily demand notes) | AAA/Aa2 | 445,000 | 445,000 | |||||||
Chicago Tax Increment, 4.70% due 11/15/2013 (Near South Redevelopment; Insured: AMBAC) | NR/NR | 800,000 | 802,216 | |||||||
Chicago Tax Increment, 6.75% due 6/1/2022 (Pilsen Redevelopment) | NR/NR | 1,000,000 | 1,026,570 | |||||||
Cook County GO, 5.25% due 11/15/2033 | AA/Aa3 | 1,000,000 | 1,076,020 | |||||||
Illinois Civic Center, 5.375% due 12/15/2012 (Insured: AGM) | NR/Aa3 | 505,000 | 507,035 | |||||||
Illinois Finance Authority, 5.75% due 11/15/2037 (OSF Healthcare System) | A/A3 | 330,000 | 352,816 | |||||||
Illinois Finance Authority, 6.00% due 5/15/2039 (OSF Healthcare System) | A/A3 | 1,240,000 | 1,379,599 | |||||||
Melrose Park Tax Increment, 6.75% due 12/15/2016 (Insured: Natl-Re) | NR/Baa2 | 250,000 | 282,150 | |||||||
Melrose Park Tax Increment, 6.75% due 12/15/2021 (Insured: Natl-Re) | NR/Baa2 | 410,000 | 506,088 | |||||||
Metropolitan Pier & Exposition Authority, 5.00% due 6/15/2050 (McCormick Place) | AAA/A3 | 1,500,000 | 1,537,440 | |||||||
Railsplitter Tobacco Settlement Authority, 6.00% due 6/1/2028 | A-/NR | 1,000,000 | 1,119,590 | |||||||
INDIANA — 5.31% | ||||||||||
Carmel Redevelopment District, 6.50% due 7/15/2035 | NR/NR | 1,000,000 | 1,030,220 | |||||||
Indiana Finance Authority, 6.00% due 12/1/2019 (U.S. Steel Corp.) | BB/B1 | 2,000,000 | 2,109,140 | |||||||
Indiana Finance Authority, 0.20% due 2/1/2035 put 4/2/2012 (Lease Appropriation; SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/NR | 200,000 | 200,000 | |||||||
Indiana Finance Authority, 0.20% due 2/1/2037 put 4/2/2012 (Lease Appropriation; SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/Aa3 | 800,000 | 800,000 | |||||||
Indiana Finance Authority, 0.20% due 2/1/2037 put 4/2/2012 (Lease Appropriation; SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/Aa2 | 2,000,000 | 2,000,000 | |||||||
Indiana Finance Authority, 0.24% due 2/1/2037 put 4/2/2012 (Lease Appropriation; SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/Aa2 | 500,000 | 500,000 | |||||||
Indiana Finance Authority, 6.375% due 9/15/2041 (Marian University) | BBB-/NR | 1,000,000 | 1,036,590 | |||||||
KANSAS — 3.45% | ||||||||||
City of Wichita GO, 0.30% due 8/15/2013 (Norris Training Systems) | SP-1+/Mig1 | 3,900,000 | 3,900,273 | |||||||
Wichita MFR, 5.90% due 12/1/2016 (Brentwood Apartments) | B/NR | 400,000 | 374,976 | |||||||
Wichita MFR, 5.85% due 12/1/2025 (Brentwood Apartments) | B/NR | 895,000 | 712,644 | |||||||
KENTUCKY — 1.77% | ||||||||||
Kentucky EDA, 0% due 10/1/2021 (Norton Healthcare, Inc.; Insured: Natl-Re) | BBB/Baa2 | 715,000 | 468,432 | |||||||
Kentucky EDA, 0% due 10/1/2022 (Norton Healthcare, Inc.; Insured: Natl-Re) | BBB/Baa2 | 2,490,000 | 1,533,641 | |||||||
12 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Strategic Municipal Income Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Owen County Waterworks Systems, 6.25% due 6/1/2039 (American Water Co.) | BBB+/Baa2 | $ | 500,000 | $ | 549,540 | |||||
LOUISIANA — 0.43% | ||||||||||
Louisiana Public Facilities Authority, 5.00% due 7/1/2032 (Black & Gold Facilities; Insured: CIFG) | AA-/Aa3 | 120,000 | 122,321 | |||||||
Louisiana Public Facilities Authority, 5.375% due 5/15/2043 (Ochsner Clinic Foundation) | NR/Baa1 | 500,000 | 504,530 | |||||||
MASSACHUSETTS — 0.34% | ||||||||||
Massachusetts Educational Financing Authority, 6.00% due 1/1/2028 | AA/NR | 435,000 | 488,466 | |||||||
MICHIGAN — 8.74% | ||||||||||
Detroit School District, 5.00% due 5/1/2025 (School Building & Site; Insured: Q-SBLF) | AA-/Aa2 | 1,000,000 | 1,113,650 | |||||||
b Detroit School District, 5.25% due 5/1/2027 (Insured: AGM) | AA-/Aa2 | 1,000,000 | 1,145,800 | |||||||
Detroit Water Supply Systems, 5.00% due 7/1/2018 (Insured: Natl-Re) | BBB/A1 | 350,000 | 379,557 | |||||||
Dickinson County Healthcare Systems, 5.80% due 11/1/2024 (Insured: ACA) | NR/NR | 270,000 | 270,003 | |||||||
Dickinson County Healthcare Systems, 5.80% due 11/1/2024 | NR/Ba1 | 1,000,000 | 1,000,010 | |||||||
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2036 (Bronson Methodist Hospital) | NR/A2 | 1,000,000 | 1,027,490 | |||||||
Kalamazoo Hospital Finance Authority, 5.25% due 5/15/2041 (Bronson Healthcare Group) | NR/A2 | 1,000,000 | 1,054,040 | |||||||
Michigan Financial Authority, 5.00% due 4/1/2031 (Local Government Loan Program) | A+/NR | 1,000,000 | 1,032,070 | |||||||
Michigan Financial Authority Limited Obligation, 8.125% due 4/1/2041 (Hope Academy) | NR/NR | 1,000,000 | 1,109,800 | |||||||
Michigan Hospital Finance Authority, 5.00% due 7/15/2025 | A/A2 | 650,000 | 667,355 | |||||||
Michigan Hospital Finance Authority, 5.75% due 4/1/2032 | A/A2 | 150,000 | 152,599 | |||||||
Michigan Hospital Finance Authority, 5.75% due 11/15/2039 (Henry Ford Health) | A/A1 | 1,000,000 | 1,081,210 | |||||||
Michigan Housing Development Authority, 3.375% due 11/1/2016 | AA/NR | 865,000 | 875,579 | |||||||
Michigan Public School Academy, 8.00% due 8/1/2035 (Will Carleton Charter School) | NR/NR | 1,085,000 | 1,085,467 | |||||||
Michigan Strategic Fund, 5.00% due 8/1/2013 (NSF International) | A-/NR | 300,000 | 312,204 | |||||||
Michigan Strategic Fund, 7.00% due 5/1/2021 (The Detroit Edison Company; Insured: Natl-Re/ AMBAC) | NR/NR | 250,000 | 319,025 | |||||||
MINNESOTA — 0.35% | ||||||||||
St. Paul Housing & Redevelopment Authority, 5.25% due 5/15/2023 | BBB+/A3 | 100,000 | 105,148 | |||||||
Washington County Housing Redevelopment Authority, 5.625% due 6/1/2037 (Birchwood & Woodbury) | NR/NR | 415,000 | 399,832 | |||||||
MISSOURI — 1.17% | ||||||||||
Kansas City Tax Increment Financing Commission, 5.25% due 3/1/2018 (Maincor Project) | NR/NR | 1,265,000 | 1,290,060 | |||||||
Missouri Development Finance Board, 0.20% due 12/1/2033 put 4/2/2012 (Nelson Gallery Foundation; SPA: JPMorgan Chase Bank) (daily demand notes) | AAA/Aaa | 400,000 | 400,000 | |||||||
NEVADA — 1.09% | ||||||||||
Mesquite Redevelopment Agency Tax Increment, 7.00% due 6/1/2019 | A-/NR | 700,000 | 735,077 | |||||||
Mesquite Redevelopment Agency Tax Increment, 7.125% due 6/1/2021 | A-/NR | 300,000 | 313,050 | |||||||
Mesquite Redevelopment Agency Tax Increment, 7.375% due 6/1/2024 | A-/NR | 500,000 | 519,930 | |||||||
NEW MEXICO — 0.73% | ||||||||||
Farmington PCR, 4.70% due 9/1/2024 (Arizona Public Service Co.) | BBB/Baa2 | 1,000,000 | 1,060,340 | |||||||
NEW YORK — 0.63% | ||||||||||
New York City Municipal Water Financing Authority, 0.23% due 6/15/2039 put 4/2/2012 (2nd General Resolution; SPA: Landesbank Hessen-Thuringen) (daily demand notes) | AA+/Aa2 | 905,000 | 905,000 | |||||||
Certified Semi-Annual Report 13
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Strategic Municipal Income Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
OHIO — 3.28% | ||||||||||
Buckeye Tobacco Settlement Financing Authority, 5.875% due 6/1/2047 | B-/B3 | $ | 1,000,000 | $ | 750,160 | |||||
Cleveland Cuyahoga County Port Authority, 6.25% due 5/15/2016 (LOC: FifthThird Bank) | BBB-/NR | 370,000 | 375,417 | |||||||
Cleveland Cuyahoga County Port Authority, 7.00% due 5/15/2040 (Insured: City Appropriations) | BBB-/NR | 1,000,000 | 1,091,080 | |||||||
Ohio State Water Development Authority PCR, 5.875% due 6/1/2033 put 6/1/2016 (FirstEnergy) | BBB-/Baa2 | 1,000,000 | 1,125,580 | |||||||
Ohio State Water Development Authority PCR, 3.375% due 7/1/2033 put 7/1/2015 (FirstEnergy) | BBB-/Baa3 | 1,350,000 | 1,389,636 | |||||||
OREGON — 1.05% | ||||||||||
Oregon MFR Pass-Through Certificates, 6.05% due 11/1/2034 | NR/Baa1 | 505,000 | 502,505 | |||||||
Western Generation Agency, 5.00% due 1/1/2016 (Wauna Cogeneration; Insured: ACA) | NR/NR | 1,000,000 | 1,009,450 | |||||||
PENNSYLVANIA — 8.24% | ||||||||||
Allegheny County IDA, 6.75% due 8/15/2035 (Propel Charter School) | BBB-/NR | 970,000 | 1,013,941 | |||||||
Geisinger Authority, 0.20% due 6/1/2041 put 4/2/2012 (Geisinger Health Systems; SPA: JPMorgan Chase Bank) (daily demand notes) | AA/Aa2 | 700,000 | 700,000 | |||||||
Geisinger Authority, 0.20% due 6/1/2041 put 4/2/2012 (Geisinger Health Systems; SPA: JPMorgan Chase Bank) (daily demand notes) | AA/Aa2 | 2,000,000 | 2,000,000 | |||||||
Pennsylvania EDA, 5.00% due 12/1/2014 (Colver Project; Insured: AMBAC) (AMT) | BBB-/Ba1 | 450,000 | 457,722 | |||||||
Pennsylvania EDA, 4.625% due 12/1/2018 (Colver Project; Insured: AMBAC) (AMT) | BBB-/Ba1 | 1,800,000 | 1,757,016 | |||||||
Pennsylvania Turnpike Commission, 0% due 12/1/2030 (Convertible Capital Appreciation) | A-/A3 | 2,000,000 | 1,801,000 | |||||||
Philadelphia Airport Revenue, 5.00% due 6/15/2027 | A+/A2 | 2,000,000 | 2,086,220 | |||||||
Philadelphia Hospitals & Higher Educational Facilities Authority, 0.20% due 7/1/2025 put 4/2/2012 (The Children’s Hospital; SPA: JPMorgan Chase Bank) (daily demand notes) | AA/Aa2 | 1,000,000 | 1,000,000 | |||||||
Philadelphia IDA, 6.00% due 8/1/2035 (Mast Charter School) | BBB+/NR | 1,000,000 | 1,087,300 | |||||||
RHODE ISLAND — 0.54% | ||||||||||
Pawtucket Housing Authority Capital Funds Housing, 5.50% due 9/1/2022 | AA-/NR | 315,000 | 373,259 | |||||||
Pawtucket Housing Authority Capital Funds Housing, 5.50% due 9/1/2024 | AA-/NR | 350,000 | 407,652 | |||||||
SOUTH DAKOTA — 0.56% | ||||||||||
South Dakota Health & Educational Facilities Authority, 5.50% due 11/1/2040 (Sanford Health) | AA-/A1 | 750,000 | 814,777 | |||||||
TENNESSEE — 0.45% | ||||||||||
Tennessee Energy Acquisition Corp., 5.00% due 2/1/2015 | BBB/Baa3 | 100,000 | 106,228 | |||||||
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2024 | A-/A2 | 500,000 | 548,470 | |||||||
TEXAS — 10.77% | ||||||||||
Austin Convention Enterprises, Inc., 5.25% due 1/1/2024 (Austin Convention Center; Insured: Syncora) | BB+/Ba1 | 720,000 | 727,682 | |||||||
Austin Convention Enterprises, Inc., 5.00% due 1/1/2034 (Austin Convention Center; Insured: Syncora) | BB+/Ba1 | 665,000 | 635,235 | |||||||
Clifton Higher Education Finance Corp., 9.00% due 2/15/2038 (Tejano Center for Community Concerns, Inc.) | BBB-/NR | 1,000,000 | 1,149,250 | |||||||
Gulf Coast Waste Disposal Authority, 6.10% due 8/1/2024 (International Paper Co.) (AMT) | BBB/Baa3 | 100,000 | 101,025 | |||||||
Kimble County Hospital District, 6.25% due 8/15/2033 | NR/NR | 500,000 | 535,260 | |||||||
La Vernia Higher Education Finance Corp., 6.25% due 8/15/2039 (Kipp, Inc.) | BBB/NR | 1,000,000 | 1,096,250 | |||||||
San Antonio Energy Acquisition Public Facilities Corp., 5.50% due 8/1/2021 | A-/Baa3 | 40,000 | 44,538 | |||||||
San Juan Higher Education Finance Authority, 6.70% due 8/15/2040 (Idea Public School) | BBB+/NR | 1,000,000 | 1,109,320 | |||||||
Tarrant County Cultural Educational Facilities, 0.22% due 10/1/2041 put 4/2/2012 (Methodist Hospitals; LOC: JPMorgan Chase Bank) (daily demand notes) | AAA/Aa1 | 2,000,000 | 2,000,000 | |||||||
Texas City Industrial Development Corp., 7.375% due 10/1/2020 (BP Pipelines N.A., Inc.) | A/A2 | 1,000,000 | 1,348,540 | |||||||
Texas Multi-Family Housing Corp., 7.00% due 7/1/2043 (HDSA Affordable Housing Pool) | A-/NR | 3,000,000 | 3,136,590 | |||||||
14 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Strategic Municipal Income Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Texas Public Finance Authority Charter School Finance Corp., 4.15% due 8/15/2016 (Idea Public School; Insured: ACA) | BBB+/NR | $ | 100,000 | $ | 105,402 | |||||
Texas Public Finance Authority Charter School Finance Corp., 5.00% due 2/15/2018 (Cosmos Foundation, Inc.) | BBB/NR | 785,000 | 808,880 | |||||||
Texas Public Finance Authority Charter School Finance Corp., 5.00% due 8/15/2023 (Idea Public School; Insured: ACA) | BBB+/NR | 155,000 | 159,924 | |||||||
Texas Public Finance Authority Charter School Finance Corp., 5.00% due 8/15/2030 (Idea Public School; Insured: ACA) | BBB+/NR | 1,500,000 | 1,511,160 | |||||||
Texas Public Finance Authority Charter School Finance Corp., 6.20% due 2/15/2040 (Cosmos Foundation, Inc.) | BBB/NR | 1,000,000 | 1,084,030 | |||||||
U.S. VIRGIN ISLANDS — 0.50% | ||||||||||
Virgin Islands Public Finance Authority, 6.75% due 10/1/2037 | NR/Baa3 | 500,000 | 573,120 | |||||||
Virgin Islands Water & Power Authority, 5.50% due 7/1/2017 | NR/NR | 150,000 | 150,297 | |||||||
UTAH — 0.75% | ||||||||||
Herriman Utah Special Assessment, 4.75% due 11/1/2022 (Towne Center Assessment Area) | A/NR | 1,000,000 | 1,082,070 | |||||||
VIRGINIA — 1.74% | ||||||||||
Lexington IDA Residential Care Facility, 5.375% due 1/1/2028 (Kendal at Lexington) | NR/NR | 1,000,000 | 971,470 | |||||||
Mecklenburg County IDA, 6.50% due 10/15/2017 (Virginia Electric and Power Company) | NR/Baa1 | 1,000,000 | 1,004,910 | |||||||
Virginia Small Business Financing Authority, 9.00% due 7/1/2039 (Hampton RDS Proton) | NR/NR | 500,000 | 530,270 | |||||||
WASHINGTON — 0.74% | ||||||||||
Washington HFA, 5.70% due 7/1/2038 (Overlake Hospital Medical Center) | A-/A3 | 1,000,000 | 1,066,550 | |||||||
|
| |||||||||
TOTAL INVESTMENTS — 97.10% (Cost $130,792,398) | $ | 140,239,194 | ||||||||
OTHER ASSETS LESS LIABILITIES — 2.90% | 4,191,464 | |||||||||
|
| |||||||||
NET ASSETS — 100.00% | $ | 144,430,658 | ||||||||
|
| |||||||||
Footnote Legend
| † | Credit ratings are unaudited. Rating changes may have occurred subsequent to the reporting period end. Bonds issued with a maturity of one year or less are assigned Moody’s ratings from MIG-1 to MIG-4 and Standard and Poor’s ratings from SP-1+ to SP-3 with MIG-1 and SP-1+ being the strongest ratings. |
| a | When-issued security. |
| b | Segregated as collateral for a when-issued security. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
| ACA | Insured by American Capital Access | |
| AGM | Insured by Assured Guaranty Municipal Corp. | |
| AMBAC | Insured by American Municipal Bond Assurance Corp. | |
| AMT | Alternative Minimum Tax | |
| CIFG | CIFG Assurance North America Inc. | |
| COP | Certificates of Participation | |
| EDA | Economic Development Authority | |
| FGIC | Insured by Financial Guaranty Insurance Co. | |
| GO | General Obligation | |
| HFA | Health Facilities Authority | |
| IDA | Industrial Development Authority | |
| LOC | Letter of Credit | |
| Mtg | Mortgage | |
| MFR | Multi-Family Revenue | |
| Natl-Re | Insured by National Public Finance Guarantee Corp. | |
| PCR | Pollution Control Revenue Bond | |
| Q-SBLF | Qualified School Board Loan Fund | |
| Radian | Insured by Radian Asset Assurance | |
| SPA | Stand-by Purchase Agreement | |
| Syncora | Insured by Syncora Guarantee Inc. | |
| USD | Unified School District | |
| See notes to financial statements. | ||
Certified Semi-Annual Report 15
| STATEMENT OF ASSETS AND LIABILITIES | ||
| Thornburg Strategic Municipal Income Fund | March 31, 2012 (Unaudited) | |
ASSETS | ||||
Investments at value (cost $130,792,398) (Note 2) | $ | 140,239,194 | ||
Cash | 3,171,924 | |||
Receivable for investments sold | 25,000 | |||
Receivable for fund shares sold | 600,451 | |||
Interest receivable | 1,758,021 | |||
Prepaid expenses and other assets | 38,644 | |||
|
| |||
Total Assets | 145,833,234 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 1,039,880 | |||
Payable for fund shares redeemed | 119,089 | |||
Payable to investment advisor and other affiliates (Note 3) | 117,243 | |||
Accounts payable and accrued expenses | 32,637 | |||
Dividends payable | 93,727 | |||
|
| |||
Total Liabilities | 1,402,576 | |||
|
| |||
NET ASSETS | $ | 144,430,658 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Undistributed net investment income | $ | 3,622 | ||
Net unrealized appreciation on investments | 9,446,796 | |||
Accumulated net realized gain (loss) | 195,490 | |||
Net capital paid in on shares of beneficial interest | 134,784,750 | |||
|
| |||
| $ | 144,430,658 | |||
|
| |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($56,388,685 applicable to 3,849,130 shares of beneficial interest outstanding - Note 4) | $ | 14.65 | ||
Maximum sales charge, 2.00% of offering price | 0.30 | |||
|
| |||
Maximum offering price per share | $ | 14.95 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($18,903,336 applicable to 1,289,001 shares of beneficial interest outstanding - Note 4) | $ | 14.67 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($69,138,637 applicable to 4,715,122 shares of beneficial interest outstanding - Note 4) | $ | 14.66 | ||
|
| |||
| * | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
16 Certified Semi-Annual Report
| STATEMENT OF OPERATIONS | ||
| Thornburg Strategic Municipal Income Fund | Six Months Ended March 31, 2012 (Unaudited) | |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $92,884) | $ | 3,137,438 | ||
|
| |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 465,704 | |||
Administration fees (Note 3) | ||||
Class A Shares | 30,036 | |||
Class C Shares | 10,480 | |||
Class I Shares | 14,840 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 60,073 | |||
Class C Shares | 50,575 | |||
Transfer agent fees | ||||
Class A Shares | 9,997 | |||
Class C Shares | 4,820 | |||
Class I Shares | 7,608 | |||
Registration and filing fees | ||||
Class A Shares | 10,751 | |||
Class C Shares | 10,621 | |||
Class I Shares | 10,718 | |||
Custodian fees (Note 3) | 27,835 | |||
Professional fees | 19,396 | |||
Accounting fees | 1,316 | |||
Trustee fees | 1,604 | |||
Other expenses | 9,767 | |||
|
| |||
Total Expenses | 746,141 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (31,423 | ) | ||
|
| |||
Net Expenses | 714,718 | |||
|
| |||
Net Investment Income | 2,422,720 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | 195,492 | |||
Net change in unrealized appreciation (depreciation) on investments | 4,946,299 | |||
|
| |||
Net Realized and Unrealized Gain | 5,141,791 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 7,564,511 | ||
|
| |||
See notes to financial statements.
Certified Semi-Annual Report 17
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Strategic Municipal Income Fund
| Six Months Ended March 31, 2012* | Year Ended September 30, 2011 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 2,422,720 | $ | 3,933,277 | ||||
Net realized gain (loss) on investments | 195,492 | 98,722 | ||||||
Net unrealized appreciation (depreciation) on investments | 4,946,299 | (464,465 | ) | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 7,564,511 | 3,567,534 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (912,139 | ) | (1,443,523 | ) | ||||
Class C Shares | (294,035 | ) | (599,513 | ) | ||||
Class I Shares | (1,216,546 | ) | (1,887,215 | ) | ||||
From realized gains | ||||||||
Class A Shares | (35,959 | ) | (48,451 | ) | ||||
Class C Shares | (13,233 | ) | (26,448 | ) | ||||
Class I Shares | (48,816 | ) | (67,868 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 14,578,217 | 11,532,230 | ||||||
Class C Shares | 2,881,365 | 401,837 | ||||||
Class I Shares | 12,038,869 | 12,899,113 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 34,542,234 | 24,327,696 | ||||||
NET ASSETS: | ||||||||
Beginning of Period | 109,888,424 | 85,560,728 | ||||||
|
|
|
| |||||
End of Period | $ | 144,430,658 | $ | 109,888,424 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 3,622 | $ | 3,622 | ||||
| * | Unaudited. |
See notes to financial statements.
18 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS | ||
| Thornburg Strategic Municipal Income Fund | March 31, 2012 (Unaudited) | |
NOTE 1 – ORGANIZATION
Thornburg Strategic Municipal Income 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 Fund is currently one of sixteen separate series of the Trust. 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 seek a high level of current income exempt from federal individual income tax.
The Fund currently offers three classes of shares of beneficial interest: Class A, Class C, and Institutional Class (Class I). 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 of purchase, 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 may be subject to a service fee, 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 Investments: Debt obligations 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, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
In any case where a pricing service fails to provide a price for a debt obligation held by the Fund, the valuation and pricing committee determines a fair value for the obligation using procedures approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt obligation 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 obligation.
In determining fair value for any portfolio security or other investment, the valuation and pricing committee seeks to determine the amount that an owner of the investment might reasonably expect to receive upon a sale of the investment. However, because fair value prices are estimated prices, the valuation and pricing committee’s determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Fund’s financial statements. The valuation and pricing committee’s determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation Measurements: Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three levels listed below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment rates, credit risk, etc.).
Level 3: Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
Certified Semi-Annual Report 19
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Strategic Municipal Income Fund | March 31, 2012 (Unaudited) | |
The following table displays a summary of the inputs used to value the Fund’s net assets as of March 31, 2012. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
| $140,239,194 | $140,239,194 | $140,239,194 | $140,239,194 | |||||||||||||
| Fair Value Measurements at March 31, 2012 | ||||||||||||||||
| Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities | ||||||||||||||||
Municipal Bonds | $ | 140,239,194 | $ | — | $ | 140,239,194 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 140,239,194 | $ | — | $ | 140,239,194 | $ | — | ||||||||
Other Notes: It is the policy of the Fund to recognize significant transfers between Levels 1, 2 and 3 and to disclose those transfers as of the date of the underlying event which caused the movement. The Fund recognized no significant transfers between levels for the six months ended March 31, 2012.
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 to shareholders substantially all taxable (if any) and tax exempt income of the Fund. Therefore, no provision for federal income tax is required.
Management reviews each uncertain tax position believed to be material to the preparation of the Fund’s financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of March 31, 2012, management has not identified any such position for which a liability must be reflected in the Statement of Assets and Liabilities. The Fund’s tax returns remain subject to examination for three years after filing.
When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with 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 Fund makes a commitment to purchase a security on a when-issued or delayed delivery 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 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
20 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Strategic Municipal Income Fund | March 31, 2012 (Unaudited) | |
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, 2012, 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. 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, 2012, the Advisor contractually reimbursed certain class specific expenses and administrative fees of $13,911 for Class A shares and $17,512 for Class C 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, 2012, the Distributor has advised the Fund that it earned net commissions aggregating $422 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $439 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. For the six months ended March 31, 2012, there were no 12b-1 service plan fees charged for Class I shares. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
The Trust has also adopted a distribution plan pursuant to Rule 12b-1, applicable only to the Fund’s Class C shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C shares of the Fund at an annual rate of up to .35 of 1% per annum of the average daily net assets attributable to Class C shares. Total fees incurred by the Fund for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2012, 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 are 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, 2012, there were no fees paid indirectly.
Certain officers and Trustees of the Trust are also officers 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, 2012, 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, 2012 (Unaudited) | September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 1,312,573 | $ | 18,783,487 | 1,515,491 | $ | 20,437,728 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 51,208 | 736,933 | 83,263 | 1,126,525 | ||||||||||||
Shares repurchased | (345,907 | ) | (4,942,203 | ) | (748,444 | ) | (10,032,023 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,017,874 | $ | 14,578,217 | 850,310 | $ | 11,532,230 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Certified Semi-Annual Report 21
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Strategic Municipal Income Fund | March 31, 2012 (Unaudited) | |
| Six Months Ended | Year Ended | |||||||||||||||
| March 31, 2012 (Unaudited) | September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 337,115 | $ | 4,867,098 | 500,548 | $ | 6,822,609 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 14,433 | 207,640 | 28,470 | 385,419 | ||||||||||||
Shares repurchased | (152,710 | ) | (2,193,373 | ) | (511,043 | ) | (6,806,191 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 198,838 | $ | 2,881,365 | 17,975 | $ | 401,837 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 1,446,078 | $ | 20,872,463 | 2,118,197 | $ | 28,788,268 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 71,533 | 1,029,179 | 114,091 | 1,545,006 | ||||||||||||
Shares repurchased | (691,940 | ) | (9,862,773 | ) | (1,304,041 | ) | (17,434,161 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 825,671 | $ | 12,038,869 | 928,247 | $ | 12,899,113 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2012, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $34,822,443 and $11,651,501, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2012, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 130,792,398 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 9,489,346 | ||
Gross unrealized depreciation on a tax basis | (42,550 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 9,446,796 | ||
|
|
The Regulated Investment Company Modernization Act of 2010 (the “Act”) was signed into law on December 22, 2010. The Act makes changes to a number of tax rules impacting the Fund. Under the Act, future capital losses generated by the Fund may be carried over indefinitely, but these losses must be used prior to the utilization of any pre-enactment capital losses. Since pre-enactment capital losses may only be carried forward for eight years, there may be a greater likelihood that all or a portion of a Fund’s pre-enactment capital losses will expire unused. In general, the provisions of the Act will be effective for the Fund’s fiscal year ending September 30, 2012.
OTHER NOTES:
Risks: The Fund’s investments subject it to risks including, but not limited to, credit risk, interest rate risk, management risk, market and economic risk, liquidity risk, and the risks associated with investments in derivative instruments. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund.
Subsequent Events: Fund management believes no events have occurred between March 31, 2012 and the date of issuance of the financial statements, which require adjustment to, or disclosure in the accompanying financial statements.
22 Certified Semi-Annual Report
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Certified Semi-Annual Report 23
Thornburg Strategic Municipal Income Fund
| PER SHARE PERFORMANCE (for a share outstanding throughout the Period)+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless | Net Asset Value Beginning of Period | Net Investment Income (Loss) | Net Realized & Unrealized Gain (Loss) on Investments | Total from Investment Operations | Dividends from Net Investment Income | Dividends from Net Realized Gains | Total Dividends | Net | Net Investment Income (Loss) (%) | Expenses, After Expense Reductions (%) | Expenses, After Expense Reductions and Net of Custody Credits (%) | Expenses, Before Expense Reductions (%) | Total Return (%)(a) | Portfolio Turnover Rate (%) | Net Assets at End of Period (Thousands) | |||||||||||||||||||||||||||||||||||||||||||
Class A Shares |
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2012(b)(c) | $ | 14.06 | 0.27 | 0.60 | 0.87 | (0.27 | ) | (0.01 | ) | (0.28 | ) | $14.65 | 3.80 | (d) | 1.25 | (d) | 1.25 | (d) | 1.31 | (d) | 6.29 | 10.19 | $ | 56,389 | ||||||||||||||||||||||||||||||||||
2011(c) | $ | 14.22 | 0.59 | (0.14 | ) | 0.45 | (0.59 | ) | (0.02 | ) | (0.61 | ) | $14.06 | 4.37 | 1.25 | 1.25 | 1.38 | 3.47 | 19.45 | $ | 39,808 | |||||||||||||||||||||||||||||||||||||
2010(c) | $ | 13.86 | 0.60 | 0.48 | 1.08 | (0.61 | ) | (0.11 | ) | (0.72 | ) | $14.22 | 4.40 | 1.25 | 1.25 | 1.50 | 8.20 | 16.26 | $ | 28,166 | ||||||||||||||||||||||||||||||||||||||
2009(c)(e) | $ | 11.94 | 0.29 | 1.91 | 2.20 | (0.28 | ) | — | (0.28 | ) | $13.86 | 4.71 | (d) | 1.25 | (d) | 1.25 | (d) | 2.92 | (d) | 18.65 | 14.37 | $ | 11,761 | |||||||||||||||||||||||||||||||||||
Class C Shares |
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2012(b) | $ | 14.07 | 0.25 | 0.61 | 0.86 | (0.25 | ) | (0.01 | ) | (0.26 | ) | $14.67 | 3.51 | (d) | 1.55 | (d) | 1.55 | (d) | 1.76 | (d) | 6.20 | 10.19 | $ | 18,903 | ||||||||||||||||||||||||||||||||||
2011 | $ | 14.23 | 0.55 | (0.14 | ) | 0.41 | (0.55 | ) | (0.02 | ) | (0.57 | ) | $14.07 | 4.07 | 1.55 | 1.55 | 1.83 | 3.16 | 19.45 | $ | 15,344 | |||||||||||||||||||||||||||||||||||||
2010 | $ | 13.87 | 0.55 | 0.49 | 1.04 | (0.57 | ) | (0.11 | ) | (0.68 | ) | $14.23 | 4.05 | 1.55 | 1.55 | 2.36 | 7.88 | 16.26 | $ | 15,261 | ||||||||||||||||||||||||||||||||||||||
2009(e) | $ | 11.94 | 0.27 | 1.93 | 2.20 | (0.27 | ) | — | (0.27 | ) | $13.87 | 4.40 | (d) | 1.55 | (d) | 1.55 | (d) | 6.40 | (d)(f) | 18.58 | 14.37 | $ | 3,684 | |||||||||||||||||||||||||||||||||||
Class I Shares |
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2012(b) | $ | 14.07 | 0.29 | 0.61 | 0.90 | (0.30 | ) | (0.01 | ) | (0.31 | ) | $14.66 | 4.10 | (d) | 0.96 | (d) | 0.96 | (d) | 0.96 | (d) | 6.44 | 10.19 | $ | 69,139 | ||||||||||||||||||||||||||||||||||
2011 | $ | 14.23 | 0.63 | (0.14 | ) | 0.49 | (0.63 | ) | (0.02 | ) | (0.65 | ) | $14.07 | 4.62 | 0.99 | 0.99 | 1.03 | 3.74 | 19.45 | $ | 54,736 | |||||||||||||||||||||||||||||||||||||
2010 | $ | 13.87 | 0.64 | 0.48 | 1.12 | (0.65 | ) | (0.11 | ) | (0.76 | ) | $14.23 | 4.66 | 0.99 | 0.99 | 1.11 | 8.48 | 16.26 | $ | 42,134 | ||||||||||||||||||||||||||||||||||||||
2009(e) | $ | 11.94 | 0.31 | 1.92 | 2.23 | (0.30 | ) | — | (0.30 | ) | $13.87 | 4.90 | (d) | 0.99 | (d) | 0.99 | (d) | 2.12 | (d) | 18.87 | 14.37 | $ | 18,561 | |||||||||||||||||||||||||||||||||||
| (a) | Not annualized for periods less than one year. |
| (b) | Unaudited Six Month Period Ended March 31. |
| (c) | Sales loads are not reflected in computing total return. |
| (d) | Annualized. |
| (e) | Fund commenced operations on April 1, 2009. |
| (f) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
| 24 Certified Semi-Annual Report | Certified Semi-Annual Report 25 |
| EXPENSE EXAMPLE | ||
| Thornburg Strategic Municipal Income Fund | March 31, 2012 (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 a $1,000 investment beginning on October 1, 2011, and held until March 31, 2012.
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 10/1/11 | Ending Account Value 3/31/12 | Expenses Paid During Period† 10/1/11–3/31/12 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,062.90 | $ | 6.45 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.75 | $ | 6.31 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,062.00 | $ | 7.99 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.25 | $ | 7.82 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,064.40 | $ | 4.95 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.21 | $ | 4.84 | ||||||
| † | Expenses are equal to the annualized expense ratio for each class (A: 1.25%; C: 1.55%; I: 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. |
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
| OTHER INFORMATION | ||
| Thornburg Strategic Municipal Income Fund | March 31, 2012 (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. A description of the Policy 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 27
Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
September 13, 2011
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.
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.
APPOINTMENT OF TRUSTEE
The Trustees have appointed Sally Corning of Santa Fe, New Mexico as a Trustee, effective May 7, 2012. Ms. Corning is a founding partner of Sun Mountain Capital, Santa Fe, which advises clients in making investments in private equity partnerships and invests directly in private companies. Ms. Corning was formerly employed by Credit Suisse First Boston, Morgan Stanley and Dean Witter Reynolds. She received her BSBA from Georgetown University and her MBA from the Columbia University Graduate School of Business.
28 This page is not part of the Semi-Annual Report.
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 website 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 Developing World 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 29
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 Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We are very organic in our approach, avoiding leverage or complex strategies which could backfire in periods of market uncertainty.
| • | 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 Strategic Municipal Income Fund |
| • | Thornburg Limited Term U.S. Government Fund |
| • | Thornburg Limited Term Income Fund |
| • | Thornburg Strategic Income Fund |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
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. | 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 | 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 is current as of March 31, 2012. The managers’ views, portfolio holdings, and sector diversification are provided for the general information of the Fund’s shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. 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. Bond funds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The principal value of bonds 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 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. The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
Performance data given at net asset value (NAV) does not take into account applicable sales charges. If the sales charges had been included, the performance would have been lower.
Minimum investments for Class I shares are higher than those for other classes. Class I shares may not be available to all investors.
Share Class | NASDAQ Symbol | Cusip | ||
Class A | LTCAX | 885-215-426 | ||
Class C | LTCCX | 885-215-418 | ||
Class I | LTCIX | 885-215-392 |
Lipper’s 2012 Best Fixed Income Funds Manager
Thornburg Investment Management ranked #1 out of 41 eligible firms in Lipper, Inc.’s fixed income Large Company universe for the three-year period ended 11/30/11, based on risk-adjusted returns. Lipper’s Large Company universe is comprised of fund families with more than $40 billion in total net assets. Only fund families with at least five bond funds were eligible for the fixed income funds manager award. Asset Class Group Awards are given for the three-year period only.
Glossary
Barclays Five-Year Municipal Bond Index – A rules-based, market-value-weighted index of the 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.
BofA Merrill Lynch 1-10 Year U.S. Municipal Securities Index – This index is a subset of the BofA Merrill Lynch U.S. Municipal Securities Index including all securities with a remaining term to final maturity less than 10 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.
Alternative Minimum Tax (AMT) – A federal tax aimed at ensuring that high-income individuals, estates, trusts, and corporations pay a minimal level income tax. For individuals, the AMT is calculated by adding tax preference items to regular taxable income.
Annualized Distribution Yield – The distribution yield reflects actual distributions made to shareholders. The annualized distribution yield is calculated by summing the last 30 days of income at a given month end and annualizing to a 360-day year. The result is divided by the ending maximum offering price or net asset value.
Basis Point (bps) – A unit equal to 1/100th of 1%. 1% = 100 basis points (bps).
Bond Credit Ratings – A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C, and D (the lowest) are considered below investment grade, speculative grade, or junk bonds. Unless otherwise noted, the ratings listed are from Municipal Market Data and are a combination of ratings from Standard and Poor’s, Moody’s Investors Service, and Fitch Ratings.
Duration – A bond’s sensitivity to interest rates. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
Effective Duration – A bond’s sensitivity to interest rates, incorporating the embedded option features, such as call provisions. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
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.
General Obligation Bond – A municipal bond backed by the credit and “taxing power” of the issuing jurisdiction rather than the revenue from a given project.
Gross Domestic Product (GDP) – A country’s income minus foreign investments: the total value of all goods and services produced within a country in a year, minus net income from investments in other countries.
This page is not part of the Semi-Annual Report. 3
Important Information, Continued
Quantitative Easing – The Federal Reserve’s monetary policy used to stimulate the U.S. economy following the recession that began in 2007/08.
Rolling Returns – Rolling returns are useful for examining the behavior of returns for holding periods similar to those actually experienced by investors. Rolling performance periods are generally two- or three-year periods, updated monthly or quarterly.
SEC Yield – SEC yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Fund’s shares at the end of the period.
Treasuries – 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 taxes.
4 This page is not part of the Semi-Annual Report.
Thornburg California Limited Term Municipal Fund
At Thornburg, our approach to management of the Fund is based on the premise that investors in the Fund seek preservation of capital along with an attractive, relatively stable yield. While aggressive bond strategies may generate stronger returns when the market is turning a blind eye towards risk, they often fail to stack up over longer periods of time.
We apply time-tested techniques to manage risk and provide attractive returns. These include:
| • | Building a laddered portfolio. Laddering has been shown over time to mitigate reinvestment and interest-rate risk. |
| • | Investing on a cash-only basis without using leverage. While leveraged strategies may enhance returns when market conditions are favorable, they can quickly compound losses when sentiment shifts. |
| • | Conducting in-depth fundamental research on each issue and actively monitoring positions for subsequent credit events. |
| • | Diversifying among a large number of generally high-quality bonds. |
PORTFOLIO MANAGERS
Josh Gonze, Chris Ryon, CFA, and Chris Ihlefeld
IMPORTANT
PERFORMANCE INFORMATION
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.
The maximum sales charge for the Fund’s Class A shares is 1.50%. The total annual fund operating expense of Class A shares is 0.96%, as disclosed in the most recent Prospectus.
LONG-TERM STABILITY OF PRINCIPAL
Net asset value history of A shares from February 19, 1987 through March 31, 2012
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2012
| 1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception | ||||||||||||||||
A Shares (Incep: 2/19/87) | ||||||||||||||||||||
Without sales charge | 7.87 | % | 5.54 | % | 4.52 | % | 3.73 | % | 4.79 | % | ||||||||||
With sales charge | 6.23 | % | 5.02 | % | 4.21 | % | 3.58 | % | 4.72 | % | ||||||||||
30-DAY YIELDS, A SHARES
As of March 31, 2012
Annualized Distribution Yield | SEC Yield | |||
1.97% | 1.14 | % | ||
KEY PORTFOLIO ATTRIBUTES
As of March 31, 2012
Number of Bonds | 201 | |||
Effective Duration | 3.3 Yrs | |||
Average Maturity | 4.3 Yrs |
See the entire portfolio in the Schedule of Investments beginning on page 12.
This page is not part of the Semi-Annual Report. 5
Thornburg California Limited Term Municipal Fund
March 31, 2012
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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.
6 Certified Semi-Annual Report
Christopher Ihlefeld Portfolio Manager
Christopher Ryon,CFA Portfolio Manager
Josh Gonze Portfolio Manager | April 13, 2012
Dear Shareholder:
We are pleased to present the semi-annual report for the Thornburg California Limited Term Municipal Fund. The net asset value (NAV) of the Class A shares increased by 19 cents to $13.60 per share during the six months ended March 31, 2012. If you were with us for the entire period, you received dividends of 16.1 cents per share. If you reinvested your dividends, you received 16.2 cents per share. Dividends per share were lower for Class C shares and higher for Class I shares to account for varying class-specific expenses. The Class A shares of your Fund produced a total return of 2.63% at NAV over the six months ended March 31, 2012, compared to 2.10% for the BofA Merrill Lynch 1–10 Year U.S. Municipal Securities Index and 2.05% for the Barclays Five-Year Municipal Bond Index. The Fund generated 1.49% more price appreciation but 0.96% less income than the 1–10 year index.
The additional price appreciation is due to several factors. Our relative market sensitivity, as measured by the Fund’s duration — and relative allocation to maturities within the Fund’s investment universe — added 0.13% of relative price appreciation. Our overweight to the insured and revenue sectors added 0.19%. We underweighted the general obligation and prerefunded sectors, which added 0.43% of relative performance. Our overweight to lower credit quality securities added 0.27% relative to the benchmark. Other risk factors accounted for another 0.47%. California remains under budget pressure, though its credit ratings were recently placed on positive outlook by Standard & Poor’s due to structural spending reductions and the new law allowing the legislature to pass a budget with a majority vote, rather than the previous two-third’s majority. The state’s high dependence on personal income tax and high-income earners creates a risk, if businesses opt to move out of state, revenues will decline further.
The Economy and the Federal Reserve
At the beginning of the semi-annual period in October 2011, the national economy seemed to be improving, albeit at a slow pace. Gross Domestic Product (GDP) increased from a 1.8% quarter-over-quarter increase for September 30, 2011, to a 3.0% increase in the quarter ending December 31, 2011. The economy added an average of 188,000 jobs per month for the six months ended March 31, 2012. The unemployment rate declined from 8.9% to 8.2%. The unemployment rate in California was worse than the national average, fluctuating around 11% for the period. Other signs of growth came in the form of increased industrial production (up 1.31% for the period) and capacity utilization (up 1.16% for the period). Nationwide, banks were lending to businesses: commercial and industrial loan volume increased 6.7% during the period. This is significant, because this type of lending had declined from 2007 through mid-2010. |
Certified Semi-Annual Report 7
| Letter to Shareholders, | ||
| Continued | ||
Late last year, fears of a European contagion infecting the rest of the world’s economies drove a flight to quality and a move toward lower interest rates for U.S. Treasury securities — from which the municipal market benefited. These fears seemed to have subsided by the end of the most recent quarter. The chances of the Federal Reserve Board entering into another round of so-called quantitative easing are, in our estimation, a little remote, but if you pay attention to the business media outlets, it sounds like the next big trade. In fact, within the Federal Reserve system, voices of the inflation-hawk governors are growing louder. They are saying that there is no reason for further accommodation and that policy decisions should be based on the data, and not on the calendar — a reference to the Federal Reserve (the Fed) policy statement that short-term rates will probably remain near zero until late 2014.
We share some of the views of the hawkish governors: interest rates are at historic lows and the economy is beginning to heal itself. Investors should expect an upward drift in rates. Because bond (and bond fund) prices move in a direction opposite to rates, investor expectations of future returns should be tempered by these basic facts. We believe investors should focus on the fundamentals of investing, on proper diversification, and determining that the proposed holding period of an investment matches the investment vehicle’s characteristics.
The Municipal Market
The municipal market was the beneficiary of lower U.S. Treasury yields, reduced supply of newly issued municipal bonds, and increased investor confidence. Chart I shows the quarterly returns of the BofA Merrill Lynch 1-10 Year U.S. Municipal Securities Index and the rolling two-year annualized returns for the same index. Over the last year, the quarterly returns have decreased. This may be attributable to increasing investor confidence, or to investors trying to capture prior-period returns, when the municipal market seemed much riskier. Cash flows into municipal bond mutual funds began to pick up in the last three months of 2011 and remained positive through the end of March 2012. While quarterly returns are volatile, the two-year rolling annualized returns lend some perspective to formulating return expectations. We believe these data indicate municipal bond investors are more likely to
CHART 1: BofA MERRILL LYNCH 1-10 YEAR U.S. MUNICIPAL SECURITIES INDEX
Quarterly Returns versus Rolling Two-Year Returns
Past performance does not guarantee future results.
8 Certified Semi-Annual Report
CHART II: CHANGES IN AAA GENERAL OBLIGATION BOND YIELDS
10/1/2011 through 3/31/2012
benefit from a two- to three-year investment horizon, depending on the fund under consideration, with lengthier horizons for longer-maturity funds.
Chart II illustrates the change in yields for AAA-rated general obligation bonds over the semi-annual reporting period; this was a continuation of a move to lower rates experienced in the last six months of 2011. It is hard to imagine interest rates moving much lower. Given the reduction in rates we have seen in the last year, we believe that the municipal market, along with most fixed income markets, is riskier today than it was this time last year. We have therefore become more defensive towards the market. We have taken several steps to position the Funds for rising rates: we have raised cash and liquidity levels and have shortened the average maturity of the Funds within the context of the laddered structure.
On the bright side, the credit fundamentals of the municipal bond market continue to improve. Some local credits that are heavily dependent on real estate values are the exception; as assessed values reflect the realities of a depressed real estate market, the tax base of these credits will remain stressed. But the Census Bureau recently reported state tax revenue increased $62 billion in 2011 from a 2010 level of $702 billion — or an 8.8% increase. In California, tax revenues increased $18 billion over 2010 levels for a 17.4% increase. State budget deficits are declining as revenues increase. California’s $23 billion 2012 initial budget gap is higher than its 2011 initial budget gap of $18 billion, but down from 2010’s initial $46 billion gap.
Pension funding is a large issue in some states; as of October 24, 2011, Bloomberg News reported that the median pension funding ratio for the states in 2010 was 74.6%, down from a high of 82.8% in 2007. Nationally, pension funding levels ranged from 45.4% to 101.5%. California’s pension funding ratio for 2010 was 80.7%, down from a high of 87.6% in 2008 but above the 80.0% target suggested by the actuaries at the Pew Center on the States.
Certified Semi-Annual Report 9
Letter to Shareholders,
Continued
Your Thornburg California Limited Term Municipal Fund is a laddered portfolio of 201 municipal obligations as of March 31, 2012. 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 is intended to accomplish two goals. First, the staggered maturities of a laddered structure reduce interest-rate risk and ordinarily dampen the Fund’s price volatility. Laddering also is intended to reduce reinvestment risk by giving the Fund a steady cash flow stream from maturing bonds to reinvest toward the top of the ladder where yields are typically higher. Chart III describes the percentages of your Fund’s bond portfolio maturing in each of the coming years. The Fund’s adherence to the discipline of the laddered structure served investors well.
CHART II: % OF PORTFOLIO MATURING
As of 3/31/12. Percentages vary over time.
Data may not add up to 100% due to rounding.
We plan to continue to search for opportunities in the municipal market, using our fundamental, bottom-up approach to portfolio management, and the discipline of the laddered structure. Thank you for the trust you have placed with us. We will continue to keep it foremost in our minds as we go forward.
CHART IV: CYCLICAL BULL MARKET FOR BONDS – 30 YEARS OF DECLINING YIELDS
Yield of 10-Year Treasury Note
A Cautionary Note
The performance of the fixed income market must be judged within the context of a long-term bull market for bonds, with interest rates slowly declining for nearly 30 years. As illustrated in Chart IV, the yield on the 10-year U.S. Treasury note has been in a downward trajectory and is currently near its all-time low. At some point, interest rates should rise, which will push bond prices down. No one can forecast precisely when this will occur, how long it will continue, or how volatile the rise will be. One of the best risk management techniques to navigate such periods of uncertainty is to maintain a well-diversified portfolio and hold it for an investment time horizon of at least two to three years. A diversified portfolio should include exposure to bonds.
10 Certified Semi-Annual Report
The question for investors is finding the optimal approach to managing the rise in rates. A bond ladder, which Thornburg uses in all its core bond funds, is a disciplined approach to the yield curve that works well in periods of rising rates – provided that the investor has a sufficient time horizon. Ladders also allow for portfolio managers to actively manage the specific bonds, market sectors, and structural characteristics of the bonds in the portfolios.
With laddered maturities, the bonds reach maturity in a sequential fashion, with a small portion maturing annually at face value. That cash is reinvested at the top end of the ladder, where rates are highest. Imagine that interest rates increased since you purchased your shares, so the NAV has declined. But some bonds have matured and the proceeds reinvested at the new, higher interest rates. That causes the monthly dividend to rise. The dividend yield increases and the total return begins to recover. Remember total return consists of two components: dividends plus or minus change in market value of the bonds. After a period of time, depending on how much rates rise, the investor’s total return should rebound to where it would have been if rates had not increased.
Sincerely,
|
|
| ||
Christopher Ihlefeld | Christopher Ryon,CFA | Josh Gonze | ||
Portfolio Manager | Portfolio Manager | 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.
Certified Semi-Annual Report 11
| Thornburg California Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
We have used ratings from Standard & Poor’s (S&P). Where S&P ratings are not available, we have used Moody’s Investors Service. Where neither rating is available, we have used ratings from Fitch Ratings. The category of investments identified as “AAA” in this graph includes investments which are pre-refunded or escrowed to maturity. Such investments are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities to satisfy the timely payment of principal and interest and, therefore, are normally deemed to be equivalent to AAA-rated securities.
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||||
Alameda County COP, 5.625% due 12/1/2016 (Santa Rita Jail; Insured: AMBAC) | AA/NR | $ | 1,830,000 | $ | 2,157,387 | |||||||
Alvord USD GO, 5.25% due 2/1/2014 (Insured: Natl-Re) | A+/Baa2 | 1,150,000 | 1,220,713 | |||||||||
Anaheim Public Financing Authority, 5.00% due 10/1/2020 (Electric System Distribution; Insured: AMBAC) | NR/NR | 445,000 | 475,990 | |||||||||
Anaheim Public Financing Authority, 5.00% due 10/1/2021 (Electric System Distribution; Insured: AMBAC) | NR/NR | 820,000 | 873,497 | |||||||||
Antelope Valley Community College District GO, 2.00% due 11/30/2012 | SP-1+/NR | 3,050,000 | 3,083,672 | |||||||||
Bay Area Toll Authority, 5.00% due 4/1/2016 (San Francisco Bay Area) | AA/Aa3 | 2,075,000 | 2,403,867 | |||||||||
Burbank California Water & Power Electric Revenue, 5.00% due 6/1/2015 | AA-/A1 | 750,000 | 847,193 | |||||||||
Burbank California Water & Power Electric Revenue, 5.00% due 6/1/2016 | AA-/A1 | 500,000 | 579,090 | |||||||||
Burbank California Water & Power Electric Revenue, 5.00% due 6/1/2017 | AA-/A1 | 1,000,000 | 1,184,500 | |||||||||
Burbank California Water & Power Electric Revenue, 5.00% due 6/1/2018 | AA-/A1 | 360,000 | 432,634 | |||||||||
Burbank California Water & Power Electric Revenue, 5.00% due 6/1/2020 | AA-/A1 | 625,000 | 763,019 | |||||||||
Calexico USD GO, 6.75% due 9/1/2017 | A-/NR | 3,060,000 | 3,561,228 | |||||||||
California Educational Facilities Authority, 5.00% due 4/1/2018 (Pitzer College) | NR/A3 | 1,540,000 | 1,749,224 | |||||||||
California Educational Facilities Authority, 0% due 10/1/2019 (Loyola Marymount University; Insured: Natl-Re) | NR/A2 | 2,025,000 | 1,547,687 | |||||||||
California Educational Facilities Authority, 5.00% due 4/1/2020 (Pitzer College) | NR/A3 | 1,445,000 | 1,655,349 | |||||||||
California Educational Facilities Authority, 5.00% due 4/1/2022 (Chapman University) | NR/A2 | 2,000,000 | 2,287,740 | |||||||||
California Mobile Home Park Financing Authority, 5.00% due 11/15/2013 (Rancho Vallecitos; Insured: ACA) | NR/NR | 570,000 | 577,598 | |||||||||
California PCR, 5.90% due 6/1/2014 (San Diego Gas & Electric) | A/A2 | 2,500,000 | 2,769,750 | |||||||||
California PCR Solid Waste Disposal, 5.25% due 6/1/2023 put 12/1/2017 (Republic Services, Inc.) (AMT) | BBB/Baa3 | 2,820,000 | 3,158,400 | |||||||||
California State Department of Transportation COP, 5.25% due 3/1/2016 (Insured: Natl-Re) | BBB/A2 | 1,785,000 | 1,792,086 | |||||||||
California State Department of Water Resources Power Supply, 5.00% due 5/1/2015 | AA-/Aa3 | 5,000,000 | 5,667,900 | |||||||||
California State Economic Recovery GO, 5.00% due 7/1/2015 (Insured: Natl-Re) | A+/Aa3 | 500,000 | 549,030 | |||||||||
California State Economic Recovery GO, 5.00% due 7/1/2018 | A+/Aa3 | 3,000,000 | 3,593,700 | |||||||||
California State GO, 5.00% due 3/1/2017 (Insured: Syncora) | A-/A1 | 2,860,000 | 3,230,971 | |||||||||
California State GO, 5.25% due 2/1/2018 | AA+/Aaa | 3,000,000 | 3,124,860 | |||||||||
California State GO, 5.00% due 9/1/2020 | A-/A1 | 2,000,000 | 2,374,120 | |||||||||
California State GO, 0.18% due 5/1/2034 put 4/2/2012 (Kindergarten; LOC: Citibank N.A./ California State Teachers’ Retirement System) (daily demand notes) | A/Aa3 | 6,125,000 | 6,125,000 | |||||||||
California State GO, 0.20% due 5/1/2034 put 4/2/2012 (Kindergarten; LOC: State Street B&T Co./California State Teachers’ Retirement System) (daily demand notes) | AA-/Aa2 | 1,500,000 | 1,500,000 | |||||||||
California State GO, 0.20% due 5/1/2034 put 4/2/2012 (Kindergarten; LOC: Citibank N.A.) (daily demand notes) | AAA/Aa2 | 5,150,000 | 5,150,000 | |||||||||
California State HFA, 4.00% due 2/1/2013 (Community Program; Insured: California Mtg Insurance) | A-/NR | 1,665,000 | 1,696,285 | |||||||||
California State HFA, 5.25% due 10/1/2013 (Providence Health) | AA/Aa2 | 650,000 | 694,493 | |||||||||
California State HFA, 5.00% due 8/15/2014 (Cedars-Sinai Medical Center) | NR/A2 | 1,500,000 | 1,637,970 | |||||||||
California State HFA, 5.50% due 2/1/2018 (Community Program; Insured: California Mtg Insurance) | A-/NR | 2,715,000 | 3,088,720 | |||||||||
12 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg California Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||||
California State HFA, 6.00% due 10/1/2018 (Providence Health) | AA/Aa2 | $ | 1,000,000 | $ | 1,249,900 | |||||||
California State HFA, 5.10% due 2/1/2019 (Episcopal Home; Insured: California Mtg Insurance) | A-/NR | 1,635,000 | 1,790,668 | |||||||||
California State HFA, 5.25% due 3/1/2022 (Catholic Health Care West) | A/A2 | 1,000,000 | 1,149,750 | |||||||||
California State HFA, 1.45% due 8/15/2023 (Lucile Salter Packard Childrens Hospital) | NR/NR | 3,000,000 | 2,987,430 | |||||||||
California State HFA, 5.00% due 7/1/2027 put 7/1/2014 (Catholic Health Care West) | A/A2 | 2,000,000 | 2,154,440 | |||||||||
California State Housing Finance Agency, 3.70% due 8/1/2013 (Home Mtg; Insured: FGIC) | BBB/Baa2 | 1,270,000 | 1,298,575 | |||||||||
California State Housing Finance Agency, 3.80% due 2/1/2014 (Home Mtg; Insured: FGIC) | BBB/Baa2 | 770,000 | 784,515 | |||||||||
California State Housing Finance Agency, 5.00% due 2/1/2014 (Home Mtg; Insured: FGIC) | BBB/Baa2 | 2,630,000 | 2,686,939 | |||||||||
California State Housing Finance Agency, 4.85% due 8/1/2016 (Insured: AGM) (AMT) | AA-/Aa3 | 1,000,000 | 1,038,360 | |||||||||
California State Housing Finance Agency, 5.00% due 8/1/2017 (Insured: AGM) (AMT) | AA-/Aa3 | 980,000 | 1,015,603 | |||||||||
California State Housing Finance Agency, 5.125% due 8/1/2018 (Insured: AGM) (AMT) | AA-/Aa3 | 1,000,000 | 1,031,260 | |||||||||
California State Housing Finance Agency, 3.05% due 12/1/2019 (Insured: FHA) | NR/Aaa | 735,000 | 744,790 | |||||||||
California State Infrastructure & Economic Development Bank Revenue, 5.25% due 8/15/2020 (King City High School) | A-/NR | 1,000,000 | 1,138,910 | |||||||||
California State Infrastructure & Economic Development Bank Revenue, 0.17% due 11/1/2026 put 4/2/2012 (Pacific Gas & Electric; LOC: Mizuho Corporate Bank) (daily demand notes) | AA+/Aa2 | 3,500,000 | 3,500,000 | |||||||||
California State Infrastructure & Economic Development Bank Revenue, 0.20% due 9/1/2037 put 4/2/2012 (Los Angeles County Museum; LOC: Wells Fargo Bank) (daily demand notes) | AA-/Aa1 | 1,300,000 | 1,300,000 | |||||||||
California State Public Works Board, 5.00% due 12/1/2021 (Judicial Council Projects) | BBB+/A2 | 2,500,000 | 2,842,175 | |||||||||
California State Public Works Board, 5.00% due 12/1/2022 (Judicial Council Projects) | BBB+/A2 | 1,200,000 | 1,348,416 | |||||||||
California State Public Works Board Lease, 5.25% due 10/1/2013 (California State University) | BBB+/Aa3 | 500,000 | 501,925 | |||||||||
California State Public Works Board Lease, 5.25% due 12/1/2014 | BBB+/A2 | 1,525,000 | 1,530,292 | |||||||||
California State Public Works Board Lease, 5.00% due 1/1/2015 (Department of Corrections; Insured: AMBAC) | BBB+/A2 | 2,000,000 | 2,201,720 | |||||||||
California State Public Works Board Lease, 5.00% due 11/1/2015 (Various Universities) | AA-/Aa2 | 1,000,000 | 1,109,190 | |||||||||
California State Public Works Board Lease, 5.00% due 11/1/2016 (California State University) | BBB+/Aa3 | 1,000,000 | 1,139,580 | |||||||||
California State Public Works Board Lease, 5.00% due 6/1/2020 (Regents of University of California; Insured: Natl-Re/FGIC) | AA-/Aa2 | 1,185,000 | 1,418,315 | |||||||||
California State School Cash Reserve Program Authority, 2.00% due 10/31/2012 | SP-1+/NR | 3,000,000 | 3,030,600 | |||||||||
California Statewide Community Development Authority, 5.25% due 8/1/2014 (East Campus Apartments; Insured: ACA) | NR/Baa1 | 1,715,000 | 1,744,172 | |||||||||
California Statewide Community Development Authority, 5.50% due 8/15/2014 (Enloe Medical Center; Insured: California Mtg Insurance) | A-/NR | 750,000 | 815,460 | |||||||||
California Statewide Community Development Authority, 5.00% due 4/1/2019 (Kaiser Credit Group) | A+/NR | 3,600,000 | 4,221,577 | |||||||||
California Statewide Community Development Authority, 5.00% due 7/1/2020 (Aspire Public Schools; Insured: College for Certain LLC) | NR/NR | 1,460,000 | 1,489,215 | |||||||||
California Statewide Community Development Authority, 4.10% due 4/1/2028 put 4/1/2013 (Southern California Edison County; Insured: Syncora) | A/A1 | 2,000,000 | 2,069,680 | |||||||||
California Statewide Community Development Authority, 3.85% due 11/1/2029 put 6/1/2012 (Kaiser Credit Group) | A+/NR | 975,000 | 980,879 | |||||||||
California Statewide Community Development Authority, 0.14% due 8/15/2047 put 4/2/2012 (Rady Childrens Hospital; LOC: Wells Fargo Bank) (daily demand notes) | AA-/Aa1 | 3,000,000 | 3,000,000 | |||||||||
California Statewide Community Development Authority COP, 6.50% due 8/1/2012 (Cedars-Sinai Center Hospital; Insured: Natl-Re) | BBB/A2 | 155,000 | 157,120 | |||||||||
California Statewide Community Development Authority PCR, 4.10% due 4/1/2028 put 4/1/2013 (Southern California Edison County; Insured: Syncora) | A/A1 | 3,225,000 | 3,337,359 | |||||||||
Calipatria USD, 0% due 8/1/2025 (Capital Appreciation-Election 1995; Insured: ACA) | NR/NR | 5,000,000 | 2,087,000 | |||||||||
Carson Redevelopment Agency Tax Allocation, 6.00% due 10/1/2019 (Project Area 1) | A-/NR | 1,050,000 | 1,189,902 | |||||||||
Castaic USD GO, 0% due 5/1/2018 (Insured: Natl-Re/FGIC) | A+/NR | 3,200,000 | 2,498,368 | |||||||||
Centinela Valley Unified High School District GO, 4.00% due 12/1/2013 | SP-1+/NR | 3,000,000 | 3,164,430 | |||||||||
Central Valley Financing Authority, 5.00% due 7/1/2015 (Carson Ice) | A+/A1 | 1,000,000 | 1,111,700 | |||||||||
Central Valley Financing Authority, 5.25% due 7/1/2020 (Carson Ice) | A+/A1 | 500,000 | 590,495 | |||||||||
Certified Semi-Annual Report 13
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg California Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||||
Cerritos Public Financing Authority Tax Allocation, 5.00% due 11/1/2014 (Insured: AMBAC) | A-/NR | $ | 1,260,000 | $ | 1,341,648 | |||||||
Chabot-Las Positas Community College District GO, 0% due 8/1/2018 (Election 2004-B; Insured: AMBAC) | AA-/Aa2 | 2,465,000 | 1,998,178 | |||||||||
Chula Vista COP, 5.25% due 3/1/2020 (Capital Facilities Refunding Project) | A-/NR | 1,300,000 | 1,466,387 | |||||||||
Chula Vista Elementary School District COP, 4.70% due 9/1/2022 (Insured: Natl-Re) | BBB/Baa2 | 900,000 | 901,782 | |||||||||
City of Folsom, 4.00% due 12/1/2014 (Community Facilities District No. 2) | A+/NR | 755,000 | 792,818 | |||||||||
City of Folsom, 5.00% due 12/1/2016 (Community Facilities District No. 2) | A+/NR | 1,100,000 | 1,223,123 | |||||||||
City of Folsom, 5.00% due 12/1/2018 (Community Facilities District No. 2) | A+/NR | 965,000 | 1,073,070 | |||||||||
City of Los Angeles COP, 3.00% due 11/1/2030 put 2/1/2018 (American Academy of Dramatic Arts; LOC: TD Bank N.A.) | NR/Aa2 | 3,000,000 | 3,101,400 | |||||||||
City of Torrance, 5.00% due 9/1/2020 (Torrance Memorial Medical Center) | A/A2 | 1,155,000 | 1,317,416 | |||||||||
City of Torrance Hospital Revenue, 6.00% due 6/1/2022 (Torrance Memorial Medical Center) | A/A2 | 2,600,000 | 2,619,266 | |||||||||
City of Vallejo Water Revenue, 5.00% due 5/1/2017 (Insured: Natl-Re) | BBB/Baa2 | 1,240,000 | 1,329,243 | |||||||||
Contra Costa Water District, 2.50% due 10/1/2013 | AA+/NR | 2,000,000 | 2,065,460 | |||||||||
Corona-Norco USD GO, 2.00% due 12/31/2012 | SP-1+/NR | 5,000,000 | 5,064,650 | |||||||||
Corona-Norco USD GO, 0% due 9/1/2017 (Insured: AGM) | AA-/Aa2 | 1,595,000 | 1,428,865 | |||||||||
County of Stanislaus, 5.75% due 5/1/2015 (Insured: Natl-Re) | A+/Baa2 | 1,815,000 | 1,981,817 | |||||||||
Delano Financing Authority, 5.00% due 12/1/2017 (Police Station and Capital Improvements) | A/NR | 1,085,000 | 1,197,558 | |||||||||
Delano Financing Authority, 5.00% due 12/1/2018 (Police Station and Capital Improvements) | A/NR | 1,135,000 | 1,254,697 | |||||||||
Delano Financing Authority, 5.00% due 12/1/2019 (Police Station and Capital Improvements) | A/NR | 1,195,000 | 1,321,539 | |||||||||
Fillmore Public Financing Authority, 5.00% due 5/1/2016 (Water Recycling; Insured: CIFG) | AA-/Aa3 | 735,000 | 815,416 | |||||||||
Fullerton Public Financing Authority, 5.00% due 9/1/2016 (Insured: AMBAC) | A/NR | 1,775,000 | 1,892,842 | |||||||||
Inland Valley Development Agency, 5.25% due 4/1/2012 (ETM) | A/NR | 1,490,000 | 1,490,209 | |||||||||
Irvine Public Facilities & Infrastructure Authority, 2.00% due 9/2/2013 | BBB+/NR | 1,000,000 | 1,011,230 | |||||||||
Irvine Public Facilities & Infrastructure Authority, 3.00% due 9/2/2015 | BBB+/NR | 570,000 | 585,629 | |||||||||
Irvine Public Facilities & Infrastructure Authority, 3.00% due 9/2/2016 | BBB+/NR | 1,290,000 | 1,313,517 | |||||||||
Kern Community College District COP, 4.00% due 4/1/2014 | SP-1+/NR | 3,000,000 | 3,173,100 | |||||||||
Lindsay USD COP, 5.75% due 10/1/2017 (Insured: AGM) | AA-/NR | 1,160,000 | 1,280,025 | |||||||||
Lindsay USD COP, 6.00% due 10/1/2018 (Insured: AGM) | AA-/NR | 680,000 | 764,769 | |||||||||
Long Beach Bond Finance Authority, 5.00% due 11/15/2012 (Natural Gas Utility Improvements) | A-/Baa1 | 1,050,000 | 1,074,014 | |||||||||
Los Alamitos USD GO, 0% due 9/1/2016 (School Facilities Improvement) | SP-1+/Aa2 | 2,000,000 | 1,860,960 | |||||||||
Los Angeles Convention & Exhibition Center Authority, 5.00% due 8/15/2016 | A+/A2 | 2,000,000 | 2,229,920 | |||||||||
Los Angeles Convention & Exhibition Center Authority, 5.00% due 8/15/2017 | A+/A2 | 1,660,000 | 1,860,279 | |||||||||
Los Angeles County Public Works Financing Authority, 5.00% due 9/1/2014 (Insured: Natl-Re/ FGIC) | BBB/NR | 2,990,000 | 3,237,721 | |||||||||
Los Angeles County Public Works Financing Authority, 4.25% due 6/1/2016 (Calabasas Landfill; Insured: AMBAC) | A+/A1 | 1,000,000 | 1,061,520 | |||||||||
Los Angeles County Public Works Financing Authority, 5.00% due 8/1/2018 (Multiple Capital Projects) | A+/A1 | 2,060,000 | 2,375,365 | |||||||||
Los Angeles County Schools Regionalized Business Services Corp. COP, 0% due 8/1/2021 (Pooled Financing; Insured: AMBAC) | NR/NR | 2,135,000 | 1,313,559 | |||||||||
Los Angeles Department of Airports, 5.50% due 5/15/2018 (Los Angeles International Airport) | AA/Aa3 | 2,000,000 | 2,357,640 | |||||||||
Los Angeles Municipal Improvement Corp., 5.00% due 11/1/2017 (Capital Equipment) | A+/A3 | 3,235,000 | 3,754,767 | |||||||||
Los Angeles USD COP, 5.00% due 10/1/2014 (Insured: AMBAC) | A+/A1 | 725,000 | 779,071 | |||||||||
Los Angeles USD COP, 5.00% due 10/1/2015 (Insured: AMBAC) | A+/A1 | 1,500,000 | 1,649,205 | |||||||||
Los Angeles USD COP, 5.50% due 12/1/2018 (Capital Projects) | A+/A1 | 2,000,000 | 2,294,120 | |||||||||
Los Angeles USD GO, 5.50% due 7/1/2012 (Insured: Natl-Re) | AA-/Aa2 | 2,500,000 | 2,533,650 | |||||||||
Merced Redevelopment Agency Tax Allocation, 5.25% due 9/1/2020 | BB+/NR | 1,190,000 | 1,218,048 | |||||||||
Milpitas Redevelopment Agency Tax Allocation, 5.00% due 9/1/2015 (Insured: Natl-Re) | A/Baa2 | 2,000,000 | 2,102,640 | |||||||||
Mojave USD COP, 0% due 9/1/2017 (School Improvements; Insured: AGM) | AA-/NR | 1,045,000 | 909,453 | |||||||||
Mojave USD COP, 0% due 9/1/2018 (School Improvements; Insured: AGM) | AA-/NR | 1,095,000 | 895,546 | |||||||||
Mojave USD School Facilities Improvement District GO, 0% due 6/1/2013 (Cash Flow Management) | SP-1+/NR | 2,070,000 | 2,045,740 | |||||||||
14 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg California Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||||
Monterey County COP, 5.00% due 8/1/2014 (Refinancing Project; Insured: AGM) | AA/Aa3 | $ | 2,000,000 | $ | 2,168,640 | |||||||
Moorpark California Mobile Home Park, 4.90% due 5/15/2017 (Villa Del Arroyo) | BBB/NR | 1,160,000 | 1,201,145 | |||||||||
Northern California Power Agency, 4.00% due 7/1/2015 | A/A2 | 500,000 | 543,685 | |||||||||
Northern California Power Agency, 5.00% due 7/1/2016 | A/A2 | 500,000 | 576,740 | |||||||||
Northern California Power Agency, 5.00% due 7/1/2017 | A/A2 | 100,000 | 117,315 | |||||||||
Northern California Power Agency, 5.00% due 7/1/2018 | A/A2 | 1,250,000 | 1,483,887 | |||||||||
Northern California Power Agency, 5.00% due 6/1/2019 (Lodi Energy Center) | NR/NR | 2,340,000 | 2,761,762 | |||||||||
Norwalk Redevelopment Agency Tax Allocation, 5.00% due 10/1/2014 (Insured: Natl-Re) | BBB/Baa2 | 625,000 | 665,344 | |||||||||
Orange County Public Finance Authority, 5.375% due 6/1/2015 (Juvenile Justice Center; Insured: AMBAC) | A+/Aa3 | 1,000,000 | 1,017,910 | |||||||||
Oxnard Financing Authority Solid Waste, 5.25% due 6/1/2014 (Insured: Natl-Re/FGIC) | BBB/NR | 1,000,000 | 1,047,070 | |||||||||
Oxnard Financing Authority Waste Water, 5.00% due 5/1/2013 (Insured: AMBAC) (AMT) | A-/NR | 2,115,000 | 2,182,024 | |||||||||
Palomar Pomerado Health GO, 0% due 8/1/2019 (Insured: AGM) | AA-/Aa3 | 2,000,000 | 1,551,440 | |||||||||
Palomar Pomerado Health GO, 0% due 8/1/2021 (Insured: Natl-Re) | A+/A1 | 2,635,000 | 1,812,722 | |||||||||
Pittsburg Redevelopment Agency Tax Allocation, 5.00% due 8/1/2020 (Los Medanos Community Development Project; Insured: Natl-Re) | A+/Baa2 | 1,205,000 | 1,244,114 | |||||||||
Redding Electrical Systems Revenue COP, 5.00% due 6/1/2020 (Insured: AGM) | NR/Aa3 | 2,500,000 | 2,920,550 | |||||||||
Richmond Joint Powers Financing Authority, 5.25% due 5/15/2013 | A+/NR | 205,000 | 205,416 | |||||||||
Ridgecrest Redevelopment Agency, 5.00% due 6/30/2016 (Ridgecrest Redevelopment Project) | A-/Baa2 | 1,055,000 | 1,135,496 | |||||||||
Ridgecrest Redevelopment Agency, 5.00% due 6/30/2017 (Ridgecrest Redevelopment Project) | A-/Baa2 | 1,055,000 | 1,135,539 | |||||||||
Ridgecrest Redevelopment Agency, 5.25% due 6/30/2018 (Ridgecrest Redevelopment Project) | A-/Baa2 | 1,050,000 | 1,137,937 | |||||||||
Ridgecrest Redevelopment Agency, 5.50% due 6/30/2019 (Ridgecrest Redevelopment Project) | A-/Baa2 | 1,050,000 | 1,153,120 | |||||||||
Ridgecrest Redevelopment Agency, 5.50% due 6/30/2020 (Ridgecrest Redevelopment Project) | A-/Baa2 | 1,040,000 | 1,140,589 | |||||||||
Riverside County Palm Desert Financing Authority, 5.00% due 5/1/2013 | AA-/A2 | 1,000,000 | 1,044,730 | |||||||||
Riverside County Public Financing Authority, 3.625% due 10/1/2012 (Jurupa Valley Desert & Interstate 215; Insured: Natl-Re) | BBB/Baa1 | 1,245,000 | 1,258,297 | |||||||||
Rosemead Community Development Commission, 5.00% due 10/1/2015 (Redevelopment Project Area No. 1; Insured: AMBAC) | A+/NR | 1,015,000 | 1,086,385 | |||||||||
Roseville Natural Gas Financing Authority, 5.00% due 2/15/2017 | A-/Baa1 | 1,390,000 | 1,491,248 | |||||||||
Sacramento City Financing Authority, 0% due 11/1/2014 (Insured: Natl-Re) | BBB/Baa2 | 3,450,000 | 3,195,114 | |||||||||
Sacramento Cogeneration Authority, 5.00% due 7/1/2015 (Procter & Gamble Project) | A+/A1 | 1,100,000 | 1,232,935 | |||||||||
Sacramento Cogeneration Authority, 5.00% due 7/1/2019 (Procter & Gamble Project) | A+/A1 | 625,000 | 738,256 | |||||||||
Sacramento County Sanitation Districts Financing Authority, 0.20% due 12/1/2039 put 4/2/2012 (LOC: Morgan Stanley) (daily demand notes) | AAA/Aa1 | 6,500,000 | 6,500,000 | |||||||||
Sacramento Municipal Utility District, 5.00% due 7/1/2020 (Cosumnes Project; Insured: Natl-Re) | BBB/Baa2 | 3,000,000 | 3,240,240 | |||||||||
San Bernardino County Community Facilities District, 5.20% due 9/1/2012 | NR/NR | 205,000 | 207,878 | |||||||||
San Bernardino County Community Facilities District, 5.30% due 9/1/2013 | NR/NR | 300,000 | 309,771 | |||||||||
San Diego Redevelopment Agency, 5.25% due 9/1/2015 (Centre City Redevelopment; Insured: AGM) | AA-/Aa3 | 1,375,000 | 1,393,920 | |||||||||
San Diego Redevelopment Agency, 5.00% due 9/1/2018 (Centre City Redevelopment; Insured: AMBAC) | NR/A3 | 3,215,000 | 3,467,731 | |||||||||
San Diego Redevelopment Agency, 0% due 9/1/2019 (Capital Appreciation-Tax Allocation; Insured: AGM) | AA-/Aa3 | 1,910,000 | 1,502,253 | |||||||||
San Diego Redevelopment Agency, 5.80% due 11/1/2021 (Sub Tax Allocation-Horton Plaza) | A-/Baa3 | 2,635,000 | 2,650,968 | |||||||||
San Diego USD GO, 5.50% due 7/1/2020 (Election 1998; Insured: Natl-Re) | AA-/Aa2 | 1,390,000 | 1,743,950 | |||||||||
San Francisco City & County Airports Commission, 4.00% due 5/1/2013 | A+/A1 | 500,000 | 519,095 | |||||||||
San Francisco City & County COP, 5.00% due 11/1/2022 | AA-/A1 | 700,000 | 780,507 | |||||||||
San Francisco City & County Redevelopment Agency, 0% due 7/1/2013 (George R. Moscone) | AA-/Aa3 | 1,200,000 | 1,190,580 | |||||||||
San Francisco City & County Redevelopment Agency, 5.25% due 8/1/2013 (San Francisco Redevelopment Project; Insured: Natl-Re/FGIC) | A/A2 | 1,250,000 | 1,320,025 | |||||||||
San Francisco City & County Redevelopment Agency, 5.25% due 8/1/2014 (San Francisco Redevelopment Project; Insured: Natl-Re/FGIC) | A/A2 | 2,000,000 | 2,095,880 | |||||||||
San Joaquin County COP, 5.50% due 11/15/2013 (Capital Facilities; Insured: Natl-Re) | BBB/Baa2 | 690,000 | 707,733 | |||||||||
San Joaquin Delta Community College District GO, 0% due 8/1/2019 (Insured: AGM) | AA-/Aa2 | 5,000,000 | 3,848,550 | |||||||||
Certified Semi-Annual Report 15
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg California Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||||
San Jose Financing Authority Lease, 5.25% due 6/1/2016 (Civic Center Project; Insured: AMBAC) | AA+/Aa3 | $ | 500,000 | $ | 503,600 | |||||||
San Luis & Delta-Mendota Water Authority, 4.50% due 3/1/2014 (Water Utility Improvements) | A+/NR | 2,000,000 | 2,126,780 | |||||||||
San Mateo Flood Control District COP, 5.25% due 8/1/2017 (Colma Creek; Insured: Natl-Re) | BBB/Baa2 | 1,000,000 | 1,001,380 | |||||||||
San Mateo Union High School District GO Unlimited, 0% due 9/1/2019 (Capital Appreciation-Election of 2000-B; Insured: Natl-Re/FGIC) | AA/Aa1 | 2,000,000 | 1,650,800 | |||||||||
Santa Ana Financing Authority, 6.25% due 7/1/2018 (Police Administration & Holding Facility; Insured: Natl-Re) | BBB/Baa2 | 2,000,000 | 2,299,080 | |||||||||
Santa Ana USD GO, 0% due 8/1/2020 (Election of 1999; Insured: Natl-Re/FGIC) | A+/NR | 2,035,000 | 1,509,461 | |||||||||
Santa Clara County Financing Authority, 5.00% due 5/15/2012 (Multiple Facilities) | AA/Aa2 | 1,000,000 | 1,006,020 | |||||||||
Santa Clara County Financing Authority, 4.00% due 5/15/2017 (Multiple Facilities) | AA/Aa2 | 1,000,000 | 1,119,720 | |||||||||
Santa Margarita-Dana Point Authority, 7.25% due 8/1/2013 (Improvement Districts 3-3A, 4-4A; Insured: Natl-Re) | BBB/Baa2 | 2,000,000 | 2,136,000 | |||||||||
Seal Beach Redevelopment Agency Mobile Home Park, 5.20% due 12/15/2013 (Insured: ACA) | NR/NR | 245,000 | 249,258 | |||||||||
Solano County COP, 5.00% due 11/15/2013 | AA-/A1 | 1,780,000 | 1,900,559 | |||||||||
Solano County COP, 5.00% due 11/15/2016 | AA-/A1 | 1,000,000 | 1,142,240 | |||||||||
Southeast Resource Recovery Facilities Authority, 5.375% due 12/1/2013 (Insured: AMBAC) (AMT) | A+/A1 | 1,060,000 | 1,118,798 | |||||||||
Southeast Resource Recovery Facilities Authority, 5.25% due 12/1/2017 (Insured: AMBAC) | A+/A1 | 1,000,000 | 1,053,580 | |||||||||
Southern California Public Power Authority, 6.75% due 7/1/2012 (Multiple Projects; Insured: AGM) | AA-/Aa3 | 2,315,000 | 2,353,290 | |||||||||
Southern California Public Power Authority, 5.00% due 11/1/2013 (Project No. 1) | BBB/Baa1 | 1,000,000 | 1,066,550 | |||||||||
Southern California Public Power Authority, 0% due 7/1/2015 (Insured: Natl-Re) | AA-/Aa3 | 1,500,000 | 1,434,420 | |||||||||
Southern California Public Power Authority, 5.15% due 7/1/2015 (Insured: AMBAC) | NR/Aa3 | 450,000 | 495,572 | |||||||||
Southern California Public Power Authority, 5.15% due 7/1/2015 (Insured: AMBAC) | NR/Aa3 | 250,000 | 275,410 | |||||||||
Southern California Public Power Authority, 5.00% due 7/1/2016 (Southern Transmission Project) | AA-/NR | 2,000,000 | 2,327,700 | |||||||||
Sweetwater Union High School District COP, 4.00% due 9/1/2014 (Insured: Natl-Re) | BBB/Baa2 | 1,020,000 | 1,064,492 | |||||||||
Sweetwater Union High School District COP, 5.00% due 9/1/2021 (Insured: AGM) | AA-/Aa3 | 2,250,000 | 2,300,895 | |||||||||
Tracy Area Public Facilities Financing Agency Special Tax, 5.875% due 10/1/2019 (Community Facilities District No. 87) | BBB/Baa2 | 590,000 | 595,717 | |||||||||
Tuolumne Wind Project Authority, 5.00% due 1/1/2015 (Tuolumne Co.) | A+/A2 | 500,000 | 552,580 | |||||||||
Tuolumne Wind Project Authority, 5.00% due 1/1/2018 (Tuolumne Co.) | A+/A2 | 1,690,000 | 1,974,173 | |||||||||
Turlock Irrigation District, 5.00% due 1/1/2015 | A+/A2 | 1,125,000 | 1,247,839 | |||||||||
Turlock Irrigation District, 5.00% due 1/1/2019 | A+/A2 | 1,000,000 | 1,177,530 | |||||||||
Tustin Community Redevelopment Agency, 3.50% due 9/1/2014 (Public Improvements; Insured: AGM) | AA-/NR | 760,000 | 803,107 | |||||||||
Twin Rivers USD COP, 3.50% due 6/1/2041 put 5/31/2013 (School Improvements; Insured: AGM) | AA-/NR | 2,000,000 | 2,002,060 | |||||||||
Twin Rivers USD GO, 0% due 4/1/2014 | SP-1/NR | 1,000,000 | 973,320 | |||||||||
Ukiah USD GO, 0% due 8/1/2019 (Insured: Natl-Re) | A/A1 | 2,000,000 | 1,588,940 | |||||||||
University of California, 4.00% due 5/15/2017 (Limited Project) | AA-/Aa2 | 1,250,000 | 1,416,662 | |||||||||
Upper Lake Union High School District GO, 0% due 8/1/2020 (Capital Appreciation; Insured: Natl-Re) | NR/Baa2 | 1,050,000 | 703,973 | |||||||||
Val Verde USD COP, 5.00% due 1/1/2014 (Insured: Natl-Re/FGIC) (ETM) | NR/NR | 445,000 | 481,041 | |||||||||
Washington USD COP, 5.00% due 8/1/2017 (New High School; Insured: AMBAC) | A/NR | 725,000 | 810,768 | |||||||||
Washington USD Yolo County, 5.00% due 8/1/2021 (New High School; Insured: AMBAC) | A/NR | 910,000 | 979,360 | |||||||||
West Contra Costa USD GO, 3.00% due 8/1/2012 (Insured: AGM) | AA-/Aa3 | 750,000 | 755,978 | |||||||||
West Contra Costa USD GO, 4.00% due 8/1/2013 (Insured: AGM) | AA-/Aa3 | 500,000 | 519,580 | |||||||||
Whittier Solid Waste, 5.375% due 8/1/2014 (Insured: AMBAC) | NR/NR | 540,000 | 541,026 | |||||||||
|
| |||||||||||
TOTAL INVESTMENTS — 96.65% (Cost $319,913,911) | $ | 334,351,005 | ||||||||||
OTHER ASSETS LESS LIABILITIES — 3.35% | 11,603,661 | |||||||||||
|
| |||||||||||
NET ASSETS — 100.00% | $ | 345,954,666 | ||||||||||
|
| |||||||||||
16 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg California Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
Footnote Legend
| † | Credit ratings are unaudited. Rating changes may have occurred subsequent to the reporting period end. Bonds issued with a maturity of one year or less are assigned Moody’s ratings from MIG-1 to MIG-4 and Standard and Poor’s ratings from SP-1+ to SP-3 with MIG-1 and SP-1+ being the strongest ratings. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
| ACA | Insured by American Capital Access | |
| AGM | Insured by Assured Guaranty Municipal Corp. | |
| 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. | |
| FHA | Federal Housing Administration | |
| GNMA | Insured by Government National Mortgage Association | |
| GO | General Obligation | |
| HFA | Health Facilities Authority | |
| LOC | Letter of Credit | |
| Mtg | Mortgage | |
| Natl-Re | Insured by National Public Finance Guarantee Corp. | |
| PCR | Pollution Control Revenue Bond | |
| Syncora | Insured by Syncora Guarantee Inc. | |
| USD | Unified School District |
See notes to financial statements.
Certified Semi-Annual Report 17
| STATEMENT OF ASSETS AND LIABILITIES | ||
| Thornburg California Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
ASSETS | ||||
Investments at value (cost $319,913,911) (Note 2) | $ | 334,351,005 | ||
Cash | 6,070,118 | |||
Receivable for investments sold | 4,283,270 | |||
Receivable for fund shares sold | 1,725,903 | |||
Interest receivable | 3,441,858 | |||
Prepaid expenses and other assets | 1,344 | |||
|
| |||
Total Assets | 349,873,498 | |||
|
| |||
LIABILITIES | ||||
Payable for fund shares redeemed | 3,460,885 | |||
Payable to investment advisor and other affiliates (Note 3) | 221,924 | |||
Accounts payable and accrued expenses | 30,593 | |||
Dividends payable | 205,430 | |||
|
| |||
Total Liabilities | 3,918,832 | |||
|
| |||
NET ASSETS | $ | 345,954,666 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Undistributed net investment income | $ | 88 | ||
Net unrealized appreciation on investments | 14,437,094 | |||
Accumulated net realized gain (loss) | 362,136 | |||
Net capital paid in on shares of beneficial interest | 331,155,348 | |||
|
| |||
| $ | 345,954,666 | |||
|
| |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($138,987,109 applicable to 10,217,066 shares of beneficial interest outstanding—Note 4) | $ | 13.60 | ||
Maximum sales charge, 1.50% of offering price | 0.21 | |||
|
| |||
Maximum offering price per share | $ | 13.81 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($51,190,296 applicable to 3,759,856 shares of beneficial interest outstanding—Note 4) | $ | 13.61 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($155,777,261 applicable to 11,440,554 shares of beneficial interest outstanding—Note 4) | $ | 13.62 | ||
|
| |||
| * | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
18 Certified Semi-Annual Report
| STATEMENT OF OPERATIONS | ||
| Thornburg California Limited Term Municipal Fund | Six Months Ended March 31, 2012 (Unaudited) | |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $1,469,960) | $ | 5,165,221 | ||
|
| |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 777,411 | |||
Administration fees (Note 3) | ||||
Class A Shares | 80,883 | |||
Class C Shares | 30,612 | |||
Class I Shares | 33,143 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 161,766 | |||
Class C Shares | 123,113 | |||
Transfer agent fees | ||||
Class A Shares | 16,487 | |||
Class C Shares | 10,627 | |||
Class I Shares | 11,479 | |||
Registration and filing fees | ||||
Class A Shares | 18 | |||
Class C Shares | 19 | |||
Class I Shares | 19 | |||
Custodian fees (Note 3) | 38,440 | |||
Professional fees | 13,558 | |||
Accounting fees | 3,888 | |||
Trustee fees | 4,275 | |||
Other expenses | 16,390 | |||
|
| |||
Total Expenses | 1,322,128 | |||
Less: | ||||
Fees paid indirectly (Note 3) | (894 | ) | ||
|
| |||
Net Expenses | 1,321,234 | |||
|
| |||
Net Investment Income | 3,843,987 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | 362,136 | |||
Net change in unrealized appreciation (depreciation) on investments | 3,951,384 | |||
|
| |||
Net Realized and Unrealized Gain | 4,313,520 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 8,157,507 | ||
|
| |||
See notes to financial statements.
Certified Semi-Annual Report 19
| STATEMENTS OF CHANGES IN NET ASSETS |
| Thornburg California Limited Term Municipal Fund |
| Six Months Ended March 31, 2012* | Year Ended September 30, 2011 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 3,843,987 | $ | 7,152,466 | ||||
Net realized gain (loss) on investments | 362,136 | 230,108 | ||||||
Net unrealized appreciation (depreciation) on investments | 3,951,384 | 752,244 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 8,157,507 | 8,134,818 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (1,537,765 | ) | (3,228,051 | ) | ||||
Class C Shares | (515,466 | ) | (1,034,416 | ) | ||||
Class I Shares | (1,790,756 | ) | (2,889,999 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 13,246,100 | 8,719,932 | ||||||
Class C Shares | 4,590,684 | 3,784,147 | ||||||
Class I Shares | 33,304,616 | 41,213,163 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 55,454,920 | 54,699,594 | ||||||
NET ASSETS: | ||||||||
Beginning of Period | 290,499,746 | 235,800,152 | ||||||
|
|
|
| |||||
End of Period | $ | 345,954,666 | $ | 290,499,746 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 88 | $ | 88 | ||||
| * | Unaudited. |
See notes to financial statements.
20 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS | ||
| Thornburg California Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
NOTE 1 – ORGANIZATION
Thornburg California Limited Term 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 Fund is currently one of sixteen separate series of the Trust. 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). 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 of purchase, 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 may be subject to a service fee, 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 Investments: Debt obligations 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, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
In any case where a pricing service fails to provide a price for a debt obligation held by the Fund, the valuation and pricing committee determines a fair value for the obligation using procedures approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt obligation 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 obligation.
In determining fair value for any portfolio security or other investment, the valuation and pricing committee seeks to determine the amount that an owner of the investment might reasonably expect to receive upon a sale of the investment. However, because fair value prices are estimated prices, the valuation and pricing committee’s determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Fund’s financial statements. The valuation and pricing committee’s determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation Measurements: Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three levels listed below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment rates, credit risk, etc.).
Level 3: Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
Certified Semi-Annual Report 21
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg California Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
The following table displays a summary of the inputs used to value the Fund’s net assets as of March 31, 2012. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
| XXXX,XXXX | XXXX,XXXX | XXXX,XXXX | XXXX,XXXX | |||||||||||||
| Fair Value Measurements at March 31, 2012 | ||||||||||||||||
| Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities | ||||||||||||||||
Municipal Bonds | $ | 334,351,005 | $ | — | $ | 334,351,005 | $ | — | ||||||||
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| |||||||||
Total Investments in Securities | $ | 334,351,005 | $ | — | $ | 334,351,005 | $ | — | ||||||||
Other Notes: It is the policy of the Fund to recognize significant transfers between Levels 1, 2 and 3 and to disclose those transfers as of the date of the underlying event which caused the movement. The Fund recognized no significant transfers between levels for the six months ended March 31, 2012.
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 to shareholders substantially all taxable (if any) and tax exempt income of the Fund. Therefore, no provision for federal income tax is required.
Management reviews each uncertain tax position believed to be material to the preparation of the Fund’s financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of March 31, 2012, management has not identified any such position for which a liability must be reflected in the Statement of Assets and Liabilities. The Fund’s tax returns remain subject to examination for three years after filing.
When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with 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 Fund makes a commitment to purchase a security on a when-issued or delayed delivery 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 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
22 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg California Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
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, 2012, 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, 2012, 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 $2,199 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. For the six months ended March 31, 2012, there were no 12b-1 service plan fees charged for Class I shares. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
The Trust has also adopted a distribution plan pursuant to Rule 12b-1, applicable only to the Fund’s Class C shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C shares of the Fund at an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class C shares. Total fees incurred by the Fund for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2012, 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 are 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, 2012, fees paid indirectly were $894.
Certain officers and Trustees of the Trust are also officers 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, 2012, 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, 2012 (Unaudited) | Year Ended September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 1,771,754 | $ | 23,991,305 | 2,623,333 | $ | 34,563,347 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 85,447 | 1,156,698 | 155,786 | 2,053,355 | ||||||||||||
Shares repurchased | (881,376 | ) | (11,901,903 | ) | (2,115,963 | ) | (27,896,770 | ) | ||||||||
|
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| |||||||||
Net increase (decrease) | 975,825 | $ | 13,246,100 | 663,156 | $ | 8,719,932 | ||||||||||
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Certified Semi-Annual Report 23
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg California Limited Term Municipal Fund | March 31, 2012 (Unaudited) | |
| Six Months Ended March 31, 2012 (Unaudited) | Year Ended September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 696,910 | $ | 9,426,329 | 995,972 | $ | 13,168,906 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 27,236 | 369,008 | 51,658 | 681,227 | ||||||||||||
Shares repurchased | (384,385 | ) | (5,204,653 | ) | (765,757 | ) | (10,065,986 | ) | ||||||||
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| |||||||||
Net increase (decrease) | 339,761 | $ | 4,590,684 | 281,873 | $ | 3,784,147 | ||||||||||
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Class I Shares | ||||||||||||||||
Shares sold | 3,357,774 | $ | 45,622,837 | 5,116,896 | $ | 67,639,490 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 76,277 | 1,033,886 | 119,897 | 1,582,985 | ||||||||||||
Shares repurchased | (986,144 | ) | (13,352,107 | ) | (2,136,868 | ) | (28,009,312 | ) | ||||||||
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| |||||||||
Net increase (decrease) | 2,447,907 | $ | 33,304,616 | 3,099,925 | $ | 41,213,163 | ||||||||||
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NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2012, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $52,067,011 and $26,783,008, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2012, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 319,913,911 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 14,611,142 | ||
Gross unrealized depreciation on a tax basis | (174,048 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 14,437,094 | ||
|
|
The Regulated Investment Company Modernization Act of 2010 (the “Act”) was signed into law on December 22, 2010. The Act makes changes to a number of tax rules impacting the Fund. Under the Act, future capital losses generated by the Fund may be carried over indefinitely, but these losses must be used prior to the utilization of any pre-enactment capital losses. Since pre-enactment capital losses may only be carried forward for eight years, there may be a greater likelihood that all or a portion of a Fund’s pre-enactment capital losses will expire unused. In general, the provisions of the Act will be effective for the Fund’s fiscal year ending September 30, 2012.
OTHER NOTES:
Risks: The Fund’s investments subject it to risks including, but not limited to, credit risk, interest rate risk, management risk, market and economic risk, liquidity risk, and the risks of investing primarily in the obligations of a single state. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund.
Subsequent Events: Fund management believes no events have occurred between March 31, 2012 and the date of issuance of the financial statements, which require adjustment to, or disclosure in the accompanying financial statements.
24 Certified Semi-Annual Report
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Certified Semi-Annual Report 25
Thornburg California Limited Term Municipal Fund
| PER SHARE PERFORMANCE (for a share outstanding throughout the Period)+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless | Net Asset Value Beginning of Period | Net Investment Income (Loss) | Net Realized & Unrealized Gain (Loss) on Investments | Total from Investment Operations | Dividends from Net Investment Income | Dividends from Net Realized Gains | Total Dividends | Net | Net Investment Income (Loss) (%) | Expenses, After Expense Reductions (%) | Expenses, After Expense Reductions and Net of Custody Credits (%) | Expenses, Before Expense Reductions (%) | Total Return (%)(a) | Portfolio Turnover Rate (%) | Net Assets at End of Period (Thousands) | |||||||||||||||||||||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b)(c) | $ | 13.41 | 0.16 | 0.19 | 0.35 | (0.16 | ) | — | (0.16 | ) | $13.60 | 2.38 | (d) | 0.95 | (d) | 0.95 | (d) | 0.95 | (d) | 2.63 | 9.22 | $ | 138,987 | |||||||||||||||||||||||||||||||||||
2011(c) | $ | 13.38 | 0.36 | 0.03 | 0.39 | (0.36 | ) | — | (0.36 | ) | $13.41 | 2.71 | 0.96 | 0.96 | 0.96 | 2.98 | 13.33 | $ | 123,910 | |||||||||||||||||||||||||||||||||||||||
2010(c) | $ | 13.09 | 0.39 | 0.29 | 0.68 | (0.39 | ) | — | (0.39 | ) | $13.38 | 2.94 | 0.97 | 0.97 | 0.97 | 5.29 | 13.69 | $ | 114,813 | |||||||||||||||||||||||||||||||||||||||
2009(c) | $ | 12.49 | 0.44 | 0.60 | 1.04 | (0.44 | ) | — | (0.44 | ) | $13.09 | 3.48 | 0.98 | 0.98 | 0.99 | 8.50 | 44.06 | $ | 79,455 | |||||||||||||||||||||||||||||||||||||||
2008(c) | $ | 12.73 | 0.42 | (0.24 | ) | 0.18 | (0.42 | ) | — | (0.42 | ) | $12.49 | 3.32 | 1.00 | 0.98 | 1.00 | 1.42 | 34.88 | $ | 66,023 | ||||||||||||||||||||||||||||||||||||||
2007(c) | $ | 12.77 | 0.43 | (0.04 | ) | 0.39 | (0.43 | ) | — | (0.43 | ) | $12.73 | 3.37 | 0.99 | 0.99 | 1.01 | 3.10 | 22.71 | $ | 67,183 | ||||||||||||||||||||||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 13.42 | 0.14 | 0.19 | 0.33 | (0.14 | ) | — | (0.14 | ) | $13.61 | 2.10 | (d) | 1.22 | (d) | 1.22 | (d) | 1.22 | (d) | 2.49 | 9.22 | $ | 51,191 | |||||||||||||||||||||||||||||||||||
2011 | $ | 13.40 | 0.32 | 0.02 | 0.34 | (0.32 | ) | — | (0.32 | ) | $13.42 | 2.45 | 1.22 | 1.22 | 1.22 | 2.63 | 13.33 | $ | 45,897 | |||||||||||||||||||||||||||||||||||||||
2010 | $ | 13.10 | 0.35 | 0.30 | 0.65 | (0.35 | ) | — | (0.35 | ) | $13.40 | 2.67 | 1.23 | 1.23 | 1.74 | 5.09 | 13.69 | $ | 42,039 | |||||||||||||||||||||||||||||||||||||||
2009 | $ | 12.50 | 0.41 | 0.60 | 1.01 | (0.41 | ) | — | (0.41 | ) | $13.10 | 3.23 | 1.24 | 1.24 | 1.76 | 8.22 | 44.06 | $ | 26,004 | |||||||||||||||||||||||||||||||||||||||
2008 | $ | 12.74 | 0.39 | (0.24 | ) | 0.15 | (0.39 | ) | — | (0.39 | ) | $12.50 | 3.06 | 1.26 | 1.24 | 1.78 | 1.16 | 34.88 | $ | 15,963 | ||||||||||||||||||||||||||||||||||||||
2007 | $ | 12.78 | 0.40 | (0.04 | ) | 0.36 | (0.40 | ) | — | (0.40 | ) | $12.74 | 3.13 | 1.24 | 1.23 | 1.79 | 2.85 | 22.71 | $ | 14,449 | ||||||||||||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 13.42 | 0.18 | 0.20 | 0.38 | (0.18 | ) | — | (0.18 | ) | $13.62 | 2.70 | (d) | 0.62 | (d) | 0.62 | (d) | 0.62 | (d) | 2.87 | 9.22 | $ | 155,777 | |||||||||||||||||||||||||||||||||||
2011 | $ | 13.40 | 0.40 | 0.02 | 0.42 | (0.40 | ) | — | (0.40 | ) | $13.42 | 3.03 | 0.63 | 0.62 | 0.63 | 3.24 | 13.33 | $ | 120,693 | |||||||||||||||||||||||||||||||||||||||
2010 | $ | 13.10 | 0.43 | 0.30 | 0.73 | (0.43 | ) | — | (0.43 | ) | $13.40 | 3.27 | 0.63 | 0.63 | 0.63 | 5.72 | 13.69 | $ | 78,948 | |||||||||||||||||||||||||||||||||||||||
2009 | $ | 12.50 | 0.48 | 0.60 | 1.08 | (0.48 | ) | — | (0.48 | ) | $13.10 | 3.81 | 0.65 | 0.65 | 0.65 | 8.86 | 44.06 | $ | 41,186 | |||||||||||||||||||||||||||||||||||||||
2008 | $ | 12.74 | 0.47 | (0.24 | ) | 0.23 | (0.47 | ) | — | (0.47 | ) | $12.50 | 3.66 | 0.65 | 0.63 | 0.65 | 1.77 | 34.88 | $ | 41,814 | ||||||||||||||||||||||||||||||||||||||
2007 | $ | 12.78 | 0.47 | (0.04 | ) | 0.43 | (0.47 | ) | — | (0.47 | ) | $12.74 | 3.71 | 0.66 | 0.65 | 0.68 | 3.44 | 22.71 | $ | 31,918 | ||||||||||||||||||||||||||||||||||||||
| (a) | Not annualized for periods less than one year. |
| (b) | Unaudited Six Month Period Ended March 31. |
| (c) | Sales loads are not reflected in computing total return. |
| (d) | Annualized. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
| 26 Certified Semi-Annual Report | Certified Semi-Annual Report 27 |
| EXPENSE EXAMPLE | ||
| Thornburg California Limited Term Municipal Fund | March 31, 2012 (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 a $1,000 investment beginning on October 1, 2011, and held until March 31, 2012.
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 10/1/11 | Ending Account Value 3/31/12 | Expenses Paid During Period† 10/1/11–3/31/12 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,026.30 | $ | 4.81 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.25 | $ | 4.79 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,024.90 | $ | 6.18 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.90 | $ | 6.16 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,028.70 | $ | 3.12 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,021.92 | $ | 3.11 | ||||||
| † | Expenses are equal to the annualized expense ratio for each class (A: 0.95%; C:1.22%; 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.
28 Certified Semi-Annual Report
| OTHER INFORMATION | ||
| Thornburg California Limited Term Municipal Fund | March 31, 2012 (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. A description of the Policy 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 29
Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
September 13, 2011
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.
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.
APPOINTMENT OF TRUSTEE
The Trustees have appointed Sally Corning of Santa Fe, New Mexico as a Trustee, effective May 7, 2012. Ms. Corning is a founding partner of Sun Mountain Capital, Santa Fe, which advises clients in making investments in private equity partnerships and invests directly in private companies. Ms. Corning was formerly employed by Credit Suisse First Boston, Morgan Stanley and Dean Witter Reynolds. She received her BSBA from Georgetown University and her MBA from the Columbia University Graduate School of Business.
30 This page is not part of the Semi-Annual Report.
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 website 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 Developing World 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 Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We are very organic in our approach, avoiding leverage or complex strategies which could backfire in periods of market uncertainty.
| • | Thornburg Intermediate Municipal Fund |
| • | Thornburg California Limited Term Municipal Fund |
| • | Thornburg New Mexico Intermediate Municipal Fund |
| • | Thornburg New York Intermediate Municipal Fund |
| • | Thornburg Strategic Municipal Income Fund |
| • | Thornburg Limited Term U.S. Government Fund |
| • | Thornburg Limited Term Income Fund |
| • | Thornburg Strategic Income Fund |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
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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. | 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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Important Information
The information presented on the following pages was current as of March 31, 2012. The managers’ views, portfolio holdings, and sector diversification are provided for the general information of the Fund’s shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. 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. Bond funds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The principal value of bonds 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 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. The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
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.
Minimum investments for Class I shares are higher than those for other classes. Class I shares may not be available to all investors.
Share Class | NASDAQ Symbol | Cusip | ||
Class A | THNMX | 885-215-301 | ||
Class D | THNDX | 885-215-624 | ||
Class I | THNIX | 885-215-285 |
Lipper’s 2012 Best Fixed Income Funds Manager
Thornburg Investment Management ranked #1 out of 41 eligible firms in Lipper, Inc.’s fixed income Large Company universe for the three-year period ended 11/30/11, based on risk-adjusted returns. Lipper’s Large Company universe is comprised of fund families with more than $40 billion in total net assets. Only fund families with at least five bond funds were eligible for the fixed income funds manager award. Asset Class Group Awards are given for the three-year period only.
Glossary
BofA Merrill Lynch 3-15 Year U.S. Municipal Securities Index – This index is a subset of the BofA Merrill Lynch U.S. Municipal Securities Index including all securities with a remaining term to final maturity greater than or equal to 3 years and less than 15 years.
BofA Merrill Lynch 7-12 Year U.S. Municipal Securities Index – This index is a subset of the BofA Merrill Lynch U.S. Municipal Securities Index including all securities with a remaining term to final maturity greater than or equal to 7 years and less than 12 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.
Alternative Minimum Tax (AMT) – A federal tax aimed at ensuring that high-income individuals, estates, trusts, and corporations pay a minimal level income tax. For individuals, the AMT is calculated by adding tax preference items to regular taxable income.
Annualized Distribution Yield – The distribution yield reflects actual distributions made to shareholders. The annualized distribution yield is calculated by summing the last 30 days of income at a given month end and annualizing to a 360-day year. The result is divided by the ending maximum offering price or net asset value.
Basis Point (bps) – A unit equal to 1/100th of 1%. 1% = 100 basis points (bps).
Bond Credit Ratings – A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C, and D (the lowest) are considered below investment grade, speculative grade, or junk bonds. Unless otherwise noted, the ratings listed are from Municipal Market Data and are a combination of ratings from Standard and Poor’s, Moody’s Investors Service, and Fitch Ratings.
Duration – A bond’s sensitivity to interest rates. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
Effective Duration – A bond’s sensitivity to interest rates, incorporating the embedded option features, such as call provisions. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
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.
General Obligation Bond – A municipal bond backed by the credit and “taxing power” of the issuing jurisdiction rather than the revenue from a given project.
Gross Domestic Product (GDP) – A country’s income minus foreign investments: the total value of all goods and services produced within a country in a year, minus net income from investments in other countries.
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Important Information,
Continued
Quantitative Easing – The Federal Reserve’s monetary policy used to stimulate the U.S. economy following the recession that began in 2007/08.
Rolling Returns – Rolling returns are useful for examining the behavior of returns for holding periods similar to those actually experienced by investors. Rolling performance periods are generally two- or three-year periods, updated monthly or quarterly.
SEC Yield – SEC yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Fund’s shares at the end of the period.
Treasuries – 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 taxes.
4 This page is not part of the Semi-Annual Report.
Thornburg New Mexico Intermediate Municipal Fund
At Thornburg, our approach to management of the Fund is based on the premise that investors in the Fund seek preservation of capital along with an attractive, relatively stable yield. While aggressive bond strategies may generate stronger returns when the market is turning a blind eye towards risk, they often fail to stack up over longer periods of time.
We apply time-tested techniques to manage risk and provide attractive returns. These include:
| • | Building a laddered portfolio. Laddering has been shown over time to mitigate reinvestment and interest-rate risk. |
| • | Investing on a cash-only basis without using leverage. While leveraged strategies may enhance returns when market conditions are favorable, they can quickly compound losses when sentiment shifts. |
| • | Conducting in-depth fundamental research on each issue and actively monitoring positions for subsequent credit events. |
| • | Diversifying among a large number of generally high-quality bonds. |
PORTFOLIO MANAGERS
Josh Gonze, Chris Ryon,CFA, and Chris Ihlefeld
IMPORTANT
PERFORMANCE INFORMATION
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.
The maximum sales charge for the Fund’s Class A shares is 2.00%. The total annual fund operating expense of Class A shares is 0.96%, as disclosed in the most recent Prospectus.
LONG-TERM STABILITY OF PRINCIPAL
Net asset value history of A shares from June 18, 1991 through March 31, 2012
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2012
| 1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception | ||||||||||||||||
A Shares (Incep: 6/18/91) | ||||||||||||||||||||
Without sales charge | 7.42 | % | 5.30 | % | 4.44 | % | 4.13 | % | 4.93 | % | ||||||||||
With sales charge | 5.27 | % | 4.58 | % | 4.01 | % | 3.92 | % | 4.82 | % | ||||||||||
30-DAY YIELDS, A SHARES As of March 31, 2012
|
| |||
| Annualized Distribution Yield | SEC Yield | |||
2.94% | 1.53 | % | ||
KEY PORTFOLIO ATTRIBUTES As of March 31, 2012
|
| |||
Number of Bonds | 128 | |||
Effective Duration | 5.3 Yrs | |||
Average Maturity | 9.0 Yrs | |||
See the entire portfolio in the Schedule of Investments beginning on page 12.
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Thornburg New Mexico Intermediate Municipal Fund
March 31, 2012
Table of Contents | ||||
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
6 Certified Semi-Annual Report
Christopher Ihlefeld Portfolio Manager
Christopher Ryon,CFA Portfolio Manager
Josh Gonze Portfolio Manager | April 13, 2012
Dear Fellow Shareholder:
We are pleased to present the semi-annual report for the Thornburg New Mexico Intermediate Municipal Fund. The net asset value (NAV) of the Class A shares increased by 4 cents to $13.76 per share during the six months ended March 31, 2012. If you were with us for the entire period, you received dividends of 21.3 cents per share. If you reinvested your dividends, you received 21.5 cents per share. Dividends per share were lower for Class D shares and higher for Class I shares to account for varying class-specific expenses. The Class A shares of your Fund produced a total return of 1.93% at NAV over the six months ended March 31, 2012, compared to the 3.31% for the BofA Merrill Lynch 3–15 Year U.S. Municipal Securities Index and 3.87% for the BofA Merrill Lynch 7–12 Year U.S. Municipal Securities Index. The 3–15 year index generated 0.55% more income and 0.83% more price appreciation than the Fund.
The index additional price appreciation is due to several factors. Our relative market sensitivity, as measured by the Fund’s duration and relative allocation to maturities within the Fund’s investment universe, added 0.22% of relative price appreciation. However, our overweight to higher credit quality securities cost the Fund negative 0.48% relative to its benchmark. Our decision to sell a deteriorating local charter school issue at a significant discount cost the Fund another negative 0.41% of relative performance. Other risk factors accounted for an additional negative 0.16%. New Mexico’s credit quality remains strong, as evidenced by the projected 2.4% growth in fiscal year 2013 recurring revenue, which will place the state 4.7% above the 2012 operating budget.
The Economy and the Federal Reserve
At the beginning of the semi-annual period in October 2011, the national economy seemed to be improving, albeit at a slow pace. Gross Domestic Product (GDP) increased from a 1.8% quarter-over-quarter increase for September 30, 2011, to a 3.0% increase in the quarter ended December 31, 2011. The economy added an average of 188,000 jobs per month for the six months ended March 31, 2012. The unemployment rate declined from 8.9% to 8.2%. The unemployment rate in New Mexico was better than the national average, fluctuating between 7.0% and 7.2% for the period. Other signs of growth came in the form of increased industrial production (up 1.31% for the period) and capacity utilization (up 1.16% for the period). Nationwide, banks were lending to businesses: commercial and industrial loan volume increased 6.7%. This is significant, because this type of lending had declined from 2007 through mid-2010. |
Certified Semi-Annual Report 7
Letter to Shareholders,
Continued
Late last year, fears of a European contagion infecting the rest of the world’s economies drove a flight to quality and a move toward lower interest rates for U.S. Treasury securities — from which the municipal market benefited. These fears seemed to have subsided by the end of the most recent quarter. The chances of the Federal Reserve Board entering into another round of so-called quantitative easing are, in our estimation, a little remote, but if you pay attention to the business media outlets, it sounds like the next big trade. In fact, within the Federal Reserve system, voices of the inflation-hawk governors are growing louder. They are saying that there is no reason for further accommodation and that policy decisions should be based on the data, and not on the calendar — a reference to the Federal Reserve (the Fed) policy statement that short-term rates will probably remain near zero until late 2014.
We share some of the views of the hawkish governors: interest rates are at historic lows and the economy is beginning to heal itself. Investors should expect an upward drift in rates. Because bond (and bond fund) prices move in a direction opposite to rates, investor expectations of future returns should be tempered by these basic facts. We believe investors should focus on the fundamentals of investing, on proper diversification, and determining that the proposed holding period of an investment matches the investment vehicle’s characteristics.
The Municipal Market
The municipal market was the beneficiary of lower U.S. Treasury yields, reduced supply of newly issued municipal bonds, and increased investor confidence. Chart I shows the quarterly returns of the BofA Merrill Lynch 3–15 Year U.S. Municipal Securities Index and the rolling two-year annualized returns for the same index. For the last year, the quarterly returns have decreased. This may be attributable to increasing investor confidence, or investors trying to capture prior-period returns, when the municipal market seemed much riskier. Cash flows into municipal bond mutual funds began to pick up in the last three months of 2011 and remained positive through the end of March 2012. While the quarterly returns are volatile, the two-year rolling annualized returns lend some perspective to formulating return expectations. We believe these data indicate municipal bond investors are more likely to benefit from a two- to three-year investment horizon, depending on the fund under consideration, with lengthier horizons for longer-maturity funds.
CHART 1: BofA MERRILL LYNCH 3–15 YEAR U.S. MUNICIPAL SECURITIES INDEX
Quarterly Returns versus Rolling Two-Year Returns
Past performance does not guarantee future results.
8 Certified Semi-Annual Report
CHART II: CHANGES IN AAA GENERAL OBLIGATION BOND YIELDS
10/1/2011 through 3/31/2012
Chart II illustrates the change in yields for AAA-rated general obligation bonds over the semi-annual reporting period; this was a continuation of a move to lower rates experienced in the last six months of 2011. It is hard to imagine interest rates moving much lower. Given the reduction in rates we have seen in the last year, we believe that the municipal market, along with most fixed income markets, is riskier today than it was this time last year. We have therefore become more defensive towards the market. We have taken several steps to position the funds for rising rates: we have raised cash and liquidity levels and have shortened the average maturity of the Funds within the context of the laddered structure.
On the bright side, the credit fundamentals of the municipal bond market continue to improve. Some local credits that are heavily dependent on real estate values are the exception; as assessed values reflect the realities of a depressed real estate market, the tax base of these credits will remain stressed. But the Census Bureau recently reported state tax revenue increased $62 billion in 2011 from a 2010 level of $702 billion — or an 8.8% increase. In New Mexico, tax revenues increased $652 million over 2010 levels, for a 15.1% increase. State budget deficits are declining as revenues increase.
New Mexico’s $450 million 2012 initial budget gap is in line with its 2011 initial budget gap but down from 2010’s initial $995 million gap.
Pension funding is a large issue in some states; as of October 24, 2011, Bloomberg News reported that the median pension funding ratio for the states in 2010 was 74.6%, down from a high of 82.8% in 2007.
CHART III: % OF PORTFOLIO MATURING
As of 3/31/12. Percentages vary over time.
Data may not add up to 100% due to rounding.
Certified Semi-Annual Report 9
Letter to Shareholders,
Continued
Nationally, pension funding levels ranged from 45.4% to 101.5%. The actuaries at the Pew Center on the States suggest a funding level of 80.0% is sufficient.
Your Thornburg New Mexico Intermediate Municipal Fund is a laddered portfolio of 128 municipal obligations as of March 31, 2012. 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 is intended to accomplish two goals. First, the staggered maturities of a laddered structure reduce interest-rate risk and ordinarily dampen the Fund’s price volatility. Laddering also is intended to reduce reinvestment risk by giving the Fund a steady cash flow stream from maturing bonds to reinvest toward the top of the ladder where yields are typically higher. Chart III describes the percentages of your Fund’s bond portfolio maturing in each of the coming years. The Fund’s adherence to the discipline of the laddered structure served investors well.
We plan to continue to search for opportunities in the municipal market, using our fundamental, bottom-up approach to portfolio management, and the discipline of the laddered structure. Thank you for the trust you have placed with us. We will continue to keep it foremost in our minds as we go forward.
A Cautionary Note
The performance of the fixed income market must be judged within the context of a long-term bull market for bonds, with interest rates slowly declining for nearly 30 years. As illustrated in Chart IV, the yield on the 10-year U.S. Treasury note has been in a downward trajectory and is currently near its all-time low. At some point, interest rates should rise, which will push bond prices down. No one can forecast precisely when this will occur, how long it will continue, or how volatile the rise will be. One of the best risk management techniques to navigate such periods of uncertainty is to maintain a well-diversified portfolio and hold it for an investment time horizon of at least two to three years. A diversified portfolio should include exposure to bonds.
CHART IV: CYCLICAL BULL MARKET FOR BONDS – 30 YEARS OF DECLINING YIELDS
Yield of 10-Year Treasury Note
The question for investors is finding the optimal approach to managing the rise in rates. A bond ladder, which Thornburg uses in all its core bond funds, is a disciplined approach to the yield curve that works well in periods of
10 Certified Semi-Annual Report
rising rates – provided that the investor has a sufficient time horizon. Ladders also allow for portfolio managers to actively manage the specific bonds, market sectors, and structural characteristics of the bonds in the portfolios.
With laddered maturities, the bonds reach maturity in a sequential fashion, with a small portion maturing annually at face value. That cash is reinvested at the top end of the ladder, where rates are highest. Imagine that interest rates increased since you purchased your shares, so the NAV has declined. But some bonds have matured and the proceeds reinvested at the new, higher interest rates. That causes the monthly dividend to rise. The dividend yield increases and the total return begins to recover. Remember total return consists of two components: dividends plus or minus change in market value of the bonds. After a period of time, depending on how much rates rise, the investor’s total return should rebound to where it would have been if rates had not increased.
Sincerely,
 |  |  | ||
Christopher Ihlefeld | Christopher Ryon,CFA | Josh Gonze | ||
Portfolio Manager | Portfolio Manager | 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.
Certified Semi-Annual Report 11
| SCHEDULE OF INVESTMENTS | ||
| Thornburg New Mexico Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
SUMMARY OF SECURITY CREDIT RATINGS†
We have used ratings from Standard & Poor’s (S&P). Where S&P ratings are not available, we have used Moody’s Investors Service. Where neither rating is available, we have used ratings from Fitch Ratings. The category of investments identified as “AAA” in this graph includes investments which are pre-refunded or escrowed to maturity. Such investments are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities to satisfy the timely payment of principal and interest and, therefore, are normally deemed to be equivalent to AAA-rated securities.
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Albuquerque Airport, 5.50% due 7/1/2013 | A/A2 | $ | 4,000,000 | $ | 4,217,000 | |||||
Albuquerque GRT, 5.00% due 7/1/2021 | AAA/Aa2 | 1,340,000 | 1,575,961 | |||||||
Albuquerque GRT, 5.00% due 7/1/2021 | AAA/Aa2 | 3,000,000 | 3,528,270 | |||||||
Albuquerque IDRB, 5.15% due 4/1/2016 (MCT Industries Inc.; LOC: Bank of the West) (AMT) | NR/A2 | 820,000 | 844,026 | |||||||
Albuquerque IDRB, 5.25% due 4/1/2017 (MCT Industries Inc.; LOC: Bank of the West) (AMT) | NR/A2 | 2,140,000 | 2,200,284 | |||||||
Bernalillo County GRT, 5.25% due 10/1/2012 | AAA/Aa2 | 1,000,000 | 1,025,340 | |||||||
Bernalillo County GRT, 5.00% due 4/1/2021 (Insured: Natl-Re) | AAA/Aa2 | 3,000,000 | 3,523,230 | |||||||
Bernalillo County GRT, 5.25% due 10/1/2022 (Insured: AMBAC) | AAA/Aa2 | 3,170,000 | 3,963,229 | |||||||
Bernalillo County GRT, 5.25% due 10/1/2023 (Insured: AMBAC) | AAA/Aa2 | 1,275,000 | 1,597,511 | |||||||
Bernalillo County GRT, 5.25% due 10/1/2025 (Insured: AMBAC) | AAA/Aa2 | 3,850,000 | 4,862,319 | |||||||
Bernalillo County GRT, 5.70% due 4/1/2027 (Insured: Natl-Re) | AAA/Aa2 | 415,000 | 524,535 | |||||||
Bernalillo County GRT, 5.70% due 4/1/2027 | AAA/Aa2 | 3,000,000 | 3,791,820 | |||||||
Bernalillo County Water Utility Authority, 5.00% due 7/1/2021 | AA+/Aa1 | 1,760,000 | 2,102,954 | |||||||
Bernalillo County Water Utility Authority, 5.50% due 7/1/2025 | AA+/Aa1 | 1,000,000 | 1,217,080 | |||||||
Bernalillo County Water Utility Authority, 5.00% due 7/1/2026 | AA+/Aa1 | 1,420,000 | 1,612,822 | |||||||
Central New Mexico Community College, 4.00% due 8/15/2023 | AA+/Aa1 | 1,920,000 | 2,130,509 | |||||||
Colfax County GRT, 5.00% due 9/1/2019 | A-/NR | 845,000 | 955,864 | |||||||
Colfax County GRT, 5.50% due 9/1/2029 | A-/NR | 2,510,000 | 2,768,179 | |||||||
Dona Ana County Pilot Revenue, 5.50% due 12/1/2014 (County Administrative Facilities; Insured: Radian) | A-/NR | 460,000 | 507,325 | |||||||
Espanola Public School District, 3.55% due 7/1/2013 (State Aid Withholding) | NR/Aa1 | 410,000 | 425,781 | |||||||
Farmington Hospital, 5.00% due 6/1/2013 (San Juan Regional Medical Center) | NR/A3 | 500,000 | 521,165 | |||||||
Farmington Hospital, 5.00% due 6/1/2017 (San Juan Regional Medical Center) | NR/A3 | 1,035,000 | 1,166,507 | |||||||
Farmington Hospital, 5.125% due 6/1/2018 (San Juan Regional Medical Center) | NR/A3 | 570,000 | 599,743 | |||||||
Farmington Hospital, 5.125% due 6/1/2019 (San Juan Regional Medical Center) | NR/A3 | 645,000 | 673,554 | |||||||
Farmington Hospital, 5.00% due 6/1/2022 (San Juan Regional Medical Center) | NR/A3 | 2,825,000 | 3,021,450 | |||||||
Farmington PCR, 4.70% due 9/1/2024 (Arizona Public Service Co.) | BBB/Baa2 | 4,000,000 | 4,241,360 | |||||||
Farmington PCR, 4.00% due 6/1/2032 put 8/1/2012 (El Paso Electric Co.; Insured: Natl-Re/FGIC) | BBB/NR | 2,000,000 | 2,015,700 | |||||||
Farmington Utility Systems, 5.00% due 5/15/2012 (Insured: AGM) | AA-/Aa3 | 6,095,000 | 6,119,441 | |||||||
Gallup PCR Tri-State Generation, 5.00% due 8/15/2012 (Insured: AMBAC) | A/A3 | 3,345,000 | 3,398,119 | |||||||
Gallup PCR Tri-State Generation, 5.00% due 8/15/2013 (Insured: AMBAC) | A/A3 | 2,110,000 | 2,219,488 | |||||||
Gallup PCR Tri-State Generation, 5.00% due 8/15/2017 (Insured: AMBAC) | A/A3 | 3,540,000 | 3,852,299 | |||||||
Grant County Department of Health, 5.50% due 7/1/2020 (Ft. Bayard) | AA/Aa1 | 1,565,000 | 1,798,013 | |||||||
Grant County Department of Health, 5.50% due 7/1/2021 (Ft. Bayard) | AA/Aa1 | 1,655,000 | 1,891,235 | |||||||
Grant County Department of Health, 5.50% due 7/1/2022 (Ft. Bayard) | AA/Aa1 | 1,745,000 | 1,973,351 | |||||||
Guam Government Ltd. Obligation, 5.375% due 12/1/2024 | BBB-/NR | 2,000,000 | 2,098,820 | |||||||
Las Cruces Shared GRT, 5.00% due 6/1/2021 | NR/Aa3 | 730,000 | 871,751 | |||||||
Las Cruces Shared GRT, 5.00% due 6/1/2022 | NR/Aa3 | 765,000 | 902,340 | |||||||
Las Cruces Shared GRT, 5.00% due 6/1/2023 | NR/Aa3 | 800,000 | 930,680 | |||||||
Las Cruces Shared GRT, 5.00% due 6/1/2024 | NR/Aa3 | 840,000 | 968,780 | |||||||
Las Cruces Shared GRT, 5.00% due 6/1/2030 | NR/Aa3 | 2,000,000 | 2,228,000 | |||||||
Las Cruces Shared GRT, 5.00% due 6/1/2037 | NR/Aa3 | 5,000,000 | 5,392,250 | |||||||
12 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg New Mexico Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Los Alamos County GRT Improvement, 5.75% due 6/1/2016 | AA+/Aa3 | $ | 1,000,000 | $ | 1,194,620 | |||||
Los Alamos County GRT Improvement, 5.625% due 6/1/2023 | AA+/Aa3 | 1,000,000 | 1,168,070 | |||||||
Los Alamos County GRT Improvement, 5.75% due 6/1/2024 | AA+/Aa3 | 3,000,000 | 3,499,050 | |||||||
Los Alamos County GRT Improvement, 5.75% due 6/1/2025 | AA+/Aa3 | 1,000,000 | 1,160,380 | |||||||
Los Alamos County Utility Systems, 5.00% due 7/1/2013 (Insured: AGM) | AA-/Aa3 | 1,265,000 | 1,337,472 | |||||||
Los Ranchos de Albuquerque Educational Facilities, 4.50% due 9/1/2040 (Albuquerque Academy) | AA-/NR | 3,000,000 | 3,084,630 | |||||||
New Mexico Educational Assistance Foundation, 4.10% due 9/1/2015 (Insured: Fitch) (AMT) | NR/Aaa | 2,000,000 | 2,162,440 | |||||||
New Mexico Educational Assistance Foundation, 5.00% due 12/1/2019 | AAA/Aaa | 1,000,000 | 1,173,610 | |||||||
New Mexico Educational Assistance Foundation, 5.00% due 12/1/2022 | AAA/Aaa | 3,000,000 | 3,441,840 | |||||||
New Mexico Finance Authority, 5.00% due 6/15/2013 (Insured: AMBAC) | NR/Aa2 | 2,280,000 | 2,406,449 | |||||||
New Mexico Finance Authority, 5.00% due 6/1/2014 (Insured: Natl-Re) | AAA/Aa1 | 2,660,000 | 2,799,650 | |||||||
New Mexico Finance Authority, 5.25% due 6/1/2015 (Insured: AMBAC) | AAA/Aa1 | 1,000,000 | 1,098,060 | |||||||
New Mexico Finance Authority, 5.00% due 6/15/2015 (Insured: AMBAC) | NR/Aa2 | 2,360,000 | 2,664,180 | |||||||
New Mexico Finance Authority, 5.00% due 6/15/2018 (Insured: AMBAC) | NR/Aa2 | 2,915,000 | 3,236,641 | |||||||
New Mexico Finance Authority, 5.00% due 6/15/2019 (Insured: Natl-Re) | NR/Aa2 | 1,215,000 | 1,352,307 | |||||||
New Mexico Finance Authority, 5.00% due 6/1/2020 (Insured: AMBAC) | AAA/Aa1 | 365,000 | 416,502 | |||||||
New Mexico Finance Authority, 5.00% due 6/15/2022 (Insured: Natl-Re) | AA/Aa2 | 1,300,000 | 1,480,843 | |||||||
New Mexico Finance Authority, 5.00% due 6/15/2024 (Insured: Natl-Re) | AA/Aa2 | 7,000,000 | 7,838,040 | |||||||
New Mexico Hospital Equipment Loan Council, 5.00% due 7/1/2017 pre-refunded 7/1/2015 (St. Vincent Hospital; Insured: Radian) | NR/NR | 1,730,000 | 1,944,970 | |||||||
New Mexico Hospital Equipment Loan Council, 5.00% due 7/1/2019 pre-refunded 7/1/2015 (St. Vincent Hospital; Insured: Radian) | NR/NR | 1,000,000 | 1,124,260 | |||||||
New Mexico Hospital Equipment Loan Council, 5.00% due 7/1/2021 pre-refunded 7/1/2015 (St. Vincent Hospital; Insured: Radian) | NR/NR | 1,185,000 | 1,332,248 | |||||||
New Mexico Hospital Equipment Loan Council, 6.00% due 8/1/2023 (Presbyterian Healthcare Services) | AA/Aa3 | 6,000,000 | 6,900,600 | |||||||
New Mexico Hospital Equipment Loan Council, 5.25% due 7/1/2025 pre-refunded 7/1/2015 (St. Vincent Hospital; Insured: Radian) | NR/NR | 1,000,000 | 1,132,230 | |||||||
New Mexico Hospital Equipment Loan Council, 5.00% due 8/1/2039 (Presbyterian Healthcare Services) | AA/Aa3 | 3,000,000 | 3,157,740 | |||||||
New Mexico Housing Authority MFR, 5.30% due 12/1/2022 (El Paseo Apartments; Insured: AMBAC) (AMT) | NR/NR | 850,000 | 815,813 | |||||||
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2015 | A+/A1 | 490,000 | 544,733 | |||||||
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2020 | A+/A1 | 590,000 | 683,851 | |||||||
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2023 | A+/A1 | 685,000 | 768,173 | |||||||
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2024 | A+/A1 | 525,000 | 582,377 | |||||||
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2025 | A+/A1 | 505,000 | 556,015 | |||||||
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2028 | A+/A1 | 1,500,000 | 1,614,960 | |||||||
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2031 | A+/A1 | 1,700,000 | 1,803,275 | |||||||
New Mexico MFA MFR, 6.05% due 7/1/2028 (Sandpiper Apartments; Insured: FHA) (AMT) | AA-/NR | 2,335,000 | 2,457,401 | |||||||
New Mexico MFA SFMR, 5.25% due 7/1/2023 (Collateralized: GNMA/FNMA/FHLM) (AMT) | AA+/NR | 930,000 | 987,930 | |||||||
New Mexico MFA SFMR, 5.375% due 7/1/2023 (Collateralized: GNMA/FNMA/FHLMC) (AMT) | AA+/NR | 1,060,000 | 1,073,080 | |||||||
New Mexico MFA SFMR, 4.625% due 3/1/2028 (Collateralized: GNMA/FNMA/FHLMC) | AA+/NR | 2,000,000 | 2,119,640 | |||||||
New Mexico MFA SFMR, 5.50% due 7/1/2028 (Collateralized: GNMA/FNMA/FHLMC) (AMT) | AA+/NR | 2,020,000 | 2,118,111 | |||||||
New Mexico MFA SFMR, 5.60% due 7/1/2028 (Collateralized: GNMA/FNMA/FHLMC) (AMT) | AA+/NR | 955,000 | 1,010,925 | |||||||
New Mexico MFA SFMR, 5.40% due 9/1/2029 (Collateralized: GNMA/FNMA/FHLMC) | AA+/NR | 805,000 | 868,676 | |||||||
New Mexico Severance Tax, 4.00% due 7/1/2016 pre-refunded 7/1/2012 | AA/Aa1 | 500,000 | 504,825 | |||||||
New Mexico State University, 5.00% due 4/1/2013 (Insured: AGM) | AA/Aa2 | 1,000,000 | 1,046,970 | |||||||
Rio Rancho GRT, 5.00% due 6/1/2014 (Insured: Natl-Re/FGIC) | AA-/Aa2 | 955,000 | 1,039,269 | |||||||
Rio Rancho GRT, 5.00% due 6/1/2016 (Insured: Natl-Re/FGIC) | AA-/Aa2 | 555,000 | 622,599 | |||||||
Rio Rancho GRT, 5.00% due 6/1/2022 (Insured: Natl-Re/FGIC) | AA-/Aa2 | 1,000,000 | 1,114,070 | |||||||
Rio Rancho Public School District GO, 3.00% due 8/1/2012 (State Aid Withholding) | NR/Aa1 | 1,240,000 | 1,251,594 | |||||||
Certified Semi-Annual Report 13
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg New Mexico Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
| Credit Rating† | Principal | |||||||||
Issuer-Description | S&P/ Moody’s | Amount | Value | |||||||
Rio Rancho Public School District GO, 4.00% due 8/1/2013 (State Aid Withholding) | NR/Aa1 | $ | 1,210,000 | $ | 1,268,346 | |||||
Rio Rancho Public School District GO, 4.00% due 8/1/2014 (State Aid Withholding) | NR/Aa1 | 1,715,000 | 1,852,063 | |||||||
San Juan County Gasoline Tax/Motor Vehicle Improvement, 5.25% due 5/15/2014 | NR/Aa3 | 400,000 | 406,136 | |||||||
San Juan County Gasoline Tax/Motor Vehicle Improvement, 5.25% due 5/15/2022 | NR/Aa3 | 1,725,000 | 1,747,563 | |||||||
San Juan County GRT, 5.00% due 6/15/2014 (Insured: Natl-Re) | A+/Aa3 | 1,225,000 | 1,333,461 | |||||||
Sandoval County Incentive Payment, 4.00% due 6/1/2015 (Intel Corp.) | A+/NR | 815,000 | 840,746 | |||||||
Sandoval County Incentive Payment, 5.00% due 6/1/2020 (Intel Corp.) | A+/NR | 6,390,000 | 6,911,807 | |||||||
Sandoval County Landfill Improvement, 5.50% due 8/15/2015 | NR/Baa2 | 1,420,000 | 1,490,120 | |||||||
Sandoval County Landfill Improvement, 5.75% due 8/15/2018 | NR/Baa2 | 1,335,000 | 1,387,465 | |||||||
Santa Fe County, 5.50% due 5/15/2015 (El Castillo Retirement) | BBB-/NR | 771,000 | 772,203 | |||||||
Santa Fe County, 5.80% due 5/15/2018 (El Castillo Retirement) | BBB-/NR | 1,835,000 | 1,836,872 | |||||||
Santa Fe County, 5.625% due 5/15/2025 (El Castillo Retirement) | BBB-/NR | 1,250,000 | 1,249,912 | |||||||
Santa Fe County, 7.25% due 7/1/2029 (Rancho Viejo Improvement District) | NR/NR | 820,000 | 820,221 | |||||||
Santa Fe County Correctional Systems, 5.00% due 2/1/2018 (Insured: AGM) | AA-/Aa3 | 1,080,000 | 1,198,854 | |||||||
Santa Fe County Correctional Systems, 6.00% due 2/1/2027 (Insured: AGM) | AA-/Aa3 | 1,520,000 | 1,867,046 | |||||||
Santa Fe County GRT, 5.00% due 6/1/2025 | AA+/Aa1 | 1,400,000 | 1,560,580 | |||||||
Santa Fe County GRT, 5.00% due 6/1/2026 | AA+/Aa1 | 1,535,000 | 1,699,920 | |||||||
Santa Fe GRT, 5.25% due 6/1/2014 pre-refunded 6/1/2012 (Insured: AMBAC) | AA+/Aa3 | 1,025,000 | 1,033,805 | |||||||
Silver City GRT, 4.00% due 6/1/2029 | A+/NR | 1,000,000 | 1,045,280 | |||||||
Silver City GRT, 4.25% due 6/1/2032 | A+/NR | 1,050,000 | 1,092,851 | |||||||
Taos County GRT, 4.75% due 10/1/2012 (ETM) | NR/A3 | 1,500,000 | 1,533,975 | |||||||
University of New Mexico, 5.25% due 6/1/2013 | AA/Aa2 | 665,000 | 670,686 | |||||||
University of New Mexico, 5.25% due 6/1/2014 | AA/Aa2 | 335,000 | 337,864 | |||||||
University of New Mexico, 5.00% due 6/1/2015 (Insured: AMBAC) | AA/Aa2 | 1,590,000 | 1,806,176 | |||||||
University of New Mexico, 5.25% due 6/1/2015 | AA/Aa2 | 1,195,000 | 1,256,578 | |||||||
University of New Mexico, 5.25% due 6/1/2016 | AA/Aa2 | 645,000 | 650,515 | |||||||
University of New Mexico, 5.25% due 6/1/2017 | AA/Aa2 | 1,730,000 | 1,744,791 | |||||||
University of New Mexico, 5.25% due 6/1/2018 | AA/Aa2 | 1,825,000 | 1,840,604 | |||||||
University of New Mexico, 5.25% due 6/1/2018 | AA/Aa2 | 1,200,000 | 1,261,836 | |||||||
University of New Mexico, 5.25% due 6/1/2021 | AA/Aa2 | 1,000,000 | 1,008,550 | |||||||
University of New Mexico, 6.00% due 6/1/2021 | AA/Aa2 | 610,000 | 732,409 | |||||||
University of New Mexico Hospital Mtg Bonds, 5.00% due 1/1/2016 (Insured: AGM/FHA) | AA-/Aa3 | 2,920,000 | 3,130,678 | |||||||
University of New Mexico Hospital Mtg Bonds, 5.00% due 1/1/2017 (Insured: AGM/FHA) | AA-/Aa3 | 2,000,000 | 2,145,220 | |||||||
University of New Mexico Hospital Mtg Bonds, 5.00% due 1/1/2018 (Insured: AGM/FHA) | AA-/Aa3 | 2,000,000 | 2,131,920 | |||||||
University of New Mexico Hospital Mtg Bonds, 5.00% due 1/1/2019 (Insured: AGM/FHA) | AA-/Aa3 | 3,000,000 | 3,183,540 | |||||||
University of New Mexico Hospital Mtg Bonds, 5.00% due 7/1/2019 (Insured: AGM/FHA) | AA-/Aa3 | 3,000,000 | 3,196,500 | |||||||
University of New Mexico Hospital Mtg Bonds, 5.00% due 1/1/2020 (Insured: AGM/FHA) | AA-/Aa3 | 2,310,000 | 2,461,305 | |||||||
University of New Mexico Hospital Mtg Bonds, 5.00% due 7/1/2020 (Insured: AGM/FHA) | AA-/Aa3 | 500,000 | 532,750 | |||||||
Ventana West Public Improvement District Special Tax, 6.625% due 8/1/2023 | NR/NR | 2,000,000 | 2,021,460 | |||||||
Virgin Islands Public Finance Authority, 6.625% due 10/1/2029 | NR/Baa3 | 2,500,000 | 2,852,175 | |||||||
Virgin Islands Water & Power Authority Electric System, 5.00% due 7/1/2025 | BB+/Baa3 | 990,000 | 1,017,522 | |||||||
Virgin Islands Water & Power Authority Electric System, 5.00% due 7/1/2026 | BB+/Baa3 | 1,090,000 | 1,112,617 | |||||||
|
| |||||||||
TOTAL INVESTMENTS — 96.07% (Cost $223,650,418) | $ | 238,994,126 | ||||||||
OTHER ASSETS LESS LIABILITIES — 3.93% | 9,766,403 | |||||||||
|
| |||||||||
NET ASSETS — 100.00% | $ | 248,760,529 | ||||||||
|
| |||||||||
Footnote Legend
| † | Credit ratings are unaudited. Rating changes may have occurred subsequent to the reporting period end. Bonds issued with a maturity of one year or less are assigned Moody’s ratings from MIG-1 to MIG-4 and Standard and Poor’s ratings from SP-1+ to SP-3 with MIG-1 and SP-1+ being the strongest ratings. |
14 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg New Mexico Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
Portfolio Abbreviations | ||
To simplify the listings of securities, abbreviations are used per the table below: | ||
| AGM | Insured by Assured Guaranty Municipal Corp. | |
| 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 | |
| FHLMC | Insured by Federal Home Loan Mortgage Corp. | |
| FNMA | Collateralized by Federal National Mortgage Association | |
| GNMA | Insured by Government National Mortgage Association | |
| GO | General Obligation | |
| GRT | Gross Receipts Tax | |
| IDRB | Industrial Development Revenue Bond | |
| LOC | Letter of Credit | |
| MFA | Mortgage Finance Authority | |
| Mtg | Mortgage | |
| MFR | Multi-Family Revenue | |
| Natl-Re | Insured by National Public Finance Guarantee Corp. | |
| PCR | Pollution Control Revenue Bond | |
| Radian | Insured by Radian Asset Assurance | |
| SFMR | Single Family Mortgage Revenue Bond | |
See notes to financial statements.
Certified Semi-Annual Report 15
| STATEMENT OF ASSETS AND LIABILITIES | ||
| Thornburg New Mexico Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
ASSETS | ||||
Investments at value (cost $223,650,418) (Note 2) | $ | 238,994,126 | ||
Cash | 5,957,943 | |||
Receivable for investments sold | 180,000 | |||
Receivable for fund shares sold | 936,389 | |||
Interest receivable | 3,312,689 | |||
Prepaid expenses and other assets | 1,674 | |||
|
| |||
Total Assets | 249,382,821 | |||
|
| |||
LIABILITIES | ||||
Payable for fund shares redeemed | 300,284 | |||
Payable to investment advisor and other affiliates (Note 3) | 162,686 | |||
Accounts payable and accrued expenses | 32,287 | |||
Dividends payable | 127,035 | |||
|
| |||
Total Liabilities | 622,292 | |||
|
| |||
NET ASSETS | $ | 248,760,529 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment income | $ | (25,824 | ) | |
Net unrealized appreciation on investments | 15,343,708 | |||
Accumulated net realized gain (loss) | (1,188,927 | ) | ||
Net capital paid in on shares of beneficial interest | 234,631,572 | |||
|
| |||
| $ | 248,760,529 | |||
|
| |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($185,800,403 applicable to 13,503,777 shares of beneficial interest outstanding—Note 4) | $ | 13.76 | ||
Maximum sales charge, 2.00% of offering price | 0.28 | |||
|
| |||
Maximum offering price per share | $ | 14.04 | ||
|
| |||
Class D Shares: | ||||
Net asset value, offering and redemption price per share ($27,999,486 applicable to 2,034,041 shares of beneficial interest outstanding—Note 4) | $ | 13.77 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($34,960,640 applicable to 2,542,186 shares of beneficial interest outstanding—Note 4) | $ | 13.75 | ||
|
| |||
See notes to financial statements.
16 Certified Semi-Annual Report
| STATEMENT OF OPERATIONS | ||
| Thornburg New Mexico Intermediate Municipal Fund | Six Months Ended March 31, 2012 (Unaudited) | |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $570,650) | $ | 5,072,122 | ||
|
| |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 627,288 | |||
Administration fees (Note 3) | ||||
Class A Shares | 115,855 | |||
Class D Shares | 16,021 | |||
Class I Shares | 9,978 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 231,709 | |||
Class D Shares | 50,497 | |||
Transfer agent fees | ||||
Class A Shares | 27,312 | |||
Class D Shares | 4,340 | |||
Class I Shares | 1,914 | |||
Registration and filing fees | ||||
Class A Shares | 254 | |||
Class D Shares | 257 | |||
Class I Shares | 256 | |||
Custodian fees (Note 3) | 30,805 | |||
Professional fees | 12,765 | |||
Accounting fees | 3,585 | |||
Trustee fees | 3,449 | |||
Other expenses | 9,471 | |||
|
| |||
Total Expenses | 1,145,756 | |||
Less: | ||||
Fees paid indirectly (Note 3) | (3,517 | ) | ||
|
| |||
Net Expenses | 1,142,239 | |||
|
| |||
Net Investment Income | 3,929,883 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | (1,188,854 | ) | ||
Net change in unrealized appreciation (depreciation) on investments | 2,202,660 | |||
|
| |||
Net Realized and Unrealized Gain | 1,013,806 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 4,943,689 | ||
|
| |||
See notes to financial statements.
Certified Semi-Annual Report 17
| STATEMENTS OF CHANGES IN NET ASSETS | ||
| Thornburg New Mexico Intermediate Municipal Fund | ||
| Six Months Ended March 31, 2012* | Year Ended September 30, 2011 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 3,929,883 | $ | 7,774,237 | ||||
Net realized gain (loss) on investments | (1,188,854 | ) | 421,555 | |||||
Net unrealized appreciation (depreciation) on investments | 2,202,660 | (1,832,064 | ) | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,943,689 | 6,363,728 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (2,866,927 | ) | (6,076,310 | ) | ||||
Class D Shares | (377,292 | ) | (687,399 | ) | ||||
Class I Shares | (685,664 | ) | (1,010,528 | ) | ||||
From realized gains | ||||||||
Class A Shares | (142,643 | ) | (168,225 | ) | ||||
Class D Shares | (19,090 | ) | (20,580 | ) | ||||
Class I Shares | (32,129 | ) | (22,438 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 43,114 | (16,253,032 | ) | |||||
Class D Shares | 3,718,025 | 322,750 | ||||||
Class I Shares | (6,901,890 | ) | 14,724,089 | |||||
|
|
|
| |||||
Net Decrease in Net Assets | (2,320,807 | ) | (2,827,945 | ) | ||||
NET ASSETS: | ||||||||
Beginning of Period | 251,081,336 | 253,909,281 | ||||||
|
|
|
| |||||
End of Period | $ | 248,760,529 | $ | 251,081,336 | ||||
|
|
|
| |||||
* Unaudited.
See notes to financial statements.
18 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS | ||
| Thornburg New Mexico Intermediate Municipal Fund | March 31, 2012 (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 Fund is currently one of sixteen separate series of the Trust. 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). 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 may be subject to a service fee, 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 Investments: Debt obligations 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, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
In any case where a pricing service fails to provide a price for a debt obligation held by the Fund, the valuation and pricing committee determines a fair value for the obligation using procedures approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt obligation 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 obligation.
In determining fair value for any portfolio security or other investment, the valuation and pricing committee seeks to determine the amount that an owner of the investment might reasonably expect to receive upon a sale of the investment. However, because fair value prices are estimated prices, the valuation and pricing committee’s determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Fund’s financial statements. The valuation and pricing committee’s determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation Measurements: Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three levels listed below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment rates, credit risk, etc.).
Level 3: Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
Certified Semi-Annual Report 19
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg New Mexico Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
The following table displays a summary of the inputs used to value the Fund’s net assets as of March 31, 2012. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
| Fair Value Measurements at March 31, 2012 | ||||||||||||||||
| Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities | ||||||||||||||||
Municipal Bonds | $ | 238,994,126 | $ | — | $ | 238,994,126 | $ | — | ||||||||
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Total Investments in Securities | $ | 238,994,126 | $ | — | $ | 238,994,126 | $ | — | ||||||||
Other Notes: It is the policy of the Fund to recognize significant transfers between Levels 1, 2 and 3 and to disclose those transfers as of the date of the underlying event which caused the movement. The Fund recognized no significant transfers between levels for the six months ended March 31, 2012.
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 to shareholders substantially all taxable (if any) and tax exempt income of the Fund. Therefore, no provision for federal income tax is required.
Management reviews each uncertain tax position believed to be material to the preparation of the Fund’s financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of March 31, 2012, management has not identified any such position for which a liability must be reflected in the Statement of Assets and Liabilities. The Fund’s tax returns remain subject to examination for three years after filing.
When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with 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 Fund makes a commitment to purchase a security on a when-issued or delayed delivery 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 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
20 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg New Mexico Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
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, 2012, 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.
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, 2012, the Distributor has advised the Fund that it earned net commissions aggregating $437 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. For the six months ended March 31, 2012, there were no 12b-1 service plan fees charged for Class I shares. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
The Trust has also adopted a distribution plan pursuant to Rule 12b-1, applicable only to the Fund’s Class D shares, under which the Fund compensates the Distributor for services in promoting the sale of Class D shares of the Fund at an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class D shares. Total fees incurred by the Fund for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2012, 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 are 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, 2012, fees paid indirectly were $3,517.
Certain officers and Trustees of the Trust are also officers 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, 2012, 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, 2012 (Unaudited) | Year Ended September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 657,853 | $ | 9,081,082 | 1,168,293 | $ | 15,776,655 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 167,143 | 2,303,941 | 330,856 | 4,448,456 | ||||||||||||
Shares repurchased | (823,544 | ) | (11,341,909 | ) | (2,720,968 | ) | (36,478,143 | ) | ||||||||
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Net increase (decrease) | 1,452 | $ | 43,114 | (1,221,819 | ) | $ | (16,253,032 | ) | ||||||||
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Certified Semi-Annual Report 21
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg New Mexico Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
| Six Months Ended March 31, 2012 (Unaudited) | Year Ended September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class D Shares | ||||||||||||||||
Shares sold | 327,729 | $ | 4,532,029 | 452,641 | $ | 6,130,011 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 26,619 | 367,199 | 45,105 | 606,858 | ||||||||||||
Shares repurchased | (85,853 | ) | (1,181,203 | ) | (478,285 | ) | (6,414,119 | ) | ||||||||
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| |||||||||
Net increase (decrease) | 268,495 | $ | 3,718,025 | 19,461 | $ | 322,750 | ||||||||||
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Class I Shares | ||||||||||||||||
Shares sold | 54,642 | $ | 754,758 | 1,123,761 | $ | 15,329,793 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 44,461 | 612,543 | 59,248 | 797,322 | ||||||||||||
Shares repurchased | (594,468 | ) | (8,269,191 | ) | (103,888 | ) | (1,403,026 | ) | ||||||||
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Net increase (decrease) | (495,365 | ) | $ | (6,901,890 | ) | 1,079,121 | $ | 14,724,089 | ||||||||
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NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2012, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $9,331,342 and $2,630,500, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2012, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 223,650,418 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 15,387,312 | ||
Gross unrealized depreciation on a tax basis | (43,604 | ) | ||
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| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 15,343,708 | ||
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The Regulated Investment Company Modernization Act of 2010 (the “Act”) was signed into law on December 22, 2010. The Act makes changes to a number of tax rules impacting the Fund. Under the Act, future capital losses generated by the Fund may be carried over indefinitely, but these losses must be used prior to the utilization of any pre-enactment capital losses. Since pre-enactment capital losses may only be carried forward for eight years, there may be a greater likelihood that all or a portion of a Fund’s pre-enactment capital losses will expire unused. In general, the provisions of the Act will be effective for the Fund’s fiscal year ending September 30, 2012.
OTHER NOTES:
Risks: The Fund’s investments subject it to risks including, but not limited to, credit risk, interest rate risk, management risk, market and economic risk, liquidity risk, and the risks of investing primarily in the obligations of a single state. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund.
Subsequent Events: Fund management believes no events have occurred between March 31, 2012 and the date of issuance of the financial statements, which require adjustment to, or disclosure in the accompanying financial statements.
22 Certified Semi-Annual Report
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Certified Semi-Annual Report 23
Thornburg New Mexico Intermediate Municipal Fund
Unless | PER SHARE PERFORMANCE (for a share outstanding throughout the Period)+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Net Asset Value Beginning of Period | Net Investment Income (Loss) | Net Realized & Unrealized Gain (Loss) on Investments | Total from Investment Operations | Dividends from Net Investment Income | Dividends from Net Realized Gains | Total Dividends | Net Asset Value End of Period | Net Investment Income (Loss) (%) | Expenses, After Expense Reductions (%) | Expenses, After Expense Reductions and Net of Custody Credits (%) | Expenses, Before Expense Reductions (%) | Total Return (%)(a) | Portfolio Turnover Rate (%) | Net Assets at End of Period (Thousands) | ||||||||||||||||||||||||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b)(c) | $ | 13.72 | 0.21 | 0.05 | 0.26 | (0.21 | ) | (0.01 | ) | (0.22 | ) | $ | 13.76 | 3.09 | (d) | 0.95 | (d) | 0.95 | (d) | 0.95 | (d) | 1.93 | 1.10 | $ | 185,800 | |||||||||||||||||||||||||||||||||||
2011(c) | $ | 13.78 | 0.44 | (0.05 | ) | 0.39 | (0.44 | ) | (0.01 | ) | (0.45 | ) | $ | 13.72 | 3.23 | 0.96 | 0.96 | 0.96 | 2.93 | 10.64 | $ | 185,208 | ||||||||||||||||||||||||||||||||||||||
2010(c) | $ | 13.63 | 0.43 | 0.15 | 0.58 | (0.43 | ) | — | (0.43 | ) | $ | 13.78 | 3.19 | 0.96 | 0.96 | 0.96 | 4.38 | 7.70 | $ | 202,870 | ||||||||||||||||||||||||||||||||||||||||
2009(c) | $ | 12.64 | 0.47 | 0.99 | 1.46 | (0.47 | ) | — | (0.47 | ) | $ | 13.63 | 3.62 | 0.96 | 0.96 | 0.96 | 11.79 | 14.12 | $ | 187,940 | ||||||||||||||||||||||||||||||||||||||||
2008(c) | $ | 13.10 | 0.47 | (0.46 | ) | 0.01 | (0.47 | ) | — | (0.47 | ) | $ | 12.64 | 3.56 | 0.97 | 0.95 | 0.97 | – | (e) | 13.48 | $ | 163,928 | ||||||||||||||||||||||||||||||||||||||
2007(c) | $ | 13.20 | 0.47 | (0.10 | ) | 0.37 | (0.47 | ) | — | (0.47 | ) | $ | 13.10 | 3.55 | 0.98 | 0.97 | 0.98 | 2.82 | 17.38 | $ | 169,130 | |||||||||||||||||||||||||||||||||||||||
Class D Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 13.72 | 0.20 | 0.06 | 0.26 | (0.20 | ) | (0.01 | ) | (0.21 | ) | $ | 13.77 | 2.94 | (d) | 1.10 | (d) | 1.10 | (d) | 1.10 | (d) | 1.93 | 1.10 | $ | 28,000 | |||||||||||||||||||||||||||||||||||
2011 | $ | 13.78 | 0.40 | (0.05 | ) | 0.35 | (0.40 | ) | (0.01 | ) | (0.41 | ) | $ | 13.72 | 2.97 | 1.22 | 1.21 | 1.22 | 2.66 | 10.64 | $ | 24,228 | ||||||||||||||||||||||||||||||||||||||
2010 | $ | 13.63 | 0.28 | 0.27 | 0.55 | (0.40 | ) | — | (0.40 | ) | $ | 13.78 | 2.92 | 1.22 | 1.22 | 1.71 | 4.11 | 7.70 | $ | 24,068 | ||||||||||||||||||||||||||||||||||||||||
2009 | $ | 12.64 | 0.44 | 0.99 | 1.43 | (0.44 | ) | — | (0.44 | ) | $ | 13.63 | 3.35 | 1.23 | 1.23 | 1.73 | 11.50 | 14.12 | $ | 17,301 | ||||||||||||||||||||||||||||||||||||||||
2008 | $ | 13.11 | 0.43 | (0.47 | ) | (0.04 | ) | (0.43 | ) | — | (0.43 | ) | $ | 12.64 | 3.29 | 1.24 | 1.22 | 1.74 | (0.35 | ) | 13.48 | $ | 15,525 | |||||||||||||||||||||||||||||||||||||
2007 | $ | 13.21 | 0.43 | (0.10 | ) | 0.33 | (0.43 | ) | — | (0.43 | ) | $ | 13.11 | 3.30 | 1.23 | 1.23 | 1.77 | 2.57 | 17.38 | $ | 13,524 | |||||||||||||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 13.71 | 0.24 | 0.05 | 0.29 | (0.24 | ) | (0.01 | ) | (0.25 | ) | $ | 13.75 | 3.44 | (d) | 0.61 | (d) | 0.61 | (d) | 0.61 | (d) | 2.10 | 1.10 | $ | 34,961 | |||||||||||||||||||||||||||||||||||
2011 | $ | 13.77 | 0.48 | (0.05 | ) | 0.43 | (0.48 | ) | (0.01 | ) | (0.49 | ) | $ | 13.71 | 3.57 | 0.62 | 0.61 | 0.62 | 3.28 | 10.64 | $ | 41,645 | ||||||||||||||||||||||||||||||||||||||
2010 | $ | 13.62 | 0.67 | (0.04 | ) | 0.63 | (0.48 | ) | — | (0.48 | ) | $ | 13.77 | 3.53 | 0.61 | 0.61 | 0.61 | 4.74 | 7.70 | $ | 26,971 | |||||||||||||||||||||||||||||||||||||||
2009 | $ | 12.63 | 0.52 | 0.99 | 1.51 | (0.52 | ) | — | (0.52 | ) | $ | 13.62 | 3.96 | 0.62 | 0.62 | 0.62 | 12.18 | 14.12 | $ | 27,508 | ||||||||||||||||||||||||||||||||||||||||
2008 | $ | 13.10 | 0.51 | (0.47 | ) | 0.04 | (0.51 | ) | ��� | (0.51 | ) | $ | 12.63 | 3.90 | 0.63 | 0.61 | 0.63 | 0.26 | 13.48 | $ | 23,728 | |||||||||||||||||||||||||||||||||||||||
2007(f) | $ | 13.10 | 0.34 | — | 0.34 | (0.34 | ) | — | (0.34 | ) | $ | 13.10 | 3.95 | (d) | 0.63 | (d) | 0.62 | (d) | 0.63 | (d) | 2.64 | 17.38 | $ | 19,427 | ||||||||||||||||||||||||||||||||||||
| (a) | Not annualized for periods less than one year. |
| (b) | Unaudited Six Month Period Ended March 31. |
| (c) | Sales loads are not reflected in computing total return. |
| (d) | Annualized. |
| (e) | Total return figure was less than 0.01%. |
| (f) | Effective date of this class of shares was February 1, 2007. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
| 24 Certified Semi-Annual Report | Certified Semi-Annual Report 25 |
| EXPENSE EXAMPLE | ||
| Thornburg New Mexico Intermediate Municipal Fund | March 31, 2012 (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 a $1,000 investment beginning on October 1, 2011, and held until March 31, 2012.
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 10/1/11 | Ending Account Value 3/31/12 | Expenses Paid During Period† 10/1/11–3/31/12 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.30 | $ | 4.80 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | ||||||
Class D Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.30 | $ | 5.55 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,019.50 | $ | 5.55 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,021.00 | $ | 3.06 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,021.97 | $ | 3.06 | ||||||
| † | Expenses are equal to the annualized expense ratio for each class (A: 0.95%; D: 1.10%; I: 0.61%) 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
| OTHER INFORMATION | ||
| Thornburg New Mexico Intermediate Municipal Fund | March 31, 2012 (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. A description of the Policy 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 27
Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
September 13, 2011
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.
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.
APPOINTMENT OF TRUSTEE
The Trustees have appointed Sally Corning of Santa Fe, New Mexico as a Trustee, effective May 7, 2012. Ms. Corning is a founding partner of Sun Mountain Capital, Santa Fe, which advises clients in making investments in private equity partnerships and invests directly in private companies. Ms. Corning was formerly employed by Credit Suisse First Boston, Morgan Stanley and Dean Witter Reynolds. She received her BSBA from Georgetown University and her MBA from the Columbia University Graduate School of Business.
28 This page is not part of the Semi-Annual Report.
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 website 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 Developing World 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. 29
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 Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We are very organic in our approach, avoiding leverage or complex strategies which could backfire in periods of market uncertainty.
| • | 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 Strategic Municipal Income Fund |
| • | Thornburg Limited Term U.S. Government Fund |
| • | Thornburg Limited Term Income Fund |
| • | Thornburg Strategic Income Fund |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
This page is not part of the Semi-Annual Report. 31
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Important Information
The information presented on the following pages is current as of March 31, 2012. The managers’ views, portfolio holdings, and sector diversification are provided for the general information of the Fund’s shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. 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. Bond funds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The principal value of bonds 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 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. The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
Performance data given at net asset value (NAV) does not take into account applicable sales charges. If the sales charges had been included, the performance would have been lower.
Minimum investments for Class I shares are higher than those for other classes. Class I shares may not be available to all investors.
Share Class | NASDAQ Symbol | Cusip | ||
Class A | THNYX | 885-215-665 | ||
Class I | TNYIX | 885-216-705 |
Lipper’s 2012 Best Fixed Income Funds Manager
Thornburg Investment Management ranked #1 out of 41 eligible firms in Lipper, Inc.’s fixed income Large Company universe for the three-year period ended 11/30/11, based on risk-adjusted returns. Lipper’s Large Company universe is comprised of fund families with more than $40 billion in total net assets. Only fund families with at least five bond funds were eligible for the fixed income funds manager award. Asset Class Group Awards are given for the three-year period only.
Glossary
BofA Merrill Lynch 3-15 Year U.S. Municipal Securities Index – This index is a subset of the BofA Merrill Lynch U.S. Municipal Securities Index including all securities with a remaining term to final maturity greater than or equal to 3 years and less than 15 years.
BofA Merrill Lynch 7-12 Year U.S. Municipal Securities Index – This index is a subset of the BofA Merrill Lynch U.S. Municipal Securities Index including all securities with a remaining term to final maturity greater than or equal to 7 years and less than 12 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.
Alternative Minimum Tax (AMT) – A federal tax aimed at ensuring that high-income individuals, estates, trusts, and corporations pay a minimal level income tax. For individuals, the AMT is calculated by adding tax preference items to regular taxable income.
Annualized Distribution Yield – The distribution yield reflects actual distributions made to shareholders. The annualized distribution yield is calculated by summing the last 30 days of income at a given month end and annualizing to a 360-day year. The result is divided by the ending maximum offering price or net asset value.
Basis Point (bps) – A unit equal to 1/100th of 1%. 1% = 100 basis points (bps).
Bond Credit Ratings – A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C, and D (the lowest) are considered below investment grade, speculative grade, or junk bonds. Unless otherwise noted, the ratings listed are from Municipal Market Data and are a combination of ratings from Standard and Poor’s, Moody’s Investors Service, and Fitch Ratings.
Duration – A bond’s sensitivity to interest rates. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
Effective Duration – A bond’s sensitivity to interest rates, incorporating the embedded option features, such as call provisions. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
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.
General Obligation Bond – A municipal bond backed by the credit and “taxing power” of the issuing jurisdiction rather than the revenue from a given project.
Gross Domestic Product (GDP) – A country’s income minus foreign investments: the total value of all goods and services produced within a country in a year, minus net income from investments in other countries.
This page is not part of the Semi-Annual Report. 3
Important Information,
Continued
Quantitative Easing – The Federal Reserve’s monetary policy used to stimulate the U.S. economy following the recession that began in 2007/08.
Rolling Returns – Rolling returns are useful for examining the behavior of returns for holding periods similar to those actually experienced by investors. Rolling performance periods are generally two- or three-year periods, updated monthly or quarterly.
SEC Yield – SEC yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Fund’s shares at the end of the period.
Treasuries – 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 taxes.
4 This page is not part of the Semi-Annual Report.
Thornburg New York Intermediate Municipal Fund
At Thornburg, our approach to management of the Fund is based on the premise that investors in the Fund seek preservation of capital along with an attractive, relatively stable yield. While aggressive bond strategies may generate stronger returns when the market is turning a blind eye towards risk, they often fail to stack up over longer periods of time.
We apply time-tested techniques to manage risk and provide attractive returns. These include:
| • | Building a laddered portfolio. Laddering has been shown over time to mitigate reinvestment and interest-rate risk. |
| • | Investing on a cash-only basis without using leverage. While leveraged strategies may enhance returns when market conditions are favorable, they can quickly compound losses when sentiment shifts. |
| • | Conducting in-depth fundamental research on each issue and actively monitoring positions for subsequent credit events. |
| • | Diversifying among a large number of generally high-quality bonds. |
PORTFOLIO MANAGERS
Josh Gonze, Chris Ryon,CFA, and Chris Ihlefeld
IMPORTANT
PERFORMANCE INFORMATION
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.
The maximum sales charge for the Fund’s Class A shares is 2.00%. The total annual operating expenses of Class A shares are 1.07% as disclosed in the most recent Prospectus. Thornburg Investment Management and Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least February 1, 2013, so that actual expenses, for Class A shares, do not exceed 0.99%.
LONG-TERM STABILITY OF PRINCIPAL
Net asset value history of A shares from September 5, 1997 through March 31, 2012
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2012
| 1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception | ||||||||||||||||
A Shares (Incep: 9/5/97) | ||||||||||||||||||||
Without sales charge | 9.93 | % | 5.82 | % | 4.81 | % | 4.18 | % | 4.42 | % | ||||||||||
With sales charge | 7.74 | % | 5.10 | % | 4.39 | % | 3.98 | % | 4.28 | % | ||||||||||
30-DAY YIELDS, A SHARES
As of March 31, 2012
Annualized Distribution Yield | SEC Yield | |||
2.66% | 1.37 | % | ||
Without fee waivers and expense reimbursements, the 30-day SEC Yield would have been 1.31% and the Annualized Distribution Yield would have been 2.61%.
KEY PORTFOLIO ATTRIBUTES
As of March 31, 2012
Number of Bonds | 52 | |||
Effective Duration | 5.8 Yrs | |||
Average Maturity | 9.3 Yrs |
See the entire portfolio in the Schedule of Investments beginning on page 12.
This page is not part of the Semi-Annual Report. 5
Thornburg New York Intermediate Municipal Fund
March 31, 2012
Table of Contents | ||||
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
6 Certified Semi-Annual Report
Christopher Ihlefeld Portfolio Manager | April 13, 2012
Dear Shareholder:
We are pleased to present the semi-annual report for the Thornburg New York Intermediate Municipal Fund. The net asset value (NAV) of the Class A shares increased by 18 cents to $13.11 per share during the six months ended March 31, 2012. If you were with us for the entire period, you received dividends of 19.5 cents per share. If you reinvested your dividends, you received 19.7 cents per share. Dividends per share were higher for Class I shares to account for varying class-specific expenses. The Class A shares of your Fund produced a total return of 2.91% at NAV over the six months ended March 31, 2012, compared to 3.31% for the BofA Merrill Lynch 3–15 Year U.S. Municipal Securities Index and 3.87% from the BofA Merrill Lynch 7–12 Year U.S. Municipal Securities Index. The Fund generated 0.27% more price return but 0.67% less income than the 3–15 year Index. | |
Christopher Ryon,CFA Portfolio Manager | The additional price appreciation is due to several factors. Our interest rate sensitivity as measured by the Fund’s duration and differing allocations along the yield curve added 0.34% of relative price appreciation. Our overweight to the insured and revenue sectors added 0.24%. We underweighted the general obligation and prerefunded sectors, which added 0.10% of relative performance. Our overweight to lower credit quality securities cost the Fund negative 0.30% relative to its benchmark. Other risk factors accounted for another negative 0.11%. New York’s credit quality remains a mixed picture as we head into the remainder of 2012. Real estate prices remain pressured, with a negative 2.88% change in year-over-year house prices at the end of 2011. However, the year-over-year change in sales tax revenue was up 0.6%. To blunt the negative effect of rising property taxes on New York homeowners in 2011, the state established a cap on the rate of increase in property taxes that can be imposed by local governments and school districts. | |
Josh Gonze Portfolio Manager | The Economy and the Federal Reserve
At the beginning of the semi-annual period in October 2011, the national economy seemed to be improving, albeit at a slow pace. Gross Domestic Product (GDP) increased from a 1.8% quarter-over-quarter increase for September 30, 2011, to a 3.0% increase for the quarter ending December 31, 2011. The economy added an average of 188,000 jobs per month for the six months ended March 31, 2012. The unemployment rate declined from 8.9% to 8.2%. The unemployment rate in New York was worse than the national average, fluctuating around 9.2% for the period. Other signs of growth came in the form of increased industrial production (up 1.31% for the period) and capacity utilization (up 1.16% for the period). Nationwide, banks | |
Certified Semi-Annual Report 7
Letter to Shareholders,
Continued
were lending to businesses: commercial and industrial loan volume increased 6.7% during the period. This is significant, because this type of lending had declined from 2007 through mid-2010.
Late last year, fears of a European contagion infecting the rest of the world’s economies drove a flight to quality and a move toward lower interest rates for U.S. Treasury securities — from which the municipal market benefited. These fears seemed to have subsided by the end of the most recent quarter. The chances of the Federal Reserve Board entering into another round of so-called quantitative easing are, in our estimation, a little remote, but if you pay attention to the business media outlets, it sounds like the next big trade. In fact, within the Federal Reserve system, voices of the inflation-hawk governors are growing louder. They are saying that there is no reason for further accommodation and that policy decisions should be based on the data and not on the calendar — a reference to the Federal Reserve (the Fed) policy statement that short-term rates will probably remain near zero until late 2014.
We share some of the views of the hawkish governors: interest rates are at historic lows and the economy is beginning to heal itself. Investors should expect an upward drift in rates. Because bond (and bond fund) prices move in a direction opposite to rates, investor expectations of future returns should be tempered by these basic facts. We believe investors should focus on the fundamentals of investing, on proper diversification, and determining that the proposed holding period of an investment matches the investment vehicle’s characteristics.
The Municipal Market
The municipal market was the beneficiary of lower Treasury yields, reduced supply of newly issued municipal bonds and increased investor confidence in the municipal bond market. Chart I shows the quarterly returns of the BofA Merrill Lynch 3–15 Year U.S. Municipal Securities Index and the rolling two-year annualized returns for the same index. For the last year, the quarterly returns have decreased. This may be attributable to increasing investor confidence, or to investors trying to capture prior-period returns, when the municipal market seemed much riskier. Cash flows into municipal bond mutual funds began to pick
CHART 1: BOFA MERRILL LYNCH 3-15 YEAR U.S. MUNICIPAL SECURITIES INDEX
Quarterly Returns versus Rolling Two-Year Returns
Past performance does not guarantee future results.
8 Certified Semi-Annual Report
CHART II: CHANGES IN AAA GENERAL OBLIGATION BOND YIELDS
10/1/2011 through 3/31/2012
up in the last three months of 2011 and remained positive through the end of March 2012. While quarterly returns are volatile, the two-year rolling annualized returns lend some perspective to formulating return expectations. We believe these data indicate municipal bond investors are more likely to benefit from a two- to three-year investment horizon, depending on the fund under consideration, with lengthier horizons for longer-maturity funds.
Chart II illustrates the change in yields for AAA-rated general obligation bonds over the semi-annual reporting period; this was a continuation of a move to lower rates experienced in the last six months of 2011. Indeed, it is hard to imagine interest rates moving much lower. Given the reduction in rates we have seen in the last year, we believe that the municipal market, along with most fixed income markets, is riskier today than it was this time last year. We have therefore become more defensive towards the market. We have taken several steps to position the funds for rising rates: we have raised cash and liquidity levels and have shortened the average maturity of the funds within the context of the laddered structure.
On the bright side, the credit fundamentals of the municipal bond market continue to improve. Some local credits that are heavily dependent on real estate values are the exception; as assessed values reflect the realities of a depressed real estate market, the tax base of these credits will remain stressed. But the Census Bureau recently reported state tax revenue increased $62 billion in 2011 from a 2010 level of $702 billion — or an 8.8% increase. In New York, tax revenues increased $4 billion over 2010 levels for a 6.5% increase. State budget deficits are declining as revenues increase. New York’s $10 billion 2012 initial budget gap is larger than its $8.5 billion 2011 initial budget gap but down from 2010’s initial $21 billion gap.
Pension funding is a large issue in some states; as of October 24, 2011, Bloomberg News reported, the median pension funding ratio for the states in 2010 was 74.6% down from a high of 82.8% in 2007. Nationally, pension fund-
Certified Semi-Annual Report 9
Letter to Shareholders,
Continued
ing levels ranged from 45.4% to 101.5%. New York’s pension funding ratio for 2010 was 101.5%, down from a high of 107.4% in 2008, but certainly well in excess of the 80.0% target suggested by actuaries at the Pew Center on the States.
Your Thornburg New York Intermediate Municipal Fund is a laddered portfolio of 52 municipal obligations as of March 31, 2012. 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 is intended to accomplish two goals. First, the staggered maturities of a laddered structure reduce interest-rate risk and ordinarily dampen the Fund’s price volatility. Laddering also is intended to reduces reinvestment risk by giving the Fund a steady cash flow stream from maturing bonds to reinvest toward the top of the ladder where yields are typically higher. Chart III describes the percentages of your Fund’s bond portfolio maturing in each of the coming years. The Fund’s adherence to the discipline of the laddered structure served investors well.
CHART III: % OF PORTFOLIO MATURING
As of 3/31/12. Percentages vary over time.
Data may not add up to 100% due to rounding.
We plan to continue to search for opportunities in the municipal market, using our fundamental, bottom-up approach to portfolio management, and the discipline of the laddered structure. Thank you for the trust you have placed with us. We will continue to keep it foremost in our minds as we go forward.
A Cautionary Note
The performance of the fixed income market must be judged within the context of a long-term bull market for bonds, with interest rates slowly declining for nearly 30 years. As illustrated in Chart IV, the yield on the 10-year U.S. Treasury note has been in a downward trajectory and is currently near its all-time low. At some point, interest rates should rise, which will push bond prices down. No one can forecast precisely
CHART IV: CYCLICAL BULL MARKET FOR BONDS – 30 YEARS OF DECLINING YIELDS
Yield of 10-Year Treasury Note
10 Certified Semi-Annual Report
when this will occur, how long it will continue, or how volatile the rise will be. One of the best risk management techniques to navigate such periods of uncertainty is to maintain a well-diversified portfolio and hold it for an investment time horizon of at least two to three years. A diversified portfolio should include exposure to bonds.
The question for investors is finding the optimal approach to managing the rise in rates. A bond ladder, which Thornburg uses in all its core bond funds, is a disciplined approach to the yield curve that works well in periods of rising rates – provided that the investor has a sufficient time horizon. Ladders also allow for portfolio managers to actively manage the specific bonds, market sectors, and structural characteristics of the bonds in the portfolios.
With laddered maturities, the bonds reach maturity in a sequential fashion, with a small portion maturing annually at face value. That cash is reinvested at the top end of the ladder, where rates are highest. Imagine that interest rates increased since you purchased your shares, so the NAV has declined. But some bonds have matured and the proceeds reinvested at the new, higher interest rates. That causes the monthly dividend to rise. The dividend yield increases and the total return begins to recover. Remember total return consists of two components: dividends plus or minus change in market value of the bonds. After a period of time, depending on how much rates rise, the investor’s total return should rebound to where it would have been if rates had not increased.
Sincerely,
|  |  | ||
Christopher Ihlefeld | Christopher Ryon,CFA | Josh Gonze | ||
Portfolio Manager | Portfolio Manager | 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.
Certified Semi-Annual Report 11
| SCHEDULE OF INVESTMENTS | ||
| Thornburg New York Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
| ||
We have used ratings from Standard & Poor’s (S&P). Where S&P ratings are not available, we have used Moody’s Investors Service. Where neither rating is available, we have used ratings from Fitch Ratings. The category of investments identified as “AAA” in this graph includes investments which are pre-refunded or escrowed to maturity. Such investments are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities to satisfy the timely payment of principal and interest and, therefore, are normally deemed to be equivalent to AAA-rated securities.
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Amherst Development Corp., 5.00% due 10/1/2020 (University at Buffalo Foundation Facility- Student Housing; Insured: AGM) | AA-/Aa3 | $ | 1,000,000 | $ | 1,158,470 | |||||
Babylon New York GO, 5.00% due 9/1/2015 (Insured: AMBAC) | NR/NR | 465,000 | 510,947 | |||||||
Dutchess County IDA, 5.00% due 8/1/2020 (Bard College) | NR/Baa1 | 825,000 | 887,296 | |||||||
Dutchess County IDA, 5.00% due 8/1/2021 (Bard College) | NR/Baa1 | 1,100,000 | 1,177,033 | |||||||
Erie County IDA School Facilities, 5.25% due 5/1/2025 (Buffalo City School District) | AA-/Aa3 | 1,000,000 | 1,130,850 | |||||||
Guam Government Ltd. Obligation, 5.375% due 12/1/2024 | BBB-/NR | 1,000,000 | 1,049,410 | |||||||
Hempstead Town Local Development Corp., 5.00% due 7/1/2028 (Hofstra University) | A/A3 | 500,000 | 546,410 | |||||||
Long Island Power Authority, 5.25% due 9/1/2029 | NR/A3 | 645,000 | 732,346 | |||||||
Nassau County IDA, 4.75% due 3/1/2026 (New York Institute of Technology) | BBB+/NR | 1,000,000 | 1,054,750 | |||||||
New York City GO, 0.20% due 8/1/2015 put 4/2/2012 (LOC: JPMorgan Chase Bank) (daily demand notes) | AAA/Aa1 | 600,000 | 600,000 | |||||||
New York City GO, 5.00% due 8/1/2025 | AA/Aa2 | 400,000 | 453,876 | |||||||
New York City Health & Hospital Corp. GO, 5.00% due 2/15/2025 | A+/Aa3 | 1,000,000 | 1,117,010 | |||||||
New York City Metropolitan Transportation Authority, 6.25% due 11/15/2023 | A/A2 | 1,000,000 | 1,201,960 | |||||||
New York City Municipal Water Finance Authority, 5.75% due 6/15/2013 (Insured: Natl-Re) (ETM) | AAA/A2 | 1,000,000 | 1,024,540 | |||||||
New York City Transitional Finance Authority, 5.25% due 8/1/2016 pre-refunded 8/1/2012 (Insured: AMBAC) | AA-/Aaa | 135,000 | 137,296 | |||||||
New York City Transitional Finance Authority, 5.00% due 1/15/2020 (State Aid Withholding) | AA-/Aa3 | 1,000,000 | 1,179,030 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2020 | AAA/Aaa | 1,000,000 | 1,138,010 | |||||||
New York City Transitional Finance Authority, 0.23% due 8/1/2031 put 4/2/2012 (SPA: Landesbank Hessen-Thuringen) (daily demand notes) | AAA/Aaa | 100,000 | 100,000 | |||||||
New York Convention Center Development Corp. Hotel Unit Fee, 5.00% due 11/15/2017 (Insured: AMBAC) | NR/A1 | 1,000,000 | 1,100,690 | |||||||
New York Environmental Facilities Corp., 6.875% due 6/15/2014 | AAA/Aaa | 310,000 | 311,683 | |||||||
New York Municipal Bond Bank Agency, 5.00% due 4/15/2018 (Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,162,500 | |||||||
New York State Dormitory Authority, 5.25% due 2/15/2014 (Presbyterian Hospital; Insured: AGM) | AA-/Aa3 | 500,000 | 541,945 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2014 (School District Financing Program; Insured: AGM) (State Aid Withholding) | AA-/Aa3 | 1,000,000 | 1,097,630 | |||||||
New York State Dormitory Authority, 5.00% due 2/15/2015 (Mental Health Services; Insured: AMBAC) | AA-/NR | 1,000,000 | 1,115,640 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2016 (Bishop Henry B. Hucles Nursing Home; Insured: SONYMA) | NR/Aa1 | 600,000 | 692,220 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2018 (School District; Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,157,960 | |||||||
New York State Dormitory Authority, 5.25% due 10/1/2018 (School District Financing Program; Insured: AGM) | AA-/Aa3 | 775,000 | 909,036 | |||||||
New York State Dormitory Authority, 5.50% due 7/1/2019 (Brooklyn Law School; Insured: Radian) | BBB+/Baa1 | 1,400,000 | 1,456,994 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2020 (NYSARC, Inc.) | NR/Aa3 | 1,175,000 | 1,374,633 | |||||||
New York State Dormitory Authority, 5.25% due 7/1/2022 (St. John’s University; Insured: Natl-Re) | A-/A3 | 1,000,000 | 1,199,720 | |||||||
New York State Dormitory Authority, 5.00% due 1/15/2023 (Municipal Health Facilities) | AA-/Aa3 | 1,000,000 | 1,105,950 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2024 (Bishop Henry B. Hucles Nursing Home; Insured: SONYMA) | NR/Aa1 | 1,000,000 | 1,077,800 | |||||||
12 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg New York Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2024 (School District Financing Program; Insured: AGM) (State Aid Withholding) | AA-/Aa3 | $ | 1,000,000 | $ | 1,128,570 | |||||
New York State Dormitory Authority, 5.00% due 7/1/2027 (Interagency Council Pooled Loan Program) | NR/Aa3 | 1,000,000 | 1,083,570 | |||||||
New York State Dormitory Authority, 5.25% due 7/1/2027 (Health Quest Systems; Insured: AGM) | AA-/Aa3 | 500,000 | 533,955 | |||||||
New York State Dormitory Authority, 5.25% due 5/1/2030 (North Shore Long Island Jewish Medical) | A-/A3 | 1,000,000 | 1,086,720 | |||||||
New York State Dormitory Authority Personal Income Tax, 5.00% due 3/15/2019 (Insured: AGM) | AAA/Aa3 | 1,000,000 | 1,116,740 | |||||||
New York State Energy Research & Development Authority, 2.25% due 12/1/2015 (New York Electric & Gas Corp.) | BBB+/Baa2 | 1,000,000 | 1,019,220 | |||||||
New York State Housing Finance Agency, 1.60% due 5/1/2012 (Affordable Housing) | NR/Aa2 | 40,000 | 40,042 | |||||||
New York State Thruway Authority Highway & Bridge Trust Fund, 5.00% due 4/1/2022 | AA/NR | 1,000,000 | 1,137,590 | |||||||
New York State Urban Development Corp., 5.25% due 1/1/2021 | AA-/NR | 1,000,000 | 1,173,250 | |||||||
Oneida County IDA, 6.10% due 6/1/2020 (Presbyterian Home for Central New York; LOC: HSBC Bank USA) | NR/Aa3 | 450,000 | 451,368 | |||||||
Onondaga Civic Development Corp., 5.00% due 7/1/2021 (Le Moyne College) | NR/Baa2 | 1,000,000 | 1,101,010 | |||||||
Onondaga Civic Development Corp., 5.50% due 12/1/2031 (Upstate Properties Development) | A+/NR | 1,000,000 | 1,105,730 | |||||||
Port Authority New York & New Jersey, 5.00% due 8/15/2022 (Insured: AGM) | AA-/Aa2 | 1,000,000 | 1,127,770 | |||||||
Syracuse Industrial Development Agency, 5.25% due 5/1/2026 (Syracuse City School District) | AA-/Aa3 | 2,150,000 | 2,465,298 | |||||||
Tobacco Settlement Funding Corp., 5.50% due 6/1/2021 | AA-/Aa3 | 1,000,000 | 1,056,160 | |||||||
Triborough Bridge & Tunnel Authority, 5.00% due 11/15/2025 | AA-/Aa2 | 1,410,000 | 1,590,395 | |||||||
United Nations Development Corp., 5.00% due 7/1/2025 | NR/A1 | 710,000 | 788,462 | |||||||
Utica IDA, 5.375% due 7/15/2019 (Munson Williams Proctor Institute) | NR/A2 | 525,000 | 526,890 | |||||||
Utica IDA Civic Facility, 5.25% due 7/15/2016 (Munson Williams Proctor Institute) | NR/A2 | 210,000 | 212,940 | |||||||
Virgin Islands Water & Power Authority, 5.50% due 7/1/2017 | NR/NR | 1,350,000 | 1,352,672 | |||||||
|
| |||||||||
TOTAL INVESTMENTS — 91.01% (Cost $46,191,801) | $ | 49,601,987 | ||||||||
OTHER ASSETS LESS LIABILITIES — 8.99% | 4,901,657 | |||||||||
|
| |||||||||
NET ASSETS — 100.00% | $ | 54,503,644 | ||||||||
|
| |||||||||
Footnote Legend
| † | Credit ratings are unaudited. Rating changes may have occurred subsequent to the reporting period end. Bonds issued with a maturity of one year or less are assigned Moody’s ratings from MIG-1 to MIG-4 and Standard and Poor’s ratings from SP-1+ to SP-3 with MIG-1 and SP-1+ being the strongest ratings. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
| AGM | Insured by Assured Guaranty Municipal Corp. | |
| AMBAC | Insured by American Municipal Bond Assurance Corp. | |
| ETM | Escrowed to Maturity | |
| GO | General Obligation | |
| IDA | Industrial Development Authority | |
| LOC | Letter of Credit | |
| Natl-Re | Insured by National Public Finance Guarantee Corp. | |
| Radian | Insured by Radian Asset Assurance | |
| SONYMA | State of New York Mortgage Authority | |
| SPA | Stand-by Purchase Agreement |
See notes to financial statements.
Certified Semi-Annual Report 13
| STATEMENT OF ASSETS AND LIABILITIES | ||
| Thornburg New York Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
ASSETS | ||||
Investments at value (cost $46,191,801) (Note 2) | $ | 49,601,987 | ||
Cash | 3,652,362 | |||
Receivable for investments sold | 465,000 | |||
Receivable for fund shares sold | 230,319 | |||
Interest receivable | 664,579 | |||
Prepaid expenses and other assets | 677 | |||
|
| |||
Total Assets | 54,614,924 | |||
|
| |||
LIABILITIES | ||||
Payable for fund shares redeemed | 17,014 | |||
Payable to investment advisor and other affiliates (Note 3) | 36,170 | |||
Accounts payable and accrued expenses | 21,498 | |||
Dividends payable | 36,598 | |||
|
| |||
Total Liabilities | 111,280 | |||
|
| |||
NET ASSETS | $ | 54,503,644 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment income | $ | (16,847 | ) | |
Net unrealized appreciation on investments | 3,410,186 | |||
Accumulated net realized gain (loss) | (131,477 | ) | ||
Net capital paid in on shares of beneficial interest | 51,241,782 | |||
|
| |||
| $ | 54,503,644 | |||
|
| |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($50,523,318 applicable to 3,853,900 shares of beneficial interest outstanding—Note 4) | $ | 13.11 | ||
Maximum sales charge, 2.00% of offering price | 0.27 | |||
|
| |||
Maximum offering price per share | $ | 13.38 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($3,980,326 applicable to 303,624 shares of beneficial interest outstanding—Note 4) | $ | 13.11 | ||
|
| |||
See notes to financial statements.
14 Certified Semi-Annual Report
| STATEMENT OF OPERATIONS | ||
| Thornburg New York Intermediate Municipal Fund | Six Months Ended March 31, 2012 (Unaudited) | |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $113,502) | $ | 1,022,749 | ||
|
| |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 128,566 | |||
Administration fees (Note 3) | ||||
Class A Shares | 29,836 | |||
Class I Shares | 920 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 59,671 | |||
Transfer agent fees | ||||
Class A Shares | 10,025 | |||
Class I Shares | 1,140 | |||
Registration and filing fees | ||||
Class A Shares | 146 | |||
Custodian fees (Note 3) | 14,620 | |||
Professional fees | 12,321 | |||
Accounting fees | 723 | |||
Trustee fees | 718 | |||
Other expenses | 9,096 | |||
|
| |||
Total Expenses | 267,782 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (18,917 | ) | ||
Fees paid indirectly (Note 3) | (250 | ) | ||
|
| |||
Net Expenses | 248,615 | |||
|
| |||
Net Investment Income | 774,134 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | (90 | ) | ||
Net change in unrealized appreciation (depreciation) on investments | 697,661 | |||
|
| |||
Net Realized and Unrealized Gain | 697,571 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 1,471,705 | ||
|
| |||
See notes to financial statements.
Certified Semi-Annual Report 15
| STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg New York Intermediate Municipal Fund | ||
| Six Months Ended March 31, 2012* | Year Ended September 30, 2011 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 774,134 | $ | 1,520,039 | ||||
Net realized gain (loss) on investments | (90 | ) | (98,557 | ) | ||||
Net unrealized appreciation (depreciation) on investments | 697,661 | 195,166 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,471,705 | 1,616,648 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (713,231 | ) | (1,450,725 | ) | ||||
Class I Shares | (60,903 | ) | (69,314 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 4,322,778 | (2,726,714 | ) | |||||
Class I Shares | 417,990 | 1,720,642 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | 5,438,338 | (909,463 | ) | |||||
NET ASSETS: | ||||||||
Beginning of Period | 49,065,305 | 49,974,768 | ||||||
|
|
|
| |||||
End of Period | $ | 54,503,644 | $ | 49,065,305 | ||||
|
|
|
| |||||
| * | Unaudited. |
See notes to financial statements.
16 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS | ||
| Thornburg New York Intermediate Municipal Fund | March 31, 2012 (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 Fund is currently one of sixteen separate series of the Trust. 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 two classes of shares of beneficial interest: Class A and 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 and (ii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, and (iii) 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 Investments: Debt obligations 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, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
In any case where a pricing service fails to provide a price for a debt obligation held by the Fund, the valuation and pricing committee determines a fair value for the obligation using procedures approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt obligation 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 obligation.
In determining fair value for any portfolio security or other investment, the valuation and pricing committee seeks to determine the amount that an owner of the investment might reasonably expect to receive upon a sale of the investment. However, because fair value prices are estimated prices, the valuation and pricing committee’s determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Fund’s financial statements. The valuation and pricing committee’s determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation Measurements: Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three levels listed below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment rates, credit risk, etc.).
Level 3: Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
Certified Semi-Annual Report 17
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg New York Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
The following table displays a summary of the inputs used to value the Fund’s net assets as of March 31, 2012. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
| Fair Value Measurements at March 31, 2012 | ||||||||||||||||
| Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities | ||||||||||||||||
Municipal Bonds | $ | 49,601,987 | $ | — | $ | 49,601,987 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 49,601,987 | $ | — | $ | 49,601,987 | $ | — | ||||||||
Other Notes: It is the policy of the Fund to recognize significant transfers between Levels 1, 2 and 3 and to disclose those transfers as of the date of the underlying event which caused the movement. The Fund recognized no significant transfers between levels for the six months ended March 31, 2012.
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 to shareholders substantially all taxable (if any) and tax exempt income of the Fund. Therefore, no provision for federal income tax is required.
Management reviews each uncertain tax position believed to be material to the preparation of the Fund’s financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of March 31, 2012, management has not identified any such position for which a liability must be reflected in the Statement of Assets and Liabilities. The Fund’s tax returns remain subject to examination for three years after filing.
When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with 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 Fund makes a commitment to purchase a security on a when-issued or delayed delivery 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 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
18 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg New York Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
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 the six months ended March 31, 2012, 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 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, 2012, the Advisor contractually reimbursed certain class specific expenses and administrative fees of $17,304 for Class A shares and $1,613 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, 2012, the Distributor has advised the Fund that it earned net commissions aggregating $562 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. For the six months ended March 31, 2012, there were no 12b-1 service plan fees charged for Class I shares. 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, 2012, fees paid indirectly were $250.
Certain officers and Trustees of the Trust are also officers 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, 2012, 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, 2012 (Unaudited) | Year Ended September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 446,048 | $ | 5,843,689 | 807,669 | $ | 10,231,983 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 37,956 | 497,137 | 79,211 | 995,815 | ||||||||||||
Shares repurchased | (154,339 | ) | (2,018,048 | ) | (1,122,823 | ) | (13,954,512 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 329,665 | $ | 4,322,778 | (235,943 | ) | $ | (2,726,714 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Certified Semi-Annual Report 19
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg New York Intermediate Municipal Fund | March 31, 2012 (Unaudited) | |
| Six Months Ended March 31, 2012 (Unaudited) | Year Ended September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 64,535 | $ | 844,583 | 200,446 | $ | 2,554,922 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 4,034 | 52,832 | 4,201 | 53,168 | ||||||||||||
Shares repurchased | (36,854 | ) | (479,425 | ) | (70,956 | ) | (887,448 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 31,715 | $ | 417,990 | 133,691 | $ | 1,720,642 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2012, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $5,524,852 and $4,540,000, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2012, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 46,191,801 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 3,410,186 | ||
Gross unrealized depreciation on a tax basis | — | |||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 3,410,186 | ||
|
|
At March 31, 2012, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2010 of $98,557. For tax purposes, such losses will be reflected in the year ending September 30, 2012.
At March 31, 2012, the Fund had tax basis capital losses of $32,830, 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 September 30, 2014.
The Regulated Investment Company Modernization Act of 2010 (the “Act”) was signed into law on December 22, 2010. The Act makes changes to a number of tax rules impacting the Fund. Under the Act, future capital losses generated by the Fund may be carried over indefinitely, but these losses must be used prior to the utilization of any pre-enactment capital losses. Since pre-enactment capital losses may only be carried forward for eight years, there may be a greater likelihood that all or a portion of a Fund’s pre-enactment capital losses will expire unused. In general, the provisions of the Act will be effective for the Fund’s fiscal year ending September 30, 2012.
OTHER NOTES:
Risks: The Fund’s investments subject it to risks including, but not limited to, credit risk, interest rate risk, management risk, market and economic risk, liquidity risk, and the risks of investing primarily in the obligations of a single state. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund.
Subsequent Events: Fund management believes no events have occurred between March 31, 2012 and the date of issuance of the financial statements, which require adjustment to, or disclosure in the accompanying financial statements.
20 Certified Semi-Annual Report
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Certified Semi-Annual Report 21
Thornburg New York Intermediate Municipal Fund
| PER SHARE PERFORMANCE (for a share outstanding throughout the Period)+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless | Net Asset Value Beginning of Period | Net Investment Income (Loss) | Net Realized & Unrealized Gain (Loss) on Investments | Total from Investment Operations | Dividends from Net Investment Income | Dividends from Net Realized Gains | Total Dividends | Net of | Net Investment Income (Loss) (%) | Expenses, After Expense Reductions (%) | Expenses, After Expense Reductions and Net of Custody Credits (%) | Expenses, Before Expense Reductions (%) | Total Return (%)(a) | Portfolio Turnover Rate (%) | Net Assets at End of Period (Thousands) | |||||||||||||||||||||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b)(c) | $ | 12.93 | 0.19 | 0.19 | 0.38 | (0.20 | ) | — | (0.20 | ) | $13.11 | 2.99 | (d) | 0.99 | (d) | 0.99 | (d) | 1.06 | (d) | 2.91 | 9.36 | $ | 50,523 | |||||||||||||||||||||||||||||||||||
2011(c) | $ | 12.82 | 0.41 | 0.11 | 0.52 | (0.41 | ) | — | (0.41 | ) | $12.93 | 3.26 | 0.99 | 0.99 | 1.07 | 4.20 | 26.39 | $ | 45,551 | |||||||||||||||||||||||||||||||||||||||
2010(c) | $ | 12.79 | 0.42 | 0.04 | 0.46 | (0.43 | ) | — | (0.43 | ) | $12.82 | 3.38 | 0.99 | 0.99 | 1.07 | 3.68 | 11.79 | $ | 48,203 | |||||||||||||||||||||||||||||||||||||||
2009(c) | $ | 11.87 | 0.45 | 0.92 | 1.37 | (0.45 | ) | — | (0.45 | ) | $12.79 | 3.67 | 0.99 | 0.99 | 1.07 | 11.77 | 13.00 | $ | 40,115 | |||||||||||||||||||||||||||||||||||||||
2008(c) | $ | 12.30 | 0.44 | (0.43 | ) | 0.01 | (0.44 | ) | — | (0.44 | ) | $11.87 | 3.61 | 1.01 | 0.99 | 1.08 | 0.07 | 13.42 | $ | 30,685 | ||||||||||||||||||||||||||||||||||||||
2007(c) | $ | 12.38 | 0.46 | (0.08 | ) | 0.38 | (0.46 | ) | — | (0.46 | ) | $12.30 | 3.74 | 1.01 | 0.99 | 1.11 | 3.13 | 14.91 | $ | 33,016 | ||||||||||||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 12.92 | 0.22 | 0.19 | 0.41 | (0.22 | ) | — | (0.22 | ) | $13.11 | 3.31 | (d) | 0.67 | (d) | 0.67 | (d) | 0.76 | (d) | 3.16 | 9.36 | $ | 3,981 | |||||||||||||||||||||||||||||||||||
2011 | $ | 12.82 | 0.45 | 0.10 | 0.55 | (0.45 | ) | — | (0.45 | ) | $12.92 | 3.54 | 0.67 | 0.67 | 0.71 | 4.45 | 26.39 | $ | 3,514 | |||||||||||||||||||||||||||||||||||||||
2010(e) | $ | 12.48 | 0.29 | 0.35 | 0.64 | (0.30 | ) | — | (0.30 | ) | $12.82 | 3.53 | (d) | 0.67 | (d) | 0.67 | (d) | 1.32 | (d) | 5.22 | 11.79 | $ | 1,772 | |||||||||||||||||||||||||||||||||||
| (a) | Not annualized for periods less than one year. |
| (b) | Unaudited Six Month Period Ended March 31. |
| (c) | Sales loads are not reflected in computing total return. |
| (d) | Annualized. |
| (e) | Effective date of this class of shares was February 1, 2010. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
| 22 Certified Semi-Annual Report | Certified Semi-Annual Report 23 |
| EXPENSE EXAMPLE | ||
| Thornburg New York Intermediate Municipal Fund | March 31, 2012 (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 a $1,000 investment beginning on October 1, 2011, and held until March 31, 2012.
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 10/1/11 | Ending Account Value 3/31/12 | Expenses Paid During Period† 10/1/11–3/31/12 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,029.10 | $ | 5.02 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.05 | $ | 5.00 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,031.60 | $ | 3.40 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,021.66 | $ | 3.38 | ||||||
| † | Expenses are equal to the annualized expense ratio for each class (A: 0.99%; I: 0.67%) multiplied by the average account value over the period, multiplied by 183/366 to reflect the one-half year period. |
| * | Hypothetical assumes a rate of return of 5% per year before expenses. |
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
24 Certified Semi-Annual Report
| OTHER INFORMATION | ||
| Thornburg New York Intermediate Municipal Fund | March 31, 2012 (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. A description of the Policy 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. 25
Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
September 13, 2011
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.
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.
APPOINTMENT OF TRUSTEE
The Trustees have appointed Sally Corning of Santa Fe, New Mexico as a Trustee, effective May 7, 2012. Ms. Corning is a founding partner of Sun Mountain Capital, Santa Fe, which advises clients in making investments in private equity partnerships and invests directly in private companies. Ms. Corning was formerly employed by Credit Suisse First Boston, Morgan Stanley and Dean Witter Reynolds. She received her BSBA from Georgetown University and her MBA from the Columbia University Graduate School of Business.
26 This page is not part of the Semi-Annual Report.
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 website 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 Developing World 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. 27
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 Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We are very organic in our approach, avoiding leverage or complex strategies which could backfire in periods of market uncertainty.
| • | 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 Strategic Municipal Income Fund |
| • | Thornburg Limited Term U.S. Government Fund |
| • | Thornburg Limited Term Income Fund |
| • | Thornburg Strategic Income Fund |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
This page is not part of the Semi-Annual Report. 29
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30 This page is not part of the Semi-Annual Report.
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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. | 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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Important Information
The information presented on the following pages was current as of March 31, 2012. The managers’ views, portfolio holdings, and sector diversification are provided for the general information of the Funds’ shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments in the Funds carry risks, including possible loss of principal. Bond funds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The principal value of a bond will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Funds invested in mortgage backed securities may bear additional risk. Please see each Fund’s Prospectus for a discussion of the risks associated with an investment in either Fund. Investments in the Funds are not FDIC insured, nor are they deposits of or guaranteed by a bank or any other entity. 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.
Performance data given at net asset value (NAV) does not take into account applicable sales charges. If the sales charges had been included, the performance would have been lower. Minimum investments for Class I shares are higher than those for other classes. Class I and R3 shares may not be available to all investors.
Limited Term U.S. Government Fund | NASDAQ SYMBOLS | CUSIPS | ||
Class A | LTUSX | 885-215-103 | ||
Class B | LTUBX | 885-215-848 | ||
Class C | LTUCX | 885-215-830 | ||
Class I | LTUIX | 885-215-699 | ||
Class R3 | LTURX | 885-215-491 |
Limited Term Income Fund | ||||
Class A | THIFX | 885-215-509 | ||
Class C | THICX | 885-215-764 | ||
Class I | THIIX | 885-215-681 | ||
Class R3 | THIRX | 885-215-483 | ||
Lipper’s 2012 Best Fixed Income Funds Manager
Thornburg Investment Management ranked #1 out of 41 eligible firms in Lipper, Inc.’s fixed income Large Company universe for the three-year period ended 11/30/11, based on risk-adjusted returns. Lipper’s Large Company universe is comprised of fund families with more than $40 billion in total net assets. Only fund families with at least five bond funds were eligible for the fixed income funds manager award. Asset Class Group Awards are given for the three-year period only.
Glossary
Barclays Aggregate Bond Index – An index that is composed of approximately 8,000 publicly traded bonds including U.S. government, mortgage-backed, corporate and Yankee bonds. The index is weighted by the market value of the bonds included in the index.
Barclays Intermediate Government/Credit Bond Index – An unmanaged, market-weighted index generally representative of intermediate government and investment-grade corporate debt securities having maturities from one up to ten years.
Barclays 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 from one 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.
Annualized Distribution Yield – The distribution yield reflects actual distributions made to shareholders. The annualized distribution yield is calculated by summing the last 30 days of income at a given month end and annualizing to a 360-day year. The result is divided by the ending maximum offering price or net asset value.
Bond Credit Ratings – A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C, and D (the lowest) are considered below investment grade, speculative grade, or junk bonds. Unless otherwise noted, the ratings listed are from Bloomberg Market Data and are a combination of ratings from Standard and Poor’s, Moody’s Investors Service, and/or Fitch Ratings.
Duration – A bond’s sensitivity to interest rates. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
Lipper Short-Intermediate Investment Grade Category – Funds that invest at least 65% of their assets in investment grade debt issues (rated in top four grades) with dollar-weighted average maturities of one to five years.
Lipper Short-Intermediate U.S. Government Bond Category – Funds that invest at least 65% of assets in securities issued or guaranteed by the U.S. government, its agencies, or its instrumentalities, with dollar weighted average maturities of one to five years.
SEC Yield – SEC yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Fund’s shares at the end of the period.
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.
This page is not part of the Semi-Annual Report. 3
Thornburg Limited Term U.S. Government Fund
At Thornburg, our approach to management of the Fund is based on the premise that investors in the Fund seek preservation of capital along with an attractive, relatively stable yield. While aggressive bond strategies may generate stronger returns when the market is turning a blind eye towards risk, they often fail to stack up over longer periods of time.
We apply time-tested techniques to manage risk and provide attractive returns. These include:
| • | Building a laddered portfolio. Laddering has been shown over time to mitigate reinvestment and interest-rate risk. |
| • | Investing on a cash-only basis without using leverage. While leveraged strategies may enhance returns when conditions are favorable, they can quickly compound losses when sentiment shifts. |
| • | Conducting careful research to invest where we see the best relative value among government and agency sectors. |
IMPORTANT
PERFORMANCE INFORMATION
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200.
The maximum sales charge for the Limited Term U.S. Government Fund’s Class A shares is 1.50%. The total annual fund operating expense of Class A shares is 0.89%, as disclosed in the most recent Prospectus.
LONG-TERM STABILITY OF PRINCIPAL
Net asset value history of A shares from November 16, 1987 through March 31, 2012
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2012
| 1 Yr | 3 Yrs | 5 Yrs | 10Yrs | Since Inception | ||||||||||||||||
A Shares (Incep: 11/16/87) | ||||||||||||||||||||
Without sales charge | 3.75 | % | 3.42 | % | 4.75 | % | 4.28 | % | 5.75 | % | ||||||||||
With sales charge | 2.18 | % | 2.89 | % | 4.43 | % | 4.12 | % | 5.68 | % | ||||||||||
PORTFOLIO LADDER
As of March 31, 2012
30-DAY YIELDS
As of March 31, 2012
| Annualized Distribution Yield | SEC Yield | |||||||
A Shares | 2.30 | % | 1.50 | % | ||||
KEY PORTFOLIO ATTRIBUTES
As of March 31, 2012
Number of Bonds | 181 | |||
Effective Duration | 2.8 Yrs | |||
Average Maturity | 3.2 Yrs |
See the entire portfolio in the Schedule of Investments beginning on page 11.
4 This page is not part of the Semi-Annual Report.
Thornburg Limited Term Income Fund
The Thornburg Limited Term Income Fund takes the laddering strategy to the broader fixed-income market. Expanding beyond government and agency securities brings additional risks – as well as potentially higher returns. Our team addresses these uncertainties by employing a comprehensive approach to risk management. While utilizing the ladder to balance interest-rate and reinvestment risk, the team also:
| • | Invests on a cash-only basis. While leveraged strategies may enhance returns when market conditions are favorable, they can quickly compound losses when sentiment shifts. |
| • | Conducts in-depth fundamental research on each credit issue under consideration. The goal of this research is identification of bonds which provide a reasonable return for their given level of risk. |
| • | Maintains a portfolio of high-quality bonds and diversifies among a large number of bonds to minimize the potential impact of default by any single issuer. |
IMPORTANT
PERFORMANCE INFORMATION
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200.
The maximum sales charge for the Limited Term Income Fund’s Class A shares is 1.50%. The total annual operating expenses of Class A shares are 0.98% as disclosed in the most recent Prospectus.
LONG-TERM STABILITY OF PRINCIPAL
Net asset value history of A shares from October 1, 1992 through March 31, 2012
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2012
| 1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception | ||||||||||||||||
A Shares (Incep: 10/1/92) | ||||||||||||||||||||
Without sales charge | 6.14 | % | 9.33 | % | 6.11 | % | 5.27 | % | 5.67 | % | ||||||||||
With sales charge | 4.55 | % | 8.77 | % | 5.79 | % | 5.12 | % | 5.59 | % | ||||||||||
PORTFOLIO LADDER
As of March 31, 2012
30-DAY YIELDS
As of March 31, 2012
| Annualized Distribution Yield | SEC Yield | |||||||
A Shares | 2.94 | % | 2.30 | % | ||||
KEY PORTFOLIO ATTRIBUTES
As of March 31, 2012
Number of Bonds | 497 | |||
Effective Duration | 3.5 Yrs | |||
Average Maturity | 4.5 Yrs |
See the entire portfolio in the Schedule of Investments beginning on page 16.
This page is not part of the Semi-Annual Report. 5
Thornburg Limited Term Income Funds
March 31, 2012
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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.
6 Certified Semi-Annual Report
Jason Brady,CFA Portfolio Manager, Thornburg Limited Term U.S. Government Fund
Portfolio Manager Thornburg Limited Term Income Fund
Lon Erickson,CFA Portfolio Manager Thornburg Limited Term Income Fund | April 18, 2012
Dear Fellow Shareholders:
We are pleased to present the semi-annual report for the Thornburg Limited Term U.S.
The yields on U.S. Treasuries were somewhat volatile over the course of the past year, with
We believe that in most years, the movements of risk-free interest rates are a larger factor in |
Certified Semi-Annual Report 7
| Letter to Shareholders, | ||
Continued | ||
movements of underlying “risk-free” U.S. Treasury rates have dominated price volatility. As such it is perhaps useful to reiterate why our Limited Term Funds do not typically invest notably further out the curve into longer duration securities.
While “limited term” refers to a 10 year and shorter investment universe, the longer end of the curve (more than 10 years) is only 12.43% of the Barclays Aggregate Bond Index. As a result, we are capturing the vast majority of the various opportunities available in the marketplace. It may seem odd to highlight a fund’s lesser exposure to duration after a period where longer duration was a large benefit. However, with interest rates in the front end at the zero bound, and longer-term rates largely below the prevailing level of inflation due to extremely accommodative Federal Reserve actions and a structurally weak economic environment, we believe that the next 30 years are unlikely to look quite like the last 30 years. In March of 1982, the 10-year stood at 14.01%. As mentioned above, in March of 2012, the same measure was 2.21%. Anyone want to bet that the year 2042 will see rates at negative 11.80%?
Though the yield curve is steep, and therefore the promised yield on the 30-year Treasury is still quite high relative to the two-year, we don’t think that over time the additional volatility that investors must endure to achieve this higher yield is worth it. (This is not to mention the opportunity cost of foregoing future investment opportunities that will likely crop up somewhere between two and 30 years time. This concentration on maturing securities is central to our laddering approach.) We will continue to invest shareholder funds in accordance with our primary mandate of a good risk-reward balance, muted NAV volatility, and low correlation to equities.
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 0.66% return over the six-month period, assuming a beginning-of-period investment at the NAV. The Barclays Intermediate Government Bond Index produced a 0.30% total return over the same time period. The average return for the Lipper Short-Intermediate U.S. Government Bond category was 0.60%. The Class A shares of the Thornburg Limited Term Income Fund produced a total return of 3.11% over the six-month period, assuming a beginning-of-period investment at the NAV. The Barclays Intermediate Government/Credit Bond Index produced a 1.46% total return over the same time period. The average return for the Lipper Short-Intermediate Investment Grade category was 2.31%. Both Barclays indices reflect no deduction for fees, expenses, or taxes.
In any environment, 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. The broad distribution of fund returns in the past three, five, and 10 years shows that those that reached for yield by taking incremental risk for which they were not compensated have suffered, while those not nimble enough to take advantage of opportunities in the market did not benefit from a market recovery. In many cases investors have been surprised by their fixed income allocation’s performance. We believe that the store of value in your bond portfolio should benefit you through economic cycles and we strive to invest with that in mind. In this environment, though low quality fixed income can move in tandem with equities, the risk of holding extremely high quality cash instruments or U.S. Treasuries alone is
8 Certified Semi-Annual Report
also present, especially when one considers potential erosion of purchasing power due to potential long-run inflation. As a result, we continue to try to place capital preservation (in all senses of the term) at the top of the list of priorities for these core Funds. While we don’t believe that yields will rise dramatically in the near term given an outlook for slow economic growth trends, rest assured that we at Thornburg are cognizant of that longer-term risk, and are preparing the portfolios accordingly.
Last year at this time, Standard & Poor’s had just placed the United States’ credit rating on watch for downgrade. Since then, they have in fact downgraded U.S. Treasuries and associated obligations to AA+ from AAA. Now Moody’s is threatening, finally, to downgrade most large financial institutions from what can only be described as ridiculously high levels. While ratings agencies do not have a monopoly on intelligent credit analysis, these actions serve to illustrate that investing for capital preservation is likely to continue to be the most challenging mandate over the next several years. Investments previously considered “safe”, which market participants ran towards in times of stress, are now a source of risk. Where are we all supposed to run when it looks to get ugly? There is no simple answer to this question any longer, and that in itself is a problem. This dynamic is likely to exacerbate volatility.
Thank you very much for investing in our Funds. We feel that the Thornburg Limited Term U.S. Government Fund and the Thornburg Limited Term Income Fund are appropriate investments for those looking for core bond investments. While we of course cannot guarantee future performance, Thornburg Investment Management will continue to strive to chart a steady course in what continues to be a volatile marketplace.
A Cautionary Note
The performance of the fixed income market must be judged within the context of a long-term bull market for bonds, with interest rates slowly declining for nearly 30 years. As illustrated in Chart I, the yield on the 10-year U.S. Treasury note has been in a downward trajectory and is currently near its all-time low. At some point, interest rates should rise, which will push bond prices down. No one can forecast precisely when this will occur, how long it will continue,
CHART I: CYCLICAL BULL MARKET FOR BONDS – 30 YEARS OF DECLINING YIELDS
Yield of 10-Year Treasury Note
Certified Semi-Annual Report 9
| Letter to Shareholders, | ||
Continued | ||
or how volatile the rise will be. One of the best risk management techniques to navigate such periods of uncertainty is to maintain a well-diversified portfolio and hold it for an investment time horizon of at least two to three years. A diversified portfolio should include exposure to bonds.
The question for investors is finding the optimal approach to managing the rise in rates. A bond ladder, which Thornburg uses in all its core bond funds, is a disciplined approach to the yield curve that works well in periods of rising rates – provided that the investor has a sufficient time horizon. Ladders also allow for portfolio managers to actively manage the specific bonds, market sectors, and structural characteristics of the bonds in the portfolios.
With laddered maturities, the bonds reach maturity in a sequential fashion, with a small portion maturing annually at face value. That cash is reinvested at the top end of the ladder, where rates are highest. Imagine that interest rates have increased since you purchased your shares, so the NAV has declined. But some bonds have matured and the proceeds reinvested at the new, higher interest rates. That causes the monthly dividend to rise. The dividend yield increases and the total return begins to recover. Remember that total return consists of two components: dividends plus or minus change in market value of the bonds. After a period of time, depending on how much rates rise, the investor’s total return should rebound to where it would have been if rates had not increased.
| Sincerely, | ||
 |  | |
| Jason H. Brady,CFA | Lon R. Erickson,CFA | |
| Portfolio Manager | Portfolio Manager | |
| 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.
10 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS | ||
| Thornburg Limited Term U.S. Government Fund | March 31, 2012 (Unaudited) | |
| Principal | ||||||||||
Issuer-Description | Amount | Value | ||||||||
U.S. TREASURY SECURITIES — 9.38% | ||||||||||
United States Treasury Notes, 4.875%, 6/30/2012 | $ | 4,000,000 | $ | 4,046,797 | ||||||
United States Treasury Notes, 2.625%, 12/31/2014 | 2,000,000 | 2,115,781 | ||||||||
United States Treasury Notes, 1.375%, 11/30/2015 | 2,500,000 | 2,560,547 | ||||||||
United States Treasury Notes, 2.625%, 2/29/2016 | 2,000,000 | 2,142,344 | ||||||||
United States Treasury Notes, 4.875%, 8/15/2016 | 5,000,000 | 5,853,906 | ||||||||
United States Treasury Notes, 4.625%, 2/15/2017 | 4,000,000 | 4,684,531 | ||||||||
United States Treasury Notes, 2.25%, 11/30/2017 | 3,500,000 | 3,692,637 | ||||||||
United States Treasury Notes, 3.625%, 2/15/2020 | 1,000,000 | 1,134,531 | ||||||||
United States Treasury Notes Inflationary Index, 2.00%, 7/15/2014 | 2,404,640 | 2,620,480 | ||||||||
United States Treasury Notes Inflationary Index, 1.875%, 7/15/2015 | 4,660,600 | 5,202,608 | ||||||||
United States Treasury Notes Inflationary Index, 2.00%, 1/15/2016 | 5,709,300 | 6,451,495 | ||||||||
|
| |||||||||
TOTAL U.S. TREASURY SECURITIES (Cost $37,072,266) | 40,505,657 | |||||||||
|
| |||||||||
U.S. GOVERNMENT AGENCIES — 17.73% | ||||||||||
Federal Agricultural Mtg Corp., 6.71%, 7/28/2014 | 200,000 | 226,690 | ||||||||
Federal Farm Credit Bank, 6.06%, 5/28/2013 | 240,000 | 255,794 | ||||||||
Federal Farm Credit Bank, 3.98%, 1/22/2015 | 1,000,000 | 1,093,736 | ||||||||
Federal Home Loan Bank, 5.375%, 6/13/2014 | 2,000,000 | 2,211,960 | ||||||||
Federal Home Loan Bank, 5.00%, 12/8/2017 | 3,000,000 | 3,569,517 | ||||||||
Federal Home Loan Bank, 2.25%, 3/26/2018 | 3,000,000 | 3,047,987 | ||||||||
Federal Home Loan Mtg Corp., 4.50%, 1/15/2015 | 5,000,000 | 5,547,181 | ||||||||
Federal Home Loan Mtg Corp., 4.875%, 6/13/2018 | 3,000,000 | 3,577,594 | ||||||||
Federal National Mtg Assoc., 4.40%, 2/19/2015 | 1,585,000 | 1,756,104 | ||||||||
Federal National Mtg Assoc., 2.00%, 3/26/2015 | 3,000,000 | 3,024,841 | ||||||||
Mtg-Linked Amortizing Notes, Series 2012-1 Class A10, 2.06%, 1/15/2022 | 3,799,452 | 3,820,192 | ||||||||
New Valley Generation I, Tennessee Valley Authority, 7.299%, 3/15/2019 | 2,763,157 | 3,318,163 | ||||||||
Overseas Private Investment Corp., 4.10%, 11/15/2014 | 753,600 | 754,414 | ||||||||
a | Private Export Funding Corp., 5.685%, 5/15/2012 | 5,000,000 | 5,033,030 | |||||||
Private Export Funding Corp., 4.974%, 8/15/2013 | 2,700,000 | 2,865,199 | ||||||||
Private Export Funding Corp., 5.45%, 9/15/2017 | 3,000,000 | 3,602,892 | ||||||||
Small Business Administration Participation Certificates, Series 2001-20D Class 1, 6.35%, 4/1/2021 | 4,124,030 | 4,554,640 | ||||||||
Small Business Administration Participation Certificates, Series 2001-20F Class 1, 6.44%, 6/1/2021 | 2,565,914 | 2,844,622 | ||||||||
Small Business Administration Participation Certificates, Series 2002-20A Class 1, 6.14%, 1/1/2022 | 1,578,503 | 1,754,505 | ||||||||
Small Business Administration Participation Certificates, Series 2002-20K Class 1, 5.08%, 11/1/2022 | 1,646,503 | 1,798,487 | ||||||||
Small Business Administration Participation Certificates, Series 2005-20H Class 1, 5.11%, 8/1/2025 | 956,438 | 1,058,768 | ||||||||
Small Business Administration Participation Certificates, Series 2007-20D Class 1, 5.32%, 4/1/2027 | 1,841,101 | 2,061,099 | ||||||||
Small Business Administration Participation Certificates, Series 2007-20F Class 1, 5.71%, 6/1/2027 | 1,022,078 | 1,155,725 | ||||||||
Small Business Administration Participation Certificates, Series 2007-20I Class 1, 5.56%, 9/1/2027 | 3,254,918 | 3,669,055 | ||||||||
Small Business Administration Participation Certificates, Series 2007-20K Class 1, 5.51%, 11/1/2027 | 1,952,743 | 2,196,244 | ||||||||
Certified Semi-Annual Report 11
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term U.S. Government Fund | March 31, 2012 (Unaudited) | |
| Principal | ||||||||||
Issuer-Description | Amount | Value | ||||||||
Small Business Administration Participation Certificates, Series 2008-20G Class 1, 5.87%, 7/1/2028 | $ | 4,858,112 | $ | 5,592,149 | ||||||
Tennessee Valley Authority, 4.75%, 8/1/2013 | 3,000,000 | 3,176,125 | ||||||||
| b,c | U.S. Department of Transportation Headquarters, Series 2004 Class A-2, 5.594%, 12/7/2021 | 2,535,291 | 2,966,291 | |||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $72,053,768) | 76,533,004 | |||||||||
|
| |||||||||
MORTGAGE BACKED — 63.75% | ||||||||||
Federal Home Loan Mtg Corp., CMO Series 1321 Class TE, 7.00%, 8/15/2022 | 374,651 | 414,025 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2420 Class MC, 6.00%, 2/15/2017 | 476,163 | 513,787 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2509 Class TV, 5.50%, 4/15/2022 | 1,461,401 | 1,492,552 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2527 Class BP, 5.00%, 11/15/2017 | 1,134,276 | 1,208,276 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2529 Class MB, 5.00%, 11/15/2017 | 1,132,401 | 1,209,131 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2553 Class GB, 5.00%, 1/15/2018 | 844,623 | 900,909 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2558 Class BD, 5.00%, 1/15/2018 | 4,044,346 | 4,314,091 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2622 Class PE, 4.50%, 5/15/2018 | 2,165,011 | 2,279,517 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2628 Class DQ, 3.00%, 11/15/2017 | 195,526 | 198,786 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2640 Class G, 4.50%, 7/15/2018 | 845,227 | 880,366 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2641 Class WE, 4.50%, 1/15/2033 | 389,593 | 413,795 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2642 Class JE, 5.00%, 9/15/2032 | 2,000,000 | 2,150,938 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2649 Class QH, 4.50%, 7/15/2018 | 1,000,000 | 1,064,158 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2692 Class QD, 5.00%, 12/15/2022 | 2,575,000 | 2,676,731 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2731 Class Vl, 5.50%, 12/15/2014 | 1,363,014 | 1,437,100 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2770 Class UD, 4.50%, 5/15/2017 | 827,233 | 839,904 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2808 Class VA, 5.50%, 5/15/2015 | 4,143,271 | 4,415,382 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2814 Class GB, 5.00%, 6/15/2019 | 437,304 | 449,473 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2825 Class VP, 5.50%, 6/15/2015 | 2,842,185 | 3,026,222 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2827 Class BU, 3.50%, 7/15/2019 | 2,500,000 | 2,597,323 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3020 Class VA, 5.50%, 11/15/2014 | 677,374 | 696,416 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3067 Class PJ, 5.50%, 7/15/2031 | 2,345,588 | 2,384,771 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3178 Class MC, 6.00%, 4/15/2032 | 2,140,889 | 2,167,827 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3184 Class PC, 5.50%, 8/15/2032 | 1,269,842 | 1,270,869 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3271 Class LU, 5.50%, 1/15/2018 | 1,982,743 | 2,063,206 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3291 Class BY, 4.50%, 3/15/2022 | 3,000,000 | 3,257,007 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3319 Class PA, 5.50%, 8/15/2030 | 24,517 | 24,482 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3320 Class TC, 5.50%, 10/15/2032 | 1,301,092 | 1,303,964 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3331 Class PB, 6.00%, 1/15/2031 | 2,000,000 | 2,035,027 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3351 Class PK, 5.50%, 1/15/2032 | 991,162 | 1,008,458 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3456 Class KV, 5.50%, 9/15/2017 | 1,958,036 | 2,054,282 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3477 Class VA, 5.50%, 7/15/2019 | 3,672,048 | 3,976,894 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3480 Class VA, 6.00%, 6/15/2019 | 2,211,791 | 2,474,994 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3563 Class BC, 4.00%, 6/15/2022 | 526,310 | 538,570 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3589 Class CA, 4.00%, 10/15/2021 | 1,227,728 | 1,274,349 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3640 Class EL, 4.00%, 3/15/2020 | 2,337,510 | 2,452,533 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3678 Class AL, 4.50%, 10/15/2027 | 1,672,681 | 1,734,043 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3704 Class DC, 4.00%, 11/15/2036 | 967,882 | 1,031,063 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3872 Class DT, 4.00%, 6/15/2026 | 1,175,428 | 1,276,739 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3920 Class AB, 3.00%, 9/15/2025 | 2,756,580 | 2,832,206 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3922 Class PQ, 2.00%, 4/15/2041 | 3,785,970 | 3,781,454 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3981 Class ME, 3.00%, 1/15/2027 | 3,950,662 | 4,113,850 | ||||||||
Federal Home Loan Mtg Corp., CMO Series R003 Class VA, 5.50%, 8/15/2016 | 843,955 | 879,930 | ||||||||
Federal Home Loan Mtg Corp., CMO Series R012 Class AB, 5.50%, 12/15/2020 | 456,002 | 465,810 | ||||||||
Federal Home Loan Mtg Corp., Pool 1N1736, 4.098%, 4/1/2037 | 484,688 | 509,512 | ||||||||
Federal Home Loan Mtg Corp., Pool B14155, 3.50%, 5/1/2019 | 782,381 | 825,412 | ||||||||
Federal Home Loan Mtg Corp., Pool C90041, 6.50%, 11/1/2013 | 3,604 | 3,723 | ||||||||
12 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term U.S. Government Fund | March 31, 2012 (Unaudited) | |
| Principal | ||||||||
Issuer-Description | Amount | Value | ||||||
Federal Home Loan Mtg Corp., Pool D37120, 7.00%, 7/1/2023 | $ | 10,855 | $ | 12,157 | ||||
Federal Home Loan Mtg Corp., Pool E96575, 4.50%, 6/1/2018 | 2,139,672 | 2,281,759 | ||||||
Federal Home Loan Mtg Corp., Pool G12079, 4.50%, 4/1/2019 | 1,809,308 | 1,931,187 | ||||||
Federal Home Loan Mtg Corp., Pool G12140, 4.00%, 2/1/2020 | 502,263 | 532,904 | ||||||
Federal Home Loan Mtg Corp., Pool G13517, 4.00%, 5/1/2024 | 1,290,979 | 1,362,487 | ||||||
Federal Home Loan Mtg Corp., Pool G13804, 5.00%, 3/1/2025 | 2,179,524 | 2,343,158 | ||||||
Federal Home Loan Mtg Corp., Pool J11371, 4.50%, 12/1/2024 | 2,673,099 | 2,850,610 | ||||||
Federal Home Loan Mtg Corp., Pool J13583, 3.50%, 11/1/2025 | 2,579,609 | 2,726,324 | ||||||
Federal Home Loan Mtg Corp., Pool J14888, 3.50%, 4/1/2026 | 3,399,955 | 3,557,203 | ||||||
Federal Home Loan Mtg Corp., REMIC Series 3626 Class AV, 5.50%, 10/15/2020 | 2,528,559 | 2,661,372 | ||||||
Federal National Mtg Assoc., CMO Series 1993-32 Class H, 6.00%, 3/25/2023 | 46,688 | 51,836 | ||||||
Federal National Mtg Assoc., CMO Series 2002-18 Class PC, 5.50%, 4/25/2017 | 354,699 | 364,763 | ||||||
Federal National Mtg Assoc., CMO Series 2003-15 Class CY, 5.00%, 3/25/2018 | 723,571 | 770,878 | ||||||
Federal National Mtg Assoc., CMO Series 2003-4 Class PE, 5.00%, 2/25/2018 | 1,675,135 | 1,795,650 | ||||||
Federal National Mtg Assoc., CMO Series 2003-49 Class YD, 5.50%, 6/25/2023 | 784,667 | 837,209 | ||||||
Federal National Mtg Assoc., CMO Series 2003-66 Class PA, 3.50%, 2/25/2033 | 311,104 | 324,913 | ||||||
Federal National Mtg Assoc., CMO Series 2003-89 Class XC, 6.00%, 9/25/2014 | 648,578 | 673,014 | ||||||
Federal National Mtg Assoc., CMO Series 2003-9 Class DB, 5.00%, 2/25/2018 | 783,842 | 836,136 | ||||||
Federal National Mtg Assoc., CMO Series 2003-92 Class KH, 5.00%, 3/25/2032 | 1,805,033 | 1,883,412 | ||||||
Federal National Mtg Assoc., CMO Series 2003-W3 Class 1A2, 7.00%, 8/25/2042 | 3,476,612 | 3,901,949 | ||||||
Federal National Mtg Assoc., CMO Series 2004-2 Class QL, 4.00%, 2/25/2019 | 2,000,000 | 2,130,102 | ||||||
Federal National Mtg Assoc., CMO Series 2004-33 Class MW, 4.50%, 1/25/2030 | 2,349,172 | 2,472,082 | ||||||
Federal National Mtg Assoc., CMO Series 2004-35 Class CA, 4.00%, 12/25/2017 | 244,243 | 247,470 | ||||||
Federal National Mtg Assoc., CMO Series 2005-26 Class G, 5.00%, 6/25/2032 | 1,451,592 | 1,525,349 | ||||||
Federal National Mtg Assoc., CMO Series 2005-99 Class VA, 5.50%, 11/25/2016 | 1,150,356 | 1,253,409 | ||||||
Federal National Mtg Assoc., CMO Series 2006-121 Class VA, 5.50%, 3/25/2017 | 820,017 | 868,570 | ||||||
Federal National Mtg Assoc., CMO Series 2007-60 Class VA, 6.00%, 12/25/2017 | 3,081,797 | 3,282,605 | ||||||
Federal National Mtg Assoc., CMO Series 2007-65 Class PB, 6.00%, 10/25/2032 | 2,894,159 | 2,924,949 | ||||||
Federal National Mtg Assoc., CMO Series 2007-79 Class MB, 5.50%, 12/25/2030 | 807,411 | 814,847 | ||||||
Federal National Mtg Assoc., CMO Series 2008-54 Class EA, 5.00%, 7/25/2019 | 2,149,819 | 2,282,048 | ||||||
Federal National Mtg Assoc., CMO Series 2008-77 Class VA, 6.00%, 7/25/2019 | 2,979,116 | 3,307,916 | ||||||
Federal National Mtg Assoc., CMO Series 2009-111 Class VB, 4.50%, 2/25/2021 | 1,667,882 | 1,771,782 | ||||||
Federal National Mtg Assoc., CMO Series 2009-17 Class AH, 2.644%, 3/25/2039 | 1,784,332 | 1,783,687 | ||||||
Federal National Mtg Assoc., CMO Series 2009-49 Class KA, 5.00%, 2/25/2024 | 586,542 | 622,774 | ||||||
Federal National Mtg Assoc., CMO Series 2009-52 Class AJ, 4.00%, 7/25/2024 | 1,352,852 | 1,417,367 | ||||||
Federal National Mtg Assoc., CMO Series 2009-70 Class NK, 4.50%, 8/25/2019 | 872,513 | 921,214 | ||||||
Federal National Mtg Assoc., CMO Series 2009-78 Class A, 4.50%, 8/25/2019 | 1,234,768 | 1,301,054 | ||||||
Federal National Mtg Assoc., CMO Series 2010-46 Class VM, 5.00%, 5/25/2021 | 2,585,441 | 2,824,904 | ||||||
Federal National Mtg Assoc., CMO Series 2010-6 Class VA, 5.00%, 2/25/2021 | 2,898,515 | 3,177,346 | ||||||
Federal National Mtg Assoc., CMO Series 2010-69 Class EJ, 2.50%, 7/25/2024 | 1,977,372 | 2,010,273 | ||||||
Federal National Mtg Assoc., CMO Series 2011-103 Class VA, 4.00%, 12/25/2022 | 2,891,700 | 3,110,349 | ||||||
Federal National Mtg Assoc., CMO Series 2011-106 Class LV, 3.50%, 1/25/2023 | 3,852,760 | 4,045,494 | ||||||
Federal National Mtg Assoc., CMO Series 2011-110 Class JV, 4.00%, 1/25/2023 | 3,222,105 | 3,463,888 | ||||||
Federal National Mtg Assoc., CMO Series 2011-118 Class V, 4.00%, 10/25/2029 | 3,142,640 | 3,366,396 | ||||||
Federal National Mtg Assoc., CMO Series 2011-24 Class VH, 4.00%, 6/25/2022 | 3,885,636 | 4,177,046 | ||||||
Federal National Mtg Assoc., CMO Series 2011-45 Class VA, 4.00%, 3/25/2024 | 3,777,113 | 4,053,606 | ||||||
Federal National Mtg Assoc., CMO Series 2011-63 Class MV, 3.50%, 7/25/2024 | 3,814,414 | 4,016,511 | ||||||
Federal National Mtg Assoc., CMO Series 2011-70 Class CA, 3.00%, 8/25/2026 | 7,246,212 | 7,540,727 | ||||||
Federal National Mtg Assoc., CMO Series 2011-72 Class KV, 3.50%, 11/25/2022 | 2,275,307 | 2,410,881 | ||||||
Federal National Mtg Assoc., CMO Series 2011-88 Class WA, 2.50%, 9/25/2026 | 3,790,026 | 3,869,835 | ||||||
Federal National Mtg Assoc., Pool 044003, 8.00%, 6/1/2017 | 6,835 | 7,594 | ||||||
Federal National Mtg Assoc., Pool 050811, 7.50%, 12/1/2012 | 2,035 | 2,067 | ||||||
Federal National Mtg Assoc., Pool 050832, 7.50%, 6/1/2013 | 1,516 | 1,550 | ||||||
Certified Semi-Annual Report 13
| iSCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term U.S. Government Fund | March 31, 2012 (Unaudited) | |
| Principal | ||||||||||
Issuer-Description | Amount | Value | ||||||||
Federal National Mtg Assoc., Pool 076388, 9.25%, 9/1/2018 | $ | 35,320 | $ | 39,896 | ||||||
Federal National Mtg Assoc., Pool 190555, 7.00%, 1/1/2014 | 4,021 | 4,157 | ||||||||
Federal National Mtg Assoc., Pool 251759, 6.00%, 5/1/2013 | 4,088 | 4,170 | ||||||||
Federal National Mtg Assoc., Pool 252648, 6.50%, 5/1/2022 | 52,313 | 58,378 | ||||||||
Federal National Mtg Assoc., Pool 342947, 7.25%, 4/1/2024 | 153,333 | 174,872 | ||||||||
Federal National Mtg Assoc., Pool 443909, 6.50%, 9/1/2018 | 37,734 | 41,485 | ||||||||
Federal National Mtg Assoc., Pool 555207, 7.00%, 11/1/2017 | 13,997 | 16,099 | ||||||||
Federal National Mtg Assoc., Pool 725866, 4.50%, 9/1/2034 | 3,685,695 | 3,920,082 | ||||||||
Federal National Mtg Assoc., Pool 726308, 4.00%, 7/1/2018 | 1,109,676 | 1,174,826 | ||||||||
Federal National Mtg Assoc., Pool 889906, 4.00%, 7/1/2023 | 1,086,715 | 1,150,517 | ||||||||
Federal National Mtg Assoc., Pool 895572, 2.698%, 6/1/2036 | 774,699 | 825,539 | ||||||||
Federal National Mtg Assoc., Pool 930986, 4.50%, 4/1/2019 | 1,939,558 | 2,075,327 | ||||||||
Federal National Mtg Assoc., Pool AA2870, 4.00%, 3/1/2024 | 2,347,802 | 2,485,643 | ||||||||
Federal National Mtg Assoc., Pool AD8191, 4.00%, 9/1/2025 | 2,498,041 | 2,668,122 | ||||||||
Federal National Mtg Assoc., Pool AJ1752, 3.50%, 9/1/2026 | 4,779,370 | 5,071,919 | ||||||||
| d | Federal National Mtg Assoc., Pool AK6518, 3.00%, 3/1/2027 | 4,500,000 | 4,679,297 | |||||||
Federal National Mtg Assoc., Pool MA0045, 4.00%, 4/1/2019 | 1,437,730 | 1,530,677 | ||||||||
Federal National Mtg Assoc., Pool MA0071, 4.50%, 5/1/2019 | 1,055,122 | 1,128,980 | ||||||||
Federal National Mtg Assoc., Pool MA0125, 4.50%, 7/1/2019 | 729,942 | 781,038 | ||||||||
Federal National Mtg Assoc., Pool MA0380, 4.00%, 4/1/2020 | 1,798,246 | 1,914,499 | ||||||||
Federal National Mtg Assoc., REMIC Series 2002-59 Class B, 5.50%, 9/25/2017 | 785,220 | 839,654 | ||||||||
Federal National Mtg Assoc., Series 2011-98 Class VC, 3.50%, 1/25/2023 | 4,334,353 | 4,563,132 | ||||||||
Government National Mtg Assoc., CMBS Series 2004-45 Class C, 5.67%, 10/16/2033 | 3,000,000 | 3,339,530 | ||||||||
Government National Mtg Assoc., CMBS Series 2005-67 Class C, 4.907%, 3/16/2035 | 2,000,000 | 2,155,922 | ||||||||
Government National Mtg Assoc., CMBS Series 2009-105 Class A, 3.456%, 12/16/2050 | 2,896,367 | 3,014,232 | ||||||||
Government National Mtg Assoc., CMO Series 2004-45 Class C, 5.585%, 11/20/2059 | 5,268,560 | 5,866,040 | ||||||||
Government National Mtg Assoc., CMO Series 2008-56 Class CH, 5.00%, 5/20/2035 | 795,131 | 795,020 | ||||||||
Government National Mtg Assoc., CMO Series 2009-92 Class VA, 5.00%, 10/20/2020 | 1,296,800 | 1,424,480 | ||||||||
Government National Mtg Assoc., CMO Series 2010-160 Class VY, 4.50%, 1/20/2022 | 910,019 | 1,001,418 | ||||||||
Government National Mtg Assoc., Pool 000623, 8.00%, 9/20/2016 | 12,410 | 13,562 | ||||||||
Government National Mtg Assoc., Pool 003550, 5.00%, 5/20/2019 | 679,037 | 740,760 | ||||||||
Government National Mtg Assoc., Pool 453928, 7.00%, 7/15/2017 | 11,879 | 12,679 | ||||||||
Government National Mtg Assoc., Pool 714631, 5.691%, 10/20/2059 | 2,141,287 | 2,377,256 | ||||||||
Government National Mtg Assoc., Pool 721652, 5.044%, 5/20/2061 | 4,137,393 | 4,637,243 | ||||||||
Government National Mtg Assoc., Pool 731491, 5.156%, 12/20/2060 | 4,297,667 | 4,866,565 | ||||||||
Government National Mtg Assoc., Pool 751388, 5.307%, 1/20/2061 | 3,607,623 | 4,108,365 | ||||||||
Government National Mtg Assoc., Pool 751392, 5.00%, 2/20/2061 | 5,449,824 | 6,191,534 | ||||||||
Government National Mtg Assoc., Pool 757313, 4.307%, 12/20/2060 | 5,849,125 | 6,385,957 | ||||||||
Government National Mtg Assoc., Pool 765151, 4.692%, 7/20/2061 | 3,037,347 | 3,392,120 | ||||||||
Government National Mtg Assoc., Pool 894205, 4.00%, 8/20/2039 | 2,046,220 | 2,149,212 | ||||||||
|
| |||||||||
TOTAL MORTGAGE BACKED (Cost $270,855,590) | 275,244,674 | |||||||||
|
| |||||||||
SHORT TERM INVESTMENTS — 2.78% | ||||||||||
Bank of New York Tri-Party Repurchase Agreement 0.22% dated 3/30/2012 due 4/2/2012, repurchase price $12,000,220 collateralized by 3 U.S. Government Agency debt securities, having an average coupon of 1.33%, a credit weighting of AAA, maturity dates from 6/25/2022 to 1/25/2035, and having an aggregate market value of $12,239,468 at 3/30/2012 | 12,000,000 | 12,000,000 | ||||||||
|
| |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $12,000,000) | 12,000,000 | |||||||||
|
| |||||||||
14 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term U.S. Government Fund | March 31, 2012 (Unaudited) | |
TOTAL INVESTMENTS — 93.64% (Cost $391,981,624) | $ | 404,283,335 | ||
OTHER ASSETS LESS LIABILITIES — 6.36% | 27,449,070 | |||
|
| |||
NET ASSETS — 100.00% | $ | 431,732,405 | ||
|
| |||
Footnote Legend
| a | Segregated as collateral for a when-issued security. |
| b | Security currently fair valued by the valuation and pricing committee using procedures approved by the Trustees. |
| c | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of March 31, 2012, the aggregate value of these securities in the Fund’s portfolio was $2,966,291, representing 0.69% of the Fund’s net assets. |
| d | When-issued security. |
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 | |
VA | Veterans Affairs | |
See notes to financial statements.
Certified Semi-Annual Report 15
| SCHEDULE OF INVESTMENTS | ||
| Thornburg Limited Term Income Fund | March 31, 2012 (Unaudited) | |
 | ||
We have used ratings from Moody’s Investors Service. Where Moody’s ratings are not available, we have used Standard & Poor’s ratings.
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
U.S. TREASURY SECURITIES — 1.10% | ||||||||||
United States Treasury Notes, 1.00% due 4/30/2012 | NR/NR | $ | 2,500,000 | $ | 2,501,807 | |||||
United States Treasury Notes, 1.75% due 4/15/2013 | NR/NR | 2,500,000 | 2,539,209 | |||||||
United States Treasury Notes, 2.50% due 3/31/2015 | NR/NR | 6,500,000 | 6,878,828 | |||||||
United States Treasury Notes, 5.125% due 5/15/2016 | NR/NR | 1,000,000 | 1,174,648 | |||||||
United States Treasury Notes, 4.875% due 8/15/2016 | NR/NR | 2,000,000 | 2,341,562 | |||||||
United States Treasury Notes, 3.00% due 2/28/2017 | NR/NR | 2,000,000 | 2,189,062 | |||||||
United States Treasury Notes, 2.125% due 8/15/2021 | NR/NR | 5,000,000 | 4,997,071 | |||||||
|
| |||||||||
TOTAL U.S. TREASURY SECURITIES (Cost $21,461,964) | 22,622,187 | |||||||||
|
| |||||||||
U.S. GOVERNMENT AGENCIES — 2.05% | ||||||||||
aAgribank FCB, 9.125% due 7/15/2019 | A/NR | 13,935,000 | 17,680,338 | |||||||
Federal National Mtg Assoc., 7.491% due 8/1/2014 | AA+/Aaa | 12,896 | 12,896 | |||||||
Federal National Mtg Assoc., 2.00% due 3/26/2015 | AA+/Aaa | 3,000,000 | 3,024,841 | |||||||
Mtg-Linked Amortizing Notes, Series 2012-1 Class A10, 2.06% due 1/15/2022 | AA+/NR | 5,224,247 | 5,252,763 | |||||||
Private Export Funding Corp., 5.45% due 9/15/2017 | AA+/Aaa | 3,000,000 | 3,602,892 | |||||||
Small Business Administration Participation Certificates, Series 2001-20J Class 1, 5.76% due 10/1/2021 | NR/NR | 1,735,853 | 1,906,025 | |||||||
Small Business Administration Participation Certificates, Series 2008-20D Class 1, 5.37% due 4/1/2028 | NR/NR | 2,789,519 | 3,135,951 | |||||||
Small Business Administration, Series 2005-P10A Class 1, 4.638% due 2/10/2015 | NR/NR | 1,249,530 | 1,326,915 | |||||||
a,bU.S. Department of Transportation, 6.001% due 12/7/2021 | NR/NR | 3,000,000 | 3,517,500 | |||||||
a,bU.S. Department of Transportation Headquarters, Series 2004 Class A-2, 5.594% due 12/7/2021 | NR/NR | 2,324,017 | 2,719,100 | |||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $39,559,130) | 42,179,221 | |||||||||
|
| |||||||||
OTHER GOVERNMENT — 3.18% | ||||||||||
a,cEmirate of Abu Dhabi, 5.50% due 4/8/2014 | AA/Aa2 | 1,000,000 | 1,087,328 | |||||||
cExport-Import Bank of Korea, 8.125% due 1/21/2014 | A/A1 | 11,250,000 | 12,422,329 | |||||||
cExport-Import Bank of Korea, 5.875% due 1/14/2015 | A/A1 | 3,000,000 | 3,271,803 | |||||||
b,cGovernment of Aruba, 6.80% due 4/2/2014 | A-/NR | 5,616,000 | 5,896,800 | |||||||
a,cGovernment of Bermuda, 5.603% due 7/20/2020 | AA-/Aa2 | 3,000,000 | 3,378,250 | |||||||
cKorea Finance Corp., 4.625% due 11/16/2021 | A/A1 | 7,500,000 | 7,649,707 | |||||||
a,cKorea Housing Finance Co., 3.50% due 12/15/2016 | NR/Aa3 | 6,000,000 | 6,097,200 | |||||||
a,cNorthern Rock Asset Management, 5.625% due 6/22/2017 | AAA/Aaa | 20,000,000 | 21,417,140 | |||||||
a,cState of Qatar, 3.125% due 1/20/2017 | AA/Aa2 | 4,000,000 | 4,069,832 | |||||||
|
| |||||||||
TOTAL OTHER GOVERNMENT (Cost $ 63,794,289) | 65,290,389 | |||||||||
|
| |||||||||
MORTGAGE BACKED — 9.22% | ||||||||||
Federal Home Loan Mtg Corp., CMO Series 2528 Class HN, 5.00% due 11/15/2017 | NR/NR | 743,229 | 789,280 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2627 Class GY, 4.50% due 6/15/2018 | NR/NR | 3,784,494 | 4,001,126 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2628 Class AB, 4.50% due 6/15/2018 | NR/NR | 1,051,763 | 1,094,359 | |||||||
16 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Income Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
Federal Home Loan Mtg Corp., CMO Series 2640 Class G, 4.50% due 7/15/2018 | NR/NR | $ | 1,436,885 | $ | 1,496,622 | |||||
Federal Home Loan Mtg Corp., CMO Series 2654 Class OG, 5.00% due 2/15/2032 | NR/NR | 830,280 | 865,169 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2682 Class JG, 4.50% due 10/15/2023 | NR/NR | 3,279,129 | 3,471,767 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2778 Class JD, 5.00% due 12/15/2032 | NR/NR | 3,263,549 | 3,417,536 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2780 Class VJ, 5.00% due 4/15/2015 | NR/NR | 840,356 | 859,707 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2808 Class VA, 5.50% due 5/15/2015 | NR/NR | 1,861,475 | 1,983,728 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2814 Class GB, 5.00% due 6/15/2019 | NR/NR | 437,304 | 449,473 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2825 Class VP, 5.50% due 6/15/2015 | NR/NR | 2,100,039 | 2,236,020 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2827 Class BU, 3.50% due 7/15/2019 | NR/NR | 3,000,000 | 3,116,788 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2943 Class BV, 5.00% due 3/15/2016 | NR/NR | 2,093,650 | 2,223,462 | |||||||
Federal Home Loan Mtg Corp., CMO Series 3083 Class U, 4.50% due 1/15/2017 | NR/NR | 2,473,507 | 2,535,159 | |||||||
Federal Home Loan Mtg Corp., CMO Series 3138 Class PC, 5.50% due 6/15/2032 | NR/NR | 2,071,254 | 2,094,026 | |||||||
Federal Home Loan Mtg Corp., CMO Series 3195 Class PD, 6.50% due 7/15/2036 | NR/NR | 4,573,135 | 5,077,646 | |||||||
Federal Home Loan Mtg Corp., CMO Series 3291 Class BY, 4.50% due 3/15/2022 | NR/NR | 4,000,000 | 4,342,676 | |||||||
Federal Home Loan Mtg Corp., CMO Series 3504 Class PC, 4.00% due 1/15/2039 | NR/NR | 946,598 | 987,896 | |||||||
Federal Home Loan Mtg Corp., CMO Series 3563 Class BC, 4.00% due 6/15/2022 | NR/NR | 1,052,621 | 1,077,141 | |||||||
Federal Home Loan Mtg Corp., CMO Series 3589 Class CA, 4.00% due 10/15/2021 | NR/NR | 1,841,593 | 1,911,523 | |||||||
Federal Home Loan Mtg Corp., CMO Series 3872 Class DT, 4.00% due 6/15/2026 | NR/NR | 881,571 | 957,555 | |||||||
Federal Home Loan Mtg Corp., CMO Series 3919 Class VB, 4.00% due 8/15/2024 | NR/NR | 5,820,090 | 6,275,744 | |||||||
Federal Home Loan Mtg Corp., CMO Series 3922 Class PQ, 2.00% due 4/15/2041 | NR/NR | 5,678,956 | 5,672,181 | |||||||
Federal Home Loan Mtg Corp., Pool J17504, 3.00% due 12/1/2026 | AA+/Aaa | 4,883,802 | 5,075,530 | |||||||
Federal Home Loan Mtg Corp., Pool P10039, 5.00% due 4/1/2013 | AA+/Aaa | 300,857 | 304,794 | |||||||
Federal Home Loan Mtg Corp., REMIC Series 3626 Class AV, 5.50% due 10/15/2020 | NR/NR | 4,214,265 | 4,435,620 | |||||||
Federal National Mtg Assoc., CMO Series 2003-4 Class PE, 5.00% due 2/25/2018 | NR/NR | 1,688,076 | 1,809,522 | |||||||
Federal National Mtg Assoc., CMO Series 2003-74 Class KN, 4.50% due 8/25/2018 | NR/NR | 803,287 | 833,515 | |||||||
Federal National Mtg Assoc., CMO Series 2003-92 Class VG, 5.00% due 9/25/2014 | NR/NR | 525,722 | 548,048 | |||||||
Federal National Mtg Assoc., CMO Series 2003-W3 Class 1A2, 7.00% due 8/25/2042 | NR/NR | 1,990,686 | 2,234,231 | |||||||
Federal National Mtg Assoc., CMO Series 2004-33 Class MW, 4.50% due 1/25/2030 | NR/NR | 2,432,694 | 2,559,974 | |||||||
Federal National Mtg Assoc., CMO Series 2005-35 Class VG, 5.00% due 4/25/2016 | NR/NR | 917,791 | 945,773 | |||||||
Federal National Mtg Assoc., CMO Series 2005-48 Class AR, 5.50% due 2/25/2035 | NR/NR | 1,425,165 | 1,554,684 | |||||||
Federal National Mtg Assoc., CMO Series 2007-26 Class VH, 5.50% due 2/25/2018 | NR/NR | 3,845,375 | 4,155,749 | |||||||
Federal National Mtg Assoc., CMO Series 2007-42 Class PA, 5.50% due 4/25/2037 | NR/NR | 2,410,484 | 2,612,436 | |||||||
Federal National Mtg Assoc., CMO Series 2007-65 Class PB, 6.00% due 10/25/2032 | NR/NR | 2,977,530 | 3,009,207 | |||||||
Federal National Mtg Assoc., CMO Series 2008-54 Class EA, 5.00% due 7/25/2019 | NR/NR | 2,866,425 | 3,042,731 | |||||||
Federal National Mtg Assoc., CMO Series 2008-55 Class VA, 5.00% due 7/25/2019 | NR/NR | 3,582,248 | 3,765,370 | |||||||
Federal National Mtg Assoc., CMO Series 2009-111 Class VB, 4.50% due 2/25/2021 | NR/NR | 1,667,882 | 1,771,782 | |||||||
Federal National Mtg Assoc., CMO Series 2009-17 Class AH, 2.644% due 3/25/2039 | NR/NR | 2,973,888 | 2,972,812 | |||||||
Federal National Mtg Assoc., CMO Series 2009-49 Class KA, 5.00% due 2/25/2024 | NR/NR | 1,368,598 | 1,453,139 | |||||||
Federal National Mtg Assoc., CMO Series 2009-5 Class A, 4.50% due 12/25/2023 | AA+/Aaa | 3,883,254 | 4,097,713 | |||||||
Federal National Mtg Assoc., CMO Series 2009-52 Class AJ, 4.00% due 7/25/2024 | NR/NR | 2,254,753 | 2,362,279 | |||||||
Federal National Mtg Assoc., CMO Series 2009-65 Class GA, 4.50% due 11/25/2023 | NR/NR | 988,362 | 1,037,417 | |||||||
Federal National Mtg Assoc., CMO Series 2009-70 Class NK, 4.50% due 8/25/2019 | NR/NR | 2,181,283 | 2,303,034 | |||||||
Federal National Mtg Assoc., CMO Series 2009-70 Class PA, 5.00% due 8/25/2035 | NR/NR | 1,979,401 | 2,045,343 | |||||||
Federal National Mtg Assoc., CMO Series 2009-89 Class BV, 4.50% due 12/25/2020 | NR/NR | 2,462,884 | 2,587,178 | |||||||
Federal National Mtg Assoc., CMO Series 2011-100 Class VE, 4.00% due 12/25/2022 | NR/NR | 7,452,639 | 7,908,482 | |||||||
Federal National Mtg Assoc., CMO Series 2011-103 Class VA, 4.00% due 12/25/2022 | NR/NR | 2,864,711 | 3,081,319 | |||||||
Federal National Mtg Assoc., CMO Series 2011-15 Class VA, 4.00% due 4/25/2022 | NR/NR | 1,840,957 | 1,974,182 | |||||||
Federal National Mtg Assoc., CMO Series 2011-24 Class VH, 4.00% due 6/25/2022 | NR/NR | 4,635,042 | 4,982,656 | |||||||
Federal National Mtg Assoc., CMO Series 2011-88 Class WA, 2.50% due 9/25/2026 | NR/NR | 3,079,396 | 3,144,241 | |||||||
Federal National Mtg Assoc., CMO Series 2011-89 Class VA, 4.00% due 9/25/2023 | NR/NR | 6,670,791 | 7,157,451 | |||||||
Federal National Mtg Assoc., Pool 357384, 4.50% due 5/1/2018 | AA+/Aaa | 592,260 | 633,718 | |||||||
Federal National Mtg Assoc., Pool 897936, 5.50% due 8/1/2021 | AA+/Aaa | 2,664,236 | 2,912,031 | |||||||
d Federal National Mtg Assoc., Pool AK6518, 3.00% due 3/1/2027 | AA+/Aaa | 6,276,927 | 6,527,024 | |||||||
Government National Mtg Assoc., CMO Series 2009-35 Series KV, 4.50% due 6/20/2020 | NR/NR | 3,942,692 | 4,255,818 | |||||||
Certified Semi-Annual Report 17
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Income Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
Government National Mtg Assoc., CMO Series 2009-68 Class DP, 4.50% due 11/16/2038 | NR/NR | $ | 2,271,757 | $ | 2,438,067 | |||||
Government National Mtg Assoc., Pool 003007, 8.50% due 11/20/2015 | AA+/Aaa | 12,333 | 13,278 | |||||||
Government National Mtg Assoc., Pool 714631, 5.691% due 10/20/2059 | AA+/Aaa | 5,781,475 | 6,418,592 | |||||||
Government National Mtg Assoc., Pool 721652, 5.044% due 5/20/2061 | AA+/Aaa | 6,032,131 | 6,760,890 | |||||||
Government National Mtg Assoc., Pool 731491, 5.156% due 12/20/2060 | AA+/Aaa | 4,115,680 | 4,660,487 | |||||||
Government National Mtg Assoc., Pool 751388, 5.307% due 1/20/2061 | AA+/Aaa | 5,669,122 | 6,456,002 | |||||||
Government National Mtg Assoc., Pool 765151, 4.692% due 7/20/2061 | AA+/Aaa | 4,910,377 | 5,483,927 | |||||||
Government National Mtg Assoc., Pool 827148, 2.375% due 2/20/2024 | AA+/Aaa | 30,092 | 30,741 | |||||||
|
| |||||||||
TOTAL MORTGAGE BACKED (Cost $186,918,312) | 189,293,371 | |||||||||
|
| |||||||||
ASSET BACKED SECURITIES — 10.10% | ||||||||||
ADVANCE RECEIVABLES — 0.92% | ||||||||||
AH Mtg Advance Trust, Series SART-1 Class A2, 3.37% due 5/10/2043 | AAA/NR | 5,000,000 | 5,010,000 | |||||||
AH Mtg Advance Trust, Series SART-2 Class B1, 6.90% due 9/15/2043 | BBB/NR | 10,000,000 | 9,961,470 | |||||||
AH Mtg Advance Trust, Series SART-3 Class 1A2, 3.72% due 3/13/2044 | AAA/NR | 4,000,000 | 4,000,604 | |||||||
|
| |||||||||
| 18,972,074 | ||||||||||
|
| |||||||||
AUTO RECEIVABLES — 0.18% | ||||||||||
Santander Drive Auto Receivables Trust, 2.86% due 6/15/2017 | A/NR | 1,156,150 | 1,159,368 | |||||||
Santander Drive Auto Receivables Trust, 2.72% due 5/16/2016 | AA/Aa1 | 2,500,000 | 2,542,408 | |||||||
|
| |||||||||
| 3,701,776 | ||||||||||
|
| |||||||||
COMMERCIAL MTG TRUST — 1.80% | ||||||||||
Banc of America Commercial Mtg Inc., Series 2002-PB2 Class C, 6.349% due 6/11/2035 | BB+/Aa1 | 3,045,000 | 3,067,085 | |||||||
Banc of America Commercial Mtg Inc., Series 2006-6 Class A3, 5.369% due 10/10/2045 | AAA/Aaa | 3,000,000 | 3,127,268 | |||||||
Citigroup Commercial Mtg Trust, Series 2004-HYB2 Class B1, 2.921% due 3/25/2034 | B+/Caa2 | 388,870 | 331,802 | |||||||
Commercial Mtg Pass-Through Certificates, Series 2011-THL Class A, 3.376% due 6/9/2028 | NR/Aaa | 5,000,000 | 5,145,712 | |||||||
Commercial Mtg Pass-Through Certificates, Series 2011-THL Class B, 4.554% due 6/9/2028 | NR/Aa2 | 1,500,000 | 1,587,839 | |||||||
Credit Suisse Commercial Mtg Capital Certificates, Series 2007-C2 Class A2, 5.448% due 1/15/2049 | AAA/Aaa | 1,094,503 | 1,121,014 | |||||||
DBUBS Mtg Trust, CMO Series 2011-LC1A Class A1, 3.742% due 11/10/2046 | NR/Aaa | 5,375,182 | 5,712,479 | |||||||
DBUBS Mtg Trust, CMO Series 2011-LC2A Class A1FL, 1.592% due 7/12/2044 | NR/Aaa | 1,410,526 | 1,431,726 | |||||||
JPMorgan Chase Commercial Mtg, Series 2004-C3 Class A-5, 4.878% due 1/15/2042 | NR/Aaa | 5,000,000 | 5,375,922 | |||||||
JPMorgan Chase, Series 2011-FL1 Class B, 3.992% due 11/15/2028 | AA/Aa2 | 2,725,000 | 2,711,375 | |||||||
Morgan Stanley Re-REMIC Trust, Series 2009-GG10 Class A4A, 5.787% due 8/12/2045 | NR/Aaa | 2,838,000 | 3,201,196 | |||||||
Wachovia Bank Commercial Mtg Trust, Series 2004-C10 Class C, 4.842% due 2/15/2041 | AA+/Aaa | 4,000,000 | 4,092,372 | |||||||
|
| |||||||||
| 36,905,790 | ||||||||||
|
| |||||||||
CREDIT CARD — 0.35% | ||||||||||
First Financial Bank USA, Series 2010-C Class B, 5.19% due 9/17/2018 | AA-/NR | 2,000,000 | 2,012,369 | |||||||
First Financial Bank USA, Series 2010-D Class A, 3.72% due 6/17/2019 | AAA/NR | 5,000,000 | 5,132,228 | |||||||
|
| |||||||||
| 7,144,597 | ||||||||||
|
| |||||||||
OTHER ASSET BACKED — 2.93% | ||||||||||
a,c Cie Financement Foncier, 2.50% due 9/16/2015 | AAA/Aaa | 6,000,000 | 6,045,792 | |||||||
Dominos Pizza Master Issuer LLC, Series 2012-1A, 5.216% due 1/25/2042 | BBB+/Baa1 | 7,500,000 | 7,605,386 | |||||||
aGTP Cellular Sites LLC, 3.721% due 3/15/2042 | NR/NR | 9,500,000 | 9,445,346 | |||||||
MIRAMAX LLC, 6.25% due 10/20/2021 | BBB/Baa3 | 9,214,286 | 9,410,702 | |||||||
Nomura Asset Securities Corp., Series 1998-D6 Class A2, 6.831% due 3/15/2030 | AAA/Aaa | 5,683,000 | 5,906,355 | |||||||
bNorthwind Holdings LLC Floating Rate Bond, 1.268% due 12/1/2037 | A/Baa1 | 4,768,750 | 3,730,355 | |||||||
Sierra Receivables Funding Co. LLC, Series 2012-1A Class A, 2.98% due 11/20/2028 | A+/NR | 10,000,000 | 10,016,746 | |||||||
18 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Income Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
Sonic Capital LLC, 5.438% due 5/20/2041 | BBB/Baa2 | $ | 7,800,000 | $ | 8,065,688 | |||||
| �� |
|
| ||||||||
| 60,226,370 | ||||||||||
|
| |||||||||
RESIDENTIAL MTG TRUST — 2.46% | ||||||||||
Ameriquest Mtg Securities Inc., Series 2004-R12 Class A4 Floating Rate Note, 0.712% due 1/25/2035 | A+/Aaa | 3,891,057 | 3,707,047 | |||||||
Arran Residential Mtgs Funding plc, Series 2011-1A Class A2C, 1.943% due 11/19/2047 | NR/Aaa | 5,000,000 | 5,006,784 | |||||||
Banc of America Mtg Securities Inc., Series 2005 A Class B1 Floating Rate Note, 3.176% due 2/25/2035 | NR/NR | 2,733,411 | 929,498 | |||||||
Bear Stearns Mtg, Series 2004-3 Class 1-A2, 2.836% due 7/25/2034 | BBB+/B1 | 270,619 | 228,282 | |||||||
Countrywide Home Loan, Series 2004 Class 1-A, 2.698% due 7/20/2034 | A/Ba3 | 478,628 | 402,084 | |||||||
FNBC Trust, Series 1993 A, 8.08% due 1/5/2018 | A+/Aa1 | 819,871 | 920,740 | |||||||
Home Equity Asset Trust, Series 2006-3 Class 2A, 0.422% due 7/25/2036 | AAA/A1 | 2,061,636 | 2,043,751 | |||||||
Merrill Lynch Mtg Investors, Series 2003 E Class B3, 2.492% due 10/25/2028 | A+/B3 | 1,080,618 | 618,032 | |||||||
Merrill Lynch Mtg Investors, Series 2004 A4 Class M1, 2.60% due 8/25/2034 | CCC/NR | 822,913 | 653,185 | |||||||
New Century Home Equity Loan Trust, Series 2005-2 Class A2C, 0.542% due 6/25/2035 | AAA/Aa1 | 6,489,127 | 6,361,804 | |||||||
Option One Mtg Loan Trust, Series 2005-5 Class A3 Floating Rate Note, 0.452% due 12/25/2035 | AAA/ Baa2 | 1,879,935 | 1,645,855 | |||||||
Popular ABS Mtg Pass-Through Trust, Series 2005-4 Class AF5, 5.537% due 9/25/2035 | AAA/ Baa1 | 6,797,408 | 6,738,167 | |||||||
Residential Asset Mtg Products, Inc., 0.542% due 3/25/2035 | NR/Aa3 | 1,059,170 | 976,848 | |||||||
Residential Asset Mtg Products, Inc., 7.125% due 4/25/2031 | AAA/NR | 3,081,185 | 3,284,284 | |||||||
aRiverView HECM Trust, Series 2007-1 Class A, 0.62% due 5/25/2047 | A-/Ba3 | 6,401,725 | 5,665,527 | |||||||
cSilverstone Master Issuer Floating Rate Note, Series 2010-1A Class A1, 1.961% due 1/21/2055 | AAA/Aaa | 5,000,000 | 5,003,839 | |||||||
Structured Asset Securities Corp., 2.716% due 3/25/2033 | AAA/ Baa1 | 3,170,637 | 2,719,548 | |||||||
Structured Asset Securities Corp. Series 2004-3 Class 3-A1, 5.50% due 3/25/2019 | AAA/ Baa2 | 1,832,797 | 1,874,158 | |||||||
Washington Mutual Mtg, Series 2003-S13 Class 21-A1, 4.50% due 12/25/2018 | AAA/NR | 1,532,675 | 1,550,224 | |||||||
Wells Fargo Asset Securities Corp., Series 2005-AR2 Class B1, 2.618% due 2/25/2035 | CC/C | 936,258 | 94,054 | |||||||
Wells Fargo Asset Securities Corp., Series 2005-AR2 Class B1, 2.625% due 3/25/2035 | NR/NR | 1,017,969 | 93,009 | |||||||
|
| |||||||||
| 50,516,720 | ||||||||||
|
| |||||||||
STUDENT LOAN — 1.46% | ||||||||||
SLM Student Loan Trust, Series 2003-C Class A2 Floating Rate Bond, 0.864% due 9/15/2020 | AA-/Aa2 | 3,772,495 | 3,595,877 | |||||||
SLM Student Loan Trust, Series 2004-B Class A3 Floating Rate Bond, 0.804% due 3/15/2024 | A+/Aaa | 8,000,000 | 6,134,627 | |||||||
eSLM Student Loan Trust, Series 2006-A Class A4 Floating Rate Bond, 0.664% due 12/15/2023 | A+/Aa1 | 12,075,000 | 10,901,864 | |||||||
SLM Student Loan Trust, Series 2006-B Class A3 Floating Rate Bond, 0.614% due 12/15/2022 | A/Aaa | 4,286,127 | 4,229,896 | |||||||
SLM Student Loan Trust, Series 2011-B Class A2, 3.74% due 2/15/2029 | AAA/Aaa | 5,000,000 | 5,007,808 | |||||||
|
| |||||||||
| 29,870,072 | ||||||||||
|
| |||||||||
TOTAL ASSET BACKED SECURITIES (Cost $210,696,476) | 207,337,399 | |||||||||
|
| |||||||||
CORPORATE BONDS — 58.64% | ||||||||||
AUTOMOBILES & COMPONENTS — 1.38% | ||||||||||
AUTOMOBILES — 1.38% | ||||||||||
aAmerican Honda Finance, 2.60% due 9/20/2016 | A+/A1 | 5,000,000 | 5,139,920 | |||||||
aHarley-Davidson Funding Corp., 5.25% due 12/15/2012 | BBB+/ Baa1 | 3,000,000 | 3,078,987 | |||||||
aHarley-Davidson Funding Corp., 5.75% due 12/15/2014 | BBB+/ Baa1 | 10,000,000 | 10,902,920 | |||||||
aHyundai Capital America, 3.75% due 4/6/2016 | BBB+/ Baa2 | 500,000 | 511,925 | |||||||
cHyundai Capital Services, Inc., 6.00% due 5/5/2015 | BBB+/ Baa2 | 8,000,000 | 8,759,488 | |||||||
|
| |||||||||
| 28,393,240 | ||||||||||
|
| |||||||||
BANKS — 12.24% | ||||||||||
COMMERCIAL BANKS — 12.24% | ||||||||||
a,cABN AMRO Bank N.V., 4.25% due 2/2/2017 | A+/Aa3 | 1,000,000 | 1,014,510 | |||||||
a,cANZ National International Ltd., 3.125% due 8/10/2015 | AA-/Aa3 | 4,000,000 | 4,088,116 | |||||||
Certified Semi-Annual Report 19
SCHEDULE OF INVESTMENTS, CONTINUED
| Thornburg Limited Term Income Fund | March 31, 2012 (Unaudited) |
| Credit Rating† | Principal | |||||||||
Issuer-Description | S&P/Moody’s | Amount | Value | |||||||
a,cANZ National International Ltd., 6.20% due 7/19/2013 | AA-/Aa3 | $ | 1,000,000 | $ | 1,049,712 | |||||
a,cAustralia and New Zealand Bank, 2.40% due 11/23/2016 | NR/Aaa | 6,000,000 | 6,050,598 | |||||||
a,cBanco Bradesco, 4.50% due 1/12/2017 | BBB/Baa1 | 2,500,000 | 2,630,000 | |||||||
a,c,dBanco Latinoamericano de Comercio Exterior, S.A., 3.75% due 4/4/2017 | NR/NR | 4,000,000 | 3,994,080 | |||||||
a,cBanco Santander, 2.574% due 3/18/2014 | BBB/Baa1 | 7,883,000 | 7,739,387 | |||||||
a,cBank of China Hong Kong, 3.75% due 11/8/2016 | A+/Aa3 | 4,000,000 | 4,169,352 | |||||||
cBank of Nova Scotia, 2.55% due 1/12/2017 | AA-/Aa1 | 5,000,000 | 5,126,335 | |||||||
a,cBarclays Bank plc, 2.50% due 9/21/2015 | AAA/Aaa | 5,000,000 | 5,097,390 | |||||||
cBarclays Bank plc, 2.75% due 2/23/2015 | NR/NR | 5,000,000 | 5,047,610 | |||||||
a,cBNP Paribas Home Loan Covered Bonds SA, 2.20% due 11/2/2015 | AAA/Aaa | 10,000,000 | 10,061,900 | |||||||
aCoBank, ACB, 7.875% due 4/16/2018 | A/NR | 14,331,000 | 17,135,634 | |||||||
a,cCommonwealth Bank of Australia, 2.25% due 3/16/2017 | NR/Aaa | 7,500,000 | 7,501,155 | |||||||
cCorp Andina de Fomento, 3.75% due 1/15/2016 | A+/A1 | 11,000,000 | 11,403,304 | |||||||
a,cCredit Agricole London, 2.011% due 1/21/2014 | A/Aa3 | 7,000,000 | 6,841,177 | |||||||
a,cDanske Bank A/S, 3.75% due 4/1/2015 | A/A2 | 4,000,000 | 3,993,700 | |||||||
a,cDanske Bank A/S, 3.875% due 4/14/2016 | A/A2 | 10,000,000 | 9,861,680 | |||||||
b,cDFS Funding Corp. Floating Rate Note, 1.299% due 6/15/2015 | NR/Baa2 | 5,200,000 | 4,875,000 | |||||||
a,c,dDNB Bank ASA, 3.20% due 4/3/2017 | A+/Aa3 | 10,000,000 | 10,039,410 | |||||||
First Niagara Finance Group, 6.75% due 3/19/2020 | BBB/Baa2 | 740,000 | 810,522 | |||||||
First Niagara Finance Group, 7.25% due 12/15/2021 | BBB-/Baa3 | 4,000,000 | 4,281,676 | |||||||
a,cHSBC Bank plc, 3.50% due 6/28/2015 | AA-/Aa2 | 2,000,000 | 2,088,574 | |||||||
HSBC Bank USA, N.A., 4.875% due 8/24/2020 | A/A1 | 1,000,000 | 1,024,651 | |||||||
cHSBC Holdings plc, 4.875% due 1/14/2022 | A+/Aa2 | 2,000,000 | 2,118,904 | |||||||
HSBC USA, Inc., 2.375% due 2/13/2015 | A+/A1 | 2,000,000 | 2,013,714 | |||||||
a,cIntesa Sanpaolo SpA, 2.892% due 2/24/2014 | BBB+/A2 | 5,000,000 | 4,876,950 | |||||||
a,cKookmin Bank, 7.25% due 5/14/2014 | AA/Aa1 | 7,000,000 | 7,720,797 | |||||||
a,cNational Bank of Canada, 2.20% due 10/19/2016 | NR/Aaa | 2,000,000 | 2,054,448 | |||||||
National City Bank Floating Rate Note, 0.845% due 6/7/2017 | A-/A3 | 4,000,000 | 3,646,108 | |||||||
Nations Bank Corp., 7.23% due 8/15/2012 | A-/Baa1 | 250,000 | 252,262 | |||||||
North Fork Bancorp, Inc., 5.875% due 8/15/2012 | BBB-/Baa2 | 2,000,000 | 2,031,862 | |||||||
PNC Bank NA, 6.00% due 12/7/2017 | A-/A3 | 2,482,000 | 2,813,469 | |||||||
cRabobank Nederland, 3.375% due 1/19/2017 | AA/Aaa | 2,000,000 | 2,044,678 | |||||||
cRoyal Bank of Scotland plc, 3.95% due 9/21/2015 | A/A2 | 4,000,000 | 4,044,384 | |||||||
cRoyal Bank of Scotland plc, 4.875% due 3/16/2015 | A/A2 | 1,600,000 | 1,663,130 | |||||||
a,cRoyal Bank of Scotland plc, 4.875% due 8/25/2014 | A/A2 | 5,000,000 | 5,196,115 | |||||||
a,cSantander Issuances, 6.50% due 8/11/2019 | A-/A2 | 5,000,000 | 4,733,615 | |||||||
a,cSociete Generale, 3.10% due 9/14/2015 | A/A1 | 6,000,000 | 5,836,902 | |||||||
a,bSovereign Bank Lease Pass-Through Trust, 12.18% due 6/30/2020 | A/A2 | 5,920,404 | 7,814,934 | |||||||
a,cSparebank I Boligkreditt AS, 2.30% due 6/30/2017 | NR/NR | 5,000,000 | 4,981,850 | |||||||
a,cStandard Chartered plc, 3.20% due 5/12/2016 | A+/A2 | 5,000,000 | 5,096,495 | |||||||
cSvenska Handelsbanken AB, 3.125% due 7/12/2016 | AA-/Aa2 | 6,000,000 | 6,113,766 | |||||||
a,cSwedbank Hypotek AB, 2.375% due 4/5/2017 | NR/NR | 5,000,000 | 5,018,190 | |||||||
a,cToronto-Dominion Bank, 2.20% due 7/29/2015 | NR/Aaa | 3,000,000 | 3,102,306 | |||||||
US Bank NA, 3.778% due 4/29/2020 | A/Aa3 | 10,000,000 | 10,440,660 | |||||||
aWebster Bank, 5.875% due 1/15/2013 | BBB-/Baa1 | 3,000,000 | 3,058,218 | |||||||
Wells Fargo & Co., 2.625% due 12/15/2016 | A+/A2 | 4,000,000 | 4,089,808 | |||||||
Wells Fargo Bank NA, 0.708% due 5/16/2016 | A+/A1 | 4,629,000 | 4,410,104 | |||||||
cWestpac Banking Corp., 3.00% due 8/4/2015 | AA-/Aa2 | 2,000,000 | 2,070,310 | |||||||
a,cWoori Bank, 4.75% due 1/20/2016 | A-/A1 | 5,000,000 | 5,274,820 | |||||||
Zions Bancorp, 4.50% due 3/27/2017 | BBB-/NR | 3,000,000 | 2,981,250 | |||||||
|
| |||||||||
| 251,425,522 | ||||||||||
|
| |||||||||
20 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED
| Thornburg Limited Term Income Fund | March 31, 2012 (Unaudited) |
| Credit Rating† | Principal | |||||||||
Issuer-Description | S&P/Moody’s | Amount | Value | |||||||
CAPITAL GOODS — 2.78% | ||||||||||
AEROSPACE & DEFENSE — 0.08% | ||||||||||
Boeing Co., 5.00% due 3/15/2014 | A/A2 | $ | 1,500,000 | $ | 1,631,307 | |||||
CONSTRUCTION & ENGINEERING — 0.19% | ||||||||||
aURS Corp., 3.85% due 4/1/2017 | NR/NR | 4,000,000 | 3,986,916 | |||||||
INDUSTRIAL CONGLOMERATES — 1.16% | ||||||||||
General Electric Co., 5.25% due 12/6/2017 | AA+/Aa2 | 2,500,000 | 2,891,160 | |||||||
a,cHutchison Whampoa Ltd., 3.50% due 1/13/2017 | NR/A3 | 5,000,000 | 5,060,890 | |||||||
cPhilips Electronics N.V., 3.75% due 3/15/2022 | NR/NR | 3,500,000 | 3,520,744 | |||||||
a,cSmiths Group plc, 7.20% due 5/15/2019 | BBB+/Baa2 | 3,000,000 | 3,564,978 | |||||||
a,cSmiths Group plc, 6.05% due 5/15/2014 | BBB+/Baa2 | 3,000,000 | 3,202,371 | |||||||
aSouthern Star Central Gas Pipeline, Inc., 6.00% due 6/1/2016 | BBB-/Baa3 | 5,000,000 | 5,510,100 | |||||||
MACHINERY — 0.75% | ||||||||||
Aeroquip Vickers, Inc., 6.875% due 4/9/2018 | A-/NR | 1,500,000 | 1,792,863 | |||||||
Ingersoll Rand Co., 6.391% due 11/15/2027 | BBB+/Baa1 | 3,000,000 | 3,459,720 | |||||||
John Deere Capital Corp., 5.25% due 10/1/2012 | A/A2 | 1,600,000 | 1,639,149 | |||||||
a,cVolvo Treasury AB, 5.95% due 4/1/2015 | BBB/Baa2 | 8,000,000 | 8,569,496 | |||||||
TRADING COMPANIES & DISTRIBUTORS — 0.60% | ||||||||||
a,bAir Lease Corp., 7.375% due 1/30/2019 | NR/NR | 12,000,000 | 12,240,000 | |||||||
|
| |||||||||
| 57,069,694 | ||||||||||
|
| |||||||||
COMMERCIAL & PROFESSIONAL SERVICES — 0.25% | ||||||||||
COMMERCIAL SERVICES & SUPPLIES — 0.25% | ||||||||||
Allied Waste North America, Inc., 6.875% due 6/1/2017 | BBB/Baa3 | 4,000,000 | 4,175,000 | |||||||
Science Applications International Corp., 6.25% due 7/1/2012 | A-/A3 | 1,000,000 | 1,013,479 | |||||||
|
| |||||||||
| 5,188,479 | ||||||||||
|
| |||||||||
CONSUMER DURABLES & APPAREL — 0.18% | ||||||||||
HOUSEHOLD DURABLES — 0.05% | ||||||||||
Fortune Brands, Inc., 6.375% due 6/15/2014 | BBB-/Baa2 | 970,000 | 1,066,744 | |||||||
TEXTILES, APPAREL & LUXURY GOODS — 0.13% | ||||||||||
Nike, Inc., 5.15% due 10/15/2015 | A+/A1 | 2,315,000 | 2,601,092 | |||||||
|
| |||||||||
| 3,667,836 | ||||||||||
|
| |||||||||
DIVERSIFIED FINANCIALS — 9.38% | ||||||||||
CAPITAL MARKETS — 5.03% | ||||||||||
cAMVESCAP plc, 5.375% due 2/27/2013 | A-/A3 | 5,606,000 | 5,817,464 | |||||||
Bank of New York Mellon, 2.40% due 1/17/2017 | A+/Aa3 | 7,000,000 | 7,165,690 | |||||||
a,cCDP Financial, Inc., 4.40% due 11/25/2019 | AAA/Aaa | 5,000,000 | 5,397,385 | |||||||
a,cCDP Financial, Inc., 3.00% due 11/25/2014 | AAA/Aaa | 4,000,000 | 4,187,908 | |||||||
a,cCredit Suisse Group AG - Guernsey, 1.625% due 3/6/2015 | NR/NR | 8,000,000 | 8,027,088 | |||||||
Deutsche Bank Financial LLC, 5.375% due 3/2/2015 | BBB+/A3 | 5,000,000 | 5,172,260 | |||||||
aFMR LLC, 4.75% due 3/1/2013 | A+/A2 | 5,000,000 | 5,168,565 | |||||||
Goldman Sachs Group, Inc. Floating Rate Note, 0.961% due 7/22/2015 | A-/A1 | 8,890,000 | 8,312,381 | |||||||
Goldman Sachs Group, Inc. Floating Rate Note, 0.924% due 3/22/2016 | A-/A1 | 5,000,000 | 4,563,910 | |||||||
a,cGruposura Finance, 5.70% due 5/18/2021 | BBB-/NR | 1,500,000 | 1,567,500 | |||||||
a,cIPIC GMTN Ltd., 3.125% due 11/15/2015 | AA/Aa3 | 1,000,000 | 1,010,000 | |||||||
a,cIPIC GMTN Ltd., 5.00% due 11/15/2020 | AA/Aa3 | 1,000,000 | 1,022,500 | |||||||
a,cMacquarie Bank Ltd., 5.00% due 2/22/2017 | A/A2 | 5,000,000 | 5,038,050 | |||||||
a,cMacquarie Group Ltd., 7.30% due 8/1/2014 | BBB/A3 | 8,000,000 | 8,574,792 | |||||||
a,cMacquarie Group Ltd., 7.625% due 8/13/2019 | BBB/A3 | 2,000,000 | 2,151,712 | |||||||
cMan Group plc, 6.50% due 8/1/2013 | NR/Baa2 | 5,000,000 | 5,126,500 | |||||||
Certified Semi-Annual Report 21
SCHEDULE OF INVESTMENTS, CONTINUED
| Thornburg Limited Term Income Fund | March 31, 2012 (Unaudited) |
| Credit Rating† | Principal | |||||||||
Issuer-Description | S&P/Moody’s | Amount | Value | |||||||
cMan Group plc Floating Rate Note, 2.124% due 9/22/2015 | NR/Baa3 | $ | 5,000,000 | $ | 4,004,600 | |||||
Merrill Lynch & Co., 1.092% due 5/2/2017 | BBB+/Baa2 | 2,500,000 | 2,029,330 | |||||||
Merrill Lynch & Co., 6.875% due 4/25/2018 | A-/Baa1 | 2,000,000 | 2,223,398 | |||||||
Morgan Stanley, 4.75% due 3/22/2017 | A-/A2 | 5,000,000 | 5,001,665 | |||||||
Morgan Stanley Floating Rate Note, 3.006% due 5/14/2013 | A-/A2 | 5,000,000 | 5,037,760 | |||||||
Murray Street Investment Trust, 4.647% due 3/9/2017 | A-/A1 | 5,000,000 | 5,003,705 | |||||||
cNomura Holdings, Inc., 5.00% due 3/4/2015 | BBB+/Baa3 | 1,500,000 | 1,559,884 | |||||||
CONSUMER FINANCE — 0.99% | ||||||||||
American Express Credit Co., 5.125% due 8/25/2014 | BBB+/A2 | 3,000,000 | 3,262,788 | |||||||
American Express Credit Co., 2.80% due 9/19/2016 | BBB+/A2 | 8,000,000 | 8,219,208 | |||||||
a,cBanque PSA Finance, 2.481% due 4/4/2014 | BBB/Baa1 | 7,000,000 | 6,756,799 | |||||||
Western Union Co., 3.65% due 8/22/2018 | A-/A3 | 2,000,000 | 2,138,298 | |||||||
DIVERSIFIED FINANCIAL SERVICES — 3.36% | ||||||||||
Bank of America Corp., 4.50% due 4/1/2015 | A-/Baa1 | 1,000,000 | 1,035,764 | |||||||
Bank of America Corp., 6.50% due 8/1/2016 | A-/Baa1 | 2,000,000 | 2,198,968 | |||||||
aBank of America Covered Bond Issuer, 5.50% due 6/14/2012 | A+/Aa3 | 3,000,000 | 3,027,690 | |||||||
a,cBM&F Bovespa SA, 5.50% due 7/16/2020 | BBB+/Baa1 | 1,000,000 | 1,062,500 | |||||||
Citigroup, Inc., 6.00% due 12/13/2013 | A-/A3 | 2,000,000 | 2,118,994 | |||||||
Citigroup, Inc., 2.65% due 3/2/2015 | A-/NR | 2,000,000 | 1,999,636 | |||||||
Citigroup, Inc., 6.50% due 8/19/2013 | A-/A3 | 1,000,000 | 1,057,921 | |||||||
Citigroup, Inc., 5.00% due 9/15/2014 | BBB+/Baa1 | 3,000,000 | 3,106,887 | |||||||
aCME Group Index Services, 4.40% due 3/15/2018 | AA-/Aa3 | 4,530,000 | 4,911,041 | |||||||
General Electric Capital Corp. Floating Rate Note, 0.624% due 12/28/2018 | AA+/Aa2 | 4,850,000 | 4,145,067 | |||||||
General Electric Capital Corp. Floating Rate Note, 0.614% due 6/20/2014 | BBB-/Aa2 | 4,000,000 | 3,941,884 | |||||||
cIPIC GMTN Ltd., 3.75% due 3/1/2017 | AA/Aa3 | 3,000,000 | 3,052,500 | |||||||
a,cIPIC GMTN Ltd., 5.50% due 3/1/2022 | AA/Aa3 | 3,500,000 | 3,600,625 | |||||||
JPMorgan Chase & Co., 4.35% due 8/15/2021 | A/Aa3 | 4,000,000 | 4,086,936 | |||||||
JPMorgan Chase Bank NA, 0.804% due 6/13/2016 | A/Aa2 | 12,875,000 | 11,962,459 | |||||||
cKorea Development Bank, 8.00% due 1/23/2014 | A/A1 | 3,000,000 | 3,303,600 | |||||||
MBNA Corp., 6.125% due 3/1/2013 | A-/Baa1 | 1,305,000 | 1,350,521 | |||||||
a,cNational Agricultural Cooperative Federation, 5.00% due 9/30/2014 | A/A1 | 2,000,000 | 2,125,998 | |||||||
National Rural Utilities CFC, 10.375% due 11/1/2018 | A+/A1 | 2,000,000 | 2,900,656 | |||||||
aUSAA Capital Corp., 2.25% due 12/13/2016 | AA+/Aa1 | 8,000,000 | 8,010,024 | |||||||
|
| |||||||||
| 192,540,811 | ||||||||||
|
| |||||||||
ENERGY — 5.02% | ||||||||||
ENERGY EQUIPMENT & SERVICES — 0.76% | ||||||||||
Detroit Edison Corporate Senior Note Series D, 5.40% due 8/1/2014 | A/A2 | 2,000,000 | 2,185,808 | |||||||
Nabors Industries, Inc., 9.25% due 1/15/2019 | BBB/Baa2 | 4,000,000 | 5,134,920 | |||||||
Rowan Companies, Inc., 7.875% due 8/1/2019 | BBB-/Baa3 | 7,000,000 | 8,354,598 | |||||||
OIL, GAS & CONSUMABLE FUELS — 4.26% | ||||||||||
a,cBG Energy Capital plc, 2.875% due 10/15/2016 | A/A2 | 5,000,000 | 5,172,750 | |||||||
cBP Capital Markets plc, 3.875% due 3/10/2015 | A/A2 | 2,000,000 | 2,144,984 | |||||||
a,cCanadian Oil Sands Trust, 4.50% due 4/1/2022 | BBB/Baa2 | 3,000,000 | 3,022,083 | |||||||
ConocoPhillips, 4.75% due 2/1/2014 | A/A1 | 1,000,000 | 1,073,723 | |||||||
aDCP Midstream LLC, 9.75% due 3/15/2019 | BBB/Baa2 | 6,500,000 | 8,307,085 | |||||||
a,cDolphin Energy Ltd., 5.50% due 12/15/2021 | NR/A1 | 2,000,000 | 2,107,500 | |||||||
Energen Corp., 4.625% due 9/1/2021 | BBB/Baa3 | 10,000,000 | 9,967,160 | |||||||
Energy Transfer Partners LP, 9.70% due 3/15/2019 | BBB-/Baa3 | 3,856,000 | 4,929,869 | |||||||
aFlorida Gas Transmission, 4.00% due 7/15/2015 | BBB/Baa2 | 2,000,000 | 2,077,910 | |||||||
a,cGazprom, 4.95% due 5/23/2016 | BBB/Baa1 | 4,000,000 | 4,145,080 | |||||||
a,cKorea National Oil Corp., 4.00% due 10/27/2016 | A/A1 | 2,000,000 | 2,087,112 | |||||||
Murphy Oil Corp., 6.375% due 5/1/2012 | BBB/Baa3 | 750,000 | 752,758 | |||||||
22 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Income Fund | March 31, 2012 (Unaudited) | |
| Credit Rating† | Principal | |||||||||
Issuer-Description | S&P/Moody’s | Amount | Value | |||||||
cNorsk Hydro A/S, 6.70% due 1/15/2018 | AA-/Aa2 | $ | 1,000,000 | $ | 1,225,487 | |||||
aNorthern Natural Gas Co., 5.75% due 7/15/2018 | A/A2 | 50,000 | 59,000 | |||||||
NuStar Logistics LP, 4.75% due 2/1/2022 | BBB-/Baa3 | 5,000,000 | 4,915,750 | |||||||
a,cOdebrecht Drill VIII/IX, 6.35% due 6/30/2021 | NR/Baa3 | 5,880,000 | 6,262,200 | |||||||
a,cOrigin Energy Finance Ltd., 5.45% due 10/14/2021 | BBB+/Baa1 | 10,000,000 | 10,209,900 | |||||||
aPhillips 66, 2.95% due 5/1/2017 | BBB/Baa1 | 2,000,000 | 2,032,804 | |||||||
aSemco Energy, Inc., 5.15% due 4/21/2020 | BBB+/A3 | 3,000,000 | 3,242,184 | |||||||
cShell International Finance, 3.10% due 6/28/2015 | AA/Aa1 | 3,000,000 | 3,211,224 | |||||||
Sunoco Logistics, 8.75% due 2/15/2014 | NR/Baa2 | 5,000,000 | 5,514,385 | |||||||
Valero Logistics, 6.875% due 7/15/2012 | BBB-/Baa3 | 2,700,000 | 2,731,020 | |||||||
a,cWoodside Finance Ltd., 8.125% due 3/1/2014 | BBB+/Baa1 | 2,000,000 | 2,217,024 | |||||||
|
| |||||||||
| 103,084,318 | ||||||||||
|
| |||||||||
FOOD, BEVERAGE & TOBACCO — 2.25% | ||||||||||
BEVERAGES — 1.25% | ||||||||||
Anheuser-Busch Cos., Inc., 4.375% due 1/15/2013 | A-/A3 | 2,000,000 | 2,056,012 | |||||||
Anheuser-Busch Cos., Inc., 4.70% due 4/15/2012 | A-/A3 | 1,000,000 | 1,001,196 | |||||||
Coca Cola Enterprises, Inc., 5.71% due 3/18/2037 | A+/NR | 3,380,000 | 3,965,166 | |||||||
cCoca Cola HBC Finance BV, 5.125% due 9/17/2013 | A-/A3 | 6,524,000 | 6,840,545 | |||||||
cCoca Cola HBC Finance BV, 5.50% due 9/17/2015 | A-/A3 | 7,985,000 | 8,798,759 | |||||||
aSabmiller Holdings, Inc., 2.45% due 1/15/2017 | BBB+/NR | 3,000,000 | 3,037,629 | |||||||
FOOD PRODUCTS — 0.10% | ||||||||||
Corn Products International, Inc., 3.20% due 11/1/2015 | BBB/Baa2 | 1,000,000 | 1,035,725 | |||||||
Kraft Foods, Inc., 6.00% due 2/11/2013 | BBB-/Baa2 | 1,000,000 | 1,044,744 | |||||||
TOBACCO — 0.90% | ||||||||||
Altria Group, Inc., 8.50% due 11/10/2013 | BBB/Baa1 | 1,000,000 | 1,117,402 | |||||||
Altria Group, Inc., 9.70% due 11/10/2018 | BBB/Baa1 | 3,000,000 | 4,076,478 | |||||||
Lorillard Tobacco Co., 6.875% due 5/1/2020 | BBB-/Baa2 | 5,000,000 | 5,874,795 | |||||||
Lorillard Tobacco Co., 8.125% due 6/23/2019 | BBB-/Baa2 | 5,000,000 | 6,207,985 | |||||||
UST, Inc., 5.75% due 3/1/2018 | BBB/NR | 1,000,000 | 1,093,878 | |||||||
|
| |||||||||
| 46,150,314 | ||||||||||
|
| |||||||||
HEALTH CARE EQUIPMENT & SERVICES — 0.05% | ||||||||||
HEALTH CARE PROVIDERS & SERVICES — 0.05% | ||||||||||
Wellpoint, Inc., 6.00% due 2/15/2014 | A-/Baa1 | 1,000,000 | 1,088,622 | |||||||
|
| |||||||||
| 1,088,622 | ||||||||||
|
| |||||||||
HOTELS RESTAURANTS & LEISURE — 0.24% | ||||||||||
HOTELS, RESTAURANTS & LEISURE — 0.24% | ||||||||||
aHyatt Hotels Corps., 5.75% due 8/15/2015 | BBB/Baa2 | 2,500,000 | 2,747,253 | |||||||
a,cTDIC Finance Ltd., 6.50% due 7/2/2014 | AA/A1 | 2,000,000 | 2,160,000 | |||||||
|
| |||||||||
| 4,907,253 | ||||||||||
|
| |||||||||
INSURANCE — 4.04% | ||||||||||
INSURANCE — 4.04% | ||||||||||
Aflac, Inc., 8.50% due 5/15/2019 | A-/A3 | 3,000,000 | 3,915,603 | |||||||
Aflac, Inc., 2.65% due 2/15/2017 | A-/A3 | 2,000,000 | 2,022,604 | |||||||
Alterra Finance LLC, 6.25% due 9/30/2020 | BBB+/Baa2 | 3,000,000 | 3,159,690 | |||||||
CNA Financial Corp., 6.50% due 8/15/2016 | BBB-/Baa3 | 2,035,000 | 2,286,809 | |||||||
CNA Financial Corp., 7.35% due 11/15/2019 | BBB-/Baa3 | 2,507,000 | 2,926,534 | |||||||
Fidelity National Financial, 6.60% due 5/15/2017 | BBB-/Baa3 | 6,000,000 | 6,352,674 | |||||||
aForethought Financial Group, Inc., 8.625% due 4/15/2021 | BBB-/Baa3 | 5,700,000 | 5,628,699 | |||||||
aGenworth Life Institutional Fund, 5.875% due 5/3/2013 | A/A2 | 1,000,000 | 1,037,392 | |||||||
Certified Semi-Annual Report 23
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Income Fund | March 31, 2012 (Unaudited) | |
| Credit Rating† | Principal | |||||||||
Issuer-Description | S&P/Moody’s | Amount | Value | |||||||
Hanover Insurance Group, 6.375% due 6/15/2021 | BBB-/Baa3 | $ | 2,480,000 | $ | 2,614,976 | |||||
Hartford Financial Services Group, Inc., 4.625% due 7/15/2013 | BBB/Baa3 | 5,370,000 | 5,579,989 | |||||||
Kemper Corp., 6.00% due 5/15/2017 | BBB-/Baa3 | 1,950,000 | 2,080,166 | |||||||
aLiberty Mutual Group, Inc., 5.75% due 3/15/2014 | BBB-/Baa2 | 1,000,000 | 1,053,990 | |||||||
Lincoln National Corp., 4.75% due 2/15/2014 | A-/Baa2 | 1,000,000 | 1,043,901 | |||||||
a,dMassMutual Global Funding LLC, 2.00% due 4/5/2017 | NR/NR | 8,000,000 | 7,972,776 | |||||||
aMetLife Global Funding I, 1.332% due 1/10/2014 | AA-/Aa3 | 6,000,000 | 6,005,046 | |||||||
aMetLife Global Funding I, 2.00% due 1/9/2015 | AA-/Aa3 | 5,000,000 | 5,053,000 | |||||||
cMontpelier Re Holdings Ltd., 6.125% due 8/15/2013 | BBB/NR | 7,035,000 | 7,318,848 | |||||||
aPrudential Covered Trust Co., 2.997% due 9/30/2015 | NR/NR | 3,000,000 | 3,033,867 | |||||||
a,cQBE Insurance Group Ltd., 5.647% due 7/1/2023 | BBB+/Baa1 | 9,141,000 | 8,541,030 | |||||||
Unitrin, Inc., 6.00% due 11/30/2015 | BBB-/Baa3 | 5,000,000 | 5,274,685 | |||||||
|
| |||||||||
| 82,902,279 | ||||||||||
|
| |||||||||
MATERIALS — 2.11% | ||||||||||
CHEMICALS — 0.61% | ||||||||||
E.I. du Pont de Nemours & Co., 4.125% due 3/6/2013 | A/A2 | 325,000 | 334,950 | |||||||
aIncitec Pivot Finance LLC, 6.00% due 12/10/2019 | BBB/Baa3 | 4,538,000 | 4,824,788 | |||||||
aIncitec Pivot Ltd., 4.00% due 12/7/2015 | BBB/Baa3 | 3,000,000 | 3,040,944 | |||||||
RPM International, Inc., 6.125% due 10/15/2019 | BBB-/Baa3 | 4,000,000 | 4,379,684 | |||||||
CONSTRUCTION MATERIALS — 0.24% | ||||||||||
CRH America, Inc., 8.125% due 7/15/2018 | BBB+/Baa1 | 4,150,000 | 4,909,375 | |||||||
METALS & MINING — 1.26% | ||||||||||
a,cAnglo American Capital, 9.375% due 4/8/2014 | BBB+/Baa1 | 1,000,000 | 1,150,935 | |||||||
cAnglogold Holdings plc, 5.375% due 4/15/2020 | BBB-/Baa2 | 3,500,000 | 3,602,662 | |||||||
cArcelormittal, 3.75% due 8/5/2015 | BBB-/Baa3 | 3,000,000 | 3,047,343 | |||||||
cArcelormittal, 9.85% due 6/1/2019 | BBB-/Baa3 | 4,100,000 | 4,933,448 | |||||||
cArcelormittal, 4.50% due 2/25/2017 | BBB-/Baa3 | 3,000,000 | 3,008,778 | |||||||
a,c,eKinross Gold Corp., 3.625% due 9/1/2016 | BBB-/Baa3 | 7,000,000 | 7,043,267 | |||||||
a,cXstrata Canada Finance Corp., 3.60% due 1/15/2017 | BBB+/Baa2 | 3,000,000 | 3,096,660 | |||||||
|
| |||||||||
| 43,372,834 | ||||||||||
|
| |||||||||
MEDIA — 0.60% | ||||||||||
MEDIA — 0.60% | ||||||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 7.625% due 5/15/2016 | BBB/Baa2 | 5,000,000 | 5,237,500 | |||||||
Time Warner Cable, Inc., 8.05% due 1/15/2016 | BBB/Baa2 | 200,000 | 234,174 | |||||||
Time Warner Cable, Inc., 4.00% due 9/1/2021 | BBB/Baa2 | 2,000,000 | 2,049,172 | |||||||
Time Warner Cable, Inc., 5.40% due 7/2/2012 | BBB/Baa2 | 3,000,000 | 3,034,257 | |||||||
Time Warner Cable, Inc., 7.50% due 4/1/2014 | BBB/Baa2 | 1,500,000 | 1,688,352 | |||||||
|
| |||||||||
| 12,243,455 | ||||||||||
|
| |||||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 0.89% | ||||||||||
BIOTECHNOLOGY — 0.39% | ||||||||||
Biogen Idec, Inc., 6.875% due 3/1/2018 | BBB+/Baa2 | 3,000,000 | 3,657,339 | |||||||
Genzyme Corp., 3.625% due 6/15/2015 | AA-/A2 | 3,000,000 | 3,242,622 | |||||||
Genzyme Corp., 5.00% due 6/15/2020 | AA-/A2 | 1,000,000 | 1,154,717 | |||||||
PHARMACEUTICALS — 0.50% | ||||||||||
cTeva Pharmaceuticals, 2.40% due 11/10/2016 | A-/A3 | 4,500,000 | 4,608,220 | |||||||
cTeva Pharmaceuticals, 3.65% due 11/10/2021 | A-/A3 | 3,500,000 | 3,542,977 | |||||||
bTiers Inflation Linked Trust Series Wyeth 2004-21 Trust Certificate CPI Floating Rate Note, 4.812% due 2/1/2014 | AA/A1 | 2,000,000 | 2,051,000 | |||||||
|
| |||||||||
| 18,256,875 | ||||||||||
|
| |||||||||
24 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Income Fund | March 31, 2012 (Unaudited) | |
| Credit Rating† | Principal | |||||||||
Issuer-Description | S&P/Moody’s | Amount | Value | |||||||
REAL ESTATE — 0.82% | ||||||||||
REAL ESTATE INVESTMENT TRUSTS — 0.82% | ||||||||||
Alexandria Real Estate Equities, Inc., 4.60% due 4/1/2022 | BBB-/Baa2 | $ | 2,000,000 | $ | 1,957,786 | |||||
Boston Properties LP, 5.625% due 11/15/2020 | A-/Baa2 | 5,000,000 | 5,693,135 | |||||||
Commonwealth REIT (HRPT Properties), 6.25% due 6/15/2017 | BBB-/Baa2 | 4,000,000 | 4,259,488 | |||||||
a,cGoodman Funding Property Ltd., 6.00% due 3/22/2022 | NR/NR | 5,000,000 | 4,993,190 | |||||||
|
| |||||||||
| 16,903,599 | ||||||||||
|
| |||||||||
RETAILING — 1.04% | ||||||||||
MULTILINE RETAIL — 0.41% | ||||||||||
Family Dollar Stores, Inc., 5.00% due 2/1/2021 | BBB-/Baa3 | 8,000,000 | 8,366,488 | |||||||
SPECIALTY RETAIL — 0.63% | ||||||||||
Best Buy Co., Inc., 3.75% due 3/15/2016 | BBB-/Baa2 | 8,000,000 | 8,066,544 | |||||||
Best Buy Co., Inc., 6.75% due 7/15/2013 | BBB-/Baa2 | 3,000,000 | 3,181,992 | |||||||
Staples, Inc., 9.75% due 1/15/2014 | BBB/Baa2 | 1,500,000 | 1,704,314 | |||||||
|
| |||||||||
| 21,319,338 | ||||||||||
|
| |||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.97% | ||||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.97% | ||||||||||
Intel Corp., 1.95% due 10/1/2016 | A+/A1 | 2,700,000 | 2,780,867 | |||||||
KLA Tencor Corp., 6.90% due 5/1/2018 | BBB/Baa1 | 14,314,000 | 17,066,654 | |||||||
|
| |||||||||
| 19,847,521 | ||||||||||
|
| |||||||||
SOFTWARE & SERVICES — 1.48% | ||||||||||
INFORMATION TECHNOLOGY SERVICES — 0.58% | ||||||||||
Computer Sciences Corp., 6.50% due 3/15/2018 | BBB+/Baa1 | 6,075,000 | 6,576,188 | |||||||
Computer Sciences Corp., 5.50% due 3/15/2013 | BBB+/Baa1 | 1,000,000 | 1,037,500 | |||||||
Electronic Data Systems Corp., 6.00% due 8/1/2013 | BBB+/A3 | 1,000,000 | 1,062,780 | |||||||
SAIC Inc., 4.45% due 12/1/2020 | A-/A3 | 2,000,000 | 2,107,828 | |||||||
Western Union Co., 6.50% due 2/26/2014 | A-/A3 | 1,000,000 | 1,092,473 | |||||||
SOFTWARE — 0.90% | ||||||||||
BMC Software, Inc., 7.25% due 6/1/2018 | BBB+/Baa2 | 15,564,000 | 18,419,091 | |||||||
|
| |||||||||
| 30,295,860 | ||||||||||
|
| |||||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 0.27% | ||||||||||
COMPUTERS & PERIPHERALS — 0.27% | ||||||||||
Dell, Inc., 5.625% due 4/15/2014 | A-/A2 | 500,000 | 548,195 | |||||||
Hewlett-Packard Co., 2.60% due 9/15/2017 | NR/NR | 3,000,000 | 2,998,152 | |||||||
Hewlett-Packard Co., 3.30% due 12/9/2016 | BBB+/A3 | 2,000,000 | 2,080,818 | |||||||
|
| |||||||||
| 5,627,165 | ||||||||||
|
| |||||||||
TELECOMMUNICATION SERVICES — 3.92% | ||||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 2.72% | ||||||||||
AT&T, Inc., 4.85% due 2/15/2014 | A-/A2 | 1,000,000 | 1,075,195 | |||||||
cFrance Telecom, 5.375% due 7/8/2019 | A-/A3 | 10,000,000 | 11,282,720 | |||||||
a,bHidden Ridge Facility, 5.65% due 1/1/2022 | NR/Baa1 | 4,011,475 | 4,442,091 | |||||||
Michigan Bell Telephone Co., 7.85% due 1/15/2022 | A-/NR | 3,000,000 | 3,893,616 | |||||||
a,cOi S.A., 5.75% due 2/10/2022 | BBB-/Baa2 | 5,000,000 | 5,143,750 | |||||||
a,cQtel International Finance Ltd., 3.375% due 10/14/2016 | A/A2 | 500,000 | 506,750 | |||||||
a,cQtel International Finance Ltd., 6.50% due 6/10/2014 | A/A2 | 1,000,000 | 1,093,500 | |||||||
Qwest Corp., 6.75% due 12/1/2021 | BBB-/Baa3 | 3,000,000 | 3,348,750 | |||||||
a,eSBA Tower Trust, 4.254% due 4/15/2040 | NR/A2 | 8,585,000 | 8,951,167 | |||||||
Certified Semi-Annual Report 25
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Income Fund | March 31, 2012 (Unaudited) | |
| Credit Rating† | Principal | |||||||||
Issuer-Description | S&P/Moody’s | Amount | Value | |||||||
aSBA Tower Trust, 5.101% due 4/15/2042 | NR/A2 | $ | 2,100,000 | $ | 2,266,402 | |||||
cTelecom Italia Capital SA, 6.175% due 6/18/2014 | BBB/Baa2 | 3,000,000 | 3,157,500 | |||||||
cTelefonica Emisiones SAU, 6.421% due 6/20/2016 | BBB+/Baa1 | 10,000,000 | 10,660,730 | |||||||
WIRELESS TELECOMMUNICATION SERVICES — 1.20% | ||||||||||
cAmerica Movil S.A.B. de C.V., 2.375% due 9/8/2016 | A-/A2 | 2,500,000 | 2,530,812 | |||||||
cAmerica Movil S.A.B. de C.V., 5.00% due 10/16/2019 | A-/A2 | 5,000,000 | 5,556,460 | |||||||
aCrown Castle Towers LLC, 6.113% due 1/15/2040 | NR/A2 | 4,395,000 | 4,884,726 | |||||||
aCrown Castle Towers LLC, 5.495% due 1/15/2037 | NR/A2 | 8,220,000 | 8,970,470 | |||||||
aRichland Towers, 4.606% due 3/15/2041 | NR/NR | 2,603,552 | 2,731,019 | |||||||
|
| |||||||||
| 80,495,658 | ||||||||||
|
| |||||||||
TRANSPORTATION — 1.96% | ||||||||||
AIR FREIGHT & LOGISTICS — 0.28% | ||||||||||
a,bFedEx Corp., 2.625% due 1/15/2018 | BBB/A3 | 5,000,000 | 5,012,500 | |||||||
FedEx Corp., 8.76% due 5/22/2015 | BBB/A3 | 640,076 | 716,885 | |||||||
AIRLINES — 1.00% | ||||||||||
American Airlines Pass-Through Trust, 8.625% due 4/15/2023 | BBB-/Baa3 | 2,000,000 | 2,110,000 | |||||||
aAviation Capital Group, 6.75% due 4/6/2021 | BBB-/NR | 3,000,000 | 2,909,730 | |||||||
aAviation Capital Group, 7.125% due 10/15/2020 | BBB-/NR | 6,912,000 | 6,940,201 | |||||||
b,c Iberbond plc, 4.826% due 12/24/2017 | NR/A2 | 6,661,053 | 6,727,663 | |||||||
United Airlines, Inc. Pass-Through Certificates, 10.40% due 5/1/2018 | BBB+/Baa2 | 1,535,713 | 1,750,712 | |||||||
ROAD & RAIL — 0.68% | ||||||||||
a,cAsciano Finance, 5.00% due 4/7/2018 | BBB-/Baa2 | 2,000,000 | 2,065,732 | |||||||
a,cAsciano Finance, 4.625% due 9/23/2020 | BBB-/Baa2 | 5,000,000 | 4,835,550 | |||||||
a,cAsciano Finance, 3.125% due 9/23/2015 | BBB-/Baa2 | 3,000,000 | 2,982,318 | |||||||
Ryder System, Inc., 3.50% due 6/1/2017 | BBB+/Baa1 | 4,000,000 | 4,158,508 | |||||||
|
| |||||||||
| 40,209,799 | ||||||||||
|
| |||||||||
UTILITIES — 6.77% | ||||||||||
ELECTRIC UTILITIES — 5.13% | ||||||||||
Centerpoint Energy, 7.00% due 3/1/2014 | A-/A3 | 2,000,000 | 2,219,060 | |||||||
a,cE.ON International Finance BV, 5.80% due 4/30/2018 | A/A3 | 2,000,000 | 2,323,162 | |||||||
a,cElectricite de France SA, 5.50% due 1/26/2014 | A+/Aa3 | 1,250,000 | 1,340,656 | |||||||
Empire District Electric Co., 4.65% due 6/1/2020 | BBB+/A3 | 3,000,000 | 3,227,877 | |||||||
a,cEnel Finance International S.A., 6.25% due 9/15/2017 | BBB+/A3 | 9,500,000 | 10,099,716 | |||||||
Entergy Louisiana LLC, 4.80% due 5/1/2021 | A-/A3 | 4,300,000 | 4,707,498 | |||||||
Entergy Texas, Inc., 3.60% due 6/1/2015 | BBB+/Baa2 | 3,000,000 | 3,108,243 | |||||||
Entergy Texas, Inc., 7.125% due 2/1/2019 | BBB+/Baa2 | 2,000,000 | 2,380,712 | |||||||
aGreat River Energy Series 2007-A, 5.829% due 7/1/2017 | A-/A3 | 3,075,286 | 3,336,286 | |||||||
Gulf Power Co., 4.35% due 7/15/2013 | A/A3 | 925,000 | 954,373 | |||||||
a,cIberdrola Finance Ireland Ltd., 3.80% due 9/11/2014 | A-/A3 | 6,000,000 | 6,157,662 | |||||||
Idaho Power Corp., 6.025% due 7/15/2018 | A-/A2 | 1,000,000 | 1,189,199 | |||||||
aKincaid Generation LLC, 7.33% due 6/15/2020 | BBB-/Baa3 | 7,595,744 | 8,440,349 | |||||||
a,cKorea Hydro and Nuclear Power Co., Ltd., 4.75% due 7/13/2021 | A/A1 | 7,000,000 | 7,255,766 | |||||||
a,cKorea Southern Power Co., 5.375% due 4/18/2013 | A/A1 | 1,000,000 | 1,025,882 | |||||||
Metropolitan Edison Co., 7.70% due 1/15/2019 | BBB-/Baa2 | 2,250,000 | 2,805,372 | |||||||
aMidland Cogen Venture, 6.00% due 3/15/2025 | BBB-/NR | 7,912,000 | 8,078,345 | |||||||
aMonongahela Power Co., 5.70% due 3/15/2017 | BBB+/Baa1 | 5,495,000 | 6,261,201 | |||||||
MP Environmental, 4.982% due 7/15/2016 | AAA/Aaa | 1,856,257 | 1,934,415 | |||||||
PPL Energy Supply LLC, 4.60% due 12/15/2021 | BBB/Baa2 | 6,750,000 | 6,872,330 | |||||||
Public Service Co. of New Mexico, 5.35% due 10/1/2021 | BBB-/Baa3 | 3,000,000 | 3,018,174 | |||||||
aRochester Gas & Electric, 5.90% due 7/15/2019 | A-/A3 | 11,732,000 | 13,271,062 | |||||||
aSteelriver Transmission Co. LLC, 4.71% due 6/30/2017 | NR/Baa2 | 3,934,743 | 4,020,048 | |||||||
26 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Income Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
Toledo Edison Co., 7.25% due 5/1/2020 | BBB/Baa1 | $ | 1,000,000 | $ | 1,236,519 | |||||
GAS UTILITIES — 0.42% | ||||||||||
a,cENN Energy Holdings Ltd., 6.00% due 5/13/2021 | BBB-/Baa3 | 6,000,000 | 5,763,438 | |||||||
aMaritimes and North East Pipeline, 7.50% due 5/31/2014 | BBB/Baa3 | 2,694,900 | 2,883,112 | |||||||
MULTI-UTILITIES — 1.22% | ||||||||||
Ameren Energy Generating Co., 7.00% due 4/15/2018 | BB-/Ba2 | 2,000,000 | 1,770,000 | |||||||
Black Hills Corp., 5.875% due 7/15/2020 | BBB-/Baa3 | 5,000,000 | 5,610,760 | |||||||
aEnogex LLC, 6.875% due 7/15/2014 | BBB-/Baa3 | 4,000,000 | 4,340,992 | |||||||
aEnogex LLC, 6.25% due 3/15/2020 | BBB-/Baa3 | 3,640,000 | 4,044,095 | |||||||
Scana Corp., 4.125% due 2/1/2022 | BBB/Baa3 | 2,000,000 | 2,001,008 | |||||||
a,cTaqa Abu Dhabi National Energy Co., 6.60% due 8/1/2013 | NR/A3 | 5,000,000 | 5,287,500 | |||||||
Union Electric Co., 4.65% due 10/1/2013 | BBB+/A3 | 2,000,000 | 2,093,248 | |||||||
|
| |||||||||
| 139,058,060 | ||||||||||
|
| |||||||||
TOTAL CORPORATE BONDS (Cost $1,165,280,406) | 1,204,048,532 | |||||||||
|
| |||||||||
CONVERTIBLE BONDS — 0.65% | ||||||||||
DIVERSIFIED FINANCIALS — 0.41% | ||||||||||
CAPITAL MARKETS — 0.41% | ||||||||||
Apollo Investment Corp., 5.75% due 1/15/2016 | BBB/NR | 8,500,000 | 8,330,000 | |||||||
|
| |||||||||
| 8,330,000 | ||||||||||
|
| |||||||||
MATERIALS — 0.24% | ||||||||||
METALS & MINING — 0.24% | ||||||||||
cKinross Gold Corp., 1.75% due 3/15/2028 | NR/NR | 5,000,000 | 4,962,500 | |||||||
|
| |||||||||
| 4,962,500 | ||||||||||
|
| |||||||||
TOTAL CONVERTIBLE BONDS (Cost $13,253,241) | 13,292,500 | |||||||||
|
| |||||||||
MUNICIPAL BONDS — 7.29% | ||||||||||
American Campus Properties Student Housing, 7.38% due 9/1/2012 (Insured: Natl-Re) | BBB/Baa2 | 685,000 | 687,946 | |||||||
American Fork City Utah Sales, 5.07% due 3/1/2013 (Insured: AGM) | AA-/Aa3 | 120,000 | 123,841 | |||||||
American Municipal Power Ohio, Inc., 5.072% due 2/15/2018 | A/A1 | 5,000,000 | 5,549,500 | |||||||
Anaheim California Public Financing Authority, 5.316% due 9/1/2017 (Insured: Natl Re/FGIC) | BBB+/A1 | 2,095,000 | 2,107,989 | |||||||
Anaheim California Public Financing Authority, 5.486% due 9/1/2020 (Insured: Natl-Re/FGIC) | BBB+/A1 | 3,270,000 | 3,357,636 | |||||||
Brentwood California Infrastructure Financing Authority, 6.16% due 10/1/2019 | AA-/NR | 2,110,000 | 2,362,272 | |||||||
California Health Facilities Financing Authority, 6.76% due 2/1/2019 | A-/NR | 3,905,000 | 4,515,273 | |||||||
California School Finance Authority, 5.041% due 7/1/2020 (LOC: City National Bank) | AA+/NR | 4,000,000 | 4,278,400 | |||||||
Camden County New Jersey, 5.47% due 7/1/2018 | A+/A2 | 2,140,000 | 2,302,576 | |||||||
Camden County New Jersey, 5.62% due 7/1/2019 | A+/A2 | 3,025,000 | 3,238,232 | |||||||
Carson California Redevelopment Agency, 4.511% due 10/1/2016 | A-/NR | 5,000,000 | 5,023,550 | |||||||
Cleveland Cuyahoga County Ohio, 6.10% due 5/15/2013 | BBB-/NR | 395,000 | 396,880 | |||||||
Connecticut Housing Finance Authority, 5.071% due 11/15/2019 | AAA/Aaa | 3,605,000 | 3,755,401 | |||||||
Florida State Board of Education, 3.60% due 6/1/2015 | AAA/Aa1 | 3,000,000 | 3,221,580 | |||||||
Fort Collins Colorado Electric Utility, 4.92% due 12/1/2020 | AA-/NR | 2,250,000 | 2,390,108 | |||||||
George Washington University, 4.411% due 9/15/2017 | A+/A1 | 1,750,000 | 1,912,768 | |||||||
Hanover Pennsylvania Area School District Notes, 4.47% due 3/15/2013 (Insured: AGM) | AA-/Aa3 | 1,385,000 | 1,432,450 | |||||||
Illinois Finance Authority Revenue Bonds, 5.629% due 7/1/2016 (Insured: Syncora) | A+/NR | 1,735,000 | 1,781,810 | |||||||
e Los Angeles California Department of Airports, 5.175% due 5/15/2017 | AA-/A1 | 4,000,000 | 4,451,920 | |||||||
Los Angeles California Municipal Improvement Corp., 6.165% due 11/1/2020 | A+/A3 | 10,000,000 | 11,159,400 | |||||||
Los Angeles County California Public Works Financing Authority, 5.591% due 8/1/2020 | A+/A1 | 3,000,000 | 3,304,050 | |||||||
Louisiana Public Facilities Authority, 5.72% due 7/1/2015 (Insured: CIFG) | AA-/Aa3 | 1,795,000 | 1,786,420 | |||||||
Maine Finance Authority Waste Motor Oil, 4.55% due 10/1/2014 | A/NR | 1,125,000 | 1,174,489 | |||||||
Certified Semi-Annual Report 27
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Income Fund | March 31, 2012 (Unaudited) | |
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
Menomonee Falls Wisconsin GO, 4.25% due 11/1/2014 | NR/Aa2 | $ | 3,350,000 | $ | 3,461,622 | |||||
aMidwest Family Housing, 5.168% due 7/1/2016 (Insured: CIFG) | AA-/Baa3 | 1,105,000 | 1,100,757 | |||||||
Mississippi Development Bank Special Obligation, 5.21% due 7/1/2013 (Insured: AGM) | AA-/NR | 1,200,000 | 1,259,016 | |||||||
New York City Transitional Finance Authority Revenue, 4.075% due 11/1/2020 | AAA/Aa1 | 2,500,000 | 2,727,750 | |||||||
New York, New York GO, 3.48% due 10/1/2018 | AA/Aa2 | 3,500,000 | 3,748,780 | |||||||
North Carolina Eastern Municipal Power, 4.43% due 1/1/2014 | A-/Baa1 | 2,000,000 | 2,065,020 | |||||||
e Oakland California Redevelopment Agency, 8.00% due 9/1/2016 | A-/NR | 4,200,000 | 4,619,328 | |||||||
Ohio Housing Financing Agency Mtg, 5.20% due 9/1/2014 (GNMA/FNMA) | NR/Aaa | 2,395,000 | 2,542,364 | |||||||
Oklahoma Development Finance Authority, 8.00% due 5/1/2020 | NR/NR | 8,500,000 | 8,512,070 | |||||||
Orleans Parish Louisiana School Board GO, 4.40% due 2/1/2021 | AA-/Aa3 | 10,000,000 | 10,569,400 | |||||||
Port St. Lucie Florida Lease Revenue, 4.457% due 9/1/2014 (Wyndcrest) | A/Aa3 | 1,470,000 | 1,501,399 | |||||||
Redlands California Redevelopment Agency, 5.818% due 8/1/2022 (Insured: AMBAC) | A-/NR | 2,415,000 | 2,434,924 | |||||||
Riverside California Sewer Revenue, 5.61% due 8/1/2017 | AA-/Aa2 | 2,000,000 | �� | 2,304,840 | ||||||
San Bernardino County California San Sevaine Redevelopment Agency, 7.135% due 9/1/2020 | BBB/NR | 2,005,000 | 2,083,776 | |||||||
San Francisco California City and County Redevelopment Financing Authority, 8.00% due 8/1/2019 | A/A2 | 6,500,000 | 7,455,890 | |||||||
San Jose California Redevelopment Agency Tax Allocation, 3.447% due 8/1/2013 | A/A3 | 1,000,000 | 1,020,110 | |||||||
San Jose California Redevelopment Agency Tax Allocation, 4.281% due 8/1/2014 | A/A3 | 750,000 | 785,333 | |||||||
San Luis Obispo County California, 7.45% due 9/1/2019 | AA-/NR | 3,950,000 | 4,708,163 | |||||||
San Marcos California Redevelopment Agency, 6.125% due 10/1/2018 | AA-/NR | 5,000,000 | 5,353,350 | |||||||
University of Chicago, 3.065% due 10/1/2024 | AA/NR | 2,000,000 | 1,990,740 | |||||||
Victor New York, 9.20% due 5/1/2014 | NR/NR | 490,000 | 507,728 | |||||||
Wallenpaupack Pennsylvania Area School District GO, 3.80% due 9/1/2019 (State Aid Withholding) | AA-/NR | 3,000,000 | 3,050,430 | |||||||
Wallenpaupack Pennsylvania Area School District GO, 4.00% due 9/1/2020 (State Aid Withholding) | AA-/NR | 2,750,000 | 2,781,322 | |||||||
Wisconsin State Health and Educational Facilities, 7.08% due 6/1/2016 (Insured: ACA) | NR/NR | 1,680,000 | 1,655,371 | |||||||
Yuba California Levee Financing Authority, 6.375% due 9/1/2021 | AA-/NR | 1,000,000 | 1,069,900 | |||||||
|
| |||||||||
TOTAL MUNICIPAL BONDS (Cost $140,770,172) | 149,623,874 | |||||||||
|
| |||||||||
SHORT TERM INVESTMENTS — 5.96% | ||||||||||
Bank of New York Tri-Party Repurchase Agreement 0.30% dated 3/30/2012 due 4/2/2012, repurchase price $60,001,500 collateralized by 18 U.S. Government Agency debt securities, having an average coupon of 2.66%, a credit weighting of AAA, maturity dates from 2/1/2027 to 4/1/2042, and having an aggregate market value of $61,073,565 at 3/30/2012 | NR/NR | 60,000,000 | 60,000,000 | |||||||
Northern Illinois Gas Corp., 0.35% due 4/2/2012 | NR/NR | 33,908,000 | 33,907,671 | |||||||
Oglethorpe Power Corp., 0.20% due 4/2/2012 | NR/NR | 28,592,000 | 28,591,841 | |||||||
|
| |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $122,499,512) | 122,499,512 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 98.19% (Cost $1,964,233,502) | $ | 2,016,186,985 | ||||||||
OTHER ASSETS LESS LIABILITIES — 1.81% | 37,063,364 | |||||||||
|
| |||||||||
NET ASSETS — 100.00% | $ | 2,053,250,349 | ||||||||
|
| |||||||||
28 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Limited Term Income Funds | March 31, 2012 (Unaudited) | |
Footnote Legend
| † | Credit ratings are unaudited. Rating changes may have occurred subsequent to the reporting period end. Bonds issued with a maturity of one year or less are assigned Moody’s ratings from MIG-1 to MIG-4 and Standard and Poor’s ratings from SP-1+ to SP-3 with MIG-1 and SP-1+ being the strongest ratings. |
| a | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of March 31, 2012, the aggregate value of these securities in the Fund’s portfolio was $662,783,081, representing 32.28% of the Fund’s net assets. |
| b | Security currently fair valued by the valuation and pricing committee using procedures approved by the Trustees. |
| c | Yankee Bond - Denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations. |
| d | When-issued security. |
| e | Segregated as collateral for a when-issued security. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ACA | Insured by American Capital Access | |
AGM | Insured by Assured Guaranty Municipal Corp. | |
AMBAC | Insured by American Municipal Bond Assurance Corp. | |
CIFG | CIFG Assurance North America Inc. | |
CMO | Collateralized Mortgage Obligation | |
CPI | Consumer Price Index | |
FCB | Farm Credit Bank | |
FGIC | Insured by Financial Guaranty Insurance Co. | |
FNMA | Collateralized by Federal National Mortgage Association | |
GNMA | Insured by Government National Mortgage Association | |
GO | General Obligation | |
LOC | Letter of Credit | |
Mtg | Mortgage | |
Natl-Re | Insured by National Public Finance Guarantee Corp. | |
REIT | Real Estate Investment Trust | |
REMIC | Real Estate Mortgage Investment Conduit | |
SBA | Small Business Administration | |
Syncora | Insured by Syncora Guarantee Inc. | |
VA | Veterans Affairs |
See notes to financial statements.
Certified Semi-Annual Report 29
| STATEMENTS OF ASSETS AND LIABILITIES | ||
| Thornburg Limited Term Income Funds | March 31, 2012 (Unaudited) | |
| Thornburg Limited Term U.S. Government Fund | Thornburg Limited Term Income Fund | |||||||
ASSETS | ||||||||
Investments at value (cost $391,981,624 and $1,964,233,502) (Note 2) | $ | 404,283,335 | $ | 2,016,186,985 | ||||
Cash | 31,275,681 | 260,541 | ||||||
Receivable for investments sold | — | 33,529,492 | ||||||
Receivable for fund shares sold | 1,371,538 | 27,134,865 | ||||||
Dividend and interest reclaim receivable | — | 23,915 | ||||||
Interest receivable | 2,020,868 | 18,197,886 | ||||||
Prepaid expenses and other assets | 53,152 | 123,480 | ||||||
|
|
|
| |||||
Total Assets | 439,004,574 | 2,095,457,164 | ||||||
|
|
|
| |||||
LIABILITIES | ||||||||
Payable for investments purchased | 4,681,078 | 36,502,024 | ||||||
Payable for fund shares redeemed | 1,875,302 | 3,109,778 | ||||||
Payable to investment advisor and other affiliates (Note 3) | 272,188 | 1,261,760 | ||||||
Accounts payable and accrued expenses | 242,366 | 252,651 | ||||||
Dividends payable | 201,235 | 1,080,602 | ||||||
|
|
|
| |||||
Total Liabilities | 7,272,169 | 42,206,815 | ||||||
|
|
|
| |||||
NET ASSETS | $ | 431,732,405 | $ | 2,053,250,349 | ||||
|
|
|
| |||||
NET ASSETS CONSIST OF: | ||||||||
Distribution in excess of net investment income | $ | (1,189,563 | ) | $ | (989,104 | ) | ||
Net unrealized appreciation on investments | 12,301,711 | 51,953,483 | ||||||
Accumulated net realized gain (loss) | (909,255 | ) | 3,980,487 | |||||
Net capital paid in on shares of beneficial interest | 421,529,512 | 1,998,305,483 | ||||||
|
|
|
| |||||
| $ | 431,732,405 | $ | 2,053,250,349 | |||||
|
|
|
| |||||
30 Certified Semi-Annual Report
| STATEMENTS OF ASSETS AND LIABILITIES, CONTINUED | ||
| Thornburg Limited Term Income Funds | March 31, 2012 (Unaudited) | |
| Thornburg Limited Term U.S. Government Fund | Thornburg Limited Term Income Fund | |||||||
NET ASSET VALUE: | ||||||||
Class A Shares: | ||||||||
Net asset value and redemption price per share ($214,230,342 and $810,756,098 applicable to 15,510,367 and 60,469,851 shares of beneficial interest outstanding - Note 4) | $ | 13.81 | $ | 13.41 | ||||
Maximum sales charge, 1.50% of offering price | 0.21 | 0.20 | ||||||
|
|
|
| |||||
Maximum offering price per share | $ | 14.02 | $ | 13.61 | ||||
|
|
|
| |||||
Class B Shares: | ||||||||
Net asset value and offering price per share* ($3,808,332 applicable to 276,360 shares of beneficial interest outstanding - Note 4) | $ | 13.78 | $ | — | ||||
|
|
|
| |||||
Class C Shares: | ||||||||
Net asset value and offering price per share* ($102,743,391 and $480,468,472 applicable to 7,393,879 and 35,894,083 shares of beneficial interest outstanding - Note 4) | $ | 13.90 | $ | 13.39 | ||||
|
|
|
| |||||
Class I Shares: | ||||||||
Net asset value, offering and redemption price per share ($94,875,203 and $702,371,502 applicable to 6,869,311 and 52,377,157 shares of beneficial interest outstanding - Note 4) | $ | 13.81 | $ | 13.41 | ||||
|
|
|
| |||||
Class R3 Shares: | ||||||||
Net asset value, offering and redemption price per share ($16,075,137 and $59,654,277 applicable to 1,163,152 and 4,446,367 shares of beneficial interest outstanding - Note 4) | $ | 13.82 | $ | 13.42 | ||||
|
|
|
| |||||
| * | 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 31
| STATEMENTS OF OPERATIONS | ||
| Thornburg Limited Term Income Funds | Six Months Ended March 31, 2012 (Unaudited) | |
| Thornburg Limited Term U.S. Government Fund | Thornburg Limited Term Income Fund | |||||||
INVESTMENT INCOME: | ||||||||
Interest income (net of premium amortized of $847,504 and $3,410,807 and net of paydown losses of $1,796,747 and $950,162) | $ | 5,548,214 | $ | 34,752,931 | ||||
|
|
|
| |||||
EXPENSES: | ||||||||
Investment advisory fees (Note 3) | 800,568 | 3,740,573 | ||||||
Administration fees (Note 3) | ||||||||
Class A Shares | 130,769 | 432,691 | ||||||
Class B Shares | 2,673 | — | ||||||
Class C Shares | 65,157 | 259,889 | ||||||
Class I Shares | 23,472 | 139,330 | ||||||
Class R3 Shares | 9,579 | 27,891 | ||||||
Distribution and service fees (Note 3) | ||||||||
Class A Shares | 261,537 | 865,383 | ||||||
Class B Shares | 21,346 | — | ||||||
Class C Shares | 261,283 | 1,048,008 | ||||||
Class R3 Shares | 38,400 | 112,291 | ||||||
Transfer agent fees | ||||||||
Class A Shares | 72,044 | 238,559 | ||||||
Class B Shares | 4,666 | — | ||||||
Class C Shares | 49,480 | 156,094 | ||||||
Class I Shares | 18,795 | 137,788 | ||||||
Class R3 Shares | 6,591 | 10,637 | ||||||
Registration and filing fees | ||||||||
Class A Shares | 18,686 | 43,513 | ||||||
Class B Shares | 9,113 | — | ||||||
Class C Shares | 12,469 | 18,995 | ||||||
Class I Shares | 13,779 | 32,824 | ||||||
Class R3 Shares | 9,837 | 12,412 | ||||||
Custodian fees (Note 3) | 49,561 | 103,738 | ||||||
Professional fees | 18,513 | 51,481 | ||||||
Accounting fees | 5,905 | 17,514 | ||||||
Trustee fees | 5,554 | 22,963 | ||||||
Other expenses | 29,440 | 129,908 | ||||||
|
|
|
| |||||
Total Expenses | 1,939,217 | 7,602,482 | ||||||
Less: | ||||||||
Expenses reimbursed by investment advisor (Note 3) | (20,754 | ) | (48,382 | ) | ||||
Fees paid indirectly (Note 3) | (12,133 | ) | — | |||||
|
|
|
| |||||
Net Expenses | 1,906,330 | 7,554,100 | ||||||
|
|
|
| |||||
Net Investment Income | $ | 3,641,884 | $ | 27,198,831 | ||||
|
|
|
| |||||
32 Certified Semi-Annual Report
| STATEMENTS OF OPERATIONS, CONTINUED | ||
| Thornburg Limited Term Income Funds | Six Months Ended March 31, 2012 (Unaudited) | |
| Thornburg Limited Term U.S. Government Fund | Thornburg Limited Term Income Fund | |||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||
Net realized gain (loss) on investments | $ | 82,327 | $ | 5,002,946 | ||||
Net change in unrealized appreciation (depreciation) on investments | (837,803 | ) | 22,234,410 | |||||
|
|
|
| |||||
Net Realized and Unrealized Gain (Loss) | (755,476 | ) | 27,237,356 | |||||
|
|
|
| |||||
Net Increase in Net Assets Resulting from Operations | $ | 2,886,408 | $ | 54,436,187 | ||||
|
|
|
| |||||
See notes to financial statements.
Certified Semi-Annual Report 33
| STATEMENTS OF CHANGES IN NET ASSETS | ||
| Thornburg Limited Term U.S. Government Fund | ||
| Six Months Ended March 31, 2012* | Year Ended September 30, 2011 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 3,641,884 | $ | 8,445,601 | ||||
Net realized gain (loss) on investments | 82,327 | 1,221,494 | ||||||
Net unrealized appreciation (depreciation) on investments | (837,803 | ) | (931,450 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,886,408 | 8,735,645 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (2,728,935 | ) | (5,372,127 | ) | ||||
Class B Shares | (28,246 | ) | (69,647 | ) | ||||
Class C Shares | (1,213,628 | ) | (2,517,254 | ) | ||||
Class I Shares | (1,383,722 | ) | (1,872,821 | ) | ||||
Class R3 Shares | (192,037 | ) | (347,035 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 12,636,566 | 14,142,048 | ||||||
Class B Shares | (532,213 | ) | (816,910 | ) | ||||
Class C Shares | 3,186,554 | 1,254,589 | ||||||
Class I Shares | 12,452,161 | 27,792,691 | ||||||
Class R3 Shares | 3,416,068 | 165,396 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 28,498,976 | 41,094,575 | ||||||
NET ASSETS: | ||||||||
Beginning of Period | 403,233,429 | 362,138,854 | ||||||
|
|
|
| |||||
End of Period | $ | 431,732,405 | $ | 403,233,429 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | — | $ | 715,121 | ||||
| * | Unaudited. |
See notes to financial statements.
34 Certified Semi-Annual Report
| STATEMENTS OF CHANGES IN NET ASSETS |
| Thornburg Limited Term Income Fund |
| Six Months Ended March 31, 2012* | Year Ended September 30, 2011 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 27,198,831 | $ | 39,561,285 | ||||
Net realized gain (loss) on investments | 5,002,946 | 11,878,682 | ||||||
Net unrealized appreciation (depreciation) on investments | 22,234,410 | (16,707,685 | ) | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 54,436,187 | 34,732,282 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (11,720,389 | ) | (16,646,234 | ) | ||||
Class C Shares | (6,512,729 | ) | (9,679,993 | ) | ||||
Class I Shares | (10,384,301 | ) | (13,126,192 | ) | ||||
Class R3 Shares | (737,677 | ) | (797,810 | ) | ||||
From realized gains | ||||||||
Class A Shares | (4,404,575 | ) | (1,414,228 | ) | ||||
Class C Shares | (2,727,096 | ) | (830,699 | ) | ||||
Class I Shares | (3,486,977 | ) | (945,122 | ) | ||||
Class R3 Shares | (237,575 | ) | (55,975 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 226,220,277 | 123,252,312 | ||||||
Class C Shares | 110,463,050 | 110,921,477 | ||||||
Class I Shares | 248,973,138 | 155,891,117 | ||||||
Class R3 Shares | 29,125,022 | 11,342,497 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 629,006,355 | 392,643,432 | ||||||
NET ASSETS: | ||||||||
Beginning of Period | 1,424,243,994 | 1,031,600,562 | ||||||
|
|
|
| |||||
End of Period | $ | 2,053,250,349 | $ | 1,424,243,994 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | — | $ | 1,167,161 | ||||
| * | Unaudited. |
See notes to financial statements.
Certified Semi-Annual Report 35
| NOTES TO FINANCIAL STATEMENTS | ||
| Thornburg Limited Term Income Funds | March 31, 2012 (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 Funds are currently two of sixteen separate series of the Trust. 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 safety of capital. As a secondary objective, the Funds seek to reduce changes in their share prices compared to longer term portfolios.
The Government Fund currently has five classes of shares of beneficial interest: Class A, Class B, Class C, Institutional Class (Class I), and Retirement Class (Class R3). The Fund no longer offers Class B shares for sale. 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). 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 were 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 of purchase, 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 and may be subject to a service fee, (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 Investments: Debt obligations 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. Quotations for any foreign debt obligations 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 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, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
In any case where a pricing service fails to provide a price for a debt obligation held by the Funds, the valuation and pricing committee determines a fair value for the obligation using procedures approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt obligation 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 obligation.
In determining fair value for any portfolio security or other investment, the valuation and pricing committee seeks to determine the amount that an owner of the investment might reasonably expect to receive upon a sale of the investment. However, because fair value prices are estimated prices, the valuation and pricing committee’s determination of fair value for an investment may differ from the value that would be realized by a Fund upon a sale of the investment, and that difference could be material to the Fund’s financial statements. The valuation and pricing committee’s determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
36 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Limited Term Income Funds | March 31, 2012 (Unaudited) | |
Valuation Measurements: Various inputs are used in determining the value of each Fund’s investments. These inputs are summarized in the three levels listed below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment rates, credit risk, etc.).
Level 3: Significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments).
GOVERNMENT FUND
The following table displays a summary of the inputs used to value the Fund’s net assets as of March 31, 2012. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
| Fair Value Measurements at March 31, 2012 | ||||||||||||||||
| Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities | ||||||||||||||||
U.S. Treasury Securities | $ | 40,505,657 | $ | 40,505,657 | $ | — | $ | — | ||||||||
U.S. Government Agencies | 76,533,004 | — | 73,566,713 | 2,966,291 | ||||||||||||
Mortgage Backed | 275,244,674 | — | 275,244,674 | — | ||||||||||||
Short Term Investments | 12,000,000 | — | 12,000,000 | — | ||||||||||||
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|
|
| |||||||||
Total Investments in Securities | $ | 404,283,335 | $ | 40,505,657 | $ | 360,811,387 | $ | 2,966,291 | ||||||||
A rollforward of fair value measurements using significant unobservable inputs (Level 3) for the six months ended March 31, 2012, is as follows:
| U.S. Government | ||||||||
| Agencies | Total | |||||||
Beginning Balance 9/30/2011 | $ | 2,852,955 | $ | 2,852,955 | ||||
Accrued Discounts (Premiums) | 1,476 | 1,476 | ||||||
Net Realized Gain (Loss) | 899 | 899 | ||||||
Gross Purchases | — | — | ||||||
Gross Sales | (58,304 | ) | (58,304 | ) | ||||
Change in Unrealized Appreciation (Depreciation) | 169,265 | 169,265 | ||||||
Transfers into Level 3(a) | — | — | ||||||
Transfers out of Level 3(a) | — | — | ||||||
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|
| |||||
Ending Balance 3/31/2012(b) | $ | 2,966,291 | $ | 2,966,291 | ||||
| (a) | Transfers into or out of Level 3 if any were from or to Level 2, and were due to changes in other significant observable inputs available during the six months ended March 31, 2012. Transfers into or out of Level 3 are based on the beginning market value of the period in which they occurred. |
| (b) | Level 3 Securities represent 0.69% of Total Net Assets at the period ended March 31, 2012. |
INCOME FUND
The following table displays a summary of the inputs used to value the Fund’s net assets as of March 31, 2012. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Certified Semi-Annual Report 37
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Limited Term Income Funds | March 31, 2012 (Unaudited) | |
| Fair Value Measurements at March 31, 2012 | ||||||||||||||||
| Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities | ||||||||||||||||
U.S. Treasury Securities | $ | 22,622,187 | $ | 22,622,187 | $ | — | $ | — | ||||||||
U.S. Government Agencies | 42,179,221 | — | 35,942,621 | 6,236,600 | ||||||||||||
Other Government | 65,290,389 | — | 59,393,589 | 5,896,800 | ||||||||||||
Mortgage Backed | 189,293,371 | — | 189,293,371 | — | ||||||||||||
Asset Backed Securities | 207,337,399 | — | 203,607,044 | 3,730,355 | ||||||||||||
Corporate Bonds | 1,204,048,532 | — | 1,160,885,344 | 43,163,188 | ||||||||||||
Convertible Bonds | 13,292,500 | — | 13,292,500 | — | ||||||||||||
Municipal Bonds | 149,623,874 | — | 149,623,874 | — | ||||||||||||
Short Term Investments | 122,499,512 | — | 122,499,512 | — | ||||||||||||
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|
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| |||||||||
Total Investments in Securities | $ | 2,016,186,985 | $ | 22,622,187 | $ | 1,934,537,855 | $ | 59,026,943 | ||||||||
A rollforward of fair value measurements using significant unobservable inputs (Level 3) for the six months ended March 31, 2012, is as follows:
| Asset Backed Securities | Corporate Bonds | Other Government | Total | |||||||||||||
Beginning Balance 9/30/2011 | $ | 10,032,000 | $ | 20,171,794 | $ | 8,568,169 | $ | 38,771,963 | ||||||||
Accrued Discounts (Premiums) | 15,290 | (63,668 | ) | (70,453 | ) | (118,831 | ) | |||||||||
Net Realized Gain (Loss) | 42,120 | 33,142 | 825 | 76,087 | ||||||||||||
Gross Purchases | — | 21,927,800 | 3,410,640 | 25,338,440 | ||||||||||||
Gross Sales | (262,500 | ) | (1,982,798 | ) | (53,446 | ) | (2,298,744 | ) | ||||||||
Change in Unrealized Appreciation (Depreciation) | 27,623 | 1,723,953 | 277,665 | 2,029,241 | ||||||||||||
Transfers into Level 3(a) | 3,907,822 | 12,051,861 | — | 15,959,683 | ||||||||||||
Transfers out of Level 3(a) | (10,032,000 | ) | (10,698,896 | ) | — | (20,730,896 | ) | |||||||||
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|
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| |||||||||
Ending Balance 3/31/2012(b) | $ | 3,730,355 | $ | 43,163,188 | $ | 12,133,400 | $ | 59,026,943 | ||||||||
| (a) | Transfers into or out of Level 3 were from or to Level 2, and were due to changes in other significant observable inputs available during the six months ended March 31, 2012. Transfers into or out of Level 3 are based on the beginning market value of the period in which they occurred. |
| (b) | Level 3 Securities represent 2.87% of Total Net Assets at the period ended March 31, 2012. |
Other Notes: It is the policy of the Funds to recognize significant transfers between Levels 1, 2 and 3 and to disclose those transfers as of the date of the underlying event which caused the movement. The Funds recognized no significant transfers between Levels 1 and 2 for the six months ended March 31, 2012.
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 to shareholders substantially all taxable income, including any net realized gain on investments of the Funds. Therefore, no provision for federal income taxes is required.
Management reviews each uncertain tax position believed to be material to the preparation of each Funds’ financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of March 31, 2012, management has not identified any such position for which a liability must be reflected in the Statement of Assets and Liabilities. The Funds’ tax returns remain subject to examination for three years after filing.
When-Issued and Delayed Delivery Transactions: The Funds may engage in when-issued or delayed delivery transactions. To the extent a Fund 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 a Fund
38 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Limited Term Income Funds | March 31, 2012 (Unaudited) | |
makes a commitment to purchase a security on a when-issued or delayed delivery basis, the Fund will record the transaction and reflect the value in determining the Fund’s net asset value. When effecting such transactions, assets of an amount sufficient to make payment for the portfolio securities to be purchased will be segregated on the 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 is declared daily as a dividend on shares for which the Funds have received payment. Dividends are paid monthly and are reinvested in additional shares of the Funds at net asset value per share at the close of business on the dividend payment date, or at the shareholder’s option, paid in cash. Net realized capital gains, to the extent available, will be distributed at least annually.
Repurchase Agreements: Each Fund may invest excess cash in repurchase agreements whereby the Funds purchase securities, which serve as collateral, with an agreement to resell such collateral at the maturity date of the repurchase agreement. Securities pledged as collateral for repurchase agreements are held by the Funds’ custodian bank until maturity of the repurchase agreement. Provisions in the agreements require that the market value of the collateral is at least equal to the repurchase value in the event of default. In the event of default, the Funds have the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.
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 Translation: 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. Such spot contracts are included in Receivable for investments sold and Payable for investments purchased on the Statement of Assets and Liabilities.
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.
Certified Semi-Annual Report 39
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Limited Term Income Funds | March 31, 2012 (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 Funds for which the fees are payable at the end of each month. For the six months ended March 31, 2012, 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, 2012, the Advisor contractually reimbursed certain class specific expenses and administrative fees of $20,754 for the Class R3 shares of the Government Fund and $48,382 for the Class R3 shares 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, 2012, the Distributor has advised the Funds that they earned net commissions aggregating $7,879 from the sale of Class A shares of the Government Fund, $4,054 from the sale of Class A shares of the Income Fund, and collected contingent deferred sales charges aggregating $6,400 and $29,040 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, Class I, and Class R3 shares of the Funds for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the six months ended March 31, 2012, there were no 12b-1 service plan fees charged for Class I shares. 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 C, and Class R3, and also applicable to Government Fund’s Class B 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 Class B shares, and an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class C and Class R3 shares. Total fees incurred by the Funds for each class of shares of the Funds under their respective Service and Distribution Plans for the six months ended March 31, 2012, are set forth in the Statements 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 each Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees are 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, 2012, fees paid indirectly were $12,133 for the Government Fund and $0 for the Income Fund.
Certain officers and Trustees of the Trust are also officers 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, 2012, 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 | Year Ended | |||||||||||||||
| March 31, 2012 (Unaudited) | September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 3,202,328 | $ | 44,345,640 | 6,089,014 | $ | 84,261,899 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 148,081 | 2,050,806 | 296,937 | 4,103,217 | ||||||||||||
Shares repurchased | (2,438,046 | ) | (33,759,880 | ) | (5,376,288 | ) | (74,223,068 | ) | ||||||||
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|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 912,363 | $ | 12,636,566 | 1,009,663 | $ | 14,142,048 | ||||||||||
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40 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Limited Term Income Funds | March 31, 2012 (Unaudited) | |
GOVERNMENT FUND, Continued
| Six Months Ended | Year Ended | |||||||||||||||
| March 31, 2012 (Unaudited) | September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class B Shares | ||||||||||||||||
Shares sold | 40,767 | $ | 564,496 | 92,757 | $ | 1,288,851 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 1,658 | 22,907 | 4,432 | 61,084 | ||||||||||||
Shares repurchased | (81,022 | ) | (1,119,616 | ) | (157,102 | ) | (2,166,845 | ) | ||||||||
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|
|
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| |||||||||
Net increase (decrease) | (38,597 | ) | $ | (532,213 | ) | (59,913 | ) | $ | (816,910 | ) | ||||||
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Class C Shares | ||||||||||||||||
Shares sold | 1,592,651 | $ | 22,201,659 | 3,263,009 | $ | 45,521,197 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 67,381 | 938,888 | 132,767 | 1,845,636 | ||||||||||||
Shares repurchased | (1,432,296 | ) | (19,953,993 | ) | (3,317,720 | ) | (46,112,244 | ) | ||||||||
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| |||||||||
Net increase (decrease) | 227,736 | $ | 3,186,554 | 78,056 | $ | 1,254,589 | ||||||||||
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Class I Shares | ||||||||||||||||
Shares sold | 2,970,964 | $ | 41,161,376 | 3,547,628 | $ | 49,190,355 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 77,274 | 1,070,224 | 104,011 | 1,438,003 | ||||||||||||
Shares repurchased | (2,150,124 | ) | (29,779,439 | ) | (1,653,928 | ) | (22,835,667 | ) | ||||||||
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|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 898,114 | $ | 12,452,161 | 1,997,711 | $ | 27,792,691 | ||||||||||
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| |||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 431,356 | $ | 5,979,173 | 323,070 | $ | 4,463,372 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 13,211 | 183,097 | 24,162 | 333,959 | ||||||||||||
Shares repurchased | (198,088 | ) | (2,746,202 | ) | (335,949 | ) | (4,631,935 | ) | ||||||||
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|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 246,479 | $ | 3,416,068 | 11,283 | $ | 165,396 | ||||||||||
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INCOME FUND | ||||||||||||||||
| Six Months Ended | Year Ended | |||||||||||||||
| March 31, 2012 (Unaudited) | September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 23,302,522 | $ | 309,626,249 | 20,710,535 | $ | 276,339,436 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 1,018,825 | 13,542,448 | 1,106,507 | 14,704,071 | ||||||||||||
Shares repurchased | (7,291,082 | ) | (96,948,420 | ) | (12,648,538 | ) | (167,791,195 | ) | ||||||||
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|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 17,030,265 | $ | 226,220,277 | 9,168,504 | $ | 123,252,312 | ||||||||||
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| |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 10,855,840 | $ | 144,212,227 | 13,049,288 | $ | 173,595,727 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 554,150 | 7,352,315 | 570,537 | 7,571,261 | ||||||||||||
Shares repurchased | (3,094,534 | ) | (41,101,492 | ) | (5,303,599 | ) | (70,245,511 | ) | ||||||||
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|
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|
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| |||||||||
Net increase (decrease) | 8,315,456 | $ | 110,463,050 | 8,316,226 | $ | 110,921,477 | ||||||||||
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Certified Semi-Annual Report 41
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Limited Term Income Funds | March 31, 2012 (Unaudited) | |
INCOME FUND, Continued
| Six Months Ended March 31, 2012 (Unaudited) | Year Ended September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 25,435,039 | $ | 338,500,186 | 21,300,995 | $ | 284,000,634 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 820,942 | 10,916,285 | 854,816 | 11,362,919 | ||||||||||||
Shares repurchased | (7,550,433 | ) | (100,443,333 | ) | (10,513,149 | ) | (139,472,436 | ) | ||||||||
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|
|
|
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| |||||||||
Net increase (decrease) | 18,705,548 | $ | 248,973,138 | 11,642,662 | $ | 155,891,117 | ||||||||||
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Class R3 Shares | ||||||||||||||||
Shares sold | 2,577,602 | $ | 34,228,673 | 1,524,111 | $ | 20,253,169 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 70,488 | 938,386 | 60,933 | 810,560 | ||||||||||||
Shares repurchased | (453,670 | ) | (6,042,037 | ) | (731,735 | ) | (9,721,232 | ) | ||||||||
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|
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|
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| |||||||||
Net increase (decrease) | 2,194,420 | $ | 29,125,022 | 853,309 | $ | 11,342,497 | ||||||||||
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NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2012, the Government Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $77,816,112 and $10,413,327, respectively, while the Income Fund had purchase and sale transactions of investment securities (excluding short-term investments and U.S. Government obligations) of $700,174,836 and $156,241,760, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2012, information on the tax components of capital is as follows:
| Government Fund | Income Fund | |||||||
Cost of investments for tax purposes | $ | 391,981,624 | $ | 1,964,233,502 | ||||
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|
| |||||
Gross unrealized appreciation on a tax basis | $ | 13,124,444 | $ | 60,920,381 | ||||
Gross unrealized depreciation on a tax basis | (822,733 | ) | (8,966,898 | ) | ||||
|
|
|
| |||||
Net unrealized appreciation (depreciation)on investments (tax basis) | $ | 12,301,711 | $ | 51,953,483 | ||||
|
|
|
| |||||
At March 31, 2012, the Government Fund had deferred tax basis capital losses occurring subsequent to October 31, 2010 of $868,115. For tax purposes, such losses will be reflected in the year ending September 30, 2012.
At March 31, 2012, the Government 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:
2018 | $ | 17,316 | ||
2019 | 106,151 | |||
|
| |||
| $ | 123,467 | |||
|
|
The Regulated Investment Company Modernization Act of 2010 (the “Act”) was signed into law on December 22, 2010. The Act makes changes to a number of tax rules impacting the Funds. Under the Act, future capital losses generated by the Funds, may be carried over indefinitely, but these losses must be used prior to the utilization of any pre-enactment capital losses. Since pre-enactment capital
42 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Limited Term Income Funds | March 31, 2012 (Unaudited) | |
losses may only be carried forward for eight years, there may be a greater likelihood that all or a portion of each Fund’s pre-enactment capital losses will expire unused. In general, the provisions of the Act will be effective for each Fund’s fiscal year ending September 30, 2012.
OTHER NOTES:
Risks: Each Fund’s investments subject it to risks including, but not limited to, credit risk, interest rate risk, prepayment risk, management risk, market and economic risk, liquidity risk and, in the case of Income Fund, the risks associated with investments in non-U.S. issuers. Please see the Funds’ Prospectus for a discussion of the risks associated with an investment in the Funds.
Subsequent Events: Fund management believes no events have occurred between March 31, 2012 and the date of issuance of the financial statements, which require adjustment to, or disclosure in the accompanying financial statements.
Certified Semi-Annual Report 43
Thornburg Limited Term U.S. Government Fund
| PER SHARE PERFORMANCE (for a share outstanding throughout the Period)+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless | Net Asset Value Beginning of Period | Net Investment Income (Loss) | Net Realized & Unrealized Gain (Loss) on Investments | Total from Investment Operations | Dividends from Net Investment Income | Dividends from Net Realized Gains | Total Dividends | Net of | Net Investment Income (Loss) (%) | Expenses, After Expense Reductions (%) | Expenses, After Expense Reductions and Net of Custody Credits (%) | Expenses, Before Expense Reductions (%) | Total Return (%)(a) | Portfolio Turnover Rate (%) | Net Assets at End of Period (Thousands) | |||||||||||||||||||||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b)(c) | $ | 13.90 | 0.12 | (0.03 | ) | 0.09 | (0.18 | ) | — | (0.18 | ) | $13.81 | 1.72 | (d) | 0.89 | (d) | 0.88 | (d) | 0.89 | (d) | 0.66 | 2.69 | $ | 214,230 | ||||||||||||||||||||||||||||||||||
2011(c) | $ | 13.94 | 0.33 | 0.03 | 0.36 | (0.40 | ) | — | (0.40 | ) | $13.90 | 2.42 | 0.90 | 0.89 | 0.90 | 2.66 | 14.62 | $ | 202,910 | |||||||||||||||||||||||||||||||||||||||
2010 (c) | $ | 13.78 | 0.39 | 0.80 | 1.19 | (0.41 | ) | (0.62 | ) | (1.03 | ) | $13.94 | 2.81 | 0.93 | 0.92 | 0.93 | 4.69 | 16.01 | $ | 189,465 | ||||||||||||||||||||||||||||||||||||||
2009(c) | $ | 13.26 | 0.41 | 0.54 | 0.95 | (0.43 | ) | — | (0.43 | ) | $13.78 | 3.04 | 0.94 | 0.93 | 0.94 | 7.21 | 39.42 | $ | 142,872 | |||||||||||||||||||||||||||||||||||||||
2008(c) | $ | 12.97 | 0.45 | 0.29 | 0.74 | (0.45 | ) | — | (0.45 | ) | $13.26 | 3.39 | 0.95 | 0.93 | 0.95 | 5.75 | 19.61 | $ | 123,625 | |||||||||||||||||||||||||||||||||||||||
2007(c) | $ | 12.75 | 0.40 | 0.23 | 0.63 | (0.41 | ) | — | (0.41 | ) | $12.97 | 3.13 | 0.98 | 0.97 | 0.99 | 5.03 | 43.35 | $ | 91,561 | |||||||||||||||||||||||||||||||||||||||
Class B Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 13.87 | 0.03 | (0.03 | ) | — | (0.09 | ) | — | (0.09 | ) | $13.78 | 0.41 | (d) | 2.19 | (d) | 2.19 | (d) | 2.19 | (d) | — | (e) | 2.69 | $ | 3,808 | |||||||||||||||||||||||||||||||||
2011 | $ | 13.91 | 0.16 | 0.02 | 0.18 | (0.22 | ) | — | (0.22 | ) | $13.87 | 1.13 | 2.20 | 2.19 | 2.20 | 1.33 | 14.62 | $ | 4,368 | |||||||||||||||||||||||||||||||||||||||
2010 | $ | 13.75 | 0.23 | 0.80 | 1.03 | (0.25 | ) | (0.62 | ) | (0.87 | ) | $13.91 | 1.65 | 2.11 | 2.11 | 2.11 | 3.46 | 16.01 | $ | 5,215 | ||||||||||||||||||||||||||||||||||||||
2009 | $ | 13.23 | 0.27 | 0.53 | 0.80 | (0.28 | ) | — | (0.28 | ) | $13.75 | 1.96 | 2.01 | 2.01 | 2.04 | 6.08 | 39.42 | $ | 5,950 | |||||||||||||||||||||||||||||||||||||||
2008 | $ | 12.94 | 0.28 | 0.28 | 0.56 | (0.27 | ) | — | (0.27 | ) | $13.23 | 2.08 | 2.26 | 2.25 | 2.26 | 4.37 | 19.61 | $ | 5,147 | |||||||||||||||||||||||||||||||||||||||
2007 | $ | 12.72 | 0.22 | 0.23 | 0.45 | (0.23 | ) | — | (0.23 | ) | $12.94 | 1.73 | 2.40 | 2.39 | 2.63 | 3.55 | 43.35 | $ | 2,586 | |||||||||||||||||||||||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 13.98 | 0.10 | (0.02 | ) | 0.08 | (0.16 | ) | — | (0.16 | ) | $13.90 | 1.43 | (d) | 1.17 | (d) | 1.17 | (d) | 1.17 | (d) | 0.59 | 2.69 | $ | 102,744 | ||||||||||||||||||||||||||||||||||
2011 | $ | 14.03 | 0.30 | 0.02 | 0.32 | (0.37 | ) | — | (0.37 | ) | $13.98 | 2.15 | 1.17 | 1.16 | 1.17 | 2.31 | 14.62 | $ | 100,212 | |||||||||||||||||||||||||||||||||||||||
2010 | $ | 13.87 | 0.35 | 0.81 | 1.16 | (0.38 | ) | (0.62 | ) | (1.00 | ) | $14.03 | 2.53 | 1.21 | 1.20 | 1.71 | 4.39 | 16.01 | $ | 99,430 | ||||||||||||||||||||||||||||||||||||||
2009 | $ | 13.34 | 0.37 | 0.55 | 0.92 | (0.39 | ) | — | (0.39 | ) | $13.87 | 2.74 | 1.22 | 1.21 | 1.72 | 6.97 | 39.42 | $ | 80,039 | |||||||||||||||||||||||||||||||||||||||
2008 | $ | 13.04 | 0.41 | 0.30 | 0.71 | (0.41 | ) | — | (0.41 | ) | $13.34 | 3.10 | 1.24 | 1.22 | 1.75 | 5.51 | 19.61 | $ | 63,998 | |||||||||||||||||||||||||||||||||||||||
2007 | $ | 12.83 | 0.37 | 0.22 | 0.59 | (0.38 | ) | — | (0.38 | ) | $13.04 | 2.88 | 1.25 | 1.24 | 1.80 | 4.66 | 43.35 | $ | 25,566 | |||||||||||||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 13.90 | 0.14 | (0.03 | ) | 0.11 | (0.20 | ) | — | (0.20 | ) | $13.81 | 2.06 | (d) | 0.55 | (d) | 0.54 | (d) | 0.55 | (d) | 0.83 | 2.69 | $ | 94,875 | ||||||||||||||||||||||||||||||||||
2011 | $ | 13.94 | 0.37 | 0.04 | 0.41 | (0.45 | ) | — | (0.45 | ) | $13.90 | 2.71 | 0.57 | 0.57 | 0.57 | 2.99 | 14.62 | $ | 82,994 | |||||||||||||||||||||||||||||||||||||||
2010 | $ | 13.78 | 0.42 | 0.82 | 1.24 | (0.46 | ) | (0.62 | ) | (1.08 | ) | $13.94 | 3.09 | 0.60 | 0.59 | 0.60 | 5.03 | 16.01 | $ | 55,398 | ||||||||||||||||||||||||||||||||||||||
2009 | $ | 13.26 | 0.45 | 0.53 | 0.98 | (0.46 | ) | — | (0.46 | ) | $13.78 | 3.31 | 0.66 | 0.66 | 0.67 | 7.51 | 39.42 | $ | 24,887 | |||||||||||||||||||||||||||||||||||||||
2008 | $ | 12.97 | 0.49 | 0.29 | 0.78 | (0.49 | ) | — | (0.49 | ) | $13.26 | 3.68 | 0.66 | 0.64 | 0.67 | 6.06 | 19.61 | $ | 21,275 | |||||||||||||||||||||||||||||||||||||||
2007 | $ | 12.75 | 0.44 | 0.23 | 0.67 | (0.45 | ) | — | (0.45 | ) | $12.97 | 3.45 | 0.68 | 0.67 | 0.74 | 5.35 | 43.35 | $ | 15,963 | |||||||||||||||||||||||||||||||||||||||
Class R3 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 13.91 | 0.11 | (0.03 | ) | 0.08 | (0.17 | ) | — | (0.17 | ) | $13.82 | 1.61 | (d) | 1.00 | (d) | 0.99 | (d) | 1.27 | (d) | 0.60 | 2.69 | $ | 16,075 | ||||||||||||||||||||||||||||||||||
2011 | $ | 13.95 | 0.32 | 0.03 | 0.35 | (0.39 | ) | — | (0.39 | ) | $13.91 | 2.33 | 1.00 | 0.99 | 1.32 | 2.56 | 14.62 | $ | 12,749 | |||||||||||||||||||||||||||||||||||||||
2010 | $ | 13.79 | 0.38 | 0.80 | 1.18 | (0.40 | ) | (0.62 | ) | (1.02 | ) | $13.95 | 2.73 | 0.99 | 0.99 | 1.31 | 4.62 | 16.01 | $ | 12,631 | ||||||||||||||||||||||||||||||||||||||
2009 | $ | 13.27 | 0.41 | 0.53 | 0.94 | (0.42 | ) | — | (0.42 | ) | $13.79 | 3.00 | 1.00 | 0.99 | 1.40 | 7.15 | 39.42 | $ | 7,625 | |||||||||||||||||||||||||||||||||||||||
2008 | $ | 12.97 | 0.44 | 0.30 | 0.74 | (0.44 | ) | — | (0.44 | ) | $13.27 | 3.33 | 1.01 | 0.99 | 1.47 | 5.77 | 19.61 | $ | 6,367 | |||||||||||||||||||||||||||||||||||||||
2007 | $ | 12.76 | 0.40 | 0.22 | 0.62 | (0.41 | ) | — | (0.41 | ) | $12.97 | 3.15 | 1.00 | 0.99 | 1.64 | 4.93 | 43.35 | $ | 4,398 | |||||||||||||||||||||||||||||||||||||||
| (a) | Not annualized for periods less than one year. |
| (b) | Unaudited Six Month Period Ended March 31. |
| (c) | Sales loads are not reflected in computing total return. |
| (d) | Annualized. |
| (e) | Total return for the six month period was less than 0.01%. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
| 44 Certified Semi-Annual Report | Certified Semi-Annual Report 45 |
FINANCIAL HIGHLIGHTS
Thornburg Limited Term Income Fund
| PER SHARE PERFORMANCE (for a share outstanding throughout the Period)+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless | Net Asset Value Beginning of Period | Net Investment Income (Loss) | Net Realized & Unrealized Gain (Loss) on Investments | Total from Investment Operations | Dividends from Net Investment Income | Dividends from Net Realized Gains | Total Dividends | Net | Net Investment Income (Loss) (%) | Expenses, After Expense Reductions (%) | Expenses, After Expense Reductions and Net of Custody Credits (%) | Expenses, Before Expense Reductions (%) | Total Return (%)(a) | Portfolio Turnover Rate (%) | Net Assets at End of Period (Thousands) | |||||||||||||||||||||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b)(c) | $ | 13.32 | 0.21 | 0.20 | 0.41 | (0.23 | ) | (0.09 | ) | (0.32 | ) | $13.41 | 3.13 | (d) | 0.93 | (d) | 0.93 | (d) | 0.93 | (d) | 3.11 | 10.26 | $ | 810,756 | ||||||||||||||||||||||||||||||||||
2011(c) | $ | 13.41 | 0.46 | (0.04 | ) | 0.42 | (0.47 | ) | (0.04 | ) | (0.51 | ) | $13.32 | 3.44 | 0.98 | 0.97 | 0.98 | 3.19 | 24.86 | $ | 578,731 | |||||||||||||||||||||||||||||||||||||
2010(c) | $ | 12.81 | 0.51 | 0.61 | 1.12 | (0.52 | ) | — | (0.52 | ) | $13.41 | 3.88 | 0.99 | 0.99 | 1.01 | 8.91 | 16.35 | $ | 459,532 | |||||||||||||||||||||||||||||||||||||||
2009(c) | $ | 11.92 | 0.60 | 0.90 | 1.50 | (0.61 | ) | — | (0.61 | ) | $12.81 | 5.04 | 0.99 | 0.99 | 1.04 | 13.05 | 45.31 | $ | 243,141 | |||||||||||||||||||||||||||||||||||||||
2008(c) | $ | 12.40 | 0.55 | (0.48 | ) | 0.07 | (0.55 | ) | — | (0.55 | ) | $11.92 | 4.38 | 0.99 | 0.99 | 1.03 | 0.44 | 42.84 | $ | 134,372 | ||||||||||||||||||||||||||||||||||||||
2007(c) | $ | 12.37 | 0.50 | 0.04 | 0.54 | (0.51 | ) | — | (0.51 | ) | $12.40 | 4.07 | 1.00 | 0.99 | 1.08 | 4.43 | 41.55 | $ | 155,021 | |||||||||||||||||||||||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 13.30 | 0.19 | 0.20 | 0.39 | (0.21 | ) | (0.09 | ) | (0.30 | ) | $13.39 | 2.88 | (d) | 1.19 | (d) | 1.19 | (d) | 1.19 | (d) | 2.98 | 10.26 | $ | 480,468 | ||||||||||||||||||||||||||||||||||
2011 | $ | 13.39 | 0.42 | (0.04 | ) | 0.38 | (0.43 | ) | (0.04 | ) | (0.47 | ) | $13.30 | 3.19 | 1.22 | 1.22 | 1.23 | 2.93 | 24.86 | $ | 366,822 | |||||||||||||||||||||||||||||||||||||
2010 | $ | 12.79 | 0.47 | 0.61 | 1.08 | (0.48 | ) | — | (0.48 | ) | $13.39 | 3.62 | 1.24 | 1.24 | 1.77 | 8.64 | 16.35 | $ | 257,869 | |||||||||||||||||||||||||||||||||||||||
2009 | $ | 11.90 | 0.57 | 0.90 | 1.47 | (0.58 | ) | — | (0.58 | ) | $12.79 | 4.79 | 1.24 | 1.24 | 1.82 | 12.78 | 45.31 | $ | 117,950 | |||||||||||||||||||||||||||||||||||||||
2008 | $ | 12.38 | 0.52 | (0.49 | ) | 0.03 | (0.51 | ) | — | (0.51 | ) | $11.90 | 4.15 | 1.24 | 1.24 | 1.83 | 0.18 | 42.84 | $ | 57,114 | ||||||||||||||||||||||||||||||||||||||
2007 | $ | 12.35 | 0.47 | 0.03 | 0.50 | (0.47 | ) | — | (0.47 | ) | $12.38 | 3.82 | 1.24 | 1.24 | 1.89 | 4.17 | 41.55 | $ | 40,769 | |||||||||||||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 13.32 | 0.23 | 0.20 | 0.43 | (0.25 | ) | (0.09 | ) | (0.34 | ) | $13.41 | 3.48 | (d) | 0.59 | (d) | 0.59 | (d) | 0.59 | (d) | 3.29 | 10.26 | $ | 702,372 | ||||||||||||||||||||||||||||||||||
2011 | $ | 13.41 | 0.50 | (0.04 | ) | 0.46 | (0.51 | ) | (0.04 | ) | (0.55 | ) | $13.32 | 3.79 | 0.63 | 0.63 | 0.63 | 3.55 | 24.86 | $ | 448,669 | |||||||||||||||||||||||||||||||||||||
2010 | $ | 12.82 | 0.55 | 0.60 | 1.15 | (0.56 | ) | — | (0.56 | ) | $13.41 | 4.22 | 0.64 | 0.64 | 0.64 | 9.20 | 16.35 | $ | 295,433 | |||||||||||||||||||||||||||||||||||||||
2009 | $ | 11.92 | 0.64 | 0.90 | 1.54 | (0.64 | ) | — | (0.64 | ) | $12.82 | 5.39 | 0.66 | 0.66 | 0.68 | 13.50 | 45.31 | $ | 146,099 | |||||||||||||||||||||||||||||||||||||||
2008 | $ | 12.40 | 0.59 | (0.48 | ) | 0.11 | (0.59 | ) | — | (0.59 | ) | $11.92 | 4.72 | 0.66 | 0.66 | 0.67 | 0.77 | 42.84 | $ | 118,222 | ||||||||||||||||||||||||||||||||||||||
2007 | $ | 12.37 | 0.54 | 0.04 | 0.58 | (0.55 | ) | — | (0.55 | ) | $12.40 | 4.39 | 0.67 | 0.67 | 0.72 | 4.76 | 41.55 | $ | 103,530 | |||||||||||||||||||||||||||||||||||||||
Class R3 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 13.33 | 0.20 | 0.20 | 0.40 | (0.22 | ) | (0.09 | ) | (0.31 | ) | $13.42 | 3.07 | (d) | 0.99 | (d) | 0.99 | (d) | 1.21 | (d) | 3.08 | 10.26 | $ | 59,654 | ||||||||||||||||||||||||||||||||||
2011 | $ | 13.42 | 0.45 | (0.03 | ) | 0.42 | (0.47 | ) | (0.04 | ) | (0.51 | ) | $13.33 | 3.42 | 0.99 | 0.99 | 1.29 | 3.17 | 24.86 | $ | 30,022 | |||||||||||||||||||||||||||||||||||||
2010 | $ | 12.82 | 0.51 | 0.61 | 1.12 | (0.52 | ) | — | (0.52 | ) | $13.42 | 3.89 | 0.99 | 0.99 | 1.35 | 8.90 | 16.35 | $ | 18,767 | |||||||||||||||||||||||||||||||||||||||
2009 | $ | 11.92 | 0.61 | 0.90 | 1.51 | (0.61 | ) | — | (0.61 | ) | $12.82 | 5.08 | 0.99 | 0.99 | 1.48 | 13.13 | 45.31 | $ | 10,091 | |||||||||||||||||||||||||||||||||||||||
2008 | $ | 12.40 | 0.55 | (0.48 | ) | 0.07 | (0.55 | ) | — | (0.55 | ) | $11.92 | 4.42 | 0.99 | 0.99 | 1.52 | 0.44 | 42.84 | $ | 9,712 | ||||||||||||||||||||||||||||||||||||||
2007 | $ | 12.38 | 0.50 | 0.03 | 0.53 | (0.51 | ) | — | (0.51 | ) | $12.40 | 4.09 | 0.99 | 0.99 | 1.71 | 4.34 | 41.55 | $ | 6,191 | |||||||||||||||||||||||||||||||||||||||
| (a) | Not annualized for periods less than one year. |
| (b) | Unaudited Six Month Period Ended March 31. |
| (c) | Sales loads are not reflected in computing total return. |
| (d) | Annualized. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
| 46 Certified Semi-Annual Report | Certified Semi-Annual Report 47 |
| EXPENSE EXAMPLE | ||
| Thornburg Limited Term Income Funds | March 31, 2012 (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 a $1,000 investment beginning on October 1, 2011, and held until March 31, 2012.
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 Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ 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 Funds 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 10/1/11 | Ending Account Value 3/31/12 | Expenses Paid During Period† 10/1/11–3/31/12 | ||||||||||
Limited Term U.S. Government Fund |
| |||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,006.60 | $ | 4.42 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.59 | $ | 4.46 | ||||||
Class B Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,000.00 | $ | 10.94 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,014.06 | $ | 11.01 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,005.90 | $ | 5.84 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,019.17 | $ | 5.88 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,008.30 | $ | 2.71 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,022.30 | $ | 2.73 | ||||||
Class R3 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,006.00 | $ | 4.96 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.05 | $ | 5.00 | ||||||
Limited Term Income Fund |
| |||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,031.10 | $ | 4.73 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.34 | $ | 4.71 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,029.80 | $ | 6.03 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,019.06 | $ | 6.00 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,032.90 | $ | 2.98 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,022.07 | $ | 2.97 | ||||||
Class R3 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,030.80 | $ | 5.03 | ||||||
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: 0.88%; B: 2.19%; C: 1.17%; I: 0.54%; 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: 0.93%; C: 1.19%; I: 0.59%; 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. |
48 Certified Semi-Annual Report
| OTHER INFORMATION | ||
| Thornburg Limited Term Income Funds | March 31, 2012 (Unaudited) | |
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to Thornburg Investment Management, Inc. (the “Advisor”) voting decisions respecting proxies for each of the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy. A description of the Policy 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 their 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.
Certified Semi-Annual Report 49
Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
September 13, 2011
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.
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.
APPOINTMENT OF TRUSTEE
The Trustees have appointed Sally Corning of Santa Fe, New Mexico as a Trustee, effective May 7, 2012. Ms. Corning is a founding partner of Sun Mountain Capital, Santa Fe, which advises clients in making investments in private equity partnerships and invests directly in private companies. Ms. Corning was formerly employed by Credit Suisse First Boston, Morgan Stanley and Dean Witter Reynolds. She received her BSBA from Georgetown University and her MBA from the Columbia University Graduate School of Business.
50 This page is not part of the Semi-Annual Report.
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 website 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 Developing World 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. 51
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 Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We are very organic in our approach, avoiding leverage or complex strategies which could backfire in periods of market uncertainty.
| • | 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 Strategic Municipal Income Fund |
| • | Thornburg Limited Term U.S. Government Fund |
| • | Thornburg Limited Term Income Fund |
| • | Thornburg Strategic Income Fund |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
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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. | 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 | 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, 2012. The managers’ views, portfolio holdings, and sector and country diversification are provided for the general information of the Fund’s shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. 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. Bond funds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The principal value of bonds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Funds invested in mortgage-backed securities may bear additional risk. Investments in lower-rated and unrated bonds may be more sensitive to default, downgrades, and market volatility; these investments may also be less liquid than higher-rated bonds. 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. Investments in equity securities are subject to additional risks, such as greater market fluctuations. Special risks may be associated with investments outside the United States, especially in emerging markets, including currency fluctuations, illiquidity and 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 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.
Class I shares may not be available to all investors. Minimum investments for Class I shares may be higher than those for other classes.
Share Class | NASDAQ Symbol | Cusip | ||
Class A | TSIAX | 885-215-228 | ||
Class C | TSICX | 885-215-210 | ||
Class I | TSIIX | 885-215-194 |
Lipper’s 2012 Best Fixed Income Funds Manager
Thornburg Investment Management ranked #1 out of 41 eligible firms in Lipper, Inc.’s fixed income Large Company universe for the three-year period ended 11/30/11, based on risk-adjusted returns. Lipper’s Large Company universe is comprised of fund families with more than $40 billion in total net assets. Only fund families with at least five bond funds were eligible for the fixed income funds manager award. Asset Class Group Awards are given for the three-year period only.
Glossary
Blended Index – The Blended Index is composed of 80% Barclays Aggregate Bond Index and 20% MSCI World Index. The Barclays Aggregate Bond Index is composed of approximately 8,000 publicly traded bonds including U.S. government, mortgage-backed, corporate and Yankee bonds. The index is weighted by the market value of the bonds included in the index. The MSCI World Index is an unmanaged market-weighted index that consists of securities traded in 24 of the world’s most developed countries. Securities are listed on exchanges in the U.S., Europe, Canada, Australia, New Zealand, and the Far East. The index is calculated with net dividends reinvested in U.S. dollars.
Barclays U.S. Corporate High-Yield Index –This index measures the market of USD-denominated, non-investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below. The index excludes emerging market debt.
Barclays U.S. Universal Index – This index represents the union of the U.S. Aggregate Index, U.S. Corporate High-Yield, 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.
Annualized Distribution Yield – The distribution yield reflects actual distributions made to shareholders. The annualized distribution yield is calculated by summing the last 30 days of income at a given month end and annualizing to a 360-day year. The result is divided by the ending maximum offering price or net asset value.
Bond Credit Ratings – A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C, and D (the lowest) are considered below investment grade, speculative grade, or junk bonds. Unless otherwise noted, the ratings listed are from Bloomberg Market Data and are a combination of ratings from Standard and Poor’s, Moody’s Investors Service, and Fitch Ratings.
Coupon – The interest rate stated on a bond when its issued. The coupon is typically paid semi-annually.
Duration – A bond’s sensitivity to interest rates. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
Effective Duration – A bond’s sensitivity to interest rates, incorporating the embedded option features, such as call provisions. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
This page is not part of the Semi-Annual Report. 3
| Important Information, | ||
| Continued | ||
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.
Price to Earnings Ratio (P/E) – A valuation ratio equaling a company’s market value per share divided by earnings per share.
SEC Yield – SEC yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Fund’s shares at the end of the period.
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.
4 This page is not part of the Semi-Annual Report.
Portfolio Overview
Thornburg Strategic Income Fund
PORTFOLIO MANAGERS
Jason Brady,CFA, and George Strickland
IMPORTANT
PERFORMANCE INFORMATION
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg. com or call 800-847-0200.
The maximum sales charge for Class A shares is 4.50%. The total annual fund operating expense of Class A shares is 1.32%, as disclosed in the most recent Prospectus. Thornburg Investment Management and Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least February 1, 2013, so that actual expenses, for Class A shares, do not exceed 1.25%.
Many investors are in need of significant income and typically turn to “high-yield” funds to find notable dividends. The simple yield statistic is potentially quite misleading. At Thornburg Investment Management, we believe we have a better income-generation mousetrap in the form of our Strategic Income Fund, which has a goal of high income, without resorting solely to the below investment grade portion of the taxable fixed income universe.
The idea behind this fund is that “high-yield,” in the context of a fund type, is not an investment goal but an asset type. Most taxable high-yield funds are solely focused on below investment grade corporate bonds. This focus ultimately makes these funds less flexible and correspondingly less capable of succeeding in multiple investment climates. Below investment grade corporate bonds represent less than 2% of the total taxable investment universe. There is no reason to ignore huge chunks of the market merely because they do not have a very low credit quality; in fact, quite the opposite. By sifting through the available choices across many sub-asset classes, we are able to generate an interesting income stream from a variety of different sources. We believe this is likely to lead to a more stable fund with a robust yield.
30-DAY YIELDS, Class A
As of 3/31/12
SEC Yield | 4.90 | % | ||
Annualized Distribution Yield | 5.32 | % |
Without fee waivers and expense reimbursements, the 30-day SEC Yield would have been 4.84% and the Annualized Distribution Yield would have been 5.26%.
AVERAGE ANNUAL TOTAL RETURNS
FOR PERIODS ENDED 3/31/12
| 1 Yr | 3 Yrs | Since Inception | ||||||||||
A Shares (Incep: 12/19/07) | ||||||||||||
Without sales charge | 5.80 | % | 18.14 | % | 8.32 | % | ||||||
With sales charge | 1.06 | % | 16.34 | % | 7.17 | % | ||||||
Barclays U.S. Universal Index (Since 12/19/07) | 7.59 | % | 7.89 | % | 6.23 | % | ||||||
Blended Index (Since 12/19/07) | 6.54 | % | 9.70 | % | 4.91 | % | ||||||
Blended Index: 80% Barclays Aggregate Bond Index/20% MSCI World Index
This page is not part of the Semi-Annual Report. 5
| Portfolio Overview, | ||
| Continued | ||
This is the reason that our Strategic Income Fund has a much larger purview than a typical “high-yield” fund. Though we are currently focused on corporate bonds, that focus is a result of our belief that corporate balance sheets are currently the most attractive bond investment. Given the choice between government bonds, asset-backed bonds (mortgages, commercial mortgage, auto loans, etc.) and corporate bonds, we are skewing towards corporates.
The Thornburg Strategic Income Fund even has a small allocation to equity securities. As such, the occasional “bond-like” equity, which typically exhibits little growth but potentially terrific income generation, is attractive. While adding equities to what is primarily a bond fund can add volatility (which we work hard to mitigate), we can find no good reason why we should ignore an asset class that can potentially be another diverse source of income for the Fund. Thornburg Investment Management has always tried to “go where the value is.” It is a mantra of ours across our Funds, regardless of the asset classes in which we invest.
KEY PORTFOLIO ATTRIBUTES
As of 3/31/12
Fixed Income Statistics | ||||
Weighted Average Coupon | 6.4% | |||
Average Maturity | 6.8 yrs | |||
Effective Duration | 3.0 yrs | |||
Bond Holdings | 265 | |||
Equity Statistics | ||||
Portfolio P/E (12-mo. trailing) | 9.33 | |||
Median Market Cap | $ | 2.9 B | ||
Equity & Pref. Equity Holdings | 22 | |||
PORTFOLIO COMPOSITION
As of 3/31/12
CREDIT QUALITY SUMMARY
As of 3/31/12
We have used ratings from Moody’s Investors Service. Where Moody’s ratings are not available, we have used Standard & Poor’s ratings.
Charts may not add to 100% due to rounding.
6 This page is not part of the Semi-Annual Report.
Thornburg Strategic Income Fund
March 31, 2012
Table of Contents | ||||
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
Certified Semi-Annual Report 7
Jason H. Brady,CFA Portfolio Manager
George Strickland Portfolio Manager
| April 16, 2012
Dear Fellow Shareholder:
| |||
We are very pleased to present the semi-annual report for the Thornburg Strategic Income Fund for the period ended March 31, 2012. The net asset value (NAV) of a Class A share of the Fund increased 14 cents to $12.00 since September 30, 2011. If you were invested for the entire period, you received dividends of 38.0 cents per share. If you reinvested your dividends, you received 38.2 cents per share. Dividends per share were lower for Class C and higher for Class I shares to account for varying class-specific expenses. Please examine the accompanying exhibits for more detailed information.
Putting income and price change together, the Class A shares of the Thornburg Strategic Income Fund produced a total return of 6.94% at NAV since September 30, 2011. A blended index of 80% of the Barclays Aggregate Bond Index and 20% of the MSCI World Index produced a 5.02% total return and the Barclays U.S. Universal Index produced a 2.31% total return over the same time period. These indices reflect no deduction for fees, expenses, or taxes. Over the course of the March 31, 2011 to March 31, 2012 time frame, the Fund earned a total return of 5.80% on the A shares at NAV.
We continue to navigate a volatile environment in both the global fixed income and equity markets. While we believe we are well positioned to continue to pursue the Fund’s primary goal, which is a relatively high and sustainable income stream, the market price environment has changed over the past two quarters. As a result, our posture with regard to the marketplace continues to change as detailed below. We remain focused on achieving the best income returns possible for a reasonable level of risk. | Performance data shown
The maximum sales charge for Class A shares is 4.50%. The total annual fund operating expense of Class A shares is 1.32%, as disclosed in the most recent Prospectus. Thornburg Investment Management and Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least February 1, 2013, so that actual expenses, for Class A shares, do not exceed 1.25% |
8 Certified Semi-Annual Report
The various markets in which we participate have continued to appreciate in price and depreciate in available yield after a notable pause in the third quarter of 2011. With our mandate of strong and sustainable income, we are finding opportunities notably fewer and further between than six or even three months ago. In addition, we are increasingly aware of other market participants engaging in risky behavior without regard to the consequence. This is in part understandable due to default rates on below-investment-grade bonds (as one example) continuing to bump along at all-time lows. It isn’t surprising that yields on those same securities are also approaching all-time lows. We continue to believe, however, that investing is a forward-looking activity (or should be). We believe that a large driver of lower default rates is the easy money policy of the global central banks, which are pumping large amounts of liquidity (money at zero percent interest rates) into the global economy. The United States continues to drag along with a legacy of large consumer debt and growing government debt, though the employment picture has certainly moderated of late. It is an open question whether the Federal Reserve will blink in the face of any renewed slowdown in economic activity as it did toward the end of 2011, though we continue to believe this is likely. On the other hand, perhaps the U.S. economy is healthy enough to justify the optimism indicated by recent market prices and will finally take the “handoff” from the Fed. As was the case a year ago, the larger economic problems remain the same and Federal Reserve, European Central Bank, People’s Bank of China, and Bank of Japan actions are no substitute for real, unlevered, and sustainable economic growth.
With regard to market movements, we are pleased to have participated in a good portion of the “risk on” rally of the past several years. More recently, we have avoided some of the more ugly moves down due to our cautiousness (though that has muted our upside as well). We believe our individual asset selection has also been a significant benefit to shareholders. Going forward, the environment for total returns is not as favorable, given that prices have appreciated significantly and risks have not receded as much. Yet we believe that the Fund’s wide purview in asset selection and portfolio positioning will continue to allow us to provide shareholders with a strong and sustainable income stream. We remain pleased with our shorter duration positioning, as the self-liquidating nature of those investments affords us flexibility in reinvestment. At the same time, though the Fed’s injections of liquidity has revved all risk markets to very hot levels, we still believe that deep security analysis and a disdain for what investors “have” to do allows us to invest intelligently over the cycle. We are unlikely to be the highest yielding portfolio, but our broad mandate certainly comes in handy in finding the best risk-reward balance in the marketplace. We continue to find good stories and interesting risk-reward compromises in various pockets of the marketplace. This has always been the investment style of Thornburg Investment Management, and this Fund is a beneficiary of that legacy.
As we said in our last letter, we expect consumer spending to remain muted as leverage comes down and savings rates climb. This is healthy in the long term, but a headwind in the short term. Despite recent actions in government and the return of risk-seeking behavior by corporations, we expect leverage generally, for the investment community, corporations, and individuals, to decline. Again, this is healthy in the sense that it makes
Certified Semi-Annual Report 9
| Letter to Shareholders, | ||
| Continued | ||
the system more robust, but it also hampers returns relative to those of the past decade. We believe this is generally to the advantage of shareholders of the Strategic Income Fund.
For these reasons, remaining invested in income-producing assets is crucial. While many market participants are caught between running for the safety of U.S. Treasuries in bad times and swapping out for notably risky assets in good times, this portfolio will enjoy continued compounding of interesting yields. The Fund could certainly print a higher yield, but our objective remains a sustainable income stream in many different default environments, which we envision is inconsistent with a structurally heavier weighting in speculative-grade corporates or a wholesale downgrading of the portfolio. Instead, selectively investing in good quality assets and keeping an eye on income production is this Fund’s goal. It is a mindset that we believe will serve our shareholders over time and in many different environments.
Thank you very much for investing in our funds. We believe that the Thornburg Strategic Income Fund continues to be an appropriate investment for those looking for an attractive, sustainable yield from a variety of instruments. 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.
A Cautionary Note
CHART 1: CYCLICAL BULL MARKET FOR BONDS – 30 YEARS OF DECLINING YIELDS
YIELD OF 10-YEAR TREASURY NOTE
The performance of the fixed income market must be judged within the context of a long-term bull market for bonds, with interest rates slowly declining for nearly 30 years. As illustrated in Chart I, the yield on the 10-year U.S. Treasury note has been in a downward trajectory and is currently near its all-time low. At some point, interest rates should rise, which will push bond prices down. No one can forecast precisely when this will occur, how long it will continue, or how volatile the rise will be. One of the best risk management techniques to navigate such periods of uncertainty is to maintain a well-diversified portfolio and hold it for an investment time horizon of at least two to three years. A diversified portfolio should include exposure to bonds.
10 Certified Semi-Annual Report
While the Thornburg Strategic Income Fund does have some “duration risk” given its exposure to interest bearing debt, there is exposure to many other types of risk in the Fund. Investors should not use duration as their sole measure of risk for all fixed income securities, especially those that have significant credit, currency, or convexity risk. Nevertheless, with interest rates at very low levels, many investors are struggling for an optimal approach to managing a rise in rates. A bond ladder, which Thornburg uses in all of its core bond funds, but not in its strategic income funds, is a disciplined approach to the yield curve that works well in periods of rising rates – provided that the investor has a sufficient time horizon. Ladders also allow for portfolio managers to actively manage the specific bonds, market sectors, and structural characteristics of the bonds in the portfolios. Given the myriad of other risks in the Thornburg Strategic Income Fund, some of which have been historically negatively correlated with interest rate moves (e.g. spreads on corporate bonds versus Treasuries), we feel that shareholders of the Fund have fairly good protection against significant losses due to interest rates alone. However, we remain focused on trying to provide a robust portfolio that will provide stable income in many macro environments.
Regards,
| ||
 |  | |
Jason H. Brady,CFA | George Strickland | |
Portfolio Manager | Portfolio Manager | |
Managing Director | Managing Director |
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager, and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
Certified Semi-Annual Report 11
| SCHEDULE OF INVESTMENTS | ||
| Thornburg Strategic Income Fund | March 31, 2012 (Unaudited) | |
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/12
Energy | 12.3 | % | Technology Hardware & Equipment | 0.8 | % | |||||||||||
Utilities | 8.4 | % | Semiconductors & Semiconductor Equipment | 0.8 | % | |||||||||||
Diversified Financials | 7.6 | % | Consumer Services | 0.4 | % | |||||||||||
Transportation | 6.1 | % | Consumer Durables & Apparel | 0.4 | % | |||||||||||
Banks | 5.9 | % | Food & Staples Retailing | 0.3 | % | |||||||||||
Capital Goods | 5.8 | % | Automobiles & Components | 0.2 | % | |||||||||||
Insurance | 5.4 | % | Retailing | 0.2 | % | |||||||||||
Telecommunication Services | 4.8 | % | Other Non-Classified Securities: | |||||||||||||
Materials | 3.4 | % | Asset Backed Securities | 9.1 | % | |||||||||||
Real Estate | 3.0 | % | Municipal Bonds | 2.9 | % | |||||||||||
Food, Beverage & Tobacco | 2.9 | % | Other Securities | 1.4 | % | |||||||||||
Health Care Equipment & Services | 2.7 | % | U.S. Treasury Securities | 0.5 | % | |||||||||||
Media | 2.1 | % | U.S. Government Agencies | 0.3 | % | |||||||||||
Miscellaneous | 1.8 | % | Other Government | 0.2 | % | |||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 1.8 | % | Other Assets & Cash Equivalents | 7.0 | % | |||||||||||
Software & Services | 1.5 | % |
SUMMARY OF COUNTRY EXPOSURE
As of 3/31/12
United States | 68.1 | % | United Arab Emirates | 0.5 | % | |||||||||
Australia | 3.8 | % | Italy | 0.4 | % | |||||||||
Canada | 3.4 | % | France | 0.4 | % | |||||||||
United Kingdom | 2.6 | % | Russia | 0.4 | % | |||||||||
Cayman Islands | 1.9 | % | Czech Republic | 0.3 | % | |||||||||
Bermuda | 1.6 | % | Trinidad and Tobago | 0.3 | % | |||||||||
Brazil | 1.6 | % | Germany | 0.3 | % | |||||||||
Luxembourg | 1.6 | % | Indonesia | 0.2 | % | |||||||||
Hong Kong | 1.1 | % | Iceland | 0.2 | % | |||||||||
Netherlands | 1.0 | % | Switzerland | 0.1 | % | |||||||||
Spain | 0.9 | % | Singapore* | 0.0 | % | |||||||||
Norway | 0.8 | % | Other Assets & Cash Equivalents | 7.0 | % | |||||||||
Mexico | 0.5 | % | ||||||||||||
Japan | 0.5 | % | ||||||||||||
South Korea | 0.5 | % |
| * | Country percentage was less than 0.1%. |
12 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Strategic Income Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
COMMON STOCK — 3.77% | ||||||||
DIVERSIFIED FINANCIALS — 0.41% | ||||||||
CAPITAL MARKETS — 0.26% | ||||||||
Apollo Investment Corp. | 168,060 | $ | 1,204,990 | |||||
DIVERSIFIED FINANCIAL SERVICES — 0.15% | ||||||||
KKR Financial Holdings LLC | 73,000 | 672,330 | ||||||
|
| |||||||
| 1,877,320 | ||||||||
|
| |||||||
ENERGY — 0.68% | ||||||||
ENERGY EQUIPMENT & SERVICES — 0.38% | ||||||||
Seadrill Ltd. | 46,100 | 1,727,510 | ||||||
OIL, GAS & CONSUMABLE FUELS — 0.30% | ||||||||
Eni S.p.A. | 58,500 | 1,372,397 | ||||||
|
| |||||||
| 3,099,907 | ||||||||
|
| |||||||
INSURANCE — 0.06% | ||||||||
INSURANCE — 0.06% | ||||||||
Swiss Re Ltd. | 4,400 | 281,002 | ||||||
|
| |||||||
| 281,002 | ||||||||
|
| |||||||
REAL ESTATE — 2.12% | ||||||||
REAL ESTATE INVESTMENT TRUSTS — 2.12% | ||||||||
Annaly Capital Management, Inc. | 207,100 | 3,276,322 | ||||||
Chimera Investment Corp. | 770,900 | 2,181,647 | ||||||
Invesco Mortgage Capital, Inc. | 242,900 | 4,287,185 | ||||||
|
| |||||||
| 9,745,154 | ||||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 0.36% | ||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.36% | ||||||||
Telstra Corp. Ltd. | 483,000 | 1,646,038 | ||||||
|
| |||||||
| 1,646,038 | ||||||||
|
| |||||||
UTILITIES — 0.14% | ||||||||
ELECTRIC UTILITIES — 0.14% | ||||||||
E. ON AG | 13,100 | 313,787 | ||||||
Enel S.p.A. | 87,856 | 317,775 | ||||||
|
| |||||||
| 631,562 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $17,741,681) | 17,280,983 | |||||||
|
| |||||||
PREFERRED STOCK — 3.48% | ||||||||
BANKS — 1.88% | ||||||||
COMMERCIAL BANKS — 1.20% | ||||||||
First Niagara Financial Group Pfd, 8.75% | 40,000 | 1,105,160 | ||||||
Huntington Bancshares Pfd, 8.50% | 750 | 869,580 | ||||||
Webster Financial Corp. Pfd Series A, 8.50% | 15 | 16,744 | ||||||
aWintrust Financial Corp. Pfd, 5.00% | 3,500 | 3,500,000 | ||||||
THRIFTS & MORTGAGE FINANCE — 0.68% | ||||||||
Falcons Funding Trust I Pfd, 8.875% | 3,000 | 3,139,687 | ||||||
|
| |||||||
| 8,631,171 | ||||||||
|
| |||||||
Certified Semi-Annual Report 13
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Strategic Income Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
DIVERSIFIED FINANCIALS — 0.17% | ||||||||
DIVERSIFIED FINANCIAL SERVICES — 0.17% | ||||||||
Bank of America Corp. Pfd, 8.00% | 750,000 | $ | 769,080 | |||||
|
| |||||||
| 769,080 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 0.12% | ||||||||
FOOD PRODUCTS — 0.12% | ||||||||
H.J. Heinz Finance Co. Pfd, 8.00% | 5 | 541,250 | ||||||
|
| |||||||
| 541,250 | ||||||||
|
| |||||||
MISCELLANEOUS — 0.26% | ||||||||
U.S. GOVERNMENT AGENCIES — 0.26% | ||||||||
Farm Credit Bank of Texas Pfd, 10.00% | 1,000 | 1,184,063 | ||||||
|
| |||||||
| 1,184,063 | ||||||||
|
| |||||||
REAL ESTATE — 0.29% | ||||||||
REAL ESTATE INVESTMENT TRUSTS — 0.29% | ||||||||
Alexandria Real Estate Pfd, 7.00% | 50,000 | 1,329,000 | ||||||
|
| |||||||
| 1,329,000 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 0.35% | ||||||||
COMMUNICATIONS EQUIPMENT — 0.35% | ||||||||
Lucent Technologies Capital Trust I Pfd, 7.75% | 2,000 | 1,625,000 | ||||||
|
| |||||||
| 1,625,000 | ||||||||
|
| |||||||
UTILITIES — 0.41% | ||||||||
MULTI-UTILITIES — 0.41% | ||||||||
Centerpoint Energy, Inc. Pfd, 7.5% | 50,000 | 1,878,125 | ||||||
|
| |||||||
| 1,878,125 | ||||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $14,865,536) | 15,957,689 | |||||||
|
| |||||||
ASSET BACKED SECURITIES — 9.07% | ||||||||
ADVANCE RECEIVABLE — 0.43% | ||||||||
AH Mtg Advance Trust, 6.90%, 9/15/2043 | $ | 2,000,000 | 1,992,294 | |||||
|
| |||||||
| 1,992,294 | ||||||||
|
| |||||||
COMMERCIAL MTG TRUST — 1.08% | ||||||||
Citigroup Commercial Mtg Trust Series 2004-HYB2 Class B1, 2.921%, 3/25/2034 | 175,167 | 149,461 | ||||||
Citigroup Commercial Mtg Trust Series 2007-C6 Class A1, 5.622%, 12/10/2049 | 42,048 | 42,021 | ||||||
Commercial Mtg Pass-Through Certificates Series 2011-FL1 Class B, 3.828%, 7/17/2028 | 1,992,784 | 2,032,986 | ||||||
bCVS Pass-Through Trust, 9.35%, 1/10/2023 | 2,605,000 | 2,737,907 | ||||||
|
| |||||||
| 4,962,375 | ||||||||
|
| |||||||
OTHER ASSET BACKED — 2.24% | ||||||||
Dominos Pizza Master Issuer LLC, Series 2012-1A Class A2, 5.216%, 1/25/2042 | 2,000,000 | 2,028,103 | ||||||
cJPR Royalty LLC, 14.00%, 12/1/2020 | 2,000,000 | 2,000,000 | ||||||
MIRAMAX LLC Series 2011-1A Class A, 6.25%, 10/20/2021 | 1,842,857 | 1,882,141 | ||||||
MIRAMAX LLC Series 2011-1A Class B, 10.00%, 10/20/2021 | 1,983,333 | 1,963,500 | ||||||
bQHP PhaRMA, 10.25%, 3/15/2015 | 347,655 | 349,852 | ||||||
bRichland Towers, 7.87%, 3/15/2041 | 2,000,000 | 2,034,016 | ||||||
|
| |||||||
| 10,257,612 | ||||||||
|
| |||||||
14 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Strategic Income Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
RESIDENTIAL MTG TRUST — 4.39% | ||||||||
Banc of America Funding Corp. Series 2006-I Class SB1, 3.104%, 12/20/2036 | $ | 945,071 | $ | 271,180 | ||||
Banc of America Mtg Services Series 2005-A Class B1, 3.176%, 2/25/2035 | 911,137 | 309,833 | ||||||
Bayview Financial Acquisition Trust, 0.921%, 4/28/2039 | 4,000,000 | 2,558,088 | ||||||
Bear Stearns ARM Mtg Series 2003-6 Class 2B-1, 2.601%, 8/25/2033 | 528,115 | 342,465 | ||||||
Countrywide Series 2005-11 Class AF3, 4.778%, 2/25/2036 | 853,299 | 639,221 | ||||||
Countrywide Series 2006-15 Class A6, 5.826%, 10/25/2046 | 388,487 | 274,487 | ||||||
CS First Boston Mtg Securities Co. Series 2005-CF1 Class M1, 0.942%, 3/25/2045 | 2,750,000 | 2,329,579 | ||||||
FBR Securitization Trust Series 2005-2 Class M-1, 0.962%, 9/25/2035 | 3,000,000 | 2,078,147 | ||||||
FDIC Trust Series 2011-N1 Class A1, 4.50%, 12/25/2016 | 842,233 | 850,565 | ||||||
JPMorgan Mortgage Acquisition Corp. Series 2006-CH1 Class A4, 0.382%, 7/25/2036 | 1,645,000 | 1,406,446 | ||||||
JPMorgan Series 2007-CH5 Class A2, 0.292%, 5/25/2037 | 398,105 | 388,615 | ||||||
Merrill Lynch Mtg Investors Trust, 2.60%, 8/25/2034 | 329,165 | 261,274 | ||||||
Morgan Stanley Capital, Inc. Series 2005-HE7 Class A2C, 0.562%, 11/25/2035 | 1,641,101 | 1,413,878 | ||||||
New Century Home Equity Loan Trust, 0.672%, 6/25/2035 | 2,000,000 | 1,758,895 | ||||||
Park Place Securities, Inc. Series 2004- MHQ1 Class M2, 0.992%, 12/25/2034 | 2,250,000 | 1,789,144 | ||||||
Residential Asset Securities Corporation, 0.392%, 6/25/2036 | 1,952,085 | 1,780,996 | ||||||
Structured Asset Investment Loan Trust, 1.202%, 8/25/2033 | 1,828,512 | 1,596,310 | ||||||
Wells Fargo Asset Securities Corp. Series 2005-AR1 Class B1, 2.618%, 2/25/2035 | 374,504 | 37,622 | ||||||
Wells Fargo Asset Securities Corp. Series 2005-AR2 Class B1, 2.625%, 3/25/2035 | 377,026 | 34,448 | ||||||
|
| |||||||
| 20,121,193 | ||||||||
|
| |||||||
STUDENT LOAN — 0.93% | ||||||||
SLM Student Loan Trust Series 2004-B Class A3, 0.804%, 3/15/2024 | 2,000,000 | 1,533,657 | ||||||
SLM Student Loan Trust Series 2006-A Class A4, 0.664%, 12/15/2023 | 3,000,000 | 2,708,537 | ||||||
|
| |||||||
| 4,242,194 | ||||||||
|
| |||||||
TOTAL ASSET BACKED SECURITIES (Cost $43,322,517) | 41,575,668 | |||||||
|
| |||||||
CORPORATE BONDS — 59.14% | ||||||||
AUTOMOBILES & COMPONENTS — 0.23% | ||||||||
AUTO COMPONENTS — 0.23% | ||||||||
b,dSchaeffler Finance BV Co., 7.75%, 2/15/2017 | 1,000,000 | 1,057,500 | ||||||
|
| |||||||
| 1,057,500 | ||||||||
|
| |||||||
BANKS — 3.57% | ||||||||
COMMERCIAL BANKS — 2.87% | ||||||||
b,dBanco do Brasil SA, 5.875%, 1/26/2022 | 1,000,000 | 1,029,000 | ||||||
b,dBanco Industrial e Comercial S.A., 6.25%, 1/20/2013 | 1,000,000 | 1,016,100 | ||||||
b,dBanco Pine SA, 8.75%, 1/6/2017 | 2,000,000 | 2,067,500 | ||||||
b,dCredit Agricole London, 2.011%, 1/21/2014 | 1,688,000 | 1,649,701 | ||||||
b,dDBS Bank Ltd., 5.125%, 5/16/2017 | 200,000 | 200,740 | ||||||
a,b,d,eIslandsbanki, 2.951%, 10/15/2008 | 60,000 | 16,200 | ||||||
a,b,d,eLandsbanki Islands HF, 5.73%, 8/25/2009 | 175,000 | 7,438 | ||||||
National City Bank Floating Rate Note, 0.845%, 6/7/2017 | 1,000,000 | 911,527 | ||||||
bPNC Preferred Funding Trust III Floating Rate Note, 8.70%, 12/31/2049 | 500,000 | 513,855 | ||||||
Provident Bank of Maryland, 9.50%, 5/1/2018 | 1,500,000 | 1,592,322 | ||||||
b,dSantander Issuances, 6.50%, 8/11/2019 | 1,000,000 | 946,723 | ||||||
dShinhan Bank, 6.819%, 9/20/2036 | 100,000 | 103,256 | ||||||
Susquehanna Capital II, 11.00%, 3/23/2040 | 1,000,000 | 1,077,500 | ||||||
bWebster Bank, 5.875%, 1/15/2013 | 2,000,000 | 2,038,812 | ||||||
Certified Semi-Annual Report 15
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Strategic Income Fund | March 31, 2012 (Unaudited) | |
| Shares/ | ||||||||
| Principal Amount | Value | |||||||
THRIFTS & MORTGAGE FINANCE — 0.70% | ||||||||
b,dNorthern Rock Asset Management plc, 5.625%, 6/22/2017 | $ | 3,000,000 | $ | 3,212,571 | ||||
|
| |||||||
| 16,383,245 | ||||||||
|
| |||||||
CAPITAL GOODS — 5.18% | ||||||||
INDUSTRIAL CONGLOMERATES — 1.37% | ||||||||
General Electric Capital Corp., 0.614%, 6/20/2014 | 1,000,000 | 985,471 | ||||||
b,dHutchison Whampoa International (10) Ltd., 6.00%, 12/31/2049 | 2,000,000 | 2,035,000 | ||||||
Otter Tail Corp., 9.00%, 12/15/2016 | 3,000,000 | 3,255,000 | ||||||
MACHINERY — 1.56% | ||||||||
Case New Holland, Inc., 7.75%, 9/1/2013 | 1,000,000 | 1,065,000 | ||||||
SPX Corp., 6.875%, 9/1/2017 | 1,000,000 | 1,095,000 | ||||||
b,d,fZoomlion Hong Kong SPV Co. Ltd., 6.875%, 4/5/2017 | 5,000,000 | 4,974,000 | ||||||
TRADING COMPANIES & DISTRIBUTORS — 2.25% | ||||||||
cAir Lease Corp., 7.375%, 1/30/2019 | 3,000,000 | 3,060,000 | ||||||
b,gAviation Capital Group, 6.75%, 4/6/2021 | 2,500,000 | 2,424,775 | ||||||
bAviation Capital Group, 7.125%, 10/15/2020 | 1,881,000 | 1,888,674 | ||||||
International Lease Finance Corp., 4.875%, 4/1/2015 | 3,000,000 | 2,969,412 | ||||||
|
| |||||||
| 23,752,332 | ||||||||
|
| |||||||
CONSUMER DURABLES & APPAREL — 0.42% | ||||||||
HOUSEHOLD DURABLES — 0.42% | ||||||||
FGI Operating Co., Inc., 10.25%, 8/1/2015 | 1,800,000 | 1,935,180 | ||||||
|
| |||||||
| 1,935,180 | ||||||||
|
| |||||||
CONSUMER SERVICES — 0.45% | ||||||||
HOTELS, RESTAURANTS & LEISURE — 0.45% | ||||||||
bSizzling Platter LLC, 12.25%, 4/15/2016 | 2,000,000 | 2,050,000 | ||||||
|
| |||||||
| 2,050,000 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 4.23% | ||||||||
CAPITAL MARKETS — 1.77% | ||||||||
b,dMacquarie Bank Ltd., 5.00%, 2/22/2017 | 2,000,000 | 2,015,220 | ||||||
b,dMacquarie Group Ltd., 7.30%, 8/1/2014 | 1,000,000 | 1,071,849 | ||||||
dMan Group plc, 2.124%, 9/22/2015 | 5,000,000 | 4,004,600 | ||||||
Oppenheimer Holdings, Inc., 8.75%, 4/15/2018 | 1,000,000 | 1,020,000 | ||||||
CONSUMER FINANCE — 1.71% | ||||||||
b,c,dDFS Funding Corp., 1.299%, 6/15/2015 | 1,300,000 | 1,218,750 | ||||||
North Fork Bancorp, Inc., 5.875%, 8/15/2012 | 1,000,000 | 1,015,931 | ||||||
SLM Corp., 6.25%, 1/25/2016 | 1,000,000 | 1,040,000 | ||||||
SLM Corp., 6.00%, 1/25/2017 | 2,000,000 | 2,060,000 | ||||||
TMX Finance LLC, 13.25%, 7/15/2015 | 1,000,000 | 1,105,000 | ||||||
TMX Finance LLC, 13.25%, 7/15/2015 | 1,250,000 | 1,381,250 | ||||||
DIVERSIFIED FINANCIAL S ERVICES — 0.75% | ||||||||
bCiticorp, 8.04%, 12/15/2019 | 250,000 | 283,212 | ||||||
Citigroup, Inc., 5.00%, 9/15/2014 | 750,000 | 776,722 | ||||||
cCounts Series 1998 II-A, 6.67%, 2/15/2018 | 178,123 | 168,505 | ||||||
dKorea Development Bank, 5.30%, 1/17/2013 | 200,000 | 205,360 | ||||||
Merrill Lynch & Co., 1.092%, 5/2/2017 | 2,500,000 | 2,029,330 | ||||||
|
| |||||||
| 19,395,729 | ||||||||
|
| |||||||
16 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Strategic Income Fund | March 31, 2012 (Unaudited) | |
| Shares/ | ||||||||
| Principal Amount | Value | |||||||
ENERGY — 11.24% | ||||||||
ENERGY EQUIPMENT & SERVICES — 1.65% | ||||||||
b,dRDS Ultra-Deepwater Ltd., 11.875%, 3/15/2017 | $ | 2,250,000 | $ | 2,486,250 | ||||
bSchahin II Finance Co. SPV, 5.875%, 9/25/2023 | 4,000,000 | 4,010,000 | ||||||
Seacor Holdings, Inc., 7.375%, 10/1/2019 | 1,000,000 | 1,056,211 | ||||||
OIL, GAS & CONSUMABLE FUELS — 9.59% | ||||||||
bAurora USA Oil & Gas, Inc., 9.875%, 2/15/2017 | 2,000,000 | 2,080,000 | ||||||
Black Elk Energy Offshore, 13.75%, 12/1/2015 | 2,000,000 | 2,045,000 | ||||||
b,dBumi Capital PTE Ltd., 12.00%, 11/10/2016 | 1,000,000 | 1,100,000 | ||||||
bDCP Midstream LLC, 9.75%, 3/15/2019 | 500,000 | 639,007 | ||||||
bEndeavour International, 12.00%, 3/1/2018 | 3,000,000 | 3,030,000 | ||||||
Energy Transfer Partners LP, 8.50%, 4/15/2014 | 500,000 | 565,015 | ||||||
Energy Transfer Partners LP, 9.70%, 3/15/2019 | 1,500,000 | 1,917,739 | ||||||
Enterprise Products Operating LP, 7.034%, 1/15/2068 | 2,000,000 | 2,150,000 | ||||||
b,dGaz Capital SA, 7.51%, 7/31/2013 | 1,000,000 | 1,064,850 | ||||||
bGreen Field Energy Services, 13.00%, 11/15/2016 | 2,000,000 | 1,960,000 | ||||||
bMaritimes & Northeast Pipeline LLC, 7.50%, 5/31/2014 | 898,300 | 961,037 | ||||||
bNGPL PipeCo LLC, 6.514%, 12/15/2012 | 1,500,000 | 1,447,480 | ||||||
Niska Gas Storage, 8.875%, 3/15/2018 | 2,000,000 | 1,880,000 | ||||||
bNorthern Tier Energy LLC, 10.50%, 12/1/2017 | 1,500,000 | 1,635,000 | ||||||
b,dOdebrecht Drill VIII/IX, 6.35%, 6/30/2021 | 1,960,000 | 2,087,400 | ||||||
b,dOrigin Energy Finance Ltd., 5.45%, 10/14/2021 | 1,000,000 | 1,020,990 | ||||||
b,dPacific Rubiales Energy Corp., 7.25%, 12/12/2021 | 2,000,000 | 2,189,000 | ||||||
b,dPetro Co. Trinidad Tobago Ltd., 9.75%, 8/14/2019 | 1,000,000 | 1,233,000 | ||||||
Petrobras International Finance Co., 2.875%, 2/6/2015 | 1,000,000 | 1,026,081 | ||||||
a,b,d,ePetroplus Finance Ltd., 6.75%, 5/1/2014 | 1,000,000 | 385,000 | ||||||
Plains All American Pipeline LP, 8.75%, 5/1/2019 | 1,000,000 | 1,302,493 | ||||||
bQGOG Atlantic/Alaskan Rigs Ltd., 5.25%, 7/30/2018 | 1,914,800 | 1,924,374 | ||||||
Raam Global Energy Co., 12.50%, 10/1/2015 | 2,000,000 | 2,085,000 | ||||||
bRockies Express Pipeline, 6.85%, 7/15/2018 | 2,000,000 | 1,860,000 | ||||||
bSamson Investment Company, 9.75%, 2/15/2020 | 3,000,000 | 3,037,500 | ||||||
bSouthern Star Central Gas Pipeline, Inc., 6.00%, 6/1/2016 | 2,000,000 | 2,204,040 | ||||||
Tennessee Gas Pipeline Co., 8.00%, 2/1/2016 | 1,000,000 | 1,160,808 | ||||||
|
| |||||||
| 51,543,275 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 1.39% | ||||||||
BEVERAGES — 0.12% | ||||||||
Constellation Brands, Inc., 8.375%, 12/15/2014 | 500,000 | 564,375 | ||||||
FOOD PRODUCTS — 1.00% | ||||||||
Bunge Ltd. Finance Co., 5.10%, 7/15/2015 | 321,000 | 341,318 | ||||||
bHarmony Foods Corp., 10.00%, 5/1/2016 | 2,000,000 | 2,060,000 | ||||||
b,dMinerva Luxembourg SA, 12.25%, 2/10/2022 | 2,000,000 | 2,185,000 | ||||||
TOBACCO — 0.27% | ||||||||
Lorillard Tobacco Co., 8.125%, 6/23/2019 | 1,000,000 | 1,241,597 | ||||||
|
| |||||||
| 6,392,290 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SERVICES — 2.08% | ||||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.69% | ||||||||
bPhysio-Control International Corp., 9.875%, 1/15/2019 | 3,000,000 | 3,150,000 | ||||||
HEALTH CARE PROVIDERS & SERVICES — 0.92% | ||||||||
Aurora Diagnostics Holdings LLC, 10.75%, 1/15/2018 | 1,000,000 | 990,000 | ||||||
bFresenius Medical Care, 6.50%, 9/15/2018 | 500,000 | 545,000 | ||||||
Certified Semi-Annual Report 17
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Strategic Income Fund | March 31, 2012 (Unaudited) | |
| Shares/ | ||||||||
| Principal Amount | Value | |||||||
Prospect Medical Holdings, Inc., 12.75%, 7/15/2014 | $ | 2,500,000 | $ | 2,703,125 | ||||
HEALTH CARE TECHNOLOGY — 0.47% | ||||||||
Merge Healthcare, Inc., 11.75%, 5/1/2015 | 2,000,000 | 2,160,000 | ||||||
|
| |||||||
| 9,548,125 | ||||||||
|
| |||||||
INSURANCE — 5.03% | ||||||||
INSURANCE — 5.03% | ||||||||
bForethought Financial Group, 8.625%, 4/15/2021 | 2,000,000 | 1,974,982 | ||||||
bInternational Lease Finance Corp., 6.50%, 9/1/2014 | 2,000,000 | 2,112,500 | ||||||
International Lease Finance Corp., 5.75%, 5/15/2016 | 500,000 | 499,440 | ||||||
bNational Life Insurance of Vermont, 10.50%, 9/15/2039 | 1,000,000 | 1,256,982 | ||||||
cNorthwind Holdings LLC, 1.268%, 12/1/2037 | 1,362,500 | 1,065,816 | ||||||
b,dOil Casualty Insurance, 8.00%, 9/15/2034 | 1,934,000 | 2,016,620 | ||||||
bOil Insurance Ltd., 3.452%, 12/31/2049 | 1,000,000 | 937,280 | ||||||
bPrudential Holdings LLC, 8.695%, 12/18/2023 | 585,000 | 727,284 | ||||||
b,d,gQBE Insurance Group Ltd., 5.647%, 7/1/2023 | 3,500,000 | 3,270,277 | ||||||
b,dQBE Insurance Group Ltd., 9.75%, 3/14/2014 | 780,000 | 855,972 | ||||||
bSwiss Re Capital I LP, 6.854%, 12/31/2049 | 2,000,000 | 1,887,942 | ||||||
Unum Group, 7.125%, 9/30/2016 | 500,000 | 570,850 | ||||||
b,dWhite Mountains RE Group, 7.506%, 12/31/2049 | 2,500,000 | 2,401,250 | ||||||
Willis North America, Inc., 7.00%, 9/29/2019 | 1,286,000 | 1,487,695 | ||||||
bZFS Finance USA Trust II, 6.45%, 12/15/2065 | 2,000,000 | 1,980,000 | ||||||
|
| |||||||
| 23,044,890 | ||||||||
|
| |||||||
MATERIALS — 1.89% | ||||||||
CONSTRUCTION MATERIALS — 0.91% | ||||||||
bSummit Materials LLC, 10.50%, 1/31/2020 | 1,000,000 | 1,045,000 | ||||||
Texas Industries, Inc., 9.25%, 8/15/2020 | 3,250,000 | 3,120,000 | ||||||
METALS & MINING — 0.85% | ||||||||
dArcelorMittal, 9.85%, 6/1/2019 | 1,000,000 | 1,203,280 | ||||||
b,dFMG Resources, 8.25%, 11/1/2019 | 2,000,000 | 2,100,000 | ||||||
b,dPosco, 8.75%, 3/26/2014 | 500,000 | 561,029 | ||||||
dRio Tinto Alcan, Inc., 5.00%, 6/1/2015 | 50,000 | 55,368 | ||||||
MISCELLANEOUS — 0.13% | ||||||||
b,dAnglo American Capital, 9.375%, 4/8/2014 | 500,000 | 575,468 | ||||||
|
| |||||||
| 8,660,145 | ||||||||
|
| |||||||
MEDIA — 1.52% | ||||||||
MEDIA — 1.52% | ||||||||
Friendfinder Networks, Inc., 14.00%, 9/30/2013 | 543,862 | 475,879 | ||||||
b,fHarron Communications LP, 9.125%, 4/1/2020 | 2,000,000 | 2,017,500 | ||||||
bProquest LLC, 9.00%, 10/15/2018 | 2,000,000 | 1,730,000 | ||||||
Washington Post Co., 7.25%, 2/1/2019 | 500,000 | 577,829 | ||||||
bWM Finance Corp., 9.50%, 6/15/2016 | 1,000,000 | 1,090,000 | ||||||
bWM Finance Corp., 11.50%, 10/1/2018 | 1,000,000 | 1,070,000 | ||||||
|
| |||||||
| 6,961,208 | ||||||||
|
| |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 1.76% | ||||||||
LIFE SCIENCES TOOLS & SERVICES — 0.63% | ||||||||
bBPA Laboratories, Inc., 12.25%, 4/1/2017 | 3,000,000 | 2,872,500 | ||||||
18 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Strategic Income Fund | March 31, 2012 (Unaudited) | |
| Shares/ | ||||||||
| Principal Amount | Value | |||||||
PHARMACEUTICALS — 1.13% | ||||||||
b,cAlvogen Pharma U.S., Inc., 10.50%, 3/15/2019 | $ | 3,000,000 | $ | 3,000,000 | ||||
Axcan Intermediate Holdings, Inc., 12.75%, 3/1/2016 | 830,000 | 886,025 | ||||||
KV Pharmaceutical Co., 12.00%, 3/15/2015 | 2,000,000 | 1,320,000 | ||||||
|
| |||||||
| 8,078,525 | ||||||||
|
| |||||||
REAL ESTATE — 0.60% | ||||||||
REAL ESTATE INVESTMENT TRUSTS — 0.60% | ||||||||
Bayview Financial Asset Trust Series 2003-SSRA Class M, 1.592%, 10/25/2038 | 855,809 | 741,587 | ||||||
b,dGoodman Funding Property Ltd., 6.00%, 3/22/2022 | 2,000,000 | 1,997,276 | ||||||
|
| |||||||
| 2,738,863 | ||||||||
|
| |||||||
RETAILING — 0.23% | ||||||||
MULTILINE RETAIL — 0.23% | ||||||||
b,dGrupo Famsa S.A.B. de C.V., 11.00%, 7/20/2015 | 1,000,000 | 1,045,000 | ||||||
|
| |||||||
| 1,045,000 | ||||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.78% | ||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.78% | ||||||||
KLA Tencor Corp., 6.90%, 5/1/2018 | 1,000,000 | 1,192,305 | ||||||
MEMC Electronics Materials, Inc., 7.75%, 4/1/2019 | 3,000,000 | 2,385,000 | ||||||
|
| |||||||
| 3,577,305 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 1.00% | ||||||||
INTERNET SOFTWARE & SERVICES — 0.77% | ||||||||
b,dEAccess Ltd., 8.25%, 4/1/2018 | 1,000,000 | 957,500 | ||||||
EarthLink, Inc., 8.875%, 5/15/2019 | 2,000,000 | 1,935,000 | ||||||
SSI Investment II/CP-ISSR LLC, 11.125%, 6/1/2018 | 562,000 | 623,820 | ||||||
SOFTWARE — 0.23% | ||||||||
Aspect Software, Inc., 10.625%, 5/15/2017 | 1,000,000 | 1,067,500 | ||||||
|
| |||||||
| 4,583,820 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 0.46% | ||||||||
COMMUNICATIONS EQUIPMENT — 0.23% | ||||||||
bBrightstar Corp., 9.50%, 12/1/2016 | 1,000,000 | 1,040,000 | ||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.23% | ||||||||
Avnet, Inc., 5.875%, 6/15/2020 | 1,000,000 | 1,081,353 | ||||||
|
| |||||||
| 2,121,353 | ||||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 4.02% | ||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 2.43% | ||||||||
Centurylink, Inc., 6.45%, 6/15/2021 | 2,000,000 | 2,053,018 | ||||||
Frontier Communications, 8.25%, 4/15/2017 | 1,000,000 | 1,075,000 | ||||||
Level 3 Communications, Inc., 11.875%, 2/1/2019 | 1,000,000 | 1,140,000 | ||||||
Level 3 Financing, Inc., 4.506%, 2/15/2015 | 1,000,000 | 967,500 | ||||||
Qwest Corp., 8.375%, 5/1/2016 | 500,000 | 597,461 | ||||||
Qwest Corp., 6.75%, 12/1/2021 | 2,000,000 | 2,232,500 | ||||||
dTelefonica Emisiones SAU, 6.421%, 6/20/2016 | 1,000,000 | 1,066,073 | ||||||
b,dWind Acquisition Finance SA, 7.25%, 2/15/2018 | 2,150,000 | 2,026,375 | ||||||
WIRELESS TELECOMMUNICATION SERVICES — 1.59% | ||||||||
bCC Holdings GS V LLC/Crown Castle Intl. Corp., 7.75%, 5/1/2017 | 1,500,000 | 1,635,000 | ||||||
b,dDigicel SA, 12.00%, 4/1/2014 | 500,000 | 558,750 | ||||||
b,dVimpelCom (UBS SA), 8.25%, 5/23/2016 | 500,000 | 543,125 | ||||||
Certified Semi-Annual Report 19
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Strategic Income Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
b,dVimpelCom Holdings BV, 7.504%, 3/1/2022 | $ | 2,000,000 | $ | 1,940,000 | ||||
bWCP Wireless Site Fund, 6.829%, 11/15/2040 | 2,500,000 | 2,601,807 | ||||||
|
| |||||||
| 18,436,609 | ||||||||
|
| |||||||
TRANSPORTATION — 5.16% | ||||||||
AIRLINES — 4.59% | ||||||||
b,dAir Canada, 9.25%, 8/1/2015 | 2,000,000 | 1,950,000 | ||||||
American Airlines, Inc., 10.375%, 7/2/2019 | 1,220,602 | 1,327,405 | ||||||
American Airlines, Inc., 13.00%, 8/1/2016 | 686,816 | 724,591 | ||||||
a,eAmerican Airlines, Inc., 10.50%, 10/15/2012 | 2,000,000 | 2,095,000 | ||||||
Continental Airlines, 6.90%, 7/2/2018 | 1,043,370 | 1,043,370 | ||||||
Continental Airlines, 7.02%, 11/1/2018 | 1,338,923 | 1,332,228 | ||||||
bJet Equipment Trust, 9.41%, 12/15/2013 | 1,322,235 | 1,216,457 | ||||||
JetBlue Pass-Through Trust, 3.456%, 1/2/2014 | 5,000,000 | 4,750,000 | ||||||
bUnited Airlines, Inc., 9.875%, 8/1/2013 | 1,800,000 | 1,890,000 | ||||||
United Airlines, Inc., 10.40%, 5/1/2018 | 1,535,713 | 1,750,712 | ||||||
US Airways, 6.25%, 4/22/2023 | 1,935,445 | 1,964,477 | ||||||
US Airways, 7.076%, 9/20/2022 | 1,041,135 | 1,004,695 | ||||||
MARINE — 0.12% | ||||||||
bWindsor Petroleum Transport Corp., 7.84%, 1/15/2021 | 909,640 | 565,296 | ||||||
ROAD & RAIL — 0.45% | ||||||||
b,fJ.B. Poindexter & Co., Inc., 9.00%, 4/1/2022 | 2,000,000 | 2,057,500 | ||||||
|
| |||||||
| 23,671,731 | ||||||||
|
| |||||||
UTILITIES — 7.90% | ||||||||
ELECTRIC UTILITIES — 3.31% | ||||||||
Alabama Power Capital Trust V, 3.681%, 10/1/2042 | 700,000 | 699,993 | ||||||
a,b,c,d,e Centrais Eletricas DO PA, 10.50%, 6/3/2016 | 2,000,000 | 900,000 | ||||||
b,dDubai Electricity & Water, 6.375%, 10/21/2016 | 1,000,000 | 1,065,000 | ||||||
bDuquesne Light Holdings, 6.40%, 9/15/2020 | 2,000,000 | 2,210,078 | ||||||
b,dEnel Finance International S.A., 6.25%, 9/15/2017 | 1,500,000 | 1,594,692 | ||||||
Metropolitan Edison, 7.70%, 1/15/2019 | 250,000 | 311,708 | ||||||
gPNM Resources, Inc., 9.25%, 5/15/2015 | 3,070,000 | 3,542,013 | ||||||
Public Service Co. of New Mexico, 7.95%, 5/15/2018 | 1,325,000 | 1,608,538 | ||||||
Puget Energy, Inc., 6.50%, 12/15/2020 | 2,000,000 | 2,193,060 | ||||||
b,dTaqa Abu Dhabi National Energy Co., 6.60%, 8/1/2013 | 1,000,000 | 1,057,500 | ||||||
GAS UTILITIES — 0.88% | ||||||||
b,dENN Energy Holdings Ltd., 6.00%, 5/13/2021 | 1,000,000 | 960,573 | ||||||
bSource Gas LLC., 5.90%, 4/1/2017 | 1,250,000 | 1,312,296 | ||||||
Southern Union Co., 3.564%, 11/1/2066 | 2,000,000 | 1,752,500 | ||||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 1.98% | ||||||||
b,dAtlantic Power Corp., 9.00%, 11/15/2018 | 2,000,000 | 2,020,000 | ||||||
b,dInkia Energy Ltd., 8.375%, 4/4/2021 | 2,000,000 | 2,060,000 | ||||||
Ipalco Enterprises, Inc., 5.00%, 5/1/2018 | 2,500,000 | 2,487,500 | ||||||
bMidland Cogen Venture, 6.00%, 3/15/2025 | 1,978,000 | 2,019,586 | ||||||
RRI Energy, Inc., 7.625%, 6/15/2014 | 500,000 | 503,750 | ||||||
MULTI-UTILITIES — 1.73% | ||||||||
Amerenenergy Generating Co., 7.00%, 4/15/2018 | 1,000,000 | 885,000 | ||||||
Black Hills Corp., 9.00%, 5/15/2014 | 500,000 | 559,013 | ||||||
CMS Energy Corp., 8.75%, 6/15/2019 | 2,000,000 | 2,439,240 | ||||||
bEnogex LLC, 6.875%, 7/15/2014 | 1,000,000 | 1,085,248 | ||||||
NiSource Finance Corp., 6.40%, 3/15/2018 | 1,130,000 | 1,323,591 | ||||||
20 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Strategic Income Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
Sempra Energy, 9.80%, 2/15/2019 | $ | 250,000 | $ | 340,438 | ||||
bTexas-New Mexico Power Co., 9.50%, 4/1/2019 | 1,000,000 | 1,316,954 | ||||||
|
| |||||||
| 36,248,271 | ||||||||
|
| |||||||
TOTAL CORPORATE BONDS (Cost $258,625,559) | 271,225,396 | |||||||
|
| |||||||
CONVERTIBLE BONDS — 5.19% | ||||||||
CAPITAL GOODS — 0.58% | ||||||||
MACHINERY — 0.58% | ||||||||
b3D Systems Corp., 5.50%, 12/15/2016 | 2,000,000 | 2,645,000 | ||||||
|
| |||||||
| 2,645,000 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 1.26% | ||||||||
CAPITAL MARKETS — 0.72% | ||||||||
Apollo Investment Corp., 5.75%, 1/15/2016 | 2,300,000 | 2,254,000 | ||||||
bHercules Technology, 6.00%, 4/15/2016 | 1,000,000 | 1,041,250 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 0.54% | ||||||||
bICAHN Enterprise LP, 4.00%, 8/15/2013 | 2,000,000 | 1,992,000 | ||||||
KKR Financial Holdings LLC, 7.00%, 7/15/2012 | 475,000 | 479,750 | ||||||
|
| |||||||
| 5,767,000 | ||||||||
|
| |||||||
ENERGY — 0.41% | ||||||||
OIL, GAS & CONSUMABLE FUELS — 0.41% | ||||||||
SunPower Corp., 4.75%, 4/15/2014 | 2,000,000 | 1,875,000 | ||||||
|
| |||||||
| 1,875,000 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 0.48% | ||||||||
BEVERAGES — 0.48% | ||||||||
Central European Distribution Corp., 3.00%, 3/15/2013 | 2,500,000 | 2,209,375 | ||||||
|
| |||||||
| 2,209,375 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SERVICES — 0.65% | ||||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.65% | ||||||||
Hologic, Inc., 2.00%, 12/15/2037 | 3,000,000 | 2,981,250 | ||||||
|
| |||||||
| 2,981,250 | ||||||||
|
| |||||||
MATERIALS — 1.11% | ||||||||
CONSTRUCTION MATERIALS — 0.31% | ||||||||
dCEMEX SAB de CV, 4.875%, 3/15/2015 | 1,500,000 | 1,410,000 | ||||||
METALS & MINING — 0.80% | ||||||||
b,dJaguar Mining, Inc., 4.50%, 11/1/2014 | 2,000,000 | 1,715,000 | ||||||
dKinross Gold Corp., 1.75%, 3/15/2028 | 2,000,000 | 1,985,000 | ||||||
|
| |||||||
| 5,110,000 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 0.21% | ||||||||
SOFTWARE — 0.21% | ||||||||
THQ, Inc., 5.00%, 8/15/2014 | 2,000,000 | 977,500 | ||||||
|
| |||||||
| 977,500 | ||||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 0.34% | ||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.34% | ||||||||
bAlaska Communication Systems Group, Inc., 6.25%, 5/1/2018 | 2,000,000 | 1,540,000 | ||||||
|
| |||||||
| 1,540,000 | ||||||||
|
| |||||||
Certified Semi-Annual Report 21
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Strategic Income Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
TRANSPORTATION — 0.15% | ||||||||
MARINE — 0.15% | ||||||||
bUltrapetrol Bahamas Ltd., 7.25%, 1/15/2017 | $ | 1,000,000 | $ | 685,000 | ||||
|
| |||||||
| 685,000 | ||||||||
|
| |||||||
TOTAL CONVERTIBLE BONDS (Cost $23,971,311) | 23,790,125 | |||||||
|
| |||||||
WARRANTS — 0.03% | ||||||||
aGreen Field Energy Services | 2,000 | 132,000 | ||||||
|
| |||||||
TOTAL WARRANTS (Cost $78,418) | 132,000 | |||||||
|
| |||||||
MUNICIPAL BONDS — 2.86% | ||||||||
California Health Facilities Financing Authority (Developmental Disabilities-B), 7.875%, 2/1/2026 | 1,940,000 | 2,267,724 | ||||||
Los Angeles California Municipal Improvement Corp. Lease Revenue (Build America Bonds), 6.165%, 11/1/2020 | 1,885,000 | 2,103,547 | ||||||
Louisiana Public Facilities Authority Revenue (Black & Gold Facilities Project C), 5.15%, 4/1/2012 | 90,000 | 90,001 | ||||||
bMidwest Family Housing, 5.168%, 7/1/2016 | 715,000 | 712,254 | ||||||
Oakland California Redevelopment Agency, 8.00%, 9/1/2016 | 1,000,000 | 1,099,840 | ||||||
Ohio State Solid Waste (Republic Services Project), 4.25%, 4/1/2033 | 900,000 | 937,089 | ||||||
Oklahoma Development Finance Authority, 8.00%, 5/1/2020 | 1,500,000 | 1,502,130 | ||||||
San Bernardino County California Redevelopment Agency (San Sevaine), 8.45%, 9/1/2030 | 2,000,000 | 2,115,560 | ||||||
San Marcos California Redevelopment Agency Tax Allocation, 6.125%, 10/1/2018 | 1,000,000 | 1,070,670 | ||||||
Texas State Public Finance Authority Charter School Finance Corp. (ED-New Frontiers Series Q), 8.75%, 8/15/2027 | 750,000 | 770,872 | ||||||
Wisconsin State Health & Educational Facilities (Richland Hospital), 7.08%, 6/1/2016 | 470,000 | 463,110 | ||||||
|
| |||||||
TOTAL MUNICIPAL BONDS (Cost $11,935,373) | 13,132,797 | |||||||
|
| |||||||
U.S. TREASURY SECURITIES — 0.46% | ||||||||
U.S. Treasury, 2.25%, 1/31/2015 | 2,000,000 | 2,097,500 | ||||||
|
| |||||||
TOTAL U.S. TREASURY SECURITIES (Cost $1,995,106) | 2,097,500 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCIES — 0.28% | ||||||||
bAgribank FCB, 9.125%, 7/15/2019 | 1,000,000 | 1,268,772 | ||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $1,041,067) | 1,268,772 | |||||||
|
| |||||||
OTHER GOVERNMENT — 0.22% | ||||||||
b,dRepublic of Iceland, 4.875%, 6/16/2016 | 1,000,000 | 1,007,500 | ||||||
|
| |||||||
TOTAL OTHER GOVERNMENT (Cost $995,577) | 1,007,500 | |||||||
|
| |||||||
MORTGAGE BACKED —0.00% | ||||||||
Federal National Mtg Assoc. CMO Series 1994-37 Class L, 6.50%, 3/25/2024 | 8,543 | 9,564 | ||||||
|
| |||||||
TOTAL MORTGAGE BACKED (Cost $8,575) | 9,564 | |||||||
|
| |||||||
FOREIGN BONDS — 7.15% | ||||||||
BANKS — 0.42% | ||||||||
COMMERCIAL BANKS — 0.42% | ||||||||
NRW Bank (NOK), 3.50%, 5/21/2013 | 5,000,000 | 891,296 | ||||||
Royal Bank of Scotland Group plc (CAD), 5.875%, 5/12/2016 | 1,000,000 | 1,039,762 | ||||||
|
| |||||||
| 1,931,058 | ||||||||
|
| |||||||
22 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Strategic Income Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
DIVERSIFIED FINANCIALS — 1.53% | ||||||||
CAPITAL MARKETS — 0.46% | ||||||||
Morgan Stanley (AUD), 4.788%, 3/1/2013 | $ | 1,000,000 | $ | 1,020,940 | ||||
Morgan Stanley (BRL), 10.09%, 5/3/2017 | 2,000,000 | 1,101,098 | ||||||
CONSUMER FINANCE — 1.07% | ||||||||
b,cCash Store Financial (CAD), 11.50%, 1/31/2017 | 1,750,000 | 1,666,750 | ||||||
bLowell Group Finance plc (GBP), 10.75%, 4/1/2019 | 2,000,000 | 3,214,997 | ||||||
|
| |||||||
| 7,003,785 | ||||||||
|
| |||||||
FOOD & STAPLES RETAILING — 0.30% | ||||||||
FOOD & STAPLES RETAILING — 0.30% | ||||||||
Wesfarmers Ltd. (AUD), 7.11%, 9/11/2014 | 1,300,000 | 1,382,348 | ||||||
|
| |||||||
| 1,382,348 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 0.86% | ||||||||
BEVERAGES — 0.51% | ||||||||
Ambev International Finance Co., Ltd. (BRL), 9.50%, 7/24/2017 | 2,000,000 | 1,147,662 | ||||||
Anheuser- Busch InBev (BRL), 9.75%, 11/17/2015 | 2,000,000 | 1,190,392 | ||||||
FOOD PRODUCTS — 0.35% | ||||||||
Viterra, Inc. (CAD), 8.50%, 8/1/2017 | 1,500,000 | 1,597,824 | ||||||
|
| |||||||
| 3,935,878 | ||||||||
|
| |||||||
INSURANCE — 0.35% | ||||||||
INSURANCE — 0.35% | ||||||||
ELM BV (AUD), 7.635%, 12/31/2049 | 1,000,000 | 834,397 | ||||||
ELM BV (AUD), 5.502%, 12/31/2049 | 1,000,000 | 800,246 | ||||||
|
| |||||||
| 1,634,643 | ||||||||
|
| |||||||
MATERIALS — 0.41% | ||||||||
CONSTRUCTION MATERIALS — 0.41% | ||||||||
CEMEX Finance LLC (EUR), 9.625%, 12/14/2017 | 1,500,000 | 1,875,515 | ||||||
|
| |||||||
| 1,875,515 | ||||||||
|
| |||||||
MEDIA — 0.53% | ||||||||
MEDIA — 0.53% | ||||||||
bCorus Entertainment (CAD), 7.25%, 2/10/2017 | 1,000,000 | 1,062,710 | ||||||
CET 21 SPOL S.R.O. (EUR), 9.00%, 11/1/2017 | 1,000,000 | 1,380,379 | ||||||
|
| |||||||
| 2,443,089 | ||||||||
|
| |||||||
MISCELLANEOUS — 1.58% | ||||||||
MISCELLANEOUS — 1.58% | ||||||||
BK Nederlandse Gemeenten N.V. (NOK), 4.00%, 5/15/2015 | 5,000,000 | 905,883 | ||||||
cInternational Bank for Reconstruction and Development (BRL), 9.00%, 4/28/2014 | 1,000,000 | 566,764 | ||||||
International Finance Corp. (KRW), 1.75%, 8/23/2013 | 1,450,000,000 | 1,280,556 | ||||||
Kommunalbanken AS (NOK), 4.00%, 1/26/2015 | 5,000,000 | 909,652 | ||||||
New South Wales Treasury Corp. (AUD), 4.051%, 11/20/2020 | 1,000,000 | 1,272,199 | ||||||
Republic of Brazil (BRL), 12.50%, 1/5/2016 | 3,525,000 | 2,330,754 | ||||||
|
| |||||||
| 7,265,808 | ||||||||
|
| |||||||
Certified Semi-Annual Report 23
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Strategic Income Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
SOFTWARE & SERVICES — 0.27% | ||||||||
INTERNET SOFTWARE & SERVICES — 0.27% | ||||||||
EAccess Ltd. (EUR), 8.375%, 4/1/2018 | $ | 1,000,000 | $ | 1,230,338 | ||||
|
| |||||||
| 1,230,338 | ||||||||
TELECOMMUNICATION SERVICES — 0.07% | ||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.07% | ||||||||
Wind Acquisition Finance SA (EUR), 11.75%, 7/15/2017 | 250,000 | 315,087 | ||||||
|
| |||||||
| 315,087 | ||||||||
TRANSPORTATION — 0.83% | ||||||||
AIR FREIGHT & LOGISTICS — 0.33% | ||||||||
Livingston International (CAD), 10.125%, 11/9/2015 | 1,500,000 | 1,531,325 | ||||||
AIRLINES — 0.50% | ||||||||
cIberbond 2004 plc (EUR), 4.235%, 12/24/2017 | 2,000,000 | 2,267,289 | ||||||
|
| |||||||
| 3,798,614 | ||||||||
TOTAL FOREIGN BONDS (Cost $30,837,651) | 32,816,163 | |||||||
|
| |||||||
OTHER SECURITIES — 1.38% | ||||||||
LOAN PARTICIPATIONS — 1.38% | ||||||||
Lonestar Intermediate Super Holdings, 9.50%, 8/7/2019 | 2,000,000 | 2,022,140 | ||||||
cMerisant Co. Term Loan B, 7.50%, 1/31/2014 | 1,391,873 | 1,329,239 | ||||||
b,cPrivate Restaurants Properties, Inc., 9.00%, 3/1/2017 | 3,000,000 | 3,000,000 | ||||||
|
| |||||||
TOTAL OTHER SECURITIES (Cost $6,281,671) | 6,351,379 | |||||||
|
| |||||||
SHORT TERM INVESTMENTS — 3.64% | ||||||||
Bank of New York Tri-Party Repurchase Agreement 0.30% dated 3/30/2012 due 4/2/2012, repurchase price $10,000,250 collateralized by 2 U.S. Government debt securities, having an average coupon of 3.96%, a credit rating of AAA, maturity dates from 3/1/2022 to 4/1/2037, and having an aggregate market value of $10,169,953.23 at 3/30/2012 | 10,000,000 | 10,000,000 | ||||||
Northern Illinois Gas Corp., 0.35%, 4/2/2012 | 6,700,000 | 6,699,936 | ||||||
|
| |||||||
TOTAL SHORT TERM INVESTMENTS (Cost $16,699,935) | 16,699,936 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 96.67% (Cost $428,399,977) | $ | 443,345,472 | ||||||
OTHER ASSETS LESS LIABILITIES — 3.33% | 15,255,316 | |||||||
|
| |||||||
NET ASSETS — 100.00% | $ | 458,600,788 | ||||||
|
| |||||||
Footnote Legend
| a | Non-income producing. |
| b | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of March 31, 2012, the aggregate value of these securities in the Fund’s portfolio was $177,794,155, representing 38.77% of the Fund’s net assets. |
| c | Security currently fair valued by the valuation and pricing committee using procedures approved by the Trustees. |
| d | Yankee Bond - Denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations. |
| e | Bond in default. |
| f | When-issued security. |
| g | Segregated as collateral for a when-issued security. |
24 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Strategic Income Fund | March 31, 2012 (Unaudited) | |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
| ||
ARM | Adjustable Rate Mortgage | |
AUD | Denominated in Australian Dollars | |
BRL | Denominated in Brazilian Real | |
CAD | Denominated in Canadian Dollars | |
CMO | Collateralized Mortgage Obligation | |
EUR | Denominated in Euros | |
FCB | Farm Credit Bank | |
KRW | Denominated in Korean Won | |
Mtg | Mortgage | |
NOK | Denominated in Norwegian Krone | |
Pfd | Preferred Stock | |
See notes to financial statements.
Certified Semi-Annual Report 25
| STATEMENT OF ASSETS AND LIABILITIES | ||
| Thornburg Strategic Income Fund | March 31, 2012 (Unaudited) | |
ASSETS | ||||
Investments at value (cost $428,399,977) (Note 2) | $ | 443,345,472 | ||
Cash | 157,373 | |||
Receivable for investments sold | 15,292,369 | |||
Receivable for fund shares sold | 3,669,417 | |||
Dividends receivable | 428,013 | |||
Dividend and interest reclaim receivable | 262 | |||
Interest receivable | 6,574,093 | |||
Prepaid expenses and other assets | 49,748 | |||
|
| |||
Total Assets | 469,516,747 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 9,374,353 | |||
Payable for fund shares redeemed | 420,842 | |||
Unrealized depreciation on forward currency contracts (Note 7) | 52,588 | |||
Payable to investment advisor and other affiliates (Note 3) | 433,177 | |||
Accounts payable and accrued expenses | 49,910 | |||
Dividends payable | 585,089 | |||
|
| |||
Total Liabilities | 10,915,959 | |||
|
| |||
NET ASSETS | $ | 458,600,788 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment income | $ | (16,346 | ) | |
Net unrealized appreciation on investments | 14,886,663 | |||
Accumulated net realized gain (loss) | 1,181,613 | |||
Net capital paid in on shares of beneficial interest | 442,548,858 | |||
|
| |||
| $ | 458,600,788 | |||
|
| |||
26 Certified Semi-Annual Report
| STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
| Thornburg Strategic Income Fund | March 31, 2012 (Unaudited) | |
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($155,662,242 applicable to 12,975,672 shares of beneficial interest outstanding - Note 4) | $ | 12.00 | ||
Maximum sales charge, 4.50% of offering price | 0.57 | |||
|
| |||
Maximum offering price per share | $ | 12.57 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($145,690,069 applicable to 12,160,611 shares of beneficial interest outstanding - Note 4) | $ | 11.98 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($157,248,477 applicable to 13,135,053 shares of beneficial interest outstanding - Note 4) | $ | 11.97 | ||
|
| |||
| * | 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 27
| STATEMENT OF OPERATIONS | ||
| Thornburg Strategic Income Fund | Six Months Ended March 31, 2012 (Unaudited) | |
INVESTMENT INCOME: | ||||
Dividend income (net of foreign taxes withheld of $5,194) | $ | 1,490,020 | ||
Interest income (net of premium amortized of $389,001) | 12,482,005 | |||
|
| |||
Total Income | 13,972,025 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 1,421,142 | |||
Administration fees (Note 3) | ||||
Class A Shares | 83,926 | |||
Class C Shares | 77,361 | |||
Class I Shares | 30,228 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 169,247 | |||
Class C Shares | 623,290 | |||
Transfer agent fees | ||||
Class A Shares | 52,584 | |||
Class C Shares | 53,529 | |||
Class I Shares | 27,793 | |||
Registration and filing fees | ||||
Class A Shares | 14,885 | |||
Class C Shares | 12,886 | |||
Class I Shares | 29,665 | |||
Custodian fees (Note 3) | 50,379 | |||
Professional fees | 30,019 | |||
Accounting fees | 4,074 | |||
Trustee fees | 4,885 | |||
Other expenses | 35,245 | |||
|
| |||
Total Expenses | 2,721,138 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (198,176 | ) | ||
Fees paid indirectly (Note 3) | (180 | ) | ||
|
| |||
Net Expenses | 2,522,782 | |||
|
| |||
Net Investment Income | $ | 11,449,243 | ||
|
| |||
28 Certified Semi-Annual Report
| STATEMENT OF OPERATIONS, CONTINUED | ||
| Thornburg Strategic Income Fund | Six Months Ended March 31, 2012 (Unaudited) | |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from: | ||||
Investments | $ | 775,125 | ||
Forward currency contracts (Note 7) | 331,567 | |||
Foreign currency transactions | (20,445 | ) | ||
|
| |||
| 1,086,247 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 13,280,408 | |||
Forward currency contracts (Note 7) | (250,448 | ) | ||
Foreign currency translations | 46,245 | |||
|
| |||
| 13,076,205 | ||||
|
| |||
Net Realized and Unrealized Gain | 14,162,452 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 25,611,695 | ||
|
|
See notes to financial statements.
Certified Semi-Annual Report 29
| STATEMENTS OF CHANGES IN NET ASSETS | ||
| Thornburg Strategic Income Fund | ||
| Six Months Ended March 31, 2012* | Year Ended September 30, 2011 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 11,449,243 | $ | 16,437,230 | ||||
Net realized gain (loss) on investments, forward currency contracts, and foreign currency transactions | 1,086,247 | 8,440,179 | ||||||
Net unrealized appreciation (depreciation) on investments, forward currency contracts, and foreign currency translations | 13,076,205 | (15,811,464 | ) | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 25,611,695 | 9,065,945 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (4,270,426 | ) | (6,071,158 | ) | ||||
Class C Shares | (3,595,739 | ) | (5,413,401 | ) | ||||
Class I Shares | (3,996,128 | ) | (5,124,836 | ) | ||||
From realized gains | ||||||||
Class A Shares | (2,920,791 | ) | (1,920,858 | ) | ||||
Class C Shares | (2,624,522 | ) | (1,933,399 | ) | ||||
Class I Shares | (2,482,957 | ) | (1,595,561 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 38,019,102 | 36,566,623 | ||||||
Class C Shares | 37,116,717 | 29,275,505 | ||||||
Class I Shares | 55,762,180 | 30,458,308 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 136,619,131 | 83,307,168 | ||||||
NET ASSETS: | ||||||||
Beginning of Period | 321,981,657 | 238,674,489 | ||||||
|
|
|
| |||||
End of Period | $ | 458,600,788 | $ | 321,981,657 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | – | $ | 396,704 | ||||
| * | Unaudited. |
See notes to financial statements.
30 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS | ||
| Thornburg Strategic Income Fund | March 31, 2012 (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 Fund is currently one of sixteen separate series of the Trust. 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). 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 of purchase, 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 may be subject to a service fee, 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 Investments: 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 ask 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.
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 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 obligations of comparable quality, type of issue, coupon, maturity and rating, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
Quotations in foreign currencies for foreign portfolio investments are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
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 procedures approved by the Trustees, which may include the use of a price obtained from an independent pricing service. The pricing service ordinarily values equity securities in these instances using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures and index data and other data. 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, or an unusual event or significant period of time occurring since the availability of a market quotation, create a 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 obligation held by the Fund, the valuation and pricing committee determines a fair value for the debt obligation using procedures approved by the Trustees. Additionally, in any case where management
Certified Semi-Annual Report 31
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Strategic Income Fund | March 31, 2012 (Unaudited) | |
believes that a price provided by a pricing service for a debt obligation 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 obligation.
In determining fair value for any portfolio security or other investment, the valuation and pricing committee seeks to determine the amount that an owner of the investment might reasonably expect to receive upon a sale of the investment. However, because fair value prices are estimated prices, the valuation and pricing committee’s determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Fund’s financial statements. The valuation and pricing committee’s determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation Measurements: Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three levels listed below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment rates, credit risk, etc.).
Level 3: Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
The following table displays a summary of the inputs used to value the Fund’s net assets as of March 31, 2012. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
| Fair Value Measurements at March 31, 2012 | ||||||||||||||||
| Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities* | ||||||||||||||||
Common Stock | $ | 17,280,983 | $ | 17,280,983 | $ | — | $ | — | ||||||||
Preferred Stock(a) | 15,957,689 | 8,428,740 | 7,528,949 | — | ||||||||||||
Asset Backed Securities | 41,575,668 | — | 39,575,668 | 2,000,000 | ||||||||||||
Corporate Bonds | 271,225,396 | — | 261,812,325 | 9,413,071 | ||||||||||||
Convertible Bonds | 23,790,125 | — | 23,790,125 | — | ||||||||||||
Warrants | 132,000 | 132,000 | — | — | ||||||||||||
Municipal Bonds | 13,132,797 | — | 13,132,797 | — | ||||||||||||
U.S. Treasury Securities | 2,097,500 | 2,097,500 | — | — | ||||||||||||
U.S. Government Agencies | 1,268,772 | — | 1,268,772 | — | ||||||||||||
Other Government | 1,007,500 | — | 1,007,500 | — | ||||||||||||
Mortgage Backed | 9,564 | — | 9,564 | — | ||||||||||||
Foreign Bonds | 32,816,163 | — | 28,315,360 | 4,500,803 | ||||||||||||
Other Securities | 6,351,379 | — | 2,022,140 | 4,329,239 | ||||||||||||
Short Term Investments | 16,699,936 | — | 16,699,936 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 443,345,472 | $ | 27,939,223 | $ | 395,163,136 | $ | 20,243,113 | ||||||||
Other Financial Instruments** | ||||||||||||||||
Spot Currency | $ | 251 | $ | 251 | $ | — | $ | — | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | (52,588 | ) | $ | — | $ | (52,588 | ) | $ | — | ||||||
| (a) | At March 31, 2012, industry classifications for Preferred Stock in Level 2 consist of $3,156,431 in Banks, $769,080 in Diversified Financials $541,250 in Food, Beverage & Tobacco, $1,184,063 in Miscellaneous, and $1,878,125 in Utilities. |
32 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Strategic Income Fund | March 31, 2012 (Unaudited) | |
| * | See Schedule of Investments for a summary of the industry exposure as grouped according to the Global Industry Classification Standard (GICS), which is an industry taxonomy developed by MSCI, Inc. and Standard & Poor’s (S&P). |
| ** | 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 investment. |
A rollforward of fair value measurements using significant unobservable inputs (Level 3) for the six months ended March 31, 2012, is as follows:
| Asset Backed Securities | Corporate Bonds | Foreign Bonds | Other Securities | Total | ||||||||||||||||
Beginning Balance 9/30/2011 | $ | 4,006,400 | $ | 4,029,779 | $ | 2,978,038 | $ | 1,525,065 | $ | 12,539,282 | ||||||||||
Accrued Discounts (Premiums) | — | 48,072 | 17,581 | 13,388 | 79,041 | |||||||||||||||
Net Realized Gain (Loss) | — | 77,180 | (779,486 | ) | 7,138 | (695,168 | ) | |||||||||||||
Gross Purchases | — | 7,231,950 | 2,545,069 | 3,000,000 | 12,777,019 | |||||||||||||||
Gross Sales | — | (2,081,372 | ) | (1,022,085 | ) | (180,359 | ) | (3,283,816 | ) | |||||||||||
Change in Unrealized Appreciation (Depreciation) | — | (979,059 | ) | 761,686 | (35,993 | ) | (253,366 | ) | ||||||||||||
Transfers into Level 3(a) | — | 3,106,521 | — | — | 3,106,521 | |||||||||||||||
Transfers out of Level 3(a) | (2,006,400 | ) | (2,020,000 | ) | — | — | (4,026,400 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Ending Balance 3/31/2012(b) | $ | 2,000,000 | $ | 9,413,071 | $ | 4,500,803 | $ | 4,329,239 | $ | 20,243,113 | ||||||||||
| (a) | Transfers into or out of Level 3 were from or to Level 2, and were due to changes in the availability of other significant observable inputs available during the six months ended March 31, 2012. Transfers into or out of Level 3 are based on the beginning market value of the period in which they occurred. |
| (b) | Level 3 Securities represent 4.41% of Total Net Assets at the period ended March 31, 2012. |
Other Notes: It is the policy of the Fund to recognize significant transfers between Levels 1, 2 and 3 and to disclose those transfers as of the date of the underlying event which caused the movement. The Fund recognized no significant transfers between Levels 1 and 2 for the six months ended March 31, 2012.
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. Such spot contracts are included in Receivable for investments sold and Payable for investments purchased on the Statement of Assets and Liabilities.
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 purchases and 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.
Certified Semi-Annual Report 33
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Strategic Income Fund | March 31, 2012 (Unaudited) | |
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 to shareholders substantially all taxable income, including any net realized gain on investments of the Fund. Therefore, no provision for federal income taxes is required.
Management reviews each uncertain tax position believed to be material to the preparation of the Fund’s financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of March 31, 2012, management has not identified any such position for which a liability must be reflected in the Statement of Assets and Liabilities. The Fund’s tax returns remain subject to examination for three years after filing.
When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with 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 Fund makes a commitment to purchase a security on a when-issued or delayed delivery 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. Distributions to shareholders are based on income tax regulations and therefore, their characteristics may differ for financial statement and tax purposes.
Repurchase Agreements: The Fund may invest excess cash in repurchase agreements whereby the Fund purchases securities, which serve as collateral, with an agreement to resell such collateral at the maturity date of the repurchase agreement. Securities pledged as collateral for repurchase agreements are held by the Fund’s custodian bank until maturity of the repurchase agreement. Provisions in the agreements require that the market value of the collateral is at least equal to the repurchase value in the event of default. In the event of default, the Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.
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.
34 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Strategic Income Fund | March 31, 2012 (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, 2012, 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. 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, 2012, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $28,956 for Class A shares, $157,875 for Class C shares, and $11,345 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, 2012, the Distributor has advised the Fund that it earned commissions aggregating $72,316 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $7,616 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. For the six months ended March 31, 2012, there were no 12b-1 service plan fees charged for Class I shares. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
The Trust has also adopted a distribution plan pursuant to Rule 12b-1, applicable only to the Fund’s Class C shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C shares of the Fund at an annual rate of up to .75 of 1% per annum of the average daily net assets attributable to Class C shares. Total fees incurred by the Fund for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2012, 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 are 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, 2012, fees paid indirectly were $180.
Certain officers and Trustees of the Trust are also officers 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, 2012, 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, 2012 (Unaudited) | Year Ended September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 5,120,222 | $ | 60,574,408 | 5,977,653 | $ | 73,696,140 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 517,672 | 6,066,028 | 468,268 | 5,700,033 | ||||||||||||
Shares repurchased | (2,421,402 | ) | (28,621,334 | ) | (3,475,444 | ) | (42,829,550 | ) | ||||||||
Redemption fees received* | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 3,216,492 | $ | 38,019,102 | 2,970,477 | $ | 36,566,623 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Certified Semi-Annual Report 35
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Strategic Income Fund | March 31, 2012 (Unaudited) | |
| Six Months Ended March 31, 2012 (Unaudited) | Year Ended September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 3,761,605 | $ | 44,383,387 | 3,644,725 | $ | 44,913,099 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 398,580 | 4,665,119 | 408,684 | 4,971,988 | ||||||||||||
Shares repurchased | (1,009,300 | ) | (11,931,789 | ) | (1,678,284 | ) | (20,609,582 | ) | ||||||||
Redemption fees received* | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 3,150,885 | $ | 37,116,717 | 2,375,125 | $ | 29,275,505 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 5,363,809 | $ | 63,412,179 | 5,860,149 | $ | 71,847,585 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 416,269 | 4,869,581 | 430,504 | 5,242,513 | ||||||||||||
Shares repurchased | (1,063,218 | ) | (12,519,580 | ) | (3,782,241 | ) | (46,631,790 | ) | ||||||||
Redemption fees received* | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 4,716,860 | $ | 55,762,180 | 2,508,412 | $ | 30,458,308 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2012, the Fund had purchase and sale transactions of investment securities (excluding short-term investments and U. S. Government obligations) of $166,263,963 and $49,724,994, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2012, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 428,399,977 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 25,211,767 | ||
Gross unrealized depreciation on a tax basis | (10,266,272 | ) | ||
|
| |||
Net unrealized appreciation (depreciation)on investments (tax basis) | $ | 14,945,495 | ||
|
|
The Regulated Investment Company Modernization Act of 2010 (the “Act”) was signed into law on December 22, 2010. The Act makes changes to a number of tax rules impacting the Fund. Under the Act, future capital losses generated by the Fund may be carried over indefinitely, but these losses must be used prior to the utilization of any pre-enactment capital losses. Since pre-enactment capital losses may only be carried forward for eight years, there may be a greater likelihood that all or a portion of a Fund’s pre-enactment capital losses will expire unused. In general, the provisions of the Act will be effective for the Fund’s fiscal year ending September 30, 2012.
NOTE 7 – DERIVATIVE FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
The Fund may use a variety of derivative financial instruments to hedge or adjust the risks affecting its investment portfolio or to enhance investment returns. Provisions of FASB Accounting Standards Codification ASC 815-10-50 (“ASC 815”), require certain disclosures. The disclosures are intended to provide users of financial statements with an understanding of the use of derivative instruments by the Fund and how these derivatives affect the financial position, financial performance and cash flows of the Fund. The Fund does not designate any derivative instruments as hedging instruments under ASC 815. During the six months ended March 31, 2012, the Fund’s principal exposure to derivative financial instruments of the type addressed by ASC 815 was investment in foreign exchange contracts.
36 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Strategic Income Fund | March 31, 2012 (Unaudited) | |
A foreign exchange contract is an agreement between two parties to exchange different currencies at a specified rate of exchange at an agreed upon future date. Foreign exchange contracts involve risks to the Fund, including the risk that a contract counterparty will not meet its obligations to the Fund, the risk that a change in a contract’s value may not correlate perfectly with the currency the contract was intended to track, and the risk that the Fund’s advisor is unable to correctly implement its strategy in using a contract. In any such instance, the Fund may not achieve the intended benefit of entering into a contract, and may experience a loss. Additionally, the Fund’s risk of loss may exceed the amounts recognized on the Statement of Assets and Liabilities.
The Fund entered into forward currency contracts during the six months ended March 31, 2012 in the normal course of pursuing its investment objectives, in anticipation of purchasing foreign investments or with the intent of reducing the risk to the value of the Fund’s foreign investments 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 investment transactions.
These contracts are accounted for by the Fund under ASC 815. Unrealized gains and unrealized losses on outstanding contracts are reported in the Fund’s Statement of Assets and Liabilities 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 each contract’s inception date. Net realized gain (loss) on contracts closed during the period, and changes in net unrealized appreciation (depreciation) on outstanding contracts are recognized in the Fund’s Statement of Operations. Values of open currency contracts are indicative of the activity for the six months ended March 31, 2012.
The following table displays the outstanding forward currency contracts at March 31, 2012:
Outstanding Forward Currency Contracts
to Buy or Sell at March 31, 2012
Contract Description | Buy/Sell | Contract Amount | Contract Value Date | Value USD | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Euro | Sell | 2,316,000 | 08/21/2012 | 3,091,388 | $ | — | $ | (52,588 | ) | |||||||||||||||
|
|
|
| |||||||||||||||||||||
Total | $ | — | $ | (52,588 | ) | |||||||||||||||||||
|
|
|
| |||||||||||||||||||||
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Fund’s Statement of Assets and Liabilities at March 31, 2012 is disclosed in the following table:
Fair Values of Derivative Financial Instruments
at March 31, 2012
Liability Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Liabilities - Unrealized depreciation on forward currency contracts | $ | (52,588 | ) | ||
The realized gains (losses) from forward currency contracts, and the change in unrealized appreciation (depreciation) of outstanding forward currency contracts recognized in the Fund’s Statement of Operations for the six months ended March 31, 2012 are disclosed in the following tables:
Amount of Realized Gain (Loss)
on Derivative Financial Instruments Recognized in
Income for the Six Months Ended March 31, 2012
| Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | 331,567 | $ | 331,567 | ||||
Change in Unrealized Appreciation (Depreciation)
of Derivative Financial Instruments Recognized in
Income for the Six Months Ended March 31, 2012
| Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | (250,448 | ) | $ | (250,448 | ) | ||
Certified Semi-Annual Report 37
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Strategic Income Fund | March 31, 2012 (Unaudited) | |
OTHER NOTES:
Risks: The Fund’s investments subject it to risks including, but not limited to, credit risk, interest rate risk, prepayment risk, management risk, market and economic risk, liquidity risk, risks affecting specific issuers, and the risks associated with investments in derivative instruments, smaller companies, non-U.S. issuers, real estate investment trusts, and structured finance arrangements. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund.
Subsequent Events: Fund management believes no events have occurred between March 31, 2012 and the date of issuance of the financial statements, which require adjustment to, or disclosure in the accompanying financial statements.
38 Certified Semi-Annual Report
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Certified Semi-Annual Report 39
Thornburg Strategic Income Fund
| PER SHARE PERFORMANCE (for a share outstanding throughout the Period)+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless | Net Asset Value Beginning of Period | Net Investment Income (Loss) | Net Realized & Unrealized Gain (Loss) on Investments | Total from Investment Operations | Dividends from Net Investment Income | Dividends from Net Realized Gains | Total Dividends | Net Asset Value End of Period | Net Investment Income (Loss) (%) | Expenses, After Expense Reductions (%) | Expenses, After Expense Reductions and Net of Custody Credits (%) | Expenses, Before Expense Reductions (%) | Total Return (%)(a) | Portfolio Turnover Rate (%) | Net Assets at End of Period (Thousands) | |||||||||||||||||||||||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b)(c) | $ | 11.86 | 0.36 | 0.44 | 0.80 | (0.38 | ) | (0.28 | ) | (0.66 | ) | $ | 12.00 | 6.12 | (d) | 1.25 | (d) | 1.25 | (d) | 1.29 | (d) | 6.94 | 13.93 | $ | 155,662 | |||||||||||||||||||||||||||||||||||
2011(c) | $ | 12.35 | 0.79 | (0.21 | ) | 0.58 | (0.79 | ) | (0.28 | ) | (1.07 | ) | $ | 11.86 | 6.47 | 1.20 | 1.20 | 1.32 | 4.78 | 48.09 | $ | 115,704 | ||||||||||||||||||||||||||||||||||||||
2010(c) | $ | 11.63 | 0.81 | 0.77 | 1.58 | (0.81 | ) | (0.05 | ) | (0.86 | ) | $ | 12.35 | 6.86 | 1.25 | 1.25 | 1.35 | 14.07 | 38.87 | $ | 83,822 | |||||||||||||||||||||||||||||||||||||||
2009(c) | $ | 10.57 | 0.78 | 1.06 | 1.84 | (0.78 | ) | — | (0.78 | ) | $ | 11.63 | 7.66 | 1.25 | 1.25 | 1.49 | 18.67 | 47.88 | $ | 57,853 | ||||||||||||||||||||||||||||||||||||||||
2008(c)(e) | $ | 11.94 | 0.59 | (1.41 | ) | (0.82 | ) | (0.55 | ) | — | (0.55 | ) | $ | 10.57 | 6.51 | (d) | 1.27 | (d) | 1.25 | (d) | 1.79 | (d) | (7.18 | ) | 36.22 | $ | 18,538 | |||||||||||||||||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 11.84 | 0.33 | 0.44 | 0.77 | (0.35 | ) | (0.28 | ) | (0.63 | ) | $ | 11.98 | 5.57 | (d) | 1.80 | (d) | 1.80 | (d) | 2.06 | (d) | 6.66 | 13.93 | $ | 145,690 | |||||||||||||||||||||||||||||||||||
2011 | $ | 12.34 | 0.72 | (0.22 | ) | 0.50 | (0.72 | ) | (0.28 | ) | (1.00 | ) | $ | 11.84 | 5.86 | 1.80 | 1.80 | 2.07 | 4.11 | 48.09 | $ | 106,684 | ||||||||||||||||||||||||||||||||||||||
2010 | $ | 11.62 | 0.75 | 0.77 | 1.52 | (0.75 | ) | (0.05 | ) | (0.80 | ) | $ | 12.34 | 6.31 | 1.80 | 1.80 | 2.12 | 13.48 | 38.87 | $ | 81,841 | |||||||||||||||||||||||||||||||||||||||
2009 | $ | 10.57 | 0.73 | 1.04 | 1.77 | (0.72 | ) | — | (0.72 | ) | $ | 11.62 | 7.13 | 1.79 | 1.79 | 2.29 | 17.95 | 47.88 | $ | 51,789 | ||||||||||||||||||||||||||||||||||||||||
2008(e) | $ | 11.94 | 0.55 | (1.42 | ) | (0.87 | ) | (0.50 | ) | — | (0.50 | ) | $ | 10.57 | 5.96 | (d) | 1.82 | (d) | 1.80 | (d) | 2.65 | (d) | (7.57 | ) | 36.22 | $ | 13,829 | |||||||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 11.83 | 0.38 | 0.44 | 0.82 | (0.40 | ) | (0.28 | ) | (0.68 | ) | $ | 11.97 | 6.44 | (d) | 0.94 | (d) | 0.94 | (d) | 0.96 | (d) | 7.10 | 13.93 | $ | 157,249 | |||||||||||||||||||||||||||||||||||
2011 | $ | 12.35 | 0.83 | (0.20 | ) | 0.63 | (0.87 | ) | (0.28 | ) | (1.15 | ) | $ | 11.83 | 6.71 | 0.97 | 0.97 | 0.98 | 5.16 | 48.09 | $ | 99,594 | ||||||||||||||||||||||||||||||||||||||
2010 | $ | 11.64 | 0.85 | 0.75 | 1.60 | (0.84 | ) | (0.05 | ) | (0.89 | ) | $ | 12.35 | 7.13 | 0.98 | 0.98 | 1.00 | 14.27 | 38.87 | $ | 73,011 | |||||||||||||||||||||||||||||||||||||||
2009 | $ | 10.58 | 0.81 | 1.05 | 1.86 | (0.80 | ) | — | (0.80 | ) | $ | 11.64 | 7.94 | 0.99 | 0.99 | 1.12 | 18.95 | 47.88 | $ | 44,319 | ||||||||||||||||||||||||||||||||||||||||
2008(e) | $ | 11.94 | 0.63 | (1.42 | ) | (0.79 | ) | (0.57 | ) | — | (0.57 | ) | $ | 10.58 | 6.81 | (d) | 1.01 | (d) | 0.99 | (d) | 1.44 | (d) | (6.90 | ) | 36.22 | $ | 15,145 | |||||||||||||||||||||||||||||||||
| (a) | Not annualized for periods less than one year. |
| (b) | Unaudited Six Month Period Ended March 31. |
| (c) | Sales loads are not reflected in computing total return. |
| (d) | Annualized. |
| (e) | Fund commenced operations on December 19, 2007. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
| 40 Certified Semi-Annual Report | Certified Semi-Annual Report 41 |
| EXPENSE EXAMPLE | ||
| Thornburg Strategic Income Fund | March 31, 2012 (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 a $1,000 investment beginning on October 1, 2011, and held until March 31, 2012.
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 10/1/11 | Ending Account Value 3/31/12 | Expenses Paid During Period† 10/1/11–3/31/12 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,069.40 | $ | 6.47 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.75 | $ | 6.31 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,066.60 | $ | 9.30 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,016.00 | $ | 9.07 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,071.00 | $ | 4.88 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.29 | $ | 4.76 | ||||||
| † | Expenses are equal to the annualized expense ratio for each class (A: 1.25%; C: 1.80%; I: 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. |
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.
42 Certified Semi-Annual Report
| OTHER INFORMATION | ||
| Thornburg Strategic Income Fund | March 31, 2012 (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. A description of the Policy 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 43
Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
September 13, 2011
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.
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.
APPOINTMENT OF TRUSTEE
The Trustees have appointed Sally Corning of Santa Fe, New Mexico as a Trustee, effective May 7, 2012. Ms. Corning is a founding partner of Sun Mountain Capital, Santa Fe, which advises clients in making investments in private equity partnerships and invests directly in private companies. Ms. Corning was formerly employed by Credit Suisse First Boston, Morgan Stanley and Dean Witter Reynolds. She received her BSBA from Georgetown University and her MBA from the Columbia University Graduate School of Business.
44 This page is not part of the Semi-Annual Report.
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 website 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 Developing World 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. 45
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 Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We are very organic in our approach, avoiding leverage or complex strategies which could backfire in periods of market uncertainty.
| • | 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 Strategic Municipal Income Fund |
| • | Thornburg Limited Term U.S. Government Fund |
| • | Thornburg Limited Term Income Fund |
| • | Thornburg Strategic Income Fund |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
This page is not part of the Semi-Annual Report. 47
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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. | |||||
 | Investment Advisor: Thornburg Investment Management® 800.847.0200 | 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, 2012. The managers’ views, portfolio holdings, and sector diversification are provided for the general information of the Fund’s shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. 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. Special risks may be associated with investments outside the United States, especially in emerging markets, including currency fluctuations, illiquidity and volatility. Investments in small capitalization companies 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 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. Funds invested in a limited number of holdings may expose an investor to greater volatility.
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.
Class I, R3, R4, and R5 shares may not be available to all investors. Minimum investments for Class I shares may be higher than those for other classes.
Share Class | NASDAQ Symbol | Cusip | ||
Class A | TVAFX | 885-215-731 | ||
Class B | TVBFX | 885-215-590 | ||
Class C | TVCFX | 885-215-715 | ||
Class I | TVIFX | 885-215-632 | ||
Class R3 | TVRFX | 885-215-533 | ||
Class R4 | TVIRX | 885-215-277 | ||
Class R5 | TVRRX | 885-215-376 |
Glossary
S&P 500 Index – The S&P 500 Index is a broad measure 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.
Alpha – A measure of the difference between a fund’s actual returns and its expected performance, given its level of risk as measured by beta.
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.
Earnings per Share (EPS) – The total earnings divided by the number of shares outstanding.
Forward P/E – Price to earnings ratio, using earnings estimates for the next four quarters.
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.
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 equaling a company’s market value per share divided by earnings per share.
This page is not part of the Semi-Annual Report. 3
Thornburg Value Fund
PORTFOLIO MANAGERS
Connor Browne,CFA, and Edward Maran,CFA.
IMPORTANT
PERFORMANCE INFORMATION
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.
The maximum sales charge for Class A shares is 4.50%. The total annual fund operating expense of Class A shares is 1.28%, as disclosed in the most recent Prospectus.
Finding Promising Companies at a Discount
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 typically invests in a more limited number of stocks, and second, it takes a more comprehensive approach to value investing.
Our team is dedicated to providing value to shareholders. We strive to 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 last 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
AVERAGE ANNUAL TOTAL RETURNS
FOR PERIODS ENDED 3/31/12
| 1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception | ||||||||||||||||
A Shares (Incep: 10/2/95) | ||||||||||||||||||||
Without sales charge | -7.83 | % | 20.22 | % | -0.79 | % | 3.85 | % | 9.13 | % | ||||||||||
With sales charge | -11.98 | % | 18.40 | % | -1.70 | % | 3.37 | % | 8.82 | % | ||||||||||
S&P 500 Index | ||||||||||||||||||||
(Since 10/2/95) | 8.54 | % | 23.42 | % | 2.01 | % | 4.12 | % | 7.44 | % | ||||||||||
4 This page is not part of the Semi-Annual Report.
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 flow and critical thinking intended to benefit portfolio decision making. We do not view our location in Santa Fe, New Mexico 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 THE SIX MONTHS ENDED 3/31/12
Top Contributors | Top Detractors | |
Gilead Sciences, Inc. | MEMC Electronic Materials, Inc. | |
The Gap, Inc. | Tokyo Steel Manufacturing Co. Ltd. | |
PulteGroup, Inc. | Alpha Natural Resources, Inc. | |
Google, Inc. | KDDI Corp. | |
Bank of America Corp. | Bankers Petroleum Ltd. | |
Source: FactSet | ||
KEY PORTFOLIO ATTRIBUTES
As of 3/31/12
Portfolio P/E Trailing 12-months* | 13.9x | |||
Portfolio Price to Cash Flow* | 5.2x | |||
Portfolio Price to Book Value* | 1.2x | |||
Median Market Cap* | $ | 10.4 B | ||
7-Year Beta (A Shares vs. S&P 500)* | 1.12 | |||
Number of Companies | 43 | |||
| * | Source: FactSet |
MARKET CAPITALIZATION EXPOSURE
As of 3/31/12
BASKET STRUCTURE
As of 3/31/12
This page is not part of the Semi-Annual Report. 5
Thornburg Value Fund
March 31, 2012
Table of Contents | ||||
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
6 Certified Semi-Annual Report
Connor Browne,CFA Portfolio Manager
Edward E. Maran,CFA Portfolio Manager | April 19, 2012
Dear Fellow Shareholders:
For the six-month period ended March 31, 2012, the Thornburg Value Fund (Class A shares without sales charge) returned 22.77% versus 25.89% for the S&P 500 Index. The stark contrast in market sentiment between the fourth quarter of 2011 and the first quarter of 2012 is remarkable. During the fourth calendar quarter, equity markets struggled to shake off fear induced by the European debt crisis. The Fund trailed the S&P 500 Index by a little over 6.00% for the quarter ended December 2011 with a three-month return of 5.74% verses 11.82% for the S&P 500 Index, as our contrarian investments seemed particularly out of favor. But during the most recent quarter ended March 31, 2012, the Fund outperformed the index by approximately 3.50% with a return of 16.11% verses 12.59% for the index, as constructive action surrounding the European debt crisis and signs of improvement in the United States economy helped support stock price advances.
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.
The maximum sales charge for Class A shares is 4.50%. The total annual fund operating expense of Class A shares is 1.28%, as disclosed in the most recent Prospectus.
The apparent resolution of a series of important global economic questions during that period helped salve market sentiment. The European Central Bank’s effort to unfreeze credit and inject liquidity into the European banking system, known as the Long Term Refinancing Operation (LTRO), appears to have halted the panic in European debt markets. In addition, while domestic equity markets seemed to see the 2011 late-summer debt-ceiling negotiations as political theater, the political dysfunction they exposed did affect market psychology negatively. That sentiment lingered, and the gradual fading of that issue from headlines has contributed to the recent calm. Domestic economic data has improved, and fear of a double-dip recession has receded. The headline unemployment rate continues its move downward to 8.2%; consumer confidence and housing are showing signs of improvement. Investors also responded to positive news for the banking sector when the Federal Reserve released results of its stress test of 19 of the nation’s largest banks.
With so much positive news, the year began with a bang. The apparent resolution of some of the above issues led to a rebound in performance in areas that had impacted the Value Fund negatively before. Positive individual stock-selection during the period contributed to the strong absolute and relative returns, as did our overweight to the financial sector. Our |
Certified Semi-Annual Report 7
| Letter to Shareholders, | ||
Continued | ||
weighting in the information technology sector was a drag on performance (although one of our top performers for the period was Apple, Inc.).
A recovering economy provides a tailwind to the banking sector and investors in Bank of America were encouraged when it reported strong fourth-quarter 2011 net income. Indeed, Bank of America has been among our leading contributors to return for the six-month period. Gilead Sciences, Inc., The Gap, Pulte Group, and Google round out the list of top contributors. The following is some brief additional commentary about three of those contributors: Bank of America, The Gap, and Google.
Bank of America, along with several other financial-sector stocks in the Value Fund portfolio, had been priced as if it were in imminent need of additional capital. We did not believe that to be the case. We believe time is on Bank of America’s side, and the strong returns for the period appear to bear this thesis out.
The Gap, Inc. fell out of favor over a number of years, as the brand had seemed to lose its popularity with its core customers, but CEO Glenn Murphy has been dogged in his efforts to revitalize the firm. His efforts may have finally met with success. Online sales and overseas franchise growth have been quite strong, fundamentals are improving, and we believe the slight headwind the company faces with higher cotton prices is temporary. The Gap was the second strongest contributor to your portfolio’s return over the period.
We see significant upside in Google, Inc., the leader in online advertising. It recently reported strong results, with revenues up 24% on a year-over-year basis and operating income up 22%. Traffic growth on a year-over-year basis moved from 18% in Q2 2011 to 39% in Q1 2012. Google sells almost 50% of global online ads, and global online advertising spending is growing as a proportion of total ad spending (from 8.4% in 2006 to 18.4% in 2011).
Among the weak performers for the period was Corning, Inc. The New York based specialty glass supplier faces oversupply and competitive pressures. A new technology from Samsung could enable flat-screen TV manufacturers to use one glass panel instead of two in assembly, potentially slicing into demand. We removed the company from the portfolio. Operating performance for Hewlett-Packard failed to meet our projections. We believe the weak results may be indicative of problems in the underlying business that may be ongoing. That position was eliminated due to fundamental deterioration.
Headwinds and Tailwinds
As we look forward, we see several potentially constructive factors. Monetary policy is unusually stimulative around the globe, not just in developed markets, but also in certain emerging market economies. Corporations are financially strong and highly profitable. The problems of the recent financial crisis appear to be mostly behind us and valuations are unusually compelling for a number of stocks.
The debt crisis in Europe lingers and is far from a permanent resolution. Austerity measures have, to some extent, sapped the growth potential of southern European economies and have made dealing with those debt burdens more — not less — difficult. There is uncertainty surrounding whether China will be able to decelerate its growth rate without a hard landing. Nevertheless, both European and Chinese policy makers appear to have adequate tools to deal with their respective challenges.
We believe our basic approach of searching for promising companies trading at discounts to their intrinsic values offers investors the possibility of achieving attractive returns over time. In our opinion, equities appear attractively
8 Certified Semi-Annual Report
priced, and we are optimistic that the process and philosophy that have guided the Fund since inception may prove successful going forward too.
We invite you to visit our website at www.thornburg.com, where you can find useful information about your Fund – including commentary on portfolio holdings.
Thank you for your trust and confidence.
| Sincerely, | ||
|  | |
Connor Browne,CFA | Edward E. Maran,CFA | |
Portfolio Manager | Portfolio Manager | |
Managing Director | Managing Director | |
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager, and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
Certified Semi-Annual Report 9
| SCHEDULE OF INVESTMENTS | ||
| Thornburg Value Fund | March 31, 2012 (Unaudited) | |
TOP TEN HOLDINGS
As of 3/31/12
Gilead Sciences, Inc. | 4.4 | % | Charles Schwab Corp. | 3.6 | % | |||||
Google, Inc. | 4.3 | % | United States Steel Corp. | 3.4 | % | |||||
Inpex Corp. | 4.1 | % | Hartford Financial Services Group, Inc. | 3.2 | % | |||||
Thermo Fisher Scientific, Inc. | 3.9 | % | Yahoo!, Inc. | 3.0 | % | |||||
Staples, Inc. | 3.8 | % | MetLife, Inc. | 3.0 | % |
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/12
Energy | 11.8 | % | Technology Hardware & Equipment | 5.1 | % | |||||
Software & Services | 11.4 | % | Semiconductors & Semiconductor Equipment | 2.8 | % | |||||
Retailing | 11.1 | % | Consumer Services | 2.0 | % | |||||
Diversified Financials | 10.4 | % | Banks | 1.4 | % | |||||
Insurance | 8.8 | % | Capital Goods | 1.3 | % | |||||
Pharmaceuticals, Biotechnology & Life Sciences | 8.3 | % | Consumer Durables & Apparel | 1.2 | % | |||||
Telecommunication Services | 7.4 | % | Automobiles & Components | 0.3 | % | |||||
Health Care Equipment & Services | 6.6 | % | Other Assets & Cash Equivalents | 3.7 | % | |||||
Materials | 6.4 | % |
| Shares/ Principal Amount | Value | |||||||
COMMON STOCK — 95.68% | ||||||||
AUTOMOBILES & COMPONENTS — 0.28% | ||||||||
AUTO COMPONENTS — 0.28% | ||||||||
a Delphi Automotive plc. | 295,600 | $ | 9,340,960 | |||||
|
| |||||||
| 9,340,960 | ||||||||
|
| |||||||
BANKS — 1.42% | ||||||||
COMMERCIAL BANKS — 1.42% | ||||||||
a Sterling Financial Corp. | 2,272,729 | 47,454,582 | ||||||
|
| |||||||
| 47,454,582 | ||||||||
|
| |||||||
CAPITAL GOODS — 1.29% | ||||||||
MACHINERY — 1.29% | ||||||||
a Oshkosh Corp. | 1,850,241 | 42,870,084 | ||||||
|
| |||||||
| 42,870,084 | ||||||||
|
| |||||||
CONSUMER DURABLES & APPAREL — 1.20% | ||||||||
HOUSEHOLD DURABLES — 1.20% | ||||||||
a Pulte Group, Inc. | 4,513,000 | 39,940,050 | ||||||
|
| |||||||
| 39,940,050 | ||||||||
|
| |||||||
10 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Value Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
CONSUMER SERVICES — 1.98% | ||||||||
HOTELS, RESTAURANTS & LEISURE — 1.98% | ||||||||
a Life Time Fitness, Inc. | 1,304,351 | $ | 65,961,030 | |||||
|
| |||||||
| 65,961,030 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 10.39% | ||||||||
CAPITAL MARKETS — 4.10% | ||||||||
AllianceBernstein Holding LP | 977,396 | 15,257,152 | ||||||
Charles Schwab Corp. | 8,441,200 | 121,300,044 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 6.29% | ||||||||
Bank of America Corp. | 7,239,300 | 69,280,101 | ||||||
Citigroup, Inc. | 2,011,300 | 73,513,015 | ||||||
JPMorgan Chase & Co. | 1,452,840 | 66,801,583 | ||||||
|
| |||||||
| 346,151,895 | ||||||||
|
| |||||||
ENERGY — 11.85% | ||||||||
OIL, GAS & CONSUMABLE FUELS �� 11.85% | ||||||||
a Alpha Natural Resources, Inc. | 1,758,000 | 26,739,180 | ||||||
Apache Corp. | 679,290 | 68,227,888 | ||||||
a Bankers Petroleum Ltd. | 7,804,800 | 32,237,983 | ||||||
Exxon Mobil Corp. | 574,900 | 49,861,077 | ||||||
Inpex Corp. | 20,345 | 137,403,105 | ||||||
a Sandridge Energy, Inc. | 10,237,415 | 80,158,959 | ||||||
|
| |||||||
| 394,628,192 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SERVICES — 6.56% | ||||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 4.64% | ||||||||
a Alere, Inc. | 2,465,600 | 64,130,256 | ||||||
a Varian Medical Systems, Inc. | 1,309,540 | 90,305,878 | ||||||
HEALTH CARE PROVIDERS & SERVICES — 1.92% | ||||||||
a Community Health Systems, Inc. | 2,878,673 | 64,021,688 | ||||||
|
| |||||||
| 218,457,822 | ||||||||
|
| |||||||
INSURANCE — 8.83% | ||||||||
INSURANCE — 8.83% | ||||||||
a Genworth Financial, Inc. | 10,357,495 | 86,174,358 | ||||||
Hartford Financial Services Group, Inc. | 5,094,940 | 107,401,335 | ||||||
MetLife, Inc. | 2,692,490 | 100,564,502 | ||||||
|
| |||||||
| 294,140,195 | ||||||||
|
| |||||||
MATERIALS — 6.42% | ||||||||
METALS & MINING — 6.42% | ||||||||
b Tokyo Steel Manufacturing Co. Ltd. | 11,229,100 | 99,172,068 | ||||||
United States Steel Corp. | 3,908,900 | 114,804,393 | ||||||
|
| |||||||
| 213,976,461 | ||||||||
|
| |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 8.28% | ||||||||
BIOTECHNOLOGY — 4.35% | ||||||||
a Gilead Sciences, Inc. | 2,968,705 | 145,021,239 | ||||||
LIFE SCIENCES TOOLS & SERVICES — 3.93% | ||||||||
Thermo Fisher Scientific, Inc. | 2,318,593 | 130,722,274 | ||||||
|
| |||||||
| 275,743,513 | ||||||||
|
| |||||||
Certified Semi-Annual Report 11
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Value Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
RETAILING — 11.11% | ||||||||
SPECIALTY RETAIL — 11.11% | ||||||||
Best Buy Co., Inc. | 2,985,200 | $ | 70,689,536 | |||||
a,b Office Depot, Inc. | 14,346,811 | 49,496,498 | ||||||
a,b OfficeMax, Inc. | 4,617,314 | 26,411,036 | ||||||
Staples, Inc. | 7,762,200 | 125,592,396 | ||||||
The Gap, Inc. | 3,741,014 | 97,790,106 | ||||||
|
| |||||||
| 369,979,572 | ||||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.77% | ||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.77% | ||||||||
a,b MEMC Electronic Materials, Inc. | 15,314,451 | 55,285,168 | ||||||
a ON Semiconductor Corp. | 4,126,527 | 37,180,008 | ||||||
|
| |||||||
| 92,465,176 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 11.37% | ||||||||
INFORMATION TECHNOLOGY SERVICES — 2.35% | ||||||||
a Amdocs Ltd. | 2,484,348 | 78,455,710 | ||||||
INTERNET SOFTWARE & SERVICES — 7.36% | ||||||||
a Google, Inc. | 224,489 | 143,951,326 | ||||||
a Yahoo!, Inc. | 6,648,600 | 101,191,692 | ||||||
SOFTWARE — 1.66% | ||||||||
Microsoft Corp. | 1,713,600 | 55,263,600 | ||||||
|
| |||||||
| 378,862,328 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 5.14% | ||||||||
COMMUNICATIONS EQUIPMENT — 1.15% | ||||||||
a Juniper Networks, Inc. | 1,674,471 | 38,311,896 | ||||||
COMPUTERS & PERIPHERALS — 3.99% | ||||||||
a Apple, Inc. | 150,800 | 90,400,076 | ||||||
a Dell, Inc. | 2,556,436 | 42,436,838 | ||||||
|
| |||||||
| 171,148,810 | ||||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 6.79% | ||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 2.55% | ||||||||
a Level 3 Communications, Inc. | 3,297,179 | 84,836,416 | ||||||
WIRELESS TELECOMMUNICATION SERVICES — 4.24% | ||||||||
KDDI Corp. | 10,851 | 70,268,648 | ||||||
SoftBank Corp. | 2,405,209 | 71,107,242 | ||||||
|
| |||||||
| 226,212,306 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $3,060,905,056) | 3,187,332,976 | |||||||
|
| |||||||
CONVERTIBLE BONDS — 0.58% | ||||||||
TELECOMMUNICATION SERVICES — 0.58% | ||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.58% | ||||||||
Level 3 Communications, Inc., 6.50%, 10/1/2016 | $ | 12,049,000 | 19,278,400 | |||||
|
| |||||||
| 19,278,400 | ||||||||
|
| |||||||
TOTAL CONVERTIBLE BONDS (Cost $12,049,000) | 19,278,400 | |||||||
|
| |||||||
12 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Value Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
SHORT TERM INVESTMENTS — 2.40% | ||||||||
Arizona Public Service Co., 0.45%, 4/2/2012 | $ | 11,992,000 | $ | 11,991,850 | ||||
Oglethorpe Power Corp., 0.20%, 4/5/2012 | 11,275,000 | 11,274,749 | ||||||
The Kroger Co., 0.35%, 4/2/2012 | 56,608,000 | 56,607,450 | ||||||
|
| |||||||
TOTAL SHORT TERM INVESTMENTS (Cost $79,874,049) | 79,874,049 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 98.66% (Cost $3,152,828,105) | $ | 3,286,485,425 | ||||||
OTHER ASSETS LESS LIABILITIES — 1.34% | 44,528,230 | |||||||
|
| |||||||
NET ASSETS — 100.00% | $ | 3,331,013,655 | ||||||
|
| |||||||
Footnote Legend
| a | Non-income producing. |
| b | 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/Principal September 30, 2011 | Gross Additions | Gross Reductions | Shares/Principal March 31, 2012 | Market Value March 31, 2012 | Investment Income | ||||||||||||||||||
MEMC Electronic Materials, Inc.* | 10,926,751 | 4,387,700 | — | 15,314,451 | $ | 55,285,168 | $ | — | ||||||||||||||||
Office Depot, Inc. | 14,539,100 | — | 192,289 | 14,346,811 | 49,496,498 | — | ||||||||||||||||||
OfficeMax, Inc. | 4,617,314 | — | — | 4,617,314 | 26,411,036 | — | ||||||||||||||||||
Tokyo Steel Manufacturing Co. Ltd. | 10,800,400 | 428,700 | — | 11,229,100 | 99,172,068 | 377,961 | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total non-controlled affiliated issuers – 6.92% of net assets |
| $ | 230,364,770 | $ | 377,961 | |||||||||||||||||||
|
|
|
| |||||||||||||||||||||
| * | Issuer not affiliated at September 30, 2011. |
See notes to financial statements.
Certified Semi-Annual Report 13
| STATEMENT OF ASSETS AND LIABILITIES | ||
| Thornburg Value Fund | March 31, 2012 (Unaudited) | |
ASSETS | ||||
Investments at value | ||||
Non-affiliated issuers (cost $2,799,648,639) (Note 2) | $ | 3,056,120,655 | ||
Non-controlled affiliated issuers (cost $353,179,466) (Note 2) | 230,364,770 | |||
Cash | 311,598 | |||
Receivable for investments sold | 68,490,791 | |||
Receivable for fund shares sold | 3,254,366 | |||
Unrealized appreciation on forward currency contracts (Note 7) | 10,220,009 | |||
Dividends receivable | 4,123,960 | |||
Dividend and interest reclaim receivable | 713,230 | |||
Interest receivable | 391,592 | |||
Prepaid expenses and other assets | 101,670 | |||
|
| |||
Total Assets | 3,374,092,641 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 29,054,269 | |||
Payable for fund shares redeemed | 9,564,878 | |||
Unrealized depreciation on forward currency contracts (Note 7) | 263,584 | |||
Payable to investment advisor and other affiliates (Note 3) | 2,773,428 | |||
Accounts payable and accrued expenses | 1,404,572 | |||
Dividends payable | 18,255 | |||
|
| |||
Total Liabilities | 43,078,986 | |||
|
| |||
NET ASSETS | $ | 3,331,013,655 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment income | $ | (1,648,206 | ) | |
Net unrealized appreciation on investments | 143,645,541 | |||
Accumulated net realized gain (loss) | (667,814,510 | ) | ||
Net capital paid in on shares of beneficial interest | 3,856,830,830 | |||
|
| |||
| $ | 3,331,013,655 | |||
|
| |||
14 Certified Semi-Annual Report
| STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||||
| Thornburg Value Fund | March 31, 2012 (Unaudited) | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($747,089,396 applicable to 21,962,889 shares of beneficial interest outstanding - Note 4) | $ | 34.02 | ||
Maximum sales charge, 4.50% of offering price | 1.60 | |||
|
| |||
Maximum offering price per share | $ | 35.62 | ||
|
| |||
Class B Shares: | ||||
Net asset value and offering price per share* ($12,592,532 applicable to 396,681 shares of beneficial interest outstanding - Note 4) | $ | 31.74 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($268,934,560 applicable to 8,341,773 shares of beneficial interest outstanding - Note 4) | $ | 32.24 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($1,806,912,023 applicable to 52,017,866 shares of beneficial interest outstanding - Note 4) | $ | 34.74 | ||
|
| |||
Class R3 Shares: | ||||
Net asset value, offering and redemption price per share ($183,030,273 applicable to 5,419,752 shares of beneficial interest outstanding - Note 4) | $ | 33.77 | ||
|
| |||
Class R4 Shares: | ||||
Net asset value, offering and redemption price per share ($57,308,577 applicable to 1,686,092 shares of beneficial interest outstanding - Note 4) | $ | 33.99 | ||
|
| |||
Class R5 Shares: | ||||
Net asset value, offering and redemption price per share ($255,146,294 applicable to 7,354,960 shares of beneficial interest outstanding - Note 4) | $ | 34.69 | ||
|
| |||
| * | 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 15
| STATEMENT OF OPERATIONS | ||
| Thornburg Value Fund | Six Months Ended March 31, 2012 (Unaudited) | |
INVESTMENT INCOME: | ||||
Dividend income | ||||
Non-affiliated issuers (net of foreign taxes withheld of $119,868) | $ | 15,100,937 | ||
Non-controlled affiliated issuers (net of foreign taxes withheld of $28,449) | 377,961 | |||
Interest income | 512,704 | |||
|
| |||
Total Income | 15,991,602 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 12,621,458 | |||
Administration fees (Note 3) | ||||
Class A Shares | 458,393 | |||
Class B Shares | 8,192 | |||
Class C Shares | 164,539 | |||
Class I Shares | 470,946 | |||
Class R3 Shares | 112,104 | |||
Class R4 Shares | 34,687 | |||
Class R5 Shares | 60,218 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 918,802 | |||
Class B Shares | 65,505 | |||
Class C Shares | 1,316,024 | |||
Class R3 Shares | 448,511 | |||
Class R4 Shares | 69,270 | |||
Transfer agent fees | ||||
Class A Shares | 585,798 | |||
Class B Shares | 18,716 | |||
Class C Shares | 223,430 | |||
Class I Shares | 807,505 | |||
Class R3 Shares | 208,711 | |||
Class R4 Shares | 67,477 | |||
Class R5 Shares | 320,755 | |||
Registration and filing fees | ||||
Class A Shares | 13,276 | |||
Class B Shares | 8,919 | |||
Class C Shares | 10,321 | |||
Class I Shares | 47,455 | |||
Class R3 Shares | 10,713 | |||
Class R4 Shares | 8,427 | |||
Class R5 Shares | 6,806 | |||
Custodian fees (Note 3) | 192,281 | |||
Professional fees | 50,318 | |||
Accounting fees | 63,490 | |||
Trustee fees | 46,245 | |||
Other expenses | 270,202 | |||
|
| |||
Total Expenses | 19,709,494 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (467,784 | ) | ||
|
| |||
Net Expenses | 19,241,710 | |||
|
| |||
Net Investment Loss | $ | (3,250,108 | ) | |
|
| |||
16 Certified Semi-Annual Report
| STATEMENT OF OPERATIONS, CONTINUED | ||
| Thornburg Value Fund | Six Months Ended March 31, 2012 (Unaudited) | |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from: | ||||
Investments | ||||
Non-affiliated issuers | $ | (227,847,871 | ) | |
Non-controlled affiliated issuers | (155,481 | ) | ||
Forward currency contracts (Note 7) | 15,634,262 | |||
Foreign currency transactions | 44,263 | |||
|
| |||
| (212,324,827 | ) | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | ||||
Non-affiliated issuers | 915,416,952 | |||
Non-controlled affiliated issuers | (3,865,996 | ) | ||
Forward currency contracts (Note 7) | 7,451,616 | |||
Foreign currency translations | (28,834 | ) | ||
|
| |||
| 918,973,738 | ||||
|
| |||
Net Realized and Unrealized Gain | 706,648,911 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 703,398,803 | ||
|
|
See notes to financial statements.
Certified Semi-Annual Report 17
| STATEMENTS OF CHANGES IN NET ASSETS |
| Thornburg Value Fund |
| Six Months Ended March 31, 2012* | Year Ended September 30, 2011 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS: | ||||||||
Net investment income (loss) | $ | (3,250,108 | ) | $ | 2,415,580 | |||
Net realized gain (loss) on investments, forward currency contracts, and foreign currency transactions | (212,324,827 | ) | 320,363,158 | |||||
Net unrealized appreciation (depreciation) on investments, forward currency contracts, and foreign currency translations | 918,973,738 | (647,981,934 | ) | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 703,398,803 | (325,203,196 | ) | |||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class I Shares | (1,567,188 | ) | (1,083,639 | ) | ||||
Class R5 Shares | (70,869 | ) | (98,243 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | (229,800,526 | ) | (245,975,542 | ) | ||||
Class B Shares | (3,697,249 | ) | (7,564,011 | ) | ||||
Class C Shares | (36,991,770 | ) | (53,791,108 | ) | ||||
Class I Shares | (559,078,973 | ) | 80,664,857 | |||||
Class R3 Shares | (22,466,266 | ) | (14,721,836 | ) | ||||
Class R4 Shares | (5,875,261 | ) | 3,094,266 | |||||
Class R5 Shares | (9,896,827 | ) | 7,376,378 | |||||
|
|
|
| |||||
Net Decrease in Net Assets | (166,046,126 | ) | (557,302,074 | ) | ||||
NET ASSETS: | ||||||||
Beginning of Period | 3,497,059,781 | 4,054,361,855 | ||||||
|
|
|
| |||||
End of Period | $ | 3,331,013,655 | $ | 3,497,059,781 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | — | $ | 3,088,447 | ||||
| * | Unaudited. |
See notes to financial statements.
18 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS | ||
| Thornburg Value Fund | March 31, 2012 (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 Fund is currently one of sixteen separate series of the Trust. 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 has 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). The Fund no longer offers Class B shares for sale. 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 were 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 of purchase, 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 and may be subject to a service fee, (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 Investments: 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 ask 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.
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 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 obligations of comparable quality, type of issue, coupon, maturity and rating, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
Quotations in foreign currencies for foreign portfolio investments are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
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 procedures approved by the Trustees, which may include the use of a price obtained from an independent pricing service. The pricing service ordinarily values equity securities in these instances using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures and index data and other data. 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
Certified Semi-Annual Report 19
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Value Fund | March 31, 2012 (Unaudited) | |
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, or an unusual event or significant period of time occurring since the availability of a market quotation, create a 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 obligation held by the Fund, the valuation and pricing committee determines a fair value for the debt obligation using procedures approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt obligation 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 obligation.
In determining fair value for any portfolio security or other investment, the valuation and pricing committee seeks to determine the amount that an owner of the investment might reasonably expect to receive upon a sale of the investment. However, because fair value prices are estimated prices, the valuation and pricing committee’s determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Fund’s financial statements. The valuation and pricing committee’s determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation Measurements: Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three levels listed below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment rates, credit risk, etc.).
Level 3: Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
The following table displays a summary of the inputs used to value the Fund’s net assets as of March 31, 2012. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
| Fair Value Measurements at March 31, 2012 | ||||||||||||||||
| Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities* | ||||||||||||||||
Common Stock | $ | 3,187,332,976 | $ | 3,187,332,976 | $ | — | $ | — | ||||||||
Convertible Bonds | 19,278,400 | — | 19,278,400 | — | ||||||||||||
Short Term Investments | 79,874,049 | — | 79,874,049 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 3,286,485,425 | $ | 3,187,332,976 | $ | 99,152,449 | $ | — | ||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | 10,220,009 | $ | — | $ | 10,220,009 | $ | — | ||||||||
Spot Currency | $ | 6,269 | $ | 6,269 | $ | — | $ | — | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | (263,584 | ) | $ | — | $ | (263,584 | ) | $ | — | ||||||
| * | See Schedule of Investments for a summary of the industry exposure as grouped according to the Global Industry Classification Standard (GICS), which is an industry taxonomy developed by MSCI, Inc. and Standard & Poor’s (S&P). |
| ** | 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 investment. |
20 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Value Fund | March 31, 2012 (Unaudited) | |
Other Notes: It is the policy of the Fund to recognize significant transfers between Levels 1, 2 and 3 and to disclose those transfers as of the date of the underlying event which caused the movement. The Fund recognized no significant transfers between levels for the six months ended March 31, 2012.
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 to shareholders substantially all taxable income, including any net realized gain on investments of the Fund. Therefore, no provision for federal income taxes is required.
Management reviews each uncertain tax position believed to be material to the preparation of the Fund’s financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of March 31, 2012, management has not identified any such position for which a liability must be reflected in the Statement of Assets and Liabilities. The Fund’s tax returns remain subject to examination for three years after filing.
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. Such spot contracts are included in Receivable for investments sold and Payable for investments purchased on the Statement of Assets and Liabilities.
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 purchases and 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.
When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with 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 Fund makes a commitment to purchase a security on a when-issued or delayed delivery 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, if any, 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.
Certified Semi-Annual Report 21
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Value Fund | March 31, 2012 (Unaudited) | |
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, 2012, 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, 2012, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $217 for Class A, $274,317 for Class R3 shares, $51,126 for Class R4 Shares, and $142,124 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, 2012, the Distributor has advised the Fund that it earned net commissions aggregating $15,229 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $4,841 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. For the six months ended March 31, 2012, there were no 12b-1 service plan fees charged for Class I and R5 shares. 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 and Class C shares, and an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class R3 shares. Total fees incurred by the Fund for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2012, 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 are 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, 2012, there were no fees paid indirectly.
Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.
22 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Value Fund | March 31, 2012 (Unaudited) | |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2012, 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, 2012 (Unaudited) | Year Ended September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 1,374,706 | $ | 44,036,604 | 3,820,004 | $ | 131,182,658 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (9,212,180 | ) | (273,839,292 | ) | (11,195,671 | ) | (377,165,665 | ) | ||||||||
Redemption fees received* | — | 2,162 | — | 7,465 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (7,837,474 | ) | $ | (229,800,526 | ) | (7,375,667 | ) | $ | (245,975,542 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class B Shares | ||||||||||||||||
Shares sold | 12,743 | $ | 358,218 | 22,294 | $ | 708,643 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (140,012 | ) | (4,055,506 | ) | (263,171 | ) | (8,272,792 | ) | ||||||||
Redemption fees received* | — | 39 | — | 138 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (127,269 | ) | $ | (3,697,249 | ) | (240,877 | ) | $ | (7,564,011 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 177,209 | $ | 5,128,783 | 636,748 | $ | 21,058,206 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (1,435,421 | ) | (42,121,321 | ) | (2,338,535 | ) | (74,851,535 | ) | ||||||||
Redemption fees received* | — | 768 | — | 2,221 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,258,212 | ) | $ | (36,991,770 | ) | (1,701,787 | ) | $ | (53,791,108 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 4,964,777 | $ | 156,499,962 | 24,496,289 | $ | 847,217,485 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 41,518 | 1,245,554 | 22,978 | 860,513 | ||||||||||||
Shares repurchased | (22,627,541 | ) | (716,830,142 | ) | (22,329,324 | ) | (767,428,563 | ) | ||||||||
Redemption fees received* | — | 5,653 | — | 15,422 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (17,621,246 | ) | $ | (559,078,973 | ) | 2,189,943 | $ | 80,664,857 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 578,441 | $ | 17,780,879 | 1,565,821 | $ | 52,864,246 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (1,310,160 | ) | (40,247,668 | ) | (2,039,207 | ) | (67,587,509 | ) | ||||||||
Redemption fees received* | — | 523 | — | 1,427 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (731,719 | ) | $ | (22,466,266 | ) | (473,386 | ) | $ | (14,721,836 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Certified Semi-Annual Report 23
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Value Fund | March 31, 2012 (Unaudited) | |
| Six Months Ended March 31, 2012 (Unaudited) | Year Ended September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 263,299 | $ | 7,947,200 | 739,587 | $ | 25,201,045 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (452,541 | ) | (13,822,622 | ) | (656,134 | ) | (22,107,183 | ) | ||||||||
Redemption fees received* | — | 161 | — | 404 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (189,242 | ) | $ | (5,875,261 | ) | 83,453 | $ | 3,094,266 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 1,032,994 | $ | 32,218,187 | 2,401,766 | $ | 83,473,333 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 2,345 | 70,250 | 2,591 | 96,926 | ||||||||||||
Shares repurchased | (1,312,462 | ) | (42,185,951 | ) | (2,171,290 | ) | (76,195,579 | ) | ||||||||
Redemption fees received* | — | 687 | — | 1,698 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (277,123 | ) | $ | (9,896,827 | ) | 233,067 | $ | 7,376,378 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| * | The Fund previously charged a redemption fee of 1% of the Class A and Class I shares redeemed or exchanged within 30 days of purchase. Effective February 1, 2012, the Fund stopped imposing this redemption fee. Redemption fees that were charged to any class prior to February 1, 2012 were 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, 2012, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $665,864,940 and $1,552,302,734, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2012, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 3,152,828,105 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 451,033,305 | ||
Gross unrealized depreciation on a tax basis | (317,375,985 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 133,657,320 | ||
|
|
At March 31, 2012, 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:
2017 | $ | 204,425,697 | ||
2018 | 242,353,997 | |||
|
| |||
| $ | 446,779,694 | |||
|
|
24 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Value Fund | March 31, 2012 (Unaudited) | |
The Regulated Investment Company Modernization Act of 2010 (the “Act”) was signed into law on December 22, 2010. The Act makes changes to a number of tax rules impacting the Fund. Under the Act, future capital losses generated by the Fund may be carried over indefinitely, but these losses must be used prior to the utilization of any pre-enactment capital losses. Since pre-enactment capital losses may only be carried forward for eight years, there may be a greater likelihood that all or a portion of a Fund’s pre-enactment capital losses will expire unused. In general, the provisions of the Act will be effective for the Fund’s fiscal year ending September 30, 2012.
NOTE 7 – DERIVATIVE FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
The Fund may use a variety of derivative financial instruments to hedge or adjust the risks affecting its investment portfolio or to enhance investment returns. Provisions of FASB Accounting Standards Codification ASC 815-10-50 (“ASC 815”), require certain disclosures. The disclosures are intended to provide users of financial statements with an understanding of the use of derivative instruments by the Fund and how these derivatives affect the financial position, financial performance and cash flows of the Fund. The Fund does not designate any derivative instruments as hedging instruments under ASC 815. During the six months ended March 31, 2012, the Fund’s principal exposure to derivative financial instruments of the type addressed by ASC 815 was investment in foreign exchange contracts. A foreign exchange contract is an agreement between two parties to exchange different currencies at a specified rate of exchange at an agreed upon future date. Foreign exchange contracts involve risks to the Fund, including the risk that a contract counterparty will not meet its obligations to the Fund, the risk that a change in a contract’s value may not correlate perfectly with the currency the contract was intended to track, and the risk that the Fund’s advisor is unable to correctly implement its strategy in using a contract. In any such instance, the Fund may not achieve the intended benefit of entering into a contract, and may experience a loss. Additionally, the Fund’s risk of loss may exceed the amounts recognized on the Statement of Assets and Liabilities.
The Fund entered into forward currency contracts during the six months ended March 31, 2012 in the normal course of pursuing its investment objectives, in anticipation of purchasing foreign investments or with the intent of reducing the risk to the value of the Fund’s foreign investments 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 investment transactions.
These contracts are accounted for by the Fund under ASC 815. Unrealized gains and unrealized losses on outstanding contracts are reported in the Fund’s Statement of Assets and Liabilities 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 each contract’s inception date. Net realized gain (loss) on contracts closed during the period, and changes in net unrealized appreciation (depreciation) on outstanding contracts are recognized in the Fund’s Statement of Operations. Values of open currency contracts are indicative of the activity for the six months ended March 31, 2012.
The following table displays the outstanding forward currency contracts at March 31, 2012:
Outstanding Forward Currency Contracts
to Buy or Sell at March 31, 2012
Contract Description | Buy/Sell | Contract Amount | Contract Value Date | Value USD | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||
Japanese Yen | Sell | 26,626,081,600 | 08/27/2012 | 322,178,049 | $ | 10,220,009 | $ | — | ||||||||||||||
Japanese Yen | Sell | 4,500,077,600 | 08/27/2012 | 54,451,355 | — | (263,584 | ) | |||||||||||||||
|
|
|
| |||||||||||||||||||
Total | $ | 10,220,009 | $ | (263,584 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||||
Certified Semi-Annual Report 25
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Value Fund | March 31, 2012 (Unaudited) | |
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Fund’s Statement of Assets and Liabilities at March 31, 2012 is disclosed in the following table:
Fair Values of Derivative Financial Instruments
at March 31, 2012
Asset Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Assets - Unrealized appreciation on forward currency contracts | $ | 10,220,009 | |||
Liability Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Liabilities - Unrealized depreciation on forward currency contracts | $ | (263,584 | ) | ||
The realized gains (losses) from forward currency contracts, and the change in unrealized appreciation (depreciation) of outstanding forward currency contracts recognized in the Fund’s Statement of Operations for the six months ended March 31, 2012 are disclosed in the following tables:
Amount of Realized Gain (Loss)
on Derivative Financial Instruments Recognized in
Income for the Six Months Ended March 31, 2012
| Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | 15,634,262 | $ | 15,634,262 | ||||
Change in Unrealized Appreciation (Depreciation)
of Derivative Financial Instruments Recognized in
Income for the Six Months Ended March 31, 2012
| Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | 7,451,616 | $ | 7,451,616 | ||||
OTHER NOTES:
Risks: The Fund’s investments subject it to risks including, but not limited to, management risk, market and economic risk, risks affecting specific issuers, liquidity risk, the risks associated with investments in smaller companies and non-U.S. issuers, credit risk, and interest rate risk. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund.
Subsequent Events: Fund management believes no events have occurred between March 31, 2012 and the date of issuance of the financial statements, which require adjustment to, or disclosure in the accompanying financial statements.
26 Certified Semi-Annual Report
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Certified Semi-Annual Report 27
Thornburg Value Fund
| PER SHARE PERFORMANCE (for a share outstanding throughout the Period)+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless Otherwise Periods are Years Ended Sept. 30, | Net Asset Value Beginning of Period | Net Investment Income (Loss) | Net Realized & Unrealized Gain (Loss) on Investments | Total from Investment Operations | Dividends from Net Investment Income | Dividends from Net Realized Gains | Total Dividends | Net Asset Value End of Period | Net Investment Income (Loss) (%) | Expenses, After Expense Reductions (%) | Expenses, After Expense Reductions and Net of Custody Credits (%) | Expenses, Before Expense Reductions (%) | Total Return (%)(a) | Portfolio Turnover Rate (%) | Net Assets at End of Period (Thousands) | |||||||||||||||||||||||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b)(c) | $ | 27.71 | (0.06 | ) | 6.37 | 6.31 | — | — | — | $ | 34.02 | (0.37 | )(d) | 1.33 | (d) | 1.33 | (d) | 1.33 | (d) | 22.77 | 20.37 | $ | 747,089 | |||||||||||||||||||||||||||||||||||||
2011(c) | $ | 30.44 | (0.03 | ) | (2.70 | ) | (2.73 | ) | — | — | — | $ | 27.71 | (0.10 | ) | 1.28 | 1.28 | 1.28 | (8.97 | ) | 64.14 | $ | 825,700 | |||||||||||||||||||||||||||||||||||||
2010(c) | $ | 29.66 | 0.20 | 0.76 | 0.96 | (0.18 | ) | — | (0.18 | ) | $ | 30.44 | 0.65 | 1.31 | 1.31 | 1.31 | 3.21 | 72.75 | $ | 1,131,594 | ||||||||||||||||||||||||||||||||||||||||
2009(c) | $ | 28.02 | 0.37 | 1.67 | 2.04 | (0.40 | ) | — | (0.40 | ) | $ | 29.66 | 1.58 | 1.34 | 1.34 | 1.34 | 7.65 | 83.00 | $ | 1,204,450 | ||||||||||||||||||||||||||||||||||||||||
2008(c) | $ | 44.17 | 0.18 | (12.26 | ) | (12.08 | ) | (0.14 | ) | (3.93 | ) | (4.07 | ) | $ | 28.02 | 0.52 | 1.27 | 1.27 | 1.27 | (29.52 | ) | 70.65 | $ | 1,088,766 | ||||||||||||||||||||||||||||||||||||
2007(c) | $ | 37.59 | 0.29 | 7.86 | 8.15 | (0.27 | ) | (1.30 | ) | (1.57 | ) | $ | 44.17 | 0.70 | 1.27 | 1.27 | 1.27 | 22.23 | 79.29 | $ | 1,599,976 | |||||||||||||||||||||||||||||||||||||||
Class B Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 25.99 | (0.20 | ) | 5.95 | 5.75 | — | — | — | $ | 31.74 | (1.38 | )(d) | 2.33 | (d) | 2.33 | (d) | 2.33 | (d) | 22.12 | 20.37 | $ | 12,593 | |||||||||||||||||||||||||||||||||||||
2011 | $ | 28.81 | (0.33 | ) | (2.49 | ) | (2.82 | ) | — | — | — | $ | 25.99 | (1.03 | ) | 2.19 | 2.19 | 2.19 | (9.79 | ) | 64.14 | $ | 13,616 | |||||||||||||||||||||||||||||||||||||
2010 | $ | 28.21 | (0.04 | ) | 0.69 | 0.65 | (0.05 | ) | — | (0.05 | ) | $ | 28.81 | (0.13 | ) | 2.18 | 2.18 | 2.18 | 2.29 | 72.75 | $ | 22,036 | ||||||||||||||||||||||||||||||||||||||
2009 | $ | 26.66 | 0.16 | 1.58 | 1.74 | (0.19 | ) | — | (0.19 | ) | $ | 28.21 | 0.74 | 2.22 | 2.22 | 2.22 | 6.72 | 83.00 | $ | 38,630 | ||||||||||||||||||||||||||||||||||||||||
2008 | $ | 42.36 | (0.09 | ) | (11.68 | ) | (11.77 | ) | — | (e) | (3.93 | ) | (3.93 | ) | $ | 26.66 | (0.28 | ) | 2.05 | 2.05 | 2.05 | (30.05 | ) | 70.65 | $ | 64,287 | ||||||||||||||||||||||||||||||||||
2007 | $ | 36.17 | (0.04 | ) | 7.55 | 7.51 | (0.02 | ) | (1.30 | ) | (1.32 | ) | $ | 42.36 | (0.09 | ) | 2.07 | 2.07 | 2.07 | 21.26 | 79.29 | $ | 113,299 | |||||||||||||||||||||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 26.36 | (0.17 | ) | 6.05 | 5.88 | — | — | — | $ | 32.24 | (1.14 | )(d) | 2.09 | (d) | 2.09 | (d) | 2.09 | (d) | 22.31 | 20.37 | $ | 268,935 | |||||||||||||||||||||||||||||||||||||
2011 | $ | 29.18 | (0.28 | ) | (2.54 | ) | (2.82 | ) | — | — | — | $ | 26.36 | (0.85 | ) | 2.03 | 2.03 | 2.03 | (9.66 | ) | 64.14 | $ | 253,065 | |||||||||||||||||||||||||||||||||||||
2010 | $ | 28.55 | (0.03 | ) | 0.73 | 0.70 | (0.07 | ) | — | (0.07 | ) | $ | 29.18 | (0.09 | ) | 2.06 | 2.06 | 2.06 | 2.43 | 72.75 | $ | 329,761 | ||||||||||||||||||||||||||||||||||||||
2009 | $ | 26.99 | 0.18 | 1.61 | 1.79 | (0.23 | ) | — | (0.23 | ) | $ | 28.55 | 0.81 | 2.12 | 2.12 | 2.12 | 6.83 | 83.00 | $ | 361,966 | ||||||||||||||||||||||||||||||||||||||||
2008 | $ | 42.82 | (0.08 | ) | (11.81 | ) | (11.89 | ) | (0.01 | ) | (3.93 | ) | (3.94 | ) | $ | 26.99 | (0.23 | ) | 2.02 | 2.01 | 2.02 | (30.03 | ) | 70.65 | $ | 401,880 | ||||||||||||||||||||||||||||||||||
2007 | $ | 36.55 | (0.02 | ) | 7.62 | 7.60 | (0.03 | ) | (1.30 | ) | (1.33 | ) | $ | 42.82 | (0.05 | ) | 2.03 | 2.03 | 2.03 | 21.29 | 79.29 | $ | 621,687 | |||||||||||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 28.26 | — | (f) | 6.51 | 6.51 | (0.03 | ) | — | (0.03 | ) | $ | 34.74 | 0.02 | (d) | 0.93 | (d) | 0.93 | (d) | 0.93 | (d) | 23.04 | 20.37 | $ | 1,806,912 | |||||||||||||||||||||||||||||||||||
2011 | $ | 30.95 | 0.09 | (2.76 | ) | (2.67 | ) | (0.02 | ) | — | (0.02 | ) | $ | 28.26 | 0.27 | 0.91 | 0.91 | 0.91 | (8.65 | ) | 64.14 | $ | 1,968,181 | |||||||||||||||||||||||||||||||||||||
2010 | $ | 30.15 | 0.30 | 0.80 | 1.10 | (0.30 | ) | — | (0.30 | ) | $ | 30.95 | 0.97 | 0.94 | 0.94 | 0.94 | 3.62 | 72.75 | $ | 2,087,380 | ||||||||||||||||||||||||||||||||||||||||
2009 | $ | 28.47 | 0.46 | 1.70 | 2.16 | (0.48 | ) | — | (0.48 | ) | $ | 30.15 | 1.94 | 0.98 | 0.97 | 1.00 | 8.04 | 83.00 | $ | 1,575,522 | ||||||||||||||||||||||||||||||||||||||||
2008 | $ | 44.80 | 0.32 | (12.45 | ) | (12.13 | ) | (0.27 | ) | (3.93 | ) | (4.20 | ) | $ | 28.47 | 0.92 | 0.91 | 0.90 | 0.91 | (29.24 | ) | 70.65 | $ | 1,961,495 | ||||||||||||||||||||||||||||||||||||
2007 | $ | 38.11 | 0.44 | 7.96 | 8.40 | (0.41 | ) | (1.30 | ) | (1.71 | ) | $ | 44.80 | 1.05 | 0.93 | 0.92 | 0.93 | 22.62 | 79.29 | $ | 2,401,473 | |||||||||||||||||||||||||||||||||||||||
Class R3 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 27.51 | (0.06 | ) | 6.32 | 6.26 | — | — | — | $ | 33.77 | (0.40 | )(d) | 1.35 | (d) | 1.35 | (d) | 1.66 | (d) | 22.76 | 20.37 | $ | 183,030 | |||||||||||||||||||||||||||||||||||||
2011 | $ | 30.24 | (0.06 | ) | (2.67 | ) | (2.73 | ) | — | — | — | $ | 27.51 | (0.17 | ) | 1.35 | 1.35 | 1.64 | (9.03 | ) | 64.14 | $ | 169,234 | |||||||||||||||||||||||||||||||||||||
2010 | $ | 29.48 | 0.17 | 0.76 | 0.93 | (0.17 | ) | — | (0.17 | ) | $ | 30.24 | 0.57 | 1.35 | 1.35 | 1.66 | 3.14 | 72.75 | $ | 200,362 | ||||||||||||||||||||||||||||||||||||||||
2009 | $ | 27.86 | 0.36 | 1.66 | 2.02 | (0.40 | ) | — | (0.40 | ) | $ | 29.48 | 1.57 | 1.35 | 1.35 | 1.72 | 7.62 | 83.00 | $ | 162,231 | ||||||||||||||||||||||||||||||||||||||||
2008 | $ | 43.94 | 0.17 | (12.19 | ) | (12.02 | ) | (0.13 | ) | (3.93 | ) | (4.06 | ) | $ | 27.86 | 0.50 | 1.35 | 1.35 | 1.66 | (29.54 | ) | 70.65 | $ | 161,517 | ||||||||||||||||||||||||||||||||||||
2007 | $ | 37.43 | 0.26 | 7.81 | 8.07 | (0.26 | ) | (1.30 | ) | (1.56 | ) | $ | 43.94 | 0.63 | 1.35 | 1.35 | 1.63 | 22.11 | 79.29 | $ | 151,260 | |||||||||||||||||||||||||||||||||||||||
Class R4 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 27.68 | (0.05 | ) | 6.36 | 6.31 | — | — | — | $ | 33.99 | (0.30 | )(d) | 1.25 | (d) | 1.25 | (d) | 1.43 | (d) | 22.80 | 20.37 | $ | 57,309 | |||||||||||||||||||||||||||||||||||||
2011 | $ | 30.39 | (0.02 | ) | (2.69 | ) | (2.71 | ) | — | — | — | $ | 27.68 | (0.06 | ) | 1.25 | 1.25 | 1.47 | (8.92 | ) | 64.14 | $ | 51,900 | |||||||||||||||||||||||||||||||||||||
2010 | $ | 29.62 | 0.19 | 0.78 | 0.97 | (0.20 | ) | — | (0.20 | ) | $ | 30.39 | 0.63 | 1.25 | 1.25 | 1.49 | 3.25 | 72.75 | $ | 54,461 | ||||||||||||||||||||||||||||||||||||||||
2009 | $ | 27.99 | 0.39 | 1.67 | 2.06 | (0.43 | ) | — | (0.43 | ) | $ | 29.62 | 1.65 | 1.25 | 1.25 | 1.54 | 7.74 | 83.00 | $ | 44,037 | ||||||||||||||||||||||||||||||||||||||||
2008 | $ | 44.14 | 0.19 | (12.23 | ) | (12.04 | ) | (0.18 | ) | (3.93 | ) | (4.11 | ) | $ | 27.99 | 0.58 | 1.24 | 1.24 | 1.48 | (29.47 | ) | 70.65 | $ | 29,462 | ||||||||||||||||||||||||||||||||||||
2007(g) | $ | 41.00 | 0.20 | 3.12 | 3.32 | (0.18 | ) | — | (0.18 | ) | $ | 44.14 | 0.70 | (d) | 1.25 | (d) | 1.25 | (d) | 2.34 | (d) | 8.09 | 79.29 | $ | 7,038 | ||||||||||||||||||||||||||||||||||||
Class R5 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 28.22 | (0.01 | ) | 6.49 | 6.48 | (0.01 | ) | — | (0.01 | ) | $ | 34.69 | (0.04 | )(d) | 0.99 | (d) | 0.99 | (d) | 1.11 | (d) | 22.96 | 20.37 | $ | 255,146 | |||||||||||||||||||||||||||||||||||
2011 | $ | 30.92 | 0.07 | (2.76 | ) | (2.69 | ) | (0.01 | ) | — | (0.01 | ) | $ | 28.22 | 0.20 | 0.98 | 0.99 | 1.09 | (8.70 | ) | 64.14 | $ | 215,364 | |||||||||||||||||||||||||||||||||||||
2010 | $ | 30.13 | 0.28 | 0.79 | 1.07 | (0.28 | ) | — | (0.28 | ) | $ | 30.92 | 0.91 | 0.99 | 0.99 | 1.12 | 3.54 | 72.75 | $ | 228,768 | ||||||||||||||||||||||||||||||||||||||||
2009 | $ | 28.45 | 0.46 | 1.71 | 2.17 | (0.49 | ) | — | (0.49 | ) | $ | 30.13 | 1.93 | 0.98 | 0.98 | 1.18 | 8.05 | 83.00 | $ | 165,663 | ||||||||||||||||||||||||||||||||||||||||
2008 | $ | 44.78 | 0.32 | (12.47 | ) | (12.15 | ) | (0.25 | ) | (3.93 | ) | (4.18 | ) | $ | 28.45 | 0.92 | 0.98 | 0.98 | 1.03 | (29.30 | ) | 70.65 | $ | 135,173 | ||||||||||||||||||||||||||||||||||||
2007 | $ | 38.09 | 0.49 | 7.91 | 8.40 | (0.41 | ) | (1.30 | ) | (1.71 | ) | $ | 44.78 | 1.14 | 0.91 | 0.91 | 0.93 | 22.63 | 79.29 | $ | 106,906 | |||||||||||||||||||||||||||||||||||||||
| (a) | Not annualized for periods less than one year. |
| (b) | Unaudited Six Month Period Ended March 31. |
| (c) | Sales loads are not reflected in computing total return. |
| (d) | Annualized. |
| (e) | Dividends from net investment income per share were less than $(0.01). (f) Net investment income (loss) was less than $0.01 per share. |
| (g) | Effective date of this class of shares was February 1, 2007. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
| 28 Certified Semi-Annual Report | Certified Semi-Annual Report 29 |
| EXPENSE EXAMPLE | ||
| Thornburg Value Fund | March 31, 2012 (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;
| (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 a $1,000 investment beginning on October 1, 2011, and held until March 31, 2012.
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 10/1/11 | Ending Account Value 3/31/12 | Expenses Paid During Period† 10/1/11–3/31/12 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,227.70 | $ | 7.38 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.37 | $ | 6.69 | ||||||
Class B Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,221.20 | $ | 12.93 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,013.35 | $ | 11.72 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,223.10 | $ | 11.61 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,014.56 | $ | 10.52 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,230.40 | $ | 5.17 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.37 | $ | 4.68 | ||||||
Class R3 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,227.60 | $ | 7.52 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.25 | $ | 6.81 | ||||||
Class R4 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,228.00 | $ | 6.96 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.75 | $ | 6.31 | ||||||
Class R5 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,229.60 | $ | 5.52 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.05 | $ | 5.00 | ||||||
| † | Expenses are equal to the annualized expense ratio for each class (A : 1.33%; B: 2.33%; C: 2.09%; I: 0.93%; R3: 1.35%; R4: 1.25%; 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. |
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
| INDEX COMPARISON | ||
| Thornburg Value Fund | March 31, 2012 (Unaudited) | |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Value Fund versus S&P 500 Index (October 2, 1995 to March 31, 2012)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2012 (with sales charge)
| 1 Yr | 5 Yrs | 10 Yrs | Since Inception | |||||||||||||
A Shares (Incep: 10/2/95) | -11.98 | % | -1.70 | % | 3.37 | % | 8.82 | % | ||||||||
B Shares (Incep: 4/3/00) | -13.30 | % | -2.00 | % | 3.17 | % | 1.53 | % | ||||||||
C Shares (Incep: 10/2/95) | -9.45 | % | -1.54 | % | 3.06 | % | 8.29 | % | ||||||||
I Shares (Incep: 11/2/98) | -7.48 | % | -0.42 | % | 4.26 | % | 5.81 | % | ||||||||
R3 Shares (Incep: 7/1/03) | -7.88 | % | -0.84 | % | — | 5.43 | % | |||||||||
R4 Shares (Incep: 2/1/07) | -7.79 | % | -0.73 | % | — | -1.02 | % | |||||||||
R5 Shares (Incep: 2/1/05) | -7.54 | % | -0.46 | % | — | 4.57 | % | |||||||||
S&P 500 Index (Since 10/2/95) | 8.54 | % | 2.01 | % | 4.12 | % | 7.44 | % | ||||||||
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200. 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 carry 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.
Certified Semi-Annual Report 31
| OTHER INFORMATION | ||
| Thornburg Value Fund | March 31, 2012 (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. A description of the Policy 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.
32 Certified Semi-Annual Report
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Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
September 13, 2011
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.
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.
APPOINTMENT OF TRUSTEE
The Trustees have appointed Sally Corning of Santa Fe, New Mexico as a Trustee, effective May 7, 2012. Ms. Corning is a founding partner of Sun Mountain Capital, Santa Fe, which advises clients in making investments in private equity programs, establishes private equity programs, and invests directly in companies. Ms. Corning was formerly employed by Credit Suisse First Boston, Morgan Stanley and Dean Witter Reynolds. She received her BSBA from Georgetown University and her MBA from the Columbia University Graduate School of Business.
34 This page is not part of the Semi-Annual Report.
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 website 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 Developing World 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
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 Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We are very organic in our approach, avoiding leverage or complex strategies which could backfire in periods of market uncertainty.
| • | 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 Strategic Municipal Income Fund |
| • | Thornburg Limited Term U.S. Government Fund |
| • | Thornburg Limited Term Income Fund |
| • | Thornburg Strategic Income Fund |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg. com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
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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. | |||||
 | Investment Advisor: Thornburg Investment Management® 800.847.0200 | Go to www.thornburg.com/edelivery and sign up to receive your shareholder reports, prospectuses, and proxy statements electronically. | ||||
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| TH170 | ||||||
Important Information
The information presented on the following pages was current as of March 31, 2012. The managers’ views, portfolio holdings, and sector and country diversification are provided for the general information of the Fund’s shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. 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. Special risks may be associated with investments outside the United States, especially in emerging markets, including currency fluctuations, illiquidity and volatility. Investments in small capitalization companies may increase the risk of declines in value and 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 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. Funds invested in a limited number of holdings may expose an investor to greater volatility.
Performance data given at net asset value (NAV) does not take into account applicable sales charges. If the sales charges had been included, the performance would have been lower.
Class I, R3, R4, and R5 shares may not be available to all investors. Minimum investments for Class I shares may be higher than those for other classes.
Share Class | NASDAQ Symbol | Cusip | ||
Class A | TGVAX | 885-215-657 | ||
Class B | THGBX | 885-215-616 | ||
Class C | THGCX | 885-215-640 | ||
Class I | TGVIX | 885-215-566 | ||
Class R3 | TGVRX | 885-215-525 | ||
Class R4 | THVRX | 885-215-269 | ||
Class R5 | TIVRX | 885-215-368 |
Lipper Fund Awards 2012
Lipper Fund Awards are granted annually to the fund in each Lipper classification that consistently delivered the strongest risk-adjusted performance (calculated with dividends reinvested). 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.
Glossary
MSCI EAFE (Europe, Australasia, Far East) Index – An unmanaged, market capitalization weighted index that is a common benchmark for international portfolio performance. The index is calculated with net dividends reinvested in U.S. dollars.
MSCI All Country (AC) World ex-U.S. Index – A market capitalization weighted index representative of the market structure of 44 developed and emerging market countries in North and South America, Europe, Africa, and the Pacific Rim, excluding securities of United States’ issuers. The index is calculated with gross 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.
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.
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 equaling a company’s market value per share divided by earnings per share.
This page is not part of the Semi-Annual Report. 3
Thornburg International Value Fund
PORTFOLIO MANAGERS
Left to right: Lei Wang,CFA, Wendy Trevisani, Bill Fries,CFA
IMPORTANT
PERFORMANCE INFORMATION
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.
The maximum sales charge for Class A shares is 4.50%. The total annual fund operating expense of Class A shares is 1.25%, as disclosed in the most recent Prospectus.
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.
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 company contact, the latter often including on-site visits. The focus of the analysis is on what’s behind the numbers:
AVERAGE ANNUAL TOTAL RETURNS
FOR PERIODS ENDED 3/31/12
| 1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception | ||||||||||||||||
A Shares (Incep: 5/28/98) | ||||||||||||||||||||
Without sales charge | -7.60 | % | 17.23 | % | 0.72 | % | 8.13 | % | 8.37 | % | ||||||||||
With sales charge | -11.77 | % | 15.45 | % | -0.20 | % | 7.63 | % | 8.01 | % | ||||||||||
MSCI EAFE Index | ||||||||||||||||||||
(Since 5/28/98) | -5.77 | % | 17.13 | % | -3.51 | % | 5.70 | % | 3.28 | % | ||||||||||
MSCI AC World ex-U.S. Index | ||||||||||||||||||||
(Since 5/28/98) | -6.74 | % | 19.65 | % | -1.11 | % | 7.74 | % | 4.95 | % | ||||||||||
4 This page is not part of the Semi-Annual Report.
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 50–75 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 THE SIX MONTHS ENDED 3/31/12
Top Contributors | Top Detractors | |
Novo Nordisk A/S | HTC Corp. | |
SAP AG | Tesco plc | |
LVMH Moët Hennessy Louis Vuitton | Itau Unibanco Holding SA ADR | |
adidas AG | KDDI Corp. | |
Standard Chartered plc | Turkiye Garanti Bankasi A.S. | |
Source: FactSet | ||
KEY PORTFOLIO ATTRIBUTES
As of 3/31/12
Portfolio P/E Trailing 12-months* | 14.0x | |||
Portfolio Price to Cash Flow* | 5.4x | |||
Portfolio Price to Book Value* | 2.1x | |||
Median Market Cap* | $ | 35.7 B | ||
7-Year Beta (A Shares vs. MSCI EAFE)* | 0.91 | |||
Number of Companies | 66 | |||
| * | Source: FactSet |
MARKET CAPITALIZATION EXPOSURE
As of 3/31/12
BASKET STRUCTURE
As of 3/31/12
This page is not part of the Semi-Annual Report. 5
Thornburg International Value Fund
March 31, 2012
Table of Contents | ||||
| 7 | ||||
| 10 | ||||
| 16 | ||||
| 18 | ||||
| 20 | ||||
| 21 | ||||
| 30 | ||||
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| 33 | ||||
| 34 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
6 Certified Semi-Annual Report
William V. Fries,CFA Portfolio Manager
Wendy Trevisani Portfolio Manager
Lei Wang,CFA Portfolio Manager | May 15, 2012
Dear Fellow Shareholder:
We are pleased to report encouraging semi-annual results for your investment in the
Danish pharmaceutical firm Novo Nordisk provided the greatest individual contribution to the |
Certified Semi-Annual Report 7
| Letter to Shareholders, | ||
Continued | ||
Only a handful of stocks posted negative returns on an absolute basis and detracted from performance. Taiwanese handset manufacturer HTC fell after market share losses and patent infringement litigation. We trimmed the position to a modest size during the period. UK retailer Tesco announced a restructuring plan to regain market share, which will likely have a dampening effect on margins in the near-term. We sold Turkish holding Garanti Bank amid uncertainty surrounding the impact of higher oil prices and domestic fiscal policy on its ability to increase profits. Japanese telecommunications operator KDDI underperformed as investors rotated into more cyclically oriented names.
Activity during the period reflected our focus on sustainable business models and opportunities we believe to be upgrades to the portfolio. The sale of Garanti Bank, for example, helped to fund our purchase of Itau Unibanco, a Brazilian bank we believe is well positioned in a dynamic region, with upside stemming from cost initiatives. We sold ING as we believe the macroeconomic situation in Europe warrants concern over execution risks, and purchased Svenska Handelsbanken, a Swedish bank with a focus on long-term returns through risk management and strategic expansion, as well as a lack of exposure to peripheral European sovereign debt. We purchased HSBC due to its strong franchise in Asia, Latin America, and other developing markets, and efforts to dispose of non-core, underperforming businesses. Concerns over the operating environment in Spain and the sustainability of a high dividend led us to eliminate our position in Telefonica and buy Vodafone Group, a diversified global mobile phone service provider with a compelling dividend yield, helped by its 45% stake in U.S. based Verizon Wireless.
Other additions to the portfolio during the period included Yum!, the operator of restaurant chains KFC, Taco Bell, and Pizza Hut, with a dominant and growing presence in Asia (particularly China) and India. We also initiated a position in Syngenta, a leading agricultural company that specializes in crop protection and seeds, given its exposure to the trend toward more protein-rich diets in developing countries and the use of agricultural commodities in biofuels. Michelin, the French manufacturer of passenger car, truck, and specialty tires, was purchased due to its compelling valuation, our optimism regarding recovery in auto and replacement tire sales, and the company’s increasing production in, and exposure to, diversified developing markets.
As we head into summer, market psychology and news flow are likely to continue to drive stock prices. The reversal of price declines from depressed levels of last fall reflects healthy reported profits for the first quarter and improving confidence in sustaining economic growth globally. As the mood shifts, there are reasons to keep enthusiasm in check. 2012 is an election year in many countries. Political transition in China and the recent Socialist Party victory in France could pose downside risks. Inflation pressures linger in many emerging markets. Confrontation with Iran over nuclear weapons development remains a possibility. Continued
8 Certified Semi-Annual Report
sovereign funding needs in Europe, doubts surrounding Greece’s position in the Eurozone, and the impact of austerity measures on the region also warrant attention.
The one certainty we have about global stock markets is that they will fluctuate. Yet our tested approach of diversifying among basic value, consistent earner, and emerging franchise holdings remains unchanged. We believe that each holding in your portfolio reflects a sound long-term business model, and that over our investment horizon, markets will recognize the intrinsic value of the portfolio.
Thank you for your continued trust and confidence. We encourage you to learn more about your portfolio’s holdings at www.thornburg.com/funds.
Sincerely,
 |  |  | ||
| William V. Fries,CFA | Wendy Q. Trevisani | Lei Wang,CFA | ||
| Portfolio Manager | Portfolio Manager | 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.
Certified Semi-Annual Report 9
| SCHEDULE OF INVESTMENTS | ||
| Thornburg International Value Fund | March 31, 2012 (Unaudited) | |
TOP TEN HOLDINGS
As of 3/31/12
SAP AG | 2.9 | % | LVMH Moët Hennessy Louis Vuitton SA | 2.4 | % | |||||
Novo Nordisk A/S | 2.8 | % | Reckitt Benckiser plc | 2.4 | % | |||||
British American Tobacco plc | 2.5 | % | Standard Chartered plc | 2.4 | % | |||||
Nestle SA | 2.4 | % | Toyota Motor Corp. | 2.3 | % | |||||
adidas AG | 2.4 | % | Teva Pharmaceutical Industries Ltd. ADR | 2.1 | % |
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/12
Banks | 9.6 | % | Food & Staples Retailing | 3.5 | % | |||||
Energy | 8.8 | % | Retailing | 3.5 | % | |||||
Capital Goods | 7.0 | % | Household & Personal Products | 3.4 | % | |||||
Pharmaceuticals, Biotechnology & Life Sciences | 6.7 | % | Telecommunication Services | 3.1 | % | |||||
Automobiles & Components | 6.3 | % | Insurance | 3.1 | % | |||||
Food, Beverage & Tobacco | 6.2 | % | Media | 2.6 | % | |||||
Software & Services | 5.8 | % | Consumer Services | 2.2 | % | |||||
Consumer Durables & Apparel | 5.6 | % | Technology Hardware & Equipment | 2.0 | % | |||||
Materials | 5.4 | % | Transportation | 1.7 | % | |||||
Diversified Financials | 4.1 | % | Semiconductors & Semiconductor Equipment | 1.0 | % | |||||
Health Care Equipment & Services | 4.0 | % | Other Assets & Cash Equivalents | 4.4 | % |
SUMMARY OF COUNTRY EXPOSURE
As of 3/31/12 (percent of equity holdings)
United Kingdom | 22.5 | % | Netherlands | 2.0 | % | |||||
Germany | 13.1 | % | Mexico | 1.7 | % | |||||
Japan | 11.4 | % | Hong Kong | 1.6 | % | |||||
Switzerland | 7.8 | % | South Korea | 1.6 | % | |||||
France | 7.6 | % | Australia | 1.4 | % | |||||
China | 7.1 | % | Ireland | 1.4 | % | |||||
Canada | 5.6 | % | United States | 1.1 | % | |||||
Israel | 3.5 | % | India | 0.8 | % | |||||
Brazil | 3.3 | % | Russia | 0.7 | % | |||||
Denmark | 3.0 | % | Taiwan | 0.4 | % | |||||
Sweden | 2.4 | % |
10 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg International Value Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
COMMON STOCK — 93.75% | ||||||||
AUTOMOBILES & COMPONENTS — 4.47% | ||||||||
AUTO COMPONENTS — 0.69% | ||||||||
Cie Generale des Establissements Michelin | 2,596,600 | $ | 193,344,009 | |||||
AUTOMOBILES — 3.78% | ||||||||
Hyundai Motor Co. | 2,040,115 | 419,528,525 | ||||||
Toyota Motor Corp. | 14,729,026 | 635,286,007 | ||||||
|
| |||||||
| 1,248,158,541 | ||||||||
|
| |||||||
BANKS — 9.62% | ||||||||
COMMERCIAL BANKS — 9.62% | ||||||||
China Merchants Bank Co. Ltd. | 161,970,732 | 331,218,681 | ||||||
HSBC Holdings plc | 47,083,634 | 414,415,770 | ||||||
Industrial & Commercial Bank of China Ltd. | 482,819,400 | 311,494,382 | ||||||
Itau Unibanco Holding SA ADR | 13,727,200 | 263,424,968 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 107,819,900 | 536,689,607 | ||||||
Standard Chartered plc | 27,057,306 | 675,139,714 | ||||||
Svenska Handelsbanken AB | 4,904,000 | 156,330,844 | ||||||
|
| |||||||
| 2,688,713,966 | ||||||||
|
| |||||||
CAPITAL GOODS — 7.03% | ||||||||
AEROSPACE & DEFENSE — 1.42% | ||||||||
Embraer S.A. | 5,421,345 | 173,374,613 | ||||||
Rolls-Royce Holdings plc | 17,206,482 | 223,476,889 | ||||||
INDUSTRIAL CONGLOMERATES — 1.88% | ||||||||
Siemens AG | 5,222,600 | 526,513,061 | ||||||
MACHINERY — 3.73% | ||||||||
Fanuc Ltd. | 2,003,577 | 355,352,306 | ||||||
Komatsu Ltd. | 17,850,215 | 508,742,989 | ||||||
Vallourec SA | 2,799,800 | 177,369,384 | ||||||
|
| |||||||
| 1,964,829,242 | ||||||||
|
| |||||||
CONSUMER DURABLES & APPAREL — 5.58% | ||||||||
TEXTILES, APPAREL & LUXURY GOODS — 5.58% | ||||||||
adidas AG | 8,678,635 | 677,582,500 | ||||||
LVMH Moët Hennessy Louis Vuitton SA | 3,940,056 | 677,087,594 | ||||||
Swatch Group AG | 444,460 | 204,578,631 | ||||||
|
| |||||||
| 1,559,248,725 | ||||||||
|
| |||||||
CONSUMER SERVICES — 2.25% | ||||||||
HOTELS, RESTAURANTS & LEISURE — 2.25% | ||||||||
aCarnival plc | 10,740,103 | 343,232,524 | ||||||
Yum! Brands, Inc. | 3,997,200 | 284,520,696 | ||||||
|
| |||||||
| 627,753,220 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 4.09% | ||||||||
CAPITAL MARKETS — 1.88% | ||||||||
Credit Suisse Group AG | 10,239,338 | 291,855,729 | ||||||
Julius Baer Group Ltd. | 5,777,758 | 233,235,296 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 2.21% | ||||||||
BM&F Bovespa SA | 29,219,800 | 179,917,583 | ||||||
Certified Semi-Annual Report 11
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg International Value Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
Hong Kong Exchanges & Clearing Ltd. | 26,157,400 | $ | 439,238,040 | |||||
|
| |||||||
| 1,144,246,648 | ||||||||
|
| |||||||
ENERGY — 8.76% | ||||||||
ENERGY EQUIPMENT & SERVICES — 1.93% | ||||||||
Schlumberger Ltd. | 7,730,184 | 540,571,767 | ||||||
OIL, GAS & CONSUMABLE FUELS — 6.83% | ||||||||
BG Group plc | 24,024,792 | 556,432,774 | ||||||
Canadian Natural Resources Ltd. | 9,894,900 | 327,961,696 | ||||||
Cenovus Energy, Inc. | 7,442,913 | 267,883,680 | ||||||
CNOOC Ltd. | 268,418,070 | 551,661,170 | ||||||
Coal India Ltd. | 30,625,664 | 204,902,495 | ||||||
|
| |||||||
| 2,449,413,582 | ||||||||
|
| |||||||
FOOD & STAPLES RETAILING — 3.49% | ||||||||
FOOD & STAPLES RETAILING — 3.49% | ||||||||
Tesco plc | 97,762,618 | 516,025,623 | ||||||
Wal-Mart de Mexico SAB de C.V. | 137,062,200 | 459,916,541 | ||||||
|
| |||||||
| 975,942,164 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 6.18% | ||||||||
BEVERAGES — 1.24% | ||||||||
Sabmiller plc | 8,615,750 | 345,831,694 | ||||||
FOOD PRODUCTS — 2.43% | ||||||||
Nestle SA | 10,790,500 | 678,963,554 | ||||||
TOBACCO — 2.51% | ||||||||
British American Tobacco plc | 13,926,446 | 701,785,333 | ||||||
|
| |||||||
| 1,726,580,581 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SERVICES — 3.99% | ||||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 1.38% | ||||||||
Covidien plc | 7,054,798 | 385,756,354 | ||||||
HEALTH CARE PROVIDERS & SERVICES — 2.61% | ||||||||
Fresenius Medical Care AG & Co. | 7,344,894 | 520,553,202 | ||||||
Sinopharm Group Co. H | 74,602,800 | 207,989,211 | ||||||
|
| |||||||
| 1,114,298,767 | ||||||||
|
| |||||||
HOUSEHOLD & PERSONAL PRODUCTS — 3.35% | ||||||||
HOUSEHOLD PRODUCTS — 2.41% | ||||||||
Reckitt Benckiser plc | 11,947,020 | 675,130,506 | ||||||
PERSONAL PRODUCTS — 0.94% | ||||||||
Natura Cosmeticos SA | 12,044,900 | 261,953,233 | ||||||
|
| |||||||
| 937,083,739 | ||||||||
|
| |||||||
INSURANCE — 3.11% | ||||||||
INSURANCE — 3.11% | ||||||||
Allianz SE | 3,791,607 | 452,437,707 | ||||||
China Life Insurance Co. | 83,335,910 | 216,239,492 | ||||||
Dai-ichi Life Insurance Co. | 144,257 | 199,209,558 | ||||||
|
| |||||||
| 867,886,757 | ||||||||
|
| |||||||
12 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg International Value Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
MATERIALS — 5.44% | ||||||||
CHEMICALS — 4.14% | ||||||||
Air Liquide SA | 4,158,340 | $ | 554,375,824 | |||||
Potash Corp. of Saskatchewan, Inc. | 9,466,600 | 432,528,954 | ||||||
Syngenta AG | 495,690 | 171,380,136 | ||||||
METALS & MINING — 1.30% | ||||||||
BHP Billiton Ltd. | 10,125,662 | 363,012,667 | ||||||
|
| |||||||
| 1,521,297,581 | ||||||||
|
| |||||||
MEDIA — 2.65% | ||||||||
MEDIA — 2.65% | ||||||||
Pearson plc | 16,108,031 | 300,160,048 | ||||||
Publicis Groupe | 7,975,402 | 439,671,752 | ||||||
|
| |||||||
| 739,831,800 | ||||||||
|
| |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 6.71% | ||||||||
PHARMACEUTICALS — 6.71% | ||||||||
Novartis AG | 9,076,196 | 502,322,756 | ||||||
Novo Nordisk A/S | 5,735,512 | 794,100,371 | ||||||
Teva Pharmaceutical Industries Ltd. ADR | 12,869,900 | 579,917,694 | ||||||
|
| |||||||
| 1,876,340,821 | ||||||||
|
| |||||||
RETAILING — 3.47% | ||||||||
SPECIALTY RETAIL — 3.47% | ||||||||
Hennes & Mauritz AB | 13,523,874 | 489,376,256 | ||||||
Kingfisher plc | 98,103,317 | 481,262,444 | ||||||
|
| |||||||
| 970,638,700 | ||||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.97% | ||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.97% | ||||||||
ARM Holdings plc | 28,514,516 | 270,005,254 | ||||||
|
| |||||||
| 270,005,254 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 5.81% | ||||||||
INTERNET SOFTWARE & SERVICES — 1.62% | ||||||||
Tencent Holdings Ltd. | 9,786,270 | 273,214,819 | ||||||
bYandex NV | 6,633,900 | 178,252,893 | ||||||
SOFTWARE — 4.19% | ||||||||
bCheck Point Software Technologies Ltd. | 5,805,546 | 370,626,057 | ||||||
SAP AG | 11,460,205 | 800,294,926 | ||||||
|
| |||||||
| 1,622,388,695 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 1.98% | ||||||||
COMMUNICATIONS EQUIPMENT — 0.42% | ||||||||
HTC Corp. | 5,859,752 | 118,527,231 | ||||||
OFFICE ELECTRONICS — 1.56% | ||||||||
Canon, Inc. | 9,227,138 | 435,883,890 | ||||||
|
| |||||||
| 554,411,121 | ||||||||
|
| |||||||
Certified Semi-Annual Report 13
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg International Value Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
TELECOMMUNICATION SERVICES — 3.13% | ||||||||
WIRELESS TELECOMMUNICATION SERVICES — 3.13% | ||||||||
KDDI Corp. | 56,492 | $ | 365,829,552 | |||||
Vodafone Group plc | 184,319,280 | 507,678,085 | ||||||
|
| |||||||
| 873,507,637 | ||||||||
|
| |||||||
TRANSPORTATION — 1.67% | ||||||||
ROAD & RAIL — 1.67% | ||||||||
Canadian National Railway Co. | 5,889,800 | 468,078,045 | ||||||
| 468,078,045 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $21,371,723,733) | 26,200,655,586 | |||||||
|
| |||||||
PREFERRED STOCK — 1.84% | ||||||||
AUTOMOBILES & COMPONENTS — 1.84% | ||||||||
AUTOMOBILES — 1.84% | ||||||||
Volkswagen AG Pfd | 2,925,675 | 514,474,974 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $256,125,378) | 514,474,974 | |||||||
|
| |||||||
SHORT TERM INVESTMENTS — 4.31% | ||||||||
AGL Capital Corp., 0.35%, 4/2/2012 | $ | 7,138,000 | 7,137,930 | |||||
AGL Capital Corp., 0.37%, 4/5/2012 | 30,000,000 | 29,998,767 | ||||||
Arizona Public Service Co., 0.45%, 4/2/2012 | 16,970,000 | 16,969,788 | ||||||
Atmos Energy Corp., 0.35%, 4/2/2012 | 54,318,000 | 54,317,472 | ||||||
Atmos Energy Corp., 0.35%, 4/5/2012 | 40,000,000 | 39,998,444 | ||||||
Bank of New York Tri-Party Repurchase Agreement 0.30% dated 3/30/2012 due 4/2/2012, repurchase price $130,003,250 collateralized by 36 U.S. Government debt securities and 5 corporate debt securities, having an average coupon of 3.49%, a minimum credit rating of BBB, maturity dates from 2/1/2017 to 4/1/2042, and having an aggregate market value of $132,503,145 at 3/30/2012 | 130,000,000 | 130,000,000 | ||||||
Darden Restaurants, Inc., 0.27%, 4/2/2012 | 113,000,000 | 112,999,152 | ||||||
DCP Midstream LLC, 0.36%, 4/2/2012 | 50,000,000 | 49,999,500 | ||||||
DCP Midstream LLC, 0.37%, 4/2/2012 | 50,000,000 | 49,999,486 | ||||||
Delmarva Power & Light Co., 0.41%, 4/4/2012 | 10,304,000 | 10,303,648 | ||||||
Devon Energy Corp., 0.27%, 4/2/2012 | 200,000,000 | 199,998,500 | ||||||
Hasbro, Inc., 0.38%, 4/2/2012 | 44,000,000 | 43,999,535 | ||||||
Kinder Morgan Energy LP, 0.35%, 4/2/2012 | 6,200,000 | 6,199,940 | ||||||
Kinder Morgan Energy LP, 0.40%, 4/2/2012 | 30,000,000 | 29,999,667 | ||||||
Kinder Morgan Energy LP, 0.40%, 4/5/2012 | 50,000,000 | 49,997,778 | ||||||
Kraft Foods, Inc., 0.30%, 4/2/2012 | 10,000,000 | 9,999,917 | ||||||
Kraft Foods, Inc., 0.30%, 4/4/2012 | 10,000,000 | 9,999,750 | ||||||
Leggett & Platt, 0.25%, 4/2/2012 | 27,000,000 | 26,999,812 | ||||||
Leggett & Platt, 0.36%, 4/5/2012 | 17,500,000 | 17,499,300 | ||||||
Oglethorpe Power Corp., 0.18%, 4/2/2012 | 40,000,000 | 39,999,800 | ||||||
Oglethorpe Power Corp., 0.20%, 4/5/2012 | 28,725,000 | 28,724,362 | ||||||
Potash Corp. of Saskatchewan, Inc., 0.28%, 4/4/2012 | 15,000,000 | 14,999,650 | ||||||
Rockwell Automation, Inc., 0.21%, 4/2/2012 | 94,000,000 | 93,999,452 | ||||||
Southern California Edison, 0.33%, 4/2/2012 | 10,000,000 | 9,999,908 | ||||||
The Kroger Co., 0.35%, 4/2/2012 | 79,892,000 | 79,891,223 | ||||||
Tyco Electronics Group SA, 0.41%, 4/4/2012 | 25,000,000 | 24,999,146 | ||||||
Wisconsin Gas Co., 0.15%, 4/5/2012 | 3,975,000 | 3,974,934 | ||||||
14 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg International Value Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
Wisconsin Public Service, 0.18%, 4/3/2012 | $ | 11,200,000 | $ | 11,199,888 | ||||
|
|
|
| |||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,204,206,749) | 1,204,206,749 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.90% (Cost $22,832,055,860) | $ | 27,919,337,309 | ||||||
OTHER ASSETS LESS LIABILITIES — 0.10% | 27,387,610 | |||||||
NET ASSETS — 100.00% | $ | 27,946,724,919 | ||||||
|
| |||||||
|
| |||||||
Footnote Legend
| a | 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/Principal September 30, 2011 | Gross Additions | Gross Reductions | Shares/Principal March 31, 2012 | Market Value March 31, 2012 | Investment Income | ||||||||||||||||||
Carnival plc | 12,085,525 | — | 1,345,422 | 10,740,103 | $ | 343,232,524 | $ | 5,622,231 | ||||||||||||||||
Yandex NV* | 6,633,900 | — | — | — | — | — | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total non-controlled affiliated issuers - 1.23% of net assets. |
| $ | 343,232,524 | $ | 5,622,231 | |||||||||||||||||||
|
|
|
| |||||||||||||||||||||
| * | Issuer not affiliated at March 31, 2012. |
| b | Non-income producing. |
| Portfolio | Abbreviations |
To simplify the listings of securities, abbreviations are used per the table below:
| ADR | American Depository Receipt |
| ARM | Adjustable Rate Mortgage |
| Pfd | Preferred Stock |
See notes to financial statements.
Certified Semi-Annual Report 15
Thornburg International Value Fund | March 31, 2012 (Unaudited) | |
ASSETS | ||||
Investments at value | ||||
Non-affiliated issuers (cost $22,372,420,701) (Note 2) | $ | 27,576,104,785 | ||
Non-controlled affiliated issuers (cost $459,635,159) (Note 2) | 343,232,524 | |||
Cash | 3,217,133 | |||
Receivable for investments sold | 86,433 | |||
Receivable for fund shares sold | 70,485,995 | |||
Unrealized appreciation on forward currency contracts (Note 7) | 39,810,255 | |||
Dividends receivable | 112,255,827 | |||
Dividend and interest reclaim receivable | 23,582,987 | |||
Interest receivable | 2,167 | |||
Prepaid expenses and other assets | 399,095 | |||
|
| |||
Total Assets | 28,169,177,201 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 16,468,692 | |||
Payable for fund shares redeemed | 174,644,318 | |||
Payable to investment advisor and other affiliates (Note 3) | 21,288,901 | |||
Accounts payable and accrued expenses | 10,030,231 | |||
Dividends payable | 20,140 | |||
|
| |||
Total Liabilities | 222,452,282 | |||
|
| |||
NET ASSETS | $ | 27,946,724,919 | ||
|
| |||
|
| |||
NET ASSETS CONSIST OF: | ||||
Undistributed net investment income | $ | 31,487,229 | ||
Net unrealized appreciation on investments | 5,126,686,391 | |||
Accumulated net realized gain (loss) | (4,787,919,756 | ) | ||
Net capital paid in on shares of beneficial interest | 27,576,471,055 | |||
|
| |||
| $ | 27,946,724,919 | |||
|
| |||
|
| |||
16 Certified Semi-Annual Report
| STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
| Thornburg International Value Fund | March 31, 2012 (Unaudited) | |
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($6,152,227,068 applicable to 230,622,757 shares of beneficial interest outstanding - Note 4) | $ | 26.68 | ||
Maximum sales charge, 4.50% of offering price | 1.26 | |||
Maximum offering price per share | $ | 27.94 | ||
Class B Shares: | ||||
Net asset value and offering price per share* ($54,857,007 applicable to 2,199,794 shares of beneficial interest outstanding - Note 4) | $ | 24.94 | ||
Class C Shares: | ||||
Net asset value and offering price per share* ($1,436,410,004 applicable to 57,318,708 shares of beneficial interest outstanding - Note 4) | $ | 25.06 | ||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($12,583,121,271 applicable to 461,535,866 shares of beneficial interest outstanding - Note 4) | $ | 27.26 | ||
Class R3 Shares: | ||||
Net asset value, offering and redemption price per share ($1,440,902,808 applicable to 53,954,463 shares of beneficial interest outstanding - Note 4) | $ | 26.71 | ||
Class R4 Shares: | ||||
Net asset value, offering and redemption price per share ($1,552,429,377 applicable to 58,459,348 shares of beneficial interest outstanding - Note 4) | $ | 26.56 | ||
Class R5 Shares: | ||||
Net asset value, offering and redemption price per share ($4,726,777,384 applicable to 173,668,716 shares of beneficial interest outstanding - Note 4) | $ | 27.22 | ||
| * | 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 17
| STATEMENT OF OPERATIONS | ||
| Thornburg International Value Fund | Six Months Ended March 31, 2012 (Unaudited) | |
INVESTMENT INCOME: | ||||
Dividend income | ||||
Non-affiliated issuers (net of foreign taxes withheld of $19,681,946) | $ | 237,103,665 | ||
Non-controlled affiliated issuers | 5,622,231 | |||
Interest income | 2,110,099 | |||
Total Income | 244,835,995 | |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 90,285,564 | |||
Administration fees (Note 3) | ||||
Class A Shares | 3,809,269 | |||
Class B Shares | 35,178 | |||
Class C Shares | 891,868 | |||
Class I Shares | 2,934,614 | |||
Class R3 Shares | 858,664 | |||
Class R4 Shares | 904,979 | |||
Class R5 Shares | 1,060,630 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 7,751,896 | |||
Class B Shares | 281,492 | |||
Class C Shares | 7,134,684 | |||
Class R3 Shares | 3,439,269 | |||
Class R4 Shares | 1,814,141 | |||
Transfer agent fees | ||||
Class A Shares | 5,810,520 | |||
Class B Shares | 64,132 | |||
Class C Shares | 1,347,720 | |||
Class I Shares | 4,973,090 | |||
Class R3 Shares | 1,604,983 | |||
Class R4 Shares | 1,980,748 | |||
Class R5 Shares | 5,177,931 | |||
Registration and filing fees | ||||
Class A Shares | 39,728 | |||
Class B Shares | 310 | |||
Class C Shares | 21,805 | |||
Class I Shares | 123,527 | |||
Class R3 Shares | 13,672 | |||
Class R4 Shares | 30,347 | |||
Class R5 Shares | 42,729 | |||
Custodian fees (Note 3) | 3,627,036 | |||
Professional fees | 165,972 | |||
Accounting fees | 395,985 | |||
Trustee fees | 371,440 | |||
Other expenses | 1,206,375 | |||
Total Expenses | 148,200,298 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (2,627,444 | ) | ||
Fees paid indirectly (Note 3) | (32,116 | ) | ||
|
| |||
Net Expenses | 145,540,738 | |||
Net Investment Income | $99,295,257 |
18 Certified Semi-Annual Report
| STATEMENT OF OPERATIONS, CONTINUED | ||
| Thornburg International Value Fund | Six Months Ended March 31, 2012 (Unaudited) | |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from: | ||||
Investments | ||||
Non-affiliated issuers | $ | (553,343,783 | ) | |
Non-controlled affiliated issuers | (30,609,481 | ) | ||
Forward currency contracts (Note 7) | 89,012,302 | |||
Foreign currency transactions | (3,032,901 | ) | ||
|
| |||
| (497,973,863 | ) | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | ||||
Non-affiliated issuers (net of change in deferred taxes of $804,343) | 4,150,936,755 | |||
Non-controlled affiliated issuers | 98,194,626 | |||
Forward currency contracts (Note 7) | (58,035,249 | ) | ||
Foreign currency translations | 2,040,278 | |||
|
| |||
| 4,193,136,410 | ||||
|
| |||
Net Realized and Unrealized Gain | 3,695,162,547 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 3,794,457,804 | ||
|
|
See notes to financial statements.
Certified Semi-Annual Report 19
| STATEMENTS OF CHANGES IN NET ASSETS |
| Thornburg International Value Fund |
| Six Months Ended March 31, 2012* | Year Ended September 30, 2011 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 99,295,257 | $ | 331,364,536 | ||||
Net realized gain (loss) on investments, forward currency contracts and foreign currency transactions | (497,973,863 | ) | (820,582,278 | ) | ||||
Net unrealized appreciation (depreciation) on investments, forward currency contracts, foreign currency translations, and deferred taxes | 4,193,136,410 | (2,589,492,789 | ) | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,794,457,804 | (3,078,710,531 | ) | |||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (15,142,644 | ) | (69,407,594 | ) | ||||
Class B Shares | – | (378,403 | ) | |||||
Class C Shares | (152,940 | ) | (9,501,615 | ) | ||||
Class I Shares | (54,706,413 | ) | (161,485,921 | ) | ||||
Class R3 Shares | (2,496,382 | ) | (12,042,820 | ) | ||||
Class R4 Shares | (4,210,402 | ) | (13,798,685 | ) | ||||
Class R5 Shares | (17,627,580 | ) | (49,035,862 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | (635,277,060 | ) | (27,083,080 | ) | ||||
Class B Shares | (9,099,268 | ) | (11,564,128 | ) | ||||
Class C Shares | (154,169,469 | ) | (77,646,803 | ) | ||||
Class I Shares | (5,089,574 | ) | 2,800,593,247 | |||||
Class R3 Shares | (22,449,177 | ) | 124,874,376 | |||||
Class R4 Shares | 52,417,547 | 614,382,031 | ||||||
Class R5 Shares | 421,616,210 | 1,808,444,762 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 3,348,070,652 | 1,837,638,974 | ||||||
NET ASSETS: | ||||||||
Beginning of Period | 24,598,654,267 | 22,761,015,293 | ||||||
|
|
|
| |||||
End of Period | $ | 27,946,724,919 | $ | 24,598,654,267 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 31,487,229 | $ | 26,528,333 | ||||
| * | Unaudited. |
See notes to financial statements.
20 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS | ||
| Thornburg International Value Fund | March 31, 2012 (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 Fund is currently one of sixteen separate series of the Trust. 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 has 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). The Fund no longer offers Class B shares for sale. 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 were 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 of purchase 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, and may be subject to a service fee, (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 Investments: 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 ask 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.
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 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 obligations of comparable quality, type of issue, coupon, maturity and rating, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
Quotations in foreign currencies for foreign portfolio investments are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
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 procedures approved by the Trustees, which may include the use of a price obtained from an independent pricing service. The pricing service ordinarily values equity securities in these instances using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures and index data and other data. 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
Certified Semi-Annual Report 21
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg International Value Fund | March 31, 2012 (Unaudited) | |
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, or an unusual event or significant period of time occurring since the availability of a market quotation, create a 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 obligation held by the Fund, the valuation and pricing committee determines a fair value for the debt obligation using procedures approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt obligation 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 obligation.
In determining fair value for any portfolio security or other investment, the valuation and pricing committee seeks to determine the amount that an owner of the investment might reasonably expect to receive upon a sale of the investment. However, because fair value prices are estimated prices, the valuation and pricing committee’s determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Fund’s financial statements. The valuation and pricing committee’s determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation Measurements: Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three levels listed below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment rates, credit risk, etc.).
Level 3: Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
The following table displays a summary of the inputs used to value the Fund’s net assets as of March 31, 2012. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
| Fair Value Measurements at March 31, 2012 | ||||||||||||||||
| Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities* | ||||||||||||||||
Common Stock | $ | 26,200,655,586 | $ | 26,200,655,586 | $ | — | $ | — | ||||||||
Preferred Stock | 514,474,974 | 514,474,974 | — | — | ||||||||||||
Short Term Investments | 1,204,206,749 | — | 1,204,206,749 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 27,919,337,309 | $ | 26,715,130,560 | $ | 1,204,206,749 | $ | — | ||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | 39,810,255 | $ | — | $ | 39,810,255 | $ | — | ||||||||
Spot Currency | $ | 86,433 | $ | 86,433 | $ | — | $ | — | ||||||||
| * | See Schedule of Investments for a summary of the industry exposure as grouped according to the Global Industry Classification Standard (GICS), which is an industry taxonomy developed by MSCI, Inc. and Standard & Poor’s (S&P). |
| ** | 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 investment. |
Other Notes: It is the policy of the Fund to recognize significant transfers between Levels 1, 2 and 3 and to disclose those transfers as of the date of the underlying event which caused the movement. The Fund recognized no significant transfers between levels for the six months ended March 31, 2012.
22 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg International Value Fund | March 31, 2012 (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. Such spot contracts are included in Receivable for investments sold and Payable for investments purchased on the Statement of Assets and Liabilities.
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 purchases and 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 to shareholders substantially all taxable income, including any net realized gain on investments of the Fund. Therefore, no provision for federal income taxes is required.
Management reviews each uncertain tax position believed to be material to the preparation of the Fund’s financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of March 31, 2012, management has not identified any such position for which a liability must be reflected in the Statement of Assets and Liabilities. The Fund’s tax returns remain subject to examination for three years after filing.
When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with 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 Fund makes a commitment to purchase a security on a when-issued or delayed delivery 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, if any, 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.
Repurchase Agreements: The Fund may invest excess cash in repurchase agreements whereby the Fund purchases securities, which serve as collateral, with an agreement to resell such collateral at the maturity date of the repurchase agreement. Securities pledged as collateral for repurchase agreements are held by the Fund’s custodian bank until maturity of the repurchase agreement. Provisions in the agreements require that the market value of the collateral is at least equal to the repurchase value in the event of default. In the event of default, the Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.
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.
Certified Semi-Annual Report 23
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg International Value Fund | March 31, 2012 (Unaudited) | |
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, 2012, 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, 2012, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $956,688 for Class R3 shares, $950,315 for Class R4 shares, and $720,441 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, 2012, the Distributor has advised the Fund that it earned net commissions aggregating $55,263 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $98,747 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. For the six months ended March 31, 2012, there were no 12b-1 service plan fees charged for Class I and R5 shares. 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 and Class C shares, and an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class R3 shares. Total fees incurred by the Fund for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2012, 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 are 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, 2012, fees paid indirectly were $32,116.
Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.
24 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg International Value Fund | March 31, 2012 (Unaudited) | |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2012, 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, 2012 (Unaudited) | Year Ended September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 23,463,077 | $ | 588,527,162 | 73,641,249 | $ | 2,053,810,641 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 506,216 | 13,200,136 | 2,281,219 | 60,621,181 | ||||||||||||
Shares repurchased | (49,683,518 | ) | (1,237,022,887 | ) | (77,421,500 | ) | (2,141,570,376 | ) | ||||||||
Redemption fees received* | — | 18,529 | — | 55,474 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (25,714,225 | ) | $ | (635,277,060 | ) | (1,499,032 | ) | $ | (27,083,080 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class B Shares | ||||||||||||||||
Shares sold | 12,262 | $ | 291,387 | 24,956 | $ | 650,315 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | 10,266 | 258,925 | ||||||||||||
Shares repurchased | (397,106 | ) | (9,390,828 | ) | (482,497 | ) | (12,473,928 | ) | ||||||||
Redemption fees received* | — | 173 | — | 560 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (384,844 | ) | $ | (9,099,268 | ) | (447,275 | ) | $ | (11,564,128 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 2,383,331 | $ | 56,516,026 | 10,625,165 | $ | 281,685,590 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 4,122 | 104,345 | 251,558 | 6,347,965 | ||||||||||||
Shares repurchased | (8,965,870 | ) | (210,794,181 | ) | (13,969,796 | ) | (365,693,606 | ) | ||||||||
Redemption fees received* | — | 4,341 | — | 13,248 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (6,578,417 | ) | $ | (154,169,469 | ) | (3,093,073 | ) | $ | (77,646,803 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 84,462,113 | $ | 2,171,114,238 | 194,033,971 | $ | 5,513,907,653 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 1,440,158 | 38,050,390 | 3,752,040 | 101,301,163 | ||||||||||||
Shares repurchased | (87,005,678 | ) | (2,214,289,432 | ) | (99,981,535 | ) | (2,814,706,076 | ) | ||||||||
Redemption fees received* | — | 35,230 | — | 90,507 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,103,407 | ) | $ | (5,089,574 | ) | 97,804,476 | $ | 2,800,593,247 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 8,013,097 | $ | 200,558,813 | 21,235,494 | $ | 595,512,797 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 87,772 | 2,316,617 | 419,283 | 11,084,705 | ||||||||||||
Shares repurchased | (8,956,542 | ) | (225,328,738 | ) | (17,189,759 | ) | (481,734,413 | ) | ||||||||
Redemption fees received* | — | 4,131 | — | 11,287 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (855,673 | ) | $ | (22,449,177 | ) | 4,465,018 | $ | 124,874,376 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Certified Semi-Annual Report 25
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg International Value Fund | March 31, 2012 (Unaudited) | |
| Six Months Ended March 31, 2012 (Unaudited) | Year Ended September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 11,976,289 | $ | 299,488,048 | 33,293,650 | $ | 912,509,372 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 128,773 | 3,336,118 | 411,028 | 10,732,605 | ||||||||||||
Shares repurchased | (9,913,598 | ) | (250,410,956 | ) | (11,111,297 | ) | (308,869,392 | ) | ||||||||
Redemption fees received* | — | 4,337 | — | 9,446 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,191,464 | $ | 52,417,547 | 22,593,381 | $ | 614,382,031 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 30,801,197 | $ | 788,665,115 | 86,461,533 | $ | 2,440,528,039 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 631,683 | 16,678,399 | 1,721,328 | 46,512,270 | ||||||||||||
Shares repurchased | (14,884,940 | ) | (383,739,945 | ) | (23,871,556 | ) | (678,624,509 | ) | ||||||||
Redemption fees received* | — | 12,641 | — | 28,962 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 16,547,940 | $ | 421,616,210 | 64,311,305 | $ | 1,808,444,762 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| * | The Fund previously charged a redemption fee of 1% of the Class A and Class I shares redeemed or exchanged within 30 days of purchase. Effective February 1, 2012, the Fund stopped imposing this redemption fee. Redemption fees that were charged to any class prior to February 1, 2012 were 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, 2012, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $2,502,415,144 and $2,073,457,456, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2012, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 22,832,055,860 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 6,006,473,981 | ||
Gross unrealized depreciation on a tax basis | (919,192,532 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 5,087,281,449 | ||
|
|
At March 31, 2012, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2010 of $554,714,247. For tax purposes, such losses will be reflected in the year ending September 30, 2012.
At March 31, 2012, 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.
26 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg International Value Fund | March 31, 2012 (Unaudited) | |
Such capital loss carryforwards expire as follows:
2017 | $ | 1,052,728,465 | ||
2018 | 1,792,171,182 | |||
2019 | 753,530,754 | |||
|
| |||
| $ | 3,598,430,401 | |||
|
|
The Regulated Investment Company Modernization Act of 2010 (the “Act”) was signed into law on December 22, 2010. The Act makes changes to a number of tax rules impacting the Fund. Under the Act, future capital losses generated by the Fund may be carried over indefinitely, but these losses must be used prior to the utilization of any pre-enactment capital losses. Since pre-enactment capital losses may only be carried forward for eight years, there may be a greater likelihood that all or a portion of a Fund’s pre-enactment capital losses will expire unused. In general, the provisions of the Act will be effective for the Fund’s fiscal year ending September 30, 2012.
NOTE 7 – DERIVATIVE FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
The Fund may use a variety of derivative financial instruments to hedge or adjust the risks affecting its investment portfolio or to enhance investment returns. Provisions of FASB Accounting Standards Codification ASC 815-10-50 (“ASC 815”), require certain disclosures. The disclosures are intended to provide users of financial statements with an understanding of the use of derivative instruments by the Fund and how these derivatives affect the financial position, financial performance and cash flows of the Fund. The Fund does not designate any derivative instruments as hedging instruments under ASC 815. During the six months ended March 31, 2012, the Fund’s principal exposure to derivative financial instruments of the type addressed by ASC 815 was investment in foreign exchange contracts. A foreign exchange contract is an agreement between two parties to exchange different currencies at a specified rate of exchange at an agreed upon future date. Foreign exchange contracts involve risks to the Fund, including the risk that a contract counterparty will not meet its obligations to the Fund, the risk that a change in a contract’s value may not correlate perfectly with the currency the contract was intended to track, and the risk that the Fund’s advisor is unable to correctly implement its strategy in using a contract. In any such instance, the Fund may not achieve the intended benefit of entering into a contract, and may experience a loss. Additionally, the Fund’s risk of loss may exceed the amounts recognized on the Statement of Assets and Liabilities.
The Fund entered into forward currency contracts during the six months ended March 31, 2012 in the normal course of pursuing its investment objectives, in anticipation of purchasing foreign investments or with the intent of reducing the risk to the value of the Fund’s foreign investments 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 investment transactions.
These contracts are accounted for by the Fund under ASC 815. Unrealized gains and unrealized losses on outstanding contracts are reported in the Fund’s Statement of Assets and Liabilities 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 each contract’s inception date. Net realized gain (loss) on contracts closed during the period, and changes in net unrealized appreciation (depreciation) on outstanding contracts are recognized in the Fund’s Statement of Operations. Values of open currency contracts are indicative of the activity for the six months ended March 31, 2012.
The following table displays the outstanding forward currency contracts at March 31, 2012:
Outstanding Forward Currency Contracts
to Buy or Sell at March 31, 2012
Contract Description | Buy/Sell | Contract Amount | Contract Value Date | Value USD | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Euro | Sell | 1,019,329,100 | 05/09/2012 | 1,359,698,019 | $ | 39,810,255 | $ | — | ||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total | $ | 39,810,255 | $ | — | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Certified Semi-Annual Report 27
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg International Value Fund | March 31, 2012 (Unaudited) | |
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Fund’s Statement of Assets and Liabilities at March 31, 2012 is disclosed in the following table:
Fair Values of Derivative Financial Instruments
at March 31, 2012
Asset Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Assets - Unrealized appreciation on forward currency contracts | $ | 39,810,255 | |||
The realized gains (losses) from forward currency contracts, and the change in unrealized appreciation (depreciation) of outstanding forward currency contracts recognized in the Fund’s Statement of Operations for the six months ended March 31, 2012 are disclosed in the following tables:
Amount of Realized Gain (Loss)
on Derivative Financial Instruments Recognized in
Income for the Six Months Ended March 31, 2012
| Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | 89,012,302 | $ | 89,012,302 | ||||
Change in Unrealized Appreciation (Depreciation)
of Derivative Financial Instruments
Recognized in Income for the Six Months Ended March 31, 2012
| Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | (58,035,249 | ) | $ | (58,035,249 | ) | ||
OTHER NOTES:
Risks: The Fund’s investments subject it to risks including, but not limited to, management risk, market and economic risk, risks affecting specific issuers, liquidity risk, the risks associated with investments in smaller companies and non-U.S. issuers, credit risk, and interest rate risk. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund.
Subsequent Events: Fund management believes no events have occurred between March 31, 2012 and the date of issuance of the financial statements, which require adjustment to, or disclosure in the accompanying financial statements.
28 Certified Semi-Annual Report
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Certified Semi-Annual Report. 29
Thornburg International Value Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the Period)+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless | Net | Net Investment Income (Loss) | Net Realized & Unrealized Gain (Loss) on Investments | Total from Investment Operations | Dividends from Net Investment Income | Dividends from Net Realized Gains | Total Dividends | Net | Net Investment Income (Loss) (%) | Expenses, After Expense Reductions (%) | Expenses, After Expense Reductions and Net of Custody Credits (%) | Expenses, Before Expense Reductions (%) | Total Return (%)(a) | Portfolio Turnover Rate (%) | Net Assets at End of Period (Thousands) | |||||||||||||||||||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b)(c) | $23.14 | 0.07 | 3.53 | 3.60 | (0.06 | ) | — | (0.06 | ) | $26.68 | 0.53 | (d) | 1.30 | (d) | 1.30 | (d) | 1.30 | (d) | 15.58 | 8.36 | $ | 6,152,227 | ||||||||||||||||||||||||||||||||||
2011(c) | $26.00 | 0.30 | (2.89 | ) | (2.59 | ) | (0.27 | ) | — | (0.27 | ) | $23.14 | 1.06 | 1.25 | 1.25 | 1.25 | (10.10 | ) | 20.78 | $ | 5,932,896 | |||||||||||||||||||||||||||||||||||
2010(c) | $23.91 | 0.18 | 2.07 | 2.25 | (0.16 | ) | — | (0.16 | ) | $26.00 | 0.72 | 1.33 | 1.33 | 1.33 | 9.43 | 22.26 | $ | 6,704,550 | ||||||||||||||||||||||||||||||||||||||
2009(c) | $23.68 | 0.21 | 0.24 | 0.45 | (0.22 | ) | — | (0.22 | ) | $23.91 | 1.09 | 1.34 | 1.34 | 1.34 | 2.05 | 32.76 | $ | 5,309,704 | ||||||||||||||||||||||||||||||||||||||
2008(c) | $36.09 | 0.37 | (9.59 | ) | (9.22 | ) | (0.31 | ) | (2.88 | ) | (3.19 | ) | $23.68 | 1.23 | 1.28 | 1.28 | 1.28 | (27.77 | ) | 27.31 | $ | 5,510,070 | ||||||||||||||||||||||||||||||||||
2007(c) | $26.51 | 0.27 | 10.25 | 10.52 | (0.29 | ) | (0.65 | ) | (0.94 | ) | $36.09 | 0.88 | 1.29 | 1.29 | 1.29 | 40.64 | 64.77 | $ | 7,111,205 | |||||||||||||||||||||||||||||||||||||
Class B Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $21.67 | (0.03 | ) | 3.30 | 3.27 | — | — | — | $24.94 | (0.27 | )(d) | 2.08 | (d) | 2.08 | (d) | 2.08 | (d) | 15.09 | 8.36 | $ | 54,857 | |||||||||||||||||||||||||||||||||||
2011 | $24.43 | 0.05 | (2.67 | ) | (2.62 | ) | (0.14 | ) | — | (0.14 | ) | $21.67 | 0.21 | 2.06 | 2.06 | 2.06 | (10.80 | ) | 20.78 | $ | 56,002 | |||||||||||||||||||||||||||||||||||
2010 | $22.56 | (0.02 | ) | 1.95 | 1.93 | (0.06 | ) | — | (0.06 | ) | $24.43 | (0.10 | ) | 2.10 | 2.10 | 2.10 | 8.59 | 22.26 | $ | 74,083 | ||||||||||||||||||||||||||||||||||||
2009 | $22.37 | 0.05 | 0.22 | 0.27 | (0.08 | ) | — | (0.08 | ) | $22.56 | 0.29 | 2.13 | 2.13 | 2.13 | 1.24 | 32.76 | $ | 80,908 | ||||||||||||||||||||||||||||||||||||||
2008 | $34.33 | 0.13 | (9.06 | ) | (8.93 | ) | (0.15 | ) | (2.88 | ) | (3.03 | ) | $22.37 | 0.44 | 2.04 | 2.04 | 2.04 | (28.33 | ) | 27.31 | $ | 98,541 | ||||||||||||||||||||||||||||||||||
2007 | $25.28 | 0.03 | 9.75 | 9.78 | (0.08 | ) | (0.65 | ) | (0.73 | ) | $34.33 | 0.11 | 2.06 | 2.06 | 2.06 | 39.55 | 64.77 | $ | 135,486 | |||||||||||||||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $21.77 | (0.03 | ) | 3.32 | 3.29 | — | (e) | — | — | $25.06 | (0.22 | )(d) | 2.05 | (d) | 2.04 | (d) | 2.05 | (d) | 15.12 | 8.36 | $ | 1,436,410 | ||||||||||||||||||||||||||||||||||
2011 | $24.54 | 0.08 | (2.70 | ) | (2.62 | ) | (0.15 | ) | — | (0.15 | ) | $21.77 | 0.31 | 1.99 | 1.99 | 1.99 | (10.78 | ) | 20.78 | $ | 1,391,173 | |||||||||||||||||||||||||||||||||||
2010 | $22.65 | (0.01 | ) | 1.97 | 1.96 | (0.07 | ) | — | (0.07 | ) | $24.54 | (0.03 | ) | 2.06 | 2.06 | 2.06 | 8.67 | 22.26 | $ | 1,643,753 | ||||||||||||||||||||||||||||||||||||
2009 | $22.46 | 0.06 | 0.22 | 0.28 | (0.09 | ) | — | (0.09 | ) | $22.65 | 0.34 | 2.06 | 2.06 | 2.06 | 1.31 | 32.76 | $ | 1,551,488 | ||||||||||||||||||||||||||||||||||||||
2008 | $34.45 | 0.15 | (9.10 | ) | (8.95 | ) | (0.16 | ) | (2.88 | ) | (3.04 | ) | $22.46 | 0.50 | 2.00 | 2.00 | 2.00 | (28.28 | ) | 27.31 | $ | 1,852,185 | ||||||||||||||||||||||||||||||||||
2007 | $25.37 | 0.05 | 9.78 | 9.83 | (0.10 | ) | (0.65 | ) | (0.75 | ) | $34.45 | 0.17 | 2.01 | 2.01 | 2.01 | 39.63 | 64.77 | $ | 2,309,487 | |||||||||||||||||||||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $23.65 | 0.13 | 3.60 | 3.73 | (0.12 | ) | — | (0.12 | ) | $27.26 | 1.00 | (d) | 0.87 | (d) | 0.86 | (d) | 0.87 | (d) | 15.79 | 8.36 | $ | 12,583,121 | ||||||||||||||||||||||||||||||||||
2011 | $26.57 | 0.41 | (2.96 | ) | (2.55 | ) | (0.37 | ) | — | (0.37 | ) | $23.65 | 1.45 | 0.88 | 0.88 | 0.88 | (9.77 | ) | 20.78 | $ | 10,942,112 | |||||||||||||||||||||||||||||||||||
2010 | $24.42 | 0.29 | 2.11 | 2.40 | (0.25 | ) | — | (0.25 | ) | $26.57 | 1.17 | 0.92 | 0.92 | 0.92 | 9.90 | 22.26 | $ | 9,693,445 | ||||||||||||||||||||||||||||||||||||||
2009 | $24.18 | 0.31 | 0.24 | 0.55 | (0.31 | ) | — | (0.31 | ) | $24.42 | 1.54 | 0.92 | 0.92 | 0.92 | 2.46 | 32.76 | $ | 6,330,268 | ||||||||||||||||||||||||||||||||||||||
2008 | $36.77 | 0.51 | (9.79 | ) | (9.28 | ) | (0.43 | ) | (2.88 | ) | (3.31 | ) | $24.18 | 1.64 | 0.89 | 0.89 | 0.89 | (27.45 | ) | 27.31 | $ | 5,152,506 | ||||||||||||||||||||||||||||||||||
2007 | $26.99 | 0.41 | 10.42 | 10.83 | (0.40 | ) | (0.65 | ) | (1.05 | ) | $36.77 | 1.32 | 0.90 | 0.90 | 0.90 | 41.17 | 64.77 | $ | 5,113,109 | |||||||||||||||||||||||||||||||||||||
Class R3 Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $23.17 | 0.05 | 3.54 | 3.59 | (0.05 | ) | — | (0.05 | ) | $26.71 | 0.40 | (d) | 1.45 | (d) | 1.45 | (d) | 1.59 | (d) | 15.48 | 8.36 | $ | 1,440,903 | ||||||||||||||||||||||||||||||||||
2011 | $26.04 | 0.24 | (2.89 | ) | (2.65 | ) | (0.22 | ) | — | (0.22 | ) | $23.17 | 0.86 | 1.45 | 1.45 | 1.58 | (10.27 | ) | 20.78 | $ | 1,270,000 | |||||||||||||||||||||||||||||||||||
2010 | $23.96 | 0.15 | 2.07 | 2.22 | (0.14 | ) | — | (0.14 | ) | $26.04 | 0.61 | 1.45 | 1.45 | 1.63 | 9.30 | 22.26 | $ | 1,311,041 | ||||||||||||||||||||||||||||||||||||||
2009 | $23.73 | 0.20 | 0.23 | 0.43 | (0.20 | ) | — | (0.20 | ) | $23.96 | 1.02 | 1.45 | 1.45 | 1.64 | 1.96 | 32.76 | $ | 1,042,248 | ||||||||||||||||||||||||||||||||||||||
2008 | $36.18 | 0.33 | (9.63 | ) | (9.30 | ) | (0.27 | ) | (2.88 | ) | (3.15 | ) | $23.73 | 1.07 | 1.45 | 1.45 | 1.62 | (27.90 | ) | 27.31 | $ | 902,150 | ||||||||||||||||||||||||||||||||||
2007 | $26.58 | 0.23 | 10.26 | 10.49 | (0.24 | ) | (0.65 | ) | (0.89 | ) | $36.18 | 0.75 | 1.45 | 1.45 | 1.61 | 40.43 | 64.77 | $ | 984,587 | |||||||||||||||||||||||||||||||||||||
Class R4 Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $23.04 | 0.08 | 3.51 | 3.59 | (0.07 | ) | — | (0.07 | ) | $26.56 | 0.62 | (d) | 1.25 | (d) | 1.25 | (d) | 1.38 | (d) | 15.60 | 8.36 | $ | 1,552,429 | ||||||||||||||||||||||||||||||||||
2011 | $25.90 | 0.31 | (2.89 | ) | (2.58 | ) | (0.28 | ) | — | (0.28 | ) | $23.04 | 1.12 | 1.25 | 1.25 | 1.41 | (10.11 | ) | 20.78 | $ | 1,296,493 | |||||||||||||||||||||||||||||||||||
2010 | $23.82 | 0.21 | 2.05 | 2.26 | (0.18 | ) | — | (0.18 | ) | $25.90 | 0.85 | 1.25 | 1.25 | 1.49 | 9.53 | 22.26 | $ | 872,122 | ||||||||||||||||||||||||||||||||||||||
2009 | $23.60 | 0.26 | 0.21 | 0.47 | (0.25 | ) | — | (0.25 | ) | $23.82 | 1.29 | 1.25 | 1.25 | 1.50 | 2.16 | 32.76 | $ | 522,363 | ||||||||||||||||||||||||||||||||||||||
2008 | $36.02 | 0.44 | (9.62 | ) | (9.18 | ) | (0.36 | ) | (2.88 | ) | (3.24 | ) | $23.60 | 1.51 | 1.25 | 1.25 | 1.40 | (27.73 | ) | 27.31 | $ | 231,960 | ||||||||||||||||||||||||||||||||||
2007(f) | $28.86 | 0.09 | 7.36 | 7.45 | (0.29 | ) | — | (0.29 | ) | $36.02 | 0.42 | (d) | 1.25 | (d) | 1.25 | (d) | 1.70 | (d) | 25.90 | 64.77 | $ | 39,217 | ||||||||||||||||||||||||||||||||||
Class R5 Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $23.61 | 0.11 | 3.60 | 3.71 | (0.10 | ) | — | (0.10 | ) | $27.22 | 0.89 | (d) | 0.99 | (d) | 0.99 | (d) | 1.02 | (d) | 15.75 | 8.36 | $ | 4,726,778 | ||||||||||||||||||||||||||||||||||
2011 | $26.53 | 0.40 | (2.98 | ) | (2.58 | ) | (0.34 | ) | — | (0.34 | ) | $23.61 | 1.39 | 0.99 | 0.99 | 1.04 | (9.88 | ) | 20.78 | $ | 3,709,978 | |||||||||||||||||||||||||||||||||||
2010 | $24.38 | 0.28 | 2.11 | 2.39 | (0.24 | ) | — | (0.24 | ) | $26.53 | 1.11 | 0.99 | 0.99 | 1.08 | 9.86 | 22.26 | $ | 2,462,021 | ||||||||||||||||||||||||||||||||||||||
2009 | $24.14 | 0.30 | 0.23 | 0.53 | (0.29 | ) | — | (0.29 | ) | $24.38 | 1.51 | 0.99 | 0.99 | 1.08 | 2.40 | 32.76 | $ | 1,414,122 | ||||||||||||||||||||||||||||||||||||||
2008 | $36.74 | 0.50 | (9.81 | ) | (9.31 | ) | (0.41 | ) | (2.88 | ) | (3.29 | ) | $24.14 | 1.65 | 0.99 | 0.99 | 1.01 | (27.54 | ) | 27.31 | $ | 944,582 | ||||||||||||||||||||||||||||||||||
2007 | $26.97 | 0.43 | 10.39 | 10.82 | (0.40 | ) | (0.65 | ) | (1.05 | ) | $36.74 | 1.33 | 0.94 | 0.94 | 0.95 | 41.13 | 64.77 | $ | 450,944 | |||||||||||||||||||||||||||||||||||||
| (a) | Not annualized for periods less than one year. |
| (b) | Unaudited Six Month Period Ended March 31. |
| (c) | Sales loads are not reflected in computing total return. |
| (d) | Annualized. |
| (e) | Dividends from net investment income per share were less than $(0.01). |
| (f) | Effective date of this class of shares was February 1, 2007. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
| 30 Certified Semi-Annual Report | Certified Semi-Annual Report 31 |
| EXPENSE EXAMPLE | ||
| Thornburg International Value Fund | March 31, 2012 (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;
| (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 a $1,000 investment beginning on October 1, 2011, and held until March 31, 2012.
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 10/1/11 | Ending Account Value 3/31/12 | Expenses Paid During Period† 10/1/11–3/31/12 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,155.80 | $ | 7.00 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.50 | $ | 6.56 | ||||||
Class B Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,150.90 | $ | 11.20 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,014.59 | $ | 10.49 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,151.20 | $ | 11.00 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,014.78 | $ | 10.30 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,157.90 | $ | 4.67 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.68 | $ | 4.37 | ||||||
Class R3 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,154.80 | $ | 7.81 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.75 | $ | 7.31 | ||||||
Class R4 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,156.00 | $ | 6.74 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.75 | $ | 6.31 | ||||||
Class R5 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,157.50 | $ | 5.34 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.05 | $ | 5.00 | ||||||
| † | Expenses are equal to the annualized expense ratio for each class (A: 1.30%; B: 2.08%; C: 2.04%; I: 0.86%; R3: 1.45%; R4: 1.25%; 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. |
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.
32 Certified Semi-Annual Report
| INDEX COMPARISON | ||
| Thornburg International Value Fund | March 31, 2012 (Unaudited) | |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg International Value Fund versus
MSCI EAFE Index and MSCI AC World ex-U.S. Index (May 28, 1998 to March 31, 2012)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2012 (with sales charge)
| 1 Yr | 5 Yrs | 10 Yrs | Since Inception | |||||||||||||
A Shares (Incep: 5/28/98) | -11.77 | % | -0.20 | % | 7.63 | % | 8.01 | % | ||||||||
B Shares (Incep: 4/3/00) | -12.90 | % | -0.42 | % | 7.43 | % | 5.33 | % | ||||||||
C Shares (Incep: 5/28/98) | -9.18 | % | 0.00 | % | 7.32 | % | 7.51 | % | ||||||||
I Shares (Incep: 3/30/01) | -7.23 | % | 1.13 | % | 8.60 | % | 8.02 | % | ||||||||
R3 Shares (Incep: 7/1/03) | -7.75 | % | 0.58 | % | — | 10.37 | % | |||||||||
R4 Shares (Incep: 2/1/07) | -7.55 | % | 0.79 | % | — | 1.10 | % | |||||||||
R5 Shares (Incep: 2/1/05) | -7.35 | % | 1.05 | % | — | 7.23 | % | |||||||||
MSCI EAFE Index (Since 5/28/98) | -5.77 | % | -3.51 | % | 5.70 | % | 3.28 | % | ||||||||
MSCI AC World ex- U.S. Index | ||||||||||||||||
(Since 5/28/98) | -6.74 | % | -1.11 | % | 7.74 | % | 4.95 | % | ||||||||
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200. 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 carry 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.
Certified Semi-Annual Report 33
| OTHER INFORMATION | ||
| Thornburg International Value Fund | March 31, 2012 (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
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This page is not part of the Semi-Annual Report. 35
Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
September 13, 2011
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.
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.
APPOINTMENT OF TRUSTEE
The Trustees have appointed Sally Corning of Santa Fe, New Mexico as a Trustee, effective May 7, 2012. Ms. Corning is a founding partner of Sun Mountain Capital, Santa Fe, which advises clients in making investments in private equity partnerships and invests directly in private companies. Ms. Corning was formerly employed by Credit Suisse First Boston, Morgan Stanley and Dean Witter Reynolds. She received her BSBA from Georgetown University and her MBA from the Columbia University Graduate School of Business.
36 This page is not part of the Semi-Annual Report.
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 website 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 Developing World 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
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 Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We are very organic in our approach, avoiding leverage or complex strategies which could backfire in periods of market uncertainty.
| • | 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 Strategic Municipal Income Fund |
| • | Thornburg Limited Term U.S. Government Fund |
| • | Thornburg Limited Term Income Fund |
| • | Thornburg Strategic Income Fund |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
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. | 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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Important Information
The information presented on the following pages was current as of March 31, 2012. The managers’ views, portfolio holdings, and sector and country diversification are provided for the general information of the Fund’s shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. 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. Special risks may be associated with investments outside the United States, especially in emerging markets, including currency fluctuations, illiquidity and volatility. Investments in small capitalization companies 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 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. Funds invested in a limited number of holdings may expose an investor to greater volatility.
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.
Class I, R3, R4, and R5 shares may not be available to all investors. Minimum investments for Class I shares may be 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 the Fund. There is no assurance that the Fund will have continued access to profitable IPOs and as the 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.
Impact due to performance of IPOs, as disclosed in the following letter to shareholders, is calculated using the performance on the first day of the IPO, assuming that the acquired shares are held to the end of the first day.
Share Class | NASDAQ Symbol | Cusip | ||
Class A | THCGX | 885-215-582 | ||
Class C | TCGCX | 885-215-574 | ||
Class I | THIGX | 885-215-475 | ||
Class R3 | THCRX | 885-215-517 | ||
Class R4 | TCGRX | 885-215-251 | ||
Class R5 | THGRX | 885-215-350 |
Glossary
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.
Basis Point (bps) – Unit equal to 1/100th of 1%. A 1% change = 100 basis points (bps).
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.
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 equaling a company’s market value per share divided by earnings per share.
This page is not part of the Semi-Annual Report. 3
Thornburg Core Growth Fund
PORTFOLIO MANAGERS
Tim Cunningham,CFA, and Greg Dunn
IMPORTANT
PERFORMANCE INFORMATION
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.
The maximum sales charge for Class A shares is 4.50%. The total annual fund operating expense of Class A shares is 1.45%, as disclosed in the most recent Prospectus.
Continually Evaluating the Risk Equation
Growth stocks are often referred to as “glamour” stocks, and it is easy to understand why. Growth stocks generate excitement. These are stocks whose 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 managers Tim Cunningham and Greg Dunn apply a rigorous stock selection process to the investments that comprise the Thornburg Core Growth Fund. This is a portfolio run on common sense, not on abstract theory. Their overarching philosophy is to create a fund that pursues good performance over the long term, while seeking to reduce 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, the Fund’s managers can evaluate 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.
AVERAGE ANNUAL TOTAL RETURNS
FOR PERIODS ENDED 3/31/12
| 1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception | ||||||||||||||||
A Shares (Incep: 12/27/00) | ||||||||||||||||||||
Without sales charge | 14.65 | % | 24.80 | % | 0.01 | % | 7.06 | % | 4.22 | % | ||||||||||
With sales charge | 9.48 | % | 22.91 | % | -0.90 | % | 6.57 | % | 3.80 | % | ||||||||||
Russell 3000 Growth Index | ||||||||||||||||||||
(Since: 12/27/00) | 10.14 | % | 25.50 | % | 5.02 | % | 4.42 | % | 1.54 | % | ||||||||||
4 This page is not part of the Semi-Annual Report.
How does the stock selection process work? Before adding a stock to the Fund’s portfolio, Cunningham and Dunn drill down into the 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 factors. Most are rejected and logged as a screening rejection. 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 scrutinize 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.
Cunningham and Dunn are not go-along-with-the-crowd types and are not tied to mainstream thinking. While they have access to the best of Wall Street’s analysis, they are not ruled by it.
The team tests the strength of a company’s underlying business model against a variety of what-if screens. Besides conducting site visits and interviewing company management, they also check in with a company’s major customers, suppliers, and distributors to get a complete picture of a company before investing. Revenue and cost of goods sold are given particular attention. All data points are broken down in several ways before reaching an investment decision.
STOCKS CONTRIBUTING AND DETRACTING
FOR THE SIX MONTHS ENDED 3/31/12
Top Contributors | Top Detractors | |
| RSC Holdings, Inc. | SuperGroup plc | |
| Zoll Medical Corp. | Amazon.com, Inc. | |
| SuccessFactors | Vera Bradley, Inc. | |
| MercadoLibre, Inc. | QEP Resources, Inc. | |
| Fusion-io, Inc. | Baker Hughes, Inc. | |
| Source: FactSet | ||
KEY PORTFOLIO ATTRIBUTES
As of 3/31/12
Portfolio P/E Trailing 12-months* | 23.4x | |||
Portfolio Price to Cash Flow* | 13.5x | |||
Portfolio Price to Book Value* | 3.5x | |||
Median Market Cap* | $ | 5.7 B | ||
7-Year Beta (A Shares vs. Russell 3K G)* | 1.15 | |||
Number of Companies | 43 | |||
| * | Source: FactSet |
MARKET CAPITALIZATION EXPOSURE
As of 3/31/12
BASKET STRUCTURE
As of 3/31/12
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Thornburg Core Growth Fund
March 31, 2012
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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.
6 Certified Semi-Annual Report
Greg Dunn Portfolio Manager
Tim Cunningham,CFA Portfolio Manager | April 16, 2012
Dear Fellow Shareholder:
The Thornburg Core Growth Fund delivered a robust performance during the six-month period ended March 31, 2012, on a relative and absolute basis. The Fund’s Class A shares outperformed their benchmark, with a total return of 40.29% at net asset value (NAV) versus 27.12% for the Russell 3000 Growth Index. After a period of market correction and reduced investor appetite for risk, stocks rebounded as global macroeconomic concerns abated slightly, a slow recovery in the United States persisted, and public company results exceeded investor expectations. Investments in initial public offerings by the Fund contributed 1.08% to the return for the six-month period ended March 31, 2012.
The effect of strong individual stock selection was the greatest driver of the Fund’s performance during the six-month period, with particularly good results within the technology and health care sectors. In fact, technology was the best performing sector in our benchmark index, and we also benefited from being overweight in that sector. The overweight in technology stocks, however, resulted from our bottom-up stock selection process; we refrain from making top-down positioning calls.
Contributors to performance included SuccessFactors, MercadoLibre, and Fusion-io. SuccessFactors provides on-demand software solutions targeted at human capital management; we purchased shares in August 2011. It was acquired by SAP AG in November at an attractive premium. MercadoLibre operates an online trading site that serves Latin American markets (think eBay of 10 years ago). MercadoLibre is the leader in a space enjoying healthy growth trends, and the stock performed well. We purchased Fusion-io on its initial public offering in June 2011. It has pioneered a way to utilize flash storage on servers that greatly increases the utilization of those servers and the efficiency of data networks. We view this as a disruptive new technology (a good thing) in the early stages of adoption. Within the health care sector, Zoll Medical had the greatest positive impact on performance. Zoll has developed a wearable defibrillator called the LifeVest; the stock rebounded strongly after the positive resolution of reimbursement issues surrounding LifeVest.
Other positive contributors were RSC Holdings, SVB Financial Group, and Continental Resources. RSC Holdings is an industrial equipment rental company. RSC had been delivering strong fundamental results as their business enjoyed volume growth, along with the benefit of pricing power. As the U.S. economy recovered; they took advantage of a strong competitive position. RSC was acquired by United Rental in December 2011, combining two of the largest players in a fragmented industry. SVB Financial Group is a commercial bank; the stock performed well as economic sentiment and the interest-rate outlook improved during the period. |
Certified Semi-Annual Report 7
Letter to Shareholders,
Continued
Continental Resources is an oil and gas company focused on exploration and production. They are leveraged to crude oil prices, which appreciated more than 30% during the period.
It was a busy period for new idea generation. From our perspective, the weak market created buying opportunities, and we purchased 27 new stocks, most during the October–December 2011 quarter, with activity slowing down as valuations expanded and attractive ideas became scarce. This level of activity is a little higher than normal, but still within a healthy range for the type of concentrated growth strategy employed by the Core Growth Fund.
Four stocks were acquired at attractive premiums during the period: RSC Holdings, SuccessFactors, RightNow, and Taleo. It is encouraging to have the Fund’s investment thesis validated (in terms of business model strength and valuation), to pull forward returns, and to have the opportunity to redeploy capital into new ideas. It’s interesting to note that three of the companies acquired were pure-play software as a service (SAAS) companies, a business model we believe is disruptive (again, a good thing), and a competitive threat to legacy on-premise software providers such as Oracle and SAP. Oracle and SAP responded by buying the threats. Oracle acquired Taleo and RightNow. SAP AG acquired SuccessFactors.
In January, Alex Motola announced his intention to retire as the manager of the Core Growth Fund. His last day will be April 27, 2012, and we wish him the best — after having worked with him for several years. Over the last few months, Alex has helped other team members make the transition to management of Core Growth Fund, and gradually reduced his role. The process and philosophy applied to the Core Growth Fund will not change. We will continue to focus on identifying promising growth companies trading at a discount to their long-term values, and believe that our disciplined bottom-up approach will lead us to attractive growth companies.
We encourage you to learn more about your portfolio. Quarterly updates, as well as descriptions of each holding, can be found at www.thornburg.com/funds. Thank you for your investment in the Thornburg Core Growth Fund.
Sincerely,
|  | |
Greg Dunn | Tim Cunningham,CFA | |
Managing Director | Managing Director | |
Portfolio Manager | 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.
8 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS | ||
| Thornburg Core Growth Fund | March 31, 2012 (Unaudited) | |
TOP TEN HOLDINGS
As of 3/31/12
Amazon.com, Inc. | 3.9 | % | Google, Inc. | 3.0 | % | |||||
Apple, Inc. | 3.2 | % | Qualcomm, Inc. | 3.0 | % | |||||
Charles Schwab Corp. | 3.2 | % | Gilead Sciences, Inc. | 2.9 | % | |||||
Carnival Corp. | 3.1 | % | Urban Outfitters, Inc. | 2.7 | % | |||||
Visa, Inc. | 3.1 | % | Oxford Industries, Inc. | 2.7 | % |
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/12
Software & Services | 24.7 | % | Consumer Services | 3.1 | % | |||||
Technology Hardware & Equipment | 17.2 | % | Pharmaceuticals, Biotechnology & Life Sciences | 2.9 | % | |||||
Retailing | 10.4 | % | Energy | 2.4 | % | |||||
Diversified Financials | 7.5 | % | Semiconductors & Semiconductor Equipment | 2.3 | % | |||||
Commercial & Professional Services | 6.6 | % | Banks | 2.2 | % | |||||
Health Care Equipment & Services | 4.8 | % | Telecommunication Services | 2.0 | % | |||||
Consumer Durables & Apparel | 4.3 | % | Automobiles & Components | 1.0 | % | |||||
Transportation | 4.0 | % | Other Assets & Cash Equivalents | 4.6 | % |
SUMMARY OF COUNTRY EXPOSURE
As of 3/31/12 (% of equity holdings)
United States | 86.9 | % | Argentina | 2.6 | % | |||||
United Kingdom | 3.3 | % | Ireland | 2.4 | % | |||||
China | 2.7 | % | Israel | 2.1 | % |
Certified Semi-Annual Report 9
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Core Growth Fund | March 31, 2012 (Uuaudited) | |
| Shares/ | ||||||||
| Principal Amount | Value | |||||||
COMMON STOCK — 95.44% | ||||||||
AUTOMOBILES & COMPONENTS — 1.00% | ||||||||
AUTO COMPONENTS — 1.00% | ||||||||
Gentex Corp. | 307,470 | $ | 7,533,015 | |||||
|
| |||||||
| 7,533,015 | ||||||||
|
| |||||||
BANKS — 2.22% | ||||||||
COMMERCIAL BANKS — 2.22% | ||||||||
aSVB Financial Group | 260,006 | 16,728,786 | ||||||
|
| |||||||
| 16,728,786 | ||||||||
|
| |||||||
COMMERCIAL & PROFESSIONAL SERVICES — 6.62% | ||||||||
COMMERCIAL SERVICES & SUPPLIES — 4.56% | ||||||||
aEncore Capital Group, Inc. | 432,645 | 9,756,145 | ||||||
aPortfolio Recovery Associates, Inc. | 139,356 | 9,994,612 | ||||||
aStericycle, Inc. | 175,670 | 14,693,039 | ||||||
PROFESSIONAL SERVICES — 2.06% | ||||||||
aThe Advisory Board Co. | 175,053 | 15,513,197 | ||||||
|
| |||||||
| 49,956,993 | ||||||||
|
| |||||||
CONSUMER DURABLES & APPAREL — 4.34% | ||||||||
TEXTILES, APPAREL & LUXURY GOODS — 4.34% | ||||||||
Oxford Industries, Inc. | 404,520 | 20,557,706 | ||||||
aVera Bradley, Inc. | 402,840 | 12,161,740 | ||||||
|
| |||||||
| 32,719,446 | ||||||||
|
| |||||||
CONSUMER SERVICES — 3.14% | ||||||||
HOTELS, RESTAURANTS & LEISURE — 3.14% | ||||||||
Carnival Corp. | 738,000 | 23,675,040 | ||||||
|
| |||||||
| 23,675,040 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 7.43% | ||||||||
CAPITAL MARKETS — 7.43% | ||||||||
aAffiliated Managers Group, Inc. | 137,987 | 15,428,327 | ||||||
Charles Schwab Corp. | 1,699,335 | 24,419,444 | ||||||
aWisdomTree Investments, Inc. | 1,929,611 | 16,150,844 | ||||||
|
| |||||||
| 55,998,615 | ||||||||
|
| |||||||
ENERGY — 2.43% | ||||||||
ENERGY EQUIPMENT & SERVICES — 2.43% | ||||||||
Baker Hughes, Inc. | 436,100 | 18,290,034 | ||||||
|
| |||||||
| 18,290,034 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SERVICES — 4.83% | ||||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 2.27% | ||||||||
Covidien plc | 312,574 | 17,091,546 | ||||||
HEALTH CARE PROVIDERS & SERVICES — 2.56% | ||||||||
aDaVita, Inc. | 214,600 | 19,350,482 | ||||||
|
| |||||||
| 36,442,028 | ||||||||
|
| |||||||
10 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Core Growth Fund | March 31, 2012 (Unaudited) | |
| Shares/ | ||||||||
| Principal Amount | Value | |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 2.85% | ||||||||
BIOTECHNOLOGY — 2.85% | ||||||||
aGilead Sciences, Inc. | 440,679 | $ | 21,527,169 | |||||
|
| |||||||
| 21,527,169 | ||||||||
|
| |||||||
RETAILING — 10.39% | ||||||||
DISTRIBUTORS — 2.38% | ||||||||
aLKQ Corp. | 576,800 | 17,978,856 | ||||||
INTERNET & CATALOG RETAIL — 5.27% | ||||||||
aAmazon.com, Inc. | 144,891 | 29,341,876 | ||||||
aHomeAway, Inc. | 410,899 | 10,424,508 | ||||||
SPECIALTY RETAIL — 2.74% | ||||||||
aUrban Outfitters, Inc. | 709,500 | 20,653,545 | ||||||
|
| |||||||
| 78,398,785 | ||||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.27% | ||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.27% | ||||||||
aON Semiconductor Corp. | 1,900,798 | 17,126,190 | ||||||
|
| |||||||
| 17,126,190 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 24.67% | ||||||||
INFORMATION TECHNOLOGY SERVICES — 3.08% | ||||||||
Visa, Inc. | 196,856 | 23,229,008 | ||||||
INTERNET SOFTWARE & SERVICES — 9.72% | ||||||||
aActive Network, Inc. | 723,587 | 12,177,969 | ||||||
aBaidu, Inc. ADR | 134,766 | 19,644,840 | ||||||
aGoogle, Inc. | 35,839 | 22,981,400 | ||||||
MercadoLibre, Inc. | 189,527 | 18,533,845 | ||||||
SOFTWARE — 11.87% | ||||||||
aAllot Communications Ltd. | 668,400 | 15,540,300 | ||||||
aBroadSoft, Inc. | 470,344 | 17,990,658 | ||||||
aGuidewire Software, Inc. | 348,700 | 10,732,986 | ||||||
aImperva, Inc. | 240,700 | 9,423,405 | ||||||
Intuit, Inc. | 259,571 | 15,608,004 | ||||||
Microsoft Corp. | 627,438 | 20,234,876 | ||||||
|
| |||||||
| 186,097,291 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 17.21% | ||||||||
COMMUNICATIONS EQUIPMENT — 6.54% | ||||||||
aJuniper Networks, Inc. | 443,300 | 10,142,704 | ||||||
Qualcomm, Inc. | 334,400 | 22,745,888 | ||||||
aRiverbed Technology, Inc. | 585,100 | 16,429,608 | ||||||
COMPUTERS & PERIPHERALS — 9.72% | ||||||||
aApple, Inc. | 40,770 | 24,440,392 | ||||||
aEMC Corp. | 664,244 | 19,847,611 | ||||||
aFusion-io, Inc. | 406,700 | 11,554,347 | ||||||
aNetApp, Inc. | 389,168 | 17,423,051 | ||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & | ||||||||
aInvenSense, Inc. | 396,900 | 7,183,890 | ||||||
|
| |||||||
| 129,767,491 | ||||||||
|
| |||||||
Certified Semi-Annual Report 11
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Core Growth Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
TELECOMMUNICATION SERVICES — 2.00% | ||||||||
WIRELESS TELECOMMUNICATION SERVICES — 2.00% | ||||||||
aSBA Communications Corp. | 297,276 | $ | 15,104,594 | |||||
|
| |||||||
| 15,104,594 | ||||||||
|
| |||||||
TRANSPORTATION — 4.04% | ||||||||
AIR FREIGHT & LOGISTICS — 4.04% | ||||||||
Expeditors International of Washington, Inc. | 331,900 | 15,436,669 | ||||||
FedEx Corp. | 163,727 | 15,056,335 | ||||||
|
| |||||||
| 30,493,004 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $562,310,889) | 719,858,481 | |||||||
|
| |||||||
SHORT TERM INVESTMENTS — 3.51% | ||||||||
Northern Illinois Gas Corp., 0.35%, 4/2/2012 | $ | 13,000,000 | 12,999,873 | |||||
The Kroger Co., 0.35%, 4/2/2012 | 13,500,000 | 13,499,869 | ||||||
|
| |||||||
TOTAL SHORT TERM INVESTMENTS (Cost $26,499,742) | 26,499,742 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 98.95% (Cost $588,810,631) | $ | 746,358,223 | ||||||
OTHER ASSETS LESS LIABILITIES — 1.05% | 7,929,222 | |||||||
|
| |||||||
NET ASSETS — 100.00% | $ | 754,287,445 | ||||||
|
| |||||||
Footnote Legend
| a | 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.
12 Certified Semi-Annual Report
| SCHEDULE OF ASSETS AND LIABILITIES | ||
| Thornburg Core Growth Fund | March 31, 2012 (Unaudited) | |
ASSETS | ||||
Investments at value (cost $588,810,631) (Note 2) | $ | 746,358,223 | ||
Cash | 149,337 | |||
Receivable for investments sold | 12,821,038 | |||
Receivable for fund shares sold | 657,117 | |||
Dividends receivable | 43,890 | |||
Prepaid expenses and other assets | 64,772 | |||
|
| |||
Total Assets | 760,094,377 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 1,950,000 | |||
Payable for fund shares redeemed | 2,442,408 | |||
Payable to investment advisor and other affiliates (Note 3) | 818,669 | |||
Accounts payable and accrued expenses | 595,855 | |||
|
| |||
Total Liabilities | 5,806,932 | |||
|
| |||
NET ASSETS | $ | 754,287,445 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Net investment loss | $ | (3,933,832 | ) | |
Net unrealized appreciation on investments | 157,547,592 | |||
Accumulated net realized gain (loss) | (592,802,455 | ) | ||
Net capital paid in on shares of beneficial interest | 1,193,476,140 | |||
|
| |||
| $ | 754,287,445 | |||
|
| |||
Certified Semi-Annual Report 13
| SCHEDULE OF ASSETS AND LIABILITIES, CONTINUED | ||
| Thornburg Core Growth Fund | March 31, 2012 (Unaudited) | |
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($248,303,220 applicable to 13,278,817 shares of beneficial interest outstanding - Note 4) | $ | 18.70 | ||
Maximum sales charge, 4.50% of offering price | 0.88 | |||
|
| |||
Maximum offering price per share | $ | 19.58 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($170,907,201 applicable to 10,014,360 shares of beneficial interest outstanding - Note 4) | $ | 17.07 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($133,435,684 applicable to 6,838,214 shares of beneficial interest outstanding - Note 4) | $ | 19.51 | ||
|
| |||
Class R3 Shares: | ||||
Net asset value, offering and redemption price per share ($126,404,919 applicable to 6,761,064 shares of beneficial interest outstanding - Note 4) | $ | 18.70 | ||
|
| |||
Class R4 Shares: | ||||
Net asset value, offering and redemption price per share ($9,938,628 applicable to 529,819 shares of beneficial interest outstanding - Note 4) | $ | 18.76 | ||
|
| |||
Class R5 Shares: | ||||
Net asset value, offering and redemption price per share ($65,297,793 applicable to 3,350,036 shares of beneficial interest outstanding - Note 4) | $ | 19.49 | ||
|
| |||
| * | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
14 Certified Semi-Annual Report
| STATEMENT OF OPERATIONS | ||
| Thornburg Core Growth Fund | Six Months Ended March 31, 2012 (Unaudited) | |
INVESTMENT INCOME: | ||||
Dividend income | $ | 1,561,708 | ||
Interest income | 21,478 | |||
|
| |||
Total Income | 1,583,186 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 3,086,919 | |||
Administration fees (Note 3) | ||||
Class A Shares | 145,156 | |||
Class C Shares | 98,545 | |||
Class I Shares | 32,940 | |||
Class R3 Shares | 74,331 | |||
Class R4 Shares | 6,543 | |||
Class R5 Shares | 16,740 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 290,558 | |||
Class C Shares | 789,287 | |||
Class R3 Shares | 296,855 | |||
Class R4 Shares | 13,024 | |||
Transfer agent fees | ||||
Class A Shares | 251,480 | |||
Class C Shares | 202,775 | |||
Class I Shares | 71,990 | |||
Class R3 Shares | 154,489 | |||
Class R4 Shares | 13,323 | |||
Class R5 Shares | 197,192 | |||
Registration and filing fees | ||||
Class A Shares | 11,065 | |||
Class C Shares | 10,589 | |||
Class I Shares | 11,838 | |||
Class R3 Shares | 15,343 | |||
Class R4 Shares | 10,837 | |||
Class R5 Shares | 10,977 | |||
Custodian fees (Note 3) | 68,065 | |||
Professional fees | 32,621 | |||
Accounting fees | 17,745 | |||
Trustee fees | 10,178 | |||
Other expenses | 43,010 | |||
|
| |||
Total Expenses | 5,984,415 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (467,397 | ) | ||
|
| |||
Net Expenses | 5,517,018 | |||
|
| |||
Net Investment Loss | $ | (3,933,832 | ) | |
|
| |||
Certified Semi-Annual Report 15
| STATEMENT OF OPERATIONS, CONTINUED | ||
| Thornburg Core Growth Fund | Six Months Ended March 31, 2012 (Unaudited) | |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from: | ||||
Investments | $ | 92,747,146 | ||
Foreign currency transactions | 4,686 | |||
|
| |||
| 92,751,832 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 151,336,020 | |||
Foreign currency translations | 617 | |||
|
| |||
| 151,336,637 | ||||
|
| |||
Net Realized and Unrealized Gain | 244,088,469 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 240,154,637 | ||
|
|
See notes to financial statements.
16 Certified Semi-Annual Report
| STATEMENTS OF CHANGES IN NET ASSETS |
| Thornburg Core Growth Fund |
| Six Months Ended March 31, 2012* | Year Ended September 30, 2011 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS: | ||||||||
Net investment income (loss) | $ | (3,933,832 | ) | $ | (10,476,393 | ) | ||
Net realized gain (loss) on investments and foreign currency transactions | 92,751,832 | 228,456,364 | ||||||
Net unrealized appreciation (depreciation) on investments and foreign currency translations | 151,336,637 | (168,137,714 | ) | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 240,154,637 | 49,842,257 | ||||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | (37,566,091 | ) | (175,820,842 | ) | ||||
Class C Shares | (18,777,060 | ) | (79,773,991 | ) | ||||
Class I Shares | (25,842,330 | ) | (59,949,918 | ) | ||||
Class R3 Shares | (22,502,058 | ) | (110,226,931 | ) | ||||
Class R4 Shares | (3,987,723 | ) | (15,430,363 | ) | ||||
Class R5 Shares | (24,255,640 | ) | (284,360,787 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | 107,223,735 | (675,720,575 | ) | |||||
NET ASSETS: | ||||||||
Beginning of Period | 647,063,710 | 1,322,784,285 | ||||||
|
|
|
| |||||
End of Period | $ | 754,287,445 | $ | 647,063,710 | ||||
|
|
|
| |||||
| * | Unaudited. |
See notes to financial statements.
Certified Semi-Annual Report 17
| NOTES TO FINANCIAL STATEMENTS | ||
| Thornburg Core Growth Fund | March 31, 2012 (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 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 Fund is currently one of sixteen separate series of the Trust. 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). 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 of purchase, 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 may be subject to a service fee, (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 Investments: 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 ask 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.
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 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 obligations of comparable quality, type of issue, coupon, maturity and rating, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
Quotations in foreign currencies for foreign portfolio investments are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
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 procedures approved by the Trustees, which may include the use of a price obtained from an independent pricing service. The pricing service ordinarily values equity securities in these instances using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures and index data and other data. 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, or an unusual event or significant period of time occurring since the availability of a market quotation, create a question about the reliability of the security’s market value.
18 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Core Growth Fund | March 31, 2012 (Uuaudited) | |
In any case where a pricing service fails to provide a price for a debt obligation held by the Fund, the valuation and pricing committee determines a fair value for the debt obligation using procedures approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt obligation 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 obligation.
In determining fair value for any portfolio security or other investment, the valuation and pricing committee seeks to determine the amount that an owner of the investment might reasonably expect to receive upon a sale of the investment. However, because fair value prices are estimated prices, the valuation and pricing committee’s determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Fund’s financial statements. The valuation and pricing committee’s determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation Measurements: Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three levels listed below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment rates, credit risk, etc.).
Level 3: Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
The following table displays a summary of the inputs used to value the Fund’s net assets as of March 31, 2012. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
| Fair Value Measurements at March 31, 2012 | ||||||||||||||||
| Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities* | ||||||||||||||||
Common Stock | $ | 719,858,481 | $ | 719,858,481 | $ | — | $ | — | ||||||||
Short Term Investments | 26,499,742 | — | 26,499,742 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 746,358,223 | $ | 719,858,481 | $ | 26,499,742 | $ | — | ||||||||
| * | See Schedule of Investments for a summary of the industry exposure as grouped according to the Global Industry Classification Standard (GICS), which is an industry taxonomy developed by MSCI, Inc. and Standard & Poor’s (S&P). |
Other Notes: It is the policy of the Fund to recognize significant transfers between Levels 1, 2 and 3 and to disclose those transfers as of the date of the underlying event, which caused the movement. The Fund recognized no significant transfers between levels for the six months ended March 31, 2012.
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. Such spot contracts are included in Receivable for investments sold and Payable for investments purchased on the Statement of Assets and Liabilities.
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 purchases and 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,
Certified Semi-Annual Report 19
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Core Growth Fund | March 31, 2012 (Unaudited) | |
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 to shareholders substantially all taxable income, including any net realized gain on investments of the Fund. Therefore, no provision for federal income taxes is required.
Management reviews each uncertain tax position believed to be material to the preparation of the Fund’s financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of March 31, 2012, management has not identified any such position for which a liability must be reflected in the Statement of Assets and Liabilities. The Fund’s tax returns remain subject to examination for three years after filing.
When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with 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 Fund makes a commitment to purchase a security on a when-issued or delayed delivery 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, if any, 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.
20 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Core Growth Fund | March 31, 2012 (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, 2012, 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, 2012, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $675 for Class A shares, $62,522 for Class I shares, $188,767 for Class R3 shares, $17,979 for Class R4 shares, and $197,454 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, 2012, the Distributor has advised the Fund that it earned commissions aggregating $8,779 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $2,680 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. For the six months ended March 31, 2012, there were no 12b-1 service plan fees charged for Class I and R5 shares. 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 shares, and an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class R3 shares. Total fees incurred by the Fund for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2012, 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 are 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, 2012, there were no fees paid indirectly.
Certain officers and Trustees of the Trust are also officers 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, 2012, 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, 2012 (Unaudited) | Year Ended September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 972,950 | $ | 16,402,414 | 1,523,774 | $ | 23,528,867 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (3,305,745 | ) | (53,968,847 | ) | (12,914,624 | ) | (199,351,773 | ) | ||||||||
Redemption fees received* | — | 342 | — | 2,064 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,332,795 | ) | $ | (37,566,091 | ) | (11,390,850 | ) | $ | (175,820,842 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Certified Semi-Annual Report 21
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Core Growth Fund | March 31, 2012 (Unaudited) | |
| Six Months Ended March 31, 2012 (Unaudited) | Year Ended September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 348,206 | $ | 5,223,314 | 660,446 | $ | 9,280,741 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (1,614,054 | ) | (24,000,609 | ) | (6,273,338 | ) | (89,056,037 | ) | ||||||||
Redemption fees received* | — | 235 | — | 1,305 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,265,848 | ) | $ | (18,777,060 | ) | (5,612,892 | ) | $ | (79,773,991 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 1,580,283 | $ | 27,363,170 | 2,621,591 | $ | 41,975,065 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (3,006,324 | ) | (53,205,703 | ) | (6,385,486 | ) | (101,926,048 | ) | ||||||||
Redemption fees received* | — | 203 | — | 1,065 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,426,041 | ) | $ | (25,842,330 | ) | (3,763,895 | ) | $ | (59,949,918 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 654,419 | $ | 10,805,924 | 1,804,561 | $ | 27,972,861 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (2,080,476 | ) | (33,308,155 | ) | (8,987,536 | ) | (138,200,925 | ) | ||||||||
Redemption fees received* | — | 173 | — | 1,133 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,426,057 | ) | $ | (22,502,058 | ) | (7,182,975 | ) | $ | (110,226,931 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 112,547 | $ | 1,851,569 | 489,460 | $ | 7,637,091 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (362,479 | ) | (5,839,306 | ) | (1,513,646 | ) | (23,067,562 | ) | ||||||||
Redemption fees received* | — | 14 | — | 108 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (249,932 | ) | $ | (3,987,723 | ) | (1,024,186 | ) | $ | (15,430,363 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 446,618 | $ | 7,687,402 | 2,048,486 | $ | 33,073,276 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (1,923,290 | ) | (31,943,137 | ) | (19,949,793 | ) | (317,435,221 | ) | ||||||||
Redemption fees received* | — | 95 | — | 1,158 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,476,672 | ) | $ | (24,255,640 | ) | (17,901,307 | ) | $ | (284,360,787 | ) | ||||||
|
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| |||||||||
| * | The Fund previously charged a redemption fee of 1% of the Class A and Class I shares redeemed or exchanged within 30 days of purchase. Effective February 1, 2012, the Fund stopped imposing this redemption fee. Redemption fees that were charged to any class prior to February 1, 2012 were allocated to all classes upon receipt of payment based on relative net asset values of each class or other appropriate allocation methods. |
22 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Core Growth Fund | March 31, 2012 (Unaudited) | |
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2012, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $422,508,750 and $580,823,598, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2012, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 588,810,631 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 171,181,148 | ||
Gross unrealized depreciation on a tax basis | (13,633,556 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 157,547,592 | ||
|
|
At March 31, 2012, 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:
2017 | $ | 431,330,022 | ||
2018 | 253,358,410 | |||
|
| |||
| $ | 684,688,432 | |||
|
|
The Regulated Investment Company Modernization Act of 2010 (the “Act”) was signed into law on December 22, 2010. The Act makes changes to a number of tax rules impacting the Fund. Under the Act, future capital losses generated by the Fund may be carried over indefinitely, but these losses must be used prior to the utilization of any pre-enactment capital losses. Since pre-enactment capital losses may only be carried forward for eight years, there may be a greater likelihood that all or a portion of a Fund’s pre-enactment capital losses will expire unused. In general, the provisions of the Act will be effective for the Fund’s fiscal year ending September 30, 2012.
NOTE 7 – FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
The Fund may use a variety of derivative financial instruments to hedge or adjust the risks affecting its investment portfolio or to enhance investment returns. Provisions of FASB Accounting Standards Codification ASC 815-10-50 (“ASC 815”), require certain disclosures. The disclosures are intended to provide users of financial statements with an understanding of the use of derivative instruments by the Fund and how these derivatives affect the financial position, financial performance and cash flows of the Fund. The Fund does not designate any derivative instruments as hedging instruments under ASC 815. Additionally, the Fund’s risk of loss may exceed the amounts recognized on the Statement of Assets and Liabilities.
During the six months ended March 31, 2012, the Fund did not invest in any derivative financial instruments of the type addressed by ASC 815.
OTHER NOTES:
Risks: The Fund’s investments subject it to risks including, but not limited to, management risk, market and economic risk, risks affecting specific issuers, liquidity risk, the risks associated with investments in smaller companies and non-U.S. issuers, credit risk, and interest rate risk. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund.
Subsequent Events: Fund management believes no events have occurred between March 31, 2012 and the date of issuance of the financial statements, which require adjustment to, or disclosure in the accompanying financial statements.
Certified Semi-Annual Report 23
Thornburg Core Growth Fund
| PER SHARE PERFORMANCE (for a share outstanding throughout the Period)+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless Otherwise Noted, Periods are Fiscal Years Ended Sept. 30, | Net Asset Value Beginning of Period | Net Investment Income (Loss) | Net Realized & Unrealized Gain (Loss) on Investments | Total from Investment Operations | Dividends from Net Investment Income | Dividends from Net Realized Gains | Total Dividends | Net Asset Value End of Period | Net Investment Income (Loss) (%) | Expenses, After Expense Reductions (%) | Expenses, After Expense Reductions and Net of Custody Credits (%) | Expenses, Before Expense Reductions (%) | Total Return (%)(a) | Portfolio Turnover Rate (%) | Net Assets at End of Period (Thousands) | |||||||||||||||||||||||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b)(c) | $ | 13.33 | (0.09 | ) | 5.46 | 5.37 | — | — | — | $ | 18.70 | (1.07 | )(d) | 1.51 | (d) | 1.51 | (d) | 1.51 | (d) | 40.29 | 60.76 | $ | 248,303 | |||||||||||||||||||||||||||||||||||||
2011(c) | $ | 13.81 | (0.15 | ) | (0.33 | ) | (0.48 | ) | — | — | — | $ | 13.33 | (0.96 | ) | 1.45 | 1.45 | 1.45 | (3.48 | ) | 80.53 | $ | 208,135 | |||||||||||||||||||||||||||||||||||||
2010(c) | $ | 13.61 | (0.15 | ) | 0.35 | 0.20 | — | — | — | $ | 13.81 | (1.09 | ) | 1.48 | 1.48 | 1.48 | 1.47 | 75.06 | $ | 372,954 | ||||||||||||||||||||||||||||||||||||||||
2009(c) | $ | 13.36 | (0.09 | ) | 0.34 | 0.25 | — | — | — | $ | 13.61 | (0.81 | ) | 1.48 | 1.48 | 1.49 | 1.87 | 82.86 | $ | 511,065 | ||||||||||||||||||||||||||||||||||||||||
2008(c) | $ | 20.72 | (0.10 | ) | (7.25 | ) | (7.35 | ) | — | (0.01 | ) | (0.01 | ) | $ | 13.36 | (0.58 | ) | 1.38 | 1.38 | 1.38 | (35.48 | ) | 79.73 | $ | 738,457 | |||||||||||||||||||||||||||||||||||
2007(c) | $ | 16.38 | (0.15 | ) | 4.49 | 4.34 | — | — | — | $ | 20.72 | (0.78 | ) | 1.37 | 1.36 | 1.37 | 26.50 | 82.37 | $ | 1,470,020 | ||||||||||||||||||||||||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 12.22 | (0.14 | ) | 4.99 | 4.85 | — | — | — | $ | 17.07 | (1.87 | )(d) | 2.30 | (d) | 2.30 | (d) | 2.30 | (d) | 39.69 | 60.76 | $ | 170,907 | |||||||||||||||||||||||||||||||||||||
2011 | $ | 12.75 | (0.24 | ) | (0.29 | ) | (0.53 | ) | — | — | — | $ | 12.22 | (1.71 | ) | 2.20 | 2.20 | 2.20 | (4.16 | ) | 80.53 | $ | 137,799 | |||||||||||||||||||||||||||||||||||||
2010 | $ | 12.66 | (0.23 | ) | 0.32 | 0.09 | — | — | — | $ | 12.75 | (1.84 | ) | 2.23 | 2.23 | 2.23 | 0.71 | 75.06 | $ | 215,413 | ||||||||||||||||||||||||||||||||||||||||
2009 | $ | 12.53 | (0.16 | ) | 0.29 | 0.13 | — | — | — | $ | 12.66 | (1.59 | ) | 2.26 | 2.26 | 2.26 | 1.04 | 82.86 | $ | 289,224 | ||||||||||||||||||||||||||||||||||||||||
2008 | $ | 19.57 | (0.22 | ) | (6.81 | ) | (7.03 | ) | — | (0.01 | ) | (0.01 | ) | $ | 12.53 | (1.34 | ) | 2.13 | 2.13 | 2.13 | (35.93 | ) | 79.73 | $ | 385,110 | |||||||||||||||||||||||||||||||||||
2007 | $ | 15.59 | (0.28 | ) | 4.26 | 3.98 | — | — | — | $ | 19.57 | (1.53 | ) | 2.12 | 2.11 | 2.12 | 25.53 | 82.37 | $ | 664,252 | ||||||||||||||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 13.88 | (0.05 | ) | 5.68 | 5.63 | — | — | — | $ | 19.51 | (0.55 | )(d) | 0.99 | (d) | 0.99 | (d) | 1.08 | (d) | 40.56 | 60.76 | $ | 133,436 | |||||||||||||||||||||||||||||||||||||
2011 | $ | 14.31 | (0.08 | ) | (0.35 | ) | (0.43 | ) | — | — | — | $ | 13.88 | (0.49 | ) | 0.99 | 0.99 | 1.07 | (3.00 | ) | 80.53 | $ | 114,679 | |||||||||||||||||||||||||||||||||||||
2010 | $ | 14.04 | (0.09 | ) | 0.36 | 0.27 | — | — | — | $ | 14.31 | (0.60 | ) | 0.99 | 0.99 | 1.08 | 1.92 | 75.06 | $ | 172,126 | ||||||||||||||||||||||||||||||||||||||||
2009 | $ | 13.71 | (0.03 | ) | 0.36 | 0.33 | — | — | — | $ | 14.04 | (0.29 | ) | 0.97 | 0.97 | 1.08 | 2.41 | 82.86 | $ | 218,300 | ||||||||||||||||||||||||||||||||||||||||
2008 | $ | 21.16 | (0.03 | ) | (7.41 | ) | (7.44 | ) | — | (0.01 | ) | (0.01 | ) | $ | 13.71 | (0.17 | ) | 0.96 | 0.96 | 0.96 | (35.17 | ) | 79.73 | $ | 346,497 | |||||||||||||||||||||||||||||||||||
2007 | $ | 16.66 | (0.08 | ) | 4.58 | 4.50 | — | — | — | $ | 21.16 | (0.39 | ) | 0.98 | 0.97 | 0.98 | 27.01 | 82.37 | $ | 642,143 | ||||||||||||||||||||||||||||||||||||||||
Class R3 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 13.33 | (0.09 | ) | 5.46 | 5.37 | — | — | — | $ | 18.70 | (1.06 | )(d) | 1.50 | (d) | 1.50 | (d) | 1.82 | (d) | 40.29 | 60.76 | $ | 126,405 | |||||||||||||||||||||||||||||||||||||
2011 | $ | 13.82 | (0.16 | ) | (0.33 | ) | (0.49 | ) | — | — | — | $ | 13.33 | (1.01 | ) | 1.50 | 1.50 | 1.77 | (3.55 | ) | 80.53 | $ | 109,127 | |||||||||||||||||||||||||||||||||||||
2010 | $ | 13.62 | (0.15 | ) | 0.35 | 0.20 | — | — | — | $ | 13.82 | (1.11 | ) | 1.50 | 1.50 | 1.79 | 1.47 | 75.06 | $ | 212,360 | ||||||||||||||||||||||||||||||||||||||||
2009 | $ | 13.37 | (0.09 | ) | 0.34 | 0.25 | — | — | — | $ | 13.62 | (0.84 | ) | 1.49 | 1.49 | 1.76 | 1.87 | 82.86 | $ | 278,576 | ||||||||||||||||||||||||||||||||||||||||
2008 | $ | 20.75 | (0.13 | ) | (7.24 | ) | (7.37 | ) | — | (0.01 | ) | (0.01 | ) | $ | 13.37 | (0.74 | ) | 1.50 | 1.50 | 1.72 | (35.53 | ) | 79.73 | $ | 289,500 | |||||||||||||||||||||||||||||||||||
2007 | $ | 16.43 | (0.18 | ) | 4.50 | 4.32 | — | — | — | $ | 20.75 | (0.91 | ) | 1.51 | 1.50 | 1.64 | 26.29 | 82.37 | $ | 414,267 | ||||||||||||||||||||||||||||||||||||||||
Class R4 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 13.37 | (0.08 | ) | 5.47 | 5.39 | — | — | — | $ | 18.76 | (0.95 | )(d) | 1.40 | (d) | 1.40 | (d) | 1.74 | (d) | 40.31 | 60.76 | $ | 9,938 | |||||||||||||||||||||||||||||||||||||
2011 | $ | 13.84 | (0.14 | ) | (0.33 | ) | (0.47 | ) | — | — | — | $ | 13.37 | (0.91 | ) | 1.40 | 1.40 | 1.76 | (3.40 | ) | 80.53 | $ | 10,423 | |||||||||||||||||||||||||||||||||||||
2010 | $ | 13.63 | (0.14 | ) | 0.35 | 0.21 | — | — | — | $ | 13.84 | (1.01 | ) | 1.40 | 1.40 | 1.73 | 1.54 | 75.06 | $ | 24,968 | ||||||||||||||||||||||||||||||||||||||||
2009 | $ | 13.37 | (0.08 | ) | 0.34 | 0.26 | — | — | — | $ | 13.63 | (0.77 | ) | 1.40 | 1.40 | 1.83 | 1.94 | 82.86 | $ | 30,871 | ||||||||||||||||||||||||||||||||||||||||
2008 | $ | 20.73 | (0.13 | ) | (7.22 | ) | (7.35 | ) | — | (0.01 | ) | (0.01 | ) | $ | 13.37 | (0.78 | ) | 1.40 | 1.40 | 1.73 | (35.47 | ) | 79.73 | $ | 21,047 | |||||||||||||||||||||||||||||||||||
2007(e) | $ | 18.90 | (0.12 | ) | 1.95 | 1.83 | — | — | — | $ | 20.73 | (0.93 | )(d) | 1.41 | (d) | 1.40 | (d) | 8.74 | (d)(f) | 9.68 | 82.37 | $ | 3,508 | |||||||||||||||||||||||||||||||||||||
Class R5 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 13.86 | (0.05 | ) | 5.68 | 5.63 | — | — | — | $ | 19.49 | (0.54 | )(d) | 0.99 | (d) | 0.99 | (d) | 1.58 | (d) | 40.62 | 60.76 | $ | 65,298 | |||||||||||||||||||||||||||||||||||||
2011 | $ | 14.30 | (0.08 | ) | (0.36 | ) | (0.44 | ) | — | — | — | $ | 13.86 | (0.51 | ) | 0.99 | 0.99 | 1.22 | (3.08 | ) | 80.53 | $ | 66,901 | |||||||||||||||||||||||||||||||||||||
2010 | $ | 14.02 | (0.08 | ) | 0.36 | 0.28 | — | — | — | $ | 14.30 | (0.60 | ) | 0.99 | 0.99 | 1.18 | 2.00 | 75.06 | $ | 324,963 | ||||||||||||||||||||||||||||||||||||||||
2009 | $ | 13.70 | (0.04 | ) | 0.36 | 0.32 | — | — | — | $ | 14.02 | (0.34 | ) | 0.99 | 0.99 | 1.27 | 2.34 | 82.86 | $ | 323,268 | ||||||||||||||||||||||||||||||||||||||||
2008 | $ | 21.15 | (0.05 | ) | (7.39 | ) | (7.44 | ) | — | (0.01 | ) | (0.01 | ) | $ | 13.70 | (0.30 | ) | 0.99 | 0.99 | 1.18 | (35.19 | ) | 79.73 | $ | 251,299 | |||||||||||||||||||||||||||||||||||
2007 | $ | 16.65 | (0.07 | ) | 4.57 | 4.50 | — | — | — | $ | 21.15 | (0.37 | ) | 0.95 | 0.95 | 0.97 | 27.03 | 82.37 | $ | 158,084 | ||||||||||||||||||||||||||||||||||||||||
| (a) | Not annualized for periods less than one year. |
| (b) | Unaudited Six Month Period Ended March 31. |
| (c) | Sales loads are not reflected in computing total return. |
| (d) | Annualized. |
| (e) | Effective date of this class of shares was February 1, 2007. |
| (f) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
| 24 Certified Semi-Annual Report | Certified Semi-Annual Report 25 |
| EXPENSE EXAMPLE | ||
| Thornburg Core Growth Fund | March 31, 2012 (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 a $1,000 investment beginning on October 1, 2011, and held until March 31, 2012.
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 10/1/11 | Ending Account Value 3/31/12 | Expenses Paid During Period† 10/1/11–3/31/12 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,402.90 | $ | 9.06 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.46 | $ | 7.61 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,396.90 | $ | 13.81 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,013.48 | $ | 11.60 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,405.60 | $ | 5.95 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.05 | $ | 5.00 | ||||||
Class R3 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,402.90 | $ | 9.01 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.50 | $ | 7.57 | ||||||
Class R4 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,403.10 | $ | 8.41 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.00 | $ | 7.06 | ||||||
Class R5 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,406.20 | $ | 5.96 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.05 | $ | 5.00 | ||||||
| † | Expenses are equal to the annualized expense ratio for each class (A: 1.51%; C: 2.30%; I: 0.99%; R3: 1.50%; R4: 1.40%; 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. |
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
| INDEX COMPARISON | ||
| Thornburg Core Growth Fund | March 31, 2012 (Unaudited) | |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Core Growth Fund versus Russell 3000 Growth Index (December 27, 2000 to March 31, 2012)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2012 (with sales charge)
| 1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception | ||||||||||||||||
A Shares (Incep: 12/27/00) | 9.48 | % | 22.91 | % | -0.90 | % | 6.57 | % | 3.80 | % | ||||||||||
C Shares (Incep: 12/27/00) | 12.72 | % | 23.88 | % | -0.73 | % | 6.18 | % | 3.39 | % | ||||||||||
I Shares (Incep: 11/1/03) | 15.17 | % | 25.42 | % | 0.49 | % | — | 7.42 | % | |||||||||||
R3 Shares (Incep: 7/1/03) | 14.58 | % | 24.76 | % | -0.03 | % | — | 8.14 | % | |||||||||||
R4 Shares (Incep: 2/1/07) | 14.74 | % | 24.89 | % | 0.08 | % | — | -0.13 | % | |||||||||||
R5 Shares (Incep: 10/3/05) | 15.12 | % | 25.37 | % | 0.48 | % | — | 5.01 | % | |||||||||||
Russell 3000 Growth Index (Since: 12/27/00) | 10.14 | % | 25.50 | % | 5.02 | % | 4.42 | % | 1.54 | % | ||||||||||
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200. 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 A and I shares are subject to a 1% 30-day redemption fee.
Certified Semi-Annual Report 27
| OTHER INFORMATION | ||
| Thornburg Core Growth Fund | March 31, 2012 (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. A description of the Policy 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.
28 Certified Semi-Annual Report
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Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
September 13, 2011
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.
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.
APPOINTMENT OF TRUSTEE
The Trustees have appointed Sally Corning of Santa Fe, New Mexico as a Trustee, effective May 7, 2012. Ms. Corning is a founding partner of Sun Mountain Capital, Santa Fe, which advises clients in making investments in private equity partnerships and invests directly in private companies. Ms. Corning was formerly employed by Credit Suisse First Boston, Morgan Stanley and Dean Witter Reynolds. She received her BSBA from Georgetown University and her MBA from the Columbia University Graduate School of Business.
30 This page is not part of the Semi-Annual Report.
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 website 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 Developing World 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. 31
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 Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We are very organic in our approach, avoiding leverage or complex strategies which could backfire in periods of market uncertainty.
| • | 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 Strategic Municipal Income Fund |
| • | Thornburg Limited Term U.S. Government Fund |
| • | Thornburg Limited Term Income Fund |
| • | Thornburg Strategic Income Fund |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
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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. | 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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| TH180 | ||||||
Important Information
The information presented on the following pages was current as of March 31, 2012. The managers’ views, portfolio holdings, and sector and country diversification are provided for the general information of the Fund’s shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. 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. Special risks may be associated with investments outside the United States, especially in emerging markets, including currency fluctuations, illiquidity and volatility. Investments in small capitalization companies 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 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. Funds invested in a limited number of holdings may expose an investor to greater volatility.
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.
Class I, R3, R4, and R5 shares may not be available to all investors. Minimum investments for Class I shares may be 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 the Fund. There is no assurance that the Fund will have continued access to profitable IPOs and, as the 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.
Share Class | NASDAQ Symbol | Cusip | ||
Class A | TIGAX | 885-215-319 | ||
Class C | TIGCX | 885-215-293 | ||
Class I | TINGX | 885-215-244 | ||
Class R3 | TIGVX | 885-215-178 | ||
Class R4 | TINVX | 885-215-160 | ||
Class R5 | TINFX | 885-215-152 |
Glossary
MSCI All Country (AC) World ex-U.S. Growth Index – A market capitalization weighted index that includes growth companies in developed and emerging markets throughout the world, excluding the United States.
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.
Allocation Effect – The portion of portfolio excess return attributed to taking different group (e.g. sector, industry) decisions from the benchmark.
Basis Point (bps) – A unit equal to 1/100th of 1%. 1% = 100 basis points (bps).
Gross Domestic Product (GDP) – A country’s income minus foreign investments: the total value of all goods and services produced within a country in a year, minus net income from investments in other countries.
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.
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 equaling a company’s market value per share divided by earnings per share.
Selection Effect – The portion of portfolio excess return attributed to choosing different securities within groups compared to the benchmark.
This page is not part of the Semi-Annual Report. 3
Thornburg International Growth Fund
PORTFOLIO MANAGERS
Tim Cunningham, CFA, and Greg Dunn
IMPORTANT
PERFORMANCE INFORMATION
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.
The maximum sales charge for Class A shares is 4.50%. The total annual operating expenses of Class A shares are 1.54% as disclosed in the most recent Prospectus.
Comprehensive International Growth Investing
A major benefit of an interconnected global economy is the ability to tap into a country’s or region’s comparative advantages. Some countries have abundant natural resources, while others excel at manufacturing or engineering. The ability to allocate capital across borders allows the entire globe to benefit from these advantages. 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, the team will employ a comprehensive, “go-everywhere” approach to growth investing. The team classifies stocks into various growth baskets: Growth Industry Leaders, Consistent Growth Companies, or Emerging Growth Companies. From those baskets, the team will typically build a portfolio of 30–55 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 team recognizes this and strives to balance the aims of generating a strong long-term record while attempting to manage 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
AVERAGE ANNUAL TOTAL RETURNS
FOR PERIODS ENDED 3/31/12
| 1 Yr | 3 Yrs | 5 Yrs | Since Inception | |||||||||||||
A Shares (Incep: 2/1/07) | ||||||||||||||||
Without sales charge | 8.22 | % | 31.15 | % | 5.29 | % | 6.24 | % | ||||||||
With sales charge | 3.33 | % | 29.14 | % | 4.33 | % | 5.30 | % | ||||||||
MSCI AC World ex-U.S. Growth Index | ||||||||||||||||
(Since 2/1/07) | -6.26 | % | 18.86 | % | -0.81 | % | -0.32 | % | ||||||||
4 This page is not part of the Semi-Annual Report.
diversifying across a large number of names, the team managing the Thornburg International Growth Fund believes that a more robust understanding 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 the team manages a growth portfolio, especially an international one, from Santa Fe, New Mexico. At Thornburg Investment Management, 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. The investment process allows the team to take a very broad view of what an attractively valued, international growth company looks like, and invest in those few companies that they believe provide the most attractive risk-reward trade-off. The result is a portfolio which at any given time will look quite unlike the MSCI AC World ex-U.S. Growth Index or the competition. All of this is done with a goal of providing attractive, consistent returns over the long term.
STOCKS CONTRIBUTING AND DETRACTING
FOR THE SIX MONTHS ENDED 3/31/12
Top Contributors | Top Detractors | |
| MercadoLibre, Inc. | SuperGroup plc | |
| Jubilant FoodWorks Ltd. | Blinkx plc | |
| Baidu Inc. ADR | Xing AG | |
| Covidien plc | Start Today Co., Ltd. | |
| Regus plc | Kakaku.com, Inc. | |
| Source: FactSet | ||
KEY PORTFOLIO ATTRIBUTES
As of 3/31/12
Portfolio P/E Trailing 12-months* | 24.7x | |||
Portfolio Price to Cash Flow* | 14.1x | |||
Portfolio Price to Book Value* | 3.9x | |||
Median Market Cap* | $ | 2.8 B | ||
Number of Companies | 46 | |||
| * | Source: FactSet |
MARKET CAPITALIZATION EXPOSURE
As of 3/31/12
BASKET STRUCTURE
As of 3/31/12
This page is not part of the Semi-Annual Report. 5
Thornburg International Growth Fund
March 31, 2012
Table of Contents | ||||
| 7 | ||||
| 10 | ||||
| 14 | ||||
| 16 | ||||
| 18 | ||||
| 19 | ||||
| 28 | ||||
| 30 | ||||
| 31 | ||||
| 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.
6 Certified Semi-Annual Report
Greg Dunn Portfolio Manager
Tim Cunningham, CFA Portfolio Manager | April 18, 2012
Dear Fellow Shareholder:
For the six months ended March 31, 2012 the Thornburg International Growth Fund generated performance roughly in line with its benchmark, the MSCI AC World ex-U.S. Growth Index. The Fund’s Class A shares returned 16.24% at net asset value (NAV) versus 16.36% for the index. On September 30, 2011, the NAV for the Class A shares was $13.37; on March 31, 2012, the NAV of the Class A shares was $15.54. After a period of market correction and reduced investor appetite for risk, stocks rebounded strongly as global macroeconomic concerns abated slightly. As the gradual recovery in the United States continued, public company results exceeded investor expectations.
The energy, consumer discretionary, industrial, and information technology sectors performed best during the period. The Fund was overweight in consumer discretionary and information technology, but underweight in energy and industrials. Consumer staples and financials also performed well, but we were significantly underweight there, which detracted from performance. The currency effect was also a slight headwind during the six months. The worst performing sectors were utilities, telecommunications services, and materials – all of which we underweighted. Our allocation decisions are not top-down. They are driven by our bottom-up, fundamental analysis. For that reason, we tend to give more attention to the effect of individual security selection, which was slightly positive.
Top contributors to performance included MercadoLibre, Jubilant FoodWorks Ltd., Baidu, Covidien, and Regus plc. MercadoLibre is an eBay-like e-commerce platform serving Latin America. The company benefits from long-term structural trends of increased broadband penetration in Latin America and the movement from offline to online retail, while facing relatively little competition in most markets. The company recently revamped its platform and website, offering buyers and sellers a number of new features. Following the changes, gross merchandise value (the value of goods and services sold on the site) increased, which accelerated revenue growth.
Jubilant FoodWorks operates the Domino’s Pizza chain in India. The company’s business has progressed nicely on a combination of increased consumer disposable incomes and increased willingness to spend. The company benefited from a broad rally in risk assets, as emerging market equities posted strong gains. India was among the best performing markets in the world.
Baidu is the largest web search engine in China. Like Google in the United States, Baidu dominates search advertising in China. The company continues to grow revenues, as |
Certified Semi-Annual Report 7
| Letter to Shareholders, | ||
Continued | ||
more and more Chinese people gain access to the Internet, and spend more time online. A transition to a new search algorithm called Phoenix Nest is providing better results for customers and driving up prices paid for keywords.
Covidien is a company we have held in the Fund before (it was a top contributor during that holding period also). We repurchased the stock after a significant decline for the same reason we initially bought it. In our view, Covidien was mispriced due to lingering concerns about the company’s pharmaceutical business, which composes a relatively small portion of revenues. As investors’ attention returned to the core medical devices business, the stock appreciated. The company also announced its intention to spin off the pharmaceutical business, which should further clarify the issue.
Regus is a provider of global office outsourcing services, offering temporary office space rental. The stock is leveraged to global gross domestic product (GDP) and rallied as the outlook for world economies improved. We sold the stock when it reached our price target.
Detractors to performance included SuperGroup, Blinkx, Xing, Start Today, and Kakaku.com. SuperGroup is a U.K.-based purveyor of fashion-forward products distributed via their own stores and via department stores. After a stunning post-IPO period of strong market and business results, the company had difficulties sustaining the appeal of the brand, which drove a steep decline in share prices. Initially, we believed the problems were related to trying to keep up with very rapid growth, but ultimately became convinced that it was driven by weak demand (customers were not buying enough of their apparel) and sold the position.
Blinkx is an online video search engine, whose technology allows them to deliver better search results for online video. Online video is “ramping” extremely quickly as more and more people shift to online video viewing, which translates into strong growth for Blinkx. The stock had been a top performer in previous periods, but third quarter 2011 results missed expectations badly. Blinkx also closed a large acquisition that effectively changed the business model entirely. Blinkx then conducted a large, dilutive secondary offering to pay for the acquisition. The strategy was not communicated well to investors, who abandoned the stock en masse. We also sold the position on the news.
Xing is known as the LinkedIn of German-speaking countries. It is essentially a social network for business contacts. The company has carved out a strong leadership position in a small group of German-speaking countries. The penetration rates in their core markets are very high, making it difficult to add more users and to continue to grow revenues. We sold the position to make room for more attractive opportunities.
Start Today operates an online shopping mall in Japan essentially functioning as the outsourced e-commerce website for their retail partners. Start Today posted very impressive growth, but will likely fall short of management’s aggressive targets. This has created volatility, which we have traded around, selectively adding and trimming the position. We now have a substantial position and believe the stock is cheap relative to peers.
Kakaku.com is a Japanese price comparison website. End customers use the site to read reviews, specifications, and to price various products. Kakaku.com receives a portion of the sales price when that customer makes a purchase
8 Certified Semi-Annual Report
on a partner website. A large portion of revenues is derived from sales of home appliances. During the financial crisis, the Japanese government initiated a home appliance stimulus program, which pulled forward demand. That program has ended, and we have seen a notable slowdown in sales.
In January, Alex Motola announced his intention to retire as the portfolio manager of the Thornburg International Growth Fund; his last day is April 27, 2012. We wish Alex the best after having worked with him for several years. Over the last few months, Alex has transferred management to other team members, and gradually reduced his role. The process and philosophy applied to the International Growth Fund will not change. We continue to focus on identifying promising growth companies trading at a discount to their long-term values. We believe our disciplined bottom-up approach will lead us to attractive growth companies, and we work diligently to achieve that goal.
We encourage you to learn more about your portfolio. Quarterly updates, as well as descriptions of each holding, can be found at www.thornburg.com/funds. Thank you for your investment in the Thornburg International Growth Fund.
| Sincerely, | ||
 |  | |
| Greg Dunn | Tim Cunningham,CFA | |
| Managing Director | Managing Director | |
| Portfolio Manager | Portfolio Manager | |
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager, and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
Certified Semi-Annual Report 9
| SCHEDULE OF INVESTMENTS | ||
| Thornburg International Growth Fund | March 31, 2012 (Unaudited) | |
TOP TEN HOLDINGS
As of 3/31/12
Kabel Deutschland Holding AG | 3.1 | % | Baidu, Inc. ADR | 2.7 | % | |||||
Start Today Co., Ltd. | 3.1 | % | MercadoLibre, Inc. | 2.7 | % | |||||
Domino’s Pizza UK & IRL plc | 3.1 | % | Jubilant FoodWorks Ltd. | 2.6 | % | |||||
Carnival Corp. | 3.0 | % | Yandex NV | 2.5 | % | |||||
InterXion Holding NV | 3.0 | % | ASOS plc | 2.5 | % |
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/12
Software & Services | 24.0 | % | Energy | 3.4 | % | |||||
Retailing | 14.0 | % | Media | 3.1 | % | |||||
Consumer Services | 11.0 | % | Capital Goods | 2.3 | % | |||||
Semiconductors & Semiconductor Equipment | 5.5 | % | Telecommunication Services | 2.2 | % | |||||
Materials | 4.8 | % | Pharmaceuticals, Biotechnology & Life Sciences | 2.0 | % | |||||
Health Care Equipment & Services | 4.7 | % | Commercial & Professional Services | 1.8 | % | |||||
Diversified Financials | 4.6 | % | Utilities | 1.5 | % | |||||
Transportation | 4.5 | % | Consumer Durables & Apparel | 1.0 | % | |||||
Food & Staples Retailing | 3.7 | % | Other Assets & Cash Equivalents | 5.9 | % |
SUMMARY OF COUNTRY EXPOSURE
As of 3/31/12 (percent of equity holdings)
United Kingdom | 18.3 | % | Argentina | 2.8 | % | |||||
United States | 11.2 | % | Russia | 2.7 | % | |||||
Germany | 9.9 | % | France | 2.6 | % | |||||
China | 7.7 | % | Italy | 2.6 | % | |||||
Denmark | 5.1 | % | Philippines | 2.5 | % | |||||
Israel | 4.8 | % | Indonesia | 2.3 | %�� | |||||
India | 4.6 | % | Australia | 2.1 | % | |||||
Japan | 4.4 | % | Spain | 2.1 | % | |||||
Ireland | 4.3 | % | Costa Rica | 1.4 | % | |||||
Netherlands | 3.2 | % | Hong Kong | 1.4 | % | |||||
Canada | 2.9 | % | Brazil | 1.1 | % |
10 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg International Growth Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
COMMON STOCK — 94.15% | ||||||||
CAPITAL GOODS — 2.29% | ||||||||
MACHINERY — 2.29% | ||||||||
aWabco Holdings, Inc. | 144,568 | $ | 8,743,473 | |||||
|
| |||||||
| 8,743,473 | ||||||||
|
| |||||||
COMMERCIAL & PROFESSIONAL SERVICES — 1.84% | ||||||||
PROFESSIONAL SERVICES — 1.84% | ||||||||
Experian plc | 449,000 | 6,998,624 | ||||||
|
| |||||||
| 6,998,624 | ||||||||
|
| |||||||
CONSUMER DURABLES & APPAREL — 0.99% | ||||||||
TEXTILES, APPAREL & LUXURY GOODS — 0.99% | ||||||||
Restoque Comercio e Confeccoes de Roupas SA | 183,200 | 3,783,527 | ||||||
|
| |||||||
| 3,783,527 | ||||||||
|
| |||||||
CONSUMER SERVICES — 11.01% | ||||||||
HOTELS, RESTAURANTS & LEISURE — 11.01% | ||||||||
Carnival Corp. | 359,100 | 11,519,928 | ||||||
Domino’s Pizza UK & IRL plc | 1,723,700 | 11,899,470 | ||||||
aJubilant FoodWorks Ltd. | 442,103 | 10,085,624 | ||||||
Las Vegas Sands Corp. | 147,500 | 8,491,575 | ||||||
|
| |||||||
| 41,996,597 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 4.58% | ||||||||
CAPITAL MARKETS — 2.32% | ||||||||
Hargreaves Lansdown plc | 1,137,500 | 8,862,455 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 2.26% | ||||||||
Citigroup, Inc. | 235,800 | 8,618,490 | ||||||
|
| |||||||
| 17,480,945 | ||||||||
|
| |||||||
ENERGY — 3.39% | ||||||||
OIL, GAS & CONSUMABLE FUELS — 3.39% | ||||||||
Cenovus Energy, Inc. | 170,800 | 6,147,396 | ||||||
CNOOC Ltd. | 3,296,000 | 6,774,042 | ||||||
|
| |||||||
| 12,921,438 | ||||||||
|
| |||||||
FOOD & STAPLES RETAILING — 3.69% | ||||||||
FOOD & STAPLES RETAILING — 3.69% | ||||||||
PriceSmart, Inc. | 70,682 | 5,146,356 | ||||||
aPuregold Price Club, Inc. | 18,794,800 | 8,930,102 | ||||||
|
| |||||||
| 14,076,458 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SERVICES — 4.67% | ||||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 2.21% | ||||||||
Covidien plc | 154,042 | 8,423,016 | ||||||
HEALTH CARE PROVIDERS & SERVICES — 2.46% | ||||||||
Orpea | 265,175 | 9,377,396 | ||||||
|
| |||||||
| 17,800,412 | ||||||||
|
| |||||||
Certified Semi-Annual Report 11
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg International Growth Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
MATERIALS — 4.83% | ||||||||
CHEMICALS — 4.83% | ||||||||
Chr. Hansen Holding | 355,734 | $ | 9,206,558 | |||||
Novozymes AS | 316,000 | 9,203,333 | ||||||
|
| |||||||
| 18,409,891 | ||||||||
|
| |||||||
MEDIA — 3.15% | ||||||||
MEDIA — 3.15% | ||||||||
aKabel Deutschland Holding AG | 194,400 | 12,006,850 | ||||||
|
| |||||||
| 12,006,850 | ||||||||
|
| |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 1.94% | ||||||||
BIOTECHNOLOGY — 1.94% | ||||||||
aGrifols SA | 323,183 | 6,896,465 | ||||||
aGrifols SA-B | 32,318 | 499,989 | ||||||
|
| |||||||
| 7,396,454 | ||||||||
|
| |||||||
RETAILING — 14.05% | ||||||||
INTERNET & CATALOG RETAIL — 11.66% | ||||||||
aASOS plc | 329,700 | 9,397,475 | ||||||
aMakeMyTrip Ltd. | 281,989 | 6,477,287 | ||||||
Start Today Co., Ltd. | 647,300 | 11,926,211 | ||||||
aYOOX S.p.A | 589,000 | 9,355,890 | ||||||
azooplus AG | 131,601 | 7,310,250 | ||||||
MULTILINE RETAIL — 1.11% | ||||||||
Dollarama, Inc. | 90,800 | 4,234,815 | ||||||
SPECIALTY RETAIL — 1.28% | ||||||||
Hengdeli Holdings Ltd. | 11,616,000 | 4,861,471 | ||||||
|
| |||||||
| 53,563,399 | ||||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 5.49% | ||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 5.49% | ||||||||
Arm Holdings plc | 510,700 | 4,835,842 | ||||||
aDialog Semiconductor plc | 288,300 | 7,042,220 | ||||||
Infineon Technologies AG | 885,000 | 9,048,365 | ||||||
|
| |||||||
| 20,926,427 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 24.02% | ||||||||
INFORMATION TECHNOLOGY SERVICES — 3.00% | ||||||||
aInterXion Holding NV | 636,717 | 11,429,070 | ||||||
INTERNET SOFTWARE & SERVICES — 13.93% | ||||||||
aBaidu, Inc. ADR | 70,612 | 10,293,111 | ||||||
Bit-isle, Inc. | 367,200 | 3,904,023 | ||||||
carsales.com Ltd. | 1,325,600 | 7,620,830 | ||||||
MercadoLibre, Inc. | 103,637 | 10,134,662 | ||||||
aQihoo 360 Technologies Co., Ltd. ADR | 114,400 | 2,797,080 | ||||||
aTelecity Group plc | 734,480 | 8,658,287 | ||||||
aYandex NV | 361,000 | 9,700,070 | ||||||
SOFTWARE — 7.09% | ||||||||
aAllot Communications Ltd. | 332,405 | 7,728,416 | ||||||
aCheck Point Software Technologies Ltd. | 147,200 | 9,397,248 | ||||||
aImperva, Inc. | 126,140 | 4,938,381 | ||||||
12 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg International Growth Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
aMonitise plc | 8,086,200 | $ | 4,979,546 | |||||
|
| |||||||
| 91,580,724 | ||||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 2.20% | ||||||||
WIRELESS TELECOMMUNICATION SERVICES — 2.20% | ||||||||
Tower Bersama Infrastructure | 25,994,700 | 8,386,304 | ||||||
|
| |||||||
| 8,386,304 | ||||||||
|
| |||||||
TRANSPORTATION — 4.51% | ||||||||
AIR FREIGHT & LOGISTICS — 2.45% | ||||||||
Expeditors International of Washington, Inc. | 201,300 | 9,362,463 | ||||||
TRANSPORTATION INFRASTRUCTURE — 2.06% | ||||||||
China Merchants Holdings International Co., Ltd. | 2,348,700 | 7,848,609 | ||||||
|
| |||||||
| 17,211,072 | ||||||||
|
| |||||||
UTILITIES — 1.50% | ||||||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 1.50% | ||||||||
aAPR Energy plc | 379,400 | 5,734,739 | ||||||
|
| |||||||
| 5,734,739 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $310,903,489) | 359,017,334 | |||||||
|
| |||||||
SHORT TERM INVESTMENTS — 5.79% | ||||||||
Arizona Public Service, 0.45%, 4/2/2012 | $ | 11,708,000 | 11,707,854 | |||||
Northern Illinois Gas Corp., 0.35%, 4/2/2012 | 10,392,000 | 10,391,899 | ||||||
|
| |||||||
TOTAL SHORT TERM INVESTMENTS (Cost $22,099,753) | 22,099,753 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.94% (Cost $333,003,242) | $ | 381,117,087 | ||||||
OTHER ASSETS LESS LIABILITIES — 0.06% | 215,388 | |||||||
|
| |||||||
NET ASSETS — 100.00% | $ | 381,332,475 | ||||||
|
| |||||||
Footnote Legend
| a | 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 13
| STATEMENT OF ASSETS AND LIABILITIES | ||
| Thornburg International Growth Fund | March 31, 2012 (Unaudited) | |
ASSETS | ||||
Investments at value (cost $333,003,242) (Note 2) | $ | 381,117,087 | ||
Cash | 86,424 | |||
Cash denominated in foreign currency (cost $144,873) | 147,911 | |||
Receivable for investments sold | 5,844,144 | |||
Receivable for fund shares sold | 3,078,770 | |||
Unrealized appreciation on forward currency contracts (Note 7) | 926,957 | |||
Dividends receivable | 580,384 | |||
Dividend and interest reclaim receivable | 18,799 | |||
Prepaid expenses and other assets | 95,587 | |||
|
| |||
Total Assets | 391,896,063 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 7,593,011 | |||
Payable for fund shares redeemed | 1,383,938 | |||
Unrealized depreciation on forward currency contracts (Note 7) | 875,660 | |||
Payable to investment advisor and other affiliates (Note 3) | 358,215 | |||
Deferred taxes payable | 317,214 | |||
Accounts payable and accrued expenses | 35,550 | |||
|
| |||
Total Liabilities | 10,563,588 | |||
|
| |||
NET ASSETS | $ | 381,332,475 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment income | $ | (322,103 | ) | |
Net unrealized appreciation on investments | 47,855,168 | |||
Accumulated net realized gain (loss) | (25,550,297 | ) | ||
Net capital paid in on shares of beneficial interest | 359,349,707 | |||
|
| |||
| $ | 381,332,475 | |||
|
| |||
14 Certified Semi-Annual Report
| STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
| Thornburg International Growth Fund | March 31, 2012 (Unaudited) | |
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($185,499,193 applicable to 11,936,947 shares of beneficial interest outstanding - Note 4) | $ | 15.54 | ||
Maximum sales charge, 4.50% of offering price | 0.73 | |||
|
| |||
Maximum offering price per share | $ | 16.27 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($48,352,194 applicable to 3,159,032 shares of beneficial interest outstanding -Note 4) | $ | 15.31 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($129,141,485 applicable to 8,200,269 shares of beneficial interest outstanding - Note 4) | $ | 15.75 | ||
|
| |||
Class R3 Shares: | ||||
Net asset value, offering and redemption price per share ($4,937,948 applicable to 318,737 shares of beneficial interest outstanding - Note 4) | $ | 15.49 | ||
|
| |||
Class R4 Shares: | ||||
Net asset value, offering and redemption price per share ($2,787,667 applicable to 180,393 shares of beneficial interest outstanding - Note 4) | $ | 15.45 | ||
|
| |||
Class R5 Shares: | ||||
Net asset value, offering and redemption price per share ($10,613,988 applicable to 672,319 shares of beneficial interest outstanding - Note 4) | $ | 15.79 | ||
|
| |||
| * | 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 15
| STATEMENT OF OPERATIONS | ||
| Thornburg International Growth Fund | Six Months Ended March 31, 2012 (Unaudited) | |
INVESTMENT INCOME: | ||||
Dividend income (net of foreign taxes withheld of $19,786) | $ | 1,718,753 | ||
Interest income | 17,424 | |||
|
| |||
Total Income | 1,736,177 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 1,284,818 | |||
Administration fees (Note 3) | ||||
Class A Shares | 88,532 | |||
Class C Shares | 25,377 | |||
Class I Shares | 25,126 | |||
Class R3 Shares | 1,830 | |||
Class R4 Shares | 999 | |||
Class R5 Shares | 1,597 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 177,518 | |||
Class C Shares | 203,272 | |||
Class R3 Shares | 7,368 | |||
Class R4 Shares | 2,020 | |||
Transfer agent fees | ||||
Class A Shares | 74,687 | |||
Class C Shares | 28,844 | |||
Class I Shares | 23,548 | |||
Class R3 Shares | 3,937 | |||
Class R4 Shares | 1,982 | |||
Class R5 Shares | 1,030 | |||
Registration and filing fees | ||||
Class A Shares | 15,398 | |||
Class C Shares | 12,196 | |||
Class I Shares | 22,773 | |||
Class R3 Shares | 9,710 | |||
Class R4 Shares | 9,679 | |||
Class R5 Shares | 9,679 | |||
Custodian fees (Note 3) | 96,929 | |||
Professional fees | 25,009 | |||
Accounting fees | 2,851 | |||
Trustee fees | 3,880 | |||
Other expenses | 35,366 | |||
|
| |||
Total Expenses | 2,195,955 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (117,046 | ) | ||
Fees paid indirectly (Note 3) | (53 | ) | ||
|
| |||
Net Expenses | 2,078,856 | |||
|
| |||
Net Investment Loss | $ | (342,679 | ) | |
|
| |||
16 Certified Semi-Annual Report
| STATEMENT OF OPERATIONS, CONTINUED | ||
| Thornburg International Growth Fund | Six Months Ended March 31, 2012 (Unaudited) | |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from: | ||||
Investments | $ | (12,256,976 | ) | |
Forward currency contracts (Note 7) | 975,641 | |||
Foreign currency transactions | (1,053,415 | ) | ||
|
| |||
| (12,334,750 | ) | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (net of change in deferred taxes payable of $317,214) | 58,288,591 | |||
Forward currency contracts (Note 7) | (459,487 | ) | ||
Foreign currency translations | 1,173,437 | |||
|
| |||
| 59,002,541 | ||||
|
| |||
Net Realized and Unrealized Gain | 46,667,791 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 46,325,112 | ||
|
|
See notes to financial statements.
Certified Semi-Annual Report 17
| STATEMENTS OF CHANGES IN NET ASSETS | ||
| Thornburg International Growth Fund | ||
| Six Months Ended March 31, 2012* | Year Ended September 30, 2011 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS: | ||||||||
Net investment income (loss) | $ | (342,679 | ) | $ | 289,944 | |||
Net realized gain (loss) on investments, forward currency contracts, and foreign currency transactions | (12,334,750 | ) | 22,326,541 | |||||
Net unrealized appreciation (depreciation) on investments, forward currency contracts, foreign currency translations, and deferred taxes | 59,002,541 | (23,506,648 | ) | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 46,325,112 | (890,163 | ) | |||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (11,312 | ) | (125,932 | ) | ||||
Class I Shares | (245,484 | ) | (269,792 | ) | ||||
Class R3 Shares | (928 | ) | (3,181 | ) | ||||
Class R4 Shares | (4,505 | ) | (10 | ) | ||||
Class R5 Shares | (19,885 | ) | (991 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 59,483,410 | 71,401,549 | ||||||
Class C Shares | 6,359,199 | 9,489,209 | ||||||
Class I Shares | 36,726,600 | 36,053,441 | ||||||
Class R3 Shares | 2,468,300 | 801,199 | ||||||
Class R4 Shares | 2,383,223 | 163,213 | ||||||
Class R5 Shares | 9,242,314 | 214,537 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 162,706,044 | 116,833,079 | ||||||
NET ASSETS: | ||||||||
Beginning of Period | 218,626,431 | 101,793,352 | ||||||
|
|
|
| |||||
End of Period | $ | 381,332,475 | $ | 218,626,431 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | — | $ | 302,690 | ||||
| * | Unaudited. |
See notes to financial statements.
18 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS | ||
| Thornburg International Growth Fund | March 31, 2012 (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 Fund is currently one of sixteen separate series of the Trust. 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). 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 of purchase, 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 may be subject to a service fee, (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 Investments: 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 ask 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.
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 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 obligations of comparable quality, type of issue, coupon, maturity and rating, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
Quotations in foreign currencies for foreign portfolio investments are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
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 procedures approved by the Trustees, which may include the use of a price obtained from an independent pricing service. The pricing service ordinarily values equity securities in these instances using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures and index data and other data. 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, or an unusual event or significant period of time occurring since the availability of a market quotation, create a question about the reliability of the security’s market value.
Certified Semi-Annual Report 19
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg International Growth Fund | March 31, 2012 (Unaudited) | |
In any case where a pricing service fails to provide a price for a debt obligation held by the Fund, the valuation and pricing committee determines a fair value for the debt obligation using procedures approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt obligation 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 obligation.
In determining fair value for any portfolio security or other investment, the valuation and pricing committee seeks to determine the amount that an owner of the investment might reasonably expect to receive upon a sale of the investment. However, because fair value prices are estimated prices, the valuation and pricing committee’s determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Fund’s financial statements. The valuation and pricing committee’s determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation Measurements: Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three levels listed below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment rates, credit risk, etc.).
Level 3: Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
The following table displays a summary of the inputs used to value the Fund’s net assets as of March 31, 2012. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
| Fair Value Measurements at March 31, 2012 | ||||||||||||||||
| Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities* | ||||||||||||||||
Common Stock | $ | 359,017,334 | $ | 359,017,334 | $ | — | $ | — | ||||||||
Short Term Investments | 22,099,753 | — | 22,099,753 | — | ||||||||||||
Total Investments in Securities | $ | 381,117,087 | $ | 359,017,334 | $ | 22,099,753 | $ | — | ||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | 926,957 | $ | — | $ | 926,957 | $ | — | ||||||||
Spot Currency | $ | 35,032 | $ | 35,032 | $ | — | $ | — | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | (875,660 | ) | $ | — | $ | (875,660 | ) | $ | — | ||||||
Spot Currency | $ | (698 | ) | $ | (698 | ) | $ | — | $ | — | ||||||
| * | See Schedule of Investments for a summary of the industry exposure as grouped according to the Global Industry Classification Standard (GICS), which is an industry taxonomy developed by MSCI, Inc. and Standard & Poor’s (S&P). |
| ** | 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 investment. |
Other Notes: It is the policy of the Fund to recognize significant transfers between Levels 1, 2 and 3 and to disclose those transfers as of the date of the underlying event which caused the movement. The Fund recognized no significant transfers between levels for the six months ended March 31, 2012.
20 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg International Growth Fund | March 31, 2012 (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. Such spot contracts are included in Receivable for investments sold and Payable for investments purchased on the Statement of Assets and Liabilities.
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 purchases and 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 to shareholders substantially all taxable income, including any net realized gain on investments of the Fund. Therefore, no provision for federal income taxes is required.
Management reviews each uncertain tax position believed to be material to the preparation of the Fund’s financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of March 31, 2012, management has not identified any such position for which a liability must be reflected in the Statement of Assets and Liabilities. The Fund’s tax returns remain subject to examination for three years after filing.
When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with 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 Fund makes a commitment to purchase a security on a when-issued or delayed delivery 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, if any, 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
Certified Semi-Annual Report 21
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg International Growth Fund | March 31, 2012 (Unaudited) | |
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, 2012, 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 has also 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, 2012, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $5,936 for Class A shares, $2,476 for Class C shares, $69,765 for Class I shares, $15,324 for Class R3 shares, $11,371 for Class R4 shares, and $12,174 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, 2012, the Distributor has advised the Fund that it earned commissions aggregating $13,540 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $6,876 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. For the six months ended March 31, 2012, there were no 12b-1 service plan fees charged for Class I and R5 shares. 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 shares, and an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class R3 shares. Total fees incurred by the Fund for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2012, 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 are 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, 2012, fees paid indirectly were $53.
Certain officers and Trustees of the Trust are also officers 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, 2012, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
22 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg International Growth Fund | March 31, 2012 (Unaudited) | |
| Six Months Ended March 31, 2012 (Unaudited) | Year Ended September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 6,610,209 | $ | 94,198,331 | 6,155,661 | $ | 89,652,304 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 614 | 9,582 | 8,126 | 111,333 | ||||||||||||
Shares repurchased | (2,518,553 | ) | (34,732,152 | ) | (1,300,594 | ) | (18,367,562 | ) | ||||||||
Redemption fees received* | — | 7,649 | — | 5,474 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 4,092,270 | $ | 59,483,410 | 4,863,193 | $ | 71,401,549 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 776,174 | $ | 10,782,975 | 1,070,622 | $ | 15,291,607 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (316,862 | ) | (4,425,975 | ) | (409,267 | ) | (5,804,582 | ) | ||||||||
Redemption fees received* | — | 2,199 | — | 2,184 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 459,312 | $ | 6,359,199 | 661,355 | $ | 9,489,209 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 4,427,681 | $ | 62,823,922 | 5,109,347 | $ | 74,394,059 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 12,048 | 190,595 | 16,332 | 225,702 | ||||||||||||
Shares repurchased | (1,816,240 | ) | (26,293,231 | ) | (2,713,559 | ) | (38,570,995 | ) | ||||||||
Redemption fees received* | — | 5,314 | — | 4,675 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,623,489 | $ | 36,726,600 | 2,412,120 | $ | 36,053,441 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 204,278 | $ | 2,893,437 | 84,069 | $ | 1,212,823 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 44 | 683 | 230 | 3,141 | ||||||||||||
Shares repurchased | (29,954 | ) | (425,970 | ) | (29,493 | ) | (414,869 | ) | ||||||||
Redemption fees received* | — | 150 | — | 104 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 174,368 | $ | 2,468,300 | 54,806 | $ | 801,199 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 196,765 | $ | 2,775,713 | 44,069 | $ | 659,533 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 209 | 3,239 | 1 | 10 | ||||||||||||
Shares repurchased | (27,524 | ) | (395,812 | ) | (33,366 | ) | (496,336 | ) | ||||||||
Redemption fees received* | — | 83 | — | 6 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 169,450 | $ | 2,383,223 | 10,704 | $ | 163,213 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 683,757 | $ | 9,829,993 | 18,219 | $ | 259,606 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 1,254 | 19,885 | 71 | 991 | ||||||||||||
Shares repurchased | (41,670 | ) | (607,895 | ) | (3,113 | ) | (46,079 | ) | ||||||||
Redemption fees received* | — | 331 | — | 19 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 643,341 | $ | 9,242,314 | 15,177 | $ | 214,537 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Certified Semi-Annual Report 23
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg International Growth Fund | March 31, 2012 (Unaudited) | |
| * | The Fund previously charged a redemption fee of 1% of the Class A and Class I shares redeemed or exchanged within 30 days of purchase. Effective February 1, 2012, the Fund stopped imposing this redemption fee. Redemption fees that were charged to any class prior to February 1, 2012 were 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, 2012, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $295,129,949 and $179,206,689, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2012, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 333,003,242 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 52,871,099 | ||
Gross unrealized depreciation on a tax basis | (4,757,254 | ) | ||
|
| |||
Net unrealized appreciation (depreciation)on investments (tax basis) | $ | 48,113,845 | ||
|
|
At March 31, 2012, the Fund had tax basis capital losses of $12,573,148, 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 in the year ending September 30, 2018.
The Regulated Investment Company Modernization Act of 2010 (the “Act”) was signed into law on December 22, 2010. The Act makes changes to a number of tax rules impacting the Fund. Under the Act, future capital losses generated by the Fund may be carried over indefinitely, but these losses must be used prior to the utilization of any pre-enactment capital losses. Since pre-enactment capital losses may only be carried forward for eight years, there may be a greater likelihood that all or a portion of a Fund’s pre-enactment capital losses will expire unused. In general, the provisions of the Act will be effective for the Fund’s fiscal year ending September 30, 2012.
NOTE 7 – DERIVATIVE FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
The Fund may use a variety of derivative financial instruments to hedge or adjust the risks affecting its investment portfolio or to enhance investment returns. Provisions of FASB Accounting Standards Codification ASC 815-10-50 (“ASC 815”), require certain disclosures. The disclosures are intended to provide users of financial statements with an understanding of the use of derivative instruments by the Fund and how these derivatives affect the financial position, financial performance and cash flows of the Fund. The Fund does not designate any derivative instruments as hedging instruments under ASC 815. During the six months ended March 31, 2012, the Fund’s principal exposure to derivative financial instruments of the type addressed by ASC 815 was investment in foreign exchange contracts. A foreign exchange contract is an agreement between two parties to exchange different currencies at a specified rate of exchange at an agreed upon future date. Foreign exchange contracts involve risks to the Fund, including the risk that a contract counterparty will not meet its obligations to the Fund, the risk that a change in a contract’s value may not correlate perfectly with the currency the contract was intended to track, and the risk that the Fund’s advisor is unable to correctly implement its strategy in using a contract. In any such instance, the Fund may not achieve the intended benefit of entering into a contract, and may experience a loss. Additionally, the Fund’s risk of loss may exceed the amounts recognized on the Statement of Assets and Liabilities.
The Fund entered into forward currency contracts during the six months ended March 31, 2012 in the normal course of pursuing its investment objectives, in anticipation of purchasing foreign investments or with the intent of reducing the risk to the value of the
24 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg International Growth Fund | March 31, 2012 (Unaudited) | |
Fund’s foreign investments 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 investment transactions.
These contracts are accounted for by the Fund under ASC 815. Unrealized gains and unrealized losses on outstanding contracts are reported in the Fund’s Statement of Assets and Liabilities 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 each contract’s inception date. Net realized gain (loss) on contracts closed during the period, and changes in net unrealized appreciation (depreciation) on outstanding contracts are recognized in the Fund’s Statement of Operations. Values of open currency contracts are indicative of the activity for the six months ended March 31, 2012.
The following table displays the outstanding forward currency contracts at March 31, 2012:
Outstanding Forward Currency Contracts
to Buy or Sell at March 31, 2012
Contract Description | Buy/Sell | Contract Amount | Contract Value Date | Value USD | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Australian Dollar | Sell | 1,759,500 | 05/08/2012 | 1,815,406 | $ | — | $ | (20,540 | ) | |||||||||||||||
Australian Dollar | Sell | 4,369,000 | 05/08/2012 | 4,507,821 | — | (66,732 | ) | |||||||||||||||||
Euro | Sell | 22,739,700 | 09/20/2012 | 30,358,949 | — | (429,638 | ) | |||||||||||||||||
Great Britain Pound | Sell | 9,416,200 | 09/21/2012 | 15,044,050 | — | (146,115 | ) | |||||||||||||||||
Japanese Yen | Sell | 681,712,500 | 07/10/2012 | 8,243,835 | 630,781 | — | ||||||||||||||||||
Japanese Yen | Sell | 553,491,200 | 07/10/2012 | 6,693,276 | 111,888 | — | ||||||||||||||||||
South African Rand | Buy | 24,830,300 | 06/08/2012 | 3,206,293 | 184,288 | — | ||||||||||||||||||
South African Rand | Sell | 24,830,300 | 06/08/2012 | 3,206,293 | — | (212,635 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total | $ | 926,957 | $ | (875,660 | ) | |||||||||||||||||||
|
|
|
| |||||||||||||||||||||
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Fund’s Statement of Assets and Liabilities at March 31, 2012 is disclosed in the following table:
Fair Values of Derivative Financial Instruments
at March 31, 2012
Asset Derivatives | Balance Sheet Location | Fair Value | ||
| Foreign exchange contracts | Assets - Unrealized appreciation on forward currency contracts | $ 926,957 | ||
Liability Derivatives | Balance Sheet Location | Fair Value | ||
| Foreign exchange contracts | Liabilities - Unrealized depreciation on forward currency contracts | $(875,660) | ||
The realized gains (losses) from forward currency contracts, and the change in unrealized appreciation (depreciation) of outstanding forward currency contracts recognized in the Fund’s Statement of Operations for the six months ended March 31, 2012 are disclosed in the following tables:
Amount of Realized Gain (Loss)
on Derivative Financial Instruments Recognized in
Income for the Six Months Ended March 31, 2012
| Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | 975,641 | $ | 975,641 | ||||
Change in Unrealized Appreciation (Depreciation) of Derivative Financial Instruments Recognized in Income for the Six Months Ended March 31, 2012
|
| |||||||
| Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | (459,487 | ) | $ | (459,487 | ) | ||
Certified Semi-Annual Report 25
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg International Growth Fund | March 31, 2012 (Unaudited) | |
OTHER NOTES:
Risks: The Fund’s investments subject it to risks including, but not limited to, management risk, market and economic risk, risks affecting specific issuers, liquidity risk, the risks associated with investments in smaller companies and non-U.S. issuers, credit risk, and interest rate risk. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund.
Subsequent Events: Fund management believes no events have occurred between March 31, 2012 and the date of issuance of the financial statements, which require adjustment to, or disclosure in the accompanying financial statements.
26 Certified Semi-Annual Report
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Certified Semi-Annual Report 27
Thornburg International Growth Fund
| PER SHARE PERFORMANCE (for a share outstanding throughout the Period)+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless | Net Asset Value Beginning of Period | Net Investment Income (Loss) | Net Realized & Unrealized Gain (Loss) on Investments | Total from Investment Operations | Dividends from Net Investment Income | Dividends from Net Realized Gains | Total Dividends | Net | Net Investment Income (Loss) (%) | Expenses, After Expense Reductions (%) | Expenses, After Expense Reductions and Net of Custody Credits (%) | Expenses, Before Expense Reductions (%) | Total Return (%)(a) | Portfolio Turnover Rate (%) | Net Assets at End of Period (Thousands) | |||||||||||||||||||||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b)(c) | $ | 13.37 | (0.02 | ) | 2.19 | 2.17 | — | (i) | — | — | $15.54 | (0.28 | )(d) | 1.48 | (d) | 1.48 | (d) | 1.49 | (d) | 16.24 | 64.87 | $ | 185,499 | |||||||||||||||||||||||||||||||||||
2011(c) | $ | 12.25 | 0.03 | 1.13 | 1.16 | (0.04 | ) | — | (0.04 | ) | $13.37 | 0.19 | 1.51 | 1.50 | 1.54 | 9.43 | 142.59 | $ | 104,918 | |||||||||||||||||||||||||||||||||||||||
2010(c) | $ | 10.36 | — | (e) | 1.94 | 1.94 | (0.05 | ) | — | (0.05 | ) | $12.25 | (0.02 | ) | 1.61 | 1.60 | 1.70 | 18.82 | 128.86 | $ | 36,527 | |||||||||||||||||||||||||||||||||||||
2009(c) | $ | 10.35 | 0.04 | 0.10 | 0.14 | (0.13 | ) | — | (0.13 | ) | $10.36 | 0.52 | 1.62 | 1.61 | 1.95 | 1.89 | 103.57 | $ | 24,015 | |||||||||||||||||||||||||||||||||||||||
2008(c) | $ | 14.92 | 0.07 | (4.27 | ) | (4.20 | ) | — | (0.37 | ) | (0.37 | ) | $10.35 | 0.53 | 1.56 | 1.55 | 1.63 | (28.98 | ) | 54.31 | $ | 28,414 | ||||||||||||||||||||||||||||||||||||
2007(c)(f) | $ | 11.94 | (0.03 | ) | 3.01 | 2.98 | — | — | — | $14.92 | (0.29 | )(d) | 1.64 | (d) | 1.62 | (d) | 2.10 | (d) | 24.96 | 113.34 | $ | 25,145 | ||||||||||||||||||||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 13.23 | (0.08 | ) | 2.16 | 2.08 | — | — | — | $15.31 | (1.15 | )(d) | 2.30 | (d) | 2.30 | (d) | 2.32 | (d) | 15.72 | 64.87 | $ | 48,352 | ||||||||||||||||||||||||||||||||||||
2011 | $ | 12.18 | (0.11 | ) | 1.16 | 1.05 | — | — | — | $13.23 | (0.77 | ) | 2.30 | 2.30 | 2.34 | 8.62 | 142.59 | $ | 35,706 | |||||||||||||||||||||||||||||||||||||||
2010 | $ | 10.33 | (0.09 | ) | 1.94 | 1.85 | — | — | — | $12.18 | (0.81 | ) | 2.38 | 2.38 | 2.51 | 17.91 | 128.86 | $ | 24,829 | |||||||||||||||||||||||||||||||||||||||
2009 | $ | 10.22 | (0.02 | ) | 0.18 | 0.16 | (0.05 | ) | — | (0.05 | ) | $10.33 | (0.21 | ) | 2.37 | 2.37 | 2.72 | 1.76 | 103.57 | $ | 19,233 | |||||||||||||||||||||||||||||||||||||
2008 | $ | 14.85 | (0.03 | ) | (4.23 | ) | (4.26 | ) | — | (0.37 | ) | (0.37 | ) | $10.22 | (0.23 | ) | 2.32 | 2.32 | 2.45 | (29.53 | ) | 54.31 | $ | 23,638 | ||||||||||||||||||||||||||||||||||
2007(f) | $ | 11.94 | (0.10 | ) | 3.01 | 2.91 | — | — | — | $14.85 | (1.13 | )(d) | 2.39 | (d) | 2.38 | (d) | 3.23 | (d) | 24.37 | 113.34 | $ | 12,376 | ||||||||||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 13.55 | 0.01 | 2.22 | 2.23 | (0.03 | ) | — | (0.03 | ) | $15.75 | 0.18 | (d) | 0.99 | (d) | 0.99 | (d) | 1.13 | (d) | 16.46 | 64.87 | $ | 129,141 | |||||||||||||||||||||||||||||||||||
2011 | $ | 12.38 | 0.10 | 1.14 | 1.24 | (0.07 | ) | — | (0.07 | ) | $13.55 | 0.66 | 0.99 | 0.98 | 1.16 | 10.03 | 142.59 | $ | 75,538 | |||||||||||||||||||||||||||||||||||||||
2010 | $ | 10.44 | 0.07 | 1.96 | 2.03 | (0.09 | ) | — | (0.09 | ) | $12.38 | 0.58 | 0.99 | 0.99 | 1.25 | 19.60 | 128.86 | $ | 39,169 | |||||||||||||||||||||||||||||||||||||||
2009 | $ | 10.46 | 0.10 | 0.08 | 0.18 | (0.20 | ) | — | (0.20 | ) | $10.44 | 1.17 | 0.99 | 0.99 | 1.42 | 2.56 | 103.57 | $ | 24,313 | |||||||||||||||||||||||||||||||||||||||
2008 | $ | 14.99 | 0.14 | (4.30 | ) | (4.16 | ) | — | (0.37 | ) | (0.37 | ) | $10.46 | 1.03 | 1.00 | 0.99 | 1.25 | (28.57 | ) | 54.31 | $ | 28,164 | ||||||||||||||||||||||||||||||||||||
2007(f) | $ | 11.94 | 0.05 | 3.00 | 3.05 | — | — | — | $14.99 | 0.52 | (d) | 1.01 | (d) | 0.99 | (d) | 1.64 | (d) | 25.54 | 113.34 | $ | 27,659 | |||||||||||||||||||||||||||||||||||||
Class R3 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 13.34 | (0.02 | ) | 2.17 | 2.15 | — | (i) | — | — | $15.49 | (0.28 | )(d) | 1.50 | (d) | 1.50 | (d) | 2.55 | (d) | 16.14 | 64.87 | $ | 4,938 | |||||||||||||||||||||||||||||||||||
2011 | $ | 12.22 | 0.01 | 1.15 | 1.16 | (0.04 | ) | — | (0.04 | ) | $13.34 | 0.06 | 1.50 | 1.49 | 3.27 | 9.46 | 142.59 | $ | 1,925 | |||||||||||||||||||||||||||||||||||||||
2010 | $ | 10.33 | 0.01 | 1.94 | 1.95 | (0.06 | ) | — | (0.06 | ) | $12.22 | 0.07 | 1.50 | 1.50 | 4.34 | 18.98 | 128.86 | $ | 1,094 | |||||||||||||||||||||||||||||||||||||||
2009 | $ | 10.36 | 0.08 | 0.06 | 0.14 | (0.17 | ) | — | (0.17 | ) | $10.33 | 0.94 | 1.46 | 1.46 | 6.14 | (g) | 2.09 | 103.57 | $ | 748 | ||||||||||||||||||||||||||||||||||||||
2008(h) | $ | 13.94 | 0.09 | (3.67 | ) | (3.58 | ) | — | — | — | $10.36 | 1.08 | (d) | 1.50 | (d) | 1.49 | (d) | 26.47 | (d)(g) | (25.68 | ) | 54.31 | $ | 113 | ||||||||||||||||||||||||||||||||||
Class R4 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 13.31 | (0.02 | ) | 2.19 | 2.17 | (0.03 | ) | — | (0.03 | ) | $15.45 | (0.22 | )(d) | 1.40 | (d) | 1.40 | (d) | 2.82 | (d) | 16.29 | 64.87 | $ | 2,788 | ||||||||||||||||||||||||||||||||||
2011 | $ | 12.18 | 0.07 | 1.10 | 1.17 | (0.04 | ) | — | (0.04 | ) | $13.31 | 0.46 | 1.40 | 1.40 | 32.23 | (g) | 9.62 | 142.59 | $ | 146 | ||||||||||||||||||||||||||||||||||||||
2010 | $ | 10.29 | 0.02 | 1.94 | 1.96 | (0.07 | ) | — | (0.07 | ) | $12.18 | 0.15 | 1.42 | 1.40 | 738.92 | (g) | 19.11 | 128.86 | $ | 3 | ||||||||||||||||||||||||||||||||||||||
2009 | $ | 10.36 | 0.07 | 0.06 | 0.13 | (0.20 | ) | — | (0.20 | ) | $10.29 | 0.82 | 1.40 | 1.40 | 980.09 | (g) | 2.10 | 103.57 | $ | 2 | ||||||||||||||||||||||||||||||||||||||
2008(h) | $ | 13.94 | 0.10 | (3.68 | ) | (3.58 | ) | — | — | — | $10.36 | 1.16 | (d) | 1.40 | (d) | 1.40 | (d) | 861.94 | (d)(g) | (25.68 | ) | 54.31 | $ | 2 | ||||||||||||||||||||||||||||||||||
Class R5 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 13.58 | 0.02 | 2.22 | 2.24 | (0.03 | ) | — | (0.03 | ) | $15.79 | 0.28 | (d) | 0.99 | (d) | 0.99 | (d) | 1.37 | (d) | 16.49 | 64.87 | $ | 10,614 | |||||||||||||||||||||||||||||||||||
2011 | $ | 12.40 | 0.08 | 1.17 | 1.25 | (0.07 | ) | — | (0.07 | ) | $13.58 | 0.55 | 0.99 | 0.99 | 10.60 | (g) | 10.09 | 142.59 | $ | 393 | ||||||||||||||||||||||||||||||||||||||
2010 | $ | 10.46 | (0.09 | ) | 2.12 | 2.03 | (0.09 | ) | — | (0.09 | ) | $12.40 | (0.83 | ) | 0.99 | 0.99 | 17.58 | (g) | 19.56 | 128.86 | $ | 171 | ||||||||||||||||||||||||||||||||||||
2009 | $ | 10.46 | 0.08 | 0.11 | 0.19 | (0.19 | ) | — | (0.19 | ) | $10.46 | 0.92 | 0.97 | 0.97 | 522.27 | (g) | 2.53 | 103.57 | $ | 9 | ||||||||||||||||||||||||||||||||||||||
2008(h) | $ | 14.03 | 0.14 | (3.71 | ) | (3.57 | ) | — | — | — | $10.46 | 1.57 | (d) | 0.96 | (d) | 0.95 | (d) | 851.43 | (d)(g) | (25.45 | ) | 54.31 | $ | 2 | ||||||||||||||||||||||||||||||||||
| (a) | Not annualized for periods less than one year. |
| (b) | Unaudited Six Month Period Ended March 31. |
| (c) | Sales loads are not reflected in computing total return. |
| (d) | Annualized. |
| (e) | Net investment income (loss) was less than $0.01 per share. |
| (f) | Fund commenced operations on February 1, 2007. |
| (g) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
| (h) | Effective date of this class of shares was February 1, 2008. |
| (i) | Dividends from net investment income were less than $0.01 per share. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
| 28 Certified Semi-Annual Report | Certified Semi-Annual Report 29 |
| EXPENSE EXAMPLE | ||
| Thornburg International Growth Fund | March 31, 2012 (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 a $1,000 investment beginning on October 1, 2011, and held until March 31, 2012.
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 10/1/11 | Ending Account Value 3/31/12 | Expenses Paid During Period† 10/1/11–3/31/12 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,162.40 | $ | 8.01 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.59 | $ | 7.47 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,157.20 | $ | 12.42 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,013.48 | $ | 11.59 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,164.60 | $ | 5.36 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.05 | $ | 5.00 | ||||||
Class R3 Shares | �� | |||||||||||
Actual | $ | 1,000.00 | $ | 1,161.40 | $ | 8.11 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.50 | $ | 7.57 | ||||||
Class R4 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,162.90 | $ | 7.57 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.00 | $ | 7.06 | ||||||
Class R5 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,164.90 | $ | 5.36 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.05 | $ | 5.00 | ||||||
| † | Expenses are equal to the annualized expense ratio for each class (A: 1.48%; C: 2.30%; I: 0.99%; R3: 1.50%; R4: 1.40%; 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. |
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
| INDEX COMPARISON | ||
| Thornburg International Growth Fund | March 31, 2012 (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, 2012)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2012 (with sales charge)
| 1 Yr | 3 Yrs | 5 Yrs | Since Inception | |||||||||||||
A Shares (Incep: 2/1/07) | 3.33 | % | 29.14 | % | 4.33 | % | 5.30 | % | ||||||||
C Shares (Incep: 2/1/07) | 6.36 | % | 30.37 | % | 4.61 | % | 5.56 | % | ||||||||
I Shares (Incep: 2/1/07) | 8.75 | % | 31.91 | % | 5.91 | % | 6.88 | % | ||||||||
R3 Shares (Incep: 2/1/08) | 8.19 | % | 31.19 | % | — | 3.36 | % | |||||||||
R4 Shares (Incep: 2/1/08) | 8.46 | % | 31.38 | % | — | 3.46 | % | |||||||||
R5 Shares (Incep: 2/1/08) | 8.80 | % | 31.90 | % | — | 3.89 | % | |||||||||
MSCI AC World ex-U.S. Growth Index (Since 2/1/07) | -6.26 | % | 18.86 | % | -0.81 | % | -0.32 | % | ||||||||
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200. 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.
Certified Semi-Annual Report 31
| OTHER INFORMATION | ||
| Thornburg International Growth Fund | March 31, 2012 (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. A description of the Policy 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.
32 Certified Semi-Annual Report
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This page is not part of the Semi-Annual Report. 33
Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
September 13, 2011
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.
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.
APPOINTMENT OF TRUSTEE
The Trustees have appointed Sally Corning of Santa Fe, New Mexico as a Trustee, effective May 7, 2012. Ms. Corning is a founding partner of Sun Mountain Capital, Santa Fe, which advises clients in making investments in private equity partnerships and invests directly in private companies. Ms. Corning was formerly employed by Credit Suisse First Boston, Morgan Stanley and Dean Witter Reynolds. She received her BSBA from Georgetown University and her MBA from the Columbia University Graduate School of Business.
34 This page is not part of the Semi-Annual Report.
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 website 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 Developing World 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 Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We are very organic in our approach, avoiding leverage or complex strategies which could backfire in periods of market uncertainty.
| • | 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 Strategic Municipal Income Fund |
| • | Thornburg Limited Term U.S. Government Fund |
| • | Thornburg Limited Term Income Fund |
| • | Thornburg Strategic Income Fund |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
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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. | 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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Important Information
The information presented on the following pages was current as of March 31, 2012. The managers’ views, portfolio holdings, and sector and country diversification are provided for the general information of the Fund’s shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. 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 bonds 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.
Class I, R3, R4, and R5 shares may not be available to all investors. Minimum investments for Class I shares may be higher than those for other classes.
Share Class | NASDAQ Symbol | Cusip | ||
Class A | TIBAX | 885-215-558 | ||
Class C | TIBCX | 885-215-541 | ||
Class I | TIBIX | 885-215-467 | ||
Class R3 | TIBRX | 885-215-384 | ||
Class R4 | TIBGX | 885-215-186 | ||
Class R5 | TIBMX | 885-215-236 |
Glossary
Barclays Aggregate Bond Index – An index that is composed of approximately 8,000 publicly traded bonds including U.S. government, mortgage-backed, corporate and Yankee bonds. The index is weighted by the market value of the bonds included in the index.
Blended Index – The Blended Index is composed of 25% Barclays Aggregate Bond Index and 75% MSCI World Index. The Barclays Aggregate Bond Index is composed of approximately 8,000 publicly traded bonds including U.S. government, mortgage-backed, corporate and Yankee bonds. The index is weighted by the market value of the bonds included in the index. The MSCI World Index is an unmanaged market-weighted index that consists of securities traded in 24 of the world’s most developed countries. Securities are listed on exchanges in the U.S., Europe, Canada, Australia, New Zealand, and the Far East. The index is calculated with net dividends reinvested, in U.S. dollars.
MSCI Country Indices – Free float-adjusted market capitalization indices that are designed to measure equity market performance in that specific country in U.S. dollars.
MSCI Europe ex-U.K. – A free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of the developed markets in Europe. The MSCI Europe Index consists 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 Nordic Countries – A free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of the Nordic region. The index consists of the following 4 developed market country indices: Denmark, Finland, Norway, and Sweden.
Russell 1000 Index – An index that measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000 Index and includes approximately 1,000 of the largest securities based on a combination of their market cap and current index membership.
Russell 2000 Index – An index that measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000 Index is a subset of the Russell 3000 Index including approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership.
S&P 500 Stock Index – 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.
Bond Credit Ratings – A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C, and D (the lowest) are considered below investment grade, speculative grade, or junk bonds. Unless otherwise noted, the ratings listed are from Bloomberg Market Data and are a combination of ratings from Standard and Poor’s, Moody’s Investors Service, and Fitch Ratings.
Coupon – The interest rate stated on a bond when it’s issued. The coupon is typically paid semi-annually.
Effective Duration – A bond’s sensitivity to interest rates, incorporating the embedded option features, such as call provisions. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
Indicated Yield – The yield that a share of stock would return based on the most recent dividend payment. Indicated yield is calculated by dividing the indicated dividend by the current share price. It is usually quoted as a percentage.
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Important Information,
Continued
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.
Price to Earnings Ratio (P/E) – A valuation ratio equaling 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.
4 This page is not part of the Semi-Annual Report.
The Dividend Landscape
To appreciate the investment environment in which Thornburg Investment Income Builder Fund operates, 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. As the economy slowed in the recent downturn, earnings-per-share on average declined, causing the payout ratio to climb, even as dividends paid by the S&P 500 portfolio declined by more than ten percent in 2010. Earnings have since materially improved, bringing the payout ratio back in line with the overall recent trend.
S&P 500 Index Payout Ratio
Corporate Willingness to Pay Dividends is Key to the Fund’s Investment Process
The Russell 1000 Index includes approximately 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 a preference towards reinvesting retained earnings in growth initiatives. Dividends returned to fashion between 2002 and 2008. A reduction in the number of Russell 1000 firms paying dividends followed the 2008 recession. However, an upward trend may be emerging.
Percentage of Companies Paying Dividends
in Russell 1000 Index
This page is not part of the Semi-Annual Report. 5
The Dividend Landscape,
Continued
Rising Dividend Payments Despite Decreasing Dividend Yields
S&P 500 Index Average Yield vs. Annual Dividends from a
Hypothetical $10,000 Investment (Dividends not Reinvested)
Over time, the dollar dividend per unit of the S&P 500 Index has generally 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 an 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 | |||||||
Financials | 35 | % | 74 | % | ||||
Utilities | 34 | % | 1 | % | ||||
Consumer Discretionary | 8 | % | 2 | % | ||||
Consumer Staples | 6 | % | 1 | % | ||||
Telecommunication Services | 5 | % | 5 | % | ||||
Health Care | 4 | % | 1 | % | ||||
Industrials | 4 | % | 9 | % | ||||
Energy | 2 | % | 5 | % | ||||
Information Technology | 2 | % | 2 | % | ||||
Materials | 0 | % | 0 | % | ||||
Source: FactSet as of March 31, 2012.
In the (large cap) Russell 1000 Index, 69% of the top 100 dividend payers are in the financials and utilities sectors. In the (small cap) Russell 2000 Index, 74% 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 these two sectors. We do!
Dividend yield is a ratio that shows how much a company pays out in dividends each year relative to its share price.
6 This page is not part of the Semi-Annual Report.
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 maintain the ability to diversify the Thornburg Investment Income Builder Fund into foreign dividend-paying stocks to try to take advantage of these opportunities.
Average Dividend Yields (MSCI Indices)
of Markets Around the Globe
This page is not part of the Semi-Annual Report. 7
Portfolio Overview
PORTFOLIO MANAGERS
Left to right: Jason Brady,CFA, and Brian McMahon
IMPORTANT
PERFORMANCE INFORMATION
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.
The maximum sales charge for Class A shares is 4.50%. The total annual fund operating expense of Class A shares is 1.21%, 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 United States tend to be seasonal. Rather, the Fund aspires to increase the dividend paid on an annual basis.
| QUARTERLY DIVIDEND HISTORY, CLASS A | ||||||||||||||||||||
Year | Q1 | Q2 | Q3 | Q4 | Total | |||||||||||||||
2003 | 9.2 | ¢ | 11.2 | ¢ | 12.4 | ¢ | 17.5 | ¢ | 50.3 | ¢ | ||||||||||
2004 | 10.2 | ¢ | 12.5 | ¢ | 15.0 | ¢ | 21.8 | ¢ | 59.5 | ¢ | ||||||||||
2005 | 11.0 | ¢ | 13.6 | ¢ | 17.4 | ¢ | 29.0 | ¢ | 71.0 | ¢ | ||||||||||
2006 | 12.5 | ¢ | 16.0 | ¢ | 19.2 | ¢ | 33.0 | ¢ | 80.7 | ¢ | ||||||||||
2007 | 14.2 | ¢ | 18.5 | ¢ | 21.5 | ¢ | 36.8 | ¢ | 91.0 | ¢ | ||||||||||
2008 | 17.9 | ¢ | 21.8 | ¢ | 26.0 | ¢ | 36.8 | ¢ | 102.4 | ¢ | ||||||||||
2009 | 18.0 | ¢ | 24.2 | ¢ | 28.0 | ¢ | 34.5 | ¢ | 104.7 | ¢ | ||||||||||
2010 | 19.8 | ¢ | 25.0 | ¢ | 32.0 | ¢ | 36.0 | ¢ | 112.8 | ¢ | ||||||||||
2011 | 21.0 | ¢ | 26.0 | ¢ | 32.0 | ¢ | 37.5 | ¢ | 116.5 | ¢ | ||||||||||
2012 | 21.5 | ¢ | ||||||||||||||||||
30-day SEC Yield as of 3/31/12 (A Shares): 4.94%
KEY PORTFOLIO ATTRIBUTES
As of 3/31/12
Equity Statistics | ||||
Portfolio P/E (12-mo. trailing) | 11.2x | |||
Median Market Cap | $14.4 B | |||
Equity & Pref. Equity Holdings | 102 | |||
Fixed Income Statistics | ||||
Weighted Average Coupon | 8 | % | ||
Average Maturity | 10.85 yrs | |||
Effective Duration | 3.6 yrs | |||
Bond Holdings | 219 | |||
PORTFOLIO COMPOSITON
As of 3/31/12
AVERAGE ANNUAL TOTAL RETURNS
FOR PERIODS ENDED 3/31/12
| 1 Yr | 3 Yrs | 5 Yrs | Since Inception | |||||||||||||
A Shares (Incep: 12/24/02) | ||||||||||||||||
Without sales charge | 1.34 | % | 21.30 | % | 4.07 | % | 11.03 | % | ||||||||
With sales charge | -3.20 | % | 19.46 | % | 3.12 | % | 10.48 | % | ||||||||
Blended Index (Since 12/24/02) | 2.64 | % | 17.12 | % | 1.41 | % | 7.30 | % | ||||||||
S&P 500 Index (Since 12/24/02) | 8.54 | % | 23.42 | % | 2.01 | % | 7.18 | % | ||||||||
Blended Index: 25% Barclays Aggregate Bond Index/75% MSCI World Index
8 This page is not part of the Semi-Annual Report.
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. The Fund’s secondary objective is long-term capital appreciation. These objectives remain constant over time. However, the specific investments we have used to try to reach our objectives 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 3/31/12
Telecommunication Services | 18.8 | % | ||
Energy | 11.8 | % | ||
Utilities | 9.2 | % | ||
Diversified Financials | 8.9 | % | ||
Pharmaceuticals, Biotechnology & Life Sciences | 7.4 | % | ||
Insurance | 6.7 | % | ||
Real Estate | 6.6 | % | ||
Food, Beverage & Tobacco | 5.1 | % | ||
Banks | 4.4 | % | ||
Semiconductors & Semiconductor Equipment | 3.2 | % | ||
TOP TEN INDUSTRIES
As of 12/31/11
Telecommunication Services | 17.5 | % | ||
Energy | 12.3 | % | ||
Utilities | 10.4 | % | ||
Diversified Financials | 7.5 | % | ||
Pharmaceuticals, Biotechnology & Life Sciences | 6.9 | % | ||
Real Estate | 6.9 | % | ||
Insurance | 5.0 | % | ||
Food, Beverage & Tobacco | 4.7 | % | ||
Banks | 4.2 | % | ||
Semiconductors & Semiconductor Equipment | 3.5 | % | ||
TOP TEN INDUSTRIES
As of 9/30/11
Telecommunication Services | 18.0 | % | ||
Energy | 11.9 | % | ||
Utilities | 10.4 | % | ||
Diversified Financials | 7.5 | % | ||
Real Estate | 6.9 | % | ||
Pharmaceuticals, Biotechnology & Life Sciences | 6.8 | % | ||
Insurance | 5.4 | % | ||
Banks | 4.9 | % | ||
Food, Beverage & Tobacco | 4.6 | % | ||
Semiconductors & Semiconductor Equipment | 3.4 | % | ||
TOP TEN INDUSTRIES
As of 6/30/11
Telecommunication Services | 22.8 | % | ||
Energy | 12.1 | % | ||
Utilities | 9.3 | % | ||
Real Estate | 7.8 | % | ||
Pharmaceuticals, Biotechnology & Life Sciences | 7.6 | % | ||
Food, Beverage & Tobacco | 7.1 | % | ||
Diversified Financials | 6.6 | % | ||
Banks | 6.2 | % | ||
Semiconductors & Semiconductor Equipment | 4.2 | % | ||
Insurance | 3.7 | % | ||
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Thornburg Investment Income Builder Fund
March 31, 2012
Table of Contents | ||||
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| 46 | ||||
| 48 | ||||
| �� | 49 | |||
| 50 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semi-annual shareholder reports fully and fairly represents their financial position.
10 Certified Semi-Annual Report
April 18, 2012
Dear Fellow Shareholder:
This letter will review the basic results of Thornburg Investment Income Builder Fund’s investment activities for the six-month fiscal period ended March 31, 2012 and comment on the overall investment landscape, which continues to evolve in important ways.
Thornburg Investment Income Builder Fund paid ordinary quarterly dividends of 59 cents per Class A share in the six-month period ended March 31, 2012, up 3.5% from 57 cents in the comparable six-month period of the prior fiscal year. The dividend per share was higher for Class I and Class R5 shares and lower for Class C, Class R3, and Class R4 shares, to account for varying class-specific expenses.
Your Fund’s net asset value increased by $1.35 per share during the six-month period under review, to $18.64, bringing the six-month total return to 11.30%.
Your Fund underperformed its benchmark, the Blended Index (25% Barclays Aggregate U.S. Bond Index and 75% MSCI World Index) by 3.94% over the six-month period of strongly rising equity prices that followed a significant two-quarter correction. The Fund underperformed the S&P 500 Index by 14.59% over the same six-month period. Performance comparisons of Investment Income Builder Fund to each of these benchmarks over various longer periods are shown on page 49 of this report. Reviewing these, you will see that the performance of your Fund has compared very well to both benchmarks over longer periods.
| Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.
The maximum sales charge for Class A shares is 4.50%. The total annual fund operating expense of Class A shares is 1.21%, as disclosed in the most recent Prospectus.
|
The quarter ended March 31, 2012 was the 37th full calendar quarter since the inception of Thornburg Investment Income Builder Fund in December 2002. The Fund delivered a positive total return in 28 of these quarters. The Fund has delivered positive total returns in eight of its nine calendar years of existence.
We do not expect to pay any capital gain dividends for 2012. At March 31, 2012, the Fund had realized capital losses of approximately $900 million, which may be carried forward to offset future capital gains to the extent permitted by regulations.
In assessing the performance of the Thornburg Investment Income Builder Fund, it is constructive to consider the performance in U.S. dollars of the sector components of the MSCI World Index over the six months ended March 31, 2012. The MSCI World Index comprises 75%, and the entire equity portion, of the Fund’s global performance benchmark:
| 1. | All index sectors showed positive total returns, ranging from just over 5% (telecommunications) to approximately 28% (information technology). |
| 2. | The telecommunications sector, often a laggard in the early months of the year, was especially sluggish in relative performance terms in the six-month period. This was costly to Investment Income Builder Fund’s |
Certified Semi-Annual Report 11
Letter to Shareholders,
Continued
| absolute and relative performance during the period, due to the Fund’s significant investments in dividend-paying firms in this sector. Income Builder also owned significantly fewer investments in the information technology (28.5%), consumer discretionary (26.3%), and industrials (23.9%) sectors, relative to the benchmark index portfolio. Generally speaking, firms in these sectors pay below average dividends. |
| 3. | The Income Builder portfolio also included significant allocations to firms in the utilities, consumer staples, and health care sectors. Each of these sectors lagged the overall market during the period under review. While the returns on our investments in staples and health care slightly exceeded those of these sectors in the index portfolio, returns from our investments in utilities were unsatisfactory. |
European telecom service providers KPN, Telefonica, TDC, and Vivendi each delivered negative total returns for the Income Builder in the period under review, as did Verizon in the United States. The same issues that have concerned investors in these businesses over recent years remain mostly unresolved: mature markets, competitive and regulatory price pressures, tradeoffs between the secular decline of the traditional fixed-line businesses, and the growth of broadband and wireless usage. These concerns became even more significant as equity prices in other sectors raced ahead following the delivery of significant monetary accommodation measures by the European Central Bank in late 2011 and early 2012, prompting many portfolio managers to sell investments in lower-volatility sectors in order to re-allocate funds to the more volatile sectors that led the market. We reduced the portfolio’s investments in KPN and Telefonica over the period, and liquidated our relatively small investment in Telecom Italia. We added positions in Telenor, Telefonica Brasil, and Swisscom at depressed prices during the period. The first two of these operate in faster growing markets, while Swisscom enjoys a strong competitive position in an attractive market.
In aggregate, performance of the Fund’s equity holdings in the financial sector also lagged those of the index during the period, as price advances for dividend paying non-bank intermediaries and smaller banks lagged well behind those of low and non-dividend paying banks and insurers. Norwegian insurer Gjensidge Forsikring, U.S. mortgage real estate investment trust (REIT) Annaly Mortgage, and U.S. hedge fund manager Och-Ziff are examples of the former type of financial that delivered market-lagging performance in the Income Builder portfolio, while JPMorgan Chase & Co. is an example of the latter type of financial that delivered significant price appreciation for your Fund. The Fund’s European insurance holdings, Legal & General Zurich Financial Services, Munich Re, and Swiss Re each staged strong share price recoveries during the period, as did Invesco Mortgage Capital and KKR Financial Holdings. U.S. financial sector holdings remain focused primarily in income-paying hybrid securities issued by Fifth Third Bancorp and Huntington Bancshares, various mortgage REITs, and shares of business development companies and other non-bank lenders organized as partnerships. In general, these delivered acceptable if unspectacular share price appreciation during the period. The ongoing environment of low bond yields is making it challenging for many of these non-bank financials to maintain dividends at prior year levels.
Our utilities investments performed below the index average, due to negative returns from European based electricity producers ENEL and GDF Suez, and U.S.-based Entergy. Among these, ENEL in particular has been volatile over the last several years, mostly due to mounting concerns about electricity demand and margins in Southern Europe. Investors are also rightfully concerned that cash-strapped European governments will assess special fees and taxes on these nonportable entities, while capping their revenue streams with regulatory measures. The Italian government formulated a so-called “Robin Hood Tax” for ENEL and other utilities during the fourth quarter of 2011. Firms in the utilities sector
12 Certified Semi-Annual Report
continue to offer interesting dividends. We will attempt to focus your Fund’s investments in this sector in firms that have the ability and willingness to maintain attractive dividends.
In the energy sector, rising oil prices were matched by high relative returns from hydrocarbon producers during the December 2011 quarter, but not in the March 2012 quarter. Investment Income Builder’s holdings in ENI and Seadrill performed very well, while Canadian Oil Sands Trust, Royal Dutch Shell, and new portfolio addition Husky Energy each lagged sector performance significantly. In the last week of March, a gas leak at a North Sea gas production platform owned by Total SA subtracted from an interesting return during the first 25 weeks of the period, but the incident now appears to be minor. At this time, equity investors seem to expect lower oil prices in the coming months. Current earnings and cash flows of these firms should come in above prior expectations, which should support our dividend expectations for these holdings in the near term.
In addition to those previously mentioned, the best contributing investments to portfolio performance in the six-month period were U.S. technology firms Microsoft and Intel, pharmaceuticals producer Pfizer, European household products producer Reckitt Benckiser Group, Philip Morris International, airport operator Sydney Airport, copper producer Southern Copper, and Chinese infrastructure investor China Merchants Holdings. Negative contributors included Liechtensteinishe Landesbank, Impala Platinum, Chinese toll road operator Hopewell Highway Infrastructure, and Australian retailer David Jones. Most of the stocks in the portfolio made positive contributions during the period under review.
The euro, British pound, and Swiss franc each appreciated modestly vis-à-vis the U.S. dollar during the period. We hedged a majority of the currency exposure to the euro and the pound, since we are more focused on risk management than on reaping possible currency gains from exposure to assets denominated in these currencies.
CHART I: THORNBURG INVESTMENT INCOME BUILDER
INTEREST BEARING INVESTMENTS AS A PERCENTAGE OF TOTAL PORTFOLIO
Certified Semi-Annual Report 13
Letter to Shareholders,
Continued
Within its bond portfolio, Investment Income Builder owned significantly fewer U.S. government and agency bonds than are included in the Barclays Aggregate Bond Index. This fact was helpful in the semi-annual period under review. Corporate bond prices with maturities of less than 10 years generally increased, while U.S. government bond prices declined slightly. Readers of this commentary who are long time shareholders of Income Builder will recall that the interest bearing debt portion of the Fund’s portfolio fell well below 20% during the “yield drought” between 2004 and 2007. For most of 2009, the Investment Income Builder portfolio was weighted more than 40% in interest bearing debt, as a result of large bond purchases we made in response to material increases in non-government bond yields over the four quarters ended March 31, 2009. We reduced our percentage holdings of cash and interest bearing debt in 2010, 2011, and Q1 2012, reaching a level of around 19% at March 31, 2012.
Chart 1 on the previous page shows that interest bearing investments as a percentage of the Fund’s portfolio have varied over time, ranging from less than 12% in mid-2005, to 45% at June 30, 2009.
As of March 31, 2012 the Fund portfolio included approximately 200 bonds and hybrid securities. Domestic stocks, including preferred stocks, comprise around 34% of the portfolio, foreign stocks around 47%, and cash and interest bearing investments 19%.
Since its inception, the dividend increases paid by Investment Income Builder have been powered primarily by dividend increases from the Fund’s equity holdings. These increases slowed significantly over the last three years, due to more than 20% aggregate declines in dividends paid in 2009 in most developed country equity markets. Dividend increases in 2010 and 2011 have brought aggregate dividends paid by U.S. listed firms almost back to pre-financial crisis levels and Standard & Poor’s predicts that new records for cash dividend payments will be reached in the U.S. market during 2012. For the U.S. equity market as a whole, the dividend payout ratio is around 30% of corporate earnings. For the Income Builder portfolio as a whole, the dividend payout ratio is slightly above 60%. Outside the United States, dividend yields and payout ratios tend to be higher (see the Investment Income Builder September 2011 Annual Report), but dividend growth will likely be lower, especially from some of the best dividend payers. Readers should be aware that the reduced yields now available from bond investments restrict our ability to increase the Fund’s dividend at the rates observed between 2003 and 2008.
If the global economy recovers, we expect firming interest rates, better business conditions, and reduced anxiety from corporate boards about distributing retained earnings. To the extent that the global economy does not recover — and this is always a possibility — we can expect the opposite. One variable in the United States is the political debate around tax rates for dividends to higher income taxpayers, which continues the long running tug of war regarding “double taxation of dividends.” In effect, U.S. corporate profits are taxed prior to dividend payments, and then taxed again when dividends are received by non-corporate shareholders. To the extent that legislators and voters favoring higher taxes on dividends distributed by corporations succeed in raising the current 50% combined rate for the government’s share of distributed corporate profits (35% corporate tax rate + 15% tax rate on dividends received) to a higher level, it will act as a disincentive for corporations to favor dividends over other uses for accumulated earnings and profits.
There continues to be a great debate regarding the prospects for global economic growth in 2012 and 2013. Conflicting macroeconomic forces are expected to act on business conditions and investor sentiment. Leverage in most developed market economies cannot expand at the rates seen in prior years and may need to contract in certain countries. We
14 Certified Semi-Annual Report
have seen clear evidence that global markets are unwilling to finance significant further borrowing by various European governments at acceptable rates. This may serve as a warning to other developed and developing market governments that limits on borrowing will constrain the ability of elected officials to formulate new programs and fully deliver on prior commitments. On the other hand, some large emerging market economies would appear to have room to increase private borrowing, government borrowing, or both. Aggregate demand in these countries is expanding. In this election year, United States economic indicators have been generally positive, though there are concerns that fiscal conditions will tighten in 2013 and beyond.
Summary data from around the world indicate that most corporate balance sheet metrics outside the United States have improved in the last two years, even as declining price/earnings ratios show that investor desire to own equities is muted. In brief, firm values are below recent historical averages and overall sales and earnings results are coming in reasonably well.
Yields on taxable and tax exempt money funds remain below 1/4 of one percent. Banks have aggressively reduced yields on all deposits. A very large pool of investor dollars is looking for better returns elsewhere, but in sensible investments. We are optimistic that the types of income producing investments owned by the Thornburg Investment Income Builder Fund will experience sustainable popularity among investors as their intrinsic values for income production are recognized. A high percentage of investor funds worldwide belong to people over the age of 55, for whom income is an increasingly necessary and desirable attribute.
Thank you for being a shareholder of the Thornburg Investment Income Builder Fund. 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 | Jason Brady,CFA | |
Portfolio Manager | 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 15
| SCHEDULE OF INVESTMENTS | ||
| Thornburg Investment Income Builder Fund | March 31, 2012 (Unaudited) | |
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/12
Telecommunication Services | 18.8 | % | Food & Staples Retailing | 0.8 | % | |||||
Energy | 11.8 | % | Media | 0.6 | % | |||||
Utilities | 9.2 | % | Miscellaneous | 0.6 | % | |||||
Diversified Financials | 8.9 | % | Health Care Equipment & Services | 0.5 | % | |||||
Pharmaceuticals, Biotechnology & Life Sciences | 7.4 | % | Technology Hardware & Equipment | 0.2 | % | |||||
Insurance | 6.7 | % | Retailing | 0.2 | % | |||||
Real Estate | 6.6 | % | Automobiles & Components | 0.1 | % | |||||
Food, Beverage & Tobacco | 5.1 | % | Other Non-Classified Securities: | |||||||
Banks | 4.4 | % | Asset Backed Securities | 0.5 | % | |||||
Semiconductors & Semiconductor Equipment | 3.2 | % | Other Securities | 0.3 | % | |||||
Software & Services | 3.1 | % | U.S. Government Agencies | 0.1 | % | |||||
Materials | 2.4 | % | Municipal Bonds * | 0.0 | % | |||||
Transportation | 2.1 | % | Other Assets & Cash Equivalents | 1.4 | % | |||||
Consumer Services | 2.0 | % | ||||||||
Household & Personal Products | 1.6 | % | ||||||||
Capital Goods | 1.4 | % | ||||||||
* Percentage was less than 0.1% | ||||||||||
TOP TEN EQUITY HOLDINGS
As of 3/31/12
Microsoft Corp. | 2.7 | % | Pfizer, Inc. | 2.1 | % | |||||
Telstra Corp. Ltd. | 2.5 | % | Total SA | 2.0 | % | |||||
GDF Suez | 2.5 | % | Eni SpA | 2.0 | % | |||||
AT&T, Inc. | 2.2 | % | Intel Corp. | 2.0 | % | |||||
Royal Dutch Shell plc ADR | 2.1 | % | Vodafone Group plc | 1.9 | % |
16 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Investment Income Builder Fund | March 31, 2012 (Unaudited) | |
SUMMARY OF COUNTRY EXPOSURE
As of 3/31/12
United States | 47.5 | % | Spain | 0.7 | % | |||||
Switzerland | 8.2 | % | Singapore | 0.6 | % | |||||
France | 6.0 | % | Luxembourg | 0.6 | % | |||||
United Kingdom | 4.4 | % | Philippines | 0.5 | % | |||||
Netherlands | 3.9 | % | Russia | 0.5 | % | |||||
Australia | 3.8 | % | Bermuda | 0.5 | % | |||||
China | 3.2 | % | South Africa | 0.3 | % | |||||
Italy | 2.9 | % | Saudi Arabia | 0.3 | % | |||||
Canada | 2.4 | % | Cayman Islands | 0.3 | % | |||||
Norway | 2.3 | % | South Korea | 0.3 | % | |||||
Denmark | 1.8 | % | Greece | 0.2 | % | |||||
Brazil | 1.7 | % | Japan | 0.2 | % | |||||
Hong Kong | 1.7 | % | Trinidad and Tobago* | 0.0 | % | |||||
Czech Republic | 1.1 | % | Indonesia* | 0.0 | % | |||||
Germany | 1.1 | % | Chile* | 0.0 | % | |||||
Mexico | 0.9 | % | Other Assets & Cash Equivalents | 1.4 | % | |||||
Taiwan | 0.7 | % | ||||||||
* Country percentage was less than 0.1%. | ||||||||||
| Shares/ Principal Amount | Value | |||||||
COMMON STOCK — 77.43% | ||||||||
BANKS — 1.82% | ||||||||
COMMERCIAL BANKS — 1.47% | ||||||||
Bank of China Ltd. | 125,000,000 | $ | 50,221,813 | |||||
Banque Cantonale Vaudoise | 55,100 | 29,191,952 | ||||||
Liechtensteinische Landesbank AG | 1,150,000 | 47,136,368 | ||||||
St. Galler Kantonalbank | 78,741 | 33,146,760 | ||||||
THRIFTS & MORTGAGE FINANCE — 0.35% | ||||||||
Capitol Federal Financial, Inc. | 3,200,000 | 37,952,000 | ||||||
|
| |||||||
| 197,648,893 | ||||||||
|
| |||||||
CAPITAL GOODS — 0.89% | ||||||||
INDUSTRIAL CONGLOMERATES — 0.89% | ||||||||
Hopewell Holdings Ltd. | 25,221,840 | 69,180,572 | ||||||
NWS Holdings Ltd. | 18,328,000 | 27,991,589 | ||||||
|
| |||||||
| 97,172,161 | ||||||||
|
| |||||||
CONSUMER SERVICES — 1.90% | ||||||||
HOTELS, RESTAURANTS & LEISURE — 1.90% | ||||||||
McDonald’s Corp. | 1,315,900 | 129,089,790 | ||||||
OPAP SA | 2,394,000 | 23,212,215 | ||||||
SJM Holdings Ltd. | 26,762,000 | 54,312,846 | ||||||
|
| |||||||
| 206,614,851 | ||||||||
|
| |||||||
Certified Semi-Annual Report 17
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Investment Income Builder Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
DIVERSIFIED FINANCIALS — 6.00% | ||||||||
CAPITAL MARKETS — 3.16% | ||||||||
AllianceBernstein Holdings LP | 1,200,000 | $ | 18,732,000 | |||||
aApollo Investment Corp. | 13,437,000 | 96,343,290 | ||||||
Ares Capital Corp. | 6,457,700 | 105,583,395 | ||||||
Och-Ziff Capital Management Group, LLC | 4,200,000 | 38,976,000 | ||||||
aSolar Capital Ltd. | 3,600,000 | 79,452,000 | ||||||
aSolar Capital Ltd. | 150,000 | 3,310,500 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 2.84% | ||||||||
Hong Kong Exchanges & Clearing Ltd. | 2,317,300 | 38,912,365 | ||||||
JPMorgan Chase & Co. | 3,464,000 | 159,274,720 | ||||||
a KKR Financial Holdings, LLC | 12,000,000 | 110,520,000 | ||||||
|
| |||||||
| 651,104,270 | ||||||||
|
| |||||||
ENERGY — 9.30% | ||||||||
ENERGY EQUIPMENT & SERVICES — 0.81% | ||||||||
Seadrill Ltd. | 2,345,294 | 87,885,463 | ||||||
OIL, GAS & CONSUMABLE FUELS — 8.49% | ||||||||
BP plc | 7,204,700 | 53,303,913 | ||||||
Canadian Oil Sands Ltd. | 7,188,500 | 151,632,703 | ||||||
Eni SpA | 9,335,800 | 219,015,786 | ||||||
Husky Energy, Inc. | 1,771,700 | 45,080,702 | ||||||
Royal Dutch Shell plc ADR | 3,300,000 | 231,429,000 | ||||||
Total SA | 4,355,200 | 222,118,139 | ||||||
|
| |||||||
| 1,010,465,706 | ||||||||
|
| |||||||
FOOD & STAPLES RETAILING — 0.71% | ||||||||
FOOD & STAPLES RETAILING — 0.71% | ||||||||
Walgreen Co. | 2,300,000 | 77,027,000 | ||||||
|
| |||||||
| 77,027,000 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 4.40% | ||||||||
BEVERAGES — 1.58% | ||||||||
Coca Cola Co. | 2,324,000 | 171,999,240 | ||||||
FOOD PRODUCTS — 1.21% | ||||||||
Nestle SA | 2,091,800 | 131,620,959 | ||||||
TOBACCO — 1.61% | ||||||||
Philip Morris International, Inc. | 1,970,500 | 174,606,005 | ||||||
|
| |||||||
| 478,226,204 | ||||||||
|
| |||||||
HOUSEHOLD & PERSONAL PRODUCTS — 1.65% | ||||||||
HOUSEHOLD PRODUCTS — 1.65% | ||||||||
Kimberly-Clark Corp. | 968,900 | 71,592,021 | ||||||
Reckitt Benckiser Group plc | 1,900,000 | 107,369,701 | ||||||
|
| |||||||
| 178,961,722 | ||||||||
|
| |||||||
INSURANCE — 4.30% | ||||||||
INSURANCE — 4.30% | ||||||||
Allianz SE | 181,900 | 21,705,419 | ||||||
Gjensidige Forsikring ASA | 8,691,101 | 102,634,276 | ||||||
Legal and General Group plc | 23,976,400 | 50,123,809 | ||||||
Munich Re | 373,400 | 56,299,290 | ||||||
Scor SE | 1,459,600 | 39,439,494 | ||||||
18 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Investment Income Builder Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
Swiss Re | 719,100 | $ | 45,924,576 | |||||
Zurich Financial Services AG | 559,500 | 150,365,238 | ||||||
|
| |||||||
| 466,492,102 | ||||||||
|
| |||||||
MATERIALS — 1.46% | ||||||||
CHEMICALS — 0.34% | ||||||||
Wacker Chemie AG | 422,200 | 37,225,747 | ||||||
METALS & MINING — 1.12% | ||||||||
Impala Platinum Holdings Ltd. | 1,822,600 | 35,900,777 | ||||||
Southern Copper Corp. | 2,700,590 | 85,635,709 | ||||||
|
| |||||||
| 158,762,233 | ||||||||
|
| |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 6.99% | ||||||||
PHARMACEUTICALS — 6.99% | ||||||||
Merck & Co. | 4,300,000 | 165,120,000 | ||||||
Novartis AG | 3,152,000 | 174,447,679 | ||||||
Pfizer, Inc. | 10,186,200 | 230,819,292 | ||||||
Roche Holding AG | 1,086,000 | 189,000,333 | ||||||
|
| |||||||
| 759,387,304 | ||||||||
|
| |||||||
REAL ESTATE — 6.38% | ||||||||
REAL ESTATE INVESTMENT TRUSTS — 6.38% | ||||||||
Annaly Capital Management, Inc. | 6,050,000 | 95,711,000 | ||||||
Anworth Mortgage Asset Corp. | 1,500,000 | 9,870,000 | ||||||
Capstead Mortgage Corp. | 3,000,000 | 39,330,000 | ||||||
Chimera Investment Corp. | 42,965,000 | 121,590,950 | ||||||
a Dynex Capital, Inc. | 4,562,000 | 43,567,100 | ||||||
a Invesco Mortgage Capital, Inc. | 7,000,000 | 123,550,000 | ||||||
a MFA Financial, Inc. | 20,000,000 | 149,400,000 | ||||||
Two Harbors Investment Corp. | 2,700,000 | 27,378,000 | ||||||
Washington REIT | 2,769,000 | 82,239,300 | ||||||
|
| |||||||
| 692,636,350 | ||||||||
|
| |||||||
RETAILING — 0.17% | ||||||||
MULTILINE RETAIL — 0.17% | ||||||||
David Jones Ltd. | 7,177,459 | 17,917,793 | ||||||
|
| |||||||
| 17,917,793 | ||||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.69% | ||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.69% | ||||||||
Intel Corp. | 7,580,800 | 213,096,288 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 27,648,000 | 79,530,915 | ||||||
|
| |||||||
| 292,627,203 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 2.73% | ||||||||
SOFTWARE — 2.73% | ||||||||
Microsoft Corp. | 9,200,000 | 296,700,000 | ||||||
|
| |||||||
| 296,700,000 | ||||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 17.62% | ||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 12.73% | ||||||||
AT&T, Inc. | 7,633,600 | 238,397,328 | ||||||
Cable and Wireless Communications plc | 43,725,162 | 22,583,122 | ||||||
Koninklijke KPN N.V. | 11,999,000 | 131,993,257 | ||||||
Certified Semi-Annual Report 19
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Investment Income Builder Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
Singapore Telecommunications Ltd. | 25,488,164 | $ | 63,464,423 | |||||
Swisscom AG | 221,500 | 89,537,332 | ||||||
TDC A/S | 27,005,917 | 196,415,470 | ||||||
Telefonica Brasil ADR | 3,378,500 | 103,483,455 | ||||||
Telefonica SA | 4,210,274 | 68,983,236 | ||||||
Telenor ASA | 3,015,500 | 55,917,608 | ||||||
Telstra Corp. Ltd. | 80,477,975 | 274,264,560 | ||||||
Verizon Communications, Inc. | 724,700 | 27,705,281 | ||||||
Vivendi | 5,960,000 | 109,376,175 | ||||||
WIRELESS TELECOMMUNICATION SERVICES — 4.89% | ||||||||
China Mobile Ltd. | 15,575,207 | 171,385,341 | ||||||
Etihad Etisalat Co. | 1,700,000 | 29,349,812 | ||||||
Philippine Long Distance Telephone Co. | 882,500 | 55,496,681 | ||||||
SK Telecom Co. Ltd. | 134,870 | 16,605,062 | ||||||
VimpelCom Ltd. ADR | 4,250,000 | 47,430,000 | ||||||
Vodafone Group plc | 76,681,500 | 211,206,972 | ||||||
|
| |||||||
| 1,913,595,115 | ||||||||
|
| |||||||
TRANSPORTATION — 1.66% | ||||||||
TRANSPORTATION INFRASTRUCTURE — 1.66% | ||||||||
China Merchants Holdings International Co. Ltd. | 23,895,000 | 79,849,496 | ||||||
Hopewell Highway Infrastructure Ltd. | 14,654,341 | 7,567,256 | ||||||
Jiangsu Express Co. Ltd. | 22,520,000 | 21,749,908 | ||||||
Sydney Airport | 23,934,909 | 71,155,821 | ||||||
|
| |||||||
| 180,322,481 | ||||||||
|
| |||||||
UTILITIES — 6.76% | ||||||||
ELECTRIC UTILITIES — 3.34% | ||||||||
CEZ AS | 2,770,000 | 119,008,854 | ||||||
Enel S.p.A. | 26,481,000 | 95,781,604 | ||||||
Entergy Corp. | 2,207,600 | 148,350,720 | ||||||
MULTI-UTILITIES — 3.42% | ||||||||
Dominion Resources, Inc. | 946,600 | 48,475,386 | ||||||
GDF Suez | 10,438,596 | 269,668,208 | ||||||
Sempra Energy | 890,000 | 53,364,400 | ||||||
|
| |||||||
| 734,649,172 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $7,970,988,137) | 8,410,310,560 | |||||||
|
| |||||||
PREFERRED STOCK — 3.45% | ||||||||
BANKS — 2.10% | ||||||||
COMMERCIAL BANKS — 2.10% | ||||||||
Barclays Bank plc Pfd, 7.10% | 200,000 | 4,950,000 | ||||||
Fifth Third Bancorp Pfd, 8.50% | 637,000 | 90,454,000 | ||||||
First Niagara Financial Group Pfd, 8.625% | 160,000 | 4,420,640 | ||||||
First Tennessee Bank Pfd, 3.75% | 12,000 | 8,107,500 | ||||||
Huntington Bancshares Pfd, 8.50% | 95,087 | 110,247,671 | ||||||
b Wintrust Financial Corp. Pfd, 5.00% | 10,000 | 10,000,000 | ||||||
|
| |||||||
| 228,179,811 | ||||||||
|
| |||||||
20 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Investment Income Builder Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
DIVERSIFIED FINANCIALS — 0.21% | ||||||||
CAPITAL MARKETS — 0.02% | ||||||||
Morgan Stanley Pfd, 4.00% | 120,000 | $ | 2,244,000 | |||||
DIVERSIFIED FINANCIAL SERVICES — 0.19% | ||||||||
Bank of America Corp. Pfd, 8.00% | 5,250,000 | 5,383,560 | ||||||
Citigroup Capital XII Pfd, 8.50% | 600,000 | 15,360,000 | ||||||
|
| |||||||
| 22,987,560 | ||||||||
|
| |||||||
INSURANCE — 0.20% | ||||||||
INSURANCE — 0.20% | ||||||||
Principal Financial Group Pfd, 5.563% | 234,400 | 22,033,600 | ||||||
|
| |||||||
| 22,033,600 | ||||||||
|
| |||||||
MISCELLANEOUS — 0.10% | ||||||||
U.S. GOVERNMENT AGENCIES — 0.10% | ||||||||
Farm Credit Bank of Texas Pfd, 10.00% | 9,000 | 10,656,563 | ||||||
|
| |||||||
| 10,656,563 | ||||||||
|
| |||||||
REAL ESTATE — 0.12% | ||||||||
REAL ESTATE INVESTMENT TRUSTS — 0.12% | ||||||||
Alexandria Real Estate Pfd, 7.00% | 463,500 | 12,319,830 | ||||||
|
| |||||||
| 12,319,830 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 0.20% | ||||||||
COMMUNICATIONS EQUIPMENT — 0.20% | ||||||||
Lucent Technologies Capital Trust I Pfd, 7.75% | 26,500 | 21,531,250 | ||||||
|
| |||||||
| 21,531,250 | ||||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 0.16% | ||||||||
WIRELESS TELECOMMUNICATION SERVICES — 0.16% | ||||||||
Centaur Funding Corp. Pfd, 9.08% | 15,000 | 17,376,562 | ||||||
|
| |||||||
| 17,376,562 | ||||||||
|
| |||||||
UTILITIES — 0.36% | ||||||||
MULTI-UTILITIES — 0.36% | ||||||||
Centerpoint Energy, Inc. Pfd, 7.5% | 1,050,000 | 39,440,625 | ||||||
|
| |||||||
| 39,440,625 | ||||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $306,508,562) | 374,525,801 | |||||||
|
| |||||||
ASSET BACKED SECURITIES — 0.48% | ||||||||
COMMERCIAL MTG TRUST — 0.05% | ||||||||
cCVS Pass-Through Trust, 9.35%, 1/10/2023 | $ | 5,000,000 | 5,255,100 | |||||
|
| |||||||
| 5,255,100 | ||||||||
|
| |||||||
OTHER ASSET BACKED — 0.13% | ||||||||
MRMX Series 2011-1A Class B, 10.00%, 10/20/2021 | 12,891,667 | 12,762,750 | ||||||
cQHP PhaRMA, 10.25%, 3/15/2015 | 1,042,965 | 1,049,557 | ||||||
|
| |||||||
| 13,812,307 | ||||||||
|
| |||||||
RESIDENTIAL MTG TRUST — 0.30% | ||||||||
Banc of America Funding Corp. Series 2006-I Class SB1, 3.104%, 12/20/2036 | 3,174,967 | 911,031 | ||||||
Banc of America Mtg Securities Series 2005-A Class B1, 3.176%, 2/25/2035 | 5,086,877 | 1,729,796 | ||||||
Certified Semi-Annual Report 21
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Investment Income Builder Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
Bear Stearns ARM Mtg Series 2003-6 Class 2B-1, 2.601%, 8/25/2033 | $ | 528,115 | $ | 342,466 | ||||
Citigroup Mtg Loan Trust, Inc., 2.921%, 3/25/2034 | 1,401,334 | 1,195,684 | ||||||
FBR Securitization Trust Series 2005-2 Class M1, 0.962%, 9/25/2035 | 20,100,000 | 13,923,586 | ||||||
Merrill Lynch Mtg Investors Trust, 2.60%, 8/25/2034 | 6,056,639 | 4,807,439 | ||||||
Morgan Stanley Capital, Inc. Series 2005-HE7 Class A2C, 0.562%, 11/25/2035 | 8,738,560 | 7,528,643 | ||||||
Structured Asset Security Corp., Series 2002-27A Class B1, 2.549%, 1/25/2033 | 2,355,342 | 518,146 | ||||||
Wells Fargo Asset Securities Corp., Series 2005-AR2 Class B1, 2.618%, 2/25/2035 | 9,933,694 | 997,913 | ||||||
Wells Fargo Asset Securities Corp., Series 2005-AR2 Class B1, 2.625%, 3/25/2035 | 9,425,639 | 861,190 | ||||||
|
| |||||||
| 32,815,894 | ||||||||
|
| |||||||
TOTAL ASSET BACKED SECURITIES (Cost $74,476,280) | 51,883,301 | |||||||
|
| |||||||
CORPORATE BONDS — 13.31% | ||||||||
AUTOMOBILES & COMPONENTS — 0.06% | ||||||||
AUTOMOBILES — 0.06% | ||||||||
cAmerican Honda Finance, 7.625%, 10/1/2018 | 5,000,000 | 6,347,425 | ||||||
|
| |||||||
| 6,347,425 | ||||||||
|
| |||||||
BANKS — 0.53% | ||||||||
COMMERCIAL BANKS — 0.53% | ||||||||
c,dBanco Industrial e Comercial S.A., 6.25%, 1/20/2013 | 9,000,000 | 9,144,900 | ||||||
c,dBanco Pine SA, 8.75%, 1/6/2017 | 8,998,000 | 9,301,682 | ||||||
Fifth Third Bancorp, 6.25%, 5/1/2013 | 2,750,000 | 2,892,442 | ||||||
c,dGroupe BPCE, 12.50%, 12/31/2049 | 10,211,000 | 10,813,653 | ||||||
b,c,d,e,f Landsbanki Islands HF, 7.431%, 12/31/2049 | 5,000,000 | 0 | ||||||
National City Preferred Capital Trust I, 12.00%, 12/31/2049 | 3,250,000 | 3,461,380 | ||||||
PNC Financial Services Group, Inc., 8.25%, 12/31/2049 | 10,000,000 | 10,260,790 | ||||||
cPNC Preferred Funding Trust III, 8.70%, 12/31/2049 | 4,500,000 | 4,624,695 | ||||||
Provident Bank of Maryland, 9.50%, 5/1/2018 | 5,600,000 | 5,944,669 | ||||||
dShinhan Bank, 6.819%, 9/20/2036 | 900,000 | 929,307 | ||||||
|
| |||||||
| 57,373,518 | ||||||||
|
| |||||||
CAPITAL GOODS — 0.37% | ||||||||
INDUSTRIAL CONGLOMERATES — 0.17% | ||||||||
Otter Tail Corp., 9.00%, 12/15/2016 | 17,000,000 | 18,445,000 | ||||||
MACHINERY — 0.09% | ||||||||
c,d,gZoomlion Hong Kong SPV Co. Ltd., 6.875%, 4/5/2017 | 10,000,000 | 9,948,000 | ||||||
TRADING COMPANIES & DISTRIBUTORS — 0.11% | ||||||||
International Lease Finance Corp., 4.875%, 4/1/2015 | 2,000,000 | 1,979,608 | ||||||
cInternational Lease Finance Corp. E-Capital Trust I, 5.03%, 12/21/2065 | 15,000,000 | 9,977,400 | ||||||
|
| |||||||
| 40,350,008 | ||||||||
|
| |||||||
CONSUMER SERVICES — 0.09% | ||||||||
HOTELS, RESTAURANTS & LEISURE — 0.09% | ||||||||
cSeneca Nation Indians Capital Improvements Authority, 6.75%, 12/1/2013 | 2,150,000 | 2,128,586 | ||||||
cSizzling Platter, LLC, 12.25%, 4/15/2016 | 7,500,000 | 7,687,500 | ||||||
|
| |||||||
| 9,816,086 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 1.10% | ||||||||
CAPITAL MARKETS — 0.14% | ||||||||
Deutsche Bank Financial, LLC, 5.375%, 3/2/2015 | 7,000,000 | 7,241,164 | ||||||
Goldman Sachs Group, Inc., 5.625%, 1/15/2017 | 8,000,000 | 8,403,008 | ||||||
22 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Investment Income Builder Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
CONSUMER FINANCE — 0.45% | ||||||||
American Express Credit Co., 5.875%, 5/2/2013 | $ | 5,000,000 | $ | 5,257,935 | ||||
Capital One Capital IV, 6.745%, 2/5/2082 | 6,400,000 | 6,400,000 | ||||||
Capital One Financial Corp., 6.15%, 9/1/2016 | 25,000,000 | 27,477,900 | ||||||
SLM Corp., 4.00%, 7/25/2014 | 2,000,000 | 2,010,380 | ||||||
SLM Corp. LIBOR Floating Rate Note, 0.86%, 1/27/2014 | 5,000,000 | 4,775,685 | ||||||
TMX Finance LLC/TitleMax Finance Corp., 13.25%, 7/15/2015 | 2,500,000 | 2,762,500 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 0.51% | ||||||||
Citigroup, Inc., 5.00%, 9/15/2014 | 16,250,000 | 16,828,971 | ||||||
dExport-Import Bank of Korea, 8.125%, 1/21/2014 | 2,750,000 | 3,036,569 | ||||||
JPMorgan Chase & Co., 7.90%, 12/31/2049 | 15,000,000 | 16,432,800 | ||||||
dKorea Development Bank, 5.30%, 1/17/2013 | 800,000 | 821,440 | ||||||
MBNA Corp., 6.125%, 3/1/2013 | 2,000,000 | 2,069,764 | ||||||
National Rural Utilities CFC, 10.375%, 11/1/2018 | 5,000,000 | 7,251,640 | ||||||
SquareTwo Financial Corp., 11.625%, 4/1/2017 | 8,850,000 | 8,761,500 | ||||||
|
| |||||||
| 119,531,256 | ||||||||
|
| |||||||
ENERGY — 2.43% | ||||||||
ENERGY EQUIPMENT & SERVICES — 0.25% | ||||||||
Nabors Industries, Inc., 9.25%, 1/15/2019 | 10,500,000 | 13,479,165 | ||||||
c,dRDS Ultra-Deepwater Ltd., 11.875%, 3/15/2017 | 10,400,000 | 11,492,000 | ||||||
Seacor Holdings, Inc., 7.375%, 10/1/2019 | 2,000,000 | 2,112,422 | ||||||
OIL, GAS & CONSUMABLE FUELS — 2.18% | ||||||||
Black Elk Energy Offshore, 13.75%, 12/1/2015 | 16,750,000 | 17,126,875 | ||||||
c,dBumi Capital PTE Ltd., 12.00%, 11/10/2016 | 3,000,000 | 3,300,000 | ||||||
cDCP Midstream, LLC, 9.75%, 3/15/2019 | 5,000,000 | 6,390,065 | ||||||
Enbridge Energy Partners LP, 9.875%, 3/1/2019 | 9,750,000 | 12,970,942 | ||||||
cEndeavour International Corp., 12.00%, 3/1/2018 | 17,000,000 | 17,170,000 | ||||||
cEnogex, LLC, 6.875%, 7/15/2014 | 2,000,000 | 2,170,496 | ||||||
cEnogex, LLC, 6.25%, 3/15/2020 | 2,500,000 | 2,777,537 | ||||||
Enterprise Products Operating LP, 7.034%, 1/15/2068 | 20,880,000 | 22,446,000 | ||||||
cGaz Capital SA, 8.146%, 4/11/2018 | 2,000,000 | 2,344,660 | ||||||
cGreen Field Energy Services, 13.00%, 11/15/2016 | 16,000,000 | 15,680,000 | ||||||
cGS Caltex Corp., 7.25%, 7/2/2013 | 7,000,000 | 7,393,162 | ||||||
Kinder Morgan Energy Partners LP, 9.00%, 2/1/2019 | 8,000,000 | 10,247,520 | ||||||
cMaritimes & Northeast Pipeline, LLC, 7.50%, 5/31/2014 | 6,737,250 | 7,207,780 | ||||||
Murphy Oil Corp., 6.375%, 5/1/2012 | 5,000,000 | 5,018,385 | ||||||
Niska Gas Storage, 8.875%, 3/15/2018 | 8,739,000 | 8,214,660 | ||||||
NuStar Logistics, 7.65%, 4/15/2018 | 18,000,000 | 21,307,230 | ||||||
Oneok Partners LP, 8.625%, 3/1/2019 | 8,000,000 | 10,315,440 | ||||||
Oneok Partners LP, 5.90%, 4/1/2012 | 3,000,000 | 3,000,000 | ||||||
c,dPacific Rubiales Energy Corp., 7.25%, 12/12/2021 | 2,000,000 | 2,189,000 | ||||||
c,dPetro Co. Trinidad Tobago Ltd., 9.75%, 8/14/2019 | 4,000,000 | 4,932,000 | ||||||
b,c,d,fPetroplus Finance Ltd., 6.75%, 5/1/2014 | 5,650,000 | 2,175,250 | ||||||
Plains Exploration and Production Co., 7.625%, 6/1/2018 | 1,000,000 | 1,062,500 | ||||||
RAAM Global Energy Co., 12.50%, 10/1/2015 | 15,000,000 | 15,637,500 | ||||||
Southern Union Co., 3.564%, 11/1/2066 | 23,020,000 | 20,171,275 | ||||||
Teppco Partners LP, 7.00%, 6/1/2067 | 7,000,000 | 7,000,000 | ||||||
cWoodside Financial Ltd., 8.125%, 3/1/2014 | 8,000,000 | 8,868,096 | ||||||
|
| |||||||
| 264,199,960 | ||||||||
|
| |||||||
Certified Semi-Annual Report 23
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Investment Income Builder Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
FOOD & STAPLES RETAILING — 0.09% | ||||||||
FOOD & STAPLES RETAILING — 0.09% | ||||||||
Rite Aid Corp., 9.375%, 12/15/2015 | $ | 9,500,000 | $ | 9,761,250 | ||||
|
| |||||||
| 9,761,250 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 0.40% | ||||||||
BEVERAGES — 0.02% | ||||||||
Anheuser-Busch Cos., Inc., 4.70%, 4/15/2012 | 3,000,000 | 3,003,588 | ||||||
FOOD PRODUCTS — 0.14% | ||||||||
cHarmony Foods Corp., 10.00%, 5/1/2016 | 9,900,000 | 10,197,000 | ||||||
c,dMinerva Luxembourg SA, 12.25%, 2/10/2022 | 4,500,000 | 4,916,250 | ||||||
TOBACCO — 0.24% | ||||||||
Altria Group, Inc., 8.50%, 11/10/2013 | 4,000,000 | 4,469,608 | ||||||
Altria Group, Inc., 9.70%, 11/10/2018 | 10,750,000 | 14,607,379 | ||||||
c,dB.A.T. International Finance plc, 9.50%, 11/15/2018 | 5,000,000 | 6,820,335 | ||||||
|
| |||||||
| 44,014,160 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SERVICES — 0.54% | ||||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.05% | ||||||||
Alere, Inc., 8.625%, 10/1/2018 | 5,000,000 | 5,175,000 | ||||||
HEALTH CARE PROVIDERS & SERVICES — 0.33% | ||||||||
Aurora Diagnostics Holdings, LLC, 10.75%, 1/15/2018 | 11,000,000 | 10,890,000 | ||||||
Prospect Medical Holdings, Inc., 12.75%, 7/15/2014 | 23,000,000 | 24,868,750 | ||||||
HEALTH CARE TECHNOLOGY — 0.16% | ||||||||
Merge Healthcare, Inc., 11.75%, 5/1/2015 | 16,400,000 | 17,712,000 | ||||||
|
| |||||||
| 58,645,750 | ||||||||
|
| |||||||
INSURANCE — 2.08% | ||||||||
INSURANCE — 2.08% | ||||||||
American General Finance Corp., 4.875%, 7/15/2012 | 1,000,000 | 970,000 | ||||||
c,dDai Ichi Mutual Life, 7.25%, 12/31/2049 | 9,000,000 | 9,315,000 | ||||||
Hartford Financial Services Group, 8.125%, 6/15/2068 | 9,650,000 | 10,301,375 | ||||||
cLiberty Mutual Group, Inc., 5.75%, 3/15/2014 | 1,000,000 | 1,053,990 | ||||||
cMetlife Capital Trust X, 9.25%, 4/8/2068 | 12,000,000 | 14,460,000 | ||||||
Metlife, Inc. Series A, 6.817%, 8/15/2018 | 4,000,000 | 4,901,216 | ||||||
cNational Life Insurance of Vermont, 10.50%, 9/15/2039 | 2,000,000 | 2,513,964 | ||||||
eNorthwind Holdings, LLC Series 2007-1A Class A1, 1.268%, 12/1/2037 | 4,768,750 | 3,730,355 | ||||||
c,dOil Insurance Ltd., 3.452%, 12/31/2049 | 4,000,000 | 3,749,120 | ||||||
cPrudential Holdings, LLC, 8.695%, 12/18/2023 | 4,500,000 | 5,594,490 | ||||||
c,dQBE Capital Funding III Ltd., 7.25%, 5/24/2041 | 41,800,000 | 39,396,500 | ||||||
c,dQBE Insurance Group Ltd., 5.647%, 7/1/2023 | 12,863,000 | 12,018,737 | ||||||
cSwiss Re Capital I LP, 6.854%, 12/31/2049 | 40,865,000 | 38,575,375 | ||||||
Transatlantic Holdings, Inc., 5.75%, 12/14/2015 | 14,647,000 | 15,802,165 | ||||||
cWhite Mountains Re Group Ltd., 7.506%, 12/31/2049 | 28,590,000 | 27,460,695 | ||||||
cZFS Finance USA Trust II, 6.45%, 12/15/2065 | 35,208,000 | 34,855,920 | ||||||
cZFS Finance USA Trust V, 6.50%, 5/9/2067 | 1,260,000 | 1,215,900 | ||||||
|
| |||||||
| 225,914,802 | ||||||||
|
| |||||||
MATERIALS — 0.71% | ||||||||
CONSTRUCTION MATERIALS — 0.47% | ||||||||
c,dCEMEX Espana Luxembourg, 9.875%, 4/30/2019 | 1,460,000 | 1,401,600 | ||||||
cCEMEX Finance, LLC, 9.50%, 12/14/2016 | 10,000,000 | 9,976,000 | ||||||
CRH America, Inc., 8.125%, 7/15/2018 | 12,000,000 | 14,195,784 | ||||||
24 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Investment Income Builder Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
cSummit Materials, LLC, 10.50%, 1/31/2020 | $ | 6,000,000 | $ | 6,270,000 | ||||
Texas Industries, Inc., 9.25%, 8/15/2020 | 19,850,000 | 19,056,000 | ||||||
CONTAINERS & PACKAGING — 0.05% | ||||||||
cPlastipak Holdings, Inc., 10.625%, 8/15/2019 | 2,250,000 | 2,565,000 | ||||||
cSealed Air Corp., 8.375%, 9/15/2021 | 2,000,000 | 2,247,500 | ||||||
METALS & MINING — 0.19% | ||||||||
c,dAnglo American Capital, 9.375%, 4/8/2014 | 3,500,000 | 4,028,272 | ||||||
c,dFMG Resources, 8.25%, 11/1/2019 | 8,500,000 | 8,925,000 | ||||||
cGTL Trade Finance, Inc., 7.25%, 10/20/2017 | 7,000,000 | 8,029,000 | ||||||
|
| |||||||
| 76,694,156 | ||||||||
|
| |||||||
MEDIA — 0.53% | ||||||||
MEDIA — 0.53% | ||||||||
Comcast Cable Communications, 8.875%, 5/1/2017 | 5,000,000 | 6,495,805 | ||||||
DIRECTV Holdings, LLC, 7.625%, 5/15/2016 | 3,000,000 | 3,142,500 | ||||||
Time Warner Cable, Inc., 8.75%, 2/14/2019 | 14,000,000 | 18,250,470 | ||||||
Time Warner Cable, Inc., 8.25%, 2/14/2014 | 4,000,000 | 4,528,696 | ||||||
cWMG Acquisition Corp., 11.50%, 10/1/2018 | 17,500,000 | 18,725,000 | ||||||
cWMG Holdings Corp., 13.75%, 10/1/2019 | 6,000,000 | 6,075,000 | ||||||
|
| |||||||
| 57,217,471 | ||||||||
|
| |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 0.40% | ||||||||
BIOTECHNOLOGY — 0.07% | ||||||||
eJPR Royalty, LLC, 14.00%, 12/1/2020 | 5,000,000 | 5,000,000 | ||||||
eTiers Inflation Linked Trust Series Wyeth 2004 21 Trust Certificate CPI Floating Rate | ||||||||
Note, 4.812%, 2/1/2014 | 3,000,000 | 3,076,500 | ||||||
LIFE SCIENCES TOOLS & SERVICES — 0.11% | ||||||||
cBPA Laboratories, Inc., 12.25%, 4/1/2017 | 12,000,000 | 11,490,000 | ||||||
PHARMACEUTICALS — 0.22% | ||||||||
c,eAlvogen Pharma U.S., Inc., 10.50%, 3/15/2019 | 12,000,000 | 12,000,000 | ||||||
Axcan Intermediate Holdings, Inc., 12.75%, 3/1/2016 | 3,527,000 | 3,765,073 | ||||||
KV Pharmaceutical Co., 12.00%, 3/15/2015 | 12,000,000 | 7,920,000 | ||||||
|
| |||||||
| 43,251,573 | ||||||||
|
| |||||||
REAL ESTATE — 0.07% | ||||||||
REAL ESTATE INVESTMENT TRUSTS — 0.07% | ||||||||
Residential Asset Securities Corp., 0.392%, 6/25/2036 | 7,910,405 | 7,217,106 | ||||||
|
| |||||||
| 7,217,106 | ||||||||
|
| |||||||
RETAILING — 0.05% | ||||||||
MULTILINE RETAIL — 0.01% | ||||||||
c,dGrupo Famsa S.A.B. de C.V., 11.00%, 7/20/2015 | 1,500,000 | 1,567,500 | ||||||
SPECIALTY RETAIL — 0.04% | ||||||||
Best Buy, Inc., 6.75%, 7/15/2013 | 4,000,000 | 4,242,656 | ||||||
|
| |||||||
| 5,810,156 | ||||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.48% | ||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.48% | ||||||||
KLA Tencor Corp., 6.90%, 5/1/2018 | 10,000,000 | 11,923,050 | ||||||
MEMC Electronics Materials, Inc., 7.75%, 4/1/2019 | 48,670,000 | 38,692,650 | ||||||
National Semiconductor Corp., 6.15%, 6/15/2012 | 2,000,000 | 2,021,344 | ||||||
|
| |||||||
| 52,637,044 | ||||||||
|
| |||||||
Certified Semi-Annual Report 25
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Investment Income Builder Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
SOFTWARE & SERVICES — 0.25% | ||||||||
INTERNET SOFTWARE & SERVICES — 0.23% | ||||||||
c,dEAccess Ltd., 8.25%, 4/1/2018 | $ | 3,000,000 | $ | 2,872,500 | ||||
EarthLink, Inc., 8.875%, 5/15/2019 | 12,000,000 | 11,610,000 | ||||||
SSI Investments II/CO-ISSR, LLC, 11.125%, 6/1/2018 | 1,688,000 | 1,873,680 | ||||||
eYahoo!, Inc., 6.65%, 8/10/2026 | 8,031,856 | 8,167,032 | ||||||
SOFTWARE — 0.02% | ||||||||
Aspect Software, Inc., 10.625%, 5/15/2017 | 2,000,000 | 2,135,000 | ||||||
|
| |||||||
| 26,658,212 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 0.05% | ||||||||
COMMUNICATIONS EQUIPMENT — 0.05% | ||||||||
cBrightstar Corp., 9.50%, 12/1/2016 | 5,000,000 | 5,200,000 | ||||||
|
| |||||||
| 5,200,000 | ||||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 0.81% | ||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.67% | ||||||||
dDeutsche Telekom International Finance B.V., 8.75%, 6/15/2030 | 26,150,000 | 35,942,338 | ||||||
Level 3 Communications, Inc., 11.875%, 2/1/2019 | 6,000,000 | 6,840,000 | ||||||
Qwest Corp., 6.75%, 12/1/2021 | 9,000,000 | 10,046,250 | ||||||
dTelecom Italia Capital SA, 5.25%, 10/1/2015 | 4,190,000 | 4,326,175 | ||||||
c,dTelemar Norte Leste SA, 5.50%, 10/23/2020 | 9,065,000 | 9,318,820 | ||||||
c,dWind Acquisition Finance SA, 7.25%, 2/15/2018 | 6,000,000 | 5,655,000 | ||||||
WIRELESS TELECOMMUNICATION SERVICES — 0.14% | ||||||||
c,dDigicel SA, 12.00%, 4/1/2014 | 2,000,000 | 2,235,000 | ||||||
c,dVimpelCom (UBS SA), 8.25%, 5/23/2016 | 4,500,000 | 4,888,125 | ||||||
c,dVimpelCom Holdings BV, 7.504%, 3/1/2022 | 8,735,000 | 8,472,950 | ||||||
|
| |||||||
| 87,724,658 | ||||||||
|
| |||||||
TRANSPORTATION — 0.38% | ||||||||
AIRLINES — 0.30% | ||||||||
c,dAir Canada, 9.25%, 8/1/2015 | 17,000,000 | 16,575,000 | ||||||
American Airlines, Inc., 13.00%, 8/1/2016 | 3,434,082 | 3,622,956 | ||||||
b,fAmerican Airllines, Inc., 8.625%, 4/15/2023 | 9,000,000 | 9,495,000 | ||||||
US Airways, 6.25%, 4/22/2023 | 2,903,168 | 2,946,716 | ||||||
MARINE — 0.08% | ||||||||
United Maritime, LLC, 11.75%, 6/15/2015 | 3,500,000 | 3,635,625 | ||||||
cWindsor Petroleum Transport Corp., 7.84%, 1/15/2021 | 8,134,913 | 5,055,442 | ||||||
|
| |||||||
| 41,330,739 | ||||||||
|
| |||||||
UTILITIES — 1.89% | ||||||||
ELECTRIC UTILITIES — 0.94% | ||||||||
Alabama Power Capital Trust V, 3.681%, 10/1/2042 | 4,000,000 | 3,999,960 | ||||||
Arizona Public Service Co., 8.75%, 3/1/2019 | 6,500,000 | 8,430,221 | ||||||
b,c,d,e,f Centrais Eletricas DO PA, 10.50%, 6/3/2016 | 16,000,000 | 7,200,000 | ||||||
c,dE. CL SA, 5.625%, 1/15/2021 | 2,000,000 | 2,143,878 | ||||||
c,dEnel Finance International S.A., 6.25%, 9/15/2017 | 40,000,000 | 42,525,120 | ||||||
Entergy Gulf States Louisiana, LLC, 6.00%, 5/1/2018 | 8,000,000 | 9,193,304 | ||||||
cGreat River Energy, 5.829%, 7/1/2017 | 1,580,089 | 1,714,191 | ||||||
cMonongahela Power Co., 7.95%, 12/15/2013 | 2,000,000 | 2,219,682 | ||||||
cTexas-New Mexico Power Co., 9.50%, 4/1/2019 | 19,000,000 | 25,022,126 | ||||||
26 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Investment Income Builder Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
GAS UTILITIES — 0.09% | ||||||||
Southwest Gas Corp., 7.625%, 5/15/2012 | $ | 9,465,000 | $ | 9,534,293 | ||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.26% | ||||||||
c,dAtlantic Power Corp., 9.00%, 11/15/2018 | 10,000,000 | 10,100,000 | ||||||
c,dInkia Energy Ltd., 8.375%, 4/4/2021 | 18,000,000 | 18,540,000 | ||||||
MULTI-UTILITIES — 0.60% | ||||||||
Ameren Illinois Co., 9.75%, 11/15/2018 | 5,000,000 | 6,773,310 | ||||||
AmerenEnergy Generating Co., 7.00%, 4/15/2018 | 9,050,000 | 8,009,250 | ||||||
Black Hills Corp., 9.00%, 5/15/2014 | 4,500,000 | 5,031,117 | ||||||
NiSource Finance Corp., 6.15%, 3/1/2013 | 5,562,000 | 5,810,232 | ||||||
NiSource Finance Corp., 6.40%, 3/15/2018 | 20,000,000 | 23,426,380 | ||||||
Sempra Energy, 9.80%, 2/15/2019 | 7,750,000 | 10,553,586 | ||||||
Sempra Energy, 8.90%, 11/15/2013 | 2,000,000 | 2,237,528 | ||||||
Union Electric Co., 6.70%, 2/1/2019 | 2,500,000 | 3,072,457 | ||||||
|
| |||||||
| 205,536,635 | ||||||||
|
| |||||||
TOTAL CORPORATE BONDS (Cost $1,282,039,096) | 1,445,231,965 | |||||||
|
| |||||||
CONVERTIBLE BONDS — 1.92% | ||||||||
CAPITAL GOODS — 0.18% | ||||||||
MACHINERY — 0.18% | ||||||||
c3D Systems Corp., 5.50%, 12/15/2016 | 15,000,000 | 19,837,500 | ||||||
|
| |||||||
| 19,837,500 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 1.16% | ||||||||
CAPITAL MARKETS — 0.19% | ||||||||
aApollo Investment Corp., 5.75%, 1/15/2016 | 10,900,000 | 10,682,000 | ||||||
cHercules Technology Growth Capital, Inc., 6.00%, 4/15/2016 | 10,000,000 | 10,412,500 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 0.97% | ||||||||
cICAHN Enterprise LP, 4.00%, 8/15/2013 | 10,000,000 | 9,960,000 | ||||||
ICAHN Enterprises LP, 4.00%, 8/15/2013 | 1,200,000 | 1,195,200 | ||||||
aKKR Financial Holdings, LLC, 7.50%, 1/15/2017 | 22,750,000 | 32,105,938 | ||||||
aKKR Financial Holdings, LLC, 7.00%, 7/15/2012 | 61,600,000 | 62,216,000 | ||||||
|
| |||||||
| 126,571,638 | ||||||||
|
| |||||||
ENERGY — 0.07% | ||||||||
OIL, GAS & CONSUMABLE FUELS — 0.07% | ||||||||
SunPower Corp., 4.50%, 3/15/2015 | 5,000,000 | 4,475,000 | ||||||
SunPower Corp., 4.75%, 4/15/2014 | 3,000,000 | 2,812,500 | ||||||
|
| |||||||
| 7,287,500 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 0.15% | ||||||||
BEVERAGES — 0.15% | ||||||||
Central European Distribution Corp., 3.00%, 3/15/2013 | 18,239,000 | 16,118,716 | ||||||
|
| |||||||
| 16,118,716 | ||||||||
|
| |||||||
Certified Semi-Annual Report 27
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Investment Income Builder Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
MATERIALS — 0.16% | ||||||||
CONSTRUCTION MATERIALS — 0.07% | ||||||||
dCEMEX SAB de CV, 4.875%, 3/15/2015 | $ | 8,500,000 | $ | 7,990,000 | ||||
METALS & MINING — 0.09% | ||||||||
c,dJaguar Mining, Inc., 4.50%, 11/1/2014 | 11,000,000 | 9,432,500 | ||||||
|
| |||||||
| 17,422,500 | ||||||||
|
| |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 0.01% | ||||||||
PHARMACEUTICALS — 0.01% | ||||||||
KV Pharmaceutical Co., 2.50%, 5/16/2033 | 4,000,000 | 980,000 | ||||||
|
| |||||||
| 980,000 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 0.04% | ||||||||
SOFTWARE — 0.04% | ||||||||
THQ, Inc., 5.00%, 8/15/2014 | 9,136,000 | 4,465,220 | ||||||
|
| |||||||
| 4,465,220 | ||||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 0.13% | ||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.13% | ||||||||
cAlaska Communication Systems Group, Inc., 6.25%, 5/1/2018 | 15,600,000 | 12,012,000 | ||||||
Level 3 Communications, Inc., 7.00%, 3/15/2015 | 2,000,000 | 2,610,000 | ||||||
|
| |||||||
| 14,622,000 | ||||||||
|
| |||||||
TRANSPORTATION — 0.02% | ||||||||
MARINE — 0.02% | ||||||||
cUltrapetrol Bahamas Ltd., 7.25%, 1/15/2017 | 2,750,000 | 1,883,750 | ||||||
|
| |||||||
| 1,883,750 | ||||||||
|
| |||||||
TOTAL CONVERTIBLE BONDS (Cost $199,259,466) | 209,188,824 | |||||||
|
| |||||||
WARRANTS — 0.01% | ||||||||
bGreen Field Energy Services | 16,000 | 1,056,000 | ||||||
|
| |||||||
TOTAL WARRANTS (Cost $627,343) | 1,056,000 | |||||||
|
| |||||||
MUNICIPAL BONDS — 0.03% | ||||||||
San Bernardino County California, 8.45%, 9/1/2030 | 2,555,000 | 2,702,628 | ||||||
Victor New York, 9.20%, 5/1/2014 | 785,000 | 813,401 | ||||||
|
| |||||||
TOTAL MUNICIPAL BONDS (Cost $3,304,954) | 3,516,029 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCIES — 0.08% | ||||||||
cAgribank FCB, 9.125%, 7/15/2019 | 6,750,000 | 8,564,211 | ||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $6,750,000) | 8,564,211 | |||||||
|
| |||||||
FOREIGN BONDS — 1.52% | ||||||||
DIVERSIFIED FINANCIALS — 0.39% | ||||||||
CAPITAL MARKETS — 0.06% | ||||||||
Morgan Stanley (AUD), 4.788%, 3/1/2013 | 4,000,000 | 4,083,759 | ||||||
Morgan Stanley (BRL), 10.09%, 5/3/2017 | 4,560,000 | 2,510,504 | ||||||
CONSUMER FINANCE — 0.27% | ||||||||
cLowell Group Finance plc (GBP), 10.75%, 4/1/2019 | 12,000,000 | 19,289,981 | ||||||
c,eCash Store Financial (CAD), 11.50%, 1/31/2017 | 10,250,000 | 9,762,394 | ||||||
28 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Investment Income Builder Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
DIVERSIFIED FINANCIAL SERVICES — 0.06% | ||||||||
eBank of America Corp. (BRL), 10.00%, 11/19/2014 | $ | 6,500,000 | $ | 3,596,374 | ||||
eBank of America Corp. (BRL), 10.75%, 8/20/2018 | 5,000,000 | 2,766,441 | ||||||
|
| |||||||
| 42,009,453 | ||||||||
|
| |||||||
FOOD & STAPLES RETAILING — 0.02% | ||||||||
FOOD & STAPLES RETAILING — 0.02% | ||||||||
Wesfarmers Ltd. (AUD), 7.11%, 9/11/2014 | 2,000,000 | 2,126,689 | ||||||
|
| |||||||
| 2,126,689 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 0.10% | ||||||||
BEVERAGES — 0.10% | ||||||||
Ambev International Finance Co. Ltd. (BRL), 9.50%, 7/24/2017 | 7,669,000 | 4,400,711 | ||||||
Anheuser-Busch InBev (BRL), 9.75%, 11/17/2015 | 10,000,000 | 5,951,957 | ||||||
|
| |||||||
| 10,352,668 | ||||||||
|
| |||||||
INSURANCE — 0.14% | ||||||||
INSURANCE — 0.14% | ||||||||
ELM BV (AUD), 7.635%, 12/31/2049 | 10,500,000 | 8,761,175 | ||||||
ELM BV (AUD), 5.502%, 12/31/2049 | 8,000,000 | 6,401,966 | ||||||
|
| |||||||
| 15,163,141 | ||||||||
|
| |||||||
MATERIALS — 0.07% | ||||||||
CONSTRUCTION MATERIALS — 0.07% | ||||||||
CEMEX Finance, LLC (EUR), 9.625%, 12/14/2017 | 6,500,000 | 8,127,232 | ||||||
|
| |||||||
| 8,127,232 | ||||||||
|
| |||||||
MEDIA — 0.06% | ||||||||
MEDIA — 0.06% | ||||||||
cCorus Entertainment (CAD), 7.25%, 2/10/2017 | 2,000,000 | 2,125,420 | ||||||
News America Holdings (AUD), 8.625%, 2/7/2014 | 4,000,000 | 4,299,348 | ||||||
|
| |||||||
| 6,424,768 | ||||||||
|
| |||||||
MISCELLANEOUS — 0.41% | ||||||||
MISCELLANEOUS — 0.41% | ||||||||
Federative Republic of Brazil (BRL), 12.50%, 1/5/2022 | 20,000,000 | 14,549,837 | ||||||
Federative Republic of Brazil (BRL), 12.50%, 1/5/2016 | 29,750,000 | 19,670,903 | ||||||
New South Wales Treasury Corp. (AUD), 4.051%, 11/20/2020 | 8,500,000 | 10,813,696 | ||||||
|
| |||||||
| 45,034,436 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 0.05% | ||||||||
INTERNET SOFTWARE & SERVICES — 0.05% | ||||||||
EAccess Ltd. (EUR), 8.375%, 4/1/2018 | 4,000,000 | 4,921,352 | ||||||
|
| |||||||
| 4,921,352 | ||||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 0.03% | ||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.03% | ||||||||
Wind Acquisition Finance SA (EUR), 11.75%, 7/15/2017 | 3,000,000 | 3,781,039 | ||||||
|
| |||||||
| 3,781,039 | ||||||||
|
| |||||||
Certified Semi-Annual Report 29
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Investment Income Builder Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
TRANSPORTATION — 0.08% | ||||||||
AIRLINES — 0.08% | ||||||||
eIberbond 2004 plc (EUR), 4.235%, 12/24/2017 | $ | 8,000,000 | $ | 9,069,158 | ||||
|
| |||||||
| 9,069,158 | ||||||||
|
| |||||||
UTILITIES — 0.17% | ||||||||
ELECTRIC UTILITIES — 0.06% | ||||||||
Cia De Ele Do E Da Bahia (BRL), 11.75%, 4/27/2016 | 12,000,000 | 7,033,882 | ||||||
MULTI-UTILITIES — 0.11% | ||||||||
Ville De Montreal (CAD), 5.45%, 12/1/2019 | 10,000,000 | 11,492,205 | ||||||
|
| |||||||
| 18,526,087 | ||||||||
|
| |||||||
TOTAL FOREIGN BONDS (Cost $150,218,361) | 165,536,023 | |||||||
|
| |||||||
OTHER SECURITIES — 0.35% | ||||||||
LOAN PARTICIPATIONS — 0.35% | ||||||||
CEMEX Espana SA, 4.50%, 2/14/2014 | 5,000,000 | 4,536,100 | ||||||
Lonestar Intermediate Super Holdings, 9.50%, 8/7/2019 | 3,000,000 | 3,033,210 | ||||||
eMerisant Co. Term Loan B, 7.50%, 1/31/2014 | 1,947,506 | 1,859,869 | ||||||
ePrivate Restaurants Properties, Inc., 9.00%, 3/1/2017 | 15,600,000 | 15,600,000 | ||||||
Texas Comp Electric Holdings, LLC, 3.743%, 10/10/2014 | 20,669,860 | 12,578,023 | ||||||
|
| |||||||
TOTAL OTHER SECURITIES (Cost $42,721,559) | 37,607,202 | |||||||
|
| |||||||
SHORT TERM INVESTMENTS — 0.11% | ||||||||
Arizona Public Service Co., 0.45%, 4/2/2012 | 11,700,000 | 11,699,854 | ||||||
|
|
|
| |||||
TOTAL SHORT TERM INVESTMENTS (Cost $11,699,854) | 11,699,854 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 98.69% (Cost $10,048,593,612) | $ | 10,719,119,770 | ||||||
OTHER ASSETS LESS LIABILITIES — 1.31% | 142,190,612 | |||||||
|
| |||||||
NET ASSETS — 100.00% | $ | 10,861,310,382 | ||||||
|
| |||||||
30 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Investment Income Builder Fund | March 31, 2012 (Unaudited) | |
Footnote Legend
| a | 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/Principal September 30, 2011 | Gross Additions | Gross Reductions | Shares/Principal March 31, 2012 | Market Value March 31, 2012 | Investment Income | ||||||||||||||||||
Apollo Investment Corp. | 10,000,000 | 3,437,000 | — | 13,437,000 | $ | 96,343,290 | $ | 5,707,584 | ||||||||||||||||
Apollo Investment Corp., 5.75%,1/15/2016 | 5,000,000 | 5,900,000 | — | 10,900,000 | 10,682,000 | 313,375 | ||||||||||||||||||
Dynex Capital, Inc. | 2,860,000 | 1,702,000 | — | 4,562,000 | 43,567,100 | 2,078,160 | ||||||||||||||||||
Invesco Mortgage Capital, Inc.* | 5,414,300 | 1,585,700 | — | 7,000,000 | 123,550,000 | 8,877,570 | ||||||||||||||||||
KKR Financial Holdings, LLC | 11,900,000 | 100,000 | — | 12,000,000 | 110,520,000 | 5,280,000 | ||||||||||||||||||
KKR Financial Holdings, LLC, | ||||||||||||||||||||||||
7.0%, 7/15/2012 | 61,600,000 | — | — | 61,600,000 | 62,216,000 | 1,911,000 | ||||||||||||||||||
KKR Financial Holdings, LLC, | ||||||||||||||||||||||||
7.5%, 1/15/2017 | 22,750,000 | — | — | 22,750,000 | 32,105,938 | 853,125 | ||||||||||||||||||
MFA Financial, Inc. | 18,000,000 | 2,000,000 | — | 20,000,000 | 149,400,000 | 14,700,000 | ||||||||||||||||||
Solar Capital Ltd. | 3,750,000 | — | — | 3,750,000 | 82,762,500 | 4,500,000 | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total non-controlled affiliated issuers – 6.55% of net assets |
| $ | 711,146,828 | $ | 44,220,814 | |||||||||||||||||||
|
|
|
| |||||||||||||||||||||
| * | Issuer not affiliated at September 30, 2011. |
| b | Non-income producing. |
| c | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of March 31, 2012, the aggregate value of these securities in the Fund’s portfolio was $748,829,782, representing 6.89% of the Fund’s net assets. |
| d | Security currently fair valued by the valuation and pricing committee using procedures approved by the Trustees. |
| e | Yankee Bond - Denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations. |
| f | Bond in default. |
| g | When issued. |
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 Real | |
CAD | Denominated in Canadian Dollars | |
CHL | Denominated in Chilean Peso | |
CMO | Collateralized Mortgage Obligation | |
CPI | Consumer Price Index | |
EUR | Denominated in Euros | |
FCB | Farm Credit Bank | |
LIBOR | London Interbank Offered Rate | |
MFA | Mortgage Finance Authority | |
Mtg | Mortgage | |
Pfd | Preferred Stock | |
REIT | Real Estate Investment Trust | |
See notes to financial statements.
Certified Semi-Annual Report 31
| STATEMENT OF ASSETS AND LIABILITIES | ||
| Thornburg Investment Income Builder Fund | March 31, 2012 (Unaudited) | |
ASSETS | ||||
Investments at value (Note 2) | ||||
Non-affiliated issuers (cost $9,319,576,509) | $ | 10,007,972,942 | ||
Non-controlled affiliated issuers (cost $729,017,103) | 711,146,828 | |||
Cash | 3,279,498 | |||
Cash denominated in foreign currency (cost $16,139,689) | 16,157,672 | |||
Receivable for investments sold | 70,915,366 | |||
Receivable for fund shares sold | 44,764,377 | |||
Unrealized appreciation on forward currency contracts (Note 7) | 6,714,940 | |||
Dividends receivable | 38,177,630 | |||
Dividend and interest reclaim receivable | 10,067,717 | |||
Interest receivable | 39,868,120 | |||
Prepaid expenses and other assets | 242,109 | |||
|
| |||
Total Assets | 10,949,307,199 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 41,596,505 | |||
Payable for fund shares redeemed | 14,105,628 | |||
Unrealized depreciation on forward currency contracts (Note 7) | 11,991,400 | |||
Payable to investment advisor and other affiliates (Note 3) | 10,865,376 | |||
Accounts payable and accrued expenses | 1,866,311 | |||
Dividends payable | 7,571,597 | |||
|
| |||
Total Liabilities | 87,996,817 | |||
|
| |||
NET ASSETS | $ | 10,861,310,382 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment income | $ | (9,136,451 | ) | |
Net unrealized appreciation on investments | 665,213,486 | |||
Accumulated net realized gain (loss) | (917,759,271 | ) | ||
Net capital paid in on shares of beneficial interest | 11,122,992,618 | |||
|
| |||
| $ | 10,861,310,382 | |||
|
| |||
32 Certified Semi-Annual Report
| STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||||
| Thornburg Investment Income Builder Fund | March 31, 2012 (Unaudited) | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($3,261,876,933 applicable to 174,999,044 shares of beneficial interest outstanding - Note 4) | $ | 18.64 | ||
Maximum sales charge, 4.50% of offering price | 0.88 | |||
|
| |||
Maximum offering price per share | $ | 19.52 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($3,811,643,654 applicable to 204,504,439 shares of beneficial interest outstanding - Note 4) | $ | 18.64 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($3,722,860,005 applicable to 198,364,552 shares of beneficial interest outstanding - Note 4) | $ | 18.77 | ||
|
| |||
Class R3 Shares: | ||||
Net asset value, offering and redemption price per share ($41,829,562 applicable to 2,244,584 shares of beneficial interest outstanding - Note 4) | $ | 18.64 | ||
|
| |||
Class R4 Shares: | ||||
Net asset value, offering and redemption price per share ($13,518,553 applicable to 724,043 shares of beneficial interest outstanding - Note 4) | $ | 18.67 | ||
|
| |||
Class R5 Shares: | ||||
Net asset value, offering and redemption price per share ($9,581,675 applicable to 510,833 shares of beneficial interest outstanding - Note 4) | $ | 18.76 | ||
|
| |||
| * | 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 33
| STATEMENT OF OPERATIONS | ||
| Thornburg Investment Income Builder Fund | Six Months Ended March 31, 2012 (Unaudited) | |
INVESTMENT INCOME: | ||||
Dividend income | ||||
Non-affiliated issuers (net of foreign taxes withheld of $11,548,331) | $ | 210,632,385 | ||
Non-controlled affiliated issuers | 41,143,314 | |||
Interest income (net of premium amortized of $1,396,565) | ||||
Non-affiliated issuers | 76,597,945 | |||
Non-controlled affiliated issuers | 3,077,500 | |||
|
| |||
Total Income | 331,451,144 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 34,355,567 | |||
Administration fees (Note 3) | ||||
Class A Shares | 1,873,694 | |||
Class C Shares | 2,174,666 | |||
Class I Shares | 818,815 | |||
Class R3 Shares | 23,827 | |||
Class R4 Shares | 7,269 | |||
Class R5 Shares | 1,666 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 3,758,248 | |||
Class C Shares | 17,464,386 | |||
Class R3 Shares | 95,573 | |||
Class R4 Shares | 14,594 | |||
Transfer agent fees | ||||
Class A Shares | 1,188,325 | |||
Class C Shares | 1,811,075 | |||
Class I Shares | 1,090,355 | |||
Class R3 Shares | 27,489 | |||
Class R4 Shares | 12,928 | |||
Class R5 Shares | 6,487 | |||
Registration and filing fees | ||||
Class A Shares | 47,420 | |||
Class C Shares | 26,499 | |||
Class I Shares | 32,375 | |||
Class R3 Shares | 9,633 | |||
Class R4 Shares | 9,692 | |||
Class R5 Shares | 12,046 | |||
Custodian fees (Note 3) | 987,443 | |||
Professional fees | 88,455 | |||
Accounting fees | 112,195 | |||
Trustee fees | 127,255 | |||
Other expenses | 573,636 | |||
|
| |||
Total Expenses | 66,751,613 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (1,309,315 | ) | ||
Fees paid indirectly (Note 3) | (238 | ) | ||
|
| |||
Net Expenses | 65,442,060 | |||
|
| |||
Net Investment Income | $ | 266,009,084 | ||
|
| |||
34 Certified Semi-Annual Report
| STATEMENT OF OPERATIONS, CONTINUED | ||
| Thornburg Investment Income Builder Fund | Six Months Ended March 31, 2012 (Unaudited) | |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from: | ||||
Investments | ||||
Non-affiliated issuers | $ | (177,587,378 | ) | |
Forward currency contracts (Note 7) | 93,604,321 | |||
Foreign currency transactions | (5,005,320 | ) | ||
|
| |||
| (88,988,377 | ) | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | ||||
Non-affiliated issuers | 911,052,304 | |||
Non-controlled affiliated issuers | 32,189,822 | |||
Forward currency contracts (Note 7) | (93,033,279 | ) | ||
Foreign currency translations | 2,729,408 | |||
|
| |||
| 852,938,255 | ||||
|
| |||
Net Realized and Unrealized Gain | 763,949,878 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 1,029,958,962 | ||
|
|
See notes to financial statements.
Certified Semi-Annual Report 35
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Investment Income Builder Fund
| Six Months Ended March 31, 2012* | Year Ended September 30, 2011 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 266,009,084 | $ | 468,555,483 | ||||
Net realized gain (loss) on investments, forward currency contracts, and foreign currency transactions | (88,988,377 | ) | (19,014,722 | ) | ||||
Net unrealized appreciation (depreciation) on investments, forward currency contracts, and foreign currency translations | 852,938,255 | (642,066,221 | ) | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,029,958,962 | (192,525,460 | ) | |||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (96,708,627 | ) | (156,072,470 | ) | ||||
Class C Shares | (100,461,068 | ) | (157,547,088 | ) | ||||
Class I Shares | (110,410,689 | ) | (160,430,480 | ) | ||||
Class R3 Shares | (1,180,743 | ) | (1,872,389 | ) | ||||
Class R4 Shares | (362,371 | ) | (371,383 | ) | ||||
Class R5 Shares | (209,431 | ) | (302,648 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 306,052,912 | 913,176,735 | ||||||
Class C Shares | 387,575,338 | 1,170,437,918 | ||||||
Class I Shares | 605,103,158 | 1,426,933,566 | ||||||
Class R3 Shares | 4,195,114 | 13,878,035 | ||||||
Class R4 Shares | 2,505,851 | 9,181,603 | ||||||
Class R5 Shares | 4,680,517 | 1,448,645 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 2,030,738,923 | 2,865,934,584 | ||||||
NET ASSETS: | ||||||||
Beginning of Period | 8,830,571,459 | 5,964,636,875 | ||||||
|
|
|
| |||||
End of Period | $ | 10,861,310,382 | $ | 8,830,571,459 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | — | $ | 34,187,394 | ||||
| * | Unaudited |
See notes to financial statements.
36 Certified Semi-Annual Report
Thornburg Investment Income Builder Fund | March 31, 2012 (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 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 Fund is currently one of sixteen separate series of the Trust. 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). 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 of purchase, 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 may be subject to a service fee, (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 Investments: 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 ask 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.
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 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 obligations of comparable quality, type of issue, coupon, maturity and rating, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
Quotations in foreign currencies for foreign portfolio investments are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
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 procedures approved by the Trustees, which may include the use of a price obtained from an independent pricing service. The pricing service ordinarily values equity securities in these instances using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures and index data and other data. 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, or an unusual event or signifi-
Certified Semi-Annual Report 37
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Investment Income Builder Fund | March 31, 2012 (Unaudited) | |
cant period of time occurring since the availability of a market quotation, create a 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 obligation held by the Fund, the valuation and pricing committee determines a fair value for the debt obligation using procedures approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt obligation 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 obligation.
In determining fair value for any portfolio security or other investment, the valuation and pricing committee seeks to determine the amount that an owner of the investment might reasonably expect to receive upon a sale of the investment. However, because fair value prices are estimated prices, the valuation and pricing committee’s determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Fund’s financial statements. The valuation and pricing committee’s determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation Measurements: Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three levels listed below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment rates, credit risk, etc.).
Level 3: Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
The following table displays a summary of the inputs used to value the Fund’s net assets as of March 31, 2012. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
| 000000000000 | 000000000000 | 000000000000 | 000000000000 | |||||||||||||
| Fair Value Measurements at March 31, 2012 | ||||||||||||||||
| Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities* | ||||||||||||||||
Common Stock | $ | 8,410,310,560 | $ | 8,410,310,560 | $ | — | $ | — | ||||||||
Preferred Stock(a) | 374,525,801 | 293,560,991 | 80,964,810 | — | ||||||||||||
Asset Backed Securities | 51,883,301 | — | 51,883,301 | — | ||||||||||||
Corporate Bonds | 1,445,231,965 | — | 1,406,058,078 | 39,173,887 | ||||||||||||
Convertible Bonds | 209,188,824 | — | 209,188,824 | — | ||||||||||||
Warrants | 1,056,000 | 1,056,000 | — | — | ||||||||||||
Municipal Bonds | 3,516,029 | — | 3,516,029 | — | ||||||||||||
U.S. Government Agencies | 8,564,211 | — | 8,564,211 | — | ||||||||||||
Foreign Bonds | 165,536,023 | — | 140,341,656 | 25,194,367 | ||||||||||||
Other Securities | 37,607,202 | — | 20,147,333 | 17,459,869 | ||||||||||||
Short Term Investments | 11,699,854 | — | 11,699,854 | — | ||||||||||||
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Total Investments in Securities | $ | 10,719,119,770 | $ | 8,704,927,551 | $ | 1,932,364,096 | $ | 81,828,123 | ||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | 6,714,940 | $ | — | $ | 6,714,940 | $ | — | ||||||||
Spot Currency | $ | 70,843 | $ | 70,843 | $ | — | $ | — | ||||||||
38 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Investment Income Builder Fund | March 31, 2012 (Unaudited) | |
| 000000000000 | 000000000000 | 000000000000 | 000000000000 | |||||||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | (11,991,400 | ) | $ | — | $ | (11,991,400 | ) | $ | — | ||||||
Spot Currency | $ | (96,343 | ) | $ | (96,343 | ) | $ | — | $ | — |
| (a) | At March 31, 2012, industry classifications for Preferred Stock in Level 2 consist of $39,440,625 in Utilities, $17,376,562 in Telecommunication Services, $10,656,563 in Miscellaneous, $8,107,500 in Banks and $5,383,560 in Diversified Financials. |
| * | See Schedule of Investments for a summary of the industry exposure as grouped according to the Global Industry Classification Standard (GICS), which is an industry taxonomy developed by MSCI, Inc. and Standard & Poor’s (S&P). |
| ** | 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 investment. |
A rollforward of fair value measurements using significant unobservable inputs (Level 3) for the six months ended March 31, 2012, is as follows:
| Corporate Bonds | Foreign Bonds | Other Securities | Total | |||||||||||||
Beginning Balance 9/30/2011 | $ | 15,244,288 | $ | 15,167,391 | $ | 2,133,868 | $ | 32,545,547 | ||||||||
Accrued Discounts (Premiums) | 35,840 | 91,807 | 18,732 | 146,379 | ||||||||||||
Net Realized Gain (Loss) | 43,293 | (1,948,715 | ) | 9,988 | (1,895,434 | ) | ||||||||||
Gross Purchases | 12,000,000 | 11,929,983 | 15,600,000 | 39,529,983 | ||||||||||||
Gross Sales | (342,920 | ) | (2,555,213 | ) | (252,358 | ) | (3,150,491 | ) | ||||||||
Change in Unrealized Appreciation (Depreciation) | (7,634,436 | ) | 2,509,114 | (50,361 | ) | (5,175,683 | ) | |||||||||
Transfers into Level 3(a) | 19,827,822 | — | — | 19,827,822 | ||||||||||||
Transfers out of Level 3(a) | — | — | — | — | ||||||||||||
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Ending Balance 3/31/2012(b) | $ | 39,173,887 | $ | 25,194,367 | $ | 17,459,869 | $ | 81,828,123 | ||||||||
| (a) | Transfers into or out of Level 3 were from or to Level 2, and were due to changes in other significant observable inputs available during the six months ended March 31, 2012. Transfers into or out of Level 3 are based on the beginning market value of the period in which they occurred. |
| (b) | Level 3 Securities represent 0.75% of Total Net Assets at the period ended March 31, 2012. |
Other Notes: It is the policy of the Fund to recognize significant transfers between Levels 1, 2 and 3 and to disclose those transfers as of the date of the underlying event which caused the movement. The Fund recognized no significant transfers between Levels 1 and 2 for the six months ended March 31, 2012.
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. Such spot contracts are included in Receivable for investments sold and Payable for investments purchased on the Statement of Assets and Liabilities.
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 purchases and 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,
Certified Semi-Annual Report 39
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Investment Income Builder Fund | March 31, 2012 (Unaudited) | |
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 to shareholders substantially all taxable income, including any net realized gain on investments of the Fund. Therefore, no provision for federal income taxes is required.
Management reviews each uncertain tax position believed to be material to the preparation of the Fund’s financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of March 31, 2012, management has not identified any such position for which a liability must be reflected in the Statement of Assets and Liabilities. The Fund’s tax returns remain subject to examination for three years after filing.
When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with 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 Fund makes a commitment to purchase a security on a when-issued or delayed delivery 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.
40 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Investment Income Builder Fund | March 31, 2012 (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, 2012, 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, 2012, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $1,278,221 for Class C shares, $12,429 for Class R3 shares, $6,823 for Class R4 shares, and $11,842 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, 2012, the Distributor has advised the Fund that it earned commissions aggregating $1,000,916 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $255,420 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. For the six months ended March 31, 2012, there were no 12b-1 service plan fees charged for Class I and R5 shares. 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 shares, and an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class R3 shares. Total fees incurred by the Fund for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2012, 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 are 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, 2012, fees paid indirectly were $238.
Certain officers and Trustees of the Trust are also officers 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, 2012, 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, 2012 (Unaudited) | Year Ended September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 29,453,392 | $ | 534,650,816 | 66,659,959 | $ | 1,269,837,423 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 4,162,997 | 75,930,911 | 6,426,882 | 118,738,328 | ||||||||||||
Shares repurchased | (16,837,355 | ) | (304,546,381 | ) | (25,120,651 | ) | (475,421,839 | ) | ||||||||
Redemption fees received* | — | 17,566 | — | 22,823 | ||||||||||||
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Net increase (decrease) | 16,779,034 | $ | 306,052,912 | 47,966,190 | $ | 913,176,735 | ||||||||||
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Certified Semi-Annual Report 41
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Investment Income Builder Fund | March 31, 2012 (Unaudited) | |
| Six Months Ended March 31, 2012 (Unaudited) | Year Ended September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 30,350,455 | $ | 551,513,186 | 75,008,220 | $ | 1,434,355,675 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 4,078,421 | 74,333,457 | 6,023,434 | 111,069,630 | ||||||||||||
Shares repurchased | (13,165,897 | ) | (238,291,739 | ) | (19,855,761 | ) | (375,013,316 | ) | ||||||||
Redemption fees received* | — | 20,434 | — | 25,929 | ||||||||||||
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Net increase (decrease) | 21,262,979 | $ | 387,575,338 | 61,175,893 | $ | 1,170,437,918 | ||||||||||
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Class I Shares | ||||||||||||||||
Shares sold | 50,389,009 | $ | 920,463,437 | 94,540,995 | $ | 1,813,011,672 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 4,670,348 | 85,833,473 | 6,544,281 | 121,547,620 | ||||||||||||
Shares repurchased | (22,105,703 | ) | (401,213,131 | ) | (26,969,127 | ) | (507,647,985 | ) | ||||||||
Redemption fees received* | — | 19,379 | — | 22,259 | ||||||||||||
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Net increase (decrease) | 32,953,654 | $ | 605,103,158 | 74,116,149 | $ | 1,426,933,566 | ||||||||||
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Class R3 Shares | ||||||||||||||||
Shares sold | 492,612 | $ | 8,942,679 | 1,105,342 | $ | 21,102,445 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 59,547 | 1,085,264 | 90,089 | 1,663,483 | ||||||||||||
Shares repurchased | (324,640 | ) | (5,833,050 | ) | (465,040 | ) | (8,888,180 | ) | ||||||||
Redemption fees received* | — | 221 | — | 287 | ||||||||||||
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Net increase (decrease) | 227,519 | $ | 4,195,114 | 730,391 | $ | 13,878,035 | ||||||||||
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Class R4 Shares | ||||||||||||||||
Shares sold | 212,185 | $ | 3,888,287 | 583,010 | $ | 11,071,807 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 13,943 | 254,838 | 13,403 | 245,178 | ||||||||||||
Shares repurchased | (89,023 | ) | (1,637,342 | ) | (115,790 | ) | (2,135,440 | ) | ||||||||
Redemption fees received* | — | 68 | — | 58 | ||||||||||||
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Net increase (decrease) | 137,105 | $ | 2,505,851 | 480,623 | $ | 9,181,603 | ||||||||||
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Class R5 Shares | ||||||||||||||||
Shares sold | 308,570 | $ | 5,627,655 | 165,122 | $ | 3,175,755 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 9,354 | 172,721 | 13,662 | 255,898 | ||||||||||||
Shares repurchased | (61,417 | ) | (1,119,901 | ) | (107,125 | ) | (1,983,050 | ) | ||||||||
Redemption fees received* | — | 42 | — | 42 | ||||||||||||
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Net increase (decrease) | 256,507 | $ | 4,680,517 | 71,659 | $ | 1,448,645 | ||||||||||
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| * | The Fund previously charged a redemption fee of 1% of the Class A and Class I shares redeemed or exchanged within 30 days of purchase. Effective February 1, 2012, the Fund stopped imposing this redemption fee. Redemption fees that were charged to any class prior to February 1, 2012 were allocated to all classes upon receipt of payment based on relative net asset values of each class or other appropriate allocation methods. |
42 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Investment Income Builder Fund | March 31, 2012 (Unaudited) | |
NOTE 5 – SECURITIES TRANSACTIONS
For the six months ended March 31, 2012, the Fund had purchase and sale transactions of investment securities (excluding short-term investments and U. S. Government obligations) of $2,888,491,321 and $1,359,218,475, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2012, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 10,048,593,612 | ||
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Gross unrealized appreciation on a tax basis | $ | 1,174,027,953 | ||
Gross unrealized depreciation on a tax basis | (503,501,795 | ) | ||
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Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 670,526,158 | ||
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At March 31, 2012, the Fund had deferred tax basis currency losses occurring subsequent to October 31, 2010 of $1,625,459. For tax purposes, such losses will be reflected in the year ending September 30, 2012.
At March 31, 2012, 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:
2017 | $ | 231,480,499 | ||
2018 | 493,662,779 | |||
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| $ | 725,143,278 | |||
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The Regulated Investment Company Modernization Act of 2010 (the “Act”) was signed into law on December 22, 2010. The Act makes changes to a number of tax rules impacting the Fund. Under the Act, future capital losses generated by the Fund may be carried over indefinitely, but these losses must be used prior to the utilization of any pre-enactment capital losses. Since pre-enactment capital losses may only be carried forward for eight years, there may be a greater likelihood that all or a portion of a Fund’s pre-enactment capital losses will expire unused. In general, the provisions of the Act will be effective for the Fund’s fiscal year ending September 30, 2012.
NOTE 7 – DERIVATIVE FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
The Fund may use a variety of derivative financial instruments to hedge or adjust the risks affecting its investment portfolio or to enhance investment returns. Provisions of FASB Accounting Standards Codification ASC 815-10-50 (“ASC 815”), require certain disclosures. The disclosures are intended to provide users of financial statements with an understanding of the use of derivative instruments by the Fund and how these derivatives affect the financial position, financial performance and cash flows of the Fund. The Fund does not designate any derivative instruments as hedging instruments under ASC 815. During the six months ended March 31, 2012, the Fund’s principal exposure to derivative financial instruments of the type addressed by ASC 815 was investment in foreign exchange contracts. A foreign exchange contract is an agreement between two parties to exchange different currencies at a specified rate of exchange at an agreed upon future date. Foreign exchange contracts involve risks to the Fund, including the risk that a contract counterparty will not meet its obligations to the Fund, the risk that a change in a contract’s value may not correlate perfectly with the currency the contract was intended to track, and the risk that the Fund’s advisor is unable to correctly implement its strategy in using a contract. In any such instance, the Fund may not achieve the intended benefit of entering into a contract, and may experience a loss. Additionally, the Fund’s risk of loss may exceed the amounts recognized on the Statement of Assets and Liabilities.
Certified Semi-Annual Report 43
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Investment Income Builder Fund | March 31, 2012 (Unaudited) | |
The Fund entered into forward currency contracts during the six months ended March 31, 2012 in the normal course of pursuing its investment objectives, in anticipation of purchasing foreign investments or with the intent of reducing the risk to the value of the Fund’s foreign investments 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 investment transactions.
These contracts are accounted for by the Fund under ASC 815. Unrealized gains and unrealized losses on outstanding contracts are reported in the Fund’s Statement of Assets and Liabilities 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 each contract’s inception date. Net realized gain (loss) on contracts closed during the period, and changes in net unrealized appreciation (depreciation) on outstanding contracts are recognized in the Fund’s Statement of Operations. Values of open currency contracts are indicative of the activity for the six months ended March 31, 2012.
The following table displays the outstanding forward currency contracts at March 31, 2012:
Outstanding Forward Currency Contracts
to Buy or Sell at March 31, 2012
Contract Description | Buy/Sell | Contract Amount | Contract Value Date | Value USD | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Euro | Sell | 928,171,400 | 08/31/2012 | 1,239,002,460 | $ | 6,714,940 | $ | — | ||||||||||||||||
Great Britain Pound | Sell | 47,961,700 | 04/11/2012 | 76,710,820 | — | (2,389,849 | ) | |||||||||||||||||
Great Britain Pound | Sell | 101,806,700 | 04/11/2012 | 162,831,497 | — | (6,514,944 | ) | |||||||||||||||||
Swiss Franc | Sell | 32,955,600 | 04/10/2012 | 36,510,641 | — | (699,068 | ) | |||||||||||||||||
Swiss Franc | Sell | 129,128,000 | 04/10/2012 | 143,057,510 | — | (2,387,539 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total | $ | 6,714,940 | $ | (11,991,400 | ) | |||||||||||||||||||
|
|
|
| |||||||||||||||||||||
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Fund’s Statement of Assets and Liabilities at March 31, 2012 is disclosed in the following table:
Fair Values of Derivative Financial Instruments
at March 31, 2012
Asset Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Assets - Unrealized appreciation on forward currency contracts | $ | 6,714,940 | |||
Liability Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Liabilities - Unrealized depreciation on forward currency contracts | $ | (11,991,400 | ) | ||
The realized gains (losses) from forward currency contracts, and the change in unrealized appreciation (depreciation) of outstanding forward currency contracts recognized in the Fund’s Statement of Operations for the six months ended March 31, 2012 are disclosed in the following tables:
Amount of Realized Gain (Loss)
on Derivative Financial Instruments Recognized in
Income for the Six Months Ended March 31, 2012
| Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | 93,604,321 | $ | 93,604,321 | ||||
Change in Unrealized Appreciation (Depreciation)
of Derivative Financial Instruments Recognized in
Income for the Six Months Ended March 31, 2012
| Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | (93,033,279 | ) | $ | (93,033,279 | ) | ||
44 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Investment Income Builder Fund | March 31, 2012 (Unaudited) | |
OTHER NOTES:
Risks: The Fund’s investments subject it to risks including, but not limited to, management risk, market and economic risk, risks affecting specific issuers, credit risk, interest rate risk, prepayment risk, liquidity risk, and the risks associated with investments in smaller companies, non-U.S. issuers, and real estate investment trusts. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund.
Subsequent Events: Fund management believes no events have occurred between March 31, 2012 and the date of issuance of the financial statements, which require adjustment to, or disclosure in the accompanying financial statements.
Certified Semi-Annual Report 45
| FINANCIAL HIGHLIGHTS | ||
| Thornburg Investment Income Builder Fund | ||
Unless | PER SHARE PERFORMANCE (for a share outstanding throughout the Period)+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Net Asset Value Beginning of Period | Net Investment Income (Loss) | Net Realized & Unrealized Gain (Loss) on Investments | Total from Investment Operations | Dividends from Net Investment Income | Dividends from Net Realized Gains | Total Dividends | Net Asset Value End of Period | Net Investment Income (Loss) (%) | Expenses, After Expense Reductions (%) | Expenses, After Expense Reductions and Net of Custody Credits (%) | Expenses, Before Expense Reductions (%) | Total Return (%)(a) | Portfolio Turnover Rate (%) | Net Assets at End of Period (Thousands) | ||||||||||||||||||||||||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b)(c) | $ | 17.29 | 0.50 | 1.44 | 1.94 | (0.59 | ) | — | (0.59 | ) | $ | 18.64 | 5.55 | (d) | 1.20 | (d) | 1.20 | (d) | 1.20 | (d) | 11.30 | 14.17 | $ | 3,261,877 | ||||||||||||||||||||||||||||||||||||
2011(c) | $ | 18.31 | 1.12 | (0.99 | ) | 0.13 | (1.15 | ) | — | (1.15 | ) | $ | 17.29 | 5.91 | 1.21 | 1.21 | 1.21 | 0.42 | 30.34 | $ | 2,734,845 | |||||||||||||||||||||||||||||||||||||||
2010 (c) | $ | 17.38 | 1.14 | 0.90 | 2.04 | (1.11 | ) | — | (1.11 | ) | $ | 18.31 | 6.47 | 1.25 | 1.25 | 1.25 | 12.08 | 35.50 | $ | 2,018,202 | ||||||||||||||||||||||||||||||||||||||||
2009(c) | $ | 16.86 | 1.01 | 0.58 | 1.59 | (1.07 | ) | — | (1.07 | ) | $ | 17.38 | 7.03 | 1.30 | 1.30 | 1.30 | 10.89 | 63.05 | $ | 1,400,454 | ||||||||||||||||||||||||||||||||||||||||
2008(c) | $ | 23.35 | 1.04 | (6.04 | ) | (5.00 | ) | (1.02 | ) | (0.47 | ) | (1.49 | ) | $ | 16.86 | 5.01 | 1.25 | 1.25 | 1.25 | (22.48 | ) | 46.07 | $ | 1,393,268 | ||||||||||||||||||||||||||||||||||||
2007(c) | $ | 19.58 | 0.93 | 4.23 | 5.16 | (0.88 | ) | (0.51 | ) | (1.39 | ) | $ | 23.35 | 4.39 | 1.30 | 1.30 | 1.30 | 27.40 | 62.60 | $ | 1,697,061 | |||||||||||||||||||||||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 17.29 | 0.44 | 1.44 | 1.88 | (0.53 | ) | — | (0.53 | ) | $ | 18.64 | 4.85 | (d) | 1.90 | (d) | 1.90 | (d) | 1.97 | (d) | 10.94 | 14.17 | $ | 3,811,644 | ||||||||||||||||||||||||||||||||||||
2011 | $ | 18.31 | 0.99 | (0.99 | ) | — | (1.02 | ) | — | (1.02 | ) | $ | 17.29 | 5.23 | 1.90 | 1.90 | 1.96 | (0.26 | ) | 30.34 | $ | 3,167,624 | ||||||||||||||||||||||||||||||||||||||
2010 | $ | 17.39 | 1.03 | 0.89 | 1.92 | (1.00 | ) | — | (1.00 | ) | $ | 18.31 | 5.86 | 1.90 | 1.90 | 2.02 | 11.32 | 35.50 | $ | 2,234,953 | ||||||||||||||||||||||||||||||||||||||||
2009 | $ | 16.87 | 0.92 | 0.59 | 1.51 | (0.99 | ) | — | (0.99 | ) | $ | 17.39 | 6.44 | 1.90 | 1.90 | 2.08 | 10.27 | 63.05 | $ | 1,426,613 | ||||||||||||||||||||||||||||||||||||||||
2008 | $ | 23.37 | 0.90 | (6.04 | ) | (5.14 | ) | (0.89 | ) | (0.47 | ) | (1.36 | ) | $ | 16.87 | 4.36 | 1.90 | 1.90 | 2.03 | (23.02 | ) | 46.07 | $ | 1,399,947 | ||||||||||||||||||||||||||||||||||||
2007 | $ | 19.60 | 0.81 | 4.22 | 5.03 | (0.75 | ) | (0.51 | ) | (1.26 | ) | $ | 23.37 | 3.79 | 1.90 | 1.89 | 2.06 | 26.64 | 62.60 | $ | 1,535,532 | |||||||||||||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 17.40 | 0.54 | 1.45 | 1.99 | (0.62 | ) | — | (0.62 | ) | $ | 18.77 | 5.91 | (d) | 0.86 | (d) | 0.86 | (d) | 0.86 | (d) | 11.54 | 14.17 | $ | 3,722,860 | ||||||||||||||||||||||||||||||||||||
2011 | $ | 18.43 | 1.21 | (1.02 | ) | 0.19 | (1.22 | ) | — | (1.22 | ) | $ | 17.40 | 6.31 | 0.87 | 0.87 | 0.87 | 0.74 | 30.34 | $ | 2,878,655 | |||||||||||||||||||||||||||||||||||||||
2010 | $ | 17.50 | 1.22 | 0.89 | 2.11 | (1.18 | ) | — | (1.18 | ) | $ | 18.43 | 6.87 | 0.93 | 0.93 | 0.93 | 12.39 | 35.50 | $ | 1,682,616 | ||||||||||||||||||||||||||||||||||||||||
2009 | $ | 16.97 | 1.07 | 0.59 | 1.66 | (1.13 | ) | — | (1.13 | ) | $ | 17.50 | 7.39 | 0.97 | 0.97 | 0.97 | 11.29 | 63.05 | $ | 908,126 | ||||||||||||||||||||||||||||||||||||||||
2008 | $ | 23.50 | 1.10 | (6.06 | ) | (4.96 | ) | (1.10 | ) | (0.47 | ) | (1.57 | ) | $ | 16.97 | 5.34 | 0.89 | 0.89 | 0.89 | (22.20 | ) | 46.07 | $ | 766,772 | ||||||||||||||||||||||||||||||||||||
2007 | $ | 19.71 | 1.02 | 4.24 | 5.26 | (0.96 | ) | (0.51 | ) | (1.47 | ) | $ | 23.50 | 4.74 | �� | 0.95 | 0.94 | 0.95 | 27.80 | 62.60 | $ | 644,294 | ||||||||||||||||||||||||||||||||||||||
Class R3 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 17.28 | 0.48 | 1.44 | 1.92 | (0.56 | ) | — | (0.56 | ) | $ | 18.64 | 5.27 | (d) | 1.49 | (d) | 1.49 | (d) | 1.56 | (d) | 11.21 | 14.17 | $ | 41,829 | ||||||||||||||||||||||||||||||||||||
2011 | $ | 18.30 | 1.08 | (1.00 | ) | 0.08 | (1.10 | ) | — | (1.10 | ) | $ | 17.28 | 5.67 | 1.50 | 1.50 | 1.58 | 0.13 | 30.34 | $ | 34,861 | |||||||||||||||||||||||||||||||||||||||
2010 | $ | 17.38 | 1.11 | 0.88 | 1.99 | (1.07 | ) | — | (1.07 | ) | $ | 18.30 | 6.27 | 1.50 | 1.50 | 1.69 | 11.75 | 35.50 | $ | 23,550 | ||||||||||||||||||||||||||||||||||||||||
2009 | $ | 16.85 | 1.00 | 0.58 | 1.58 | (1.05 | ) | — | (1.05 | ) | $ | 17.38 | 6.93 | 1.50 | 1.50 | 1.87 | 10.74 | 63.05 | $ | 14,828 | ||||||||||||||||||||||||||||||||||||||||
2008 | $ | 23.34 | 1.00 | (6.05 | ) | (5.05 | ) | (0.97 | ) | (0.47 | ) | (1.44 | ) | $ | 16.85 | 4.89 | 1.49 | 1.49 | 1.77 | (22.69 | ) | 46.07 | $ | 11,848 | ||||||||||||||||||||||||||||||||||||
2007 | $ | 19.58 | 0.86 | 4.24 | 5.10 | (0.83 | ) | (0.51 | ) | (1.34 | ) | $ | 23.34 | 4.00 | 1.50 | 1.50 | 2.16 | 27.10 | 62.60 | $ | 7,544 | |||||||||||||||||||||||||||||||||||||||
Class R4 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 17.31 | 0.49 | 1.44 | 1.93 | (0.57 | ) | — | (0.57 | ) | $ | 18.67 | 5.36 | (d) | 1.39 | (d) | 1.39 | (d) | 1.50 | (d) | 11.25 | 14.17 | $ | 13,518 | ||||||||||||||||||||||||||||||||||||
2011 | $ | 18.34 | 1.15 | (1.06 | ) | 0.09 | (1.12 | ) | — | (1.12 | ) | $ | 17.31 | 6.02 | 1.40 | 1.40 | 1.65 | 0.19 | 30.34 | $ | 10,162 | |||||||||||||||||||||||||||||||||||||||
2010 | $ | 17.47 | 1.22 | 0.74 | 1.96 | (1.09 | ) | — | (1.09 | ) | $ | 18.34 | 6.89 | 1.40 | 1.40 | 3.60 | 11.52 | 35.50 | $ | 1,950 | ||||||||||||||||||||||||||||||||||||||||
2009 | $ | 16.94 | 1.01 | 0.59 | 1.60 | (1.07 | ) | — | (1.07 | ) | $ | 17.47 | 7.02 | 1.40 | 1.40 | 9.54 | (e) | 10.83 | 63.05 | $ | 48 | |||||||||||||||||||||||||||||||||||||||
2008(f) | $ | 21.22 | 0.66 | (4.39 | ) | (3.73 | ) | (0.55 | ) | — | (0.55 | ) | $ | 16.94 | 5.28 | (d) | 1.40 | (d) | 1.40 | (d) | 16.97 | (d)(e) | (17.79 | ) | 46.07 | $ | 251 | |||||||||||||||||||||||||||||||||
Class R5 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 17.40 | 0.52 | 1.45 | 1.97 | (0.61 | ) | — | (0.61 | ) | $ | 18.76 | 5.66 | (d) | 0.99 | (d) | 0.99 | (d) | 1.35 | (d) | 11.41 | 14.17 | $ | 9,582 | ||||||||||||||||||||||||||||||||||||
2011 | $ | 18.42 | 1.18 | (1.00 | ) | 0.18 | (1.20 | ) | — | (1.20 | ) | $ | 17.40 | 6.16 | 0.99 | 0.99 | 1.51 | 0.68 | 30.34 | $ | 4,424 | |||||||||||||||||||||||||||||||||||||||
2010 | $ | 17.50 | 1.36 | 0.74 | 2.10 | (1.18 | ) | — | (1.18 | ) | $ | 18.42 | 7.67 | 0.99 | 0.99 | 2.35 | 12.31 | 35.50 | $ | 3,366 | ||||||||||||||||||||||||||||||||||||||||
2009 | $ | 16.98 | 1.04 | 0.61 | 1.65 | (1.13 | ) | — | (1.13 | ) | $ | 17.50 | 7.14 | 0.99 | 0.99 | 9.20 | (e) | 11.19 | 63.05 | $ | 427 | |||||||||||||||||||||||||||||||||||||||
2008 | $ | 23.51 | 1.11 | (6.09 | ) | (4.98 | ) | (1.08 | ) | (0.47 | ) | (1.55 | ) | $ | 16.98 | 5.48 | 0.99 | 0.99 | 11.77 | (e) | (22.27 | ) | 46.07 | $ | 221 | |||||||||||||||||||||||||||||||||||
2007(g) | $ | 20.74 | 0.46 | 2.87 | 3.33 | (0.56 | ) | — | (0.56 | ) | $ | 23.51 | 3.17 | (d) | 0.99 | (d) | 0.98 | (d) | 278.77 | (d)(e) | 16.19 | 62.60 | $ | 72 | ||||||||||||||||||||||||||||||||||||
| (a) | Not annualized for periods less than one year. |
| (b) | Unaudited Six Month Period Ended March 31. |
| (c) | Sales loads are not reflected in computing total return. |
| (d) | Annualized. |
| (e) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
| (f) | Effective date of this class of shares was February 1, 2008. |
| (g) | Effective date of this class of shares was February 1, 2007. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
| 46 Certified Semi-Annual Report | Certified Semi-Annual Report 47 |
| EXPENSE EXAMPLE | ||
| Thornburg Investment Income Builder Fund | March 31, 2012 (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 a $1,000 investment beginning on October 1, 2011, and held until March 31, 2012.
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.
| Beginning Account Value 10/1/11 | Ending Account Value 3/31/12 | Expenses Paid During Period† 10/1/11–3/31/12 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,113.00 | $ | 6.32 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,019.01 | $ | 6.04 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,109.40 | $ | 10.02 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,015.50 | $ | 9.57 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,115.40 | $ | 4.54 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.71 | $ | 4.33 | ||||||
Class R3 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,112.10 | $ | 7.89 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.53 | $ | 7.54 | ||||||
Class R4 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,112.50 | $ | 7.32 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.07 | $ | 7.00 | ||||||
Class R5 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,114.10 | $ | 5.23 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.05 | $ | 5.00 | ||||||
| † | Expenses are equal to the annualized expense ratio for each class (A: 1.20%; C: 1.90%; I: 0.86%; R3: 1.49%; R4: 1.39%; 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. |
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.
48 Certified Semi-Annual Report
| INDEX COMPARISON | ||
| Thornburg Investment Income Builder Fund | March 31, 2012 (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, 2012)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2012 (with sales charge)
| 1 Yr | 5 Yrs | Since Inception | ||||||||||
A Shares (Incep: 12/24/02) | -3.20 | % | 3.12 | % | 10.48 | % | ||||||
C Shares (Incep: 12/24/02) | -0.29 | % | 3.41 | % | 10.41 | % | ||||||
I Shares (Incep: 11/3/03) | 1.72 | % | 4.42 | % | 9.76 | % | ||||||
R3 Shares (Incep: 2/1/05) | 1.06 | % | 3.83 | % | 7.61 | % | ||||||
R4 Shares (Incep: 2/1/08) | 1.18 | % | — | 3.04 | % | |||||||
R5 Shares (Incep: 2/1/07) | 1.54 | % | 4.34 | % | 4.67 | % | ||||||
Blended Index (Since 12/24/02) | 2.64 | % | 1.41 | % | 7.30 | % | ||||||
S&P 500 Index (Since 12/24/02) | 8.54 | % | 2.01 | % | 7.18 | % | ||||||
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200. 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.
Certified Semi-Annual Report 49
| OTHER INFORMATION | ||
| Thornburg Investment Income Builder Fund | March 31, 2012 (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. A description of the Policy 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.
50 Certified Semi-Annual Report
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This page is not part of the Semi-Annual Report. 51
Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
September 13, 2011
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.
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.
APPOINTMENT OF TRUSTEE
The Trustees have appointed Sally Corning of Santa Fe, New Mexico as a Trustee, effective May 7, 2012. Ms. Corning is a founding partner of Sun Mountain Capital, Santa Fe, which advises clients in making investments in private equity partnerships and invests directly in private companies. Ms. Corning was formerly employed by Credit Suisse First Boston, Morgan Stanley and Dean Witter Reynolds. She received her BSBA from Georgetown University and her MBA from the Columbia University Graduate School of Business.
52 This page is not part of the Semi-Annual Report.
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 website 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 Developing World 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. 53
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 Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We are very organic in our approach, avoiding leverage or complex strategies which could backfire in periods of market uncertainty.
| • | 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 Strategic Municipal Income Fund |
| • | Thornburg Limited Term U.S. Government Fund |
| • | Thornburg Limited Term Income Fund |
| • | Thornburg Strategic Income Fund |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
This page is not part of the Semi-Annual Report. 55
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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. | 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 | 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, 2012. The managers’ views, portfolio holdings, and sector and country diversification are provided for the general information of the Fund’s shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. 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. Special risks may be associated with investments outside the United States, especially in emerging markets, including currency fluctuations, illiquidity and volatility. Investments in small capitalization companies 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 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. Funds invested in a limited number of holdings may expose an investor to greater volatility.
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.
Class I, R3, R4, and R5 shares may not be available to all investors. Minimum investments for Class I shares may be 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 the Fund. There is no assurance that the Fund will have continued access to profitable IPOs and as the 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.
Share Class | NASDAQ Symbol | Cusip | ||
Class A | THOAX | 885-215-343 | ||
Class C | THOCX | 885-215-335 | ||
Class I | THOIX | 885-215-327 | ||
Class R3 | THORX | 885-215-145 | ||
Class R4 | THOVX | 885-215-137 | ||
Class R5 | THOFX | 885-215-129 |
Glossary
MSCI All Country (AC) World Index – A market capitalization weighted index that is representative of the market structure of 45 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.
S&P 500 Index – An unmanaged broad measure 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.
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.
G-10 Countries – A group of 10 major industrialized countries whose mission is to create a more stable world economic trading environment through coordinated monetary and fiscal policies. The 10 are Belgium, Canada, France, Germany, Italy, Japan, the Netherlands, Sweden, the United Kingdom, and the United States.
Gross Domestic Product (GDP) – A country’s income minus foreign investments: the total value of all goods and services produced within a country in a year, minus net income from investments in other countries.
Earnings Per Share (EPS) – The total earnings divided by the number of shares outstanding.
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.
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 equaling a company’s market value per share divided by earnings per share.
This page is not part of the Semi-Annual Report. 3
Thornburg Global Opportunities Fund
PORTFOLIO MANAGERS
W. Vinson Walden,CFA, and Brian McMahon
IMPORTANT
PERFORMANCE INFORMATION
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.
The maximum sales charge for Class A shares is 4.50%. The total annual fund operating expense of Class A shares is 1.48%, as disclosed in the most recent Prospectus.
Investment fads come and go, and the landscape is littered with funds that 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 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 invest in promising companies that we feel are trading at a discount to their intrinsic value. As the balance sheets of global companies become more complex, it is increasingly difficult to see how some 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 3/31/12
| 1 Yr | 3 Yrs | 5 Yrs | Since Inception | |||||||||||||
A Shares (Incep: 7/28/06) | ||||||||||||||||
Without sales charge | -2.01 | % | 26.99 | % | 2.15 | % | 7.52 | % | ||||||||
With sales charge | -6.40 | % | 25.07 | % | 1.22 | % | 6.65 | % | ||||||||
MSCI AC World Index | ||||||||||||||||
(Since: 7/28/06) | -0.73 | % | 20.75 | % | -0.19 | % | 2.46 | % | ||||||||
4 This page is not part of the Semi-Annual Report.
The Thornburg Global Opportunities Fund is unique in the marketplace. Currently, assets in the global stock fund 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 many names. In fact, about 70% of category assets are concentrated in ten funds, and the average world stock fund holds approximately 149 stocks (as of 3/31/12).
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 on its own merits, and the team then combines them into a portfolio of stocks, with what we view as attractive long-term prospects. The result is a Fund which looks quite unlike either the MSCI AC World Index or its peers.
Thornburg Global Opportunities Fund is grounded in common sense principles, which we think resonate well with investors and can be effective over the long term.
STOCKS CONTRIBUTING AND DETRACTING
FOR THE SIX MONTHS ENDED 3/31/12
Top Contributors | Top Detractors | |
| Bank of America Corp. | Liechtensteinische Landesbank AG | |
| Swiss Re | Hewlett-Packard Co. | |
| Microsoft Corp. | Carphone Warehouse Group plc | |
| Oshkosh Corp. | Global Crossing | |
| Google, Inc. | Sterling Financial Corp. | |
| Source: FactSet | ||
KEY PORTFOLIO ATTRIBUTES
As of 3/31/12
Portfolio P/E Trailing 12-months* | 13.5x | |||
Portfolio Price to Cash Flow* | 5.2x | |||
Portfolio Price to Book Value* | 1.4x | |||
Median Market Cap* | $ | 6.2 B | ||
5-Year Beta (A Shares vs. MSCI AC World)* | 1.14 | |||
Number of Holdings | 35 | |||
| * | Source: FactSet |
MARKET CAPITALIZATION EXPOSURE
As of 3/31/12
PORTFOLIO COMPOSITION
As of 3/31/12
This page is not part of the Semi-Annual Report. 5
Thornburg Global Opportunities Fund
March 31, 2012
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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.
6 Certified Semi-Annual Report
April 18, 2012
Dear Fellow Shareholders:
This letter will highlight the results of the Thornburg Global Opportunities Fund’s investment activities for the six-month period ended March 31, 2012. In addition, we will comment on the overall investment landscape.
In the six months ended March 31, 2012, Thornburg Global Opportunities Fund net asset value (NAV) per Class A share increased 18.9% from $13.15 to $15.63. Your Fund also paid dividends of 21 cents per share to give a total return for the period of 20.6%. The dividends per share were higher for Class I and Class R5 shares, and lower on the Class C, Class R3, and Class R4 shares, to account for varying class-specific expenses.
For the six-month period, Thornburg Global Opportunities Fund outperformed the MSCI AC World Index by approximately 0.69%. Since its inception on July 28, 2006, Thornburg Global Opportunities Fund has outperformed the same index by an average annualized margin of 5.06% and by a total cumulative margin of 36.07% (A shares without sales charge). Additional performance data for various measurement periods is included on page 31 of in this semi-annual report. | Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.
The maximum sales charge for Class A shares is 4.50%. The total annual fund operating expense of Class A shares is 1.48%, as disclosed in the most recent Prospectus. |
We do not expect to distribute any capital gain for 2012. At March 31, 2012, Thornburg Global Opportunities Fund had realized capital losses of approximately $170 million, which may be carried forward to offset future capital gains. This carryforward is material relative to the Fund’s total assets at March 31, 2012 of $345 million.
In assessing the performance of your Fund, it is constructive to consider the performance in U.S. dollars of the sector components of the MSCI AC World Index over the six months ended March 31, 2012, because this is our global performance benchmark:
| 1. | All 10 sectors showed positive total returns, with a range of 5.6% (utilities) to more than 28% (information technology). |
| 2. | Aside from information technology, the strongest contributors to index appreciation were firms in the consumer discretionary, industrial, financial, and energy sectors. |
Relative to the index weightings, Global Opportunities Fund had large investments in financial, consumer discretionary, and telecommunications industry firms, and no investments in the generally sluggish utilities sector. The top contributors to your portfolio’s performance were a diverse group, including some holdings that were among the worst performers in earlier periods. For these, depressed valuations and low expectations were recognized by the market, and our long-term investment view was rewarded.
Certified Semi-Annual Report 7
| Letter to Shareholders, | ||
Continued | ||
Investments in the telecommunications sector were the most significant factor powering the Fund’s performance relative to its benchmark. Our telecommunications holdings appreciated more than 25% versus less than 7% appreciation for this sector in the MSCI AC World Index during the period under review. The specific investments underpinning this result were Cable & Wireless Worldwide; long-time holding Level 3 Communications; Australian telecom leader Telstra; and Dutch cable operator Ziggo. As we expected when we made the investment, Cable & Wireless attracted takeover interest, including a formal bid from the U.K.’s Vodafone Group (subsequent to March 31, 2012).
Among our financial sector holdings, Bank of America, reinsurer Swiss Re, Fifth Third Bank convertible preferred stock, and KKR Financial were each strong performers during the period. For the most part, these businesses are recovery stories as their slow climb out of the global financial crisis grinds forward. Long-time holding Liechtensteinische Landesbank turned in a disappointing performance, especially in light of rallying global markets.
Our holdings in the consumer discretionary sector lagged the performance turned in by the index, mostly due to a price decline from Carphone Warehouse in the U.K. In late 2011, Carphone Warehouse divested its U.S. assets at a value below our expectations. In contrast, Brazil’s Cyrela Realty and Hong Kong media firm TV Broadcasts Ltd. both contributed a solid positive result to the period.
Among the Fund’s holdings in the industrials sector, railcar and barge manufacturer Trinity Industries, truck manufacturer Oshkosh Corp., and Australian mining services firm Mineral Resources Ltd. each delivered significant price appreciation.
Other Fund holdings that made strong contributions to performance included oil services firm Ensco, software giant Microsoft, and satellite communications firm EchoStar Corp. The share prices of technology giant Hewlett-Packard, drugstore operator Walgreens, business development company Apollo Investment, and insurance broker Willis Group each failed to keep up with their respective sector performances during the period.
Expectations for gross domestic product (GDP) and corporate earnings have stabilized, but not improved, in most markets around the world between October 1, 2011 and March 31, 2012. Greece, Ireland, Portugal, and Spain get much of the publicity on macroeconomic matters, since each suffers from economic contraction even as interest burdens on these states compound. The debt securities issued by these countries (and held by European banks) are significant enough to threaten the strength of certain institutions, if material debt restructurings are carried out. Widespread initiatives to reduce government fiscal deficits by a variety of G-10 countries may also constrain near-term growth, particularly if accompanied by tightening monetary conditions. But the fact that the European Central Bank implemented a large scale program to finance bank holdings of European government bonds for three years at a 1% interest rate (known as Long Term Refinancing Operations, or “LTRO”) was helpful in easing monetary conditions during the period under review, a factor that undoubtedly helped equity markets worldwide.
As we manage the Thornburg Global Opportunities Fund, we are conscious of the macroeconomic issues that grab headlines each week. On the other hand, less publicity is given to large emerging economies that would appear to have room to increase private borrowing, government borrowing, or both. Aggregate demand in these countries is expanding.
8 Certified Semi-Annual Report
In this election year, U.S. economic indicators have been generally positive, though there are concerns that fiscal conditions will tighten in 2013 and beyond.
Summary data from around the world indicate that most corporate balance sheet metrics outside the United States have improved in the last two years, even as declining price/earnings ratios show that investor desire to own equities is muted. In brief, firm values are below recent historical averages and overall sales and earnings results are coming in reasonably well.
At March 31, 2012, domestic stocks and cash equivalents comprised approximately 48% of your portfolio; foreign stocks around 52%. The weighted average price/earnings multiple of the 35 stocks in your portfolio was 12.2x on an estimated forward basis, using 2012 estimates provided by FactSet and IBES. For comparative reference, the forward price/earnings multiple of the MSCI AC World Index was approximately 12.3x, again using 2012 estimates provided by FactSet and IBES. Industry weightings, country weightings, and the top equity holdings of Global Opportunities Fund are summarized on page 10 of this report.
We remind readers that the Thornburg Global Opportunities Fund portfolio, which generally includes between 30 and 40 stocks, is very concentrated relative to the MSCI AC World Index, which includes more than 2,000 stocks. We believe that our focus on a relatively small group of stocks can help us outperform the broader index over time. The returns to date are encouraging, even though the Global Opportunities Fund does not beat the index over many shorter measurement periods.
Thank you for being a shareholder of Thornburg Global Opportunities Fund. Remember that you can review descriptions of many of the stocks in your portfolio on our internet site, www.thornburg.com/funds. Best wishes for a wonderful summer.
| Sincerely, | ||
 |  | |
| Brian McMahon | W. Vinson Walden,CFA | |
| Portfolio Manager | 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
| SCHEDULE OF INVESTMENTS | ||
| Thornburg Global Opportunities Fund | March 31, 2012 (Unaudited) | |
TOP TEN HOLDINGS
As of 3/31/12
Google, Inc. | 4.8 | % | Level 3 Communications, Inc. | 3.9 | % | |||||
BRF-Brasil Foods SA | 4.5 | % | SPDR Gold Trust | 3.8 | % | |||||
Swiss Re | 4.3 | % | Oshkosh Corp. | 3.7 | % | |||||
Bank of America Corp. | 4.0 | % | InterXion Holding NV | 3.7 | % | |||||
KKR Financial Holdings LLC | 3.9 | % | Microsoft Corp. | 3.6 | % |
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/12
Diversified Financials | 16.3 | % | Transportation | 3.1 | % | |||||
Software & Services | 12.0 | % | Commercial & Professional Services | 3.1 | % | |||||
Telecommunication Services | 9.2 | % | Pharmaceuticals, Biotechnology & Life Sciences | 2.9 | % | |||||
Energy | 8.7 | % | Automobiles & Components | 2.6 | % | |||||
Capital Goods | 7.0 | % | Banks | 2.6 | % | |||||
Insurance | 5.6 | % | Food & Staples Retailing | 1.0 | % | |||||
Media | 5.1 | % | Other Non-Classified Securities: | |||||||
Food, Beverage & Tobacco | 4.5 | % | Exchange-Traded Funds | 3.8 | % | |||||
Technology Hardware & Equipment | 4.0 | % | Other Assets & Cash Equivalents | 5.2 | % | |||||
Consumer Durables & Apparel | 3.3 | % |
SUMMARY OF COUNTRY EXPOSURE
As of 3/31/12 (percent of equity holdings)
United States | 44.9 | % | Netherlands | 4.4 | % | |||||
Switzerland | 10.7 | % | Ireland | 3.5 | % | |||||
Brazil | 8.2 | % | China | 3.3 | % | |||||
United Kingdom | 7.8 | % | Germany | 3.2 | % | |||||
Australia | 5.7 | % | Hong Kong | 2.2 | % | |||||
Canada | 4.9 | % | Israel | 1.2 | % |
10 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Global Opportunities Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
COMMON STOCK — 89.99% | ||||||||
AUTOMOBILES & COMPONENTS — 2.63% | ||||||||
AUTO COMPONENTS — 2.63% | ||||||||
aDelphi Automotive plc | 286,800 | $ | 9,062,880 | |||||
|
| |||||||
| 9,062,880 | ||||||||
|
| |||||||
BANKS — 1.57% | ||||||||
COMMERCIAL BANKS — 1.57% | ||||||||
Liechtensteinische Landesbank AG | 132,178 | 5,417,731 | ||||||
|
| |||||||
| 5,417,731 | ||||||||
|
| |||||||
CAPITAL GOODS — 6.98% | ||||||||
MACHINERY — 3.71% aOshkosh Corp. | 551,600 | 12,780,572 | ||||||
TRADING COMPANIES & DISTRIBUTORS — 3.27% | ||||||||
Fly Leasing Ltd. ADR | 925,113 | 11,295,630 | ||||||
|
| |||||||
| 24,076,202 | ||||||||
|
| |||||||
COMMERCIAL & PROFESSIONAL SERVICES — 3.07% | ||||||||
COMMERCIAL SERVICES & SUPPLIES — 3.07% | ||||||||
Mineral Resources Ltd. | 846,100 | 10,604,833 | ||||||
|
| |||||||
| 10,604,833 | ||||||||
|
| |||||||
CONSUMER DURABLES & APPAREL — 3.33% | ||||||||
HOUSEHOLD DURABLES — 3.33% | ||||||||
Cyrela Brazil Realty S.A. | 1,296,300 | 11,468,539 | ||||||
|
| |||||||
| 11,468,539 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 16.34% | ||||||||
CAPITAL MARKETS — 5.05% | ||||||||
Apollo Investment Corp. | 1,200,200 | 8,605,434 | ||||||
aUBS AG | 629,046 | 8,815,146 | ||||||
CONSUMER FINANCE — 3.42% | ||||||||
Capital One Financial Corp. | 211,600 | 11,794,584 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 7.87% | ||||||||
Bank of America Corp. | 1,442,300 | 13,802,811 | ||||||
KKR Financial Holdings LLC | 1,449,650 | 13,351,276 | ||||||
|
| |||||||
| 56,369,251 | ||||||||
|
| |||||||
ENERGY — 8.66% | ||||||||
ENERGY EQUIPMENT & SERVICES — 6.37% | ||||||||
Ensco plc ADR | 61,525 | 3,256,518 | ||||||
Ensign Energy Services, Inc. | 538,400 | 8,048,067 | ||||||
Transocean Ltd. | 194,900 | 10,661,030 | ||||||
OIL, GAS & CONSUMABLE FUELS — 2.29% | ||||||||
aBankers Petroleum Ltd. | 1,909,400 | 7,886,839 | ||||||
|
| |||||||
| 29,852,454 | ||||||||
|
| |||||||
Certified Semi-Annual Report 11
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Global Opportunities Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
FOOD & STAPLES RETAILING — 1.02% | ||||||||
FOOD & STAPLES RETAILING — 1.02% | ||||||||
Walgreen Co. | 104,800 | $ | 3,509,752 | |||||
|
| |||||||
| 3,509,752 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 4.48% | ||||||||
FOOD PRODUCTS — 4.48% | ||||||||
BRF-Brasil Foods SA | 783,400 | 15,449,560 | ||||||
|
| |||||||
| 15,449,560 | ||||||||
|
| |||||||
INSURANCE — 5.57% | ||||||||
INSURANCE — 5.57% | ||||||||
Swiss Re | 230,750 | 14,736,609 | ||||||
Willis Group Holdings plc | 128,309 | 4,488,249 | ||||||
|
| |||||||
| 19,224,858 | ||||||||
|
| |||||||
MEDIA — 5.13% | ||||||||
MEDIA — 5.13% | ||||||||
aKabel Deutschland Holding AG | 167,600 | 10,351,585 | ||||||
Television Broadcasts Ltd. | 1,088,745 | 7,325,550 | ||||||
|
| |||||||
| 17,677,135 | ||||||||
|
| |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 2.93% | ||||||||
PHARMACEUTICALS — 2.93% | ||||||||
Roche Holding AG | 35,300 | 6,143,381 | ||||||
Teva Pharmaceutical Industries Ltd. ADR | 88,030 | 3,966,632 | ||||||
|
| |||||||
| 10,110,013 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 12.03% | ||||||||
INFORMATION TECHNOLOGY SERVICES — 3.65% | ||||||||
aInterXion Holding NV | 701,400 | 12,590,130 | ||||||
INTERNET SOFTWARE & SERVICES — 4.83% | ||||||||
aGoogle, Inc. | 25,955 | 16,643,384 | ||||||
SOFTWARE — 3.55% | ||||||||
Microsoft Corp. | 380,000 | 12,255,000 | ||||||
|
| |||||||
| 41,488,514 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 3.95% | ||||||||
COMMUNICATIONS EQUIPMENT — 2.94% | ||||||||
aEchoStar Corp. | 360,604 | 10,147,397 | ||||||
COMPUTERS & PERIPHERALS — 1.01% | ||||||||
Hewlett-Packard Co. | 146,500 | 3,491,095 | ||||||
|
| |||||||
| 13,638,492 | ||||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 9.19% | ||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 9.19% | ||||||||
Cable & Wireless Worldwide plc | 16,026,400 | 8,715,642 | ||||||
aLevel 3 Communications, Inc. | 516,926 | 13,300,506 | ||||||
12 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Global Opportunities Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
Telstra Corp. Ltd. | 2,311,263 | $ | 7,876,659 | |||||
aZiggo N.V. | 57,264 | 1,786,364 | ||||||
|
| |||||||
| 31,679,171 | ||||||||
|
| |||||||
TRANSPORTATION — 3.11% | ||||||||
TRANSPORTATION INFRASTRUCTURE — 3.11% | ||||||||
China Merchants Holdings International Co. Ltd. | 3,210,400 | 10,728,137 | ||||||
|
| |||||||
| 10,728,137 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $285,938,369) | 310,357,522 | |||||||
|
| |||||||
PREFERRED STOCK — 0.99% | ||||||||
BANKS — 0.99% | ||||||||
COMMERCIAL BANKS — 0.99% | ||||||||
Fifth Third Bancorp Pfd, 8.50% | 24,000 | 3,408,000 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $558,311) | 3,408,000 | |||||||
|
| |||||||
EXCHANGE-TRADED FUNDS — 3.79% | ||||||||
aSPDR Gold Trust | 80,700 | 13,084,698 | ||||||
|
| |||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $13,094,593) | 13,084,698 | |||||||
|
| |||||||
SHORT TERM INVESTMENTS — 4.23% | ||||||||
Arizona Public Service Co., 0.45%, 4/2/2012 | $ | 14,600,000 | 14,599,817 | |||||
|
| |||||||
TOTAL SHORT TERM INVESTMENTS (Cost $14,599,817) | 14,599,817 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.00% (Cost $314,191,090) | $ | 341,450,037 | ||||||
OTHER ASSETS LESS LIABILITIES — 1.00% | 3,447,318 | |||||||
|
| |||||||
NET ASSETS — 100.00% | $ | 344,897,355 | ||||||
|
| |||||||
Footnote Legend
| a | Non-income producing. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
| ADR | American Depository Receipt |
| Pfd | Preferred Stock |
See notes to financial statements.
Certified Semi-Annual Report 13
| STATEMENT OF ASSETS AND LIABILITIES | ||
| Thornburg Global Opportunities Fund | March 31, 2012 (Unaudited) | |
ASSETS | ||||
Investments at value (cost $314,191,090) (Note 2) | $ | 341,450,037 | ||
Cash | 70,227 | |||
Receivable for investments sold | 4,053,640 | |||
Receivable for fund shares sold | 489,557 | |||
Unrealized appreciation on forward currency contracts (Note 7) | 219,654 | |||
Dividends receivable | 462,421 | |||
Dividend and interest reclaim receivable | 106,991 | |||
Prepaid expenses and other assets | 52,414 | |||
|
| |||
Total Assets | 346,904,941 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 564,056 | |||
Payable for fund shares redeemed | 321,202 | |||
Unrealized depreciation on forward currency contracts (Note 7) | 697,468 | |||
Payable to investment advisor and other affiliates (Note 3) | 338,573 | |||
Accounts payable and accrued expenses | 83,897 | |||
Dividends payable | 2,390 | |||
|
| |||
Total Liabilities | 2,007,586 | |||
|
| |||
NET ASSETS | $ | 344,897,355 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment income | $ | (6,043,613 | ) | |
Net unrealized appreciation on investments | 26,778,341 | |||
Accumulated net realized gain (loss) | (178,725,563 | ) | ||
Net capital paid in on shares of beneficial interest | 502,888,190 | |||
|
| |||
| $ | 344,897,355 | |||
|
| |||
14 Certified Semi-Annual Report
| STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
| Thornburg Global Opportunities Fund | March 31, 2012 (Unaudited) | |
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($81,958,749 applicable to 5,242,811 shares of beneficial interest outstanding - Note 4) | $ | 15.63 | ||
Maximum sales charge, 4.50% of offering price | 0.74 | |||
|
| |||
Maximum offering price per share | $ | 16.37 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($81,557,495 applicable to 5,290,375 shares of beneficial interest outstanding - Note 4) | $ | 15.42 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($141,144,457 applicable to 8,998,748 shares of beneficial interest outstanding - Note 4) | $ | 15.68 | ||
|
| |||
Class R3 Shares: | ||||
Net asset value, offering and redemption price per share ($123,061 applicable to 7,903 shares of beneficial interest outstanding - Note 4) | $ | 15.57 | ||
|
| |||
Class R4 Shares: | ||||
Net asset value, offering and redemption price per share ($1,138,160 applicable to 73,172 shares of beneficial interest outstanding - Note 4) | $ | 15.55 | ||
|
| |||
Class R5 Shares: | ||||
Net asset value, offering and redemption price per share ($38,975,433 applicable to 2,483,172 shares of beneficial interest outstanding - Note 4) | $ | 15.70 | ||
|
| |||
| * | 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 15
| STATEMENT OF OPERATIONS | ||
| Thornburg Global Opportunities Fund | Six Months Ended March 31, 2012 (Unaudited) | |
INVESTMENT INCOME: | ||||
Dividend income (net of foreign taxes withheld of $89,441) | $ | 3,664,247 | ||
Interest income | 18,386 | |||
|
| |||
Total Income | 3,682,633 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 1,415,548 | |||
Administration fees (Note 3) | ||||
Class A Shares | 49,673 | |||
Class C Shares | 48,514 | |||
Class I Shares | 32,267 | |||
Class R3 Shares | 67 | |||
Class R4 Shares | 625 | |||
Class R5 Shares | 9,069 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 99,317 | |||
Class C Shares | 388,319 | |||
Class R3 Shares | 269 | |||
Class R4 Shares | 1,252 | |||
Transfer agent fees | ||||
Class A Shares | 54,436 | |||
Class C Shares | 65,286 | |||
Class I Shares | 96,128 | |||
Class R3 Shares | 857 | |||
Class R4 Shares | 1,765 | |||
Class R5 Shares | 12,600 | |||
Registration and filing fees | ||||
Class A Shares | 9,902 | |||
Class C Shares | 9,883 | |||
Class I Shares | 11,234 | |||
Class R3 Shares | 9,178 | |||
Class R4 Shares | 9,275 | |||
Class R5 Shares | 9,226 | |||
Custodian fees (Note 3) | 75,940 | |||
Professional fees | 26,597 | |||
Accounting fees | 5,099 | |||
Trustee fees | 4,336 | |||
Other expenses | 31,035 | |||
|
| |||
Total Expenses | 2,477,697 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (169,304 | ) | ||
|
| |||
Net Expenses | 2,308,393 | |||
|
| |||
Net Investment Income | $ | 1,374,240 | ||
|
| |||
16 Certified Semi-Annual Report
| STATEMENT OF OPERATIONS, CONTINUED | ||
| Thornburg Global Opportunities Fund | Six Months Ended March 31, 2012 (Unaudited) | |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from: | ||||
Investments | $ | 9,168,966 | ||
Forward currency contracts (Note 7) | 140,294 | |||
Foreign currency transactions | (937,239 | ) | ||
|
| |||
| 8,372,021 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 49,171,663 | |||
Forward currency contracts (Note 7) | 88,839 | |||
Foreign currency translations | 840,972 | |||
|
| |||
| 50,101,474 | ||||
|
| |||
Net Realized and Unrealized Gain | 58,473,495 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 59,847,735 | ||
|
|
See notes to financial statements.
Certified Semi-Annual Report 17
| STATEMENTS OF CHANGES IN NET ASSETS |
| Thornburg Global Opportunities Fund |
| Six Months Ended March 31, 2012* | Year Ended September 30, 2011 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 1,374,240 | $ | 4,355,687 | ||||
Net realized gain (loss) on investments, forward currency contracts and foreign currency transactions | 8,372,021 | 24,791,686 | ||||||
Net unrealized appreciation (depreciation) on investments, forward currency contracts, and foreign currency translations | 50,101,474 | (45,345,971 | ) | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 59,847,735 | (16,198,598 | ) | |||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (1,106,124 | ) | (1,157,718 | ) | ||||
Class C Shares | (819,102 | ) | (645,237 | ) | ||||
Class I Shares | (2,138,758 | ) | (2,212,943 | ) | ||||
Class R3 Shares | (1,619 | ) | (2,094 | ) | ||||
Class R4 Shares | (14,589 | ) | (16,535 | ) | ||||
Class R5 Shares | (604,925 | ) | (374,849 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | (5,216,297 | ) | (16,331,866 | ) | ||||
Class C Shares | (2,308,901 | ) | (7,627,935 | ) | ||||
Class I Shares | 3,359,166 | (7,493,930 | ) | |||||
Class R3 Shares | 30,904 | (86,609 | ) | |||||
Class R4 Shares | 66,754 | (468,511 | ) | |||||
Class R5 Shares | 586,854 | 20,998,920 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | 51,681,098 | (31,617,905 | ) | |||||
NET ASSETS: | ||||||||
Beginning of Period | 293,216,257 | 324,834,162 | ||||||
|
|
|
| |||||
End of Period | $ | 344,897,355 | $ | 293,216,257 | ||||
|
|
|
| |||||
| * | Unaudited. |
See notes to financial statements.
18 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS | ||
| Thornburg Global Opportunities Fund | March 31, 2012 (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 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 Fund is currently one of sixteen separate series of the Trust. 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). 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 of purchase, 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 may be subject to a service fee, (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 Investments: 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 ask 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.
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 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 obligations of comparable quality, type of issue, coupon, maturity and rating, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
Quotations in foreign currencies for foreign portfolio investments are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
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 procedures approved by the Trustees, which may include the use of a price obtained from an independent pricing service. The pricing service ordinarily values equity securities in these instances using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures and index data and other data. 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, or an unusual event or significant period of time occurring since the availability of a market quotation, create a question about the reliability of the security’s market value.
Certified Semi-Annual Report 19
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Global Opportunities Fund | March 31, 2012 (Unaudited) | |
In any case where a pricing service fails to provide a price for a debt obligation held by the Fund, the valuation and pricing committee determines a fair value for the debt obligation using procedures approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt obligation 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 obligation.
In determining fair value for any portfolio security or other investment, the valuation and pricing committee seeks to determine the amount that an owner of the investment might reasonably expect to receive upon a sale of the investment. However, because fair value prices are estimated prices, the valuation and pricing committee’s determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Fund’s financial statements. The valuation and pricing committee’s determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation Measurements: Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three levels listed below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment rates, credit risk, etc.).
Level 3: Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
The following table displays a summary of the inputs used to value the Fund’s net assets as of March 31, 2012. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
| Fair Value Measurements at March 31, 2012 | ||||||||||||||||
| Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities* | ||||||||||||||||
Common Stock | $ | 310,357,522 | $ | 310,357,522 | $ | — | $ | — | ||||||||
Preferred Stock | 3,408,000 | 3,408,000 | — | — | ||||||||||||
Exchange Traded Funds | 13,084,698 | 13,084,698 | — | — | ||||||||||||
Short Term Investments | 14,599,817 | — | 14,599,817 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 341,450,037 | $ | 326,850,220 | $ | 14,599,817 | $ | — | ||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | 219,654 | $ | — | $ | 219,654 | $ | — | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | (697,468 | ) | $ | — | $ | (697,468 | ) | $ | — | ||||||
Spot Currency | $ | (9,637 | ) | $ | (9,637 | ) | $ | — | $ | — | ||||||
| * | See Schedule of Investments for a summary of the industry exposure as grouped according to the Global Industry Classification Standard (GICS), which is an industry taxonomy developed by MSCI, Inc. and Standard & Poor’s (S&P). |
| ** | 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 investment. |
20 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Global Opportunities Fund | March 31, 2012 (Unaudited) | |
Other Notes: It is the policy of the Fund to recognize significant transfers between Levels 1, 2 and 3 and to disclose those transfers as of the date of the underlying event which caused the movement. The Fund recognized no significant transfers between levels for the six months ended March 31, 2012.
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. Such spot contracts are included in Receivable for investments sold and Payable for investments purchased on the Statement of Assets and Liabilities.
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 purchases and 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 to shareholders substantially all taxable income, including any net realized gain on investments of the Fund. Therefore, no provision for federal income taxes is required.
Management reviews each uncertain tax position believed to be material to the preparation of the Fund’s financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of March 31, 2012, management has not identified any such position for which a liability must be reflected in the Statement of Assets and Liabilities. The Fund’s tax returns remain subject to examination for three years after filing.
When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with 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 Fund makes a commitment to purchase a security on a when-issued or delayed delivery 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, if any, 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
Certified Semi-Annual Report 21
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Global Opportunities Fund | March 31, 2012 (Unaudited) | |
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, 2012, 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, 2012, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $122,426 for Class I shares, $10,083 for Class R3 shares, $10,732 for Class R4 shares, and $26,063 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, 2012, the Distributor has advised the Fund that it earned commissions aggregating $6,753 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $2,222 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. For the six months ended March 31, 2012, there were no 12b-1 service plan fees charged for Class I and R5 shares. 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 shares, and an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class R3 shares. Total fees incurred by the Fund for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2012, 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 are 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, 2012, there were no fees paid indirectly.
Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.
22 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Global Opportunities Fund | March 31, 2012 (Unaudited) | |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2012, 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, 2012 (Unaudited) | Year Ended September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | �� | ||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 626,228 | $ | 9,078,295 | 1,213,749 | $ | 19,050,548 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 70,808 | 989,188 | 65,489 | 1,009,001 | ||||||||||||
Shares repurchased | (1,044,806 | ) | (15,283,763 | ) | (2,337,595 | ) | (36,392,274 | ) | ||||||||
Redemption fees received* | — | (17 | ) | — | 859 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (347,770 | ) | $ | (5,216,297 | ) | (1,058,357 | ) | $ | (16,331,866 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 384,113 | $ | 5,511,204 | 484,330 | $ | 7,505,708 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 48,742 | 672,643 | 35,338 | 530,417 | ||||||||||||
Shares repurchased | (586,699 | ) | (8,492,733 | ) | (1,015,605 | ) | (15,664,857 | ) | ||||||||
Redemption fees received* | — | (15 | ) | — | 797 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (153,844 | ) | $ | (2,308,901 | ) | (495,937 | ) | $ | (7,627,935 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 1,190,096 | $ | 17,628,111 | 2,881,752 | $ | 45,325,074 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 138,782 | 1,942,947 | 128,855 | 2,006,584 | ||||||||||||
Shares repurchased | (1,103,721 | ) | (16,211,870 | ) | (3,651,130 | ) | (54,826,948 | ) | ||||||||
Redemption fees received* | — | (22 | ) | — | 1,360 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 225,157 | $ | 3,359,166 | (640,523 | ) | $ | (7,493,930 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 3,487 | $ | 51,208 | 6,732 | $ | 109,304 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 103 | 1,439 | 129 | 1,980 | ||||||||||||
Shares repurchased | (1,415 | ) | (21,743 | ) | (12,006 | ) | (197,894 | ) | ||||||||
Redemption fees received* | — | — | — | 1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,175 | $ | 30,904 | (5,145 | ) | $ | (86,609 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 12,001 | $ | 177,421 | 21,139 | $ | 330,995 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 1,049 | 14,589 | 1,080 | 16,534 | ||||||||||||
Shares repurchased | (8,612 | ) | (125,256 | ) | (50,230 | ) | (816,051 | ) | ||||||||
Redemption fees received* | — | — | — | 11 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 4,438 | $ | 66,754 | (28,011 | ) | $ | (468,511 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Certified Semi-Annual Report 23
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Global Opportunities Fund | March 31, 2012 (Unaudited) | |
| Six Months Ended March 31, 2012 (Unaudited) | Year Ended September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 80,311 | $ | 1,154,579 | 1,372,588 | $ | 22,550,663 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 42,912 | 601,202 | 23,791 | 374,849 | ||||||||||||
Shares repurchased | (78,918 | ) | (1,168,921 | ) | (125,826 | ) | (1,926,900 | ) | ||||||||
Redemption fees received* | — | (6 | ) | — | 308 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 44,305 | $ | 586,854 | 1,270,553 | $ | 20,998,920 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| * | The Fund previously charged a redemption fee of 1% of the Class A and Class I shares redeemed or exchanged within 30 days of purchase. Effective February 1, 2012, the Fund stopped imposing this redemption fee. Redemption fees that were charged to any class prior to February 1, 2012 were 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, 2012, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $117,639,991 and $125,209,958, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2012, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 314,914,856 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 48,816,059 | ||
Gross unrealized depreciation on a tax basis | (22,280,878 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 26,535,181 | ||
|
|
At March 31, 2012, the Fund had deferred tax basis currency losses occurring subsequent to October 31, 2010 of $325,997. For tax purposes, such losses will be reflected in the year ending September 30, 2012.
At March 31, 2012, 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:
2017 | $ | 41,960,421 | ||
2018 | 140,739,212 | |||
|
| |||
| $ | 182,699,633 | |||
|
|
The Regulated Investment Company Modernization Act of 2010 (the “Act”) was signed into law on December 22, 2010. The Act makes changes to a number of tax rules impacting the Fund. Under the Act, future capital losses generated by the Fund may be carried over indefinitely, but these losses must be used prior to the utilization of any pre-enactment capital losses. Since pre-enactment capital losses may only be carried forward for eight years, there may be a greater likelihood that all or a portion of a Fund’s pre-enactment capital losses will expire unused. In general, the provisions of the Act will be effective for the Fund’s fiscal year ending September 30, 2012.
24 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Global Opportunities Fund | March 31, 2012 (Unaudited) | |
NOTE 7 – DERIVATIVE FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
The Fund may use a variety of derivative financial instruments to hedge or adjust the risks affecting its investment portfolio or to enhance investment returns. Provisions of FASB Accounting Standards Codification ASC 815-10-50 (“ASC 815”), require certain disclosures. The disclosures are intended to provide users of financial statements with an understanding of the use of derivative instruments by the Fund and how these derivatives affect the financial position, financial performance and cash flows of the Fund. The Fund does not designate any derivative instruments as hedging instruments under ASC 815. During the six months ended March 31, 2012, the Fund’s principal exposure to derivative financial instruments of the type addressed by ASC 815 was investment in foreign exchange contracts. A foreign exchange contract is an agreement between two parties to exchange different currencies at a specified rate of exchange at an agreed upon future date. Foreign exchange contracts involve risks to the Fund, including the risk that a contract counterparty will not meet its obligations to the Fund, the risk that a change in a contract’s value may not correlate perfectly with the currency the contract was intended to track, and the risk that the Fund’s advisor is unable to correctly implement its strategy in using a contract. In any such instance, the Fund may not achieve the intended benefit of entering into a contract, and may experience a loss. Additionally, the Fund’s risk of loss may exceed the amounts recognized on the Statement of Assets and Liabilities.
The Fund entered into forward currency contracts during the six months ended March 31, 2012 in the normal course of pursuing its investment objectives, in anticipation of purchasing foreign investments or with the intent of reducing the risk to the value of the Fund’s foreign investments 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 investment transactions.
These contracts are accounted for by the Fund under ASC 815. Unrealized gains and unrealized losses on outstanding contracts are reported in the Fund’s Statement of Assets and Liabilities 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 each contract’s inception date. Net realized gain (loss) on contracts closed during the period, and changes in net unrealized appreciation (depreciation) on outstanding contracts are recognized in the Fund’s Statement of Operations. Values of open currency contracts are indicative of the activity for the six months ended March 31, 2012.
The following table displays the outstanding forward currency contracts at March 31, 2012:
Outstanding Forward Currency Contracts
to Buy or Sell at March 31, 2012
Contract Description | Buy/Sell | Contract Amount | Contract Value Date | Value USD | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Euro | Buy | 1,703,400 | 08/08/2012 | 2,273,495 | $ | 45,499 | $ | — | ||||||||||||||||
Euro | Sell | 6,983,500 | 08/08/2012 | 9,320,741 | 835 | — | ||||||||||||||||||
Euro | Buy | 2,807,500 | 08/08/2012 | 3,747,115 | — | (2,582 | ) | |||||||||||||||||
Euro | Sell | 4,186,300 | 08/08/2012 | 5,587,373 | — | (69,997 | ) | |||||||||||||||||
Euro | Sell | 9,897,200 | 08/08/2012 | 13,209,599 | — | (275,938 | ) | |||||||||||||||||
Great Britain Pound | Buy | 1,737,600 | 06/18/2012 | 2,777,880 | 90,872 | — | ||||||||||||||||||
Great Britain Pound | Buy | 1,207,900 | 06/18/2012 | 1,931,055 | 82,448 | — | ||||||||||||||||||
Great Britain Pound | Sell | 791,600 | 06/18/2012 | 1,265,521 | — | (17,366 | ) | |||||||||||||||||
Great Britain Pound | Sell | 568,300 | 06/18/2012 | 908,534 | — | (24,094 | ) | |||||||||||||||||
Great Britain Pound | Sell | 5,012,700 | 06/18/2012 | 8,013,741 | — | (278,995 | ) | |||||||||||||||||
Swiss Franc | Sell | 5,019,200 | 04/05/2012 | 5,560,331 | — | (28,496 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total | $ | 219,654 | $ | (697,468 | ) | |||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Certified Semi-Annual Report 25
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Global Opportunities Fund | March 31, 2012 (Unaudited) | |
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Fund’s Statement of Assets and Liabilities at March 31, 2012 is disclosed in the following table:
Fair Values of Derivative Financial Instruments
at March 31, 2012
Asset Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Assets - Unrealized appreciation on forward currency contracts | $ | 219,654 | |||
Liability Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Liabilities - Unrealized depreciation on forward currency contracts | $ | (697,468) | |||
The realized gains (losses) from forward currency contracts, and the change in unrealized appreciation (depreciation) of outstanding forward currency contracts recognized in the Fund’s Statement of Operations for the six months ended March 31, 2012 are disclosed in the following tables:
Amount of Realized Gain (Loss)
on Derivative Financial Instruments Recognized in
Income for the Six Months Ended March 31, 2012
| Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | 140,294 | $ | 140,294 | ||||
Change in Unrealized Appreciation (Depreciation)
of Derivative Financial Instruments Recognized in
Income for the Six Months Ended March 31, 2012
| Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | 88,839 | $ | 88,839 | ||||
OTHER NOTES:
Risks: The Fund’s investments subject the Fund to risks including, but not limited to, management risk, market and economic risk, risks affecting specific issuers, liquidity risk, the risks associated with investments in smaller companies and non-U.S. issuers, credit risk, and interest rate risk. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund.
Subsequent events: Fund management believes no events have occurred between March 31, 2012 and the date of issuance of the financial statements, which require adjustment to, or disclosure in the accompanying financial statements.
26 Certified Semi-Annual Report
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Certified Semi-Annual Report 27
Thornburg Global Opportunities Fund
Unless Otherwise Noted, are Fiscal Ended Sept. | PER SHARE PERFORMANCE (for a share outstanding throughout the Period)+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Net Asset Value Beginning of Period | Net Investment Income (Loss) | Net Realized & Unrealized Gain (Loss) on Investments | Total from Investment Operations | Dividends from Net Investment Income | Dividends from Net Realized Gains | Total Dividends | Net Asset Value End of Period | Net Investment Income (Loss) (%) | Expenses, After Expense Reductions (%) | Expenses, After Expense Reductions and Net of Custody Credits (%) | Expenses, Before Expense Reductions (%) | Total Return (%)(a) | Portfolio Turnover Rate (%) | Net Assets at End of Period (Thousands) | ||||||||||||||||||||||||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b)(c) | $ | 13.15 | 0.06 | 2.63 | 2.69 | (0.21 | ) | — | (0.21 | ) | $ | 15.63 | 0.77 | (d) | 1.50 | (d) | 1.50 | (d) | 1.50 | (d) | 20.60 | 38.53 | $ | 81,959 | ||||||||||||||||||||||||||||||||||||
2011(c) | $ | 13.98 | 0.18 | (0.82 | ) | (0.64 | ) | (0.19 | ) | — | (0.19 | ) | $ | 13.15 | 1.13 | 1.48 | 1.48 | 1.48 | (4.81 | ) | 70.33 | $ | 73,538 | |||||||||||||||||||||||||||||||||||||
2010(c) | $ | 13.10 | 0.18 | 0.86 | 1.04 | (0.16 | ) | — | (0.16 | ) | $ | 13.98 | 1.29 | 1.47 | 1.47 | 1.47 | 7.98 | 66.27 | $ | 92,927 | ||||||||||||||||||||||||||||||||||||||||
2009(c) | $ | 13.38 | 0.29 | 0.03 | 0.32 | (0.60 | ) | — | (0.60 | ) | $ | 13.10 | 2.96 | 1.53 | 1.52 | 1.55 | 3.60 | 103.02 | $ | 82,309 | ||||||||||||||||||||||||||||||||||||||||
2008(c) | $ | 20.06 | 0.30 | (6.30 | ) | (6.00 | ) | (0.14 | ) | (0.54 | ) | (0.68 | ) | $ | 13.38 | 1.68 | 1.50 | 1.49 | 1.50 | (30.85 | ) | 83.70 | $ | 159,996 | ||||||||||||||||||||||||||||||||||||
2007(c) | $ | 12.86 | 0.07 | 7.29 | 7.36 | — | (e) | (0.16 | ) | (0.16 | ) | $ | 20.06 | 0.41 | 1.51 | 1.50 | 1.55 | 57.75 | 91.02 | $ | 262,475 | |||||||||||||||||||||||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 12.98 | — | (f) | 2.59 | 2.59 | (0.15 | ) | — | (0.15 | ) | $ | 15.42 | (0.01 | )(d) | 2.28 | (d) | 2.28 | (d) | 2.28 | (d) | 20.11 | 38.53 | $ | 81,558 | |||||||||||||||||||||||||||||||||||
2011 | $ | 13.83 | 0.06 | (0.80 | ) | (0.74 | ) | (0.11 | ) | — | (0.11 | ) | $ | 12.98 | 0.40 | 2.23 | 2.23 | 2.23 | (5.45 | ) | 70.33 | $ | 70,644 | |||||||||||||||||||||||||||||||||||||
2010 | $ | 12.96 | 0.07 | 0.85 | 0.92 | (0.05 | ) | — | (0.05 | ) | $ | 13.83 | 0.48 | 2.28 | 2.28 | 2.28 | 7.10 | 66.27 | $ | 82,139 | ||||||||||||||||||||||||||||||||||||||||
2009 | $ | 13.22 | 0.23 | 0.01 | 0.24 | (0.50 | ) | — | (0.50 | ) | $ | 12.96 | 2.36 | 2.31 | 2.31 | 2.35 | 2.79 | 103.02 | $ | 81,334 | ||||||||||||||||||||||||||||||||||||||||
2008 | $ | 19.87 | 0.17 | (6.24 | ) | (6.07 | ) | (0.04 | ) | (0.54 | ) | (0.58 | ) | $ | 13.22 | 0.97 | 2.25 | 2.24 | 2.25 | (31.38 | ) | 83.70 | $ | 101,908 | ||||||||||||||||||||||||||||||||||||
2007 | $ | 12.84 | (0.06 | ) | 7.25 | 7.19 | — | (0.16 | ) | (0.16 | ) | $ | 19.87 | (0.34 | ) | 2.28 | 2.28 | 2.33 | 56.48 | 91.02 | $ | 107,298 | ||||||||||||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 13.20 | 0.09 | 2.64 | 2.73 | (0.25 | ) | — | (0.25 | ) | $ | 15.68 | 1.29 | (d) | 0.99 | (d) | 0.99 | (d) | 1.18 | (d) | 20.89 | 38.53 | $ | 141,144 | ||||||||||||||||||||||||||||||||||||
2011 | $ | 14.01 | 0.26 | (0.83 | ) | (0.57 | ) | (0.24 | ) | — | (0.24 | ) | $ | 13.20 | 1.65 | 0.99 | 0.99 | 1.11 | (4.30 | ) | 70.33 | $ | 115,837 | |||||||||||||||||||||||||||||||||||||
2010 | $ | 13.13 | 0.24 | 0.87 | 1.11 | (0.23 | ) | — | (0.23 | ) | $ | 14.01 | 1.78 | 0.99 | 0.99 | 1.19 | 8.48 | 66.27 | $ | 131,892 | ||||||||||||||||||||||||||||||||||||||||
2009 | $ | 13.45 | 0.37 | (0.01 | ) | 0.36 | (0.68 | ) | — | (0.68 | ) | $ | 13.13 | 3.65 | 0.99 | 0.99 | 1.33 | 4.16 | 103.02 | $ | 107,132 | |||||||||||||||||||||||||||||||||||||||
2008 | $ | 20.16 | 0.40 | (6.34 | ) | (5.94 | ) | (0.23 | ) | (0.54 | ) | (0.77 | ) | $ | 13.45 | 2.25 | 0.99 | 0.99 | 1.10 | (30.49 | ) | 83.70 | $ | 154,102 | ||||||||||||||||||||||||||||||||||||
2007 | $ | 12.87 | 0.17 | 7.29 | 7.46 | (0.01 | ) | (0.16 | ) | (0.17 | ) | $ | 20.16 | 0.97 | 1.00 | 0.99 | 1.20 | 58.51 | 91.02 | $ | 108,461 | |||||||||||||||||||||||||||||||||||||||
Class R3 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 13.11 | 0.06 | 2.61 | 2.67 | (0.21 | ) | — | (0.21 | ) | $ | 15.57 | 0.86 | (d) | 1.50 | (d) | 1.50 | (d) | 20.28 | (d)(g) | 20.58 | 38.53 | $ | 123 | ||||||||||||||||||||||||||||||||||||
2011 | $ | 13.93 | 0.18 | (0.82 | ) | (0.64 | ) | (0.18 | ) | — | (0.18 | ) | $ | 13.11 | 1.12 | 1.49 | 1.49 | 14.23 | (g) | (4.77 | ) | 70.33 | $ | 75 | ||||||||||||||||||||||||||||||||||||
2010 | $ | 13.08 | 0.17 | 0.87 | 1.04 | (0.19 | ) | — | (0.19 | ) | $ | 13.93 | 1.28 | 1.46 | 1.46 | 32.05 | (g) | 7.97 | 66.27 | $ | 151 | |||||||||||||||||||||||||||||||||||||||
2009 | $ | 13.37 | 0.26 | 0.05 | 0.31 | (0.60 | ) | — | (0.60 | ) | $ | 13.08 | 2.57 | 1.50 | 1.49 | 116.95 | (g) | 3.61 | 103.02 | $ | 20 | |||||||||||||||||||||||||||||||||||||||
2008(h) | $ | 17.91 | 0.29 | (4.70 | ) | (4.41 | ) | (0.13 | ) | — | (0.13 | ) | $ | 13.37 | 2.61 | (d) | 1.49 | (d) | 1.49 | (d) | 67.47 | (d)(g) | (24.78 | ) | 83.70 | $ | 35 | |||||||||||||||||||||||||||||||||
Class R4 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 13.09 | 0.06 | 2.62 | 2.68 | (0.22 | ) | — | (0.22 | ) | $ | 15.55 | 0.88 | (d) | 1.40 | (d) | 1.40 | (d) | 3.54 | (d) | 20.64 | 38.53 | $ | 1,138 | ||||||||||||||||||||||||||||||||||||
2011 | $ | 13.90 | 0.19 | (0.81 | ) | (0.62 | ) | (0.19 | ) | — | (0.19 | ) | $ | 13.09 | 1.23 | 1.40 | 1.40 | 3.16 | (4.66 | ) | 70.33 | $ | 900 | |||||||||||||||||||||||||||||||||||||
2010 | $ | 13.04 | 0.19 | 0.84 | 1.03 | (0.17 | ) | — | (0.17 | ) | $ | 13.90 | 1.38 | 1.40 | 1.40 | 3.29 | 7.96 | 66.27 | $ | 1,345 | ||||||||||||||||||||||||||||||||||||||||
2009 | $ | 13.38 | 0.40 | (0.08 | ) | 0.32 | (0.66 | ) | — | (0.66 | ) | $ | 13.04 | 3.19 | 1.40 | 1.40 | 14.73 | (g) | 3.73 | 103.02 | $ | 1,244 | ||||||||||||||||||||||||||||||||||||||
2008(h) | $ | 17.91 | 0.28 | (4.69 | ) | (4.41 | ) | (0.12 | ) | — | (0.12 | ) | $ | 13.38 | 2.48 | (d) | 1.41 | (d) | 1.40 | (d) | 864.00 | (d)(g) | (24.74 | ) | 83.70 | $ | 3 | |||||||||||||||||||||||||||||||||
Class R5 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 13.21 | 0.10 | 2.64 | 2.74 | (0.25 | ) | — | (0.25 | ) | $ | 15.70 | 1.30 | (d) | 0.99 | (d) | 0.99 | (d) | 1.13 | (d) | 20.95 | 38.53 | $ | 38,975 | ||||||||||||||||||||||||||||||||||||
2011 | $ | 14.02 | 0.29 | (0.86 | ) | (0.57 | ) | (0.24 | ) | — | (0.24 | ) | $ | 13.21 | 1.84 | 0.99 | 0.99 | 1.24 | (4.29 | ) | 70.33 | $ | 32,223 | |||||||||||||||||||||||||||||||||||||
2010 | $ | 13.15 | 0.34 | 0.76 | 1.10 | (0.23 | ) | — | (0.23 | ) | $ | 14.02 | 2.46 | 0.99 | 0.99 | 1.64 | 8.41 | 66.27 | $ | 16,380 | ||||||||||||||||||||||||||||||||||||||||
2009 | $ | 13.46 | 0.53 | (0.15 | ) | 0.38 | (0.69 | ) | — | (0.69 | ) | $ | 13.15 | 4.36 | 0.97 | 0.97 | 239.11 | (g) | 4.25 | 103.02 | $ | 86 | ||||||||||||||||||||||||||||||||||||||
2008(h) | $ | 17.98 | 0.33 | (4.70 | ) | (4.37 | ) | (0.15 | ) | — | (0.15 | ) | $ | 13.46 | 2.97 | (d) | 0.92 | (d) | 0.92 | (d) | 850.59 | (d)(g) | (24.47 | ) | 83.70 | $ | 2 | |||||||||||||||||||||||||||||||||
| (a) | Not annualized for periods less than one year. |
| (b) | Unaudited Six Month Period Ended March 31. |
| (c) | Sales loads are not reflected in computing total return. |
| (d) | Annualized. |
| (e) | Dividends from net investment income per share were less than $(0.01). |
| (f) | Net investment loss was less than (0.01) per share. |
| (g) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
| (h) | Effective date of this class of shares was February 1, 2008. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
| 28 Certified Semi-Annual Report | Certified Semi-Annual Report 29 |
| EXPENSE EXAMPLE | ||
| Thornburg Global Opportunities Fund | March 31, 2012 (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 a $1,000 investment beginning on October 1, 2011, and held until March 31, 2012.
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 10/1/11 | Ending Account Value 3/31/12 | Expenses Paid During Period† 10/1/11–3/31/12 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,206.00 | $ | 8.27 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.50 | $ | 7.57 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,201.10 | $ | 12.56 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,013.59 | $ | 11.49 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,208.90 | $ | 5.47 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.05 | $ | 5.00 | ||||||
Class R3 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,205.80 | $ | 8.28 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.49 | $ | 7.57 | ||||||
Class R4 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,206.40 | $ | 7.72 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.00 | $ | 7.06 | ||||||
Class R5 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,209.50 | $ | 5.47 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.05 | $ | 5.00 | ||||||
| † | Expenses are equal to the annualized expense ratio for each class (A: 1.50%; C: 2.28%; I: 0.99%; R3: 1.50%; R4: 1.40%; 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. |
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
| INDEX COMPARISON | ||
| Thornburg Global Opportunities Fund | March 31, 2012 (Unaudited) | |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Global Opportunities Fund versus MSCI AC World Index (July 28, 2006 to March 31, 2012)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2012 (with sales charge)
| 1 Yr | 3 Yrs | 5 Yrs | Since Inception | |||||||||||||
A Shares (Incep: 7/28/06) | -6.40 | % | 25.07 | % | 1.22 | % | 6.65 | % | ||||||||
C Shares (Incep: 7/28/06) | -3.65 | % | 25.99 | % | 1.37 | % | 6.69 | % | ||||||||
I Shares (Incep: 7/28/06) | -1.53 | % | 27.59 | % | 2.66 | % | 8.06 | % | ||||||||
R3 Shares (Incep: 2/1/08) | -1.98 | % | 26.95 | % | — | -0.82 | % | |||||||||
R4 Shares (Incep: 2/1/08) | -1.88 | % | 27.02 | % | — | -0.74 | % | |||||||||
R5 Shares (Incep: 2/1/08) | -1.46 | % | 27.61 | % | — | -0.29 | % | |||||||||
MSCI AC World Index (Since: 7/28/06) | -0.73 | % | 20.75 | % | -0.19 | % | 2.46 | % | ||||||||
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200. 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.
Certified Semi-Annual Report 31
| OTHER INFORMATION | ||
| Thornburg Global Opportunities Fund | March 31, 2012 (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. A description of the Policy 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.
32 Certified Semi-Annual Report
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Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
September 13, 2011
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.
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.
APPOINTMENT OF TRUSTEE
The Trustees have appointed Sally Corning of Santa Fe, New Mexico as a Trustee, effective May 7, 2012. Ms. Corning is a founding partner of Sun Mountain Capital, Santa Fe, which advises clients in making investments in private equity partnerships and invests directly in private companies. Ms. Corning was formerly employed by Credit Suisse First Boston, Morgan Stanley and Dean Witter Reynolds. She received her BSBA from Georgetown University and her MBA from the Columbia University Graduate School of Business.
34 This page is not part of the Semi-Annual Report.
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 website 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 Developing World 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
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 Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We are very organic in our approach, avoiding leverage or complex strategies which could backfire in periods of market uncertainty.
| • | 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 Strategic Municipal Income Fund |
| • | Thornburg Limited Term U.S. Government Fund |
| • | Thornburg Limited Term Income Fund |
| • | Thornburg Strategic Income Fund |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
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 | Waste not, Wait not |  | ||||
| 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. | |||||
 | Investment Advisor: Thornburg Investment Management® 800.847.0200 | Go to www.thornburg.com/edelivery and sign up to receive your shareholder reports, prospectuses, and proxy statements electronically. | ||||
Distributor: | ||||||
Thornburg Securities Corporation® 800.847.0200 TH1411 | You invest in the future, without spending a dime. | |||||
Important Information
The information presented on the following pages was current as of March 31, 2012. The manager’s views, portfolio holdings, and sector and country diversification are provided for the general information of the Fund’s shareholders and are subject to change; to the extent this information is historical, it should not be considered predictive of future circumstances. 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. Special risks may be associated with investments outside the United States, especially in developing countries, including currency fluctuations, illiquidity and volatility. Investments in small capitalization companies 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 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. Funds invested in a limited number of holdings may expose an investor to greater volatility.
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.
Minimum investments for Class I shares are higher than those for other classes. Class I shares may not be available to all investors.
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 the Fund. There is no assurance that the Fund will have continued access to profitable IPOs and, as the 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.
Share Class | NASDAQ Symbol | Cusip | ||
Class A | THDAX | 885-216-408 | ||
Class C | THDCX | 885-216-507 | ||
Class I | THDIX | 885-216-606 |
Glossary
MSCI Emerging Markets Index – A free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The MSCI Emerging Markets Index consists of the following 21 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Morocco, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey.
MSCI Country Indices (India and Indonesia) – Free float-adjusted market capitalization indices that are designed to measure equity market performance in that specific country.
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.
Consumer Price Index (CPI) – Measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. The CPI is also known as the cost-of-living index.
Debt-to-Capital Ratio (debt-to-cap) – A measurement of a company’s financial leverage, calculated as the company’s debt divided by its total capital.
Leverage – The amount of debt used to finance a firm’s assets. A firm with significantly more debt than equity is considered to be highly leveraged.
Price/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
Thornburg Developing World Fund
March 31, 2012
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
4 Certified Semi-Annual Report
Lewis Kaufman, CFA
Portfolio Manager
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200.
The maximum sales charge for Class A shares is 4.50%. The total annual fund operating expense of Class A shares is 1.89%, as disclosed in the most recent Prospectus. Thornburg Investment Management and Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least February 1, 2013, so that actual expenses, for Class A shares, do not exceed 1.83%.
April 18, 2012
Dear Fellow Shareholder:
We are pleased to present the third semi-annual report for the Thornburg Developing World Fund for the period ended March 31, 2012. The Class A shares of the Thornburg Developing World Fund produced a total return of 24.24% at net asset value (NAV) for the six-month period ended March 31, 2012, compared to 19.13% for the MSCI Emerging Markets Index. Since inception of December 16, 2009, the Class A shares of the Thornburg Developing World Fund produced a cumulative total return of 30.21% at NAV, compared to 12.50% for the MSCI Emerging Markets Index.
The six-month period ended March 31, 2012 began at the depths of the European sovereign debt crisis, with most major equity market gauges bottoming just days later. Since then, policy visibility in the European Union has improved, the U.S. has showed surprising signs of economic resilience, a “hard landing” scenario in China has become less likely, and emerging market central banks have introduced more accommodative monetary policy. To put the change in market sentiment in perspective, emerging markets equity prices increased nearly 30% from their early October 2011 lows. Reflecting this dynamic, the median forward P/E multiple for the Developing World Fund increased from 15.6x at September 30, 2011 to 17.4x as of March 31, 2012.
While markets have ebbed and flowed, we have remained consistent in our approach. We remarked recently that perfect foresight in the fall of 2011 into future policy inertia would have led to suboptimal investment decisions. We instead have focused on creating a portfolio with the potential to outperform in up markets while not impairing capital permanently in down markets — consistent with our primary goal of long-term capital appreciation. This focus is very much visible in the Fund’s monthly performance profile. In the 27 complete months since the Fund’s inception, the MSCI Emerging Markets Index increased twelve times by an average of 6.56%, compared with 6.78% for the Developing World Fund — outperformance of approximately 0.22% per month. Perhaps more significantly, in the fifteen down months since Fund inception, the MSCI Emerging Markets Index declined by an average of 4.18% per month, versus a decline of 3.33% for the Developing World Fund — outperformance of approximately 0.85% per month. We believe our commitment to financially sound, free cash flow generative companies and our aversion to business models predicated on leverage have helped us create the broader portfolio characteristic described above. Notably, of our top five contributors to performance since inception (New Oriental Education, MercadoLibre, Mayora Indah, Cia Hering, and Truworths International), four have cash balances that exceed aggregate debt maturities.
Equally important in creating an emerging markets portfolio with attractive risk-adjusted characteristics is recognition that the Fund offers exposure to both equities and currencies. In some cases, currency exposure may be desirable. For example, countries including Indonesia, the Philippines, Peru, Colombia, and China generally have either current account surpluses influenced by
Certified Semi-Annual Report 5
| Letter to Shareholders, | ||
Continued | ||
trade balances and remittances, or attractive backdrops for foreign investment and new capital formation. For countries that do not have one or more of these attributes such as India and Turkey, real or perceived external vulnerability to capital outflows is higher, foreign currency reserves are periodically under pressure, and currency volatility in USD terms more likely. Rather than absorb the costs associated with hedging less desirable currencies or the volatility associated with outsized unhedged exposure to them, we have instead focused our investments in countries with more favorable currency dynamics. For example, Indonesia and the Philippines represented over 15% of the Developing World Fund as of March 31, 2012, versus approximately 3% representation in the MSCI Emerging Markets Index. In this way, we are able to complement our focus on financially sound, free cash flow generative companies with a currency profile intended to enhance the Fund’s risk-adjusted characteristics.
Looking forward, while emerging markets have recovered from recent lows, risks abound. In Europe, sovereign funding needs are significant and we may experience continued investor angst as refinancing deadlines materialize. Moreover, 2012 is an election year in France, and momentum for the Socialist Party may cloud the broader European reform agenda. China also faces a political transition in 2012, and while this process should provide ample motivation to policy makers, economic growth could disappoint. Perhaps most ominously, confrontation with Iran and higher oil prices remain distinct possibilities, at a time when many emerging markets countries continue to pursue energy price subsidies. It is our hope that our focus on financially sound, free cash flow generative companies will allow us to protect capital in difficult market environments while providing ample upside participation in better times.
We invite you to visit our website at www.thornburg.com, where you will find additional information about the Thornburg Developing World Fund. We thank you for your trust and confidence.
Sincerely,
Lewis Kaufman, CFA
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.
6 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS | ||
| Thornburg Developing World Fund | March 31, 2012 (Unaudited) | |
TOP TEN HOLDINGS
As of 3/31/12
Baidu, Inc. ADR | 3.2 | % | Trinity Ltd. | 2.8 | % | |||||
Mayora Indah | 3.2 | % | Hengdeli Holdings Ltd. | 2.8 | % | |||||
Puregold Price Club, Inc. | 3.0 | % | Sberbank of Russia | 2.7 | % | |||||
Totvs SA | 2.9 | % | Potash Corp. of Saskatchewan, Inc. | 2.6 | % | |||||
Yandex NV | 2.8 | % | O’Key Group S.A. | 2.5 | % |
SUMMARY OF INDUSTRY EXPOSURE
As of 3/31/12
Software & Services | 17.1 | % | Health Care Equipment & Services | 4.0 | % | |||||
Banks | 12.6 | % | Consumer Durables & Apparel | 2.8 | % | |||||
Food & Staples Retailing | 12.3 | % | Transportation | 2.3 | % | |||||
Materials | 8.4 | % | Diversified Financials | 1.7 | % | |||||
Energy | 8.3 | % | Commercial & Professional Services | 1.4 | % | |||||
Retailing | 7.5 | % | Capital Goods | 0.9 | % | |||||
Consumer Services | 6.1 | % | Media | 0.6 | % | |||||
Household & Personal Products | 6.0 | % | Other Assets & Cash Equivalents | 3.3 | % | |||||
Food, Beverage & Tobacco | 4.7 | % |
SUMMARY OF COUNTRY EXPOSURE
As of 3/31/12 (percent of equity holdings)
China | 13.5 | % | Canada | 4.6 | % | |||||
Brazil | 12.5 | % | Peru | 2.5 | % | |||||
Indonesia | 10.5 | % | South Africa | 2.4 | % | |||||
Russia | 9.5 | % | Turkey | 2.4 | % | |||||
Hong Kong | 8.5 | % | Colombia | 2.2 | % | |||||
India | 7.2 | % | Mexico | 2.1 | % | |||||
United States | 6.5 | % | Chile | 1.9 | % | |||||
Philippines | 5.4 | % | Taiwan | 1.6 | % | |||||
Argentina | 5.2 | % | Thailand | 1.5 | % |
Certified Semi-Annual Report 7
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Developing World Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
COMMON STOCK — 96.71% | ||||||||
BANKS — 12.65% | ||||||||
COMMERCIAL BANKS — 12.65% | ||||||||
Banco Macro SA ADR | 56,220 | $ | 1,102,474 | |||||
Banco Santander Chile ADR | 18,135 | 1,561,242 | ||||||
Credicorp Ltd. | 15,507 | 2,044,133 | ||||||
PT Bank Mandiri | 2,421,000 | 1,813,632 | ||||||
Sberbank of Russia | 704,600 | 2,275,858 | ||||||
Security Bank Corp. | 573,000 | 1,908,443 | ||||||
|
| |||||||
| 10,705,782 | ||||||||
|
| |||||||
CAPITAL GOODS — 0.86% | ||||||||
MACHINERY — 0.86% | ||||||||
Turk Traktor Ve Ziraat Makineleri AS | 35,574 | 726,530 | ||||||
|
| |||||||
| 726,530 | ||||||||
|
| |||||||
COMMERCIAL & PROFESSIONAL SERVICES — 1.41% | ||||||||
COMMERCIAL SERVICES & SUPPLIES — 1.41% | ||||||||
Multiplus SA | 57,900 | 1,192,605 | ||||||
|
| |||||||
| 1,192,605 | ||||||||
|
| |||||||
CONSUMER DURABLES & APPAREL — 2.80% | ||||||||
TEXTILES, APPAREL & LUXURY GOODS — 2.80% | ||||||||
Trinity Ltd. | 2,874,000 | 2,364,914 | ||||||
|
| |||||||
| 2,364,914 | ||||||||
|
| |||||||
CONSUMER SERVICES — 6.07% | ||||||||
HOTELS, RESTAURANTS & LEISURE — 6.07% | ||||||||
Arcos Dorados Holdings, Inc. | 74,920 | 1,355,303 | ||||||
aJubilant FoodWorks Ltd. | 65,943 | 1,504,347 | ||||||
NagaCorp Ltd. | 968,000 | 440,025 | ||||||
Wynn Macau Ltd. | 624,812 | 1,838,499 | ||||||
|
| |||||||
| 5,138,174 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 1.65% | ||||||||
CAPITAL MARKETS — 1.65% | ||||||||
CETIP SA | 84,200 | 1,397,606 | ||||||
|
| |||||||
| 1,397,606 | ||||||||
|
| |||||||
ENERGY — 8.34% | ||||||||
OIL, GAS & CONSUMABLE FUELS — 8.34% | ||||||||
aBankers Petroleum Ltd. | 388,800 | 1,605,951 | ||||||
CNOOC Ltd. | 590,000 | 1,212,586 | ||||||
Coal India Ltd. | 211,700 | 1,416,389 | ||||||
aGran Tierra Energy, Inc. | 283,937 | 1,790,530 | ||||||
Novatek OAO GDR | 7,600 | 1,029,800 | ||||||
|
| |||||||
| 7,055,256 | ||||||||
|
| |||||||
FOOD & STAPLES RETAILING — 12.32% | ||||||||
FOOD & STAPLES RETAILING — 12.32% | ||||||||
Bizim Toptan Satis Magazalari AS | 88,703 | 1,211,871 | ||||||
aClicks Group Ltd. | 334,662 | 1,951,432 | ||||||
CP All plc | 562,000 | 1,193,225 | ||||||
8 Certified Semi-Annual Report
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Developing World Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
O’Key Group S.A. | 234,300 | $ | 2,129,787 | |||||
aPuregold Price Club, Inc. | 5,260,700 | 2,499,552 | ||||||
Raia Drogasil SA | 148,167 | 1,440,721 | ||||||
|
| |||||||
| 10,426,588 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 4.75% | ||||||||
BEVERAGES — 1.52% | ||||||||
Coca Cola Co. | 17,441 | 1,290,808 | ||||||
FOOD PRODUCTS — 3.23% | ||||||||
Mayora Indah | 1,300,500 | 2,730,709 | ||||||
|
| |||||||
| 4,021,517 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SERVICES — 4.00% | ||||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 1.84% | ||||||||
Shandong Weigao Group Medical Polymer Co. Ltd. | 1,374,394 | 1,557,477 | ||||||
HEALTH CARE PROVIDERS & SERVICES — 2.16% | ||||||||
Diagnosticos da America SA | 238,400 | 1,829,677 | ||||||
|
| |||||||
| 3,387,154 | ||||||||
|
| |||||||
HOUSEHOLD & PERSONAL PRODUCTS — 6.00% | ||||||||
HOUSEHOLD PRODUCTS — 2.49% | ||||||||
Colgate Palmolive Co. | 21,596 | 2,111,657 | ||||||
PERSONAL PRODUCTS — 3.51% | ||||||||
Dabur India Ltd. | 818,600 | 1,714,488 | ||||||
Hengan International Group Co. Ltd. | 124,500 | 1,253,730 | ||||||
|
| |||||||
| 5,079,875 | ||||||||
|
| |||||||
MATERIALS — 8.36% | ||||||||
CHEMICALS — 4.06% | ||||||||
Asian Paints Ltd. | 19,818 | 1,244,825 | ||||||
Potash Corp. of Saskatchewan, Inc. | 47,986 | 2,192,480 | ||||||
CONSTRUCTION MATERIALS — 2.27% | ||||||||
PT Indocement Tunggal Prakarsa Tbk | 952,200 | 1,921,270 | ||||||
METALS & MINING — 2.03% | ||||||||
Southern Copper Corp. | 53,984 | 1,711,833 | ||||||
|
| |||||||
| 7,070,408 | ||||||||
|
| |||||||
MEDIA — 0.56% | ||||||||
MEDIA — 0.56% | ||||||||
Focus Media Holdings Ltd. | 18,692 | 469,543 | ||||||
|
| |||||||
| 469,543 | ||||||||
|
| |||||||
RETAILING — 7.49% | ||||||||
MULTILINE RETAIL — 2.49% | ||||||||
PT Mitra Adiperkasa Tbk | 3,042,500 | 2,112,847 | ||||||
SPECIALTY RETAIL — 5.00% | ||||||||
Cia Hering | 73,200 | 1,890,701 | ||||||
Hengdeli Holdings Ltd. | 5,587,000 | 2,338,244 | ||||||
|
| |||||||
| 6,341,792 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 17.14% | ||||||||
INTERNET SOFTWARE & SERVICES — 14.22% | ||||||||
a21Vianet Group, Inc. ADR | 117,914 | 1,338,324 | ||||||
Certified Semi-Annual Report 9
| SCHEDULE OF INVESTMENTS, CONTINUED | ||
| Thornburg Developing World Fund | March 31, 2012 (Unaudited) | |
| Shares/ Principal Amount | Value | |||||||
a Baidu, Inc. ADR | 18,801 | $ | 2,740,622 | |||||
Mercadolibre, Inc. | 18,268 | 1,786,428 | ||||||
PChome Online, Inc. | 236,000 | 1,331,345 | ||||||
Tencent Holdings Ltd. | 74,600 | 2,082,696 | ||||||
a Yandex NV | 88,126 | 2,367,946 | ||||||
a Youku.com, Inc. ADR | 17,669 | 388,541 | ||||||
SOFTWARE — 2.92% | ||||||||
Totvs SA | 133,855 | 2,471,124 | ||||||
|
| |||||||
| 14,507,026 | ||||||||
|
| |||||||
TRANSPORTATION — 2.31% | ||||||||
AIR FREIGHT & LOGISTICS — 2.31% | ||||||||
Expeditors International of Washington, Inc. | 42,035 | 1,955,048 | ||||||
|
| |||||||
| 1,955,048 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $70,869,093) | 81,839,818 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 96.71% (Cost $70,869,093) | $ | 81,839,818 | ||||||
OTHER ASSETS LESS LIABILITIES — 3.29% | 2,785,207 | |||||||
|
| |||||||
NET ASSETS — 100.00% | $ | 84,625,025 | ||||||
|
| |||||||
Footnote Legend
| a | Non-income producing. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
| ADR | American Depository Receipt |
| GDR | Global Depository Receipt |
See notes to financial statements.
10 Certified Semi-Annual Report
| STATEMENT OF ASSETS AND LIABILITIES | ||
| Thornburg Developing World Fund | March 31, 2012 (Unaudited) | |
ASSETS | ||||
Investments at value (cost $70,869,093) (Note 2) | $ | 81,839,818 | ||
Cash | 3,316,223 | |||
Cash denominated in foreign currency (cost $14,663) | 14,881 | |||
Receivable for investments sold | 262,938 | |||
Receivable for fund shares sold | 341,310 | |||
Dividends receivable | 65,069 | |||
Dividend and interest reclaim receivable | 749 | |||
Prepaid expenses and other assets | 34,797 | |||
|
| |||
Total Assets | 85,875,785 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 898,612 | |||
Payable for fund shares redeemed | 60,279 | |||
Payable to investment advisor and other affiliates (Note 3) | 74,226 | |||
Deferred taxes payable | 176,090 | |||
Accounts payable and accrued expenses | 41,553 | |||
|
| |||
Total Liabilities | 1,250,760 | |||
|
| |||
NET ASSETS | $ | 84,625,025 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Net investment loss | $ | (271,451 | ) | |
Net unrealized appreciation on investments and foreign currency translations | 10,794,397 | |||
Accumulated net realized gain (loss) | (4,628,160 | ) | ||
Net capital paid in on shares of beneficial interest | 78,730,239 | |||
|
| |||
| $ | 84,625,025 | |||
|
| |||
Certified Semi-Annual Report 11
| STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||||
| Thornburg Developing World Fund | March 31, 2012 (Unaudited) | |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($33,348,583 applicable to 2,147,738 shares of beneficial interest outstanding - Note 4) | $ | 15.53 | ||
Maximum sales charge, 4.50% of offering price | 0.73 | |||
|
| |||
Maximum offering price per share | $ | 16.26 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($8,972,671 applicable to 585,755 shares of beneficial interest outstanding - Note 4) | $ | 15.32 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($42,303,771 applicable to 2,688,762 shares of beneficial interest outstanding - Note 4) | $ | 15.73 | ||
|
| |||
| * | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
12 Certified Semi-Annual Report
| STATEMENT OF OPERATIONS | ||
| Thornburg Developing World Fund | Six Months Ended March 31, 2012 (Unaudited) | |
INVESTMENT INCOME: | ||||
Dividend income (net of foreign taxes withheld of $16,735) | $ | 337,521 | ||
Interest income | 148 | |||
|
| |||
Total Income | 337,669 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 335,967 | |||
Administration fees (Note 3) | ||||
Class A Shares | 17,532 | |||
Class C Shares | 5,096 | |||
Class I Shares | 8,178 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 35,090 | |||
Class C Shares | 40,771 | |||
Transfer agent fees | ||||
Class A Shares | 20,307 | |||
Class C Shares | 8,509 | |||
Class I Shares | 12,464 | |||
Registration and filing fees | ||||
Class A Shares | 11,758 | |||
Class C Shares | 10,647 | |||
Class I Shares | 10,765 | |||
Custodian fees (Note 3) | 64,686 | |||
Professional fees | 24,112 | |||
Accounting fees | 867 | |||
Trustee fees | 871 | |||
Other expenses | 13,256 | |||
|
| |||
Total Expenses | 620,876 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (43,939 | ) | ||
Investment advisory fees waived by investment advisor (Note 3) | (63,534 | ) | ||
|
| |||
Net Expenses | 513,403 | |||
|
| |||
Net Investment Loss | $ | (175,734 | ) | |
|
| |||
Certified Semi-Annual Report 13
| STATEMENT OF OPERATIONS, CONTINUED | ||
| Thornburg Developing World Fund | Six Months Ended March 31, 2012 (Unaudited) | |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from: | ||||
Investments | $ | (1,960,955 | ) | |
Foreign currency transactions | (36,593 | ) | ||
|
| |||
| (1,997,548 | ) | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (net of change in deferred taxes payable of $121,967) | 16,915,651 | |||
Foreign currency translations | 16,049 | |||
|
| |||
| 16,931,700 | ||||
|
| |||
Net Realized and Unrealized Gain | 14,934,152 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 14,758,418 | ||
|
|
See notes to financial statements.
14 Certified Semi-Annual Report
| STATEMENTS OF CHANGES IN NET ASSETS |
| Thornburg Developing World Fund |
| Six Months Ended March 31, 2012* | Year Ended September 30, 2011 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS: | ||||||||
Net investment income (loss) | $ | (175,734 | ) | $ | 97,208 | |||
Net realized gain (loss) from investments and foreign currency transactions | (1,997,548 | ) | (2,485,598 | ) | ||||
Net unrealized appreciation (depreciation) on investments, foreign currency translations, and deferred taxes | 16,931,700 | (10,551,982 | ) | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 14,758,418 | (12,940,372 | ) | |||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | — | (28,522 | ) | |||||
Class C Shares | — | (6,288 | ) | |||||
Class I Shares | — | (51,293 | ) | |||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 2,461,385 | 16,379,807 | ||||||
Class C Shares | 2,103 | 5,862,947 | ||||||
Class I Shares | 8,197,391 | 15,403,407 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 25,419,297 | 24,619,686 | ||||||
NET ASSETS: | ||||||||
Beginning of Period | 59,205,728 | 34,586,042 | ||||||
|
|
|
| |||||
End of Period | $ | 84,625,025 | $ | 59,205,728 | ||||
|
|
|
| |||||
| * | Unaudited. |
See notes to financial statements.
Certified Semi-Annual Report 15
| NOTES TO FINANCIAL STATEMENTS | ||
| Thornburg Developing World Fund | March 31, 2012 (Unaudited) | |
NOTE 1 – ORGANIZATION
Thornburg Developing World Fund, hereinafter referred to as the “Fund,” is a diversified series of Thornburg Investment Trust (the “Trust”). The Fund commenced operations on December 16, 2009. 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 Fund is currently one of sixteen separate series of the Trust. 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.
The Fund currently offers three classes of shares of beneficial interest: Class A, Class C, and Institutional Class (Class I). 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 of purchase, and bear both a service fee and a distribution fee, and (iii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, 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 Investments: 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 ask 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.
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 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 obligations of comparable quality, type of issue, coupon, maturity and rating, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
Quotations in foreign currencies for foreign portfolio investments are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
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 procedures approved by the Trustees, which may include the use of a price obtained from an independent pricing service. The pricing service ordinarily values equity securities in these instances using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures and index data and other data. 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, or an unusual event or significant period of time occurring since the availability of a market quotation, create a 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 obligation held by the Fund, the valuation and pricing committee determines a fair value for the debt obligation using procedures approved by the Trustees. Additionally, in any case where management
16 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Developing World Fund | March 31, 2012 (Unaudited) | |
believes that a price provided by a pricing service for a debt obligation 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 obligation.
In determining fair value for any portfolio security or other investment, the valuation and pricing committee seeks to determine the amount that an owner of the investment might reasonably expect to receive upon a sale of the investment. However, because fair value prices are estimated prices, the valuation and pricing committee’s determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Fund’s financial statements. The valuation and pricing committee’s determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation Measurements: Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three levels listed below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment rates, credit risk, etc.).
Level 3: Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
The following table displays a summary of the inputs used to value the Fund’s net assets as of March 31, 2012. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
| $81,839,818 | $81,839,818 | $81,839,818 | $81,839,818 | |||||||||||||
| Fair Value Measurements at March 31, 2012 | ||||||||||||||||
| Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities* | ||||||||||||||||
Common Stock | $ | 81,839,818 | $ | 81,839,818 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 81,839,818 | $ | 81,839,818 | $ | — | $ | — | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments** | ||||||||||||||||
Spot Currency | $ | (472 | ) | $ | (472 | ) | $ | — | $ | — | ||||||
| * | See Schedule of Investments for a summary of the industry exposure as grouped according to the Global Industry Classification Standard (GICS), which is an industry taxonomy developed by MSCI, Inc. and Standard & Poor’s (S&P). |
| ** | 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 investment. |
Other Notes: It is the policy of the Fund to recognize significant transfers between Levels 1, 2 and 3 and to disclose those transfers as of the date of the underlying event, which caused the movement. The Fund recognized no significant transfers between levels for the six months ended March 31, 2012.
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. Such spot contracts are included in Receivable for investments sold and Payable for investments purchased on the Statement of Assets and Liabilities.
Certified Semi-Annual Report 17
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Developing World Fund | March 31, 2012 (Unaudited) | |
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 purchases and 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 to shareholders substantially all taxable income, including any net realized gain on investments of the Fund. Therefore, no provision for federal income taxes is required.
Management reviews each uncertain tax position believed to be material to the preparation of the Fund’s financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of March 31, 2012, management has not identified any such position for which a liability must be reflected in the Statement of Assets and Liabilities. The Fund’s tax returns remain subject to examination for three years after filing.
When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with 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 Fund makes a commitment to purchase a security on a when-issued or delayed delivery 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, if any, 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.
18 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Developing World Fund | March 31, 2012 (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, 2012, these fees were payable at annual rates ranging from .975 of 1% to .775 of 1% per annum of the average daily net assets of the Fund depending on the Fund’s asset size. For the period ended March 31, 2012, the Advisor voluntarily waived investment advisory fees of $63,534. 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, 2012, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $12,532 for Class C shares, and $31,407 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, 2012, the Distributor has advised the Fund that it earned commissions aggregating $4,496 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $1,219 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. For the six months ended March 31, 2012, there were no 12b-1 service plan fees charged for Class I shares. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
The Trust has also adopted a distribution plan pursuant to Rule 12b-1, applicable only to the Fund’s Class C shares under which the Fund compensates the Distributor for services in promoting the sale of Class C shares of the Fund at an annual rate of up to .75 of 1% per annum of the average daily net assets attributable to Class C shares. Total fees incurred by the Fund for each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2012, 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 are 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, 2012, there were no fees paid indirectly.
Certain officers and Trustees of the Trust are also officers 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, 2012, 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, 2012 (Unaudited) | Year Ended September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 474,354 | $ | 6,778,264 | 1,982,581 | $ | 30,656,908 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | 1,639 | 25,513 | ||||||||||||
Shares repurchased | (321,727 | ) | (4,316,929 | ) | (966,885 | ) | (14,303,463 | ) | ||||||||
Redemption fees received* | — | 50 | — | 849 | ||||||||||||
|
|
|
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|
|
|
| |||||||||
Net increase (decrease) | 152,627 | $ | 2,461,385 | 1,017,335 | $ | 16,379,807 | ||||||||||
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Certified Semi-Annual Report 19
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Developing World Fund | March 31, 2012 (Unaudited) | |
| Six Months Ended March 31, 2012 (Unaudited) | Year Ended September 30, 2011 (Audited) | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 108,756 | $ | 1,532,388 | 559,204 | $ | 8,559,013 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | 359 | 5,563 | ||||||||||||
Shares repurchased | (109,744 | ) | (1,530,299 | ) | (173,608 | ) | (2,701,877 | ) | ||||||||
Redemption fees received* | — | 14 | — | 248 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (988 | ) | $ | 2,103 | 385,955 | $ | 5,862,947 | |||||||||
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Class I Shares | ||||||||||||||||
Shares sold | 788,557 | $ | 11,469,589 | 1,732,916 | $ | 27,280,362 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | 2,828 | 44,294 | ||||||||||||
Shares repurchased | (240,211 | ) | (3,272,262 | ) | (806,467 | ) | (11,922,242 | ) | ||||||||
Redemption fees received* | — | 64 | — | 993 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 548,346 | $ | 8,197,391 | 929,277 | $ | 15,403,407 | ||||||||||
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| * | The Fund previously charged a redemption fee of 1% of the Class A and Class I shares redeemed or exchanged within 30 days of purchase. Effective February 1, 2012, the Fund stopped imposing this redemption fee. Redemption fees that were charged to any class prior to February 1, 2012 were 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, 2012, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $51,493,581 and $43,498,063, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2012, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 70,869,093 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 12,492,854 | ||
Gross unrealized depreciation on a tax basis | (1,522,129 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 10,970,725 | ||
|
|
At March 31, 2012, the Fund had deferred tax basis currency and capital losses occurring subsequent to October 31, 2010 of $95,718 and $1,792,806, respectively. For tax purposes, such losses will be reflected in the year ending September 30, 2012.
The Regulated Investment Company Modernization Act of 2010 (the “Act”) was signed into law on December 22, 2010. The Act makes changes to a number of tax rules impacting the Fund. Under the Act, future capital losses generated by the Fund may be carried over indefinitely, but these losses must be used prior to the utilization of any pre-enactment capital losses. Since pre-enactment capital losses may only be carried forward for eight years, there may be a greater likelihood that all or a portion of a Fund’s pre-enactment capital losses will expire unused. In general, the provisions of the Act will be effective for the Fund’s fiscal year ending September 30, 2012.
20 Certified Semi-Annual Report
| NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
| Thornburg Developing World Fund | March 31, 2012 (Unaudited) | |
NOTE 7 – FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
The Fund may use a variety of derivative financial instruments to hedge or adjust the risks affecting its investment portfolio or to enhance investment returns. Provisions of FASB Accounting Standards Codification ASC 815-10-50 (“ASC 815”), require certain disclosures. The disclosures are intended to provide users of financial statements with an understanding of the use of derivative instruments by the Fund and how these derivatives affect the financial position, financial performance and cash flows of the Fund. The Fund does not designate any derivative instruments as hedging instruments under ASC 815. Additionally, the Fund’s risk of loss may exceed the amounts recognized on the Statement of Assets and Liabilities.
During the six months ended March 31, 2012, the Fund did not invest in any derivative financial instruments of the type addressed by ASC 815.
OTHER NOTES:
Risks: The Fund’s investments subject it to risks including, but not limited to, management risk, market and economic risk, risks affecting specific issuers, liquidity risk, the risks associated with investments in smaller companies and non-U.S. issuers (including developing country issuers), credit risk, and interest rate risk. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund.
Subsequent Events: Fund management believes no events have occurred between March 31, 2012 and the date of issuance of the financial statements, which require adjustment to, or disclosure in the accompanying financial statements.
Certified Semi-Annual Report 21
Thornburg Developing World Fund
| PER SHARE PERFORMANCE (for a share outstanding throughout the Period)+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless are Fiscal Years | Net Asset Value Beginning of Period | Net Investment Income (Loss) | Net Realized & Unrealized Gain (Loss) on Investments | Total from Investment Operations | Dividends from Net Investment Income | Dividends from Net Realized Gains | Total Dividends | Net Asset Value End of Period | Net Investment Income (Loss) (%) | Expenses, After Expense Reductions (%) | Expenses, After Expense Reductions and Net of Custody Credits (%) | Expenses, Before Expense Reductions (%) | Total Return (%)(a) | Portfolio Turnover Rate (%) | Net Assets at End of Period (Thousands) | |||||||||||||||||||||||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b)(c) | $ | 12.50 | (0.05 | ) | 3.08 | 3.03 | — | — | — | $ | 15.53 | (0.72 | )(d) | 1.69 | (d) | 1.69 | (d) | 1.87 | (d) | 24.24 | 63.73 | $ | 33,348 | |||||||||||||||||||||||||||||||||||||
2011(c) | $ | 14.44 | (0.01 | ) | (1.91 | ) | (1.92 | ) | (0.02 | ) | — | (0.02 | ) | $ | 12.50 | (0.05 | ) | 1.63 | 1.62 | 1.89 | (13.34 | ) | 129.15 | $ | 24,929 | |||||||||||||||||||||||||||||||||||
2010(c)(e) | $ | 11.94 | 0.06 | 2.44 | 2.50 | — | — | — | $ | 14.44 | 0.55 | (d) | 1.83 | (d) | 1.82 | (d) | 3.30 | (d) | 20.94 | 47.37 | $ | 14,116 | ||||||||||||||||||||||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 12.37 | (0.10 | ) | 3.05 | 2.95 | — | — | — | $ | 15.32 | (1.40 | )(d) | 2.37 | (d) | 2.37 | (d) | 2.86 | (d) | 23.85 | 63.73 | $ | 8,973 | |||||||||||||||||||||||||||||||||||||
2011 | $ | 14.39 | (0.11 | ) | (1.90 | ) | (2.01 | ) | (0.01 | ) | — | (0.01 | ) | $ | 12.37 | (0.74 | ) | 2.34 | 2.34 | 2.89 | (13.96 | ) | 129.15 | $ | 7,257 | |||||||||||||||||||||||||||||||||||
2010(e) | $ | 11.94 | (0.01 | ) | 2.46 | 2.45 | — | — | — | $ | 14.39 | (0.11 | )(d) | 2.39 | (d) | 2.38 | (d) | 6.89 | (d) | 20.52 | 47.37 | $ | 2,889 | |||||||||||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(b) | $ | 12.62 | (0.01 | ) | 3.12 | 3.11 | — | — | — | $ | 15.73 | (0.11 | )(d) | 1.08 | (d) | 1.09 | (d) | 1.46 | (d) | 24.64 | 63.73 | $ | 42,304 | |||||||||||||||||||||||||||||||||||||
2011 | $ | 14.52 | 0.09 | (1.96 | ) | (1.87 | ) | (0.03 | ) | — | (0.03 | ) | $ | 12.62 | 0.55 | 1.04 | 1.04 | 1.47 | (12.89 | ) | 129.15 | $ | 27,019 | |||||||||||||||||||||||||||||||||||||
2010(e) | $ | 11.94 | 0.11 | 2.47 | 2.58 | — | — | — | $ | 14.52 | 1.09 | (d) | 1.10 | (d) | 1.09 | (d) | 2.63 | (d) | 21.61 | 47.37 | $ | 17,581 | ||||||||||||||||||||||||||||||||||||||
| (a) | Not annualized for periods less than one year. |
| (b) | Unaudited Six Month Period Ended March 31. |
| (c) | Sales loads are not reflected in computing total return. |
| (d) | Annualized. |
| (e) | Fund commenced operations on December 16, 2009. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
| 22 Certified Semi-Annual Report | Certified Semi-Annual Report 23 |
| EXPENSE EXAMPLE | ||
| Thornburg Developing World Fund | March 31, 2012 (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 a $1,000 investment beginning on October 1, 2011, and held until March 31, 2012.
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 10/1/11 | Ending Account Value 3/31/12 | Expenses Paid During Period† 10/1/11–3/31/12 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,242.40 | $ | 9.52 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,016.51 | $ | 8.56 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,238.50 | $ | 13.32 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,013.10 | $ | 11.98 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,246.40 | $ | 6.12 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,019.55 | $ | 5.50 | ||||||
| † | Expenses are equal to the annualized expense ratio for each class (A : 1.70%; C: 2.38%; I: 1.09%) 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.
24 Certified Semi-Annual Report
| INDEX COMPARISON | ||
| Thornburg Developing World Fund | March 31, 2012 (Unaudited) | |
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Thornburg Developing World Fund versus MSCI Emerging Markets Index (December 16, 2009 to March 31, 2012)
AVERAGE ANNUAL TOTAL RETURNS
For periods ended March 31, 2012 (with sales charge)
| 1 Yr | 5 Yrs | 10 Yrs | Since Inception | |||||||||||||
A Shares (Incep: 12/16/09) | -6.11 | % | — | — | 10.01 | % | ||||||||||
C Shares (Incep: 12/16/09) | -3.33 | % | — | — | 11.55 | % | ||||||||||
I Shares (Incep: 12/16/09) | -1.13 | % | — | — | 12.92 | % | ||||||||||
MSCI Emerging Markets Index (Since 12/16/09) | -8.80 | % | — | — | 5.29 | % | ||||||||||
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200. 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 shares.
Certified Semi-Annual Report 25
| OTHER INFORMATION | ||
| Thornburg Developing World Fund | March 31, 2012 (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. A description of the Policy 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.
26 Certified Semi-Annual Report
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This page is not part of the Semi-Annual Report. 27
Trustees’ Statement to Shareholders
Not part of the Certified Semi-Annual Report
September 13, 2011
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.
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.
APPOINTMENT OF TRUSTEE
The Trustees have appointed Sally Corning of Santa Fe, New Mexico as a Trustee, effective May 7, 2012. Ms. Corning is a founding partner of Sun Mountain Capital, Santa Fe, which advises clients in making investments in private equity partnerships and invests directly in private companies. Ms. Corning was formerly employed by Credit Suisse First Boston, Morgan Stanley and Dean Witter Reynolds. She received her BSBA from Georgetown University and her MBA from the Columbia University Graduate School of Business.
28 This page is not part of the Semi-Annual Report.
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 website 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 Developing World 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. 29
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 Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We are very organic in our approach, avoiding leverage or complex strategies which could backfire in periods of market uncertainty.
| • | 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 Strategic Municipal Income Fund |
| • | Thornburg Limited Term U.S. Government Fund |
| • | Thornburg Limited Term Income Fund |
| • | Thornburg Strategic Income Fund |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
This page is not part of the Semi-Annual Report. 31
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| TH2148 | ||||||
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.
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. |
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, Intermediate Municipal Fund, Strategic Municipal Income Fund, California Limited Term Municipal Fund, New Mexico Intermediate Municipal Fund, New York Intermediate Municipal Fund, Limited Term U.S. Government Fund, Limited Term Income Fund, Strategic Income Fund, Value Fund, International Value Fund, Core Growth Fund, International Growth Fund, Investment Income Builder Fund, Global Opportunities Fund, and Developing World Fund.
| By: | /s/ Brian J. McMahon | |
| Brian J. McMahon | ||
| President and principal executive officer | ||
| Date: | May 23, 2012 | |
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, 2012 | |
| By: | /s/ George T. Strickland | |
| George T. Strickland | ||
| Treasurer and principal financial officer | ||
| Date: | May 23, 2012 | |